Investments in Affiliated Portfolios |
Description | Value | % of Net Assets | |
Senior Debt Portfolio | |||
(identified cost $139,041,097) | $133,778,771 | 20.0% | |
Short Duration Inflation-Protected Income Portfolio | |||
(identified cost $568,185,834) | 535,598,689 | 80.3 | |
Total Investments in Affiliated Portfolios (identified cost $707,226,931) | $669,377,460 | 100.3% | |
Total Investments (identified cost $707,226,931) | $669,377,460 | 100.3% | |
Other Assets, Less Liabilities | $ (2,175,897) | (0.3)% | |
Net Assets | $667,201,563 | 100.0% |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Inflation Swaps (Centrally Cleared) | |||||||
Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
USD | 25,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 4.27% (pays upon termination)
| 3/28/25 | $ (324,046) |
USD | 35,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 4.04% (pays upon termination)
| 4/25/25 | (373,421) |
USD | 15,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.16% (pays upon termination)
| 10/28/26 | 476,347 |
USD | 20,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.00% (pays upon termination)
| 1/4/27 | 597,132 |
USD | 20,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.82% (pays upon termination)
| 2/11/27 | 642,166 |
USD | 30,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.61% (pays upon termination)
| 3/23/27 | (342,218) |
USD | 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.55% (pays upon termination)
| 4/19/27 | 891,259 |
USD | 15,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 3.24% (pays upon termination)
| 11/19/27 | 338,678 |
$1,905,897 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $7,445,764 | $157,239,654 | $(162,940,099) | $ — | $ — | $1,745,319 | $159,043 | 1,745,319 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 7,395,435 | $ — | $ 7,395,435 |
Commercial Mortgage-Backed Securities | — | 21,569,576 | — | 21,569,576 |
U.S. Treasury Obligations | — | 500,540,967 | — | 500,540,967 |
Short-Term Investments | 1,745,319 | — | — | 1,745,319 |
Total Investments | $1,745,319 | $529,505,978 | $ — | $531,251,297 |
Swap Contracts | $ — | $ 2,945,582 | $ — | $ 2,945,582 |
Total | $1,745,319 | $532,451,560 | $ — | $534,196,879 |
Liability Description | ||||
Swap Contracts | $ — | $ (1,039,685) | $ — | $ (1,039,685) |
Total | $ — | $ (1,039,685) | $ — | $ (1,039,685) |