Inflation Protection Portfolio

Fund Profile

Fund profile

Fund manager

Northwestern Mutual Series Fund Inc

Total assets

$413.81 mm

Liabilities

$5.29 mm

Net assets

$408.52 mm

Number of holdings

188.00

188 Holdings

As of Dec 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
U.S. Treasury Inflation-Indexed Notes	22.46 mm	24.01 mm principal	5.50	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	17.40 mm	19.16 mm principal	4.26	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	13.82 mm	15.57 mm principal	3.38	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	12.78 mm	17.65 mm principal	3.13	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	10.50 mm	11.00 mm principal	2.57	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	10.07 mm	11.61 mm principal	2.46	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	9.45 mm	10.74 mm principal	2.31	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	9.38 mm	10.40 mm principal	2.30	Debt	Long	USA
Lion Bay Funding LLC	9.30 mm	9.30 mm principal	2.28	Short-term investment vehicle	Long	Ireland
Mainbeach Funding LLC	9.30 mm	9.30 mm principal	2.28	Short-term investment vehicle	Long	Ireland
Overwatch Alpha Funding LLC	9.30 mm	9.30 mm principal	2.28	Short-term investment vehicle	Long	USA
U.S. Treasury Inflation-Indexed Bonds	9.21 mm	11.08 mm principal	2.26	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	9.17 mm	10.27 mm principal	2.25	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	8.77 mm	9.05 mm principal	2.15	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	8.71 mm	8.94 mm principal	2.13	Debt	Long	USA
Fannie Mae Pool	8.37 mm	9.14 mm principal	2.05	ABS-mortgage backed security	Long	USA
Federal National Mortgage Association	8.01 mm	7.22 mm principal	1.96	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	7.24 mm	9.45 mm principal	1.77	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	7.10 mm	7.42 mm principal	1.74	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	6.28 mm	8.58 mm principal	1.54	Debt	Long	USA
Federal Home Loan Mortgage Corp	6.08 mm	5.49 mm principal	1.49	Debt	Long	USA
Fannie Mae Pool	6.08 mm	7.38 mm principal	1.49	ABS-mortgage backed security	Long	USA
Ginnie Mae II Pool	5.79 mm	5.96 mm principal	1.42	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation-Indexed Bonds	4.73 mm	8.61 mm principal	1.16	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	4.67 mm	4.84 mm principal	1.14	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	4.58 mm	4.98 mm principal	1.12	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	4.25 mm	5.88 mm principal	1.04	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	4.12 mm	3.84 mm principal	1.01	Debt	Long	USA
Freddie Mac Pool	4.11 mm	4.09 mm principal	1.01	ABS-mortgage backed security	Long	USA
Ginnie Mae II Pool	4.11 mm	4.07 mm principal	1.01	ABS-mortgage backed security	Long	USA
Ginnie Mae II Pool	4.08 mm	4.42 mm principal	1.00	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation-Indexed Bonds	3.95 mm	6.78 mm principal	0.97	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	3.84 mm	4.00 mm principal	0.94	Debt	Long	USA
Freddie Mac Pool	3.69 mm	3.73 mm principal	0.90	ABS-mortgage backed security	Long	USA
Freddie Mac Pool	3.66 mm	3.99 mm principal	0.90	ABS-mortgage backed security	Long	USA
Fannie Mae Pool	3.55 mm	3.59 mm principal	0.87	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation-Indexed Bonds	3.51 mm	3.63 mm principal	0.86	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	3.46 mm	3.40 mm principal	0.85	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	3.43 mm	3.70 mm principal	0.84	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	3.07 mm	2.93 mm principal	0.75	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	2.96 mm	3.93 mm principal	0.72	Debt	Long	USA
Ginnie Mae II Pool	2.95 mm	3.39 mm principal	0.72	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation-Indexed Notes	2.89 mm	2.97 mm principal	0.71	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	2.64 mm	3.58 mm principal	0.65	Debt	Long	USA
U.S. Treasury Inflation-Indexed Bonds	2.24 mm	3.07 mm principal	0.55	Debt	Long	USA
Citigroup Mortgage Loan Trust 2024-CMI1	2.08 mm	2.09 mm principal	0.51	ABS-mortgage backed security	Long	USA
Ginnie Mae II Pool	2.06 mm	2.57 mm principal	0.50	ABS-mortgage backed security	Long	USA
Ginnie Mae II Pool	2.04 mm	2.05 mm principal	0.50	ABS-mortgage backed security	Long	USA
Freddie Mac Pool	2.04 mm	2.47 mm principal	0.50	ABS-mortgage backed security	Long	USA
Freddie Mac Pool	1.96 mm	2.08 mm principal	0.48	ABS-mortgage backed security	Long	USA
Caterpillar Financial Services Corp	1.96 mm	1.97 mm principal	0.48	Debt	Long	USA
Dryden 43 Senior Loan Fund	1.94 mm	2.00 mm principal	0.47	ABS-collateralized bond/debt obligation	Long	Cayman Islands
JP Morgan Mortgage Trust 2024-11	1.92 mm	1.92 mm principal	0.47	ABS-mortgage backed security	Long	USA
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON	1.88 mm	2.02 mm principal	0.46	ABS-mortgage backed security	Long	USA
Tennessee Valley Authority	1.73 mm	1.75 mm principal	0.42	Debt	Long	USA
Provident Funding Mortgage Trust 2024-1	1.70 mm	1.72 mm principal	0.42	ABS-mortgage backed security	Long	USA
Freddie Mac Pool	1.67 mm	1.89 mm principal	0.41	ABS-mortgage backed security	Long	USA
Oncor Electric Delivery Co LLC	1.60 mm	1.62 mm principal	0.39	Debt	Long	USA
Freddie Mac Pool	1.60 mm	1.69 mm principal	0.39	ABS-mortgage backed security	Long	USA
BANK5 2024-5YR7	1.56 mm	1.52 mm principal	0.38	ABS-mortgage backed security	Long	USA
Truist Financial Corp	1.54 mm	1.48 mm principal	0.38	Debt	Long	USA
Chase Home Lending Mortgage Trust 2024-9	1.52 mm	1.53 mm principal	0.37	ABS-mortgage backed security	Long	USA
MFA 2024-NQM2 Trust	1.50 mm	1.52 mm principal	0.37	ABS-mortgage backed security	Long	USA
Ginnie Mae II Pool	1.49 mm	1.50 mm principal	0.36	ABS-mortgage backed security	Long	USA
Benchmark 2024-V8 Mortgage Trust	1.47 mm	1.41 mm principal	0.36	ABS-mortgage backed security	Long	USA
KKR Static CLO I LTD	1.43 mm	1.43 mm principal	0.35	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Long: SWT000127 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000127 IRS USD P F 1.87000 INFLATION	1.38 mm	8.50 mm other units	0.34	DO	N/A	USA
Chase Home Lending Mortgage Trust 2024-10	1.33 mm	1.33 mm principal	0.33	ABS-mortgage backed security	Long	USA
J.P. Morgan Mortgage Trust 2024-10	1.32 mm	1.33 mm principal	0.32	ABS-mortgage backed security	Long	USA
Toyota Motor Credit Corp	1.28 mm	1.29 mm principal	0.31	Debt	Long	USA
Sequoia Mortgage Trust 2024-9	1.23 mm	1.23 mm principal	0.30	ABS-mortgage backed security	Long	USA
Tennessee Valley Authority	1.23 mm	1.50 mm principal	0.30	Debt	Long	USA
Freddie Mac Pool	1.22 mm	1.30 mm principal	0.30	ABS-mortgage backed security	Long	USA
Roche Holdings Inc	1.21 mm	1.27 mm principal	0.30	Debt	Long	USA
JP Morgan Mortgage Trust 2024-9	1.19 mm	1.20 mm principal	0.29	ABS-mortgage backed security	Long	USA
Magnetite Xli Ltd	1.18 mm	1.18 mm principal	0.29	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BRAVO Residential Funding Trust 2024-NQM4	1.13 mm	1.18 mm principal	0.28	ABS-mortgage backed security	Long	USA
JP Morgan Mortgage Trust 2024-INV1	1.09 mm	1.09 mm principal	0.27	ABS-mortgage backed security	Long	USA
Long: SWT000128 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000128 IRS USD P F 1.92000 INFLATION	1.09 mm	7.00 mm other units	0.27	DO	N/A	USA
Nationwide Building Society	1.08 mm	1.08 mm principal	0.26	Debt	Long	UK
J.P. Morgan Mortgage Trust 2024-10	1.07 mm	1.08 mm principal	0.26	ABS-mortgage backed security	Long	USA
Federal Home Loan Banks	1.06 mm	1.00 mm principal	0.26	Debt	Long	USA
GA Global Funding Trust	1.05 mm	1.07 mm principal	0.26	Debt	Long	USA
US Bank NA/Cincinnati OH	1.05 mm	1.06 mm principal	0.26	Debt	Long	USA
Highwoods Realty LP	1.05 mm	1.08 mm principal	0.26	Debt	Long	USA
SCHW The Charles Schwab Corporation	1.05 mm	1.06 mm principal	0.26	Debt	Long	USA
Athene Global Funding	1.04 mm	1.05 mm principal	0.26	Debt	Long	USA
Aligned Data Centers Issuer LLC	1.04 mm	1.10 mm principal	0.26	ABS-other	Long	USA
JPMorgan Chase & Co	1.04 mm	1.04 mm principal	0.25	Debt	Long	USA
Long: SWT000129 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000129 IRS USD P F 1.77000 INFLATION	1.03 mm	6.00 mm other units	0.25	DO	N/A	USA
UNIV OF CALIFORNIA CA REVENUES	1.03 mm	1.11 mm principal	0.25	Debt	Long	USA
KKR CLO 22 Ltd	1.01 mm	1.01 mm principal	0.25	ABS-collateralized bond/debt obligation	Long	Cayman Islands
JPMorgan Chase & Co	1.01 mm	970.00 k principal	0.25	Debt	Long	USA
Sequoia Mortgage Trust 2024-10	998.29 k	1.00 mm principal	0.24	ABS-mortgage backed security	Long	USA
JP Morgan Mortgage Trust Series 2024-5	972.65 k	969.60 k principal	0.24	ABS-mortgage backed security	Long	USA
FirstKey Homes 2020-SFR2 Trust	971.12 k	1.00 mm principal	0.24	ABS-other	Long	USA
Freddie Mac STACR REMIC Trust 2021-DNA7	871.27 k	872.48 k principal	0.21	ABS-mortgage backed security	Long	USA
NJ Trust 2023-GSP	858.53 k	825.00 k principal	0.21	ABS-mortgage backed security	Long	USA
BANK5 Trust 2024-5YR6	850.11 k	818.00 k principal	0.21	ABS-mortgage backed security	Long	USA
Sequoia Mortgage Trust 2017-7	832.43 k	942.19 k principal	0.20	ABS-mortgage backed security	Long	USA
JP Morgan Mortgage Trust 2024-11	825.10 k	821.22 k principal	0.20	ABS-mortgage backed security	Long	USA
AMGN Amgen Inc.	823.87 k	830.00 k principal	0.20	Debt	Long	USA
Athene Global Funding	798.74 k	791.00 k principal	0.20	Debt	Long	USA
GCAT 2024-INV3 Trust	784.42 k	789.22 k principal	0.19	ABS-mortgage backed security	Long	USA
Sequoia Mortgage Trust 2024-10	778.70 k	781.75 k principal	0.19	ABS-mortgage backed security	Long	USA
ABBV AbbVie Inc.	777.17 k	800.00 k principal	0.19	Debt	Long	USA
U.S. Treasury Inflation-Indexed Notes	739.74 k	752.38 k principal	0.18	Debt	Long	USA
INTC Intel Corporation	728.46 k	830.00 k principal	0.18	Debt	Long	USA
Long: BL0X0ISZ6 IRS USD R V 12MUSCPI SL0X0ISZ6_FLO CCPINFLATIONZERO / Short: BL0X0ISZ6 IRS USD P F 2.24300 SL0X0ISZ6_FIX CCPINFLATIONZERO	721.83 k	6.00 mm other units	0.18	DO	N/A	UK
JP Morgan Mortgage Trust Series 2024-6	693.06 k	691.94 k principal	0.17	ABS-mortgage backed security	Long	USA
Chase Home Lending Mortgage Trust 2024-9	684.17 k	687.04 k principal	0.17	ABS-mortgage backed security	Long	USA
Blackbird Capital II Aircraft Lease Ltd	636.30 k	697.21 k principal	0.16	ABS-other	Long	USA
Long: BLP71H6D0 IRS USD R V 12MUSCPI SLP71H6D0_INF CCPINFLATIONZERO / Short: BLP71H6D0 IRS USD P F 2.14500 SLP71H6D0_FIX CCPINFLATIONZERO	629.03 k	5.00 mm other units	0.15	DO	N/A	USA
Palmer Square CLO 2024-4 Ltd	624.09 k	625.00 k principal	0.15	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Switch ABS Issuer LLC	623.43 k	625.00 k principal	0.15	ABS-other	Long	USA
GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT	622.78 k	740.00 k principal	0.15	Debt	Long	USA
Towd Point Mortgage Trust 2024-CES3	622.21 k	616.80 k principal	0.15	ABS-mortgage backed security	Long	USA
HPE Hewlett Packard Enterprise Company	620.42 k	627.00 k principal	0.15	Debt	Long	USA
DUK Duke Energy Corporation	609.01 k	610.00 k principal	0.15	Debt	Long	USA
Deephaven Residential Mortgage Trust 2020-2	608.79 k	617.70 k principal	0.15	ABS-mortgage backed security	Long	USA
Long: BL474BO35 IRS USD R V 12MUSCPI SL474BO35_INF CCPINFLATIONZERO / Short: BL474BO35 IRS USD P F 1.80000 SL474BO35_FIX CCPINFLATIONZERO	579.27 k	3.70 mm other units	0.14	DO	N/A	USA
Long: SWT000136 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000136 IRS USD P F 2.23500 INFLATION	564.42 k	5.00 mm other units	0.14	DO	N/A	USA
Subway Funding LLC	563.61 k	554.00 k principal	0.14	ABS-other	Long	USA
Long: BL2I4BCO0 IRS USD R V 12MUSCPI SL2I4BCO0_INF CCPINFLATIONZERO / Short: BL2I4BCO0 IRS USD P F 1.07750 SL2I4BCO0_FIX CCPINFLATIONZERO	540.38 k	3.00 mm other units	0.13	DO	N/A	USA
Sierra Timeshare 2021-1 Receivables Funding LLC	537.97 k	555.11 k principal	0.13	ABS-other	Long	USA
STAR 2021-1 Trust	521.27 k	563.25 k principal	0.13	ABS-mortgage backed security	Long	USA
U.S. Treasury Inflation-Indexed Bonds	515.99 k	519.82 k principal	0.13	Debt	Long	USA
KEYS Keysight Technologies, Inc.	511.31 k	514.00 k principal	0.13	Debt	Long	USA
Chase Home Lending Mortgage Trust Series 2024-2	483.46 k	482.09 k principal	0.12	ABS-mortgage backed security	Long	USA
Long: BL3Y3QA14 IRS USD R V 12MUSCPI SL3Y3QA14 _INF CCPINFLATIONZER / Short: BL3Y3QA14 IRS USD P F 2.07250 SL3Y3QA14 _FIX CCPINFLATIONZER	479.91 k	3.50 mm other units	0.12	DO	N/A	USA
RATE Mortgage Trust 2024-J3	478.80 k	480.90 k principal	0.12	ABS-mortgage backed security	Long	USA
Sequoia Mortgage Trust 2024-6	477.13 k	476.35 k principal	0.12	ABS-mortgage backed security	Long	USA
Long: BLWS0QPF1 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLWS0QPF1 IRS USD P F 2.49750 FIX CCPINFLATIONZERO	476.12 k	7.00 mm other units	0.12	DO	N/A	USA
JP Morgan Mortgage Trust 2016-1	473.55 k	532.52 k principal	0.12	ABS-mortgage backed security	Long	USA
JPMorgan Chase & Co	469.68 k	465.00 k principal	0.11	Debt	Long	USA
Long: SWT000132 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000132 IRS USD P F 2.28000 INFLATION	450.67 k	4.00 mm other units	0.11	DO	N/A	USA
Verus Securitization Trust 2021-1	448.17 k	511.88 k principal	0.11	ABS-mortgage backed security	Long	USA
RCKT Mortgage Trust 2024-CES3	445.48 k	439.99 k principal	0.11	ABS-mortgage backed security	Long	USA
JPMorgan Chase & Co	429.17 k	433.00 k principal	0.11	Debt	Long	USA
C Citigroup Inc.	417.94 k	420.00 k principal	0.10	Debt	Long	USA
BBCMS Mortgage Trust 2024-5C27	413.43 k	400.00 k principal	0.10	ABS-mortgage backed security	Long	USA
Long: BLYP0FI75 IRS USD R V 12MUSCPI SLYP0FI75_INF CCPINFLATIONZERO / Short: BLYP0FI75 IRS USD P F 1.29100 SLYP0FI75_FIX CCPINFLATIONZERO	410.97 k	2.00 mm other units	0.10	DO	N/A	USA
Fannie Mae Connecticut Avenue Securities	403.43 k	397.94 k principal	0.10	ABS-mortgage backed security	Long	USA
Goodgreen 2020-1 Trust	403.16 k	496.13 k principal	0.10	ABS-other	Long	USA
Long: SWT000133 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000133 IRS USD P F 2.24000 INFLATION	390.87 k	3.50 mm other units	0.10	DO	N/A	USA
Long: BLA11X4L8 IRS USD R V 12MUSCPI CCP LCH FLOATING / Short: BLA11X4L8 IRS USD P F 1.62875 CCP LCH FIXED	372.00 k	2.00 mm other units	0.09	DO	N/A	USA
Long: SWT000130 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000130 IRS USD P F 2.24500 INFLATION	350.67 k	3.00 mm other units	0.09	DO	N/A	USA
Accenture Capital Inc	350.40 k	361.00 k principal	0.09	Debt	Long	USA
JPMorgan Chase & Co	349.04 k	360.00 k principal	0.09	Debt	Long	USA
Bean Creek CLO Ltd	347.60 k	347.30 k principal	0.09	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Long: SWT000131 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000131 IRS USD P F 2.28000 INFLATION	338.46 k	3.00 mm other units	0.08	DO	N/A	USA
Bank of America Corp	335.37 k	335.00 k principal	0.08	Debt	Long	USA
Long: SWT000124 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000124 IRS USD P F 2.14000 INFLATION	332.88 k	2.90 mm other units	0.08	DO	N/A	USA
Agate Bay Mortgage Trust 2015-7	314.30 k	351.24 k principal	0.08	ABS-mortgage backed security	Long	USA
Long: BL1S54L30 IRS USD R V 12MUSCPI SL1S54L30_INF CCPINFLATIONZERO / Short: BL1S54L30 IRS USD P F 1.88400 SL1S54L30_FIX CCPINFLATIONZERO	298.14 k	2.00 mm other units	0.07	DO	N/A	USA
Hilton Grand Vacations Trust 2019-A	296.32 k	303.86 k principal	0.07	ABS-other	Long	USA
U.S. Treasury Inflation-Indexed Notes	261.63 k	257.64 k principal	0.06	Debt	Long	USA
Greenwood Park CLO Ltd	234.63 k	234.35 k principal	0.06	ABS-collateralized bond/debt obligation	Long	Cayman Islands
CSMC 2021-NQM2	232.84 k	262.58 k principal	0.06	ABS-mortgage backed security	Long	USA
Long: SWT000134 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000134 IRS USD P F 2.21750 INFLATION	228.14 k	2.00 mm other units	0.06	DO	N/A	USA
Long: SWT000125 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000125 IRS USD P F 1.79000 INFLATION	226.01 k	1.50 mm other units	0.06	DO	N/A	USA
Long: SWT000135 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000135 IRS USD P F 2.23500 INFLATION	224.84 k	2.00 mm other units	0.06	DO	N/A	USA
Arroyo Mortgage Trust 2021-1R	215.16 k	245.34 k principal	0.05	ABS-mortgage backed security	Long	USA
Vista Point Securitization Trust 2020-2	209.74 k	220.92 k principal	0.05	ABS-mortgage backed security	Long	USA
Palmer Square CLO 2014-1 Ltd	184.34 k	184.29 k principal	0.05	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Goodgreen 2021-1 Trust	183.05 k	225.44 k principal	0.04	ABS-other	Long	USA
Wells Fargo & Co	176.92 k	170.00 k principal	0.04	Debt	Long	USA
Arroyo Mortgage Trust 2021-1R	165.35 k	188.72 k principal	0.04	ABS-mortgage backed security	Long	USA
JP Morgan Mortgage Trust 2014-5	153.60 k	158.14 k principal	0.04	ABS-mortgage backed security	Long	USA
Wells Fargo & Co	118.66 k	120.00 k principal	0.03	Debt	Long	USA
Angel Oak Mortgage Trust 2019-6	118.56 k	120.83 k principal	0.03	ABS-mortgage backed security	Long	USA
Long: BLTQ16424 IRS USD R V 12MUSCPI SLTQ16424_FLO CCPINFLATIONZERO / Short: BLTQ16424 IRS USD P F 2.43750 SLTQ16424_FIX CCPINFLATIONZERO	94.84 k	9.50 mm other units	0.02	DO	N/A	USA
Long: BL4H5FHC1 IRS USD R V 12MUSCPI SL4H5FHC1_FLO CCPINFLATIONZERO / Short: BL4H5FHC1 IRS USD P F 2.37000 SL4H5FHC1_FIX CCPINFLATIONZERO	85.46 k	13.40 mm other units	0.02	DO	N/A	USA
C Citigroup Inc.	73.40 k	70.00 k principal	0.02	Debt	Long	USA
Long: BLYH0XDS3 IRS USD R V 12MUSCPI SLYH0XDS3_FLO CCPINFLATIONZERO / Short: BLYH0XDS3 IRS USD P F 2.50250 SLYH0XDS3_FIX CCPINFLATIONZERO	39.85 k	7.00 mm other units	0.01	DO	N/A	USA
CSMC Trust 2015-WIN1	38.21 k	42.18 k principal	0.01	ABS-mortgage backed security	Long	USA
Long: BLTQ163Z2 IRS USD R V 12MUSCPI SLTQ163Z2_FLO CCPINFLATIONZERO / Short: BLTQ163Z2 IRS USD P F 2.41500 SLTQ163Z2_FIX CCPINFLATIONZERO	29.59 k	2.50 mm other units	0.01	DO	N/A	USA
Long: BLBA39EF0 IRS USD R V 12MUSCPI SLBA39EF0_FLO CCPINFLATIONZERO / Short: BLBA39EF0 IRS USD P F 2.38600 SLBA39EF0_FIX CCPINFLATIONZERO	16.51 k	12.00 mm other units	0.00	DO	N/A	USA
Long: BLXA18D20 IRS USD R V 12MUSCPI SLXA18D20_FLO CCPINFLATIONZERO / Short: BLXA18D20 IRS USD P F 2.49500 SLXA18D20_FIX CCPINFLATIONZERO	5.39 k	3.50 mm other units	0.00	DO	N/A	USA
Long: BLYH0V879 IRS USD R V 12MUSCPI SLYH0V879_FLO CCPINFLATIONZERO / Short: BLYH0V879 IRS USD P F 2.56500 SLYH0V879_FIX CCPINFLATIONZERO	3.77 k	1.50 mm other units	0.00	DO	N/A	USA
Long: BL911F4R6 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL911F4R6 IRS USD P F 2.46350 FIX CCPINFLATIONZERO	-322.29	3.00 mm other units	-0.00	DO	N/A	USA
Long: BL4H5FHF4 IRS USD R V 12MUSCPI SL4H5FHF4_FLO CCPINFLATIONZERO / Short: BL4H5FHF4 IRS USD P F 2.48500 SL4H5FHF4_FIX CCPINFLATIONZERO	-1.76 k	3.40 mm other units	-0.00	DO	N/A	USA
Long: BLO5K2OI6 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLO5K2OI6 IRS USD P F 2.52250 FIX CCPINFLATIONZERO	-5.57 k	2.20 mm other units	-0.00	DO	N/A	USA
Long: BL5I23ES6 IRS USD R V 12MUSCPI SL5I23ES6_FLO CCPINFLATIONZERO / Short: BL5I23ES6 IRS USD P F 2.66250 SL5I23ES6_FIX CCPINFLATIONZERO	-9.69 k	1.20 mm other units	-0.00	DO	N/A	USA
Long: BLP4159L2 IRS USD R V 12MUSCPI SLP4159L2_FLO CCPINFLATIONZERO / Short: BLP4159L2 IRS USD P F 2.61900 SLP4159L2_FIX CCPINFLATIONZERO	-25.17 k	5.50 mm other units	-0.01	DO	N/A	USA
Long: SWT000116 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000116 IRS USD P F 2.78400 INFLATION	-92.44 k	1.40 mm other units	-0.02	DO	N/A	USA
Long: BL5I23EV9 IRS USD R V 12MUSCPI SL5I23EV9_FLO CCPINFLATIONZERO / Short: BL5I23EV9 IRS USD P F 2.65000 SL5I23EV9_FIX CCPINFLATIONZERO	-105.78 k	8.50 mm other units	-0.03	DO	N/A	USA
Long: SWT000019 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000019 IRS USD P F 2.89500 INFLATION	-215.72 k	1.70 mm other units	-0.05	DO	N/A	USA