# EDGAR Filing Document

**Accession Number:** 0000742212
**File Stem:** 0001752724-25-192573
**Filing Date:** 2025-8
**Character Count:** 97813
**Document Hash:** ff9537b4932118c9c0eeb33147aa7f14
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-192573.hdr.sgml**: 20250819

**ACCESSION NUMBER**: 0001752724-25-192573

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250819

**DATE AS OF CHANGE**: 20250819

**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:** 251231256

**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 Protection Portfolio (Series ID: S000018228)

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

## 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 Protection 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:** 2025-06-30

**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:** $424423889.09

**Total Liabilities:** $9562027.01

**Net Assets:** $414861862.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -215.67000000 | **1-Year:** -6431.88000000 | **5-Year:** -15335.96000000 | **10-Year:** -7737.23000000 | **30-Year:** -1008.71000000

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

- **3-Month:** -44.75000000 | **1-Year:** -206.65000000 | **5-Year:** -87.43000000 | **10-Year:** -133.47000000 | **30-Year:** -10.83000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000050276 | -0.19%               | -0.56%               | 1.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-340318.17              | $-2080007.80                               |
| Month 2  | $-530717.31              | $-2910755.69                               |
| Month 3  | $-43769.88               | $3321041.70                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MARS INC                                      | Mars Inc                                                                                                                                   | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1442000 | PA      | $1459273.92   | 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      | $1487247.47   | 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        |    261810 | PA      | $271569.60    | 0.07%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                  | Synopsys Inc                                                                                                                               | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    620000 | PA      | $628599.34    | 0.15%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KQVF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2034177 | PA      | $1949648.81   | 0.47%             | 2053-04-01      | Fixed         | 4.50%                 | 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        |    712524 | PA      | $714149.20    | 0.17%             | 2054-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Hqla Funding LLC                              | Hqla Funding LLC                                                                                                                           | CUSIP: 44333AU19<br>LEI: 5493000J8TNLYHDOFL03 | Long             | STIV             | CORP              | US        |  10250000 | PA      | $10248749.50  | 2.47%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629990 | PA      | $631373.21    | 0.15%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618N5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3938405 | PA      | $3999097.49   | 0.96%             | 2054-11-20      | Fixed         | 6.00%                 | 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      | $1817357.22   | 0.44%             | 2034-04-20      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                         | Tennessee Valley Authority                                                                                                                 | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    800000 | PA      | $817636.68    | 0.20%             | 2035-05-15      | Fixed         | 4.88%                 | 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      | $383105.82    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                           | American Express Co                                                                                                                        | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    855000 | PA      | $835032.24    | 0.20%             | 2026-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Federal National Mortgage Association                                                                                                      | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   7215000 | PA      | $8163202.73   | 1.97%             | 2030-11-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6886973 | PA      | $3997408.79   | 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        |   1432569 | PA      | $1432227.07   | 0.35%             | 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      | $1061138.36   | 0.26%             | 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        |  15103364 | PA      | $13897914.01  | 3.35%             | 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      | $1236320.39   | 0.30%             | 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        |    551230 | PA      | $564718.10    | 0.14%             | 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        |    664000 | PA      | $622627.60    | 0.15%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Bank5                                         | BANK5 2024-5YR7                                                                                                                            | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520000 | PA      | $1579740.71   | 0.38%             | 2057-06-15      | Fixed         | 5.77%                 | 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      | $9758.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3761970 | PA      | $3612512.35   | 0.87%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                              | Hewlett Packard Enterprise Co                                                                                                              | CUSIP: 42824CBS7<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    627000 | PA      | $627548.35    | 0.15%             | 2027-09-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc             | Citigroup Mortgage Loan Trust 2024-CMI1                                                                                                    | CUSIP: 17332DAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1632783 | PA      | $1635250.60   | 0.39%             | 2054-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122789.65    | 0.03%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                    | AbbVie Inc                                                                                                                                 | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    800000 | PA      | $786741.80    | 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        |   1379928 | PA      | $1393457.22   | 0.34%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                          | Bank of America Corp                                                                                                                       | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    335000 | PA      | $344158.41    | 0.08%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4069650 | PA      | $4034021.07   | 0.97%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                  | Synopsys Inc                                                                                                                               | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    620000 | PA      | $626311.10    | 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        |   1613561 | PA      | $1629014.10   | 0.39%             | 2055-04-25      | Variable      | 6.00%                 | 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        |    523520 | PA      | $525469.31    | 0.13%             | 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      | $72919.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                | Morgan Stanley                                                                                                                             | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    540000 | PA      | $547855.57    | 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      | $12792.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3036661 | PA      | $2901637.00   | 0.70%             | 2033-01-15      | Fixed         | 1.13%                 | 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      | $85865.08     | 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      | $1106887.38   | 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      | $418774.72    | 0.10%             | 2057-07-15      | Fixed         | 6.01%                 | 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        |    925530 | PA      | $935875.72    | 0.23%             | 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      | $1060124.53   | 0.26%             | 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        |    215962 | PA      | $195364.67    | 0.05%             | 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      | $1067890.70   | 0.26%             | 2027-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                            | Long: SWT000125 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000125 IRS USD P F  1.79000 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   1500000 | OU      | $234408.38    | 0.06%             |  |  |  | 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      | $1177927.17   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                              | Duke Energy Corp                                                                                                                           | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    610000 | PA      | $626519.26    | 0.15%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                    | Intel Corp                                                                                                                                 | CUSIP: 458140BH2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    830000 | PA      | $758379.12    | 0.18%             | 2029-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae Pool                                                                                                                            | CUSIP: 3140XJLE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4486814 | PA      | $4174441.43   | 1.01%             | 2052-09-01      | Fixed         | 4.00%                 | 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      | $1489357.27   | 0.36%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                         | Tennessee Valley Authority                                                                                                                 | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1500000 | PA      | $1288433.55   | 0.31%             | 2031-09-15      | Fixed         | 1.50%                 | 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      | $428889.16    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                        | Federal Home Loan Banks                                                                                                                    | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $1089948.32   | 0.26%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                     | Apple Inc                                                                                                                                  | CUSIP: 037833EZ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1039000 | PA      | $1043635.96   | 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        |   2805608 | PA      | $2220897.30   | 0.54%             | 2053-02-15      | 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        |    472838 | PA      | $442390.96    | 0.11%             | 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        |    844231 | PA      | $842887.16    | 0.20%             | 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        |   3806426 | PA      | $3564574.27   | 0.86%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1058992.76   | 0.26%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QM4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7045241 | PA      | $5908578.67   | 1.42%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                       | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    569000 | PA      | $573434.73    | 0.14%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3223799 | PA      | $2855021.31   | 0.69%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust          | Deephaven Residential Mortgage Trust 2020-2                                                                                                | CUSIP: 24380NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147294 | PA      | $146729.70    | 0.04%             | 2065-05-25      | Fixed         | 2.86%                 | 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        |     88868 | PA      | $87262.79     | 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        |   1898630 | PA      | $1919113.36   | 0.46%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                      | Trans-Allegheny Interstate Line Co                                                                                                         | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    236000 | PA      | $240110.95    | 0.06%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17871408 | PA      | $13041852.11  | 3.14%             | 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        |   3513391 | PA      | $3516225.92   | 0.85%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3692584 | PA      | $3613630.49   | 0.87%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                        | Motorola Solutions Inc                                                                                                                     | CUSIP: 620076CA5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    595000 | PA      | $601410.60    | 0.14%             | 2030-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                         | Truist Financial Corp                                                                                                                      | CUSIP: 89788MAK8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1477000 | PA      | $1569744.33   | 0.38%             | 2033-10-28      | Fixed         | 6.12%                 | 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      | $629653.13    | 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      | $1261932.14   | 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      | $986187.90    | 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      | $522825.10    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3458610 | PA      | $3598492.55   | 0.87%             | 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        |   8747413 | PA      | $4760874.96   | 1.15%             | 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      | $12358.08     | 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      | $-5307.30     | -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        |    759532 | PA      | $758608.51    | 0.18%             | 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      | $634209.04    | 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      | $141560.26    | 0.03%             |  |  |  | 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        |   1784235 | PA      | $1801341.35   | 0.43%             | 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        |   1247003 | PA      | $1195053.16   | 0.29%             | 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        |    416598 | PA      | $420608.96    | 0.10%             | 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        |   2974785 | PA      | $3163197.95   | 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      | $-83371.40    | -0.02%            |  |  |  | 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      | $400973.28    | 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      | $639985.45    | 0.15%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Federal Home Loan Mortgage Corp                                                                                                            | CUSIP: 3134A4KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   1845000 | PA      | $2091870.28   | 0.50%             | 2032-07-15      | Fixed         | 6.25%                 | 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      | $-10782.59    | -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      | $833712.82    | 0.20%             | 2030-01-15      | Fixed         | 6.25%                 | 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        |    655555 | PA      | $659563.27    | 0.16%             | 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        |   8203541 | PA      | $6095151.32   | 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        |   5211899 | PA      | $3947694.00   | 0.95%             | 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      | $45897.60     | 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      | $45759.15     | 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      | $1054226.02   | 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        |    401008 | PA      | $400860.28    | 0.10%             | 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      | $179670.92    | 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        |  19473766 | PA      | $18377340.38  | 4.43%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                       | Oncor Electric Delivery Co LLC                                                                                                             | CUSIP: 68233JCQ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1627413.44   | 0.39%             | 2028-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KPTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1815897 | PA      | $1637836.45   | 0.39%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                  | CSMC Trust 2015-WIN1                                                                                                                       | CUSIP: 12649KAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41038 | PA      | $38163.96     | 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        |   7644277 | PA      | $5934327.72   | 1.43%             | 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      | $434294.99    | 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        |   1017653 | PA      | $1019801.53   | 0.25%             | 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        |   1069377 | PA      | $1079973.05   | 0.26%             | 2055-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                            | Long: SWT000124 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000124 IRS USD P F  2.14000 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   2900000 | OU      | $347622.01    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    815000 | PA      | $826404.19    | 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        |    906070 | PA      | $821055.62    | 0.20%             | 2047-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17071408 | PA      | $17084496.65  | 4.12%             | 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        |    437768 | PA      | $430089.80    | 0.10%             | 2037-11-20      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae                                                                                                                                 | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4455000 | PA      | $4141458.39   | 1.00%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Overwatch Alpha Funding LLC                   | Overwatch Alpha Funding LLC                                                                                                                | CUSIP: 69039TU12<br>LEI: 254900B3TINYQPJOZP37 | Long             | STIV             | CORP              | US        |  10250000 | PA      | $10248763.85  | 2.47%             | 2025-07-01      | None          | 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        |   5701041 | PA      | $5612358.59   | 1.35%             | 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      | $803282.40    | 0.19%             | 2027-07-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                     | Amgen Inc                                                                                                                                  | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    830000 | PA      | $849938.83    | 0.20%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3133BPZW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1603772 | PA      | $1536965.87   | 0.37%             | 2052-10-01      | Fixed         | 4.50%                 | 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      | $627307.26    | 0.15%             | 2038-01-15      | Floating      | 5.83%                 | 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      | $-86617.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KKNF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2347987 | PA      | $1973562.02   | 0.48%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3133C6BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2461015 | PA      | $2417497.08   | 0.58%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5913160 | PA      | $4282460.67   | 1.03%             | 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        |    530175 | PA      | $535155.84    | 0.13%             | 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        |    824000 | PA      | $811625.17    | 0.20%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                      | Caterpillar Financial Services Corp                                                                                                        | CUSIP: 14913R2Z9<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1968268.55   | 0.47%             | 2025-08-12      | Fixed         | 3.65%                 | 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      | $246587.14    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                         | Tennessee Valley Authority                                                                                                                 | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    300000 | PA      | $292623.66    | 0.07%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                               | Goodgreen 2020-1 Trust                                                                                                                     | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477850 | PA      | $401433.17    | 0.10%             | 2055-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                      | Long: BL0X0ISZ6 IRS USD R V 12MUSCPI SL0X0ISZ6_FLO CCPINFLATIONZERO / Short: BL0X0ISZ6 IRS USD P F  2.24300 SL0X0ISZ6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | GB        |   6000000 | OU      | $779842.62    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                             | Hyatt Hotels Corp                                                                                                                          | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    410000 | PA      | $420912.85    | 0.10%             | 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        |    914760 | PA      | $929683.44    | 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        |  12999710 | PA      | $12044043.73  | 2.90%             | 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      | $1494483.09   | 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        |    861173 | PA      | $863181.80    | 0.21%             | 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        |   9089815 | PA      | $9072710.24   | 2.19%             | 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        |    180721 | PA      | $173975.50    | 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      | $4081.50      | 0.00%             |  |  |  | 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      | $3960.92      | 0.00%             |  |  |  | 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      | $250004.82    | 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        |  10845323 | PA      | $9103210.08   | 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        |    246595 | PA      | $242567.48    | 0.06%             | 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        |  24977948 | PA      | $24255651.20  | 5.85%             | 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      | $1019525.05   | 0.25%             | 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      | $618890.00    | 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        |    374950 | PA      | $379797.15    | 0.09%             | 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      | $1055846.33   | 0.25%             | 2046-08-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2730819 | PA      | $2679994.01   | 0.65%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    757370 | PA      | $756594.51    | 0.18%             | 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        |  10416706 | PA      | $10254691.53  | 2.47%             | 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      | $493739.04    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3016769 | PA      | $2982144.50   | 0.72%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                  | CSMC 2021-NQM2                                                                                                                             | CUSIP: 12662EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245164 | PA      | $220525.56    | 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        |   3642128 | PA      | $2677288.41   | 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        |    332961 | PA      | $306257.46    | 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      | $428553.06    | 0.10%             | 2035-02-13      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Mainbeach Funding LLC                         | Mainbeach Funding LLC                                                                                                                      | CUSIP: 56037BU10<br>LEI: 635400CWJW29VERCBI90 | Long             | STIV             | CORP              | IE        |  10250000 | PA      | $10248765.90  | 2.47%             | 2025-07-01      | None          | 0.00%                 | 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      | $-208632.89   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                         | Athene Global Funding                                                                                                                      | CUSIP: 04685A4A6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1049450.39   | 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      | $1051740.29   | 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      | $-7347.12     | -0.00%            |  |  |  | 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      | $627701.41    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3902380 | PA      | $4260265.20   | 1.03%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GCAT                                          | GCAT 2024-INV3 Trust                                                                                                                       | CUSIP: 36830FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697750 | PA      | $700315.39    | 0.17%             | 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        |    450602 | PA      | $402308.59    | 0.10%             | 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        |  10432706 | PA      | $9730843.88   | 2.35%             | 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        |    367098 | PA      | $368782.95    | 0.09%             | 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      | $1055950.17   | 0.25%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3631649 | PA      | $2633532.68   | 0.63%             | 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      | $861191.95    | 0.21%             | 2057-05-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Fannie Mae Pool                                                                                                                            | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3394439 | PA      | $3404256.52   | 0.82%             | 2053-01-01      | 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      | $531510.14    | 0.13%             |  |  |  | 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      | $370573.92    | 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        |   1187159 | PA      | $1190766.99   | 0.29%             | 2055-09-25      | Variable      | 5.50%                 | 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        |    488208 | PA      | $488101.81    | 0.12%             | 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      | $1227451.60   | 0.30%             | 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        |  10379546 | PA      | $9407087.50   | 2.27%             | 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      | $847004.52    | 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        |    764558 | PA      | $773940.94    | 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      | $477421.21    | 0.12%             | 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      | $1853349.19   | 0.45%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                       | Greenwood Park CLO Ltd                                                                                                                     | CUSIP: 39729RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    106667 | PA      | $106785.21    | 0.03%             | 2031-04-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                         | Arroyo Mortgage Trust 2021-1R                                                                                                              | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166125 | PA      | $150137.59    | 0.04%             | 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        |    114008 | PA      | $111560.66    | 0.03%             | 2029-10-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4199600 | PA      | $3932462.40   | 0.95%             | 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      | $441489.94    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10571457 | PA      | $9930183.96   | 2.39%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DSBD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3662691 | PA      | $3735460.77   | 0.90%             | 2053-11-01      | Fixed         | 6.00%                 | 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      | $323534.20    | 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        |   1548662 | PA      | $1553131.47   | 0.37%             | 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        |    515802 | PA      | $470927.51    | 0.11%             | 2046-05-25      | Variable      | 3.50%                 | 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      | $160378.03    | 0.04%             |  |  |  | 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      | $17049.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                      | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1451851.67   | 0.35%             | 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      | $688834.65    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association      | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2469137 | PA      | $2011252.39   | 0.48%             | 2050-10-20      | Fixed         | 2.00%                 | 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        |   1137501 | PA      | $1115408.48   | 0.27%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-15

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

**Signature:** Linda Wisniewski

**Name of Signer:** Linda Wisniewski

**Title:** Controller and Chief Accounting Officer