# EDGAR Filing Document

**Accession Number:** 0000742212
**File Stem:** 0001752724-23-042308
**Filing Date:** 2023-2
**Character Count:** 115042
**Document Hash:** a879e8ad89709359c83db9222c2885a7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-042308.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-042308

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NORTHWESTERN MUTUAL SERIES FUND INC
- **CENTRAL INDEX KEY:** 0000742212
- **IRS NUMBER:** 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:** 23672561

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 53202

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $427994125.75

**Total Liabilities:** $4479822.86

**Net Assets:** $423514302.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -496.61000000 | **1-Year:** -11808.24000000 | **5-Year:** -19123.59000000 | **10-Year:** -9905.19000000 | **30-Year:** -1172.16000000

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

- **3-Month:** -232.03000000 | **1-Year:** -397.72000000 | **5-Year:** -915.06000000 | **10-Year:** -437.45000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000050276 | 0.97%                | 1.92%                | -0.94%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1375488.13             | $2535726.15                                |
| Month 2  | $-891562.57              | $9623797.17                                |
| Month 3  | $-586190.45              | $-4140309.41                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| DNB BANK ASA                                  | DNB Bank ASA                                                                                                                               | CUSIP: 25601B2D6<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   1010000 | PA      | $974197.03    | 0.23%             | 2025-03-28      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                | Morgan Stanley                                                                                                                             | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    177000 | PA      | $128348.23    | 0.03%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Global SC Finance VII SRL                     | Global SC Finance VII Srl                                                                                                                  | CUSIP: 37959PAG2<br>LEI: 549300JZYOMTAKV6RT73 | Long             | ABS-O            | CORP              | BB        |    706230 | PA      | $611797.89    | 0.14%             | 2041-08-17      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                       | Long: SWT000127 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000127 IRS USD P F  1.87000 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   8500000 | OU      | $1185567.00   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    330000 | PA      | $289958.61    | 0.07%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BLZ40AHP3 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLZ40AHP3 IRS USD P F  2.90000 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   9350000 | OU      | $-8371.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                           | FS KKR Capital Corp                                                                                                                        | CUSIP: 30313RAA7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    128000 | PA      | $119975.93    | 0.03%             | 2025-02-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    107040 | PA      | $69234.12     | 0.02%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                      | AT&T Inc                                                                                                                                   | CUSIP: 00206RFW7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    477000 | PA      | $438410.18    | 0.10%             | 2037-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                          | Long: SWT000105 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000105 IRS USD P F  2.76250 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |    700000 | OU      | $-13648.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                       | Fidelity National Information Services Inc                                                                                                 | CUSIP: 31620MBR6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    495000 | PA      | $434062.15    | 0.10%             | 2026-03-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                         | Athene Global Funding                                                                                                                      | CUSIP: 04685A3C3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    199000 | PA      | $160109.92    | 0.04%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                       | Dryden 43 Senior Loan Fund                                                                                                                 | CUSIP: 26245CBN2<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1602847.54   | 0.38%             | 2034-04-20      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2017-1                                                                                                            | CUSIP: 46648CAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301263 | PA      | $259659.79    | 0.06%             | 2047-01-25      | Variable      | 3.45%                 | 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      | $295365.24    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                    | Federal National Mortgage Association                                                                                                      | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  13650000 | PA      | $16006876.84  | 3.78%             | 2030-11-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6397680 | PA      | $4309323.70   | 1.02%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                 | Discover Bank                                                                                                                              | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1636424.85   | 0.39%             | 2028-08-09      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6114625 | PA      | $5402655.00   | 1.28%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                            | Roche Holdings Inc                                                                                                                         | CUSIP: 771196BV3<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1156953.97   | 0.27%             | 2027-03-10      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                    | Blackbird Capital Aircraft                                                                                                                 | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    851758 | PA      | $698739.89    | 0.16%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BX Trust                                      | BX Commercial Mortgage Trust 2020-VIVA                                                                                                     | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1418962 | PA      | $1062770.47   | 0.25%             | 2044-03-11      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                              | Paramount Global                                                                                                                           | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    235000 | PA      | $208849.02    | 0.05%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                      | BX Commercial Mortgage Trust 2021-VOLT                                                                                                     | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1115962.08   | 0.26%             | 2036-09-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    663993 | PA      | $607851.16    | 0.14%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    849603 | PA      | $866581.20    | 0.20%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                              | Bellemeade Re Ltd                                                                                                                          | CUSIP: 07876AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2108000 | PA      | $1928342.75   | 0.46%             | 2031-06-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                              | Connecticut Avenue Securities Trust 2022-R03                                                                                               | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    641206 | PA      | $636747.30    | 0.15%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                    | AbbVie Inc                                                                                                                                 | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    800000 | PA      | $743987.32    | 0.18%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BRE Grand Islander Timeshare Issuer           | BRE Grand Islander Timeshare Issuer 2017-A LLC                                                                                             | CUSIP: 05584AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112695 | PA      | $108744.00    | 0.03%             | 2029-05-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                       | BDS 2020-FL6 Ltd                                                                                                                           | CUSIP: 05492XAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    752651 | PA      | $749120.90    | 0.18%             | 2035-09-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                       | Federal Home Loan Bank Discount Notes                                                                                                      | CUSIP: 313384AC3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  12902000 | PA      | $12902000.00  | 3.05%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                               | DAE Funding LLC                                                                                                                            | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    116000 | PA      | $107799.90    | 0.03%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BLF03DCI5 IRS USD R V 12MUSCPI SLF03DCI5_INF CCPINFLATIONZERO / Short: BLF03DCI5 IRS USD P F  1.71450 SLF03DCI5_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   7400000 | OU      | $860429.89    | 0.20%             |  |  |  | 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      | $893813.34    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                         | Arroyo Mortgage Trust 2021-1R                                                                                                              | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353823 | PA      | $280755.02    | 0.07%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                 | Sempra Energy                                                                                                                              | CUSIP: 816851BN8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    507000 | PA      | $486187.43    | 0.11%             | 2025-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                        | Rockford Tower CLO 2020-1 Ltd                                                                                                              | CUSIP: 77341EAC9<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1298766.78   | 0.31%             | 2032-01-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                           | SG Residential Mortgage Trust 2021-1                                                                                                       | CUSIP: 784212AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815380 | PA      | $651034.88    | 0.15%             | 2061-07-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                          | Long: SWT000125 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000125 IRS USD P F  1.79000 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   1500000 | OU      | $194095.31    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                       | Long: SWT000128 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000128 IRS USD P F  1.92000 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   7000000 | OU      | $940788.59    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust           | Starwood Mortgage Residential Trust 2020-2                                                                                                 | CUSIP: 85573DAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2503000 | PA      | $2195850.86   | 0.52%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL LLC                           | Block Financial LLC                                                                                                                        | CUSIP: 093662AH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    530000 | PA      | $463697.39    | 0.11%             | 2030-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                           | Petroleos Mexicanos                                                                                                                        | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    243000 | PA      | $190815.02    | 0.05%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                          | 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      | $331472.96    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                      | Angel Oak Mortgage Trust I LLC 2019-4                                                                                                      | CUSIP: 03463UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17960 | PA      | $17824.78     | 0.00%             | 2049-07-26      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1500026.36   | 0.35%             | 2025-12-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                   | Ameren Corp                                                                                                                                | CUSIP: 023608AL6<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1293258.33   | 0.31%             | 2027-03-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                           | Dominion Energy Inc                                                                                                                        | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1068315.82   | 0.25%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust           | STAR 2021-1 Trust                                                                                                                          | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    902172 | PA      | $814940.78    | 0.19%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                      | AT&T Inc                                                                                                                                   | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1459000 | PA      | $1385494.84   | 0.33%             | 2024-03-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                      | Toyota Motor Credit Corp                                                                                                                   | CUSIP: 89236TJX4<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   2218000 | PA      | $2151188.89   | 0.51%             | 2024-03-22      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                         | Palmer Square CLO 2014-1 Ltd                                                                                                               | CUSIP: 69688XAS0<br>LEI: 549300UP5H2PFBIITY41 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1727250.00   | 0.41%             | 2031-01-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                    | Progress Residential 2021-SFR8 Trust                                                                                                       | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $452325.83    | 0.11%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust           | New Residential Mortgage Loan Trust 2020-NQM                                                                                               | CUSIP: 64830UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1383000 | PA      | $1195025.54   | 0.28%             | 2060-05-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4431258 | PA      | $4165884.76   | 0.98%             | 2026-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                             | Magnetite Xxix Ltd                                                                                                                         | CUSIP: 55955KAC8<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1567768.59   | 0.37%             | 2034-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust          | Deephaven Residential Mortgage Trust 2020-2                                                                                                | CUSIP: 24380NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1474000 | PA      | $1412834.01   | 0.33%             | 2065-05-25      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                      | Angel Oak Mortgage Trust 2019-6                                                                                                            | CUSIP: 03464VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238620 | PA      | $225665.30    | 0.05%             | 2059-11-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18499856 | PA      | $14948454.42  | 3.53%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                            | Banco Santander SA                                                                                                                         | CUSIP: 05964HAP0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1540702.37   | 0.36%             | 2025-03-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                      | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                  | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $138360.04    | 0.03%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                          | Royal Bank of Canada                                                                                                                       | CUSIP: 78016FZS6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    905000 | PA      | $881533.40    | 0.21%             | 2027-08-03      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                   | Swedbank AB                                                                                                                                | CUSIP: 87020PAQ0<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   1160000 | PA      | $1114105.76   | 0.26%             | 2025-04-04      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 21-1 A PPT                        | British Airways 2021-1 Class A Pass Through Trust                                                                                          | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     98402 | PA      | $80101.98     | 0.02%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3498257 | PA      | $3703388.07   | 0.87%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RAILWAY                         | Canadian National Railway Co                                                                                                               | CUSIP: 136375DC3<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |   1360000 | PA      | $1263608.25   | 0.30%             | 2032-08-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                    | Verus Securitization Trust 2021-5                                                                                                          | CUSIP: 92538KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947437 | PA      | $718109.73    | 0.17%             | 2066-09-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                       | Essential Utilities Inc                                                                                                                    | CUSIP: 29670GAD4<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |    370000 | PA      | $310332.20    | 0.07%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BL6J44N59 IRS USD R V 12MUSCPI SL6J44N59_INF CCPINFLATIONZERO / Short: BL6J44N59 IRS USD P F  1.85750 SL6J44N59_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |  12700000 | OU      | $1387479.06   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                | Amazon.com Inc                                                                                                                             | CUSIP: 023135CN4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2164657.81   | 0.51%             | 2025-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                          | FirstKey Homes 2020-SFR2 Trust                                                                                                             | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $875888.70    | 0.21%             | 2037-10-19      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | 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      | $419522.46    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                             | Long: SWT000119 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000119 IRS USD P F  2.38500 INFLATION                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DO               |  | US        |   4000000 | OU      | $159184.04    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    992320 | PA      | $1034582.81   | 0.24%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC               | Cologix Canadian Issuer LP                                                                                                                 | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   1950000 | PA      | $1313830.50   | 0.31%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                        | Mosaic Solar Loan Trust 2021-1                                                                                                             | CUSIP: 61947DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1110607 | PA      | $872954.01    | 0.21%             | 2046-12-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8869875 | PA      | $5705561.82   | 1.35%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK                       | National Australia Bank Ltd                                                                                                                | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |    332000 | PA      | $252744.64    | 0.06%             | 2030-08-21      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                          | Bank of America Corp                                                                                                                       | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    512000 | PA      | $428326.43    | 0.10%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1780605 | PA      | $1696099.04   | 0.40%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                            | Raytheon Technologies Corp                                                                                                                 | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1186813.54   | 0.28%             | 2028-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BX Trust                                      | BX Commercial Mortgage Trust 2021-VOLT                                                                                                     | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1288006.86   | 0.30%             | 2036-09-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                  | Hilton Grand Vacations Trust 2017-A                                                                                                        | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362067 | PA      | $356376.52    | 0.08%             | 2028-12-26      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| SBL HOLDINGS INC                              | SBL Holdings Inc                                                                                                                           | CUSIP: 78432MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     93000 | PA      | $81491.06     | 0.02%             | 2026-11-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust          | Deephaven Residential Mortgage Trust 2021-3                                                                                                | CUSIP: 24381VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    955029 | PA      | $764601.89    | 0.18%             | 2066-08-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                   | Extended Stay America Trust 2021-ESH                                                                                                       | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1679051 | PA      | $1599028.24   | 0.38%             | 2038-07-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                    | Verus Securitization Trust 2020-1                                                                                                          | CUSIP: 92536PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    896194 | PA      | $840825.97    | 0.20%             | 2060-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2763450 | PA      | $3011641.61   | 0.71%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | 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      | $349172.90    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp      | GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT                                                                                | CUSIP: 38122NB50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    740000 | PA      | $593837.86    | 0.14%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                   | Federal Home Loan Mortgage Corp                                                                                                            | CUSIP: 3134A4KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  14850000 | PA      | $17320023.37  | 4.09%             | 2032-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                   | BNP Paribas SA                                                                                                                             | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1535000 | PA      | $1454072.31   | 0.34%             | 2025-11-19      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Global SC Finance SRL                         | Global SC Finance VII Srl                                                                                                                  | CUSIP: 37959PAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BB        |   1367466 | PA      | $1177200.51   | 0.28%             | 2041-04-17      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3678185 | PA      | $3673548.28   | 0.87%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8618666 | PA      | $6948236.58   | 1.64%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2019-4                                                                                                              | CUSIP: 81748JAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2303806 | PA      | $2007628.92   | 0.47%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BL0X06YO0 IRS USD R V 12MUSCPI SL0X06YO0_INF CCPINFLATIONZERO / Short: BL0X06YO0 IRS USD P F  1.86000 SL0X06YO0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   7500000 | OU      | $818057.02    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                          | Bank of America Corp                                                                                                                       | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    939000 | PA      | $850292.08    | 0.20%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                             | Long: SWT000121 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000121 IRS USD P F  2.31000 INFLATION                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DO               |  | US        |   1400000 | OU      | $68261.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3709832 | PA      | $3147954.18   | 0.74%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                             | HSBC Holdings PLC                                                                                                                          | CUSIP: 404280BA6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1280000 | PA      | $1271922.66   | 0.30%             | 2023-05-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                  | Credit Suisse Mortgage Capital Certificates 2019-ICE4                                                                                      | CUSIP: 12653VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875000 | PA      | $859540.41    | 0.20%             | 2036-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23278815 | PA      | $20909541.44  | 4.94%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                             | HSBC Holdings PLC                                                                                                                          | CUSIP: 404280CU1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    670000 | PA      | $645623.04    | 0.15%             | 2024-08-17      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                         | Bank of Ireland Group PLC                                                                                                                  | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    177000 | PA      | $149354.02    | 0.04%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                      | BXMT 2020-FL2 LTD                                                                                                                          | CUSIP: 12434LAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1535135.84   | 0.36%             | 2038-02-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12828816 | PA      | $12097187.60  | 2.86%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                             | Long: SWT000120 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000120 IRS USD P F  2.36300 INFLATION                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DO               |  | US        |   3500000 | OU      | $149402.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC             | Sierra Timeshare 2019-3 Receivables Funding LLC                                                                                            | CUSIP: 82652NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    794831 | PA      | $749391.10    | 0.18%             | 2036-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                  | CSMC Trust 2015-WIN1                                                                                                                       | CUSIP: 12649KAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52266 | PA      | $46739.99     | 0.01%             | 2044-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                              | Bellemeade RE 2021-3 Ltd                                                                                                                   | CUSIP: 078777AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265268 | PA      | $1248968.07   | 0.29%             | 2031-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10279266 | PA      | $8597646.45   | 2.03%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                      | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                  | CUSIP: 00774MAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    658000 | PA      | $633117.75    | 0.15%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10049408 | PA      | $9470824.22   | 2.24%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                      | AT&T Inc                                                                                                                                   | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1471000 | PA      | $1398872.49   | 0.33%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Shelter Growth CRE                            | Shelter Growth CRE 2022-FL4 Issuer Ltd                                                                                                     | CUSIP: 82286DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1272000 | PA      | $1260424.67   | 0.30%             | 2037-06-17      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                          | CHNGE Mortgage Trust 2022-3                                                                                                                | CUSIP: 17030EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593934 | PA      | $579296.64    | 0.14%             | 2067-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                       | Duke Energy Florida LLC                                                                                                                    | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    400000 | PA      | $317883.03    | 0.08%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                             | Imperial Fund Mortgage Trust 2021-NQM1                                                                                                     | CUSIP: 452764AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368702 | PA      | $292122.60    | 0.07%             | 2056-06-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                          | Long: SWT000124 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000124 IRS USD P F  2.14000 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   2900000 | OU      | $279740.67    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR Static CLO Ltd, KKR Static CLO I          | KKR Static CLO I LTD                                                                                                                       | CUSIP: 48255QAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1381044.00   | 0.33%             | 2031-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BL0H02DX7 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL0H02DX7 IRS USD P F  2.69500 FIX CCPINFLATIONZERO                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |  10000000 | OU      | $558142.20    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                        | Sequoia Mortgage Trust 2017-7                                                                                                              | CUSIP: 81746GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1045060 | PA      | $909331.56    | 0.21%             | 2047-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    307000 | PA      | $258616.12    | 0.06%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC             | Sierra Timeshare 2021-1 Receivables Funding LLC                                                                                            | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1454754 | PA      | $1330497.24   | 0.31%             | 2037-11-20      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation            | Chase Mortgage Finance Corp                                                                                                                | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370668 | PA      | $335714.34    | 0.08%             | 2050-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BLXC06HC5 IRS USD R V 12MUSCPI SLXC06HC5_INF CCPINFLATIONZERO / Short: BLXC06HC5 IRS USD P F  1.77700 SLXC06HC5_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |  11000000 | OU      | $1254309.10   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                       | Sammons Financial Group Inc                                                                                                                | CUSIP: 79588TAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    203000 | PA      | $169502.88    | 0.04%             | 2032-04-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                | Home Depot Inc/The                                                                                                                         | CUSIP: 437076CM2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    552000 | PA      | $528989.55    | 0.12%             | 2025-04-15      | Fixed         | 2.70%                 | 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      | $-112948.89   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                        | NextEra Energy Capital Holdings Inc                                                                                                        | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    980000 | PA      | $961126.95    | 0.23%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3950048 | PA      | $3235196.08   | 0.76%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                      | Caterpillar Financial Services Corp                                                                                                        | CUSIP: 14913R2Z9<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1921857.06   | 0.45%             | 2025-08-12      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                      | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                  | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    706000 | PA      | $715374.23    | 0.17%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                          | 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      | $191398.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Goodgreen Trust                               | Goodgreen 2020-1 Trust                                                                                                                     | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    627019 | PA      | $515734.42    | 0.12%             | 2055-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BL0X0ISZ6 IRS USD R V 12MUSCPI SL0X0ISZ6_FLO CCPINFLATIONZERO / Short: BL0X0ISZ6 IRS USD P F  2.24300 SL0X0ISZ6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | GB        |   6000000 | OU      | $610781.94    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                      | Thermo Fisher Scientific Inc                                                                                                               | CUSIP: 883556CS9<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   2570000 | PA      | $2411971.11   | 0.57%             | 2024-10-18      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| FARM 2021-1 Mortgage Trust                    | FARM 21-1 Mortgage Trust                                                                                                                   | CUSIP: 30768WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2121218 | PA      | $1722565.87   | 0.41%             | 2051-01-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14880580 | PA      | $13214851.74  | 3.12%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                       | Exxon Mobil Corp                                                                                                                           | CUSIP: 30231GAF9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2447904.44   | 0.58%             | 2025-03-06      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BL4G4P857 IRS USD R V 12MUSCPI SL4G4P857_FLO CCPINFLATIONZERO / Short: BL4G4P857 IRS USD P F  2.21000 SL4G4P857_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | GB        |   8000000 | OU      | $798448.00    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC           | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-6336.76     | -0.00%            |  |  |  | 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        |    369561 | PA      | $308121.43    | 0.07%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    271000 | PA      | $245145.88    | 0.06%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities X, Limited      | Goldentree Loan Opportunities X Ltd                                                                                                        | CUSIP: 38137PAQ3<br>LEI: 549300IGEA8MXF2YEF61 | Long             | ABS-CBDO         | CORP              | KY        |   1125000 | PA      | $1111485.38   | 0.26%             | 2031-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                  | UBS Group AG                                                                                                                               | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    901000 | PA      | $775184.13    | 0.18%             | 2027-08-10      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                              | Bellemeade Re 2019-3 Ltd                                                                                                                   | CUSIP: 07877GAC3<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |   1900000 | PA      | $1882638.18   | 0.44%             | 2029-07-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| ServiceMaster Brands                          | ServiceMaster Funding LLC                                                                                                                  | CUSIP: 81761TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1228125 | PA      | $983825.15    | 0.23%             | 2051-01-30      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                           | Bank of Nova Scotia/The                                                                                                                    | CUSIP: 06417XAL5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1730000 | PA      | $1733192.07   | 0.41%             | 2024-12-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                        | Verizon Communications Inc                                                                                                                 | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1081000 | PA      | $1039363.97   | 0.25%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1557451 | PA      | $1556373.20   | 0.37%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                          | 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      | $194198.08    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                       | O'Reilly Automotive Inc                                                                                                                    | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    860000 | PA      | $831250.94    | 0.20%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9819110 | PA      | $9111672.07   | 2.15%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                  | Hilton Grand Vacations Trust 2019-A                                                                                                        | CUSIP: 43284HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    638787 | PA      | $594930.29    | 0.14%             | 2033-07-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Bean Creek CLO LTD                            | Bean Creek CLO Ltd                                                                                                                         | CUSIP: 07378WAQ1<br>LEI: 635400STD6UUTEW5KM07 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1470063.42   | 0.35%             | 2031-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                          | 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      | $480272.50    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                       | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    119000 | PA      | $108697.62    | 0.03%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                               | Goodgreen 2021-1 Trust                                                                                                                     | CUSIP: 38217UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439788 | PA      | $356490.97    | 0.08%             | 2056-10-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                          | Colgate-Palmolive Co                                                                                                                       | CUSIP: 194162AN3<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |   1257000 | PA      | $1188557.61   | 0.28%             | 2027-08-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                      | Lloyds Banking Group PLC                                                                                                                   | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    710000 | PA      | $694687.93    | 0.16%             | 2026-08-11      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC               | Aligned Data Centers Issuer LLC                                                                                                            | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $1920607.53   | 0.45%             | 2046-08-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                         | KKR CLO Ltd 22                                                                                                                             | CUSIP: 48252WAA1<br>LEI: 549300GKHET0CQ690V42 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1468165.02   | 0.35%             | 2031-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9060000 | PA      | $8519411.18   | 2.01%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10620720 | PA      | $10117871.82  | 2.39%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                       | Long: SWT000132 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000132 IRS USD P F  2.28000 INFLATION                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DO               |  | US        |   4000000 | OU      | $378405.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10904500 | PA      | $10220913.25  | 2.41%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                  | CSMC 2021-NQM2                                                                                                                             | CUSIP: 12662EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300243 | PA      | $239317.53    | 0.06%             | 2066-02-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                              | Fannie Mae Connecticut Avenue Securities                                                                                                   | CUSIP: 30711XAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251949 | PA      | $251686.59    | 0.06%             | 2024-05-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC                             | Golub Capital BDC Inc                                                                                                                      | CUSIP: 38173MAB8<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |    181000 | PA      | $153668.30    | 0.04%             | 2026-08-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1389591 | PA      | $1168434.66   | 0.28%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                 | Agate Bay Mortgage Trust 2015-7                                                                                                            | CUSIP: 00842CAC9<br>LEI: 549300LK2ZDVY7I44B84 | Long             | ABS-MBS          | CORP              | US        |    175712 | PA      | $155914.88    | 0.04%             | 2045-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                       | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    356000 | PA      | $311281.04    | 0.07%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                    | Progress Residential 2021-SFR1                                                                                                             | CUSIP: 74331FAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $847378.70    | 0.20%             | 2038-04-17      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD                                  | Ares XXXIX CLO Ltd                                                                                                                         | CUSIP: 04015WBE3<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1913970.88   | 0.45%             | 2031-04-18      | Floating      | 5.79%                 | 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      | $-216000.95   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                      | Broadstone Net Lease LLC                                                                                                                   | CUSIP: 11135EAA2<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              |  | US        |    182000 | PA      | $136383.49    | 0.03%             | 2031-09-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                       | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1139000 | PA      | $1090197.04   | 0.26%             | 2025-01-24      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                | Morgan Stanley                                                                                                                             | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1288000 | PA      | $1279360.62   | 0.30%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                   | Lennar Corp                                                                                                                                | CUSIP: 526057BV5<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    870000 | PA      | $864442.40    | 0.20%             | 2025-05-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | 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      | $535434.14    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Santa Clara Valley Transportation Authority   | SANTA CLARA VLY CA TRANSPRTN AUTH SALES TAX REVENUE                                                                                        | CUSIP: 80168NEP0<br>LEI: 549300R6Q7T4MD3V9H68 | Long             | DBT              | MUN               | US        |     50000 | PA      | $51867.48     | 0.01%             | 2032-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Global SC Finance SRL                         | Global SC Finance VII Srl                                                                                                                  | CUSIP: 37959PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BB        |    881404 | PA      | $780910.39    | 0.18%             | 2040-10-17      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                             | Long: SWT000117 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000117 IRS USD P F  2.58900 INFLATION                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DO               |  | US        |   1400000 | OU      | $20408.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                    | Verus Securitization Trust 2021-1                                                                                                          | CUSIP: 92537QAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    779638 | PA      | $623011.98    | 0.15%             | 2066-01-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                             | HSBC Holdings PLC                                                                                                                          | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    280000 | PA      | $216630.14    | 0.05%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BL9K0IAE1 IRS USD R V 12MUSCPI SL9K0IAE1_FLO CCPINFLATIONZERO / Short: BL9K0IAE1 IRS USD P F  2.27250 SL9K0IAE1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | GB        |  10000000 | OU      | $981696.90    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| HONDA MOTOR CO LTD                            | Honda Motor Co Ltd                                                                                                                         | CUSIP: 438127AA0<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | JP        |   1550000 | PA      | $1466720.21   | 0.35%             | 2025-03-10      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9383782 | PA      | $8594763.01   | 2.03%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2899983 | PA      | $2421464.06   | 0.57%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                           | American Tower Corp                                                                                                                        | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    272000 | PA      | $254042.69    | 0.06%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | 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      | $450971.99    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| FNB CORP                                      | FNB Corp/PA                                                                                                                                | CUSIP: 30260NAA9<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | DBT              | CORP              | US        |   2505000 | PA      | $2492394.87   | 0.59%             | 2023-02-24      | Fixed         | 2.20%                 | 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      | $284250.78    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                             | HSBC Holdings PLC                                                                                                                          | CUSIP: 404280CW7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1253000 | PA      | $1193433.32   | 0.28%             | 2024-11-22      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                 | Citigroup Inc                                                                                                                              | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    289000 | PA      | $263682.52    | 0.06%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                          | Bank of America Corp                                                                                                                       | CUSIP: 06051GHR3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $2151337.63   | 0.51%             | 2025-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    683000 | PA      | $558889.93    | 0.13%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BOC AVIATION USA CORP                         | BOC Aviation USA Corp                                                                                                                      | CUSIP: 66980P2A6<br>LEI: 254900QKLTY6MF4Y3P65 | Long             | DBT              | CORP              | US        |    696000 | PA      | $660626.59    | 0.16%             | 2024-04-29      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12361695 | PA      | $10827268.83  | 2.56%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13982546 | PA      | $13421582.19  | 3.17%             | 2026-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                       | Nationwide Building Society                                                                                                                | CUSIP: 63859UBF9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1535000 | PA      | $1368820.90   | 0.32%             | 2025-08-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | Long: BL2I4BCO0 IRS USD R V 12MUSCPI SL2I4BCO0_INF CCPINFLATIONZERO / Short: BL2I4BCO0 IRS USD P F  1.07750 SL2I4BCO0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   3000000 | OU      | $467966.43    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON                                                                            | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2020000 | PA      | $1892172.78   | 0.45%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                | Morgan Stanley                                                                                                                             | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    490000 | PA      | $455549.99    | 0.11%             | 2025-05-30      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                       | Greenwood Park CLO Ltd                                                                                                                     | CUSIP: 39729RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1463313.93   | 0.35%             | 2031-04-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                 | Agate Bay Mortgage Trust 2016-1                                                                                                            | CUSIP: 00842TAC2<br>LEI: 549300SCHQRABPDKYY47 | Long             | ABS-MBS          | CORP              | US        |     98037 | PA      | $89378.93     | 0.02%             | 2045-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                         | Arroyo Mortgage Trust 2021-1R                                                                                                              | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272172 | PA      | $216854.34    | 0.05%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2014-5                                                                                                            | CUSIP: 46643KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329341 | PA      | $306880.56    | 0.07%             | 2029-10-25      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                           | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1094000 | PA      | $913696.07    | 0.22%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                  | Credit Suisse Mortgage Capital Certificates 2019-ICE4                                                                                      | CUSIP: 12653VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2155000 | PA      | $2110190.65   | 0.50%             | 2036-05-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | 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      | $385395.12    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                            | Ameren Illinois Co                                                                                                                         | CUSIP: 02361DAY6<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    238000 | PA      | $221094.64    | 0.05%             | 2032-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                    | Progress Residential 2021-SFR2 Trust                                                                                                       | CUSIP: 74333DAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5050000 | PA      | $4337338.95   | 1.02%             | 2038-04-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                         | Tennessee Valley Authority                                                                                                                 | CUSIP: 880591DV1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1658000 | PA      | $1666020.28   | 0.39%             | 2033-07-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLI LLC                        | J.G. Wentworth XLI LLC                                                                                                                     | CUSIP: 46651TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385766 | PA      | $320889.07    | 0.08%             | 2074-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                         | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    280000 | PA      | $274388.60    | 0.06%             | 2026-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                    | Verus Securitization Trust 2022-3                                                                                                          | CUSIP: 92538UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2248520 | PA      | $2003931.67   | 0.47%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                    | Zoetis Inc                                                                                                                                 | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    980000 | PA      | $795303.29    | 0.19%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                             | Wellfleet CLO 2022-1 Ltd                                                                                                                   | CUSIP: 94950TAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1093437.38   | 0.26%             | 2034-04-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15863757 | PA      | $14203423.99  | 3.35%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                           | Petroleos Mexicanos                                                                                                                        | CUSIP: 71654QBG6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    130000 | PA      | $129350.00    | 0.03%             | 2023-01-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                       | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    355000 | PA      | $316086.80    | 0.07%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                | Lowe's Cos Inc                                                                                                                             | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    897000 | PA      | $842071.29    | 0.20%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                      | Duke Energy Progress LLC                                                                                                                   | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    780000 | PA      | $616341.77    | 0.15%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                          | Long: SWT000118 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000118 IRS USD P F  2.52750 INFLATION                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DO               |  | US        |   2750000 | OU      | $61148.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                      | Warnermedia Holdings Inc                                                                                                                   | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    314000 | PA      | $282766.25    | 0.07%             | 2027-03-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | 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      | $276084.80    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                        | United States Treasury Inflation Indexed Bonds                                                                                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5656105 | PA      | $5329598.65   | 1.26%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                      | JP Morgan Mortgage Trust 2016-1                                                                                                            | CUSIP: 46646BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    606313 | PA      | $537963.26    | 0.13%             | 2046-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SKY LTD                                       | Sky Ltd                                                                                                                                    | CUSIP: 111013AL2<br>LEI: 2138003TS48MQKF4BZ29 | Long             | DBT              | CORP              | GB        |   2045000 | PA      | $1996169.65   | 0.47%             | 2024-09-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                 | Citigroup Inc                                                                                                                              | CUSIP: 172967LZ2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1728403.20   | 0.41%             | 2024-06-01      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                   | 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      | $553041.35    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-25

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

**Signature:** Phillip Rinzel

**Name of Signer:** Phillip Rinzel

**Title:** Controller and Chief Accounting Officer