Long: SWT000127 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000127 IRS USD P F 1.87000 INFLATION

HTML

Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2024 (unaudited)


Corporate Bonds (6.4%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Cyclical (0.4%)
Honda Motor Co., Ltd. 2.271%, 3/10/25		1,550,000		1,507

Total				1,507


Consumer, Non-cyclical (1.7%)
AbbVie, Inc. 2.950%, 11/21/26		800,000		762
Amgen, Inc. 5.250%, 3/2/33		830,000		837
Bristol-Myers Squibb Co. 5.200%, 2/22/34		197,000		200
Eli Lilly & Co. 4.700%, 2/9/34		880,000		875
Roche Holdings, Inc. 2.314%, 3/10/27 144A		1,270,000		1,187
Stryker Corp. 4.850%, 12/8/28		800,000		800
Thermo Fisher Scientific, Inc. 1.215%, 10/18/24		2,570,000		2,510

Total				7,171


Energy (0.6%)
Exxon Mobil Corp. 2.709%, 3/6/25		2,560,000		2,503

Total				2,503


Financial (2.8%)
Bank of America Corp.
5.468%, (US SOFR plus 1.650%), 1/23/35 α		510,000		513
5.933%, (US SOFR plus 1.340%), 9/15/27 α		2,210,000		2,239
BOC Aviation USA Corp. 1.625%, 4/29/24 144A		696,000		694
Chubb INA Holdings, Inc. 5.000%, 3/15/34		1,070,000		1,074
Citigroup, Inc.
3.668%, (US SOFR 3 Month plus 1.652%), 7/24/28 α		100,000		95
6.270%, (US SOFR plus 2.338%), 11/17/33 α		140,000		148
Fifth Third Bancorp 6.339%, (US SOFR plus 2.340%), 7/27/29 α		1,620,000		1,670
JPMorgan Chase & Co.
4.005%, (US SOFR 3 Month plus 1.382%), 4/23/29 α		360,000		345
5.299%, (US SOFR plus 1.450%), 7/24/29 α		760,000		766
6.087%, (US SOFR plus 1.570%), 10/23/29 α		1,610,000		1,674
Truist Financial Corp. 5.711%, (US SOFR plus 1.922%), 1/24/35 α		1,477,000		1,483
Wells Fargo & Co.
4.897%, (US SOFR plus 2.100%), 7/25/33 α		325,000		313
5.389%, (US SOFR plus 2.020%), 4/24/34 α		215,000		214


Corporate Bonds (6.4%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
6.303%, (US SOFR plus 1.790%), 10/23/29 α		280,000		292

Total				11,520


Industrial (0.5%)
Caterpillar Financial Services Corp. 3.650%, 8/12/25		1,970,000		1,931

Total				1,931


Utilities (0.4%)
Duke Energy Florida LLC 5.875%, 11/15/33		460,000		486
PPL Electric Utilities Corp. 4.850%, 2/15/34		850,000		836
Sempra 3.300%, 4/1/25		507,000		496

Total				1,818


Total Corporate Bonds (Cost: $26,681)				26,450


Governments (69.4%)
Governments (69.4%)
Canadian Government Bond 3.500%, 3/1/28 CAD ∞		27,000,000		19,866
Federal Home Loan Banks 5.500%, 7/15/36		1,000,000		1,099
Federal Home Loan Mortgage Corp. 6.250%, 7/15/32		14,850,000		16,879
Federal National Mortgage Association 6.625%, 11/15/30		13,650,000		15,406
Tennessee Valley Authority
1.500%, 9/15/31		1,500,000		1,237
3.875%, 3/15/28		1,750,000		1,719
5.880%, 4/1/36		3,250,000		3,619
US Treasury Inflation Index Bond
0.125%, 1/15/30 ß		18,866,925		17,078
0.125%, 7/15/30		10,578,216		9,529
0.125%, 1/15/31		16,279,313		14,482
0.125%, 7/15/31		12,166,154		10,763
0.125%, 1/15/32		12,674,862		11,072
0.125%, 2/15/51		8,878,425		5,305
0.125%, 7/15/26		3,985,887		3,820
0.125%, 10/15/26 ß		3,586,658		3,421
0.250%, 2/15/50		6,617,266		4,176
0.375%, 1/15/27		13,269,152		12,656
0.375%, 7/15/27		10,394,423		9,890
0.500%, 1/15/28		9,371,025		8,867
0.625%, 7/15/32		9,493,802		8,609
0.625%, 2/15/43		8,646,354		6,636
0.750%, 2/15/42		10,632,068		8,481
0.750%, 2/15/45		17,825,992		13,673
0.875%, 2/15/47		5,745,420		4,428
0.875%, 1/15/29		10,985,310		10,471
1.000%, 2/15/46		3,837,154		3,071

Inflation Protection Portfolio


Governments (69.4%)	Shares/ Par ⁺		Value $ (000’s)
Governments continued
1.000%, 2/15/48		1,437,293		1,131
1.000%, 2/15/49		2,999,511		2,349
1.125%, 1/15/33		5,173,300		4,852
1.250%, 4/15/28		8,733,835		8,484
1.375%, 7/15/33		15,424,808		14,803
1.375%, 2/15/44		10,817,396		9,484
1.750%, 1/15/34		2,507,860		2,476
1.750%, 1/15/28		507,547		503
2.125%, 2/15/41		3,547,980		3,593
2.375%, 1/15/27		878,767		886
2.500%, 1/15/29		3,323,183		3,414
3.625%, 4/15/28		2,858,310		3,039
3.875%, 4/15/29		3,749,560		4,099

Total				285,366


Total Governments (Cost: $324,356)				285,366


Municipal Bonds (0.4%)
Municipal Bonds (0.4%)
Golden State Tobacco Securitization Corp. 2.746%, 6/1/34 RB		740,000		623
University of California 1.316%, 5/15/27 RB		1,105,000		1,001


Total Municipal Bonds (Cost: $1,758)				1,624


Structured Products (18.0%)
Asset Backed Securities (4.2%)
Bean Creek CLO, Ltd., Series 2018-1A, Class AR
6.599%, (US SOFR 3 Month plus 1.282%), 4/20/31 144A		1,039,854		1,040
Bellemeade Re, Ltd., Series 2021-3A, Class M1A
6.320%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A		232,696		233
Blackbird Capital Aircraft, Series 2021-1A, Class A 2.443%, 7/15/46 144A		747,032		657
Cologix Canadian Issuer LP, Series 2022-1CAN, Class A2 4.940%, 1/25/52 144A CAD ∞		1,950,000		1,336
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2 3.093%, 4/20/34 144A		2,000,000		1,756
FirstKey Homes Trust, Series 2020-SFR2, Class D 1.968%, 10/19/37 144A		1,000,000		933
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR
6.699%, (US SOFR 3 Month plus 1.382%), 7/20/31 144A		975,012		974
Goodgreen Trust, Series 2020-1A, Class A 2.630%, 4/15/55 144A		547,677		450
Goodgreen Trust, Series 2021-1A, Class A 2.660%, 10/20/56 144A		251,844		207


Structured Products (18.0%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Greenwood Park CLO, Ltd., Series 2018-1A, Class A1
6.606%, (US SOFR 3 Month plus 1.292%), 4/15/31 144A		405,446		406
Hilton Grand Vacations Trust, Series 2019-AA, Class B 2.540%, 7/25/33 144A		401,505		384
KKR Financial CLO, Ltd., Series 2018-22A, Class A
6.729%, (US SOFR 3 Month plus 1.412%), 7/20/31 144A		1,426,542		1,427
KKR Financial CLO, Ltd., Series 2022-1A, Class BR
7.318%, (US SOFR 3 Month plus 2.000%), 7/20/31 144A		1,425,000		1,419
Magnetite CLO, Ltd., Series 2021-29A, Class B
6.976%, (US SOFR 3 Month plus 1.662%), 1/15/34 144A		1,650,000		1,647
Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2
6.708%, (US SOFR 3 Month plus 1.392%), 1/17/31 144A		1,113,932		1,113
Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A
7.622%, (US SOFR 1 Month plus 2.296%), 6/17/37 144A		1,140,245		1,139
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B 2.750%, 7/15/38 144A		441,959		435
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B 1.340%, 11/20/37 144A		805,433		762
Wellfleet CLO, Ltd., Series 2022-1A, Class B2 4.775%, 4/15/34 144A		1,250,000		1,201

Total				17,519


Mortgage Securities (13.8%)
Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A		387,814		345
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B 2.482%, 8/15/46 144A		1,100,000		983
Angel Oak Mortgage Trust, Series 2019-6, Class A3 2.927%, (AFC), 11/25/59 144A		163,211		158
Arroyo Mortgage Trust, Series 2021-1R, Class A2 1.483%, (CSTR, AFC), 10/25/48 144A		283,220		247
Arroyo Mortgage Trust, Series 2021-1R, Class A3 1.637%, (CSTR, AFC), 10/25/48 144A		217,862		189
Bellemeade Re, Ltd., Series 2019-3A, Class M1C
7.394%, (US SOFR 1 Month plus 2.065%), 7/25/29 144A		640,668		641
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1
7.420%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		495,362		503

Inflation Protection Portfolio


Structured Products (18.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10 3.500%, (AFC), 12/25/44 144A		44,210		40
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class B
6.603%, (US SOFR 1 Month plus 1.277%), 5/15/36 144A		872,829		872
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class D
6.973%, (US SOFR 1 Month plus 1.647%), 5/15/36 144A		2,149,652		2,149
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3 1.538%, (AFC), 2/25/66 144A		260,627		225
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3 2.856%, 5/25/65 144A		1,217,749		1,194
Federal Home Loan Mortgage Corp.
2.500%, 10/1/51		1,939,900		1,620
3.500%, 8/1/52		1,988,517		1,780
4.500%, 10/1/52		1,838,110		1,750
6.000%, 1/1/53		2,004,939		2,029
Federal National Mortgage Association
2.500%, 1/1/52		7,838,749		6,533
4.000%, 9/1/52		9,721,792		9,017
5.500%, 1/1/53		3,898,363		3,881
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
8.035%, (US 30 Day Average SOFR plus 2.715%), 5/25/24		179,051		179
Government National Mortgage Association
3.000%, 9/20/51		3,657,721		3,229
3.000%, 11/20/51		3,655,908		3,224
5.000%, 8/20/53		6,347,243		6,237
5.500%, 12/20/52		1,727,997		1,728
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A 4.128%, 7/5/31 144A		2,020,000		1,869
JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.739%, (AFC), 10/25/29 144A		221,583		211
JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A		552,821		489
Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A		987,330		872


Structured Products (18.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E 3.000%, (AFC), 4/25/60 144A		2,503,000		2,292
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		690,481		602
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		592,977		519
Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A		970,352		804
Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A		263,460		243

Total				56,654


Total Structured Products (Cost: $77,424)				74,173


Short-Term Investments (5.3%)
Commercial Paper (5.3%)
Apple, Inc. 0.000%, 4/2/24		3,000,000		2,998
Barton Capital Corp. 0.000%, 4/1/24		10,000,000		9,994
Chariot Funding LLC 0.000%, 4/9/24		4,000,000		3,993
LMA SA / LMA Americas LLC 0.000%, 4/4/24		5,000,000		4,995

Total				21,980


Total Short-Term Investments (Cost: $21,993)				21,980


Total Investments (99.5%) (Cost: $452,212)^@				409,593


Other Assets, Less Liabilities (0.5%)				1,860


Net Assets (100.0%)				411,453

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		6,500		65		6/24	$	7,202	$	41		$	(5)
Two-Year US Treasury Note Future		Long		USD		2,400		12		6/24		2,454		(5	)		(3)

													$	36		$	(8)

Inflation Protection Portfolio

Total Return Swaps - Receive Floating Rate


Floating Rate Index	Fixed Rate			Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
CPURNSA		1.777	%		6/24		11,000		USD	$	–		$	1,463		$	1,463		$	2
CPURNSA		1.715	%		6/24		7,400		USD		–			998			998			(1	)
CPURNSA		1.858	%		8/24		12,700		USD		–			1,605			1,605			(5	)
CPURNSA		2.073	%		8/27		3,500		USD		–			449			449			1
CPURNSA		2.145	%		11/27		5,000		USD		(1	)		591			590			1
CPURNSA		1.800	%		10/29		3,700		USD		–			565			565			1
CPURNSA		1.884	%		11/29		2,000		USD		–			291			291			–	π
CPURNSA		2.243	%		1/26		6,000		USD		–			667			667			(2	)
CPURNSA		1.078	%		6/25		3,000		USD		–			511			511			–	π
CPURNSA		2.503	%		8/26		7,000		USD		–			10			10			3
CPURNSA		2.415	%		2/28		2,500		USD		–			21			21			–	π
CPURNSA		2.565	%		4/28		1,500		USD		–			1			1			1
CPURNSA		2.370	%		2/29		13,400		USD		1			69			70			5
CPURNSA		2.438	%		2/30		9,500		USD		1			91			92			3
CPURNSA		1.291	%		5/30		2,000		USD		–			405			405			1
CPURNSA		1.629	%		6/30		2,000		USD		–			366			366			–	π
CPURNSA		2.663	%		8/30		1,200		USD		–			(9	)		(9	)		1
CPURNSA		2.498	%		9/31		7,000		USD		–			486			486			4
CPURNSA		2.619	%		3/33		5,500		USD		1			1			2			(1	)
CPURNSA		2.495	%		5/33		3,500		USD		1			23			24			4
CPURNSA		2.650	%		8/33		8,500		USD		1			(60	)		(59	)		8
CPURNSA		2.485	%		2/34		3,400		USD		1			16			17			2

										$	5		$	8,560		$	8,565		$	28


	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	$	37	$	–	$	37	$	(9	)	$	(8	)	$	(17	)	$	–

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)
Sell	Goldman Sachs International		CAD		28,254		20,883		6/20/24	$	111	$	—	$	111
										$	111	$	—	$	111

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		2.528%		8/24		2,750	$	98		$	98
CPURNSA	Bank of America NA		2.140%		7/25		2,900		314			314
CPURNSA	Bank of America NA		1.790%		8/25		1,500		213			213
CPURNSA	Bank of America NA		2.240%		4/27		3,500		361			361
CPURNSA	Bank of America NA		2.218%		4/27		2,000		211			211
CPURNSA	Bank of America NA		2.235%		4/27		2,000		208			208
CPURNSA	Bank of America NA		2.235%		5/27		5,000		523			523
CPURNSA	Barclays Bank PLC		2.589%		7/24		1,400		38			38
CPURNSA	Barclays Bank PLC		2.895%		12/27		1,700		(217	)		(217	)
CPURNSA	Barclays Bank PLC		2.784%		7/44		1,400		(79	)		(79	)
CPURNSA	Goldman Sachs International		1.870%		5/26		8,500		1,290			1,290
CPURNSA	Goldman Sachs International		1.920%		5/26		7,000		1,018			1,018
CPURNSA	Goldman Sachs International		1.770%		6/26		6,000		964			964
CPURNSA	Goldman Sachs International		2.245%		11/26		3,000		321			321
CPURNSA	Goldman Sachs International		2.280%		11/26		3,000		309			309
CPURNSA	Goldman Sachs International		2.280%		11/26		4,000		412			412
								$	5,984		$	5,984


	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	$	111	$	6,280	$	6,391		—		—	$	(296)	$	(296)

+	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 March 31, 2024 the value of these securities (in thousands) was $34,847 representing 8.5% 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.

∞	Foreign Bond — par value is foreign denominated.

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

At March 31, 2024, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $452,217 and the net unrealized depreciation of investments based on that cost was $27,928 which is comprised of $15,280 aggregate gross unrealized appreciation and $43,208 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.

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 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:
Municipal Bonds		$	—		$	1,624		$	—
Corporate Bonds			—			26,450			—
Governments			—			285,366			—
Structured Products			—			74,173			—
Short-Term Investments			—			21,980			—
Other Financial Instruments^
Futures			41			—			—
Forward Foreign Currency Contracts			—			111			—
Total Return Swaps			—			14,913			—
Total Assets:		$	41		$	424,617		$	—
Liabilities:
Other Financial Instruments^
Futures			(5	)		—			—
Total Return Swaps			—			(364	)		—
Total Liabilities:		$	(5	)	$	(364	)	$	—

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

Abbreviations (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