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Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

September 30, 2022 (unaudited)


Corporate Bonds (12.9%)	Shares/ Par ⁺		Value $ (000’s)
Communications (1.2%)
AT&T, Inc.
3.550%, 9/15/55		241,000	158
4.350%, 3/1/29		1,687,000	1,577
4.500%, 5/15/35		264,000	229
4.550%, 3/9/49		429,000	343
4.900%, 8/15/37		477,000	423
Comcast Corp.
5.650%, 6/15/35		84,000	84
6.500%, 11/15/35		158,000	169
Meta Platforms, Inc.
3.850%, 8/15/32 144A		480,000	422
Paramount Global
4.950%, 1/15/31		235,000	207
Telefonica Emisiones SAU
4.895%, 3/6/48		330,000	240
Verizon Communications, Inc.
4.272%, 1/15/36		375,000	320
4.329%, 9/21/28		1,081,000	1,017
Total			5,189

Consumer, Cyclical (1.3%)
British Airways Pass-Through Trust, Series 2020-1, Class A
2.900%, 9/15/36 144A		99,272	81
The Home Depot, Inc.
2.700%, 4/15/25		552,000	526
Honda Motor Co., Ltd.
2.271%, 3/10/25		1,550,000	1,459
Lennar Corp.
4.750%, 5/30/25		870,000	856
Lowe’s Companies, Inc.
3.350%, 4/1/27		897,000	831
Magallanes, Inc.
3.755%, 3/15/27 144A		314,000	281
O’Reilly Automotive, Inc.
4.700%, 6/15/32		860,000	805
Toyota Motor Credit Corp.
2.500%, 3/22/24		868,000	841
Total			5,680

Consumer, Non-cyclical (1.9%)
AbbVie, Inc.
2.950%, 11/21/26		800,000	733
Block Financial LLC
3.875%, 8/15/30		530,000	453
Colgate-Palmolive Co.
3.100%, 8/15/27		1,257,000	1,181
CVS Health Corp.
1.300%, 8/21/27		805,000	671
Duke University Health System, Inc.
3.920%, 6/1/47		268,000	218
Global Payments, Inc.
3.750%, 6/1/23		212,000	210
Mondelez International, Inc.
2.750%, 4/13/30		71,000	59


Corporate Bonds (12.9%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
Roche Holdings, Inc.
2.314%, 3/10/27 144A		1,270,000	1,141
Thermo Fisher Scientific, Inc.
1.215%, 10/18/24		2,570,000	2,390
Zoetis, Inc.
2.000%, 5/15/30		980,000	778
Total			7,834

Energy (0.1%)
Petroleos Mexicanos
3.500%, 1/30/23		130,000	128
6.700%, 2/16/32		243,000	171
Total			299

Financial (5.7%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
1.150%, 10/29/23		658,000	625
1.650%, 10/29/24		150,000	137
6.500%, 7/15/25		706,000	705
American Tower Corp.
3.650%, 3/15/27		272,000	249
Athene Global Funding
1.985%, 8/19/28 144A		364,000	287
Bank of America Corp.
2.884%, (ICE LIBOR USD 3 Month plus 1.190%), 10/22/30		512,000	420
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		939,000	834
Bank of Ireland Group PLC
2.029%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.100%), 9/30/27 144A		377,000	311
BOC Aviation USA Corp.
1.625%, 4/29/24 144A		696,000	657
Broadstone Net Lease LLC
2.600%, 9/15/31		182,000	134
Citigroup, Inc.
3.520%, (ICE LIBOR USD 3 Month plus 1.151%), 10/27/28		289,000	258
Corebridge Financial, Inc.
3.850%, 4/5/29 144A		188,000	166
Discover Bank
4.682%, (USD 5 Year Swap Rate plus 1.730%), 8/9/28		1,705,000	1,635
DNB Bank ASA
2.968%, (US SOFR Index plus 0.810%), 3/28/25 144A		1,010,000	974
FS KKR Capital Corp.
4.250%, 2/14/25 144A		128,000	119
The Goldman Sachs Group, Inc.
1.757%, (US SOFR plus 0.730%), 1/24/25		1,139,000	1,082
1.948%, (US SOFR plus 0.913%), 10/21/27		356,000	304
2.640%, (US SOFR plus 1.114%), 2/24/28		355,000	308

Inflation Protection Portfolio


Corporate Bonds (12.9%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
3.814%, (ICE LIBOR USD 3 Month plus 1.158%), 4/23/29		119,000	105
Golub Capital BDC, Inc.
2.500%, 8/24/26		181,000	152
HSBC Holdings PLC
1.162%, (US SOFR plus 0.580%), 11/22/24		1,253,000	1,184
2.804%, (US SOFR plus 1.187%), 5/24/32		280,000	206
4.180%, (US SOFR plus 1.510%), 12/9/25		720,000	689
JPMorgan Chase & Co.
1.578%, (US SOFR plus 0.885%), 4/22/27		330,000	285
2.069%, (US SOFR plus 1.015%), 6/1/29		1,094,000	887
2.522%, (US SOFR plus 2.040%), 4/22/31		683,000	540
2.947%, (US SOFR plus 1.170%), 2/24/28		911,000	805
Lloyds Banking Group PLC
2.907%, (ICE LIBOR USD 3 Month plus 0.810%), 11/7/23		815,000	813
4.716%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.750%), 8/11/26		710,000	682
Morgan Stanley
0.529%, (US SOFR plus 0.455%), 1/25/24		1,288,000	1,267
0.790%, (US SOFR plus 0.525%), 5/30/25		490,000	451
2.484%, (US SOFR plus 1.360%), 9/16/36		177,000	127
National Australia Bank, Ltd.
2.332%, 8/21/30 144A		332,000	247
Phillips Edison Grocery Center Operating Partnership I, LP
2.625%, 11/15/31		240,000	174
The PNC Financial Services Group, Inc.
4.626%, (US SOFR Index plus 1.850%), 6/6/33		1,845,000	1,646
Royal Bank of Canada
4.240%, 8/3/27		905,000	863
Sammons Financial Group, Inc.
4.750%, 4/8/32 144A		203,000	166
SBL Holdings, LLC
5.125%, 11/13/26 144A		345,000	315
Swedbank AB
3.356%, 4/4/25 144A		1,160,000	1,109
The Toronto-Dominion Bank
4.108%, 6/8/27		715,000	674
4.456%, 6/8/32		272,000	248
UBS Group AG
1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A		901,000	757
Wells Fargo & Co.
3.350%, (US SOFR plus 1.500%), 3/2/33		307,000	249
4.540%, (US SOFR plus 1.560%), 8/15/26		280,000	271
Total			24,117

Industrial (1.0%)
Canadian National Railway Co.
3.850%, 8/5/32		1,360,000	1,240
Caterpillar Financial Services Corp.
3.650%, 8/12/25		1,970,000	1,915
DAE Funding LLC
1.550%, 8/1/24 144A		116,000	106


Corporate Bonds (12.9%)	Shares/ Par ⁺		Value $ (000’s)
Industrial continued
Raytheon Technologies Corp.
4.125%, 11/16/28		1,240,000	1,158
Total			4,419

Technology (0.2%)
Dell International LLC / EMC Corp.
6.020%, 6/15/26		440,000	442
Intel Corp.
3.200%, 8/12/61		557,000	347
Total			789

Utilities (1.5%)
Ameren Corp.
1.950%, 3/15/27		1,470,000	1,273
Ameren Illinois Co.
3.850%, 9/1/32		238,000	214
Dominion Energy, Inc.
1.450%, 4/15/26		1,200,000	1,054
Duke Energy Florida LLC
1.750%, 6/15/30		400,000	312
Duke Energy Progress LLC
2.000%, 8/15/31		780,000	603
Essential Utilities, Inc.
2.704%, 4/15/30		370,000	303
NextEra Energy Capital Holdings, Inc.
5.000%, 7/15/32		980,000	936
PG&E Energy Recovery Funding LLC
2.822%, 7/15/46		900,000	612
Sempra Energy
3.300%, 4/1/25		507,000	482
Wisconsin Power & Light Co.
3.950%, 9/1/32		415,000	375
Total			6,164

Total Corporate Bonds (Cost: $59,923)			54,491

Governments (65.5%)
Governments (65.5%)
Federal Home Loan Bank
0.000%, 10/3/22		14,700,000	14,700
Federal Home Loan Mortgage Corp.
6.250%, 7/15/32		14,850,000	17,279
Federal National Mortgage Association
6.625%, 11/15/30		13,650,000	15,941
Tennessee Valley Authority
4.700%, 7/15/33		1,658,000	1,677
US Treasury Inflation Index Bond
0.125%, 1/15/30		25,967,678	22,957
0.125%, 7/15/30		15,773,531	13,887
0.125%, 1/15/31		14,795,820	12,925
0.125%, 7/15/31		6,079,865	5,301
0.125%, 1/15/32		12,505,077	10,811
0.125%, 2/15/51		9,274,619	5,819
0.125%, 2/15/52		1,064,310	673
0.125%, 10/15/25		3,140,115	2,966
0.125%, 4/15/26		4,406,025	4,115
0.125%, 7/15/26		5,623,937	5,258
0.125%, 10/15/26		10,842,400	10,100
0.250%, 2/15/50		6,361,248	4,169

Inflation Protection Portfolio


Governments (65.5%)	Shares/ Par ⁺		Value $ (000’s)
Governments continued
0.250%, 7/15/29		2,200,713	1,984
0.375%, 1/15/27		12,755,808	11,915
0.375%, 7/15/27		11,203,415	10,453
0.500%, 1/15/28		9,008,475	8,360
0.625%, 7/15/32		9,687,340	8,789
0.625%, 2/15/43		8,569,589	6,588
0.625%, 1/15/26		13,902,935	13,270
0.750%, 2/15/42		10,391,181	8,354
0.750%, 2/15/45		17,551,611	13,533
0.750%, 7/15/28		1,770,465	1,664
0.875%, 2/15/47		3,927,584	3,079
0.875%, 1/15/29		10,560,240	9,930
1.000%, 2/15/46		4,313,915	3,497
1.000%, 2/15/48		1,381,691	1,120
1.000%, 2/15/49		2,883,477	2,347
1.375%, 2/15/44		9,763,200	8,687
1.750%, 1/15/28		1,548,582	1,533
2.000%, 1/15/26		3,657,238	3,646
2.125%, 2/15/41		3,478,357	3,588
2.375%, 1/15/27		844,767	858
2.500%, 1/15/29		986,671	1,021
3.625%, 4/15/28		2,747,715	2,986
Total			275,780

Total Governments (Cost: $324,649)			275,780

Municipal Bonds (0.1%)
Municipal Bonds (0.1%)
Golden State Tobacco Securitization Corp.
2.746%, 6/1/34 RB		740,000	581
Santa Clara Valley Transportation Authority
5.876%, 4/1/32 RB		50,000	52


Total Municipal Bonds (Cost: $802)			633

Structured Products (19.0%)
Asset Backed Securities (8.8%)
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B
2.482%, 8/15/46 144A		2,350,000	1,958
Ares XXXIX CLO, Ltd., Series 2016-39A, Class BR2
4.340%, (ICE LIBOR USD 3 Month plus 1.600%), 4/18/31 144A		2,000,000	1,911
Bean Creek CLO, Ltd., Series 2018-1A, Class AR
3.730%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A		1,500,000	1,466
Blackbird Capital Aircraft, Series 2021-1A, Class A
2.443%, 7/15/46 144A		879,969	710
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A
2.940%, 5/25/29 144A		123,039	119
Cologix Canadian Issuer LP, Series 2022- 1CAN, Class A2
4.940%, 1/25/52 144A CAD ∞		1,950,000	1,306


Structured Products (19.0%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2
3.093%, 4/20/34 144A		2,000,000	1,676
FirstKey Homes Trust, Series 2020-SFR2, Class D
1.968%, 10/19/37 144A		1,000,000	889
Global SC Finance SRL, Series 2021-1A, Class A
1.860%, 4/17/41 144A		1,411,801	1,212
2.170%, 10/17/40 144A		913,726	816
Global SC Finance SRL, Series 2021-2A, Class A
1.950%, 8/17/41 144A		728,799	630
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR
3.830%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A		1,125,000	1,101
Goodgreen Trust, Series 2020-1A, Class A
2.630%, 4/15/55 144A		691,059	558
Goodgreen Trust, Series 2021-1A, Class A
2.660%, 10/20/56 144A		481,459	422
Greenwood Park CLO, Ltd., Series 2018-1A, Class A1
3.542%, (ICE LIBOR USD 3 Month plus 1.030%), 4/15/31 144A		1,500,000	1,468
Hilton Grand Vacations Trust, Series 2017-AA, Class A
2.660%, 12/26/28 144A		411,892	405
Hilton Grand Vacations Trust, Series 2019-AA, Class B
2.540%, 7/25/33 144A		706,490	660
J.G. Wentworth XLI LLC, Series 2018-1A, Class B
4.700%, 10/15/74 144A		389,622	355
KKR Financial CLO, Ltd., Series 2018-22A, Class A
3.860%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A		1,500,000	1,470
KKR Financial CLO, Ltd., Series 2022-1A, Class B
5.077%, (US SOFR 3 Month plus 2.600%), 7/20/31 144A		1,400,000	1,380
Magnetite CLO, Ltd., Series 2021-29A, Class B
3.912%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A		1,650,000	1,570
Mosaic Solar Loans LLC, Series 2021-1, Class A
1.510%, 12/20/46 144A		1,149,122	896
Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2
3.870%, (ICE LIBOR USD 3 Month plus 1.130%), 1/17/31 144A		1,750,000	1,717
Progress Residential Trust, Series 2021-SFR1, Class D
1.805%, 4/17/38 144A		1,000,000	841
Progress Residential Trust, Series 2021-SFR2, Class C
1.997%, 4/19/38 144A		5,050,000	4,285

Inflation Protection Portfolio


Structured Products (19.0%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Progress Residential Trust, Series 2021-SFR8, Class E1
2.382%, 10/17/38 144A		550,000	458
Rockford Tower CLO, Ltd., Series 2020-1A, Class B
4.510%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A		1,350,000	1,288
ServiceMaster Brands, Series 2020-1, Class A2I
2.841%, 1/30/51 144A		1,231,250	1,003
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B
2.750%, 7/15/38 144A		904,443	850
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B
1.340%, 11/20/37 144A		1,653,405	1,534
Stratus CLO, Ltd., Series 2021-1A, Class A
3.510%, (ICE LIBOR USD 3 Month plus 0.800%), 12/29/29 144A		1,156,377	1,139
Wellfleet CLO, Ltd., Series 2022-1A, Class B2
4.775%, 4/15/34 144A		1,250,000	1,117
Total			37,210

Mortgage Securities (10.2%)
Agate Bay Mortgage Trust, Series 2015-7, Class A3
3.500%, (AFC), 10/25/45 144A		177,120	159
Agate Bay Mortgage Trust, Series 2016-1, Class A3
3.500%, (AFC), 12/25/45 144A		101,695	94
Angel Oak Mortgage Trust, Series 2019-6, Class A3
2.927%, (AFC), 11/25/59 144A		263,049	255
Angel Oak Mortgage Trust, Series 2019-4, Class A
3.301%, (AFC), 7/26/49 144A		31,182	31
Arroyo Mortgage Trust, Series 2021-1R,
Class A2
1.483%, (CSTR, AFC), 10/25/48 144A		372,151	321
Arroyo Mortgage Trust, Series 2021-1R, Class A3
1.637%, (CSTR, AFC), 10/25/48 144A		286,270	247
BDS, Ltd., Series 2020-FL6, Class C
4.649%, (US 30 Day Average SOFR plus 2.365%), 9/15/35 144A		1,487,000	1,449
Bellemeade Re, Ltd., Series 2021-2A, Class M1C
4.131%, (US 30 Day Average SOFR plus 1.850%), 6/25/31 144A		2,108,000	1,951
Bellemeade Re, Ltd., Series 2019-3A, Class M1C
5.034%, (ICE LIBOR USD 1 Month plus 1.950%), 7/25/29 144A		1,900,000	1,877
Bellemeade Re, Ltd., Series 2021-3A, Class M1A
3.281%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A		1,390,667	1,370


Structured Products (19.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
BX Commercial Mortgage Trust, Series 2021- VOLT, Class E
4.818%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/36 144A		1,200,000	1,106
BX Commercial Mortgage Trust, Series 2021- VOLT, Class F
5.218%, (ICE LIBOR USD 1 Month plus 2.400%), 9/15/36 144A		1,400,000	1,287
BX Trust, Series 2020-VIVA, Class D
3.667%, (CSTR), 3/11/44 144A		1,418,962	1,056
BXMT, Ltd., Series 2020-FL2, Class B
4.436%, (US 30 Day Average SOFR plus 1.515%), 2/15/38 144A		1,600,000	1,557
Chase Mortgage Finance Corp., Series 2021 -CL1, Class M1
3.481%, (US 30 Day Average SOFR plus 1.200%), 2/25/50 144A		381,491	362
CHNGE Mortgage Trust, Series 2022-3, Class A1
5.000%, (AFC), 5/25/67 144A		605,819	579
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1
4.381%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		683,050	675
Credit Suisse Mortgage Trust, Series 2015-WIN1, Class A10
3.500%, (AFC), 12/25/44 144A		52,717	48
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class B
4.048%, (ICE LIBOR USD 1 Month plus 1.230%), 5/15/36 144A		875,000	858
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class D
4.418%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		2,155,000	2,090
Credit Suisse Mortgage Trust, Series 2021-NQM2, Class A3
1.538%, (AFC), 2/25/66 144A		318,655	276
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3
2.856%, 5/25/65 144A		1,474,000	1,416
Deephaven Residential Mortgage Trust, Series 2021-3, Class A3
1.554%, (AFC), 8/25/66 144A		984,991	809
Extended Stay America Trust, Series 2021-ESH, Class E
5.668%, (ICE LIBOR USD 1 Month plus 2.850%), 7/15/38 144A		1,709,479	1,623
FARM Mortgage Trust, Series 2021-1, Class A
2.180%, (CSTR), 1/25/51 144A		2,133,681	1,797
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
5.684%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24		272,395	272
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3
1.617%, (AFC), 6/25/56 144A		378,330	315
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A
4.128%, 7/5/31 144A		2,020,000	1,973

Inflation Protection Portfolio


Structured Products (19.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
JP Morgan Mortgage Trust, Series 2014-5, Class A1
2.820%, (AFC), 10/25/29 144A		347,818	327
JP Morgan Mortgage Trust, Series 2016-1, Class A7
3.500%, 5/25/46 144A		634,045	570
JP Morgan Mortgage Trust, Series 2017-1, Class A2
3.450%, (AFC), 1/25/47 144A		306,856	269
New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2
2.891%, (AFC), 5/24/60 144A		1,383,000	1,217
Sequoia Mortgage Trust, Series 2017-7, Class A7
3.500%, (AFC), 10/25/47 144A		1,101,253	970
Sequoia Mortgage Trust, Series 2019-4, Class A7
3.500%, (AFC), 11/25/49 144A		2,325,755	2,055
Sequoia Mortgage Trust, Series 2021-5, Class A4
2.500%, (AFC), 7/25/51 144A		1,631,092	1,402
SG Residential Mortgage Trust, Series 2021-1, Class A3
1.560%, (AFC), 7/25/61 144A		824,451	676
Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A
5.314%, (US SOFR 1 Month plus 2.296%), 6/19/37 144A		1,272,000	1,251
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E
3.000%, (AFC), 4/25/60 144A		2,503,000	2,488
Starwood Mortgage Residential Trust, Series 2021-1, Class A1
1.219%, (AFC), 5/25/65 144A		937,231	870
Verus Securitization Trust, Series 2020-1, Class A3
2.724%, (AFC), 1/25/60 144A Σ		952,450	918
Verus Securitization Trust, Series 2021-1, Class A3
1.155%, (AFC), 1/25/66 144A		812,456	697


Structured Products (19.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Verus Securitization Trust, Series 2021-5, Class A3
1.373%, (AFC), 9/25/66 144A		972,566	786
Verus Securitization Trust, Series 2022-3, Class A3
4.130%, (CSTR, AFC), 2/25/67 144A		2,278,271	2,089
Vista Point Securitization Trust, Series 2020-2, Class A3
2.496%, (AFC), 4/25/65 144A		381,263	359
Total			42,797

Total Structured Products (Cost: $87,968)			80,007

Short-Term Investments (1.9%)
Financial (0.9%)
FNB Corp.
2.200%, 2/24/23		2,505,000	2,470
SBA Tower Trust
3.448%, 3/15/23 144A		1,228,000	1,216
Total			3,686

Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.940%^#		4,211,840	4,212
Total			4,212

Total Short-Term Investments (Cost: $7,939)			7,898

Total Investments (99.4%) (Cost: $481,281)^@			418,809

Other Assets, Less Liabilities (0.6%)			2,534

Net Assets (100.0%)			421,343

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		7,100		71		12/22	$	7,956	$	(222	)	$	(28	)
													$	(222	)	$	(28	)

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	$ –	$	1,234	$	1,234	$	20
CPURNSA		1.715%		6/24		7,400		USD	–		846		846		14
CPURNSA		1.860%		7/24		7,500		USD	–		799		799		10
CPURNSA		1.858%		8/24		12,700		USD	–		1,355		1,355		16
CPURNSA		2.073%		8/27		3,500		USD	–		394		394		(7	)
CPURNSA		2.145%		11/27		5,000		USD	(1)		509		508		(12	)
CPURNSA		1.800%		10/29		3,700		USD	–		485		485		(9	)
CPURNSA		1.884%		11/29		2,000		USD	–		248		248		(5	)
CPURNSA		2.695%		8/26		10,000		USD	–		511		511		(18	)
CPURNSA		2.498%		9/31		7,000		USD	1		337		338		(15	)
CPURNSA		2.210%		1/24		8,000		USD	–		766		766		2
CPURNSA		2.273%		1/24		10,000		USD	–		941		941		2
CPURNSA		2.243%		1/26		6,000		USD	–		588		588		(11	)
CPURNSA		1.078%		6/25		3,000		USD	–		460		460		(2	)
CPURNSA		1.291%		5/30		2,000		USD	–		356		356		(3	)
CPURNSA		1.629%		6/30		2,000		USD	–		319		319		(4	)

									$ –	$	10,148	$	10,148	$	(22	)


	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	$ 64	$	–	$	64	$	(86	)	$	(28	)	$	(114	)	$	–

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	Morgan Stanley Capital Services, Inc.	CAD		1,783		1,291		12/15/2022	$	83	$	—	$	83

									$	83	$	—	$	83

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		2.763%		3/23		700	$	(16	)	$	(16)
CPURNSA	Bank of America NA		2.528%		8/24		2,750		50			50
CPURNSA	Bank of America NA		2.140%		7/25		2,900		271			271
CPURNSA	Bank of America NA		1.790%		8/25		1,500		189			189
CPURNSA	Bank of America NA		2.240%		4/27		3,500		308			308
CPURNSA	Bank of America NA		2.218%		4/27		2,000		181			181
CPURNSA	Bank of America NA		2.235%		4/27		2,000		177			177
CPURNSA	Bank of America NA		2.235%		5/27		5,000		445			445
CPURNSA	Barclays Bank PLC		2.589%		7/24		1,400		14			14
CPURNSA	Barclays Bank PLC		2.385%		9/24		4,000		147			147
CPURNSA	Barclays Bank PLC		2.363%		9/24		3,500		139			139
CPURNSA	Barclays Bank PLC		2.310%		9/24		1,400		64			64
CPURNSA	Barclays Bank PLC		2.895%		12/27		1,700		(229	)		(229)
CPURNSA	Barclays Bank PLC		2.784%		7/44		1,400		(182	)		(182)
CPURNSA	Goldman Sachs International		1.870%		5/26		8,500		1,143			1,143
CPURNSA	Goldman Sachs International		1.920%		5/26		7,000		906			906
CPURNSA	Goldman Sachs International		1.770%		6/26		6,000		863			863
CPURNSA	Goldman Sachs International		2.245%		11/26		3,000		279			279
CPURNSA	Goldman Sachs International		2.280%		11/26		3,000		268			268
CPURNSA	Goldman Sachs International		2.280%		11/26		4,000		357			357

								$	5,374		$	5,374


	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	$	83	$	5,801	$	5,884		—		—	$	(427)	$	(427)

+	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, 2022 the value of these securities (in thousands) was $88,090 representing 20.9% of the net assets.

∞	Foreign Bond — par value is foreign denominated.

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

#	7-Day yield as of 9/30/2022.

At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $481,281 and the net unrealized depreciation of investments based on that cost was $47,090 which is comprised of $16,059 aggregate gross unrealized appreciation and $63,149 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.

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, 2022.


	Valuation Inputs
Description		Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs


		(Amounts in thousands)

Assets:
Municipal Bonds		$	—	$	633	$	—
Corporate Bonds			—		54,491		—
Governments			—		275,780		—
Structured Products			—		80,007		—
Short-Term Investments
Money Market Funds			4,212		—		—
All Others			—		3,686		—
Other Financial Instruments^
Forward Foreign Currency Contracts			—		83		—
Total Return Swaps			—		15,949		—

Total Assets:		$	4,212	$	430,629	$	—

Liabilities:
Other Financial Instruments^
Futures			(222)		—		—
Total Return Swaps			—		(427)		—

Total Liabilities:		$	(222)	$	(427)	$	—

^ 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

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.
EXE		Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.
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
LIBOR		London Interbank Offered Rate
SOFR		Secured Overnight Financing Rate
ICE		Intercontinental Exchange
SONIO		Sterling Overnight Interbank Average Rate
DAC		Designated Activity Company
TBA		To Be Announced
OIS		Overnight Index Swaps
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
KES		Kenyan Shilling
KRW		South Korean Won
MXN		Mexican New Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PHP		Philippines Peso
RUB		Russian Ruble
SEK		Swedish Krona
THB		Thai Baht
TWD		Taiwan Dollar
USD		United States Dollar
ZAR		South African Rand