Inflation Protection Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2022 (unaudited)
Corporate Bonds (12.9%) | Shares/ Par + | Value $ (000’s) | ||||
Communications (1.2%) | ||||||
AT&T, Inc. | ||||||
3.550%, 9/15/55 | 241,000 | 158 | ||||
4.350%, 3/1/29 | 1,687,000 | 1,577 | ||||
4.500%, 5/15/35 | 264,000 | 229 | ||||
4.550%, 3/9/49 | 429,000 | 343 | ||||
4.900%, 8/15/37 | 477,000 | 423 | ||||
Comcast Corp. | ||||||
5.650%, 6/15/35 | 84,000 | 84 | ||||
6.500%, 11/15/35 | 158,000 | 169 | ||||
Meta Platforms, Inc. | ||||||
3.850%, 8/15/32 144A | 480,000 | 422 | ||||
Paramount Global | ||||||
4.950%, 1/15/31 | 235,000 | 207 | ||||
Telefonica Emisiones SAU | ||||||
4.895%, 3/6/48 | 330,000 | 240 | ||||
Verizon Communications, Inc. | ||||||
4.272%, 1/15/36 | 375,000 | 320 | ||||
4.329%, 9/21/28 | 1,081,000 | 1,017 | ||||
Total | 5,189 | |||||
Consumer, Cyclical (1.3%) | ||||||
British Airways Pass-Through Trust, Series | ||||||
2.900%, 9/15/36 144A | 99,272 | 81 | ||||
The Home Depot, Inc. | ||||||
2.700%, 4/15/25 | 552,000 | 526 | ||||
Honda Motor Co., Ltd. | ||||||
2.271%, 3/10/25 | 1,550,000 | 1,459 | ||||
Lennar Corp. | ||||||
4.750%, 5/30/25 | 870,000 | 856 | ||||
Lowe’s Companies, Inc. | ||||||
3.350%, 4/1/27 | 897,000 | 831 | ||||
Magallanes, Inc. | ||||||
3.755%, 3/15/27 144A | 314,000 | 281 | ||||
O’Reilly Automotive, Inc. | ||||||
4.700%, 6/15/32 | 860,000 | 805 | ||||
Toyota Motor Credit Corp. | ||||||
2.500%, 3/22/24 | 868,000 | 841 | ||||
Total | 5,680 | |||||
Consumer, Non-cyclical (1.9%) | ||||||
AbbVie, Inc. | ||||||
2.950%, 11/21/26 | 800,000 | 733 | ||||
Block Financial LLC | ||||||
3.875%, 8/15/30 | 530,000 | 453 | ||||
Colgate-Palmolive Co. | ||||||
3.100%, 8/15/27 | 1,257,000 | 1,181 | ||||
CVS Health Corp. | ||||||
1.300%, 8/21/27 | 805,000 | 671 | ||||
Duke University Health System, Inc. | ||||||
3.920%, 6/1/47 | 268,000 | 218 | ||||
Global Payments, Inc. | ||||||
3.750%, 6/1/23 | 212,000 | 210 | ||||
Mondelez International, Inc. | ||||||
2.750%, 4/13/30 | 71,000 | 59 |
Corporate Bonds (12.9%) | Shares/ Par + | Value $ (000’s) | ||||
Consumer, Non-cyclical continued | ||||||
Roche Holdings, Inc. | ||||||
2.314%, 3/10/27 144A | 1,270,000 | 1,141 | ||||
Thermo Fisher Scientific, Inc. | ||||||
1.215%, 10/18/24 | 2,570,000 | 2,390 | ||||
Zoetis, Inc. | ||||||
2.000%, 5/15/30 | 980,000 | 778 | ||||
Total | 7,834 | |||||
Energy (0.1%) | ||||||
Petroleos Mexicanos | ||||||
3.500%, 1/30/23 | 130,000 | 128 | ||||
6.700%, 2/16/32 | 243,000 | 171 | ||||
Total | 299 | |||||
Financial (5.7%) | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||
1.150%, 10/29/23 | 658,000 | 625 | ||||
1.650%, 10/29/24 | 150,000 | 137 | ||||
6.500%, 7/15/25 | 706,000 | 705 | ||||
American Tower Corp. | ||||||
3.650%, 3/15/27 | 272,000 | 249 | ||||
Athene Global Funding | ||||||
1.985%, 8/19/28 144A | 364,000 | 287 | ||||
Bank of America Corp. | ||||||
2.884%, (ICE LIBOR USD 3 Month plus 1.190%), 10/22/30 | 512,000 | 420 | ||||
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28 | 939,000 | 834 | ||||
Bank of Ireland Group PLC | ||||||
2.029%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus | 377,000 | 311 | ||||
BOC Aviation USA Corp. | ||||||
1.625%, 4/29/24 144A | 696,000 | 657 | ||||
Broadstone Net Lease LLC | ||||||
2.600%, 9/15/31 | 182,000 | 134 | ||||
Citigroup, Inc. | ||||||
3.520%, (ICE LIBOR USD 3 Month plus 1.151%), 10/27/28 | 289,000 | 258 | ||||
Corebridge Financial, Inc. | ||||||
3.850%, 4/5/29 144A | 188,000 | 166 | ||||
Discover Bank | ||||||
4.682%, (USD 5 Year Swap Rate plus | 1,705,000 | 1,635 | ||||
DNB Bank ASA | ||||||
2.968%, (US SOFR Index plus | 1,010,000 | 974 | ||||
FS KKR Capital Corp. | ||||||
4.250%, 2/14/25 144A | 128,000 | 119 | ||||
The Goldman Sachs Group, Inc. | ||||||
1.757%, (US SOFR plus 0.730%), 1/24/25 | 1,139,000 | 1,082 | ||||
1.948%, (US SOFR plus 0.913%), 10/21/27 | 356,000 | 304 | ||||
2.640%, (US SOFR plus 1.114%), 2/24/28 | 355,000 | 308 |
Inflation Protection Portfolio
Corporate Bonds (12.9%) | Shares/ Par + | Value $ (000’s) | ||||
Financial continued | ||||||
3.814%, (ICE LIBOR USD 3 Month plus 1.158%), 4/23/29 | 119,000 | 105 | ||||
Golub Capital BDC, Inc. | ||||||
2.500%, 8/24/26 | 181,000 | 152 | ||||
HSBC Holdings PLC | ||||||
1.162%, (US SOFR plus 0.580%), 11/22/24 | 1,253,000 | 1,184 | ||||
2.804%, (US SOFR plus 1.187%), 5/24/32 | 280,000 | 206 | ||||
4.180%, (US SOFR plus 1.510%), 12/9/25 | 720,000 | 689 | ||||
JPMorgan Chase & Co. | ||||||
1.578%, (US SOFR plus 0.885%), 4/22/27 | 330,000 | 285 | ||||
2.069%, (US SOFR plus 1.015%), 6/1/29 | 1,094,000 | 887 | ||||
2.522%, (US SOFR plus 2.040%), 4/22/31 | 683,000 | 540 | ||||
2.947%, (US SOFR plus 1.170%), 2/24/28 | 911,000 | 805 | ||||
Lloyds Banking Group PLC | ||||||
2.907%, (ICE LIBOR USD 3 Month plus 0.810%), 11/7/23 | 815,000 | 813 | ||||
4.716%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus | 710,000 | 682 | ||||
Morgan Stanley | ||||||
0.529%, (US SOFR plus 0.455%), 1/25/24 | 1,288,000 | 1,267 | ||||
0.790%, (US SOFR plus 0.525%), 5/30/25 | 490,000 | 451 | ||||
2.484%, (US SOFR plus 1.360%), 9/16/36 | 177,000 | 127 | ||||
National Australia Bank, Ltd. | ||||||
2.332%, 8/21/30 144A | 332,000 | 247 | ||||
Phillips Edison Grocery Center Operating Partnership I, LP | ||||||
2.625%, 11/15/31 | 240,000 | 174 | ||||
The PNC Financial Services Group, Inc. | ||||||
4.626%, (US SOFR Index plus | 1,845,000 | 1,646 | ||||
Royal Bank of Canada | ||||||
4.240%, 8/3/27 | 905,000 | 863 | ||||
Sammons Financial Group, Inc. | ||||||
4.750%, 4/8/32 144A | 203,000 | 166 | ||||
SBL Holdings, LLC | ||||||
5.125%, 11/13/26 144A | 345,000 | 315 | ||||
Swedbank AB | ||||||
3.356%, 4/4/25 144A | 1,160,000 | 1,109 | ||||
The Toronto-Dominion Bank | ||||||
4.108%, 6/8/27 | 715,000 | 674 | ||||
4.456%, 6/8/32 | 272,000 | 248 | ||||
UBS Group AG | ||||||
1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus | 901,000 | 757 | ||||
Wells Fargo & Co. | ||||||
3.350%, (US SOFR plus 1.500%), 3/2/33 | 307,000 | 249 | ||||
4.540%, (US SOFR plus 1.560%), 8/15/26 | 280,000 | 271 | ||||
Total | 24,117 | |||||
Industrial (1.0%) | ||||||
Canadian National Railway Co. | ||||||
3.850%, 8/5/32 | 1,360,000 | 1,240 | ||||
Caterpillar Financial Services Corp. | ||||||
3.650%, 8/12/25 | 1,970,000 | 1,915 | ||||
DAE Funding LLC | ||||||
1.550%, 8/1/24 144A | 116,000 | 106 |
Corporate Bonds (12.9%) | Shares/ Par + | Value $ (000’s) | ||||
Industrial continued | ||||||
Raytheon Technologies Corp. | ||||||
4.125%, 11/16/28 | 1,240,000 | 1,158 | ||||
Total | 4,419 | |||||
Technology (0.2%) | ||||||
Dell International LLC / EMC Corp. | ||||||
6.020%, 6/15/26 | 440,000 | 442 | ||||
Intel Corp. | ||||||
3.200%, 8/12/61 | 557,000 | 347 | ||||
Total | 789 | |||||
Utilities (1.5%) | ||||||
Ameren Corp. | ||||||
1.950%, 3/15/27 | 1,470,000 | 1,273 | ||||
Ameren Illinois Co. | ||||||
3.850%, 9/1/32 | 238,000 | 214 | ||||
Dominion Energy, Inc. | ||||||
1.450%, 4/15/26 | 1,200,000 | 1,054 | ||||
Duke Energy Florida LLC | ||||||
1.750%, 6/15/30 | 400,000 | 312 | ||||
Duke Energy Progress LLC | ||||||
2.000%, 8/15/31 | 780,000 | 603 | ||||
Essential Utilities, Inc. | ||||||
2.704%, 4/15/30 | 370,000 | 303 | ||||
NextEra Energy Capital Holdings, Inc. | ||||||
5.000%, 7/15/32 | 980,000 | 936 | ||||
PG&E Energy Recovery Funding LLC | ||||||
2.822%, 7/15/46 | 900,000 | 612 | ||||
Sempra Energy | ||||||
3.300%, 4/1/25 | 507,000 | 482 | ||||
Wisconsin Power & Light Co. | ||||||
3.950%, 9/1/32 | 415,000 | 375 | ||||
Total | 6,164 | |||||
Total Corporate Bonds (Cost: $59,923) | 54,491 | |||||
Governments (65.5%) | ||||||
Governments (65.5%) | ||||||
Federal Home Loan Bank | ||||||
0.000%, 10/3/22 | 14,700,000 | 14,700 | ||||
Federal Home Loan Mortgage Corp. | ||||||
6.250%, 7/15/32 | 14,850,000 | 17,279 | ||||
Federal National Mortgage Association | ||||||
6.625%, 11/15/30 | 13,650,000 | 15,941 | ||||
Tennessee Valley Authority | ||||||
4.700%, 7/15/33 | 1,658,000 | 1,677 | ||||
US Treasury Inflation Index Bond | ||||||
0.125%, 1/15/30 | 25,967,678 | 22,957 | ||||
0.125%, 7/15/30 | 15,773,531 | 13,887 | ||||
0.125%, 1/15/31 | 14,795,820 | 12,925 | ||||
0.125%, 7/15/31 | 6,079,865 | 5,301 | ||||
0.125%, 1/15/32 | 12,505,077 | 10,811 | ||||
0.125%, 2/15/51 | 9,274,619 | 5,819 | ||||
0.125%, 2/15/52 | 1,064,310 | 673 | ||||
0.125%, 10/15/25 | 3,140,115 | 2,966 | ||||
0.125%, 4/15/26 | 4,406,025 | 4,115 | ||||
0.125%, 7/15/26 | 5,623,937 | 5,258 | ||||
0.125%, 10/15/26 | 10,842,400 | 10,100 | ||||
0.250%, 2/15/50 | 6,361,248 | 4,169 |
Inflation Protection Portfolio
Governments (65.5%) | Shares/ Par + | Value $ (000’s) | ||||
Governments continued | ||||||
0.250%, 7/15/29 | 2,200,713 | 1,984 | ||||
0.375%, 1/15/27 | 12,755,808 | 11,915 | ||||
0.375%, 7/15/27 | 11,203,415 | 10,453 | ||||
0.500%, 1/15/28 | 9,008,475 | 8,360 | ||||
0.625%, 7/15/32 | 9,687,340 | 8,789 | ||||
0.625%, 2/15/43 | 8,569,589 | 6,588 | ||||
0.625%, 1/15/26 | 13,902,935 | 13,270 | ||||
0.750%, 2/15/42 | 10,391,181 | 8,354 | ||||
0.750%, 2/15/45 | 17,551,611 | 13,533 | ||||
0.750%, 7/15/28 | 1,770,465 | 1,664 | ||||
0.875%, 2/15/47 | 3,927,584 | 3,079 | ||||
0.875%, 1/15/29 | 10,560,240 | 9,930 | ||||
1.000%, 2/15/46 | 4,313,915 | 3,497 | ||||
1.000%, 2/15/48 | 1,381,691 | 1,120 | ||||
1.000%, 2/15/49 | 2,883,477 | 2,347 | ||||
1.375%, 2/15/44 | 9,763,200 | 8,687 | ||||
1.750%, 1/15/28 | 1,548,582 | 1,533 | ||||
2.000%, 1/15/26 | 3,657,238 | 3,646 | ||||
2.125%, 2/15/41 | 3,478,357 | 3,588 | ||||
2.375%, 1/15/27 | 844,767 | 858 | ||||
2.500%, 1/15/29 | 986,671 | 1,021 | ||||
3.625%, 4/15/28 | 2,747,715 | 2,986 | ||||
Total | 275,780 | |||||
Total Governments (Cost: $324,649) | 275,780 | |||||
Municipal Bonds (0.1%) | ||||||
Municipal Bonds (0.1%) | ||||||
Golden State Tobacco Securitization Corp. | ||||||
2.746%, 6/1/34 RB | 740,000 | 581 | ||||
Santa Clara Valley Transportation Authority | ||||||
5.876%, 4/1/32 RB | 50,000 | 52 | ||||
Total Municipal Bonds (Cost: $802) | 633 | |||||
Structured Products (19.0%) | ||||||
Asset Backed Securities (8.8%) | ||||||
Aligned Data Centers Issuer LLC, Series | ||||||
2.482%, 8/15/46 144A | 2,350,000 | 1,958 | ||||
Ares XXXIX CLO, Ltd., Series 2016-39A, Class BR2 | ||||||
4.340%, (ICE LIBOR USD 3 Month plus 1.600%), 4/18/31 144A | 2,000,000 | 1,911 | ||||
Bean Creek CLO, Ltd., Series 2018-1A, | ||||||
3.730%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A | 1,500,000 | 1,466 | ||||
Blackbird Capital Aircraft, Series 2021-1A, Class A | ||||||
2.443%, 7/15/46 144A | 879,969 | 710 | ||||
BRE Grand Islander Timeshare Issuer, | ||||||
2.940%, 5/25/29 144A | 123,039 | 119 | ||||
Cologix Canadian Issuer LP, Series 2022- 1CAN, Class A2 | ||||||
4.940%, 1/25/52 144A CAD ∞ | 1,950,000 | 1,306 |
Structured Products (19.0%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2 | ||||||
3.093%, 4/20/34 144A | 2,000,000 | 1,676 | ||||
FirstKey Homes Trust, Series 2020-SFR2, | ||||||
1.968%, 10/19/37 144A | 1,000,000 | 889 | ||||
Global SC Finance SRL, Series 2021-1A, | ||||||
1.860%, 4/17/41 144A | 1,411,801 | 1,212 | ||||
2.170%, 10/17/40 144A | 913,726 | 816 | ||||
Global SC Finance SRL, Series 2021-2A, Class A | ||||||
1.950%, 8/17/41 144A | 728,799 | 630 | ||||
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR | ||||||
3.830%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A | 1,125,000 | 1,101 | ||||
Goodgreen Trust, Series 2020-1A, Class A | ||||||
2.630%, 4/15/55 144A | 691,059 | 558 | ||||
Goodgreen Trust, Series 2021-1A, Class A | ||||||
2.660%, 10/20/56 144A | 481,459 | 422 | ||||
Greenwood Park CLO, Ltd., Series 2018-1A, Class A1 | ||||||
3.542%, (ICE LIBOR USD 3 Month plus 1.030%), 4/15/31 144A | 1,500,000 | 1,468 | ||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A | ||||||
2.660%, 12/26/28 144A | 411,892 | 405 | ||||
Hilton Grand Vacations Trust, Series 2019-AA, Class B | ||||||
2.540%, 7/25/33 144A | 706,490 | 660 | ||||
J.G. Wentworth XLI LLC, Series 2018-1A, | ||||||
4.700%, 10/15/74 144A | 389,622 | 355 | ||||
KKR Financial CLO, Ltd., Series 2018-22A, Class A | ||||||
3.860%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A | 1,500,000 | 1,470 | ||||
KKR Financial CLO, Ltd., Series 2022-1A, | ||||||
5.077%, (US SOFR 3 Month plus 2.600%), 7/20/31 144A | 1,400,000 | 1,380 | ||||
Magnetite CLO, Ltd., Series 2021-29A, | ||||||
3.912%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A | 1,650,000 | 1,570 | ||||
Mosaic Solar Loans LLC, Series 2021-1, | ||||||
1.510%, 12/20/46 144A | 1,149,122 | 896 | ||||
Palmer Square CLO, Ltd., Series 2018-1A, | ||||||
3.870%, (ICE LIBOR USD 3 Month plus 1.130%), 1/17/31 144A | 1,750,000 | 1,717 | ||||
Progress Residential Trust, Series 2021-SFR1, Class D | ||||||
1.805%, 4/17/38 144A | 1,000,000 | 841 | ||||
Progress Residential Trust, Series 2021-SFR2, Class C | ||||||
1.997%, 4/19/38 144A | 5,050,000 | 4,285 |
Inflation Protection Portfolio
Structured Products (19.0%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Progress Residential Trust, Series 2021-SFR8, Class E1 | ||||||
2.382%, 10/17/38 144A | 550,000 | 458 | ||||
Rockford Tower CLO, Ltd., Series 2020-1A, Class B | ||||||
4.510%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A | 1,350,000 | 1,288 | ||||
ServiceMaster Brands, Series 2020-1, | ||||||
2.841%, 1/30/51 144A | 1,231,250 | 1,003 | ||||
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B | ||||||
2.750%, 7/15/38 144A | 904,443 | 850 | ||||
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B | ||||||
1.340%, 11/20/37 144A | 1,653,405 | 1,534 | ||||
Stratus CLO, Ltd., Series 2021-1A, Class A | ||||||
3.510%, (ICE LIBOR USD 3 Month plus 0.800%), 12/29/29 144A | 1,156,377 | 1,139 | ||||
Wellfleet CLO, Ltd., Series 2022-1A, Class B2 | ||||||
4.775%, 4/15/34 144A | 1,250,000 | 1,117 | ||||
Total | 37,210 | |||||
Mortgage Securities (10.2%) | ||||||
Agate Bay Mortgage Trust, Series 2015-7, Class A3 | ||||||
3.500%, (AFC), 10/25/45 144A | 177,120 | 159 | ||||
Agate Bay Mortgage Trust, Series 2016-1, Class A3 | ||||||
3.500%, (AFC), 12/25/45 144A | 101,695 | 94 | ||||
Angel Oak Mortgage Trust, Series 2019-6, Class A3 | ||||||
2.927%, (AFC), 11/25/59 144A | 263,049 | 255 | ||||
Angel Oak Mortgage Trust, Series 2019-4, Class A | ||||||
3.301%, (AFC), 7/26/49 144A | 31,182 | 31 | ||||
Arroyo Mortgage Trust, Series 2021-1R, | ||||||
Class A2 | ||||||
1.483%, (CSTR, AFC), 10/25/48 144A | 372,151 | 321 | ||||
Arroyo Mortgage Trust, Series 2021-1R, | ||||||
1.637%, (CSTR, AFC), 10/25/48 144A | 286,270 | 247 | ||||
BDS, Ltd., Series 2020-FL6, Class C | ||||||
4.649%, (US 30 Day Average SOFR plus | 1,487,000 | 1,449 | ||||
Bellemeade Re, Ltd., Series 2021-2A, | ||||||
4.131%, (US 30 Day Average SOFR plus 1.850%), 6/25/31 144A | 2,108,000 | 1,951 | ||||
Bellemeade Re, Ltd., Series 2019-3A, | ||||||
5.034%, (ICE LIBOR USD 1 Month plus 1.950%), 7/25/29 144A | 1,900,000 | 1,877 | ||||
Bellemeade Re, Ltd., Series 2021-3A, | ||||||
3.281%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A | 1,390,667 | 1,370 |
Structured Products (19.0%) | Shares/ Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
BX Commercial Mortgage Trust, Series 2021- VOLT, Class E | ||||||
4.818%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/36 144A | 1,200,000 | 1,106 | ||||
BX Commercial Mortgage Trust, Series 2021- VOLT, Class F | ||||||
5.218%, (ICE LIBOR USD 1 Month plus 2.400%), 9/15/36 144A | 1,400,000 | 1,287 | ||||
BX Trust, Series 2020-VIVA, Class D | ||||||
3.667%, (CSTR), 3/11/44 144A | 1,418,962 | 1,056 | ||||
BXMT, Ltd., Series 2020-FL2, Class B | ||||||
4.436%, (US 30 Day Average SOFR plus 1.515%), 2/15/38 144A | 1,600,000 | 1,557 | ||||
Chase Mortgage Finance Corp., Series 2021 | ||||||
3.481%, (US 30 Day Average SOFR plus 1.200%), 2/25/50 144A | 381,491 | 362 | ||||
CHNGE Mortgage Trust, Series 2022-3, Class A1 | ||||||
5.000%, (AFC), 5/25/67 144A | 605,819 | 579 | ||||
Connecticut Avenue Securities Trust, Series | ||||||
4.381%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A | 683,050 | 675 | ||||
Credit Suisse Mortgage Trust, Series 2015-WIN1, Class A10 | ||||||
3.500%, (AFC), 12/25/44 144A | 52,717 | 48 | ||||
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class B | ||||||
4.048%, (ICE LIBOR USD 1 Month plus 1.230%), 5/15/36 144A | 875,000 | 858 | ||||
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class D | ||||||
4.418%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A | 2,155,000 | 2,090 | ||||
Credit Suisse Mortgage Trust, Series 2021-NQM2, Class A3 | ||||||
1.538%, (AFC), 2/25/66 144A | 318,655 | 276 | ||||
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3 | ||||||
2.856%, 5/25/65 144A | 1,474,000 | 1,416 | ||||
Deephaven Residential Mortgage Trust, Series 2021-3, Class A3 | ||||||
1.554%, (AFC), 8/25/66 144A | 984,991 | 809 | ||||
Extended Stay America Trust, Series 2021-ESH, Class E | ||||||
5.668%, (ICE LIBOR USD 1 Month plus 2.850%), 7/15/38 144A | 1,709,479 | 1,623 | ||||
FARM Mortgage Trust, Series 2021-1, Class A | ||||||
2.180%, (CSTR), 1/25/51 144A | 2,133,681 | 1,797 | ||||
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 | ||||||
5.684%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24 | 272,395 | 272 | ||||
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3 | ||||||
1.617%, (AFC), 6/25/56 144A | 378,330 | 315 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A | ||||||
4.128%, 7/5/31 144A | 2,020,000 | 1,973 |
Inflation Protection Portfolio
Structured Products (19.0%) | Shares/ Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
JP Morgan Mortgage Trust, Series 2014-5, | ||||||
2.820%, (AFC), 10/25/29 144A | 347,818 | 327 | ||||
JP Morgan Mortgage Trust, Series 2016-1, | ||||||
3.500%, 5/25/46 144A | 634,045 | 570 | ||||
JP Morgan Mortgage Trust, Series 2017-1, | ||||||
3.450%, (AFC), 1/25/47 144A | 306,856 | 269 | ||||
New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2 | ||||||
2.891%, (AFC), 5/24/60 144A | 1,383,000 | 1,217 | ||||
Sequoia Mortgage Trust, Series 2017-7, | ||||||
3.500%, (AFC), 10/25/47 144A | 1,101,253 | 970 | ||||
Sequoia Mortgage Trust, Series 2019-4, | ||||||
3.500%, (AFC), 11/25/49 144A | 2,325,755 | 2,055 | ||||
Sequoia Mortgage Trust, Series 2021-5, | ||||||
2.500%, (AFC), 7/25/51 144A | 1,631,092 | 1,402 | ||||
SG Residential Mortgage Trust, Series 2021-1, Class A3 | ||||||
1.560%, (AFC), 7/25/61 144A | 824,451 | 676 | ||||
Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A | ||||||
5.314%, (US SOFR 1 Month plus 2.296%), 6/19/37 144A | 1,272,000 | 1,251 | ||||
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E | ||||||
3.000%, (AFC), 4/25/60 144A | 2,503,000 | 2,488 | ||||
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 | ||||||
1.219%, (AFC), 5/25/65 144A | 937,231 | 870 | ||||
Verus Securitization Trust, Series 2020-1, | ||||||
2.724%, (AFC), 1/25/60 144A Σ | 952,450 | 918 | ||||
Verus Securitization Trust, Series 2021-1, | ||||||
1.155%, (AFC), 1/25/66 144A | 812,456 | 697 |
Structured Products (19.0%) | Shares/ Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
Verus Securitization Trust, Series 2021-5, Class A3 | ||||||
1.373%, (AFC), 9/25/66 144A | 972,566 | 786 | ||||
Verus Securitization Trust, Series 2022-3, Class A3 | ||||||
4.130%, (CSTR, AFC), 2/25/67 144A | 2,278,271 | 2,089 | ||||
Vista Point Securitization Trust, Series 2020-2, Class A3 | ||||||
2.496%, (AFC), 4/25/65 144A | 381,263 | 359 | ||||
Total | 42,797 | |||||
Total Structured Products (Cost: $87,968) |
| 80,007 | ||||
Short-Term Investments (1.9%) | ||||||
Financial (0.9%) | ||||||
FNB Corp. | ||||||
2.200%, 2/24/23 | 2,505,000 | 2,470 | ||||
SBA Tower Trust | ||||||
3.448%, 3/15/23 144A | 1,228,000 | 1,216 | ||||
Total | 3,686 | |||||
Money Market Funds (1.0%) | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.940%# | 4,211,840 | 4,212 | ||||
Total | 4,212 | |||||
Total Short-Term Investments (Cost: $7,939) |
| 7,898 | ||||
Total Investments (99.4%) (Cost: $481,281)@ |
| 418,809 | ||||
Other Assets, Less Liabilities (0.6%) |
| 2,534 | ||||
Net Assets (100.0%) |
| 421,343 |
Exchange Traded or Centrally Cleared Derivatives
Futures
Issuer | Long/ Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
Ten-Year US Treasury Note Future | Long | USD | 7,100 | 71 | 12/22 | $ | 7,956 | $ | (222 | ) | $ | (28 | ) | |||||||||||||||||||
$ | (222 | ) | $ | (28 | ) |
Inflation Protection Portfolio
Total Return Swaps - Receive Floating Rate
Floating Rate Index | Fixed Rate | Expiration Date | Notional Amount (000’s) | Currency | Upfront Premium Paid/ (Received) (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value (000’s) | Variation Margin(000’s) | ||||||||||||||||||||||||||
CPURNSA | 1.777% | 6/24 | 11,000 | USD | $ – | $ | 1,234 | $ | 1,234 | $ | 20 | |||||||||||||||||||||||
CPURNSA | 1.715% | 6/24 | 7,400 | USD | – | 846 | 846 | 14 | ||||||||||||||||||||||||||
CPURNSA | 1.860% | 7/24 | 7,500 | USD | – | 799 | 799 | 10 | ||||||||||||||||||||||||||
CPURNSA | 1.858% | 8/24 | 12,700 | USD | – | 1,355 | 1,355 | 16 | ||||||||||||||||||||||||||
CPURNSA | 2.073% | 8/27 | 3,500 | USD | – | 394 | 394 | (7 | ) | |||||||||||||||||||||||||
CPURNSA | 2.145% | 11/27 | 5,000 | USD | (1) | 509 | 508 | (12 | ) | |||||||||||||||||||||||||
CPURNSA | 1.800% | 10/29 | 3,700 | USD | – | 485 | 485 | (9 | ) | |||||||||||||||||||||||||
CPURNSA | 1.884% | 11/29 | 2,000 | USD | – | 248 | 248 | (5 | ) | |||||||||||||||||||||||||
CPURNSA | 2.695% | 8/26 | 10,000 | USD | – | 511 | 511 | (18 | ) | |||||||||||||||||||||||||
CPURNSA | 2.498% | 9/31 | 7,000 | USD | 1 | 337 | 338 | (15 | ) | |||||||||||||||||||||||||
CPURNSA | 2.210% | 1/24 | 8,000 | USD | – | 766 | 766 | 2 | ||||||||||||||||||||||||||
CPURNSA | 2.273% | 1/24 | 10,000 | USD | – | 941 | 941 | 2 | ||||||||||||||||||||||||||
CPURNSA | 2.243% | 1/26 | 6,000 | USD | – | 588 | 588 | (11 | ) | |||||||||||||||||||||||||
CPURNSA | 1.078% | 6/25 | 3,000 | USD | – | 460 | 460 | (2 | ) | |||||||||||||||||||||||||
CPURNSA | 1.291% | 5/30 | 2,000 | USD | – | 356 | 356 | (3 | ) | |||||||||||||||||||||||||
CPURNSA | 1.629% | 6/30 | 2,000 | USD | – | 319 | 319 | (4 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ – | $ | 10,148 | $ | 10,148 | $ | (22 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||
| ||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ 64 | $ | – | $ | 64 | $ | (86 | ) | $ | (28 | ) | $ | (114 | ) | $ | – | ||||||||||
|
Over the Counter Derivatives
Forward Foreign Currency Contracts
Type | Counterparty | Currency | Foreign Principal Covered by | USD Principal Amount Covered by Contract (000’s) | Settlement Date | Unrealized Appreciation (000’s) | Unrealized (Depreciation) (000’s) | Net Unrealized Appreciation/ (Depreciation) (000’s) | ||||||||||||||||||||
| ||||||||||||||||||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | CAD | 1,783 | 1,291 | 12/15/2022 | $ | 83 | $ | — | $ | 83 | |||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 83 | $ | — | $ | 83 | |||||||||||||||||||||||
|
|
Inflation Protection Portfolio
Total Return Swaps
Reference Entity | Counterparty | Payment made by the Fund | Expiration Date | Notional Amount (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Market Value (000’s) | ||||||||||||||||
| ||||||||||||||||||||||
CPURNSA | Bank of America NA | 2.763% | 3/23 | 700 | $ | (16 | ) | $ | (16) | |||||||||||||
CPURNSA | Bank of America NA | 2.528% | 8/24 | 2,750 | 50 | 50 | ||||||||||||||||
CPURNSA | Bank of America NA | 2.140% | 7/25 | 2,900 | 271 | 271 | ||||||||||||||||
CPURNSA | Bank of America NA | 1.790% | 8/25 | 1,500 | 189 | 189 | ||||||||||||||||
CPURNSA | Bank of America NA | 2.240% | 4/27 | 3,500 | 308 | 308 | ||||||||||||||||
CPURNSA | Bank of America NA | 2.218% | 4/27 | 2,000 | 181 | 181 | ||||||||||||||||
CPURNSA | Bank of America NA | 2.235% | 4/27 | 2,000 | 177 | 177 | ||||||||||||||||
CPURNSA | Bank of America NA | 2.235% | 5/27 | 5,000 | 445 | 445 | ||||||||||||||||
CPURNSA | Barclays Bank PLC | 2.589% | 7/24 | 1,400 | 14 | 14 | ||||||||||||||||
CPURNSA | Barclays Bank PLC | 2.385% | 9/24 | 4,000 | 147 | 147 | ||||||||||||||||
CPURNSA | Barclays Bank PLC | 2.363% | 9/24 | 3,500 | 139 | 139 | ||||||||||||||||
CPURNSA | Barclays Bank PLC | 2.310% | 9/24 | 1,400 | 64 | 64 | ||||||||||||||||
CPURNSA | Barclays Bank PLC | 2.895% | 12/27 | 1,700 | (229 | ) | (229) | |||||||||||||||
CPURNSA | Barclays Bank PLC | 2.784% | 7/44 | 1,400 | (182 | ) | (182) | |||||||||||||||
CPURNSA | Goldman Sachs International | 1.870% | 5/26 | 8,500 | 1,143 | 1,143 | ||||||||||||||||
CPURNSA | Goldman Sachs International | 1.920% | 5/26 | 7,000 | 906 | 906 | ||||||||||||||||
CPURNSA | Goldman Sachs International | 1.770% | 6/26 | 6,000 | 863 | 863 | ||||||||||||||||
CPURNSA | Goldman Sachs International | 2.245% | 11/26 | 3,000 | 279 | 279 | ||||||||||||||||
CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 3,000 | 268 | 268 | ||||||||||||||||
CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 4,000 | 357 | 357 | ||||||||||||||||
|
|
| ||||||||||||||||||||
$ | 5,374 | $ | 5,374 | |||||||||||||||||||
|
|
|
Financial Derivative Assets (000’s) | Financial Derivative Liabilities (000’s) | |||||||||||||||||||||||||||
Forward Foreign Currency Contracts | Swaps | Total | Forward Foreign Currency Contracts | Options | Swaps | Total | ||||||||||||||||||||||
Total Over the Counter Derivatives | $ | 83 | $ | 5,801 | $ | 5,884 | — | — | $ | (427) | $ | (427) |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022 the value of these securities (in thousands) was $88,090 representing 20.9% of the net assets. |
∞ | Foreign Bond — par value is foreign denominated. |
Σ | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end. |
# | 7-Day yield as of 9/30/2022. |
@ | At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $481,281 and the net unrealized depreciation of investments based on that cost was $47,090 which is comprised of $16,059 aggregate gross unrealized appreciation and $63,149 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
Inflation Protection Portfolio
The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:
Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives
Level 2 - fair value is determined by other significant observable inputs
Level 3 - fair value is determined by significant unobservable inputs
The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.
The following is a summary of the inputs used in valuing the Portfolio’s Investments at September 30, 2022.
Valuation Inputs | ||||||||||||||
Description | Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant | |||||||||||
| ||||||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Municipal Bonds | $ | — | $ | 633 | $ | — | ||||||||
Corporate Bonds | — | 54,491 | — | |||||||||||
Governments | — | 275,780 | — | |||||||||||
Structured Products | — | 80,007 | — | |||||||||||
Short-Term Investments | ||||||||||||||
Money Market Funds | 4,212 | — | — | |||||||||||
All Others | — | 3,686 | — | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Forward Foreign Currency Contracts | — | 83 | — | |||||||||||
Total Return Swaps | — | 15,949 | — | |||||||||||
|
| |||||||||||||
Total Assets: | $ | 4,212 | $ | 430,629 | $ | — | ||||||||
|
| |||||||||||||
Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | (222) | — | — | |||||||||||
Total Return Swaps | — | (427) | — | |||||||||||
|
| |||||||||||||
Total Liabilities: | $ | (222) | $ | (427) | $ | — | ||||||||
|
|
^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
Abbreviations
Abbreviations that may be used in the preceding statements
ADR | American Depositary Receipt | |
AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | |
CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
EXE | Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal. | |
IO | Interest Only Security | |
PO | Principal Only Security | |
GDR | Global Depositary Receipt | |
GO | General Obligation | |
RB | Revenue Bond | |
CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
LIBOR | London Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
ICE | Intercontinental Exchange | |
SONIO | Sterling Overnight Interbank Average Rate | |
DAC | Designated Activity Company | |
TBA | To Be Announced | |
OIS | Overnight Index Swaps | |
DIFC | Dubai International Financial Centre | |
EURIBOR | Euro Interbank Offered Rate | |
SDR | Swedish Depository Receipt | |
ETF | Exchange Traded Fund | |
Currency Abbreviations | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Yuan Renminbi - Offshore | |
CNY | Chinese Yuan Renminbi | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KES | Kenyan Shilling | |
KRW | South Korean Won | |
MXN | Mexican New Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
THB | Thai Baht | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |