# EDGAR Filing Document

**Accession Number:** 0000742212
**File Stem:** 0001410368-26-053261
**Filing Date:** 2026-5
**Character Count:** 157872
**Document Hash:** 9f3b824aa333b800acf49d71500df0b3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-053261.hdr.sgml**: 20260527

**ACCESSION NUMBER**: 0001410368-26-053261

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260527

**DATE AS OF CHANGE**: 20260527

**PERIOD START**: 20261231

**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:** 261024828

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

Inflation Managed Portfolio

SCHEDULE OF INVESTMENTS

**March 31, 2026 (unaudited)** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (19.8%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Basic Materials (0.4%)** |  |  |
|  Glencore Funding LLC<br>5.200%, 7/1/33 144A | 1545000 | 1547 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1547** |
|  **Communications (0.7%)** |  |  |
|  Alphabet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 2/15/33 | 785000 | 775 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.800%, 2/15/36 | 545000 | 543 |
|  Amazon.com, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.550%, 3/13/33 | 530000 | 525 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 3/13/36 | 435000 | 431 |
|  Meta Platforms, Inc.<br>4.600%, 11/15/32 | 880000 | 871 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **3145** |
|  **Consumer, Cyclical (0.4%)** |  |  |
|  Lowe's Companies, Inc.<br>4.250%, 3/15/31 | 1601000 | 1571 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1571** |
|  **Consumer, Non-cyclical (2.7%)** |  |  |
|  Abbott Laboratories<br>4.000%, 3/15/31 | 1720000 | 1693 |
|  AbbVie, Inc.<br>4.125%, 3/15/31 | 1845000 | 1818 |
|  Amgen, Inc.<br>5.250%, 3/2/33 | 1605000 | 1647 |
|  Augusta SpinCo Corp.<br>4.945%, 3/23/33 | 1550000 | 1545 |
|  CVS Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 2/21/30 | 1075000 | 1090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 2/21/33 | 630000 | 637 |
|  HCA, Inc.<br>5.250%, 3/1/30 | 1755000 | 1791 |
|  Royalty Pharma PLC<br>4.450%, 3/25/31 | 1325000 | 1307 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **11528** |
|  **Energy (0.8%)** |  |  |
|  Cheniere Energy, Inc.<br>5.200%, 7/30/36 144A | 153000 | 152 |
|  EOG Resources, Inc.<br>4.400%, 1/15/31 | 2217000 | 2201 |
|  Targa Resources Corp.<br>4.350%, 1/15/29 | 145000 | 144 |
|  Western Midstream Operating LP<br>4.800%, 3/1/31 | 839000 | 830 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **3327** |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (19.8%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Financial (9.9%)** |  |  |
|  ABN AMRO Bank NV<br>3.324%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 1.900%), 3/13/37 144A α | 1200000 | 1071 |
|  Allianz SE<br>6.350%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 3.232%), 9/6/53 144A α | 600000 | 625 |
|  Atlas Warehouse Lending Co. LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 11/15/30 144A | 400000 | 392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 1/15/30 144A | 825000 | 849 |
|  The Bank of New York Mellon Corp.<br>4.026%, (US SOFR plus 0.634%), 1/22/30 α | 1270000 | 1257 |
|  Capital One Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.359%, (US SOFR plus 1.337%), 7/29/32 α | 985000 | 849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.624%, (US SOFR plus 3.070%), 10/30/31 α | 3110000 | 3435 |
|  The Charles Schwab Corp.<br>4.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 3.168%), 6/1/26 µ, α | 1289000 | 1280 |
|  Citibank NA<br>4.876%, (US SOFR plus 0.712%), 11/19/27 α | 3850000 | 3863 |
|  Citigroup, Inc.<br>5.827%, (US SOFR plus 2.056%), 2/13/35 α | 420000 | 426 |
|  Credit Agricole SA<br>4.656%, (US SOFR plus 1.170%), 1/12/32 144A α | 1057000 | 1043 |
|  Equinix Asia Financing Corp. Pte., Ltd.<br>4.400%, 3/15/31 | 780000 | 764 |
|  Fortitude Global Funding<br>4.625%, 10/6/28 144A | 936000 | 927 |
|  GA Global Funding Trust<br>5.200%, 12/9/31 144A | 1070000 | 1048 |
|  The Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.516%, (US SOFR plus 0.960%), 1/21/32 α | 915000 | 901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.939%, (US SOFR plus 1.330%), 10/21/36 α | 970000 | 939 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.065%, (US SOFR plus 1.190%), 1/21/37 α | 300000 | 293 |
|  Goldman Sachs Private Credit Corp.<br>5.050%, 2/23/28 144A | 645000 | 635 |
|  HPS Corporate Lending Fund<br>4.900%, 9/11/28 144A | 535000 | 521 |
|  Jefferies Financial Group, Inc.<br>5.500%, 2/15/36 | 898000 | 862 |
|  JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.995%, (US SOFR plus 1.125%), 7/22/30 α | 1040000 | 1055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.299%, (US SOFR plus 1.450%), 7/24/29 α | 2340000 | 2384 |
|  Ladder Capital Finance LLLP / Ladder Capital Finance Corp.<br>7.000%, 7/15/31 144A | 1095000 | 1132 |
|  Loews Corp.<br>4.940%, 4/1/36 | 420000 | 411 |
|  MetLife, Inc.<br>6.400%, 12/15/66 | 865000 | 883 |

---

**1** 

------

Inflation Managed Portfolio

---

| | | |
|:---|:---|:---|
| Corporate Bonds (19.8%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Financial continued** |  |  |
|  Morgan Stanley<br>4.892%, (US SOFR plus 1.314%), 10/22/36 α | 250000 | 242 |
|  Morgan Stanley Private Bank NA<br>4.213%, (US SOFR plus 0.762%), 2/8/30 α | 1245000 | 1232 |
|  North Haven Private Income Fund LLC<br>5.125%, 9/25/28 144A | 1105000 | 1076 |
|  Prologis Targeted US Logistics Fund LP<br>4.625%, 3/15/33 144A | 1520000 | 1478 |
|  Royal Bank of Canada<br>4.696%, (US SOFR plus 1.060%), 8/6/31 α | 801000 | 799 |
|  Takeoff Merger Sub, Inc.<br>4.850%, 3/24/31 144A | 610000 | 602 |
|  The Toronto-Dominion Bank<br>4.109%, 10/13/28 | 2390000 | 2377 |
|  Truist Bank<br>4.144%, (US SOFR plus 0.662%), 1/27/29 α | 1045000 | 1039 |
|  Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.182%, (US SOFR plus 0.740%), 1/23/30 α | 1310000 | 1298 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.970%, (US SOFR plus 1.370%), 4/23/29 α | 1940000 | 1957 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.605%, (US SOFR plus 1.740%), 4/23/36 α | 120000 | 123 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.303%, (US SOFR plus 1.790%), 10/23/29 α | 170000 | 177 |
|  Zions Bancorp NA<br>4.483%, (US SOFR plus 1.055%), 2/9/29 α | 1480000 | 1469 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **41714** |
|  **Industrial (0.8%)** |  |  |
|  Eaton Corp.<br>4.200%, 3/6/31 | 1505000 | 1483 |
|  Honeywell Aerospace, Inc.<br>4.950%, 3/16/36 144A | 1078000 | 1070 |
|  Textron, Inc.<br>4.950%, 3/15/36 | 627000 | 610 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **3163** |
|  **Technology (1.3%)** |  |  |
|  Intel Corp.<br>2.450%, 11/15/29 | 1655000 | 1538 |
|  Oracle Corp.<br>4.450%, 9/26/30 | 2701000 | 2603 |
|  Salesforce, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.900%, 9/15/31 | 645000 | 644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.200%, 3/15/33 | 475000 | 474 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **5259** |
|  **Utilities (2.8%)** |  |  |
|  Black Hills Corp.<br>4.550%, 1/31/31 | 2895000 | 2864 |
|  Consumers Energy Co.<br>4.500%, 1/15/31 | 2532000 | 2535 |
|  Duke Energy Florida LLC<br>4.200%, 12/1/30 | 444000 | 439 |
|  Evergy Kansas Central, Inc.<br>4.700%, 3/13/28 | 815000 | 819 |
|  Jersey Central Power & Light Co.<br>4.400%, 1/15/31 144A | 2009000 | 1980 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (19.8%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Utilities continued** |  |  |
|  Oncor Electric Delivery Co. LLC<br>4.300%, 5/15/28 | 1595000 | 1595 |
|  Wisconsin Electric Power Co.<br>4.150%, 10/15/30 | 1524000 | 1503 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total**<br>|  | **11735** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds (Cost: $83,820)** |  | **82989** |
| Governments (53.4%) |  |  |
|  **Governments (53.4%)** |  |  |
|  Australian Government Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 12/21/30 AUD §, ∞ | 3000000 | 1750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 11/21/31 AUD §, ∞ | 1600000 | 902 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 6/21/31 AUD ∞ | 3000000 | 1766 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 11/21/32 AUD §, ∞ | 1800000 | 1028 |
|  Eagle Funding Luxco SARL<br>5.500%, 8/17/30 144A | 618000 | 621 |
|  New Zealand Government Bond<br>4.250%, 5/15/36 NZD ∞ | 7850000 | 4335 |
|  Saudi Government International Bond<br>4.875%, 1/12/36 144A | 1050000 | 1022 |
|  US Treasury Inflation Index Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 2/15/51 | 7931976 | 4216 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 1/15/30 ß | 2679744 | 2565 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 7/15/30 | 570794 | 543 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 1/15/31 | 11680955 | 10981 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 7/15/31 | 21270727 | 19872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 1/15/32 | 9467724 | 8712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 2/15/50 | 6729534 | 3807 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 7/15/32 | 12032583 | 11352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 2/15/43 | 8246652 | 6073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.750%, 2/15/42 | 7750361 | 5968 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.750%, 2/15/45 | 18119507 | 13011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 1/15/29 ß | 2575920 | 2557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 2/15/47 | 5995218 | 4251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/46 | 5284241 | 3917 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/48 | 3692668 | 2651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/49 | 3682048 | 2605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 1/15/33 | 1987021 | 1914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 7/15/33 | 20238309 | 19782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 2/15/44 | 10856290 | 8967 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 2/15/53 | 2516338 | 1928 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 10/15/29 | 775163 | 787 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 4/15/30 | 408652 | 413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 1/15/34 | 4126122 | 4109 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 7/15/34 | 18189347 | 18278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 7/15/35 | 36167802 | 35990 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 1/15/36 | 8437352 | 8336 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 2/15/54 | 445057 | 392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 1/15/35 | 927450 | 943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 2/15/41 | 3743811 | 3622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 4/15/29 | 3956520 | 4267 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **224233** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Governments (Cost: $252,099)** |  | **224233** |

---

**2** 

------

Inflation Managed Portfolio

---

| | | |
|:---|:---|:---|
| Municipal Bonds (0.1%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Municipal Bonds (0.1%)** |  |  |
|  Golden State Tobacco Securitization Corp.<br>2.746%, 6/1/34 RB | 485000 | 429 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Municipal Bonds (Cost: $487)** |  | **429** |
| Structured Products (21.9%) |  |  |
|  **Asset Backed Securities (5.1%)** |  |  |
|  Blackbird Capital Aircraft, Series 2021-1A, Class A<br>2.443%, 7/15/46 144A | 614182 | 582 |
|  Ellington Financial Mortgage Trust, Series 2025-CES1, Class A1B<br>6.877%, (AFC), 1/25/60 144A Σ | 1002279 | 1008 |
|  Flexential Issuer LLC, Series 2026-4A, Class A2<br>6.000%, 3/25/61 144A Æ | 1055675 | 1045 |
|  Instar Leasing V LLC, Series 2026-1A, Class A<br>5.250%, 4/17/56 144A | 1055000 | 1054 |
|  JP Morgan Mortgage Trust, Series 2026- CES1, Class A1A<br>5.924%, (AFC), 6/25/56 144A Σ | 2159080 | 2142 |
|  JP Morgan Mortgage Trust, Series 2026- CES1, Class A2<br>6.247%, (AFC), 6/25/56 144A Σ | 2250000 | 2231 |
|  MetroNet Infrastructure Issuer LLC, Series 2026-1A, Class A2<br>5.273%, 4/20/56 144A | 1231216 | 1232 |
|  RCKT Mortgage Trust, Series 2024-CES6, Class A1B<br>6.546%, (AFC), 9/25/44 144A Σ | 1093575 | 1096 |
|  RNL PH Owner LLC<br>4.910%, 3/20/56 144A | 914751 | 900 |
|  Santander Mortgage Asset Receivables Trust, Series 2025-CES1, Class A1A<br>6.036%, (AFC), 9/25/55 144A Σ | 1155649 | 1150 |
|  Santander Mortgage Asset Receivables Trust, Series 2026-CES1, Class A1A<br>5.876%, (AFC), 1/25/56 144A Σ | 1597484 | 1585 |
|  Santander Mortgage Asset Receivables Trust, Series 2026-CES1, Class A1B<br>5.977%, (AFC), 1/25/56 144A Σ | 2433091 | 2412 |
|  Stack Infrastructure Issuer LLC<br>5.000%, 3/27/56 144A | 1424587 | 1371 |
|  Subway Funding LLC, Series 2024-1A, Class A2II<br>6.268%, 7/30/54 144A | 547075 | 552 |
|  SVC ABS LLC, Series 2026-1A, Class A<br>5.157%, 3/20/56 144A | 937341 | 929 |
|  Switch ABS Issuer LLC, Series 2024-2A, Class A2<br>5.436%, 6/25/54 144A | 625000 | 613 |
|  VB-S1 Issuer LLC, Series 2026-1A, Class C2<br>4.693%, 3/15/56 144A | 1745000 | 1714 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **21616** |
|  **Mortgage Securities (16.8%)** |  |  |
|  Agate Bay Mortgage Trust, Series 2015-7, Class A3<br>3.500%, (AFC), 10/25/45 144A | 294141 | 273 |
|  Angel Oak Mortgage Trust, Series 2019-6, Class A3<br>2.927%, (AFC), 11/25/59 144A | 36725 | 36 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (21.9%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Mortgage Securities continued** |  |  |
|  Arroyo Mortgage Trust, Series 2021-1R, Class A2<br>1.483%, (CSTR, AFC), 10/25/48 144A | 171754 | 157 |
|  Arroyo Mortgage Trust, Series 2021-1R, Class A3<br>1.637%, (CSTR, AFC), 10/25/48 144A | 132119 | 121 |
|  BANK5 Trust, Series 2024-5YR6, Class A3<br>6.225%, 5/15/57 | 818000 | 851 |
|  BANK5, Series 2026-5YR21, Class AS<br>5.844%, (AFC), 4/15/59 | 1656000 | 1707 |
|  BBCMS Mortgage Trust, Series 2024-5C27, Class A3<br>6.014%, 7/15/57 | 400000 | 415 |
|  Benchmark Mortgage Trust, Series 2023-V4, Class B<br>7.460%, 11/15/56 | 1170000 | 1228 |
|  Benchmark Mortgage Trust, Series 2024-V8, Class A3<br>6.189%, (AFC), 7/15/57 | 1412000 | 1468 |
|  BFLD Trust, Series 2025-FPM, Class A<br>4.677%, (CSTR), 10/10/40 144A | 1737000 | 1743 |
|  BMO Mortgage Trust, Series 2023-5C2, Class B<br>7.244%, (CSTR), 11/15/56 | 1744000 | 1820 |
|  BPR Commercial Mortgage Trust, Series 2025-STAR, Class B<br>5.024%, (CSTR), 11/5/42 144A | 1223000 | 1215 |
|  Bravo Residential Funding Trust, Series 2025- NQM9, Class A3<br>6.551%, (AFC), 9/25/65 144A Σ | 1324715 | 1323 |
|  Chase Home Lending Mortgage Trust, Series 2024-10, Class A4<br>6.000%, (AFC), 10/25/55 144A | 548444 | 551 |
|  Chase Home Lending Mortgage Trust, Series 2024-2, Class A4A<br>6.000%, (AFC), 2/25/55 144A | 312995 | 314 |
|  Chase Home Lending Mortgage Trust, Series 2024-7, Class A4<br>6.000%, (AFC), 6/25/55 144A | 988349 | 992 |
|  Chase Home Lending Mortgage Trust, Series 2024-9, Class A4<br>5.500%, (AFC), 9/25/55 144A | 495828 | 496 |
|  Chase Home Lending Mortgage Trust, Series 2024-9, Class A6<br>5.500%, (AFC), 9/25/55 144A | 87436 | 87 |
|  Chase Home Lending Mortgage Trust, Series 2025-10, Class A4A<br>5.500%, (AFC), 7/25/56 144A | 1203088 | 1204 |
|  Chase Home Lending Mortgage Trust, Series 2025-9, Class A4A<br>5.500%, (AFC), 6/25/56 144A | 1613224 | 1614 |
|  Citigroup Mortgage Loan Trust, Series 2024- CMI1, Class A11<br>5.500%, (AFC), 6/25/54 144A | 826863 | 827 |
|  Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10<br>3.500%, (AFC), 12/25/44 144A | 37846 | 35 |
|  Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3<br>1.538%, (AFC), 2/25/66 144A | 220889 | 199 |

---

**3** 

------

Inflation Managed Portfolio

---

| | | |
|:---|:---|:---|
| Structured Products (21.9%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Mortgage Securities continued** |  |  |
|  Cross Mortgage Trust, Series 2025-H5, Class A2<br>6.762%, (AFC), 7/25/70 144A Σ | 1459939 | 1465 |
|  CSTL Commercial Mortgage Trust, Series 2026-GATE3, Class B<br>4.938%, (CSTR), 2/10/43 144A | 1742000 | 1716 |
|  Federal Home Loan Mortgage Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/1/52 | 3512809 | 3345 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/1/52 | 1166488 | 1131 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 6/1/53 | 2296667 | 2277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 10/1/54 | 2971459 | 2998 |
|  GCAT Trust, Series 2024-INV3, Class A6<br>5.500%, (AFC), 9/25/54 144A | 498341 | 499 |
|  GGP Trust, Series 2026-TY, Class B<br>4.893%, (CSTR), 3/5/43 144A | 1397000 | 1371 |
|  Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 4/20/54 | 4337965 | 4075 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 8/20/53 | 5242403 | 5214 |
|  GS Mortgage-Backed Securities Trust, Series 2025-PJ10, Class A5<br>5.000%, (AFC), 4/25/56 144A | 618787 | 614 |
|  HOMES, Series 2025-AFC3, Class A1<br>4.932%, 8/25/60 144A | 942436 | 939 |
|  JP Morgan Mortgage Trust, Series 2014-5, Class A1<br>2.526%, (AFC), 10/25/29 144A | 55050 | 54 |
|  JP Morgan Mortgage Trust, Series 2016-1, Class A7<br>3.500%, 5/25/46 144A | 464639 | 427 |
|  JP Morgan Mortgage Trust, Series 2023-7, Class A4A<br>5.500%, (AFC), 2/25/54 144A | 974262 | 975 |
|  JP Morgan Mortgage Trust, Series 2024-10, Class A4<br>5.500%, (AFC), 3/25/55 144A | 586267 | 587 |
|  JP Morgan Mortgage Trust, Series 2024-10, Class A6<br>5.500%, (AFC), 3/25/55 144A | 318342 | 318 |
|  JP Morgan Mortgage Trust, Series 2024-5, Class A6<br>6.000%, (AFC), 11/25/54 144A | 217122 | 217 |
|  JP Morgan Mortgage Trust, Series 2024-6, Class A6<br>6.000%, (AFC), 12/25/54 144A | 57109 | 57 |
|  JP Morgan Mortgage Trust, Series 2024-9, Class A6<br>5.500%, (AFC), 2/25/55 144A | 127341 | 127 |
|  JP Morgan Mortgage Trust, Series 2024-INV1, Class A4<br>6.000%, (AFC), 4/25/55 144A | 604689 | 607 |
|  JP Morgan Mortgage Trust, Series 2025- 7MPR, Class A1D<br>6.324%, (AFC), 2/25/56 144A Σ | 866019 | 863 |
|  JP Morgan Mortgage Trust, Series 2025- NQM3, Class A1B<br>6.495%, (AFC), 11/25/65 144A Σ | 1759099 | 1762 |
|  JP Morgan Mortgage Trust, Series 2026- ACES1, Class A2<br>5.161%, (AFC), 4/25/66 144A | 1857000 | 1838 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (21.9%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Mortgage Securities continued** |  |  |
|  Morgan Stanley Residential Mortgage Loan Trust, Series 2025-1, Class A1<br>6.000%, 3/25/55 144A | 661176 | 666 |
|  Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM10, Class A1LC<br>6.241%, (AFC), 11/25/70 144A Σ | 2425000 | 2415 |
|  Morgan Stanley Residential Mortgage Loan Trust, Series 2025-SPL1, Class A2<br>5.250%, (AFC), 2/25/65 144A Σ | 650538 | 629 |
|  New Residential Mortgage Loan Trust, Series 2025-NQM7, Class A1<br>6.163%, (AFC), 10/26/65 144A Σ | 1050000 | 1047 |
|  OBX Trust, Series 2025-NQM16, Class A1B<br>5.905%, (AFC), 8/25/65 144A Σ | 2033081 | 2020 |
|  PMT Loan Trust, Series 2025-J2, Class A9<br>5.500%, (AFC), 8/25/56 144A | 1596827 | 1596 |
|  Provident Funding Mortgage Trust, Series 2024-1, Class A3<br>5.500%, (AFC), 12/25/54 144A | 1171510 | 1172 |
|  RATE Mortgage Trust, Series 2024-J3, Class A8<br>5.500%, (AFC), 10/25/54 144A | 130902 | 131 |
|  Santander Mortgage Asset Receivables Trust, Series 2026-NQM1, Class A1<br>4.947%, 11/25/65 144A | 1157103 | 1150 |
|  Santander Mortgage Asset Receivables Trust, Series 2026-NQM2, Class A1<br>4.704%, 1/25/66 144A | 1153413 | 1141 |
|  Santander Mortgage Asset Receivables Trust, Series 2026-NQM2, Class A3<br>5.111%, (AFC), 1/25/66 144A Σ | 2257745 | 2233 |
|  Sequoia Mortgage Trust, Series 2017-7, Class A7<br>3.500%, (AFC), 10/25/47 144A | 854966 | 779 |
|  Sequoia Mortgage Trust, Series 2024-10, Class A11<br>5.500%, (AFC), 11/25/54 144A | 242790 | 242 |
|  Sequoia Mortgage Trust, Series 2024-10, Class A5<br>5.500%, (AFC), 11/25/54 144A | 314061 | 314 |
|  Sequoia Mortgage Trust, Series 2024-6, Class A11<br>6.000%, (AFC), 7/27/54 144A | 132690 | 133 |
|  Sequoia Mortgage Trust, Series 2024-9, Class A5<br>5.500%, (AFC), 10/25/54 144A | 385896 | 386 |
|  Sequoia Mortgage Trust, Series 2025-6, Class A5<br>5.500%, (AFC), 7/25/55 144A | 297702 | 298 |
|  Sequoia Mortgage Trust, Series 2025-8, Class A4<br>5.500%, (AFC), 9/25/55 144A | 1120852 | 1122 |
|  Starwood Mortgage Residential Trust, Series 2021-1, Class A1<br>1.219%, (AFC), 5/25/65 144A | 376751 | 355 |
|  Verus Securitization Trust, Series 2021-1, Class A3<br>1.155%, (AFC), 1/25/66 144A | 394022 | 361 |

---

**4** 

------

Inflation Managed Portfolio

---

| | | |
|:---|:---|:---|
| Structured Products (21.9%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Mortgage Securities continued** |  |  |
|  Vista Point Securitization Trust, Series 2020-2, Class A3<br>2.496%, (AFC), 4/25/65 144A | 103757 | 101 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **70443** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Structured Products (Cost: $92,443)** |  | **92059** |

---

---

| | | |
|:---|:---|:---|
| Short-Term Investments (4.5%) | Shares/ Par <sup>+</sup> | Value<br> $(000's)  |
|  **Commercial Paper (4.5%)** |  |  |
|  HQLA Funding LLC<br>0.000%, 4/1/26 | 9400000 | 9399 |
|  Regatta Funding Co. LLC<br>0.000%, 4/1/26 | 9400000 | 9399 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **18798** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments (Cost: $18,800)** | &nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments (Cost: $18,800)** | **18798** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.7%) (Cost: $447,649)<sup>@</sup>** | &nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.7%) (Cost: $447,649)<sup>@</sup>** | **418508** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (0.3%)** |  | **1293** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **419801** |

---

**Exchange Traded or Centrally Cleared Derivatives** 

**Futures** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Issuer | Long/<br>Short | Currency | Notional Par<br>(000's) | Number<br>of<br>Contracts | Expiration<br>Date | Notional Value<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Variation Margin<br>(000's) |
|  Ten-Year US Treasury Note Future | Short | USD | 2200 | 22 | 6/26 | $2443 | $(7) | $(5) |
|  Two-Year US Treasury Note Future | Long | USD | 7400 | 37 | 6/26 | 7675 | 20 | 3 |
|  US Treasury Long Bond Future | Short | USD | 5700 | 57 | 6/26 | 6491 | 172 | (22) |
|  |  |  |  |  |  |  | $185 | $(24) |

---

**Total Return Swaps - Receive Floating Rate** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Floating Rate Index | Fixed<br>Rate | Expiration<br>Date | Notional<br>Amount<br>(000's) | Currency | Upfront<br>Premium Paid/<br>(Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br> (000's) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Market Value <br>(000's) | Variation<br> Margin(000's) |
|  CPURNSA | 2.073% | 8/27 | 3500 | USD | $– | $552 | $552 | $(1) |
|  CPURNSA | 2.145% | 11/27 | 5000 | USD |  | 730 | 730 | –π |
|  CPURNSA | 2.415% | 2/28 | 2500 | USD |  | 58 | 58 | –π |
|  CPURNSA | 2.565% | 4/28 | 1500 | USD |  | 19 | 19 | –π |
|  CPURNSA | 2.370% | 2/29 | 13400 | USD |  | 222 | 222 | (2) |
|  CPURNSA | 2.386% | 8/29 | 12000 | USD |  | 126 | 126 | (2) |
|  CPURNSA | 1.800% | 10/29 | 3700 | USD |  | 659 | 659 | (1) |
|  CPURNSA | 2.523% | 11/29 | 2200 | USD |  | 13 | 13 | –π |
|  CPURNSA | 1.884% | 11/29 | 2000 | USD |  | 340 | 340 | –π |
|  CPURNSA | 2.464% | 12/29 | 3000 | USD |  | 25 | 25 | (1) |
|  CPURNSA | 2.438% | 2/30 | 9500 | USD |  | 184 | 184 | (3) |
|  CPURNSA | 2.563% | 2/30 | 8200 | USD |  | 21 | 21 | (2) |
|  CPURNSA | 1.291% | 5/30 | 2000 | USD |  | 459 | 459 | (2) |
|  CPURNSA | 1.629% | 6/30 | 2000 | USD |  | 418 | 418 | (1) |
|  CPURNSA | 2.663% | 8/30 | 1200 | USD |  | (1) | (1) | –π |
|  CPURNSA | 2.663% | 8/30 | 8300 | USD | 1 | (30) | (29) | (3) |
|  CPURNSA | 2.498% | 9/31 | 7000 | USD |  | 564 | 564 | (5) |
|  CPURNSA | 2.420% | 5/32 | 4500 | USD | 1 | 12 | 13 | (4) |
|  CPURNSA | 2.619% | 3/33 | 5500 | USD |  | (4) | (4) | (5) |
|  CPURNSA | 2.495% | 5/33 | 3500 | USD |  | 19 | 19 | (4) |
|  CPURNSA | 2.650% | 8/33 | 8500 | USD |  | (83) | (83) | (5) |
|  CPURNSA | 2.485% | 2/34 | 3400 | USD |  | 7 | 7 | (1) |
|  CPURNSA | 2.599% | 9/35 | 3800 | USD | 1 | (54) | (53) | –π |
|  CPURNSA | 2.475% | 2/29 | 6000 | USD | 1 | 31 | 32 | (1) |
|  CPURNSA | 2.533% | 11/30 | 5000 | USD | 1 | (3) | (2) | (2) |
|  CPURNSA | 2.495% | 11/35 | 4000 | USD | 1 | (26) | (25) | 1 |
|  CPURNSA | 2.366% | 2/31 | 5000 | USD | 1 | 36 | 37 | (3) |
|  CPURNSA | 2.397% | 3/33 | 3500 | USD | 1 | 12 | 13 | (3) |
|  CPURNSA | 2.367% | 2/31 | 2000 | USD | 1 | 14 | 15 | (1) |

---

**5** 

------

Inflation Managed Portfolio

**Total Return Swaps - Receive Floating Rate (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Floating Rate Index | Fixed<br>Rate | Expiration<br>Date | Notional<br>Amount<br>(000's) | Currency | Upfront<br>Premium Paid/<br>(Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br> (000's) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Market Value <br>(000's) |  | Variation<br> Margin(000's) |
|  CPURNSA | 2.529% | 3/31 | 1700 | USD | 1 | (1) | – | π | (1) |
|  |  |  |  |  | $10 | $4319 | $4329 |  | $(52) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Market Value<br>(000's) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options |
| Total Exchange-Traded or<br> Centrally Cleared Derivatives | $1 | $3 | $4 | $(53) | $(27) | $(80) | $– |

---

**Over the Counter Derivatives** 

**Forward Foreign Currency Contracts** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Type | Counterparty | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Currency | Foreign Principal<br>Amount<br> Covered by<br>Contract (000s) | USD Principal<br>Amount<br>Covered by<br>Contract (000's) | Settlement<br>Date | Unrealized<br>Appreciation<br>(000's) | Unrealized<br>(Depreciation)<br>(000's) | Net<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) |
|  Sell | Bank of America NA | AUD | 7787 | 5367 | 6/17/26 | $179 | $— | $179 |
|  Buy | Morgan Stanley Bank, NA | GBP | 6175 | 8172 | 6/17/26 |  | (93) | (93) |
|  Sell | Bank of America NA | GBP | 6175 | 8172 | 6/17/26 | 139 |  | 139 |
|  Buy | Morgan Stanley Bank, NA | NZD | 133 | 76 | 6/17/26 |  | (1) | (1) |
|  Sell | Goldman Sachs International | NZD | 7577 | 4366 | 6/17/26 | 159 |  | 159 |
|  |  |  |  |  |  | $477 | $(94) | $383 |

---

**Total Return Swaps** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Counterparty | Payment made<br> by the Fund | Expiration<br> Date | Notional<br> Amount (000's) | Unrealized<br> Appreciation/<br> (Depreciation) <br> (000's) | Market Value <br> (000's) |
|  CPURNSA | Bank of America NA | 2.240% | 4/27 | 3500 | $455 | $455 |
|  CPURNSA | Bank of America NA | 2.218% | 4/27 | 2000 | 265 | 265 |
|  CPURNSA | Bank of America NA | 2.235% | 4/27 | 2000 | 261 | 261 |
|  CPURNSA | Bank of America NA | 2.235% | 5/27 | 5000 | 655 | 655 |
|  CPURNSA | Barclays Bank PLC | 2.895% | 12/27 | 1700 | (203) | (203) |
|  CPURNSA | Barclays Bank PLC | 2.784% | 7/44 | 1400 | (107) | (107) |
|  CPURNSA | Goldman Sachs International | 1.770% | 6/26 | 6000 | 1174 | 1174 |
|  CPURNSA | Goldman Sachs International | 2.245% | 11/26 | 3000 | 411 | 411 |
|  CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 3000 | 398 | 398 |
|  CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 4000 | 530 | 530 |
|  |  |  |  |  | $3839 | $3839 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) |
|  | Forward<br>Foreign<br>Currency<br> Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | Forward<br>Foreign<br>Currency<br> Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total |
| Total Over the Counter<br> Derivatives | $477 | $4149 | $4626 | $(94) |  | $(310) | $(404) |

---

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

---

| | |
|:---|:---|
| 144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2026 the value of these securities (in thousands) was $83,321 representing 19.9% of the net assets.  |

---

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

**6** 

------

Inflation Managed Portfolio

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

∞ Foreign Bond — par value is foreign denominated.

---

| | |
|:---|:---|
| § | Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At March 31, 2026, the aggregate value of these securities was $3,680 (in thousands), representing 0.9% of net assets.  |

---

ß Part or all of the security has been pledged as collateral.

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

Æ Security valued using significant unobservable inputs.

---

| | |
|:---|:---|
| @ | At March 31, 2026, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $447,659 and the net unrealized depreciation of investments based on that cost was $20,415 which is comprised of $10,710 aggregate gross unrealized appreciation and $31,125 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year's federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio's most recent annual report.  |

---

---

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

---

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

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

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

Level 3 - fair value is determined by significant unobservable inputs

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

The following is a summary of the inputs used in valuing the Portfolio's Investments at March 31, 2026.

---

| | | | |
|:---|:---|:---|:---|
| | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| <br>**Description** | **Level 1 - Quoted<br>Prices** | **Level 2 - Other<br>Significant<br>Observable Inputs** | **Level 3**<br> **- Significant<br>Unobservable<br>Inputs** |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* |  |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | $— | $82989 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Governments |  | 224233 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 429 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Products |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Securities |  | 20571 | 1045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage Securities |  | 70443 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments |  | 18798 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | 192 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts |  | 477 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Return Swaps |  | 8675 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $192 | $426615 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1045 |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | (7) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts |  | (94) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Return Swaps |  | (507) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $(7) | $(601) | $— |

---

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

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended March 31, 2026.

**7** 

------

Abbreviations (unaudited)

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

---

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

---

**1**

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 53202

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $427351623.34

**Total Liabilities:** $7560441.60

**Net Assets:** $419791181.74

**Delayed Delivery Securities:** $4307474.96

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -337.75000000 | **1-Year:** -8598.34000000 | **5-Year:** -32473.21000000 | **10-Year:** -12695.81000000 | **30-Year:** -1101.14000000

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

- **3-Month:** -38.69000000 | **1-Year:** -1638.79000000 | **5-Year:** -3270.62000000 | **10-Year:** -1011.35000000 | **30-Year:** -543.61000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000050276 | 0.57%                | 1.14%                | -1.41%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-796967.72              | $3644000.39                                |
| Month 2  | $-248754.99              | $5404356.91                                |
| Month 3  | $-1072587.46             | $-8748638.75                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO BANK NV                                | ABN AMRO Bank NV                                                                                                                           | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1200000 | PA      | $1071078.22   | 0.26%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                             | Abbott Laboratories                                                                                                                        | CUSIP: 002824BS8<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1692751.88   | 0.40%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                      | AbbVie Inc                                                                                                                                 | CUSIP: 00287YEE5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1845000 | PA      | $1818227.13   | 0.43%             | 2031-03-15      | Fixed         | 4.13%                 | 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        |    294140 | PA      | $273501.43    | 0.07%             | 2045-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                      | Allianz SE                                                                                                                                 | CUSIP: 018820AC4<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    600000 | PA      | $624670.80    | 0.15%             | 2053-09-06      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | Alphabet Inc                                                                                                                               | CUSIP: 02079KBL0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    785000 | PA      | $775222.97    | 0.18%             | 2033-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | Alphabet Inc                                                                                                                               | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    545000 | PA      | $542665.45    | 0.13%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                  | Amazon.com Inc                                                                                                                             | CUSIP: 023135DE3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    530000 | PA      | $524898.97    | 0.13%             | 2033-03-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                  | Amazon.com Inc                                                                                                                             | CUSIP: 023135DF0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    435000 | PA      | $431035.51    | 0.10%             | 2036-03-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                       | Amgen Inc                                                                                                                                  | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1647095.84   | 0.39%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                        | Angel Oak Mortgage Trust 2019-6                                                                                                            | CUSIP: 03464VAC8<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     36725 | PA      | $36440.87     | 0.01%             | 2059-11-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                       | Apple Inc                                                                                                                                  | CUSIP: 037833EZ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    239000 | PA      | $240235.79    | 0.06%             | 2030-05-12      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                           | Arroyo Mortgage Trust 2021-1R                                                                                                              | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171754 | PA      | $156807.49    | 0.04%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                           | Arroyo Mortgage Trust 2021-1R                                                                                                              | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132119 | PA      | $120814.04    | 0.03%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                            | Atlas Warehouse Lending Co LP                                                                                                              | CUSIP: 049463AE2<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    825000 | PA      | $848464.77    | 0.20%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                            | Atlas Warehouse Lending Co LP                                                                                                              | CUSIP: 049463AG7<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    400000 | PA      | $392368.16    | 0.09%             | 2030-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AUGUSTA SPINCO CORPORATI                        | Augusta SpinCo Corp                                                                                                                        | CUSIP: 051473AE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1544637.65   | 0.37%             | 2033-03-23      | Fixed         | 4.95%                 | 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      | $414949.28    | 0.10%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                      | BFLD Trust 2025-FPM                                                                                                                        | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1737000 | PA      | $1743031.21   | 0.42%             | 2040-10-10      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                              | BMO 2023-5C2 Mortgage Trust                                                                                                                | CUSIP: 05610QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1744000 | PA      | $1820132.58   | 0.43%             | 2056-11-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                       | BPR Commercial Mortgage Trust 2025-STAR                                                                                                    | CUSIP: 05619DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1223000 | PA      | $1215112.14   | 0.29%             | 2042-11-05      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                          | Bank of New York Mellon Corp/The                                                                                                           | CUSIP: 06406RCG0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1257286.83   | 0.30%             | 2030-01-22      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Bank5                                           | BANK5 Trust 2024-5YR6                                                                                                                      | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818000 | PA      | $850892.68    | 0.20%             | 2057-05-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Bank5                                           | BANK5 2026-5YR21                                                                                                                           | CUSIP: 06644BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1656000 | PA      | $1706659.19   | 0.41%             | 2059-04-15      | Fixed         | 5.84%                 | 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      | $1468279.78   | 0.35%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                        | BMARK 2023-V4                                                                                                                              | CUSIP: 081926AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1228416.46   | 0.29%             | 2056-11-15      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                | Black Hills Corp                                                                                                                           | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2863899.36   | 0.68%             | 2031-01-31      | Fixed         | 4.55%                 | 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        |    614182 | PA      | $582273.26    | 0.14%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                 | Bravo Residential Funding Trust 2025-NQM9                                                                                                  | CUSIP: 10569WAE1<br>LEI: 254900XY2WSFF1Q6S467 | Long             | ABS-MBS          | CORP              | US        |   1324715 | PA      | $1322828.92   | 0.32%             | 2065-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC Trust 2015-WIN1                                                                                                                       | CUSIP: 12649KAP2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     37846 | PA      | $35343.09     | 0.01%             | 2044-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-NQM2                                                                                                                             | CUSIP: 12662EAC7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    220889 | PA      | $199312.83    | 0.05%             | 2066-02-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS Health Corp                                                                                                                            | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1090074.98   | 0.26%             | 2030-02-21      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS Health Corp                                                                                                                            | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    630000 | PA      | $637198.44    | 0.15%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                        | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    985000 | PA      | $849158.32    | 0.20%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                        | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3110000 | PA      | $3434984.80   | 0.82%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust Series 2024-7                                                                                            | CUSIP: 16159TAD3<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    988349 | PA      | $991898.82    | 0.24%             | 2055-06-25      | Variable      | 6.00%                 | 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        |    548444 | PA      | $550570.24    | 0.13%             | 2055-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust 2025-10                                                                                                  | CUSIP: 16160BAE7<br>LEI: 529900PXR6MEGSRAOO62 | Long             | ABS-MBS          | CORP              | US        |   1203088 | PA      | $1204089.71   | 0.29%             | 2056-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust 2024-9                                                                                                   | CUSIP: 16160QAD6<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    495828 | PA      | $496129.53    | 0.12%             | 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: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |     87436 | PA      | $87224.97     | 0.02%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust Series 2025-9                                                                                            | CUSIP: 16160UAE5<br>LEI: 529900II236FJ8MBXS58 | Long             | ABS-MBS          | CORP              | US        |   1613224 | PA      | $1614408.84   | 0.38%             | 2056-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation              | Chase Home Lending Mortgage Trust Series 2024-2                                                                                            | CUSIP: 161929BH6<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    312995 | PA      | $314155.66    | 0.07%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                             | Cheniere Energy Inc                                                                                                                        | CUSIP: 16411RAP4<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    153000 | PA      | $151437.06    | 0.04%             | 2036-07-30      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | Citigroup Inc                                                                                                                              | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    420000 | PA      | $425517.86    | 0.10%             | 2035-02-13      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                     | Citibank NA                                                                                                                                | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   3850000 | PA      | $3862485.51   | 0.92%             | 2027-11-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc               | Citigroup Mortgage Loan Trust 2024-CMI1                                                                                                    | CUSIP: 17332DAL8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    826863 | PA      | $827452.83    | 0.20%             | 2054-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                             | Consumers Energy Co                                                                                                                        | CUSIP: 210518DY9<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |   2532000 | PA      | $2535100.71   | 0.60%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                              | Credit Agricole SA                                                                                                                         | CUSIP: 22535WAT4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1057000 | PA      | $1042466.82   | 0.25%             | 2032-01-12      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                            | Cross 2025-H5 Mortgage Trust                                                                                                               | CUSIP: 227920AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459939 | PA      | $1464655.37   | 0.35%             | 2070-07-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                  | CSTL Commercial Mortgage Trust 2026-GATE3                                                                                                  | CUSIP: 228920AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1742000 | PA      | $1716184.95   | 0.41%             | 2043-02-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                         | Duke Energy Florida LLC                                                                                                                    | CUSIP: 26444HAT8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    444000 | PA      | $439125.38    | 0.10%             | 2030-12-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | EFMT 2025-CES1                                                                                                                             | CUSIP: 26846VAB0<br>LEI: 254900CMJGXNT3R7H775 | Long             | ABS-MBS          | CORP              | US        |   1002279 | PA      | $1007929.48   | 0.24%             | 2060-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                               | EOG Resources Inc                                                                                                                          | CUSIP: 26875PBB6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   2217000 | PA      | $2201206.80   | 0.52%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                        | Eagle Funding Luxco Sarl                                                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    618000 | PA      | $621244.50    | 0.15%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                     | PURCHASED USD / SOLD NZD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $158764.82    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                              | PURCHASED USD / SOLD AUD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $179392.08    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                              | PURCHASED USD / SOLD GBP                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $138823.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC          | PURCHASED GBP / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |         1 | NC      | $-92816.59    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC          | PURCHASED NZD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NZ        |         1 | NC      | $-1138.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EATON CORP                                      | Eaton Corp                                                                                                                                 | CUSIP: 278058DX7<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1483224.98   | 0.35%             | 2031-03-06      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| EQUINIX ASIA FIN CORP                           | Equinix Asia Financing Corp Pte Ltd                                                                                                        | CUSIP: 29447KAA3<br>LEI: 2549002E9B0F5FQ3X427 | Long             | DBT              |  | SG        |    780000 | PA      | $763538.34    | 0.18%             | 2031-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                           | Evergy Kansas Central Inc                                                                                                                  | CUSIP: 30036FAE1<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    815000 | PA      | $818760.03    | 0.20%             | 2028-03-13      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                              | Meta Platforms Inc                                                                                                                         | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    880000 | PA      | $871366.50    | 0.21%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3512809 | PA      | $3345399.60   | 0.80%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DUXJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2971459 | PA      | $2997780.04   | 0.71%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                                                                                           | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166488 | PA      | $1130625.81   | 0.27%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                                                                                           | CUSIP: 3133C6BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2296667 | PA      | $2276917.34   | 0.54%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flexential Issuer, LLC                          | Flexential Issuer LLC                                                                                                                      | CUSIP: 33938MAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055675 | PA      | $1044655.65   | 0.25%             | 2061-03-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| FORTITUDE GLOBAL FUNDING                        | Fortitude Global Funding                                                                                                                   | CUSIP: 34967GAA2<br>LEI: 635400TKBOGEHNO5RT68 | Long             | DBT              | CORP              | US        |    936000 | PA      | $926498.50    | 0.22%             | 2028-10-06      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                         | GA Global Funding Trust                                                                                                                    | CUSIP: 36143L2Q7<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1048157.89   | 0.25%             | 2031-12-09      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5242403 | PA      | $5213648.41   | 1.24%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4337965 | PA      | $4074942.75   | 0.97%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust             | GS Mortgage-Backed Securities Trust 2025-PJ10                                                                                              | CUSIP: 36273MAE5<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    618787 | PA      | $613848.98    | 0.15%             | 2056-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                            | GCAT 2024-INV3 Trust                                                                                                                       | CUSIP: 36830FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498341 | PA      | $498886.23    | 0.12%             | 2054-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GGP Trust                                       | GGP 2026-TY                                                                                                                                | CUSIP: 373914AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1397000 | PA      | $1370740.73   | 0.33%             | 2043-03-05      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                            | Glencore Funding LLC                                                                                                                       | CUSIP: 378272CD8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1546845.01   | 0.37%             | 2033-07-01      | Fixed         | 5.20%                 | 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        |    485000 | PA      | $429199.44    | 0.10%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    970000 | PA      | $939363.35    | 0.22%             | 2036-10-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    915000 | PA      | $901130.38    | 0.21%             | 2032-01-21      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293301.65    | 0.07%             | 2037-01-21      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS PRIVATE CR                        | Goldman Sachs Private Credit Corp                                                                                                          | CUSIP: 38152BAJ0<br>LEI: 549300TD27G6372IYJ65 | Long             | DBT              | CORP              | US        |    645000 | PA      | $635158.36    | 0.15%             | 2028-02-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                         | HCA Inc                                                                                                                                    | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1755000 | PA      | $1790933.26   | 0.43%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                        | HPS Corporate Lending Fund                                                                                                                 | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    535000 | PA      | $521193.47    | 0.12%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited | HOMES 2025-AFC3 Trust                                                                                                                      | CUSIP: 43762AAC9<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |    942436 | PA      | $939149.11    | 0.22%             | 2060-08-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPACE INC                         | Honeywell Aerospace Inc                                                                                                                    | CUSIP: 43849RAG0<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |   1078000 | PA      | $1069594.83   | 0.25%             | 2036-03-16      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Hqla Funding LLC                                | Hqla Funding LLC                                                                                                                           | CUSIP: 44333BD16<br>LEI: 5493000J8TNLYHDOFL03 | Long             | STIV             | CORP              | US        |   9400000 | PA      | $9399025.22   | 2.24%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| InStar Leasing V, LLC                           | Instar Leasing V LLC                                                                                                                       | CUSIP: 45791PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055000 | PA      | $1054205.16   | 0.25%             | 2056-04-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                      | Intel Corp                                                                                                                                 | CUSIP: 458140BH2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1537683.31   | 0.37%             | 2029-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2024-9                                                                                                            | CUSIP: 46593DAK3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    127341 | PA      | $127015.08    | 0.03%             | 2055-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2025-7MPR                                                                                                  | CUSIP: 46594CAE8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    866019 | PA      | $863293.08    | 0.21%             | 2056-02-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2014-5                                                                                                            | CUSIP: 46643KAA9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     55050 | PA      | $54486.37     | 0.01%             | 2029-10-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2016-1                                                                                                            | CUSIP: 46646BAG3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    464639 | PA      | $427142.18    | 0.10%             | 2046-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2383671.47   | 0.57%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1054764.77   | 0.25%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2023-7                                                                                                            | CUSIP: 46657DAE0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    974262 | PA      | $975223.60    | 0.23%             | 2054-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2024-6                                                                                                     | CUSIP: 46657YAF1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     57109 | PA      | $56955.15     | 0.01%             | 2054-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2024-10                                                                                                         | CUSIP: 46658LAD3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    586267 | PA      | $586839.66    | 0.14%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2024-10                                                                                                         | CUSIP: 46658LAK7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    318342 | PA      | $318149.59    | 0.08%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2024-INV1                                                                                                         | CUSIP: 46658PAD4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    604688 | PA      | $606847.84    | 0.14%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2024-5                                                                                                     | CUSIP: 46658RAF5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    217122 | PA      | $216899.82    | 0.05%             | 2054-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2025-NQM3                                                                                                  | CUSIP: 46659QAB5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1759099 | PA      | $1761858.01   | 0.42%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2026-CES1                                                                                                         | CUSIP: 46660BAA7<br>LEI: 529900ELA1S09AZO9Q54 | Long             | ABS-MBS          | CORP              | US        |   2159080 | PA      | $2141801.68   | 0.51%             | 2056-06-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2026-CES1                                                                                                         | CUSIP: 46660BAD1<br>LEI: 529900ELA1S09AZO9Q54 | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2230956.68   | 0.53%             | 2056-06-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2026-ACES1                                                                                                 | CUSIP: 46664MAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1857000 | PA      | $1838310.78   | 0.44%             | 2066-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                         | Jefferies Financial Group Inc                                                                                                              | CUSIP: 47233WLL1<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    898000 | PA      | $861895.10    | 0.21%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                         | Jersey Central Power & Light Co                                                                                                            | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   2009000 | PA      | $1979646.90   | 0.47%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                        | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp                                                                         | CUSIP: 505742AR7<br>LEI: N/A                  | Long             | DBT              |  | US        |   1095000 | PA      | $1131929.97   | 0.27%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LOEWS CORP                                      | Loews Corp                                                                                                                                 | CUSIP: 540424AU2<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |    420000 | PA      | $411015.07    | 0.10%             | 2036-04-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                  | Lowe's Cos Inc                                                                                                                             | CUSIP: 548661EV5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1601000 | PA      | $1571279.71   | 0.37%             | 2031-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                     | MetLife Inc                                                                                                                                | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    865000 | PA      | $883197.87    | 0.21%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC              | MetroNet Infrastructure Issuer LLC                                                                                                         | CUSIP: 59170JBK3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   1231216 | PA      | $1231755.03   | 0.29%             | 2056-04-20      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | Morgan Stanley                                                                                                                             | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    250000 | PA      | $241676.23    | 0.06%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                         | Morgan Stanley Private Bank NA                                                                                                             | CUSIP: 61776NU43<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1232393.32   | 0.29%             | 2030-02-08      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust  | Morgan Stanley Residential Mortgage Loan Trust 2025-1                                                                                      | CUSIP: 617944AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661176 | PA      | $665721.84    | 0.16%             | 2055-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust  | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1                                                                                   | CUSIP: 617946AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650538 | PA      | $629232.31    | 0.15%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust  | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10                                                                                  | CUSIP: 617955AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2425000 | PA      | $2414675.81   | 0.58%             | 2070-11-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust             | New Residential Mortgage Loan Trust 2025-NQM7                                                                                              | CUSIP: 64831YAB2<br>LEI: 2138008C4H1F2CU67V53 | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1046636.64   | 0.25%             | 2065-10-26      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| NORTH HAVEN PRIVATE INC                         | North Haven Private Income Fund LLC                                                                                                        | CUSIP: 65960NAC4<br>LEI: 2549002BFPESF1EH2765 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1076102.85   | 0.26%             | 2028-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                        | OBX 2025-NQM16 Trust                                                                                                                       | CUSIP: 67122DAB9<br>LEI: 254900WI6P4MRT24JH23 | Long             | ABS-MBS          | CORP              | US        |   2033081 | PA      | $2019526.96   | 0.48%             | 2065-08-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                         | Oncor Electric Delivery Co LLC                                                                                                             | CUSIP: 68233JCQ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1594592.73   | 0.38%             | 2028-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | Oracle Corp                                                                                                                                | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2701000 | PA      | $2602903.41   | 0.62%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                  | PMT Loan Trust 2025-J2                                                                                                                     | CUSIP: 69392TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1596827 | PA      | $1596127.11   | 0.38%             | 2056-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US                            | Prologis Targeted US Logistics Fund LP                                                                                                     | CUSIP: 74350LAF1<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              |  | US        |   1520000 | PA      | $1478155.45   | 0.35%             | 2033-03-15      | Fixed         | 4.63%                 | 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        |   1171510 | PA      | $1172212.44   | 0.28%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                     | RCKT Mortgage Trust 2024-CES6                                                                                                              | CUSIP: 749410AB2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |   1093575 | PA      | $1095684.86   | 0.26%             | 2044-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| RNL PH OWNER LLC                                | RNL PH Owner LLC                                                                                                                           | CUSIP: 74983YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    914751 | PA      | $900388.22    | 0.21%             | 2056-03-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                             | RATE Mortgage Trust 2024-J3                                                                                                                | CUSIP: 75409UAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130902 | PA      | $130785.59    | 0.03%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Regatta Funding Co LLC                          | Regatta Funding Co LLC                                                                                                                     | CUSIP: 75888XD11<br>LEI: 549300WUYTMY4HKCQ621 | Long             | STIV             | CORP              | US        |   9400000 | PA      | $9399028.98   | 2.24%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                            | Royal Bank of Canada                                                                                                                       | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    801000 | PA      | $799217.94    | 0.19%             | 2031-08-06      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                              | Royalty Pharma PLC                                                                                                                         | CUSIP: 78081BAT0<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1325000 | PA      | $1307457.54   | 0.31%             | 2031-03-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SVC ABS LLC                                     | SVC ABS LLC                                                                                                                                | CUSIP: 78488JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    937341 | PA      | $929149.39    | 0.22%             | 2056-03-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                  | Salesforce Inc                                                                                                                             | CUSIP: 79466LAS3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    645000 | PA      | $644086.49    | 0.15%             | 2031-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                  | Salesforce Inc                                                                                                                             | CUSIP: 79466LAT1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    475000 | PA      | $474188.82    | 0.11%             | 2033-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2025-Ces1                                                                                        | CUSIP: 802650AB7<br>LEI: 254900WEZWXJLYHMU869 | Long             | ABS-MBS          | CORP              | US        |   1155649 | PA      | $1150382.23   | 0.27%             | 2055-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-NQM1                                                                                        | CUSIP: 802931AC9<br>LEI: 254900O64LWPVM9P8N80 | Long             | ABS-MBS          | CORP              | US        |   1157103 | PA      | $1149585.29   | 0.27%             | 2065-11-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-CES1                                                                                        | CUSIP: 802932AA1<br>LEI: 25490018SHMEBF8BBD83 | Long             | ABS-MBS          | CORP              | US        |   1597484 | PA      | $1585291.97   | 0.38%             | 2056-01-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-CES1                                                                                        | CUSIP: 802932AB9<br>LEI: 25490018SHMEBF8BBD83 | Long             | ABS-MBS          | CORP              | US        |   2433091 | PA      | $2411751.30   | 0.57%             | 2056-01-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-NQM2                                                                                        | CUSIP: 802933AC5<br>LEI: 254900X3WQ94L5BYAR60 | Long             | ABS-MBS          | CORP              | US        |   1153413 | PA      | $1140755.24   | 0.27%             | 2066-01-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust       | Santander Mortgage Asset Receivable Trust 2026-NQM2                                                                                        | CUSIP: 802933AG6<br>LEI: 254900X3WQ94L5BYAR60 | Long             | ABS-MBS          | CORP              | US        |   2257745 | PA      | $2233276.12   | 0.53%             | 2066-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                        | Saudi Government International Bond                                                                                                        | CUSIP: 80413TBR9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   1050000 | PA      | $1022426.92   | 0.24%             | 2036-01-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                             | Charles Schwab Corp/The                                                                                                                    | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1289000 | PA      | $1280230.93   | 0.30%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2024-6                                                                                                              | CUSIP: 81743DAL7<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    132690 | PA      | $132673.83    | 0.03%             | 2054-07-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2017-7                                                                                                              | CUSIP: 81746GAG8<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    854966 | PA      | $778528.53    | 0.19%             | 2047-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2024-9                                                                                                              | CUSIP: 81749PAE0<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    385896 | PA      | $386101.77    | 0.09%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAE8<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    314061 | PA      | $314345.50    | 0.07%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2024-10                                                                                                             | CUSIP: 81749QAL2<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    242790 | PA      | $242496.00    | 0.06%             | 2054-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2025-8                                                                                                              | CUSIP: 81749WAD7<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |   1120852 | PA      | $1121607.45   | 0.27%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2025-6                                                                                                              | CUSIP: 81749YAE1<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    297702 | PA      | $297864.81    | 0.07%             | 2055-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                 | Stack Infrastructure Issuer LLC                                                                                                            | CUSIP: 85236KAR3<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |   1424587 | PA      | $1370741.60   | 0.33%             | 2056-03-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust             | STAR 2021-1 Trust                                                                                                                          | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376751 | PA      | $354841.12    | 0.08%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                              | Subway Funding LLC                                                                                                                         | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547075 | PA      | $551827.66    | 0.13%             | 2054-07-30      | Fixed         | 6.27%                 | 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      | $612649.25    | 0.15%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| TAKEOFF MERGER SUB INC                          | Takeoff Merger Sub Inc                                                                                                                     | CUSIP: 873923AE6<br>LEI: 984500DF5ACB4A114F45 | Long             | DBT              | CORP              | US        |    610000 | PA      | $602371.77    | 0.14%             | 2031-03-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                            | Targa Resources Corp                                                                                                                       | CUSIP: 87612GAR2<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    145000 | PA      | $144392.67    | 0.03%             | 2029-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                     | Textron Inc                                                                                                                                | CUSIP: 883203CF6<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    627000 | PA      | $609594.36    | 0.15%             | 2036-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                           | Toronto-Dominion Bank/The                                                                                                                  | CUSIP: 89115KAE0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2390000 | PA      | $2377145.72   | 0.57%             | 2028-10-13      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                     | Truist Bank                                                                                                                                | CUSIP: 89788JAJ8<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1039394.07   | 0.25%             | 2029-01-27      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3956520 | PA      | $4267396.16   | 1.02%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3743811 | PA      | $3622068.64   | 0.86%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7750361 | PA      | $5968397.73   | 1.42%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8246652 | PA      | $6072629.31   | 1.45%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10856290 | PA      | $8966726.94   | 2.14%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18119507 | PA      | $13010746.21  | 3.10%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5284240 | PA      | $3917395.28   | 0.93%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5995218 | PA      | $4250517.84   | 1.01%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3692668 | PA      | $2651325.91   | 0.63%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3682048 | PA      | $2605324.28   | 0.62%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6729534 | PA      | $3806845.84   | 0.91%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7931976 | PA      | $4215800.88   | 1.00%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2516338 | PA      | $1928143.31   | 0.46%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Bonds                                                                                                      | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    445057 | PA      | $392236.20    | 0.09%             | 2054-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2575920 | PA      | $2556835.52   | 0.61%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2679744 | PA      | $2564504.04   | 0.61%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    570794 | PA      | $543282.83    | 0.13%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11680955 | PA      | $10981205.99  | 2.62%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21270727 | PA      | $19871953.93  | 4.73%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9467724 | PA      | $8712452.98   | 2.08%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12032582 | PA      | $11352009.53  | 2.70%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1987021 | PA      | $1913668.96   | 0.46%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20238309 | PA      | $19782020.13  | 4.71%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4126122 | PA      | $4108486.13   | 0.98%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18189346 | PA      | $18277864.05  | 4.35%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    775162 | PA      | $787333.76    | 0.19%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    927450 | PA      | $943085.94    | 0.22%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    408652 | PA      | $412716.11    | 0.10%             | 2030-04-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36167802 | PA      | $35990027.33  | 8.57%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Inflation-Indexed Notes                                                                                                      | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7586519 | PA      | $7494918.64   | 1.79%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                | VB-S1 Issuer LLC                                                                                                                           | CUSIP: 91825HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1745000 | PA      | $1714540.85   | 0.41%             | 2056-03-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                      | Verus Securitization Trust 2021-1                                                                                                          | CUSIP: 92537QAF8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    394022 | PA      | $360701.56    | 0.09%             | 2066-01-25      | Variable      | 1.16%                 | 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        |    103757 | PA      | $101287.44    | 0.02%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    170000 | PA      | $177053.85    | 0.04%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1940000 | PA      | $1956821.35   | 0.47%             | 2029-04-23      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122799.31    | 0.03%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U4D2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1298393.16   | 0.31%             | 2030-01-23      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                        | Western Midstream Operating LP                                                                                                             | CUSIP: 958667AH0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    839000 | PA      | $829946.80    | 0.20%             | 2031-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                        | Wisconsin Electric Power Co                                                                                                                | CUSIP: 976656CU0<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |   1524000 | PA      | $1503560.42   | 0.36%             | 2030-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ZIONS BANCORP NA                                | Zions Bancorp NA                                                                                                                           | CUSIP: 98971DAE0<br>LEI: 8WH0EE09O9V05QJZ3V89 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1468948.74   | 0.35%             | 2029-02-09      | Fixed         | 4.48%                 | 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      | $551927.39    | 0.13%             |  |  |  | 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      | $-202465.36   | -0.05%            |  |  |  | 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      | $-107354.09   | -0.03%            |  |  |  | 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      | $1174355.40   | 0.28%             |  |  |  | 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      | $411354.54    | 0.10%             |  |  |  | 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      | $398483.19    | 0.09%             |  |  |  | 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      | $530382.92    | 0.13%             |  |  |  | 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      | $454870.29    | 0.11%             |  |  |  | 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      | $264955.52    | 0.06%             |  |  |  | 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      | $261245.80    | 0.06%             |  |  |  | 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      | $655435.15    | 0.16%             |  |  |  | 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      | $729403.60    | 0.17%             |  |  |  | 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      | $658564.85    | 0.16%             |  |  |  | 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      | $339727.00    | 0.08%             |  |  |  | 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      | $459018.18    | 0.11%             |  |  |  | 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      | $417634.74    | 0.10%             |  |  |  | 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      | $564109.84    | 0.13%             |  |  |  | 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      | $58162.60     | 0.01%             |  |  |  | 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      | $183688.10    | 0.04%             |  |  |  | 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      | $-3971.28     | -0.00%            |  |  |  | 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      | $19386.00     | 0.00%             |  |  |  | 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      | $18768.12     | 0.00%             |  |  |  | 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      | $-82820.43    | -0.02%            |  |  |  | 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      | $-661.55      | -0.00%            |  |  |  | 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      | $221742.53    | 0.05%             |  |  |  | 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      | $6994.79      | 0.00%             |  |  |  | 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      | $126061.08    | 0.03%             |  |  |  | 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      | $13185.13     | 0.00%             |  |  |  | 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      | $25246.02     | 0.01%             |  |  |  | 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      | $21169.28     | 0.01%             |  |  |  | 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      | $13041.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL89H32V3 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL89H32V3 IRS USD P F  2.66250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   8300000 | OU      | $-28717.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BL3IBN1P4 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL3IBN1P4 IRS USD P F  2.59900 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3800000 | OU      | $-53451.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLA4E1BY2 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLA4E1BY2 IRS USD P F  2.53250 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   5000000 | OU      | $-1834.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLA4E1C39 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLA4E1C39 IRS USD P F  2.49500 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   4000000 | OU      | $-25359.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLG9LWOR0 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLG9LWOR0 IRS USD P F  2.47500 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   6000000 | OU      | $31696.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLGMO6UI8 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLGMO6UI8 IRS USD P F  2.36725 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   2000000 | OU      | $14588.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLHANJTM9 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLHANJTM9 IRS USD P F  2.36625 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   5000000 | OU      | $36700.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLFTI0170 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLFTI0170 IRS USD P F  2.39700 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3500000 | OU      | $13161.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                        | Long: BLG9NQUS2 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLG9NQUS2 IRS USD P F  2.52850 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   1700000 | OU      | $-270.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                      | Australia Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   3000000 | PA      | $1749893.06   | 0.42%             | 2030-12-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                      | Australia Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   1800000 | PA      | $1028425.95   | 0.24%             | 2032-11-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                    | New Zealand Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   7850000 | PA      | $4334486.18   | 1.03%             | 2036-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US LONG BOND(CBT) JUN26                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -57 | NC      | $172230.61    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                          | US 10YR NOTE (CBT)JUN26                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -22 | NC      | $-7261.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                          | US 2YR NOTE (CBT) JUN26                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        37 | NC      | $19584.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Australia Government Bonds                      | Australia Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   3000000 | PA      | $1765706.72   | 0.42%             | 2031-06-21      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                      | Australia Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   1600000 | PA      | $901958.08    | 0.21%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-27

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

**Signature:** Linda Wisniewski

**Name of Signer:** Linda Wisniewski

**Title:** Controller and Chief Accounting Officer