Northwestern Mutual Series Fund NPORT-P Multi-Sector Bond Portfolio (Mar 2024 report)

Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2024 (unaudited)

Common Stocks (0.1%)	Shares/ Par +		Value $ (000’s)
Energy (0.0%)
Constellation Oil - Class B *,Æ,d		112,235		12
Total				12
Financials (0.1%)
DrillCo Holding Lux SA - Class B *,Æ,d		2,686		65
DrillCo Holding Lux SA - Class C *,Æ,d		24,180		583
Total				648
Health Care (0.0%)
AmSurg Corp. *,Æ,d		9,484		469
Total				469
Real Estate (0.0%)
ADLER Group SA *,Æ		19,539		4
Corestate Capital Holding SA *,Æ,d		421,967		–π
Sunac Services Holdings, Ltd. *		2,015,507		479
Total				483
Telecommunications (0.0%)
Intelsat Emergence SA *,Æ		9,447		259
Total				259
Total Common Stocks (Cost: $5,239)				1,871
Corporate Bonds (43.3%)
Basic Materials (0.5%)
ALROSA Finance SA
3.100%, 6/25/27 144A Æ,j		8,500,000		425
4.650%, 4/9/24 144A Æ,j		500,000		25
Georgia-Pacific LLC 8.875%, 5/15/31		200,000		246
INEOS Styrolution Group GmbH 2.250%, 1/16/27 EUR §,∞		3,400,000		3,383
MMK International Capital DAC 4.375%, 6/13/24 144A Æ,j		1,400,000		70
Sasol Financing USA LLC 6.500%, 9/27/28		2,000,000		1,917
Total				6,066
Communications (3.8%)
Altice Financing SA
5.750%, 8/15/29 144A		1,100,000		881
Altice France Holding SA
6.000%, 2/15/28 144A		1,175,000		335
8.000%, 5/15/27 EUR §,∞		1,000,000		347
Altice France SA
4.000%, 7/15/29 EUR §,∞		3,250,000		2,446
4.250%, 10/15/29 EUR §,∞		400,000		301
8.125%, 2/1/27 144A		3,200,000		2,501
AT&T, Inc.
3.500%, 9/15/53		237,000		167
3.650%, 9/15/59		6,663,000		4,639
3.800%, 12/1/57		115,000		83

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Communications continued
CCO Holdings LLC / CCO Holdings Capital Corp.
4.250%, 2/1/31 144A		2,500,000		2,042
4.500%, 6/1/33 144A		800,000		625
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
3.700%, 4/1/51		300,000		186
4.200%, 3/15/28		1,700,000		1,602
5.125%, 7/1/49		2,600,000		2,015
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A		1,800,000		1,764
Deutsche Telekom International Finance 8.750%, 6/15/30		475,000		562
DISH DBS Corp. 5.750%, 12/1/28 144A		900,000		619
Intelsat Jackson Holdings SA 6.500%, 3/15/30 144A		703,000		653
Prosus NV 3.257%, 1/19/27 144A		500,000		463
Sirius XM Radio, Inc. 3.125%, 9/1/26 144A		1,100,000		1,030
Sprint LLC 7.125%, 6/15/24		100,000		100
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A		1,040,000		1,038
Sunrise FinCo I BV 4.875%, 7/15/31 144A		4,800,000		4,284
Telecom Italia SpA 7.875%, 7/31/28 EUR §,∞		1,400,000		1,656
T-Mobile USA, Inc.
5.050%, 7/15/33		750,000		742
5.650%, 1/15/53		1,000,000		1,021
Verizon Communications, Inc. 2.355%, 3/15/32		3,500,000		2,876
Virgin Media Secured Finance PLC
4.125%, 8/15/30 GBP §,∞		1,200,000		1,276
4.250%, 1/15/30 GBP §,∞		3,200,000		3,473
VMED O2 UK Financing I PLC
4.000%, 1/31/29 GBP §,∞		3,100,000		3,424
4.500%, 7/15/31 GBP §,∞		400,000		429
4.750%, 7/15/31 144A		1,100,000		948
Vodafone Group PLC
7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79 a		1,700,000		1,754
Total				46,282
Consumer, Cyclical (5.5%)
Adient Global Holdings, Ltd. 3.500%, 8/15/24 EUR §,∞		59,781		64
Air Canada Pass-Through Trust, Series 2020-2, Class A 5.250%, 10/1/30 144A		622,890		612

1

Multi-Sector Bond Portfolio

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A 4.800%, 2/15/29 144A		145,128		142
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700%, 4/1/28		158,444		152
American Airlines Pass-Through Trust, Series 2015-1, Class A 3.375%, 11/1/28		287,631		272
American Airlines Pass-Through Trust, Series 2016-1, Class AA 3.575%, 7/15/29		707,465		662
American Airlines Pass-Through Trust, Series 2017-2, Class AA 3.350%, 4/15/31		140,466		128
British Airways Pass-Through Trust, Series 2020-1, Class A
2.900%, 9/15/36 144A		363,865		314
4.250%, 5/15/34 144A		98,194		92
Carnival Corp.
4.000%, 8/1/28 144A		2,300,000		2,142
Ford Motor Credit Co. LLC
1.744%, 7/19/24 EUR ∞		200,000		214
2.330%, 11/25/25 EUR ∞		100,000		105
2.386%, 2/17/26 EUR ∞		100,000		105
2.748%, 6/14/24 GBP ∞		700,000		878
3.250%, 9/15/25 EUR ∞		300,000		320
3.625%, 6/17/31		2,900,000		2,508
3.815%, 11/2/27		300,000		281
4.134%, 8/4/25		200,000		195
4.389%, 1/8/26		800,000		780
4.535%, 3/6/25 GBP ∞		100,000		125
7.200%, 6/10/30		25,000		27
7.350%, 11/4/27		50,000		52
7.350%, 3/6/30		25,000		27
IHO Verwaltungs GmbH 3.750%, 9/15/26 EUR §,∞		3,250,000		3,453
JetBlue Airways Corp. 4.000%, 5/15/34		723,320		670
John Lewis PLC 4.250%, 12/18/34 GBP §,∞		1,000,000		968
Las Vegas Sands Corp. 3.900%, 8/8/29		100,000		91
Marks & Spencer PLC
4.500%, 7/10/27 GBP §,∞		300,000		365
6.000%, 6/12/25 GBP §,∞		1,000,000		1,265
Mattel, Inc.
3.375%, 4/1/26 144A		100,000		96
Melco Resorts Finance, Ltd.
4.875%, 6/6/25 144A		5,700,000		5,563
5.375%, 12/4/29 144A		700,000		639
Mitchells & Butlers Finance PLC
5.764%, (SONIO plus 0.569%), 12/15/30 GBP §,∞		749,166		864
6.060%, (US SOFR plus 0.712%), 12/15/30 §		136,212		126
6.469%, 9/15/32 GBP §,∞		200,000		226
NCL Corp., Ltd.
8.125%, 1/15/29 144A		1,200,000		1,270

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
Nissan Motor Acceptance Corp. 2.000%, 3/9/26 144A		400,000		370
Nissan Motor Co., Ltd.
3.201%, 9/17/28 EUR §,∞		500,000		521
4.345%, 9/17/27 144A		3,500,000		3,327
Pinnacle Bidco PLC
1.000%, 10/11/28 144A GBP ∞		1,500,000		1,974
Renault SA
2.375%, 5/25/26 EUR §,∞		3,900,000		4,056
Ritchie Bros Holdings, Inc.
7.750%, 3/15/31 144A		1,500,000		1,569
Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC
11.493%, (CME Term SOFR 6 Month plus 6.030%), 10/15/26 144A		1,900,000		1,911
Royal Caribbean Cruises, Ltd.
7.250%, 1/15/30 144A		1,000,000		1,039
Sands China, Ltd.
2.300%, 3/8/27		400,000		362
3.250%, 8/8/31		1,100,000		920
4.050%, 1/8/26		1,700,000		1,634
5.400%, 8/8/28		3,200,000		3,138
Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd. 8.000%, 9/20/25 144A		775,000		588
United Airlines Pass-Through Trust, Series 2014-1, Class A 4.000%, 10/11/27		535,056		518
United Airlines Pass-Through Trust, Series 2019-2, Class A 2.900%, 11/1/29		82,768		73
United Airlines Pass-Through Trust, Series 2020-1, Class A 5.875%, 4/15/29		1,737,015		1,731
United Airlines Pass-Through Trust, Series 2023-1, Class A 5.800%, 7/15/37		3,700,000		3,762
US Airways Pass-Through Trust, Series 2012-1, Class A 5.900%, 4/1/26		509,794		509
Viking Cruises, Ltd. 9.125%, 7/15/31 144A		425,000		465
Walgreens Boots Alliance, Inc.
3.600%, 11/20/25 GBP ∞		900,000		1,093
Wynn Macau, Ltd.
5.500%, 1/15/26 144A		200,000		195
5.500%, 1/15/26 §		500,000		487
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.
5.125%, 10/1/29 144A		800,000		758
7.125%, 2/15/31 144A		1,000,000		1,035
ZF Europe Finance BV 2.000%, 2/23/26 EUR §,∞		2,000,000		2,061
ZF Finance GmbH
2.750%, 5/25/27 EUR §,∞		4,300,000		4,412
3.750%, 9/21/28 EUR §,∞		2,000,000		2,082
Total				66,383

2

Multi-Sector Bond Portfolio

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical (4.8%)
Abertis Infraestructuras SA
1.625%, 7/15/29 EUR §,∞		500,000		487
1.875%, 3/26/32 EUR §,∞		600,000		559
3.000%, 3/27/31 EUR §,∞		600,000		616
3.375%, 11/27/26 GBP §,∞		2,100,000		2,519
Albion Financing 1 SARL / Aggreko Holdings, Inc.
5.250%, 10/15/26 EUR §,∞		1,600,000		1,737
6.125%, 10/15/26 144A		300,000		297
Amgen, Inc. 5.650%, 3/2/53		1,000,000		1,019
Ashtead Capital, Inc. 5.800%, 4/15/34 144A		1,000,000		999
Bacardi, Ltd. 4.700%, 5/15/28 144A		2,900,000		2,826
BAT Capital Corp. 3.222%, 8/15/24		58,000		57
Bausch & Lomb Corp. 8.375%, 10/1/28 144A		700,000		724
Bellis Acquisition Co. PLC 3.250%, 2/16/26 GBP §,∞		3,400,000		4,046
Boost Newco Borrower LLC 7.500%, 1/15/31 144A		2,000,000		2,094
Centene Corp.
4.250%, 12/15/27		200,000		191
4.625%, 12/15/29		500,000		475
Cheplapharm Arzneimittel GmbH 7.500%, 5/15/30 144A EUR ∞		1,000,000		1,138
CHS / Community Health Systems, Inc.
6.000%, 1/15/29 144A		700,000		611
8.000%, 3/15/26 144A		346,000		345
Constellation Brands, Inc. 3.700%, 12/6/26		200,000		193
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC 6.625%, 7/15/30 144A		2,300,000		2,336
CVS Pass-Through Trust
4.704%, 1/10/36 144A		330,929		303
5.926%, 1/10/34 144A		544,943		535
7.507%, 1/10/32 144A		53,245		55
Elevance Health, Inc. 4.750%, 2/15/33		900,000		878
Fortrea Holdings, Inc. 7.500%, 7/1/30 144A		900,000		929
HCA, Inc.
5.200%, 6/1/28		2,000,000		2,006
5.450%, 4/1/31		1,200,000		1,206
Imperial Brands Finance PLC
3.500%, 7/26/26 144A		200,000		191
6.125%, 7/27/27 144A		2,200,000		2,244
IQVIA, Inc. 5.700%, 5/15/28		1,700,000		1,724
LifePoint Health, Inc. 11.000%, 10/15/30 144A		1,600,000		1,710
Loxam SAS 2.875%, 4/15/26 EUR §,∞		100,000		105
Market Bidco Finco PLC 4.750%, 11/4/27 EUR §,∞		1,698,000		1,717
Medline Borrower LP / Medline Co-Issuer, Inc. 6.250%, 4/1/29 144A		2,000,000		2,009

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Mundys SpA
1.625%, 2/3/25 EUR §,∞		1,200,000		1,263
1.875%, 7/13/27 EUR §,∞		400,000		402
1.875%, 2/12/28 EUR §,∞		5,500,000		5,456
Nexi SpA 2.125%, 4/30/29 EUR §,∞		3,700,000		3,578
Organon & Co. / Organon Foreign Debt Co-Issuer BV
2.875%, 4/30/28 EUR §,∞		2,800,000		2,809
4.125%, 4/30/28 144A		2,000,000		1,864
Perrigo Finance Unlimited Co. 4.650%, 6/15/30		200,000		184
Star Parent, Inc. 9.000%, 10/1/30 144A		1,300,000		1,376
Teva Pharmaceutical Finance Netherlands II BV
4.375%, 5/9/30 EUR ∞		2,000,000		2,074
4.500%, 3/1/25 EUR ∞		137,000		147
Wand NewCo 3, Inc. 7.625%, 1/30/32 144A		800,000		827
Total				58,861
Energy (7.9%)
Aker BP ASA 3.750%, 1/15/30 144A		400,000		366
Antero Midstream Partners LP / Antero Midstream Finance Corp. 6.625%, 2/1/32 144A		1,250,000		1,255
Blue Racer Midstream LLC / Blue Racer Finance Corp.
6.625%, 7/15/26 144A		100,000		100
7.625%, 12/15/25 144A		1,500,000		1,508
CGG SA 8.750%, 4/1/27 144A		300,000		272
Cheniere Corpus Christi Holdings LLC 5.125%, 6/30/27		100,000		100
Cheniere Energy Partners LP 4.000%, 3/1/31		1,400,000		1,272
Continental Resources, Inc. 4.375%, 1/15/28		1,400,000		1,353
Ecopetrol SA 8.375%, 1/19/36		1,200,000		1,211
El Paso Natural Gas Co. LLC 8.375%, 6/15/32		200,000		230
Enbridge, Inc. 5.700%, 3/8/33		900,000		922
Energy Transfer LP
2.900%, 5/15/25		100,000		97
3.750%, 5/15/30		200,000		184
4.950%, 5/15/28		1,200,000		1,190
5.000%, 5/15/50		200,000		176
5.250%, 4/15/29		100,000		100
6.050%, 6/1/41		100,000		100
6.500%, 2/1/42		300,000		318
6.625%, 10/15/36		500,000		529
7.500%, 7/1/38		1,700,000		1,954
EQM Midstream Partners LP 4.500%, 1/15/29 144A		1,500,000		1,406
EQT Corp. 6.625%, 2/1/25		3,044,000		3,048

3

Multi-Sector Bond Portfolio

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Energy continued
Genesis Energy LP / Genesis Energy Finance Corp. 8.250%, 1/15/29		800,000		821
Gray Oak Pipeline LLC 3.450%, 10/15/27 144A		500,000		469
Howard Midstream Energy Partners LLC 8.875%, 7/15/28 144A		1,800,000		1,899
KazMunayGas National Co. JSC
5.375%, 4/24/30 §		600,000		588
5.750%, 4/19/47 §		1,200,000		1,041
Kinder Morgan Energy Partners LP 6.550%, 9/15/40		2,382,000		2,501
Kinder Morgan, Inc. 7.750%, 1/15/32		1,216,000		1,380
Midwest Connector Capital Co. LLC 3.900%, 4/1/24 144A		200,000		200
MPLX LP 4.250%, 12/1/27		100,000		97
NGPL PipeCo LLC 7.768%, 12/15/37 144A		3,900,000		4,345
Noble Finance II LLC 8.000%, 4/15/30 144A		1,400,000		1,458
NuStar Logistics LP
5.625%, 4/28/27		1,400,000		1,386
6.000%, 6/1/26		200,000		199
Occidental Petroleum Corp. 5.875%, 9/1/25		700,000		702
Odebrecht Oil & Gas Finance, Ltd. 0.000%, 5/13/24 PO§,µ		782,000		41
Permian Resources Operating LLC 7.000%, 1/15/32 144A		1,300,000		1,349
Pertamina Persero PT 6.500%, 11/7/48 144A		4,300,000		4,612
Petroleos de Venezuela SA
5.375%, 4/12/27 §,j		6,500,000		586
5.500%, 4/12/37 §,j		4,300,000		387
Petroleos Mexicanos
2.750%, 4/21/27 EUR §,∞		1,100,000		1,012
4.750%, 2/26/29 EUR §,∞		3,000,000		2,716
5.625%, 1/23/46		378,000		226
5.950%, 1/28/31		2,400,000		1,925
6.350%, 2/12/48		1,700,000		1,084
6.625%, 6/15/35		3,700,000		2,807
6.625%, 6/15/38		2,000,000		1,424
6.700%, 2/16/32		536,000		446
6.750%, 9/21/47		2,900,000		1,929
7.690%, 1/23/50		2,580,000		1,856
Petrorio Luxembourg SARL 6.125%, 6/9/26 144A		200,000		197
Plains All American Pipeline LP / PAA Finance Corp.
4.900%, 2/15/45		1,100,000		957
6.650%, 1/15/37		277,000		296
Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.838%, 9/30/27 144A		1,590,220		1,607
Rio Oil Finance Trust 9.750%, 1/6/27 §		224,888		234
Sabine Pass Liquefaction LLC
4.500%, 5/15/30		700,000		673
5.625%, 3/1/25		4,900,000		4,896

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Energy continued
5.750%, 5/15/24		100,000		100
5.875%, 6/30/26		400,000		403
Santos Finance, Ltd. 3.649%, 4/29/31 144A		700,000		610
Seadrill Finance, Ltd. 8.375%, 8/1/30 144A		1,500,000		1,574
Sitio Royalties Operating Partnership LP / Sitio Finance Corp. 7.875%, 11/1/28 144A		1,100,000		1,138
Southern Gas Corridor CJSC 6.875%, 3/24/26 §		1,100,000		1,111
Southwestern Energy Co. 5.375%, 2/1/29		100,000		97
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 5.500%, 1/15/28 144A		7,400,000		7,130
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.500%, 3/1/30		1,200,000		1,194
TMS Issuer SARL 5.780%, 8/23/32 144A		3,400,000		3,492
Transocean Aquila, Ltd. 8.000%, 9/30/28 144A		1,100,000		1,129
Valaris, Ltd. 8.375%, 4/30/30 144A		1,000,000		1,032
Venture Global Calcasieu Pass LLC
3.875%, 8/15/29 144A		2,700,000		2,430
3.875%, 11/1/33 144A		1,600,000		1,359
Venture Global LNG, Inc.
8.375%, 6/1/31 144A		2,700,000		2,784
9.500%, 2/1/29 144A		2,000,000		2,156
Vital Energy, Inc. 7.875%, 4/15/32 144A		1,100,000		1,117
Western Midstream Operating, LP 3.100%, 2/1/25		1,200,000		1,174
Total				96,067
Financial (13.5%)
ADLER Group SA
4.625%, 1/14/26 EUR §,∞		3,000,000		1,251
5.500%, 11/13/26 EUR §,∞		5,100,000		2,110
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.650%, 7/21/27		500,000		473
4.450%, 4/3/26		900,000		885
4.625%, 10/15/27		500,000		487
Aircastle, Ltd.
2.850%, 1/26/28 144A		600,000		539
4.250%, 6/15/26		300,000		291
5.250%, 8/11/25 144A		2,400,000		2,379
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7.000%, 1/15/31 144A		1,200,000		1,212
Ally Financial, Inc.
6.848%, (US SOFR plus 2.820%), 1/3/30 a		1,000,000		1,029
8.000%, 11/1/31		1,371,000		1,527
American Tower Corp. 5.900%, 11/15/33		2,500,000		2,589
Antares Holdings LP 2.750%, 1/15/27 144A		250,000		224

4

Multi-Sector Bond Portfolio

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
Athene Global Funding 5.339%, 1/15/27 144A		1,500,000		1,493
Athora Netherlands NV
2.375%, 5/17/24 EUR §,∞		700,000		751
7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,∞,a,y		200,000		216
Aviation Capital Group LLC 5.500%, 12/15/24 144A		1,000,000		996
Avolon Holdings Funding, Ltd. 2.528%, 11/18/27 144A		2,173,000		1,933
Banca Monte dei Paschi di Siena SpA
1.875%, 1/9/26 EUR §,∞		300,000		307
2.625%, 4/28/25 EUR §,∞		1,600,000		1,683
5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,∞,a		3,800,000		4,286
8.000%, (5 Year EUR Annual Swap Rate plus 8.149%), 1/22/30 EUR §,∞,a		500,000		545
8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,∞,a		800,000		886
Banco Bilbao Vizcaya Argentaria SA
6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,∞,a,y		1,600,000		1,726
6.138%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.700%), 9/14/28 a		2,300,000		2,349
Banco BTG Pactual SA 4.500%, 1/10/25 144A		500,000		493
Banco de Sabadell SA
1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,∞,a		200,000		206
Banco do Brasil SA 8.500%, 7/29/26 MXN §,∞		22,000,000		1,267
Banco Votorantim SA 4.500%, 9/24/24 §		200,000		199
Bank of America Corp.
3.419%, (US SOFR 3 Month plus 1.302%), 12/20/28 a		973,000		913
5.875%, (US SOFR 3 Month plus 3.193%), 3/15/28 µ,a		3,700,000		3,643
Bank of Ireland Group PLC
6.253%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 9/16/26 144A a		600,000		604
7.500%, (5 Year EUR Annual Swap Rate plus 7.924%), 5/19/25 EUR §,µ,∞,a,y		1,700,000		1,861
Barclays PLC
5.501%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 8/9/28 a		3,000,000		2,991
6.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.867%), 12/15/25 µ,a,y		500,000		483
7.437%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.500%), 11/2/33 a		500,000		555
BNP Paribas SA
1.904%, (US SOFR plus 1.609%), 9/30/28 144A a		1,700,000		1,512
5.497%, (US SOFR plus 1.590%), 5/20/30 144A a		1,100,000		1,102

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
CaixaBank SA 5.673%, (US SOFR plus 1.780%), 3/15/30 144A a		1,300,000		1,299
Cantor Fitzgerald LP
4.875%, 5/1/24 144A		100,000		100
7.200%, 12/12/28 144A		1,200,000		1,241
Chubb INA Holdings, Inc. 0.875%, 6/15/27 EUR ∞		200,000		200
Citigroup, Inc. 3.400%, 5/1/26		400,000		385
Corestate Capital Holding SA 10.000%, 12/31/26 EUR ∞,Þ		200,000		190
Credicorp Capital Sociedad Titulizadora SA 10.100%, 12/15/43 144A PEN §,∞		11,300,000		3,061
Credit Acceptance Corp. 9.250%, 12/15/28 144A		1,200,000		1,291
Crown Castle, Inc.
2.100%, 4/1/31		1,700,000		1,376
5.000%, 1/11/28		1,700,000		1,682
DAE Sukuk DIFC, Ltd. 3.750%, 2/15/26 144A		1,000,000		964
Deutsche Bank AG
1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,∞,a		2,500,000		2,261
1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,∞,a		3,700,000		3,511
3.035%, (US SOFR plus 1.718%), 5/28/32 a		200,000		169
3.547%, (US SOFR plus 3.043%), 9/18/31 a		1,300,000		1,145
3.729%, (US SOFR plus 2.757%), 1/14/32 a		3,300,000		2,779
3.742%, (US SOFR plus 2.257%), 1/7/33 a		700,000		578
5.882%, (US SOFR plus 5.438%), 7/8/31 a		400,000		390
DrillCo Holding Lux SA 7.500%, 6/15/30 §		277,407		260
Encore Capital Group, Inc. 9.250%, 4/1/29 144A		1,200,000		1,229
Fairfax Financial Holdings, Ltd. 2.750%, 3/29/28 EUR §,∞		1,700,000		1,752
Fidelity National Financial, Inc. 3.400%, 6/15/30		200,000		178
Freedom Mortgage Corp.
6.625%, 1/15/27 144A		500,000		485
7.625%, 5/1/26 144A		2,100,000		2,097
12.000%, 10/1/28 144A		1,000,000		1,090
GLP Capital LP / GLP Financing II, Inc.
3.350%, 9/1/24		100,000		99
5.750%, 6/1/28		400,000		400
goeasy, Ltd. 9.250%, 12/1/28 144A		1,100,000		1,173
The Goldman Sachs Group, Inc.
3.375%, 3/27/25 EUR §,∞		200,000		215
6.484%, (US SOFR plus 1.770%), 10/24/29 a		1,500,000		1,578
HAT Holdings I LLC / HAT Holdings II LLC 8.000%, 6/15/27 144A		2,250,000		2,346
HSBC Holdings PLC
1.645%, (US SOFR plus 1.538%), 4/18/26 a		200,000		192
2.099%, (US SOFR plus 1.929%), 6/4/26 a		200,000		192
2.804%, (US SOFR plus 1.187%), 5/24/32 a		3,300,000		2,768
3.973%, (US SOFR 3 Month plus 1.872%), 5/22/30 a		4,900,000		4,579

5

Multi-Sector Bond Portfolio

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
Hudson Pacific Properties LP 3.250%, 1/15/30		500,000		385
ING Groep NV
5.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 4.342%), 11/16/26 µ,a,y		1,800,000		1,714
6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ,a,y		900,000		900
Intesa Sanpaolo SpA
3.250%, 9/23/24 144A		300,000		296
4.000%, 9/23/29 144A		200,000		185
5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,∞,a,y		2,025,000		2,089
5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,∞,a,y		450,000		457
Jefferies Finance LLC / JFIN Co-Issuer Corp. 5.000%, 8/15/28 144A		1,500,000		1,379
JPMorgan Chase & Co.
5.040%, (US SOFR plus 1.190%), 1/23/28 a		2,000,000		1,993
5.336%, (US SOFR plus 1.620%), 1/23/35 a		1,300,000		1,305
Kaisa Group Holdings, Ltd.
9.375%, 6/30/24 §,j		400,000		10
9.750%, 9/28/23 §,j		600,000		12
10.500%, 1/15/25 §,j		1,100,000		22
10.875%, 7/23/23 §,j		400,000		8
11.250%, 4/16/25 §,j		3,500,000		70
11.650%, 6/1/26 §,j		1,000,000		20
Kennedy Wilson, Inc. 4.750%, 2/1/30		1,800,000		1,436
Lazard Group LLC 6.000%, 3/15/31		1,200,000		1,211
LeasePlan Corp. NV 2.875%, 10/24/24 144A		300,000		295
Lloyds Banking Group PLC
4.976%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/11/33 a		200,000		193
5.679%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.750%), 1/5/35 a		1,700,000		1,710
Logicor Financing SARL 3.250%, 11/13/28 EUR §,∞		600,000		621
Macquarie Airfinance Holdings, Ltd. 6.500%, 3/26/31 144A		1,200,000		1,221
Marsh & McLennan Cos., Inc. 1.349%, 9/21/26 EUR ∞		100,000		103
Morgan Stanley
3.790%, (Euribor 3 Month ACT/360 plus 1.037%), 3/21/30 EUR ∞,a		1,800,000		1,958
5.466%, (US SOFR plus 1.730%), 1/18/35 a		2,000,000		2,018
Nationstar Mortgage Holdings, Inc. 7.125%, 2/1/32 144A		1,300,000		1,291
NatWest Group PLC
4.800%, 4/5/26		2,800,000		2,767
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 a		3,700,000		3,622
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.625%), 12/29/25 µ,a,y		500,000		488
Newmark Group, Inc. 7.500%, 1/12/29 144A		1,200,000		1,234

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,µ,∞,a		2,600,000		2,803
OMEGA Healthcare Investors, Inc.
4.500%, 1/15/25		100,000		99
4.950%, 4/1/24		100,000		100
OneMain Finance Corp.
3.500%, 1/15/27		1,100,000		1,021
4.000%, 9/15/30		700,000		599
6.875%, 3/15/25		1,900,000		1,920
7.125%, 3/15/26		1,400,000		1,425
Pacific Life Global Funding II 1.200%, 6/24/25 144A		200,000		190
Panther Escrow Issuer LLC 7.125%, 6/1/31 144A		1,800,000		1,830
PennyMac Financial Services, Inc. 7.875%, 12/15/29 144A		1,800,000		1,850
PRA Group, Inc. 8.375%, 2/1/28 144A		1,300,000		1,294
RLJ Lodging Trust LP 3.750%, 7/1/26 144A		200,000		191
Sammons Financial Group, Inc. 6.875%, 4/15/34 144A		1,500,000		1,510
Santander UK Group Holdings PLC
2.896%, (US SOFR plus 1.475%), 3/15/32 a		800,000		681
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 a		4,000,000		3,761
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 6/24/24 GBP §,µ,∞,a,y		1,390,000		1,748
Sberbank of Russia Via SB Capital SA 5.250%, 5/23/23 §,Æ,j,y		4,500,000		225
Sunac China Holdings, Ltd.
6.000%, 9/30/26 144A Þ		249,801		28
6.250%, 9/30/26 144A Þ		249,801		25
6.500%, 9/30/27 144A Þ		499,604		43
6.750%, 9/30/28 144A Þ		749,407		53
7.000%, 9/30/29 144A Þ		749,407		49
7.250%, 9/30/30 144A Þ		352,037		23
Tesco Property Finance 3 PLC 5.744%, 4/13/40 GBP §,∞		89,519		115
Tesco Property Finance 6 PLC 5.411%, 7/13/44 GBP §,∞		2,491,844		3,103
Trust Fibra Uno
6.390%, 1/15/50 144A		100,000		81
7.375%, 2/13/34 144A		1,200,000		1,197
UBS Group AG
4.703%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.050%), 8/5/27 144A a		400,000		393
5.428%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.520%), 2/8/30 144A a		1,200,000		1,202
6.327%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 12/22/27 144A a		3,000,000		3,065
UniCredit SpA 7.296%, (USD 5 Year Swap Rate plus 4.914%), 4/2/34 144A a		5,700,000		5,858
Virgin Money UK PLC 3.125%, (SONIA Interest Rate Benchmark plus 2.569%), 6/22/25 GBP §,∞,a		100,000		125

6

Multi-Sector Bond Portfolio

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
3.375%, (1 Year GBP Swap Rate plus 2.145%), 4/24/26 GBP §,∞,a		100,000		123
4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,∞,a		500,000		616
4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27 GBP §,∞,a		200,000		244
Wells Fargo & Co.
1.000%, 2/2/27 EUR §,∞		1,500,000		1,507
4.808%, (US SOFR plus 1.980%), 7/25/28 a		200,000		197
5.574%, (US SOFR plus 1.740%), 7/25/29 a		1,500,000		1,518
Weyerhaeuser Co. 7.375%, 3/15/32		424,000		482
Yango Justice International, Ltd.
7.500%, 4/15/24 §,j		4,200,000		2
7.875%, 9/4/24 §,j		600,000		–π
Total				163,560
Industrial (2.7%)
Berry Global, Inc. 1.570%, 1/15/26		100,000		93
The Boeing Co. 3.950%, 8/1/59		2,000,000		1,369
Constellation Oil Services Holding SA 3.000%, 12/31/26		103,110		82
DAE Funding LLC
1.550%, 8/1/24 144A		1,700,000		1,672
2.625%, 3/20/25 144A		500,000		484
3.375%, 3/20/28 144A		700,000		644
3.375%, 3/20/28 §		200,000		184
Empresa de Transporte de Pasajeros Metro SA 4.700%, 5/7/50 §		1,400,000		1,157
ESAB Corp.
6.250%, 4/15/29 144A		1,200,000		1,206
Flex, Ltd. 3.750%, 2/1/26		700,000		679
Fortress Transportation & Infrastructure Investors LLC
5.500%, 5/1/28 144A		400,000		388
6.500%, 10/1/25 144A		4,818,000		4,811
GE Capital UK Funding Unlimited Co. 5.875%, 1/18/33 GBP ∞		800,000		1,062
General Electric Co. 4.125%, 9/19/35 EUR §,∞		500,000		567
GN Bondco LLC 9.500%, 10/15/31 144A		1,200,000		1,198
Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A		262,054		260
The Manitowoc Co., Inc. 9.000%, 4/1/26 144A		6,200,000		6,195
Rolls-Royce PLC
4.625%, 2/16/26 EUR §,∞		1,600,000		1,743
5.750%, 10/15/27 144A		200,000		200
5.750%, 10/15/27 GBP §,∞		100,000		127
SMBC Aviation Capital Finance DAC 2.300%, 6/15/28 144A		200,000		177
Spirit Aerosystems, Inc.
9.375%, 11/30/29 144A		100,000		109
9.750%, 11/15/30 144A		1,500,000		1,678

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Industrial continued
Standard Industries, Inc. 2.250%, 11/21/26 EUR §,∞		2,600,000		2,627
TransDigm, Inc. 7.125%, 12/1/31 144A		1,600,000		1,649
XPO, Inc.
6.250%, 6/1/28 144A		1,200,000		1,210
7.125%, 2/1/32 144A		1,300,000		1,338
Total				32,909
Technology (1.6%)
Booz Allen Hamilton, Inc. 3.875%, 9/1/28 144A		1,200,000		1,124
Broadcom, Inc.
2.450%, 2/15/31 144A		700,000		590
3.137%, 11/15/35 144A		1,500,000		1,212
Dell International LLC / EMC Corp.
5.300%, 10/1/29		4,300,000		4,353
6.020%, 6/15/26		149,000		151
8.100%, 7/15/36		162,000		196
Marvell Technology, Inc. 5.750%, 2/15/29		1,300,000		1,331
NCR Atleos Corp. 9.500%, 4/1/29 144A		1,600,000		1,711
NXP BV / NXP Funding LLC 5.350%, 3/1/26		1,600,000		1,600
Seagate HDD Cayman
4.125%, 1/15/31		650,000		576
9.625%, 12/1/32		920,000		1,048
Ubisoft Entertainment SA 0.878%, 11/24/27 EUR §,∞		800,000		734
UKG, Inc. 6.875%, 2/1/31 144A		2,800,000		2,853
VMware LLC
4.500%, 5/15/25		300,000		297
4.650%, 5/15/27		1,400,000		1,376
4.700%, 5/15/30		100,000		97
Total				19,249
Utilities (3.0%)
American Electric Power Co., Inc. 5.625%, 3/1/33		1,000,000		1,015
Centrais Eletricas Brasileiras SA 4.625%, 2/4/30 144A		300,000		275
Chile Electricity Lux MPC SARL 6.010%, 1/20/33 144A		1,100,000		1,109
Constellation Energy Generation, LLC 6.500%, 10/1/53		1,000,000		1,100
Edison International 5.750%, 6/15/27		100,000		101
Electricite de France SA
4.500%, 9/21/28 144A		900,000		871
6.250%, 5/23/33 144A		1,200,000		1,257
9.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.411%), 3/15/33 144A µ,a		1,500,000		1,653
Exelon Corp. 5.450%, 3/15/34		1,200,000		1,208
Georgia Power Co. 5.250%, 3/15/34		1,200,000		1,212

7

Multi-Sector Bond Portfolio

Corporate Bonds (43.3%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Lumen Technologies, Inc.
4.125%, 4/15/29 144A		42,500		27
4.125%, 4/15/30 144A		42,500		26
Monongahela Power Co. 5.850%, 2/15/34 144A		900,000		924
Nakilat, Inc.
6.067%, 12/31/33 §		832,690		869
6.267%, 12/31/33 144A		420,798		439
National Fuel Gas Co. 5.200%, 7/15/25		300,000		298
NextEra Energy Operating Partners LP 7.250%, 1/15/29 144A		1,000,000		1,023
NPC Ukrenergo 6.875%, 11/9/28 §,j		800,000		297
Pacific Gas & Electric Co.
2.100%, 8/1/27		100,000		90
2.500%, 2/1/31		100,000		83
2.950%, 3/1/26		100,000		95
3.150%, 1/1/26		1,600,000		1,538
3.300%, 3/15/27		200,000		189
3.300%, 12/1/27		500,000		465
3.300%, 8/1/40		2,700,000		1,977
3.450%, 7/1/25		300,000		292
3.500%, 6/15/25		1,500,000		1,461
3.750%, 7/1/28		100,000		94
4.200%, 6/1/41		100,000		81
4.250%, 3/15/46		100,000		78
4.450%, 4/15/42		300,000		246
4.550%, 7/1/30		500,000		475
PacifiCorp 5.450%, 2/15/34		2,200,000		2,207
Perusahaan Listrik Negara PT
3.000%, 6/30/30 144A		1,500,000		1,306
6.150%, 5/21/48 §		3,300,000		3,340
PPL Electric Utilities Corp. 4.850%, 2/15/34		1,650,000		1,623
Southern California Edison Co.
5.200%, 6/1/34		1,100,000		1,089
5.650%, 10/1/28		1,250,000		1,286
Tierra Mojada Luxembourg II SARL 5.750%, 12/1/40 §		2,985,409		2,743
Virginia Electric & Power Co. 5.000%, 1/15/34		2,000,000		1,964
Total				36,426
Total Corporate Bonds (Cost: $592,541)				525,803
Convertible Corporate Bonds (0.0%)
Financial (0.0%)
Sunac China Holdings, Ltd. 1.000%, 9/30/32 144A Þ		755,877		45
Total				45
Total Convertible Corporate Bonds (Cost: $623)				45

Governments (19.6%)	Shares/ Par +		Value $ (000’s)
Governments (19.6%)
Abu Dhabi Government International Bond
2.700%, 9/2/70 144A		3,700,000		2,169
2.700%, 9/2/70 §		900,000		528
3.875%, 4/16/50 §		1,500,000		1,197
Albania Government International Bond 3.500%, 6/16/27 144A EUR ∞		1,400,000		1,463
Angolan Government International Bond
8.000%, 11/26/29 §		1,200,000		1,116
9.125%, 11/26/49 §		1,600,000		1,352
Arab Republic of Egypt 7.500%, 2/16/61 144A		1,900,000		1,363
Argentine Republic Government International Bond
0.750%, 7/9/30		800,857		416
1.000%, 7/9/29		405,455		216
3.500%, 7/9/41		13,493,196		5,424
3.625%, 7/9/35		5,922,164		2,452
Australian Government 4.250%, 4/21/26 AUD §,∞		2,400,000		1,582
Banque Ouest Africaine de Developpement 2.750%, 1/22/33 144A EUR ∞		500,000		415
Benin Government International Bond 7.960%, 2/13/38 144A		2,500,000		2,431
Brazilian Government International Bond
5.000%, 1/27/45		1,000,000		798
7.125%, 5/13/54		2,250,000		2,265
Colombia Government International Bond
4.500%, 3/15/29		3,800,000		3,494
5.000%, 6/15/45		6,000,000		4,342
5.200%, 5/15/49		200,000		147
8.000%, 11/14/35		1,000,000		1,050
Costa Rica Government International Bond 7.300%, 11/13/54 144A		800,000		849
Dominican Republic International Bond
4.875%, 9/23/32 144A		550,000		492
4.875%, 9/23/32 §		1,700,000		1,522
6.500%, 2/15/48 144A		2,800,000		2,660
6.500%, 2/15/48 §		1,000,000		950
6.875%, 1/29/26 §		500,000		504
Ecuador Government International Bond
0.000%, 7/31/30 144A PO		323,958		160
2.500%, 7/31/40 144A		1,225,800		594
3.500%, 7/31/35 144A		2,674,620		1,402
3.500%, 7/31/35 §		2,961,000		1,552
6.000%, 7/31/30 §		2,350,000		1,591
Egypt Government International Bond
6.375%, 4/11/31 EUR §,∞		6,550,000		5,841
7.500%, 2/16/61 §		800,000		574
Federal Republic of Nigeria
7.625%, 11/28/47 §		700,000		543
7.696%, 2/23/38 §		600,000		492
7.875%, 2/16/32 §		2,800,000		2,532
Ghana Government International Bond
8.125%, 3/26/32 §,j		400,000		205
8.950%, 3/26/51 §,j		800,000		406
Guatemala Government Bond 6.600%, 6/13/36 144A		1,700,000		1,734
Hungary Government International Bond
5.375%, 9/12/33 EUR §,∞		3,100,000		3,524
5.500%, 3/26/36 144A		1,400,000		1,358

8

Multi-Sector Bond Portfolio

Governments (19.6%)	Shares/ Par +		Value $ (000’s)
Governments continued
6.125%, 5/22/28 144A		1,200,000		1,229
Ivory Coast Government International Bond
5.250%, 3/22/30 EUR §,∞		500,000		501
5.875%, 10/17/31 144A EUR ∞		300,000		298
6.625%, 3/22/48 144A EUR ∞		900,000		789
6.625%, 3/22/48 EUR §,∞		800,000		702
6.875%, 10/17/40 144A EUR ∞		400,000		373
6.875%, 10/17/40 EUR §,∞		100,000		93
Kenya Government International Bond 9.750%, 2/16/31 144A		1,400,000		1,433
Kingdom of Jordan
4.950%, 7/7/25 144A		300,000		291
5.850%, 7/7/30 144A		400,000		367
7.500%, 1/13/29 144A		800,000		797
Mexican Udibonos
2.750%, 11/27/31 MXN ∞		8,112,543		418
4.000%, 8/24/34 MXN ∞		31,638,918		1,716
Morocco Government International Bond
4.000%, 12/15/50 144A		500,000		340
5.500%, 12/11/42 §		800,000		702
North Macedonia 3.675%, 6/3/26 144A EUR ∞		500,000		522
Oman Government International Bond
6.000%, 8/1/29 §		900,000		919
6.250%, 1/25/31 144A		2,300,000		2,377
6.500%, 3/8/47 §		500,000		505
6.750%, 1/17/48 §		1,100,000		1,125
Panama Government International Bond
3.750%, 3/16/25		1,100,000		1,070
6.700%, 1/26/36		1,900,000		1,842
6.853%, 3/28/54		3,800,000		3,446
7.500%, 3/1/31		2,200,000		2,280
8.125%, 4/28/34		100,000		107
Provincia de Buenos Aires
37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,∞		35,000		–π
Republic of Chile 4.850%, 1/22/29		1,200,000		1,189
Republic of Indonesia
0.900%, 2/14/27 EUR ∞		1,700,000		1,689
1.400%, 10/30/31 EUR ∞		1,900,000		1,730
1.450%, 9/18/26 EUR ∞		700,000		712
3.375%, 7/30/25 144A EUR ∞		800,000		855
3.750%, 6/14/28 144A EUR ∞		1,900,000		2,054
3.750%, 6/14/28 EUR §,∞		2,200,000		2,379
4.625%, 4/15/43 §		2,700,000		2,520
5.125%, 1/15/45 §		1,800,000		1,780
Republic of Pakistan
6.000%, 4/8/26 §		600,000		535
7.375%, 4/8/31 §		700,000		549
Republic of Paraguay
5.600%, 3/13/48 §		600,000		544
6.100%, 8/11/44 §		300,000		291
Republic of Peru 3.300%, 3/11/41		2,700,000		2,022
Republic of Poland Government International Bond
4.625%, 3/18/29		2,000,000		1,986
5.125%, 9/18/34		2,900,000		2,887

Governments (19.6%)	Shares/ Par +		Value $ (000’s)
Governments continued
5.500%, 3/18/54		1,000,000		992
Republic of South Africa Government International Bond
4.850%, 9/30/29		1,200,000		1,075
4.875%, 4/14/26		600,000		584
5.000%, 10/12/46		500,000		336
5.750%, 9/30/49		4,500,000		3,259
Romanian Government International Bond
2.000%, 4/14/33 144A EUR ∞		1,400,000		1,157
2.875%, 4/13/42 144A EUR ∞		500,000		368
4.125%, 3/11/39 EUR §,∞		1,500,000		1,378
5.625%, 2/22/36 144A EUR ∞		1,700,000		1,827
6.375%, 9/18/33 144A EUR ∞		2,500,000		2,883
Saudi International Bond
4.500%, 10/26/46 §		9,300,000		7,935
5.000%, 1/16/34 144A		10,000,000		9,937
5.750%, 1/16/54 144A		700,000		691
Serbia International Bond
1.500%, 6/26/29 EUR §,∞		2,000,000		1,819
1.650%, 3/3/33 144A EUR ∞		700,000		564
6.500%, 9/26/33 §		1,500,000		1,528
Sri Lanka Government International Bond
7.550%, 3/28/30 §,j		1,600,000		936
7.850%, 3/14/29 §,j		500,000		294
State Agency of Roads of Ukraine 6.250%, 6/24/30 §,j		600,000		171
State of Minas Gerais 5.333%, 2/15/28 §		80,000		79
State of Qatar
4.400%, 4/16/50 144A		1,200,000		1,059
4.400%, 4/16/50 §		2,400,000		2,118
4.817%, 3/14/49 §		800,000		749
5.103%, 4/23/48 §		1,200,000		1,166
Turkiye Government International Bond
4.875%, 4/16/43		6,200,000		4,340
5.750%, 5/11/47		4,400,000		3,338
5.875%, 5/21/30 EUR ∞		2,850,000		3,071
Ukraine Government International Bond
4.375%, 1/27/32 144A EUR ∞,j		1,600,000		460
4.375%, 1/27/32 EUR §,∞,j		1,700,000		489
6.750%, 6/20/28 144A EUR ∞,j		600,000		193
6.876%, 5/21/31 144A j		900,000		262
7.375%, 9/25/34 §,j		300,000		87
8.994%, 2/1/26 144A j		1,000,000		377
United Kingdom Gilt 4.375%, 7/31/54 GBP §,∞		2,000,000		2,506
United Mexican States
2.125%, 10/25/51 EUR ∞		1,000,000		641
3.771%, 5/24/61		5,400,000		3,505
4.490%, 5/25/32 EUR ∞		1,700,000		1,864
4.500%, 1/31/50		2,300,000		1,809
6.350%, 2/9/35		1,700,000		1,753
6.400%, 5/7/54		1,150,000		1,146
US Treasury
1.875%, 8/31/24 b		7,310,000		7,206
2.125%, 11/30/24 b		3,400,000		3,331
2.250%, 11/15/24 b		15,910,000		15,622
2.375%, 8/15/24 b		3,700,000		3,659
4.000%, 11/15/42		19,800,000		18,651
4.750%, 11/15/43		8,700,000		9,025

9

Multi-Sector Bond Portfolio

Governments (19.6%)	Shares/ Par +		Value $ (000’s)
Governments continued
Venezuela Government International Bond
6.000%, 12/9/49 §,j		32,000		4
7.000%, 3/31/38 §,j		204,000		29
7.650%, 4/21/25 §,j		1,955,000		277
8.250%, 10/13/24 §,j		356,000		50
9.000%, 5/7/23 §,j		32,000		5
9.250%, 5/7/28 §,j		1,241,000		197
9.375%, 1/13/34 j		1,400,000		237
Total				238,708
Total Governments (Cost: $269,247)				238,708
Municipal Bonds (0.6%)
Municipal Bonds (0.6%)
American Municipal Power, Inc. 7.834%, 2/15/41 RB		100,000		122
Bay Area Toll Authority, California, Series 2010 6.918%, 4/1/40 RB		200,000		229
City of Riverside California Electric Revenue 7.605%, 10/1/40 RB		200,000		243
Golden State Tobacco Securitization Corp. 3.850%, 6/1/50 RB		2,695,000		2,522
Irvine Ranch California Water District 6.622%, 5/1/40 RB		100,000		112
Los Angeles County California Public Works Financing Authority 7.618%, 8/1/40 RB		200,000		246
Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB		100,000		110
Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB		95,000		110
New York City Transitional Finance Authority 5.508%, 8/1/37 RB		300,000		306
New York State Urban Development Corp. 5.770%, 3/15/39 RB		90,000		92
Port Authority of New York & New Jersey
4.926%, 10/1/51 RB		200,000		195
5.647%, 11/1/40 RB		1,100,000		1,177
State of Illinois
6.630%, 2/1/35 GO		207,308		218
6.725%, 4/1/35 GO		87,692		92
7.350%, 7/1/35 GO		171,429		186
Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB		800,000		823
Total Municipal Bonds (Cost: $6,499)				6,783
Structured Products (27.9%)
Asset Backed Securities (10.4%)
ABFC Trust, Series 2007-WMC1, Class A1A
6.694%, (US SOFR 1 Month plus 1.365%), 6/25/37		7,799,097		5,281
Accredited Mortgage Loan Trust, Series 2005-3, Class M3
6.164%, (US SOFR 1 Month plus 0.835%), 9/25/35		5,891		6

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1
6.344%, (US SOFR 1 Month plus 1.015%), 12/25/34		148,018		133
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2
6.239%, (US SOFR 1 Month plus 0.910%), 1/25/35		33,493		31
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C
5.744%, (US SOFR 1 Month plus 0.415%), 7/25/36		6,972,909		1,663
ACHV ABS Trust, Series 2023-4CP, Class A 6.810%, 11/25/30 144A		963,991		965
ACHV ABS Trust, Series 2023-4CP, Class B 7.240%, 11/25/30 144A		1,600,000		1,613
ACHV ABS Trust, Series 2023-4CP, Class C 7.710%, 11/25/30 144A		700,000		714
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2
6.444%, (US SOFR 1 Month plus 1.115%), (AFC), 3/25/35		56,353		52
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1
6.314%, (US SOFR 1 Month plus 0.985%), 7/25/34		5,516		5
Ares European CLO VI DAC, Series 2013-6A, Class ARR
4.552%, (Euribor 3 Month ACT/360 plus 0.610%), 4/15/30 144A EUR ∞		391,975		421
Ares European CLO, Series 10A, Class AR
4.722%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		993,002		1,063
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4
6.344%, (US SOFR 1 Month plus 1.015%), 6/25/35		70,200		68
Aurium CLO I DAC, Series 2019-1A, Class ARR
4.976%, (Euribor 3 Month ACT/360 plus 1.050%), 3/23/32 144A EUR ∞		250,000		268
Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A
5.360%, 6/20/30 144A		4,000,000		4,020
Babson CLO, Ltd., Series 2018-1A, Class A1
6.526%, (US SOFR 3 Month plus 1.212%), 4/15/31 144A		4,412,392		4,412
Bain Capital Euro CLO, Series 2018-2A, Class AR
4.710%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ∞		289,757		309
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1
6.694%, (US SOFR 1 Month plus 1.365%), 8/25/37		30,519		30
Bluemountain CLO, Ltd., Series 2016-3A, Class AR12
6.507%, (US SOFR 3 Month plus 1.200%), 11/15/30 144A		3,189,460		3,189

10

Multi-Sector Bond Portfolio

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Cairn CLO BV, Series 2014-A4, Class ARRR
4.487%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ∞		243,891		262
Cairn CLO X BV, Series 2018-10A, Class AR
4.722%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		699,341		747
Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R
4.642%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ∞		822,196		877
Carrington Mortgage Loan Trust, Series 2005- FRE1, Class M3
6.209%, (US SOFR 1 Month plus 0.880%), 12/25/35		8,016,000		6,096
CBAM CLO Management LLC, Series 2019-10A, Class A1R
6.699%, (US SOFR 3 Month plus 1.382%), 4/20/32 144A		3,500,000		3,500
Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C
5.864%, (US SOFR 1 Month plus 0.535%), 12/25/36		77,404		75
Citigroup Mortgage Loan Trust, Series 2007-FS1, Class 2A1A
4.516%, (US SOFR 1 Month plus 1.115%), (AFC), 10/25/37 144A		6,753,491		5,956
Countrywide Alternative Loan Trust, Series 2006-5, Class M1
5.969%, (US SOFR 1 Month plus 0.640%), 8/25/36		1,362,083		1,314
Countrywide Asset-Backed Certificates Trust, Series 2004-9, Class MV4
7.019%, (US SOFR 1 Month plus 1.690%), 11/25/34		57,387		56
Countrywide Asset-Backed Certificates Trust, Series 2005-AB4, Class 2A4
6.144%, (US SOFR 1 Month plus 0.815%), 3/25/36		66,186		56
Countrywide Asset-Backed Certificates Trust,
Series 2006-1, Class AF5 4.498%, (AFC), 7/25/36 Σ		76,884		69
Countrywide Asset-Backed Certificates Trust,
Series 2006-26, Class 1A 5.584%, (US SOFR 1 Month plus 0.255%), 6/25/37		331,579		305
Countrywide Asset-Backed Certificates Trust,
Series 2006-BC3, Class M2 5.924%, (US SOFR 1 Month plus 0.595%), 2/25/37		900,000		819
Countrywide Asset-Backed Certificates Trust,
Series 2007-1, Class 2A3 5.584%, (US SOFR 1 Month plus 0.255%), 7/25/37		4,253		4
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 1A 6.284%, (US SOFR 1 Month plus 0.955%), 10/25/47		970,815		924
Countrywide Asset-Backed Certificates Trust,
Series 2007-9, Class 1A 5.644%, (US SOFR 1 Month plus 0.315%), 6/25/47		694,850		590

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Countrywide Asset-Backed Certificates Trust, Series 2007-SEA1, Class 1A1
6.544%, (US SOFR 1 Month plus 1.215%), (AFC), 5/25/47 144A		936,790		728
CPS Auto Trust, Series 2024-A, Class B
5.650%, 5/15/28 144A		1,725,000		1,726
CPS Auto Trust, Series 2024-A, Class C
5.740%, 4/15/30 144A		1,575,000		1,577
CRB Securitization Trust, Series 2023-1, Class A
6.960%, 10/20/33 144A		1,195,622		1,205
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1
5.233%, (US SOFR 1 Month plus 0.735%), 1/25/32		1,761		2
CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR
4.592%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ∞		791,643		847
Ellington Loan Acquisition Trust, Series 2007-2, Class A1
6.494%, (US SOFR 1 Month plus 1.165%), 5/25/37 144A		170,567		166
Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR
4.565%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ∞		299,545		321
Exeter Automobile Receivables Trust, Series 2024-1A, Class B 5.290%, 8/15/28		500,000		498
Exeter Automobile Receivables Trust, Series 2024-1A, Class C 5.410%, 5/15/30		500,000		498
Ford Auto Securitization Trust, Series 2023-BA, Class A1
5.889%, 5/15/26 144A CAD ∞		1,946,174		1,439
Foursight Capital Automobile Receivables Trust, Series 2024-1, Class A2
5.490%, 1/16/29 144A		1,000,000		998
Foursight Capital Automobile Receivables Trust, Series 2024-1, Class B
5.550%, 5/15/29 144A		1,000,000		998
Fremont Home Loan Trust, Series 2005-2, Class M4 6.374%, (US SOFR 1 Month plus 1.045%), 6/25/35		300,000		258
GLS Auto Receivables Trust, Series 2024-1A, Class B
5.490%, 7/17/28 144A		1,200,000		1,198
GLS Auto Select Receivables Trust, Series 2023-2A, Class B
6.670%, 12/17/29 144A		2,000,000		2,066
GSAA Home Equity Trust, Series 2006-17, Class A1
5.564%, (US SOFR 1 Month plus 0.235%), 11/25/36		45,592		11
GSAMP Trust, Series 2004-WF, Class M2
7.094%, (US SOFR 1 Month plus 1.765%), 10/25/34		12,172		12

11

Multi-Sector Bond Portfolio

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
GSAMP Trust, Series 2007-FM2, Class A2B
5.534%, (US SOFR 1 Month plus 0.205%), 1/25/37		143,712		85
GSAMP Trust, Series 2007-NC1, Class A2A
5.494%, (US SOFR 1 Month plus 0.165%), 12/25/46		11,726		6
Harvest CLO XX DAC, Series 2020-A, Class AR
4.650%, (Euribor 3 Month ACT/360 plus 0.680%), 10/20/31 144A EUR ∞		576,819		617
Hertz Vehicle Financing III LLC, Series 2023-1A, Class A
5.490%, 6/25/27 144A		2,600,000		2,603
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4
5.784%, (US SOFR 1 Month plus 0.455%), 4/25/37		500,000		415
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4
6.224%, (US SOFR 1 Month plus 0.895%), 11/25/35		121,462		114
IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2
5.604%, (US SOFR 1 Month plus 0.275%), 7/25/37		302,630		164
Invesco Euro CLO III DAC, Series 3A, Class A
4.862%, (Euribor 3 Month ACT/360 plus 0.920%), 7/15/32 144A EUR ∞		500,000		536
JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class M1
5.744%, (US SOFR 1 Month plus 0.415%), 3/25/37		400,000		380
KKR Financial CLO, Ltd., Series 9, Class AR2
6.526%, (US SOFR 3 Month plus 1.212%), 7/15/30 144A		1,278,124		1,279
Laurelin DAC, Series 2016-1A, Class ARR
4.690%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ∞		303,827		326
LCM XV LP, Series 2015-A, Class AR2
6.579%, (US SOFR 3 Month plus 1.262%), 7/20/30 144A		912,215		912
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4
6.044%, (US SOFR 1 Month plus 0.715%), 2/25/36		51,442		42
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4
5.984%, (US SOFR 1 Month plus 0.655%), 5/25/46		273,906		83
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A
5.744%, (US SOFR 1 Month plus 0.415%), 5/25/36		1,360,386		707
Madison Park Euro Funding XIV DAC, Series 14A, Class A1R
4.742%, (Euribor 3 Month ACT/360 plus 0.800%), 7/15/32 144A EUR ∞		300,000		321
Magnetite CLO, Ltd., Series 2015-12A, Class AR4
6.472%, (US SOFR 3 Month plus 1.150%), 10/15/31 144A		4,000,000		4,000

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Man GLG EURO CLO DAC, Series 2021-3A, Class AR
4.622%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ∞		168,135		181
Man GLG EURO CLO DAC, Series 2022-6A, Class AR
4.752%, (Euribor 3 Month ACT/360 plus 0.810%), 10/15/32 144A EUR ∞		277,130		298
Marble Point CLO X, Ltd., Series 2017-1A, Class AR
6.616%, (US SOFR 3 Month plus 1.302%), 10/15/30 144A		2,779,855		2,783
MASTR Asset Backed Securities Trust, Series 2004-OPT1, Class M1
6.224%, (US SOFR 1 Month plus 0.895%), 2/25/34		639,224		642
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1
6.344%, (US SOFR 1 Month plus 1.015%), 4/25/34		67,347		64
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1
5.744%, (US SOFR 1 Month plus 0.415%), 3/25/36		7,859,023		7,098
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2
5.644%, (US SOFR 1 Month plus 0.315%), 8/25/36		1,935,322		590
MASTR Asset Backed Securities Trust, Series 2006-HE5, Class A3
5.764%, (US SOFR 1 Month plus 0.435%), 11/25/36		1,574,084		915
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5
5.594%, (US SOFR 1 Month plus 0.265%), 10/25/36		1,199,405		392
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1
6.344%, (US SOFR 1 Month plus 1.015%), 2/25/47		669,640		383
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4
6.314%, (US SOFR 1 Month plus 0.985%), 9/25/35		6,107,010		4,893
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ
6.024%, (US SOFR 1 Month plus 0.695%), 1/25/35		714,366		714
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2
6.149%, (US SOFR 1 Month plus 0.820%), 1/25/35		162,120		156
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5
6.434%, (US SOFR 1 Month plus 1.105%), 6/25/35		84,046		82
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C
5.764%, (US SOFR 1 Month plus 0.435%), 9/25/36		57,675		24

12

Multi-Sector Bond Portfolio

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C
5.584%, (US SOFR 1 Month plus 0.255%), 10/25/36		52,048		22
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C
5.694%, (US SOFR 1 Month plus 0.365%), 3/25/37		52,277		22
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1
6.794%, (US SOFR 1 Month plus 1.465%), 2/25/33		12,258		12
Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3
5.674%, (US SOFR 1 Month plus 0.345%), 4/25/37		2,782,719		1,429
Neuberger Berman CLO, Ltd., Series 2013-14A, Class AR2
6.611%, (US SOFR 3 Month plus 1.292%), 1/28/30 144A		4,352,478		4,354
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B
5.604%, (US SOFR 1 Month plus 0.275%), (AFC), 9/25/37		77,581		77
Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR
4.710%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ∞		1,137,087		1,215
OneMain Financial Issuance Trust, Series 2023-2A, Class A2
6.819%, (US 30 Day Average SOFR plus 1.500%), 9/15/36 144A		2,100,000		2,134
Pagaya AI Debt Trust, Series 2024-3, Class A
6.258%, 10/15/31 144A		4,300,000		4,297
Popular Mortgage Pass-Through Trust, Series 2006-A, Class M1
6.029%, (US SOFR 1 Month plus 0.700%), (AFC), 2/25/36		12,307		12
RAAC Series, Series 2007-RP4, Class A
6.144%, (US SOFR 1 Month plus 0.465%), (AFC), 11/25/46 144A		150,752		143
Renaissance Home Equity Loan Trust, Series 2006-4, Class AF 6 5.340%, 1/25/37 Σ		1,514,158		488
Residential Asset Securities Corp., Series 2007-KS3, Class AI4
5.784%, (US SOFR 1 Month plus 0.455%), (AFC), 4/25/37		1,112,702		1,051
Santander Drive Auto Receivables Trust, Series 2023-5, Class B 6.160%, 12/17/29		1,400,000		1,433
Santander Drive Auto Receivables Trust, Series 2023-5, Class C 6.430%, 2/18/31		1,600,000		1,652
Santander Drive Auto Receivables Trust, Series 2023-6, Class B 5.980%, 4/16/29		812,500		826
Santander Drive Auto Receivables Trust, Series 2023-6, Class C 6.400%, 3/17/31		812,500		836

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Saranac CLO, Ltd., Series 2018-6A, Class A1R
6.717%, (US SOFR 3 Month plus 1.402%), 8/13/31 144A		2,534,863		2,544
Saxon Asset Securities Trust, Series 2006-1, Class M1
5.909%, (US SOFR 1 Month plus 0.580%), (AFC), 3/25/36		148,733		140
Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR
6.566%, (US SOFR 3 Month plus 1.242%), 7/25/30 144A		2,349,147		2,349
Soundview Home Loan Trust, Series 2006-2, Class M2
5.969%, (US SOFR 1 Month plus 0.640%), 3/25/36		84,720		84
Soundview Home Loan Trust, Series 2006- OPT2, Class A4
6.004%, (US SOFR 1 Month plus 0.675%), 5/25/36		88,162		84
Soundview Home Loan Trust, Series 2006- OPT3, Class M1
5.909%, (US SOFR 1 Month plus 0.580%), 6/25/36		6,677,096		5,549
Structured Asset Investment Loan Trust, Series 2005-7, Class M2
6.209%, (US SOFR 1 Month plus 0.880%), 8/25/35		218,312		209
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3
5.594%, (US SOFR 1 Month plus 0.265%), 9/25/36		3,751		4
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4
5.784%, (US SOFR 1 Month plus 0.455%), 12/25/36		101,219		97
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6
5.864%, (US SOFR 1 Month plus 0.535%), 2/25/37		39,130		38
Toro European CLO DAC, Series 6A, Class AR
4.856%, (Euribor 3 Month ACT/360 plus 0.920%), 1/12/32 144A EUR ∞		500,000		537
Toro European CLO DAC, Series 7A , Class ARE
4.711%, (Euribor 3 Month ACT/360 plus 0.810%), 2/15/34 144A EUR ∞		250,000		267
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A
5.704%, (US SOFR 1 Month plus 0.375%), 3/25/36 144A		185,089		184
Venture CDO, Ltd., Series 2018-33A, Class A1LR
6.636%, (US SOFR 3 Month plus 1.322%), 7/15/31 144A		979,594		980
Venture XIV CLO, Ltd., Series 2013-14A, Class ARR
6.629%, (US SOFR 3 Month plus 1.292%), 8/28/29 144A		159,397		159

13

Multi-Sector Bond Portfolio

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Venture XXV CLO, Ltd., Series 2016-25A, Class ARR
6.599%, (US SOFR 3 Month plus 1.282%), 4/20/29 144A		290,174		290
Venture XXVIII CLO, Ltd., Series 2017-28A, Class A1R
6.569%, (US SOFR 3 Month plus 1.252%), 7/20/30 144A		167,666		168
Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R
6.619%, (US SOFR 3 Month plus 1.302%), 9/15/30 144A		153,489		153
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A
5.594%, (US SOFR 1 Month plus 0.265%), 1/25/37		97,945		81
Wellfleet CLO, Ltd., Series 2015-1A, Class AR4
6.469%, (US SOFR 3 Month plus 1.152%), 7/20/29 144A		301,548		302
Wellfleet CLO, Ltd., Series 2017-1, Class 1A
6.469%, (US SOFR 3 Month plus 1.152%), 4/20/29 144A		199,666		200
Total				126,668
Mortgage Securities (17.5%)
BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC, Class A
2.627%, 1/15/32 144A		2,350,000		1,851
Banc of America Funding Trust, Series 2005-H, Class 5A1 4.245%, (CSTR), 11/20/35		68,806		61
Banc of America Funding Trust, Series 2006-J, Class 4A1 5.214%, (CSTR), 1/20/47		25,546		22
Banc of America Funding Trust, Series 2007-6, Class A1
6.024%, (US SOFR 1 Month plus 0.695%), 7/25/37		35,159		33
BCAP LLC Trust, Series 2009-RR14, Class 2A2
3.665%, (CSTR), 7/26/36 144A		14,711		12
BCAP LLC Trust, Series 2009-RR5, Class 3A3
6.250%, (CSTR), 8/26/36 144A		2,022,910		841
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2004-3, Class 4A 5.090%, (CSTR), 7/25/34		773		1
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2007-4, Class 22A1 4.084%, (CSTR), 6/25/47		48,630		43
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 4. 200%, (CSTR), 11/25/36		113,274		51
Chase Home Lending Mortgage Trust, Series 2023-RPL3, Class A1
3.250%, (AFC), 9/25/63 144A		6,803,106		5,959
Chase Home Lending Mortgage Trust, Series 2024-RPL1, Class A1A
3.250%, (AFC), 3/25/64 144A		1,390,470		1,192

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37		1,253		1
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA 4.496%, (CSTR), 9/25/37		5,939		5
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A 4.777%, (CSTR), 9/25/37		10,024		9
Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A 4.568%, (CSTR), 3/25/37		243,550		204
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A 1 5.750%, 1/25/35		8,447		8
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1 6.000%, 3/25/35		257,298		117
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1
6.103%, (US SOFR 1 Month plus 0.775%), 11/20/35		3,490		3
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1
6.569%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		9,510		9
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36		101,028		57
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8 5.500%, 2/25/35		83,075		73
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 6.500%, 8/25/32		711		1
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13 5.500%, 11/25/35		148,647		84
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37		103,845		40
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1
5.944%, (US SOFR 1 Month plus 0.615%), 4/25/36		336,386		132
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 4.803%, (CSTR), 5/25/36		5,345		5
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B
5.633%, (US SOFR 1 Month plus 0.305%), 9/20/46		4,881		5
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A
5.638%, (US SOFR 1 Month plus 0.310%), 12/20/46		19,267		16
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1
5.863%, (US SOFR 1 Month plus 0.535%), 5/20/46		258,570		216

14

Multi-Sector Bond Portfolio

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A
5.653%, (US SOFR 1 Month plus 0.325%), 7/20/46		5,770		5
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 6.000%, 5/25/37		216,700		97
Countrywide Alternative Loan Trust, Series 2007-AL1, Class A1
5.694%, (US SOFR 1 Month plus 0.365%), 6/25/37		3,173,328		2,510
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1
5.724%, (US SOFR 1 Month plus 0.395%), 4/25/47		22,356		20
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2005-22, Class 3A1 4.423%, (CSTR), 10/25/35		8,533		7
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2005-HYB8, Class 1A1 4.571%, (CSTR), 12/20/35		1,208		1
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-16, Class 2A1 6.500%, 11/25/36		13,764		5
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-9, Class A1 6.000%, 5/25/36		94,892		43
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-OA4, Class A1
6.049%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		33,963		10
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-OA4, Class A2
5.984%, (US SOFR 1 Month plus 0.655%), 4/25/46		900,138		256
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2007-HYB1, Class 3A1 4.453%, (CSTR), 3/25/37		4,701		4
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 6.500%, 4/25/33		230		–	π
Credit Suisse Mortgage Trust, Series 2014-6R, Class 3A2 4.819%, (CSTR), 9/27/35 144A		149,452		124
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 5. 500%, 12/25/35		265,879		217
EMF-NL BV, Series 2008-APRX, Class A2
4.728%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,∞		47,426		50
Federal Home Loan Mortgage Corp.
5.000%, 11/1/52		20,308,717		19,828
5.500%, 12/1/52		19,595,622		19,537
Federal National Mortgage Association, Series 2003-W6, Class F
5.785%, (US 30 Day Average SOFR plus 0.465%), 9/25/42		12,271		12

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 5.750%, 5/25/37		158,691		64
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A 3. 144%, 12/10/36 144A		1,000,000		976
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 6.112%, (CSTR), 9/25/35		608		1
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 6.000%, 2/25/36		69,750		32
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 4.713%, (CSTR), 1/25/36		810		1
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 4.313%, (CSTR), 3/25/47		6,343		4
HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A
6.061%, (US SOFR 1 Month plus 0.735%), (AFC), 11/19/35		3,255		2
HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A
5.921%, (US SOFR 1 Month plus 0.595%), (AFC), 6/19/35		7,744		7
HomeBanc Mortgage Trust, Series 2005-1, Class A1
5.944%, (US SOFR 1 Month plus 0.615%), 3/25/35		2,620		2
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A
5.884%, (US SOFR 1 Month plus 0.555%), 11/25/35		737,002		665
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1
5.141%, (CSTR), 10/25/34		13,317		13
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A
5.924%, (US SOFR 1 Month plus 0.595%), (AFC), 7/25/35		1,044		1
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A
6.044%, (US SOFR 1 Month plus 0.715%), 7/25/35		7,384		6
JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1 4.838%, (CSTR), 10/25/35		5,400		4
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 4.865%, (CSTR), 7/25/35		2,895		3
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 4.603%, (CSTR), 6/25/37		28,577		22
LoanCore, Series 2022-CRE7, Class A
6.869%, (US 30 Day Average SOFR plus 1.550%), 1/17/37 144A		3,999,443		3,977
Luminent Mortgage Trust, Series 2006-6, Class A1
5.844%, (US SOFR 1 Month plus 0.515%), 10/25/46		633,599		550

15

Multi-Sector Bond Portfolio

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A 4.666%, (CSTR), 2/25/36		420		–	π
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 4.620%, (CSTR), 5/25/36		5,600		5
MF1, Series 2022-FL8, Class A 6.676%, (US SOFR 1 Month plus 1.350%), 2/19/37 144A		971,806		961
Mill City Mortgage Loan Trust, Series 2018-1, Class A1 3.250%, (AFC), 5/25/62 144A		497,567		485
New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A3 1.198%, (AFC), 7/25/55 144A		664,414		574
New Residential Mortgage Loan Trust, Series 2023-NQM1, Class A1A 6.864%, (AFC), 10/25/63 144A Σ		3,689,665		3,732
OBX Trust, Series 2023-NQM8, Class A1 7.045%, (AFC), 9/25/63 144A Σ		2,554,855		2,586
OBX Trust, Series 2024-HYB2, Class A1 3.524%, 4/25/53 144A		3,200,000		3,060
Onslow Bay Financial LLC, Series 2023- NQM9, Class A1 7.159%, (AFC), 10/25/63 144A Σ		4,773,951		4,871
OPEN Trust, Series 2023-AIR, Class A 8.414%, (US SOFR 1 Month plus 3.089%), 10/15/28 144A		3,444,704		3,479
Preston Ridge Partners Mortgage Trust, Series 2023-NQM2, Class A1 6.250%, (AFC), 8/25/68 144A Σ		2,904,964		2,896
Preston Ridge Partners Mortgage Trust, Series 2024-NQM1, Class A1 6.265%, (AFC), 12/25/68 144A Σ		1,000,000		999
Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1 5.824%, (US SOFR 1 Month plus 0.495%), 8/25/36		3,510		3
Residential Accredit Loans, Inc., Series 2006- QA8, Class A1 5.824%, (US SOFR 1 Month plus 0.495%), 9/25/36		10,792		10
Residential Accredit Loans, Inc., Series 2007- QA1, Class A1 5.724%, (US SOFR 1 Month plus 0.395%), 1/25/37		1,089		1
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37		3,309,576		865
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2 6.404%, (US SOFR 1 Month plus 1.075%), 1/25/36		29,356		27
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 6.419%, (US SOFR 1 Month plus 1.090%), 12/25/35		66,498		65
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 5.764%, (US SOFR 1 Month plus 0.435%), 10/25/35		30,466		28

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 6.538%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36		204,509		170
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1 5.804%, (US SOFR 1 Month plus 0.475%), (AFC), 7/25/46		129,052		106
Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1 5.750%, (US SOFR 1 Month plus 0.765%), 12/25/35		4,353		4
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1 6.359%, (SONIO/N plus 1.144%), 10/20/51 144A GBP ∞		784,035		990
Towd Point Mortgage Trust, Series 2017-2, Class M1 3.750%, (AFC), 4/25/57 144A		2,500,000		2,390
Uniform Mortgage Backed Security TBA
4.500%, 4/11/54		5,500,000		5,237
5.000%, 4/11/54		15,000,000		14,635
5.500%, 5/15/54		26,700,000		26,567
6.000%, 5/15/54		22,200,000		22,398
6.500%, 4/11/54		35,400,000		36,165
6.500%, 5/15/54		14,000,000		14,296
Verus Securitization Trust, Series 2023-4, Class A1 5.811%, (AFC), 5/25/68 144A Σ		966,642		961
Verus Securitization Trust, Series 2023-7, Class A1 7.070%, (AFC), 10/25/68 144A Σ		2,843,420		2,894
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 5.554%, (CSTR, AFC), 2/25/33		450		–	π
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.971%, (CSTR), 10/25/36		12,859		11
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 4.611%, (CSTR), 3/25/36		87,852		78
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 4.482%, (CSTR), 8/25/36		5,573		5
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 4.174%, (CSTR), 2/25/37		2,211		2
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2 5.789%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		218,397		167
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 5.468%, (CSTR), 7/25/37		21,189		19
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 6.265%, (CSTR), 4/25/36		19,192		18

16

Multi-Sector Bond Portfolio

Structured Products (27.9%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 5.975%, (CSTR), 11/25/37		15,832		14
Total				211,881
Total Structured Products (Cost: $343,387)				338,549
Bank Loan Obligations (2.8%)
Bank Loan Obligations (2.8%)
Adient U.S. LLC, 8.077%, (US SOFR 1 Month plus 2.750%), 1/31/31		16,750		17
Air Canada, 7.833%, (US SOFR 1 Month plus 2.500%), 3/14/31		1,300,000		1,301
Albion Acquisitions, Ltd., 9.208%, (Euribor 3 Month ACT/360 plus 5.250%), 8/17/26 EUR∞		1,400,000		1,513
Altice Financing SA, 8.326%, (US SOFR 3 Month plus 2.750%), 1/31/26		1,145,038		1,105
Altice France SA, 10.814%, (CME Term SOFR 1 Month plus 5.500%), 8/15/28		190,419		150
AmSurg Corp. First Out, 10.123%, (US SOFR 3 Month plus 4.750%), 11/3/26Æ		281,436		281
AmSurg Corp. Last Out, 14.248%, (US SOFR 3 Month plus 7.880%), 7/20/26Æ,Þ		1,005,061		1,005
Avolon TLB Borrower 1 LLC, 7.329%, (US SOFR 1 Month plus 2.000%), 6/22/28		1,167,000		1,167
Charter Communications Operating LLC, 7.076%, (US SOFR 1 Month plus 1.750%), 2/1/27		3,311,992		3,311
CommScope, Inc., 8.695%, (US SOFR 1 Month plus 3.250%), 4/6/26		477,500		432
Connect Finco SARL, 8.826%, (US SOFR 1 Month plus 3.500%), 12/11/26		1,155,000		1,153
Cotiviti, Inc., 8.571%, (US SOFR 1 Month plus 3.250%), 2/21/31		2,900,000		2,893
Directv Financing LLC, 10.695%, (US SOFR 1 Month plus 5.366%), 8/2/29		1,103,296		1,101
Grifols SA, 6.152%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR∞		843,805		849
INEOS Quattro Holdings UK, Ltd., 8.330%, (Euribor 3 Month ACT/360 plus 2.750%), 1/29/26 EUR∞		1,070,527		1,150
INEOS US Petrochem LLC, 8.191%, (US SOFR 1 Month plus 2.750%), 1/29/26		2,131,578		2,129
Lumen Technologies, Inc. B1, 7.676%, (US SOFR 1 Month plus 2.350%), 4/15/29Æ		1,250,790		932
Lumen Technologies, Inc. B2, 7.676%, (US SOFR 1 Month plus 2.350%), 4/15/30Æ		1,278,837		953
Setanta Aircraft Leasing DAC, 7.564%, (US SOFR 3 Month plus 2.000%), 11/5/28		4,000,000		4,006
SOCAR Turkey Energy, Inc., 7.348%, (Euribor 3 Month ACT/360 plus 3.450%), 8/11/26 EUR∞		5,800,000		6,179
Standard Industries, Inc., 7.693%, (US SOFR 1 Month plus 2.500%), 9/22/28		1,173,725		1,174
Station Casinos LLC, 7.571%, (US SOFR 1 Month plus 2.250%), 3/7/31		1,200,000		1,198
Total Bank Loan Obligations (Cost: $35,327)				33,999

Short-Term Investments (24.1%)	Shares/ Par +		Value $ (000’s)
Communications (0.4%)
AT&T, Inc. 5.520%, 4/18/24		5,000,000		4,984
Total				4,984
Consumer, Non-cyclical (0.1%)
Bacardi, Ltd. 5.800%, 4/18/24		1,400,000		1,395
Total				1,395
Financial (1.6%)
Canadian Imperial Bank of Commerce 4.980%, 4/2/24 CAD∞		20,000,000		14,765
Crown Castle, Inc.
0.000%, 4/16/24		2,000,000		1,993
0.000%, 4/9/24		700,000		699
0.000%, 4/18/24		700,000		698
Intercontinental Exchange, Inc. 5.550%, 5/3/24		1,600,000		1,591
Total				19,746
Governments (0.0%)
Argentina Treasury Bond BONCER 3.750%, 5/20/24 ARS∞		3,076,000		8
US Treasury
0.000%, 5/16/24		142,000		141
0.000%, 5/23/24		193,000		192
0.000%, 5/30/24b		20,000		20
Total				361
Industrial (0.3%)
Arrow Electronics, Inc. 5.750%, 4/4/24		2,800,000		2,797
Total				2,797
Repurchase Agreements (21.6%)
BNP Paribas SA repurchase (Purchased on 3/27/24, to be repurchased at $121,372,510, collateralized by US Treasury Note, 3.5%, due 2/15/33, par and fair value of $129,994,000 and $123,179,471, respectively) 5.380%, 4/1/24		121,300,000		121,300
BNP Paribas SA repurchase (Purchased on 3/28/24, to be repurchased at $126,618,990, collateralized by US Treasury Note, 3.5%, due 1/31/28, par and fair value of $132,272,600 and $128,443,928, respectively) 5.400%, 4/2/24		126,600,000		126,600
BNP Paribas SA repurchase (Purchased on 3/28/24, to be repurchased at $15,109,110, collateralized by US Treasury Inflation Protection Bond, 1.375%, due 7/15/33, par and fair value of $16,035,411 and $15,408,402, respectively) 5.430%, 4/1/24		15,100,000		15,100

17

Multi-Sector Bond Portfolio

Short-Term Investments (24.1%)	Shares/ Par +		Value $ (000’s)
Repurchase Agreements continued
J.P. Morgan Securities LLC repurchase (Purchased on 3/27/24, to be repurchased at $100,060, collateralized by US Treasury Inflation Protection Bond, 0.125%, due 7/15/24, par and fair value of $102,595 and $102,671, respectively) 5.430%, 4/1/24		100,000		100
Total				263,100

Short-Term Investments (24.1%)	Shares/ Par +		Value $ (000’s)
Utilities (0.1%)
American Electric Power Co., Inc.
5.560%, 5/15/24		250,000		248
5.590%, 6/11/24		300,000		297
Total				545
Total Short-Term Investments (Cost: $292,961)				292,928
Total Investments (118.4%) (Cost: $1,545,824)@				1,438,686
Other Assets, Less Liabilities (-18.4%)				(223,396	)
Net Assets (100.0%)				1,215,290

Reverse Repurchase Agreements 

Reference Entity	Counterparty	Interest Rate		Borrowing Date		Maturity Date	Currency	Amount Borrowed (000’s)			Payable for Reverse Repurchase Agreements (000s)
INEOS Styrolution Group GmbH	BNP Paribas SA		2.900%		9/26/23	Open	EUR		(175	)	$	(188	)
Nexi SpA	Morgan Stanley Capital Services		2.100%		3/25/24	Open	EUR		(271	)		(292	)
Nexi SpA	Barclays Bank PLC		2.500%		9/20/23	Open	EUR		(846	)		(912	)
Nexi SpA	Barclays Bank PLC		2.500%		1/10/24	Open	EUR		(349	)		(376	)
Nexi SpA	JP Morgan Securities PLC		2.750%		8/22/23	Open	EUR		(513	)		(553	)
Serbia International Bond	Barclays Bank PLC		5.000%		2/14/24	Open	USD		(830	)		(830	)
Ubisoft Entertainment	Barclays Bank PLC		3.250%		11/29/23	Open	EUR		(326	)		(352	)
											$	(3,503)

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)
Euro-Bobl Future	Long	EUR		6,100		61	6/24	$	7,782	$	31		$	–π
Five-Year US Treasury Note Future	Long	USD		48,600		486	6/24		52,010		37			(55	)
Long Gilt Future	Short	GBP		5,400		54	6/24		6,812		(98	)		(12	)
Ten-Year US Treasury Note Future	Long	USD		22,500		225	6/24		24,929		149			(18	)
Two-Year US Treasury Note Future	Long	USD		46,400		232	6/24		47,440		(15	)		(47	)
Ultra Long Term US Treasury Bond Future	Long	USD		9,400		94	6/24		12,126		121			44
										$	225		$	(88	)

Centrally Cleared Interest Rate 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)
1-Day JPY - MUTKCALM Compounded-OIS	0.400%	6/32		1,460,000	JPY	$	115		$	140		$	255		$	(8	)
1-Day JPY - MUTKCALM Compounded-OIS	0.850%	9/33		370,000	JPY		10			(19	)		(9	)		(2	)
1-Day USD-SOFR Compounded-OIS	3.750%	6/34		7,200	USD		(30	)		57			27			9

18

Multi-Sector Bond Portfolio

Centrally Cleared Interest Rate Swaps - Receive Floating Rate (continued)

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)
6-Month Euribor	2.500%	9/54		7,200	EUR		(382	)		16		(366	)		(13	)
						$	(287)		$	194	$	(93)		$	(14)

Centrally Cleared Interest Rate Swaps - Pay 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)
1-Day GBP-SONIO Compounded-OIS	4.000%	9/29		9,300	GBP	$	169		$	25		$	194		$	3
1-Day GBP-SONIO Compounded-OIS	3.750%	9/34		3,000	GBP		32			20			52			1
1-Day GBP-SONIO Compounded-OIS	3.750%	9/54		1,200	GBP		25			4			29			1
6-Month AUD-BBR-BBSW	4.750%	12/33		23,300	AUD		(193	)		349			156			5
6-Month Euribor	3.000%	9/26		16,200	EUR		96			(23	)		73			(5	)
6-Month Euribor	2.750%	9/29		2,300	EUR		34			(6	)		28			–	π
6-Month Euribor	2.750%	9/34		39,300	EUR		642			242			884			19
Canadian Overnight Repo Rate Average	3.750%	12/25		62,800	CAD		(563	)		146			(417	)		(38	)
Canadian Overnight Repo Rate Average	2.500%	6/29		8,000	CAD		(273	)		(12	)		(285	)		(11	)
						$	(31)		$	745		$	714		$	(25)

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection

Reference Entity	Receive Fixed Rate			Expiration Date		Implied Credit Spread			Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)		Market  Value(000’s)			Variation  Margin(000’s)
Markit CDX Emerging Markets Index, Series 34		1.000	%		12/25		1.664	%		5,336		USD	$	(83	)	$	25	$	(58	)	$	3
Markit CDX Emerging Markets Index, Series 36		1.000	%		12/26		1.212	%		33,028		USD		(1,031	)		849		(182	)		(14	)
Markit CDX Emerging Markets Index, Series 37		1.000	%		6/27		1.346	%		490		USD		(27	)		22		(5	)		–	π
Markit CDX Emerging Markets Index, Series 38		1.000	%		12/27		1.396	%		4,200		USD		(251	)		195		(56	)		–	π
Markit CDX Emerging Markets Index, Series 39		1.000	%		6/28		1.470	%		2,100		USD		(115	)		78		(37	)		(1	)
Markit CDX Emerging Markets Index, Series 40		1.000	%		12/28		1.589	%		22,200		USD		(966	)		427		(539	)		(1	)
Markit CDX North America High Yield Index, Series 38		5.000	%		6/27		2.307	%		582		USD		(11	)		56		45			–	π
Markit CDX North America High Yield Index, Series 40		5.000	%		6/28		2.926	%		594		USD		1			43		44			–	π
Markit CDX North America High Yield Index, Series 41		5.000	%		12/28		3.118	%		70,191		USD		857			4,311		5,168			(1,325	)

19

Multi-Sector Bond Portfolio

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection (continued)

Reference Entity	Receive Fixed Rate			Expiration Date		Implied Credit Spread			Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market  Value(000’s)		Variation  Margin(000’s)
Markit CDX North America High Yield Index, Series 42		5.000	%		6/29		3.289	%		18,500		USD	$	1,312	$	22	$	1,334	$	22
Markit CDX North America Investment Grade Index, Series 36		1.000	%		6/26		0.204	%		800		USD		9		5		14		–π
Markit CDX North America Investment Grade Index, Series 37		1.000	%		12/26		0.264	%		900		USD		7		10		17		–π
Markit CDX North America Investment Grade Index, Series 38		1.000	%		6/27		0.298	%		300		USD		2		4		6		–π
Markit CDX North America Investment Grade Index, Series 39		1.000	%		12/27		0.367	%		100		USD		1		1		2		–π
Markit CDX North America Investment Grade Index, Series 40		1.000	%		6/28		0.404	%		800		USD		10		8		18		–π
Markit CDX North America Investment Grade Index, Series 41		1.000	%		12/28		0.463	%		22,200		USD		233		274		507		(25	)
Markit CDX North America Investment Grade Index, Series 42		1.000	%		6/29		0.513	%		41,300		USD		920		13		933		2
													$	868	$	6,343	$	7,211	$	(1,339	)

Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection 

Reference Entity	Receive Fixed Rate			Expiration Date		Implied Credit Spread			Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market  Value(000’s)			Variation  Margin(000’s)
AT&T, Inc.		1.000	%		6/24		0.293	%		200		USD	$	–π		$	–π		$	–π		$	–π
AT&T, Inc.		1.000	%		6/25		0.374	%		100		USD		(1	)		2			1			–π
AT&T, Inc.		1.000	%		6/26		0.474	%		100		USD		1			–π			1			–π
Carnival Corp.		1.000	%		12/28		2.202	%		600		USD		(126	)		96			(30	)		(1	)
Ford Motor Co.		5.000	%		6/25		0.284	%		200		USD		3			8			11			–π
Ford Motor Co.		5.000	%		12/25		0.473	%		400		USD		7			23			30			–π
Ford Motor Co.		5.000	%		6/26		0.576	%		1,000		USD		24			70			94			–π
Ford Motor Co.		5.000	%		6/27		0.841	%		300		USD		19			18			37			–π
Ford Motor Co.		5.000	%		6/27		0.871	%		900		USD		41			70			111			–π
General Electric Co.		1.000	%		6/24		0.096	%		900		USD		–π			2			2			–π
General Electric Co.		1.000	%		12/26		0.204	%		400		USD		2			6			8			–π
General Electric Co.		1.000	%		6/26		0.170	%		3,800		USD		19			48			67			–π
Glencore Finance Europe, Ltd.		5.000	%		12/25		0.426	%		2,700		EUR		252			(27	)		225			–π
Glencore Finance Europe, Ltd.		5.000	%		12/27		0.778	%		1,600		EUR		266			(10	)		256			–π
Glencore Finance Europe, Ltd.		5.000	%		12/26		0.550	%		700		EUR		87			1			88			–π
Marks & Spencer PLC		1.000	%		12/24		0.214	%		2,900		EUR		(20	)		38			18			–π
Marks & Spencer PLC		1.000	%		6/27		0.541	%		100		EUR		(5	)		7			2			–π
Marks & Spencer PLC		1.000	%		12/28		0.871	%		500		EUR		(26	)		29			3			–π
Volkswagen International Finance NV		1.000	%		12/26		0.451	%		3,100		EUR		36			12			48			–π
													$	579		$	393		$	972		$		(1)

20

Multi-Sector Bond Portfolio

Financial Derivative Assets

Financial Derivative Liabilities

Market Value

Variation Margin (000’s)

Variation Margin (000’s)

(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$   65

$   44

$   109

$   (1,444)

$   (132)

$   (1,576)

$   –

Over the Counter Derivatives

Forward Foreign Currency Contracts

Type	Counterparty	Currency		Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Date		Unrealized  Appreciation  (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Bank of America NA		AUD		42		27		4/2/24	$	—		$	—	π	$	—	π
Buy	UBS AG		AUD		2,380		1,551		4/2/24		—			(5	)		(5	)
Sell	BNP Paribas SA		AUD		207		135		4/2/24		—			—	π		—	π
Sell	HSBC Bank PLC		AUD		2,250		1,466		4/2/24		—			(5	)		(5	)
Sell	Bank of America NA		AUD		42		27		5/2/24		—	π		—			—	π
Sell	HSBC Bank PLC		AUD		36		23		5/2/24		—			—	π		—	π
Sell	UBS AG		AUD		2,380		1,552		5/2/24		5			—			5
Buy	HSBC Bank PLC		CAD		22,403		16,540		4/2/24		20			—			20
Sell	Bank of America NA		CAD		20,044		14,798		4/2/24		44			(8	)		36
Sell	Barclays Bank PLC		CAD		2,356		1,739		4/2/24		—			(5	)		(5	)
Sell	HSBC Bank PLC		CAD		22,394		16,540		5/2/24		—			(20	)		(20	)
Sell	HSBC Bank PLC		CNH		586		81		4/19/24		—			—	π		—	π
Buy	Bank of America NA		EUR		141,442		152,595		4/2/24		—			(969	)		(969	)
Buy	BNP Paribas SA		EUR		5,349		5,771		4/2/24		—			(61	)		(61	)
Buy	JP Morgan Chase Bank NA		EUR		1,337		1,442		4/2/24		—			(10	)		(10	)
Buy	UBS AG		EUR		1,404		1,515		4/2/24		—			(9	)		(9	)
Sell	Bank of America NA		EUR		141,422		152,574		4/2/24		590			—			590
Sell	Barclays Bank PLC		EUR		459		495		4/2/24		7			—			7
Sell	BNP Paribas SA		EUR		7,651		8,254		4/2/24		56			—			56
Sell	Bank of America NA		EUR		141,442		152,772		5/2/24		978			—			978
Buy	HSBC Bank PLC		GBP		27,309		34,468		4/2/24		—			(25	)		(25	)
Sell	Bank of America NA		GBP		1,753		2,213		4/2/24		36			—			36
Sell	BNP Paribas SA		GBP		25,556		32,256		4/2/24		186			—			186
Sell	HSBC Bank PLC		GBP		27,309		34,474		5/2/24		26			—			26
Sell	Barclays Bank PLC		JPY		45,800		303		4/2/24		4			—			4
Buy	Barclays Bank PLC		MXN		21		1		6/20/24		—	π		—			—	π
Sell	Goldman Sachs Bank USA		MXN		28,493		1,709		4/19/24		—			(11	)		(11	)
Sell	Royal Bank of Canada		MXN		31		2		4/19/24		—			—	π		—	π
Sell	JP Morgan Chase Bank NA		MXN		28,960		1,720		6/20/24		—			(15	)		(15	)
Sell	BNP Paribas SA		PEN		11,368		3,052		6/20/24		47			—			47
Buy	Barclays Bank PLC		TRY		37,232		1,121		4/24/24		—			(29	)		(29	)
Buy	Barclays Bank PLC		TRY		35,173		1,052		4/29/24		—			(1	)		(1	)
Buy	Barclays Bank PLC		TRY		62,734		1,874		4/30/24		—			(17	)		(17	)
Buy	JP Morgan Chase Bank NA		TRY		24,537		728		5/6/24		—			(1	)		(1	)
										$	1,999		$	(1,191	)	$	808

21

Multi-Sector Bond Portfolio

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection

Reference Entity	Counterparty	Receive Fixed Rate			Expiration Date		Implied Credit Spread			Currency		Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Republic of Indonesia	Barclays Bank PLC		1.000	%		6/31		1.000	%		USD		5,700	$	(174	)	$	180		$	6
Republic of Turkey	Morgan Stanley Capital Services LLC		1.000	%		12/28		2.848	%		USD		3,000		(218	)		(7	)		(225	)
United Mexican States	Morgan Stanley Capital Services LLC		1.000	%		12/26		0.461	%		USD		300		–	π		4			4
United Mexican States	Morgan Stanley Capital Services LLC		1.000	%		6/27		0.531	%		USD		100		–	π		1			1
United Mexican States	Morgan Stanley Capital Services LLC		1.000	%		6/28		0.723	%		USD		100		(2	)		3			1
United Mexican States	Morgan Stanley Capital Services LLC		1.000	%		12/28		0.835	%		USD		300		(3	)		5			2
														$	(397	)	$	186		$	(211	)

	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		$  1,999		$  14		$  2,013		$  (1,191)		—		$  (225)		$  (1,416)

Restricted Securities

Description	Acquisition Date		Cost (000’s)		Value (000’s)		Value as a   Percentage of Net Assets
AmSurg Corp.		11/2/23		$  396		$  469		0.04%
Constellation Oil - Class B		6/10/22		12		12		–%π
Corestate Capital Holding SA		8/22/23		–		–π		–%π
DrillCo Holding Lux SA - Class B		6/8/23		54		65		–%π
DrillCo Holding Lux SA - Class C		6/8/23		484		583		0.05%

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

* Non income producing

Æ Security valued using significant unobservable inputs.

d Restricted security – see accompanying table for additional details

π Amount is less than one thousand.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024 the value of these securities (in thousands) was $376,120 representing 30.9% of the net assets.

f Defaulted Security

∞ Foreign Bond — par value is foreign denominated.

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At March 31, 2024, the aggregate value of these securities was $189,280 (in thousands), representing 15.5% of net assets.

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

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

y Contingent convertible security

Þ PIK - Payment In Kind. PIK rate of AmSurg Corp. Last Out is 50.00% of the coupon, Corestate Capital Holding SA is 11.00% and Sunac China Holdings, Ltd with maturity dates of 9/30/26, 9/30/26, 9/30/27, 9/30/28, 9/30/29, 9/30/30 and 9/30/32 are 6.00%, 6.25%, 6.50%, 6.75%, 7.00%, 7.25% and 2.00%, respectively.

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

22

Multi-Sector Bond Portfolio

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

@ At March 31, 2024, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,543,049 and the net unrealized depreciation of investments based on that cost was $98,239 which is comprised of $25,366 aggregate gross unrealized appreciation and $123,605 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.

23

Multi-Sector Bond 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 March 31, 2024.

			Valuation Inputs
Description	Level 1 - Quoted  Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant   Unobservable  Inputs
			(Amounts in thousands)
Assets:
Bank Loan Obligations
Bank Loan Obligations		$    —			$    30,828			$     3,171
Common Stocks
Real Estate		—			479			4
All Others		—			—			1,388
Convertible Corporate Bonds		—			45			—
Municipal Bonds		—			6,783			—
Corporate Bonds
Basic Materials		—			5,546			520
Financial		—			163,335			225
All Others		—			356,177			—
Governments		—			238,708			—
Structured Products		—			338,549			—
Short-Term Investments		—			292,928			—
Other Financial Instruments^
Futures		338			—			—
Forward Foreign Currency Contracts		—			1,999			—
Interest Rate Swaps		—			1,698			—
Credit Default Swaps		—			9,104			—
Total Assets:		$   338			$ 1,446,179			$5,308
Liabilities:
Other Financial Instruments^
Futures		(113)			—			—
Forward Foreign Currency Contracts		—			(1,191)			—
Interest Rate Swaps		—			(1,077)			—
Credit Default Swaps		—			(1,132)			—
Reverse Repurchase Agreements		—			(3,503)			—
Total Liabilities:		$ (113)			$    (6,903)			$ —

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

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended March 31, 2024.

For the period ended March 31, 2024, there was a transfer from Level 3 to Level 2 in the amount of $4,690 (in thousands). These transfers were the result of an increase in the quantity of observable inputs for the securities that were previously not priced by a third party vendor.

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Abbreviations (unaudited)

Abbreviations that may be used in the preceding statements

ADR	American Depositary Receipt
AFC	Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the
	underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR	Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
IO	Interest Only Security
PO	Principal Only Security
GDR	Global Depositary Receipt
GO	General Obligation
RB	Revenue Bond
CPURNSA	U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted
IBOR	Interbank Offered Rate
LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate
ICE	Intercontinental Exchange
FTSE	Financial Times Stock Exchange
SONIA	Sterling Overnight Index Average Rate
SONIO	Sterling Overnight Interbank Average Rate
MUTKCALM	Bank of Japan Unsecured Overnight Call Rate
DAC	Designated Activity Company
TBA	To Be Announced
CMT	Constant Maturity Treasury
OIS	Overnight Index Swaps
BBR	Bank Bill Rate
BBSW	Bank Bill Swap Reference Rate
BONCER	National Treasury Bond in Pesos with Adjustment for CER
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
KRW	South Korean Won
MXN	Mexican New Peso
NOK	Norwegian Krone
PEN	Peruvian Sol
RUB	Russian Ruble
SAR	Saudi Riyal
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
TRY	Turkish Lira
TWD	Taiwan Dollar
USD	United States Dollar
ZAR	South African Rand

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