Inflation Protection Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2024 (unaudited)
| | | | | | | | |
| Corporate Bonds (8.4%) | | Shares/ Par + | | | Value
$ (000’s) | |
Consumer, Cyclical (0.6%) | | | | | | | | |
American Honda Finance Corp.
4.900%, 7/9/27 | | | 1,055,000 | | | | 1,078 | |
Honda Motor Co., Ltd.
2.271%, 3/10/25 | | | 1,550,000 | | | | 1,533 | |
| | | | | | | | |
| | |
Total | | | | | | | 2,611 | |
| | |
| | | | | | | | |
Consumer, Non-cyclical (1.5%) | | | | | | | | |
AbbVie, Inc.
2.950%, 11/21/26 | | | 800,000 | | | | 783 | |
Amgen, Inc.
5.250%, 3/2/33 | | | 830,000 | | | | 864 | |
Bristol-Myers Squibb Co.
5.200%, 2/22/34 | | | 197,000 | | | | 208 | |
Roche Holdings, Inc.
2.314%, 3/10/27 144A | | | 1,270,000 | | | | 1,225 | |
Stryker Corp.
4.850%, 12/8/28 | | | 800,000 | | | | 821 | |
Thermo Fisher Scientific, Inc.
1.215%, 10/18/24 | | | 2,570,000 | | | | 2,565 | |
| | | | | | | | |
| | |
Total | | | | | | | 6,466 | |
| | |
| | | | | | | | |
| | |
Financial (4.7%) | | | | | | | | |
American Express Co. | | | | | | | | |
5.043%, (US SOFR plus 0.930%), 7/26/28 α | | | 671,000 | | | | 686 | |
Athene Global Funding
4.860%, 8/27/26 144A | | | 1,045,000 | | | | 1,052 | |
5.349%, 7/9/27 144A | | | 791,000 | | | | 808 | |
Bank of America Corp. | | | | | | | | |
5.468%, (US SOFR plus 1.650%), 1/23/35 α | | | 335,000 | | | | 352 | |
5.933%, (US SOFR plus 1.340%), 9/15/27 α | | | 2,210,000 | | | | 2,276 | |
The Charles Schwab Corp. | | | | | | | | |
5.375%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 4.971%), 12/31/99 µ,α | | | 1,055,000 | | | | 1,053 | |
Chubb INA Holdings, Inc.
5.000%, 3/15/34 | | | 1,070,000 | | | | 1,111 | |
Citigroup, Inc. | | | | | | | | |
5.827%, (US SOFR plus 2.056%), 2/13/35 α | | | 420,000 | | | | 439 | |
6.270%, (US SOFR plus 2.338%), 11/17/33 α | | | 70,000 | | | | 77 | |
Cooperatieve Rabobank UA
4.333%, 9/28/26 | | | 1,500,000 | | | | 1,510 | |
GA Global Funding Trust
4.400%, 9/23/27 144A | | | 1,070,000 | | | | 1,067 | |
Highwoods Realty LP
3.875%, 3/1/27 | | | 1,080,000 | | | | 1,056 | |
JPMorgan Chase & Co. | | | | | | | | |
4.005%, (US SOFR 3 Month plus 1.382%), 4/23/29 α | | | 360,000 | | | | 356 | |
4.995%, (US SOFR plus 1.125%), 7/22/30 α | | | 1,040,000 | | | | 1,069 | |
5.299%, (US SOFR plus 1.450%), 7/24/29 α | | | 760,000 | | | | 786 | |
6.087%, (US SOFR plus 1.570%), 10/23/29 α | | | 970,000 | | | | 1,034 | |
Morgan Stanley Bank NA | | | | | | | | |
4.968%, (US SOFR plus 0.930%), 7/14/28 α | | | 471,000 | | | | 481 | |
| | | | | | | | |
| Corporate Bonds (8.4%) | | Shares/ Par + | | | Value
$ (000’s) | |
Financial continued | | | | | | | | |
National Bank of Canada | | | | | | | | |
5.600%, (US SOFR plus 1.036%), 7/2/27 α | | | 603,000 | | | | 615 | |
Nationwide Building Society
5.127%, 7/29/29 144A | | | 1,075,000 | | | | 1,107 | |
Truist Financial Corp. | | | | | | | | |
6.123%, (US SOFR plus 2.300%), 10/28/33 α | | | 1,477,000 | | | | 1,594 | |
UBS Group Funding AG
4.125%, 9/24/25 144A | | | 843,000 | | | | 840 | |
Wells Fargo & Co. | | | | | | | | |
5.389%, (US SOFR plus 2.020%), 4/24/34 α | | | 120,000 | | | | 124 | |
6.303%, (US SOFR plus 1.790%), 10/23/29 α | | | 170,000 | | | | 182 | |
| | | | | | | | |
| | |
Total | | | | | | | 19,675 | |
| | |
| | | | | | | | |
| | |
Industrial (0.6%) | | | | | | | | |
Caterpillar Financial Services Corp.
3.650%, 8/12/25 | | | 1,970,000 | | | | 1,960 | |
Keysight Technologies, Inc.
4.600%, 4/6/27 | | | 514,000 | | | | 518 | |
| | | | | | | | |
Total | | | | | | | 2,478 | |
| | |
| | | | | | | | |
| | |
Technology (0.2%) | | | | | | | | |
Hewlett Packard Enterprise Co.
4.400%, 9/25/27 | | | 627,000 | | | | 628 | |
| | | | | | | | |
Total | | | | | | | 628 | |
| | |
| | | | | | | | |
| | |
Utilities (0.8%) | | | | | | | | |
Duke Energy Florida LLC
5.875%, 11/15/33 | | | 460,000 | | | | 503 | |
Oncor Electric Delivery Co. LLC
4.300%, 5/15/28 | | | 1,620,000 | | | | 1,628 | |
PPL Electric Utilities Corp.
4.850%, 2/15/34 | | | 850,000 | | | | 869 | |
Sempra
3.300%, 4/1/25 | | | 507,000 | | | | 503 | |
| | | | | | | | |
| | |
Total | | | | | | | 3,503 | |
| | |
| | | | | | | | |
| | |
Total Corporate Bonds (Cost: $34,899) | | | | | | | 35,361 | |
| | |
| | | | | | | | |
| | |
| Governments (68.1%) | | | | | | |
Governments (68.1%) | | | | | | | | |
Canadian Government Bond
3.500%, 3/1/28 CAD ∞ | | | 7,200,000 | | | | 5,458 | |
4.000%, 3/1/29 CAD ∞ | | | 1,580,000 | | | | 1,230 | |
Canadian Government Real Return Bond
4.000%, 12/1/31 CAD ∞ | | | 1,507,569 | | | | 1,322 | |
Deutsche Bundesrepublik Inflation Linked
Bond
0.100%, 4/15/26 EUR §,∞ | | | 10,580,923 | | | | 11,585 | |
Federal Home Loan Bank
5.500%, 7/15/36 | | | 1,000,000 | | | | 1,137 | |
Federal Home Loan Mortgage Corp.
6.250%, 7/15/32 | | | 12,485,000 | | | | 14,567 | |
Federal National Mortgage Association
6.625%, 11/15/30 | | | 11,415,000 | | | | 13,209 | |
1
Inflation Protection Portfolio
| | | | | | | | |
| Corporate Bonds (68.1%) | | Shares/ Par + | | | Value
$ (000’s) | |
Governments continued | | | | | | | | |
Province of British Columbia Canada
4.150%, 6/18/34 CAD ∞ | | | 2,800,000 | | | | 2,155 | |
Province of Quebec
4.450%, 9/1/34 CAD ∞ | | | 1,400,000 | | | | 1,102 | |
Tennessee Valley Authority
1.500%, 9/15/31 | | | 1,500,000 | | | | 1,287 | |
3.875%, 3/15/28 | | | 1,750,000 | | | | 1,767 | |
5.880%, 4/1/36 | | | 3,250,000 | | | | 3,760 | |
US Treasury Inflation Index Bond
0.125%, 1/15/30 ß | | | 19,095,294 | | | | 17,815 | |
0.125%, 7/15/30 | | | 10,366,038 | | | | 9,639 | |
0.125%, 1/15/31 | | | 15,936,818 | | | | 14,643 | |
0.125%, 7/15/31 | | | 10,808,119 | | | | 9,887 | |
0.125%, 1/15/32 | | | 12,935,010 | | | | 11,689 | |
0.125%, 2/15/51 | | | 8,577,439 | | | | 5,414 | |
0.125%, 10/15/26 ß | | | 2,958,147 | | | | 2,876 | |
0.250%, 2/15/50 | | | 6,753,113 | | | | 4,480 | |
0.250%, 7/15/29 | | | 3,688,860 | | | | 3,500 | |
0.375%, 7/15/27 | | | 10,607,768 | | | | 10,315 | |
0.500%, 1/15/28 | | | 9,563,400 | | | | 9,259 | |
0.625%, 7/15/32 | | | 10,229,909 | | | | 9,578 | |
0.625%, 2/15/43 | | | 8,550,250 | | | | 6,861 | |
0.750%, 2/15/42 | | | 10,571,936 | | | | 8,809 | |
0.750%, 2/15/45 | | | 17,590,906 | | | | 14,056 | |
0.875%, 2/15/47 | | | 5,863,365 | | | | 4,706 | |
0.875%, 1/15/29 | | | 10,961,632 | | | | 10,701 | |
1.000%, 2/15/46 | | | 3,915,919 | | | | 3,262 | |
1.000%, 2/15/48 | | | 3,571,344 | | | | 2,933 | |
1.000%, 2/15/49 | | | 3,061,079 | | | | 2,496 | |
1.125%, 1/15/33 | | | 4,962,730 | | | | 4,788 | |
1.250%, 4/15/28 | | | 8,913,100 | | | | 8,828 | |
1.375%, 7/15/33 | | | 23,715,927 | | | | 23,376 | |
1.375%, 2/15/44 | | | 11,039,401 | | | | 10,065 | |
1.750%, 1/15/34 | | | 3,990,558 | | | | 4,035 | |
1.750%, 1/15/28 | | | 517,966 | | | | 522 | |
2.125%, 2/15/41 | | | 3,620,811 | | | | 3,788 | |
2.375%, 10/15/28 | | | 256,720 | | | | 267 | |
2.500%, 1/15/29 | | | 3,391,406 | | | | 3,537 | |
3.625%, 4/15/28 | | | 2,916,975 | | | | 3,126 | |
3.875%, 4/15/29 | | | 3,826,520 | | | | 4,223 | |
| | | | | | | | |
| | |
Total | | | | | | | 288,053 | |
| | |
| | | | | | | | |
| | |
Total Governments (Cost: $315,066) | | | | | | | 288,053 | |
| | |
| | | | | | | | |
| | |
Municipal Bonds (0.4%) | | | | | | | | |
Municipal Bonds (0.4%) | | | | | | | | |
Golden State Tobacco Securitization Corp.
2.746%, 6/1/34 RB | | | 740,000 | | | | 647 | |
University of California
1.316%, 5/15/27 RB | | | 1,105,000 | | | | 1,034 | |
| | | | | | | | |
| | |
Total Municipal Bonds (Cost: $1,771) | | | | | | | 1,681 | |
| | |
| | | | | | | | |
| | | | | | | | |
| Structured Products (17.0%) | | Shares/ Par + | | | Value
$ (000’s) | |
Asset Backed Securities (3.0%) | | | | | | | | |
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B
2.482%, 8/15/46 144A | | | 1,100,000 | | | | 1,029 | |
Bean Creek CLO, Ltd., Series 2018-1A, Class AR | | | | | | | | |
6.564%, (US SOFR 3 Month plus 1.282%), 4/20/31 144A | | | 599,442 | | | | 600 | |
Blackbird Capital Aircraft, Series 2021-1A, Class A
2.443%, 7/15/46 144A | | | 713,819 | | | | 658 | |
Cologix Canadian Issuer LP, Series 2022-1CAN, Class A2
4.940%, 1/25/52 144A CAD ∞ | | | 850,000 | | | | 604 | |
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2
3.093%, 4/20/34 144A | | | 2,000,000 | | | | 1,842 | |
FirstKey Homes Trust, Series 2020-SFR2, Class D
1.968%, 10/19/37 144A | | | 1,000,000 | | | | 964 | |
Goodgreen Trust, Series 2020-1A, Class A
2.630%, 4/15/55 144A | | | 526,711 | | | | 456 | |
Goodgreen Trust, Series 2021-1A, Class A
2.660%, 10/20/56 144A | | | 243,945 | | | | 209 | |
Greenwood Park CLO, Ltd., Series 2018-1A, Class A | | | | | | | | |
1 6.593%, (US SOFR 3 Month plus 1.292%), 4/15/31 144A | | | 269,205 | | | | 269 | |
Hilton Grand Vacations Trust, Series 2019-AA, Class B
2.540%, 7/25/33 144A | | | 335,091 | | | | 326 | |
KKR Financial CLO, Ltd., Series 2018-22A, Class A | | | | | | | | |
6.694%, (US SOFR 3 Month plus 1.412%), 7/20/31 144A | | | 1,158,153 | | | | 1,159 | |
KKR Financial CLO, Ltd., Series 2022-1A, Class BR | | | | | | | | |
7.282%, (US SOFR 3 Month plus 2.000%), 7/20/31 144A | | | 1,425,000 | | | | 1,416 | |
Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2 | | | | | | | | |
6.677%, (US SOFR 3 Month plus 1.392%), 1/17/31 144A | | | 365,329 | | | | 366 | |
RCKT Mortgage Trust, Series 2024-CES3, Class A1A
6.591%, (AFC), 5/25/44 144A | | | 469,345 | | | | 477 | |
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B
1.340%, 11/20/37 144A | | | 626,836 | | | | 605 | |
Subway Funding LLC, Series 2024-1A, Class A2II
6.268%, 7/30/54 144A | | | 554,000 | | | | 572 | |
Switch ABS Issuer, LLC, Series 2024-2A, Class A2
5.436%, 6/25/54 144A | | | 625,000 | | | | 632 | |
Towd Point Mortgage Trust, Series 2024- CES3, Class A1
6.290%, (AFC), 5/25/64 144A | | | 664,750 | | | | 673 | |
| | | | | | | | |
| | |
Total | | | | | | | 12,857 | |
| | |
| | | | | | | | |
2
Inflation Protection Portfolio
| | | | | | | | |
| Structured Products (17.0%) | | Shares/ Par + | | | Value
$ (000’s) | |
Mortgage Securities (14.0%) | | | | | | | | |
Agate Bay Mortgage Trust, Series 2015-7, Class A3
3.500%, (AFC), 10/25/45 144A | | | 370,594 | | | | 344 | |
Angel Oak Mortgage Trust, Series 2019-6, Class A3
2.927%, (AFC), 11/25/59 144A | | | 131,608 | | | | 129 | |
Arroyo Mortgage Trust, Series 2021-1R, Class A2
1.483%, (CSTR, AFC), 10/25/48 144A | | | 254,510 | | | | 228 | |
Arroyo Mortgage Trust, Series 2021-1R, Class A3
1.637%, (CSTR, AFC), 10/25/48 144A | | | 195,777 | | | | 175 | |
BANK5 Trust, Series 2024-5YR6, Class A3
6.225%, 5/15/57 | | | 818,000 | | | | 871 | |
BANK5 Trust, Series 2024-5YR7, Class A3
5.769%, 6/15/57 | | | 1,520,000 | | | | 1,591 | |
BBCMS Mortgage Trust, Series 2024-C27, Class A3
6.014%, 7/15/57 | | | 400,000 | | | | 423 | |
Benchmark Mortgage Trust, Series 2024-V8, Class A3
6.189%, (AFC), 7/15/57 | | | 1,412,000 | | | | 1,506 | |
BRAVO Residential Funding Trust, Series 2024-NQM4, Class A1B
5.600%, (AFC), 1/25/60 144A ∑ | | | 1,194,460 | | | | 1,173 | |
Chase Home Lending Mortgage Trust, Series 2024-2, Class A4A
6.000%, (AFC), 2/25/55 144A | | | 535,636 | | | | 543 | |
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1 | | | | | | | | |
7.380%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A | | | 429,527 | | | | 435 | |
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10
3.500%, (AFC), 12/25/44 144A | | | 43,156 | | | | 40 | |
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3
1.538%, (AFC), 2/25/66 144A | | | 234,899 | | | | 211 | |
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3
2.856%, 5/25/65 144A | | | 952,973 | | | | 936 | |
Federal Home Loan Mortgage Corp. 3.500%, 8/1/52 | | | 1,921,892 | | | | 1,792 | |
4.500%, 10/1/52 | | | 1,755,854 | | | | 1,728 | |
4.500%, 4/1/53 | | | 2,123,306 | | | | 2,090 | |
Federal National Mortgage Association 2.500%, 1/1/52 | | | 7,526,761 | | | | 6,567 | |
4.000%, 9/1/52 | | | 9,258,855 | | | | 8,905 | |
5.500%, 1/1/53 | | | 3,718,911 | | | | 3,764 | |
GCAT Trust, Series 2024-INV3, Class A6 5.500%, (AFC), 9/25/54 144A | | | 853,906 | | | | 860 | |
Government National Mortgage Association 3.000%, 9/20/51 | | | 3,476,519 | | | | 3,171 | |
5.000%, 8/20/53 | | | 6,146,950 | | | | 6,161 | |
5.500%, 12/20/52 | | | 1,615,999 | | | | 1,635 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A
4.128%, 7/5/31 144A | | | 2,020,000 | | | | 1,848 | |
JP Morgan Mortgage Trust, Series 2014-5, Class A1
2.711%, (AFC), 10/25/29 144A | | | 177,555 | | | | 173 | |
| | | | | | | | |
| Structured Products (17.0%) | | Shares/ Par + | | | Value
$ (000’s) | |
Mortgage Securities continued | | | | | | | | |
JP Morgan Mortgage Trust, Series 2016-1, Class A7
3.500%, 5/25/46 144A | | | 537,044 | | | | 496 | |
JP Morgan Mortgage Trust, Series 2024-5, Class A6
6.000%, (AFC), 11/25/54 144A | | | 1,188,706 | | | | 1,200 | |
JP Morgan Mortgage Trust, Series 2024-6, Class A6
6.000%, (AFC), 12/28/54 144A | | | 821,532 | | | | 829 | |
JP Morgan Mortgage Trust, Series 2024-9, Class A6
5.500%, (AFC), 2/25/55 144A | | | 1,350,000 | | | | 1,352 | |
MFRA Trust, Series 2024-NQM2, Class A1
6.272%, (AFC), 8/25/69 144A ∑ | | | 1,561,743 | | | | 1,565 | |
NJ Trust, Series 2023-GSP, Class A
6.697%, 1/6/29 144A | | | 825,000 | | | | 875 | |
RATE Mortgage Trust, Series 2024-J3, Class A8
1.000%, (AFC), 10/25/54 144A | | | 525,000 | | | | 525 | |
Sequoia Mortgage Trust, Series 2017-7, Class A7
3.500%, (AFC), 10/25/47 144A | | | 950,100 | | | | 874 | |
Sequoia Mortgage Trust, Series 2024-6, Class A11
6.000%, (AFC), 7/27/54 144A | | | 549,049 | | | | 554 | |
Sequoia Mortgage Trust, Series 2024-9, Class A5
5.500%, (AFC), 10/25/54 144A | | | 1,425,000 | | | | 1,434 | |
STACR Trust, Series 2021-DNA7, Class M1 | | | | | | | | |
6.130%, (US 30 Day Average SOFR plus 0.850%), 11/25/41 144A | | | 1,014,968 | | | | 1,014 | |
Starwood Mortgage Residential Trust, Series 2021-1, Class A1
1.219%, (AFC), 5/25/65 144A | | | 601,466 | | | | 561 | |
Verus Securitization Trust, Series 2021-1, Class A3
1.155%, (AFC), 1/25/66 144A | | | 536,584 | | | | 483 | |
Vista Point Securitization Trust, Series 2020-2, Class A3
2.496%, (AFC), 4/25/65 144A | | | 234,054 | | | | 224 | |
| | | | | | | | |
| | |
Total | | | | | | | 59,285 | |
| | |
| | | | | | | | |
| |
Total Structured Products (Cost: $72,821) | | | | 72,142 | |
| | |
| | | | | | | | |
| | | | | | | | |
Short-Term Investments (4.3%) | | | | | | | | |
Commercial Paper (4.3%) | | | | | | | | |
Lion Bay Funding LLC
0.000%, 10/1/24 | | | 9,050,000 | | | | 9,049 | |
Overwatch Alpha FDG LLC
0.000%, 10/1/24 | | | 9,050,000 | | | | 9,049 | |
| | | | | | | | |
| | |
Total | | | | | | | 18,098 | |
| | |
| | | | | | | | |
| |
Total Short-Term Investments (Cost: $18,100) | | | | 18,098 | |
| | |
| | | | | | | | |
| |
Total Investments (98.2%) (Cost: $442,657)@ | | | | 415,335 | |
| | |
| | | | | | | | |
| | |
Other Assets, Less Liabilities (1.8%) | | | | | | | 7,460 | |
| | |
| | | | | | | | |
| | |
Net Assets (100.0%) | | | | | | | 422,795 | |
| | |
| | | | | | | | |
3
Inflation Protection Portfolio
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 | | | | 6,300 | | | | 63 | | | | 12/24 | | | $ | 7,200 | | | $ | 11 | | | $ | | (29) |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 11 | | | $ | | (29) |
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 | | | 2.073% | | | | 8/27 | | | | 3,500 | | | | USD | | | $ | – | | | $ | 458 | | | $ | 458 | | | $ | 2 | |
CPURNSA | | | 2.145% | | | | 11/27 | | | | 5,000 | | | | USD | | | | (1 | ) | | | 600 | | | | 599 | | | | 3 | |
CPURNSA | | | 2.386% | | | | 8/29 | | | | 12,000 | | | | USD | | | | 1 | | | | (44 | ) | | | (43 | ) | | | 20 | |
CPURNSA | | | 1.884% | | | | 11/29 | | | | 2,000 | | | | USD | | | | – | | | | 295 | | | | 295 | | | | 3 | |
CPURNSA | | | 2.243% | | | | 1/26 | | | | 6,000 | | | | USD | | | | – | | | | 682 | | | | 682 | | | | – | π |
CPURNSA | | | 1.078% | | | | 6/25 | | | | 3,000 | | | | USD | | | | – | | | | 523 | | | | 523 | | | | – | π |
CPURNSA | | | 2.503% | | | | 8/26 | | | | 7,000 | | | | USD | | | | – | | | | (2 | ) | | | (2 | ) | | | 2 | |
CPURNSA | | | 2.415% | | | | 2/28 | | | | 2,500 | | | | USD | | | | – | | | | 15 | | | | 15 | | | | 2 | |
CPURNSA | | | 2.565% | | | | 4/28 | | | | 1,500 | | | | USD | | | | – | | | | (5 | ) | | | (5 | ) | | | 1 | |
CPURNSA | | | 2.370% | | | | 2/29 | | | | 13,400 | | | | USD | | | | 1 | | | | 18 | | | | 19 | | | | 21 | |
CPURNSA | | | 2.438% | | | | 2/30 | | | | 9,500 | | | | USD | | | | – | | | | 47 | | | | 47 | | | | 17 | |
CPURNSA | | | 1.291% | | | | 5/30 | | | | 2,000 | | | | USD | | | | – | | | | 412 | | | | 412 | | | | 3 | |
CPURNSA | | | 1.629% | | | | 6/30 | | | | 2,000 | | | | USD | | | | – | | | | 373 | | | | 373 | | | | 3 | |
CPURNSA | | | 2.663% | | | | 8/30 | | | | 1,200 | | | | USD | | | | – | | | | (16 | ) | | | (16 | ) | | | 2 | |
CPURNSA | | | 2.498% | | | | 9/31 | | | | 7,000 | | | | USD | | | | – | | | | 457 | | | | 457 | | | | 15 | |
CPURNSA | | | 2.619% | | | | 3/33 | | | | 5,500 | | | | USD | | | | 1 | | | | (57 | ) | | | (56 | ) | | | 13 | |
CPURNSA | | | 2.495% | | | | 5/33 | | | | 3,500 | | | | USD | | | | 1 | | | | (15 | ) | | | (14 | ) | | | 8 | |
CPURNSA | | | 2.650% | | | | 8/33 | | | | 8,500 | | | | USD | | | | 1 | | | | (157 | ) | | | (156 | ) | | | 21 | |
CPURNSA | | | 2.485% | | | | 2/34 | | | | 3,400 | | | | USD | | | | 1 | | | | (20 | ) | | | (19 | ) | | | 9 | |
CPURNSA | | | 1.800% | | | | 10/29 | | | | 3,700 | | | | USD | | | | – | | | | 574 | | | | 574 | | | | 6 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 5 | | | $ | 4,138 | | | $ | 4,143 | | | $ | 151 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | $ | 151 | | | $ | – | | | $ | 151 | | | $ | – | | | $ | (29 | ) | | $ | (29) | | | $ | – | |
| | | | |
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 | | Goldman Sachs International | | | CAD | | | | 2,771 | | | | 2,053 | | | | 12/18/24 | | | $ | —π | | | $ | (7 | ) | | $ | (7 | ) |
Buy | | Morgan Stanley Capital Services LLC | | | CAD | | | | 710 | | | | 526 | | | | 12/18/24 | | | | — | | | | — | π | | | — | π |
Sell | | Bank of America NA | | | CAD | | | | 17,781 | | | | 13,173 | | | | 12/18/24 | | | | — | | | | (58 | ) | | | (58 | ) |
Sell | | Morgan Stanley Capital Services LLC | | | CAD | | | | 1,518 | | | | 1,125 | | | | 12/18/24 | | | | 2 | | | | — | π | | | 2 | |
Sell | | Bank of America NA | | | EUR | | | | 10,170 | | | | 11,356 | | | | 12/18/24 | | | | — | | | | (42 | ) | | | (42 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 2 | | | $ | (107 | ) | | $ | (105 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
4
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 | | | 2.140% | | | | 7/25 | | | 2,900 | | $ | 317 | | | $ | 317 | |
CPURNSA | | Bank of America NA | | | 1.790% | | | | 8/25 | | | 1,500 | | | 217 | | | | 217 | |
CPURNSA | | Bank of America NA | | | 2.240% | | | | 4/27 | | | 3,500 | | | 365 | | | | 365 | |
CPURNSA | | Bank of America NA | | | 2.218% | | | | 4/27 | | | 2,000 | | | 213 | | | | 213 | |
CPURNSA | | Bank of America NA | | | 2.235% | | | | 4/27 | | | 2,000 | | | 210 | | | | 210 | |
CPURNSA | | Bank of America NA | | | 2.235% | | | | 5/27 | | | 5,000 | | | 528 | | | | 528 | |
CPURNSA | | Barclays Bank PLC | | | 2.895% | | | | 12/27 | | | 1,700 | | | (234 | ) | | | (234 | ) |
CPURNSA | | Barclays Bank PLC | | | 2.784% | | | | 7/44 | | | 1,400 | | | (118 | ) | | | (118 | ) |
CPURNSA | | Goldman Sachs International | | | 1.870% | | | | 5/26 | | | 8,500 | | | 1,315 | | | | 1,315 | |
CPURNSA | | Goldman Sachs International | | | 1.920% | | | | 5/26 | | | 7,000 | | | 1,038 | | | | 1,038 | |
CPURNSA | | Goldman Sachs International | | | 1.770% | | | | 6/26 | | | 6,000 | | | 986 | | | | 986 | |
CPURNSA | | Goldman Sachs International | | | 2.245% | | | | 11/26 | | | 3,000 | | | 328 | | | | 328 | |
CPURNSA | | Goldman Sachs International | | | 2.280% | | | | 11/26 | | | 3,000 | | | 316 | | | | 316 | |
CPURNSA | | Goldman Sachs International | | | 2.280% | | | | 11/26 | | | 4,000 | | | 420 | | | | 420 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 5,901 | | | $ | 5,901 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | 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 | | $ 2 | | $ 6,253 | | $ 6,255 | | $ | (107 | ) | | | — | | | $ (352) | | $ (459) |
| | |
| + | 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, 2024 the value of these securities (in thousands) was $38,037 representing 9.0% of the net assets. |
| α | Rate shown is the rate as of the period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. |
| µ | Perpetual maturity, date shown, if applicable, represents next contractual call date. |
| ∞ | Foreign Bond — par value is foreign denominated. |
| § | Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At September 30, 2024, the aggregate value of these securities was $11,585 (in thousands), representing 2.7% of net assets. |
| ß | Part or all of the security has been pledged as collateral. |
| ∑ | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end. |
| @ | At September 30, 2024, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $442,662 and the net unrealized depreciation of investments based on that cost was $17,377 which is comprised of $13,965 aggregate gross unrealized appreciation and $31,342 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
| π | Amount is less than one thousand. |
5
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, 2024.
| | | | | | | | | | | | |
| | | Valuation Inputs | |
| Description | | Level 1 - Quoted
Prices | | | Level 2 - Other Significant
Observable Inputs | | | Level 3 - Significant
Unobservable
Inputs | |
| | | (Amounts in thousands) | |
| | | |
Assets: | | | | | | | | | | | | |
Municipal Bonds | | $ | — | | | $ | 1,681 | | | $ | — | |
Corporate Bonds | | | — | | | | 35,361 | | | | — | |
Governments | | | — | | | | 288,053 | | | | — | |
Structured Products | | | — | | | | 72,142 | | | | — | |
Short-Term Investments | | | — | | | | 18,098 | | | | — | |
Other Financial Instruments^ | | | | | | | | | | | | |
Futures | | | 11 | | | | — | | | | — | |
Forward Foreign Currency Contracts | | | — | | | | 2 | | | | — | |
Total Return Swaps | | | — | | | | 10,707 | | | | — | |
| | | | |
Total Assets: | | $ | 11 | | | $ | 426,044 | | | $ | — | |
| | | | |
Liabilities: | | | | | | | | | | | | |
Other Financial Instruments^ | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | — | | | | (107 | ) | | | — | |
Total Return Swaps | | | — | | | | (663 | ) | | | — | |
| | | | |
Total Liabilities: | | $ | — | | | $ | (770 | ) | | $ | — | |
| | | | |
^ 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.
6
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 |
CME | | Chicago Mercantile Exchange |
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 |
DIFC | | Dubai International Financial Centre |
EURIBOR | | Euro Interbank Offered Rate |
BRL-CDI | | Brazil Interbank Deposit Rate |
SDR | | Swedish Depository Receipt |
ETF | | Exchange Traded Fund |
Currency Abbreviations
| | |
AED | | United Arab Emirates Dirham |
AUD | | Australian Dollar |
BRL | | Brazilian Real |
CAD | | Canadian Dollar |
CHF | | Swiss Franc |
CNH | | Chinese Yuan Renminbi - Offshore |
CNY | | Chinese Yuan Renminbi |
DKK | | Danish Krone |
EUR | | Euro |
GBP | | British Pound |
HKD | | Hong Kong Dollar |
IDR | | Indonesian Rupiah |
ILS | | Israeli Shekel |
INR | | Indian Rupee |
JPY | | Japanese Yen |
KRW | | South Korean Won |
MXN | | Mexican New Peso |
NOK | | Norwegian Krone |
NZD | | New Zealand Dollar |
PEN | | Peruvian Sol |
PLN | | Polish Zloty |
RUB | | Russian Ruble |
SAR | | Saudi Riyal |
SEK | | Swedish Krona |
SGD | | Singapore Dollar |
THB | | Thai Baht |
TRY | | Turkish Lira |
TWD | | Taiwan Dollar |
USD | | United States Dollar |
ZAR | | South African Rand |
1
