# EDGAR Filing Document

**Accession Number:** 0000742212
**File Stem:** 0001410368-25-029479
**Filing Date:** 2025-11
**Character Count:** 139160
**Document Hash:** 45532621a2d79d2ddb6f78aa70e99c36
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-029479.hdr.sgml**: 20251124

**ACCESSION NUMBER**: 0001410368-25-029479

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251124

**DATE AS OF CHANGE**: 20251124

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NORTHWESTERN MUTUAL SERIES FUND INC
- **CENTRAL INDEX KEY:** 0000742212

**ORGANIZATION NAME:**
- **EIN:** 391603401
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03990
- **FILM NUMBER:** 251511989

**BUSINESS ADDRESS:**
- **STREET 1:** 720 E WISCONSIN AVE
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** 4142992508

**MAIL ADDRESS:**
- **STREET 1:** 720 EAST WISCONSIN AVE
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NORTHWESTERN MUTUAL VARIABLE LIFE SERIES FUND INC
- **DATE OF NAME CHANGE:** 19940830

## Series and Classes Contracts Data

### Inflation Managed Portfolio (Series ID: S000018228)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000050276 | Inflation Managed Portfolio |  |

## Nport-Ex

Inflation Managed Portfolio<sup>~</sup>

SCHEDULE OF INVESTMENTS

**September 30, 2025 (unaudited)** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (11.9%) | Shares/ Par <sup>+</sup> | Value<br>$(000's) |
|  **Communications (0.3%)** |  |  |
|  Sprint Capital Corp.<br>6.875%, 11/15/28 | 985000 | 1060 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1060** |
|  **Consumer, Cyclical (0.4%)** |  |  |
|  Hyatt Hotels Corp.<br>5. 750%, 3/30/32 | 205000 | 214 |
|  Lowe's Companies, Inc.<br>4.250%, 3/15/31 | 1455000 | 1446 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1660** |
|  **Consumer, Non-cyclical (2.0%)** |  |  |
|  AbbVie, Inc.<br>2.950%, 11/21/26 | 800000 | 791 |
|  Amgen, Inc.<br>5.250%, 3/2/33 | 830000 | 860 |
|  CVS Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 2/21/30 | 1050000 | 1076 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 2/21/33 | 630000 | 645 |
|  HCA, Inc.<br>5.250%, 3/1/30 | 1030000 | 1063 |
|  Mars, Inc.<br>5.200%, 3/1/35 144A | 1442000 | 1474 |
|  Roche Holdings, Inc.<br>2.314%, 3/10/27 144A | 1270000 | 1243 |
|  Royalty Pharma PLC<br>4.450%, 3/25/31 | 1450000 | 1438 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **8590** |
|  **Financial (6.2%)** |  |  |
|  American Express Co.<br>4.351%, (US SOFR plus 0.810%), 7/20/29 α | 1050000 | 1056 |
|  American International Group, Inc.<br>5.125%, 3/27/33 | 1470000 | 1512 |
|  Athene Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.860%, 8/27/26 144A | 1045000 | 1052 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.349%, 7/9/27 144A | 791000 | 806 |
|  Atlas Warehouse Lending Co. LP<br>6.250%, 1/15/30 144A | 825000 | 848 |
|  Capital One Financial Corp.<br>2.359%, (US SOFR plus 1.337%}, 7/29/32 α | 985000 | 850 |
|  Capitol One Financial Corp.<br>7.624%, (US SOFR plus 3.070%), 10/30/31 α | 1285000 | 1453 |
|  The Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus<br>3.168%), 6/1/26 µ,α | 1289000 | 1274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 3.256%), 6/1/27 µ,α | 850000 | 846 |
|  Citigroup, Inc.<br>5.827%, (US SOFR plus 2.056%), 2/13/35 α | 420000 | 436 |
|  Fortitude Global Funding<br>4.625%, 10/6/28 144A | 711000 | 711 |
|  GA Global Funding Trust<br>4.400%, 9/23/27 144A | 1070000 | 1072 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (11.9%) | Shares/ Par <sup>+</sup> | Value<br>$(000's) |
|  **Financial continued** |  |  |
|  Highwoods Realty LP<br>3.875%, 3/1/27 | 1080000 | 1069 |
|  HPS Corporate Lending Fund<br>4.900%, 9/11/28 144A | 460000 | 458 |
|  JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.505%, (US SOFR plus 0.860%), 10/22/28 α | 433000 | 437 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.995%, (US SOFR plus 1.125%), 7/22/30 α | 1040000 | 1067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.299%, (US SOFR plus 1.450%), 7/24/29 α | 465000 | 479 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.087%, (US SOFR plus 1.570%), 10/23/29 α | 970000 | 1024 |
|  Ladder Capital Finance LLLP *I* Ladder Capital Finance Corp.<br>4.250%, 2/1/27 144A | 1245000 | 1234 |
|  M&T Bank Corp.<br>5.125%, (US SOFR 3 Month plus<br> 3.782%), 12/29/49 α | 46000 | 46 |
|  Morgan stanley<br>4.994%, (US SOFR plus 1.380%), 4/12/29 α | 540000 | 551 |
|  Nationwide Building Society<br>4.351%, 9/30/30 144A | 1110000 | 1106 |
|  North Haven Private Income Fund LLC<br>5.125%, 9/25/28 144A | 760000 | 756 |
|  Realty Income Corp.<br>3.950%, 2/1/29 | 620000 | 617 |
|  Royal Bank of Canada<br>4.696%, (US SOFR plus 1.060%), 8/6/31 α | 426000 | 432 |
|  Truist Financial Corp.<br>6.123%, (US SOFR plus 2.300%), 10/28/33 α | 1477000 | 1591 |
|  US Bank NA<br>4.507%, (US SOFR plus 0.690%), 10/22/27 α | 1060000 | 1063 |
|  Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.900%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 3.453%), 3/15/26 µ,α | 1275000 | 1263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.970%, (US SOFR plus 1.370%), 4/23/29 α | 815000 | 830 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.605%, (US SOFR plus 1.740%), 4/23/36 α | 120000 | 126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.303%, (US SOFR plus 1.790%), 10/23/29 α | 170000 | 180 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **26245** |
|  **Technology (1.1%)** |  |  |
|  Apple, Inc.<br>4.200%, 5/12/30 | 1039000 | 1050 |
|  Dell International LLC *I* EMC Corp.<br>4.150%, 2/15/29 | 680000 | 678 |
|  Intel Corp.<br>2.450%, 11/15/29 | 830000 | 771 |
|  Oracle Corp.<br>4.450%, 9/26/30 | 1071000 | 1070 |
|  Synopsys, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.650%, 4/1/28 | 620000 | 627 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.850%, 4/1/30 | 620000 | 632 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **4828** |

---

**1** 

------

Inflation Managed Portfolio<sup>~</sup>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| Corporate Bonds (11.9%) | Shares/ Par <sup>+</sup> | Value<br>$(000's) |
|  **Utilities (1.9%)** |  |  |
|  Black Hills Corp.<br>4.550%, 1/31/31 | 1645000 | 1645 |
|  Consumers Energy Co.<br>4.500%, 1/15/31 | 1457000 | 1472 |
|  Evergy Kansas Central, Inc.<br>4.700%, 3/13/28 | 1040000 | 1053 |
|  Jersey Central Power & Light Co.<br>4.400%, 1/15/31 144A | 1159000 | 1155 |
|  Oncor Electric Delivery Co. LLC<br>4.300%, 5/15/28 | 1620000 | 1630 |
|  Wisconsin Electric Power Co.<br>4.150%, 10/15/30 | 874000 | 870 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **7825** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds (Cost: $49,746)** | &nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds (Cost: $49,746)** | **50208** |
| Governments (62.1%) |  |  |
|  **Governments (62.1%)** |  |  |
|  Canadian Government Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 6/1/31 CAD <sup>∞</sup> | 3850000 | 2574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 3/1/30 CAD <sup>∞</sup> | 5950000 | 4277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 9/1/30 CAD <sup>∞</sup> | 4700000 | 3377 |
|  Eagle Funding Luxco SARL<br>5.500%, 8/17/30 144A | 618000 | 627 |
|  New Zealand Government Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 5/15/31 NZD <sup>∞</sup> | 8100000 | 4199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 5/15/32 NZD <sup>∞</sup> | 8100000 | 4207 |
|  United Kingdom Gilt<br>4.375%, 3/7/30 GBP §,<sup>∞</sup> | 9150000 | 12421 |
|  US Treasury Inflation Index Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 1/15/30 <sup>ß</sup> | 19611691 | 18722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%,7/15/30 | 12410212 | 11799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 1/15/31 | 12409200 | 11651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 7/15/31 | 19067055 | 17804 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 1/15/32 <sup>ß</sup> | 10453010 | 9624 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 2/15/51 | 8809325 | 4881 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 2/15/50 | 6872891 | 4061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 7/15/29 | 3788580 | 3675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 7/15/32 | 9227940 | 8733 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 2/15/43 | 8191325 | 6217 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.750%, 2/15/42 | 7698342 | 6101 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.750%, 2/15/45 | 17997885 | 13411 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 2/15/47 | 5954990 | 4394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 1/15/29 | 9658866 | 9585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/46 | 5248782 | 4045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/48 | 3667888 | 2746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/49 | 3657347 | 2697 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 25%' 1/15/33 | 1973699 | 1913 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.250%, 4/15/28 | 8346363 | 8378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 7/15/33 | 25633483 | 25237 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 2/15/44 | 10783469 | 9216 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 2/15/53 | 2825472 | 2260 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 10/15/29 | 769965 | 785 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 1/15/34 | 4098432 | 4118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 7/15/34 | 18067199 | 18329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 7/15/35 | 4688103 | 4726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 1/15/35 | 921231 | 948 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 2/15/41 | 3718702 | 3714 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 10/15/28 | 263663 | 275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 1/15/29 | 2384743 | 2492 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 4/15/28 | 2995845 | 3187 |

---

---

| | | |
|:---|:---|:---|
| Governments (62.1%) | Shares/ Par <sup>+</sup> | Value<br>$(000's) |
|  **Governments continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 4/15/29 | 3929980 | 4296 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **261702** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Governments (Cost: $288,680)** |  | **261702** |
| Municipal Bonds (0.4%) |  |  |
|  **Municipal Bonds (0.4%)** |  |  |
|  Golden State Tobacco Securitization Corp.<br>2.746%, 6/1/34 RB | 740000 | 657 |
|  University of California<br>1.316%, 5/15/27 RB | 1105000 | 1064 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Municipal Bonds (Cost: $1,799)** |  | **1721** |
| Structured Products (20.2%) |  |  |
|  **Asset Backed Securities (2.9%)** |  |  |
|  Aligned Data Centers Issuer LLC, Series<br>2021-1A, Class B<br>2.482%, 8/15/46 144A | 1100000 | 1072 |
|  Blackbird Capital Aircraft, Series 2021-1 A,<br>Class A<br>2.443%, 7/15/46 144A | 647394 | 612 |
|  Cedar Funding, Ltd., Series 2017-8A, Class ARR<br>5.542%, (US SOFR 3 Month plus 1.220%),<br> 1/17/38 144A | 1750000 | 1754 |
|  Dryden Senior Loan Fund, Series 2016-43A,<br>Class B2R2<br>3.093%, 4/20/34 144A | 2000000 | 1858 |
|  Elmwood CLO 39, Ltd., Series 2025-2A, Class A1<br>5.424%, (US SOFR 3 Month plus 1.140%),<br> 4/17/38 144A | 2200000 | 2200 |
|  FirstKey Homes Trust, Series 2020-SFR2, Class D<br>1.968%, 10/19/37 144A | 1000000 | 995 |
|  Goodgreen Trust, Series 2020-1A, Class A<br>2.630%, 4/15/55 144A | 469715 | 391 |
|  Hilton Grand Vacations Trust, Series 2019-AA, Class B<br>2.540%, 7/25/33 144A | 215466 | 214 |
|  Palmer Square CLO, Ltd., Series 2024-4A, Class A2<br>5.818%, (US SOFR 3 Month plus 1.500%), 1/15/38 144A | 625000 | 630 |
|  RCKT Mortgage Trust, Series 2024-CES3, Class A1A<br>6.591%, (AFC), 5/25/44 144A | 339845 | 345 |
|  Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B<br>1.340%, 11/20/37 144A | 380471 | 377 |
|  Subway Funding LLC, Series 2024-1A, Class A2II<br>6.268%, 7/30/54 144A | 549845 | 564 |
|  Switch ABS Issuer LLC, Series 2024-2A, Class A2<br>5.436%, 6/25/54 144A | 625000 | 628 |
|  Towd Point Mortgage Trust, Series 2024- CES3, Class A1<br>6.290%, (AFC), 5/25/64 144A | 475526 | 481 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **12121** |

---

**2** 

------

Inflation Managed Portfolio<sup>~</sup>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| Structured Products (20.2%) | Shares/ Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities (17.3%)** |  |  |
|  Agate Bay Mortgage Trust, Series 2015-7, Class A3<br>3.500%, (AFC), 10/25/45 144A | 329762 | 303 |
|  Angel Oak Mortgage Trust, Series 2019-6, Class A3<br>2.927%, (AFC), 11/25/59 144A | 73276 | 72 |
|  Arroyo Mortgage Trust, Series 2021-1R, Class A2<br>1.483%, (CSTR, AFC), 10/25/48 144A | 194694 | 177 |
|  Arroyo Mortgage Trust, Series 2021-1R, Class A3<br>1.637%, (CSTR, AFC), 10/25/48 144A | 149764 | 136 |
|  BANK5 Trust, Series 2024-5YR6, Class A3<br>6.225%, 5/15/57 | 818000 | 864 |
|  BANK5 Trust, Series 2024-5YR7, Class A3<br>5.769%, 6/15/57 | 1520000 | 1586 |
|  BBCMS Mortgage Trust, Series 2024-5C27, Class A3<br>6.014%, 7/15/57 | 400000 | 421 |
|  Benchmark Mortgage Trust, Series 2024-V8, Class A3<br>6.189%, (AFC), 7/15/57 | 1412000 | 1492 |
|  BFLD Trust, Series 2025-FPM, Class A<br>5.011%, 10/10/30 144A | 1737000 | 1750 |
|  BRAVO Residential Funding Trust, Series 2024-NQM4, Class A1B<br>4.350%, (AFC), 1/25/60 144A ∑ | 1102223 | 1085 |
|  Chase Home Lending Mortgage Trust, Series 2024-10, Class A4<br>6.000%, (AFC), 10/25/55 144A | 976396 | 989 |
|  Chase Home Lending Mortgage Trust, Series 2024-2, Class A4A<br>6.000%, (AFC), 2/25/55 144A | 388661 | 393 |
|  Chase Home Lending Mortgage Trust, Series 2024-7, Class A4<br>6.000%, (AFC), 6/25/55 144A | 1696714 | 1715 |
|  Chase Home Lending Mortgage Trust, Series 2024-9, Class A4<br>5.500%, (AFC), 9/25/55 144A | 1036381 | 1041 |
|  Chase Home Lending Mortgage Trust, Series 2024-9, Class A6<br>5.500%, (AFC), 9/25/55 144A | 400800 | 402 |
|  Chase Home Lending Mortgage Trust, Series 2025-10, Class A4A<br>5.500%, (AFC), 7/25/65 144A | 1500000 | 1511 |
|  Chase Home Lending Mortgage Trust, Series 2025-9, Class A4A<br>5.500%, (AFC), 6/25/56 144A | 2072968 | 2086 |
|  Citigroup Mortgage Loan Trust, Series 2024- CMI1, Class A11<br>5.500%, (AFC), 6/25/54 144A | 1537268 | 1543 |
|  Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10<br>3.500%, (AFC), 12/25/44 144A | 38656 | 36 |
|  Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3<br>1.538%, (AFC), 2/25/66 144A | 239725 | 216 |
|  Cross Mortgage Trust, Series 2025-H5, Class A2<br>6.762%, (AFC), 7/25/70 144A ∑ | 1618368 | 1631 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (20.2%) | Shares/ Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities continued** |  |  |
|  Federal Home Loan Mortgage Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/1/52 | 3703845 | 3520 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/1/52 | 1217751 | 1187 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 6/1/53 | 2437089 | 2422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 10/1/54 | 3309626 | 3346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 11/1/53 | 3515856 | 3614 |
|  GCAT Trust, Series 2024-INV3, Class A6<br>5.500%, (AFC), 9/25/54 144A | 663713 | 669 |
|  Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/20/52 | 4081987 | 3873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 4/20/54 | 4428202 | 4165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 8/20/53 | 5558850 | 5542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 11/20/52 | 1828090 | 1847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 12/20/52 | 1324575 | 1343 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A<br>4.128%, 7/5/31 144A | 2020000 | 1849 |
|  JP Morgan Mortgage Trust, Series 2014-5, Class A1<br>2.597%, (AFC), 10/25/29 144A | 90702 | 89 |
|  JP Morgan Mortgage Trust, Series 2016-1, Class A7<br>3.500%, 5/25/46 144A | 499811 | 456 |
|  JP Morgan Mortgage Trust, Series 2023-7, Class A4A<br>5.500%, (AFC), 2/25/54 144A | 1304051 | 1305 |
|  JP Morgan Mortgage Trust, Series 2024-10, Class A4<br>5.500%, (AFC), 3/25/55 144A | 950850 | 954 |
|  JP Morgan Mortgage Trust, Series 2024-10, Class A6<br>5.500%, (AFC), 3/25/55 144A | 691211 | 693 |
|  JP Morgan Mortgage Trust, Series 2024-11, Class A4<br>6.000%, (AFC), 4/25/55 144A | 1521366 | 1542 |
|  JP Morgan Mortgage Trust, Series 2024-11, Class A6<br>6.000%, (AFC), 4/25/55 144A | 605956 | 611 |
|  JP Morgan Mortgage Trust, Series 2024-5, Class A6<br>6.000%, (AFC), 11/25/54 144A | 646670 | 651 |
|  JP Morgan Mortgage Trust, Series 2024-6, Class A6<br>6.000%, (AFC), 12/25/54 144A | 424048 | 426 |
|  JP Morgan Mortgage Trust, Series 2024-9, Class A6<br>5.500%, (AFC), 2/25/55 144A | 692478 | 693 |
|  JP Morgan Mortgage Trust, Series 2024-INV1, Class A4<br>6.000%, (AFC), 4/25/55 144A | 866637 | 879 |
|  JP Morgan Mortgage Trust, Series 2025-7MPR, Class A1D<br>6.324%, (AFC), 2/25/56 144A ∑ | 148321 | 1149 |
|  Morgan Stanley Residential Mortgage Loan Trust, Series 2025-1, Class A1<br>6.000%, 3/25/55 144A | 830303 | 841 |
|  PMT Loan Trust, Series 2025-J2, Class A9<br>5.500%, (AFC), 8/25/56 144A | 2370223 | 2385 |
|  Provident Funding Mortgage Trust, Series 2024-1, Class A3<br>5.500%, (AFC), 12/25/54 144A | 1502459 | 1510 |

---

**3** 

------

Inflation Managed Portfolio<sup>~</sup>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| Structured Products (20.2%) | Shares/ Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities continued** |  |  |
|  RATE Mortgage Trust, Series 2024-J3, Class A8<br>5.500%, (AFC), 10/25/54 144A | 356597 | 357 |
|  Sequoia Mortgage Trust, Series 2017-7, Class A7<br>3.500%, (AFC), 10/25/47 144A | 884945 | 802 |
|  Sequoia Mortgage Trust, Series 2024-10, Class A11<br>5.500%, (AFC), 11/25/54 144A | 632061 | 633 |
|  Sequoia Mortgage Trust, Series 2024-10, Class A5<br>5.500%, (AFC), 11/25/54 144A | 553056 | 555 |
|  Sequoia Mortgage Trust, Series 2024-6, Class A11<br>6.000%, (AFC), 7/27/54 144A | 340698 | 343 |
|  Sequoia Mortgage Trust, Series 2024-9, Class A5<br>5.500%, (AFC), 10/25/54 144A | 777592 | 781 |
|  Sequoia Mortgage Trust, Series 2025-8, Class A4<br>5.500%, (AFC), 9/25/55 144A | 1236941 | 1245 |
|  Starwood Residential Mortgage Trust, Series 2021-1, Class A1<br>1.219%, (AFC), 5/25/65 144A | 445253 | 418 |
|  Verus Securitization Trust, Series 2021-1, Class A3<br>1.155%, (AFC), 1/25/66 144A | 434669 | 393 |
|  Vista Point Securitization Trust, Series 2020-2, Class A3<br>2.496%, (AFC), 4/25/65 144A | 167041 | 162 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **72699** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Structured Products (Cost: $84,726)** |  | **84820** |
| Short-Term Investments (4.5%) |  |  |
|  **Commercial Paper (3.5%)** |  |  |
|  HQLA Funding LLC<br>0.000%, 10/1/25 144A | 7400000 | 7399 |
|  Mainbeach Funding DAC<br>0.000%, 10/1/25 144A | 7400000 | 7399 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **14798** |
|  **Governments (1.0%)** |  |  |
|  United Kingdom Inflation-Linked Gilt<br>0.125%, 3/22/26 GBP§,<sup>∞</sup> | 3145440 | 4180 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **4180** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments (Cost: $19,012)** |  | **18978** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.1%) (Cost: $443,963)<sup>@</sup>** |  | **417429** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (0.9%)** |  | **3861** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **421290** |

---

**4** 

------

Inflation Managed Portfolio<sup>~</sup>

**Total Return Swaps - Receive Floating Rate** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Floating Rate Index | Fixed<br>Rate | Expiration<br>Date | Notional<br>Amount<br>(000's) | Currency | Upfront<br>Premium Paid/<br>(Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)(000's) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Market Value <br>(000's) | Variation<br>Margin(000's) |
|  CPURNSA | 2.503% | 8/26 | 7000 | USD | $– | $101 | $101 | $(2) |
|  CPURNSA | 2.073% | 8/27 | 3500 | USD |  | 547 | 547 | (1) |
|  CPURNSA | 2.145% | 11/27 | 5000 | USD | (1) | 726 | 725 | (1) |
|  CPURNSA | 2.415% | 2/28 | 2500 | USD |  | 59 | 59 |  |
|  CPURNSA | 2.565% | 4/28 | 1500 | USD |  | 21 | 21 |  |
|  CPURNSA | 2.370% | 2/29 | 13400 | USD |  | 249 | 249 | 2 |
|  CPURNSA | 2.386% | 8/29 | 12000 | USD | 1 | 155 | 156 | 3 |
|  CPURNSA | 1.800% | 10/29 | 3700 | USD |  | 666 | 666 | 1 |
|  CPURNSA | 2.523% | 11/29 | 2200 | USD |  | 20 | 20 |  |
|  CPURNSA | 1.884% | 11/29 | 2000 | USD |  | 344 | 344 | 1 |
|  CPURNSA | 2.464% | 12/29 | 3000 | USD | 1 | 33 | 34 | 1 |
|  CPURNSA | 2.438% | 2/30 | 9500 | USD |  | 216 | 216 | 2 |
|  CPURNSA | 2.563% | 2/30 | 8200 | USD | 1 | 48 | 49 | 1 |
|  CPURNSA | 1.291% | 5/30 | 2000 | USD |  | 464 | 464 |  |
|  CPURNSA | 1.629% | 6/30 | 2000 | USD |  | 424 | 424 |  |
|  CPURNSA | 2.663% | 8/30 | 1200 | USD |  | 4 | 4 |  |
|  CPURNSA | 2.498% | 9/31 | 7000 | USD |  | 605 | 605 | 1 |
|  CPURNSA | 2.420% | 5/32 | 4500 | USD | 1 | 39 | 40 | (1) |
|  CPURNSA | 2.619% | 3/33 | 5500 | USD |  | 39 | 39 |  |
|  CPURNSA | 2.495% | 5/33 | 3500 | USD |  | 46 | 46 |  |
|  CPURNSA | 2.650% | 8/33 | 8500 | USD | 1 | (16) | (15) | 3 |
|  CPURNSA | 2.485% | 2/34 | 3400 | USD | 1 | 35 | 36 | 1 |
|  CPURSNA | 2.663% | 8/30 | 8300 | USD | 1 | 3 | 4 | 1 |
|  CPURSNA | 2.599% | 9/35 | 3800 | USD | 1 | (15) | (14) | 2 |
|  |  |  |  |  | $7 | $4813 | $4820 | $14 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Market Value<br>(000's) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options |
| Total Exchange-Traded or Centrally Cleared Derivatives | $19 | $– | $19 | $(5) | $– | $(5) | $– |

---

**Over the Counter Derivatives** 

**Forward Foreign Currency Contracts** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Type | Counterparty | Currency | Foreign Principal<br>Amount<br>Covered by<br>Contract (000's) | USD Principal<br>Amount<br>Covered by<br>Contract (000's) | Settlement<br>Date | Unrealized<br> Appreciation <br>(000's) | Unrealized<br> (Depreciation) <br>(000's) | Net<br> Unrealized<br>Appreciation/<br> (Depreciation) <br>(000's) |
|  Buy | Bank of America NA | CAD | 718 | 518 | 12/17/25 | $— | $— | $—π |
|  Buy | Goldman Sachs International | CAD | 589 | 425 | 12/17/25 |  | (2) | (2) |
|  Buy | Morgan Stanley Capital Services LLC | CAD | 5075 | 3660 | 12/17/25 | 3 | (3) | —π |
|  Sell | Bank of America NA | CAD | 2568 | 1852 | 12/17/25 | 22 |  | 22 |
|  Sell | Morgan Stanley Capital Services LLC | CAD | 17789 | 12828 | 12/17/25 | 92 |  | 92 |
|  Sell | Goldman Sachs International | GBP | 782 | 1051 | 12/17/25 | 1 |  | 1 |
|  Sell | Morgan Stanley Capital Services LLC | GBP | 11344 | 15258 | 12/17/25 | 119 |  | 119 |
|  Sell | Bank of America NA | NZD | 14233 | 8276 | 12/17/25 | 130 |  | 130 |
|  |  |  |  |  |  | $367 | $(5 | $362 |

---

**5** 

------

Inflation Managed Portfolio<sup>~</sup>

**Total Return Swaps** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Counterparty | Payment made<br> by the Fund | Expiration<br> Date | Notional<br> Amount (000's) | Unrealized<br> Appreciation/<br> (Depreciation) <br> (000's) | Market Value <br> (000's) |
|  CPURNSA | Bank of America NA | 2.240% | 4/27 | 3500 | $448 | $448 |
|  CPURNSA  | Bank of America NA | 2.218% | 4/27 | 2000 | 261 | 261 |
|  CPURNSA | Bank of America NA | 2.235% | 4/27 | 2000 | 258 | 258 |
|  CPURNSA | Bank of America NA | 2.235% | 5/27 | 5000 | 647 | 647 |
|  CPURNSA | Barclays Bank PLC | 2.895% | 12/27 | 1700 | (199) | (199) |
|  CPURNSA | Barclays Bank PLC | 2.784% | 7/44 | 1400 | (76) | (76) |
|  CPURNSA | Goldman Sachs International | 1.870% | 5/26 | 8500 | 1524 | 1524 |
|  CPURNSA | Goldman Sachs International | 1.920% | 5/26 | 7000 | 1208 | 1208 |
|  CPURNSA | Goldman Sachs International | 1.770% | 6/26 | 6000 | 1132 | 1132 |
|  CPURNSA | Goldman Sachs International | 2.245% | 11/26 | 3000 | 398 | 398 |
|  CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 3000 | 385 | 385 |
|  CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 4000 | 513 | 513 |
|  |  |  |  |  | $6499 | $6499 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) |
|  | Forward<br>Foreign<br>Currency<br> Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | Forward<br>Foreign<br>Currency<br> Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total |
| Total Over the Counter Derivatives | $367 | $6774 | $7141 | $(5) | $— | $(275) | $(280) |

---

~ Prior to September 15, 2025, the Portfolio was known as the inflation Protection Portfolio.

+ All par is stated in U.S. Dollar unless otherwise noted.

---

| | |
|:---|:---|
| 144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2025 the value of these securities (in thousands) was $76,938 representing 18.3% of the net assets.  |

---

α Rate shown is the rate as of the period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future.

µ Perpetual maturity, date shown, if applicable, represents next contractual call date.

∞ Foreign Bond — par value is foreign denominated.

---

| | |
|:---|:---|
| § | Security was purchased pursuant to Regulation Sunder the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At September 30, 2025, the aggregate value of these securities was $16,601 (in thousands), representing 3.9% of net assets.  |

---

b Part or all of the security hills been pledged as collateral.

Σ Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

---

| | |
|:---|:---|
| @ | At September 30, 2025, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $443,970 and the net unrealized depreciation of investments based on that cost was $14,860 which is comprised of $15,506 aggregate gross unrealized appreciation and $30,366 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year's federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio's most recent annual report.  |

---

---

| | |
|:---|:---|
| π | Amount is less than one thousand.  |

---

**6** 

------

Inflation Managed Portfolio<sup>~</sup>

The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

Level 2 - fair value is determined by other significant observable inputs

Level 3 - fair value is determined by significant unobservable inputs

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio's perceived risk of that instrument.

The following is a summary of the inputs used in valuing the Portfolio's Investments at September 30, 2025.

---

| | | | |
|:---|:---|:---|:---|
| | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| <br>**Description** | **Level 1 - Quoted<br>Prices** | **Level 2 - Other<br>Significant<br>Observable Inputs** | **Level 3**<br> **- Significant<br>Unobservable<br>Inputs** |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* |  |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | $— | $50208 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Governments |  | 261702 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 1721 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Products |  | 84820 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments |  | 18978 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Financial lnstruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts |  | 367 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Return Swaps |  | 11623 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $— | $429419 | $— |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Financial lnstruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts |  | (5) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Return Swaps |  | (304) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $— | $(309) | $— |

---

^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.

**7** 

------

Abbreviations (unaudited)

**Abbreviations that may be used in the preceding statements** 

---

| | |
|:---|:---|
|  ADR | American Depositary Receipt |
|  AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. |
|  CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. |
|  IO | Interest Only Security |
|  PO | Principal Only Security |
|  RB | Revenue Bond |
|  CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted |
|  IBOR | Interbank Offered Rate |
|  LIBOR | London Interbank Offered Rate |
|  SOFR | Secured Overnight Financing Rate |
|  CME | Chicago Mercantile Exchange |
|  ICE | Intercontinental Exchange |
|  FTSE | Financial Times Stock Exchange |
|  SONIO | Sterling Overnight Interbank Average Rate |
|  MUTKCALM | Bank of Japan Unsecured Overnight Call Rate |
|  DAC | Designated Activity Company |
|  RSC | Restricted Scope Company |
|  KSC | Kuwait Shareholding Company |
|  TBA | To Be Announced |
|  CMT | Constant Maturity Treasury |
|  OIS | Overnight Index Swaps |
|  BBR | Bank Bill Rate |
|  BBSW | Bank Bill Swap Reference Rate |
|  DIFC | Dubai International Financial Centre |
|  EURIBOR | Euro Interbank Offered Rate |
|  PRIBOR | Prague Interbank Offered Rate |
|  SDR | Swedish Depository Receipt |
|  ETF | Exchange Traded Fund |
|  **Currency Abbreviations** | **Currency Abbreviations** |
|  AED | United Arab Emirates Dirham |
|  AUD | Australian Dollar |
|  BRL | Brazilian Real |
|  CAD | Canadian Dollar |
|  CHF | Swiss Franc |
|  CNH | Chinese Yuan Renminbi - Offshore |
|  CNY | Chinese Yuan Renminbi |
|  CZK | Czech Koruna |
|  DKK | Danish Krone |
|  EGP | Egyptian Pound |
|  EUR | Euro |
|  GBP | British Pound |
|  HKD | Hong Kong Dollar |
|  IDR | Indonesian Rupiah |
|  ILS | Israeli Shekel |
|  INR | Indian Rupee |
|  JPY | Japanese Yen |
|  KRW | South Korean Won |
|  MXN | Mexican New Peso |
|  NGN | Nigerian Naira |
|  NOK | Norwegian Krone |
|  NZD | New Zealand Dollar |
|  PEN | Peruvian Sol |
|  PLN | Polish Zloty |
|  RUB | Russian Ruble |
|  SAR | Saudi Riyal |
|  SEK | Swedish Krona |
|  SGD | Singapore Dollar |
|  THB | Thai Baht |
|  TRY | Turkish Lira |
|  TWD | Taiwan Dollar |
|  USD | United States Dollar |
|  ZAR | South African Rand |

---

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** NORTHWESTERN MUTUAL SERIES FUND INC

- **b. Investment Company Act file number:** 811-03990

- **c. CIK number of Registrant:** 0000742212

- **d. LEI of Registrant:** 549300T1UBX7MDSNZA55

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 720 E WISCONSIN AVE

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 53202

  - **Telephone number:** 414-271-1444

**Item A.2. Information about the Series.**

- **a. Name of Series:** Inflation Managed Portfolio

- **b. EDGAR series identifier (if any):** S000018228

- **c. LEI of Series:** 7H3QOR3RFMEVIZ6XNZ82

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $431715334.92

**Total Liabilities:** $10018843.80

**Net Assets:** $421696491.12

**Delayed Delivery Securities:** $3650920.41

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -283.45000000 | **1-Year:** -8182.68000000 | **5-Year:** -19183.23000000 | **10-Year:** -5226.05000000 | **30-Year:** -646.02000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -55.29000000 | **1-Year:** -145.77000000 | **5-Year:** -74.32000000 | **10-Year:** -121.62000000 | **30-Year:** -9.17000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000050276 | 0.19%                | 1.50%                | 0.52%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-333047.18              | $-1175177.10                               |
| Month 2  | $-552167.29              | $4689748.18                                |
| Month 3  | $134136.91               | $1146378.87                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index

- **Index Identifier:** LBUTTRUU

### Schedule of Portfolio Investments

| Name                                           | Title                                                                                                                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CVS HEALTH CORP                                | CVS Health Corp                                                                                                                            | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1076337.98   | 0.26%             | 2030-02-21      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MARS INC                                       | Mars Inc                                                                                                                                   | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1442000 | PA      | $1473920.88   | 0.35%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                        | Long: SWT000127 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000127 IRS USD P F  1.87000 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   8500000 | OU      | $1524493.28   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    263662 | PA      | $274625.89    | 0.07%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                              | Cedar Funding VIII Clo Ltd                                                                                                                 | CUSIP: 15032EAY5<br>LEI: 549300PTCF9P2JDL1E69 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1754311.34   | 0.42%             | 2038-01-17      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                   | Synopsys Inc                                                                                                                               | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    620000 | PA      | $631513.93    | 0.15%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                       | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    985000 | PA      | $850208.82    | 0.20%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust Series 2024-5                                                                                                     | CUSIP: 46658RAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646670 | PA      | $650964.79    | 0.15%             | 2054-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553056 | PA      | $555241.47    | 0.13%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                        | Dryden 43 Senior Loan Fund                                                                                                                 | CUSIP: 26245CBN2<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1857654.16   | 0.44%             | 2034-04-20      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                        | Long: SWT000130 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000130 IRS USD P F  2.24500 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   3000000 | OU      | $397897.53    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6872891 | PA      | $4061346.01   | 0.96%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2023-7                                                                                                            | CUSIP: 46657DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1304051 | PA      | $1304626.82   | 0.31%             | 2054-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                          | US Bank NA/Cincinnati OH                                                                                                                   | CUSIP: 90331HPP2<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1063431.97   | 0.25%             | 2027-10-22      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19067055 | PA      | $17804406.78  | 4.22%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                             | Roche Holdings Inc                                                                                                                         | CUSIP: 771196BV3<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1243545.75   | 0.29%             | 2027-03-10      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                             | Subway Funding LLC                                                                                                                         | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549845 | PA      | $563988.28    | 0.13%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                     | Blackbird Capital II Aircraft Lease Ltd                                                                                                    | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    647394 | PA      | $611574.53    | 0.15%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                        | United Kingdom Inflation-Linked Gilt                                                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   3145440 | PA      | $4179907.55   | 0.99%             | 2026-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                          | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125934.13    | 0.03%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL89H32V3 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL89H32V3 IRS USD P F  2.66250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   8300000 | OU      | $3872.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                          | BANK5 2024-5YR7                                                                                                                            | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520000 | PA      | $1586378.70   | 0.38%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                             | Royalty Pharma PLC                                                                                                                         | CUSIP: 78081BAT0<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1437914.83   | 0.34%             | 2031-03-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL4H5FHF4 IRS USD R V 12MUSCPI SL4H5FHF4_FLO CCPINFLATIONZERO / Short: BL4H5FHF4 IRS USD P F  2.48500 SL4H5FHF4_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3400000 | OU      | $36059.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3788580 | PA      | $3674862.51   | 0.87%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                   | New Zealand Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   8100000 | PA      | $4206553.42   | 1.00%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc              | Citigroup Mortgage Loan Trust 2024-CMI1                                                                                                    | CUSIP: 17332DAL8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1537268 | PA      | $1542585.30   | 0.37%             | 2054-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                     | AbbVie Inc                                                                                                                                 | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    800000 | PA      | $790815.86    | 0.19%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1324575 | PA      | $1343489.70   | 0.32%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                       | HPS Corporate Lending Fund                                                                                                                 | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    460000 | PA      | $457631.77    | 0.11%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4098432 | PA      | $4117514.71   | 0.98%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                             | PURCHASED USD / SOLD NZD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $129534.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                   | Synopsys Inc                                                                                                                               | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    620000 | PA      | $626939.28    | 0.15%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2024-11                                                                                                           | CUSIP: 46659AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1521366 | PA      | $1541904.73   | 0.37%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Home Lending Mortgage Trust 2025-10                                                                                                  | CUSIP: 16160BAE7<br>LEI: 529900PXR6MEGSRAOO62 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1511143.20   | 0.36%             | 2056-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust Series 2024-6                                                                                                     | CUSIP: 46657YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424048 | PA      | $426299.53    | 0.10%             | 2054-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLBA39EF0 IRS USD R V 12MUSCPI SLBA39EF0_FLO CCPINFLATIONZERO / Short: BLBA39EF0 IRS USD P F  2.38600 SLBA39EF0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |  12000000 | OU      | $156021.12    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                                                                             | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    540000 | PA      | $550785.78    | 0.13%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL911F4R6 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL911F4R6 IRS USD P F  2.46350 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3000000 | OU      | $34259.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                        | Canada Government Bonds                                                                                                                    | CUSIP: 135087T38<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   4700000 | PA      | $3377265.93   | 0.80%             | 2030-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC            | PURCHASED USD / SOLD GBP                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $119138.52    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Home Lending Mortgage Trust Series 2025-9                                                                                            | CUSIP: 16160UAE5<br>LEI: 529900II236FJ8MBXS58 | Long             | ABS-MBS          | CORP              | US        |   2072968 | PA      | $2085636.00   | 0.49%             | 2056-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1973699 | PA      | $1912812.64   | 0.45%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                        | Jersey Central Power & Light Co                                                                                                            | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   1159000 | PA      | $1154909.37   | 0.27%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLYH0XDS3 IRS USD R V 12MUSCPI SLYH0XDS3_FLO CCPINFLATIONZERO / Short: BLYH0XDS3 IRS USD P F  2.50250 SLYH0XDS3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   7000000 | OU      | $101050.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                        | Long: SWT000129 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000129 IRS USD P F  1.77000 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   6000000 | OU      | $1131828.30   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC    | BBCMS Mortgage Trust 2024-5C27                                                                                                             | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $420862.24    | 0.10%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                   | New Zealand Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   8100000 | PA      | $4199344.53   | 1.00%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2024-INV1                                                                                                         | CUSIP: 46658PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    866637 | PA      | $878874.81    | 0.21%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Highwoods Realty LP                            | Highwoods Realty LP                                                                                                                        | CUSIP: 431282AP7<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              |  | US        |   1080000 | PA      | $1069103.29   | 0.25%             | 2027-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                          | Arroyo Mortgage Trust 2021-1R                                                                                                              | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194694 | PA      | $176861.20    | 0.04%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                        | GA Global Funding Trust                                                                                                                    | CUSIP: 36143L2N4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1072166.72   | 0.25%             | 2027-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                       | Wisconsin Electric Power Co                                                                                                                | CUSIP: 976656CU0<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |    874000 | PA      | $870308.39    | 0.21%             | 2030-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                        | Long: SWT000128 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000128 IRS USD P F  1.92000 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   7000000 | OU      | $1208098.50   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                             | F&G Global Funding                                                                                                                         | CUSIP: 30321L2K7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    982000 | PA      | $985476.59    | 0.23%             | 2028-09-08      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust 2025-1                                                                                      | CUSIP: 617944AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830303 | PA      | $841156.68    | 0.20%             | 2055-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                     | Intel Corp                                                                                                                                 | CUSIP: 458140BH2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    830000 | PA      | $770755.97    | 0.18%             | 2029-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V8 Mortgage Trust               | Benchmark 2024-V8 Mortgage Trust                                                                                                           | CUSIP: 08190AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1412000 | PA      | $1491637.65   | 0.35%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                             | Long: SWT000133 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000133 IRS USD P F  2.24000 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   3500000 | OU      | $448237.09    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC            | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $65463.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                      | Apple Inc                                                                                                                                  | CUSIP: 037833EZ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1039000 | PA      | $1050203.33   | 0.25%             | 2030-05-12      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2825472 | PA      | $2260323.24   | 0.54%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                        | Canada Government Bonds                                                                                                                    | CUSIP: 135087M27<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   3850000 | PA      | $2574467.92   | 0.61%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust            | STAR 2021-1 Trust                                                                                                                          | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445253 | PA      | $418201.17    | 0.10%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2024-9                                                                                                            | CUSIP: 46593DAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    692478 | PA      | $693019.29    | 0.16%             | 2055-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3703845 | PA      | $3520272.44   | 0.83%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC            | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |         1 | NC      | $-912.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                             | Realty Income Corp                                                                                                                         | CUSIP: 756109CW2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    620000 | PA      | $616926.86    | 0.15%             | 2029-02-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1066773.09   | 0.25%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                        | Nationwide Building Society                                                                                                                | CUSIP: 63861VAP2<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1110000 | PA      | $1105837.18   | 0.26%             | 2030-09-30      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust 2019-6                                                                                                            | CUSIP: 03464VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73276 | PA      | $72176.72     | 0.02%             | 2059-11-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1828090 | PA      | $1846579.05   | 0.44%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                               | Black Hills Corp                                                                                                                           | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1644921.78   | 0.39%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17997885 | PA      | $13410640.44  | 3.18%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DUXJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3309626 | PA      | $3346321.16   | 0.79%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                        | Canada Government Bonds                                                                                                                    | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   5950000 | PA      | $4277227.85   | 1.01%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3718702 | PA      | $3713587.19   | 0.88%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                          | Truist Financial Corp                                                                                                                      | CUSIP: 89788MAK8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1477000 | PA      | $1591338.69   | 0.38%             | 2033-10-28      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                            | Sprint Capital Corp                                                                                                                        | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    985000 | PA      | $1059513.57   | 0.25%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                         | Switch ABS Issuer LLC                                                                                                                      | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $628155.38    | 0.15%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                          | Wells Fargo & Co                                                                                                                           | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1262617.84   | 0.30%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                           | FirstKey Homes 2020-SFR2 Trust                                                                                                             | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $995169.80    | 0.24%             | 2037-10-19      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL3Y3QA14 IRS USD R V 12MUSCPI SL3Y3QA14 _INF CCPINFLATIONZER / Short: BL3Y3QA14 IRS USD P F  2.07250 SL3Y3QA14 _FIX CCPINFLATIONZER | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3500000 | OU      | $546551.49    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                    | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |         1 | NC      | $-1972.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2384743 | PA      | $2491645.51   | 0.59%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8809325 | PA      | $4881111.41   | 1.16%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLYH0V879 IRS USD R V 12MUSCPI SLYH0V879_FLO CCPINFLATIONZERO / Short: BLYH0V879 IRS USD P F  2.56500 SLYH0V879_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   1500000 | OU      | $20645.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                             | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |         1 | NC      | $-436.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL5I23ES6 IRS USD R V 12MUSCPI SL5I23ES6_FLO CCPINFLATIONZERO / Short: BL5I23ES6 IRS USD P F  2.66250 SL5I23ES6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   1200000 | OU      | $4277.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2024-10                                                                                                         | CUSIP: 46658LAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691211 | PA      | $692566.23    | 0.16%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                | CVS Health Corp                                                                                                                            | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    630000 | PA      | $644581.90    | 0.15%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLTQ16424 IRS USD R V 12MUSCPI SLTQ16424_FLO CCPINFLATIONZERO / Short: BLTQ16424 IRS USD P F  2.43750 SLTQ16424_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   9500000 | OU      | $215954.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Home Lending Mortgage Trust Series 2024-7                                                                                            | CUSIP: 16159TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1696714 | PA      | $1714608.87   | 0.41%             | 2055-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1217751 | PA      | $1186647.40   | 0.28%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Home Lending Mortgage Trust Series 2024-2                                                                                            | CUSIP: 161929BH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388661 | PA      | $393027.06    | 0.09%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2995845 | PA      | $3186691.14   | 0.76%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL5I23EV9 IRS USD R V 12MUSCPI SL5I23EV9_FLO CCPINFLATIONZERO / Short: BL5I23EV9 IRS USD P F  2.65000 SL5I23EV9_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   8500000 | OU      | $-14613.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLA11X4L8 IRS USD R V 12MUSCPI CCP LCH FLOATING / Short: BLA11X4L8 IRS USD P F  1.62875 CCP LCH FIXED                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   2000000 | OU      | $424012.54    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp       | GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT                                                                                | CUSIP: 38122NB50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    740000 | PA      | $656436.17    | 0.16%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLO5SP4A6 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLO5SP4A6 IRS USD P F  2.56250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   8200000 | OU      | $48501.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC            | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |         1 | NC      | $-2095.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                           | Atlas Warehouse Lending Co LP                                                                                                              | CUSIP: 049463AE2<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    825000 | PA      | $848270.79    | 0.20%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HQLA FUNDING LLC                               | Hqla Funding LLC                                                                                                                           | CUSIP: 44333AX16<br>LEI: 5493000J8TNLYHDOFL03 | Long             | STIV             | CORP              | US        |   7400000 | PA      | $7399142.34   | 1.75%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2024-11                                                                                                           | CUSIP: 46659AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605956 | PA      | $610966.05    | 0.14%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8191325 | PA      | $6216768.52   | 1.47%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5248782 | PA      | $4044586.23   | 0.96%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLTQ163Z2 IRS USD R V 12MUSCPI SLTQ163Z2_FLO CCPINFLATIONZERO / Short: BLTQ163Z2 IRS USD P F  2.41500 SLTQ163Z2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   2500000 | OU      | $59344.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                           | M&T Bank Corp                                                                                                                              | CUSIP: 55261FAH7<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     46000 | PA      | $45798.76     | 0.01%             | 2026-11-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| University of California                       | UNIV OF CALIFORNIA CA REVENUES                                                                                                             | CUSIP: 91412HGF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1105000 | PA      | $1064431.03   | 0.25%             | 2027-05-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                            | RATE Mortgage Trust 2024-J3                                                                                                                | CUSIP: 75409UAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356597 | PA      | $357268.33    | 0.08%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                          | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    170000 | PA      | $180057.63    | 0.04%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19611691 | PA      | $18721517.72  | 4.44%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC            | PURCHASED CAD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |         1 | NC      | $3306.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                        | Oncor Electric Delivery Co LLC                                                                                                             | CUSIP: 68233JCQ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1630120.50   | 0.39%             | 2028-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust 2015-WIN1                                                                                                                       | CUSIP: 12649KAP2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     38656 | PA      | $36062.43     | 0.01%             | 2044-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7698342 | PA      | $6100661.94   | 1.45%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    433000 | PA      | $436699.59    | 0.10%             | 2028-10-22      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2024-10                                                                                                         | CUSIP: 46658LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950850 | PA      | $954432.73    | 0.23%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Home Lending Mortgage Trust 2024-10                                                                                                  | CUSIP: 16159YAD2<br>LEI: 529900OE9S6KWRJHHJ57 | Long             | ABS-MBS          | CORP              | US        |    976396 | PA      | $988806.43    | 0.23%             | 2055-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                          | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    815000 | PA      | $830518.87    | 0.20%             | 2029-04-23      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2017-7                                                                                                              | CUSIP: 81746GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884945 | PA      | $801960.36    | 0.19%             | 2047-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                     | BFLD Trust 2025-FPM                                                                                                                        | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1737000 | PA      | $1749717.62   | 0.41%             | 2030-10-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18067198 | PA      | $18329385.71  | 4.35%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC              | Sierra Timeshare 2021-1 Receivables Funding LLC                                                                                            | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380471 | PA      | $377331.24    | 0.09%             | 2037-11-20      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL3IBN1P4 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL3IBN1P4 IRS USD P F  2.59900 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3800000 | OU      | $-14427.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5558850 | PA      | $5541945.73   | 1.31%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                          | Athene Global Funding                                                                                                                      | CUSIP: 04685A3X7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    791000 | PA      | $805802.34    | 0.19%             | 2027-07-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 39 Ltd                             | Elmwood CLO 39 Ltd                                                                                                                         | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2199857.07   | 0.52%             | 2038-04-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                      | Amgen Inc                                                                                                                                  | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    830000 | PA      | $859747.88    | 0.20%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                          | Palmer Square CLO 2024-4 Ltd                                                                                                               | CUSIP: 69703WAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $629693.21    | 0.15%             | 2038-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | Long: SWT000116 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000116 IRS USD P F  2.78400 INFLATION                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DO               |  | US        |   1400000 | OU      | $-76417.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                     | U.K. Gilts                                                                                                                                 | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   8350000 | PA      | $11335319.56  | 2.69%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                                                                           | CUSIP: 3133C6BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2437089 | PA      | $2422498.62   | 0.57%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                           | Royal Bank of Canada                                                                                                                       | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    426000 | PA      | $431576.82    | 0.10%             | 2031-08-06      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5954990 | PA      | $4394161.87   | 1.04%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust 2024-CES3                                                                                                        | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475526 | PA      | $481506.62    | 0.11%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                            | Charles Schwab Corp/The                                                                                                                    | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1289000 | PA      | $1274500.04   | 0.30%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                 | PMT Loan Trust 2025-J2                                                                                                                     | CUSIP: 69392TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2370223 | PA      | $2385431.28   | 0.57%             | 2056-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                             | Long: SWT000135 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000135 IRS USD P F  2.23500 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   2000000 | OU      | $257815.90    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                | Goodgreen 2020-1 Trust                                                                                                                     | CUSIP: 38217TAA3<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |    469715 | PA      | $391022.40    | 0.09%             | 2055-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                              | Hyatt Hotels Corp                                                                                                                          | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    205000 | PA      | $213798.58    | 0.05%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    921231 | PA      | $948357.78    | 0.22%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12409200 | PA      | $11651363.58  | 2.76%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                         | American International Group Inc                                                                                                           | CUSIP: 026874DS3<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1512225.78   | 0.36%             | 2033-03-27      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2024-9                                                                                                              | CUSIP: 81749PAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    777592 | PA      | $780707.13    | 0.19%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8346362 | PA      | $8378229.41   | 1.99%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust 2020-2                                                                                                    | CUSIP: 92838TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167041 | PA      | $161543.17    | 0.04%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLNMIMIQ8 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLNMIMIQ8 IRS USD P F  2.42000 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   4500000 | OU      | $40464.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC            | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $26719.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLO5K2OI6 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLO5K2OI6 IRS USD P F  2.52250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   2200000 | OU      | $19498.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                    | Oracle Corp                                                                                                                                | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $1070474.52   | 0.25%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                             | Long: SWT000134 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000134 IRS USD P F  2.21750 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   2000000 | OU      | $261118.90    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10783469 | PA      | $9215966.05   | 2.19%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                   | Hilton Grand Vacations Trust 2019-A                                                                                                        | CUSIP: 43284HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215466 | PA      | $213693.35    | 0.05%             | 2033-07-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25633483 | PA      | $25237142.19  | 5.98%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    970000 | PA      | $1023616.58   | 0.24%             | 2029-10-23      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                             | Long: SWT000136 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000136 IRS USD P F  2.23500 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   5000000 | OU      | $647163.05    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust 2024-CES3                                                                                                              | CUSIP: 74942AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339845 | PA      | $345354.28    | 0.08%             | 2044-05-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                | Aligned Data Centers Issuer LLC                                                                                                            | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1071966.50   | 0.25%             | 2046-08-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    632061 | PA      | $632859.04    | 0.15%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9658866 | PA      | $9584840.55   | 2.27%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                        | Long: SWT000132 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000132 IRS USD P F  2.28000 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   4000000 | OU      | $513384.24    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                           | Cross 2025-H5 Mortgage Trust                                                                                                               | CUSIP: 227920AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1618368 | PA      | $1630676.92   | 0.39%             | 2070-07-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC 2021-NQM2                                                                                                                             | CUSIP: 12662EAC7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    239725 | PA      | $216195.81    | 0.05%             | 2066-02-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3667888 | PA      | $2746506.87   | 0.65%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                  | Agate Bay Mortgage Trust 2015-7                                                                                                            | CUSIP: 00842CAC9<br>LEI: 549300LK2ZDVY7I44B84 | Long             | ABS-MBS          | CORP              | US        |    329762 | PA      | $303358.24    | 0.07%             | 2045-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup Inc                                                                                                                              | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    420000 | PA      | $435603.57    | 0.10%             | 2035-02-13      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                            | American Express Co                                                                                                                        | CUSIP: 025816EJ4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1056194.91   | 0.25%             | 2029-07-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust Series 2025-7MPR                                                                                                  | CUSIP: 46594CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148321 | PA      | $1149050.29   | 0.27%             | 2056-02-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | Long: SWT000019 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000019 IRS USD P F  2.89500 INFLATION                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DO               |  | US        |   1700000 | OU      | $-198577.58   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                          | Athene Global Funding                                                                                                                      | CUSIP: 04685A4A6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1051778.82   | 0.25%             | 2026-08-27      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                          | Evergy Kansas Central Inc                                                                                                                  | CUSIP: 30036FAE1<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1052702.39   | 0.25%             | 2028-03-13      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLP4159L2 IRS USD R V 12MUSCPI SLP4159L2_FLO CCPINFLATIONZERO / Short: BLP4159L2 IRS USD P F  2.61900 SLP4159L2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   5500000 | OU      | $39131.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                        | Dell International LLC / EMC Corp                                                                                                          | CUSIP: 24703DBR1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    680000 | PA      | $678372.73    | 0.16%             | 2029-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL474BO35 IRS USD R V 12MUSCPI SL474BO35_INF CCPINFLATIONZERO / Short: BL474BO35 IRS USD P F  1.80000 SL474BO35_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3700000 | OU      | $665906.57    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3929980 | PA      | $4296151.72   | 1.02%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4428202 | PA      | $4165119.35   | 0.99%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                           | GCAT 2024-INV3 Trust                                                                                                                       | CUSIP: 36830FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663713 | PA      | $668537.59    | 0.16%             | 2054-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2021-1                                                                                                          | CUSIP: 92537QAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434669 | PA      | $392957.28    | 0.09%             | 2066-01-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9227940 | PA      | $8733156.13   | 2.07%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2024-6                                                                                                              | CUSIP: 81743DAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340698 | PA      | $343106.53    | 0.08%             | 2054-07-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                        | HCA Inc                                                                                                                                    | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1063394.19   | 0.25%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                            | Consumers Energy Co                                                                                                                        | CUSIP: 210518DY9<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1471887.15   | 0.35%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3657347 | PA      | $2696587.01   | 0.64%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bank5                                          | BANK5 Trust 2024-5YR6                                                                                                                      | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818000 | PA      | $863964.97    | 0.20%             | 2057-05-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                 | Lowe's Cos Inc                                                                                                                             | CUSIP: 548661EV5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1445583.66   | 0.34%             | 2031-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                       | Eagle Funding Luxco Sarl                                                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    618000 | PA      | $626998.08    | 0.15%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLWS0QPF1 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLWS0QPF1 IRS USD P F  2.49750 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   7000000 | OU      | $604752.47    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                        | Long: SWT000131 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000131 IRS USD P F  2.28000 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   3000000 | OU      | $385236.45    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Home Lending Mortgage Trust 2024-9                                                                                                   | CUSIP: 16160QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036381 | PA      | $1041252.89   | 0.25%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| MAINBEACH FUNDING LLC                          | Mainbeach Funding LLC                                                                                                                      | CUSIP: 56037BX17<br>LEI: 635400CWJW29VERCBI90 | Long             | STIV             | CORP              | IE        |   7400000 | PA      | $7399154.92   | 1.75%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Home Lending Mortgage Trust 2024-9                                                                                                   | CUSIP: 16160QAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400800 | PA      | $401613.83    | 0.10%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                       | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp                                                                         | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              |  | US        |   1245000 | PA      | $1234004.57   | 0.29%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10453010 | PA      | $9624105.95   | 2.28%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                            | Charles Schwab Corp/The                                                                                                                    | CUSIP: 808513CB9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    850000 | PA      | $846017.75    | 0.20%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    769965 | PA      | $785194.60    | 0.19%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    465000 | PA      | $479103.64    | 0.11%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust  | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON                                                                            | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2020000 | PA      | $1848654.31   | 0.44%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                          | Arroyo Mortgage Trust 2021-1R                                                                                                              | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149764 | PA      | $135928.34    | 0.03%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2014-5                                                                                                            | CUSIP: 46643KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90702 | PA      | $89234.37     | 0.02%             | 2029-10-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4081987 | PA      | $3873221.87   | 0.92%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLYP0FI75 IRS USD R V 12MUSCPI SLYP0FI75_INF CCPINFLATIONZERO / Short: BLYP0FI75 IRS USD P F  1.29100 SLYP0FI75_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   2000000 | OU      | $464495.52    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2025-8                                                                                                              | CUSIP: 81749WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1236941 | PA      | $1245338.77   | 0.30%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3682033 | PA      | $3711843.68   | 0.88%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12410212 | PA      | $11798670.14  | 2.80%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| NORTH HAVEN PRIVATE INC                        | North Haven Private Income Fund LLC                                                                                                        | CUSIP: 65960NAC4<br>LEI: 2549002BFPESF1EH2765 | Long             | DBT              | CORP              | US        |    760000 | PA      | $756073.58    | 0.18%             | 2028-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DSBD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3515856 | PA      | $3613707.90   | 0.86%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                             | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $21900.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL1S54L30 IRS USD R V 12MUSCPI SL1S54L30_INF CCPINFLATIONZERO / Short: BL1S54L30 IRS USD P F  1.88400 SL1S54L30_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   2000000 | OU      | $344204.56    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust               | Provident Funding Mortgage Trust 2024-1                                                                                                    | CUSIP: 74389BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1502459 | PA      | $1510116.76   | 0.36%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2016-1                                                                                                            | CUSIP: 46646BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499811 | PA      | $456483.53    | 0.11%             | 2046-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GLOBAL FUNDING                       | Fortitude Global Funding                                                                                                                   | CUSIP: 34967GAA2<br>LEI: 635400TKBOGEHNO5RT68 | Long             | DBT              | CORP              | US        |    711000 | PA      | $711449.04    | 0.17%             | 2028-10-06      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BL4H5FHC1 IRS USD R V 12MUSCPI SL4H5FHC1_FLO CCPINFLATIONZERO / Short: BL4H5FHC1 IRS USD P F  2.37000 SL4H5FHC1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |  13400000 | OU      | $248672.24    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLXA18D20 IRS USD R V 12MUSCPI SLXA18D20_FLO CCPINFLATIONZERO / Short: BLXA18D20 IRS USD P F  2.49500 SLXA18D20_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3500000 | OU      | $46373.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                       | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1453325.44   | 0.34%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                       | Long: BLP71H6D0 IRS USD R V 12MUSCPI SLP71H6D0_INF CCPINFLATIONZERO / Short: BLP71H6D0 IRS USD P F  2.14500 SLP71H6D0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   5000000 | OU      | $724854.55    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                | BRAVO Residential Funding Trust 2024-NQM4                                                                                                  | CUSIP: 10568NAB8<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |   1102223 | PA      | $1084634.97   | 0.26%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-28

**Name of Applicant:** NORTHWESTERN MUTUAL SERIES FUND INC

**Signature:** Linda Wisniewski

**Name of Signer:** Linda Wisniewski

**Title:** Controller and Chief Accounting Officer