# EDGAR Filing Document

**Accession Number:** 0000742212
**File Stem:** 0001193125-23-057884
**Filing Date:** 2023-3
**Character Count:** 1274530
**Document Hash:** 269283ca794ab4a2871b151c460bfe06
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-23-057884.hdr.sgml**: 20230302

**ACCESSION NUMBER**: 0001193125-23-057884

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 34

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230302

**DATE AS OF CHANGE**: 20230302

**EFFECTIVENESS DATE**: 20230302

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NORTHWESTERN MUTUAL SERIES FUND INC
- **CENTRAL INDEX KEY:** 0000742212
- **IRS NUMBER:** 391603401
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03990
- **FILM NUMBER:** 23697906

**BUSINESS ADDRESS:**
- **STREET 1:** 720 E WISCONSIN AVE
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** 4142992508

**MAIL ADDRESS:**
- **STREET 1:** 720 EAST WISCONSIN AVE
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NORTHWESTERN MUTUAL VARIABLE LIFE SERIES FUND INC
- **DATE OF NAME CHANGE:** 19940830

## Series and Classes Contracts Data

### Small Cap Growth Stock Portfolio (Series ID: S000000039)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000000074 | Small Cap Growth Stock Portfolio |  |

### Large Cap Core Stock Portfolio (Series ID: S000000040)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000000075 | Large Cap Core Stock Portfolio |  |

### Domestic Equity Portfolio (Series ID: S000000041)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000000076 | Domestic Equity Portfolio |  |

### Equity Income Portfolio (Series ID: S000000042)

| Class ID   | Class Name              | Ticker Symbol   |
|:---|:---|:---|
| C000000077 | Equity Income Portfolio |  |

### Index 500 Stock Portfolio (Series ID: S000000043)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000000078 | Index 500 Stock Portfolio |  |

### Asset Allocation Portfolio (Series ID: S000000044)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000000079 | Asset Allocation Portfolio |  |

### Balanced Portfolio (Series ID: S000000045)

| Class ID   | Class Name         | Ticker Symbol   |
|:---|:---|:---|
| C000000080 | Balanced Portfolio |  |

### High Yield Bond Portfolio (Series ID: S000000046)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000000081 | High Yield Bond Portfolio |  |

### Select Bond Portfolio (Series ID: S000000047)

| Class ID   | Class Name            | Ticker Symbol   |
|:---|:---|:---|
| C000000082 | Select Bond Portfolio |  |

### Government Money Market Portfolio (Series ID: S000000048)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000000083 | Government Money Market Portfolio |  |

### Small Cap Value Portfolio (Series ID: S000000049)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000000084 | Small Cap Value Portfolio |  |

### Mid Cap Growth Stock Portfolio (Series ID: S000000050)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000000085 | Mid Cap Growth Stock Portfolio |  |

### International Growth Portfolio (Series ID: S000000051)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000000086 | International Growth Portfolio |  |

### International Equity Portfolio (Series ID: S000000052)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000000087 | International Equity Portfolio |  |

### Mid Cap Value Portfolio (Series ID: S000000053)

| Class ID   | Class Name              | Ticker Symbol   |
|:---|:---|:---|
| C000000088 | Mid Cap Value Portfolio |  |

### Index 400 Stock Portfolio (Series ID: S000000054)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000000089 | Index 400 Stock Portfolio |  |

### Focused Appreciation Portfolio (Series ID: S000000055)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000000090 | Focused Appreciation Portfolio |  |

### Growth Stock Portfolio (Series ID: S000000056)

| Class ID   | Class Name             | Ticker Symbol   |
|:---|:---|:---|
| C000000091 | Growth Stock Portfolio |  |

### Large Company Value Portfolio (Series ID: S000018227)

| Class ID   | Class Name                    | Ticker Symbol   |
|:---|:---|:---|
| C000050275 | Large Company Value Portfolio |  |

### Inflation Protection Portfolio (Series ID: S000018228)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000050276 | Inflation Protection Portfolio |  |

### Large Cap Blend Portfolio (Series ID: S000018229)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000050277 | Large Cap Blend Portfolio |  |

### Research International Core Portfolio (Series ID: S000018230)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000050278 | Research International Core Portfolio |  |

### Index 600 Stock Portfolio (Series ID: S000018231)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000050279 | Index 600 Stock Portfolio |  |

### Emerging Markets Equity Portfolio (Series ID: S000018232)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000050280 | Emerging Markets Equity Portfolio |  |

### Short-Term Bond Portfolio (Series ID: S000018233)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000050281 | Short-Term Bond Portfolio |  |

### Long-Term US Government Bond Portfolio (Series ID: S000018234)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000050282 | Long-Term US Government Bond Portfolio |  |

### Multi-Sector Bond Portfolio (Series ID: S000018235)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000050283 | Multi-Sector Bond Portfolio |  |

##### [**Table of Contents**](#toc)
**UNITED STATES** 

**SECURITIES AND EXCHANGE COMMISSION** 

**Washington, D.C. 20549** 

**FORM N-CSR** 

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED** 

**MANAGEMENT INVESTMENT COMPANIES** 

Investment Company Act file number 811-3990

## Northwestern Mutual Series Fund, Inc.

------

**(Exact name of registrant as specified in charter)** 

**720 East Wisconsin Avenue,** 

**Milwaukee Wisconsin 53202** 

------

**(Address of principal executive offices) (Zip code)** 

**Phil J. Rinzel, Controller and Chief Accounting Officer Northwestern Mutual Series Fund, Inc.** 

------

**(Name and address of agent for service)** 

Registrant's telephone number, including area code: 414-271-1444

Date of fiscal year end: December 31

Date of reporting period: December 31, 2022

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

------

##### [**Table of Contents**](#toc)
**REPORT ON FORM N-CSR** 

**RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**Item 1.** **Reports to Stockholders** <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the "Investment Company Act"), is as follows:

------

##### [**Table of Contents**](#toc)
**Annual Report December 31, 2022** 

**Northwestern Mutual Series Fund, Inc.** 

**A Series Fund Offering 27 Portfolios** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Growth Stock Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Focused Appreciation Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Large Cap Core Stock Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Large Cap Blend Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Index 500 Stock Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Large Company Value Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Domestic Equity Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Equity Income Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Mid Cap Growth Stock Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Index 400 Stock Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Mid Cap Value Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Small Cap Growth Stock Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Index 600 Stock Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Small Cap Value Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• International Growth Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Research International Core Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• International Equity Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Emerging Markets Equity Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Government Money Market Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Short-Term Bond Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Select Bond Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Long-Term U.S. Government Bond Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Inflation Protection Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• High Yield Bond Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Multi-Sector Bond Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Balanced Portfolio

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Asset Allocation Portfolio

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's shareholder reports are no longer sent by mail unless you specifically request paper copies of the reports from Northwestern Mutual, the issuer of your variable annuity and/or variable life insurance contract. Instead, your Fund annual and semi-annual reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change, will continue to receive reports electronically, and you need not take any action. You may elect to receive all future reports in paper free of charge by informing Northwestern Mutual that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all future shareholder reports.

------

##### [**Table of Contents**](#toc)
**Letter to Contract Holders** 

December 31, 2022

2022 was a year of adjustments, as investors sought to adapt to the shifting economic and political landscape that emerged following the reopening-led recovery post COVID. Markets contended with a number of significant challenges that weighed on both stock and bond prices throughout the year. Inflation accelerated rapidly and, in many parts of the globe, reached levels unseen since the turbulence of the early 1980s. In response, global central banks implemented rapid monetary tightening, a sudden reversal of the easy money policies that defined the last few years. And geopolitics once again emerged as a disruptive force in markets, as Russia's invasion of Ukraine had a widespread impact on the global economy, in addition to the tragic human cost of the largest European conflict since WWII. In this challenging environment, a broad range of U.S. stocks posted negative returns, including the S&P 500<sup>®</sup> Index1 (-18.11%), the S&P MidCap 400<sup>®</sup> Index (-13.06%) and the S&P SmallCap 600<sup>®</sup> Index (-16.10%).

High and rising inflation was a constant theme throughout the year, as supply-chain disruptions stemming from the pandemic and the war in Ukraine, along with abrupt shifts in consumer spending patterns, contributed to higher prices. As the year began, the question on investors' minds was just how much further inflation would rise and whether it would prove lasting or fleeting. As the year wore on, it became clear that inflation was both growing and unlikely to abate any time soon. In the U.S., the Consumer Price Index peaked at 9.1% in June, the highest recorded since 1981. Early in 2022, increases in goods prices accounted for much of U.S. inflation, however rising wages drove increasing services inflation as the year wore on. Inflation in the U.K. and Europe also hit multi-decade highs, exacerbated by uncertainty over energy supplies.

Heightened inflation led most major central banks to significantly tighten monetary policy in an attempt to reduce demand to a more sustainable level. The U.S. Federal Reserve (the "Fed") switched gears from its prior accommodative stance and began raising interest rates in March 2022. It went on to raise rates at its next six meetings, including four consecutive 0.75% hikes. This represented a dramatically rapid shift by historic standards. In one year, the federal funds rate went from near zero to the year-end range of 4.25% to 4.50%, the highest level since 2007. The Fed also cut off another avenue for stimulus by reversing course on its bond-buying program, selling off previously purchased bonds and reducing its balance sheet (albeit only modestly). Other major central banks,

including the Bank of England and the European Central Bank, also raised their benchmark interest rates multiple times. The Bank of Japan was one of the few holdouts, keeping interest rates steady as inflation in Japan, while rising, remained lower than in the U.S. and Europe. Rising interest rates created equity-like volatility for bonds during the year, as the Bloomberg<sup>®</sup> U.S. Aggregate Bond Index posted a return of -13.01%.

Russia's invasion of Ukraine in March added another layer of uncertainty to a global economy in transition. Many major economies responded to the invasion with sanctions on Russia, which disrupted businesses with significant Russian operations and sales. In addition to the direct effect of these sanctions, the indirect effects of the war reverberated in global commodities markets. Russia is a major exporter of oil and gas. Energy prices spiked when the war began, in anticipation of diminished supply. Ukraine is a significant wheat producer. The disruption of its Black Sea trading routes led to a sharp rise in the prices of wheat and some other agricultural commodities, raising concerns about food affordability in some countries. Rising commodity prices also exacerbated already-rising inflationary pressures in much of the world. However, as 2022 wore on, most of these commodity price spikes abated, and in many cases, prices fell below their pre-war levels as buyers and sellers adapted to new conditions.

The economic picture in 2022 was similarly volatile as mixed signals abounded. In the U.S., the economy contracted in the first two quarters of 2022, traditionally considered the onset of recession. But unemployment remained very low, job growth continued, and economic growth resumed in the third quarter. Given the Fed's rapid monetary tightening, analysts closely examined economic signals for indications of whether inflation could be controlled without causing a significant economic downturn.

Investors endured a lot during 2022, facing rapid changes in inflation, a dramatic turnabout from central banks and an unstable geopolitical landscape. The need to adapt to changing conditions is likely to continue in 2023, and we recommend consulting with a financial professional to explore the right mix of securities and asset classes for your portfolio. We encourage you to work closely with your financial professional to navigate the financial markets so that you will be prepared for whatever new adjustments the next year might require.

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##### [**Table of Contents**](#toc)
Thank you for your continued trust in Northwestern Mutual.

![LOGO](g422955g11e14.jpg)

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<sup>1</sup> All indices and/or benchmarks referenced are unmanaged and cannot be invested in directly.

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##### [**Table of Contents**](#toc)
**Northwestern Mutual Series Fund, Inc.** 

**Table of Contents** 

---

| | |
|:---|:---|
|  [Expense Examples](#sftx2422955_1) | 1 |
|  Series Fund Overviews and Schedules of Investments: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Growth Stock Portfolio](#sftx2422955_2) | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Focused Appreciation Portfolio](#sftx2422955_3) | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Large Cap Core Stock Portfolio](#sftx2422955_4) | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Large Cap Blend Portfolio](#sftx2422955_5) | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Index 500 Stock Portfolio](#sftx2422955_6) | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Large Company Value Portfolio](#sftx2422955_7) | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Domestic Equity Portfolio](#sftx2422955_8) | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Equity Income Portfolio](#sftx2422955_9) | 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Mid Cap Growth Stock Portfolio](#sftx2422955_10) | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Index 400 Stock Portfolio](#sftx2422955_11) | 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Mid Cap Value Portfolio](#sftx2422955_12) | 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Small Cap Growth Stock Portfolio](#sftx2422955_13) | 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Index 600 Stock Portfolio](#sftx2422955_14) | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Small Cap Value Portfolio](#sftx2422955_15) | 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [International Growth Portfolio](#sftx2422955_16) | 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Research International Core Portfolio](#sftx2422955_17) | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [International Equity Portfolio](#sftx2422955_18) | 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Emerging Markets Equity Portfolio](#sftx2422955_19) | 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Government Money Market Portfolio](#sftx2422955_20) | 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Short-Term Bond Portfolio](#sftx2422955_21) | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Select Bond Portfolio](#sftx2422955_22) | 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Long-Term U.S. Government Bond Portfolio](#sftx2422955_23) | 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Inflation Protection Portfolio](#sftx2422955_24) | 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [High Yield Bond Portfolio](#sftx2422955_25) | 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Multi-Sector Bond Portfolio](#sftx2422955_26) | 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Balanced Portfolio](#sftx2422955_27) | 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Asset Allocation Portfolio](#sftx2422955_28) | 204 |
|  [Benchmark Definitions](#sftx2422955_29) | 209 |
|  [Statements of Assets and Liabilities](#sftx2422955_30) | 212 |
|  [Statements of Operations](#sftx2422955_31) | 218 |
|  [Statements of Changes in Net Assets](#sftx2422955_32) | 224 |
|  [Statement of Cash Flows](#sftx2422955_33) | 233 |
|  [Financial Highlights](#sftx2422955_34) | 234 |
|  [Notes to Financial Statements](#sftx2422955_35) | 241 |
|  [Report of Independent Registered Public Accounting Firm](#sftx2422955_36) | 265 |
|  [Abbreviations](#sftx2422955_37) | 267 |
|  [Proxy Voting and Portfolio Holdings](#sftx2422955_38) | 268 |
|  [Director and Officer Information](#sftx2422955_39) | 269 |
|  [Approval and Continuance of Investment Advisory and Sub-Advisory Agreements](#sftx2422955_40) | 273 |

---

&nbsp;&nbsp;&nbsp; Mason Street Advisors, LLC ("Mason Street Advisors"), adviser to the Northwestern Mutual Series Fund, Inc., is a wholly owned subsidiary of The Northwestern Mutual Life Insurance Company. Mason Street Advisors is the principal investment adviser for all the Portfolios of the Northwestern Mutual Series Fund, Inc., and has engaged and oversees sub-advisers who provide day-to-day management for certain of the Portfolios. Each sub-adviser may be replaced without the approval of shareholders. Please see the Series Fund prospectus for more information.<br>The views expressed in the portfolio manager commentaries set forth in the following pages reflect those of the portfolio managers only through the end of the period covered by this report and do not necessarily represent the views of any affiliated organization. The views expressed are not guarantees of future performance or economic results and involve certain risks, uncertainties and assumptions that could cause actual outcomes and results to differ materially from the views expressed herein. These views are subject to change at any time based upon market conditions or other events and should not be relied upon as investment advice. Mason Street Advisors disclaims any responsibility to update these views.<br>

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##### [**Table of Contents**](#toc)
**Expense Examples (unaudited)** 

------

EXAMPLE

As a shareholder of each Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2022 to December 31, 2022).

ACTUAL EXPENSES

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line of the table below for each Portfolio provides information about hypothetical account values and hypothetical expenses based on each Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | Beginning Account Value<br>July 1, 2022 | Ending Account Value<br>December 31, 2022 | Expenses Paid During<br>Period July 1, 2022 to<br>December 31, 2022\* | Annualized<br>Expense Ratio |
|  Growth Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | $1000.00 | $937.04 | $2.10 | 0.43% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1023.04 | 2.19 | 0.43 |
|  Focused Appreciation Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1014.05 | 3.20 | 0.63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.03 | 3.21 | 0.63 |
|  Large Cap Core Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1021.05 | 2.29 | 0.45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.94 | 2.29 | 0.45 |
|  Large Cap Blend Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1052.00 | 3.83 | 0.74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1021.48 | 3.77 | 0.74 |
|  Index 500 Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1022.02 | 1.02 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1024.20 | 1.02 | 0.20 |

---

**1** 

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##### [**Table of Contents**](#toc)
**Expense Examples (unaudited)** 

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---

| | | | | |
|:---|:---|:---|:---|:---|
| | Beginning Account Value<br>July 1, 2022 | Ending Account Value<br>December 31, 2022 | Expenses Paid During<br>Period July 1, 2022 to<br>December 31, 2022\* | Annualized<br>Expense Ratio |
|  Large Company Value Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | $1000.00 | $1076.00 | $4.03 | 0.77% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1021.32 | 3.92 | 0.77 |
|  Domestic Equity Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1073.37 | 2.61 | 0.50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.68 | 2.55 | 0.50 |
|  Equity Income Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1055.88 | 2.95 | 0.57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.33 | 2.91 | 0.57 |
|  Mid Cap Growth Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1034.05 | 2.77 | 0.54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.48 | 2.75 | 0.54 |
|  Index 400 Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1078.62 | 1.31 | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1023.95 | 1.28 | 0.25 |
|  Mid Cap Value Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1074.60 | 3.76 | 0.72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1021.58 | 3.67 | 0.72 |
|  Small Cap Growth Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1031.83 | 2.87 | 0.56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.38 | 2.85 | 0.56 |
|  Index 600 Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1033.94 | 1.44 | 0.28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1023.79 | 1.43 | 0.28 |
|  Small Cap Value Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1024.88 | 4.44 | 0.87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1020.82 | 4.43 | 0.87 |
|  International Growth Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1056.00 | 3.21 | 0.62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.08 | 3.16 | 0.62 |
|  Research International Core Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1043.59 | 3.91 | 0.76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1021.37 | 3.87 | 0.76 |
|  International Equity Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1033.05 | 3.48 | 0.68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1021.78 | 3.47 | 0.68 |
|  Emerging Markets Equity Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 976.13 | 4.53 | 0.91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1020.62 | 4.63 | 0.91 |

---

**2** 

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##### [**Table of Contents**](#toc)
**Expense Examples (unaudited)** 

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | Beginning Account Value<br>July 1, 2022 | Ending Account Value<br>December 31, 2022 | Expenses Paid During<br>Period July 1, 2022 to<br>December 31, 2022\* | Annualized<br>Expense Ratio |
|  Government Money Market Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | $1000.00 | $1012.58 | $1.67 | 0.33% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1023.54 | 1.68 | 0.33 |
|  Short-Term Bond Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 993.49 | 1.91 | 0.38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1023.29 | 1.94 | 0.38 |
|  Select Bond Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 970.19 | 1.54 | 0.31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1023.64 | 1.58 | 0.31 |
|  Long-Term U.S. Government Bond Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 890.61 | 6.10 | 1.28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1018.75 | 6.51 | 1.28 |
|  Inflation Protection Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 963.90 | 2.72 | 0.55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.43 | 2.80 | 0.55 |
|  High Yield Bond Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1026.25 | 2.30 | 0.45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1022.94 | 2.29 | 0.45 |
|  Multi-Sector Bond Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1022.40 | 3.72 | 0.73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1021.53 | 3.72 | 0.73 |
|  Balanced Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1013.12 | 0.30 | 0.06 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1024.90 | 0.31 | 0.06 |
|  Asset Allocation Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Actual | 1000.00 | 1025.40 | 0.51 | 0.10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hypothetical (5% return before expenses) | 1000.00 | 1024.70 | 0.51 | 0.10 |

---

*\** *Expenses are equal to the Portfolio's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the direct expenses of the Portfolio and do not include the effect of the underlying Portfolios' expenses which are disclosed in the Fee and Expense table and described more fully in a footnote to that table in the Prospectus.* 

**3** 

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##### [**Table of Contents**](#toc)
**Growth Stock Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital. Current income is a secondary objective. | Invest in the equity securities of medium and large capitalization companies exhibiting the potential for earnings growth or share price appreciation. | $751 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Growth Stock Portfolio (the "Portfolio"), has engaged T. Rowe Price Associates, Inc. ("T. Rowe Price") to act as sub-adviser for the Portfolio. The Portfolio invests in "blue chip" growth companies, which are companies that are well established in their industries and have the potential for above-average earnings growth. The Portfolio looks for companies with leading market positions, seasoned management and strong financial fundamentals. The Portfolio's investment approach reflects the belief that solid company fundamentals (with an emphasis on the potential for strong growth in earnings per share or operating cash flow) combined with a positive outlook for a company's industry will ultimately reward investors with strong investment performance. The Portfolio may look for companies with good prospects for dividend growth.

MARKET OVERVIEW

Major U.S. stock indices fell sharply in 2022, the worst year for equities since the 2008 global financial crisis. Investors shunned riskier assets in response to Russia's invasion of Ukraine, elevated inflation exacerbated by rising commodity prices and global supply chain disruptions, surging U.S. Treasury yields, tightening financial conditions and slowing economic and corporate earnings growth. Beginning in March 2022, the Federal Reserve ("the Fed") began a series of aggressive short-term interest rate hikes. The rate hikes along with Fed comments that it would be willing to risk causing a recession by raising rates and keeping them at a higher level in order to bring inflation down, also weighed on the market. Although many indices finished the year above their lowest levels of 2022, the year ended with many investors concerned that ongoing Fed rate hikes would hurt corporate earnings and push the economy into a recession in 2023. As measured by various Russell<sup>®</sup> indices, growth stocks significantly underperformed value stocks across all market capitalizations.

PORTFOLIO RESULTS

The Portfolio returned (38.70%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell 1000<sup>®</sup> Growth Index (the "Index"), returned (29.14%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Growth Funds peer group was (32.61%).

Overall, detrimental security selection and sector allocation detracted from the Portfolio's relative performance. An overweight allocation and stock selection in the Communication Services sector detracted the most from relative results. Notably, Meta Platforms, Inc. detracted due to a combination of headwinds from Apple iOS privacy changes, a significant drop in advertising demand, as macro headwinds put downward pressure on advertiser budgets and a material increase in investments around the metaverse initiative. The Consumer Discretionary sector also hindered relative returns, owing to weak stock picks and an overweight allocation. Shares of Amazon.com, Inc. declined in response to deceleration within both e-commerce and Amazon Web Services as consumer confidence and spending on enterprise cloud services softened due to macro concerns. In addition, the company's cost control efforts fell short of targets, with its bloated logistics footprint continuing to weigh on profitability. The Information Technology sector also weighed on relative performance due to unfavorable stock choices.

At the other end of the spectrum, an overweight allocation and stock selection in the Health Care sector contributed significantly to relative performance. Shares of UnitedHealth Group Incorporated held up relatively well due to better-than-expected cost trends as utilization returns to normal, stronger-than-expected onboarding of value based care patients within Optum and innate defensive characteristics that provided additional support as markets continue to decline. The Financials sector also boosted relative returns due to favorable stock selection and an overweight allocation.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of T. Rowe Price, the Portfolio's sub-adviser.

Heading into 2023, capital markets appear to have priced in a significant global economic slowdown. The key question is whether this deceleration will end with slower but still positive growth or in a full-fledged recession that drags down earnings. Much depends on the Fed and the world's other major central banks as they continue efforts to bring inflation

**4** 

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##### [**Table of Contents**](#toc)
**Growth Stock Portfolio (unaudited)** 

------

under control by hiking interest rates and draining liquidity from the markets. Nevertheless, geopolitical risks will remain potential triggers for downside volatility in 2023. Structural factors, such as bank capital requirements that constrain market liquidity, could magnify price movements, both up and down. While there are good reasons for caution in 2023, excessive pessimism and volatility can create value for agile investors. In difficult markets, security selection will be critical.

&nbsp;&nbsp;&nbsp;&nbsp;**Relative Performance**![LOGO](g422955g89m49.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Growth Stock Portfolio | -38.70% | 4.86% | 9.75% |
|  Russell 1000<sup>®</sup> Growth Index | -29.14% | 10.96% | 14.10% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Large Cap Growth Funds Average | -32.61% | 8.25% | 12.21% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Microsoft Corp. | 9.3% |
| &nbsp;&nbsp;&nbsp; Alphabet, Inc., Various | 8.6% |
| &nbsp;&nbsp;&nbsp; Apple, Inc. | 8.2% |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 7.5% |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc. | 5.3% |
| &nbsp;&nbsp;&nbsp; Visa, Inc. - Class A | 4.2% |
| &nbsp;&nbsp;&nbsp; Mastercard, Inc. - Class A | 3.5% |
| &nbsp;&nbsp;&nbsp; NVIDIA Corp. | 3.0% |
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 2.7% |
| &nbsp;&nbsp;&nbsp; ServiceNow, Inc. | 2.6% |

---

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Information Technology | 43.8% |
| &nbsp;&nbsp;&nbsp; Health Care | 17.7% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 15.8% |
| &nbsp;&nbsp;&nbsp; Communication Services | 14.0% |
| &nbsp;&nbsp;&nbsp; Financials | 5.5% |
| &nbsp;&nbsp;&nbsp; Materials | 1.4% |
| &nbsp;&nbsp;&nbsp; Industrials | 1.2% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 0.6% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**5** 

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##### [**Table of Contents**](#toc)
**Growth Stock Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022**

---

| | | |
|:---|:---|:---|
| Common Stocks (99.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Communication Services (14.0%)** | **Communication Services (14.0%)** |  |
|  Alphabet, Inc. - Class A \* | 90053 | 7945 |
|  Alphabet, Inc. - Class C \* | 633258 | 56189 |
|  Meta Platforms, Inc. - Class A \* | 116593 | 14031 |
|  Netflix, Inc. \* | 29359 | 8657 |
|  Sea, Ltd., ADR \* | 66940 | 3483 |
|  Tencent Holdings, Ltd. | 82300 | 3522 |
|  T-Mobile US, Inc. \* | 62749 | 8785 |
|  The Walt Disney Co. \* | 28241 | 2454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **105066** |
|  **Consumer Discretionary (15.8%)** | **Consumer Discretionary (15.8%)** |  |
|  Amazon.com, Inc. \* | 669027 | 56198 |
|  Booking Holdings, Inc. \* | 3184 | 6417 |
|  Chipotle Mexican Grill, Inc. \* | 5773 | 8010 |
|  Dollar General Corp. | 39678 | 9771 |
|  DoorDash, Inc. \* | 34134 | 1666 |
|  Lululemon Athletica, Inc. \* | 18548 | 5942 |
|  NIKE, Inc. - Class B | 66118 | 7737 |
|  Ross Stores, Inc. | 95472 | 11082 |
|  Tesla, Inc. \* | 77852 | 9590 |
|  The TJX Cos., Inc. | 24351 | 1938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **118351** |
|  Financials (5.5%) |  |  |
|  The Charles Schwab Corp. | 92833 | 7729 |
|  Chubb, Ltd. | 43663 | 9632 |
|  The Goldman Sachs Group, Inc. | 30752 | 10560 |
|  Marsh & McLennan Cos., Inc. | 36636 | 6062 |
|  MSCI, Inc. | 3149 | 1465 |
|  S&P Global, Inc. | 17875 | 5987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **41435** |
|  **Health Care (17.7%)** | **Health Care (17.7%)** |  |
|  Align Technology, Inc. \* | 3873 | 817 |
|  AstraZeneca PLC, ADR | 52216 | 3540 |
|  Danaher Corp. | 51787 | 13745 |
|  Elevance Health, Inc. | 10699 | 5488 |
|  Eli Lilly & Co. | 55604 | 20342 |
|  Humana, Inc. | 17896 | 9166 |
|  Intuitive Surgical, Inc. \* | 56630 | 15027 |
|  Stryker Corp. | 27472 | 6717 |
|  Teleflex, Inc. | 6727 | 1679 |
|  Thermo Fisher Scientific, Inc. | 17114 | 9425 |
|  UnitedHealth Group, Inc. | 75322 | 39934 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Health Care continued** | **Health Care continued** |  |
|  Veeva Systems, Inc. - Class A \* | 13158 | 2123 |
|  Zoetis, Inc. | 36333 | 5325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **133328** |
|  **Industrials (1.2%)** |  |  |
|  Cintas Corp. | 4012 | 1812 |
|  General Electric Co. | 37927 | 3178 |
|  Old Dominion Freight Line, Inc. | 11308 | 3209 |
|  TransUnion | 15347 | 871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **9070** |
|  **Information Technology (43.8%)** | **Information Technology (43.8%)** |  |
|  Advanced Micro Devices, Inc. \* | 110752 | 7173 |
|  Adyen NV \* | 171993 | 2374 |
|  Affirm Holdings, Inc. \* | 45136 | 436 |
|  Apple, Inc. | 474049 | 61593 |
|  ASML Holding NV | 21598 | 11801 |
|  Atlassian Corp. - Class A \* | 25885 | 3331 |
|  Bill.com Holdings, Inc. \* | 30534 | 3327 |
|  Block, Inc. \* | 48469 | 3046 |
|  Confluent, Inc. - Class A \* | 46611 | 1037 |
|  CrowdStrike Holdings, Inc. \* | 11103 | 1169 |
|  Datadog, Inc. \* | 20147 | 1481 |
|  Fortinet, Inc. \* | 18457 | 902 |
|  Intuit, Inc. | 36737 | 14299 |
|  Lam Research Corp. | 3376 | 1419 |
|  Marvell Technology, Inc. | 80018 | 2964 |
|  Mastercard, Inc. - Class A | 74398 | 25870 |
|  Microsoft Corp. | 290699 | 69715 |
|  MongoDB, Inc. \* | 19124 | 3764 |
|  Monolithic Power Systems, Inc. | 12719 | 4498 |
|  NVIDIA Corp. | 155424 | 22714 |
|  Paycom Software, Inc. \* | 3415 | 1060 |
|  PayPal Holdings, Inc. \* | 24232 | 1726 |
|  Roper Technologies, Inc. | 16146 | 6977 |
|  ServiceNow, Inc. \* | 49645 | 19276 |
|  Shopify, Inc. \* | 102118 | 3545 |
|  Snowflake, Inc. \* | 12807 | 1838 |
|  Synopsys, Inc. \* | 31621 | 10096 |
|  Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 38883 | 2896 |
|  TE Connectivity, Ltd. | 14836 | 1703 |
|  Texas Instruments, Inc. | 34827 | 5754 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Information Technology continued** | **Information Technology continued** |  |
|  Visa, Inc. - Class A | 149973 | 31158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **328942** |
|  **Materials (1.4%)** | **Materials (1.4%)** |  |
|  Linde PLC | 16138 | 5264 |
|  The Sherwin-Williams Co. | 21111 | 5010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **10274** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $670,592)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $670,592)** | **746466** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.4%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.4%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $670,592)<sup>@</sup>**  |  | **746466** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (0.6%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (0.6%)** | **4237** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** | **750703** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**6** 

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##### [**Table of Contents**](#toc)
**Growth Stock Portfolio** 

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $678,836 and the net unrealized appreciation of investments based on that cost was $67,630 which is comprised of $171,567 aggregate gross unrealized appreciation and $103,937 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br>Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $746466 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $746466 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**7** 

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##### [**Table of Contents**](#toc)
**Focused Appreciation Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital. | Invest in equity securities selected for their growth potential. | $964 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Focused Appreciation Portfolio (the "Portfolio"), has engaged Loomis, Sayles & Company, L.P. ("Loomis Sayles") to act as sub-adviser for the Portfolio. The Portfolio invests primarily in the equity securities of companies selected for their growth potential. The Portfolio focuses on equity securities of large capitalization companies but may invest in companies of any size. The Portfolio employs a growth style of equity management that emphasizes companies with sustainable competitive advantages, long-term structural growth drivers, profitable cash flow returns, and management teams focused on creating long-term value for shareholders. The Portfolio invests primarily in a core group of 30-40 securities but may exceed this range.

MARKET OVERVIEW

Domestic equities posted sizable losses with elevated volatility in 2022. Inflation rose steadily in the first half of the year, exceeding an annual rate of 8% in March and peaking at 9.1% in June. The Federal Reserve (the "Fed") sought to contain the price pressures by winding down its quantitative easing program and raising interest rates a total of seven times. The benchmark Fed funds rate target range, which stood at 0%–0.25% entering 2022, had climbed to 4.25%–4.50% by year-end—one of the fastest increases in history. While the economy remained resilient through 2022, the central bank's aggressive approach fueled concerns about the potential for a recession in 2023 as the lagged effect of higher rates takes hold. The combination of slower growth and rising inflation, in turn, raised fears that corporations' profit margins and earnings were poised to weaken in the year ahead. Geopolitical factors also contributed to the downturn in stocks. Russia's invasion of Ukraine, together with its adverse impact on supply chains and commodity prices, was a key issue weighing on sentiment. China was another source of concern, as the government's zero-COVID policy hindered growth both within China and across the globe, although this policy was relaxed late in the year. These developments led to a decline in valuations for U.S. equities. Growth stocks, particularly the mega-cap technology stocks that led the market higher in 2021, were hit hardest in the downturn.

PORTFOLIO RESULTS

The Portfolio returned (27.83%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell 1000<sup>®</sup> Growth Index (the "Index"), returned (29.14%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Growth Funds peer group was (32.61%).

Companies in the Health Care and Consumer Staples sectors contributed the most to the Portfolio's return. Specifically, Vertex Pharmaceuticals Incorporated, Monster Beverage Corporation and Regeneron Pharmaceuticals, Inc. were among the top contributors.

In terms of stock selection, holdings in the Communication Services, Health Care, Industrials, Consumer Staples, Consumer Discretionary, Financials and Energy sectors contributed to relative performance. Allocations to the Health Care, Industrials, Consumer Discretionary, Information Technology and Financials sectors also contributed.

In the Information Technology sector, Meta Platforms, Inc., Amazon.com, Inc., and NVIDIA Corp. were among the largest detractors from performance. Stock selection in the Information Technology sector as well as allocations to the Communication Services and Consumer Staples sectors detracted from relative performance.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Loomis Sayles, the Portfolio's sub-adviser.

Our investment process is characterized by bottom-up fundamental research and a long-term investment time horizon. All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high quality businesses to take advantage of meaningful price dislocations if they occur. The nature of the process leads to a lower turnover Portfolio, where sector positioning is the result of stock selection. As compared to the Russell 1000<sup>®</sup> Growth Index, we are currently overweight in the Communication Services, Health Care, Industrials and Financials sectors. The Portfolio is underweight in the Information Technology, Consumer Staples and Consumer Discretionary sectors. We hold no positions in the Energy, Real Estate, Materials and Utilities sectors.

**8** 

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##### [**Table of Contents**](#toc)
**Focused Appreciation Portfolio (unaudited)** 

------

We employ a style of equity management that emphasizes companies with sustainable competitive advantages, long-term secular growth drivers, attractive cash flow returns on invested capital and management teams focused on creating long-term value for shareholders. We aim to invest in companies when they trade at a significant discount to the estimate of intrinsic value.

During 2022, we initiated positions in Block, Inc., Netflix, Inc., PayPal Holdings, Inc., Shopify, Inc. and Tesla, Inc. and added to existing positions in company's including The Boeing Co., The Walt Disney Co. and Illumina, Inc. as near-term price weaknesses created more attractive reward-to-risk opportunities.

In contrast, we trimmed existing positions in several companies, including Alphabet, Inc., as it approached the Portfolio's maximum allowable position size.

**Relative Performance**![LOGO](g422955g13r69.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Focused Appreciation Portfolio | -27.83% | 7.95% | 12.77% |
|  Russell 1000<sup>®</sup> Growth Index | -29.14% | 10.96% | 14.10% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Large Cap Growth Funds Average | -32.61% | 8.25% | 12.21% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u><u>.</u>* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses,* 

 *and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*As a non-diversified portfolio, the Portfolio may hold fewer securities because of its focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Visa, Inc. - Class A | 6.9% |
| &nbsp;&nbsp;&nbsp; The Boeing Co. | 6.6% |
| &nbsp;&nbsp;&nbsp; Alphabet, Inc., Various | 6.0% |
| &nbsp;&nbsp;&nbsp; Microsoft Corp. | 5.1% |
| &nbsp;&nbsp;&nbsp; Oracle Corp. | 4.8% |
| &nbsp;&nbsp;&nbsp; NVIDIA Corp. | 4.7% |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 4.4% |
| &nbsp;&nbsp;&nbsp; Netflix, Inc. | 4.2% |
| &nbsp;&nbsp;&nbsp; Monster Beverage Corp. | 4.1% |
| &nbsp;&nbsp;&nbsp; Autodesk, Inc. | 3.7% |

---

**9** 

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##### [**Table of Contents**](#toc)
**Focused Appreciation Portfolio (unaudited)** 

------

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Information Technology | 35.3% |
| &nbsp;&nbsp;&nbsp; Health Care | 16.4% |
| &nbsp;&nbsp;&nbsp; Communication Services | 16.1% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 14.0% |
| &nbsp;&nbsp;&nbsp; Industrials | 9.9% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 4.1% |
| &nbsp;&nbsp;&nbsp; Financials | 3.8% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 0.4% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**10** 

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##### [**Table of Contents**](#toc)
**Focused Appreciation Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022**

---

| | | |
|:---|:---|:---|
| Common Stocks (99.6%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communication Services (16.1%)** | **Communication Services (16.1%)** |  |
|  Alphabet, Inc. - Class A \* | 368300 | 32495 |
|  Alphabet, Inc. - Class C \* | 287460 | 25506 |
|  Meta Platforms, Inc. -<br>Class A \* | 262560 | 31597 |
|  Netflix, Inc. \* | 135811 | 40048 |
|  The Walt Disney Co. \* | 294951 | 25625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **155271** |
|  **Consumer Discretionary (14.0%)** | **Consumer Discretionary (14.0%)** |  |
|  Alibaba Group Holding, Ltd., ADR \* | 158461 | 13959 |
|  Amazon.com, Inc. \* | 507758 | 42652 |
|  Starbucks Corp. | 264231 | 26212 |
|  Tesla, Inc. \* | 221889 | 27332 |
|  Yum China Holdings, Inc. | 151572 | 8283 |
|  Yum! Brands, Inc. | 129537 | 16591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **135029** |
|  **Consumer Staples (4.1%)** | **Consumer Staples (4.1%)** |  |
|  Monster Beverage Corp. \* | 389060 | 39502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **39502** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.6%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financials (3.8%)** | **Financials (3.8%)** |  |
|  FactSet Research Systems, Inc. | 49317 | 19786 |
|  SEI Investments Co. | 280939 | 16379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **36165** |
|  **Health Care (16.4%)** | **Health Care (16.4%)** |  |
|  Illumina, Inc. \* | 93219 | 18849 |
|  Intuitive Surgical, Inc. \* | 57144 | 15163 |
|  Novartis AG, ADR | 303074 | 27495 |
|  Novo Nordisk A/S, ADR | 140696 | 19042 |
|  Regeneron Pharmaceuticals, Inc. \* | 36695 | 26475 |
|  Roche Holding AG, ADR | 512533 | 20066 |
|  Vertex Pharmaceuticals, Inc. \* | 108498 | 31332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **158422** |
|  **Industrials (9.9%)** | **Industrials (9.9%)** |  |
|  The Boeing Co. \* | 336044 | 64013 |
|  Deere & Co. | 27364 | 11732 |
|  Expeditors International of Washington, Inc. | 187179 | 19452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **95197** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.6%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Information Technology (35.3%)** | **Information Technology (35.3%)** |  |
|  Autodesk, Inc. \* | 188769 | 35275 |
|  Block, Inc. - Class A \* | 203302 | 12775 |
|  Microsoft Corp. | 203369 | 48772 |
|  NVIDIA Corp. | 308570 | 45094 |
|  Oracle Corp. | 567542 | 46391 |
|  PayPal Holdings, Inc. \* | 200421 | 14274 |
|  QUALCOMM, Inc. | 181195 | 19921 |
|  Salesforce, Inc. \* | 196589 | 26066 |
|  Shopify, Inc. \* | 403217 | 13996 |
|  Visa, Inc. - Class A | 321440 | 66782 |
|  Workday, Inc. - Class A \* | 65492 | 10959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **340305** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $740,436)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $740,436)** | **959891** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.6%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.6%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $740,436)<sup>@</sup>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $740,436)<sup>@</sup>**  | **959891** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (0.4%)** |  | **4038** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **963929** |

---

<sup>+</sup> All par is stated in U.S. Dollar unless otherwise noted.

<sup>\*</sup> Non income producing

---

| | |
|:---|:---|
| <sup>@</sup> | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $741,101 and the net unrealized appreciation of investments based on that cost was $218,790 which is comprised of $311,319 aggregate gross unrealized appreciation and $92,529 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br>Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $959891 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $959891 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**11** 

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##### [**Table of Contents**](#toc)
**Large Cap Core Stock Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital and income. | Invest primarily in common stocks of large capitalization U.S. companies. | $566 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Large Cap Core Stock Portfolio (the "Portfolio"), has engaged Wellington Management Company LLP ("Wellington") to act as sub-adviser for the Portfolio. The Portfolio allocates its assets across a variety of industries, selecting companies in each industry based on the research of a team of global industry analysts. The Portfolio typically seeks to maintain representation in each major industry represented by broad-based, large cap U.S. equity indices. The Portfolio utilizes a "bottom-up" approach, which is the use of fundamental analysis to identify specific securities for purchase or sale. Fundamental analysis of a company involves the assessment of a variety of factors, including the company's business environment, management quality, balance sheet, income statement, anticipated earnings, revenues and dividends, and other related measures or indicators of valuation and growth potential. The Portfolio's sector exposures generally conform with the sector weights present in the Portfolio's benchmark index.

MARKET OVERVIEW

U.S. equities, as measured by the S&P 500<sup>®</sup> Index, posted negative results for the year 2022 amid surging inflation, tighter financial conditions and moderating economic activity, which have increased the probability of recession. Surging prices for food and energy pushed consumer inflation to its highest level in more than four decades. The Federal Reserve (the "Fed") Chair, Jerome Powell, acknowledged that there is considerable uncertainty about the trajectory of inflation and a greater possibility of recession. In December, the Fed raised interest rates by 50 basis points (bps), snapping a streak of four consecutive hikes of 75 bps. Greater optimism that the Fed would begin to scale back its aggressive pace of interest rate hikes helped fuel a sharp rebound in stocks in October and November before risk sentiment waned in December amid recession fears, macroeconomic headwinds and downside earnings risks in the coming quarters.

Returns during the period varied by market capitalization. Large-capitalization stocks, as measured by the S&P 500<sup>®</sup> Index, underperformed mid-capitalization stocks but outperformed small-capitalization stocks, as measured by the S&P MidCap 400<sup>®</sup> Index and Russell 2000<sup>®</sup> Index, respectively.

PORTFOLIO RESULTS

The Large Cap Core Stock Portfolio returned (18.88%) for the twelve months ended December 31, 2022. By comparison, the S&P 500<sup>®</sup> Index (the "Index") returned (18.11%) for the year. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2022 for the Large Cap Core Funds peer group was (16.29%).

Top detractors from the Portfolio's relative performance included not owning Energy sector company ExxonMobil Corporation. Shares of ExxonMobil Corp. advanced during the period as crude oil prices soared amid tensions between Russia and Ukraine, which threatened to create a tighter oil market. In the Communication Services sector, an overweight position in Meta Platforms, Inc. detracted as management released disappointing second-quarter results and weak near-term guidance. Likewise, an overweight position in Amazon.com, Inc., in the Consumer Discretionary sector, also weighed on performance. The company reported an unexpected first-quarter loss. Results from both the company's core online retailing business and its advertising unit came in short of estimates.

Top contributors to relative performance included an underweight in automobile manufacturer Tesla, Inc. in the Consumer Discretionary sector. Shares of Tesla fell as investor concern rose on news that CEO, Elon Musk, had purchased Twitter for $44 billion. Additionally, the company continued to grapple with supply chain issues and pandemic-related shutdowns in Shanghai. An out-of-benchmark position in Energy company Shell PLC also contributed. Shares of Shell advanced after the oil and gas conglomerate reported an adjusted profit for the fourth quarter that beat consensus estimates. Shell also announced a share repurchase program to buy back $8.5 billion worth of its own shares during the first half of 2022 using proceeds from its Permian divestment and capital allocation framework. Finally, an underweight in Information Technology company NVIDIA Corp. buoyed performance. Shares of NVIDIA fell during the period despite reporting strong first-quarter results. Investors were disappointed with lower-than-expected revenue forecasts for the second quarter, which the chipmaker attributed to the Russian-Ukrainian war and pandemic-related lockdowns in China.

**12** 

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##### [**Table of Contents**](#toc)
**Large Cap Core Stock Portfolio (unaudited)** 

------

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Wellington, the Portfolio's sub-adviser.

The macroeconomic challenges that roiled markets in 2022 remain front and center. While there are unique challenges within each region, persistent inflation, tight monetary policy and recession risk underlie 2023 global equity investment outlooks.

In Asia, China's reopening will impact variables such as supply chains, fuel costs, inflation, economic growth and worldwide consumer demand. However, the risk for disruption remains as the COVID-19 virus evolves. In Europe, war between Russia and Ukraine continues and is resulting in an extreme increase in heating and fuel costs in the region, impacting consumer spending, industrial investment and, ultimately, growth rates. In the United States, inflation, the Fed's actions, recession risk and the impact of job losses on consumers are top of mind. How these interconnected variables play out will define global market regimes for the coming years.

**Relative Performance**![LOGO](g422955g39t56.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Large Cap Core Stock Portfolio | -18.88% | 8.95% | 10.81% |
|  S&P 500<sup>®</sup> Index | -18.11% | 9.41% | 12.56% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Large Cap Core Funds Average | -16.29% | 8.45% | 11.57% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of* 

 *this report for information about the indices cited in the above chart and graph.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Microsoft Corp. | 5.7% |
| &nbsp;&nbsp;&nbsp; Apple, Inc. | 3.5% |
| &nbsp;&nbsp;&nbsp; Alphabet, Inc. - Class A | 3.4% |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 3.3% |
| &nbsp;&nbsp;&nbsp; Sysco Corp. | 2.4% |
| &nbsp;&nbsp;&nbsp; The Charles Schwab Corp. | 2.3% |
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 1.9% |
| &nbsp;&nbsp;&nbsp; The TJX Cos., Inc. | 1.6% |
| &nbsp;&nbsp;&nbsp; BP PLC, ADR | 1.5% |
| &nbsp;&nbsp;&nbsp; Pfizer, Inc. | 1.5% |

---

**13** 

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##### [**Table of Contents**](#toc)
**Large Cap Core Stock Portfolio (unaudited)** 

------

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Information Technology | 19.6% |
| &nbsp;&nbsp;&nbsp; Health Care | 17.8% |
| &nbsp;&nbsp;&nbsp; Financials | 12.4% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 9.2% |
| &nbsp;&nbsp;&nbsp; Industrials | 8.8% |
| &nbsp;&nbsp;&nbsp; Communication Services | 8.1% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 7.3% |
| &nbsp;&nbsp;&nbsp; Energy | 5.9% |
| &nbsp;&nbsp;&nbsp; Utilities | 3.9% |
| &nbsp;&nbsp;&nbsp; Materials | 2.7% |
| &nbsp;&nbsp;&nbsp; Real Estate | 1.6% |
| &nbsp;&nbsp;&nbsp; Investment Companies | 1.3% |
| &nbsp;&nbsp;&nbsp; Telecommunication Services | 0.7% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 0.7% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**14** 

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##### [**Table of Contents**](#toc)
**Large Cap Core Stock Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022**

---

| | | |
|:---|:---|:---|
| Common Stocks (98.0%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communication Services (8.1%)** | **Communication Services (8.1%)** | **Communication Services (8.1%)** |
|  Alphabet, Inc. - Class A \* | 217631 | 19201 |
|  Charter Communications, Inc. - Class A \* | 2490 | 844 |
|  Electronic Arts, Inc. | 8234 | 1006 |
|  Match Group, Inc. \* | 50244 | 2085 |
|  Meta Platforms, Inc. - Class A \* | 61666 | 7421 |
|  Omnicom Group, Inc. | 64742 | 5281 |
|  T-Mobile US, Inc. \* | 38870 | 5442 |
|  The Walt Disney Co. \* | 52064 | 4523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **45803** |
|  **Consumer Discretionary (9.2%)** | **Consumer Discretionary (9.2%)** | **Consumer Discretionary (9.2%)** |
|  Airbnb, Inc. \* | 67476 | 5769 |
|  Amazon.com, Inc. \* | 223947 | 18812 |
|  D.R. Horton, Inc. | 3245 | 289 |
|  Etsy, Inc. \* | 47680 | 5711 |
|  Ford Motor Co. | 80453 | 936 |
|  Lennar Corp. - Class A | 8146 | 737 |
|  NIKE, Inc. - Class B | 44202 | 5172 |
|  Starbucks Corp. | 44824 | 4447 |
|  Tesla, Inc. \* | 9534 | 1174 |
|  The TJX Cos., Inc. | 110676 | 8810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **51857** |
|  **Consumer Staples (7.3%)** | **Consumer Staples (7.3%)** |  |
|  Altria Group, Inc. | 29265 | 1338 |
|  Archer-Daniels-Midland Co. | 33111 | 3074 |
|  Constellation Brands, Inc. - Class A | 25818 | 5983 |
|  The Hershey Co. | 23900 | 5535 |
|  Kellogg Co. | 30562 | 2177 |
|  Monster Beverage Corp. \* | 48940 | 4969 |
|  Philip Morris International, Inc. | 46649 | 4721 |
|  Sysco Corp. | 176990 | 13531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **41328** |
|  **Energy (5.9%)** |  |  |
|  BP PLC, ADR | 249217 | 8705 |
|  ConocoPhillips | 61008 | 7199 |
|  Diamondback Energy, Inc. | 7338 | 1004 |
|  EOG Resources, Inc. | 13854 | 1794 |
|  Marathon Petroleum Corp. | 34221 | 3983 |
|  Schlumberger, Ltd. | 45415 | 2428 |
|  Shell PLC | 141599 | 8064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **33177** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.0%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financials (12.4%)** |  |  |
|  American International Group, Inc. | 52020 | 3290 |
|  Arch Capital Group, Ltd. \* | 41077 | 2579 |
|  Ares Management Corp. - Class A | 111423 | 7626 |
|  Berkshire Hathaway, Inc. - Class B \* | 5983 | 1848 |
|  BlackRock, Inc. | 5887 | 4172 |
|  The Charles Schwab Corp. | 153414 | 12773 |
|  Chubb, Ltd. | 19263 | 4249 |
|  Equitable Holdings, Inc. | 64058 | 1838 |
|  The Goldman Sachs Group, Inc. | 19128 | 6568 |
|  Host Hotels & Resorts, Inc. | 187911 | 3016 |
|  JPMorgan Chase & Co. | 9455 | 1268 |
|  Kimco Realty Corp. | 131770 | 2791 |
|  Marsh & McLennan Cos., Inc. | 31637 | 5235 |
|  MetLife, Inc. | 31430 | 2275 |
|  Morgan Stanley | 45107 | 3835 |
|  MSCI, Inc. | 12238 | 5693 |
|  Nasdaq, Inc. | 19380 | 1189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **70245** |
|  **Health Care (17.8%)** |  |  |
|  Abbott Laboratories | 30324 | 3329 |
|  Agilent Technologies, Inc. | 23910 | 3578 |
|  Alnylam Pharmaceuticals, Inc. \* | 3502 | 832 |
|  AstraZeneca PLC, ADR | 72844 | 4939 |
|  Baxter International, Inc. | 25379 | 1294 |
|  Biogen, Inc. \* | 4822 | 1335 |
|  Boston Scientific Corp. \* | 70652 | 3269 |
|  Bristol-Myers Squibb Co. | 38579 | 2776 |
|  Centene Corp. \* | 55039 | 4514 |
|  Danaher Corp. | 21848 | 5799 |
|  Dexcom, Inc. \* | 15604 | 1767 |
|  Edwards Lifesciences Corp. \* | 34130 | 2546 |
|  Elevance Health, Inc. | 7273 | 3731 |
|  Eli Lilly & Co. | 29182 | 10676 |
|  GSK PLC, ADR | 43900 | 1543 |
|  HCA Healthcare, Inc. | 15116 | 3627 |
|  Humana, Inc. | 6833 | 3500 |
|  Illumina, Inc. \* | 8071 | 1632 |
|  Incyte Corp. \* | 5076 | 408 |
|  Insulet Corp. \* | 4751 | 1399 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.0%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Health Care continued** |  |  |
|  Laboratory Corp. of America Holdings | 5864 | 1381 |
|  McKesson Corp. | 6468 | 2426 |
|  Merck & Co., Inc. | 50518 | 5605 |
|  Moderna, Inc. \* | 3672 | 659 |
|  Molina Healthcare, Inc. \* | 3428 | 1132 |
|  Novartis AG, ADR | 26649 | 2418 |
|  Pfizer, Inc. | 163059 | 8355 |
|  Regeneron Pharmaceuticals, Inc. \* | 2678 | 1932 |
|  Seagen, Inc. \* | 7756 | 997 |
|  Stryker Corp. | 13241 | 3237 |
|  UnitedHealth Group, Inc. | 7262 | 3850 |
|  Vertex Pharmaceuticals, Inc. \* | 8858 | 2558 |
|  Zoetis, Inc. | 25370 | 3718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **100762** |
|  **Industrials (8.8%)** |  |  |
|  AMETEK, Inc. | 19684 | 2750 |
|  The Boeing Co. \* | 11446 | 2180 |
|  Builders FirstSource, Inc. \* | 48658 | 3157 |
|  Caterpillar, Inc. | 7781 | 1864 |
|  Emerson Electric Co. | 8501 | 817 |
|  Equifax, Inc. | 4681 | 910 |
|  FedEx Corp. | 7867 | 1362 |
|  Fortive Corp. | 32369 | 2080 |
|  General Dynamics Corp. | 12355 | 3065 |
|  Honeywell International, Inc. | 17992 | 3856 |
|  Ingersoll-Rand, Inc. | 41582 | 2173 |
|  Johnson Controls International PLC | 31582 | 2021 |
|  Lockheed Martin Corp. | 6481 | 3153 |
|  PACCAR, Inc. | 48694 | 4819 |
|  Raytheon Technologies Corp. | 44428 | 4484 |
|  Southwest Airlines Co. \* | 115232 | 3880 |
|  United Rentals, Inc. \* | 1513 | 538 |
|  Waste Connections, Inc. | 10722 | 1421 |
|  Westinghouse Air Brake Technologies Corp. | 50864 | 5077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **49607** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**15** 

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##### [**Table of Contents**](#toc)
**Large Cap Core Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.0%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Information Technology (19.6%)** | **Information Technology (19.6%)** |  |
|  Adobe, Inc. \* | 4383 | 1475 |
|  Advanced Micro Devices,<br>Inc. \* | 46594 | 3018 |
|  Apple, Inc. | 152055 | 19756 |
|  Block, Inc. - Class A \* | 46988 | 2953 |
|  Ceridian HCM Holding, Inc. \* | 48096 | 3085 |
|  FLEETCOR Technologies,<br>Inc. \* | 10663 | 1958 |
|  Global Payments, Inc. | 31494 | 3128 |
|  GoDaddy, Inc. \* | 24634 | 1843 |
|  HashiCorp, Inc. - Class A \* | 25634 | 701 |
|  HubSpot, Inc. \* | 744 | 215 |
|  Intel Corp. | 50390 | 1332 |
|  KLA Corp. | 7450 | 2809 |
|  Marvell Technology, Inc. | 42243 | 1565 |
|  Micron Technology, Inc. | 49052 | 2452 |
|  Microsoft Corp. | 134858 | 32342 |
|  NVIDIA Corp. | 9965 | 1456 |
|  Okta, Inc. \* | 2670 | 182 |
|  ON Semiconductor Corp. \* | 36139 | 2254 |
|  Palo Alto Networks, Inc. \* | 4794 | 669 |
|  PayPal Holdings, Inc. \* | 45804 | 3262 |
|  Qualtrics International, Inc. - Class A \* | 30231 | 314 |
|  Salesforce, Inc. \* | 22957 | 3044 |
|  SentinelOne, Inc. \* | 11976 | 175 |
|  ServiceNow, Inc. \* | 5679 | 2205 |
|  Snowflake, Inc. \* | 1782 | 256 |
|  Teradyne, Inc. | 19010 | 1660 |
|  Texas Instruments, Inc. | 31854 | 5263 |
|  VeriSign, Inc. \* | 29434 | 6047 |
|  Visa, Inc. - Class A | 20343 | 4226 |
|  Workday, Inc. - Class A \* | 7415 | 1241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **110886** |
|  **Materials (2.7%)** |  |  |
|  Ball Corp. | 19542 | 999 |
|  Celanese Corp. - Class A | 24980 | 2554 |
|  Crown Holdings, Inc. | 15210 | 1250 |
|  FMC Corp. | 31095 | 3881 |
|  Linde PLC | 13429 | 4380 |
|  PPG Industries, Inc. | 20284 | 2551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **15615** |
|  **Real Estate (1.6%)** |  |  |
|  CBRE Group, Inc. - Class A | 20643 | 1589 |
|  Prologis, Inc. | 13883 | 1565 |
|  Sun Communities, Inc. | 16406 | 2346 |
|  Welltower, Inc. | 56230 | 3686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **9186** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.0%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Telecommunication Services (0.7%)** | **Telecommunication Services (0.7%)** | **Telecommunication Services (0.7%)** |
|  AT&T, Inc. | 229376 | 4223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **4223** |
|  **Utilities (3.9%)** | **Utilities (3.9%)** |  |
|  The AES Corp. | 118722 | 3414 |
|  Duke Energy Corp. | 56609 | 5830 |
|  Edison International | 55952 | 3560 |
|  Exelon Corp. | 93024 | 4021 |
|  FirstEnergy Corp. | 124222 | 5210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **22035** |
|  **Total Common Stocks** | **Total Common Stocks** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $508,279)** |  | **554724** |
| Investment Companies (1.3%) | Investment Companies (1.3%) |  |
|  **Investment Companies (1.3%)** | **Investment Companies (1.3%)** |  |
|  SPDR S&P 500 ETF Trust | 19365 | 7406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **7406** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $7,736)** |  | **7406** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.3%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.3%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $516,015)<sup>@</sup>**  |  | **562130** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (0.7%)** |  | **4065** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** | **566195** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**16** 

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##### [**Table of Contents**](#toc)
**Large Cap Core Stock Portfolio** 

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $527,162 and the net unrealized appreciation of investments based on that cost was $34,968 which is comprised of $77,374 aggregate gross unrealized appreciation and $42,406 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br> Other Significant<br>Observable Inputs | Level 3 –<br> Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $554724 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 7406 | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $562130 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**17** 

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##### [**Table of Contents**](#toc)
**Large Cap Blend Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital and income. | Invest primarily in equity securities of U.S. large capitalization companies listed or traded on U.S. securities exchanges. | $196 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Large Cap Blend Portfolio (the "Portfolio"), has engaged Fiduciary Management, Inc. ("FMI") to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in equity securities of large capitalization companies listed or traded on U.S. securities exchanges. In selecting investments, greater consideration is given to potential appreciation and future dividends than to current income. The Portfolio uses fundamental analysis to look for stocks of good businesses that are selling at value prices. The Portfolio employs a focused investment strategy, typically investing in a core group of 20-30 large capitalization common stocks and American Depositary Receipts.

MARKET OVERVIEW

Equities declined for much of 2022, before rallying in the fourth quarter. It is impossible to know if the recent rally spells the end of the 2022 bear market. Many prior bear markets have had a distinct sawtooth action, with strong rallies segueing into lower lows, before eventually reaching a "final" bottom and beginning a new bull market. In 2022, many stocks declined precipitously from their peaks, including a number in the Portfolio.

Unlike the unproven and unprofitable companies that have become public in recent years, many of whom lack the wherewithal to survive without outside capital, the Portfolio companies have the financial strength to weather idiosyncratic problems or cyclical weakness. The meltdown in speculative areas such as special purpose acquisition companies and cryptocurrency is encouraging. Perhaps this signifies the end of a wild and unsustainable period where abnormally low interest rates and a virtual suspension of concern regarding high valuations, made people feel there was little downside to investing. There is no way, of course, to know if the bear market is over, but it really should not matter for long-term investors.

PORTFOLIO RESULTS

The Portfolio returned (13.78%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the S&P 500<sup>®</sup> Index (the "Index") returned (18.11%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Core Funds peer group was (16.29%).

The largest contributing sectors for the Portfolio's return were Consumer Discretionary, Financials and Information Technology. Underperforming sectors included Health Care, Energy and Consumer Staples. In terms of specific stocks, large contributors included Schlumberger, Ltd., an oilfield services company, Arch Capital Group, Ltd. and The Progressive Corp., both insurance companies.

Specific holdings in the Information Technology sector that detracted included Micron Technology, Inc., Meta Platforms Inc. Class A and Sony Group Corp. ADR.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of FMI, the Portfolio's sub-adviser.

Despite a challenging near-term outlook, we are encouraged by labor markets remaining tight globally, rising nominal wages (though they have still yet to catch up with inflation in most economies), China's reopening following pandemic-related lockdowns, improvements in supply chains and the appearance that inflation may have peaked. Economic growth may surprise on the upside in the coming years. We believe the normalization of interest rates is an encouraging development, as ultra-low rates led to significant speculation, asset price inflation, financial engineering and value-destructive merger and acquisition (M&A) activity. Normal interest rates will help force companies to prioritize organic capital investment (capex) and research & development (R&D), which would do a lot more for underlying economic growth, value and employment than the aforementioned.

**18** 

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##### [**Table of Contents**](#toc)
**Large Cap Blend Portfolio (unaudited)** 

------

The current roster of Portfolio constituents trade at a significant discount to the S&P 500<sup>®</sup> Index. The current backdrop is far more conducive for stock picking than was the case in recent years, as valuations have compressed, investor sentiment is low and interest rates are finally on a path toward normalization. Owning high quality businesses with strong balance sheets that trade at a discount to the market should be a winning formula, once again.

Over the past year, we have purchased and added to several high quality cyclicals, including CarMax, Inc. (new position), Micron Technology, Inc., and Sony Group Corporation Sponsored ADR. We spend significant time assessing what companies will earn "on average" over a cycle and whether each stock represents good value based on this. We would rather buy a somewhat cyclical company that is cheap on average earnings than pay a steep price for a steadier business. Ironically, despite the recent bear market, many defensive businesses are still trading at nosebleed valuations. It seems foolish to chase these stocks today.

**Relative Performance**![LOGO](g422955g68c65.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Large Cap Blend Portfolio | -13.78% | 5.99% | 10.06% |
|  S&P 500<sup>®</sup> Index | -18.11% | 9.41% | 12.56% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Large Cap Core Funds Average | -16.29% | 8.45% | 11.57% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com.</u>* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*The Portfolio may hold fewer securities than other diversified portfolios because of its more focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway, Inc. - Class B | 5.8% |
| &nbsp;&nbsp;&nbsp; The Charles Schwab Corp. | 5.4% |
| &nbsp;&nbsp;&nbsp; Dollar General Corp. | 4.8% |
| &nbsp;&nbsp;&nbsp; Booking Holdings, Inc. | 4.5% |
| &nbsp;&nbsp;&nbsp; Ferguson PLC | 4.2% |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc. | 4.0% |
| &nbsp;&nbsp;&nbsp; Sony Group Corp., ADR | 3.9% |
| &nbsp;&nbsp;&nbsp; Alphabet, Inc. - Class A | 3.9% |
| &nbsp;&nbsp;&nbsp; CDW Corp. | 3.7% |
| &nbsp;&nbsp;&nbsp; Unilever PLC, ADR | 3.7% |

---

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Financials | 23.4% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 21.1% |
| &nbsp;&nbsp;&nbsp; Industrials | 15.7% |
| &nbsp;&nbsp;&nbsp; Health Care | 9.7% |
| &nbsp;&nbsp;&nbsp; Information Technology | 9.6% |
| &nbsp;&nbsp;&nbsp; Communication Services | 7.0% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 4.6% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 3.7% |
| &nbsp;&nbsp;&nbsp; Materials | 3.2% |
| &nbsp;&nbsp;&nbsp; Energy | 2.0% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**19** 

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##### [**Table of Contents**](#toc)
**Large Cap Blend Portfolio** 

**SCHEDULE OF INVESTMENTS** 

December 31, 2022

---

| | | |
|:---|:---|:---|
| Common Stocks (95.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Communication Services (7.0%)** | **Communication Services (7.0%)** |  |
|  Alphabet, Inc. - Class A \* | 85742 | 7565 |
|  Omnicom Group, Inc. | 75518 | 6160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **13725** |
|  **Consumer Discretionary (21.1%)** | **Consumer Discretionary (21.1%)** |  |
|  Booking Holdings, Inc. \* | 4331 | 8728 |
|  CarMax, Inc. \* | 90806 | 5529 |
|  Dollar General Corp. | 37991 | 9355 |
|  Dollar Tree, Inc. \* | 47570 | 6729 |
|  Sony Group Corp., ADR | 99724 | 7607 |
|  The TJX Cos., Inc. | 42189 | 3358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **41306** |
|  **Consumer Staples (3.7%)** | **Consumer Staples (3.7%)** |  |
|  Unilever PLC, ADR | 143464 | 7223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **7223** |
|  **Energy (2.0%)** | **Energy (2.0%)** |  |
|  Schlumberger, Ltd. | 75179 | 4019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **4019** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (95.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Financials (23.4%)** | **Financials (23.4%)** |  |
|  Arch Capital Group, Ltd. \* | 78625 | 4936 |
|  Berkshire Hathaway, Inc. - Class B \* | 36725 | 11344 |
|  BlackRock, Inc. | 6113 | 4332 |
|  The Charles Schwab Corp. | 127779 | 10639 |
|  JPMorgan Chase & Co. | 35966 | 4823 |
|  Northern Trust Corp. | 65738 | 5817 |
|  The Progressive Corp. | 30202 | 3918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **45809** |
|  **Health Care (9.7%)** | **Health Care (9.7%)** |  |
|  Fresenius Medical Care AG & Co. KGaA, ADR | 155359 | 2539 |
|  Koninklijke Philips NV | 248126 | 3719 |
|  Smith & Nephew PLC, ADR | 178319 | 4795 |
|  UnitedHealth Group, Inc. | 14882 | 7890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **18943** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (95.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Industrials (15.7%)** | **Industrials (15.7%)** |  |
|  Carlisle Cos., Inc. | 21530 | 5074 |
|  Eaton Corp. PLC | 31323 | 4916 |
|  Ferguson PLC | 65413 | 8305 |
|  Masco Corp. | 145008 | 6768 |
|  PACCAR, Inc. | 57108 | 5652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **30715** |
|  **Information Technology (9.6%)** | **Information Technology (9.6%)** |  |
|  CDW Corp. | 41002 | 7322 |
|  Micron Technology, Inc. | 109840 | 5490 |
|  SAP SE, ADR | 58960 | 6084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **18896** |
|  **Materials (3.2%)** | **Materials (3.2%)** |  |
|  Avery Dennison Corp. | 34939 | 6324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **6324** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $168,467)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $168,467)** | **186960** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (95.4%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (95.4%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $168,467)<sup>@</sup>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $168,467)<sup>@</sup>**  | **186960** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (4.6%)** |  | **8967** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **195927** |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $169,235 and the net unrealized appreciation of investments based on that cost was $17,725 which is comprised of $33,795 aggregate gross unrealized appreciation and $16,070 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br>Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $186960 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $186960 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**20** 

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##### [**Table of Contents**](#toc)
**Index 500 Stock Portfolio (unaudited)** 

------

---

| | |
|:---|:---|
| **Objective:** | **Net Assets:** |
| Investment results that approximate the performance of the S&P 500<sup>®</sup> Index. Invest in stocks that make up the S&P 500<sup>®</sup> Index, holding each stock in approximately the same proportion as its weighting in the Index. | $4.5 billion |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Index 500 Stock Portfolio (the "Portfolio"), has engaged BlackRock Advisors, LLC ("BlackRock") to act as sub-advisor for the Portfolio. The Portfolio seeks investment results that approximate the performance of the S&P 500<sup>®</sup> Index, which is composed of the stocks of primarily large capitalization companies that represent a broad spectrum of the U.S. economy and a substantial part of the U.S. stock market's total capitalization. The Portfolio attempts to achieve its objective by investing all, or substantially all, of its assets in the stocks that make up the S&P 500<sup>®</sup> Index, holding each stock in approximately the same proportion as its weighting in the Index. This is known as a full replication strategy. The Portfolio may also invest in S&P 500<sup>®</sup> Index stock futures to help achieve full replication.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia's invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exacerbated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

In this environment, large cap stocks, as represented by the S&P 500<sup>®</sup> Index, posted a return of (18.11%), underperforming the S&P MidCap 400<sup>®</sup> and the S&P SmallCap 600<sup>®</sup> Indices, which returned (13.06%) and (16.10%), respectively. Meanwhile, the broader bond market, as represented by the Bloomberg<sup>®</sup> U.S. Aggregate Index, returned (13.01%), while the Bloomberg<sup>®</sup> U.S. Corporate High Yield Index returned (11.18%).

PORTFOLIO RESULTS

The Index 500 Stock Portfolio returned (18.28)% for the twelve months ended December 31, 2022. By comparison, the S&P500<sup>®</sup> Index (the "Index") returned (18.11)%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) Portfolio performance slightly lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with the use of equity index futures contracts. According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the S&P 500<sup>®</sup> Index Funds peer group was (18.39)%.

The Information Technology sector was the largest detractor from the Portfolio's return as rising inflation and higher bond yields led to a broad-based revaluation of growth stocks. Companies in the software industry declined as the continued global shortage of microprocessors curtailed production of hardware devices such as gaming consoles and computers. The semiconductor industry weakened after the U.S. imposed restrictions on sales of microprocessors to China, and demand from the cryptocurrency industry weakened. The communication equipment industry reported weaker sales in the major market of China, where coronavirus-related lockdowns curbed consumer demand and limited production of electronic devices.

Companies in the Consumer Discretionary sector also detracted meaningfully from the Portfolio's return, as consumers deferred purchases of non-essential goods and services amid rising prices and an uncertain economic outlook. In the automotive industry, shares in Tesla dropped as demand for its electric vehicles declined and investors grew concerned over Chief Executive Elon Musk's purchase of Twitter, Inc. Companies in the internet and direct marketing retail industry reported slowing revenues amid weaker e-commerce sales as consumers returned to in-person shopping, while rising inflation rates increased labor costs.

The Communication Services sector also detracted from the Portfolio's return. Companies in the interactive media and services industry posted weaker digital ad revenues as the weakening economy and slowing sales led businesses to cut their marketing budgets.

**21** 

------

##### [**Table of Contents**](#toc)
**Index 500 Stock Portfolio (unaudited)** 

------

Conversely, the Energy sector contributed to the Portfolio's return as the war in Ukraine and Western sanctions against Russia sent oil and gas prices sharply higher early in the year. Companies in the oil, gas and consumable fuels industry posted record profits.

**Relative Performance**![LOGO](g422955g45z07.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Index 500 Stock Portfolio | -18.28% | 9.20% | 12.32% |
|  S&P 500<sup>®</sup> Index | -18.11% | 9.41% | 12.56% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) S&P 500 Index Objective Funds Average | -18.39% | 9.02% | 12.15% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com.</u>* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*"Standard & Poor's<sup>®</sup>", "S&P<sup>®</sup>", "S&P 500" and "Standard & Poor's 500" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no* 

 *representation regarding the advisability of investing in the Portfolio.* 

*The Portfolio may invest in exchange traded funds and derivative instruments, such as equity index futures for cash management and liquidity purposes to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.* 

&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Apple, Inc. | 6.0% |
| &nbsp;&nbsp;&nbsp; Microsoft Corp. | 5.5% |
| &nbsp;&nbsp;&nbsp; Alphabet, Inc., Various | 3.1% |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 2.3% |
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway, Inc. - Class B | 1.7% |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc. | 1.5% |
| &nbsp;&nbsp;&nbsp; Johnson & Johnson | 1.4% |
| &nbsp;&nbsp;&nbsp; Exxon Mobil Corp. | 1.4% |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co. | 1.2% |
| &nbsp;&nbsp;&nbsp; NVIDIA Corp. | 1.1% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Information Technology | 25.4% |
| &nbsp;&nbsp;&nbsp; Health Care | 15.6% |
| &nbsp;&nbsp;&nbsp; Financials | 11.5% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 9.7% |
| &nbsp;&nbsp;&nbsp; Industrials | 8.6% |
| &nbsp;&nbsp;&nbsp; Communication Services | 7.2% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 7.1% |
| &nbsp;&nbsp;&nbsp; Energy | 5.2% |
| &nbsp;&nbsp;&nbsp; Utilities | 3.1% |
| &nbsp;&nbsp;&nbsp; Materials | 2.7% |
| &nbsp;&nbsp;&nbsp; Real Estate | 2.7% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.2% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**22** 

------

##### [**Table of Contents**](#toc)
**Index 500 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Communication Services (7.2%)** | **Communication Services (7.2%)** | **Communication Services (7.2%)** |
|  Activision Blizzard, Inc. | 97136 | 7436 |
|  Alphabet, Inc. - Class A \* | 820471 | 72390 |
|  Alphabet, Inc. - Class C \* | 727314 | 64535 |
|  AT&T, Inc. | 978988 | 18023 |
|  Charter Communications, Inc. - Class A \* | 15125 | 5129 |
|  Comcast Corp. - Class A | 592580 | 20722 |
|  DISH Network Corp. - Class A \* | 34111 | 479 |
|  Electronic Arts, Inc. | 36041 | 4403 |
|  Fox Corp. - Class A | 42670 | 1296 |
|  Fox Corp. - Class B | 19610 | 558 |
|  The Interpublic Group of Companies, Inc. | 53804 | 1792 |
|  Live Nation Entertainment, Inc. \* | 19386 | 1352 |
|  Lumen Technologies, Inc. | 129966 | 678 |
|  Match Group, Inc. \* | 38733 | 1607 |
|  Meta Platforms, Inc. - Class A \* | 308885 | 37171 |
|  Netflix, Inc. \* | 61129 | 18026 |
|  News Corp. - Class A | 53931 | 982 |
|  News Corp. - Class B | 16798 | 310 |
|  Omnicom Group, Inc. | 27902 | 2276 |
|  Paramount Global - Class B | 68901 | 1163 |
|  Take-Two Interactive Software, Inc. \* | 21634 | 2253 |
|  T-Mobile US, Inc. \* | 82132 | 11498 |
|  Verizon Communications, Inc. | 576901 | 22730 |
|  The Walt Disney Co. \* | 250421 | 21757 |
|  Warner Bros. Discovery, Inc. \* | 299918 | 2843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **321409** |
|  **Consumer Discretionary (9.7%)** | **Consumer Discretionary (9.7%)** | **Consumer Discretionary (9.7%)** |
|  Advance Auto Parts, Inc. | 8285 | 1218 |
|  Amazon.com, Inc. \* | 1219159 | 102409 |
|  Aptiv PLC \* | 36968 | 3443 |
|  AutoZone, Inc. \* | 2659 | 6558 |
|  Bath & Body Works, Inc. | 31151 | 1313 |
|  Best Buy Co., Inc. | 27460 | 2203 |
|  Booking Holdings, Inc. \* | 5418 | 10919 |
|  BorgWarner, Inc. | 32487 | 1308 |
|  Caesars Entertainment,<br>Inc. \* | 28727 | 1195 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Consumer Discretionary continued** | **Consumer Discretionary continued** | **Consumer Discretionary continued** |
|  CarMax, Inc. \* | 21680 | 1320 |
|  Carnival Corp. \* | 134683 | 1085 |
|  Chipotle Mexican Grill, Inc. \* | 3777 | 5241 |
|  D.R. Horton, Inc. | 43442 | 3872 |
|  Darden Restaurants, Inc. | 16917 | 2340 |
|  Dollar General Corp. | 31029 | 7641 |
|  Dollar Tree, Inc. \* | 28801 | 4074 |
|  Domino's Pizza, Inc. | 4889 | 1694 |
|  eBay, Inc. | 75928 | 3149 |
|  Etsy, Inc. \* | 17231 | 2064 |
|  Expedia Group, Inc. \* | 20744 | 1817 |
|  Ford Motor Co. | 538876 | 6267 |
|  Garmin, Ltd. | 20577 | 1899 |
|  General Motors Co. | 198944 | 6692 |
|  Genuine Parts Co. | 19204 | 3332 |
|  Hasbro, Inc. | 17580 | 1073 |
|  Hilton Worldwide Holdings, Inc. | 37748 | 4770 |
|  The Home Depot, Inc. | 140622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44417 |
|  Las Vegas Sands Corp. \* | 45538 | 2189 |
|  Lennar Corp. - Class A | 34697 | 3140 |
|  LKQ Corp. | 35613 | 1902 |
|  Lowe's Companies, Inc. | 85262 | 16988 |
|  Marriott International, Inc. - Class A | 37641 | 5604 |
|  McDonald's Corp. | 100300 | 26432 |
|  MGM Resorts International | 44519 | 1493 |
|  Mohawk Industries, Inc. \* | 6980 | 713 |
|  Newell Brands, Inc. | 49793 | 651 |
|  NIKE, Inc. - Class B | 172495 | 20184 |
|  Norwegian Cruise Line Holdings, Ltd. \* | 57774 | 707 |
|  NVR, Inc. \* | 419 | 1933 |
|  O'Reilly Automotive, Inc. \* | 8699 | 7342 |
|  Pool Corp. | 5435 | 1643 |
|  PulteGroup, Inc. | 32228 | 1467 |
|  Ralph Lauren Corp. | 5853 | 618 |
|  Ross Stores, Inc. | 47835 | 5552 |
|  Royal Caribbean Cruises, Ltd. \* | 29997 | 1483 |
|  Starbucks Corp. | 157679 | 15642 |
|  Tapestry, Inc. | 34111 | 1299 |
|  Target Corp. | 63269 | 9430 |
|  Tesla, Inc. \* | 368695 | 45416 |
|  The TJX Cos., Inc. | 159981 | 12734 |
|  Tractor Supply Co. | 15233 | 3427 |
|  Ulta Beauty, Inc. \* | 7083 | 3322 |
|  VF Corp. | 44116 | 1218 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Consumer Discretionary continued** | **Consumer Discretionary continued** | **Consumer Discretionary continued** |
|  Whirlpool Corp. | 7622 | 1078 |
|  Wynn Resorts, Ltd. \* | 14416 | 1189 |
|  Yum! Brands, Inc. | 39039 | 5000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **433109** |
|  **Consumer Staples (7.1%)** | **Consumer Staples (7.1%)** | **Consumer Staples (7.1%)** |
|  Altria Group, Inc. | 245555 | 11224 |
|  Archer-Daniels-Midland Co. | 76577 | 7110 |
|  Brown-Forman Corp. - Class B | 25179 | 1654 |
|  Campbell Soup Co. | 27937 | 1585 |
|  Church & Dwight Co., Inc. | 33144 | 2672 |
|  The Clorox Co. | 16949 | 2378 |
|  The Coca-Cola Co. | 534626 | 34008 |
|  Colgate-Palmolive Co. | 114728 | 9039 |
|  Conagra Brands, Inc. | 65083 | 2519 |
|  Constellation Brands, Inc. - Class A | 22298 | 5168 |
|  Costco Wholesale Corp. | 60798 | 27754 |
|  The Estee Lauder Cos., Inc. - Class A | 31629 | 7847 |
|  General Mills, Inc. | 81282 | 6815 |
|  The Hershey Co. | 20040 | 4641 |
|  Hormel Foods Corp. | 38729 | 1764 |
|  The J.M. Smucker Co. | 14454 | 2290 |
|  Kellogg Co. | 35160 | 2505 |
|  Keurig Dr. Pepper, Inc. | 115930 | 4134 |
|  Kimberly-Clark Corp. | 45951 | 6238 |
|  The Kraft Heinz Co. | 108684 | 4425 |
|  The Kroger Co. | 88977 | 3967 |
|  Lamb Weston Holdings, Inc. | 19529 | 1745 |
|  McCormick & Co., Inc. | 34058 | 2823 |
|  Molson Coors Beverage Co. - Class B | 25954 | 1337 |
|  Mondelez International, Inc. | 187693 | 12510 |
|  Monster Beverage Corp. \* | 52481 | 5328 |
|  PepsiCo, Inc. | 189247 | 34189 |
|  Philip Morris International, Inc. | 212941 | 21552 |
|  The Procter & Gamble Co. | 326044 | 49415 |
|  Sysco Corp. | 69516 | 5315 |
|  Tyson Foods, Inc. - Class A | 39540 | 2461 |
|  Walgreens Boots Alliance, Inc. | 97233 | 3633 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**23** 

------

##### [**Table of Contents**](#toc)
**Index 500 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer Staples continued** | **Consumer Staples continued** | **Consumer Staples continued** |
|  Walmart, Inc. | 194489 | 27577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **317622** |
|  **Energy (5.2%)** | **Energy (5.2%)** | **Energy (5.2%)** |
|  APA Corp. | 44554 | 2080 |
|  Baker Hughes | 138049 | 4077 |
|  Chevron Corp. | 244362 | 43860 |
|  ConocoPhillips | 171164 | 20197 |
|  Coterra Energy, Inc. | 109286 | 2685 |
|  Devon Energy Corp. | 89345 | 5496 |
|  Diamondback Energy, Inc. | 24253 | 3317 |
|  EOG Resources, Inc. | 79963 | 10357 |
|  EQT Corp. | 50442 | 1706 |
|  Exxon Mobil Corp. | 565702 | 62397 |
|  Halliburton Co. | 123748 | 4869 |
|  Hess Corp. | 38081 | 5401 |
|  Kinder Morgan, Inc. | 270523 | 4891 |
|  Marathon Oil Corp. | 92453 | 2503 |
|  Marathon Petroleum Corp. | 64377 | 7493 |
|  Occidental Petroleum Corp. | 101678 | 6405 |
|  ONEOK, Inc. | 60900 | 4001 |
|  Phillips 66 | 65249 | 6791 |
|  Pioneer Natural Resources Co. | 32565 | 7437 |
|  Schlumberger, Ltd. | 194781 | 10413 |
|  Targa Resources Corp. | 30908 | 2272 |
|  Valero Energy Corp. | 53923 | 6841 |
|  The Williams Cos., Inc. | 165192 | 5435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **230924** |
|  **Financials (11.5%)** | **Financials (11.5%)** | **Financials (11.5%)** |
|  Aflac, Inc. | 78462 | 5645 |
|  The Allstate Corp. | 36881 | 5001 |
|  American Express Co. | 81840 | 12092 |
|  American International Group, Inc. | 103756 | 6561 |
|  Ameriprise Financial, Inc. | 14759 | 4595 |
|  Aon PLC | 28804 | 8645 |
|  Arch Capital Group, Ltd. \* | 50394 | 3164 |
|  Arthur J. Gallagher & Co. | 28962 | 5460 |
|  Assurant, Inc. | 7147 | 894 |
|  Bank of America Corp. | 958729 | 31753 |
|  The Bank of New York Mellon Corp. | 100792 | 4588 |
|  Berkshire Hathaway, Inc. - Class B \* | 247490 | 76450 |
|  BlackRock, Inc. | 20571 | 14577 |
|  Brown & Brown, Inc. | 31816 | 1813 |
|  Capital One Financial Corp. | 52370 | 4868 |
|  Cboe Global Markets, Inc. | 14402 | 1807 |
|  The Charles Schwab Corp. | 208345 | 17347 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financials continued** | **Financials continued** | **Financials continued** |
|  Chubb, Ltd. | 56985 | 12571 |
|  Cincinnati Financial Corp. | 21722 | 2224 |
|  Citigroup, Inc. | 266052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12034 |
|  Citizens Financial Group, Inc. | 67739 | 2667 |
|  CME Group, Inc. | 49043 | 8247 |
|  Comerica, Inc. | 17893 | 1196 |
|  Discover Financial Services | 37273 | 3646 |
|  Everest Re Group, Ltd. | 5448 | 1805 |
|  FactSet Research Systems, Inc. | 5233 | 2099 |
|  Fifth Third Bancorp | 94118 | 3088 |
|  First Republic Bank | 24931 | 3039 |
|  Franklin Resources, Inc. | 37588 | 992 |
|  Globe Life, Inc. | 12303 | 1483 |
|  The Goldman Sachs Group, Inc. | 46580 | 15995 |
|  The Hartford Financial Services Group, Inc. | 44091 | 3343 |
|  Huntington Bancshares, Inc. | 195187 | 2752 |
|  Intercontinental Exchange, Inc. | 76199 | 7817 |
|  Invesco, Ltd. | 62069 | 1117 |
|  JPMorgan Chase & Co. | 402915 | 54031 |
|  KeyCorp | 126465 | 2203 |
|  Lincoln National Corp. | 21136 | 649 |
|  Loews Corp. | 27287 | 1592 |
|  M&T Bank Corp. | 23962 | 3476 |
|  MarketAxess Holdings, Inc. | 5237 | 1461 |
|  Marsh & McLennan Cos., Inc. | 67981 | 11249 |
|  MetLife, Inc. | 91418 | 6616 |
|  Moody's Corp. | 21532 | 5999 |
|  Morgan Stanley | 182718 | 15535 |
|  MSCI, Inc. | 11002 | 5118 |
|  Nasdaq, Inc. | 46248 | 2837 |
|  Northern Trust Corp. | 28671 | 2537 |
|  The PNC Financial Services Group, Inc. | 56092 | 8859 |
|  Principal Financial Group, Inc. | 31872 | 2675 |
|  The Progressive Corp. | 79809 | 10352 |
|  Prudential Financial, Inc. | 50859 | 5058 |
|  Raymond James Financial, Inc. | 26365 | 2817 |
|  Regions Financial Corp. | 127547 | 2750 |
|  S&P Global, Inc. | 45742 | 15321 |
|  Signature Bank | 8681 | 1000 |
|  State Street Corp. | 50160 | 3891 |
|  SVB Financial Group \* | 7985 | 1838 |
|  Synchrony Financial | 65734 | 2160 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financials continued** | **Financials continued** | **Financials continued** |
| T. Rowe Price Group, Inc. | 30827 | 3362 |
|  The Travelers Cos., Inc. | 32544 | 6102 |
|  Truist Financial Corp. | 180785 | 7779 |
|  U.S. Bancorp | 184483 | 8045 |
|  W.R. Berkley Corp. | 28414 | 2062 |
|  Wells Fargo & Co. | 523421 | 21612 |
|  Willis Towers Watson PLC | 15120 | 3698 |
|  Zions Bancorp NA | 20072 | 987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **515046** |
|  **Health Care (15.6%)** | **Health Care (15.6%)** | **Health Care (15.6%)** |
|  Abbott Laboratories | 239503 | 26295 |
|  AbbVie, Inc. | 242924 | 39259 |
|  Agilent Technologies, Inc. | 40703 | 6091 |
|  Align Technology, Inc. \* | 9937 | 2096 |
|  AmerisourceBergen Corp. | 22246 | 3686 |
|  Amgen, Inc. | 73294 | 19250 |
|  Baxter International, Inc. | 69248 | 3530 |
|  Becton Dickinson and Co. | 38914 | 9896 |
|  Biogen, Inc. \* | 19862 | 5500 |
|  Bio-Rad Laboratories, Inc. - Class A \* | 2969 | 1248 |
|  Bio-Techne Corp. | 21192 | 1756 |
|  Boston Scientific Corp. \* | 196747 | 9104 |
|  Bristol-Myers Squibb Co. | 291346 | 20962 |
|  Cardinal Health, Inc. | 36935 | 2839 |
|  Catalent, Inc. \* | 24453 | 1101 |
|  Centene Corp. \* | 77990 | 6396 |
|  Charles River Laboratories International, Inc. \* | 6814 | 1485 |
|  Cigna Corp. | 41997 | 13915 |
|  The Cooper Cos., Inc. | 6765 | 2237 |
|  CVS Health Corp. | 180491 | 16820 |
|  Danaher Corp. | 89996 | 23887 |
|  DaVita, Inc. \* | 7599 | 567 |
|  DENTSPLY SIRONA, Inc. | 30149 | 960 |
|  Dexcom, Inc. \* | 53233 | 6028 |
|  Edwards Lifesciences Corp. \* | 84512 | 6305 |
|  Elevance Health, Inc. | 32776 | 16813 |
|  Eli Lilly & Co. | 108331 | 39632 |
|  Gilead Sciences, Inc. | 172287 | 14791 |
|  HCA Healthcare, Inc. | 29372 | 7048 |
|  Henry Schein, Inc. \* | 18723 | 1495 |
|  Hologic, Inc. \* | 34293 | 2566 |
|  Humana, Inc. | 17268 | 8845 |
|  IDEXX Laboratories, Inc. \* | 11391 | 4647 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**24** 

------

##### [**Table of Contents**](#toc)
**Index 500 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Health Care continued** | **Health Care continued** | **Health Care continued** |
|  Illumina, Inc. \* | 21436 | 4334 |
|  Incyte Corp. \* | 25678 | 2063 |
|  Intuitive Surgical, Inc. \* | 48666 | 12914 |
|  IQVIA Holdings, Inc. \* | 25448 | 5214 |
|  Johnson & Johnson | 358740 | 63371 |
|  Laboratory Corp. of America Holdings | 12378 | 2915 |
|  McKesson Corp. | 19715 | 7396 |
|  Medtronic PLC | 182577 | 14190 |
|  Merck & Co., Inc. | 348270 | 38641 |
|  Mettler-Toledo International, Inc. \* | 3076 | 4446 |
|  Moderna, Inc. \* | 45905 | 8245 |
|  Molina Healthcare, Inc. \* | 7880 | 2602 |
|  Organon & Co. | 34671 | 968 |
|  PerkinElmer, Inc. | 17351 | 2433 |
|  Pfizer, Inc. | 771063 | 39509 |
|  Quest Diagnostics, Inc. | 15918 | 2490 |
|  Regeneron Pharmaceuticals, Inc. \* | 14651 | 10571 |
|  ResMed, Inc. | 20038 | 4171 |
|  STERIS PLC | 13580 | 2508 |
|  Stryker Corp. | 46264 | 11311 |
|  Teleflex, Inc. | 6424 | 1604 |
|  Thermo Fisher Scientific, Inc. | 53873 | 29667 |
|  UnitedHealth Group, Inc. | 128345 | 68046 |
|  Universal Health Services, Inc. - Class B | 9104 | 1283 |
|  Vertex Pharmaceuticals, Inc. \* | 35260 | 10182 |
|  Viatris, Inc. | 166424 | 1852 |
|  Waters Corp. \* | 8069 | 2764 |
|  West Pharmaceutical Services, Inc. | 10046 | 2364 |
|  Zimmer Biomet Holdings, Inc. | 28593 | 3646 |
|  Zoetis, Inc. | 63912 | 9366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **698116** |
|  **Industrials (8.6%)** | **Industrials (8.6%)** | **Industrials (8.6%)** |
|  3M Co. | 75538 | 9059 |
|  A.O. Smith Corp. | 17636 | 1009 |
|  Alaska Air Group, Inc. \* | 17059 | 733 |
|  Allegion PLC | 12067 | 1270 |
|  American Airlines Group, Inc. \* | 88090 | 1121 |
|  AMETEK, Inc. | 31317 | 4376 |
|  The Boeing Co. \* | 76954 | 14659 |
|  C.H. Robinson Worldwide, Inc. | 16903 | 1548 |
|  Carrier Global Corp. | 115143 | 4750 |
|  Caterpillar, Inc. | 72031 | 17256 |
|  Cintas Corp. | 11856 | 5354 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Industrials continued** | **Industrials continued** | **Industrials continued** |
|  Copart, Inc. \* | 58372 | 3554 |
|  CoStar Group, Inc. \* | 55864 | 4317 |
|  CSX Corp. | 292163 | 9051 |
|  Cummins, Inc. | 19166 | 4644 |
|  Deere & Co. | 37949 | 16271 |
|  Delta Air Lines, Inc. \* | 87814 | 2886 |
|  Dover Corp. | 19552 | 2648 |
|  Eaton Corp. PLC | 54346 | 8530 |
|  Emerson Electric Co. | 80561 | 7739 |
|  Equifax, Inc. | 16592 | 3225 |
|  Expeditors International of Washington, Inc. | 22751 | 2364 |
|  Fastenal Co. | 78066 | 3694 |
|  FedEx Corp. | 32618 | 5649 |
|  Fortive Corp. | 48784 | 3134 |
|  Generac Holdings, Inc. \* | 8613 | 867 |
|  General Dynamics Corp. | 30684 | 7613 |
|  General Electric Co. | 150092 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12576 |
|  Honeywell International, Inc. | 91922 | 19699 |
|  Howmet Aerospace, Inc. | 51011 | 2010 |
|  Huntington Ingalls Industries, Inc. | 5379 | 1241 |
|  IDEX Corp. | 10443 | 2384 |
|  Illinois Tool Works, Inc. | 38438 | 8468 |
|  Ingersoll-Rand, Inc. | 55152 | 2882 |
|  J.B. Hunt Transport |  |  |
|  Services, Inc. | 11517 | 2008 |
|  Jacobs Solutions, Inc. | 17445 | 2095 |
|  Johnson Controls International PLC | 94349 | 6038 |
|  L3Harris Technologies, Inc. | 26158 | 5446 |
|  Leidos Holdings, Inc. | 18535 | 1950 |
|  Lockheed Martin Corp. | 32121 | 15627 |
|  Masco Corp. | 30771 | 1436 |
|  Nordson Corp. | 7294 | 1734 |
|  Norfolk Southern Corp. | 32226 | 7941 |
|  Northrop Grumman Corp. | 19817 | 10812 |
|  Old Dominion Freight Line, Inc. | 12453 | 3534 |
|  Otis Worldwide Corp. | 57341 | 4490 |
|  PACCAR, Inc. | 47137 | 4665 |
|  Parker Hannifin Corp. | 17516 | 5097 |
|  Pentair PLC | 22947 | 1032 |
|  Quanta Services, Inc. | 19515 | 2781 |
|  Raytheon Technologies Corp. | 201464 | 20332 |
|  Republic Services, Inc. | 28276 | 3647 |
|  Robert Half International, Inc. | 14988 | 1107 |
|  Rockwell Automation, Inc. | 15768 | 4061 |
|  Rollins, Inc. | 30518 | 1115 |
|  Snap-on, Inc. | 7239 | 1654 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Industrials continued** | **Industrials continued** | **Industrials continued** |
|  Southwest Airlines Co. \* | 80951 | 2726 |
|  Stanley Black & Decker, Inc. | 20474 | 1538 |
|  Textron, Inc. | 29542 | 2092 |
|  Trane Technologies PLC | 31717 | 5331 |
|  TransDigm Group, Inc. | 7033 | 4428 |
|  Union Pacific Corp. | 85175 | 17637 |
|  United Continental Holdings, Inc. \* | 44908 | 1693 |
|  United Parcel Service, Inc. - Class B | 99858 | 17359 |
|  United Rentals, Inc. \* | 9549 | 3394 |
|  Verisk Analytics, Inc. | 21607 | 3812 |
|  W.W. Grainger, Inc. | 6178 | 3437 |
|  Waste Management, Inc. | 51322 | 8051 |
|  Westinghouse Air Brake Technologies Corp. | 24771 | 2472 |
|  Xylem, Inc. | 24425 | 2701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **381854** |
|  **Information Technology (25.4%)** | **Information Technology (25.4%)** | **Information Technology (25.4%)** |
|  Accenture PLC - Class A | 86308 | 23030 |
|  Adobe, Inc. \* | 63857 | 21490 |
|  Advanced Micro Devices, Inc. \* | 220326 | 14271 |
|  Akamai Technologies, Inc. \* | 21741 | 1833 |
|  Amphenol Corp. - Class A | 81162 | 6180 |
|  Analog Devices, Inc. | 71019 | 11649 |
|  ANSYS, Inc. \* | 11847 | 2862 |
|  Apple, Inc. | 2054080 | 266887 |
|  Applied Materials, Inc. | 118700 | 11559 |
|  Arista Networks, Inc. \* | 33629 | 4081 |
|  Autodesk, Inc. \* | 29502 | 5513 |
|  Automatic Data Processing, Inc. | 56982 | 13611 |
|  Broadcom, Inc. | 55633 | 31106 |
|  Broadridge Financial Solutions, Inc. | 15949 | 2139 |
|  Cadence Design Systems, Inc. \* | 37299 | 5992 |
|  CDW Corp. | 18598 | 3321 |
|  Ceridian HCM Holding,<br>Inc. \* | 20884 | 1340 |
|  Cisco Systems, Inc. | 565016 | 26917 |
|  Cognizant Technology Solutions Corp. - Class A | 70684 | 4042 |
|  Corning, Inc. | 103095 | 3293 |
|  DXC Technology Co. \* | 31366 | 831 |
|  Enphase Energy, Inc. \* | 18483 | 4897 |
|  EPAM Systems, Inc. \* | 7827 | 2565 |
|  F5, Inc. \* | 8201 | 1177 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**25** 

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##### [**Table of Contents**](#toc)
**Index 500 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Information Technology continued** | **Information Technology continued** | **Information Technology continued** |
|  Fidelity National Information Services, Inc. | 82835 | 5620 |
|  First Solar, Inc. \* | 13619 | 2040 |
|  Fiserv, Inc. \* | 87268 | 8820 |
|  FLEETCOR Technologies, Inc. \* | 10235 | 1880 |
|  Fortinet, Inc. \* | 89300 | 4366 |
|  Gartner, Inc. \* | 10923 | 3672 |
|  Global Payments, Inc. | 37818 | 3756 |
|  Hewlett Packard Enterprise Co. | 177540 | 2834 |
|  HP, Inc. | 124171 | 3336 |
|  Intel Corp. | 566898 | 14983 |
|  International Business Machines Corp. | 124194 | 17498 |
|  Intuit, Inc. | 38719 | 15070 |
|  Jack Henry & Associates, Inc. | 9805 | 1721 |
|  Juniper Networks, Inc. | 44995 | 1438 |
|  Keysight Technologies, Inc. \* | 24680 | 4222 |
|  KLA Corp. | 19349 | 7295 |
|  Lam Research Corp. | 18690 | 7855 |
|  Mastercard, Inc. - Class A | 116471 | 40500 |
|  Microchip Technology, Inc. | 75655 | 5315 |
|  Micron Technology, Inc. | 150519 | 7523 |
|  Microsoft Corp. | 1023971 | 245569 |
|  Monolithic Power Systems, Inc. | 6065 | 2145 |
|  Motorola Solutions, Inc. | 22707 | 5852 |
|  NetApp, Inc. | 29982 | 1801 |
|  NortonLifeLock, Inc. | 80787 | 1731 |
|  NVIDIA Corp. | 341662 | 49931 |
|  NXP Semiconductors NV | 35888 | 5671 |
|  ON Semiconductor Corp. \* | 58929 | 3675 |
|  Oracle Corp. | 211102 | 17256 |
|  Paychex, Inc. | 43577 | 5036 |
|  Paycom Software, Inc. \* | 6632 | 2058 |
|  PayPal Holdings, Inc. \* | 157796 | 11238 |
|  PTC, Inc. \* | 14404 | 1729 |
|  Qorvo, Inc. \* | 14082 | 1276 |
|  QUALCOMM, Inc. | 153984 | 16929 |
|  Roper Technologies, Inc. | 14478 | 6256 |
|  Salesforce, Inc. \* | 137363 | 18213 |
|  Seagate Technology Holdings PLC | 26807 | 1410 |
|  ServiceNow, Inc. \* | 27747 | 10773 |
|  Skyworks Solutions, Inc. | 22141 | 2018 |
|  SolarEdge Technologies,<br>Inc. \* | 7678 | 2175 |
|  Synopsys, Inc. \* | 20764 | 6630 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Information Technology continued** | **Information Technology continued** | **Information Technology continued** |
|  TE Connectivity, Ltd. | 43695 | 5016 |
|  Teledyne Technologies, Inc. \* | 6386 | 2554 |
|  Teradyne, Inc. | 21347 | 1865 |
|  Texas Instruments, Inc. | 124671 | 20598 |
|  Trimble, Inc. \* | 34306 | 1735 |
|  Tyler Technologies, Inc. \* | 5685 | 1833 |
|  VeriSign, Inc. \* | 12923 | 2655 |
|  Visa, Inc. - Class A | 224591 | 46661 |
|  Western Digital Corp. \* | 41969 | 1324 |
|  Zebra Technologies Corp. - Class A \* | 7122 | 1826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1135769** |
|  **Materials (2.7%)** | **Materials (2.7%)** | **Materials (2.7%)** |
|  Air Products and Chemicals, Inc. | 30263 | 9329 |
|  Albemarle Corp. | 15981 | 3466 |
|  Amcor PLC | 203784 | 2427 |
|  Avery Dennison Corp. | 11082 | 2006 |
|  Ball Corp. | 43463 | 2223 |
|  Celanese Corp. - Class A | 13601 | 1391 |
|  CF Industries Holdings, Inc. | 27188 | 2316 |
|  Corteva, Inc. | 98151 | 5769 |
|  Dow, Inc. | 98748 | 4976 |
|  DuPont de Nemours, Inc. | 68968 | 4733 |
|  Eastman Chemical Co. | 16757 | 1365 |
|  Ecolab, Inc. | 33833 | 4925 |
|  FMC Corp. | 17080 | 2132 |
|  Freeport-McMoRan, Inc. | 195117 | 7414 |
|  International Flavors & Fragrances, Inc. | 35022 | 3672 |
|  International Paper Co. | 50266 | 1741 |
|  Linde PLC | 68000 | 22180 |
|  LyondellBasell Industries NV - Class A | 34717 | 2882 |
|  Martin Marietta Materials, Inc. | 8458 | 2858 |
|  The Mosaic Co. | 47110 | 2067 |
|  Newmont Corp. | 108025 | 5099 |
|  Nucor Corp. | 35719 | 4708 |
|  Packaging Corp. of America | 12708 | 1625 |
|  PPG Industries, Inc. | 32034 | 4028 |
|  Sealed Air Corp. | 19812 | 988 |
|  The Sherwin-Williams Co. | 32182 | 7638 |
|  Steel Dynamics, Inc. | 22911 | 2238 |
|  Vulcan Materials Co. | 18022 | 3156 |
|  WestRock Co. | 34564 | 1215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **120567** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Real Estate (2.7%)** | **Real Estate (2.7%)** | **Real Estate (2.7%)** |
|  Alexandria Real Estate Equities, Inc. | 20517 | 2989 |
|  American Tower Corp. | 63957 | 13550 |
|  AvalonBay Communities, Inc. | 19230 | 3106 |
|  Boston Properties, Inc. | 19540 | 1321 |
|  Camden Property Trust | 14447 | 1616 |
|  CBRE Group, Inc. - Class A \* | 44330 | 3412 |
|  Crown Castle International Corp. | 59086 | 8014 |
|  Digital Realty Trust, Inc. | 39637 | 3974 |
|  Equinix, Inc. | 12711 | 8326 |
|  Equity Residential | 46410 | 2738 |
|  Essex Property Trust, Inc. | 8971 | 1901 |
|  Extra Space Storage, Inc. | 18212 | 2681 |
|  Federal Realty Investment Trust | 9945 | 1005 |
|  Healthpeak Properties, Inc. | 74265 | 1862 |
|  Host Hotels & Resorts, Inc. | 97298 | 1562 |
|  Invitation Homes, Inc. | 79117 | 2345 |
|  Iron Mountain, Inc. | 39752 | 1982 |
|  Kimco Realty Corp. | 84389 | 1787 |
|  Mid-America Apartment Communities, Inc. | 15777 | 2477 |
|  Prologis, Inc. | 126797 | 14294 |
|  Public Storage | 21557 | 6040 |
|  Realty Income Corp. | 86148 | 5464 |
|  Regency Centers Corp. | 21039 | 1315 |
|  SBA Communications Corp. | 14831 | 4157 |
|  Simon Property Group, Inc. | 44666 | 5247 |
|  UDR, Inc. | 41674 | 1614 |
|  Ventas, Inc. | 54208 | 2442 |
|  VICI Properties, Inc. | 132294 | 4286 |
|  Vornado Realty Trust | 21635 | 450 |
|  Welltower, Inc. | 64907 | 4255 |
|  Weyerhaeuser Co. | 100972 | 3130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **119342** |
|  **Utilities (3.1%)** | **Utilities (3.1%)** | **Utilities (3.1%)** |
|  The AES Corp. | 91753 | 2639 |
|  Alliant Energy Corp. | 34454 | 1902 |
|  Ameren Corp. | 35531 | 3159 |
|  American Electric Power Co., Inc. | 70100 | 6656 |
|  American Water Works Co., Inc. | 24976 | 3807 |
|  Atmos Energy Corp. | 18854 | 2113 |
|  CenterPoint Energy, Inc. | 86516 | 2595 |
|  CMS Energy Corp. | 39499 | 2502 |
|  Consolidated Edison, Inc. | 48514 | 4624 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**26** 

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##### [**Table of Contents**](#toc)
**Index 500 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Utilities continued** | **Utilities continued** | **Utilities continued** |
|  Constellation Energy Corp. | 44597 | 3845 |
|  Dominion Energy, Inc. | 113591 | 6965 |
|  DTE Energy Co. | 26492 | 3114 |
|  Duke Energy Corp. | 105778 | 10894 |
|  Edison International | 52029 | 3310 |
|  Entergy Corp. | 27973 | 3147 |
|  Evergy, Inc. | 31291 | 1969 |
|  Eversource Energy | 47845 | 4011 |
|  Exelon Corp. | 136504 | 5901 |
|  FirstEnergy Corp. | 74066 | 3106 |
|  NextEra Energy, Inc. | 272963 | 22820 |
|  NiSource, Inc. | 55036 | 1509 |
|  NRG Energy, Inc. | 32181 | 1024 |
|  PG&E Corp. \* | 219626 | 3571 |
|  Pinnacle West Capital Corp. | 15533 | 1181 |
|  PPL Corp. | 100820 | 2946 |
|  Public Service Enterprise Group, Inc. | 68537 | 4199 |
|  Sempra Energy | 42913 | 6632 |
|  The Southern Co. | 149544 | 10679 |
|  WEC Energy Group, Inc. | 43219 | 4052 |
|  Xcel Energy, Inc. | 74634 | 5233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **140105** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,768,591)** |  | **4413863** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.8%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.8%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,768,591)@** |  | **4413863** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (1.2%)** |  | **52051** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **4465914** |

---

**Exchange Traded or Centrally Cleared Derivatives** 

**Futures** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Issuer | Long/Short | Currency | Notional Par<br>(000's) | Number of<br>Contracts | Expiration<br>Date | Notional<br>Value<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Variation Margin<br>(000's) |
|  E-mini S&P 500 Futures | Long | USD | 13 | 266 | 3/23 | $51351 | $(1529) | $(143) |
|  |  |  |  |  |  |  | $(1529) | $(143) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities | |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | |
| | Swaps | Futures | Total | Swaps | Futures | Total |<br>Market Value<br>(000's)<br>Options |
|  Total Exchange-Traded or<br> Centrally Cleared Derivatives | $– | $– | $– | $– | $(143) | $(143) | $– |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**27** 

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##### [**Table of Contents**](#toc)
**Index 500 Stock Portfolio** 

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,769,446 and the net unrealized appreciation of investments based on that cost was $2,642,888 which is comprised of $2,788,845 aggregate gross unrealized appreciation and $145,957 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br>Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $4413863 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $4413863 | $- | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | (1529) | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $(1529) | $- | $- |

---

^ 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.

The Accompanying Notes are an Integral Part of the Financial Statements.

**28** 

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##### [**Table of Contents**](#toc)
**Large Company Value Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital. Current income is a secondary objective. | Invest primarily in equity securities of larger companies considered to be undervalued. | $152 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Large Company Value Portfolio (the "Portfolio"), has engaged American Century Investment Management, Inc. ("American Century") to act as sub-adviser for the Portfolio. The Portfolio looks for stocks of companies that it believes are undervalued at the time of purchase. The Portfolio attempts to purchase the stocks of these undervalued companies and hold each stock until it has returned to favor in the market and the price has increased to, or is higher than, a level the Portfolio believes more accurately reflects the fair value of the company. Companies may be undervalued due to market declines, poor economic conditions, actual or anticipated bad news regarding the issuer or its industry, or because they have been overlooked by the market.

MARKET OVERVIEW

Despite a rally in the fourth quarter, broad U.S. equity markets fell significantly in 2022. Equities were pressured by fears that higher interest rates and persistently high inflation may derail economic expansion and weaken corporate profits. Against this backdrop, value stocks held up better than growth stocks by a notable margin.

PORTFOLIO RESULTS

The Portfolio returned (0.34%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell 1000<sup>®</sup> Value Index (the "Index"), returned (7.54%). (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Value Funds peer group was (6.97%).

Several of the Portfolio's positions in the Financials sector positively impacted returns relative to the benchmark, particularly in the insurance and capital markets industries. The Allstate Corp., an insurance company, was one of the Portfolio's top contributors. Allstate announced accelerating price increases on its automobile policies, while some of Allstate's costs continued to moderate. In turn, investors priced in higher levels of profitability. Aflac, a life insurance company, was another notable contributor. In general, life insurance stocks performed well due to higher interest rates and lower pandemic-related disruption.

The Portfolio's investments in the Information Technology sector, coupled with the Portfolio's underweight to the sector relative to the benchmark, also buoyed relative results. Lack of exposure to Intel Corp., a semiconductor chip manufacturer, was particularly beneficial. Intel came under pressure due to weakness in the consumer PC market and Intel's large revenue exposure to China. Intel's elevated capital spending amid the potential peaking of the semiconductor cycle also weighed on shares.

On the other hand, the Portfolio's underweight to the Energy sector detracted from its return, as the Energy sector outperformed the broad market due to strength in commodity prices. However, TotalEnergies SE was a top individual contributor. Shares of this integrated energy company outperformed as investors welcomed a strategic update. In addition, commodity prices remained supportive, boosting the company's free cash flow generation.

Medtronic PLC and F5, Inc. were other notable detractors. Shares of Medtronic, a medical device company, were hurt by disappointing results for its renal denervation trial. Renal denervation is a blood pressure treatment. Medtronic also announced weak quarterly earnings, driven by supply chain pressures and a slower-than-expected return in procedure volumes. Shares of F5, an application services company, underperformed due to initial signs of an information technology spending slowdown in Europe. F5's fiscal year 2023 guidance beat expectations, but the company predicted lower software growth than it originally expected.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of American Century, the Portfolio's sub-adviser.

We ended the period with an overweight in Consumer Staples. We have identified select companies in the sector that we believe are trading at a discount to their intrinsic value. While input costs have risen in this inflationary environment, many

**29** 

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##### [**Table of Contents**](#toc)
**Large Company Value Portfolio (unaudited)** 

------

Consumer Staples companies have been able to improve efficiencies and pass along rising costs through pricing without significantly impacting demand. We think these steps may lead to a positive inflection for select companies in 2023.

Conversely, we maintained our underweight in Real Estate due to valuations that we believe are elevated throughout the sector. We are also underweight in Communication Services. According to our analysis, many companies in the Communication Services sector do not meet our investment criteria due to their volatile business models and higher levels of leverage.

**Relative Performance**![LOGO](g422955g05e16.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns | Average Annual Total Returns | Average Annual Total Returns | Average Annual Total Returns |
| For Periods Ended December 31, 2022 | For Periods Ended December 31, 2022 | For Periods Ended December 31, 2022 | For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Large Company Value Portfolio | -0.34% | 7.95% | 10.36% |
|  Russell 1000<sup>®</sup> Value Index | -7.54% | 6.67% | 10.29% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Large Cap Value Funds Average | -6.97% | 7.07% | 10.32% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for* 

 *information about the indices cited in the above chart and graph.* 

*The Portfolio may invest in derivative instruments for cash management purposes or to hedge foreign currency exposure. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Johnson & Johnson | 4.6% |
| &nbsp;&nbsp;&nbsp; Medtronic PLC | 4.2% |
| &nbsp;&nbsp;&nbsp; Zimmer Biomet Holdings, Inc. | 3.2% |
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway, Inc. - Class B | 3.1% |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co. | 3.1% |
| &nbsp;&nbsp;&nbsp; Raytheon Technologies Corp. | 3.0% |
| &nbsp;&nbsp;&nbsp; Exxon Mobil Corp. | 2.9% |
| &nbsp;&nbsp;&nbsp; The Bank of New York Mellon Corp. | 2.7% |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc. | 2.6% |
| &nbsp;&nbsp;&nbsp; Cisco Systems, Inc. | 2.5% |

---

**30** 

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**Large Company Value Portfolio (unaudited)** 

------

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Health Care | 21.6% |
| &nbsp;&nbsp;&nbsp; Financials | 20.6% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 13.1% |
| &nbsp;&nbsp;&nbsp; Industrials | 9.6% |
| &nbsp;&nbsp;&nbsp; Information Technology | 7.7% |
| &nbsp;&nbsp;&nbsp; Energy | 7.7% |
| &nbsp;&nbsp;&nbsp; Utilities | 6.2% |
| &nbsp;&nbsp;&nbsp; Communication Services | 3.8% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 3.7% |
| &nbsp;&nbsp;&nbsp; Materials | 3.0% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.1% |
| &nbsp;&nbsp;&nbsp; Investment Companies | 1.0% |
| &nbsp;&nbsp;&nbsp; Real Estate | 0.9% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**31** 

------

##### [**Table of Contents**](#toc)
**Large Company Value Portfolio** 

SCHEDULE OF INVESTMENTS

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (97.9%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Communication Services (3.8%)** | **Communication Services (3.8%)** | **Communication Services (3.8%)** |
|  Verizon Communications, Inc. | 98779 | 3892 |
|  The Walt Disney Co. \* | 22768 | 1978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **5870** |
|  **Consumer Discretionary (3.7%)** | **Consumer Discretionary (3.7%)** |  |
|  Advance Auto Parts, Inc. | 8443 | 1241 |
|  Dollar Tree, Inc. \* | 16123 | 2280 |
|  General Motors Co. | 26891 | 905 |
|  Sodexo SA | 12063 | 1156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **5582** |
|  **Consumer Staples (13.1%)** | **Consumer Staples (13.1%)** |  |
|  Colgate-Palmolive Co. | 25041 | 1973 |
|  Conagra Brands, Inc. | 66987 | 2592 |
|  Henkel AG & Co. KGaA, Preference Shares | 21749 | 1514 |
|  Kimberly-Clark Corp. | 21989 | 2985 |
|  Koninklijke Ahold Delhaize NV | 67170 | 1930 |
|  Mondelez International, Inc. | 30778 | 2051 |
|  PepsiCo, Inc. | 5630 | 1017 |
|  The Procter & Gamble Co. | 8072 | 1223 |
|  Unilever PLC, ADR | 58856 | 2964 |
|  Walmart, Inc. | 12048 | 1708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **19957** |
|  **Energy (7.7%)** |  |  |
|  Baker Hughes | 54590 | 1612 |
|  Chevron Corp. | 8514 | 1528 |
|  ConocoPhillips | 13698 | 1616 |
|  Exxon Mobil Corp. | 39702 | 4379 |
|  TotalEnergies SE, ADR | 42021 | 2609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **11744** |
|  **Financials (20.6%)** |  |  |
|  Aflac, Inc. | 10683 | 769 |
|  The Allstate Corp. | 26863 | 3643 |
|  Ameriprise Financial, Inc. | 5544 | 1726 |
|  The Bank of New York Mellon Corp. | 90107 | 4102 |
|  Berkshire Hathaway, Inc. -<br>Class B \* | 15397 | 4756 |
|  BlackRock, Inc. | 2414 | 1711 |
|  Chubb, Ltd. | 3658 | 807 |
|  JPMorgan Chase & Co. | 35268 | 4729 |
|  MetLife, Inc. | 18078 | 1308 |
|  Northern Trust Corp. | 19209 | 1700 |
|  Truist Financial Corp. | 74654 | 3212 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (97.9%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Financials continued** | **Financials continued** | **Financials continued** |
|  U.S. Bancorp | 67194 | 2930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **31393** |
|  **Health Care (21.6%)** |  |  |
|  Becton Dickinson and Co. | 6372 | 1620 |
|  Cigna Corp. | 3852 | 1276 |
|  CVS Health Corp. | 15143 | 1411 |
|  Henry Schein, Inc. \* | 25767 | 2058 |
|  Johnson & Johnson | 39512 | 6980 |
|  Medtronic PLC | 81775 | 6356 |
|  Merck & Co., Inc. | 10768 | 1195 |
|  Pfizer, Inc. | 30520 | 1564 |
|  Quest Diagnostics, Inc. | 13244 | 2072 |
|  Roche Holding AG | 4092 | 1286 |
|  Universal Health |  |  |
|  Services, Inc. - Class B | 15082 | 2125 |
|  Zimmer Biomet Holdings, Inc. | 38756 | 4941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **32884** |
|  **Industrials (9.6%)** |  |  |
|  Emerson Electric Co. | 23299 | 2238 |
|  Norfolk Southern Corp. | 5167 | 1273 |
|  nVent Electric PLC | 52048 | 2002 |
|  Oshkosh Corp. | 22489 | 1984 |
|  Raytheon Technologies Corp. | 44924 | 4534 |
|  Siemens AG | 8489 | 1178 |
|  Southwest Airlines Co. \* | 43064 | 1450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **14659** |
|  **Information Technology (7.7%)** | **Information Technology (7.7%)** |  |
|  Applied Materials, Inc. | 13066 | 1272 |
|  Automatic Data Processing, Inc. | 5270 | 1259 |
|  Cisco Systems, Inc. | 79009 | 3764 |
|  F5, Inc. \* | 12596 | 1808 |
|  Juniper Networks, Inc. | 29412 | 940 |
|  TE Connectivity, Ltd. | 12851 | 1475 |
|  Texas Instruments, Inc. | 7605 | 1257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **11775** |
|  **Materials (3.0%)** |  |  |
|  Akzo Nobel NV | 21892 | 1466 |
|  Packaging Corp. of America | 13385 | 1712 |
|  Sonoco Products Co. | 22834 | 1386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **4564** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (97.9%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Real Estate (0.9%)** |  |  |
|  Healthpeak Properties, Inc. | 51912 | 1301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1301** |
|  **Utilities (6.2%)** |  |  |
|  Duke Energy Corp. | 21504 | 2215 |
|  Edison International | 21587 | 1373 |
|  Eversource Energy | 14579 | 1222 |
|  Pinnacle West Capital |  |  |
|  Corp. | 28171 | 2142 |
|  Xcel Energy, Inc. | 36006 | 2525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **9477** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $141,749)** |  | **149206** |
| Investment Companies (1.0%) |  |  |
|  **Investment Companies (1.0%)** |  |  |
|  iShares Russell 1000 Value ETF | 10300 | 1562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1562** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,625)** |  | **1562** |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Investments (98.9%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Investments (98.9%)** |  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost: $143,374)<sup>@</sup>**  |  | **150768** |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Other Assets, Less Liabilities (1.1%)** |  | **1646** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **152414** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**32** 

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##### [**Table of Contents**](#toc)
**Large Company Value Portfolio** 

**Over the Counter Derivatives** 

**Forward Foreign Currency Contracts** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Type | Counterparty | Currency | Foreign<br> Principal<br>Amount<br> Covered by<br>Contract<br>(000s) | USD Principal<br>Amount<br>Covered by<br>Contract (000's) | Settlement<br>Date | Unrealized<br>Appreciation<br>(000's) | Unrealized<br> (Depreciation)<br>(000's) | Net<br> Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) |
|  Buy | Morgan Stanley Capital Services, Inc. | CHF | 25 | 27 | 3/31/2023 | $-π | $- | $-π |
|  Sell | Morgan Stanley Capital Services, Inc. | CHF | 1048 | 1144 | 3/31/2023 |  | (5) | (5) |
|  Sell | Goldman Sachs International | EUR | 7892 | 8498 | 3/31/2023 |  | (61) | (61) |
|  Sell | Bank of America NA | GBP | 2108 | 2553 | 3/31/2023 | 16 |  | 16 |
|  |  |  |  |  |  | $16 | $(66) | $(50) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | |
| | Forward<br> Foreign<br>Currency<br>Contracts | Swaps |<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | Forward<br>Foreign<br>Currency<br>Contracts | Options | Swaps |<br>Total |
|  Total Over the Counter Derivatives | $16 | - | $16 | $(66) | - | - | $(66) |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $144,567 and the net unrealized appreciation of investments based on that cost was $6,150 which is comprised of $14,548 aggregate gross unrealized appreciation and $8,398 aggregate gross unrealized depreciation.  |

---

---

| | |
|:---|:---|
| π | Amount is less than one thousand.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br> Other Significant<br>Observable Inputs | Level 3 –<br> Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $149206 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 1562 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts | - | 16 | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $150768 | $16 | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts | - | (66) | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $- | $(66) | $- |

---

^ 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.

The Accompanying Notes are an Integral Part of the Financial Statements.

**33** 

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##### [**Table of Contents**](#toc)
**Domestic Equity Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital and | Invest primarily in equity securities of U.S. issuers that are | $1.1 billion |
| income. | selling at attractive prices relative to their intrinsic value. |  |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Domestic Equity Portfolio (the "Portfolio"), has engaged Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust ("Delaware"), to act as sub-adviser for the Portfolio. The Portfolio primarily invests in common stocks of large capitalization companies, but may also invest in mid-capitalization companies, that are believed to have long-term capital appreciation potential. Typically, the Portfolio seeks securities that are believed to be undervalued in relation to their intrinsic value, as indicated by multiple factors, including the earnings and cash flow potential or the asset valuation of the respective issuers. The Portfolio employs a focused investment strategy and typically invests in a core group of 30-40 securities.

MARKET OVERVIEW

After the broad market S&P 500<sup>®</sup> Index hit an all-time high in early January 2022, U.S. stocks came under pressure for the remainder of the year. There were several strong rallies in the interim, but the stock market trend was broadly lower. Rising inflation, higher interest rates and their potential effects on consumer spending and economic growth appeared to unnerve investors. Russia's invasion of Ukraine and the ensuing sanctions imposed by Western democracies created further disruption, straining energy markets and interfering with the post-pandemic global economic recovery. The Federal Reserve (the "Fed") raised the federal funds rate seven times during the year with December's 0.50% hike lifting it to a range between 4.25% and 4.50%.

PORTFOLIO RESULTS

The Portfolio returned (2.99%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell 1000<sup>®</sup> Value Index (the "Index"), returned (7.54%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Value Funds peer group was (6.97%).

Investments in the Industrials sector made the largest contribution to the Portfolio's relative returns. Defense contractor Northrop Grumman Corp. was the leading contributor in the sector. In general, defense company stocks performed well given the lower economic sensitivity of their business models and a geopolitical environment that was more supportive of defense spending.

The Portfolio's single holding in the Energy sector, exploration and production (E&P) company ConocoPhillips Co., was a strong contributor. Steady demand, relatively tight supplies and disruptions to global energy markets helped push crude oil and natural gas prices to multiyear highs in both March and June 2022.

The Portfolio's holding in health insurer and pharmacy benefits manager (PBM) Cigna Corp. was another notable contributor. The company posted solid results in the most recent quarter, aided by a lower-than-expected medical care loss ratio. Cigna also raised its full-year guidance for revenue, adjusted earnings per share (EPS) and cash from operations. The Portfolio's investment in the Energy sector was the largest detractor from relative performance due to an underweight allocation in the sector. The leading single detractor in the Portfolio was Baxter International, Inc. in the Healthcare sector, a maker of essential renal and hospital products. The company's results for much of the year were weaker than expected, driven primarily by macroeconomic challenges, leading Baxter to reduce its full-year revenue and EPS guidance. In the Information Technology sector, information technology services provider Fidelity National Information Services, Inc. was another significant detractor. Cost inflation and wage pressures compressed the company's margins. In response to inflation, higher interest rates and expectations for macroeconomic weakness, the company reduced its full-year EPS guidance.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Delaware, the Portfolio's sub-adviser.

**34** 

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##### [**Table of Contents**](#toc)
**Domestic Equity Portfolio (unaudited)** 

------

We believe corporate earnings growth could disappoint relative to investors' expectations. As intended, the Fed's deliberate moves to slow the economy and bring inflation under control will likely weaken aggregate demand. Since the economic impact of the Fed's interest rate increases tends to work with a lag, there could be pressure on corporate earnings in 2023 and possibly into 2024.

In this environment, we remain focused on mitigating downside exposure while staying attuned to investment opportunities that ongoing market volatility may create. We have completed research on several cyclical companies that we view as having higher quality attributes, believing these may eventually trade at valuations that offer compelling long-term risk-reward trade-offs. That said, at the end of 2022, the overall positioning of the Portfolio continued to be less cyclical than that of its benchmark. In our view, a Portfolio of discounted, higher quality stocks has the potential to hold up better in adverse market conditions while offering the opportunity for significant long-term capital appreciation.

**Relative Performance**![LOGO](g422955snap39.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns For Periods Ended December 31,<br>2022 | Average Annual Total Returns For Periods Ended December 31,<br>2022 | Average Annual Total Returns For Periods Ended December 31,<br>2022 | Average Annual Total Returns For Periods Ended December 31,<br>2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Domestic Equity Portfolio | -2.99% | 7.08% | 10.87% |
|  Russell 1000<sup>®</sup> Value Index | -7.54% | 6.67% | 10.29% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Large Cap Value Funds Average | -6.97% | 7.07% | 10.32% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com.</u>* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*The Portfolio may hold fewer securities than other diversified portfolios because of its more focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.* 

&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; American International Group, Inc. | 3.6% |
| &nbsp;&nbsp;&nbsp; Conagra Brands, Inc. | 3.5% |
| &nbsp;&nbsp;&nbsp; Oracle Corp. | 3.5% |
| &nbsp;&nbsp;&nbsp; Honeywell International, Inc. | 3.5% |
| &nbsp;&nbsp;&nbsp; The TJX Cos., Inc. | 3.4% |
| &nbsp;&nbsp;&nbsp; Merck & Co., Inc. | 3.4% |
| &nbsp;&nbsp;&nbsp; DuPont de Nemours, Inc. | 3.3% |
| &nbsp;&nbsp;&nbsp; Motorola Solutions, Inc. | 3.3% |
| &nbsp;&nbsp;&nbsp; Raytheon Technologies Corp. | 3.3% |
| &nbsp;&nbsp;&nbsp; Archer-Daniels-Midland Co. | 3.1% |

---

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Health Care | 18.4% |
| &nbsp;&nbsp;&nbsp; Information Technology | 17.4% |
| &nbsp;&nbsp;&nbsp; Financials | 14.5% |
| &nbsp;&nbsp;&nbsp; Industrials | 13.0% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 9.3% |
| &nbsp;&nbsp;&nbsp; Communication Services | 7.9% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 6.7% |
| &nbsp;&nbsp;&nbsp; Materials | 3.3% |
| &nbsp;&nbsp;&nbsp; Energy | 3.1% |
| &nbsp;&nbsp;&nbsp; Utilities | 2.9% |
| &nbsp;&nbsp;&nbsp; Real Estate | 2.3% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.2% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**35** 

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##### [**Table of Contents**](#toc)
**Domestic Equity Portfolio** 

------

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Communication Services (7.9%)** | **Communication Services (7.9%)** |  |
|  Comcast Corp. - Class A | 808411 | 28270 |
|  Verizon Communications, Inc. | 723000 | 28486 |
|  The Walt Disney Co. \* | 316236 | 27475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **84231** |
|  **Consumer Discretionary (9.3%)** | **Consumer Discretionary (9.3%)** |  |
|  Dollar General Corp. | 132940 | 32737 |
|  Dollar Tree, Inc. \* | 210300 | 29745 |
|  The TJX Cos., Inc. | 456800 | 36361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **98843** |
|  **Consumer Staples (6.7%)** | **Consumer Staples (6.7%)** |  |
|  Archer-Daniels-Midland Co. | 358400 | 33277 |
|  Conagra Brands, Inc. | 968233 | 37471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **70748** |
|  **Energy (3.1%)** |  |  |
|  ConocoPhillips | 277500 | 32745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **32745** |
|  **Financials (14.5%)** |  |  |
|  American International Group, Inc. | 599500 | 37912 |
|  Discover Financial Services | 293013 | 28666 |
|  MetLife, Inc. | 435632 | 31527 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Financials continued** | **Financials continued** | **Financials continued** |
|  Truist Financial Corp. | 635400 | 27341 |
|  U.S. Bancorp | 643300 | 28054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **153500** |
|  **Health Care (18.4%)** |  |  |
|  Baxter International, |  |  |
|  Inc. | 603300 | 30750 |
|  Cigna Corp. | 96303 | 31909 |
|  CVS Health Corp. | 335400 | 31256 |
|  Hologic, Inc. \* | 443788 | 33200 |
|  Johnson & Johnson | 180700 | 31921 |
|  Merck & Co., Inc. | 323500 | 35892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **194928** |
|  **Industrials (13.0%)** |  |  |
|  Dover Corp. | 244842 | 33154 |
|  Honeywell International, Inc. | 172660 | 37001 |
|  Northrop Grumman Corp. | 60300 | 32900 |
|  Raytheon Technologies Corp. | 342979 | 34614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **137669** |
|  **Information Technology (17.4%)** | **Information Technology (17.4%)** |  |
|  Broadcom, Inc. | 58800 | 32877 |
|  Cisco Systems, Inc. | 681800 | 32481 |
|  Cognizant Technology Solutions Corp. - Class A | 432918 | 24758 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.8%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Information Technology continued** | **Information Technology continued** | **Information Technology continued** |
|  Fidelity National Information Services, Inc. | 340127 | 23078 |
|  Motorola Solutions, Inc. | 134900 | 34765 |
|  Oracle Corp. | 455600 | 37241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **185200** |
|  **Materials (3.3%)** |  |  |
|  DuPont de Nemours, Inc. | 506984 | 34794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **34794** |
|  **Real Estate (2.3%)** |  |  |
|  Equity Residential | 412295 | 24325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **24325** |
|  **Utilities (2.9%)** |  |  |
|  Edison International | 485700 | 30900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **30900** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $840,599)** |  | **1047883** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.8%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.8%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $840,599)<sup>@</sup>**  |  | **1047883** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (1.2%)** |  | **12236** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **1060119** |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $840,677 and the net unrealized appreciation of investments based on that cost was $207,206 which is comprised of $268,125 aggregate gross unrealized appreciation and $60,919 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br> Other Significant<br>Observable Inputs | Level 3 –<br> Significant<br> Unobservable Inputs |
|  |  | *(Amounts in thousands)* |  |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $1047883 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $1047883 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**36** 

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##### [**Table of Contents**](#toc)
**Equity Income Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital and income. | Invest in common stocks with a focus on larger capitalization stocks with a strong track record of paying dividends, or that are believed to be undervalued. | $702 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Equity Income Portfolio (the "Portfolio"), has engaged T. Rowe Price Associates, Inc. ("T. Rowe Price") to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in common stocks, with an emphasis on larger capitalization stocks with a strong track record of paying dividends or that are believed to be undervalued. The Portfolio's yield, which reflects the level of dividends paid by the Portfolio, is expected to normally exceed the yield of the Russell 1000<sup>®</sup> Value Index. The Portfolio will typically employ a value approach in selecting investments. The Portfolio's in-house research team seeks to identify companies that appear to be undervalued as measured by price to earnings ratio, dividend yield, enterprise value to sales, among other metrics and may be temporarily out of favor but have good prospects for capital appreciation and dividend growth.

MARKET OVERVIEW

Major U.S. stock indices fell sharply in 2022, the worst year for equities since the 2008 global financial crisis. Investors shunned riskier assets in response to Russia's invasion of Ukraine, elevated inflation exacerbated by rising commodity prices and global supply chain disruptions, surging U.S. Treasury yields, tightening financial conditions and slowing economic and corporate earnings growth. Beginning in March 2022, the Federal Reserve (the "Fed") began a series of aggressive short-term interest rate hikes. The rate hikes along with Fed comments that it would be willing to risk causing a recession by raising rates and keeping them at a higher level in order to bring inflation down, also weighed on the market. Although many indices finished the year above their lowest levels of 2022, the year ended with many investors concerned that ongoing Fed rate hikes would hurt corporate earnings and push the economy into a recession in 2023.

PORTFOLIO RESULTS

The Portfolio returned (3.22%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell 1000<sup>®</sup> Value Index (the "Index"), returned (7.54%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Equity Income Funds peer group was (4.56%).

Overall, favorable stock selection and sector allocation contributed to the Portfolio's relative return. The Financials sector was a significant contributor due to stock selection. Shares of American International Group, Inc. benefited from improved underwriting and strong property and casualty (P&C) pricing cycle that allowed the company to focus on pushing price. The Health Care sector also aided relative performance due to strong stock choices. Shares of AbbVie, Inc. advanced in April after the FDA approved the drugs Rinvoq and Skyrizi for use, which may help balance sales deficits from the expected loss of Humira's patent in 2023.

The Consumer Discretionary sector also boosted relative performance, owing to favorable stock choices coupled with an underweight allocation. Shares of Las Vegas Sands Corp. have lagged reopening peers as China's increased lockdowns throughout the year delayed reopening in Macau. However, the stock advanced during the second half of 2022 due to a strong recovery in its Singapore operations, which helped offset some of costs associates with Macau. Additionally, during the fourth quarter, shares surged following news of Las Vegas Sands and other gaming companies signing 10-year contracts with the Macau government, renewing their casino licenses for the next decade.

At the other end of the spectrum, stock selection in the Energy sector was a notable detractor from the Portfolio's relative performance. Shares of TC Energy Corp. detracted from relative performance over the calendar-year period. In the third quarter of 2022, shares were pressured as capital markets risk and a higher interest rate environment weighed on performance. In early December, shares were again pressured as the company's Keystone pipeline was shut down following reports of a 14,000 barrel leak. Stock selection in the Industrials sector and business services industry also hindered relative returns.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of T. Rowe Price, the Portfolio's sub-adviser.

**37** 

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##### [**Table of Contents**](#toc)
**Equity Income Portfolio (unaudited)** 

------

The range of outcomes in the equity market remains abnormally wide. We expect continued volatility, as investors react to new metrics as they are reported. Amid such uncertainty, we believe there is risk in being too anchored to a particular macroeconomic outlook. The balance of economic data suggests a recession is imminent, although such an event is broadly anticipated, making the eventual recession arguably the "most consensus" one in history. In all likelihood, the severity of the recession will depend on the degree to which the Fed targets the labor market, which remains tight even as economic data weakens. Should the Fed "declare victory" at an inflation level above its stated target, the equity market would likely rally. Conversely, if the Fed's aim is to disrupt the labor market, the equity market may move lower.

**Relative Performance**![LOGO](g422955g62p24.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Equity Income Portfolio | -3.22% | 7.16% | 9.81% |
|  Russell 1000<sup>®</sup> Value Index | -7.54% | 6.67% | 10.29% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Equity Income Funds Average | -4.56% | 6.99% | 9.90% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual. com.</u>* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*The Portfolio invests with an emphasis on larger capitalization stocks with a strong track record of paying dividends or that are believed to be undervalued. The* 

*Portfolio may underperform similar funds that invest without an emphasis on dividend-paying stocks. Dividend-paying stocks may not participate in a broad market advance to the same degree as other stocks.* 

*The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates or economic downturn could cause a company to unexpectedly reduce or eliminate its dividend.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; TotalEnergies SE, ADR | 3.1% |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co. | 3.0% |
| &nbsp;&nbsp;&nbsp; The Southern Co. | 3.0% |
| &nbsp;&nbsp;&nbsp; General Electric Co. | 2.9% |
| &nbsp;&nbsp;&nbsp; American International Group, Inc. | 2.5% |
| &nbsp;&nbsp;&nbsp; Elevance Health, Inc. | 2.3% |
| &nbsp;&nbsp;&nbsp; QUALCOMM, Inc. | 2.1% |
| &nbsp;&nbsp;&nbsp; Sempra Energy | 2.0% |
| &nbsp;&nbsp;&nbsp; Becton Dickinson and Co., Various | 2.0% |
| &nbsp;&nbsp;&nbsp; Johnson & Johnson | 2.0% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Financials | 21.0% |
| &nbsp;&nbsp;&nbsp; Health Care | 17.7% |
| &nbsp;&nbsp;&nbsp; Industrials | 10.8% |
| &nbsp;&nbsp;&nbsp; Energy | 8.5% |
| &nbsp;&nbsp;&nbsp; Utilities | 8.4% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 7.0% |
| &nbsp;&nbsp;&nbsp; Information Technology | 6.9% |
| &nbsp;&nbsp;&nbsp; Communication Services | 5.1% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 5.0% |
| &nbsp;&nbsp;&nbsp; Materials | 4.2% |
| &nbsp;&nbsp;&nbsp; Real Estate | 3.9% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.5% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**38** 

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##### [**Table of Contents**](#toc)
**Equity Income Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (97.3%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communication Services (5.1%)** | **Communication Services (5.1%)** | **Communication Services (5.1%)** |
|  AT&T, Inc. | 61563 | 1133 |
|  Comcast Corp. - Class A | 192144 | 6719 |
|  Fox Corp. - Class B | 14244 | 405 |
|  Meta Platforms, Inc. - Class A \* | 28902 | 3478 |
|  News Corp. - Class A | 594042 | 10812 |
|  Paramount Global - Class B | 29300 | 495 |
|  Verizon Communications, Inc. | 113125 | 4457 |
|  The Walt Disney Co. \* | 89568 | 7782 |
|  Warner Bros. |  |  |
|  Discovery, Inc. \* | 35330 | 335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **35616** |
|  **Consumer Discretionary (5.0%)** | **Consumer Discretionary (5.0%)** | **Consumer Discretionary (5.0%)** |
|  Best Buy Co., Inc. | 36630 | 2938 |
|  Kohl's Corp. | 124483 | 3143 |
|  Las Vegas Sands Corp. \* | 144999 | 6970 |
|  Mattel, Inc. \* | 254759 | 4545 |
|  The TJX Cos., Inc. | 73981 | 5889 |
|  Volkswagen AG, ADR | 932011 | 11539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **35024** |
|  **Consumer Staples (7.0%)** | **Consumer Staples (7.0%)** | **Consumer Staples (7.0%)** |
|  Conagra Brands, Inc. | 290609 | 11247 |
|  Constellation Brands, Inc. - Class A | 6100 | 1414 |
|  Kimberly-Clark Corp. | 79611 | 10807 |
|  Mondelez International, Inc. | 15500 | 1033 |
|  Philip Morris International, Inc. | 118716 | 12015 |
|  Tyson Foods, Inc. - Class A | 95038 | 5916 |
|  Walmart, Inc. | 45412 | 6439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **48871** |
|  **Energy (8.5%)** | **Energy (8.5%)** | **Energy (8.5%)** |
|  Chevron Corp. | 12199 | 2190 |
|  Enbridge, Inc. | 44291 | 1732 |
|  EOG Resources, Inc. | 60723 | 7865 |
|  Exxon Mobil Corp. | 98535 | 10868 |
|  Hess Corp. | 43700 | 6198 |
|  Targa Resources Corp. | 5189 | 381 |
|  TC Energy Corp. | 197493 | 7872 |
|  TotalEnergies SE, ADR | 355659 | 22079 |
|  The Williams Cos., Inc. | 15000 | 493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **59678** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (97.3%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financials (21.0%)** | **Financials (21.0%)** | **Financials (21.0%)** |
|  American International Group, Inc. | 274684 | 17371 |
|  Apollo Global Management, Inc. | 23864 | 1522 |
|  Bank of America Corp. | 116599 | 3862 |
|  The Carlyle Group, Inc. | 42200 | 1259 |
|  The Charles Schwab Corp. | 43727 | 3641 |
|  Chubb, Ltd. | 63098 | 13919 |
|  Citigroup, Inc. | 81511 | 3687 |
|  Equitable Holdings, Inc. | 383636 | 11010 |
|  Fifth Third Bancorp | 218673 | 7175 |
|  Franklin Resources, Inc. | 23486 | 620 |
|  The Goldman Sachs Group, Inc. | 24980 | 8578 |
|  The Hartford Financial Services Group, Inc. | 88856 | 6738 |
|  Huntington Bancshares, Inc. | 656771 | 9260 |
|  JPMorgan Chase & Co. | 37859 | 5077 |
|  Loews Corp. | 121520 | 7088 |
|  MetLife, Inc. | 151948 | 10997 |
|  Morgan Stanley | 61258 | 5208 |
|  The PNC Financial Services Group, Inc. | 7957 | 1257 |
|  Raymond James Financial, Inc. | 5073 | 542 |
|  State Street Corp. | 57369 | 4450 |
|  U.S. Bancorp | 73800 | 3218 |
|  Wells Fargo & Co. | 517101 | 21351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **147830** |
|  **Health Care (17.3%)** | **Health Care (17.3%)** | **Health Care (17.3%)** |
|  AbbVie, Inc. | 65584 | 10599 |
|  AstraZeneca PLC, ADR | 58999 | 4000 |
|  Becton Dickinson and Co. | 44899 | 11418 |
|  Biogen, Inc. \* | 7703 | 2133 |
|  Cardinal Health, Inc. | 51775 | 3980 |
|  Centene Corp. \* | 54449 | 4465 |
|  Cigna Corp. | 25281 | 8377 |
|  CVS Health Corp. | 84316 | 7857 |
|  Elevance Health, Inc. | 31897 | 16362 |
|  Johnson & Johnson | 79236 | 13997 |
|  Medtronic PLC | 79260 | 6160 |
|  Merck & Co., Inc. | 59805 | 6635 |
|  Pfizer, Inc. | 183931 | 9425 |
|  Sanofi | 141909 | 6873 |
|  Viatris, Inc. | 135400 | 1507 |
|  Zimmer Biomet Holdings, Inc. | 63153 | 8052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **121840** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (97.3%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Industrials (10.8%)** | **Industrials (10.8%)** | **Industrials (10.8%)** |
|  3M Co. | 9500 | 1139 |
|  The Boeing Co. \* | 32937 | 6274 |
|  Cummins, Inc. | 7267 | 1761 |
|  Flowserve Corp. | 20675 | 634 |
|  General Electric Co. | 245796 | 20595 |
|  L3Harris Technologies, Inc. | 53672 | 11175 |
|  PACCAR, Inc. | 9801 | 970 |
|  Siemens AG, ADR | 107390 | 7388 |
|  Southwest Airlines Co. \* | 98300 | 3310 |
|  Stanley Black & Decker, Inc. | 59727 | 4487 |
|  Stericycle, Inc. \* | 85713 | 4276 |
|  United Parcel Service, Inc. - Class B | 79176 | 13764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **75773** |
|  **Information Technology (6.9%)** | **Information Technology (6.9%)** | **Information Technology (6.9%)** |
|  Accenture PLC - Class A | 4300 | 1148 |
|  Applied Materials, Inc. | 52971 | 5158 |
|  Cisco Systems, Inc. | 58719 | 2797 |
|  Fiserv, Inc. \* | 57947 | 5857 |
|  Microsoft Corp. | 36162 | 8672 |
|  NXP Semiconductors NV | 3858 | 610 |
|  QUALCOMM, Inc. | 132170 | 14531 |
|  Samsung Electronics Co., Ltd. | 11785 | 520 |
|  TE Connectivity, Ltd. | 16473 | 1891 |
|  Texas Instruments, Inc. | 43216 | 7140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **48324** |
|  **Materials (4.2%)** | **Materials (4.2%)** | **Materials (4.2%)** |
|  CF Industries Holdings, Inc. | 149416 | 12730 |
|  DuPont de Nemours, Inc. | 4985 | 342 |
|  International Flavors & Fragrances, Inc. | 45048 | 4723 |
|  International Paper Co. | 283579 | 9820 |
|  RPM International, Inc. | 21425 | 2088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **29703** |
|  **Real Estate (3.9%)** | **Real Estate (3.9%)** | **Real Estate (3.9%)** |
|  Equity Residential | 165672 | 9775 |
|  Rayonier, Inc. | 171520 | 5653 |
|  Vornado Realty Trust | 22600 | 470 |
|  Welltower, Inc. | 15450 | 1013 |
|  Weyerhaeuser Co. | 346820 | 10751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **27662** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**39** 

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##### [**Table of Contents**](#toc)
**Equity Income Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (97.3%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Utilities (7.6%)** |  |  |
|  Ameren Corp. | 53918 | 4794 |
|  Dominion Energy, Inc. | 136325 | 8360 |
|  NiSource, Inc. | 130446 | 3577 |
|  PG&E Corp. \* | 59424 | 966 |
|  Sempra Energy | 92995 | 14372 |
|  The Southern Co. | 294040 | 20997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **53066** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $551,101)** |  | **683387** |

---

---

| | | |
|:---|:---|:---|
| Preferred Stocks (0.3%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Utilities (0.3%)** |  |  |
|  NiSource, Inc., 7.750% | 21078 | 2176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **2176** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Preferred Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $2,108)** |  | **2176** |
| Convertible Preferred Stocks (0.9%) | Convertible Preferred Stocks (0.9%) | Convertible Preferred Stocks (0.9%) |
|  **Health Care (0.4%)** |  |  |
|  Becton Dickinson and Co., 6.000% 6/1/23 | 53493 | 2679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **2679** |

---

---

| | | |
|:---|:---|:---|
| Convertible Preferred Stocks (0.9%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Utilities (0.5%)** |  |  |
|  NextEra Energy, Inc.,<br>6.926% 8/28/25 | 28779 | 1445 |
|  NextEra Energy, Inc.,<br>5.279% 3/1/23 | 49295 | 2499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **3944** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Convertible Preferred** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Convertible Preferred** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Stocks (Cost: $6,482)** |  | **6623** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.5%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.5%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $559,691)<sup>@</sup>**  |  | **692186** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (1.5%)** |  | **10190** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **702376** |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $561,316 and the net unrealized appreciation of investments based on that cost was $130,870 which is comprised of $160,220 aggregate gross unrealized appreciation and $29,350 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br> Other Significant<br> Observable Inputs | Level 3 –<br> Significant<br> Unobservable Inputs |
|  |  | *(Amounts in thousands)* |  |
| Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks | $2176 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Information Technology | 47804 | 520 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Others | 635063 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Convertible Preferred Stocks | 6623 | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $691666 | $520 | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**40** 

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##### [**Table of Contents**](#toc)
**Mid Cap Growth Stock Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital. | Invest primarily in common stocks of mid cap domestic companies selected on the basis of their potential for capital appreciation. | $1.0 billion |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Mid Cap Growth Stock Portfolio (the "Portfolio"), has engaged Wellington Management Company LLP ("Wellington") to act as sub-adviser for the Portfolio. The Portfolio invests primarily in common stocks of mid cap companies selected on the basis of their potential for capital appreciation. The Portfolio focuses on companies that are determined to be of high quality. The key characteristics of high quality companies include a leadership position within an industry, a strong balance sheet, a high return on equity, and/or a strong management team. The Portfolio seeks to reduce overall risk by diversifying across sectors, industry groups and companies. The Portfolio's sector exposure relative to its benchmark is driven by an investment process which relies on fundamental company analysis and individual stock selection.

MARKET OVERVIEW

U.S. equities, as measured by the S&P 500<sup>®</sup> Index, posted negative results for the year 2022 amid surging inflation, tighter financial conditions and moderating economic activity, which have increased the probability of recession. Surging prices for food and energy pushed consumer inflation to its highest level in more than four decades. The Federal Reserve (the "Fed") Chair, Jerome Powell, acknowledged that there is considerable uncertainty about the trajectory of inflation and a greater possibility of recession. Late in the period, greater optimism that the Fed would begin to scale back its aggressive pace of interest rate hikes helped to fuel a sharp rebound in stocks in October and November before risk sentiment waned in December amid recession fears, macroeconomic headwinds and downside earnings risks in the coming quarters.

Returns during the period varied by market capitalization. Mid-capitalization stocks, as measured by the S&P MidCap 400<sup>®</sup> Index, outperformed large- and small-capitalization stocks, as measured by the S&P 500<sup>®</sup> Index and the Russell 2000<sup>®</sup> Index, respectively.

PORTFOLIO RESULTS

The Portfolio returned (23.77%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell Midcap<sup>®</sup> Growth Index (the "Index"), returned (26.72%). (The Index is unmanaged, cannot be invested in directly, and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Mid Cap Growth Funds peer group was (28.6%).

Sector allocation, a residual of the Portfolio's bottom-up stock selection process, was the primary contributor to the Portfolio's return, mainly due to the Portfolio's overweight in the Utilities and Financials sectors, as well as an underweight in Communication Services. Strong stock selection within the Financials, Industrials and Materials sectors also drove relative outperformance during the period.

The top contributors to relative performance during the period included out-of-benchmark positions in Health Care companies United Therapeutics Corp. and Jazz Pharmaceuticals PLC. United Therapeutics advanced after the company received U.S. Food and Drug administration (FDA) approval for the medication Tyvaso DPI. Jazz Pharmaceuticals advanced after the company reported 2021 fourth-quarter earnings and revenue that beat estimates. An overweight position in Information Technology company WEX, Inc. also contributed, as the company reported third-quarter earnings and revenue that beat estimates. Full-year revenue and earnings guidance were both raised at the midpoint and the company announced a new $675M share buyback.

In contrast, the top detractors from relative performance during the period included out-of-benchmark positions in Information Technology companies Synaptics, Inc., and Nuvei Corp. Shares of Synaptics, a human interface solutions provider, fell over the period, as management lowered first-quarter revenue guidance below expectations amid consumer-facing headwinds across mobile, PC and internet-of-things segments that have weighed on demand and limited visibility for future quarters. Global payments solutions provider, Nuvei, detracted as growth stocks sold off amid concerns around high valuations, interest rate hikes, rising inflation and geopolitical tensions. The company's second-quarter guidance fell below expectations.

**41** 

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##### [**Table of Contents**](#toc)
**Mid Cap Growth Stock Portfolio (unaudited)** 

------

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Wellington, the Portfolio's sub-adviser.

We believe that after years of outperformance from high growth Information Technology businesses, driven by demand pull forwards and low interest rates, there is a transition underway in the market and new winners may emerge. The fundamental drivers of performance in many of these technology businesses are no longer accelerating. As a result, we have been reducing our weight in the sector. We reallocated this capital to names in the packaging industry that we feel offer steady growth, less economic sensitivity and should benefit from the longer term trend away from single-use plastics.

Despite strong performance in 2022, we believe the Energy sector remains attractive. Similarly, we have a positive and differentiated view on the transportation industry. We feel that expectations of declining earnings are overstated, fears of a recession are already priced in, and the industry will benefit from an increase in U.S. infrastructure spend.

The Portfolio can experience extreme relative performance periods, both good and bad, while navigating significant market dislocations such as the financial crises and the COVID-19 pandemic. We have seen both in the last 36 months. However, we have confidence in the long-term performance generated by our investment process and believe that the Portfolio is positioned well for the next three to five years.

**Relative Performance**![LOGO](g422955g73y54.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Mid Cap Growth Stock Portfolio | -23.77% | 5.35% | 8.00% |
|  Russell MidCap<sup>®</sup> Growth Index | -26.72% | 7.64% | 11.41% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Mid Cap Growth Funds Average | -28.60% | 7.82% | 10.62% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com.</u>* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Axon Enterprise, Inc. | 2.5% |
| &nbsp;&nbsp;&nbsp; United Therapeutics Corp. | 2.1% |
| &nbsp;&nbsp;&nbsp; Insulet Corp. | 2.1% |
| &nbsp;&nbsp;&nbsp; WEX, Inc. | 2.1% |
| &nbsp;&nbsp;&nbsp; NVR, Inc. | 2.1% |
| &nbsp;&nbsp;&nbsp; Genpact, Ltd. | 2.1% |
| &nbsp;&nbsp;&nbsp; IDEX Corp. | 2.0% |
| &nbsp;&nbsp;&nbsp; Shift4 Payments, Inc. | 1.9% |
| &nbsp;&nbsp;&nbsp; Jazz Pharmaceuticals PLC | 1.9% |
| &nbsp;&nbsp;&nbsp; Markel Corp. | 1.8% |

---

**42** 

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##### [**Table of Contents**](#toc)
**Mid Cap Growth Stock Portfolio (unaudited)** 

------

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Information Technology | 22.1% |
| &nbsp;&nbsp;&nbsp; Industrials | 21.4% |
| &nbsp;&nbsp;&nbsp; Health Care | 20.1% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 12.0% |
| &nbsp;&nbsp;&nbsp; Financials | 9.2% |
| &nbsp;&nbsp;&nbsp; Energy | 6.3% |
| &nbsp;&nbsp;&nbsp; Materials | 5.4% |
| &nbsp;&nbsp;&nbsp; Communication Services | 1.8% |
| &nbsp;&nbsp;&nbsp; Utilities | 1.0% |
| &nbsp;&nbsp;&nbsp; Real Estate | 0.5% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 0.1% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 0.1% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**43** 

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##### [**Table of Contents**](#toc)
**Mid Cap Growth Stock Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (99.9%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Communication Services (1.8%)** | **Communication Services (1.8%)** | **Communication Services (1.8%)** |
|  Cable One, Inc. | 13303 | 9470 |
|  CarGurus, Inc. \* | 360528 | 5051 |
|  Roku, Inc. \* | 91780 | 3735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **18256** |
|  **Consumer Discretionary (12.0%)** | **Consumer Discretionary (12.0%)** | **Consumer Discretionary (12.0%)** |
|  CarMax, Inc. \* | 135185 | 8232 |
|  Carter's, Inc. | 28058 | 2093 |
|  Chewy, Inc. \* | 376747 | 13970 |
|  Choice Hotels International, Inc. | 122701 | 13821 |
|  Etsy, Inc. \* | 143599 | 17200 |
|  Hyatt Hotels Corp. - Class A \* | 82047 | 7421 |
|  NVR, Inc. \* | 4486 | 20692 |
|  Visteon Corp. \* | 74572 | 9756 |
|  Vizio Holding Corp. \* | 675064 | 5002 |
|  Wingstop, Inc. | 77770 | 10703 |
|  YETI Holdings, Inc. \* | 301334 | 12448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **121338** |
|  **Consumer Staples (0.1%)** | **Consumer Staples (0.1%)** | **Consumer Staples (0.1%)** |
|  BJ's Wholesale Club Holdings, Inc. \* | 14814 | 980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **980** |
|  **Energy (6.3%)** | **Energy (6.3%)** | **Energy (6.3%)** |
|  Coterra Energy, Inc. | 415748 | 10215 |
|  Marathon Oil Corp. | 517435 | 14007 |
|  Ovintiv, Inc. | 237297 | 12034 |
|  PDC Energy, Inc. | 172623 | 10958 |
|  Targa Resources Corp. | 228453 | 16791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **64005** |
|  **Financials (9.2%)** | **Financials (9.2%)** | **Financials (9.2%)** |
|  Credit Acceptance Corp. \* | 37792 | 17929 |
|  First Republic Bank | 102912 | 12544 |
|  Hamilton Lane, Inc. | 75328 | 4812 |
|  Host Hotels & Resorts, Inc. | 349211 | 5605 |
|  M&T Bank Corp. | 90922 | 13189 |
|  Markel Corp. \* | 14061 | 18525 |
|  Tradeweb Markets, Inc. | 113552 | 7373 |
|  W.R. Berkley Corp. | 112876 | 8191 |
|  White Mountains Insurance Group, Ltd. | 3415 | 4830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **92998** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.9%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Health Care (20.1%)** | **Health Care (20.1%)** | **Health Care (20.1%)** |
|  Alnylam Pharmaceuticals, Inc. \* | 41426 | 9845 |
|  Apellis Pharmaceuticals, Inc. \* | 173639 | 8979 |
|  Bio-Techne Corp. | 201173 | 16673 |
|  Exact Sciences Corp. \* | 237644 | 11766 |
|  ICON PLC \* | 49168 | 9551 |
|  Inari Medical, Inc. \* | 238659 | 15169 |
|  Insulet Corp. \* | 71386 | 21015 |
|  Integra LifeSciences Holdings Corp. \* | 192256 | 10780 |
|  Jazz Pharmaceuticals PLC \* | 118631 | 18899 |
|  Neurocrine Biosciences, Inc. \* | 75927 | 9069 |
|  PTC Therapeutics, Inc. \* | 201952 | 7708 |
|  Repligen Corp. \* | 80498 | 13629 |
|  Sage Therapeutics, Inc. \* | 116126 | 4429 |
|  Syneos Health, Inc. \* | 58739 | 2155 |
|  Teleflex, Inc. | 48096 | 12006 |
|  Ultragenyx Pharmaceutical, Inc. \* | 199392 | 9238 |
|  United Therapeutics Corp. \* | 76846 | 21370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **202281** |
|  **Industrials (21.4%)** | **Industrials (21.4%)** | **Industrials (21.4%)** |
|  AMERCO | 224469 | 12341 |
|  Axon Enterprise, Inc. \* | 153505 | 25471 |
|  Builders FirstSource, Inc. \* | 129610 | 8409 |
|  C.H. Robinson Worldwide, Inc. | 104364 | 9556 |
|  Dun & Bradstreet Holdings, Inc. | 380126 | 4660 |
|  Expeditors International of Washington, Inc. | 98299 | 10215 |
|  GFL Environmental, Inc. | 176570 | 5161 |
|  Graco, Inc. | 129313 | 8698 |
|  IDEX Corp. | 89008 | 20323 |
|  Ingersoll-Rand, Inc. | 269333 | 14073 |
|  J.B. Hunt Transport Services, Inc. | 71596 | 12483 |
|  Knight-Swift Transportation Holdings, Inc. | 214797 | 11258 |
|  Lennox International, Inc. | 57879 | 13846 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.9%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Industrials continued** | **Industrials continued** | **Industrials continued** |
|  Lincoln Electric Holdings, Inc. | 76269 | 11020 |
|  The Middleby Corp. \* | 43516 | 5827 |
|  Nordson Corp. | 34165 | 8122 |
|  Robert Half International, Inc. | 69193 | 5109 |
|  TransUnion | 83881 | 4760 |
|  Watsco, Inc. | 33390 | 8327 |
|  Westinghouse Air Brake Technologies Corp. | 159441 | 15914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **215573** |
|  **Information Technology (22.1%)** | **Information Technology (22.1%)** | **Information Technology (22.1%)** |
|  CDW Corp. | 54524 | 9737 |
|  Coherent Corp. \* | 238425 | 8369 |
|  CommScope Holding Co., Inc. \* | 243344 | 1788 |
|  Datadog, Inc. - Class A \* | 110460 | 8119 |
|  Dynatrace, Inc. \* | 344272 | 13186 |
|  F5, Inc. \* | 58920 | 8456 |
|  Fair Isaac Corp. \* | 15777 | 9444 |
|  First Solar, Inc. \* | 47469 | 7110 |
|  Flex, Ltd. \* | 227110 | 4874 |
|  Genpact, Ltd. | 445997 | 20658 |
|  Guidewire Software, Inc. \* | 96804 | 6056 |
|  Informatica, Inc. \* | 587855 | 9576 |
|  LiveRamp Holdings, Inc. \* | 143302 | 3359 |
|  Lumentum Holdings, Inc. \* | 150197 | 7836 |
|  MKS Instruments, Inc. | 23908 | 2026 |
|  MongoDB, Inc. \* | 53457 | 10522 |
|  Monolithic Power Systems, Inc. | 8596 | 3040 |
|  Nuvei Corp. \* | 400025 | 10165 |
|  Olo, Inc. \* | 494790 | 3092 |
|  Q2 Holdings, Inc. \* | 248257 | 6671 |
|  Shift4 Payments, Inc. \* | 342787 | 19172 |
|  Silicon Laboratories, Inc. \* | 46763 | 6344 |
|  Synaptics, Inc. \* | 83390 | 7935 |
|  Teradata Corp. \* | 121860 | 4102 |
|  VeriSign, Inc. \* | 53763 | 11045 |
|  WEX, Inc. \* | 126980 | 20780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **223462** |
|  **Materials (5.4%)** | **Materials (5.4%)** | **Materials (5.4%)** |
|  Ball Corp. | 78472 | 4013 |
|  Celanese Corp. - Class A | 13825 | 1414 |
|  Element Solutions, Inc. | 787105 | 14317 |
|  FMC Corp. | 99733 | 12447 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**44** 

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##### [**Table of Contents**](#toc)
**Mid Cap Growth Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (99.9%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Materials continued** |  |  |
|  Graphic Packaging Holding Co. | 121525 | 2704 |
|  Silgan Holdings, Inc. | 282585 | 14649 |
|  Steel Dynamics, Inc. | 47044 | 4596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **54140** |
|  **Real Estate (0.5%)** |  |  |
|  Rexford Industrial Realty, Inc. | 91342 | 4991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **4991** |
|  **Utilities (1.0%)** |  |  |
|  Black Hills Corp. | 72617 | 5108 |
|  NiSource, Inc. | 167161 | 4584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **9692** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,002,364)** |  | **1007716** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.9%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.9%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,002,364)<sup>@</sup>**  |  | **1007716** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (0.1%)** |  | **1058** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **1008774** |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,006,142 and the net unrealized appreciation of investments based on that cost was $1,574 which is comprised of $131,451 aggregate gross unrealized appreciation and $129,877 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
| | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br> Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $1007716 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $1007716 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**45** 

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##### [**Table of Contents**](#toc)
**Index 400 Stock Portfolio (unaudited)** 

------

---

| | |
|:---|:---|
| **Objective:** | **Net Assets:** |
| Investment results that approximate the performance of the S&P MidCap 400<sup>®</sup> Index. Invest in stocks that make up the S&P MidCap 400<sup>®</sup> Index, holding each stock in approximately the same proportion as its weighting in the Index. | $1.1 billion |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Index 400 Stock Portfolio (the "Portfolio"), has engaged Northern Trust Investments, Inc. ("Northern Trust") to act as sub-adviser for the Portfolio. The Portfolio seeks investment results that approximate the performance of the S&P MidCap 400<sup>®</sup> Index, which is composed of the stocks of companies whose capitalizations generally are smaller than those of companies that comprise the S&P 500<sup>®</sup> Index. The S&P MidCap 400<sup>®</sup> Index does not include the stocks of the very large companies that account for most of the weighting in the S&P 500<sup>®</sup> Index. The Portfolio attempts to achieve its objective by investing all, or substantially all, of its assets in the stocks that make up the S&P MidCap 400<sup>®</sup> Index, holding each stock in approximately the same proportion as its weighting in the Index. This is known as a full replication strategy. The Portfolio may also invest in S&P MidCap 400<sup>®</sup> Index stock futures to help achieve full replication.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia's invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exacerbated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

In this environment, large cap stocks, as represented by the S&P 500<sup>®</sup> Index, posted a return of (18.11%), underperforming the S&P MidCap 400<sup>®</sup> and the S&P SmallCap 600<sup>®</sup> Indices, which returned (13.06%) and (16.10%), respectively. Meanwhile, the broader bond market, as represented by the Bloomberg<sup>®</sup> U.S. Aggregate Index, returned (13.01%), while the Bloomberg<sup>®</sup> U.S. Corporate High Yield Index returned (11.18%).

PORTFOLIO RESULTS

The Index 400 Stock Portfolio delivered a total return of (13.26%) for the twelve months ended December 31, 2022, trailing the S&P MidCap 400<sup>®</sup> Index (the "Index"), which returned (13.06%). (The Index is unmanaged, cannot be invested in directly, and does not incur expenses.) Portfolio performance slightly lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with the use of stock index futures contracts. According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the S&P Midcap 400 Index Funds peer group was (13.71%).

The Consumer Discretionary sector detracted the most from the Portfolio's return, as consumers deferred purchases of non-essential goods and services amid rising prices and an uncertain economic outlook. Higher mortgage rates slowed home sales, weakening demand for retailers that specialize in home furnishings. Higher raw material costs, transportation expenses and the strong U.S. dollar combined to weaken profit margins for the automotive components industry, while automakers slowed demand for components as they curtailed production of new vehicles due to a worldwide shortage of microprocessors. Retailers reduced their inventories of household durables products as consumers struggling with escalating inflation shifted their spending patterns, leading to a weaker sales outlook for the household durables industry. The Real Estate sector also detracted from the Portfolio's return as higher interest rates increased borrowing costs to finance properties. Stock prices of companies in the real estate management and development industry declined as rising interest rates outpaced the dividend rate paid by real estate investment trusts, weakening their attractiveness for income-oriented investors.

Stocks in the Industrials sector also detracted meaningfully from the Portfolio's return, as Western sanctions against Russia, following its invasion of Ukraine, exacerbated supply chain bottlenecks and increased raw material costs. In the machinery industry, broad-based weakness lowered stock prices for specialty manufacturers of high-tech instruments, coolers, and refrigeration systems. Similarly, the commercial services and supplies industry struggled with cutbacks in corporate spending.

**46** 

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##### [**Table of Contents**](#toc)
**Index 400 Stock Portfolio (unaudited)** 

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Conversely, the Energy sector contributed to the Portfolio's return as the war in Ukraine and Western sanctions against Russia sent oil and gas prices sharply higher early in the year. Companies in the oil, gas and consumable fuels industry posted stronger profits on higher oil prices and restricted supplies.

**Relative Performance**![LOGO](g42295551.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Index 400 Stock Portfolio | -13.26% | 6.44% | 10.49% |
|  S&P MidCap 400<sup>®</sup> Index | -13.06% | 6.70% | 10.78% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) S&P Midcap 400 Index Funds | -13.71% | 6.10% | 10.14% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*"Standard & Poor's<sup>®</sup>", "S&P<sup>®</sup>", "S&P MidCap 400 Index" and "Standard & Poor's MidCap 400 Index" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's* 

 *makes no representation regarding the advisability of investing in the Portfolio.* 

*Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks.* 

*The Portfolio may invest in exchange traded funds and derivative instruments, such as equity index futures for cash management and liquidity purposes to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Fair Isaac Corp. | 0.7% |
| &nbsp;&nbsp;&nbsp; First Horizon Corp. | 0.6% |
| &nbsp;&nbsp;&nbsp; United Therapeutics Corp. | 0.6% |
| &nbsp;&nbsp;&nbsp; Hubbell, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp; RPM International, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp; Carlisle Cos., Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp; Reliance Steel & Aluminum Co. | 0.6% |
| &nbsp;&nbsp;&nbsp; AECOM | 0.6% |
| &nbsp;&nbsp;&nbsp; The Toro Co. | 0.6% |
| &nbsp;&nbsp;&nbsp; Neurocrine Biosciences, Inc. | 0.6% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Industrials | 19.5% |
| &nbsp;&nbsp;&nbsp; Financials | 14.9% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 13.8% |
| &nbsp;&nbsp;&nbsp; Information Technology | 11.9% |
| &nbsp;&nbsp;&nbsp; Health Care | 10.0% |
| &nbsp;&nbsp;&nbsp; Real Estate | 8.0% |
| &nbsp;&nbsp;&nbsp; Materials | 6.5% |
| &nbsp;&nbsp;&nbsp; Utilities | 4.0% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 4.0% |
| &nbsp;&nbsp;&nbsp; Energy | 3.9% |
| &nbsp;&nbsp;&nbsp; Communication Services | 2.1% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.4% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**47** 

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##### [**Table of Contents**](#toc)
**Index 400 Stock Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Communication Services (2.1%)** | **Communication Services (2.1%)** | **Communication Services (2.1%)** |
|  Cable One, Inc. | 2636 | 1876 |
|  Frontier Communications Parent, Inc. \* | 121846 | 3105 |
|  Iridium Communications, Inc. \* | 68675 | 3530 |
|  John Wiley & Sons, Inc. - Class A | 23330 | 935 |
|  The New York Times Co. - Class A | 89846 | 2916 |
|  Nexstar Media Group, Inc. | 20621 | 3609 |
|  TEGNA, Inc. | 122019 | 2586 |
|  TripAdvisor, Inc. \* | 57293 | 1030 |
|  World Wrestling Entertainment, Inc.- Class A | 23565 | 1615 |
|  Ziff Davis, Inc. \* | 25795 | 2040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **23242** |
|  **Consumer Discretionary (13.8%)** | **Consumer Discretionary (13.8%)** |  |
|  Adient PLC \* | 51866 | 1799 |
|  AutoNation, Inc. \* | 18686 | 2005 |
|  Boyd Gaming Corp. | 43310 | 2362 |
|  Brunswick Corp. | 39626 | 2856 |
|  Callaway Golf Co. \* | 75782 | 1497 |
|  Capri Holdings, Ltd. \* | 70398 | 4035 |
|  Carter's, Inc. | 20860 | 1556 |
|  Choice Hotels International, Inc. | 15143 | 1706 |
|  Churchill Downs, Inc. | 18016 | 3809 |
|  Columbia Sportswear Co. | 19362 | 1696 |
|  Cracker Barrel Old Country Store, Inc. | 12119 | 1148 |
|  Crocs, Inc. \* | 33746 | 3659 |
|  Dana Holding Corp. | 69272 | 1048 |
|  Deckers Outdoor Corp. \* | 14466 | 5774 |
|  Dick's Sporting Goods, Inc. | 30384 | 3655 |
|  Five Below, Inc. \* | 30334 | 5365 |
|  Foot Locker, Inc. | 43335 | 1638 |
|  Fox Factory Holding Corp. \* | 23110 | 2108 |
|  GameStop Corp. - Class A \* | 138129 | 2550 |
|  The Gap, Inc. | 115846 | 1307 |
|  Gentex Corp. | 127931 | 3489 |
|  The Goodyear Tire & Rubber Co. \* | 154679 | 1570 |
|  Graham Holdings Co. - Class B | 2107 | 1273 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Consumer Discretionary continued** | **Consumer Discretionary continued** | **Consumer Discretionary continued** |
|  Grand Canyon Education, Inc. \* | 16757 | 1771 |
|  H&R Block, Inc. | 84954 | 3102 |
|  Hanesbrands, Inc. | 191479 | 1218 |
|  Harley-Davidson, Inc. | 72726 | 3025 |
|  Helen of Troy, Ltd. \* | 13117 | 1455 |
|  KB Home | 45385 | 1445 |
|  Kohl's Corp. | 63738 | 1609 |
|  Lear Corp. | 32326 | 4009 |
|  Leggett & Platt, Inc. | 72458 | 2335 |
|  Lithia Motors, Inc. - Class A | 14955 | 3062 |
|  Macy's, Inc. | 148089 | 3058 |
|  Marriott Vacations Worldwide Corp. | 20945 | 2819 |
|  Mattel, Inc. \* | 193674 | 3455 |
|  Murphy USA, Inc. | 11356 | 3174 |
|  Nordstrom, Inc. | 60645 | 979 |
|  Ollie's Bargain Outlet Holdings, Inc. \* | 31814 | 1490 |
|  Papa John's International, Inc. | 17516 | 1442 |
|  Penn National Gaming, Inc. \* | 84747 | 2517 |
|  Polaris, Inc. | 29774 | 3007 |
|  PVH Corp. | 35649 | 2516 |
|  RH \* | 10503 | 2806 |
|  Scientific Games Corp. - Class A \* | 51088 | 2994 |
|  Service Corp. International | 84026 | 5810 |
|  Skechers USA, Inc. - Class A \* | 73273 | 3074 |
|  Taylor Morrison Home Corp. \* | 59187 | 1796 |
|  Tempur Sealy International, Inc. | 93233 | 3201 |
|  Texas Roadhouse, Inc. | 36575 | 3326 |
|  Thor Industries, Inc. | 29335 | 2214 |
|  Toll Brothers, Inc. | 57574 | 2874 |
|  TopBuild Corp. \* | 17473 | 2734 |
|  Travel + Leisure Co. | 44419 | 1617 |
|  Under Armour, Inc. - Class A \* | 103302 | 1050 |
|  Under Armour, Inc. - Class C \* | 107552 | 959 |
|  Victoria's Secret & Co. \* | 44398 | 1589 |
|  Visteon Corp. \* | 15392 | 2014 |
|  The Wendy's Co. | 93130 | 2108 |
|  Williams-Sonoma, Inc. | 36457 | 4190 |
|  Wingstop, Inc. | 16351 | 2250 |
|  Wyndham Hotels & |  |  |
|  Resorts, Inc. | 48266 | 3442 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Consumer Discretionary continued** | **Consumer Discretionary continued** | **Consumer Discretionary continued** |
|  YETI Holdings, Inc. \* | 47151 | 1948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **157389** |
|  **Consumer Staples (4.0%)** | **Consumer Staples (4.0%)** |  |
|  BellRing Brands, Inc. \* | 74014 | 1898 |
|  BJ's Wholesale Club Holdings, Inc. \* | 73813 | 4884 |
|  The Boston Beer Co., Inc. - Class A \* | 5165 | 1702 |
|  Casey's General Stores, Inc. | 20358 | 4567 |
|  Celsius Holdings, Inc. \* | 22078 | 2297 |
|  Coca-Cola Consolidated, Inc. | 2515 | 1289 |
|  Coty, Inc. - Class A \* | 199818 | 1710 |
|  Darling Ingredients, Inc. \* | 87584 | 5482 |
|  Energizer Holdings, Inc. | 36328 | 1219 |
|  Flowers Foods, Inc. | 105096 | 3020 |
|  Grocery Outlet Holding Corp. \* | 48379 | 1412 |
|  Ingredion, Inc. | 35822 | 3508 |
|  Lancaster Colony Corp. | 10842 | 2139 |
|  Performance Food Group Co. \* | 85079 | 4968 |
|  Pilgrim's Pride Corp. \* | 24249 | 575 |
|  Post Holdings, Inc. \* | 29711 | 2682 |
|  Sprouts Farmers Market, Inc. \* | 57844 | 1872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **45224** |
|  **Energy (3.9%)** | **Energy (3.9%)** |  |
|  Antero Midstream Corp. | 182953 | 1974 |
|  Antero Resources Corp. \* | 150903 | 4676 |
|  ChampionX Corp. | 108945 | 3158 |
|  CNX Resources Corp. \* | 98647 | 1661 |
|  DT Midstream, Inc. | 52850 | 2921 |
|  Equitrans Midstream Corp. | 236522 | 1585 |
|  HF Sinclair Corp. | 73498 | 3814 |
|  Matador Resources Co. | 61349 | 3512 |
|  Murphy Oil Corp. | 79861 | 3435 |
|  NOV, Inc. | 214654 | 4484 |
|  PBF Energy, Inc. | 62459 | 2547 |
|  PDC Energy, Inc. | 50357 | 3197 |
|  Range Resources Corp. | 132055 | 3304 |
|  Southwestern Energy Co. \* | 603107 | 3528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **43796** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**48** 

------

##### [**Table of Contents**](#toc)
**Index 400 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Financials (14.9%)** |  |  |
|  Affiliated Managers Group, Inc. | 20585 | 3261 |
|  American Financial Group, Inc. | 38159 | 5238 |
|  Annaly Capital Management, Inc. | 255678 | 5390 |
|  Associated Banc-Corp. | 82182 | 1898 |
|  Bank of Hawaii Corp. | 21916 | 1700 |
|  Bank OZK | 60662 | 2430 |
|  Brighthouse Financial, Inc. \* | 37799 | 1938 |
|  Cadence Bank | 99710 | 2459 |
|  Cathay General Bancorp | 40668 | 1659 |
|  CNO Financial Group, Inc. | 62592 | 1430 |
|  Commerce Bancshares, Inc. | 62200 | 4234 |
|  Cullen/Frost Bankers, Inc. | 35142 | 4698 |
|  East West Bancorp, Inc. | 77037 | 5077 |
|  Essent Group, Ltd. | 58877 | 2289 |
|  Evercore, Inc. - Class A | 19560 | 2134 |
|  F.N.B. Corp. | 191726 | 2502 |
|  Federated Hermes, Inc. | 45988 | 1670 |
|  First American Financial Corp. | 56582 | 2961 |
|  First Financial Bankshares, Inc. | 70946 | 2441 |
|  First Horizon Corp. | 293245 | 7184 |
|  FirstCash Holdings, Inc. | 20505 | 1782 |
|  Fulton Financial Corp. | 91544 | 1541 |
|  Glacier Bancorp, Inc. | 60537 | 2992 |
|  Hancock Whitney Corp. | 46847 | 2267 |
|  The Hanover Insurance Group, Inc. | 19432 | 2626 |
|  Home BancShares, Inc. | 103614 | 2361 |
|  Interactive Brokers Group, Inc. - Class A | 56221 | 4068 |
|  International Bancshares Corp. | 28950 | 1325 |
|  Janus Henderson Group PLC | 72477 | 1705 |
|  Jefferies Financial Group, Inc. | 100113 | 3432 |
|  Kemper Corp. | 34912 | 1718 |
|  Kinsale Capital Group, Inc. | 11777 | 3080 |
|  MGIC Investment Corp. | 162333 | 2110 |
|  Navient Corp. | 57824 | 951 |
|  New York Community Bancorp, Inc. | 371760 | 3197 |
|  Old National Bancorp | 160132 | 2879 |
|  Old Republic International Corp. | 154588 | 3733 |
|  PacWest Bancorp | 64149 | 1472 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Financials continued** |  |  |
|  Pinnacle Financial Partners, Inc. | 41787 | 3067 |
|  Primerica, Inc. | 20164 | 2860 |
|  Prosperity Bancshares, Inc. | 49895 | 3626 |
|  Reinsurance Group of America, Inc. | 36524 | 5190 |
|  RenaissanceRe Holdings, Ltd. | 23881 | 4400 |
|  RLI Corp. | 22070 | 2897 |
|  SEI Investments Co. | 55912 | 3260 |
|  Selective Insurance Group, Inc. | 32935 | 2918 |
|  SLM Corp. | 136546 | 2267 |
|  Stifel Financial Corp. | 58096 | 3391 |
|  Synovus Financial Corp. | 79508 | 2985 |
|  Texas Capital |  |  |
|  Bancshares, Inc. \* | 27278 | 1645 |
|  UMB Financial Corp. | 23762 | 1985 |
|  Umpqua Holdings Corp. | 118690 | 2119 |
|  United Bankshares, Inc. | 73596 | 2980 |
|  Unum Group | 102126 | 4190 |
|  Valley National Bancorp | 229690 | 2598 |
|  Voya Financial, Inc. | 53037 | 3261 |
|  Washington Federal, Inc. | 35504 | 1191 |
|  Webster Financial Corp. | 95105 | 4502 |
|  Wintrust Financial Corp. | 33214 | 2807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **169971** |
|  **Health Care (10.0%)** | **Health Care (10.0%)** |  |
|  Acadia Healthcare Co., Inc. \* | 49729 | 4094 |
|  Amedisys, Inc. \* | 17761 | 1484 |
|  Arrowhead Pharmaceuticals, Inc. \* | 57850 | 2346 |
|  Azenta, Inc. \* | 41002 | 2387 |
|  Bruker Corp. | 54766 | 3743 |
|  Chemed Corp. | 8129 | 4149 |
|  Encompass Health Corp. | 54540 | 3262 |
|  Enovis Corp. \* | 26061 | 1395 |
|  Envista Holdings Corp. \* | 89101 | 3000 |
|  Exelixis, Inc. \* | 176271 | 2827 |
|  Globus Medical, Inc. - Class A \* | 42310 | 3142 |
|  Haemonetics Corp. \* | 27655 | 2175 |
|  Halozyme Therapeutics, Inc. \* | 73885 | 4204 |
|  HealthEquity, Inc. \* | 46196 | 2848 |
|  ICU Medical, Inc. \* | 11009 | 1734 |
|  Inari Medical, Inc. \* | 26390 | 1677 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Health Care continued** |  |  |
|  Integra LifeSciences Holdings Corp. \* | 39708 | 2226 |
|  Jazz Pharmaceuticals PLC \* | 34407 | 5481 |
|  Lantheus Holdings, Inc. \* | 37616 | 1917 |
|  LHC Group, Inc. \* | 16958 | 2742 |
|  LivaNova PLC \* | 29182 | 1621 |
|  Masimo Corp. \* | 26429 | 3910 |
|  Medpace Holdings, Inc. \* | 13767 | 2924 |
|  Neogen Corp. \* | 117855 | 1795 |
|  Neurocrine Biosciences, Inc. \* | 52533 | 6275 |
|  Omnicell, Inc. \* | 24406 | 1231 |
|  Option Care Health, Inc. \* | 84512 | 2543 |
|  Patterson Cos., Inc. | 47181 | 1323 |
|  Penumbra, Inc. \* | 20755 | 4617 |
|  Perrigo Co. PLC | 73578 | 2508 |
|  Progyny, Inc. \* | 41116 | 1281 |
|  QuidelOrtho Corp. \* | 29234 | 2504 |
|  R1 RCM, Inc. \* | 74541 | 816 |
|  Repligen Corp. \* | 28219 | 4778 |
|  Shockwave Medical, Inc. \* | 19751 | 4061 |
|  Sotera Health Co. \* | 53981 | 450 |
|  STAAR Surgical Co. \* | 26349 | 1279 |
|  Syneos Health, Inc. \* | 56242 | 2063 |
|  Tandem Diabetes Care, Inc. \* | 35141 | 1580 |
|  Tenet Healthcare Corp. \* | 59095 | 2883 |
|  United Therapeutics Corp. \* | 24906 | 6926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **114201** |
|  **Industrials (19.5%)** | **Industrials (19.5%)** |  |
|  Acuity Brands, Inc. | 17575 | 2911 |
|  AECOM | 76318 | 6482 |
|  AGCO Corp. | 33836 | 4693 |
|  ASGN, Inc. \* | 27265 | 2222 |
|  Avis Budget Group, Inc. \* | 13597 | 2229 |
|  Axon Enterprise, Inc. \* | 36946 | 6130 |
|  The Brink's Co. | 25381 | 1363 |
|  Builders FirstSource, Inc. \* | 80428 | 5218 |
|  CACI International, Inc. - Class A \* | 12841 | 3860 |
|  Carlisle Cos., Inc. | 28261 | 6660 |
|  Chart Industries, Inc. \* | 22834 | 2631 |
|  Clean Harbors, Inc. \* | 27483 | 3136 |
|  Crane Holdings Co. | 26078 | 2620 |
|  Curtiss-Wright Corp. | 20929 | 3495 |
|  Donaldson Co., Inc. | 66906 | 3939 |
|  Dycom Industries, Inc. \* | 16163 | 1513 |
|  EMCOR Group, Inc. | 26042 | 3857 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**49** 

------

##### [**Table of Contents**](#toc)
**Index 400 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Industrials continued** | **Industrials continued** | **Industrials continued** |
|  EnerSys | 22317 | 1648 |
|  ESAB Corp. | 28255 | 1326 |
|  Flowserve Corp. | 71429 | 2191 |
|  Fluor Corp. \* | 77657 | 2692 |
|  Fortune Brands Home & Security, Inc. | 70089 | 4003 |
|  FTI Consulting, Inc. \* | 18802 | 2986 |
|  GATX Corp. | 19265 | 2049 |
|  Graco, Inc. | 92112 | 6195 |
|  GXO Logistics, Inc. \* | 64851 | 2768 |
|  Hexcel Corp. | 46001 | 2707 |
|  Hubbell, Inc. | 29350 | 6888 |
|  IAA, Inc. \* | 73101 | 2924 |
|  Insperity, Inc. | 19492 | 2214 |
|  ITT, Inc. | 45211 | 3667 |
|  JetBlue Airways Corp. \* | 177195 | 1148 |
|  KBR, Inc. | 74985 | 3959 |
|  Kennametal, Inc. | 44162 | 1063 |
|  Kirby Corp. \* | 32744 | 2107 |
|  Knight-Swift Transportation Holdings, Inc. | 87822 | 4603 |
|  Landstar System, Inc. | 19640 | 3199 |
|  Lennox International, Inc. | 17625 | 4216 |
|  Lincoln Electric Holdings, Inc. | 31552 | 4559 |
|  ManpowerGroup, Inc. | 27632 | 2299 |
|  MasTec, Inc. \* | 32221 | 2749 |
|  MDU Resources Group, Inc. | 111139 | 3372 |
|  Mercury Systems, Inc. \* | 31685 | 1418 |
|  The Middleby Corp. \* | 29451 | 3943 |
|  MSA Safety, Inc. | 20136 | 2903 |
|  MSC Industrial Direct Co., Inc. - Class A | 25814 | 2109 |
|  nVent Electric PLC | 91060 | 3503 |
|  Oshkosh Corp. | 35742 | 3152 |
|  Owens Corning, Inc. | 51069 | 4356 |
|  Regal Rexnord Corp. | 36108 | 4332 |
|  RXO, Inc. \* | 62486 | 1075 |
|  Ryder System, Inc. | 27461 | 2295 |
|  Saia, Inc. \* | 14463 | 3033 |
|  Science Applications International Corp. | 30128 | 3342 |
|  Simpson Manufacturing Co., Inc. | 23282 | 2064 |
|  Stericycle, Inc. \* | 50382 | 2514 |
|  SunPower Corp. \* | 46337 | 835 |
|  Sunrun, Inc. \* | 116463 | 2797 |
|  Terex Corp. | 36810 | 1572 |
|  Tetra Tech, Inc. | 28953 | 4204 |
|  The Timken Co. | 36163 | 2556 |
|  The Toro Co. | 56943 | 6446 |
|  Trex Co., Inc. \* | 59886 | 2535 |
|  Univar Solutions, Inc. \* | 89172 | 2836 |
|  Valmont Industries, Inc. | 11657 | 3855 |
|  Vicor Corp. \* | 12075 | 649 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Industrials continued** | **Industrials continued** | **Industrials continued** |
|  Watsco, Inc. | 18181 | 4534 |
|  Watts Water Technologies, Inc. - Class A | 14913 | 2181 |
|  Werner Enterprises, Inc. | 32177 | 1295 |
|  Woodward, Inc. | 32880 | 3177 |
|  XPO Logistics, Inc. \* | 62941 | 2095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **222097** |
|  **Information Technology (11.9%)** | **Information Technology (11.9%)** |  |
|  ACI Worldwide, Inc. \* | 61445 | 1413 |
|  Allegro Microsystems, Inc. \* | 35594 | 1069 |
|  Amkor Technology, Inc. | 54906 | 1317 |
|  Arrow Electronics, Inc. \* | 33616 | 3515 |
|  Aspen Technology, Inc. \* | 15872 | 3260 |
|  Avnet, Inc. | 50015 | 2080 |
|  Belden, Inc. | 23399 | 1682 |
|  Blackbaud, Inc. \* | 24380 | 1435 |
|  Calix, Inc. \* | 31120 | 2130 |
|  Ciena Corp. \* | 80965 | 4128 |
|  Cirrus Logic, Inc. \* | 30106 | 2242 |
|  Cognex Corp. | 94516 | 4453 |
|  Coherent Corp. \* | 75801 | 2661 |
|  CommVault Systems, Inc. \* | 24233 | 1523 |
|  Concentrix Corp. | 23178 | 3086 |
|  Dynatrace, Inc. \* | 110138 | 4218 |
|  Envestnet, Inc. \* | 30287 | 1869 |
|  Euronet Worldwide, Inc. \* | 25754 | 2431 |
|  ExlService Holdings, Inc. \* | 18071 | 3062 |
|  Fair Isaac Corp. \* | 13649 | 8170 |
|  Genpact, Ltd. | 92135 | 4268 |
|  IPG Photonics Corp. \* | 17583 | 1665 |
|  Jabil, Inc. | 73582 | 5018 |
|  Kyndryl Holdings, Inc. \* | 111757 | 1243 |
|  Lattice Semiconductor Corp. \* | 74918 | 4861 |
|  Littelfuse, Inc. | 13530 | 2979 |
|  Lumentum Holdings, Inc. \* | 37276 | 1945 |
|  MACOM Technology Solutions Holdings, Inc. \* | 27957 | 1761 |
|  Manhattan Associates, Inc. \* | 34065 | 4135 |
|  MAXIMUS, Inc. | 33088 | 2426 |
|  MKS Instruments, Inc. | 31264 | 2649 |
|  National Instruments Corp. | 71375 | 2634 |
|  NCR Corp. \* | 75127 | 1759 |
|  Novanta, Inc. \* | 19506 | 2650 |
|  Paylocity Holding Corp. \* | 22518 | 4374 |
|  Power Integrations, Inc. | 31280 | 2243 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Information Technology continued** | **Information Technology continued** | **Information Technology continued** |
|  Qualys, Inc. \* | 18875 | 2118 |
|  Silicon Laboratories, Inc. \* | 18193 | 2468 |
|  SiTime Corp. \* | 8791 | 893 |
|  Super Micro Computer, Inc. \* | 25166 | 2066 |
|  Synaptics, Inc. \* | 21799 | 2074 |
|  TD SYNNEX Corp. | 22994 | 2178 |
|  Teradata Corp. \* | 55547 | 1870 |
|  Universal Display Corp. | 23760 | 2567 |
|  ViaSat, Inc. \* | 41354 | 1309 |
|  Vishay Intertechnology, Inc. | 70530 | 1521 |
|  Vontier Corp. | 86349 | 1669 |
|  The Western Union Co. | 211041 | 2906 |
|  WEX, Inc. \* | 23825 | 3899 |
|  Wolfspeed, Inc. \* | 67881 | 4686 |
|  Xerox Holdings Corp. | 60796 | 888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **135466** |
|  **Materials (6.5%)** | **Materials (6.5%)** |  |
|  Alcoa Corp. | 96693 | 4397 |
|  AptarGroup, Inc. | 35684 | 3925 |
|  Ashland Global Holdings, Inc. | 27221 | 2927 |
|  Avient Corp. | 46727 | 1578 |
|  Cabot Corp. | 30740 | 2055 |
|  The Chemours Co. | 82475 | 2525 |
|  Cleveland-Cliffs, Inc. \* | 281622 | 4537 |
|  Commercial Metals Co. | 64106 | 3096 |
|  Eagle Materials, Inc. | 20141 | 2676 |
|  Greif, Inc. - Class A | 13993 | 938 |
|  Ingevity Corp. \* | 19197 | 1352 |
|  Louisiana-Pacific Corp. | 39195 | 2320 |
|  MP Materials Corp. \* | 50459 | 1225 |
|  NewMarket Corp. | 3721 | 1158 |
|  Olin Corp. | 69607 | 3685 |
|  Reliance Steel & Aluminum Co. | 32070 | 6492 |
|  Royal Gold, Inc. | 35870 | 4043 |
|  RPM International, Inc. | 70547 | 6875 |
|  The Scotts Miracle-Gro Co. | 22065 | 1072 |
|  Sensient Technologies Corp. | 22984 | 1676 |
|  Silgan Holdings, Inc. | 45705 | 2369 |
|  Sonoco Products Co. | 53293 | 3235 |
|  United States Steel Corp. | 128015 | 3207 |
|  Valvoline, Inc. | 96740 | 3159 |
|  Westlake Corp. | 18826 | 1930 |
|  Worthington Industries, Inc. | 16597 | 825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **73277** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**50** 

------

##### [**Table of Contents**](#toc)
**Index 400 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Real Estate (8.0%)** | **Real Estate (8.0%)** | **Real Estate (8.0%)** |
|  Apartment Income REIT Corp. | 81913 | 2810 |
|  Brixmor Property Group, Inc. | 163904 | 3716 |
|  Corporate Office Properties Trust | 61456 | 1594 |
|  Cousins Properties, Inc. | 82784 | 2094 |
|  CubeSmart LP | 122718 | 4939 |
|  Douglas Emmett, Inc. | 96091 | 1507 |
|  EastGroup Properties, Inc. | 23809 | 3525 |
|  EPR Properties | 41016 | 1547 |
|  First Industrial Realty Trust, Inc. | 72195 | 3484 |
|  Healthcare Realty Trust, Inc. | 207966 | 4007 |
|  Highwoods Properties, Inc. | 57492 | 1609 |
|  Independence Realty Trust, Inc. | 122311 | 2062 |
|  JBG SMITH Properties | 54052 | 1026 |
|  Jones Lang LaSalle, Inc. \* | 25938 | 4134 |
|  Kilroy Realty Corp. | 57483 | 2223 |
|  Kite Realty Group Trust | 119723 | 2520 |
|  Lamar Advertising Co. - Class A | 47688 | 4502 |
|  Life Storage, Inc. | 46447 | 4575 |
|  The Macerich Co. | 117469 | 1323 |
|  Medical Properties Trust, Inc. | 326810 | 3641 |
|  National Retail Properties, Inc. | 97671 | 4469 |
|  National Storage Affiliates Trust | 46331 | 1673 |
|  Omega Healthcare Investors, Inc. | 127975 | 3577 |
|  Park Hotels & Resorts, Inc. | 122944 | 1450 |
|  Pebblebrook Hotel Trust | 71458 | 957 |
|  Physicians Realty Trust | 124727 | 1805 |
|  PotlatchDeltic Corp. | 44136 | 1942 |
|  Rayonier, Inc. | 80013 | 2637 |
|  Rexford Industrial Realty, Inc. | 100270 | 5479 |
|  Sabra Health Care REIT, Inc. | 126255 | 1569 |
|  SL Green Realty Corp. | 35156 | 1185 |
|  Spirit Realty Capital, Inc. | 76329 | 3048 |
|  STORE Capital Corp. | 145210 | 4655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **91284** |
|  **Utilities (4.0%)** | **Utilities (4.0%)** |  |
|  ALLETE, Inc. | 31242 | 2015 |
|  Black Hills Corp. | 35574 | 2502 |
|  Essential Utilities, Inc. | 130446 | 6226 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (98.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Utilities continued** | **Utilities continued** | **Utilities continued** |
|  Hawaiian Electric Industries, Inc. | 59841 | 2504 |
|  IDACORP, Inc. | 27639 | 2981 |
|  National Fuel Gas Co. | 49993 | 3164 |
|  New Jersey Resources Corp. | 52599 | 2610 |
|  NorthWestern Corp. | 31579 | 1874 |
|  OGE Energy Corp. | 109420 | 4328 |
|  ONE Gas, Inc. | 29498 | 2234 |
|  Ormat Technologies, Inc. | 26650 | 2305 |
|  PNM Resources, Inc. | 46902 | 2288 |
|  Portland General Electric Co. | 48804 | 2391 |
|  Southwest Gas Holdings, Inc. | 33720 | 2087 |
|  Spire, Inc. | 28691 | 1976 |
|  UGI Corp. | 114425 | 4242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **45727** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks<br>(Cost: $902,922)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks<br>(Cost: $902,922)** | **1121674** |
| Short-Term Investments (0.1%) | Short-Term Investments (0.1%) |  |
|  **Governments (0.1%)** | **Governments (0.1%)** |  |
|  US Treasury 0.000%, 5/11/23 ß | 1255000 | 1235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1235** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,235)** |  | **1235** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.7%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.7%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $904,157)<sup>@</sup>**  |  | **1122909** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (1.3%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (1.3%)** | **14801** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** | **1137710** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Index 400 Stock Portfolio** 

**Exchange Traded or Centrally Cleared Derivatives** 

**Futures** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Issuer | Long/Short | Currency | Notional Par<br>(000's) | Number<br>of<br>Contracts | Expiration<br>Date | Notional<br>Value<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Variation<br>Margin<br>(000's) |
|  E-Mini S&P MidCap 400 Futures | Long | USD | 7 | 65 | 3/23 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15877 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(233) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(63) |
|  |  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(233) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(63) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities | |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | |
| | Swaps | Futures | Total | Swaps | Futures | Total | <br>Market Value<br> (000's)<br>Options |
|  Total Exchange-Traded or Centrally Cleared Derivatives | $- | $- | $- | $- | $(63) | $(63) | $- |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

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

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $904,503 and the net unrealized appreciation of investments based on that cost was $218,173 which is comprised of $310,272 aggregate gross unrealized appreciation and $92,099 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br>Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $1121674 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments |  | 1235 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $1121674 | $1235 | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | (233) | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $(233) | $- | $- |

---

^ 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.

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Mid Cap Value Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term capital growth. Current income is a secondary objective. | Invest primarily in equity securities of mid-sized companies that are determined to be undervalued. | $651 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Mid Cap Value Portfolio (the "Portfolio"), has engaged American Century Investment Management, Inc. ("American Century") to act as sub-adviser for the Portfolio. The Portfolio invests primarily in a diversified portfolio of equity securities of mid-sized companies that are determined to be undervalued at the time of purchase. In selecting securities, the Portfolio attempts to identify companies whose long-term earnings, cash flows and/or assets are not reflected in the current market price of their securities and hold each security until it has returned to favor in the market and the price has increased to, or is higher than, a level believed to more accurately reflect the fair value of the company.

MARKET OVERVIEW

Broad U.S. equity markets declined on concerns that persistently high inflation and rising interest rates may derail the economic expansion and weaken corporate profits.

In this environment, market declines were broad-based. Mid-cap stocks outperformed large- and small- cap stocks, however, as measured by the Russell Indices. Value stocks outperformed growth stocks.

PORTFOLIO RESULTS

The Portfolio returned (1.15%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell MidCap<sup>®</sup> Value Index (the "Index"), returned (12.03%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Mid Cap Value Funds peer group was (5.69%).

In the Healthcare sector, health care providers and services investments, such as Cardinal Health, Inc., were notable contributors to the Portfolio's return. The Information Technology sector also boosted results, due to security selection in the IT services industry. Not owning several benchmark names in the semiconductors and semiconductor equipment industry also contributed to relative performance.

In terms of specific holdings, the Reinsurance Group of America, Inc., a global life and health reinsurance company, was a top contributor. It reported strong financial results, as the impact from COVID-19-related losses declined. The Portfolio continues to own the stock as earnings expectations for the next several years have risen.

On the upside, stock selection and an underweight in the Energy sector hindered relative performance. The Portfolio did not own a number of oil and gas exploration stocks that were strong contributors to the benchmark Index. In the Materials sector, the Portfolio's lack of exposure to several outperforming chemicals and metals and mining stocks weighed on relative performance.

In terms of specific holdings, Advance Auto Parts, Inc., an automotive replacement parts retailer, was a prominent detractor. It underperformed analyst earnings expectations and lowered guidance.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of American Century, the Portfolio's sub-adviser.

We continue to build the Portfolio bottom up through our fundamental research, seeking higher-quality, midsize companies temporarily selling at a discount to fair value. Our research has led us to several Healthcare sector stocks that we think offer compelling risk/reward profiles. We consider Healthcare noncyclical because demand is less impacted by the economy's performance. Therefore, in a slowing economy, we think patients seeking elective procedures after the pandemic-related disruption should provide support to medical device companies and service providers that are working through patient backlogs.

The Portfolio holds select companies in the Consumer Staples sector that we believe are trading at a discount to their intrinsic value. While input costs have risen in this inflationary environment, many consumer staples companies have been

**53** 

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##### [**Table of Contents**](#toc)
**Mid Cap Value Portfolio (unaudited)** 

------

able to improve efficiencies and pass along rising costs through pricing without significantly impacting demand. We think these steps may lead to a positive inflection for select companies in 2023.

We have identified many companies in the Financials sector that meet our investment criteria, particularly in the capital markets, banking and insurance industries. We remain focused on companies that, in our view, offer higher relative returns on assets, stronger capital levels, lower credit risk and management teams focused on returns and building competitive advantages.

The Portfolio is underweight in the Consumer Discretionary sector because it has been difficult for us to find higher quality consumer discretionary companies with durable business models. We also remain underweight in the Information Technology sector relative to the benchmark, largely due to valuations that we view as stretched.

As we enter 2023, we continue to face challenging macroeconomic and geopolitical conditions. In the event of a recession, we believe companies with low debt and steady revenues may be better positioned to grow and maintain their competitive edge despite economic headwinds.

**Relative Performance**![LOGO](g42295558.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Mid Cap Value Portfolio | -1.15% | 6.88% | 11.17% |
|  Russell MidCap<sup>®</sup> Value Index | -12.03% | 5.72% | 10.11% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Mid Cap Value Funds Average | -5.69% | 6.60% | 10.13% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude* 

 *deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks. The value of securities acquired in an IPO may rise or fall more rapidly than investments in more established issuers.* 

*The Portfolio may invest in derivative instruments for cash management purposes or to hedge foreign currency exposure. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Zimmer Biomet Holdings, Inc. | 3.0% |
| &nbsp;&nbsp;&nbsp; Northern Trust Corp. | 2.7% |
| &nbsp;&nbsp;&nbsp; The Bank of New York Mellon Corp. | 2.6% |
| &nbsp;&nbsp;&nbsp; Edison International | 2.1% |
| &nbsp;&nbsp;&nbsp; The Allstate Corp. | 2.1% |
| &nbsp;&nbsp;&nbsp; Spire, Inc. | 2.0% |
| &nbsp;&nbsp;&nbsp; Koninklijke Ahold Delhaize NV | 1.9% |
| &nbsp;&nbsp;&nbsp; Oshkosh Corp. | 1.9% |
| &nbsp;&nbsp;&nbsp; Conagra Brands, Inc. | 1.8% |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp. | 1.7% |

---

**54** 

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**Mid Cap Value Portfolio (unaudited)** 

------

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Financials | 19.5% |
| &nbsp;&nbsp;&nbsp; Industrials | 15.0% |
| &nbsp;&nbsp;&nbsp; Health Care | 13.8% |
| &nbsp;&nbsp;&nbsp; Utilities | 8.8% |
| &nbsp;&nbsp;&nbsp; Real Estate | 8.3% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 7.3% |
| &nbsp;&nbsp;&nbsp; Information Technology | 6.7% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 6.2% |
| &nbsp;&nbsp;&nbsp; Materials | 5.2% |
| &nbsp;&nbsp;&nbsp; Energy | 4.1% |
| &nbsp;&nbsp;&nbsp; Communication Services | 2.0% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.9% |
| &nbsp;&nbsp;&nbsp; Investment Companies | 1.2% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**55** 

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##### [**Table of Contents**](#toc)
**Mid Cap Value Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (96.9%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Communication Services (2.0%)** | **Communication Services (2.0%)** |  |
|  Fox Corp. - Class B | 258137 | 7344 |
|  Omnicom Group, Inc. | 66962 | 5462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **12806** |
|  **Consumer Discretionary (6.2%)** | **Consumer Discretionary (6.2%)** |  |
|  Advance Auto Parts, Inc. | 53684 | 7893 |
|  Aptiv PLC \* | 29848 | 2780 |
|  BorgWarner, Inc. | 246868 | 9937 |
|  Compagnie Generale des Etablissements Michelin | 131370 | 3654 |
|  Dollar Tree, Inc. \* | 72804 | 10297 |
|  Sodexo SA | 63110 | 6045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **40606** |
|  **Consumer Staples (7.3%)** | **Consumer Staples (7.3%)** |  |
|  Conagra Brands, Inc. | 308339 | 11933 |
|  Henkel AG & Co. KGaA, Preference Shares | 94857 | 6602 |
|  The J.M. Smucker Co. | 43312 | 6863 |
|  Kimberly-Clark Corp. | 70724 | 9601 |
|  Koninklijke Ahold Delhaize NV | 422149 | 12128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **47127** |
|  **Energy (4.1%)** | **Energy (4.1%)** |  |
|  Baker Hughes | 214916 | 6346 |
|  Devon Energy Corp. | 37519 | 2308 |
|  Diamondback Energy, Inc. | 30874 | 4223 |
|  Enterprise Products Partners LP | 333167 | 8036 |
|  EQT Corp. | 95869 | 3243 |
|  Phillips 66 | 23655 | 2462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **26618** |
|  **Financials (19.5%)** | **Financials (19.5%)** |  |
|  Aflac, Inc. | 60714 | 4368 |
|  The Allstate Corp. | 102399 | 13885 |
|  Ameriprise Financial, Inc. | 8089 | 2519 |
|  The Bank of New York Mellon Corp. | 365142 | 16621 |
|  Capitol Federal Financial, Inc. | 296117 | 2561 |
|  Chubb, Ltd. | 8058 | 1778 |
|  First Hawaiian, Inc. | 384669 | 10017 |
|  The Hanover Insurance Group, Inc. | 38050 | 5142 |
|  Northern Trust Corp. | 201170 | 17801 |
|  Prosperity Bancshares, Inc. | 116746 | 8485 |
|  Reinsurance Group of America, Inc. | 51932 | 7379 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (96.9%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Financials continued** |  |  |
| T. Rowe Price Group, Inc. | 87335 | 9525 |
|  Truist Financial Corp. | 255510 | 10995 |
|  U.S. Bancorp | 155501 | 6781 |
|  Westamerica Bancorporation | 48373 | 2854 |
|  Willis Towers Watson PLC | 24665 | 6033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **126744** |
|  **Health Care (13.8%)** | **Health Care (13.8%)** |  |
|  AmerisourceBergen Corp. | 49897 | 8269 |
|  Baxter International, Inc. | 63635 | 3244 |
|  Becton Dickinson and Co. | 11031 | 2805 |
|  Cardinal Health, Inc. | 39612 | 3045 |
|  DENTSPLY SIRONA, Inc. | 138151 | 4399 |
|  Embecta Corp. | 179917 | 4550 |
|  Envista Holdings Corp.\* | 90589 | 3050 |
|  HCA Healthcare, Inc. | 7443 | 1786 |
|  Henry Schein, Inc. \* | 131930 | 10537 |
|  Hologic, Inc. \* | 44201 | 3307 |
|  Laboratory Corp. of America Holdings | 30577 | 7200 |
|  Quest Diagnostics, Inc. | 51841 | 8110 |
|  Universal Health Services, Inc. - Class B | 70127 | 9880 |
|  Zimmer Biomet Holdings, Inc. | 154542 | 19704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **89886** |
|  **Industrials (15.0%)** | **Industrials (15.0%)** |  |
|  Atkore, Inc. \* | 25141 | 2851 |
|  Beacon Roofing Supply, Inc. \* | 66633 | 3518 |
|  Cie de Saint-Gobain | 137333 | 6711 |
|  Cummins, Inc. | 15137 | 3667 |
|  Emerson Electric Co. | 97924 | 9407 |
|  Heartland Express, Inc. | 282822 | 4338 |
|  Huntington Ingalls Industries, Inc. | 34844 | 8038 |
|  IMI PLC | 313837 | 4887 |
|  Legrand SA | 64713 | 5183 |
|  MSC Industrial Direct Co., Inc. - Class A | 109119 | 8915 |
|  nVent Electric PLC | 194132 | 7468 |
|  Oshkosh Corp. | 137003 | 12082 |
|  Republic Services, Inc. | 22293 | 2876 |
|  Southwest Airlines Co.\* | 322638 | 10863 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (96.9%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Industrials continued** | **Industrials continued** |  |
|  VINCI SA | 69063 | 6897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **97701** |
|  **Information Technology (6.7%)** | **Information Technology (6.7%)** |  |
|  Amdocs, Ltd. | 78514 | 7137 |
|  Applied Materials, Inc. | 29963 | 2918 |
|  Corning, Inc. | 77297 | 2469 |
|  Electronic Arts, Inc. | 27774 | 3393 |
|  F5, Inc. \* | 50039 | 7181 |
|  HP, Inc. | 199437 | 5359 |
|  Juniper Networks, Inc. | 165513 | 5290 |
|  TE Connectivity, Ltd. | 59961 | 6883 |
|  Teradyne, Inc. | 36920 | 3225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **43855** |
|  **Materials (5.2%)** | **Materials (5.2%)** |  |
|  Akzo Nobel NV | 103181 | 6910 |
|  Amcor PLC | 509831 | 6072 |
|  Axalta Coating Systems, Ltd. \* | 236862 | 6033 |
|  Mondi PLC | 44794 | 763 |
|  Packaging Corp. of America | 80294 | 10270 |
|  Sonoco Products Co. | 59456 | 3610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **33658** |
|  **Real Estate (8.3%)** | **Real Estate (8.3%)** |  |
|  Equinix, Inc. | 11897 | 7793 |
|  Essex Property Trust, Inc. | 32586 | 6906 |
|  Healthpeak Properties, Inc. | 377753 | 9470 |
|  Public Storage | 19714 | 5524 |
|  Realty Income Corp. | 144064 | 9138 |
|  Regency Centers Corp. | 129757 | 8110 |
|  VICI Properties, Inc. | 57546 | 1865 |
|  Weyerhaeuser Co. | 57110 | 1770 |
|  WP Carey, Inc. | 46813 | 3658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **54234** |
|  **Utilities (8.8%)** | **Utilities (8.8%)** |  |
|  Atmos Energy Corp. | 14943 | 1675 |
|  Duke Energy Corp. | 68789 | 7085 |
|  Edison International | 219435 | 13960 |
|  Evergy, Inc. | 48522 | 3053 |
|  Eversource Energy | 38188 | 3202 |
|  NorthWestern Corp. | 174600 | 10361 |
|  Pinnacle West Capital Corp. | 69735 | 5303 |
|  Spire, Inc. | 186762 | 12860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **57499** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $632,470)** |  | **630734** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Mid Cap Value Portfolio** 

---

| | | |
|:---|:---|:---|
| Investment Companies (1.2%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Investment Companies (1.2%)** |  |  |
|  iShares Russell Mid- Cap Value ETF | 72621 | 7650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **7650** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $7,168)** |  | **7650** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.1%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $639,638)<sup>@</sup>**  |  | **638384** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (1.9%)** |  | **12580** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **650964** |

---

**Over the Counter Derivatives Forward Foreign Currency Contracts** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Type | Counterparty | Currency | Foreign<br>Principal<br>Amount<br>Covered<br>by<br>Contract<br>(000s) | USD Principal<br>Amount<br>Covered by<br>Contract (000's) | Settlement<br>Date | Unrealized<br>Appreciation<br>(000's) | Unrealized<br>(Depreciation)<br>(000's) | Net<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) |
|  Sell | Goldman Sachs International | EUR | 43545 | 46890 | 3/31/2023 | $– | $(337) | $(337) |
|  Buy | Bank of America NA | GBP | 566 | 687 | 3/31/2023 | 1 | (1) |  |
|  Sell | Bank of America NA | GBP | 4628 | 5607 | 3/31/2023 | 35 |  | 35 |
|  Buy | Goldman Sachs International | NOK | 4057 | 415 | 3/31/2023 | 3 |  | 3 |
|  Sell | Goldman Sachs International | NOK | 4057 | 416 | 3/31/2023 | – | (4) | (4 |
|  |  |  |  |  |  | $39 | $(342) | $(303 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) |
| | Forward<br>Foreign<br>Currency<br>Contracts | Swaps | Total | Forward<br>Foreign<br>Currency<br>Contracts | Options | Swaps | Total |
|  Total Over the Counter Derivatives | $39 |  | $39 | $(342) |  |  | $(342) |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $643,768 and the net unrealized depreciation of investments based on that cost was $5,687 which is comprised of $30,757 aggregate gross unrealized appreciation and $36,444 aggregate gross unrealized depreciation.  |

---

---

| | |
|:---|:---|
| π | Amount is less than one thousand.  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**57** 

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##### [**Table of Contents**](#toc)
**Mid Cap Value Portfolio** 

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br> Other Significant<br> Observable Inputs | Level 3 –<br> Significant<br> Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $630734 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 7650 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts | - | 39 | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $638384 | $39 | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts | - | (342) | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $- | $(342) | $- |

---

^ 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.

The Accompanying Notes are an Integral Part of the Financial Statements.

**58** 

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##### [**Table of Contents**](#toc)
**Small Cap Growth Stock Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital. | Invest primarily in common stocks of small capitalization companies. | $595 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Small Cap Growth Stock Portfolio (the "Portfolio"), has engaged Wellington Management Company LLP ("Wellington") to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in common stocks of small capitalization companies. The Portfolio's investment process is derived from the observation that the quality and persistence of a company's business is often not reflected in its current stock price. Central to the investment process is intense, fundamental research focused on uncovering companies with improving quality metrics, business momentum and attractive relative valuations.

MARKET OVERVIEW

U.S. equities, as measured by the S&P 500<sup>®</sup> Index, posted negative results for the year 2022 amid surging inflation, tighter financial conditions and moderating economic activity which have increased the probability of recession. Surging prices for food and energy pushed consumer inflation to its highest level in more than four decades. The Federal Reserve (the "Fed") Chair, Jerome Powell, acknowledged that there is considerable uncertainty about the trajectory of inflation and a greater possibility of recession. In December, the Fed raised interest rates by 50 basis points (bps), snapping a streak of four consecutive hikes of 75 bps. Greater optimism that the Fed would begin to scale back its aggressive pace of interest rate hikes helped to fuel a sharp rebound in stocks in October and November before risk sentiment waned in December amid recession fears, macroeconomic headwinds and downside earnings risks in the coming quarters.

Returns during the period varied by market capitalization, with large- and mid-capitalization stocks, as measured by the S&P 500<sup>®</sup> Index and S&P MidCap 400<sup>®</sup> Index, respectively, outperforming small-capitalization stocks, as measured by the Russell 2000<sup>®</sup> Index.

PORTFOLIO RESULTS

The Portfolio returned (28.49%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell 2000<sup>®</sup> Growth Index (the "Index") returned (26.36%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Small Cap Growth Funds peer group was (27.22%).

The Portfolio's relative underperformance was driven by weak sector allocation, primarily an underweight to the Energy sector and overweights to the Real Estate and Information Technology sectors. Security selection also detracted from relative returns, driven by weak selection in the Health Care, Materials and Communication Services sectors.

The top relative detractors from performance included an overweight position in Health Care companies R1 RCM, Inc. and Omnicell, Inc. Shares of R1 RCM fell during the period after the company reported third-quarter earnings missed expectations. Similarly, Omnicell declined as the company delivered disappointing third-quarter results and lowered fourth-quarter and full-year 2022 guidance. In the Communication Services sector, an overweight position in Cardlytics detracted as the company reported earnings for the second quarter below consensus expectations with operating losses significantly higher than a year ago.

In contrast, the Portfolio's relative return benefited from an overweight to the Consumer Staples and Industrials sectors, an underweight to the Communication Services sector and strong selection in the Real Estate, Industrials and Consumer Discretionary sectors.

Holdings in the Industrial sector contributed to the Portfolio's relative return. Top contributors included an overweight position in WillScot Mobile Mini Holdings Corp. and Applied Industrial Technologies, Inc., as well as an out-of-benchmark holding in CACI International, Inc. Shares of WillScot Mobile, a leader in modular space and storage solutions, advanced after it was announced they acquired the rental fleet and assets of Modulease Corp. The company also beat second-quarter revenue expectations driven by strong demand and the implementation of increased rental rates. Shares of Applied Industrial Technologies rose over the period after the company reported strong results in the fiscal first quarter. CACI International advanced along with other defense contractors as Russia's war in Ukraine continued to escalate.

**59** 

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##### [**Table of Contents**](#toc)
**Small Cap Growth Stock Portfolio (unaudited)** 

------

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Wellington, the Portfolio's sub-adviser.

As we look ahead, there are increasing indications that inflationary pressures are abating in the goods components of both the Consumer Price Index (CPI) and the Personal Consumption Expenditures (PCE) Price Index. Additionally, there is a clearer path to a gradual disinflation in housing-related expenses by the second half of 2023. However, the services component of both indicators remains stubbornly high, driven by a still-resilient U.S. labor market driving continued upward wage pressure. Accordingly, the Federal Open Market Committee (FOMC) remains steadfast in its determination to continue to slow the U.S. economy and has indicated that incremental rate hikes should be expected in early 2023, with the FOMC's "dot plot" median rate projection now having increased from 4.6% to 5.1% for the end of 2023. It is increasingly clear that a mild recession is the likely scenario as the Fed seeks to cool wage inflation and bring down both realized inflation and future inflationary expectations.

**Relative Performance**![LOGO](g422955v01g64.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 | Average Annual Total Returns<br>For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Small Cap Growth Stock Portfolio | -28.49% | 3.55% | 9.40% |
|  Russell 2000<sup>®</sup> Growth Index | -26.36% | 3.51% | 9.20% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Small Cap Growth Funds Average | -27.22% | 5.76% | 9.81% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Stocks of smaller companies, such as those held in this Portfolio, are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both more volatile and more speculative. Investing in small company stocks involves a greater degree of risk than investing in medium or large company stocks.* 

*The Portfolio may invest in exchange-traded funds ("ETFs") for cash management purposes. Investing in ETFs may expose the Portfolio to greater risk of loss and price fluctuation than investing directly in an equity security. The market prices of ETFs may trade at a premium or discount to their net asset value and may be subject to trading halts by the applicable exchange, which may negatively impact the Portfolio.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; iShares Russell 2000 Growth ETF | 2.0% |
| &nbsp;&nbsp;&nbsp; Applied Industrial Technologies, Inc. | 1.8% |
| &nbsp;&nbsp;&nbsp; Crocs, Inc. | 1.8% |
| &nbsp;&nbsp;&nbsp; Texas Roadhouse, Inc. | 1.5% |
| &nbsp;&nbsp;&nbsp; Wingstop, Inc. | 1.5% |
| &nbsp;&nbsp;&nbsp; Fabrinet | 1.4% |
| &nbsp;&nbsp;&nbsp; WillScot Mobile Mini Holdings Corp. | 1.4% |
| &nbsp;&nbsp;&nbsp; CACI International, Inc. - Class A | 1.3% |
| &nbsp;&nbsp;&nbsp; Haemonetics Corp. | 1.3% |
| &nbsp;&nbsp;&nbsp; Insperity, Inc. | 1.3% |

---

**60** 

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##### [**Table of Contents**](#toc)
**Small Cap Growth Stock Portfolio (unaudited)** 

------

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Health Care | 21.4% |
| &nbsp;&nbsp;&nbsp; Industrials | 20.1% |
| &nbsp;&nbsp;&nbsp; Information Technology | 20.0% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 12.5% |
| &nbsp;&nbsp;&nbsp; Energy | 6.0% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 5.7% |
| &nbsp;&nbsp;&nbsp; Financials | 4.1% |
| &nbsp;&nbsp;&nbsp; Materials | 3.8% |
| &nbsp;&nbsp;&nbsp; Real Estate | 2.3% |
| &nbsp;&nbsp;&nbsp; Investment Companies | 2.0% |
| &nbsp;&nbsp;&nbsp; Communication Services | 1.5% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 0.6% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**61** 

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##### [**Table of Contents**](#toc)
**Small Cap Growth Stock Portfolio** 

**SCHEDULE OF INVESTMENTS** 

December 31, 2022

---

| | | |
|:---|:---|:---|
| Common Stocks (97.4%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Communication Services (1.5%)** | **Communication Services (1.5%)** |  |
|  Bumble, Inc. \* | 151721 | 3194 |
|  Ziff Davis, Inc. \* | 72203 | 5711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **8905** |
|  **Consumer Discretionary (12.5%)** | **Consumer Discretionary (12.5%)** |  |
|  Burlington Stores, Inc. \* | 26945 | 5463 |
|  Churchill Downs, Inc. | 22548 | 4767 |
|  Crocs, Inc. \* | 96917 | 10509 |
|  Deckers Outdoor Corp. \* | 15475 | 6177 |
|  Fox Factory Holding Corp. \* | 73801 | 6733 |
|  Patrick Industries, Inc. | 56648 | 3433 |
|  Penn National Gaming, Inc. \* | 100835 | 2995 |
|  Texas Roadhouse, Inc. | 100597 | 9149 |
|  Thor Industries, Inc. | 52698 | 3978 |
|  Visteon Corp. \* | 44338 | 5801 |
|  Wingstop, Inc. | 65663 | 9036 |
|  YETI Holdings, Inc. \* | 150074 | 6200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **74241** |
|  **Consumer Staples (5.7%)** | **Consumer Staples (5.7%)** |  |
|  The Beauty Health Co. \* | 268054 | 2439 |
|  The Boston Beer Co., Inc. - Class A \* | 7654 | 2522 |
|  Celsius Holdings, Inc. \* | 59797 | 6221 |
|  Freshpet, Inc. \* | 65980 | 3482 |
|  Lancaster Colony Corp. | 28362 | 5596 |
|  Performance Food Group Co. \* | 81943 | 4785 |
|  The Simply Good Foods Co. \* | 111751 | 4250 |
|  Sovos Brands, Inc. \* | 310574 | 4463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **33758** |
|  **Energy (6.0%)** | **Energy (6.0%)** |  |
|  Helmerich & Payne, Inc. | 123390 | 6117 |
|  Magnolia Oil & Gas Corp. | 316861 | 7430 |
|  Oasis Petroleum, Inc. | 49390 | 6757 |
|  Ovintiv, Inc. | 87273 | 4426 |
|  PDC Energy, Inc. | 86915 | 5517 |
|  SM Energy Co. | 166201 | 5789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **36036** |
|  **Financials (4.1%)** | **Financials (4.1%)** |  |
|  James River Group Holdings, Ltd. | 102355 | 2140 |
|  MGIC Investment Corp. | 393654 | 5118 |
|  Stifel Financial Corp. | 93695 | 5469 |
|  Synovus Financial Corp. | 126919 | 4766 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (97.4%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Financials continued** | **Financials continued** |  |
|  Triumph Financial, Inc. \* | 67858 | 3316 |
|  Western Alliance Bancorp | 57055 | 3398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **24207** |
|  **Health Care (21.4%)** | **Health Care (21.4%)** |  |
|  Aclaris Therapeutics, Inc. \* | 173460 | 2732 |
|  Amedisys, Inc. \* | 20088 | 1678 |
|  Apellis Pharmaceuticals, Inc. \* | 51346 | 2655 |
|  AtriCure, Inc. \* | 85077 | 3776 |
|  Blueprint Medicines Corp. \* | 75758 | 3319 |
|  Celldex Therapeutics, Inc. \* | 78932 | 3518 |
|  Crinetics Pharmaceuticals, Inc. \* | 108491 | 1985 |
|  Cytokinetics, Inc. \* | 85462 | 3916 |
|  Denali Therapeutics, Inc. \* | 108806 | 3026 |
|  Encompass Health Corp. | 82539 | 4937 |
|  Glaukos Corp. \* | 84810 | 3705 |
|  Globus Medical, Inc. - Class A \* | 96950 | 7200 |
|  Haemonetics Corp. \* | 96965 | 7626 |
|  Halozyme Therapeutics, Inc. \* | 31952 | 1818 |
|  Harmony Biosciences Holdings, Inc. \* | 54959 | 3028 |
|  HealthEquity, Inc. \* | 80248 | 4946 |
|  ImmunoGen, Inc. \* | 452803 | 2246 |
|  Inari Medical, Inc. \* | 59303 | 3769 |
|  Inhibrx, Inc. \* | 88254 | 2175 |
|  Inspire Medical Systems, Inc. \* | 12554 | 3162 |
|  Integra LifeSciences Holdings Corp. \* | 114130 | 6399 |
|  Intra-Cellular Therapies, Inc. \* | 87426 | 4627 |
|  Karuna Therapeutics, Inc. \* | 22096 | 4342 |
|  Kymera Therapeutics, Inc. \* | 65110 | 1625 |
|  ModivCare, Inc. \* | 19934 | 1789 |
|  Morphic Holding, Inc. \* | 98697 | 2640 |
|  Omnicell, Inc. \* | 57772 | 2913 |
|  Owens & Minor, Inc. \* | 179586 | 3507 |
|  Pacira Biosciences, Inc. \* | 67687 | 2613 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (97.4%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Health Care continued** | **Health Care continued** |  |
|  PTC Therapeutics, Inc. \* | 75848 | 2895 |
|  Replimune Group, Inc. \* | 50659 | 1378 |
|  Revance Therapeutics, Inc. \* | 139081 | 2567 |
|  Revolution Medicines, Inc. \* | 118556 | 2824 |
|  Sage Therapeutics, Inc. \* | 53056 | 2024 |
|  Shockwave Medical, Inc. \* | 13830 | 2844 |
|  Syndax Pharmaceuticals, Inc. \* | 112674 | 2868 |
|  Vaxcyte, Inc. \* | 95590 | 4584 |
|  Veracyte, Inc. \* | 82701 | 1962 |
|  Zentalis Pharmaceuticals, Inc. \* | 80659 | 1624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **127242** |
|  **Industrials (20.1%)** | **Industrials (20.1%)** |  |
|  Ameresco, Inc. \* | 66083 | 3776 |
|  Applied Industrial Technologies, Inc. | 85362 | 10758 |
|  Armstrong World Industries, Inc. | 38113 | 2614 |
|  ASGN, Inc. \* | 78856 | 6425 |
|  Boise Cascade Co. | 36765 | 2525 |
|  CACI International, Inc. - Class A \* | 25781 | 7749 |
|  Casella Waste Systems, Inc. - Class A \* | 60347 | 4786 |
|  Chart Industries, Inc. \* | 39750 | 4580 |
|  Clean Harbors, Inc. \* | 25562 | 2917 |
|  Curtiss-Wright Corp. | 35854 | 5987 |
|  Exponent, Inc. | 38609 | 3826 |
|  Fluor Corp. \* | 106704 | 3698 |
|  Herc Holdings, Inc. | 26190 | 3446 |
|  Insperity, Inc. | 65669 | 7460 |
|  ITT, Inc. | 61143 | 4959 |
|  John Bean Technologies Corp. | 62924 | 5747 |
|  KBR, Inc. | 95432 | 5039 |
|  Rush Enterprises, Inc. | 54354 | 2842 |
|  Shoals Technologies Group, Inc. \* | 154309 | 3807 |
|  SPX Technologies, Inc. \* | 95307 | 6257 |
|  Stem, Inc. \* | 317706 | 2840 |
|  Tetra Tech, Inc. | 16488 | 2394 |
|  WillScot Mobile Mini Holdings Corp. \* | 186039 | 8403 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**62** 

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##### [**Table of Contents**](#toc)
**Small Cap Growth Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (97.4%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Industrials continued** | **Industrials continued** |  |
|  Zurn Water Solutions Corp. | 322350 | 6818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **119653** |
|  **Information Technology (20.0%)** | **Information Technology (20.0%)** |  |
|  Alarm.com Holdings, Inc. \* | 88693 | 4389 |
|  Axcelis Technologies, Inc. \* | 62345 | 4948 |
|  Blackbaud, Inc. \* | 71650 | 4217 |
|  Ceridian HCM Holding, Inc. \* | 56002 | 3593 |
|  Cirrus Logic, Inc. \* | 38768 | 2887 |
|  Concentrix Corp. | 32091 | 4273 |
|  Consensus Cloud Solutions, Inc. \* | 37071 | 1993 |
|  DigitalOcean Holdings, Inc. \* | 40762 | 1038 |
|  EngageSmart, Inc. \* | 201001 | 3538 |
|  ExlService Holdings, Inc. \* | 34504 | 5846 |
|  Fabrinet \* | 65729 | 8428 |
|  Five9, Inc. \* | 45388 | 3080 |
|  Insight Enterprises, Inc. \* | 58660 | 5882 |
|  Lattice Semiconductor Corp. \* | 47750 | 3098 |
|  Lumentum Holdings, Inc. \* | 33872 | 1767 |
|  Manhattan Associates, Inc. \* | 43753 | 5312 |
|  MKS Instruments, Inc. | 39877 | 3379 |
|  Novanta, Inc. \* | 38710 | 5259 |
|  Olo, Inc. \* | 79285 | 496 |
|  Perficient, Inc. \* | 84055 | 5870 |
|  Power Integrations, Inc. | 81571 | 5850 |
|  PowerSchool Holdings, Inc. \* | 62290 | 1438 |
|  Rapid7, Inc. \* | 55327 | 1880 |
|  Repay Holdings Corp. \* | 123134 | 991 |
|  Shift4 Payments, Inc. \* | 92498 | 5173 |
|  Silicon Laboratories, Inc. \* | 38936 | 5282 |
|  Sprout Social, Inc. \* | 75367 | 4255 |
|  Verra Mobility Corp. \* | 513487 | 7101 |
|  WEX, Inc. \* | 23694 | 3877 |
|  Workiva, Inc. \* | 48680 | 4088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **119228** |
|  **Materials (3.8%)** | **Materials (3.8%)** |  |
|  Axalta Coating |  |  |
|  Systems, Ltd. \* | 253679 | 6461 |
|  Cabot Corp. | 84779 | 5667 |
|  Ingevity Corp. \* | 40165 | 2829 |
|  Livent Corp. \* | 268606 | 5337 |
|  Louisiana-Pacific Corp. | 40868 | 2420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **22714** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (97.4%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Real Estate (2.3%)** | **Real Estate (2.3%)** |  |
|  Agree Realty Corp. | 47251 | 3351 |
|  Phillips Edison & Co., Inc. | 169523 | 5398 |
|  Ryman Hospitality Properties, Inc. | 57577 | 4709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **13458** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $540,616)** |  | **579442** |
| Investment Companies (2.0%) |  |  |
|  **Investment Companies (2.0%)** |  |  |
|  iShares Russell 2000 Growth ETF | 55310 | 11865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **11865** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $11,644)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $11,644)** | **11865** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.4%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.4%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $552,260)<sup>@</sup>**  |  | **591307** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (0.6%)** |  | **3570** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **594877** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Small Cap Growth Stock Portfolio** 

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $553,461 and the net unrealized appreciation of investments based on that cost was $37,846 which is comprised of $87,627 aggregate gross unrealized appreciation and $49,781 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br> Observable Inputs | Level 3 –<br>Significant<br> Unobservable Inputs |
|  |  | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $579442 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 11865 | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $591307 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**64** 

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##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio (unaudited)** 

------

---

| | |
|:---|:---|
| **Objective:** | **Net Assets:** |
| Investment results that approximate the performance of the S&P SmallCap 600<sup>®</sup> Index. Invest in stocks that make up the S&P SmallCap 600<sup>®</sup> Index, holding each stock in approximately the same proportion as its weighting in the Index. | $372 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Index 600 Stock Portfolio (the "Portfolio"), has engaged Northern Trust Investments, Inc. ("Northern Trust") to act as sub-adviser for the Portfolio. The Portfolio seeks investment results that approximate the performance of the S&P SmallCap 600<sup>®</sup> Index. The Portfolio attempts to achieve its objective by investing all, or substantially all, of its assets in stocks that make up the S&P SmallCap 600<sup>®</sup> Index, holding each stock in approximately the same proportion as its weighting in the Index. This is known as a full replication strategy. The Portfolio may also invest in equity index futures to help achieve full replication.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia's invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exasperated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

In this environment, large cap stocks, as represented by the S&P 500<sup>®</sup> Index, posted a return of (18.11%), underperforming the S&P MidCap 400<sup>®</sup> and the S&P SmallCap 600<sup>®</sup> Indices, which returned (13.06%) and (16.10%), respectively. Meanwhile, the broader bond market, as represented by the Bloomberg<sup>®</sup> U.S. Aggregate Index, returned (13.01%), while the Bloomberg<sup>®</sup> U.S. Corporate High Yield Index returned (11.18%).

PORTFOLIO RESULTS

The Index 600 Stock Portfolio returned (16.37%) for the twelve months ending December 31, 2022, trailing the S&P 600<sup>®</sup> Index (the "Index"), which posted a return of (16.10%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) Portfolio performance lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with stock index futures contracts. According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Small Cap Core Funds peer group was (16.51%). However, the Small Cap Core Funds peer group is not strictly comparable to the Portfolio because many of the funds in the group are actively managed.

The Real Estate sector detracted the most from the Portfolio's return as higher interest rates increased borrowing costs to finance property acquisitions. Stock prices of companies in the real estate management and development industry declined as rising interest rates outpaced the dividend rate paid by real estate investment trusts, weakening their attractiveness for income-oriented investors.

The Consumer Discretionary sector also detracted meaningfully from the Portfolio's return as consumers deferred purchases of non-essential goods and services amid rising prices and an uncertain economic outlook. Companies in the household durables industry struggled with supply chain shortfalls that limited production and weakening consumer sentiment as the economic outlook worsened.

The Information Technology sector also detracted from the Portfolio's return as rising inflation and higher bond yields led to a broad-based revaluation of growth stocks. The IT services industry declined amid weakening orders and deteriorating fundamentals. Companies in the semiconductors and semiconductor equipment industry reported falling demand for the PCs, smartphones and other consumer electronics that require microprocessors, in addition to widening U.S. restrictions on the sale of microchips to China.

Conversely, the Energy sector contributed to the Portfolio's return as the war in Ukraine and Western sanctions against Russia sent oil and gas prices sharply higher early in the year. Companies in the oil, gas and consumable fuels industry posted stronger profits on higher oil prices and restricted supplies.

**65** 

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##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio (unaudited)** 

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**Relative Performance**![LOGO](g422955v01g70.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns | Average Annual Total Returns | Average Annual Total Returns | Average Annual Total Returns |
| For Periods Ended December 31, 2022 | For Periods Ended December 31, 2022 | For Periods Ended December 31, 2022 | For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Index 600 Stock Portfolio | -16.37% | 5.51% | 10.42% |
|  S&P SmallCap 600<sup>®</sup> Index | -16.10% | 5.87% | 10.82% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Small Cap Core Funds Average | -16.51% | 4.29% | 8.93% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*"Standard & Poor's<sup>®</sup>", "S&P<sup>®</sup>", "S&P SmallCap 600" and "Standard & Poor's SmallCap 600" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the Portfolio.* 

*Stocks of smaller companies, such as those held in this Portfolio, are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both more volatile and more speculative. Investing in small company stocks involves a greater degree of risk than investing in medium or large company stocks.* 

*The Portfolio may invest in exchange-traded funds and derivative instruments, such as equity index futures for cash management and liquidity purposes and to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.* 

**Top 10 Holdings 12/31/22** 

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| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Agree Realty Corp. | 0.7% |
| &nbsp;&nbsp;&nbsp; Ensign Group, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp; Helmerich & Payne, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp; Exponent, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp; UFP Industries, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp; Applied Industrial Technologies, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp; Fabrinet | 0.5% |
| &nbsp;&nbsp;&nbsp; SPS Commerce, Inc. | 0.5% |
| &nbsp;&nbsp;&nbsp; AMN Healthcare Services, Inc. | 0.5% |
| &nbsp;&nbsp;&nbsp; South Jersey Industries, Inc. | 0.5% |

---

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Financials | 17.9% |
| &nbsp;&nbsp;&nbsp; Industrials | 17.0% |
| &nbsp;&nbsp;&nbsp; Information Technology | 13.0% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 12.5% |
| &nbsp;&nbsp;&nbsp; Health Care | 11.1% |
| &nbsp;&nbsp;&nbsp; Real Estate | 7.8% |
| &nbsp;&nbsp;&nbsp; Materials | 5.6% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 5.2% |
| &nbsp;&nbsp;&nbsp; Energy | 4.6% |
| &nbsp;&nbsp;&nbsp; Utilities | 2.6% |
| &nbsp;&nbsp;&nbsp; Communication Services | 1.9% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 0.8% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**66** 

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##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio** 

**SCHEDULE OF INVESTMENTS** 

December 31, 2022

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communication Services (1.9%)** | **Communication Services (1.9%)** |  |
|  AMC Networks, Inc. - <br>Class A \* | 12021 | 188 |
|  ATN International, Inc. | 4507 | 204 |
|  Cars.com, Inc. \* | 26138 | 360 |
|  Cinemark Holdings, Inc. \* | 45278 | 392 |
|  Cogent Communications Holdings, Inc. | 18021 | 1029 |
|  Consolidated Communications Holdings, Inc. \* | 30545 | 109 |
|  The E.W. Scripps Co. - <br>Class A \* | 24359 | 321 |
|  Gannett Co., Inc. \* | 61887 | 126 |
|  Gogo, Inc. \* | 27554 | 407 |
|  The Marcus Corp. | 10228 | 147 |
|  QuinStreet, Inc. \* | 21258 | 305 |
|  Scholastic Corp. | 12453 | 492 |
|  Shenandoah Telecommunications Co. | 21118 | 335 |
|  Shutterstock, Inc. | 10149 | 535 |
|  TechTarget, Inc. \* | 11412 | 503 |
|  Telephone and Data Systems, Inc. | 42163 | 442 |
|  Thryv Holdings, Inc. \* | 12866 | 245 |
|  Yelp, Inc. \* | 29453 | 805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **6945** |
|  **Consumer Discretionary (12.5%)** | **Consumer Discretionary (12.5%)** |  |
|  The Aaron's Co., Inc. | 12729 | 152 |
|  Abercrombie & Fitch Co. - Class A \* | 20881 | 478 |
|  Academy Sports & Outdoors, Inc. | 33664 | 1769 |
|  Adtalem Global Education, Inc. \* | 19171 | 681 |
|  American Axle & Manufacturing Holdings, Inc. \* | 48230 | 377 |
|  American Eagle Outfitters, Inc. | 73555 | 1027 |
|  America's Car-Mart, Inc. \* | 2449 | 177 |
|  Asbury Automotive Group, Inc. \* | 9346 | 1675 |
|  Bed Bath & Beyond, Inc. \* | 32467 | 81 |
|  Big Lots, Inc. | 12408 | 182 |
|  BJ's Restaurants, Inc. \* | 9878 | 261 |
|  Bloomin' Brands, Inc. | 37137 | 747 |
|  Boot Barn Holdings, Inc. \* | 12647 | 791 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer Discretionary continued** | **Consumer Discretionary continued** | **Consumer Discretionary continued** |
|  Brinker International, Inc. \* | 18568 | 593 |
|  The Buckle, Inc. | 12555 | 569 |
|  Caleres, Inc. | 15423 | 344 |
|  Cavco Industries, Inc. \* | 3504 | 793 |
|  Century Communities, Inc. | 11919 | 596 |
|  The Cheesecake Factory, Inc. | 20220 | 641 |
|  Chico's FAS, Inc. \* | 52389 | 258 |
|  The Children's Place, Inc. \* | 5531 | 201 |
|  Chuy's Holdings, Inc. \* | 7619 | 216 |
|  Dave & Buster's Entertainment, Inc. \* | 17739 | 629 |
|  Designer Brands, Inc. | 21503 | 210 |
|  Dine Brands Global, Inc. | 6616 | 427 |
|  Dorman Products, Inc. \* | 11988 | 969 |
|  El Pollo Loco Holdings, Inc. | 8397 | 84 |
|  Ethan Allen Interiors, Inc. | 9569 | 253 |
|  Frontdoor, Inc. \* | 34401 | 716 |
|  Genesco, Inc. \* | 5246 | 241 |
|  Gentherm, Inc. \* | 14076 | 919 |
|  G-III Apparel Group, Ltd. \* | 17938 | 246 |
|  Golden Entertainment, Inc. \* | 9329 | 349 |
|  Green Brick Partners, Inc. \* | 11610 | 281 |
|  Group 1 Automotive, Inc. | 6156 | 1110 |
|  Guess?, Inc. | 12858 | 266 |
|  Haverty Furniture Cos., Inc. | 5571 | 167 |
|  Hibbett, Inc. | 5431 | 371 |
|  Installed Building Products, Inc. | 9900 | 847 |
|  iRobot Corp. \* | 11554 | 556 |
|  Jack in the Box, Inc. | 8889 | 607 |
|  Kontoor Brands, Inc. | 20916 | 836 |
|  La-Z-Boy, Inc. | 18243 | 416 |
|  LCI Industries | 10781 | 997 |
|  Leslie's, Inc. \* | 62828 | 767 |
|  LGI Homes, Inc. \* | 8644 | 800 |
|  Liquidity Services, Inc. \* | 11537 | 162 |
|  M.D.C. Holdings, Inc. | 24058 | 760 |
|  M/I Homes, Inc. \* | 11556 | 534 |
|  MarineMax, Inc. \* | 9071 | 283 |
|  Meritage Homes Corp. \* | 15446 | 1424 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer Discretionary continued** | **Consumer Discretionary continued** | **Consumer Discretionary continued** |
|  Mister Car Wash, Inc. \* | 33121 | 306 |
|  Monarch Casino & Resort, Inc. \* | 5560 | 428 |
|  Monro, Inc. | 13278 | 600 |
|  Motorcar Parts of America, Inc. \* | 7944 | 94 |
|  Movado Group, Inc. | 6827 | 220 |
|  National Vision Holdings, Inc. \* | 33305 | 1291 |
|  The ODP Corp. \* | 17026 | 775 |
|  Oxford Industries, Inc. | 6354 | 592 |
|  Patrick Industries, Inc. | 9081 | 550 |
|  Perdoceo Education Corp. \* | 28444 | 395 |
|  PetMed Express, Inc. | 8910 | 158 |
|  Rent-A-Center, Inc. | 21160 | 477 |
|  Ruth's Hospitality Group, Inc. | 12629 | 196 |
|  Sally Beauty Holdings, Inc. \* | 45112 | 565 |
|  Shake Shack, Inc. - Class A \* | 15744 | 654 |
|  Shoe Carnival, Inc. | 7088 | 169 |
|  Signet Jewelers, Ltd. | 19525 | 1328 |
|  Six Flags Entertainment Corp. \* | 31300 | 728 |
|  Sleep Number Corp. \* | 9394 | 244 |
|  Sonic Automotive, Inc. - Class A | 7045 | 347 |
|  Sonos, Inc. \* | 53734 | 908 |
|  Standard Motor Products, Inc. | 7940 | 276 |
|  Steven Madden, Ltd. | 30868 | 987 |
|  Strategic Education, Inc. | 9405 | 737 |
|  Stride, Inc. \* | 17212 | 538 |
|  Sturm, Ruger & Co., Inc. | 7513 | 380 |
|  TRI Pointe Homes, Inc. \* | 42624 | 792 |
|  Universal Electronics, Inc. \* | 5047 | 105 |
|  Urban Outfitters, Inc. \* | 25268 | 603 |
|  Vista Outdoor, Inc. \* | 23837 | 581 |
|  Winnebago Industries, Inc. | 12875 | 679 |
|  Wolverine World Wide, Inc. | 33115 | 362 |
|  WW International, Inc. \* | 22690 | 88 |
|  XPEL, Inc. \* | 8235 | 495 |
|  Zumiez, Inc. \* | 6534 | 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **46626** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**67** 

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##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer Staples (5.2%)** | **Consumer Staples (5.2%)** |  |
|  The Andersons, Inc. | 13144 | 460 |
|  B&G Foods, Inc. | 30491 | 340 |
|  Calavo Growers, Inc. | 7572 | 223 |
|  Cal-Maine Foods, Inc. | 16036 | 873 |
|  Central Garden & Pet Co. \* | 4111 | 154 |
|  Central Garden & Pet Co. - Class A \* | 17472 | 625 |
|  The Chefs' Warehouse, Inc. \* | 14467 | 481 |
|  e.l.f. Beauty, Inc. \* | 21226 | 1174 |
|  Edgewell Personal Care Co. | 21961 | 846 |
|  Fresh Del Monte Produce, Inc. | 12854 | 337 |
|  The Hain Celestial Group, Inc. \* | 37740 | 611 |
|  Hostess Brands, Inc. \* | 56538 | 1269 |
|  Inter Parfums, Inc. | 7576 | 731 |
|  J & J Snack Foods Corp. | 6342 | 949 |
|  John B. Sanfilippo & Son, Inc. | 3727 | 303 |
|  Medifast, Inc. | 4610 | 532 |
|  MGP Ingredients, Inc. | 6526 | 694 |
|  National Beverage Corp. \* | 9806 | 456 |
|  Nu Skin Enterprises, Inc. | 20852 | 879 |
|  PriceSmart, Inc. | 10558 | 642 |
|  Seneca Foods Corp. - Class A \* | 2232 | 136 |
|  The Simply Good Foods Co. \* | 35520 | 1351 |
|  SpartanNash Co. | 14855 | 449 |
|  Tootsie Roll Industries, Inc. | 7433 | 316 |
|  TreeHouse Foods, Inc. \* | 21356 | 1055 |
|  United Natural Foods, Inc. \* | 24715 | 957 |
|  Universal Corp. | 10374 | 548 |
|  USANA Health Sciences, Inc. \* | 4676 | 249 |
|  Vector Group, Ltd. | 55399 | 657 |
|  WD-40 Co. | 5731 | 924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **19221** |
|  **Energy (4.6%)** |  |  |
|  Archrock, Inc. | 56215 | 505 |
|  Bristow Group, Inc. \* | 10045 | 272 |
|  Callon Petroleum Co. \* | 21545 | 799 |
|  Civitas Resources, Inc. | 21977 | 1273 |
|  CONSOL Energy, Inc. | 13878 | 902 |
|  Core Laboratories NV | 19770 | 401 |
|  DMC Global, Inc. \* | 7792 | 151 |
|  Dorian LPG, Ltd. | 13308 | 252 |
|  Dril-Quip, Inc. \* | 14303 | 389 |
|  Green Plains, Inc. \* | 25025 | 763 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Energy continued** |  |  |
|  Helix Energy Solutions Group, Inc. \* | 59879 | 442 |
|  Helmerich & Payne, Inc. | 44434 | 2203 |
|  Laredo Petroleum, Inc. \* | 7090 | 365 |
|  Nabors Industries, Ltd. \* | 3771 | 584 |
|  Oceaneering International, Inc. \* | 42300 | 740 |
|  Oil States International, Inc. \* | 26923 | 201 |
|  Par Pacific Holdings, Inc. \* | 23537 | 547 |
|  Patterson-UTI Energy, Inc. | 91537 | 1541 |
|  ProPetro Holding Corp. \* | 40559 | 421 |
|  Ranger Oil Corp. - Class A | 8024 | 324 |
|  REX American Resources Corp. \* | 6591 | 210 |
|  RPC, Inc. | 35517 | 316 |
|  SM Energy Co. | 51930 | 1809 |
|  Talos Energy, Inc. \* | 27668 | 522 |
|  US Silica Holdings, Inc. \* | 31810 | 398 |
|  World Fuel Services Corp. | 26059 | 712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **17042** |
|  **Financials (17.9%)** |  |  |
|  Ambac Financial Group, Inc. \* | 19187 | 335 |
|  American Equity Investment Life Holding Co. | 29317 | 1337 |
|  Ameris Bancorp | 27601 | 1301 |
|  AMERISAFE, Inc. | 8080 | 420 |
|  Apollo Commercial Real Estate Finance, Inc. | 54578 | 587 |
|  ARMOUR Residential REIT, Inc. | 55730 | 314 |
|  Assured Guaranty, Ltd. | 25329 | 1577 |
|  Axos Financial, Inc. \* | 22632 | 865 |
| B. Riley Financial, Inc. | 6772 | 232 |
|  Banc of California, Inc. | 23520 | 375 |
|  BancFirst Corp. | 7363 | 649 |
|  The Bancorp, Inc. \* | 23635 | 671 |
|  BankUnited, Inc. | 32652 | 1109 |
|  Banner Corp. | 14432 | 912 |
|  Berkshire Hills Bancorp, Inc. | 19001 | 568 |
|  Blucora, Inc. \* | 20262 | 517 |
|  Brightsphere Investment Group, Inc. | 13649 | 281 |
|  Brookline Bancorp, Inc. | 32572 | 461 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Financials continued** |  |  |
|  Capitol Federal Financial, Inc. | 54478 | 471 |
|  Central Pacific Financial Corp. | 11530 | 234 |
|  City Holding Co. | 6247 | 581 |
|  Columbia Banking System, Inc. | 33148 | 999 |
|  Community Bank System, Inc. | 22637 | 1425 |
|  Customers Bancorp, Inc. \* | 13013 | 369 |
|  CVB Financial Corp. | 55524 | 1430 |
|  Dime Community Bancshares, Inc. | 13654 | 435 |
|  Donnelley Financial Solutions, Inc. \* | 10571 | 409 |
|  Eagle Bancorp, Inc. | 13439 | 592 |
|  Ellington Financial, Inc. | 24241 | 300 |
|  Employers Holdings, Inc. | 11491 | 496 |
|  Encore Capital Group, Inc. \* | 9879 | 474 |
|  Enova International, Inc. \* | 13287 | 510 |
|  EZCORP, Inc. - Class A \* | 22712 | 185 |
|  FB Financial Corp. | 14793 | 535 |
|  First Bancorp | 93126 | 1641 |
|  First Commonwealth Financial Corp. | 39449 | 551 |
|  First Financial Bancorp | 40176 | 973 |
|  First Hawaiian, Inc. | 54038 | 1407 |
|  Franklin BSP Realty Trust, Inc. | 34823 | 449 |
|  Genworth Financial, Inc. - Class A \* | 209710 | 1109 |
|  Granite Point Mortgage Trust, Inc. | 21963 | 118 |
|  Green Dot Corp. - Class A \* | 19760 | 313 |
|  Hanmi Financial Corp. | 12848 | 318 |
|  HCI Group, Inc. | 3002 | 119 |
|  Heritage Financial Corp. | 14784 | 453 |
|  Hilltop Holdings, Inc. | 19347 | 581 |
|  HomeStreet, Inc. | 7654 | 211 |
|  Hope Bancorp, Inc. | 50410 | 646 |
|  Horace Mann Educators Corp. | 17190 | 642 |
|  Independent Bank Corp. | 19247 | 1625 |
|  Independent Bank Group, Inc. | 14985 | 900 |
|  Invesco Mortgage Capital, Inc. | 14957 | 190 |
|  James River Group Holdings, Ltd. | 15807 | 330 |
|  KKR Real Estate Finance Trust, Inc. | 24228 | 338 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**68** 

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##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financials continued** |  |  |
|  Lakeland Financial Corp. | 10732 | 783 |
|  LendingTree, Inc. \* | 4550 | 97 |
|  Mercury General Corp. | 11163 | 382 |
|  Meta Financial Group, Inc. | 12152 | 523 |
|  Mr. Cooper Group, Inc. \* | 29799 | 1196 |
|  National Bank Holding Corp. - Class A | 15919 | 670 |
|  NBT Bancorp, Inc. | 18124 | 787 |
|  New York Mortgage Trust, Inc. | 156699 | 401 |
|  NMI Holdings, Inc. - Class A \* | 35311 | 738 |
|  Northfield Bancorp, Inc. | 17884 | 281 |
|  Northwest Bancshares, Inc. | 53610 | 749 |
|  OFG Bancorp | 20059 | 553 |
|  Pacific Premier Bancorp, Inc. | 40124 | 1266 |
|  Palomar Holdings, Inc. \* | 10693 | 483 |
|  Park National Corp. | 6118 | 861 |
|  PennyMac Mortgage Investment Trust | 37565 | 465 |
|  Piper Sandler Cos. | 5965 | 777 |
|  PRA Group, Inc. \* | 16563 | 559 |
|  Preferred Bank | 5564 | 415 |
|  ProAssurance Corp. | 22974 | 401 |
|  PROG Holdings, Inc. \* | 21191 | 358 |
|  Provident Financial Services, Inc. | 31959 | 683 |
|  Ready Capital Corp. | 41452 | 462 |
|  Redwood Trust, Inc. | 47883 | 324 |
|  Renasant Corp. | 23607 | 887 |
|  S&T Bancorp, Inc. | 16467 | 563 |
|  Safety Insurance Group, Inc. | 6193 | 522 |
|  Seacoast Banking Corp. of Florida | 30005 | 936 |
|  ServisFirst Bancshares, Inc. | 20673 | 1425 |
|  Simmons First National Corp. - Class A | 53688 | 1159 |
|  SiriusPoint, Ltd. \* | 35655 | 210 |
|  Southside Bancshares, Inc. | 12852 | 462 |
|  Stellar Bancorp, Inc. | 18778 | 553 |
|  Stewart Information Services Corp. | 11434 | 489 |
|  StoneX Group, Inc. \* | 7295 | 695 |
|  Tompkins Financial Corp. | 5293 | 411 |
|  Triumph Financial, Inc. \* | 9557 | 467 |
|  Trupanion, Inc. \* | 14866 | 707 |
|  TrustCo Bank Corp. | 8012 | 301 |
|  Trustmark Corp. | 25727 | 898 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financials continued** |  |  |
|  Two Harbors |  |  |
|  Investment Corp. | 36567 | 577 |
|  United Community |  |  |
|  Banks, Inc. | 44842 | 1516 |
|  United Fire Group, Inc. | 9191 | 251 |
|  Universal Insurance Holdings, Inc. | 11460 | 121 |
|  Veritex Holdings, Inc. | 22776 | 640 |
|  Virtus Investment Partners, Inc. | 2871 | 550 |
|  Walker & Dunlop, Inc. | 12962 | 1017 |
|  Westamerica Bancorporation | 11355 | 670 |
|  WisdomTree Investments, Inc. | 46731 | 255 |
|  World Acceptance Corp. \* | 1400 | 92 |
|  WSFS Financial Corp. | 25993 | 1178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **66636** |
|  **Health Care (11.1%)** |  |  |
|  AdaptHealth LLC \* | 32492 | 625 |
|  Addus HomeCare Corp. \* | 6821 | 679 |
|  Agiliti, Inc. \* | 14078 | 230 |
|  Allscripts Healthcare Solutions, Inc. \* | 46159 | 814 |
|  AMN Healthcare Services, Inc. \* | 18319 | 1884 |
|  Amphastar Pharmaceuticals, Inc. \* | 15931 | 446 |
|  AngioDynamics, Inc. \* | 16363 | 225 |
|  ANI Pharmaceuticals, Inc. \* | 5189 | 209 |
|  Anika Therapeutics, Inc. \* | 6272 | 186 |
|  Apollo Medical Holdings, Inc. \* | 16803 | 497 |
|  Arcus Biosciences, Inc. \* | 22030 | 456 |
|  Artivion, Inc. \* | 16952 | 205 |
|  Avanos Medical, Inc. \* | 19654 | 532 |
|  Avid Bioservices, Inc. \* | 26271 | 362 |
|  BioLife Solutions, Inc. \* | 14312 | 260 |
|  Cara Therapeutics, Inc. \* | 19375 | 208 |
|  Cardiovascular Systems, Inc. \* | 17734 | 242 |
|  Catalyst Pharmaceuticals, Inc. \* | 40429 | 752 |
|  Coherus Biosciences, Inc. \* | 27106 | 215 |
|  Collegium Pharmaceutical, Inc. \* | 14135 | 328 |
|  Community Health Systems, Inc. \* | 52458 | 227 |

---

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| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Health Care continued** |  |  |
|  Computer Programs and Systems, Inc. \* | 6020 | 164 |
|  CONMED Corp. | 12875 | 1141 |
|  Corcept Therapeutics, Inc. \* | 40390 | 820 |
|  CorVel Corp. \* | 3858 | 561 |
|  Cross Country Healthcare, Inc. \* | 14965 | 398 |
|  Cutera, Inc. \* | 7480 | 331 |
|  Cytokinetics, Inc. \* | 39880 | 1827 |
|  Dynavax Technologies Corp. \* | 49896 | 531 |
|  Eagle Pharmaceuticals, Inc. \* | 4460 | 130 |
|  Embecta Corp. | 24379 | 617 |
|  Emergent BioSolutions, Inc. \* | 18821 | 222 |
|  Enanta Pharmaceuticals, Inc. \* | 8165 | 380 |
|  Enhabit, Inc. \* | 21073 | 277 |
|  Ensign Group, Inc. | 23468 | 2220 |
|  Fulgent Genetics, Inc. \* | 8332 | 248 |
|  Glaukos Corp. \* | 20169 | 881 |
|  Harmony Biosciences Holdings, Inc. \* | 12547 | 691 |
|  HealthStream, Inc. \* | 10149 | 252 |
|  Heska Corp. \* | 4347 | 270 |
|  Innoviva, Inc. \* | 26310 | 349 |
|  Inogen, Inc. \* | 9837 | 194 |
|  Integer Holdings Corp. \* | 13998 | 958 |
|  Ironwood Pharmaceuticals, Inc. \* | 56476 | 700 |
|  iTeos Therapeutics, Inc. \* | 10545 | 206 |
|  The Joint Corp. \* | 6231 | 87 |
|  LeMaitre Vascular, Inc. | 8162 | 376 |
|  Ligand Pharmaceuticals, Inc. - Class B \* | 6740 | 450 |
|  MEDNAX, Inc. \* | 34607 | 514 |
|  Meridian Bioscience, Inc. \* | 18403 | 611 |
|  Merit Medical Systems, Inc. \* | 24070 | 1700 |
|  Mesa Laboratories, Inc. | 2099 | 349 |
|  ModivCare, Inc. \* | 5379 | 483 |
|  Myriad Genetics, Inc. \* | 34222 | 497 |
|  Nektar Therapeutics \* | 78468 | 177 |
|  NeoGenomics, Inc. \* | 53177 | 491 |
|  NextGen Healthcare, Inc. \* | 23156 | 435 |
|  NuVasive, Inc. \* | 22020 | 908 |
|  OmniAb, Inc. - 12.50 Earnout Consideration \*,Æ | 2585 |  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**69** 

------

##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Health Care continued** | **Health Care continued** | **Health Care continued** |
|  OmniAb, Inc. - 15.00 Earnout Consideration \*,Æ | 2585 |  |
|  OptimizeRx Corp. \* | 7239 | 122 |
|  OraSure Technologies, Inc. \* | 31047 | 150 |
|  Organogenesis Holdings, Inc. \* | 29707 | 80 |
|  Orthofix Medical, Inc. \* | 8402 | 172 |
|  Owens & Minor, Inc. \* | 32351 | 632 |
|  Pacira Biosciences, Inc. \* | 19433 | 750 |
|  The Pennant Group, Inc. \* | 11787 | 129 |
|  Phibro Animal Health Corp. - Class A | 8678 | 116 |
|  Prestige Consumer Healthcare, Inc. \* | 20930 | 1310 |
|  RadNet, Inc. \* | 20759 | 391 |
|  REGENXBIO, Inc. \* | 15894 | 360 |
|  Select Medical Holdings Corp. | 44001 | 1093 |
|  Simulations Plus, Inc. | 6721 | 246 |
|  Supernus Pharmaceuticals, Inc. \* | 22823 | 814 |
|  Surmodics, Inc. \* | 5836 | 199 |
|  uniQure NV \* | 17479 | 396 |
|  US Physical Therapy, Inc. | 5468 | 443 |
|  Vanda Pharmaceuticals, Inc. \* | 23447 | 173 |
|  Varex Imaging Corp. \* | 16777 | 341 |
|  Vericel Corp. \* | 20062 | 528 |
|  Vir Biotechnology, Inc. \* | 32074 | 812 |
|  Xencor, Inc. \* | 25325 | 659 |
|  Zimvie, Inc. \* | 8566 | 80 |
|  Zynex, Inc. | 9180 | 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **41152** |
|  **Industrials (17.0%)** |  |  |
|  3D Systems Corp. \* | 55452 | 410 |
|  AAON, Inc. | 17786 | 1340 |
|  AAR Corp. \* | 14043 | 631 |
|  ABM Industries, Inc. | 27951 | 1242 |
|  Aerojet Rocketdyne Holdings, Inc. \* | 32024 | 1791 |
|  Aerovironment, Inc. \* | 10593 | 907 |
|  Alamo Group, Inc. | 4368 | 619 |
|  Albany International Corp. - Class A | 13120 | 1293 |
|  Allegiant Travel Co. \* | 6592 | 448 |
|  American Woodmark Corp. \* | 6974 | 341 |
|  Apogee Enterprises, Inc. | 9392 | 418 |
|  Applied Industrial Technologies, Inc. | 16277 | 2051 |
|  ArcBest Corp. | 10306 | 722 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Industrials continued** |  |  |
|  Arcosa, Inc. | 20387 | 1108 |
|  Astec Industries, Inc. | 9637 | 392 |
|  Atlas Air Worldwide Holdings, Inc. \* | 10913 | 1100 |
|  AZZ, Inc. | 10463 | 421 |
|  Barnes Group, Inc. | 21346 | 872 |
|  Boise Cascade Co. | 16649 | 1143 |
|  Brady Corp. - Class A | 19606 | 923 |
|  CIRCOR International, Inc. \* | 8580 | 206 |
|  Comfort Systems USA, Inc. | 15086 | 1736 |
|  CoreCivic, Inc. \* | 48583 | 562 |
|  Deluxe Corp. | 18227 | 309 |
|  DXP Enterprises, Inc. \* | 6646 | 183 |
|  Encore Wire Corp. | 7742 | 1065 |
|  Enerpac Tool Group Corp. | 24034 | 612 |
|  EnPro Industries, Inc. | 8819 | 959 |
|  ESCO Technologies, Inc. | 10916 | 956 |
|  Exponent, Inc. | 21384 | 2119 |
|  Federal Signal Corp. | 25618 | 1190 |
|  Forrester Research, Inc. \* | 4842 | 173 |
|  Forward Air Corp. | 11207 | 1175 |
|  Franklin Electric Co., Inc. | 16431 | 1310 |
|  The GEO Group, Inc. \* | 52603 | 576 |
|  Gibraltar Industries, Inc. \* | 13080 | 600 |
|  GMS, Inc. \* | 17904 | 892 |
|  Granite Construction, Inc. | 18466 | 648 |
|  The Greenbrier Cos., Inc. | 13864 | 465 |
|  Griffon Corp. | 20072 | 718 |
|  Harsco Corp. \* | 33620 | 211 |
|  Hawaiian Holdings, Inc. \* | 21627 | 222 |
|  Healthcare Services Group, Inc. | 31232 | 375 |
|  Heartland Express, Inc. | 19628 | 301 |
|  Heidrick & Struggles International, Inc. | 8339 | 233 |
|  Hillenbrand, Inc. | 29319 | 1251 |
|  HNI Corp. | 17453 | 496 |
|  Hub Group, Inc. - Class A \* | 13771 | 1095 |
|  Insteel Industries, Inc. | 8196 | 226 |
|  Interface, Inc. | 24666 | 243 |
|  John Bean Technologies Corp. | 13453 | 1229 |
|  Kaman Corp. | 12004 | 268 |
|  KAR Auction Services, Inc. \* | 46028 | 601 |
|  Kelly Services, Inc. - Class A | 14567 | 246 |
|  Korn Ferry | 22563 | 1142 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Industrials continued** |  |  |
|  Lindsay Corp. | 4657 | 758 |
|  Marten Transport, Ltd. | 24405 | 483 |
|  Masterbrand, Inc. \* | 54622 | 412 |
|  Matson, Inc. | 15951 | 997 |
|  Matthews International Corp. - Class A | 12845 | 391 |
|  MillerKnoll, Inc. | 31862 | 669 |
|  Moog, Inc. - Class A | 12213 | 1072 |
|  Mueller Industries, Inc. | 23977 | 1415 |
|  MYR Group, Inc. \* | 7004 | 645 |
|  National Presto Industries, Inc. | 2159 | 148 |
|  NOW, Inc. \* | 46649 | 592 |
|  NV5 Global, Inc. \* | 5236 | 693 |
|  Park Aerospace Corp. | 7997 | 107 |
|  PGT Innovations, Inc. \* | 25438 | 457 |
|  Pitney Bowes, Inc. | 67551 | 257 |
|  Powell Industries, Inc. | 3928 | 138 |
|  Proto Labs, Inc. \* | 11593 | 296 |
|  Quanex Building Products Corp. | 13985 | 331 |
|  Resideo Technologies, Inc. \* | 61536 | 1012 |
|  Resources Connection, Inc. | 13398 | 246 |
|  SkyWest, Inc. \* | 21373 | 353 |
|  SPX Technologies, Inc. \* | 19120 | 1255 |
|  Standex International Corp. | 5058 | 518 |
|  Sun Country Airlines Holdings, Inc. \* | 13664 | 217 |
|  Tennant Co. | 7820 | 481 |
|  Titan International, Inc. \* | 21646 | 332 |
|  Trinity Industries, Inc. | 34384 | 1017 |
|  Triumph Group, Inc. \* | 27718 | 292 |
|  TrueBlue, Inc. \* | 13785 | 270 |
|  UFP Industries, Inc. | 26025 | 2062 |
|  UniFirst Corp. | 6360 | 1227 |
|  Veritiv Corp. | 5694 | 693 |
|  Viad Corp. \* | 8671 | 211 |
|  Wabash National Corp. | 20253 | 458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **63270** |
|  **Information Technology (13.0%)** | **Information Technology (13.0%)** |  |
|  8x8, Inc. \* | 47232 | 204 |
|  A10 Networks, Inc. | 26994 | 449 |
|  Adeia, Inc. | 44400 | 421 |
|  Adtran Holdings, Inc. | 29883 | 562 |
|  Advanced Energy Industries, Inc. | 15779 | 1354 |
|  Agilysys, Inc. \* | 8396 | 664 |
|  Alarm.com Holdings, Inc. \* | 21086 | 1043 |
|  Alliance Data Systems Corp. | 21086 | 794 |
|  Alpha & Omega Semiconductor, Ltd. \* | 9309 | 266 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**70** 

------

##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Information Technology continued** | **Information Technology continued** |  |
|  Arlo Technologies, Inc. \* | 37533 | 132 |
|  Avid Technology, Inc. \* | 14026 | 373 |
|  Axcelis Technologies, Inc. \* | 13867 | 1100 |
|  Badger Meter, Inc. | 12391 | 1351 |
|  Benchmark Electronics, Inc. | 14974 | 400 |
|  Cerence, Inc. \* | 16495 | 306 |
|  CEVA, Inc. \* | 9777 | 250 |
|  Clearfield, Inc. \* | 4852 | 457 |
|  Cohu, Inc. \* | 20110 | 645 |
|  Comtech Telecommunications Corp. | 11475 | 139 |
|  Consensus Cloud Solutions, Inc. \* | 7407 | 398 |
|  Corsair Gaming, Inc. \* | 16100 | 218 |
|  CSG Systems International, Inc. | 12828 | 734 |
|  CTS Corp. | 13519 | 533 |
|  Digi International, Inc. \* | 14883 | 544 |
|  Digital Turbine, Inc. \* | 37944 | 578 |
|  Diodes, Inc. \* | 19195 | 1462 |
|  Ebix, Inc. | 9916 | 198 |
|  ePlus, Inc. \* | 11344 | 502 |
|  EVERTEC, Inc. | 27561 | 892 |
|  Extreme Networks, Inc. \* | 55459 | 1015 |
|  Fabrinet \* | 15449 | 1981 |
|  FARO Technologies, Inc. \* | 7865 | 231 |
|  FormFactor, Inc. \* | 32524 | 723 |
|  Harmonic, Inc. \* | 44479 | 583 |
|  Ichor Holdings, Ltd. \* | 12105 | 325 |
|  Insight Enterprises, Inc. \* | 12797 | 1283 |
|  InterDigital, Inc. | 12514 | 619 |
|  Itron, Inc. \* | 19071 | 966 |
|  Knowles Corp. \* | 38423 | 631 |
|  Kulicke and Soffa Industries, Inc. | 24510 | 1085 |
|  LivePerson, Inc. \* | 29713 | 301 |
|  LiveRamp Holdings, Inc. \* | 28085 | 658 |
|  MaxLinear, Inc. - Class A \* | 30585 | 1038 |
|  Methode Electronics, Inc. - Class A | 15375 | 682 |
|  NETGEAR, Inc. \* | 12252 | 222 |
|  NetScout Systems, Inc. \* | 29021 | 943 |
|  OneSpan, Inc. \* | 15139 | 169 |
|  Onto Innovation, Inc. \* | 20909 | 1424 |
|  OSI Systems, Inc. \* | 6615 | 526 |
|  Payoneer Global, Inc. \* | 84439 | 462 |
|  PC Connection, Inc. | 4835 | 227 |
|  PDF Solutions, Inc. \* | 12442 | 355 |
|  Perficient, Inc. \* | 14615 | 1021 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Information Technology continued** | **Information Technology continued** |  |
|  Photronics, Inc. \* | 26220 | 441 |
|  Plexus Corp. \* | 11690 | 1203 |
|  Progress Software Corp. | 18171 | 917 |
|  Rambus, Inc. \* | 45397 | 1626 |
|  Rogers Corp. \* | 7931 | 947 |
|  Sabre Corp. \* | 138999 | 859 |
|  Sanmina Corp. \* | 24259 | 1390 |
|  ScanSource, Inc. \* | 10651 | 311 |
|  Semtech Corp. \* | 26823 | 770 |
|  SMART Global Holdings, Inc. \* | 20542 | 306 |
|  SPS Commerce, Inc. \* | 15218 | 1954 |
|  TTEC Holdings, Inc. | 7931 | 350 |
|  TTM Technologies, Inc. \* | 43380 | 654 |
|  Ultra Clean Holdings, Inc. \* | 19213 | 637 |
|  Unisys Corp. \* | 28326 | 145 |
|  Veeco Instruments, Inc. \* | 21696 | 403 |
|  Viavi Solutions, Inc. \* | 95635 | 1005 |
|  Xperi, Inc. \* | 17559 | 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **48508** |
|  **Materials (5.6%)** |  |  |
|  AdvanSix, Inc. | 11638 | 443 |
|  Allegheny Technologies, Inc. \* | 54658 | 1632 |
|  American Vanguard Corp. | 11752 | 255 |
|  Arconic Corp. \* | 42837 | 906 |
|  Balchem Corp. | 13571 | 1657 |
|  Carpenter Technology Corp. | 20511 | 758 |
|  Century Aluminum Co. \* | 21627 | 177 |
|  Clearwater Paper Corp. \* | 7072 | 267 |
|  Compass Minerals International, Inc. | 14354 | 589 |
|  FutureFuel Corp. | 10628 | 86 |
|  H.B. Fuller Co. | 22507 | 1612 |
|  Hawkins, Inc. | 7945 | 307 |
|  Haynes International, Inc. | 5195 | 237 |
|  Innospec, Inc. | 10454 | 1075 |
|  Kaiser Aluminum Corp. | 6720 | 510 |
|  Koppers Holdings, Inc. | 8937 | 252 |
|  Livent Corp. \* | 75720 | 1505 |
|  Materion Corp. | 8707 | 762 |
|  Mercer International, Inc. | 17026 | 198 |
|  Minerals Technologies, Inc. | 13702 | 832 |
|  Myers Industries, Inc. | 15317 | 341 |
|  O-I Glass, Inc. \* | 65703 | 1089 |
|  Olympic Steel, Inc. | 4026 | 135 |
|  Quaker Chemical Corp. | 5752 | 960 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br> $(000's) |
|  **Materials continued** |  |  |
|  Rayonier Advanced Materials, Inc. \* | 27023 | 259 |
|  Schweitzer-Mauduit International, Inc. | 23214 | 485 |
|  Stepan Co. | 8918 | 949 |
|  SunCoke Energy, Inc. | 35432 | 306 |
|  Sylvamo Corp. | 13952 | 678 |
|  TimkenSteel Corp. \* | 16720 | 304 |
|  Tredegar Corp. | 10934 | 112 |
|  Trinseo PLC | 14691 | 334 |
|  Warrior Met Coal, Inc. | 21892 | 758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **20770** |
|  **Real Estate (7.8%)** |  |  |
|  Acadia Realty Trust | 40045 | 575 |
|  Agree Realty Corp. | 37363 | 2650 |
|  Alexander & Baldwin, Inc. | 30667 | 574 |
|  American Assets Trust, Inc. | 21949 | 582 |
|  Armada Hoffler Properties, Inc. | 28632 | 329 |
|  Brandywine Realty Trust | 72291 | 445 |
|  CareTrust REIT, Inc. | 41175 | 765 |
|  Centerspace | 6374 | 374 |
|  Chatham Lodging Trust | 20584 | 253 |
|  Community Healthcare Trust, Inc. | 9928 | 355 |
|  Cushman & Wakefield PLC \* | 68628 | 855 |
|  DiamondRock Hospitality Co. | 88438 | 724 |
|  Douglas Elliman, Inc. | 28636 | 117 |
|  Easterly Government Properties, Inc. | 38543 | 550 |
|  Essential Properties Realty Trust, Inc. | 60167 | 1412 |
|  Four Corners Property Trust, Inc. | 35403 | 918 |
|  Franklin Street Properties Corp. | 38915 | 106 |
|  Getty Realty Corp. | 18024 | 610 |
|  Global Net Lease, Inc. | 43861 | 551 |
|  Hersha Hospitality Trust | 14015 | 119 |
|  Hudson Pacific Properties, Inc. | 54264 | 528 |
|  Industrial Logistics Properties Trust | 27670 | 91 |
|  Innovative Industrial Properties, Inc. | 11813 | 1197 |
|  iStar, Inc. | 36724 | 280 |
|  LTC Properties, Inc. | 17177 | 610 |
|  LXP Industrial Trust | 116430 | 1167 |
|  Marcus & Millichap, Inc. | 10564 | 364 |
|  NexPoint Residential Trust, Inc. | 9592 | 417 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**71** 

------

##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (99.2%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Real Estate continued** |  |  |
|  Office Properties Income Trust | 20468 | 273 |
|  Orion Office REIT, Inc. | 23793 | 203 |
|  OUTFRONT Media, Inc. | 61870 | 1026 |
|  RE/MAX Holdings, Inc. - Class A | 7724 | 144 |
|  Realogy Holdings Corp.\* | 46249 | 296 |
|  Retail Opportunity Investments Corp. | 52526 | 789 |
|  RPT Realty | 36113 | 363 |
|  Safehold, Inc. | 10248 | 293 |
|  Saul Centers, Inc. | 5406 | 220 |
|  Service Properties Trust | 69642 | 508 |
|  SITE Centers Corp. | 78025 | 1066 |
|  The St. Joe Co. | 14276 | 552 |
|  Summit Hotel Properties, Inc. | 45099 | 326 |
|  Sunstone Hotel Investors, Inc. | 88864 | 858 |
|  Tanger Factory Outlet Centers, Inc. | 44028 | 790 |
|  Uniti Group, Inc. | 100782 | 557 |
|  Universal Health Realty Income Trust | 5330 | 254 |
|  Urban Edge Properties | 49562 | 698 |
|  Urstadt Biddle Properties, Inc. - Class A | 12584 | 239 |
|  Veris Residential, Inc. \* | 33697 | 537 |
|  Washington Real Estate Investment Trust | 36882 | 657 |
|  Whitestone REIT | 19470 | 188 |
|  Xenia Hotels & Resorts, Inc. | 48102 | 634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **28989** |
|  **Utilities (2.6%)** |  |  |
|  American States Water Co. | 15624 | 1446 |
|  Avista Corp. | 31121 | 1380 |
|  California Water Service Group | 23143 | 1403 |
|  Chesapeake Utilities Corp. | 7497 | 886 |
|  Middlesex Water Co. | 7483 | 589 |
|  Northwest Natural Holding Co. | 14882 | 708 |
|  SJW Group | 11245 | 913 |
|  South Jersey Industries, Inc. | 51712 | 1837 |
|  Unitil Corp. | 6750 | 347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **9509** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $337,867)** |  | **368668** |

---

---

| | | |
|:---|:---|:---|
| Short-Term Investments (0.2%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Governments (0.2%)** |  |  |
|  US Treasury<br>0.000%, 5/11/23 b | 495000 | 487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **487** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $487)** |  | **487** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.4%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $338,354)<sup>@</sup>**  |  | **369155** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (0.6%)** |  | **2397** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **371552** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**72** 

------

##### [**Table of Contents**](#toc)
**Index 600 Stock Portfolio** 

**Exchange Traded or Centrally Cleared Derivatives** 

**Futures** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Issuer | Long/ Short | Currency | Notional Par<br> (000's) | Number<br> of<br> Contracts | Expiration<br> Date | Notional<br> Value<br> (000's) | Unrealized<br> Appreciation/<br> (Depreciation)<br>(000's) | Variation Margin<br>(000's) |
|  E-mini Russell 2000 Index Futures | Long | USD | 2 | 31 | 3/23 | $2745 | $(63) | $3 |
|  |  |  |  |  |  |  | $(63) | $3 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Market Value<br>(000's) |
|  | Swaps | Futures | Total | Swaps | Futures | Total | Options |
|  Total Exchange-Traded or Centrally Cleared Derivatives | $– | $3 | $3 | $– | $– | $– | $– |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

Æ Security valued using significant unobservable inputs.

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

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $338,669 and the net unrealized appreciation of investments based on that cost was $30,423 which is comprised of $81,251 aggregate gross unrealized appreciation and $50,828 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br>Other Significant<br> Observable Inputs | Level 3 –<br> Significant<br> Unobservable Inputs |
|  |  | *(Amounts in thousands)* |  |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $368668 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments |  | 487 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $368668 | $487 | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | (63) | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $(63) | $- | $- |

---

^ 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.

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2022.

The Accompanying Notes are an Integral Part of the Financial Statements.

**73** 

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##### [**Table of Contents**](#toc)
**Small Cap Value Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital. | Invest primarily in common stocks of small-sized companies believed to be undervalued. | $536 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Small Cap Value Portfolio ("the Portfolio"), has engaged T. Rowe Price Investment Management, Inc. ("T. Rowe Price") to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in common stocks of companies with market capitalizations that do not exceed the maximum market capitalization of any security in the Russell 2000<sup>®</sup> Index at the time of purchase. Reflecting a value approach to investing, the Portfolio will seek the stocks of companies whose current stock prices do not appear to adequately reflect their underlying value as measured by assets, earnings, cash flow or business franchises.

MARKET OVERVIEW

Major U.S. stock indices fell sharply in 2022, the worst year for equities since the 2008 global financial crisis. Investors shunned riskier assets in response to Russia's invasion of Ukraine, elevated inflation exacerbated by rising commodity prices and global supply chain disruptions, surging U.S. Treasury yields, tightening financial conditions and slowing economic and corporate earnings growth. Beginning in March 2022, the Federal Reserve (the "Fed") began a series of aggressive short-term interest rate hikes. The rate hikes along with Fed comments that it would be willing to risk causing a recession by raising rates and keeping them at a higher level in order to bring inflation down, also weighed on the market. Although many indices finished the year above their lowest levels of 2022, the year ended with many investors concerned that ongoing Fed rate hikes would hurt corporate earnings and push the economy into a recession in 2023.

PORTFOLIO RESULTS

The Portfolio returned (18.53%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Russell 2000<sup>®</sup> Value Index (the "Index"), returned (14.48%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Small Cap Value Funds peer group was (10.46%).

The Financials sector was a significant detractor from the Portfolio's relative results, driven by adverse stock choices. Live Oak Bancshares, Inc. declined along with other growth-oriented companies during the year. Live Oak is the largest small-business lender, which may have weighed on shares as concerns about recession rose.

Stock selection in the Energy sector also weighed on relative results. Within the sector, there were no absolute detractors worth noting, but the Portfolio's stock picks failed to keep pace with the strong performance of their benchmark peers in the period. The Utilities sector further detracted from relative performance due to stock selection.

Conversely, the Materials sector contributed significantly to relative performance, due to strong stock choices. Reliance Steel & Aluminum Co., a leading metals service center in North America, advanced due to strong demand, despite rising prices for steel and other costs. An underweight allocation to the Communication Services sector also boosted relative performance.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of T. Rowe Price, the Portfolio's sub-adviser.

Heading into 2023, capital markets appear to have priced in a significant global economic slowdown. The key question is whether this deceleration will end with slower but still positive growth or in a full-fledged recession that drags down earnings. Much depends on the Fed's and the world's other major central banks as they continue efforts to bring inflation under control by hiking interest rates and draining liquidity from the markets. Nevertheless, geopolitical risks will remain potential triggers for downside volatility in 2023. Structural factors, such as bank capital requirements that constrain market liquidity, could magnify price movements, both up and down. While there are good reasons for caution in 2023, excessive pessimism and volatility can create value for agile investors. In difficult markets, security selection will be critical.

**74** 

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##### [**Table of Contents**](#toc)
**Small Cap Value Portfolio (unaudited)** 

------

**Relative Performance**![LOGO](g42295579.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Small Cap Value Portfolio | -18.53% | 3.77% | 8.30% |
|  Russell 2000® Value Index | -14.48% | 4.13% | 8.48% |
|  Lipper® Variable Insurance Products (VIP) Small Cap Value Funds Average | -10.46% | 4.99% | 8.83% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Stocks of smaller companies, such as those held in this Portfolio, are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both more volatile and more speculative. Investing in small company stocks involves a greater degree of risk than investing in medium or large company stocks.* 

*The Portfolio may invest a portion of its assets in other investment companies, including open-end and closed-end funds, exchange-traded funds ("ETFs"), and business* 

 *development companies ("BDCs"), and will bear its pro rata portion of such expenses. The market prices of ETFs, closed-end funds and BDCs may trade at a premium or discount to their net asset values and may be subject to trading halts by the applicable exchange, which may negatively impact the Portfolio. BDCs in particular may be less liquid and more adversely affected by poor economic or market conditions.* 

*The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Matador Resources Co. | 1.7% |
| &nbsp;&nbsp;&nbsp; IDACORP, Inc. | 1.7% |
| &nbsp;&nbsp;&nbsp; UFP Industries, Inc. | 1.5% |
| &nbsp;&nbsp;&nbsp; Pinnacle Financial Partners, Inc. | 1.5% |
| &nbsp;&nbsp;&nbsp; MGE Energy, Inc. | 1.4% |
| &nbsp;&nbsp;&nbsp; Western Alliance Bancorp | 1.3% |
| &nbsp;&nbsp;&nbsp; Magnolia Oil & Gas Corp. | 1.3% |
| &nbsp;&nbsp;&nbsp; ChampionX Corp. | 1.2% |
| &nbsp;&nbsp;&nbsp; Home BancShares, Inc. | 1.2% |
| &nbsp;&nbsp;&nbsp; Strategic Education, Inc. | 1.2% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Financials | 27.4% |
| &nbsp;&nbsp;&nbsp; Industrials | 14.4% |
| &nbsp;&nbsp;&nbsp; Health Care | 10.8% |
| &nbsp;&nbsp;&nbsp; Real Estate | 9.0% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 8.7% |
| &nbsp;&nbsp;&nbsp; Energy | 6.9% |
| &nbsp;&nbsp;&nbsp; Information Technology | 5.8% |
| &nbsp;&nbsp;&nbsp; Utilities | 5.4% |
| &nbsp;&nbsp;&nbsp; Materials | 4.6% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 3.5% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 2.8% |
| &nbsp;&nbsp;&nbsp; Communication Services | 0.7% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**75** 

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##### [**Table of Contents**](#toc)
**Small Cap Value Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (96.5%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Communication Services (0.7%)** | **Communication Services (0.7%)** | **Communication Services (0.7%)** |
|  Advantage Solutions, Inc. \* | 347714 | 723 |
|  Boston Omaha Corp. \* | 104164 | 2761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **3484** |
|  **Consumer Discretionary (8.7%)** | **Consumer Discretionary (8.7%)** |  |
|  Academy Sports & Outdoors, Inc. | 25788 | 1355 |
|  BJ's Restaurants, Inc. \* | 72220 | 1905 |
|  Cavco Industries, Inc. \* | 5681 | 1285 |
|  The Children's Place, Inc. \* | 21600 | 787 |
|  Dorman Products, Inc. \* | 38485 | 3112 |
|  Farfetch, Ltd. \* | 221300 | 1047 |
|  Floor & Decor Holdings, Inc. \* | 4500 | 313 |
|  Hibbett, Inc. | 26354 | 1798 |
|  LCI Industries | 24793 | 2292 |
|  LL Flooring Holdings, Inc. \* | 143223 | 805 |
|  Marriott Vacations Worldwide Corp. | 24495 | 3297 |
|  Meritage Homes Corp. \* | 41952 | 3868 |
|  Monro, Inc. | 56218 | 2541 |
|  Papa John's International, Inc. | 52752 | 4342 |
|  Peloton Interactive, Inc. \* | 70600 | 560 |
|  Petco Health & Wellness Co., Inc. \* | 129983 | 1232 |
|  Pool Corp. | 3409 | 1031 |
|  Steven Madden, Ltd. | 114849 | 3671 |
|  Strategic Education, Inc. | 81038 | 6347 |
|  Visteon Corp. \* | 22367 | 2926 |
|  Warby Parker, Inc. \* | 112344 | 1515 |
|  Xometry, Inc. \* | 19939 | 643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **46672** |
|  **Consumer Staples (2.8%)** | **Consumer Staples (2.8%)** |  |
|  BellRing Brands, Inc. \* | 22414 | 575 |
|  Coca-Cola Consolidated, Inc. | 8043 | 4121 |
|  Nomad Foods, Ltd. \* | 277494 | 4784 |
|  Post Holdings, Inc. \* | 31499 | 2843 |
|  The Simply Good Foods Co. \* | 69398 | 2639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **14962** |
|  **Energy (6.9%)** | **Energy (6.9%)** |  |
|  Cactus, Inc. | 115758 | 5818 |
|  ChampionX Corp. | 226506 | 6566 |
|  Enerflex, Ltd. | 383300 | 2423 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (96.5%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Energy continued** | **Energy continued** | **Energy continued** |
|  Frank's International NV \* | 75500 | 1369 |
|  International Seaways, Inc. | 25872 | 958 |
|  Liberty Energy, Inc. | 238492 | 3818 |
|  Magnolia Oil & Gas Corp. | 301762 | 7076 |
|  Matador Resources Co. | 159981 | 9157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **37185** |
|  **Financials (27.4%)** | **Financials (27.4%)** |  |
|  BankUnited, Inc. | 181494 | 6165 |
|  BRP Group, Inc. \* | 170299 | 4281 |
|  Cadence Bank | 45100 | 1112 |
|  Columbia Banking System, Inc. | 161749 | 4874 |
|  CrossFirst Bankshares, Inc. \* | 153254 | 1902 |
|  Eastern Bankshares, Inc. | 154997 | 2674 |
|  FB Financial Corp. | 135418 | 4894 |
|  Glacier Bancorp, Inc. | 75610 | 3737 |
|  Green Dot Corp. - Class A \* | 124055 | 1963 |
|  Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 142682 | 4135 |
|  HarborOne Bancorp, Inc. | 226742 | 3152 |
|  Hercules Capital, Inc. | 114848 | 1518 |
|  Home BancShares, Inc. | 286116 | 6521 |
|  Houlihan Lokey, Inc. | 57892 | 5046 |
|  Independent Bank Corp. | 53298 | 4500 |
|  James River Group Holdings, Ltd. | 134353 | 2809 |
|  Live Oak Bancshares, Inc. | 132703 | 4008 |
|  National Bank Holding Corp. - Class A | 137517 | 5785 |
|  NerdWallet, Inc. \* | 88619 | 851 |
|  Origin Bancorp, Inc. | 87491 | 3211 |
|  Palomar Holdings, Inc. \* | 45713 | 2064 |
|  PennyMac Financial Services, Inc. | 93908 | 5321 |
|  PennyMac Mortgage Investment Trust | 209976 | 2602 |
|  Pinnacle Financial Partners, Inc. | 106308 | 7803 |
|  Popular, Inc. | 68896 | 4569 |
|  PRA Group, Inc. \* | 46338 | 1565 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (96.5%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Financials continued** | **Financials continued** | **Financials continued** |
|  ProAssurance Corp. | 67168 | 1173 |
|  PROG Holdings, Inc. \* | 83717 | 1414 |
|  Radian Group, Inc. | 219634 | 4188 |
|  Ryan Specialty Group Holdings, Inc. \* | 75667 | 3141 |
|  Southern First Bancshares, Inc. \* | 63265 | 2894 |
|  StepStone Group, Inc. | 94250 | 2373 |
|  Texas Capital Bancshares, Inc. \* | 72500 | 4373 |
|  Towne Bank | 158718 | 4895 |
|  Veritex Holdings, Inc. | 53497 | 1502 |
|  Virtus Investment Partners, Inc. | 19554 | 3743 |
|  Walker & Dunlop, Inc. | 44363 | 3482 |
|  Webster Financial Corp. | 59356 | 2810 |
|  Western Alliance Bancorp | 120286 | 7164 |
|  WSFS Financial Corp. | 139928 | 6344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **146558** |
|  **Health Care (10.8%)** | **Health Care (10.8%)** |  |
|  Agiliti, Inc. \* | 146101 | 2383 |
|  Alignment Healthcare, Inc. \* | 153000 | 1799 |
|  Apellis Pharmaceuticals, Inc. \* | 51847 | 2681 |
|  Arvinas, Inc. \* | 30846 | 1055 |
|  Ascendis Pharma A/S \* | 20000 | 2443 |
|  Atrion Corp. | 4980 | 2786 |
|  Blueprint Medicines Corp. \* | 35450 | 1553 |
|  CRISPR Therapeutics AG \* | 24100 | 980 |
|  Embecta Corp. | 83310 | 2107 |
|  Ensign Group, Inc. | 39597 | 3746 |
|  FIGS, Inc. \* | 215687 | 1452 |
|  Icosavax, Inc. \* | 94853 | 753 |
|  Insmed, Inc. \* | 132492 | 2647 |
|  Ionis Pharmaceuticals, Inc. \* | 56000 | 2115 |
|  Karuna Therapeutics, Inc. \* | 14305 | 2811 |
|  Kymera Therapeutics, Inc. \* | 53338 | 1331 |
|  Lantheus Holdings, Inc. \* | 23900 | 1218 |
|  MacroGenics, Inc. \* | 124000 | 832 |
|  MultiPlan Corp. \* | 739622 | 851 |
|  Nkarta, Inc. \* | 111412 | 667 |
|  Option Care Health, Inc. \* | 67550 | 2033 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**76** 

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##### [**Table of Contents**](#toc)
**Small Cap Value Portfolio** 

---

| | | |
|:---|:---|:---|
| Common Stocks (96.5%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Health Care continued** | **Health Care continued** | **Health Care continued** |
|  Pacific Biosciences of California, Inc. \* | 33824 | 277 |
|  The Pennant Group, Inc. \* | 83004 | 911 |
|  Phreesia, Inc. \* | 107008 | 3463 |
|  QuidelOrtho Corp. \* | 45370 | 3887 |
|  Select Medical Holdings Corp. | 247373 | 6142 |
|  Syndax Pharmaceuticals, Inc. \* | 55700 | 1418 |
|  Verve Therapeutics, Inc. \* | 33100 | 640 |
|  Xencor, Inc. \* | 81696 | 2127 |
|  Zentalis Pharmaceuticals, Inc. \* | 46309 | 933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **58041** |
|  **Industrials (14.4%)** | **Industrials (14.4%)** |  |
|  Alamo Group, Inc. | 16735 | 2370 |
|  Allegiant Travel Co. \* | 30590 | 2080 |
|  Aris Water Solutions, Inc. | 136687 | 1970 |
|  Beacon Roofing Supply, Inc. \* | 75505 | 3986 |
|  Brady Corp. - Class A | 72374 | 3409 |
|  CIRCOR International, Inc. \* | 98115 | 2351 |
|  Enerpac Tool Group Corp. | 39030 | 993 |
|  ESAB Corp. | 47983 | 2251 |
|  ESCO Technologies, Inc. | 46614 | 4081 |
|  FTI Consulting, Inc. \* | 12157 | 1930 |
|  Helios Technologies, Inc. | 71490 | 3892 |
|  Herc Holdings, Inc. | 10000 | 1316 |
|  JELD-WEN Holding, Inc. \* | 87516 | 844 |
|  Landstar System, Inc. | 28548 | 4650 |
|  McGrath RentCorp | 38147 | 3767 |
|  MSA Safety, Inc. | 17080 | 2463 |
|  Parsons Corp. \* | 57441 | 2657 |
|  RBC Bearings, Inc. \* | 13100 | 2742 |
|  Shoals Technologies Group, Inc. \* | 24056 | 593 |
|  The Shyft Group, Inc. | 55200 | 1372 |
|  SPX Technologies, Inc. \* | 64015 | 4203 |
|  Stericycle, Inc. \* | 25608 | 1278 |
|  Triumph Group, Inc. \* | 326230 | 3432 |
|  UFP Industries, Inc. | 104142 | 8253 |
|  UniFirst Corp. | 5900 | 1139 |
|  Univar Solutions, Inc. \* | 131645 | 4186 |
|  Valmont Industries, Inc. | 9702 | 3208 |
|  Zurn Water Solutions Corp. | 79300 | 1677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **77093** |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (96.5%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Information Technology (5.8%)** | **Information Technology (5.8%)** | **Information Technology (5.8%)** |
|  Belden, Inc. | 68019 | 4891 |
|  Conduent, Inc. \* | 293600 | 1189 |
|  DoubleVerify Holdings, Inc. \* | 65100 | 1430 |
|  Entegris, Inc. | 16449 | 1079 |
|  Harmonic, Inc. \* | 40169 | 526 |
|  Knowles Corp. \* | 104900 | 1722 |
|  Lattice Semiconductor Corp. \* | 30400 | 1972 |
|  Littelfuse, Inc. | 25280 | 5567 |
|  MaxLinear, Inc. - Class A \* | 31767 | 1078 |
|  nCino, Inc. \* | 59716 | 1579 |
|  Onto Innovation, Inc. \* | 23793 | 1620 |
|  Paycor HCM, Inc. \* | 108924 | 2665 |
|  Payoneer Global, Inc. \* | 308900 | 1690 |
|  Vontier Corp. | 142700 | 2758 |
|  Workiva, Inc. \* | 16169 | 1358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **31124** |
|  **Materials (4.6%)** | **Materials (4.6%)** |  |
|  Carpenter Technology |  |  |
|  Corp. | 71471 | 2640 |
|  Clearwater Paper Corp. \* | 74843 | 2830 |
|  Constellium SE \* | 250657 | 2965 |
|  Element Solutions, Inc. | 192057 | 3494 |
|  Myers Industries, Inc. | 127691 | 2839 |
|  Orion Engineered Carbons SA | 127817 | 2276 |
|  Quaker Chemical Corp. | 21312 | 3557 |
|  Reliance Steel & Aluminum Co. | 19532 | 3954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **24555** |
|  **Real Estate (9.0%)** | **Real Estate (9.0%)** |  |
|  Apple Hospitality REIT, Inc. | 326381 | 5150 |
|  CubeSmart LP | 50000 | 2013 |
|  EastGroup Properties, Inc. | 28397 | 4205 |
|  Essential Properties Realty Trust, Inc. | 129115 | 3030 |
|  eXp World Holdings, Inc. | 38100 | 422 |
|  FirstService Corp. | 22100 | 2708 |
|  Independence Realty Trust, Inc. | 25600 | 432 |
|  JBG SMITH Properties | 180655 | 3429 |
|  NexPoint Residential Trust, Inc. | 13400 | 583 |
|  Opendoor Technologies, Inc. \* | 355500 | 413 |
|  PotlatchDeltic Corp. | 88001 | 3871 |
|  Safehold, Inc. | 83342 | 2385 |
|  Saul Centers, Inc. | 93591 | 3807 |
|  The St. Joe Co. | 124452 | 4810 |
|  Terreno Realty Corp. | 100839 | 5735 |
|  Tricon Residential, Inc. | 322294 | 2485 |

---

---

| | | |
|:---|:---|:---|
| Common Stocks (96.5%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Real Estate continued** | **Real Estate continued** | **Real Estate continued** |
|  Washington Real Estate Investment Trust | 159282 | 2835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **48313** |
|  **Utilities (5.4%)** | **Utilities (5.4%)** |  |
|  California Water Service Group | 74536 | 4520 |
|  Chesapeake Utilities Corp. | 25840 | 3054 |
|  IDACORP, Inc. | 83508 | 9006 |
|  MGE Energy, Inc. | 102821 | 7238 |
|  NorthWestern Corp. | 36530 | 2168 |
|  ONE Gas, Inc. | 35300 | 2673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **28659** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $440,670)** |  | **516646** |
| Warrants (0.0%) | Warrants (0.0%) |  |
|  **Communication Services (0.0%)** | **Communication Services (0.0%)** |  |
|  Advantage Solutions, Inc. \* | 19088 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **2** |
|  **Industrials (0.0%)** | **Industrials (0.0%)** |  |
|  Triumph Group, Inc. \* | 97869 | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **66** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Warrants** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $25)** |  | **68** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (96.5%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (96.5%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $440,695)<sup>@</sup>**  |  | **516714** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less**<br> **Liabilities (3.5%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less**<br> **Liabilities (3.5%)** | **18904** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** | **535618** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**77** 

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##### [**Table of Contents**](#toc)
**Small Cap Value Portfolio** 

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $443,347 and the net unrealized appreciation of investments based on that cost was $73,367 which is comprised of $127,811 aggregate gross unrealized appreciation and $54,444 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br> Significant<br>Unobservable Inputs |
|  |  | *(Amounts in thousands)* |  |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $516646 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants | 68 | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $516714 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**78** 

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##### [**Table of Contents**](#toc)
**International Growth Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital. | Invest in securities of issuers from countries outside the U.S. that have above average growth potential. | $893 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the International Growth Portfolio (the "Portfolio"), has engaged FIAM LLC ("FIAM") to act as sub-adviser for the Portfolio. FIAM is an indirect, wholly owned subsidiary of FMR LLC (along with its affiliates, "Fidelity Investments"). Normally, the Portfolio will invest in the securities of issuers from countries outside the United States. The Portfolio invests in companies it believes operate in a market environment, or with a competitive advantage, that make it difficult for competition to disrupt current and future profitability, in combination with growth drivers that may offer above-average growth potential measured by factors such as earnings or revenue. In buying and selling securities for the Portfolio, the portfolio manager relies on fundamental analysis, which involves a "bottom-up" assessment of a company's potential for success in light of factors such as its financial condition, earnings outlook, strategy, management, industry position and economic and market conditions.

MARKET OVERVIEW

Asset prices around the world staged a broad rally in the fourth quarter of 2022, as slowing inflation raised hopes at the end of a tumultuous year that recorded steep capital market declines.

After an abrupt rise in 2022, bond yields stabilized in the fourth quarter amid signs that rapid inflationary pressure was easing. The Federal Reserve and many other central banks further tightened monetary policy, and the U.S. and global economies faced a rising risk of recession.

Against this backdrop, U.S. equities ended the year down, with the S&P 500<sup>®</sup> Index returning (18.11%). Developed market international equities outperformed U.S. equities for the first calendar year since 2017, according to the MSCI EAFE<sup>®</sup> Index, which declined (14.45%) in 2022. Emerging markets did not fare as well, however, declining (20.09%) on the year. Declines in Information Technology companies across the globe accounted for much of the weakness. Developed markets outside the U.S. benefited from having less exposure to the sector this year.

PORTFOLIO RESULTS

The Portfolio returned (23.13%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the MSCI EAFE<sup>®</sup> Growth Index (the "Index"), returned (22.95%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the International Large Cap Growth Funds peer group was (21.71%).

From a geographic standpoint, stock selection in Japan and an underweighting in Asia Pacific ex-Japan were the largest detractors from the Portfolio's return, while out-of-benchmark exposure in the U.S. and Canada were the largest contributors. (Geographic positioning was an output of bottom-up stock selection.)

The combined impact of weak stock selection and a sizeable underweighting in Health Care drove much of the underperformance. Not owning Novo-Nordisk A/S, in particular, weighed on the Portfolio as the sizeable benchmark component returned almost 92% during the review period. A large overweighting in Information Technology and weak stock selection in Communication Services further challenged performance.

The Portfolio's single largest contributor was in the Materials sector, a long-held, out-of-benchmark position in Linde PLC, the world's leading industrial gases company. The company beat earnings and raised guidance mid-year, underscoring their competitive position and pricing power in a difficult macro environment.

In the Information Technology sector, modest out-of-benchmark positions in global payment processors Visa, Inc. and Mastercard, Inc. contributed to returns. Both components benefited from the secular shift toward digital payments as well as cyclical improvements, specifically elevated consumer spending and cross-border travel as pandemic-related restrictions eased throughout the year. (Note: MSCI is planning to reclassify both of these stocks as Financials in its revised GICS framework in 2023.)

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**International Growth Portfolio (unaudited)** 

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Elsewhere, the Portfolio saw strong performance from its holdings in the insurance industry. An out-of-benchmark position in global insurance brokerage Marsh & McLennan Cos., Inc. saw above-consensus revenue and margin growth in 2022, due in part to a strong hiring campaign and other investments made in the franchise in 2021. An overweighting in AIA Group, Ltd. experienced a sharp recovery late in the year as China eased back on COVID-19-related restrictions.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of FIAM, the Portfolio's sub-adviser.

The Portfolio targets companies with multiyear structural growth prospects, high barriers to entry and attractive valuations, based on our earnings forecasts. We typically find these franchise businesses at cheap-to-reasonable prices in one of three ways. First, we target structurally attractive growth themes. Second, we try to capitalize on cyclically out-of-favor companies with pricing power when the market becomes excessively focused on near-term cyclical concerns and loses sight of the cross-cycle earnings power. Third, we attempt to capitalize on market dislocations driven by macro-shocks.

Over the past year, we have focused on finding companies that may emerge from the pandemic in notably stronger competitive positions and potentially generate better cycle-to-cycle earnings-per-share, even if short-term prospects are challenging.

We remain optimistic about the long-term attractiveness of the online payments, leading-edge lithography (EUV) equipment and aerospace themes and are enthusiastic about the increasingly consolidated industrial gas market.

**Relative Performance**![LOGO](g42295584.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  International Growth Portfolio | -23.13% | 4.67% | 5.90% |
|  MSCI EAFE® Growth Index (Net) | -22.95% | 2.49% | 5.59% |
|  MSCI® All Country World (ex-US) Growth Index (Net) | -23.05% | 1.49% | 4.68% |
|  Lipper® Variable Insurance Products (VIP) International Large Cap Growth Funds | -21.71% | 1.98% | 4.90% |

---

*With respect to its broad-based benchmark, the Portfolio has elected to calculate the MSCI<sup>®</sup> EAFE (Europe-Australasia-Far East) Growth Index net of withholding taxes on reinvested dividends rather than the MSCI<sup>®</sup> EAFE (Europe-AustralasiaFar East) Growth Index gross of withholding taxes on reinvested dividends because the net calculation more closely reflects the Portfolio's performance for an investor.* 

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.* 

*The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio's performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.* 

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**International Growth Portfolio (unaudited)** 

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**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Nestle SA | 5.7% |
| &nbsp;&nbsp;&nbsp; LVMH Moet Hennessy Louis Vuitton SE | 5.3% |
| &nbsp;&nbsp;&nbsp; ASML Holding NV | 5.1% |
| &nbsp;&nbsp;&nbsp; Roche Holding AG | 4.1% |
| &nbsp;&nbsp;&nbsp; Linde PLC | 3.7% |
| &nbsp;&nbsp;&nbsp; AIA Group, Ltd. | 3.0% |
| &nbsp;&nbsp;&nbsp; Keyence Corp. | 2.9% |
| &nbsp;&nbsp;&nbsp; Marsh & McLennan Cos., Inc. | 2.8% |
| &nbsp;&nbsp;&nbsp; Atlas Copco AB - Class A | 2.6% |
| &nbsp;&nbsp;&nbsp; Safran SA | 2.5% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Industrials | 29.2% |
| &nbsp;&nbsp;&nbsp; Information Technology | 19.7% |
| &nbsp;&nbsp;&nbsp; Financials | 13.2% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 10.4% |
| &nbsp;&nbsp;&nbsp; Health Care | 8.3% |
| &nbsp;&nbsp;&nbsp; Materials | 7.4% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 6.2% |
| &nbsp;&nbsp;&nbsp; Communication Services | 2.1% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.9% |
| &nbsp;&nbsp;&nbsp; Energy | 1.0% |
| &nbsp;&nbsp;&nbsp; Real Estate | 0.6% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**81** 

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##### [**Table of Contents**](#toc)
**International Growth Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (98.1%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communication Services (2.1%)** | **Communication Services (2.1%)** |  |  |
|  Adevinta ASA - Class B \* | France | 317057 | 2123 |
|  Alphabet, Inc. - Class A \* | United States | 44200 | 3900 |
|  Rightmove PLC | United Kingdom | 913100 | 5645 |
|  Safaricom PLC | Kenya | 19141500 | 3746 |
|  Schibsted ASA - Class B | Norway | 185699 | 3395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **18809** |
| **Consumer Discretionary (10.4%)** |  |  |  |
|  Autoliv, Inc. | Sweden | 81700 | 6257 |
|  Compass Group PLC | United Kingdom | 814000 | 18870 |
|  InterContinental Hotels Group PLC, ADR | United Kingdom | 147384 | 8598 |
|  LVMH Moet Hennessy Louis Vuitton SE | France | 65000 | 47307 |
|  PRADA SpA | Italy | 1355300 | 7657 |
|  USS Co., Ltd. | Japan | 276200 | 4409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **93098** |
| **Consumer Staples (6.2%)** |  |  |  |
|  Clicks Group, Ltd. | South Africa | 127752 | 2030 |
|  Nestle SA | United States | 439159 | 50886 |
|  PriceSmart, Inc. | United States | 43200 | 2626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **55542** |
| **Energy (1.0%)** |  |  |  |
|  NOV, Inc. | United States | 215000 | 4491 |
|  Reliance Industries, Ltd. | India | 60000 | 1848 |
|  Reliance Industries, Ltd., GDR | India | 37400 | 2300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **8639** |
| **Financials (13.2%)** |  |  |  |
|  AIA Group, Ltd. | Hong Kong | 2394088 | 26623 |
|  Deutsche Borse AG | Germany | 78500 | 13563 |
|  Housing Development Finance Corp., Ltd. | India | 246863 | 7871 |
|  Kotak Mahindra Bank, Ltd. | India | 193300 | 4269 |
|  Marsh & McLennan Cos., Inc. | United States | 150923 | 24975 |
|  Moody's Corp. | United States | 43500 | 12120 |
|  MSCI, Inc. | United States | 34900 | 16234 |
|  S&P Global, Inc. | United States | 35600 | 11924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **117579** |
| **Health Care (8.3%)** |  |  |  |
|  Dechra Pharmaceuticals PLC | United Kingdom | 96900 | 3067 |
|  Hoya Corp. | Japan | 171100 | 16563 |
|  ResMed, Inc. | United States | 85600 | 17816 |
|  Roche Holding AG | United States | 117652 | 36963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **74409** |
| **Industrials (29.2%)** |  |  |  |
|  Aalberts NV | Netherlands | 45000 | 1745 |
|  Airbus SE | France | 175400 | 20845 |
|  Assa Abloy AB - Class B | Sweden | 762100 | 16338 |

---

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (98.1%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Industrials continued** |  |  |  |
|  Atlas Copco AB - Class A | Sweden | 1951600 | 23023 |
|  Auckland International Airport, Ltd. \* | New Zealand | 575955 | 2856 |
|  Azelis Group NV | Belgium | 127785 | 3628 |
|  BAE Systems PLC | United Kingdom | 783600 | 8109 |
|  CAE, Inc. \* | Canada | 272600 | 5273 |
|  Canadian Pacific Railway, Ltd. | Canada | 223300 | 16648 |
|  Cellnex Telecom SA | Spain | 137239 | 4542 |
|  Edenred | France | 209766 | 11425 |
|  Epiroc AB | Sweden | 744332 | 13542 |
|  Experian PLC | United Kingdom | 431100 | 14661 |
|  FANUC Corp. | Japan | 46900 | 7088 |
|  IMCD NV | Netherlands | 48300 | 6884 |
|  Interpump Group SpA | Italy | 122400 | 5524 |
|  KONE Oyj | Finland | 102600 | 5305 |
|  Legrand SA | France | 175800 | 14080 |
|  MISUMI Group, Inc. | Japan | 469700 | 10304 |
|  OSG Corp. | Japan | 152700 | 2114 |
|  Otis Worldwide Corp. | United States | 68300 | 5348 |
|  Recruit Holdings Co., Ltd. | Japan | 624300 | 19870 |
|  Safran SA | France | 178900 | 22391 |
|  Schindler Holding AG | Switzerland | 22908 | 4262 |
|  SHO-BOND Holdings Co., Ltd. | Japan | 141061 | 6040 |
|  Vestas Wind Systems A/S | Denmark | 312200 | 9083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **260928** |
| **Information Technology (19.7%)** |  |  |  |
|  Amadeus IT Group SA \* | Spain | 403100 | 20949 |
|  ASML Holding NV | Netherlands | 84600 | 45624 |
|  Azbil Corp. | Japan | 358500 | 9083 |
|  Keyence Corp. | Japan | 65200 | 25546 |
|  Lagercrantz Group AB | Sweden | 92800 | 919 |
|  Lam Research Corp. | United States | 9300 | 3909 |
|  Lasertec Corp. | Japan | 62200 | 10306 |
|  Lectra | France | 75400 | 2841 |
|  Mastercard, Inc. - Class A | United States | 44650 | 15526 |
|  NICE, Ltd., ADR \* | Israel | 62200 | 11961 |
|  Spectris PLC | United Kingdom | 222600 | 8079 |
|  Taiwan Semiconductor |  |  |  |
|  Manufacturing Co., Ltd. | Taiwan | 774000 | 11294 |
|  Visa, Inc. - Class A | United States | 49025 | 10185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **176222** |
| **Materials (7.4%)** |  |  |  |
|  CRH PLC, ADR | Ireland | 405500 | 16135 |
|  Franco-Nevada Corp. | Canada | 51000 | 6952 |
|  Linde PLC | United Kingdom | 100755 | 32944 |
|  The Sherwin-Williams Co. | United States | 40700 | 9659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **65690** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**International Growth Portfolio** 

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (98.1%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Real Estate (0.6%)** |  |  |  |
|  Vonovia SE | Germany | 220660 | 5201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **5201** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $768,629)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $768,629)** |  | **876117** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.1%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.1%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $768,629)<sup>@</sup>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $768,629)<sup>@</sup>**  |  | **876117** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less**<br> **Liabilities (1.9%)** |  |  | **16931** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  |  | **893048** |

---

---

| | |
|:---|:---|
|  Investments by Country of Risk as a Percentage of Net Assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 25.2% |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 13.6% |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 12.6% |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 11.1% |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | 6.7% |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 6.1% |
| &nbsp;&nbsp;&nbsp;&nbsp; Other | 22.8% |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** | 98.1% |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $771,200 and the net unrealized appreciation of investments based on that cost was $104,917 which is comprised of $150,207 aggregate gross unrealized appreciation and $45,290 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 – Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $876117 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $876117 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**83** 

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**Research International Core Portfolio (unaudited)** 

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---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Capital appreciation. | Invest primarily in foreign equity securities, including emerging markets. | $744 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Research International Core Portfolio (the "Portfolio"), has engaged Massachusetts Financial Services Company ("MFS<sup>®</sup>") to act as sub-adviser for the Portfolio. The Portfolio normally invests in foreign equity securities, including emerging market equity securities. In conjunction with a team of investment research analysts, sector leaders select investments for the Portfolio. An active, "bottom up" investment approach is used to buy and sell investments for the Portfolio. The Portfolio is generally managed to be sector neutral to the MSCI EAFE<sup>®</sup> Index. The Portfolio may invest in the stocks of companies it believes to have above average earnings growth potential compared to other companies (growth companies), in the stocks of companies it believes are undervalued compared to their perceived worth (value companies), or in a combination of growth and value companies.

MARKET OVERVIEW

During the reporting period, markets continued to grapple with the strongest global inflationary pressures in decades along with signs of slowing economic growth. Intermittent COVID-19 flareups, particularly in China, weighed on supply chains. The reopening of the economy in the parts of the world where the virus has been better contained has led to a shift in consumer consumption patterns in favor of services over manufactured goods, straining already tight labor markets in most developed economies. As a result of Russia's invasion of Ukraine, geopolitical considerations, such as sanctions and trade bans, have resulted in additional supply chain disruptions and volatile global energy prices. Taken together, these factors have contributed to market volatility.

Despite the challenging macroeconomic and geopolitical environment, policymakers remained focused on controlling inflation. The Federal Reserve tightened policy at the fastest rate in decades, slowing its pace at the end of the period, as did the European Central Bank. Near the end of the period, the Bank of Japan widened its Yield Curve Control band, an action investors interpreted as a first step toward monetary policy normalization.

Against an environment of still-tight labor markets, tighter global financial conditions and volatile materials prices, investor anxiety that corporate profit margins may have peaked for this cycle appears to have increased. However, tentative signs that supply chain bottlenecks may be moderating, the easing of COVID-19-related restrictions in China, low levels of unemployment across developed markets and anticipation that inflation levels may be near a peak were supportive factors for the macroeconomic backdrop.

PORTFOLIO RESULTS

The Portfolio returned (17.16%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's primary and secondary benchmarks, the MSCI<sup>®</sup> All Country World (ex-U.S.) Index (the "Index") and the MSCI EAFE<sup>®</sup> Index, returned (16%) and (14.45%), respectively. (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2022 of the International Multi-Cap Core Funds peer group was (15.45%).

Stock selection in the Industrials sector was a primary detractor from the Portfolio's relative performance. Specifically, the Portfolio's overweight positions in electronic power tools manufacturer Techtronic Industries Co., Ltd. and electrical distribution equipment manufacturer Schneider Electric SE detracted.

Stock selection in both the Materials and Real Estate sectors also detracted from performance. The Portfolio's overweight positions in specialty chemical products manufacturers Croda International PLC and Sika AG and real estate company LEG Immobilien SE weighed on performance.

Other detractors included software engineering services company EPAM Systems, Inc. and overweight positions in sportswear manufacturer adidas AG, technology company Koninklijke Philips NV and business system services company Nomura Research Institute, Ltd. In addition, not owning shares of global energy and petrochemicals company Shell PLC detracted.

**84** 

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**Research International Core Portfolio (unaudited)** 

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A combination of an underweight positioning and security selection in the Information Technology sector contributed to relative returns, particularly not owning shares of e-commerce platform operator Shopify, Inc.

Individual stocks that contributed to relative performance include overweight positions in pharmaceutical company Novo Nordisk A/S, oil and gas company Galp Energia SGPS SA and commodity trading and mining company Glencore PLC. Additionally, holding shares of industrial gas supplier Linde PLC and financial services company Aon PLC contributed.

During the reporting period, the Portfolio's relative currency exposure, resulting primarily from differences between the Portfolio's and the Index's exposures to holdings of securities denominated in foreign currencies, benefited relative performance. The Portfolio's cash and/or cash equivalents position during the period was also a contributor to relative performance.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of MFS<sup>®</sup>, the Portfolio's sub-adviser.

Our investment decisions are driven by the fundamentals of each individual opportunity and, as such, it is common for the Portfolios to have different currency exposure than the Index.

Additionally, under normal market conditions, we strive for the Portfolio to be fully invested and generally hold cash to buy new holdings and to provide liquidity. In a period when equity markets fell, as measured by the Index, holding cash contributed to the Portfolio's relative performance, as the Index has no cash position.

**Relative Performance**![LOGO](g42295589.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Research International Core Portfolio | -17.16% | 3.13% | 4.96% |
|  MSCI® All Country World (ex-US) Index (Net) | -16.00% | 0.88% | 3.80% |
|  MSCI EAFE® Index (Net) | -14.45% | 1.54% | 4.67% |
|  Lipper® Variable Insurance Products (VIP) International Multi-Cap Core Funds Average | -15.45% | 0.90% | 4.16% |

---

*With respect to its broad-based benchmark, the Portfolio has elected to calculate the MSCI<sup>®</sup> All Country World (ex-US) Index net of withholding taxes on reinvested dividends rather than the MSCI<sup>®</sup> All Country World (ex-US) Index gross of withholding taxes on reinvested dividends because the net calculation more closely reflects the Portfolio's performance for an investor.* 

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.* 

*The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio's performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.* 

**85** 

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##### [**Table of Contents**](#toc)
**Research International Core Portfolio (unaudited)** 

------

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Roche Holding AG | 3.2% |
| &nbsp;&nbsp;&nbsp; Novo Nordisk A/S - Class B | 3.2% |
| &nbsp;&nbsp;&nbsp; Nestle SA | 3.0% |
| &nbsp;&nbsp;&nbsp; Linde PLC | 2.9% |
| &nbsp;&nbsp;&nbsp; LVMH Moet Hennessy Louis Vuitton SE | 2.6% |
| &nbsp;&nbsp;&nbsp; Schneider Electric SE | 2.5% |
| &nbsp;&nbsp;&nbsp; Hitachi, Ltd. | 1.8% |
| &nbsp;&nbsp;&nbsp; TotalEnergies SE | 1.7% |
| &nbsp;&nbsp;&nbsp; AIA Group, Ltd. | 1.7% |
| &nbsp;&nbsp;&nbsp; Glencore PLC | 1.6% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Financials | 17.9% |
| &nbsp;&nbsp;&nbsp; Industrials | 15.5% |
| &nbsp;&nbsp;&nbsp; Health Care | 13.2% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 9.8% |
| &nbsp;&nbsp;&nbsp; Materials | 9.2% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 9.0% |
| &nbsp;&nbsp;&nbsp; Information Technology | 9.0% |
| &nbsp;&nbsp;&nbsp; Energy | 5.5% |
| &nbsp;&nbsp;&nbsp; Communication Services | 4.5% |
| &nbsp;&nbsp;&nbsp; Utilities | 3.2% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.7% |
| &nbsp;&nbsp;&nbsp; Real Estate | 1.5% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**86** 

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##### [**Table of Contents**](#toc)
**Research International Core Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (98.3%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communication Services (4.5%)** | **Communication Services (4.5%)** |  |  |
|  Advanced Info Service PCL - Foreign Shares | Thailand | 752400 | 4236 |
|  carsales.com, Ltd. | Australia | 179014 | 2530 |
|  Hellenic Telecommunications Organization SA | Greece | 194734 | 3041 |
|  KDDI Corp. | Japan | 225900 | 6854 |
|  NAVER Corp. | South Korea | 15431 | 2192 |
|  NetEase, Inc., ADR | China | 64941 | 4717 |
|  SEEK, Ltd. | Australia | 125186 | 1785 |
|  SoftBank Group Corp. | Japan | 99200 | 4266 |
|  Tencent Holdings, Ltd. | China | 84800 | 3629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **33250** |
| **Consumer Discretionary (9.8%)** |  |  |  |
|  Aristocrat Leisure, Ltd. | Australia | 190254 | 3954 |
|  Bridgestone Corp. | Japan | 111000 | 3968 |
|  Burberry Group PLC | United Kingdom | 101945 | 2502 |
|  Cie Financiere Richemont SA | Switzerland | 64063 | 8307 |
|  Compagnie Generale des Etablissements Michelin | France | 153254 | 4263 |
|  Flutter Entertainment PLC \* | Australia | 17393 | 2374 |
|  Koito Manufacturing Co., Ltd. | Japan | 275500 | 4171 |
|  LVMH Moet Hennessy Louis Vuitton SE | France | 26906 | 19582 |
|  NIKE, Inc. - Class B | United States | 33494 | 3919 |
|  Techtronic Industries Co., Ltd. | Hong Kong | 581000 | 6483 |
|  Whitbread PLC | United Kingdom | 93762 | 2913 |
|  Yamaha Corp. | Japan | 82100 | 3078 |
|  Yum China Holdings, Inc. | China | 80877 | 4420 |
|  ZOZO, Inc. | Japan | 107300 | 2665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **72599** |
| **Consumer Staples (9.0%)** |  |  |  |
|  British American Tobacco PLC | United Kingdom | 267331 | 10606 |
|  Danone SA | France | 86728 | 4570 |
|  Diageo PLC | United Kingdom | 244524 | 10790 |
|  Kao Corp. | Japan | 103000 | 4124 |
|  Kirin Holdings Co., Ltd. | Japan | 282400 | 4327 |
|  Nestle SA | United States | 195436 | 22645 |
|  Ocado Group PLC \* | United Kingdom | 106868 | 797 |
|  Reckitt Benckiser Group PLC | United Kingdom | 104920 | 7299 |
|  Sugi Holdings Co., Ltd. | Japan | 40100 | 1794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **66952** |
| **Energy (5.5%)** |  |  |  |
|  Eni SpA | Italy | 515795 | 7335 |
|  Galp Energia SGPS SA | Portugal | 708744 | 9567 |
|  Idemitsu Kosan Co., Ltd. | Japan | 186600 | 4365 |
|  TotalEnergies SE | France | 199787 | 12543 |
|  Woodside Energy Group, Ltd. | Australia | 296320 | 7150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **40960** |

---

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (98.3%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financials (17.9%)** | **Financials (17.9%)** |  |  |
|  AIA Group, Ltd. | Hong Kong | 1104400 | 12281 |
|  Aon PLC | United States | 34345 | 10308 |
|  Bank of Ireland Group PLC | Ireland | 192596 | 1835 |
|  Beazley PLC | United Kingdom | 677734 | 5567 |
|  BNP Paribas SA | France | 197619 | 11265 |
|  Euronext NV | Netherlands | 124043 | 9183 |
|  HDFC Bank, Ltd. | India | 323915 | 6375 |
|  Hiscox, Ltd. | United Kingdom | 321360 | 4233 |
|  Hong Kong Exchanges & Clearing, Ltd. | Hong Kong | 171100 | 7392 |
|  Julius Baer Group, Ltd. | Switzerland | 111594 | 6500 |
|  London Stock Exchange Group PLC | United Kingdom | 116333 | 10036 |
|  Macquarie Group, Ltd. | Australia | 57254 | 6508 |
|  Mitsubishi UFJ Financial Group, Inc. | Japan | 938300 | 6356 |
|  NatWest Group PLC | United Kingdom | 3370557 | 10807 |
|  UBS Group AG | Switzerland | 619083 | 11519 |
|  Willis Towers Watson PLC | United States | 16553 | 4049 |
|  Zurich Insurance Group AG | Switzerland | 19126 | 9149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **133363** |
| **Health Care (13.2%)** |  |  |  |
|  Bayer AG | Germany | 99363 | 5140 |
|  ConvaTec Group PLC | United Kingdom | 1500496 | 4219 |
|  Kyowa Kirin Co., Ltd. | Japan | 362900 | 8351 |
|  Merck KGaA | Germany | 40948 | 7929 |
|  Novo Nordisk A/S - Class B | Denmark | 176453 | 23826 |
|  Qiagen NV \* | United States | 196490 | 9888 |
|  Roche Holding AG | United States | 76100 | 23909 |
|  Sanofi | France | 60345 | 5803 |
|  Santen Pharmaceutical Co., Ltd. | Japan | 572700 | 4687 |
|  Terumo Corp. | Japan | 148800 | 4247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **97999** |
| **Industrials (15.5%)** |  |  |  |
|  Cellnex Telecom SA | Spain | 128722 | 4260 |
|  Daikin Industries, Ltd. | Japan | 59900 | 9220 |
|  GEA Group AG | Germany | 209508 | 8567 |
|  Hitachi, Ltd. | Japan | 264100 | 13465 |
|  Kubota Corp. | Japan | 443600 | 6141 |
|  Legrand SA | France | 99310 | 7954 |
|  MTU Aero Engines AG | Germany | 29850 | 6461 |
|  Persol Holdings Co., Ltd. | Japan | 136400 | 2939 |
|  Ritchie Bros Auctioneers, Inc. | Canada | 51310 | 2964 |
|  Ryanair Holdings PLC \* | Ireland | 37729 | 2821 |
|  Schindler Holding AG | Switzerland | 28871 | 5430 |
|  Schneider Electric SE | United States | 131974 | 18467 |
|  Secom Co., Ltd. | Japan | 39400 | 2264 |
|  SMC Corp. | Japan | 20000 | 8470 |
|  Thales SA | France | 17986 | 2297 |
|  Toyota Industries Corp. | Japan | 95800 | 5285 |
|  Weir Group PLC | United Kingdom | 196321 | 3961 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Research International Core Portfolio** 

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (98.3%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Industrials continued** | **Industrials continued** |  |  |
|  Wolters Kluwer NV | Netherlands | 41295 | 4321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **115287** |
| **Information Technology (9.0%)** |  |  |  |
|  Amadeus IT Group SA \* | Spain | 125470 | 6521 |
|  ASML Holding NV | Netherlands | 5232 | 2821 |
|  Cadence Design Systems, Inc. \* | United States | 28161 | 4524 |
|  Constellation Software, Inc. | Canada | 5316 | 8300 |
|  Fujitsu, Ltd. | Japan | 72500 | 9731 |
|  Kyocera Corp. | Japan | 102000 | 5092 |
|  Nomura Research Institute, Ltd. | Japan | 303700 | 7208 |
|  NXP Semiconductors NV | China | 28052 | 4433 |
|  Samsung Electronics Co., Ltd. | South Korea | 124418 | 5487 |
|  Taiwan Semiconductor Manufacturing Co., Ltd. | Taiwan | 378189 | 5519 |
|  Visa, Inc. - Class A | United States | 35085 | 7289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **66925** |
| **Materials (9.2%)** |  |  |  |
|  Akzo Nobel NV | Netherlands | 92345 | 6184 |
|  Croda International PLC | United Kingdom | 90708 | 7242 |
|  Glencore PLC | Australia | 1738822 | 11612 |
|  Kansai Paint Co., Ltd. | Japan | 170800 | 2107 |
|  Linde PLC | United Kingdom | 66284 | 21673 |
|  Nitto Denko Corp. | Japan | 96000 | 5596 |
|  Sika AG | Switzerland | 28444 | 6820 |
|  Symrise AG | Germany | 66924 | 7282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **68516** |

---

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (98.3%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Real Estate (1.5%)** | **Real Estate (1.5%)** |  |  |
|  ESR Cayman, Ltd. | China | 1420600 | 2981 |
|  Grand City Properties SA | Germany | 263479 | 2592 |
|  LEG Immobilien SE | Germany | 87034 | 5670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **11243** |
| **Utilities (3.2%)** |  |  |  |
|  APA Group | Australia | 397837 | 2915 |
|  China Resources Gas Group, Ltd. | China | 755800 | 2837 |
|  CLP Holdings, Ltd. | Hong Kong | 447500 | 3265 |
|  E.ON SE | Germany | 369973 | 3697 |
|  Iberdrola SA | Spain | 746018 | 8728 |
|  Orsted A/S | Denmark | 28114 | 2555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **23997** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $667,340)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $667,340)** |  | **731091** |
| Warrants (0.0%) |  |  |  |
|  **Consumer Discretionary (0.0%)** |  |  |  |
|  Cie Financiere Richemont SA \* | Switzerland | 136342 | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **114** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Warrants** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $–)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $–)** |  | **114** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.3%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.3%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.3%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $667,340)@** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $667,340)@** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $667,340)@** | **731205** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (1.7%)** |  |  | **12868** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  |  | **744073** |

---

---

| | |
|:---|:---|
|  Investments by Country of Risk as a Percentage of Net Assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 18.9% |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 14.0% |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 13.9% |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 9.2% |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany | 6.5% |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 6.3% |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | 5.2% |
| &nbsp;&nbsp;&nbsp;&nbsp; Other | 24.3% |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** | 98.3% |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $670,185 and the net unrealized appreciation of investments based on that cost was $61,020 which is comprised of $120,676 aggregate gross unrealized appreciation and $59,656 aggregate gross unrealized depreciation.  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**88** 

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##### [**Table of Contents**](#toc)
**Research International Core Portfolio** 

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br> Observable<br> Inputs | Level 3 – <br> Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Communication Services | $26822 | $6428 | $- |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Information Technology | 61438 | 5487 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Others | 630916 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants | 114 | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $719290 | $11915 | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**International Equity Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Long-term growth of capital. Any income realized will be incidental. | Invests primarily in equity securities of issuers outside of the U.S. with favorable long-term potential relative to current market values. | $1.7 billion |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the International Equity Portfolio ("the Portfolio"), has engaged Dodge & Cox to act as sub-adviser for the Portfolio. The Portfolio may purchase securities in any country, including those with developed markets and emerging markets and is not required to allocate its investments in set percentages in particular countries, except that the Portfolio's investments in emerging markets countries normally will be limited to 30% of its net assets. The Portfolio typically invests in well-established companies of medium-to-large capitalization based on standards of the applicable market. The Portfolio typically invests in companies that appear to be temporarily undervalued but have a favorable outlook for long-term growth. The portfolio managers also focus on the underlying financial condition and prospects of individual companies, including future earnings, cash flow, and dividends.

MARKET OVERVIEW

During the first nine months of 2022, international equity markets declined significantly amid geopolitical and economic uncertainty. Recession fears heightened as many central banks increased interest rates to combat inflation. International equities advanced in the fourth quarter, as investors were encouraged by the slowing pace of interest rate hikes. Despite this strong quarter, international equities still posted negative returns for the overall year. U.S. dollar-based investors exposed to international equities faced an additional headwind in 2022— the U.S. dollar appreciated rapidly as the Federal Reserve (the "Fed") aggressively hiked interest rates.

While valuations continue to be reasonable for the overall market, wide valuation disparities remain between value and growth stocks and between the beneficiaries and victims of low interest rates. International value stocks outperformed growth stocks in 2022. While the valuation gap between value and growth compressed, it remains wide overall. International stocks are also inexpensive relative to U.S. stocks. Furthermore, the valuation spread between stocks benefiting from, and those hindered by, low interest rates remains near its widest point over the past 20 years.

PORTFOLIO RESULTS

The Portfolio returned (6.83%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the MSCI<sup>®</sup> All Country World (ex-US) Value Index (the "Index"), returned (8.59%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund rating agency, the average return in 2022 of the International Large Cap Value Funds peer group was (9.13%).

The Portfolio's emerging market positions, especially Itau Unibanco SA, Axis Bank, Ltd. and ICICI Bank, Ltd. contributed to performance. These three emerging markets banks were key to the Portfolio's performance within the Financials sector. Multinational banks UBS Group AG and Standard Chartered PLC were also strong within Financials. The Portfolio's performance was also supported by its holdings in the Consumer Discretionary sector.

In contrast, the Portfolio's holdings within the Health Care and Communication Services sectors detracted from the Portfolio's return. The Industrials sector also detracted, especially Nidec Corp. and Mitsubishi Electric Corp. In terms of specific holdings, Credit Suisse Group AG, a global bank and financial services company, was the worst performing stock in the Portfolio for the year.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Dodge & Cox, the Portfolio's sub-adviser.

Higher inflation has contributed to recent macroeconomic concerns and driven volatility across global financial markets. However, successful investing requires disciplined decision-making amid uncertainty. While uncertainty poses risks, it also provides opportunities. As active managers, we seek to ascertain these opportunities and position the Portfolio accordingly.

As a result of our bottom-up process, the Portfolio remains overweight in the Financials, Energy and Materials sectors, which meaningfully contributed to outperformance in 2022, we have developed our conviction in these holdings over the years, and this persistence was rewarded. Energy was the best performing sector of the market, and we trimmed the

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**International Equity Portfolio (unaudited)** 

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Portfolio's exposure as valuations increased. Market volatility created opportunities across a wide range of industries and geographies, enabling us to start four new positions (Entain PLC, Flutter Entertainment PLC, NetEase, Inc. and Stellantis N.V.) and add to various existing holdings in 2022. We believe our investment approach is well suited for volatile market environments and remain enthusiastic about the long-term prospects for the Portfolio.

**Relative Performance**![LOGO](g42295595.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  International Equity Portfolio | -6.83% | -1.94% | 2.13% |
|  MSCI® All Country World (ex-US) Value Index (Net) | -8.59% | -0.05% | 2.72% |
|  MSCI® All Country World (ex-US) Index (Net) | -16.00% | 0.88% | 3.80% |
|  Lipper® Variable Insurance Products (VIP) International Large Cap Value Funds Average | -9.13% | 0.77% | 3.62% |

---

*With respect to its broad-based benchmark, the Portfolio has elected to calculate the MSCI<sup>®</sup> All Country World (ex-US) Index net of withholding taxes on reinvested dividends rather than the MSCI<sup>®</sup> All Country World (ex-US) Index gross of withholding taxes on reinvested dividends because the net calculation more closely reflects the Portfolio's performance for an investor.* 

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude* 

 *deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.* 

*The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio's performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.* 

&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Sanofi | 4.2% |
| &nbsp;&nbsp;&nbsp; UBS Group AG | 3.8% |
| &nbsp;&nbsp;&nbsp; Novartis AG | 3.6% |
| &nbsp;&nbsp;&nbsp; Prosus NV | 3.4% |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA | 3.0% |
| &nbsp;&nbsp;&nbsp; GSK PLC | 2.9% |
| &nbsp;&nbsp;&nbsp; Banco Santander SA | 2.9% |
| &nbsp;&nbsp;&nbsp; TotalEnergies SE | 2.8% |
| &nbsp;&nbsp;&nbsp; Axis Bank, Ltd. | 2.7% |
| &nbsp;&nbsp;&nbsp; Roche Holding AG | 2.6% |

---

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Financials | 27.2% |
| &nbsp;&nbsp;&nbsp; Health Care | 16.1% |
| &nbsp;&nbsp;&nbsp; Materials | 11.2% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 11.1% |
| &nbsp;&nbsp;&nbsp; Energy | 7.8% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 7.0% |
| &nbsp;&nbsp;&nbsp; Industrials | 6.2% |
| &nbsp;&nbsp;&nbsp; Information Technology | 5.6% |
| &nbsp;&nbsp;&nbsp; Communication Services | 3.7% |
| &nbsp;&nbsp;&nbsp; Real Estate | 2.1% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.4% |
| &nbsp;&nbsp;&nbsp; Utilities | 0.6% |

---

Sector Allocation and Top 10 Holdings are subject to change.

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##### [**Table of Contents**](#toc)
**International Equity Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (94.3%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
| **Communication Services (3.7%)** | **Communication Services (3.7%)** |  |  |
|  Baidu, Inc., ADR \* | China | 185000 | 21160 |
|  Grupo Televisa SAB, ADR | Mexico | 1850000 | 8436 |
|  Liberty Global PLC - Class A \* | United Kingdom | 175000 | 3313 |
|  Liberty Global PLC - Class C \* | United Kingdom | 327000 | 6354 |
|  Millicom International Cellular, SDR \* | Luxembourg | 374000 | 4736 |
|  NetEase, Inc., ADR | China | 271824 | 19743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **63742** |
| **Consumer Discretionary (11.1%)** |  |  |  |
|  Alibaba Group Holding, Ltd., ADR \* | China | 365000 | 32153 |
|  Booking Holdings, Inc. \* | United States | 7300 | 14711 |
|  Entain PLC | United Kingdom | 1050000 | 16775 |
|  Flutter Entertainment PLC \* | Ireland | 22088 | 3022 |
|  Honda Motor Co., Ltd. | Japan | 990000 | 22872 |
|  JD.com, Inc., ADR | China | 430000 | 24136 |
|  Prosus NV \* | China | 843600 | 58200 |
|  Stellantis NV | United States | 1157350 | 16433 |
|  Yamaha Motor Co., Ltd. | Japan | 180000 | 4128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **192430** |
| **Consumer Staples (7.0%)** |  |  |  |
|  Anheuser-Busch InBev SA/NV | Belgium | 475000 | 28611 |
|  Beiersdorf AG | Germany | 137000 | 15721 |
|  Haleon PLC \* | United Kingdom | 4810900 | 19039 |
|  Imperial Brands PLC | United Kingdom | 1625000 | 40686 |
|  Magnit PJSC \*,Æ | Russia | 135000 |  |
|  Seven & i Holdings Co., Ltd. | Japan | 385000 | 16604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **120661** |
| **Energy (7.8%)** |  |  |  |
|  Equinor ASA | Norway | 300000 | 10773 |
|  Ovintiv, Inc. | United States | 475500 | 24113 |
|  Suncor Energy, Inc. | Canada | 1120000 | 35537 |
|  TC Energy Corp. | Canada | 400000 | 15944 |
|  TotalEnergies SE | France | 755000 | 47400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **133767** |
| **Financials (25.2%)** |  |  |  |
|  Aegon NV | Netherlands | 2150000 | 10904 |
|  Aviva PLC | United Kingdom | 4301600 | 23027 |
|  Axis Bank, Ltd. | India | 4100000 | 46276 |
|  Banco Santander SA | Spain | 16500000 | 49499 |
|  Barclays PLC | United Kingdom | 18700000 | 35837 |
|  BNP Paribas SA | France | 920000 | 52441 |
|  Credicorp, Ltd. | Peru | 135000 | 18314 |
|  Credit Suisse Group AG | Switzerland | 2821698 | 8435 |
|  ICICI Bank, Ltd. | India | 3650000 | 39304 |
|  Mitsubishi UFJ Financial Group, Inc. | Japan | 2500000 | 16935 |
|  Prudential PLC | Hong Kong | 1703152 | 23215 |
|  Standard Chartered PLC | United Kingdom | 4304703 | 32391 |
|  UBS Group AG | Switzerland | 3525000 | 65590 |

---

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (94.3%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
| **Financials continued** | **Financials continued** |  |  |
|  XP, Inc. - Class A \* | Brazil | 824306 | 12645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **434813** |
| **Health Care (16.1%)** |  |  |  |
|  Bayer AG | Germany | 480000 | 24830 |
|  Euroapi SASU \* | France | 30434 | 451 |
|  Fresenius Medical Care AG & Co. KGaA | Germany | 381146 | 12473 |
|  GSK PLC | United States | 2850000 | 49533 |
|  Novartis AG | Switzerland | 695000 | 62829 |
|  Olympus Corp. | Japan | 725100 | 12995 |
|  Roche Holding AG | United States | 140000 | 43984 |
|  Sanofi | France | 745000 | 71646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **278741** |
| **Industrials (6.2%)** |  |  |  |
|  Johnson Controls International PLC | United States | 600000 | 38400 |
|  Mitsubishi Electric Corp. | Japan | 3400000 | 34028 |
|  Nidec Corp. | Japan | 115000 | 5993 |
|  Schneider Electric SE | United States | 98000 | 13713 |
|  Smiths Group PLC | United Kingdom | 765000 | 14784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **106918** |
| **Information Technology (3.3%)** |  |  |  |
|  Brother Industries, Ltd. | Japan | 385000 | 5888 |
|  Kyocera Corp. | Japan | 276000 | 13779 |
|  Micro Focus International PLC | United Kingdom | 515000 | 3296 |
|  Murata Manufacturing Co., Ltd. | Japan | 310000 | 15561 |
|  TE Connectivity, Ltd. | Switzerland | 163000 | 18712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **57236** |
| **Materials (11.2%)** |  |  |  |
|  Akzo Nobel NV | Netherlands | 480000 | 32144 |
|  Glencore PLC | Australia | 3300000 | 22038 |
|  Holcim, Ltd. \* | Switzerland | 845000 | 43756 |
|  Linde PLC | United Kingdom | 50000 | 16349 |
|  Mitsubishi Chemical Group Corp. | Japan | 4570000 | 23842 |
|  Nutrien, Ltd. | Canada | 325000 | 23735 |
|  Teck Resources, Ltd. - Class B | Canada | 810000 | 30634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **192498** |
| **Real Estate (2.1%)** |  |  |  |
|  CK Asset Holdings, Ltd. | Hong Kong | 2435500 | 14993 |
|  Daito Trust Construction Co., Ltd. | Japan | 128200 | 13226 |
|  Hang Lung Group, Ltd. | Hong Kong | 4000000 | 7349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **35568** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**92** 

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##### [**Table of Contents**](#toc)
**International Equity Portfolio** 

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (94.3%) | Country | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Utilities (0.6%)** |  |  |  |
|  Engie SA \* | France | 771558 | 11057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **11057** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks**<br> **(Cost: $1,822,211)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks**<br> **(Cost: $1,822,211)** |  | **1627431** |
| Preferred Stocks (4.3%) |  |  |  |
|  **Financials (2.0%)** |  |  |  |
|  Itau Unibanco Holding SA \* | Brazil | 7325000 | 34789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **34789** |
| **Information Technology (2.3%)** |  |  |  |
|  Samsung Electronics Co., Ltd. | South Korea | 985000 | 39634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **39634** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Preferred Stocks**<br> **(Cost: $85,450)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Preferred Stocks**<br> **(Cost: $85,450)** |  | **74423** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.6%)**<br> **(Cost: $1,907,661)<sup>@</sup>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.6%)**<br> **(Cost: $1,907,661)<sup>@</sup>**  |  | **1701854** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (1.4%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (1.4%)** |  | **24342** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  |  | **1726196** |

---

---

| | |
|:---|:---|
|  Investments by Country of Risk as a Percentage of Net Assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 12.3% |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 11.5% |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 11.5% |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 10.8% |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 10.6% |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 9.0% |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 6.2% |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 5.0% |
| &nbsp;&nbsp;&nbsp;&nbsp; Other | 21.7% |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** | 98.6% |

---

**Over the Counter Derivatives** 

**Forward Foreign Currency Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Type | Counterparty | Foreign<br>Principal<br>Amount<br>Covered by<br>Contract (000s) | USD Principal<br>Amount<br>Covered by<br>Contract (000's) | Settlement<br>Date | Unrealized<br>Appreciation<br>(000's) | Unrealized<br>(Depreciation)<br>(000's) | Net Unrealized<br> Appreciation/<br>(Depreciation)<br>(000's) |
|  Sell | Goldman Sachs Bank USA<br> CNH | 55000 | 7916 | 1/11/23 | $589 | $- | $589 |
|  Sell | HSBC Bank USA<br> CNH | 28450 | 4113 | 1/11/23 | 286 |  | 286 |
|  Sell | JP Morgan Chase Bank NA<br> CNH | 10350 | 1496 | 1/11/23 | 100 |  | 100 |
|  Sell | Standard Chartered Bank<br> CNH | 18100 | 2617 | 1/11/23 | 187 |  | 187 |
|  Sell | HSBC Bank USA<br> CNH | 36500 | 5288 | 2/8/23 | 363 |  | 363 |
|  Sell | Citibank NA<br> CNH | 20150 | 2929 | 3/22/23 | 189 |  | 189 |
|  Sell | HSBC Bank USA<br> CNH | 34079 | 4954 | 3/22/23 | 241 |  | 241 |
|  Sell | JP Morgan Chase Bank NA<br> CNH | 37650 | 5473 | 3/22/23 | 346 |  | 346 |
|  Sell | Standard Chartered Bank<br> CNH | 17500 | 2544 | 3/22/23 | 157 |  | 157 |
|  Sell | Bank of America NA<br> CNH | 23484 | 3433 | 6/7/23 | 78 |  | 78 |
|  Sell | Citibank NA<br> CNH | 14673 | 2145 | 6/7/23 | 48 |  | 48 |
|  Sell | HSBC Bank USA<br> CNH | 14673 | 2145 | 6/7/23 | 49 |  | 49 |
|  Sell | UBS AG<br> CNH | 81270 | 11881 | 6/7/23 | 279 |  | 279 |
|  Sell | HSBC Bank USA<br> CNH | 219779 | 32274 | 8/9/23 | 594 |  | 594 |
|  Sell | Bank of America NA<br> CNH | 21563 | 3174 | 9/13/23 |  | (102) | (102) |
|  Sell | Goldman Sachs Bank USA<br> CNH | 21563 | 3174 | 9/13/23 |  | (100) | (100) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**93** 

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##### [**Table of Contents**](#toc)
**International Equity Portfolio** 

**Forward Foreign Currency Contracts** 

**(continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Type | Counterparty | Foreign<br>Principal<br>Amount<br>Covered by<br>Contract (000s) | USD Principal<br>Amount<br>Covered by<br>Contract (000's) | Settlement<br>Date | Unrealized<br>Appreciation<br>(000's) | Unrealized<br>(Depreciation)<br>(000's) | Net Unrealized<br> Appreciation/<br>(Depreciation)<br>(000's) |
|  Sell | HSBC Bank USA<br> CNH | 21562 | 3174 | 9/13/23 | $- | $(102) | $(102) |
|  Sell | JP Morgan Chase Bank NA<br> CNH | 21563 | 3174 | 9/13/23 |  | (98) | (98) |
|  Sell | Bank of America NA<br> CNH | 15126 | 2231 | 10/18/23 |  | (17) | (17) |
|  Sell | Goldman Sachs Bank USA<br> CNH | 15355 | 2265 | 10/18/23 |  | (20) | (20) |
|  Sell | HSBC Bank USA<br> CNH | 15355 | 2265 | 10/18/23 |  | (18) | (18) |
|  Sell | Bank of America NA<br> CNH | 31411 | 4639 | 11/8/23 |  | (82) | (82) |
|  Sell | HSBC Bank USA<br> CNH | 23862 | 3523 | 11/8/23 |  | (105) | (105) |
|  Sell | JP Morgan Chase Bank NA<br> CNH | 23683 | 3498 | 11/8/23 |  | (105) | (105) |
|  Sell | Standard Chartered Bank<br> CNH | 32989 | 4872 | 11/8/23 |  | (107) | (107) |
|  Sell | Goldman Sachs Bank USA<br> CNH | 22803 | 3372 | 12/6/23 |  | (24) | (24) |
|  Sell | JP Morgan Chase Bank NA<br> CNH | 48766 | 7212 | 12/6/23 |  | (48) | (48) |
|  |  |  |  |  | $3506 | $(928) | $2578 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | |
| | Forward<br>Foreign<br> Currency<br>Contracts | Swaps |<br>Total | | Options | Swaps |<br>Total |
|  Total Over the Counter Derivatives | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3506 | - | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3506 | $(928) | - | - | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(928) |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

Æ Security valued using significant unobservable inputs.

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,919,072 and the net unrealized depreciation of investments based on that cost was $214,640 which is comprised of $82,374 aggregate gross unrealized appreciation and $297,014 aggregate gross unrealized depreciation.  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**94** 

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##### [**Table of Contents**](#toc)
**International Equity Portfolio** 

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br> Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks | $- | $74423 | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Staples | 120661 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Utilities | 1025 | 10032 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Others | 1495713 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts | - | 3506 | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $1617399 | $87961 | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts | - | (928) | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $- | $(928) | $- |

---

^ 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.

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2022.

For the period ended December 31, 2022, there was a transfer from Level 2 to Level 3 in the amount of $0 (in thousands). This transfer was due to the liquidity and current market conditions in Russia.

The Accompanying Notes are an Integral Part of the Financial Statements.

**95** 

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##### [**Table of Contents**](#toc)
**Emerging Markets Equity Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Capital Appreciation. | Invest in equity securities of issuers that are tied economically to emerging market countries. | $854 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Emerging Markets Equity Portfolio ("the Portfolio"), has engaged abrdn Investments Limited ("Aberdeen") to act as sub-adviser for the Portfolio. The Portfolio normally invests in equity securities of issuers that are tied economically to emerging market countries. Emerging market countries include countries determined by the Portfolio's portfolio managers to have emerging market economies, taking into account a number of factors, such as the country's credit rating, its political and economic stability and the development of its financial and capital markets. The Portfolio may invest in companies of any size. The Portfolio employs a fundamental "bottom up" equity investment style, which is characterized by intensive, first-hand research and disciplined company evaluation. Investments are identified for their long-term, fundamental value.

MARKET OVERVIEW

Emerging market equities retreated during an extremely challenging year for the asset class, lagging developed markets. Stocks maintained a broad downtrend for most of 2022 as major central banks tightened policy to counter inflation, which was exacerbated by Russia's invasion of Ukraine. The inflationary consequences of the war prompted central banks to act aggressively, triggering recession fears. Multiple interest rate hikes by the Federal Reserve (the "Fed") boosted the U.S. dollar, which further dented sentiment towards emerging markets. Compounding concerns were negative developments in China, including regulatory scrutiny, an ongoing property crisis, tensions with the U.S. and stringent lockdowns due to Beijing's zero-COVID policy.

Losses moderated toward year-end as emerging market equities staged an impressive comeback on hopes that the Fed may temper its pace of tightening. Markets also reacted positively to China's rapid reversal of their zero-COVID policy and signs of stabilization in the U.S.-China relationship.

PORTFOLIO RESULTS

The Portfolio returned (25.28%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the MSCI<sup>®</sup> Emerging Markets Index (the "Index") returned (20.09%). (This Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Emerging Markets Funds peer group was (22.35%).

Exposure to Russia and stock selection in China were key detractors from the Portfolio's relative return. Revaluing the Portfolio's Russian Energy sector holdings in LUKOIL PJSC and NovaTek PJSC to zero, following the start of the Russia-Ukraine war proved costly. The Portfolio's sub-adviser made that decision due to the implementation of stringent capital controls in Russia following stiff Western sanctions on Moscow, which made it impossible to realize any value from the investments. The Portfolio lost its exposure to energy companies at a time when oil prices hit record levels. Hence, an underweight to Middle Eastern oil exporters in subsequent months also detracted.

Holdings in China, which faced multiple headwinds over the year, also hampered relative performance. China Merchants Bank Co., Ltd. retreated after its president was removed and investigated by China's anti-corruption watchdog.

Some of the Portfolio's Information Technology holdings, notably Prosus N.V. and Sea, Ltd., also detracted as growing concerns about recession fueled concerns over slowing demand for e-commerce, consumer electronics and semiconductor chips. The Portfolio's core semiconductor holdings in Samsung Electronics Co., Ltd. and Taiwan Semiconductor Manufacturing Co., Ltd. also detracted but remain well positioned to ride through the industry downcycle.

Conversely, exposure to Mexico, where fundamentals remained strong, contributed to relative returns. Lender Grupo Financiero Banort SAB de CV, in the Financials sector, and bottling company Fomento Economico Mexicano SAB de CV, in the Consumer Staples sector, advanced amid higher interest rates and domestic consumption strength.

The Portfolio's position in Asia also contributed. The Indonesian Financials sector, notably PT Bank Central Asia Tbk and Bank Rakyat Indonesia (Persero) Tbk PT, outperformed as the Indonesian economy benefited from reopening and higher commodity prices. Thailand-based Energy company PTT Exploration & Production PCL advanced on resilient results and relatively elevated oil prices. In China, China Tourism Group Duty Free Corp., Ltd. rose in anticipation of the country reopening. The Hong Kong companies insurer AIA Group, Ltd. and brewer Budweiser Brewing Co. APAC. Ltd. also rallied.

**96** 

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##### [**Table of Contents**](#toc)
**Emerging Markets Equity Portfolio (unaudited)** 

------

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Aberdeen, the Portfolio's sub-adviser.

While the U.S. continues to unwind years of loose monetary policy, emerging market central banks are approaching the end of their rates cycle. Larger emerging economies have relatively resilient currency reserves and current account positions. Corporate balance sheets have also emerged stronger from the pandemic, particularly as a global recession looms. Meanwhile, the potential for a counter-cyclical recovery in China remains, aided by the country's rapid reversal of their zero-COVID policy. Macro policy is likely to stay accommodative due to relatively low inflation. Beyond China, other emerging markets are set to benefit from a post-pandemic rearrangement of global supply chains—with international companies diversifying into relatively resilient markets like India and regions such as South East Asia.

We remain focused on businesses with quality characteristics, including sustainable free cash flow generation and earnings growth, pricing power and low debt levels. Such characteristics should help businesses manage any near-term supply disruption and cost pressures.

**Relative Performance**![LOGO](g422955101.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Emerging Markets Equity Portfolio | -25.28% | -1.21% | 0.24% |
|  MSCI<sup>®</sup> Emerging Markets Index (Net) | -20.09% | -1.40% | 1.44% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Emerging Markets Funds Average | -22.35% | -1.74% | 1.20% |

---

*With respect to its broad-based benchmark, the Portfolio has elected to calculate the MSCI<sup>®</sup> Emerging Markets Index net of withholding taxes on reinvested dividends rather than the MSCI<sup>®</sup> Emerging Markets Index gross of withholding taxes on reinvested dividends because the net calculation more closely reflects the Portfolio's performance for an investor.* 

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their* 

 *original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.* 

*The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio's performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.* 

**97** 

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##### [**Table of Contents**](#toc)
**Emerging Markets Equity Portfolio (unaudited)** 

------

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Taiwan Semiconductor Manufacturing Co., Ltd. | 6.9% |
| &nbsp;&nbsp;&nbsp; Samsung Electronics Co., Ltd., Various | 5.7% |
| &nbsp;&nbsp;&nbsp; Tencent Holdings, Ltd. | 5.7% |
| &nbsp;&nbsp;&nbsp; Alibaba Group Holding, Ltd. | 4.3% |
| &nbsp;&nbsp;&nbsp; Housing Development Finance Corp., Ltd. | 3.9% |
| &nbsp;&nbsp;&nbsp; JD.com, Inc. - Class A | 2.9% |
| &nbsp;&nbsp;&nbsp; AIA Group, Ltd. | 2.7% |
| &nbsp;&nbsp;&nbsp; SBI Life Insurance Co., Ltd. | 2.3% |
| &nbsp;&nbsp;&nbsp; LG Chem, Ltd. | 2.3% |
| &nbsp;&nbsp;&nbsp; Budweiser Brewing Co. APAC, Ltd. | 2.1% |

---

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Financials | 24.6% |
| &nbsp;&nbsp;&nbsp; Information Technology | 20.7% |
| &nbsp;&nbsp;&nbsp; Consumer Discretionary | 15.7% |
| &nbsp;&nbsp;&nbsp; Consumer Staples | 9.4% |
| &nbsp;&nbsp;&nbsp; Materials | 7.3% |
| &nbsp;&nbsp;&nbsp; Communication Services | 6.7% |
| &nbsp;&nbsp;&nbsp; Industrials | 5.2% |
| &nbsp;&nbsp;&nbsp; Health Care | 2.9% |
| &nbsp;&nbsp;&nbsp; Energy | 2.9% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.8% |
| &nbsp;&nbsp;&nbsp; Utilities | 1.6% |
| &nbsp;&nbsp;&nbsp; Real Estate | 1.2% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**98** 

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##### [**Table of Contents**](#toc)
**Emerging Markets Equity Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (94.4%) | Country | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Communication Services (6.7%)** | **Communication Services (6.7%)** |  |  |
|  Telkom Indonesia Persero Tbk PT | Indonesia | 36276100 | 8739 |
|  Tencent Holdings, Ltd. | China | 1128100 | 48272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **57011** |
|  **Consumer Discretionary (15.7%)** | **Consumer Discretionary (15.7%)** |  |  |
|  Alibaba Group Holding, Ltd. \* | China | 3337200 | 36876 |
|  Americana Restaurants | United Arab |  |  |
|  International PLC \* | Emirates | 10431827 | 8466 |
|  China Tourism Group Duty Free Corp., Ltd. - Class A | China | 272786 | 8477 |
|  China Tourism Group Duty Free Corp., Ltd. -<br>Class H \* | China | 193500 | 5702 |
|  JD.com, Inc. - Class A | China | 875950 | 24711 |
|  Maruti Suzuki India, Ltd. | India | 81998 | 8320 |
|  Meituan Dianping - Class B \* | China | 550700 | 12326 |
|  MercadoLibre, Inc. \* | Brazil | 8906 | 7537 |
|  Midea Group Co., Ltd. - Class A | China | 1878166 | 13995 |
|  Zhongsheng Group Holdings, Ltd. | China | 1551000 | 7978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **134388** |
|  **Consumer Staples (9.4%)** | **Consumer Staples (9.4%)** |  |  |
|  Budweiser Brewing Co. APAC, Ltd. | China | 5785500 | 18197 |
|  Fomento Economico Mexicano SAB de CV, ADR | Mexico | 176175 | 13763 |
|  Foshan Haitian Flavouring and Food Co., Ltd. - Class A | China | 962944 | 11026 |
|  Hindustan Unilever, Ltd. | India | 479301 | 14837 |
|  Kweichow Moutai Co., Ltd. - Class A | China | 53573 | 13309 |
|  Raia Drogasil SA | Brazil | 1961430 | 8818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **79950** |
|  **Energy (2.9%)** | **Energy (2.9%)** |  |  |
|  LUKOIL PJSC \*,Æ | Russia | 225143 |  |
|  NovaTek PJSC \*,Æ | Russia | 795201 |  |
|  PTT Exploration & Production PCL - Foreign Shares | Thailand | 2236500 | 11397 |
|  TotalEnergies SE | France | 209481 | 13152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **24549** |
|  **Financials (24.6%)** | **Financials (24.6%)** |  |  |
|  AIA Group, Ltd. | Hong Kong | 2062200 | 22933 |
|  Al Rajhi Bank \* | Saudi Arabia | 556424 | 11162 |
|  B3 SA - Brasil, Bolsa, Balcao | Brazil | 4568077 | 11423 |
|  Banco Bradesco SA, ADR | Brazil | 3513843 | 10120 |
|  Banco Santander Chile, ADR | Chile | 440748 | 6981 |
|  Bank Rakyat Indonesia (Persero) Tbk PT | Indonesia | 43958756 | 13949 |
|  Credicorp, Ltd. | Peru | 30500 | 4138 |
|  Grupo Financiero Banorte SAB de CV | Mexico | 2319582 | 16654 |

---

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (94.4%) | Country | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financials continued** | **Financials continued** |  |  |
|  Hong Kong Exchanges & Clearing, Ltd. | Hong Kong | 251492 | 10865 |
|  Housing Development Finance Corp., Ltd. | India | 1037574 | 33080 |
|  Kasikornbank PCL - Foreign Shares | Thailand | 1970100 | 8390 |
|  Kotak Mahindra Bank, Ltd. | India | 734791 | 16229 |
|  PT Bank Central Asia Tbk | Indonesia | 28730700 | 15779 |
|  Sanlam, Ltd. | South Africa | 2825439 | 8102 |
|  Sberbank of Russia PJSC \*,Æ | Russia | 1471064 |  |
|  SBI Life Insurance Co., Ltd. | India | 1338676 | 19924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **209729** |
|  **Health Care (2.9%)** | **Health Care (2.9%)** |  |  |
|  Shenzhen Mindray Bio- Medical Electronics Co., Ltd. | China | 287915 | 13086 |
|  Wuxi Biologics Cayman, Inc. \* | China | 1533000 | 11755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **24841** |
|  **Industrials (5.2%)** | **Industrials (5.2%)** |  |  |
|  Grupo Aeroportuario del Sureste SAB de CV - Class B | Mexico | 343370 | 8012 |
|  NARI Technology Co., Ltd. - Class A | China | 2264832 | 7949 |
|  Rumo SA | Brazil | 2410817 | 8490 |
|  Samsung Engineering Co., Ltd. \* | South Korea | 684375 | 12120 |
|  WEG SA | Brazil | 1097046 | 7990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **44561** |
|  **Information Technology (16.9%)** | **Information Technology (16.9%)** |  |  |
|  ASM International NV | Netherlands | 21243 | 5359 |
|  ASML Holding NV | Netherlands | 13471 | 7265 |
|  Delta Electronics, Inc. | Taiwan | 1115000 | 10393 |
|  Globant SA \* | United States | 34929 | 5874 |
|  Hon Hai Precision Industry Co., Ltd. | Taiwan | 3904000 | 12689 |
|  LONGi Green Energy Technology Co., Ltd. - Class A | China | 1494242 | 9084 |
|  Samsung Electronics Co., Ltd. | South Korea | 370318 | 16330 |
|  Taiwan Semiconductor Manufacturing Co., Ltd. | Taiwan | 4052290 | 59132 |
|  Tata Consultancy Services, Ltd. | India | 362588 | 14273 |
|  Yonyou Network Technology Co., Ltd. - Class A | China | 1237380 | 4302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **144701** |
|  **Materials (7.3%)** | **Materials (7.3%)** |  |  |
|  Anglo American Platinum, Ltd. | South Africa | 172019 | 14426 |
|  First Quantum Minerals, Ltd. | Zambia | 202458 | 4230 |
|  Grupo Mexico SAB de CV | Mexico | 1439942 | 5055 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**99** 

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##### [**Table of Contents**](#toc)
**Emerging Markets Equity Portfolio** 

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (94.4%) | Country | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Materials continued** | **Materials continued** |  |  |
|  LG Chem, Ltd. \* | South Korea | 40423 | 19337 |
|  Mondi PLC | Austria | 521709 | 8935 |
|  UltraTech Cement, Ltd. | India | 120558 | 10141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **62124** |
|  **Real Estate (1.2%)** |  |  |  |
|  China Resources Land, Ltd. | China | 2320000 | 10626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **10626** |
|  **Utilities (1.6%)** |  |  |  |
|  Power Grid Corp. of India, Ltd. | India | 5312260 | 13722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **13722** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks**<br> **(Cost: $840,558)** |  |  | **806202** |

---

---

| | | | |
|:---|:---|:---|:---|
| Common Stocks (94.4%) | Country | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Information Technology (3.8%)** | **Information Technology (3.8%)** |  |  |
|  Samsung Electronics Co., Ltd. | South Korea | 809516 | 32573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  |  | **32573** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Preferred Stocks**<br> **(Cost: $31,441)** |  |  | **32573** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.2%)**<br> **(Cost: $871,999)<sup>@</sup>**  |  |  | **838775** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (1.8%)** |  |  | **15463** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  |  | **854238** |

---

---

| | |
|:---|:---|
|  Investments by Country of Risk as a Percentage of Net Assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 30.1% |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 15.4% |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 9.6% |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 9.4% |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 6.3% |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 5.2% |
| &nbsp;&nbsp;&nbsp;&nbsp; Other | 22.2% |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total** | 98.2% |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

Æ Security valued using significant unobservable inputs.

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $881,051 and the net unrealized depreciation of investments based on that cost was $42,276 which is comprised of $105,496 aggregate gross unrealized appreciation and $147,772 aggregate gross unrealized depreciation.  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**100** 

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##### [**Table of Contents**](#toc)
**Emerging Markets Equity Portfolio** 

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br>Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks | $- | $32573 | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Staples | 71132 | 8818 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy | 13152 | 11397 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials | 178754 | 30975 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrials | 15961 | 28600 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Information Technology | 128371 | 16330 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Materials | 42787 | 19337 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Others | 240588 | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $690745 | $148030 | $- |

---

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2022.

The Accompanying Notes are an Integral Part of the Financial Statements.

**101** 

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##### [**Table of Contents**](#toc)
**Government Money Market Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Maximum current income to the extent consistent with liquidity and stability of capital. | Invest in short-term fixed income obligations issued or guaranteed by the U.S Government, its agencies or instrumentalities. | $543 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Government Money Market Portfolio (the "Portfolio"), has engaged BlackRock Advisors, LLC ("BlackRock") to act as sub-adviser for the Portfolio. The Portfolio invests at least 99.5% of its total assets in cash, U.S. Treasury bills, notes and other obligations issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities and repurchase agreements secured by such obligations or cash. The Portfolio invests in a portfolio of securities maturing in 397 days or less (with certain exceptions) that will have a dollar-weighted average maturity of 60 days or less and a dollar-weighted average life of 120 days or less. The Portfolio seeks to maintain a net asset value of $1.00 per share.

MARKET OVERVIEW

The year began with the Federal Open Market Committee (FOMC) shifting toward a less accommodative interest rate policy as inflation prints have been setting well above their preferred target range. These inflation concerns were the grounds for the FOMC to raise interest rates at their March 16, 2022 meeting. At this meeting, the FOMC raised the target range for the federal funds rate to 0.25%–0.50%. This was the first increase since December 2018.

As the year progressed, the FOMC began removing monetary accommodation at an accelerating pace. At the June 2022 meeting they raised the federal funds target rate by 0.75%. They repeated that pace over the next four meetings.

In June 2022, the FOMC also began reducing its holdings of Treasury securities, Agency debt and Agency Mortgage-Backed securities.

The year ended with the federal funds target rate set within a range of 4.25%– 4.50%. The FOMC also indicated their intention to continue removing accommodation through 2023, according to their updated Summary of Economic Projection (SEP) released at the December 14 meeting.

PORTFOLIO RESULTS

The Portfolio returned 1.36% for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Merrill Lynch<sup>®</sup> 3-Month Treasury Bill Index (the "Index"), returned 1.46%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the U.S. Government Money Market Funds peer group was 1.19%.

The main investment theme that dominated the year was the policy shift from the FOMC. As they centered their focus on the price appreciation being felt across all sectors of the U.S. economy, market yields had been playing catch-up all year. Given the pricing volatility and variables throughout the year that impacted FOMC rate decisions, the Portfolio proceeded selectively with investments in longer tenors, keeping duration below neutral throughout the year.

Throughout the course of 2022 a majority of the investments were made in overnight repurchase agreements, which benefited the performance of the Portfolio immediately following each FOMC meeting, as they reset overnight to the Secured Overnight Funding Rate ("SOFR"). While issuance in the short-term Treasury market was strong for the first half of the year, demand outstripped supply as the uncertainty and volatility experienced in the market throughout the year led investors to look to remain short and defensive in positioning. Given the aggressive FOMC actions, it benefitted the Portfolio to stay short along the curve and capture market pricing and rate increases by the FOMC in one-month and three-month Treasury bill issuance. Any longer-term investments were executed at yields sufficient to fairly compensate the Portfolio for the risk.

Outside of these trades, the remainder of investments were in Agency debt maturing around the upcoming FOMC meetings to take advantage the raising rates by the FOMC and to benefit performance of the Portfolio.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of BlackRock, the Portfolio's sub-adviser.

**102** 

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**Government Money Market Portfolio (unaudited)** 

------

A short-term outlook for inflation above the FOMC's preferred range and "hawkish" rhetoric from officials suggests increases in the target range for the federal funds rate further into "restrictive territory" are possible through at least the mid-point of 2023. The market has been in a near constant state of repricing since the FOMC first lifted rates off the zero lower bound. Pricing volatility should persist at least until the FOMC reaches its terminal rate.

Continued defensive positioning by investors will likely contribute, in our estimation, to elevated usage of the Federal Reserve's Overnight Reverse Repurchase Agreement Program (RRP) by eligible counterparties.

The U.S. Treasury is approaching its borrowing limit. This event will negatively impact issuance of net new Treasury Bill supply. The U.S. Treasury can invoke "extraordinary measures" to expand borrowing capacity which would temporarily increase net new Bill supply. Ultimately, Congress would need to act on the debt ceiling before the U.S. Treasury exhausts all accounting measures. At this time, our estimate is that the true borrowing limit could be reached toward the end of 2023.

*Not all obligations of the U.S. government, its agencies and instrumentalities are backed by the full faith and credit of the U.S. Treasury. Some obligations are backed only by the credit of the issuing agency or instrumentality, and in some cases there may be some risk of default by the issuer.* *****Any guarantee by the U.S. government or its agencies or instrumentalities of a security held by the Portfolio does not apply to the market value of such security or to shares of the Portfolio itself.* 

*If the other party to a repurchase agreement defaults on its obligation under the agreement, the Portfolio may suffer delays and incur costs or lose money in exercising its rights under the agreement. These risks may be heightened if the other party is located outside the U.S. If the seller fails to repurchase the security and the market value of the security declines, the Portfolio may lose money.* 

*You could lose money investing in the Government Money Market Portfolio. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Portfolio's sponsor has no legal obligation to provide financial support to the Portfolio, and you should not expect that the sponsor will provide financial support to the Portfolio at any time.* 

**103** 

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**Government Money Market Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022**

---

| | | |
|:---|:---|:---|
| Money Market Investments (99.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Repurchase Agreements (54.5%)** |  |  |
|  Tri-Party Bank of Montreal, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $21,009,917, collateralized by various US Treasury obligations, 1.625% to 2.875%, due from 5/15/2026 to 5/15/2032, aggregate par and fair value of $23,243,314 and $21,420,028, respectively) | 21000000 | 21000 |
|  Tri-Party Bank of Nova Scotia, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $10,004,722, collateralized by various US Treasury obligations, 0.000% to 4.375%, due from 3/2/2023 to 2/15/2050, aggregate par and fair value of $12,613,304 and $10,204,892, respectively) | 10000000 | 10000 |
|  Tri-Party BNP Paribas, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $20,009,444, collateralized by various US Treasury obligations, 0.000% to 4.323%, due from 7/15/2023 to 5/15/2051, aggregate par and fair value of $35,031,838 and $20,400,017, respectively) | 20000000 | 20000 |
|  Tri-Party BNP Paribas, 0.001%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $10,004,778, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 0.000% to 6.500%, due from 5/15/2025 to 12/20/2052, aggregate par and fair value of $12,029,505 and $10,200,064, respectively) | 10000000 | 10000 |
|  Tri-Party Citigroup Global Markets, Inc., 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $14,006,689, collateralized by various US Treasury obligations, 0.000% to 0.000%, due from 8/15/2039 to 5/15/2040, aggregate par and fair value of $29,524,625 and $14,280,051, respectively) | 14000000 | 14000 |
|  Tri-Party Citigroup Global Markets, Inc., 0.001%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $15,007,083, collateralized by various US Treasury obligations, 0.875% to 2.500%, due from 12/31/2028 to 2/28/2029, aggregate par and fair value of $17,233,113 and $15,300,024, respectively) | 15000000 | 15000 |

---

---

| | | |
|:---|:---|:---|
| Money Market Investments (99.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Repurchase Agreements continued** |  |  |
|  Tri-Party Goldman Sachs Group LP, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $20,009,556, collateralized by various US government sponsored agency obligations, 2.500% to 5.000%, due from 3/15/2026 to 9/20/2052, aggregate par and fair value of $21,237,175 and $20,400,000, respectively) | 20000000 | 20000 |
|  Tri-Party Mitsubishi UFJ, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $35,016,722, collateralized by various US government sponsored agency obligations, 2.000% to 5.918%, due from 9/1/2027 to 11/20/2072, aggregate par and fair value of $36,377,763 and $35,702,965, respectively) | 35000000 | 35000 |
|  Tri-Party Mizuho Securities, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $40,019,111, collateralized by US Treasury Note, 3.125%, due 8/31/2027, par and fair value of $42,331,449 and $40,800,024, respectively) | 40000000 | 40000 |
|  Tri-Party Morgan Stanley, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $41,019,589, collateralized by various US government sponsored agency obligations, 0.875% to 7.125%, due from 12/1/2023 to 12/1/2052, aggregate par and fair value of $44,030,645 and $42,151,690, respectively) | 41000000 | 41000 |
|  Tri-Party Natixis S.A., 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $30,014,167, collateralized by US Treasury Bond, 4.000%, due 11/15/2052, par and fair value of $30,194,223 and $30,600,033, respectively) | 30000000 | 30000 |
|  Tri-Party TD Securities, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $40,019,111, collateralized by US government sponsored agency, 3.000%, due 8/20/2051, par and fair value of $45,372,152 and $40,800,000, respectively) | 40000000 | 40000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **296000** |
|  **US Government & Agencies (44.9%)** |  |  |
|  Federal Farm Credit Bank, 0.000%, 3/16/23 | 1655000 | 1640 |
|  Federal Farm Credit Bank, 4.315%, (US SOFR plus 0.015%), 5/16/23 | 3410000 | 3410 |
|  Federal Farm Credit Bank, 4.330%, (US SOFR plus 0.030%), 7/25/23 | 1485000 | 1485 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**104** 

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##### [**Table of Contents**](#toc)
**Government Money Market Portfolio** 

---

| | | |
|:---|:---|:---|
| Money Market Investments (99.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **US Government & Agencies continued** |  |  |
|  Federal Farm Credit Bank, 4.335%, (US SOFR plus 0.035%), 7/12/23 | 360000 | 360 |
|  Federal Farm Credit Bank, 4.340%, (US SOFR plus 0.040%), 3/10/23 | 1325000 | 1325 |
|  Federal Farm Credit Bank, 4.345%, (US SOFR plus 0.045%), 10/16/23 | 2970000 | 2970 |
|  Federal Farm Credit Bank, 4.345%, (US SOFR plus 0.045%), 2/20/24 | 4010000 | 4010 |
|  Federal Farm Credit Bank, 4.350%, (US SOFR plus 0.050%), 2/17/23 | 2270000 | 2270 |
|  Federal Farm Credit Bank, 4.350%, (US SOFR plus 0.050%), 8/22/23 | 2720000 | 2720 |
|  Federal Farm Credit Bank, 4.350%, (US SOFR plus 0.050%), 9/28/23 | 1830000 | 1830 |
|  Federal Farm Credit Bank, 4.350%, (US SOFR plus 0.050%), 5/9/24 | 2425000 | 2425 |
|  Federal Farm Credit Bank, 4.355%, (US SOFR plus 0.055%), 1/10/24 | 505000 | 505 |
|  Federal Farm Credit Bank, 4.360%, (US SOFR plus 0.060%), 1/20/23 | 550000 | 550 |
|  Federal Farm Credit Bank, 4.360%, (US SOFR plus 0.060%), 11/22/23 | 3350000 | 3350 |
|  Federal Farm Credit Bank, 4.390%, (US SOFR plus 0.090%), 8/26/24 | 4540000 | 4540 |
|  Federal Farm Credit Bank, 4.400%, (US SOFR plus 0.100%), 8/1/24 | 1095000 | 1095 |
|  Federal Farm Credit Bank, 4.440%, (US SOFR plus 0.140%), 11/7/24 | 3100000 | 3100 |
|  Federal Home Loan Bank, 0.000%, 3/8/23 | 2960000 | 2937 |
|  Federal Home Loan Bank, 0.000%, 3/15/23 | 3880000 | 3845 |
|  Federal Home Loan Bank, 0.001%, 2/10/23 | 1430000 | 1423 |
|  Federal Home Loan Bank, 0.001%, 2/24/23 | 2450000 | 2434 |
|  Federal Home Loan Bank, 3.250%, (US SOFR plus 0.010%), 1/9/23 | 5420000 | 5420 |
|  Federal Home Loan Bank, 3.375%, (US SOFR plus 0.010%), 9/1/23 | 3380000 | 3375 |
|  Federal Home Loan Bank, 3.410%, (US SOFR plus 0.010%), 2/10/23 | 2570000 | 2570 |
|  Federal Home Loan Bank, 4.310%, (US SOFR plus 0.010%), 1/4/23 | 11000000 | 11000 |
|  Federal Home Loan Bank, 4.310%, (US SOFR plus 0.010%), 1/25/23 | 14715000 | 14715 |
|  Federal Home Loan Bank, 4.310%, (US SOFR plus 0.010%), 3/23/23 | 6770000 | 6770 |
|  Federal Home Loan Bank, 4.311%, (US SOFR plus 0.010%), 1/17/23 | 4575000 | 4575 |
|  Federal Home Loan Bank, 4.311%, (US SOFR plus 0.010%), 1/17/23 | 6360000 | 6360 |
|  Federal Home Loan Bank, 4.315%, (US SOFR plus 0.015%), 3/2/23 | 8220000 | 8220 |
|  Federal Home Loan Bank, 4.320%, (US SOFR plus 0.020%), 3/13/23 | 10300000 | 10300 |
|  Federal Home Loan Bank, 4.325%, (US SOFR plus 0.025%), 2/3/23 | 13500000 | 13500 |
|  Federal Home Loan Bank, 4.330%, (US SOFR plus 0.030%), 3/2/23 | 7580000 | 7580 |
|  Federal Home Loan Bank, 4.340%, (US SOFR plus 0.040%), 2/13/23 | 8475000 | 8475 |
|  Federal Home Loan Bank, 4.340%, (US SOFR plus 0.040%), 2/17/23 | 5565000 | 5565 |

---

---

| | | |
|:---|:---|:---|
| Money Market Investments (99.4%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **US Government & Agencies continued** |  |  |
|  Federal Home Loan Bank, 4.355%, (US SOFR plus 0.055%), 3/10/23 | 3530000 | 3530 |
|  Federal Home Loan Bank, 4.360%, (US SOFR plus 0.060%), 4/10/23 | 5120000 | 5120 |
|  Federal Home Loan Bank, 4.360%, (US SOFR plus 0.060%), 4/18/23 | 11690000 | 11690 |
|  Federal Home Loan Bank, 4.370%, (US SOFR plus 0.070%), 3/27/23 | 2470000 | 2470 |
|  Federal Home Loan Bank, 4.370%, (US SOFR plus 0.070%), 3/28/23 | 885000 | 885 |
|  Federal Home Loan Bank, 4.390%, (US SOFR plus 0.090%), 5/23/23 | 3420000 | 3420 |
|  US Treasury, 0.000%, 1/12/23 | 8570000 | 8563 |
|  US Treasury, 0.000%, 1/26/23 | 2470000 | 2469 |
|  US Treasury, 0.000%, 2/23/23 | 6310000 | 6281 |
|  US Treasury, 0.000%, 3/16/23 | 7290000 | 7238 |
|  US Treasury, 0.000%, 5/18/23 | 1490000 | 1478 |
|  US Treasury, 0.000%, 11/30/23 | 1210000 | 1161 |
|  US Treasury, 0.125%, 2/28/23 | 10085000 | 10055 |
|  US Treasury, 1.750%, 5/15/23 | 1260000 | 1258 |
|  US Treasury, 2.625%, 2/28/23 | 4510000 | 4519 |
|  US Treasury, 4.433%, (US Treasury 3 Month Bill Money Market Yield plus 0.035%), 10/31/23 | 7140000 | 7140 |
|  US Treasury, 4.447%, (US Treasury 3 Month Bill Money Market Yield plus 0.049%), 1/31/23 | 9500000 | 9500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **243426** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Money Market Investments** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $539,426)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $539,426)** | **539426** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (99.4%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $539,426)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $539,426)** | **539426** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (0.6%)** |  | **3091** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **542517** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**105** 

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##### [**Table of Contents**](#toc)
**Government Money Market Portfolio** 

+ All par is stated in U.S. Dollar unless otherwise noted.

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br>Significant<br>Unobservable Inputs |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments | $- | $539426 | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $- | $539426 | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Short-Term Bond Portfolio (unaudited)** 

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---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Provide as high a level of current income as is consistent with prudent investment risk. | Invest in a diversified portfolio of investment grade debt securities. | $383 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Short-Term Bond Portfolio (the "Portfolio"), has engaged T. Rowe Price Associates, Inc. ("T. Rowe Price") to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of investment grade debt securities. Also, the Portfolio may invest up to 20% of net assets in foreign securities. Debt securities may be of any maturity, but under normal market conditions, the Portfolio's effective dollar-weighted average maturity will not exceed three years. The Portfolio primarily invests in corporate, government and mortgage- and asset-backed securities. The Portfolio uses both a "top-down" and "bottom-up" investment approach to construct the portfolio of investments. The top-down investment approach involves an evaluation of the overall macroeconomic environment and its potential impact on the level and direction of interest rates. The bottom-up investment approach focuses on fundamental research of individual issuers.

MARKET OVERVIEW

Shorter maturity bond markets were adversely impacted by macro- and interest rate driven volatility during the reporting period. Early in 2022, geopolitical conflict, hawkish rhetoric from the Federal Reserve (the "Fed") and heavy new issuance weighed on the fixed income market. While hopes of a dovish pivot from the Fed gave risk assets some reprieve in the summer, hawkish rhetoric and elevated inflation quelled these hopes until late in the period, at which time cooling economic data and comments from the Fed renewed expectations for smaller rate hikes. Against this challenging macroeconomic backdrop, all market segments within the U.S. investment grade fixed income market posted negative returns. Corporate bonds produced the weakest total returns, with 1–3-year corporate bond prices depreciating and credit spreads widening amid negative risk sentiment and a sharp rise in front-end U.S. Treasury yields. While Treasury yields rose broadly across the yield curve, yields on shorter maturity Treasury notes rose most prominently, as investors priced in a higher-for-longer interest rate regime. The yield on the two-year Treasury note began the year at 0.73% and ended at 4.41%.

PORTFOLIO RESULTS

The Portfolio returned (4.52%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Bloomberg<sup>®</sup> 1–3 Year U.S. Government/Credit Index (the "Index"), returned (3.69%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Short Investment Grade Debt Funds peer group was (3.88%).

Sector allocation was the predominant detractor from the Portfolio's relative performance. Out-of-benchmark allocations to securitized sectors, including asset-backed securities, commercial mortgage-backed securities and residential mortgage-backed securities (RMBS), hindered relative results amid interest rate volatility and periods of heavy new issuance. The Portfolio's allocation to RMBS was a prominent detractor, as the interest rate-sensitive sector was dragged lower by concerns about the ramifications of tighter Fed policy, rising rates and declining housing affordability.

Modest underweights in the front end of the yield curve and a slight overweight in the intermediate portion aided relative results as the yield curve flattened and, in certain portions of the yield curve, inverted during the reporting period.

In contrast, an overweight to investment grade corporate bonds and a corresponding underweight to U.S. Treasurys contributed to relative performance as limited new supply, some encouraging corporate earnings reports and more constructive risk sentiment fueled a late-period rally among corporate bonds. Security selection within investment grade corporate bonds was also beneficial.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of T. Rowe Price, the Portfolio's sub-adviser.

While there are signs that inflationary pressures have peaked, the outlook remains uncertain amid continued monetary policy tightening, mounting downside growth risks and elevated volatility in risk assets. We hold the view that the path

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**Short-Term Bond Portfolio (unaudited)** 

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of monetary tightening will be more important to focus on than the destination as the Fed continues to tighten policy despite slowing growth. With the range of economic outcomes now wider due to the speed at which the Fed has tightened monetary policy, we will continue to monitor the distribution of risks over the next year. As inflation and other economic data have started to move lower, concerns about the possibility of a recession have continued. In our view, the ultimate state of the economy and probability of a recession will remain the primary risk for credit investors this year. In this environment of heightened volatility, active management can play an even more instrumental role in achieving investor objectives. Our continued goal is to provide high quality, durable yield and income appropriate for a short-term bond strategy with modest credit and duration risk. Using the breadth and depth of our global research platform, we will look to selectively add to high-conviction positions as volatility creates attractive entry points.

**Relative Performance**![LOGO](g422955v01g112.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Short-Term Bond Portfolio | -4.52% | 1.03% | 0.98% |
|  Bloomberg<sup>®</sup> 1-3 Year U.S. Government/Credit Bond Index | -3.69% | 0.92% | 0.88% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Short Investment Grade Debt Funds Average | -3.88% | 0.77% | 0.85% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Return of principal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund's existing bonds drops, which could negatively affect overall fund performance. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.* 

*Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio's performance.* 

*The Portfolio may invest in derivative instruments to adjust the Portfolio's duration and yield curve exposure, to hedge foreign currency exposure or for any other permissible purpose keeping with its investment objective. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.* 

*The U.S. federal funds rate has been subject to adjustments over the course of the last several years. A significant rise in interest rates over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio's fixed income investments.* 

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**Short-Term Bond Portfolio (unaudited)** 

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&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; US Treasury, Various | 18.3% |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association, Various | 1.6% |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association, Various | 1.0% |
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Various | 1.0% |
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Various | 0.8% |
| &nbsp;&nbsp;&nbsp; AbbVie, Inc., Various | 0.8% |
| &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC, Various | 0.8% |
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Various | 0.7% |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC / AerCap Global Aviation Trust, Various | 0.7% |
| &nbsp;&nbsp;&nbsp; The Goldman Sachs Group, Inc., Various | 0.7% |

---

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | 48.6% |
| &nbsp;&nbsp;&nbsp; Structured Products | 31.8% |
| &nbsp;&nbsp;&nbsp; Governments | 18.3% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 1.2% |
| &nbsp;&nbsp;&nbsp; Municipal Bonds | 0.1% |

---

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio's stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.

**109** 

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**Short-Term Bond Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022**

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Basic Materials (1.6%)** |  |  |
|  ArcelorMittal<br>3.600%, 7/16/24 | 225000 | 218 |
|  Celanese US Holdings LLC<br>5.900%, 7/5/24 | 1000000 | 1000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.050%, 3/15/25 | 1235000 | 1230 |
|  Celulosa Arauco y Constitucion SA<br>4.500%, 8/1/24 | 365000 | 359 |
|  Ecolab, Inc.<br>1.650%, 2/1/27 | 215000 | 190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 1/15/28 | 625000 | 637 |
|  LYB International Finance III, LLC<br>1.250%, 10/1/25 | 373000 | 333 |
|  Nucor Corp.<br>2.000%, 6/1/25 | 155000 | 144 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 5/23/25 | 275000 | 269 |
|  POSCO<br>4.375%, 8/4/25 § | 1000000 | 969 |
|  The Sherwin-Williams Co.<br>4.050%, 8/8/24 | 155000 | 153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 8/8/25 | 230000 | 226 |
|  Steel Dynamics, Inc.<br>2.800%, 12/15/24 | 200000 | 190 |
|  Westlake Chemical Corp.<br>0.875%, 8/15/24 | 100000 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **6011** |
|  **Communications (3.1%)** |  |  |
|  Charter Communications Operating LLC / Charter Communications Operating Capital Corp.<br>4.908%, 7/23/25 | 2090000 | 2048 |
|  Comcast Corp.<br>5.250%, 11/7/25 | 225000 | 228 |
|  Cox Communications, Inc.<br>3.150%, 8/15/24 144A | 1023000 | 985 |
|  KT Corp.<br>4.000%, 8/8/25 144A | 1020000 | 992 |
|  NBN Co., Ltd.<br>1.450%, 5/5/26 144A | 1000000 | 883 |
|  NTT Finance Corp.<br>0.373%, 3/3/23 144A | 660000 | 656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.583%, 3/1/24 144A | 265000 | 251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.142%, 7/26/24 144A | 200000 | 197 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.239%, 7/25/25 144A | 200000 | 196 |
|  Rogers Communications, Inc.<br>3.200%, 3/15/27 144A | 690000 | 639 |
|  SES SA<br>3.600%, 4/4/23 144A | 555000 | 550 |
|  Sky, Ltd.<br>3.750%, 9/16/24 144A | 1450000 | 1415 |
|  T-Mobile USA, Inc.<br>2.250%, 2/15/26 | 470000 | 428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 4/15/25 | 595000 | 572 |
|  Verizon Communications, Inc.<br>0.850%, 11/20/25 | 500000 | 446 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.450%, 3/20/26 | 650000 | 584 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Communications continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 8/15/26 | 845000 | 780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **11850** |
|  **Consumer, Cyclical (4.6%)** |  |  |
|  7-Eleven, Inc.<br>0.625%, 2/10/23 144A | 200000 | 199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.800%, 2/10/24 144A | 325000 | 309 |
|  American Airlines Pass Through Trust, Series 2017-2, Class B 3.700%, 4/15/27 | 209834 | 189 |
|  Aptiv PLC / Aptiv Corp.<br>2.396%, 2/18/25 | 130000 | 123 |
|  AutoZone, Inc.<br>3.125%, 4/18/24 | 515000 | 501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 4/15/25 | 235000 | 227 |
|  Brunswick Corp.<br>0.850%, 8/18/24 | 685000 | 633 |
|  Daimler Finance North America LLC<br>1.625%, 12/13/24 144A | 580000 | 538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 3/10/23 144A | 815000 | 810 |
|  General Motors Co.<br>4.875%, 10/2/23 | 530000 | 528 |
|  General Motors Financial Co., Inc.<br>2.900%, 2/26/25 | 965000 | 914 |
|  Genuine Parts Co.<br>1.750%, 2/1/25 | 220000 | 205 |
|  Hasbro, Inc.<br>3.000%, 11/19/24 | 1030000 | 990 |
|  Hyatt Hotels Corp.<br>1.300%, 10/1/23 | 325000 | 316 |
|  Hyundai Capital America<br>0.800%, 1/8/24 144A | 390000 | 371 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 6/14/24 144A | 510000 | 476 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 9/17/24 144A | 255000 | 236 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 2/10/23 144A | 865000 | 863 |
|  Hyundai Motor Co.<br>2.125%, 4/24/25 144A | 200000 | 183 |
|  Lowe's Companies, Inc.<br>3.350%, 4/1/27 | 175000 | 164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 9/8/25 | 660000 | 650 |
|  Magallanes, Inc.<br>3.755%, 3/15/27 144A | 1545000 | 1391 |
|  Marriott International, Inc.<br>3.125%, 2/15/23 | 170000 | 170 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.600%, 4/15/24 | 1160000 | 1137 |
|  Nissan Motor Acceptance Corp.<br>3.875%, 9/21/23 144A | 235000 | 231 |
|  Nissan Motor Co., Ltd.<br>3.043%, 9/15/23 144A | 1100000 | 1078 |
|  Nordstrom, Inc.<br>2.300%, 4/8/24 | 85000 | 79 |
|  QVC, Inc.<br>4.850%, 4/1/24 | 775000 | 717 |
|  Ross Stores, Inc.<br>0.875%, 4/15/26 | 350000 | 307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.600%, 4/15/25 | 1355000 | 1346 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Short-Term Bond Portfolio** 

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| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Consumer, Cyclical continued** |  |  |
|  Stellantis Finance US, Inc. 1.711%, 1/29/27 144A | 260000 | 223 |
|  Toyota Motor Credit Corp. 3.050%, 3/22/27 | 325000 | 303 |
|  United Airlines Pass Through Trust, Series 2019-2, Class B 3.500%, 11/1/29 | 128734 | 111 |
|  Volkswagen Group of America Finance LLC<br>0.875%, 11/22/23 144A | 345000 | 332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 5/12/23 144A | 200000 | 198 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 6/6/25 144A | 390000 | 377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **17425** |
|  **Consumer, Non-cyclical (7.5%)** |  |  |
|  AbbVie, Inc.<br>2.600%, 11/21/24 | 1935000 | 1851 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.950%, 11/21/26 | 1120000 | 1042 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.200%, 5/14/26 | 100000 | 95 |
|  Aetna, Inc.<br>2.800%, 6/15/23 | 275000 | 272 |
|  AmerisourceBergen Corp.<br>0.737%, 3/15/23 | 465000 | 461 |
|  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.<br>3.650%, 2/1/26 | 250000 | 241 |
|  AstraZeneca Finance LLC<br>1.200%, 5/28/26 | 805000 | 717 |
|  BAT International Finance PLC<br>1.668%, 3/25/26 | 475000 | 421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.448%, 3/16/28 | 1010000 | 935 |
|  Bayer US Finance II LLC<br>3.875%, 12/15/23 144A | 505000 | 498 |
|  Becton Dickinson and Co.<br>3.363%, 6/6/24 | 690000 | 674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.734%, 12/15/24 | 170000 | 166 |
|  Cardinal Health, Inc.<br>3.079%, 6/15/24 | 310000 | 301 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.200%, 3/15/23 | 395000 | 394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 11/15/24 | 525000 | 510 |
|  Coca-Cola European Partners PLC<br>0.800%, 5/3/24 144A | 1335000 | 1254 |
|  Constellation Brands, Inc.<br>3.600%, 5/9/24 | 485000 | 475 |
|  CSL Finance PLC<br>3.850%, 4/27/27 144A | 200000 | 191 |
|  CVS Health Corp.<br>2.875%, 6/1/26 | 265000 | 247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 8/15/26 | 220000 | 206 |
|  Diageo Capital PLC<br>1.375%, 9/29/25 | 300000 | 275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.200%, 10/24/25 | 360000 | 365 |
|  Elevance Health, Inc.<br>5.350%, 10/15/25 | 180000 | 182 |
|  HCA, Inc.<br>3.125%, 3/15/27 144A | 580000 | 527 |
|  Health Care Service Corp.<br>1.500%, 6/1/25 144A | 780000 | 717 |
|  HPHT Finance<br>19, Ltd. 2.875%, 11/5/24 § | 1200000 | 1145 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Consumer, Non-cyclical continued** |  |  |
|  Humana, Inc.<br>0.650%, 8/3/23 | 320000 | 312 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.350%, 2/3/27 | 75000 | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.850%, 10/1/24 | 545000 | 534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 4/1/25 | 565000 | 558 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 3/1/28 | 140000 | 143 |
|  Imperial Brands Finance PLC<br>3.125%, 7/26/24 144A | 1055000 | 1009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 7/21/25 144A | 200000 | 191 |
|  JDE Peet's NV<br>0.800%, 9/24/24 144A | 295000 | 269 |
|  Mondelez International, Inc.<br>2.125%, 3/17/24 | 410000 | 395 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 3/17/27 | 415000 | 376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 9/15/25 144A | 305000 | 301 |
|  Moody's Corp.<br>3.750%, 3/24/25 | 505000 | 491 |
|  PeaceHealth Obligated Group<br>1.375%, 11/15/25 | 105000 | 94 |
|  PerkinElmer, Inc.<br>0.550%, 9/15/23 | 390000 | 378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.850%, 9/15/24 | 745000 | 690 |
|  Perrigo Finance Unlimited Co.<br>3.900%, 12/15/24 | 1570000 | 1484 |
|  Philip Morris International, Inc.<br>1.125%, 5/1/23 | 220000 | 217 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 11/17/25 | 295000 | 296 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 11/15/24 | 585000 | 586 |
|  RELX Capital, Inc.<br>3.500%, 3/16/23 | 270000 | 269 |
|  Royalty Pharma PLC<br>0.750%, 9/2/23 | 425000 | 412 |
|  S&P Global, Inc.<br>2.450%, 3/1/27 144A | 1120000 | 1023 |
|  Shire Acquisitions Investments Ireland DAC<br>2.875%, 9/23/23 | 397000 | 390 |
|  Stryker Corp.<br>0.600%, 12/1/23 | 190000 | 182 |
|  Thermo Fisher Scientific, Inc.<br>0.797%, 10/18/23 | 1050000 | 1016 |
|  Triton Container International, Ltd.<br>0.800%, 8/1/23 144A | 780000 | 753 |
|  UnitedHealth Group, Inc.<br>3.700%, 5/15/27 | 605000 | 585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.150%, 10/15/25 | 535000 | 541 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 2/15/28 | 380000 | 388 |
|  Viatris, Inc.<br>1.650%, 6/22/25 | 310000 | 281 |
|  Zoetis, Inc.<br>5.400%, 11/14/25 | 455000 | 464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **28855** |
|  **Diversified (0.2%)** |  |  |
|  CK Hutchison International 17 II, Ltd.<br>2.750%, 3/29/23 § | 650000 | 647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **647** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Energy (3.3%)** |  |  |
|  Aker BP ASA<br>3.000%, 1/15/25 144A | 665000 | 631 |
|  Canadian Natural Resources, Ltd.<br>2.050%, 7/15/25 | 760000 | 707 |
|  Cheniere Corpus Christi Holdings LLC<br>5.875%, 3/31/25 | 425000 | 428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 6/30/24 | 1110000 | 1124 |
|  Devon Energy Corp.<br>8.250%, 8/1/23 | 290000 | 294 |
|  Enbridge, Inc.<br>2.150%, 2/16/24 | 275000 | 265 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 1/15/25 | 640000 | 605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 2/14/25 | 330000 | 311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/1/23 | 365000 | 362 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.372%, (US SOFR plus 0.400%), 2/17/23 | 205000 | 205 |
|  Energy Transfer LP<br>2.900%, 5/15/25 | 115000 | 108 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.450%, 1/15/23 | 55000 | 55 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.600%, 2/1/23 | 175000 | 175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.200%, 9/15/23 | 135000 | 134 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 3/15/23 | 780000 | 778 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 4/1/24 | 35000 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.900%, 2/1/24 | 425000 | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 1/15/24 | 1054000 | 1057 |
|  Eni SpA<br>4.000%, 9/12/23 144A | 955000 | 942 |
|  EOG Resources, Inc.<br>2.625%, 3/15/23 | 140000 | 139 |
|  Equinor ASA<br>2.875%, 4/6/25 | 880000 | 843 |
|  Gray Oak Pipeline LLC<br>2.000%, 9/15/23 144A | 295000 | 287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.600%, 10/15/25 144A | 205000 | 186 |
|  Pioneer Natural Resources Co.<br>0.550%, 5/15/23 | 350000 | 344 |
|  Plains All American Pipeline LP / PAA Finance Corp.<br>2.850%, 1/31/23 | 725000 | 724 |
|  Sabine Pass Liquefaction LLC<br>5.625%, 3/1/25 | 580000 | 581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 5/15/24 | 530000 | 530 |
|  Schlumberger Finance Canada, Ltd.<br>1.400%, 9/17/25 | 155000 | 142 |
|  Williams Partners LP<br>4.300%, 3/4/24 | 145000 | 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **12557** |
|  **Financial (19.8%)** |  |  |
|  AerCap Ireland Capital DAC / AerCap Global Aviation Trust<br>1.650%, 10/29/24 | 770000 | 710 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 7/3/23 | 960000 | 953 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 9/15/23 | 485000 | 482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 1/16/24 | 550000 | 545 |
|  Air Lease Corp.<br>2.250%, 1/15/23 | 360000 | 360 |
|  American Express Co.<br>2.250%, 3/4/25 | 975000 | 920 |
|  American International Group, Inc.<br>2.500%, 6/30/25 | 433000 | 408 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par + | Value<br>$(000's) |
|  **Financial continued** |  |  |
|  American Tower Corp.<br>2.400%, 3/15/25 | 360000 | 339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/15/24 | 225000 | 224 |
|  Athene Global Funding<br>1.716%, 1/7/25 144A | 930000 | 858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.514%, 3/8/24 144A | 1165000 | 1116 |
|  Avolon Holdings Funding, Ltd.<br>2.125%, 2/21/26 144A | 610000 | 525 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 2/15/25 144A | 435000 | 402 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 7/1/24 144A | 130000 | 124 |
|  Banco Bilbao Vizcaya Argentaria SA<br>0.875%, 9/18/23 | 1000000 | 968 |
|  Banco del Estado de Chile<br>2.704%, 1/9/25 144A | 260000 | 245 |
|  Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico<br>5.375%, 4/17/25 § | 800000 | 792 |
|  Banco Santander SA<br>0.701%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24 | 600000 | 583 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.496%, 3/24/25 | 600000 | 578 |
|  Bank of America Corp.<br>0.810%, (US SOFR plus 0.740%), 10/24/24 | 695000 | 666 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.976%, (US SOFR plus 0.690%), 4/22/25 | 605000 | 567 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.734%, (US SOFR plus 0.960%), 7/22/27 | 450000 | 394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.843%, (US SOFR plus 0.670%), 2/4/25 | 460000 | 441 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.384%, (US SOFR plus 1.330%), 4/2/26 | 580000 | 554 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.841%, (US SOFR plus 1.110%), 4/25/25 | 415000 | 405 |
|  Bank of Ireland Group PLC<br>4.500%, 11/25/23 144A | 1540000 | 1524 |
|  Bank of Montreal<br>3.700%, 6/7/25 | 775000 | 752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 9/14/24 | 390000 | 385 |
|  The Bank of New York Mellon Corp.<br>4.414%, (US SOFR plus 1.345%), 7/24/26 | 515000 | 507 |
|  Banque Federative du Credit Mutuel SA<br>0.650%, 2/27/24 144A | 505000 | 478 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.998%, 2/4/25 144A | 665000 | 608 |
|  Barclays PLC<br>1.007%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.800%), 12/10/24 | 555000 | 528 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.338%, (ICE LIBOR USD 3 Month plus 1.356%), 5/16/24 | 370000 | 367 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.304%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/9/26 | 385000 | 382 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.325%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.050%), 11/2/26 | 390000 | 404 |
|  BDO Unibank, Inc.<br>2.950%, 3/6/23 § | 800000 | 792 |
|  BPCE SA<br>5.700%, 10/22/23 144A | 1680000 | 1667 |
|  Brighthouse Financial Global Funding<br>0.600%, 6/28/23 144A | 1315000 | 1283 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 4/12/24 144A | 495000 | 466 |
|  Brixmor Operating Partnership LP<br>3.650%, 6/15/24 | 200000 | 194 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**112** 

------

##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par + | Value<br>$(000's) |
|  **Financial continued** |  |  |
|  Capital One Financial Corp.<br>2.636%, (US SOFR plus 1.290%), 3/3/26 | 585000 | 548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.200%, 1/30/23 | 345000 | 345 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 6/15/23 | 245000 | 244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.900%, 1/29/24 | 240000 | 237 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.985%, (US SOFR plus 2.160%), 7/24/26 | 460000 | 451 |
|  The Charles Schwab Corp.<br>2.450%, 3/3/27 | 1090000 | 994 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.200%, 3/24/25 | 525000 | 519 |
|  Citigroup, Inc.<br>0.981%, (US SOFR plus 0.669%), 5/1/25 | 500000 | 468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.106%, (US SOFR plus 2.842%), 4/8/26 | 650000 | 615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.140%, (US SOFR plus 1.372%), 5/24/25 | 555000 | 544 |
|  CNO Global Funding<br>1.650%, 1/6/25 144A | 525000 | 486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 10/7/26 144A | 680000 | 596 |
|  Cooperatieve Rabobank UA<br>3.875%, 8/22/24 | 355000 | 349 |
|  Corebridge Financial, Inc.<br>3.500%, 4/4/25 144A | 455000 | 436 |
|  Credit Agricole SA<br>5.345%, (ICE LIBOR USD 3 Month plus 1.020%), 4/24/23 144A | 315000 | 315 |
|  Credit Suisse AG<br>0.495%, 2/2/24 | 485000 | 449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 5/5/23 | 860000 | 840 |
|  Credit Suisse Group AG<br>6.373%, (US SOFR plus 3.340%), 7/15/26 144A | 590000 | 554 |
|  Creditcorp, Ltd.<br>2.750%, 6/17/25 144A | 200000 | 187 |
|  Crown Castle International Corp.<br>1.050%, 7/15/26 | 615000 | 531 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.900%, 3/15/27 | 485000 | 441 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.150%, 7/15/23 | 430000 | 425 |
|  Danske Bank A/S<br>1.226%, 6/22/24 144A | 880000 | 822 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.773%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.450%), 3/28/25 144A | 405000 | 392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 1/12/24 144A | 455000 | 451 |
|  Equitable Financial Life Global Funding<br>0.500%, 4/6/23 144A | 1145000 | 1133 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.100%, 11/12/24 144A | 530000 | 491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.400%, 7/7/25 144A | 75000 | 68 |
|  Essex Portfolio LP<br>3.875%, 5/1/24 | 600000 | 587 |
|  Fifth Third Bank NA<br>5.852%, (US SOFR plus 1.230%), 10/27/25 | 735000 | 742 |
|  First American Financial Corp.<br>4.600%, 11/15/24 | 195000 | 192 |
|  The Goldman Sachs Group, Inc.<br>0.657%, (US SOFR plus 0.505%), 9/10/24 | 335000 | 322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.673%, (US SOFR plus 0.572%), 3/8/24 | 335000 | 331 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.925%, (US SOFR plus 0.486%), 10/21/24 | 315000 | 302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.757%, (US SOFR plus 0.730%), 1/24/25 | 565000 | 541 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 4/1/25 | 490000 | 471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.482%, (US SOFR plus 1.725%), 8/23/28 | 465000 | 446 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.700%, 11/1/24 | 230000 | 233 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par + | Value<br>$(000's) |
|  **Financial continued** |  |  |
|  HSBC Holdings PLC<br>1.162%, (US SOFR plus 0.580%), 11/22/24 | 420000 | 400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.645%, (US SOFR plus 1.538%), 4/18/26 | 910000 | 821 |
|  Jackson Financial, Inc.<br>1.125%, 11/22/23 | 620000 | 597 |
|  Jackson National Life Global Funding<br>1.750%, 1/12/25 144A | 620000 | 575 |
|  JPMorgan Chase & Co.<br>0.824%, (US SOFR plus 0.540%), 6/1/25 | 560000 | 522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.083%, (US SOFR plus 1.850%), 4/22/26 | 890000 | 826 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.080%, (US SOFR plus 1.320%), 4/26/26 | 865000 | 840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.645%, (US SOFR plus 0.885%), 4/22/27 | 350000 | 342 |
|  KeyBank NA<br>1.250%, 3/10/23 | 580000 | 576 |
|  KeyCorp<br>3.878%, (US SOFR plus 1.250%), 5/23/25 | 115000 | 113 |
|  Kilroy Realty LP<br>4.375%, 10/1/25 | 180000 | 175 |
|  LeasePlan Corp. NV<br>2.875%, 10/24/24 144A | 805000 | 755 |
|  LSEGA Financing PLC<br>0.650%, 4/6/24 144A | 765000 | 718 |
|  Marsh & McLennan Cos., Inc.<br>3.875%, 3/15/24 | 345000 | 340 |
|  Metropolitan Life Global Funding I<br>0.400%, 1/7/24 144A | 430000 | 410 |
|  Mitsubishi UFJ Financial Group, Inc.<br>0.953%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.550%), 7/19/25 | 985000 | 915 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.063%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.550%), 9/12/25 | 375000 | 372 |
|  Morgan Stanley<br>0.529%, (US SOFR plus 0.455%), 1/25/24 | 450000 | 447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.731%, (US SOFR plus 0.616%), 4/5/24 | 560000 | 552 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.164%, (US SOFR plus 0.560%), 10/21/25 | 445000 | 410 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.630%, (US SOFR plus 0.940%), 2/18/26 | 545000 | 512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.620%, (US SOFR plus 1.160%), 4/17/25 | 390000 | 381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.100%, 5/22/23 | 160000 | 159 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.455%, (US SOFR plus 0.466%), 11/10/23 | 640000 | 638 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.138%, (US SOFR plus 1.770%), 10/16/26 | 525000 | 536 |
|  Nationwide Building Society<br>3.766%, (ICE LIBOR USD 3 Month plus 1.064%), 3/8/24 144A | 260000 | 259 |
|  NatWest Markets PLC<br>0.800%, 8/12/24 144A | 390000 | 361 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 5/21/23 144A | 640000 | 632 |
|  Park Aerospace Holdings, Ltd.<br>4.500%, 3/15/23 144A | 525000 | 524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 2/15/24 144A | 245000 | 242 |
|  The PNC Financial Services Group, Inc.<br>5.671%, (US SOFR Index plus 1.090%), 10/28/25 | 715000 | 723 |
|  Principal Life Global Funding II<br>0.750%, 4/12/24 144A | 530000 | 501 |
|  Public Storage<br>3.493%, (US SOFR plus 0.470%), 4/23/24 | 280000 | 278 |
|  QNB Finance, Ltd.<br>3.500%, 3/28/24 § | 880000 | 860 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**113** 

------

##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Financial continued** |  |  |
|  Santander Holdings USA, Inc.<br>2.490%, (US SOFR plus 1.249%), 1/6/28 | 410000 | 352 |
|  SBA Tower Trust<br>1.631%, 5/15/51 144A | 280000 | 238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.884%, 1/15/26 144A | 160000 | 141 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.836%, 1/15/50 144A | 770000 | 726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.869%, 10/15/49 144A | 120000 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.599%, 11/15/52 144A | 325000 | 326 |
|  Simon Property Group LP<br>2.000%, 9/13/24 | 225000 | 214 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 10/1/24 | 450000 | 437 |
|  Standard Chartered PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.991%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.780%), 1/12/25 144A | 220000 | 208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.822%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 11/23/25 144A | 255000 | 233 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 1/11/23 144A | 1000000 | 1000 |
|  Svenska Handelsbanken AB<br>0.550%, 6/11/24 144A | 420000 | 394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.418%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.630%), 6/11/27 144A | 400000 | 350 |
|  Swedbank AB<br>1.300%, 6/2/23 144A | 505000 | 496 |
|  Synchrony Financial<br>4.250%, 8/15/24 | 1130000 | 1104 |
|  The Toronto-Dominion Bank<br>0.550%, 3/4/24 | 1015000 | 964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.285%, 9/13/24 | 985000 | 973 |
|  Trininty Acquisition PLC<br>4.625%, 8/15/23 | 200000 | 199 |
|  Truist Financial Corp.<br>4.527%, (US SOFR plus 0.400%), 6/9/25 | 410000 | 401 |
|  UBS AG<br>0.700%, 8/9/24 144A | 280000 | 261 |
|  UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.008%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.830%), 7/30/24 144A | 620000 | 603 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A | 215000 | 185 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.488%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.550%), 5/12/26 144A | 200000 | 196 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.490%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 8/5/25 144A | 565000 | 555 |
|  US Bancorp<br>4.548%, (US SOFR plus 1.660%), 7/22/28 | 810000 | 791 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.727%, (US SOFR plus 1.430%), 10/21/26 | 320000 | 326 |
|  Wells Fargo & Co.<br>1.654%, (US SOFR plus 1.600%), 6/2/24 | 410000 | 403 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.188%, (US SOFR plus 2.000%), 4/30/26 | 400000 | 372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.526%, (US SOFR plus 1.510%), 3/24/28 | 375000 | 347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.908%, (US SOFR plus 1.320%), 4/25/26 | 610000 | 593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.540%, (US SOFR plus 1.560%), 8/15/26 | 590000 | 578 |
|  The Western Union Co.<br>2.850%, 1/10/25 | 1130000 | 1076 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Financial continued** |  |  |
|  WP Carey, Inc.<br>4.600%, 4/1/24 | 805000 | 797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **75860** |
|  **Industrial (2.1%)** |  |  |
|  Amcor Flexibles North America, Inc.<br>4.000%, 5/17/25 | 405000 | 394 |
|  Amphenol Corp.<br>2.050%, 3/1/25 | 405000 | 381 |
|  Canadian Pacific Railway Co.<br>1.350%, 12/2/24 | 725000 | 676 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 12/2/26 | 315000 | 281 |
|  Carrier Global Corp.<br>2.242%, 2/15/25 | 117000 | 110 |
|  DAE Funding LLC<br>1.550%, 8/1/24 144A | 265000 | 246 |
|  Deere & Co.<br>2.750%, 4/15/25 | 195000 | 187 |
|  GATX Corp.<br>3.900%, 3/30/23 | 360000 | 358 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.350%, 2/15/24 | 772000 | 761 |
|  Kansas City Southern<br>3.000%, 5/15/23 | 565000 | 560 |
|  Martin Marietta Materials, Inc.<br>0.650%, 7/15/23 | 475000 | 463 |
|  Otis Worldwide Corp.<br>2.056%, 4/5/25 | 485000 | 454 |
|  Parker Hannifin Corp.<br>3.650%, 6/15/24 | 875000 | 856 |
|  Penske Truck Leasing Co. LP / PTL Finance Corp.<br>3.450%, 7/1/24 144A | 200000 | 193 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.900%, 2/1/24 144A | 440000 | 431 |
|  Republic Services, Inc.<br>0.875%, 11/15/25 | 120000 | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 8/15/24 | 495000 | 474 |
|  SMBC Aviation Capital Finance DAC<br>3.550%, 4/15/24 144A | 400000 | 387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 7/15/23 144A | 200000 | 198 |
|  Sydney Airport Finance Co. Pty, Ltd.<br>3.900%, 3/22/23 144A | 643000 | 641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **8158** |
|  **Technology (3.1%)** |  |  |
|  Analog Devices, Inc.<br>3.839%, (US SOFR plus 0.250%), 10/1/24 | 170000 | 168 |
|  CDW LLC / CDW Finance Corp.<br>5.500%, 12/1/24 | 180000 | 180 |
|  Fidelity National Information Services, Inc.<br>0.375%, 3/1/23 | 650000 | 645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.600%, 3/1/24 | 310000 | 293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 7/15/25 | 305000 | 299 |
|  Fiserv, Inc.<br>2.750%, 7/1/24 | 800000 | 773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.800%, 10/1/23 | 470000 | 465 |
|  Fortinet, Inc.<br>1.000%, 3/15/26 | 380000 | 333 |
|  HCL America, Inc.<br>1.375%, 3/10/26 144A | 1000000 | 884 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**114** 

------

##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Technology continued** |  |  |
|  Marvell Technology, Inc.<br>4.200%, 6/22/23 | 590000 | 587 |
|  Microchip Technology, Inc.<br>0.972%, 2/15/24 | 685000 | 650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.983%, 9/1/24 | 560000 | 518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.670%, 9/1/23 | 640000 | 628 |
|  NXP BV / NXP Funding LLC<br>4.875%, 3/1/24 | 520000 | 516 |
|  NXP BV / NXP Funding LLC / NXP USA, Inc.<br>2.700%, 5/1/25 | 445000 | 419 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 6/18/26 | 305000 | 290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 6/1/27 | 80000 | 77 |
|  Oracle Corp.<br>2.400%, 9/15/23 | 745000 | 730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 4/1/25 | 1250000 | 1179 |
|  Qorvo, Inc.<br>1.750%, 12/15/24 144A | 275000 | 253 |
|  Roper Technologies, Inc.<br>1.000%, 9/15/25 | 115000 | 103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.350%, 9/15/24 | 165000 | 157 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.650%, 9/15/23 | 125000 | 124 |
|  Skyworks Solutions, Inc.<br>0.900%, 6/1/23 | 175000 | 171 |
|  Take-Two Interactive Software, Inc.<br>3.300%, 3/28/24 | 480000 | 469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.550%, 4/14/25 | 160000 | 154 |
|  VMware, Inc.<br>0.600%, 8/15/23 | 385000 | 375 |
|  Workday, Inc.<br>3.500%, 4/1/27 | 265000 | 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **11688** |
|  **Utilities (3.3%)** |  |  |
|  The AES Corp.<br>3.300%, 7/15/25 144A | 365000 | 344 |
|  Alexander Funding Trust<br>1.841%, 11/15/23 144A | 530000 | 508 |
|  APT Pipelines, Ltd.<br>4.200%, 3/23/25 144A | 1165000 | 1125 |
|  DTE Energy Co.<br>4.220%, 11/1/24 | 550000 | 541 |
|  Edison International<br>2.950%, 3/15/23 | 310000 | 309 |
|  Enel Finance International NV<br>1.375%, 7/12/26 144A | 645000 | 556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.650%, 9/10/24 144A | 1000000 | 957 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.800%, 10/14/25 144A | 200000 | 205 |
|  Korea Electric Power Corp.<br>5.375%, 4/6/26 144A | 1000000 | 1008 |
|  Korea Hydro & Nuclear Power Co., Ltd.<br>1.250%, 4/27/26 144A | 795000 | 701 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 7/27/27 144A | 220000 | 211 |
|  NextEra Energy Capital Holdings, Inc.<br>1.875%, 1/15/27 | 685000 | 606 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.450%, 6/20/25 | 540000 | 533 |
|  NRG Energy, Inc.<br>3.750%, 6/15/24 144A | 270000 | 260 |
|  Pacific Gas & Electric Co.<br>3.500%, 6/15/25 | 555000 | 524 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (48.6%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Utilities continued** |  |  |
|  Saudi Electricity Global Sukuk Co. 2<br>3.473%, 4/8/23 § | 800000 | 792 |
|  Sempra Energy<br>3.300%, 4/1/25 | 385000 | 369 |
|  Southern California Gas Co.<br>2.950%, 4/15/27 | 410000 | 378 |
|  Vistra Operations Co. LLC<br>3.550%, 7/15/24 144A | 2390000 | 2292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 5/13/25 144A | 610000 | 596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **12815** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $194,317)** |  | **185866** |
| Governments (18.3%) |  |  |
|  **Governments (18.3%)** |  |  |
|  US Treasury<br>1.750%, 3/15/25 b | 14570000 | 13768 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 5/15/25 | 17985000 | 17343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 8/31/24 | 910000 | 891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 10/31/24 | 20960000 | 20900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 11/30/24 | 7615000 | 7615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 11/15/25 | 9435000 | 9492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **70009** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Governments** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $71,282)** |  | **70009** |
| Municipal Bonds (0.1%) |  |  |
|  **Municipal Bonds (0.1%)** |  |  |
|  Golden State Tobacco Securitization Corp.<br>1.711%, 6/1/24 RB | 435000 | 414 |
|  Long Island Power Authority<br>0.764%, 3/1/23 RB | 160000 | 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Municipal Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $595)** |  | **573** |
| Structured Products (31.8%) |  |  |
|  **Asset Backed Securities (14.3%)** |  |  |
|  AmeriCredit Automobile Receivables Trust, Series 2019-3, Class B 2.130%, 7/18/25 | 23993 | 24 |
|  AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C 1.590%, 10/20/25 | 320000 | 310 |
|  AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D 1.800%, 12/18/25 | 315000 | 297 |
|  AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C 1.060%, 8/18/26 | 245000 | 230 |
|  AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C 0.890%, 10/19/26 | 430000 | 396 |
|  AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D 1.210%, 12/18/26 | 270000 | 242 |
|  AmeriCredit Automobile Receivables Trust, Series 2021-2, Class D 1.290%, 6/18/27 | 575000 | 510 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**115** 

------

##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par + | Value<br>$(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Applebee's Funding LLC / IHOP Funding LLC, Series 2019-1A, Class A2I 4.194%, 6/7/49 144A | 1138500 | 1119 |
|  Arbor Realty Collateralized Loan Obligation, Ltd., Series 2021-FL4, Class A 5.668%, (ICE LIBOR USD 1 Month plus 1.350%), 11/15/36 144A | 465000 | 448 |
|  Arbor Realty Commercial Real Estate Notes, Series 2021-FL3, Class A 5.388%, (ICE LIBOR USD 1 Month plus 1.070%), 8/15/34 144A | 640000 | 606 |
|  ARI Fleet Lease Trust, Series 2020-A, Class B 2.060%, 11/15/28 144A | 345000 | 343 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A 2.970%, 3/20/24 144A | 212500 | 212 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class B 3.330%, 3/20/24 144A | 217500 | 217 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class C 4.950%, 3/20/25 144A | 195000 | 190 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A 3.350%, 9/22/25 144A | 340000 | 329 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A | 250000 | 231 |
|  Babson CLO, Ltd., Series 2017-IA, Class AR 5.043%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A | 480619 | 477 |
|  Blackbird Capital Aircraft, Series 2016-1A, Class A4 2.487%, 12/16/41 144A ∑ | 199026 | 181 |
|  BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280%, 9/26/33 144A | 114220 | 107 |
|  BSPRT Issuer, Ltd., Series 2022-FL8, Class A 5.307%, (US 30 Day Average SOFR plus 1.500%), 2/15/37 144A | 815000 | 787 |
|  CarMax Auto Owner Trust, Series 2019-2, Class B 3.010%, 12/16/24 | 455000 | 451 |
|  CarMax Auto Owner Trust, Series 2019-4, Class A4 2.130%, 7/15/25 | 345000 | 336 |
|  CarMax Auto Owner Trust, Series 2020-1, Class B 2.210%, 9/15/25 | 430000 | 415 |
|  CarMax Auto Owner Trust, Series 2020-1, Class C 2.340%, 11/17/25 | 190000 | 183 |
|  CarMax Auto Owner Trust, Series 2020-4, Class D 1.750%, 4/15/27 | 300000 | 274 |
|  Cedar Funding, Ltd., Series 2021-14A, Class A 5.179%, (ICE LIBOR USD 3 Month plus 1.100%), 7/15/33 144A | 695000 | 681 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par + | Value<br>$(000's) |
|  **Asset Backed Securities continued** |  |  |
|  CIFC Funding, Ltd., Series 2014-2RA, Class A1 5.375%, (ICE LIBOR USD 3 Month plus 1.050%), 4/24/30 144A | 907860 | 896 |
|  CIFC Funding, Ltd., Series 2021-4A, Class A 5.129%, (ICE LIBOR USD 3 Month plus 1.050%), 7/15/33 144A | 905000 | 887 |
|  CNH Equipment Trust, Series 2020-A, Class A4 1.510%, 4/15/27 | 260000 | 247 |
|  Daimler Trucks Retail Trust, Series 2020-1, Class A4 1.370%, 6/15/27 | 772163 | 769 |
|  Drive Auto Receivables Trust, Series 2020-1, Class C 2.360%, 3/16/26 | 43038 | 43 |
|  Drive Auto Receivables Trust, Series 2021-2, Class D 1.390%, 3/15/29 | 445000 | 410 |
|  Dryden Senior Loan Fund, Series 2020-86A, Class A1R 5.179%, (ICE LIBOR USD 3 Month plus 1.100%), 7/17/34 144A | 610000 | 591 |
|  Elara HGV Timeshare Issuer, Series 2017-A, Class A 2.690%, 3/25/30 144A | 34806 | 33 |
|  Elara HGV Timeshare Issuer, Series 2019-A, Class A 2.610%, 1/25/34 144A | 93069 | 86 |
|  Enterprise Fleet Financing LLC, Series 2019-3, Class A2 2.060%, 5/20/25 144A | 10071 | 10 |
|  Exeter Automobile Receivables Trust, Series 2021-2A, Class C 0.980%, 6/15/26 | 265000 | 255 |
|  Exeter Automobile Receivables Trust, Series 2021-3A, Class D 1.550%, 6/15/27 | 335000 | 304 |
|  Exeter Automobile Receivables Trust, Series 2022-1A, Class D 3.020%, 6/15/28 | 730000 | 659 |
|  Exeter Automobile Receivables Trust, Series 2022-2A, Class C 3.850%, 7/17/28 | 655000 | 625 |
|  Exeter Automobile Receivables Trust, Series 2022-3A, Class C 5.300%, 9/15/27 | 190000 | 186 |
|  Exeter Automobile Receivables Trust, Series 2022-4A, Class D 5.980%, 12/15/28 | 305000 | 289 |
|  Exeter Automobile Receivables Trust, Series 2022-5A, Class C 6.510%, 12/15/27 | 965000 | 970 |
|  Exeter Automobile Receivables Trust, Series 2022-6A, Class A3 5.700%, 8/17/26 | 100000 | 100 |
|  FirstKey Homes Trust, Series 2020-SFR1, Class D 2.241%, 8/17/37 144A | 1080000 | 961 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**116** 

------

##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Ford Credit Auto Owner Trust, Series 2020-2, Class C 1.740%, 4/15/33 144A | 310000 | 268 |
|  Ford Credit Auto Owner Trust, Series 2022-A, Class C 4.180%, 10/15/25 | 1020000 | 988 |
|  Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class C 1.420%, 9/15/25 | 440000 | 422 |
|  GM Financial Automobile Leasing Trust, Series 2020-2, Class C 2.560%, 7/22/24 | 265000 | 265 |
|  GM Financial Automobile Leasing Trust, Series 2022-3, Class C 5.130%, 8/20/26 | 585000 | 571 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3 1.490%, 12/16/24 | 45694 | 45 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2020-4, Class C 1.050%, 5/18/26 | 225000 | 207 |
|  Hardee's Funding LLC, Series 2018-1A, Class A21I 4.959%, 6/20/48 144A | 301613 | 283 |
|  Hilton Grand Vacations Trust, Series 2017-AA, Class A 2.660%, 12/26/28 144A | 318016 | 313 |
|  Hilton Grand Vacations Trust, Series 2017-AA, Class B 2.960%, (EXE), 12/26/28 144A | 69396 | 68 |
|  Hilton Grand Vacations Trust, Series 2020-AA, Class A 2.740%, 2/25/39 144A | 257600 | 242 |
|  Home Partners of America Trust, Series 2022-1, Class A 3.930%, 4/17/39 144A | 394370 | 370 |
|  Hyundai Auto Receivables Trust, Series 2019-A, Class B 2.940%, 5/15/25 | 325000 | 324 |
|  Hyundai Auto Receivables Trust, Series 2020-A, Class A3 1.410%, 11/15/24 | 135673 | 134 |
|  JPMorgan Chase Bank NA, Series 2021-2, Class D 1.138%, 12/26/28 144A | 176720 | 168 |
|  KKR Financial CLO, Ltd., Series 2018-13, Class A1R 4.879%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A | 194531 | 193 |
|  KKR Financial CLO, Ltd., Series 2021-29A, Class A 5.279%, (ICE LIBOR USD 3 Month plus 1.200%), 1/15/32 144A | 1000000 | 982 |
|  Kubota Credit Owner Trust, Series 2020-1A, Class A3 1.960%, 3/15/24 144A | 49452 | 49 |
|  Madison Park Funding, Ltd., Series 2017-23A, Class AR 5.328%, (ICE LIBOR USD 3 Month plus 0.970%), 7/27/31 144A | 715000 | 704 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Madison Park Funding, Ltd., Series 2017-23A, Class BR 5.908%, (ICE LIBOR USD 3 Month plus 1.550%), 7/27/31 144A | 460000 | 446 |
|  Madison Park Funding, Ltd., Series 2019-37A, Class AR 5.149%, (ICE LIBOR USD 3 Month plus 1.070%), 7/15/33 144A | 450000 | 439 |
|  Madison Park Funding, Ltd., Series 2022-33A, Class AR 5.154%, (US SOFR 3 Month plus 1.290%), 10/15/32 144A | 1025000 | 1011 |
|  Magnetite CLO, Ltd., Series 2020-25A, Class A 5.558%, (ICE LIBOR USD 3 Month plus 1.200%), 1/25/32 144A | 655000 | 646 |
|  Magnetite XVI, Ltd., Series 2015-16A, Class AR 4.994%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A | 714279 | 709 |
|  MetLife Securitization Trust, Series 2017-1A, Class A 3.000%, (AFC), 4/25/55 144A | 83356 | 78 |
|  MF1, Series 2021-FL7, Class A 5.419%, (ICE LIBOR USD 1 Month plus 1.080%), 10/16/36 144A | 465000 | 445 |
|  Mill City Mortgage Loan Trust, Series 2017-2, Class A1 2.750%, (AFC), 7/25/59 144A | 39472 | 39 |
|  MVW Owner Trust, Series 2017-1A, Class A 2.420%, 12/20/34 144A | 121178 | 118 |
|  MVW Owner Trust, Series 2017-1A, Class B 2.750%, 12/20/34 144A | 12756 | 12 |
|  MVW Owner Trust, Series 2017-1A, Class C 2.990%, 12/20/34 144A | 14031 | 13 |
|  MVW Owner Trust, Series 2019-2A, Class A 2.440%, 10/20/38 144A | 72928 | 68 |
|  MVW Owner Trust, Series 2020-1A, Class A 1.740%, 10/20/37 144A | 121719 | 111 |
|  MVW Owner Trust, Series 2020-1A, Class B 2.730%, 10/20/37 144A | 166156 | 153 |
|  MVW Owner Trust, Series 2021-1WA, Class C 1.940%, 1/22/41 144A | 105073 | 94 |
|  Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A | 195731 | 187 |
|  Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A | 211148 | 192 |
|  Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A 2.640%, 5/15/68 144A | 310917 | 293 |
|  Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A 2.460%, 11/15/68 144A | 290244 | 265 |
|  Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A 2.150%, 11/15/68 144A | 1053559 | 956 |
|  Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A | 195695 | 176 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**117** 

------

##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br>$(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A | 122709 | 109 |
|  Navient Private Education Refi Loan Trust, Series 2022-A, Class A 2.230%, 7/15/70 144A | 857156 | 744 |
|  Navient Student Loan Trust, Series 2019-GA, Class A 2.400%, 10/15/68 144A | 444054 | 407 |
|  Navient Student Loan Trust, Series 2020-HA, Class A 1.310%, 1/15/69 144A | 66871 | 60 |
|  Navient Student Loan Trust, Series 2021-BA, Class A 0.940%, 7/15/69 144A | 362703 | 306 |
|  Navient Student Loan Trust, Series 2021-EA, Class A 0.970%, 12/16/69 144A | 215575 | 181 |
|  Nelnet Student Loan Trust, Series 2020-1A, Class A 5.129%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A | 112953 | 110 |
|  Nelnet Student Loan Trust, Series 2021-CA, Class AFX 1.320%, 4/20/62 144A | 732005 | 650 |
|  Nelnet Student Loan Trust, Series 2021-DA, Class AFX 1.630%, 4/20/62 144A | 253671 | 229 |
|  Neuberger Berman CLO, Ltd., Series 2017-26A, Class BR 5.594%, (ICE LIBOR USD 3 Month plus 1.400%), 10/18/30 144A | 500000 | 481 |
|  Neuberger Berman CLO, Ltd., Series 2019-32A, Class AR 5.217%, (ICE LIBOR USD 3 Month plus 0.990%), 1/20/32 144A | 955000 | 934 |
|  Neuberger Berman CLO, Ltd., Series 2021-40A, Class A 5.139%, (ICE LIBOR USD 3 Month plus 1.060%), 4/16/33 144A | 270000 | 266 |
|  Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3 1.380%, 12/16/24 | 69576 | 69 |
|  OCP CLO, Ltd., Series 2017-13A, Class A2R 5.629%, (ICE LIBOR USD 3 Month plus 1.550%), 7/15/30 144A | 760000 | 734 |
|  Octane Receivables Trust, Series 2021-2A, Class A 1.210%, 9/20/28 144A | 230550 | 219 |
|  Octane Receivables Trust, Series 2022-1A, Class B 4.900%, 5/22/28 144A | 395000 | 380 |
|  Palmer Square CLO, Ltd., Series 2020-3A, Class A1AR 5.686%, (ICE LIBOR USD 3 Month plus 1.080%), 11/15/31 144A | 1285000 | 1261 |
|  Planet Fitness Master Issuer LLC, Series 2018-A1, Class A2II 4.666%, 9/5/48 144A | 813875 | 762 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Progress Residential Trust, Series 2020-SFR2, Class A 2.078%, 6/18/37 144A | 154809 | 142 |
|  Progress Residential Trust, Series 2022-SFR6, Class A 4.451%, 7/20/39 144A | 525000 | 495 |
|  Santander Bank Auto Credit-Linked Notes, Series 2021-1A, Class B 1.833%, 12/15/31 144A | 131449 | 126 |
|  Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class C 5.916%, 8/16/32 144A | 260710 | 259 |
|  Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class B 6.451%, 12/15/32 144A | 960000 | 960 |
|  Santander Consumer Auto Receivables Trust, Series 2020-BA, Class C 1.290%, 4/15/26 144A | 650000 | 627 |
|  Santander Consumer Auto Receivables Trust, Series 2021-AA, Class D 1.570%, 1/15/27 144A | 450000 | 407 |
|  Santander Drive Auto Receivables Trust, Series 2020-3, Class D 1.640%, 11/16/26 | 330000 | 316 |
|  Santander Drive Auto Receivables Trust, Series 2020-4, Class C 1.010%, 1/15/26 | 250850 | 248 |
|  Santander Drive Auto Receivables Trust, Series 2021-3, Class D 1.330%, 9/15/27 | 560000 | 519 |
|  Santander Drive Auto Receivables Trust, Series 2021-4, Class D 1.670%, 10/15/27 | 450000 | 414 |
|  Santander Drive Auto Receivables Trust, Series 2022-1, Class C 2.560%, 4/17/28 | 885000 | 846 |
|  Santander Drive Auto Receivables Trust, Series 2022-4, Class C 5.000%, 11/15/29 | 990000 | 947 |
|  Santander Retail Auto Lease Trust, Series 2020-A, Class D 2.520%, 11/20/24 144A | 320000 | 316 |
|  Santander Retail Auto Lease Trust, Series 2021-A, Class C 1.140%, 3/20/26 144A | 1030000 | 971 |
|  Santander Retail Auto Lease Trust, Series 2021-B, Class D 1.410%, 11/20/25 144A | 440000 | 411 |
|  Santander Retail Auto Lease Trust, Series 2021-C, Class C 1.110%, 3/20/26 144A | 365000 | 338 |
|  Santander Retail Auto Lease Trust, Series 2022-B, Class B 3.850%, 3/22/27 144A | 150000 | 144 |
|  Sierra Receivables Funding Co. LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A | 45653 | 44 |
|  Sierra Receivables Funding Co. LLC, Series 2019-2A, Class A 2.590%, 5/20/36 144A | 153087 | 148 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**118** 

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##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Sierra Receivables Funding Co. LLC, Series 2019-3A, Class A 2.340%, 8/20/36 144A | 364562 | 345 |
|  Sierra Receivables Funding Co. LLC, Series 2020-2A, Class C 3.510%, 7/20/37 144A | 85634 | 81 |
|  SMB Private Education Loan Trust, Series 2014-A, Class A3 5.818%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A | 282390 | 281 |
|  SMB Private Education Loan Trust, Series 2016-C, Class A2B 5.418%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A | 176903 | 176 |
|  SMB Private Education Loan Trust, Series 2018-B, Class A2A 3.600%, 1/15/37 144A | 131214 | 126 |
|  SMB Private Education Loan Trust, Series 2018-B, Class A2B 5.038%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A | 313975 | 307 |
|  SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A | 129960 | 115 |
|  SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A | 940522 | 831 |
|  SMB Private Education Loan Trust, Series 2021-B, Class A 1.310%, 7/17/51 144A | 646238 | 577 |
|  Symphony CLO I, Ltd., Series 2021-1A, Class B 5.808%, (ICE LIBOR USD 3 Month plus 1.450%), 10/25/29 144A | 815000 | 787 |
|  Symphony CLO XXIII, Ltd., Series 2021-23A, Class AR 5.099%, (ICE LIBOR USD 3 Month plus 1.020%), 1/15/34 144A | 1045000 | 1021 |
|  Symphony CLO XXVI, Ltd., Series 2021-26A, Class AR 5.323%, (ICE LIBOR USD 3 Month plus 1.080%), 4/20/33 144A | 285000 | 277 |
|  Towd Point Mortgage Trust, Series 2015-1, Class A1 3.000%, (AFC), 1/25/58 144A | 55935 | 54 |
|  Towd Point Mortgage Trust, Series 2017-1, Class A1 2.750%, (AFC), 10/25/56 144A | 34075 | 34 |
|  Towd Point Mortgage Trust, Series 2017-2, Class A1 2.750%, (AFC), 4/25/57 144A | 21914 | 22 |
|  Towd Point Mortgage Trust, Series 2017-3, Class A1 2.750%, (AFC), 7/25/57 144A | 84839 | 83 |
|  Towd Point Mortgage Trust, Series 2017-6, Class A1 2.750%, (AFC), 10/25/57 144A | 264262 | 252 |
|  Towd Point Mortgage Trust, Series 2018-2, Class A1 3.250%, (AFC), 3/25/58 144A | 366876 | 351 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Towd Point Mortgage Trust, Series 2018-5, Class A1A 3.250%, (AFC), 8/25/58 144A | 224769 | 216 |
|  World Omni Auto Receivables Trust, Series 2019-C, Class C 2.400%, 6/15/26 | 380000 | 371 |
|  World Omni Auto Receivables Trust, Series 2020-A, Class C 1.640%, 8/17/26 | 225000 | 214 |
|  World Omni Auto Receivables Trust, Series 2022-A, Class C 2.550%, 9/15/28 | 325000 | 303 |
|  World Omni Select Auto Trust, Series 2020-A, Class B 0.840%, 6/15/26 | 270000 | 261 |
|  World Omni Select Auto Trust, Series 2020-A, Class C 1.250%, 10/15/26 | 310000 | 292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **54921** |
|  **Mortgage Securities (17.5%)** |  |  |
|  Angel Oak Mortgage Trust, Series 2019-4, Class A 3.301%, (AFC), 7/26/49 144A | 12110 | 12 |
|  Angel Oak Mortgage Trust, Series 2020-3, Class A3 2.872%, (AFC), 4/25/65 144A | 59316 | 53 |
|  Angel Oak Mortgage Trust, Series 2020-5, Class A2 1.579%, (AFC), 5/25/65 144A | 80343 | 72 |
|  Angel Oak Mortgage Trust, Series 2021-1, Class A1 0.909%, (AFC), 1/25/66 144A | 338864 | 277 |
|  Angel Oak Mortgage Trust, Series 2021-1, Class A2 1.115%, (AFC), 1/25/66 144A | 99136 | 80 |
|  Angel Oak Mortgage Trust, Series 2021-2, Class A1 0.985%, (AFC), 4/25/66 144A | 286085 | 235 |
|  Angel Oak Mortgage Trust, Series 2021-2, Class A2 1.190%, (AFC), 4/25/66 144A | 90227 | 72 |
|  Angel Oak Mortgage Trust, Series 2021-3, Class A1 1.068%, (AFC), 5/25/66 144A | 227286 | 187 |
|  BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A 5.168%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A | 935000 | 917 |
|  BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C 6.318%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/38 144A | 435000 | 396 |
|  BANK, Series 2019-BNK24, Class A1 2.056%, 11/15/62 | 78839 | 77 |
|  Barclays Mortgage Loan Trust, Series 2021- NQM1, Class A1 1.747%, (AFC), 9/25/51 144A | 577900 | 491 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**119** 

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##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Bayview MSR Opportunity Master Fund Trust, Series 2021-2, Class A5 2.500%, (AFC), 6/25/51 144A | 474834 | 409 |
|  Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A5 2.500%, (AFC), 11/25/51 144A | 357379 | 307 |
|  Bayview MSR Opportunity Master Fund Trust, Series 2022-1, Class A5 2.500%, (AFC), 12/25/51 144A | 449332 | 384 |
|  BCP Trust, Series 2021-330N, Class A 5.117%, (ICE LIBOR USD 1 Month plus 0.799%), 6/15/38 144A | 290000 | 271 |
|  BIG Commercial Mortgage Trust, Series 2022-BIG, Class C 6.676%, (US SOFR 1 Month plus 2.340%), 2/15/39 144A | 225000 | 211 |
|  BINOM Securitization Trust, Series 2021-INV1, Class A3 2.625%, (AFC), 6/25/56 144A | 200443 | 174 |
|  BPR Trust, Series 2021-TY, Class B 5.468%, (ICE LIBOR USD 1 Month plus 1.150%), 9/25/38 144A | 450000 | 420 |
|  BRAVO Residential Funding Trust, Series 2021-NQM3, Class A1 1.699%, (AFC), 4/25/60 144A | 323003 | 289 |
|  BSREP Commercial Mortgage Trust, Series 2021-DC, Class D 6.218%, (ICE LIBOR USD 1 Month plus 1.900%), 8/15/38 144A | 200000 | 172 |
|  BX Commercial Mortgage Trust, Series 2019-XL, Class A 5.370%, (US SOFR 1 Month plus 1.035%), 10/15/36 144A | 255904 | 253 |
|  BX Commercial Mortgage Trust, Series 2019-XL, Class B 5.530%, (US SOFR 1 Month plus 1.195%), 10/15/36 144A | 318750 | 313 |
|  BX Commercial Mortgage Trust, Series 2021-CIP, Class A 5.239%, (ICE LIBOR USD 1 Month plus 0.921%), 12/15/38 144A | 1000000 | 965 |
|  BX Commercial Mortgage Trust, Series 2021-SOAR, Class D 5.718%, (ICE LIBOR USD 1 Month plus 1.400%), 6/15/38 144A | 372181 | 351 |
|  BX Commercial Mortgage Trust, Series 2022-CSMO, Class B 7.476%, (US SOFR 1 Month plus 3.141%), 6/15/27 144A | 570000 | 565 |
|  BX Trust, Series 2018-GW, Class A 5.118%, (ICE LIBOR USD 1 Month plus 0.800%), 5/15/35 144A | 1095000 | 1067 |
|  BX Trust, Series 2021-ARIA, Class C 5.964%, (ICE LIBOR USD 1 Month plus 1.646%), 10/15/36 144A | 330000 | 307 |
|  BX Trust, Series 2021-VIEW, Class A 5.598%, (ICE LIBOR USD 1 Month plus 1.280%), 6/15/36 144A | 255000 | 243 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  CGDB Commercial Mortgage Trust, Series 2019-MOB, Class D 5.968%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A | 660000 | 630 |
|  CIM Trust, Series 2020-INV1, Class A2 2.500%, (AFC), 4/25/50 144A | 299876 | 248 |
|  Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B 3.518%, (CSTR), 5/10/35 144A | 435000 | 403 |
|  Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C 3.518%, (CSTR), 5/10/35 144A | 255000 | 235 |
|  Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A3 2.500%, 8/25/50 144A | 303262 | 247 |
|  Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A4 2.500%, (AFC), 8/25/50 144A | 421197 | 342 |
|  Cold Storage Trust, Series 2020-ICE5, Class B 5.618%, (ICE LIBOR USD 1 Month plus 1.300%), 11/15/37 144A | 953501 | 923 |
|  COLT Mortgage Loan Trust, Series 2020-3, Class A1 1.506%, (AFC), 4/27/65 144A | 35709 | 33 |
|  COLT Mortgage Loan Trust, Series 2021-1, Class A2 1.167%, (AFC), 6/25/66 144A | 271677 | 216 |
|  COLT Mortgage Loan Trust, Series 2021-3, Class A3 1.419%, (AFC), 9/27/66 144A | 214125 | 167 |
|  COMM Mortgage Trust, Series 2013-300P, Class A1 4.353%, 8/10/30 144A | 275000 | 266 |
|  COMM Mortgage Trust, Series 2014-CR15, Class B 4.623%, (CSTR), 2/10/47 | 435000 | 421 |
|  COMM Mortgage Trust, Series 2014-CR19, Class AM 4.080%, 8/10/47 | 495000 | 474 |
|  COMM Mortgage Trust, Series 2014-CR19, Class D 4.697%, (CSTR), 8/10/47 144A | 185000 | 166 |
|  COMM Mortgage Trust, Series 2014-UBS2, Class B 4.701%, 3/10/47 | 480000 | 463 |
|  COMM Mortgage Trust, Series 2014-UBS5, Class A4 3.838%, 9/10/47 | 630000 | 608 |
|  COMM Mortgage Trust, Series 2015-CR22, Class B 3.926%, (AFC), 3/10/48 | 235000 | 217 |
|  COMM Mortgage Trust, Series 2015-CR22, Class C 4.070%, (CSTR), 3/10/48 | 440000 | 400 |
|  COMM Mortgage Trust, Series 2015-LC23, Class A2 3.221%, 10/10/48 | 108890 | 108 |
|  Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1 4.928%, (US 30 Day Average SOFR plus 1.000%), 12/25/41 144A | 302287 | 298 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**120** 

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##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1 6.028%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A | 464874 | 462 |
|  Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1 5.928%, (US 30 Day Average SOFR plus 2.000%), 3/25/42 144A | 300437 | 299 |
|  Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1 6.894%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A | 411016 | 415 |
|  Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1 6.478%, (US 30 Day Average SOFR plus 2.550%), 7/25/42 144A | 218147 | 219 |
|  Credit Suisse Mortgage Trust, Series 2019-ICE4, Class C 5.748%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A | 515000 | 505 |
|  Credit Suisse Mortgage Trust, Series 2019-ICE4, Class D 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A | 405000 | 397 |
|  Credit Suisse Mortgage Trust, Series 2020-NET, Class A 2.256%, 8/15/37 144A | 200350 | 179 |
|  Credit Suisse Mortgage Trust, Series 2020-NET, Class D 3.704%, (CSTR), 8/15/37 144A | 445000 | 392 |
|  CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4 3.718%, 8/15/48 | 305000 | 290 |
|  CSAIL Commercial Mortgage Trust, Series 2019-C16, Class A1 2.360%, 6/15/52 | 112478 | 109 |
|  Deephaven Residential Mortgage Trust, Series 2021-1, Class A3 1.128%, (AFC), 5/25/65 144A | 79684 | 69 |
|  Deephaven Residential Mortgage Trust, Series 2021-2, Class A1 0.899%, (AFC), 4/25/66 144A | 117343 | 99 |
|  Deephaven Residential Mortgage Trust, Series 2021-2, Class A3 1.260%, (AFC), 4/25/66 144A | 131653 | 105 |
|  Eagle RE, Ltd., Series 2021-2, Class M1A 5.478%, (US 30 Day Average SOFR plus 1.550%), 4/25/34 144A | 241792 | 240 |
|  Ellington Financial Mortgage Trust, Series 2019-2, Class A3 3.046%, (AFC), 11/25/59 144A | 54764 | 51 |
|  Ellington Financial Mortgage Trust, Series 2021-1, Class A1 0.797%, (AFC), 2/25/66 144A | 76324 | 62 |
|  Ellington Financial Mortgage Trust, Series 2021-1, Class A3 1.106%, (AFC), 2/25/66 144A | 63293 | 50 |
|  Ellington Financial Mortgage Trust, Series 2021-2, Class A1 0.931%, (AFC), 6/25/66 144A | 564824 | 434 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Ellington Financial Mortgage Trust, Series 2021-2, Class A3 1.291%, (AFC), 6/25/66 144A | 166880 | 126 |
|  Ellington Financial Mortgage Trust, Series 2021-3, Class A1 1.241%, (AFC), 9/25/66 144A | 229038 | 183 |
|  Ellington Financial Mortgage Trust, Series 2021-3, Class A3 1.550%, (AFC), 9/25/66 144A | 171778 | 130 |
|  Extended Stay America Trust, Series 2021-ESH, Class A 5.398%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A | 341667 | 332 |
|  Extended Stay America Trust, Series 2021-ESH, Class C 6.018%, (ICE LIBOR USD 1 Month plus 1.700%), 7/15/38 144A | 468572 | 450 |
|  Federal Home Loan Bank<br>2.500%, 1/1/52 | 592594 | 505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 12/1/49 | 93740 | 89 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 5/1/50 | 56021 | 55 |
|  Federal Home Loan Mortgage Corp.<br>3.000%, 11/1/34 | 37697 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 3/1/46 | 34478 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 12/1/47 | 305618 | 284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/1/52 | 929143 | 872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 12/1/41 | 119739 | 120 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 9/1/34 | 1133 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 2/1/35 | 21790 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 9/1/35 | 7059 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 3/1/39 | 44581 | 46 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 6/1/38 | 41582 | 43 |
|  Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1 8.389%, (ICE LIBOR USD 1 Month plus 4.000%), 8/25/24 | 56132 | 56 |
|  Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1 3.857%, (CSTR), 5/25/47 144A | 23343 | 23 |
|  Federal Home Loan Mortgage Corp., Series 3713, Class PA 2.000%, 2/15/40 | 62526 | 60 |
|  Federal Home Loan Mortgage Corp., Series 4092, Class CL 1.250%, 6/15/27 | 199732 | 190 |
|  Federal National Mortgage Association<br>2.000%, 10/1/50 | 223249 | 183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 1/1/52 | 560550 | 475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 4/1/24 | 18766 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 9/1/28 | 169969 | 163 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 12/1/34 | 88091 | 83 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 3/1/35 | 37126 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 6/1/52 | 1177458 | 1033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 5/1/27 | 170545 | 167 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 4/1/46 | 206860 | 192 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 2/1/48 | 363755 | 337 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 1/1/52 | 140190 | 128 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 1/1/47 | 57896 | 55 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 2/1/49 | 12408 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/1/49 | 33174 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 12/1/49 | 11668 | 11 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**121** 

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##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 5/1/40 | 45202 | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 9/1/40 | 40166 | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 5/1/41 | 78426 | 78 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 8/1/48 | 23312 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 9/1/48 | 22317 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/1/48 | 154125 | 151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 11/1/48 | 31995 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 12/1/48 | 165746 | 162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 5/1/49 | 96608 | 95 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 1/1/50 | 18460 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 7/1/52 | 778458 | 749 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 8/1/52 | 778997 | 750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 10/1/33 | 69846 | 71 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 6/1/40 | 40092 | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 7/1/45 | 57429 | 58 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 9/1/48 | 56445 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/1/49 | 26573 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 8/1/49 | 20503 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 8/1/37 | 40728 | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 2/1/38 | 155414 | 160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 3/1/34 | 35837 | 37 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 8/1/34 | 97896 | 101 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 11/1/34 | 3538 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 12/1/34 | 1325 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 4/1/35 | 2290 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 5/1/38 | 1492 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 10/1/40 | 76360 | 80 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 2/1/49 | 321300 | 339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 7/1/32 | 11597 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 12/1/32 | 11036 | 11 |
|  Federal National Mortgage Association, Series 2011-113, Class AG 2.500%, 11/25/26 | 36162 | 35 |
|  Federal National Mortgage Association, Series 2013-74, Class AD 2.000%, 7/25/23 | 855 | 1 |
|  Federal National Mortgage Association, Series 2017-90, Class KA 3.000%, 11/25/47 | 187902 | 174 |
|  Federal National Mortgage Association, Series 2017-C05, Class 1ED3 5.589%, (ICE LIBOR USD 1 Month plus 1.200%), 1/25/30 | 11407 | 11 |
|  Federal National Mortgage Association, Series 2018-C03, Class 1EB2 5.239%, (ICE LIBOR USD 1 Month plus 0.850%), 10/25/30 | 350470 | 348 |
|  Federal National Mortgage Association, Series 2022-R06, Class 1M1 6.678%, (US 30 Day Average SOFR plus 2.750%), 5/25/42 144A | 504215 | 511 |
|  Finance of America HECM Buyout, Series 2022-HB2, Class A1A 4.000%, (AFC), 12/25/24 144A | 909927 | 891 |
|  Flagstar Mortgage Trust, Series 2020-1INV, Class A11 4.866%, (ICE LIBOR USD 1 Month plus 0.850%), 3/25/50 144A | 108964 | 100 |
|  Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class B 3.447%, 12/10/36 144A | 605000 | 564 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Galton Funding Mortgage Trust, Series 2018-1, Class A33 3.500%, (AFC), 11/25/57 144A | 32090 | 28 |
|  Galton Funding Mortgage Trust, Series 2019-1, Class A21 4.500%, (AFC), 2/25/59 144A | 36491 | 35 |
|  Galton Funding Mortgage Trust, Series 2019-1, Class A32 4.000%, (AFC), 2/25/59 144A | 15876 | 15 |
|  Galton Funding Mortgage Trust, Series 2019- H1, Class M1 3.339%, (AFC), 10/25/59 144A | 260000 | 231 |
|  Galton Funding Mortgage Trust, Series 2020- H1, Class M1 2.832%, (AFC), 1/25/60 144A | 285000 | 206 |
|  GCT Commercial Mortgage Trust, Series 2021-GCT, Class A 5.118%, (ICE LIBOR USD 1 Month plus 0.800%), 2/15/38 144A | 335000 | 311 |
|  Government National Mortgage Association<br>3.000%, 9/20/47 | 510098 | 459 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 12/20/42 | 3318 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 9/20/43 | 45043 | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 8/20/44 | 87280 | 82 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 10/20/46 | 571 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 11/20/46 | 34596 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 1/20/47 | 37693 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 10/20/52 | 1114437 | 1024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 3/20/48 | 74297 | 71 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 4/20/50 | 260642 | 248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/20/50 | 165517 | 158 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 7/20/41 | 185080 | 185 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/20/52 | 592421 | 575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 3/20/34 | 204972 | 209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 1/20/48 | 31399 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/20/48 | 145744 | 148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 6/20/37 | 42830 | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 9/15/45 | 132585 | 139 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 3/20/48 | 22740 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 12/20/48 | 13349 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 2/20/49 | 162877 | 166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 11/20/52 | 196486 | 198 |
|  Government National Mortgage Association TBA<br>5.500%, 1/23/53 | 337000 | 339 |
|  Great Wolf Trust, Series 2019-WOLF, Class A 5.352%, (ICE LIBOR USD 1 Month plus 1.034%), 12/15/36 144A | 255000 | 248 |
|  Great Wolf Trust, Series 2019-WOLF, Class C 5.951%, (ICE LIBOR USD 1 Month plus 1.633%), 12/15/36 144A | 270000 | 258 |
|  GS Mortgage Backed Securities Trust, Series 2014-EB1A, Class 2A1 2.495%, (CSTR), 7/25/44 144A | 3821 | 4 |
|  GS Mortgage Backed Securities Trust, Series 2021-GR2, Class A6 2.500%, (AFC), 2/25/52 144A | 346111 | 296 |
|  GS Mortgage Backed Securities Trust, Series 2021-HP1, Class A6 2.500%, 1/25/52 144A | 296658 | 254 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**122** 

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##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  GS Mortgage Backed Securities Trust, Series 2021-PJ5, Class A8 2.500%, 10/25/51 144A | 715267 | 613 |
|  GS Mortgage Backed Securities Trust, Series 2022-GR1, Class A5 2.500%, (AFC), 6/25/52 144A | 953039 | 815 |
|  GS Mortgage Securities Trust, Series 2021-ROSS, Class B 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/26 144A | 390000 | 352 |
|  Homeward Opportunities Fund I Trust, Series 2020-2, Class A1 1.657%, (AFC), 5/25/65 144A | 5956 | 6 |
|  Hundred Acre Wood Trust, Series 2021-INV1, Class A9 2.500%, 7/25/51 144A | 466364 | 404 |
|  Imperial Fund Mortgage Trust, Series 2021-NQM2, Class A3 1.516%, (AFC), 9/25/56 144A | 271425 | 204 |
|  Imperial Fund Mortgage Trust, Series 2022-NQM4, Class A1 4.767%, (AFC), 6/25/67 144A Σ | 793307 | 753 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class B 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 9/15/29 144A | 790000 | 753 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C 6.168%, (ICE LIBOR USD 1 Month plus 1.850%), 9/15/29 144A | 250000 | 235 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B 6.088%, (ICE LIBOR USD 1 Month plus 1.770%), 10/15/33 144A | 540000 | 504 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class C 6.488%, (ICE LIBOR USD 1 Month plus 2.170%), 10/15/33 144A | 440000 | 405 |
|  JP Morgan Mortgage Trust, Series 2020-INV1, Class A11 4.874%, (ICE LIBOR USD 1 Month plus 0.830%), (AFC), 8/25/50 144A | 47858 | 44 |
|  JP Morgan Mortgage Trust, Series 2020-INV1, Class A15 3.500%, (AFC), 8/25/50 144A | 77909 | 66 |
|  JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A5 3.934%, 9/15/47 | 540000 | 523 |
|  KIND Trust, Series 2021-KIND, Class C 6.068%, (ICE LIBOR USD 1 Month plus 1.750%), 8/15/38 144A | 575838 | 520 |
|  KKR Industrial Portfolio Trust, Series 2021-KDIP, Class C 5.318%, (ICE LIBOR USD 1 Month plus 1.000%), 12/15/37 144A | 157500 | 149 |
|  KKR Industrial Portfolio Trust, Series 2021-KDIP, Class D 5.568%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/37 144A | 116250 | 110 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  LSTAR Commercial Mortgage Trust, Series 2017-5, Class AS 4.021%, 3/10/50 144A | 340000 | 313 |
|  Mello Mortgage Capital Acceptance, Series 2021-INV3, Class A4 2.500%, (AFC), 10/25/51 144A | 409893 | 350 |
|  MFRA Trust, Series 2021-INV1, Class A1 0.852%, (AFC), 1/25/56 144A | 141447 | 124 |
|  MFRA Trust, Series 2021-NQM2, Class A2 1.317%, (AFC), 11/25/64 144A | 129522 | 102 |
|  MHC Trust, Series 2021-MHC2, Class B 5.418%, (ICE LIBOR USD 1 Month plus 1.100%), 5/15/23 144A | 380000 | 364 |
|  Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS 4.110%, (AFC), 10/15/47 | 185000 | 176 |
|  Morgan Stanley Capital I Trust, Series 2014-150E, Class A 3.912%, 9/9/32 144A | 610000 | 540 |
|  Morgan Stanley Capital I Trust, Series 2019-MEAD, Class D 3.177%, (CSTR), 11/10/36 144A | 480000 | 406 |
|  Morgan Stanley Capital I Trust, Series 2019-NUGS, Class D 6.118%, (ICE LIBOR USD 1 Month plus 1.800%), 12/15/36 144A | 315000 | 247 |
|  Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class A4 2.500%, (AFC), 5/25/51 144A | 147773 | 127 |
|  New Orleans Hotel Trust, Series 2019-HNLA, Class B 5.607%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A | 606569 | 572 |
|  New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1 1.650%, (AFC), 5/24/60 144A | 105277 | 96 |
|  New Residential Mortgage Loan Trust, Series 2021-INV1, Class A6 2.500%, (AFC), 6/25/51 144A | 300127 | 257 |
|  New Residential Mortgage Loan Trust, Series 2021-INV2, Class A7 2.500%, (AFC), 9/25/51 144A | 862061 | 737 |
|  NLT Trust, Series 2021-INV2, Class A3 1.520%, (AFC), 8/25/56 144A | 238591 | 185 |
|  OBX Trust, Series 2019-EXP2, Class 2A2 4.687%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A | 66547 | 63 |
|  OBX Trust, Series 2019-EXP3, Class 2A1 5.289%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144A | 84297 | 81 |
|  OBX Trust, Series 2020-EXP1, Class 1A8 3.500%, 2/25/60 144A | 156519 | 138 |
|  OBX Trust, Series 2020-EXP1, Class 2A1 5.139%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/60 144A | 149666 | 138 |
|  OBX Trust, Series 2020-EXP1, Class 2A2 5.339%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A | 89065 | 83 |
|  OBX Trust, Series 2020-EXP2, Class A8 3.000%, (AFC), 5/25/60 144A | 193174 | 165 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**123** 

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##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  OBX Trust, Series 2020-EXP2, Class A9 3.000%, (AFC), 5/25/60 144A | 48293 | 41 |
|  OBX Trust, Series 2020-EXP3, Class 1A8 3.000%, (AFC), 1/25/60 144A | 169998 | 147 |
|  OBX Trust, Series 2020-INV1, Class A5 3.500%, (AFC), 12/25/49 144A | 44981 | 40 |
|  OBX Trust, Series 2021-J1, Class A4 2.500%, (AFC), 5/25/51 144A | 516525 | 443 |
|  OBX Trust, Series 2021-NQM1, Class A1 1.072%, (AFC), 2/25/66 144A | 351246 | 273 |
|  OBX Trust, Series 2021-NQM3, Class A1 1.054%, (AFC), 7/25/61 144A | 216786 | 163 |
|  ONE Park Mortgage Trust, Series 2021-PARK, Class B 5.400%, (US SOFR 1 Month plus 1.065%), 3/15/36 144A | 755000 | 709 |
|  ONE Park Mortgage Trust, Series 2021-PARK, Class C 5.550%, (US SOFR 1 Month plus 1.215%), 3/15/36 144A | 405000 | 372 |
|  PSMC Trust, Series 2021-1, Class A11 2.500%, (AFC), 3/25/51 144A | 745549 | 641 |
|  Sequoia Mortgage Trust, Series 2018-CH2, Class A21 4.000%, (AFC), 6/25/48 144A | 22594 | 21 |
|  Sequoia Mortgage Trust, Series 2018-CH2, Class A3 4.000%, (AFC), 6/25/48 144A | 52117 | 48 |
|  Sequoia Mortgage Trust, Series 2018-CH3, Class A19 4.500%, (AFC), 8/25/48 144A | 3378 | 3 |
|  Sequoia Mortgage Trust, Series 2018-CH4, Class A2 4.000%, (AFC), 10/25/48 144A | 2765 | 3 |
|  SG Residential Mortgage Trust, Series 2019-3, Class A2 2.877%, (AFC), 9/25/59 144A | 102310 | 98 |
|  SG Residential Mortgage Trust, Series 2020-2, Class A1 1.381%, (AFC), 5/25/65 144A | 112403 | 97 |
|  SG Residential Mortgage Trust, Series 2022-1, Class A1 3.166%, (AFC), 3/27/62 144A | 588594 | 526 |
|  Shelter Growth CRE Issuer, Ltd., Series 2021-FL3, Class A 5.398%, (ICE LIBOR USD 1 Month plus 1.080%), 9/15/36 144A | 214700 | 207 |
|  Slide, Series 2018-FUN, Class D 6.418%, (ICE LIBOR USD 1 Month plus 2.100%), 6/15/31 144A | 349993 | 344 |
|  STACR Trust, Series 2021-DNA2, Class M1 4.728%, (US 30 Day Average SOFR plus 0.800%), 8/25/33 144A | 38371 | 38 |
|  STACR Trust, Series 2021-DNA3, Class M2 6.028%, (US 30 Day Average SOFR plus 2.100%), 10/25/33 144A | 395000 | 387 |
|  STACR Trust, Series 2021-DNA5, Class M2 5.578%, (US 30 Day Average SOFR plus 1.650%), 1/25/34 144A | 210884 | 208 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  STACR Trust, Series 2021-DNA7, Class M1 4.778%, (US 30 Day Average SOFR plus 0.850%), 11/25/41 144A | 236157 | 232 |
|  STACR Trust, Series 2021-DNA7, Class M2 5.728%, (US 30 Day Average SOFR plus 1.800%), 11/25/41 144A | 375000 | 352 |
|  STACR Trust, Series 2021-HQA1, Class M1 4.628%, (US 30 Day Average SOFR plus 0.700%), 8/25/33 144A | 42682 | 42 |
|  STACR Trust, Series 2022-DNA2, Class M1A 5.228%, (US 30 Day Average SOFR plus 1.300%), 2/25/42 144A | 266886 | 262 |
|  STACR Trust, Series 2022-DNA3, Class M1A 5.928%, (US 30 Day Average SOFR plus 2.000%), 4/25/42 144A | 605980 | 603 |
|  STACR Trust, Series 2022-DNA4, Class M1A 6.128%, (US 30 Day Average SOFR plus 2.200%), 5/25/42 144A | 672264 | 670 |
|  STACR Trust, Series 2022-DNA5, Class M1A 6.878%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A | 647315 | 655 |
|  STACR Trust, Series 2022-DNA6, Class M1A 6.078%, (US 30 Day Average SOFR plus 2.150%), 9/25/42 144A | 214142 | 214 |
|  STACR Trust, Series 2022-HQA1, Class M1A 6.028%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A | 740263 | 731 |
|  STACR Trust, Series 2022-HQA3, Class M1A 6.228%, (US 30 Day Average SOFR plus 2.300%), 8/25/42 144A | 306379 | 306 |
|  Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3 2.916%, (AFC), 9/27/49 144A | 181793 | 171 |
|  Starwood Mortgage Residential Trust, Series 2020-1, Class A2 2.408%, (AFC), 2/25/50 144A | 194150 | 185 |
|  Starwood Mortgage Residential Trust, Series 2021-2, Class A1 0.943%, (AFC), 5/25/65 144A | 164932 | 152 |
|  Starwood Mortgage Residential Trust, Series 2021-4, Class A1 1.162%, (AFC), 8/25/56 144A | 674016 | 541 |
|  Toorak Mortgage Corp., Series 2021-INV1, Class A2 1.409%, (AFC), 7/25/56 144A | 130741 | 109 |
|  Towd Point Mortgage Trust, Series 2022-4, Class A1 3.750%, (AFC), 9/25/62 144A | 953347 | 892 |
|  United Wholsale Mortgage LLC, Series 2021-INV2, Class A4 2.500%, (AFC), 9/25/51 144A | 160595 | 138 |
|  United Wholsale Mortgage LLC, Series 2021-INV5, Class B 2.500%, (AFC), 1/25/52 144A | 186711 | 160 |
|  Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A | 98071 | 95 |
|  Verus Securitization Trust, Series 2019-INV2, Class A2 3.117%, (AFC), 7/25/59 144A | 131328 | 127 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**124** 

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##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A Σ | 79808 | 75 |
|  Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A | 107640 | 103 |
|  Verus Securitization Trust, Series 2020-5, Class A3 1.733%, (AFC), 5/25/65 144A Σ | 84233 | 75 |
|  Verus Securitization Trust, Series 2020-INV1, Class A1 1.977%, (AFC), 4/25/60 144A | 56400 | 54 |
|  Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A | 100527 | 84 |
|  Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A | 82067 | 66 |
|  Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A | 185501 | 154 |
|  Verus Securitization Trust, Series 2021-2, Class A2 1.052%, (AFC), 1/25/66 144A | 139514 | 114 |
|  Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A | 227385 | 172 |
|  Verus Securitization Trust, Series 2021-7, Class A1 1.829%, (AFC), 10/25/66 144A | 853860 | 716 |
|  Verus Securitization Trust, Series 2021-R1, Class A2 1.057%, (AFC), 10/25/63 144A | 63103 | 56 |
|  Verus Securitization Trust, Series 2021-R2, Class A1 0.918%, (AFC), 2/25/64 144A | 187492 | 170 |
|  Verus Securitization Trust, Series 2022-1, Class A3 3.288%, (AFC), 1/25/67 144A | 927529 | 753 |
|  Verus Securitization Trust, Series 2022-6, Class A1 4.910%, (AFC), 6/25/67 144A Σ | 240074 | 229 |
|  Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A | 56856 | 47 |
|  Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2 3.020%, 7/15/58 | 51622 | 50 |
|  Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17 3.000%, (AFC), 5/25/50 144A | 37502 | 31 |
|  Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3 2.500%, (AFC), 12/25/50 144A | 624611 | 543 |
|  WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5 3.917%, 10/15/57 | 575000 | 557 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (31.8%) | Shares/<br> Par<sup>+</sup>  | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5 4.045%, 3/15/47 | 325000 | 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **66910** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Structured Products** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $130,989)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $130,989)** | **121831** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.8%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $397,183)<sup>@</sup>** |  | **378279** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (1.2%)** |  | **4459** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **382738** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**125** 

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##### [**Table of Contents**](#toc)
**Short-Term Bond Portfolio** 

**Exchange Traded or Centrally Cleared Derivatives** 

**Futures** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Issuer | Long/Short | Currency | Notional Par<br> (000's) | Number<br> of<br> Contracts | Expiration<br> Date | Notional<br> Value<br> (000's) | Unrealized<br> Appreciation/<br> (Depreciation)<br> (000's) | Variation Margin<br> (000's) |
|  Five-Year US Treasury Note Future | Short | USD | 11500 | 115 | 3/23 | $12412 | $(2) | $10 |
|  Ten-Year US Treasury Note Future | Short | USD | 4500 | 45 | 3/23 | 5054 | 14 | 6 |
|  Two-Year US Treasury Note Future | Long | USD | 74600 | 373 | 3/23 | 76494 | 55 | (58) |
|  Ultra Long Term US Treasury Bond Future | Short | USD | 300 | 3 | 3/23 | 403 | 7 | 2 |
|  Ultra Ten-Year US Treasury Note Future | Short | USD | 3500 | 35 | 3/23 | 4140 | 6 | 2 |
|  |  |  |  |  |  |  | $80 | $(38) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Market Value<br> (000's) |
|  | Swaps | Futures | Total | Swaps | Futures | Total | Options |
|  Total Exchange-Traded or Centrally Cleared Derivatives | $- | $20 | $20 | $- | $(58) | $(58) | $- |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

---

| | |
|:---|:---|
| § | 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 December 31, 2022, the aggregate value of these securities was $5,997 (in thousands), representing 1.6% of net assets.  |

---

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 December 31, 2022 the value of these securities (in thousands) was $148,975 representing 38.9% of the net assets. <br>

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

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

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $397,264 and the net unrealized depreciation of investments based on that cost was $18,905 which is comprised of $317 aggregate gross unrealized appreciation and $19,222 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br> Significant<br>Unobservable Inputs |
|  |  | *(Amounts in thousands)* |  |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | $- | $573 | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 185866 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Governments |  | 70009 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Structured Products |  | 121831 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | 82 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $82 | $378279 | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | (2) | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $(2) | $- | $- |

---

^ 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.

The Accompanying Notes are an Integral Part of the Financial Statements

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio (unaudited)** 

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---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Provide as high a level of total return as is consistent with prudent investment risk. A secondary objective is to seek preservation of shareholders' capital. | Invest in a diversified portfolio of investment grade debt securities with maturities exceeding one year. | $2.8 billion |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Select Bond Portfolio (the "Portfolio"), has engaged Allspring Global Investments, LLC ("Allspring") to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of investment grade debt securities with maturities exceeding one year. The Portfolio may also invest up to 20% of net assets in foreign securities. Debt securities may be of any maturity or duration, but under normal market conditions, the Portfolio attempts to maintain an overall dollar-weighted average effective duration (a measure of the sensitivity of the price of the Portfolio's fixed income securities to changes in interest rates) that is within 10% of the Bloomberg<sup>®</sup> U.S. Aggregate Index. The Portfolio uses a fundamental, relative value investment approach to construct the portfolio of investments. The Portfolio invests in debt securities that it believes offer competitive returns and are undervalued, offering additional income and/or price appreciation potential relative to other debt securities of similar credit quality and interest rate sensitivity. The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives.

MARKET OVERVIEW

Fixed income generated sharply negative returns during 2022 as the outlook for inflation and interest rates soared globally. With housing under pressure and softer consumer confidence and business spending, global economies stumbled in 2022 despite modestly resurgent business demand, improving supply-chain bottlenecks and easing labor shortages and wage costs. Inflation expectations and interest rates have begun to recede, but the Federal Reserve (the "Fed") is expected to maintain a strong pace of rate hikes. Rate volatility persisted throughout the year, along with an inversion of the U.S. yield curve during the middle of the year. With credit performing well fundamentally and the asset class broadly benefiting technically from its international appeal, demand for U.S. credit has remained strong, particularly as credit spreads moved sharply wider during the year.

PORTFOLIO RESULTS

The Portfolio returned (13.33%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Bloomberg<sup>®</sup> U.S. Aggregate Index (the "Index"), returned (13.01%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Core Bond Funds peer group was (13.43%).

Within the sector components of the Index, all sectors delivered negative excess returns, with the lowest coming from the credit and mortgage-backed securities (MBS) sectors. Spread product positioning and a small overweight to credit throughout most of the year detracted from performance as spreads widened dramatically.

On the security selection front, detractors were concentrated in the Information Technology, Energy and Industrials sectors and, within the Financials sector, the insurance and U.S. bank industries, heavy issuers of paper in the primary market during 2022.

In structured products, an overweight to the auto asset-backed securities (ABS) sector was a detractor from performance during the year. Security selection in the ABS sector detracted, resulting from positions in non-qualified mortgage (non-QM) residential mortgage-backed securities (RMBS) and private credit student loan ABS.

On the upside, security selection and positioning in conventional 30-years and 20-years were the most notable contributors to the Portfolio's performance. In agency mortgages, sector positioning and security selection both contributed to the Portfolio's return. The Portfolio management team maintained an underweight position for most of the year, which contributed meaningfully given the dramatic spread widening.

In credit, security selection contributed to performance during the year. Contributors were concentrated in the sovereigns, Health Care, Utilities and Communication Services sectors and in non-U.S. bank industries.

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**Select Bond Portfolio (unaudited)** 

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PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Allspring, the Portfolio's sub-adviser.

Recent incoming data on the U.S. economy points to better-than-expected growth in the fourth quarter of 2022, albeit mounting downside risks entering 2023. Measures of inflation have at long last shown clear signs of deceleration, though caution remains warranted for several important categories demonstrating persistency, such as housing and services, as well as ongoing pass-through risks following cumulative advances in labor costs and commodity prices. Policymakers continue to focus on inflation figures that have been considerably higher than expected and persistent, though they have slowed the pace of interest rate increases after front-loading hikes in 2022. Financial markets remained volatile in December, especially amid additional concerns around the Fed's policy path and greater uncertainties around incoming economic data.

We believe volatility will provide for a fertile security selection environment across sectors of the most liquid parts of the U.S. investment grade, fixed income markets. Consistent with our bottom-up process, we maintain a neutral duration, with a pure focus on security selection. We remain nimble and agile, and we stand ready to take advantage of security selection opportunities where they arise.

**Relative Performance**![LOGO](g422955g38y46.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Select Bond Portfolio | -13.33% | 0.16% | 1.11% |
|  Bloomberg<sup>®</sup> U.S. Aggregate Index | -13.01% | 0.02% | 1.06% |
|  Lipper<sup>®</sup> Variable Insurance Products<br>(VIP) Core Bond Funds Average | -13.43% | 0.01% | 0.98% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee* 

*waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Return of principal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund's existing bonds drops, which could negatively affect overall fund performance. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.* 

*Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio's performance.* 

*The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could causetime could cause significant losses in the market value of the Portfolio's fixed income investments.* 

*The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.* 

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**Select Bond Portfolio (unaudited)** 

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**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;% of Net Assets |
| &nbsp;&nbsp;&nbsp; US Treasury, Various | 28.6% |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association, Various | 19.1% |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association, Various | 2.8% |
| &nbsp;&nbsp;&nbsp; Uniform Mortgage Backed Security TBA, Various | 2.5% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp., Various | 2.2% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Bank, Various | 1.6% |
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Various | 1.5% |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Various | 1.4% |
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Various | 0.9% |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc., Various | 0.6% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Structured Products | 48.5% |
| &nbsp;&nbsp;&nbsp; Governments | 30.0% |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | 23.7% |
| &nbsp;&nbsp;&nbsp; Municipal Bonds | 0.3% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | -2.5% |

---

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio's stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.

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**Select Bond Portfolio** 

**SCHEDULE OF INVESTMENTS** 

December 31, 2022

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Basic Materials (0.6%)** |  |  |
|  Anglo American Capital PLC<br>3.875%, 3/16/29 144A | 2878000 | 2584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 3/16/52 144A | 2265000 | 1880 |
|  The Dow Chemical Co.<br>6.900%, 5/15/53 | 1029000 | 1117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 11/1/29 | 2505000 | 2783 |
|  Freeport-McMoRan, Inc.<br>5.250%, 9/1/29 | 3058000 | 2950 |
|  Glencore Finance Canada, Ltd.<br>6.000%, 11/15/41 144A | 124000 | 117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.900%, 11/15/37 144A | 1133000 | 1192 |
|  Glencove Funding DAC / Glencove Funding LLC<br>4.875%, 3/12/29 144A | 874000 | 838 |
|  Rohm and Haas Co.<br>7.850%, 7/15/29 | 1291000 | 1442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **14903** |
|  **Communications (1.5%)** |  |  |
|  Amazon.com, Inc.<br>2.875%, 5/12/41 | 689000 | 514 |
|  4.700%, 12/1/32 | 2689000 | 2662 |
|  AT&T, Inc.<br>1.700%, 3/25/26 | 4901000 | 4417 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 6/1/41 | 1052000 | 785 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.650%, 9/15/59 | 1032000 | 691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.800%, 12/1/57 | 2964000 | 2045 |
|  Charter Communications Operating LLC / Charter Communications Operating Capital Corp.<br>3.500%, 6/1/41 | 567000 | 369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 3/1/42 | 2756000 | 1766 |
|  Comcast Corp.<br>1.500%, 2/15/31 | 1286000 | 1001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.987%, 11/1/63 | 1233000 | 746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.049%, 11/1/52 | 1062000 | 840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.350%, 11/15/27 | 2164000 | 2210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 11/15/32 | 4328000 | 4513 |
|  Discovery Communications LLC<br>4.000%, 9/15/55 | 1151000 | 692 |
|  Netflix, Inc.<br>5.375%, 11/15/29 144A | 1157000 | 1122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 11/15/28 | 1878000 | 1903 |
|  Rogers Communications, Inc.<br>4.550%, 3/15/52 144A | 1219000 | 945 |
|  T-Mobile USA, Inc.<br>2.250%, 2/15/26 | 4457000 | 4054 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 2/15/31 | 448000 | 370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 4/15/29 | 5215000 | 4593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 4/15/31 | 294000 | 254 |
|  Verizon Communications, Inc.<br>2.355%, 3/15/32 | 1111000 | 881 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.550%, 3/21/31 | 1547000 | 1272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.650%, 11/20/40 | 1379000 | 931 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.550%, 3/22/51 | 986000 | 702 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communications continued** |  |  |
|  Vodafone Group PLC<br>4.250%, 9/17/50 | 390000 | 297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 5/30/38 | 492000 | 453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **41028** |
|  **Consumer, Cyclical (1.5%)** |  |  |
|  Delta Air Lines, Inc./SkyMiles IP, Ltd.<br>4.750%, 10/20/28 144A | 5792000 | 5444 |
|  Ford Motor Co.<br>4.750%, 1/15/43 | 209000 | 150 |
|  Ford Motor Credit Co. LLC<br>2.700%, 8/10/26 | 1820000 | 1581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.900%, 2/10/29 | 1780000 | 1422 |
|  General Motors Co.<br>5.400%, 10/15/29 | 2580000 | 2462 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.600%, 10/15/32 | 529000 | 491 |
|  General Motors Financial Co., Inc.<br>3.100%, 1/12/32 | 1059000 | 830 |
|  The Home Depot, Inc.<br>2.375%, 3/15/51 | 1572000 | 938 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 12/15/49 | 1907000 | 1350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.300%, 4/15/40 | 406000 | 323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 4/15/52 | 980000 | 756 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 9/15/32 | 3143000 | 3069 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 9/15/52 | 2152000 | 2066 |
|  Hyundai Capital America<br>0.800%, 1/8/24 144A | 867000 | 825 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.300%, 1/8/26 144A | 2076000 | 1816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 6/15/28 144A | 980000 | 798 |
|  Lowe's Companies, Inc.<br>4.250%, 4/1/52 | 2065000 | 1637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 4/15/53 | 3102000 | 2970 |
|  Magallanes, Inc.<br>5.050%, 3/15/42 144A | 2161000 | 1653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.141%, 3/15/52 144A | 4986000 | 3625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.391%, 3/15/62 144A | 2456000 | 1793 |
|  McDonald's Corp.<br>3.625%, 9/1/49 | 1603000 | 1206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.200%, 4/1/50 | 2366000 | 1969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.150%, 9/9/52 | 1034000 | 991 |
|  Toyota Motor Credit Corp.<br>5.450%, 11/10/27 | 640000 | 654 |
|  Walmart, Inc. 4.500%, 9/9/52 | 1550000 | 1474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **42293** |
|  **Consumer, Non-cyclical (3.5%)** |  |  |
|  AbbVie, Inc.<br>4.050%, 11/21/39 | 1164000 | 996 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 11/21/49 | 6649000 | 5518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 5/14/36 | 713000 | 642 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.450%, 5/14/46 | 725000 | 623 |
|  Adani International Container Terminal Private, Ltd.<br>3.000%, 2/16/31 144A | 864375 | 677 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**130** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer, Non-cyclical continued** |  |  |
|  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.<br>4.700%, 2/1/36 | 2781000 | 2626 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.900%, 2/1/46 | 5399000 | 4908 |
|  Anheuser-Busch InBev Worldwide, Inc.<br>4.375%, 4/15/38 | 2919000 | 2609 |
|  AstraZeneca Finance LLC<br>1.750%, 5/28/28 | 3431000 | 2945 |
|  AstraZeneca PLC<br>1.375%, 8/6/30 | 997000 | 788 |
|  Bunge, Ltd. Finance Corp.<br>1.630%, 8/17/25 | 1131000 | 1030 |
|  Centene Corp.<br>2.500%, 3/1/31 | 919000 | 719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 10/15/30 | 2207000 | 1809 |
|  Cigna Corp.<br>3.400%, 3/15/50 | 458000 | 325 |
|  CVS Health Corp.<br>3.000%, 8/15/26 | 1060000 | 990 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 7/20/35 | 322000 | 306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.050%, 3/25/48 | 2359000 | 2117 |
|  Danaher Corp.<br>2.600%, 10/1/50 | 1170000 | 746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.800%, 12/10/51 | 784000 | 518 |
|  DH Europe Finance II SARL<br>2.200%, 11/15/24 | 2694000 | 2567 |
|  Diageo Capital PLC<br>5.300%, 10/24/27 | 2695000 | 2757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 1/24/33 | 2798000 | 2927 |
|  Gilead Sciences, Inc.<br>2.600%, 10/1/40 | 1703000 | 1188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.800%, 10/1/50 | 1591000 | 1017 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 9/1/36 | 877000 | 773 |
|  GSK Consumer Healthcare Co.<br>3.375%, 3/24/27 | 2447000 | 2278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 3/24/29 | 982000 | 883 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 3/24/32 | 3700000 | 3248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 3/24/52 | 356000 | 278 |
|  HCA, Inc.<br>4.625%, 3/15/52 144A | 5044000 | 3926 |
|  Nestle Holdings, Inc.<br>4.125%, 10/1/27 144A | 1629000 | 1591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.700%, 1/15/53 144A | 1106000 | 1040 |
|  Pfizer, Inc.<br>1.750%, 8/18/31 | 1986000 | 1594 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.550%, 5/28/40 | 3417000 | 2471 |
|  Philip Morris International, Inc.<br>5.000%, 11/17/25 | 2325000 | 2335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 11/17/27 | 3486000 | 3511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 11/17/32 | 1746000 | 1780 |
|  Quanta Services, Inc.<br>0.950%, 10/1/24 | 1957000 | 1802 |
|  Roche Holdings, Inc.<br>2.076%, 12/13/31 144A | 3641000 | 2962 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.607%, 12/13/51 144A | 1487000 | 963 |
|  Shire Acquisitions Investments Ireland DAC<br>2.875%, 9/23/23 | 808000 | 794 |
|  Takeda Pharmaceutical Co., Ltd.<br>2.050%, 3/31/30 | 2711000 | 2213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.025%, 7/9/40 | 1196000 | 878 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer, Non-cyclical continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.175%, 7/9/50 | 835000 | 563 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 11/26/23 | 620000 | 615 |
|  Thermo Fisher Scientific, Inc.<br>1.750%, 10/15/28 | 991000 | 839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.800%, 10/15/41 | 1577000 | 1161 |
|  UnitedHealth Group, Inc.<br>2.750%, 5/15/40 | 752000 | 546 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.050%, 5/15/41 | 516000 | 388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 5/15/51 | 2192000 | 1568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 5/15/29 | 1510000 | 1442 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 7/15/35 | 1547000 | 1500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 2/15/28 | 1647000 | 1684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.300%, 2/15/30 | 2744000 | 2828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.350%, 2/15/33 | 2744000 | 2831 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 2/15/53 | 2616000 | 2825 |
|  Viterra Finance BV<br>5.250%, 4/21/32 144A | 3104000 | 2726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **98184** |
|  **Energy (1.3%)** |  |  |
|  Aker BP ASA<br>3.750%, 1/15/30 144A | 326000 | 287 |
|  4.000%, 1/15/31 144A | 1246000 | 1092 |
|  Energy Transfer LP<br>4.400%, 3/15/27 | 486000 | 462 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 5/15/28 | 3625000 | 3477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.300%, 4/15/47 | 2835000 | 2359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 2/15/33 | 3987000 | 3901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 12/15/45 | 877000 | 811 |
|  Exxon Mobil Corp.<br>3.452%, 4/15/51 | 2755000 | 2074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.327%, 3/19/50 | 3625000 | 3175 |
|  Galaxy Pipeline Assets Bidco, Ltd.<br>1.750%, 9/30/27 144A | 1918733 | 1775 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.160%, 3/31/34 144A | 2221958 | 1888 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 3/31/36 144A | 1480000 | 1191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.940%, 9/30/40 144A | 924969 | 743 |
|  Kinder Morgan, Inc.<br>5.450%, 8/1/52 | 3201000 | 2873 |
|  Lundin Energy Finance BV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 7/15/26 144A | 2670000 | 2358 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.100%, 7/15/31 144A | 2913000 | 2389 |
|  Petroleos Mexicanos<br>2.460%, 12/15/25 | 1925700 | 1839 |
|  Pioneer Natural Resources Co.<br>2.150%, 1/15/31 | 1467000 | 1159 |
|  Sunoco Logistics Partners Operations LP<br>5.400%, 10/1/47 | 834000 | 706 |
|  Targa Resources Partners LP / Targa Resources Partners Finance Corp.<br>4.875%, 2/1/31 | 2310000 | 2086 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 3/1/30 | 579000 | 545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **37190** |
|  **Financial (9.4%)** |  |  |
|  AerCap Ireland Capital DAC / AerCap Global Aviation Trust<br>1.150%, 10/29/23 | 5917000 | 5693 |
|  Agree LP<br>2.000%, 6/15/28 | 2053000 | 1681 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**131** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.600%, 6/15/33 | 468000 | 352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.800%, 10/1/32 | 1029000 | 952 |
|  American Homes 4 Rent, LP<br>3.625%, 4/15/32 | 1890000 | 1590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 4/15/52 | 847000 | 621 |
|  American Tower Corp.<br>2.700%, 4/15/31 | 783000 | 637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 1/15/27 | 1029000 | 943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.650%, 3/15/27 | 1454000 | 1358 |
|  Antares Holdings LP<br>3.750%, 7/15/27 144A | 2439000 | 1972 |
|  Athene Global Funding<br>2.500%, 3/24/28 144A | 3441000 | 2867 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.646%, 10/4/31 144A | 3247000 | 2481 |
|  Banco Santander SA 3.225%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 11/22/32 | 1600000 | 1208 |
|  Bank of America Corp. 1.530%, (US SOFR plus 0.650%), 12/6/25 | 9136000 | 8426 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.658%, (US SOFR plus 0.910%), 3/11/27 | 7810000 | 6910 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.734%, (US SOFR plus 0.960%), 7/22/27 | 7078000 | 6201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.687%, (US SOFR plus 1.320%), 4/22/32 | 7533000 | 6029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28 | 5454000 | 4939 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.015%, (US SOFR plus 2.160%), 7/22/33 | 2275000 | 2160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.204%, (US SOFR plus 1.990%), 11/10/28 | 5332000 | 5505 |
|  Barclays PLC 7.385%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.300%), 11/2/28 | 5422000 | 5652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.437%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.500%), 11/2/33 | 3252000 | 3407 |
|  Blackstone Holdings Finance Co. LLC<br>6.200%, 4/22/33 144A | 3246000 | 3272 |
|  Brighthouse Financial, Inc.<br>3.850%, 12/22/51 | 973000 | 614 |
|  Brixmor Operating Partnership LP<br>2.500%, 8/16/31 | 1143000 | 874 |
|  Citigroup, Inc. 4.910%, (US SOFR plus 2.086%), 5/24/33 | 2781000 | 2604 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.270%, (US SOFR plus 2.338%), 11/17/33 | 5383000 | 5553 |
|  Cooperatieve Rabobank U.A. 3.649%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.220%), 4/6/28 144A | 5943000 | 5475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.758%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.420%), 4/6/33 144A | 3496000 | 2978 |
|  Credit Suisse Group AG 9.016%, (US SOFR plus 5.020%), 11/15/33 144A | 2739000 | 2804 |
|  Crown Castle International Corp.<br>1.050%, 7/15/26 | 2945000 | 2544 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.100%, 4/1/31 | 430000 | 339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.900%, 3/15/27 | 3216000 | 2925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.900%, 4/1/41 | 1806000 | 1237 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.300%, 7/1/30 | 1698000 | 1485 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 3/1/27 | 492000 | 469 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
|  Deutsche Bank AG 3.742%, (US SOFR plus 2.257%), 1/7/33 | 4714000 | 3348 |
|  Enstar Group, Ltd.<br>3.100%, 9/1/31 | 2473000 | 1806 |
|  Essex Portfolio LP<br>1.700%, 3/1/28 | 2473000 | 2059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.550%, 6/15/31 | 975000 | 770 |
|  Extra Space Storage LP<br>2.350%, 3/15/32 | 846000 | 640 |
|  Federal Realty Investment Trust<br>3.950%, 1/15/24 | 1307000 | 1290 |
|  GLP Capital LP / GLP Financing II, Inc.<br>5.300%, 1/15/29 | 953000 | 902 |
|  The Goldman Sachs Group, Inc. 0.657%, (US SOFR plus 0.505%), 9/10/24 | 4929000 | 4742 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.925%, (US SOFR plus 0.486%), 10/21/24 | 7318000 | 7011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.948%, (US SOFR plus 0.913%), 10/21/27 | 2438000 | 2132 |
|  HSBC Holdings PLC 7.390%, (US SOFR plus 3.350%), 11/6/28 | 3192000 | 3355 |
|  Invitation Homes Operating Partnership LP<br>2.000%, 8/15/31 | 326000 | 241 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.150%, 4/15/32 | 1880000 | 1645 |
|  JPMorgan Chase & Co.<br>1.040%, (US SOFR 3 Month plus 0.695%), 2/4/27 | 9850000 | 8568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.045%, (US SOFR plus 0.800%), 11/19/26 | 3053000 | 2693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.470%, (US SOFR plus 0.765%), 9/22/27 | 2450000 | 2121 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.561%, (US SOFR plus 0.605%), 12/10/25 | 14410000 | 13341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.578%, (US SOFR plus 0.885%), 4/22/27 | 2436000 | 2140 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.182%, (US SOFR plus 1.890%), 6/1/28 | 3016000 | 2637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.323%, (US SOFR plus 1.560%), 4/26/28 | 1606000 | 1534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.565%, (US SOFR plus 1.750%), 6/14/30 | 2488000 | 2341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.912%, (US SOFR plus 2.080%), 7/25/33 | 2060000 | 1961 |
|  Kimco Realty Corp.<br>4.600%, 2/1/33 | 1547000 | 1415 |
|  Liberty Mutual Group, Inc.<br>5.500%, 6/15/52 144A | 954000 | 856 |
|  Lloyds Banking Group PLC 4.716%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.750%), 8/11/26 | 4248000 | 4156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.976%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/11/33 | 2410000 | 2213 |
|  Marsh & McLennan Cos., Inc.<br>6.250%, 11/1/52 | 539000 | 598 |
|  Mid-America Apartments LP<br>3.950%, 3/15/29 | 949000 | 891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/15/25 | 1159000 | 1126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 10/15/23 | 968000 | 962 |
|  Mitsubishi UFJ Financial Group, Inc. 2.309%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 7/20/32 | 2058000 | 1584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.133%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.125%), 7/20/33 | 1460000 | 1394 |
|  Morgan Stanley<br>0.790%, (US SOFR plus 0.525%), 5/30/25 | 6345000 | 5899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.791%, (US SOFR plus 0.509%), 1/22/25 | 6280000 | 5941 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.864%, (US SOFR plus 0.745%), 10/21/25 | 543000 | 498 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**132** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.985%, (US SOFR plus 0.720%), 12/10/26 | 5008000 | 4388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.512%, (US SOFR plus 0.858%), 7/20/27 | 3830000 | 3324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.342%, (US SOFR plus 2.560%), 10/18/33 | 5377000 | 5634 |
|  Owl Rock Capital Corp. III<br>3.125%, 4/13/27 | 1338000 | 1101 |
|  The PNC Financial Services Group, Inc. 6.037%, (US SOFR Index plus 2.140%), 10/28/33 | 3239000 | 3372 |
|  Realty Income Corp.<br>2.200%, 6/15/28 | 1013000 | 868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.850%, 12/15/32 | 1369000 | 1110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.650%, 1/15/28 | 1063000 | 992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 10/13/32 | 3000000 | 3047 |
|  Regency Centers LP<br>2.950%, 9/15/29 | 2588000 | 2172 |
|  Rexford Industrial Realty, Inc.<br>2.150%, 9/1/31 | 510000 | 391 |
|  Santander UK Group Holdings PLC 6.833%, (US SOFR plus 2.749%), 11/21/26 | 4303000 | 4359 |
|  SBL Holdings, LLC<br>5.000%, 2/18/31 144A | 3406000 | 2679 |
|  Stewart Information Services Corp.<br>3.600%, 11/15/31 | 1326000 | 1016 |
|  Store Capital Corp.<br>2.700%, 12/1/31 | 657000 | 482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 11/18/30 | 1671000 | 1282 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 3/15/28 | 2526000 | 2278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 3/15/29 | 1205000 | 1080 |
|  Sun Communities Operating LP<br>2.300%, 11/1/28 | 945000 | 787 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.200%, 4/15/32 | 1890000 | 1665 |
|  Truist Financial Corp. 6.123%, (US SOFR plus 2.300%), 10/28/33 | 1518000 | 1597 |
|  Trust Fibra Uno<br>6.390%, 1/15/50 144A | 1319000 | 1065 |
|  UBS Group AG 4.703%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.050%), 8/5/27 144A | 5160000 | 4987 |
|  Wells Fargo & Co. 3.526%, (US SOFR plus 1.510%), 3/24/28 | 10281000 | 9520 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.808%, (US SOFR plus 1.980%), 7/25/28 | 1075000 | 1050 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.897%, (US SOFR plus 2.100%), 7/25/33 | 1541000 | 1463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **261276** |
|  **Industrial (1.7%)** |  |  |
|  The Boeing Co.<br>2.196%, 2/4/26 | 3723000 | 3383 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 2/1/35 | 1205000 | 916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 2/1/50 | 2151000 | 1477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.930%, 5/1/60 | 2794000 | 2545 |
|  Canadian National Railway Co.<br>3.850%, 8/5/32 | 1547000 | 1437 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 8/5/52 | 1032000 | 917 |
|  Canadian Pacific Railway Co.<br>1.350%, 12/2/24 | 2438000 | 2273 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 12/2/26 | 472000 | 421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.450%, 12/2/31 | 395000 | 327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 12/2/41 | 481000 | 363 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Industrial continued** |  |  |
|  Crowley Conro LLC<br>4.181%, 8/15/43 | 1281554 | 1195 |
|  CSX Corp.<br>4.100%, 11/15/32 | 2574000 | 2413 |
|  Honeywell International, Inc.<br>5.000%, 2/15/33 | 3301000 | 3362 |
|  John Deere Capital Corp.<br>2.350%, 3/8/27 | 2456000 | 2235 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.150%, 9/15/27 | 5168000 | 5068 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.850%, 10/11/29 | 1805000 | 1807 |
|  Lockheed Martin Corp.<br>5.100%, 11/15/27 | 2739000 | 2799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.700%, 11/15/54 | 2191000 | 2296 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.900%, 11/15/63 | 1096000 | 1177 |
|  Northrop Grumman Corp.<br>4.400%, 5/1/30 | 3507000 | 3365 |
|  Parker Hannifin Corp.<br>4.250%, 9/15/27 | 2986000 | 2897 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 9/15/29 | 1991000 | 1908 |
|  Union Pacific Corp.<br>2.375%, 5/20/31 | 1043000 | 878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.800%, 2/14/32 | 1416000 | 1222 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 2/14/42 | 1178000 | 936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **47617** |
|  **Technology (2.2%)** |  |  |
|  Advanced Micro Devices, Inc.<br>3.924%, 6/1/32 | 3165000 | 2941 |
|  Apple, Inc.<br>2.375%, 2/8/41 | 799000 | 565 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.400%, 8/20/50 | 125000 | 78 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.650%, 5/11/50 | 1511000 | 1000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.650%, 2/8/51 | 672000 | 443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.800%, 2/8/61 | 698000 | 442 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 8/8/29 | 4124000 | 3812 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 8/8/52 | 2066000 | 1755 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.100%, 8/8/62 | 1546000 | 1285 |
|  Broadcom, Inc.<br>2.450%, 2/15/31 144A | 1716000 | 1352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.150%, 11/15/25 | 1287000 | 1219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.419%, 4/15/33 144A | 4671000 | 3745 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.469%, 4/15/34 144A | 2192000 | 1749 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.150%, 11/15/30 | 1159000 | 1039 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.150%, 4/15/32 144A | 1477000 | 1297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.926%, 5/15/37 144A | 1569000 | 1369 |
|  Dell International LLC / EMC Corp.<br>3.375%, 12/15/41 144A | 2437000 | 1632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.450%, 12/15/51 144A | 631000 | 386 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.100%, 7/15/27 | 998000 | 1025 |
|  Intel Corp.<br>2.800%, 8/12/41 | 2566000 | 1792 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.900%, 8/5/52 | 2374000 | 2100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.050%, 8/5/62 | 1029000 | 903 |
|  KLA-Tencor Corp.<br>3.300%, 3/1/50 | 899000 | 651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 7/15/52 | 914000 | 849 |
|  NXP BV / NXP Funding LLC / NXP USA, Inc.<br>2.650%, 2/15/32 | 2027000 | 1586 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 5/11/41 | 1075000 | 750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.400%, 5/1/30 | 1364000 | 1179 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**133** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Technology continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 6/1/27 | 1189000 | 1139 |
|  Oracle Corp.<br>3.950%, 3/25/51 | 2075000 | 1478 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 7/15/46 | 1905000 | 1388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 5/15/55 | 662000 | 500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.900%, 11/9/52 | 2193000 | 2346 |
|  QUALCOMM, Inc.<br>4.500%, 5/20/52 | 1617000 | 1416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 5/20/53 | 2472000 | 2625 |
|  VMware, Inc.<br>0.600%, 8/15/23 | 4803000 | 4677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 8/15/24 | 3410000 | 3173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.400%, 8/15/26 | 3191000 | 2782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.700%, 5/15/30 | 1971000 | 1833 |
|  Xilinx, Inc.<br>2.375%, 6/1/30 | 841000 | 707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **61008** |
|  **Utilities (2.0%)** |  |  |
|  The AES Corp.<br>1.375%, 1/15/26 | 1110000 | 986 |
|  American Transmission Systems, Inc.<br>2.650%, 1/15/32 144A | 683000 | 560 |
|  Baltimore Gas & Electric Co.<br>2.250%, 6/15/31 | 1464000 | 1186 |
|  CenterPoint Energy Houston Electric LLC<br>3.600%, 3/1/52 | 1082000 | 831 |
|  Consumers Energy Co.<br>2.500%, 5/1/60 | 838000 | 469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.650%, 8/15/52 | 656000 | 412 |
|  Dominion Energy, Inc.<br>5.375%, 11/15/32 | 3229000 | 3201 |
|  DTE Electric Co.<br>2.950%, 3/1/50 | 1709000 | 1159 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.650%, 3/1/52 | 783000 | 605 |
|  DTE Energy Co.<br>1.050%, 6/1/25 | 877000 | 794 |
|  Duke Energy Carolinas LLC<br>2.550%, 4/15/31 | 997000 | 832 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.850%, 3/15/32 | 1818000 | 1538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.550%, 3/15/52 | 1325000 | 990 |
|  Duke Energy Corp.<br>2.550%, 6/15/31 | 1072000 | 873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 6/15/51 | 303000 | 210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 9/1/46 | 303000 | 225 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 3/15/28 | 2574000 | 2477 |
|  Duke Energy Florida LLC<br>2.400%, 12/15/31 | 1461000 | 1193 |
|  Duke Energy Progress LLC<br>2.500%, 8/15/50 | 1477000 | 886 |
|  EDP Finance BV<br>6.300%, 10/11/27 144A | 1185000 | 1217 |
|  Entergy Arkansas LLC<br>2.650%, 6/15/51 | 1318000 | 795 |
|  Eversource Energy<br>1.400%, 8/15/26 | 833000 | 731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.650%, 8/15/30 | 1663000 | 1294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 3/1/32 | 369000 | 321 |
|  Florida Power & Light Co.<br>3.950%, 3/1/48 | 1292000 | 1066 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (23.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Utilities continued** |  |  |
|  Israel Electric Corp., Ltd.<br>3.750%, 2/22/32 144A § | 960000 | 840 |
|  Jersey Central Power & Light Co.<br>2.750%, 3/1/32 144A | 1608000 | 1299 |
|  Metropolitan Edison Co.<br>4.300%, 1/15/29 144A | 1721000 | 1615 |
|  MidAmerican Energy Co.<br>2.700%, 8/1/52 | 1270000 | 813 |
|  Mississippi Power Co.<br>3.100%, 7/30/51 | 1755000 | 1117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 3/30/28 | 1754000 | 1645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 3/15/42 | 673000 | 546 |
|  Northern States Power Co.<br>3.200%, 4/1/52 | 991000 | 705 |
|  NSTAR Electric Co.<br>3.100%, 6/1/51 | 904000 | 621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.550%, 6/1/52 | 1189000 | 1070 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 9/15/52 | 517000 | 499 |
|  Pacific Gas & Electric Co.<br>2.100%, 8/1/27 | 784000 | 670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 12/1/47 | 2286000 | 1550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.200%, 6/1/41 | 851000 | 630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 7/1/40 | 504000 | 394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 2/15/44 | 492000 | 376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 7/1/50 | 3062000 | 2373 |
|  PacifiCorp<br>5.350%, 12/1/53 | 1615000 | 1598 |
|  PECO Energy Co.<br>2.850%, 9/15/51 | 1766000 | 1162 |
|  Pennsylvania Electric Co.<br>3.250%, 3/15/28 144A | 1426000 | 1281 |
|  Public Service Company of Oklahoma<br>3.150%, 8/15/51 | 991000 | 657 |
|  Public Service Electric & Gas Co.<br>1.900%, 8/15/31 | 1963000 | 1560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.050%, 8/1/50 | 406000 | 226 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.700%, 5/1/50 | 800000 | 517 |
|  Public Service Enterprise Group, Inc.<br>1.600%, 8/15/30 | 1128000 | 875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.450%, 11/15/31 | 1269000 | 1014 |
|  Southern California Edison Co.<br>4.125%, 3/1/48 | 1103000 | 880 |
|  Trans-Allegheny Interstate Line Co.<br>3.850%, 6/1/25 144A | 691000 | 667 |
|  Virginia Electric & Power Co.<br>2.950%, 11/15/51 | 1464000 | 962 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 5/15/52 | 1102000 | 962 |
|  Wisconsin Electric Power Co.<br>4.750%, 9/30/32 | 1469000 | 1439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **55414** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds (Cost: $735,927)** |  | **658913** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**134** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Governments (30.0%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Governments (30.0%)** |  |  |
|  Bermuda Government International Bond<br>5.000%, 7/15/32 144A | 1280000 | 1271 |
|  Export Finance & Insurance Corp.<br>4.625%, 10/26/27 144A | 3690000 | 3727 |
|  Export-Import Bank of Korea<br>4.500%, 9/15/32 | 1507000 | 1469 |
|  Federal Home Loan Mortgage Corp.<br>0.000%, 12/14/29 PO | 4007000 | 3008 |
|  Federal National Mortgage Association<br>0.000%, 11/15/30 PO | 11778000 | 8460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.900%, 1/25/36 | 4686000 | 3345 |
|  Province of Saskatchewan<br>3.250%, 6/8/27 | 1493000 | 1423 |
|  Republic of Chile<br>4.340%, 3/7/42 | 536000 | 453 |
|  Republic of Paraguay<br>5.400%, 3/30/50 144A | 1869000 | 1611 |
|  Republic of Peru<br>3.000%, 1/15/34 | 748000 | 589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.600%, 1/15/72 | 579000 | 376 |
|  Republic of Poland<br>5.750%, 11/16/32 | 2145000 | 2283 |
|  United Mexican States<br>3.500%, 2/12/34 | 2608000 | 2087 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 4/19/71 | 2264000 | 1406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.771%, 5/24/61 | 1626000 | 1027 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 2/12/52 | 3288000 | 2417 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 4/22/29 | 2664000 | 2540 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.600%, 2/10/48 | 576000 | 444 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 5/19/33 | 665000 | 610 |
|  US Treasury<br>0.250%, 8/31/25 | 28945000 | 26028 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 11/30/25 | 10368000 | 9274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 1/31/26 | 45142000 | 40164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.750%, 5/31/26 | 20757000 | 18512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 5/15/40 | 54471000 | 34091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 8/15/40 | 48786000 | 30297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 11/15/40 | 97432000 | 63342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 8/15/50 | 7166000 | 3982 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 10/31/28 | 14736000 | 12720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 8/15/26 | 61841000 | 56367 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 11/30/28 | 7360000 | 6391 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 11/15/50 | 5502000 | 3274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 5/15/26 | 21780000 | 20045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 8/15/41 | 96652000 | 66142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 2/15/41 | 4376000 | 3093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 11/15/51 | 6155000 | 3898 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 8/15/51 | 20260000 | 13266 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 11/15/26 | 6156000 | 5692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.250%, 2/15/52 | 5870000 | 4082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.250%, 11/15/27 | 12053000 | 11107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 8/15/24 | 3385000 | 3266 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 5/15/24 | 10630000 | 10318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 7/31/29 | 5197000 | 4785 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 2/15/28 | 23723000 | 22306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 5/31/29 | 12496000 | 11610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 5/15/52 | 12008000 | 9621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 4/30/25 | 10294000 | 9961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 8/15/52 | 14573000 | 12007 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 6/30/24 | 1654000 | 1614 |

---

---

| | | |
|:---|:---|:---|
| Governments (30.0%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Governments continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 8/31/29 | 4659000 | 4423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 6/30/29 | 8414000 | 8052 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 8/15/42 | 1864000 | 1666 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 11/30/27 | 12547000 | 12478 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 12/31/27 | 26644000 | 26490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 9/30/29 | 1046000 | 1039 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 11/30/29 | 3943000 | 3917 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/15/42 | 417000 | 408 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/15/52 | 20223000 | 20251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 12/15/25 | 35787000 | 35558 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/31/29 | 2697000 | 2698 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 11/15/32 | 13075000 | 13343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 9/30/27 | 42969800 | 43131 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 10/31/27 | 63917000 | 64152 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 9/30/24 | 806000 | 802 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 10/31/24 | 5259000 | 5244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 11/30/24 | 22135000 | 22136 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 11/15/25 | 851000 | 856 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 11/15/28 | 6632000 | 7026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 2/15/29 | 5182000 | 5501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **834972** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Governments (Cost: $935,228)** |  | **834972** |
| Municipal Bonds (0.3%) |  |  |
|  **Municipal Bonds (0.3%)** |  |  |
|  County of Clark Department of Aviation<br>6.820%, 7/1/45 RB | 1780000 | 2094 |
|  North Texas Tollway Authority, Series 2009-B<br>6.718%, 1/1/49 RB | 1950000 | 2311 |
|  The Ohio State University<br>4.800%, 6/1/11 RB | 1070000 | 881 |
|  Port Authority of New York & New Jersey<br>4.458%, 10/1/62 RB | 3110000 | 2698 |
|  The University of Texas System<br>2.439%, 8/15/49 RB | 925000 | 581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Municipal Bonds (Cost: $10,488)** |  | **8565** |
| Structured Products (48.5%) |  |  |
|  **Asset Backed Securities (11.5%)** |  |  |
|  Ally Auto Receivables Trust, Series 2022-1, Class A3 3.310%, 11/15/26 | 2703000 | 2633 |
|  Ally Auto Receivables Trust, Series 2022-2, Class A4 4.870%, 4/17/28 | 2331000 | 2335 |
|  Ally Auto Receivables Trust, Series 2022-3, Class A3 5.070%, 6/15/31 | 1172000 | 1180 |
|  American Express Credit Account Master Trust, Series 2022-3, Class A 3.750%, 8/16/27 | 5090000 | 4976 |
|  American Express Credit Account Master Trust, Series 2022-4, Class A 4.950%, 10/15/27 | 3774000 | 3802 |
|  AmeriCredit Automobile Receivables Trust, Series 2022-1, Class A3 2.450%, 11/18/26 | 906000 | 877 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**135** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3 4.380%, 4/18/28 | 2236000 | 2194 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A 2.360%, 3/20/26 144A | 2229000 | 2075 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A | 1707000 | 1580 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A 1.660%, 2/20/28 144A | 4820000 | 4171 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2022-3A, Class A 4.620%, 2/20/27 144A | 4201000 | 4101 |
|  Avis Budget Rental Car Funding AESOP LLC, Series 2022-4A, Class A 4.770%, 2/20/29 144A | 2083000 | 2012 |
|  BA Credit Card Trust, Series 2022-A1, Class A1 3.530%, 11/15/27 | 4447000 | 4324 |
|  BA Credit Card Trust, Series 2022-A2, Class A2 5.000%, 4/17/28 | 3214000 | 3245 |
|  Capital One Multi-Asset Execution Trust, Series 2021-A2, Class A2 1.390%, 7/15/30 | 3405000 | 2839 |
|  Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A 3.490%, 5/15/27 | 3199000 | 3111 |
|  Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A 4.950%, 10/15/27 | 2697000 | 2718 |
|  Chase Auto Owner Trust, Series 2022-AA, Class A4 3.990%, 3/27/28 144A | 1504000 | 1468 |
|  Chase Issuance Trust, Series 2022-A1, Class A 3.970%, 9/15/27 | 983000 | 962 |
|  College Avenue Student Loans LLC, Series 2017-A, Class A1 6.039%, (ICE LIBOR USD 1 Month plus 1.650%), 11/26/46 144A | 802729 | 785 |
|  College Avenue Student Loans LLC, Series 2018-A, Class A2 4.130%, 12/26/47 144A | 695459 | 647 |
|  College Avenue Student Loans LLC, Series 2019-A, Class A2 3.280%, 12/28/48 144A | 1373385 | 1231 |
|  College Avenue Student Loans LLC, Series 2021-A, Class A2 1.600%, 7/25/51 144A | 1662733 | 1428 |
|  Discover Card Execution Note Trust, Series 2022-A3, Class A3 3.560%, 7/15/27 | 3738000 | 3629 |
|  Ford Credit Auto Lease Trust, Series 2022-A, Class A3 3.230%, 5/15/25 | 3785000 | 3710 |
|  Ford Credit Auto Owner Trust, Series 2020-2, Class A 1.060%, 4/15/33 144A | 1575000 | 1410 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Ford Credit Auto Owner Trust, Series 2022-1, Class A 3.880%, 11/15/34 144A | 7377000 | 7072 |
|  Ford Credit Auto Owner Trust, Series 2022-A, Class A3 1.290%, 6/15/26 | 1453000 | 1382 |
|  Ford Credit Auto Owner Trust, Series 2022-A, Class A4 3.370%, 7/15/25 | 2104000 | 2045 |
|  Ford Credit Auto Owner Trust, Series 2022-C, Class A4 4.590%, 12/15/27 | 3779000 | 3739 |
|  Ford Credit Auto Owner Trust, Series 2022-D, Class A4 5.300%, 3/15/28 | 1060000 | 1072 |
|  GM Financial Automobile Leasing Trust, Series 2022-2, Class A3 3.420%, 6/20/25 | 1228000 | 1201 |
|  GM Financial Automobile Leasing Trust, Series 2022-2, Class A4 3.540%, 5/20/26 | 2426000 | 2367 |
|  GM Financial Automobile Leasing Trust, Series 2022-3, Class A4 4.110%, 8/20/26 | 3156000 | 3092 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A3 3.100%, 2/16/27 | 6253000 | 6056 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A4 3.250%, 4/17/28 | 3335000 | 3186 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2022-3, Class A4 3.710%, 12/16/27 | 1920000 | 1863 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2022-4, Class A3 4.820%, 8/16/27 | 3053000 | 3055 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2022-4, Class A4 4.880%, 8/16/28 | 3330000 | 3339 |
|  GM Financial Revolving Receivables Trust, Series 2022-1, Class A 5.910%, 10/11/35 144A | 2780000 | 2830 |
|  Hertz Vehicle Financing III LLC, Series 2021-2A, Class A 1.680%, 12/27/27 144A | 2671000 | 2325 |
|  Hertz Vehicle Financing III LLC, Series 2022-1A, Class A 1.990%, 6/25/26 144A | 5782000 | 5307 |
|  Hertz Vehicle Financing LLC, Series 2022-2A, Class A 2.330%, 6/26/28 144A | 5129000 | 4496 |
|  Hertz Vehicle Financing LLC, Series 2022-4A, Class A 3.730%, 9/25/26 144A | 2594000 | 2478 |
|  Hertz Vehicle Financing LLC, Series 2022-5A, Class A 3.890%, 9/25/28 144A | 5207000 | 4807 |
|  Honda Auto Receivables Owner Trust, Series 2022-2, Class A4 3.760%, 12/18/28 | 1437000 | 1401 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**136** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Hyundai Auto Lease Securitization Trust, Series 2022-C, Class A4 4.480%, 8/17/26 144A | 3093000 | 3053 |
|  Hyundai Auto Receivables Trust, Series 2021- C, Class A4 1.030%, 12/15/27 | 1869000 | 1691 |
|  Hyundai Auto Receivables Trust, Series 2022- A, Class A3 2.220%, 10/15/26 | 3507000 | 3351 |
|  Hyundai Auto Receivables Trust, Series 2022- A, Class A4 2.350%, 4/17/28 | 1194000 | 1117 |
|  Hyundai Auto Receivables Trust, Series 2022- C, Class A3 5.390%, 6/15/27 | 2623000 | 2650 |
|  Hyundai Auto Receivables Trust, Series 2022- C, Class A4 5.520%, 10/16/28 | 2452000 | 2494 |
|  Mercedes-Benz Auto Receivables Trust, Series 2022-1, Class A4 5.250%, 2/15/29 | 2454000 | 2466 |
|  Navient Private Education Refi Loan Trust, Series 2014-AA, Class A3 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 10/15/31 144A | 1539000 | 1523 |
|  Navient Private Education Refi Loan Trust, Series 2018-C, Class A2 3.520%, 6/16/42 144A | 115510 | 113 |
|  Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A 4.000%, 12/15/59 144A | 2056436 | 1967 |
|  Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A | 1822504 | 1742 |
|  Navient Private Education Refi Loan Trust, Series 2019-C, Class A2 3.130%, 2/15/68 144A | 1430531 | 1351 |
|  Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A | 3656819 | 3330 |
|  Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2 2.120%, 1/15/69 144A | 1275890 | 1158 |
|  Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A | 2390705 | 2120 |
|  Navient Private Education Refi Loan Trust, Series 2021-A, Class A 0.840%, 5/15/69 144A | 628631 | 544 |
|  Navient Private Education Refi Loan Trust, Series 2021-FA, Class A 1.110%, 2/18/70 144A | 3164247 | 2664 |
|  Navient Private Education Refi Loan Trust, Series 2022-A, Class A 2.230%, 7/15/70 144A | 7662882 | 6649 |
|  Navient Student Loan Trust, Series 2016-AA, Class A2B 6.468%, (ICE LIBOR USD 1 Month plus 2.150%), 12/15/45 144A | 602700 | 608 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Navient Student Loan Trust, Series 2019-BA, Class A2A 3.390%, 12/15/59 144A | 2711858 | 2562 |
|  Navient Student Loan Trust, Series 2019-FA, Class A2 2.600%, 8/15/68 144A | 2147335 | 1987 |
|  Navient Student Loan Trust, Series 2020-EA, Class A 1.690%, 5/15/69 144A | 125267 | 113 |
|  Navient Student Loan Trust, Series 2020-HA, Class A 1.310%, 1/15/69 144A | 1264060 | 1134 |
|  Navient Student Loan Trust, Series 2020-IA, Class A1A 1.330%, 4/15/69 144A | 4703897 | 4009 |
|  Navient Student Loan Trust, Series 2021-3A, Class A1A 1.770%, 8/25/70 144A | 3436996 | 2966 |
|  Navient Student Loan Trust, Series 2021-BA, Class A 0.940%, 7/15/69 144A | 940078 | 794 |
|  Navient Student Loan Trust, Series 2021-CA, Class A 1.060%, 10/15/69 144A | 3637720 | 3092 |
|  Navient Student Loan Trust, Series 2021-EA, Class A 0.970%, 12/16/69 144A | 6059900 | 5076 |
|  Navient Student Loan Trust, Series 2021-GA, Class A 1.580%, 4/15/70 144A | 2207126 | 1869 |
|  Nelnet Student Loan Trust, Series 2004-3, Class A5 4.538%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36 | 408609 | 397 |
|  Nelnet Student Loan Trust, Series 2004-4, Class A5 4.518%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37 | 1967358 | 1926 |
|  Nelnet Student Loan Trust, Series 2005-1, Class A5 4.468%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33 | 6046761 | 5834 |
|  Nelnet Student Loan Trust, Series 2005-2, Class A5 4.853%, (ICE LIBOR USD 3 Month plus 0.100%), 3/23/37 | 5590394 | 5422 |
|  Nelnet Student Loan Trust, Series 2005-3, Class A5 4.873%, (ICE LIBOR USD 3 Month plus 0.120%), 12/24/35 | 4361007 | 4225 |
|  Nelnet Student Loan Trust, Series 2005-4, Class A4 4.933%, (ICE LIBOR USD 3 Month plus 0.180%), 3/22/32 | 764381 | 743 |
|  Nissan Auto Lease Trust, Series 2022-A, Class A3 3.810%, 5/15/25 | 4217000 | 4153 |
|  Nissan Auto Receivables Owner Trust, Series 2022-B, Class A4 4.450%, 11/15/29 | 2601000 | 2562 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  PenFed Auto Receivables Owner Trust, Series 2022-A, Class A3 3.960%, 4/15/26 144A | 2224000 | 2191 |
|  PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4 4.180%, 12/15/28 144A | 1093000 | 1074 |
|  Santander Drive Auto Receivables Trust, Series 2022-2, Class A3 2.980%, 10/15/26 | 6587000 | 6479 |
|  Santander Drive Auto Receivables Trust, Series 2022-3, Class A3 3.400%, 12/15/26 | 2210000 | 2169 |
|  Santander Drive Auto Receivables Trust, Series 2022-4, Class A3 4.140%, 2/16/27 | 3191000 | 3125 |
|  Santander Drive Auto Receivables Trust, Series 2022-5, Class A3 4.110%, 8/17/26 | 2649000 | 2600 |
|  Santander Drive Auto Receivables Trust, Series 2022-6, Class A3 4.490%, 11/16/26 | 5498000 | 5430 |
|  Santander Drive Auto Receivables Trust, Series 2022-7, Class A3 5.750%, 4/15/27 | 1780000 | 1790 |
|  SMB Private Education Loan Trust, Series 2016-B, Class A2A 2.430%, 2/17/32 144A | 680491 | 650 |
|  SMB Private Education Loan Trust, Series 2016-B, Class A2B 5.768%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A | 638886 | 634 |
|  SMB Private Education Loan Trust, Series 2016-C, Class A2B 5.418%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A | 693984 | 691 |
|  SMB Private Education Loan Trust, Series 2018-C, Class A2A 3.630%, 11/15/35 144A | 1065982 | 1002 |
|  SMB Private Education Loan Trust, Series 2019-A, Class A2A 3.440%, 7/15/36 144A | 4402120 | 4186 |
|  SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A | 1809146 | 1596 |
|  SMB Private Education Loan Trust, Series 2020-PTA, Class A2A 1.600%, 9/15/54 144A | 2900896 | 2577 |
|  SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A | 7795381 | 6885 |
|  SMB Private Education Loan Trust, Series 2021-A, Class APT1 1.070%, 1/15/53 144A | 6363285 | 5460 |
|  SMB Private Education Loan Trust, Series 2021-B, Class A 1.310%, 7/17/51 144A | 1778114 | 1587 |
|  SMB Private Education Loan Trust, Series 2021-C, Class A2 5.118%, (ICE LIBOR USD 1 Month plus 0.800%), 1/15/53 144A | 4178577 | 3983 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  SMB Private Education Loan Trust, Series 2021-D, Class A1A 1.340%, 3/17/53 144A | 4861754 | 4259 |
|  SMB Private Education Loan Trust, Series 2021-E, Class A1A 1.680%, 2/15/51 144A | 3468226 | 3129 |
|  SMB Private Education Loan Trust, Series 2022-C, Class A1A 4.480%, 5/16/50 144A | 1956323 | 1871 |
|  SMB Private Education Loan Trust, Series 2022-D, Class A1B 5.607%, (US 30 Day Average SOFR plus 1.800%), 10/15/58 144A | 2658447 | 2636 |
|  SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX 2.650%, 9/25/40 144A | 63350 | 61 |
|  SoFi Professional Loan Program LLC, Series 2017-E, Class A2B 2.720%, 11/26/40 144A | 329846 | 328 |
|  SoFi Professional Loan Program LLC, Series 2020-C, Class AFX 1.950%, 2/15/46 144A | 330092 | 296 |
|  SoFi Professional Loan Program LLC, Series 2021-A, Class AFX 1.030%, 8/17/43 144A | 1099551 | 873 |
|  SoFi Professional Loan Program LLC, Series 2021-B, Class AFX 1.140%, 2/15/47 144A | 2503240 | 2058 |
|  Synchrony Card Funding LLC, Series 2022- A1, Class A 3.370%, 4/17/28 | 3793000 | 3659 |
|  Synchrony Card Funding LLC, Series 2022- A2, Class A 3.860%, 7/17/28 | 3289000 | 3207 |
|  T-Mobile U.S. Trust, Series 2022-1A, Class A 4.910%, 5/22/28 144A | 4064000 | 4057 |
|  Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A 3.820%, 4/25/35 144A | 2632000 | 2493 |
|  Toyota Auto Owner Trust, Series 2022-C, Class A4 3.770%, 2/15/28 | 2406000 | 2326 |
|  Toyota Auto Receivables Owner Trust, Series 2022-B, Class A4 3.110%, 8/16/27 | 2486000 | 2358 |
|  Toyota Auto Receivables Owner Trust, Series 2022-D, Class A4 5.430%, 4/17/28 | 1337000 | 1361 |
|  Triton Container Finance VIII LLC, Series 2020-1A, Class A 2.110%, 9/20/45 144A | 1376493 | 1178 |
|  Verizon Master Trust, Series 2022-2, Class A 1.530%, 7/20/28 | 2007000 | 1876 |
|  Verizon Master Trust, Series 2022-4, Class A 3.400%, 11/20/28 S | 4341000 | 4203 |
|  Verizon Master Trust, Series 2022-6, Class A 3.670%, 1/22/29 S | 3908000 | 3784 |
|  World Omni Automobile Lease Securitization Trust, Series 2012-A, Class A3 3.210%, 2/18/25 | 2345000 | 2295 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**138** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  World Omni Automobile Lease Securitization Trust, Series 2022-A, Class A4 3.340%, 6/15/27 | 1381000 | 1346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **319774** |
|  **Mortgage Securities (37.0%)** |  |  |
|  3650R Commercial Mortgage Trust, Series 2021-PF1, Class A5 2.522%, 11/15/54 | 1584000 | 1266 |
|  Angel Oak Mortgage Trust, Series 2020-2, Class A1A 2.531%, (AFC), 1/26/65 144A | 899072 | 813 |
|  Angel Oak Mortgage Trust, Series 2020-5, Class A1 1.373%, (AFC), 5/25/65 144A | 301064 | 268 |
|  Angel Oak Mortgage Trust, Series 2021-6, Class A1 1.458%, (AFC), 9/25/66 144A | 1702972 | 1346 |
|  Bank, Series 2022-BNK44, Class A5 5.746%, 11/15/55 | 2422000 | 2522 |
|  Barclays Commercial Mortgage Securities LLC, Series 2018-C2, Class ASB 4.236%, 12/15/51 | 729000 | 702 |
|  Barclays Commercial Mortgage Securities LLC, Series 2019-C3, Class A3 3.319%, 5/15/52 | 2545000 | 2293 |
|  BBCMS Mortgage Trust, Series 2022-C18, Class A5 5.710%, (AFC), 12/15/55 | 1023000 | 1070 |
|  Benchmark Mortgage Trust, Series 2022-B35, Class A5 4.445%, 5/15/55 | 816000 | 780 |
|  Bunker Hill Loan Depositary Trust, Series 2019-2, Class A1 2.879%, (AFC), 7/25/49 144A S | 1225510 | 1127 |
|  Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1 2.724%, (AFC), 11/25/59 144A S | 699909 | 674 |
|  BX Commercial Mortgage Trust, Series 2021- VOLT, Class A 5.018%, (ICE LIBOR USD 1 Month plus 0.700%), 9/15/36 144A | 6842000 | 6591 |
|  BX Trust, Series 2021-XL2, Class A 5.007%, (ICE LIBOR USD 1 Month plus 0.689%), 10/15/38 144A | 3149904 | 3027 |
|  CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB 3.367%, 6/15/50 | 877422 | 837 |
|  Citigroup Commercial Mortgage Trust, Series 2022-GC48, Class A5 4.580%, 6/15/55 | 2008000 | 1934 |
|  Citigroup Mortgage Loan Trust, Series 2005-1, Class 3A1 6.500%, 4/25/35 | 83113 | 80 |
|  COLT Mortgage Loan Trust, Series 2021-2, Class A1 0.924%, (AFC), 8/25/66 144A | 2226093 | 1756 |
|  COLT Mortgage Loan Trust, Series 2021-4, Class A1 1.397%, (AFC), 10/25/66 144A | 2436622 | 1979 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  COMM Mortgage Trust, Series 2013-CR10, Class A4 4.210%, (AFC), 8/10/46 | 52000 | 52 |
|  COMM Mortgage Trust, Series 2013-CR11, Class A4 4.258%, 8/10/50 | 7994000 | 7906 |
|  COMM Mortgage Trust, Series 2013-CR13, Class A4 4.194%, (AFC), 11/10/46 | 1087000 | 1068 |
|  COMM Mortgage Trust, Series 2013-CR6, Class A4 3.101%, 3/10/46 | 2168063 | 2161 |
|  COMM Mortgage Trust, Series 2014-UBS4, Class A4 3.420%, 8/10/47 | 2348000 | 2271 |
|  COMM Mortgage Trust, Series 2015-LC19, Class A3 2.922%, 2/10/48 | 5104199 | 4896 |
|  COMM Mortgage Trust, Series 2015-LC23, Class A3 3.521%, 10/10/48 | 1230000 | 1167 |
|  CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 2.804%, 3/17/54 | 902000 | 751 |
|  CSMC Commercial Mortgage Trust, Series 2019-C16, Class A2 3.066%, 6/15/52 | 1203000 | 1051 |
|  EQUS Mortgage Trust, Series 2021-EQAZ, Class A 5.073%, (ICE LIBOR USD 1 Month plus 0.755%), 10/15/38 144A | 2683946 | 2583 |
|  Fannie Mae REMICS, Series 2021-78, Class PA 2.500%, 11/25/51 | 2070428 | 1801 |
|  Federal Home Loan Bank<br>2.000%, 11/1/40 | 264406 | 225 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 1/1/41 | 1611544 | 1368 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 4/1/41 | 1769737 | 1507 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 7/1/41 | 2599405 | 2191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 11/1/41 | 3232404 | 2725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 12/1/41 | 7952410 | 6703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 1/1/42 | 1947294 | 1641 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 2/1/42 | 15293185 | 12891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 3/1/42 | 1063069 | 896 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 4/1/42 | 4173594 | 3518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 5/1/42 | 1824401 | 1538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 2/1/47 | 1150764 | 942 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 12/1/51 | 946138 | 775 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 4/1/42 | 920674 | 801 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 5/1/42 | 4168095 | 3619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 6/1/42 | 1421769 | 1229 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 2/1/52 | 756441 | 645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 3/1/52 | 2507142 | 2133 |
|  Federal Home Loan Mortgage Corp.<br>2.000%, 4/1/42 | 5218664 | 4399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 8/1/42 | 3088491 | 2603 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.305%, (ICE LIBOR USD 12 Month plus 1.650%), 3/1/43 | 459262 | 469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.317%, (ICE LIBOR USD 12 Month plus 1.642%), 8/1/43 | 312222 | 315 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**139** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.357%, (ICE LIBOR USD 12 Month plus 1.635%), 7/1/43 | 202457 | 204 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.447%, (ICE LIBOR USD 12 Month plus 1.637%), 9/1/45 | 3743035 | 3781 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 8/1/51 | 1069301 | 912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 9/1/51 | 7048568 | 6061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 1/1/52 | 7048016 | 6001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.509%, (ICE LIBOR USD 12 Month plus 1.632%), 11/1/43 | 333406 | 335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.542%, (ICE LIBOR USD 12 Month plus 1.646%), 10/1/43 | 644988 | 651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.556%, (ICE LIBOR USD 12 Month plus 1.606%), 9/1/43 | 159278 | 160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.703%, (ICE LIBOR USD 12 Month plus 1.611%), 10/1/43 | 380295 | 382 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.814%, (ICE LIBOR USD 12 Month plus 1.640%), 5/1/49 | 1030523 | 999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.874%, (ICE LIBOR USD 12 Month plus 1.723%), 1/1/44 | 696208 | 707 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 9/1/46 | 3166338 | 2838 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 11/1/48 | 1167748 | 1043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.314%, (ICE LIBOR USD 12 Month plus 1.687%), 9/1/47 | 1916244 | 1943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.457%, (ICE LIBOR USD 12 Month plus 1.638%), 3/1/49 | 1724478 | 1712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 6/1/46 | 1488170 | 1377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 10/1/46 | 1236951 | 1151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.574%, (US 30 Day Average SOFR plus 2.183%), 10/1/52 | 10187197 | 9769 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.722%, (ICE LIBOR USD 12 Month plus 1.635%), 4/1/48 | 3900219 | 3907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 7/1/49 | 4223015 | 4076 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.486%, (ICE LIBOR USD 12 Month plus 1.686%), 2/1/43 | 455592 | 468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 6/1/39 | 93920 | 92 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 7/1/39 | 113797 | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.497%, (ICE LIBOR USD 12 Month plus 1.770%), 9/1/42 | 265229 | 272 |
|  Federal Home Loan Mortgage Corp., Series 2012-264, Class 30 3.000%, 7/15/42 | 2874353 | 2606 |
|  Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA 3.000%, 10/15/47 | 2173520 | 1971 |
|  Federal Home Loan Mortgage Corp., Series 2439, Class LH 6.000%, 4/15/32 | 161455 | 164 |
|  Federal Home Loan Mortgage Corp., Series 4205, Class PA 1.750%, 5/15/43 | 967531 | 816 |
|  Federal Home Loan Mortgage Corp., Series 4880, Class DA 3.000%, 5/15/50 | 1965873 | 1791 |
|  Federal Home Loan Mortgage Corp., Series 5091, Class AB 1.500%, 3/25/51 | 3565249 | 2922 |
|  Federal Home Loan Mortgage Corp., Series 5119, Class AB 1.500%, 8/25/49 | 1756092 | 1419 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Federal Home Loan Mortgage Corp., Series 5203, Class G 2.500%, 11/25/48 | 1185283 | 1035 |
|  Federal National Mortgage Association<br>1.500%, 10/1/41 | 9192539 | 7520 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 11/1/41 | 26536182 | 21708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.615%, (US 30 Day Average SOFR plus 2.211%), 12/1/51 | 933911 | 834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 11/1/40 | 211059 | 180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 12/1/40 | 16932344 | 14420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 1/1/41 | 10194993 | 8600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 5/1/41 | 3105671 | 2645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 6/1/41 | 812155 | 692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 7/1/41 | 12941697 | 10909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 8/1/41 | 932930 | 786 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 10/1/41 | 4817904 | 4103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 1/1/42 | 5758229 | 4854 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 2/1/42 | 40530593 | 34164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 3/1/42 | 11532286 | 9721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 4/1/42 | 2477884 | 2089 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 5/1/42 | 4323451 | 3644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 8/1/42 | 2745492 | 2314 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 11/1/42 | 1230376 | 1048 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 1/1/47 | 1344773 | 1103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 3/1/47 | 9538984 | 7819 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 12/1/50 | 9889911 | 8086 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.259%, (ICE LIBOR USD 12 Month plus 1.560%), 6/1/43 | 259571 | 263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.442%, (ICE LIBOR USD 12 Month plus 1.565%), 3/1/43 | 124410 | 128 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 12/1/35 | 7020027 | 6442 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 5/1/36 | 4003532 | 3674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 6/1/36 | 5093386 | 4673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 12/1/40 | 4501135 | 3959 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 5/1/41 | 4539110 | 3992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 8/1/41 | 2290459 | 2002 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 2/1/42 | 2669807 | 2348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 4/1/42 | 6415738 | 5579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 5/1/42 | 3378240 | 2934 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 6/1/42 | 3033075 | 2638 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 12/1/47 | 6273093 | 5549 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 10/1/50 | 4093052 | 3529 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 6/1/51 | 2837302 | 2428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 9/1/51 | 3241601 | 2768 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 12/1/51 | 17769257 | 15173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 3/1/52 | 3067653 | 2613 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.934%, (ICE LIBOR USD 12 Month plus 1.583%), 1/1/46 | 2255764 | 2287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 11/1/42 | 2339257 | 2128 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 1/1/43 | 2485595 | 2240 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/1/43 | 13271230 | 12047 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 7/1/43 | 1795465 | 1632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 8/1/43 | 2482892 | 2256 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 12/1/43 | 2387349 | 2172 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/1/44 | 2424037 | 2206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/1/45 | 3942382 | 3580 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 10/1/46 | 3428645 | 3069 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 11/1/46 | 6706146 | 6018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 12/1/46 | 9712292 | 8720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 1/1/47 | 3559835 | 3182 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**140** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/1/47 | 8205640 | 7433 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/1/48 | 1724599 | 1544 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 12/1/48 | 5042836 | 4501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 10/1/49 | 29550168 | 26826 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/1/50 | 23288485 | 20910 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 5/1/50 | 7307338 | 6574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 7/1/50 | 14330109 | 12866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/1/55 | 1302942 | 1160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 7/1/60 | 16057438 | 14048 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.147%, (ICE LIBOR USD 12 Month plus 1.579%), 10/1/43 | 897928 | 906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.404%, (ICE LIBOR USD 12 Month plus 1.579%), 6/1/45 | 826482 | 831 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 11/1/42 | 1253408 | 1173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 12/1/43 | 6174287 | 5737 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 2/1/46 | 3128068 | 2922 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 7/1/47 | 15588091 | 14592 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 7/1/48 | 990310 | 916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 6/1/49 | 17426579 | 16118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 7/1/49 | 9690575 | 8958 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 4/1/50 | 8936187 | 8304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.684%, (US 30 Day Average SOFR plus 2.370%), 8/1/52 | 2159726 | 2057 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.963%, (US 30 Day Average SOFR plus 2.120%), 8/1/52 | 852200 | 813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 9/1/33 | 793605 | 778 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 3/1/35 | 15590874 | 15216 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/1/37 | 9002843 | 8782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 6/1/38 | 1280119 | 1239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 9/1/45 | 499190 | 487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 1/1/46 | 2497779 | 2439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 2/1/47 | 1374462 | 1321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 4/1/47 | 623098 | 599 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/1/47 | 482353 | 468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 7/1/48 | 7819881 | 7490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 12/1/48 | 1266609 | 1232 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 2/1/49 | 2174383 | 2090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 5/1/49 | 1241801 | 1196 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 12/1/49 | 1252919 | 1204 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 8/1/59 | 1623081 | 1547 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.155%, (US 30 Day Average SOFR plus 2.132%), 10/1/52 | 7221533 | 7072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.168%, (US 30 Day Average SOFR plus 2.120%), 7/1/52 | 3344288 | 3216 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.224%, (US 30 Day Average SOFR plus 2.370%), 9/1/52 | 991200 | 961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, (US 30 Day Average SOFR plus 2.127%), 11/1/52 | 2548567 | 2501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.317%, (US 30 Day Average SOFR plus 2.125%), 8/1/52 | 3847439 | 3758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.352%, (US 30 Day Average SOFR plus 2.124%), 7/1/52 | 3720582 | 3638 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 6/1/41 | 92802 | 92 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 3/1/43 | 1234537 | 1224 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/1/45 | 1923672 | 1890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 2/1/46 | 67806 | 67 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 7/1/48 | 1997879 | 1979 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 11/1/48 | 930859 | 925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.622%, (US 30 Day Average SOFR plus 2.127%), 8/1/52 | 4321029 | 4263 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.645%, (US 30 Day Average SOFR plus 2.122%), 8/1/52 | 3174801 | 3110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.651%, (US 30 Day Average SOFR plus 2.131%), 8/1/52 | 3408684 | 3367 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.663%, (US 30 Day Average SOFR plus 2.122%), 12/1/52 | 2636407 | 2619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 7/1/44 | 127467 | 129 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 9/1/52 | 2866257 | 2963 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.119%, (ICE LIBOR USD 12 Month plus 1.639%), 1/1/43 | 207582 | 213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 11/1/52 | 1308210 | 1373 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 12/1/52 | 874557 | 923 |
|  Federal National Mortgage Association Stripped, Series 414, Class A35 3.500%, 10/25/42 PO | 2458808 | 2295 |
|  Federal National Mortgage Association, Series 2012-151, Class NX 1.500%, 1/25/43 | 1061491 | 898 |
|  Federal National Mortgage Association, Series 2013-11, Class AP 1.500%, 1/25/43 | 3666151 | 3247 |
|  Federal National Mortgage Association, Series 2013-43, Class BP 1.750%, 5/25/43 | 1222645 | 1060 |
|  Federal National Mortgage Association, Series 2015-84, Class PA 1.700%, 8/25/33 | 4225396 | 3820 |
|  Federal National Mortgage Association, Series 2016-48, Class MA 2.000%, 6/25/38 | 4235467 | 3814 |
|  Federal National Mortgage Association, Series 2016-57, Class PC 1.750%, 6/25/46 | 8295223 | 6889 |
|  Federal National Mortgage Association, Series 2017-13, Class PA 3.000%, 8/25/46 | 1310500 | 1189 |
|  Federal National Mortgage Association, Series 2017-M7, Class A2 2.961%, (AFC), 2/25/27 | 957493 | 900 |
|  Federal National Mortgage Association, Series 2018-14, Class KC 3.000%, 3/25/48 | 2572799 | 2396 |
|  Federal National Mortgage Association, Series 2018-8, Class KL 2.500%, 3/25/47 | 1391319 | 1216 |
|  Federal National Mortgage Association, Series 2018-85, Class FE 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 12/25/48 | 4222222 | 4122 |
|  Federal National Mortgage Association, Series 2019-25, Class PA 3.000%, 5/25/48 | 2766722 | 2511 |
|  Federal National Mortgage Association, Series 2020-45, Class JL 3.000%, 7/25/40 | 3103845 | 2803 |
|  Federal National Mortgage Association, Series 2020-48, Class AB 2.000%, 7/25/50 | 1462506 | 1232 |
|  Federal National Mortgage Association, Series 2020-48, Class DA 2.000%, 7/25/50 | 4415585 | 3778 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**141** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Federal National Mortgage Association, Series 2021-27, Class EC 1.500%, 5/25/51 | 6148591 | 5025 |
|  Federal National Mortgage Association, Series 2021-78, Class ND 1.500%, 11/25/51 | 3567608 | 2920 |
|  Federal National Mortgage Association, Series 2022-11, Class A 2.500%, 7/25/47 | 5821849 | 5252 |
|  Federal National Mortgage Association, Series 2022-28, Class CA 2.000%, 1/25/48 | 2202917 | 1937 |
|  Federal National Mortgage Association, Series 2022-M13, Class A2 2.593%, (CSTR), 6/25/32 | 2133000 | 1801 |
|  Freddie Mac Non Gold Pool<br>3.888%, (US 30 Day Average SOFR plus 2.241%), 12/1/52 | 1884273 | 1822 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.912%, (US 30 Day Average SOFR plus 2.130%), 7/1/52 | 1449177 | 1390 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.989%, (US 30 Day Average SOFR plus 2.140%), 8/1/52 | 1936992 | 1844 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.119%, (US 30 Day Average SOFR plus 2.380%), 9/1/52 | 994246 | 958 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.301%, (US 30 Day Average SOFR plus 2.130%), 7/1/52 | 1734740 | 1686 |
|  Freddie Mac, Series 1582, Class M 2.500%, 5/25/49 | 1843081 | 1623 |
|  Freddie Mac, Series 5178, Class TP 2.500%, 4/25/49 | 2931320 | 2513 |
|  Freddie Mac, Series 5201, Class CA 2.500%, 7/25/48 | 2672121 | 2378 |
|  Freddie Mac, Series 5202, Class LA 2.500%, 5/25/49 | 2661426 | 2295 |
|  Freddie Mac, Series 5217, Class CD 2.500%, 7/25/49 | 2327493 | 2116 |
|  Freddie Mac, Series K144, Class A2 2.450%, 4/25/32 | 2668000 | 2254 |
|  Freddie Mac, Series K145, Class A2 2.580%, 6/25/55 | 2668000 | 2277 |
|  Freddie Mac, Series K146, Class A2 2.920%, 6/25/54 | 5087000 | 4471 |
|  Freddie Mac, Series K147, Class A2 3.000%, (AFC), 6/25/32 | 5087000 | 4500 |
|  Freddie Mac, Series KG07, Class A2 3.123%, (AFC), 8/25/32 | 2665000 | 2378 |
|  Government National Mortgage Association<br>2.500%, 12/20/49 | 5188698 | 4590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 12/20/51 | 9565229 | 8297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 1/20/52 | 14550561 | 12322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 6/20/43 | 2394663 | 2152 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 8/20/43 | 777414 | 698 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 10/20/46 | 415159 | 370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 12/20/46 | 2126494 | 1892 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 1/20/47 | 667753 | 594 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 3/20/47 | 1549519 | 1378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 4/20/47 | 2111757 | 1879 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 7/20/47 | 755742 | 672 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 8/20/47 | 924049 | 822 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 9/20/47 | 492899 | 438 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 11/15/47 | 7209526 | 6582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 11/20/47 | 1574107 | 1400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 12/20/47 | 151458 | 135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 1/20/48 | 898701 | 799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/20/48 | 736393 | 655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 3/20/48 | 232121 | 207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 10/20/50 | 6285277 | 5614 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 1/20/48 | 1288492 | 1200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 6/20/47 | 9049853 | 8688 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 3/20/48 | 357022 | 340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 4/20/48 | 1220190 | 1162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 8/15/47 | 212507 | 211 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 6/20/48 | 1516181 | 1491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 2/20/49 | 1506124 | 1442 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 12/20/39 | 64870 | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 3/20/48 | 2519424 | 2543 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 5/20/48 | 1183933 | 1185 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 6/20/48 | 3617911 | 3610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 7/20/48 | 767542 | 767 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 8/20/48 | 1158671 | 1155 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 12/20/48 | 780772 | 782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 1/20/49 | 1517737 | 1511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/20/49 | 82465 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 3/20/49 | 424650 | 432 |
|  Government National Mortgage Association TBA 2.500%, 1/23/53 | 10200000 | 8837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 1/1/47 | 2900000 | 2744 |
|  Government National Mortgage Association, Series 2012-141, Class WA 4.523%, 11/16/41 | 443427 | 435 |
|  Government National Mortgage Association, Series 2017-167, Class BQ 2.500%, 8/20/44 | 1345072 | 1224 |
|  Government National Mortgage Association, Series 2021-23, Class MG 1.500%, 2/20/51 | 4215707 | 3466 |
|  Government National Mortgage Association, Series 2021-27, Class BD 5.000%, 2/20/51 | 1622997 | 1628 |
|  Government National Mortgage Association, Series 2021-27, Class CW 5.001%, 2/20/51 | 2391287 | 2367 |
|  Government National Mortgage Association, Series 2021-27, Class NT 5.000%, 2/20/51 | 1886353 | 1837 |
|  Government National Mortgage Association, Series 2021-27, Class Q 5.000%, 2/20/51 | 1628624 | 1590 |
|  Government National Mortgage Association, Series 2021-8, Class CY 5.000%, 1/20/51 | 1698144 | 1680 |
|  Government National Mortgage Association, Series 2022-107, Class C 2.500%, 6/20/51 | 7705247 | 6494 |
|  Government National Mortgage Association, Series 2022-205, Class A 2.000%, 9/20/51 | 2813000 | 2247 |
|  Government National Mortgage Association, Series 2022-50, Class DC 2.500%, 8/20/51 | 2340889 | 2008 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**142** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  GS Mortgage Securities Trust, Series 2013- GC14, Class A5 4.243%, 8/10/46 | 1372000 | 1358 |
|  GS Mortgage Securities Trust, Series 2014- GC18, Class A4 4.074%, 1/10/47 | 3116000 | 3049 |
|  GS Mortgage Securities Trust, Series 2015- GC32, Class A3 3.498%, 7/10/48 | 1189118 | 1134 |
|  GS Mortgage Securities Trust, Series 2020- GC47, Class A5 2.377%, 5/12/53 | 1131000 | 934 |
|  GS Mortgage Securities Trust, Series 2020- GSA2, Class A4 1.721%, 12/12/53 | 3499000 | 2745 |
|  Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010-1, Class A1 5.314%, 1/25/51 144A | 1959585 | 1908 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4 4.166%, 12/15/46 | 2999000 | 2957 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A3 3.392%, 12/15/49 | 674000 | 623 |
|  JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A5 3.663%, 7/15/45 | 2231000 | 2212 |
|  JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A4 4.198%, 1/15/47 | 695000 | 684 |
|  JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4 3.669%, 9/15/47 | 907854 | 878 |
|  JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3 2.912%, 10/15/48 | 4546591 | 4316 |
|  JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A5 3.821%, 7/15/48 | 1895000 | 1805 |
|  MASTR Asset Securitization Trust, Series 2003-12, Class 1A1 5.250%, 12/25/24 | 29985 | 29 |
|  MED Trust, Series 2021-MDLN, Class A 5.268%, (ICE LIBOR USD 1 Month plus 0.950%), 11/15/38 144A | 4333000 | 4170 |
|  MFRA Trust, Series 2021-NQM2, Class A1 1.029%, (AFC), 11/25/64 144A | 986509 | 801 |
|  Morgan Stanley Capital I Trust, Series 2019- L2, Class A3 3.806%, 3/15/52 | 1651000 | 1507 |
|  Morgan Stanley Capital I Trust, Series 2020- HR8, Class A3 1.790%, 7/15/53 | 1911000 | 1518 |
|  New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1 2.492%, (AFC), 9/25/59 144A | 450713 | 406 |
|  NewRez Warehouse Securitization Trust, Series 2021-1, Class A 5.139%, (ICE LIBOR USD 1 Month plus 0.750%), 5/25/55 144A | 6429000 | 6327 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Residential Funding Mortgage Securities I, Series 2003-S18, Class A1 4.500%, 10/25/25 | 2120 | 1 |
|  Starvest Emerging Markets CBO I, Series 2020-INV1, Class A1 1.027%, (AFC), 11/25/55 144A | 678136 | 624 |
|  Starwood Mortgage Residential Trust, Series 2020-1, Class A1 2.275%, (AFC), 2/25/50 144A | 165501 | 158 |
|  Starwood Mortgage Residential Trust, Series 2020-3, Class A1 1.486%, (AFC), 4/25/65 144A | 747154 | 684 |
|  Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A | 892882 | 807 |
|  Starwood Mortgage Residential Trust, Series 2021-4, Class A1 1.162%, (AFC), 8/25/56 144A | 2300039 | 1847 |
|  Uniform Mortgage Backed Security TBA<br>2.000%, 4/1/46 | 7206254 | 5924 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 5/1/46 | 1050803 | 906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 1/12/53 | 12000000 | 12177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 1/12/53 | 17800000 | 18227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 2/13/53 | 32300000 | 33024 |
|  Verus Securitization Trust, Series 2019-4, Class A1 2.642%, (AFC), 11/25/59 144A S | 743613 | 705 |
|  Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A | 390077 | 376 |
|  Verus Securitization Trust, Series 2019-INV3, Class A1 2.692%, (AFC), 11/25/59 144A | 349236 | 328 |
|  Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A S | 163175 | 154 |
|  Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A | 555868 | 533 |
|  Verus Securitization Trust, Series 2020-5, Class A1 1.218%, (AFC), 5/25/65 144A S | 331082 | 300 |
|  Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A | 1136986 | 948 |
|  Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A | 2157992 | 1792 |
|  Verus Securitization Trust, Series 2021-3, Class A1 1.046%, (AFC), 6/25/66 144A | 1620480 | 1294 |
|  Verus Securitization Trust, Series 2021-4, Class A1 0.938%, (AFC), 7/25/66 144A | 1987290 | 1529 |
|  Verus Securitization Trust, Series 2021-5, Class A1 1.013%, (AFC), 9/25/66 144A | 6875635 | 5489 |
|  Verus Securitization Trust, Series 2021-7, Class A1 1.829%, (AFC), 10/25/66 144A | 3060005 | 2568 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**143** 

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##### [**Table of Contents**](#toc)
**Select Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Verus Securitization Trust, Series 2021-8, Class A1 1.824%, (AFC), 11/25/66 144A | 2184171 | 1839 |
|  Verus Securitization Trust, Series 2021-R1, Class A1 0.820%, (AFC), 10/25/63 144A | 984459 | 879 |
|  Verus Securitization Trust, Series 2021-R3, Class A1 1.020%, (AFC), 5/25/64 144A | 1017762 | 877 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (48.5%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Visio Trust, Series 2020-1R, Class A1 1.312%, 11/25/55 144A | 735213 | 661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1032953** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Structured Products**<br> **(Cost: $1,427,139)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Structured Products**<br> **(Cost: $1,427,139)** | **1352727** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (102.5%)**<br> **(Cost: $3,108,782)@** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (102.5%)**<br> **(Cost: $3,108,782)@** | **2855177** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (-2.5%)** |  | **(68561)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **2786616** |

---

+ 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 December 31, 2022 the value of these securities (in thousands) was $321,864 representing 11.6% of the net assets.  |

---

---

| | |
|:---|:---|
| § | 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 December 31, 2022, the aggregate value of these securities was $840 (in thousands), representing 0.0% of net assets.  |

---

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

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,126,162 and the net unrealized depreciation of investments based on that cost was $270,985 which is comprised of $8,264 aggregate gross unrealized appreciation and $279,249 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
| | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| <br>**Description** | **Level 1 –<br>Quoted Prices** | **Level 2 –<br>Other Significant<br>Observable Inputs** | **Level 3 –**<br> **Significant<br>Unobservable Inputs** |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | $- | $8565 | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 658913 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Governments |  | 834972 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Structured Products | - | 1352727 | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $- | $2855177 | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**144** 

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##### [**Table of Contents**](#toc)
**Long-Term U.S. Government Bond Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Maximum total return, consistent with preservation of capital and prudent investment management. | Invest in a diversified portfolio of fixed income securities that are issued or guaranteed by the U.S. Government, its agencies or government sponsored enterprises, and in derivatives designed to replicate such securities. | $100 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Long-Term U.S. Government Bond Portfolio (the "Portfolio"), has engaged Pacific Investment Management Company LLC ("PIMCO") to act as sub-adviser for the Portfolio. The Portfolio primarily invests in a diversified portfolio of fixed income securities that are issued or guaranteed by the U.S. Government, its agencies or government sponsored enterprises ("U.S. Government Securities"), which may be represented by forwards or derivatives such as options, futures contracts or interest rate swap agreements. Assets not invested in U.S. Government Securities may be invested in other types of investment grade fixed income instruments, such as corporate debt securities of U.S. issuers and mortgage- and asset-backed securities, or in preferred stocks. The Portfolio will normally have minimum average portfolio duration (a measure of the sensitivity of the Portfolio's fixed income portfolio securities to changes in interest rates) of eight years and, for point of reference, the dollar-weighted average maturity of the Portfolio, under normal circumstances, is expected to be more than ten years. The Portfolio's investments in fixed income securities are limited to investment grade U.S. dollar denominated securities of U.S. issuers that are rated at least A by Moody's or equivalently rated by S&P or Fitch, or, if unrated, determined by the Portfolio to be of comparable quality.

MARKET OVERVIEW

During the twelve months ended December 31, 2022, geopolitics took center stage. Most assets experienced elevated volatility over the year as Russia's invasion of Ukraine and the subsequent imposition of financial sanctions added stress to already fragile global supply chains and raised concerns about commodity supplies. This amplified inflationary fears and contributed to more hawkish stances from central banks, higher global yields and flattening curves.

Risk assets were challenged throughout the first half of the year, with both equities and bonds moving significantly lower given ongoing concerns over the conflict between Russia and Ukraine. Developed market central banks maintained their hawkish stance to combat historic levels of inflation. Most notably, in the U.S., the Consumer Price Index ("CPI") peaked at 8.6% year-on-year in May 2022. In response to rising inflation, the Federal Reserve (the "Fed") increased interest rates seven times during the year.

Despite signs of slowing global growth heading into the second half of 2022, the Fed continued to hike its policy rate aggressively to address inflationary risks. Performance was challenged for both "safe-haven" and risk assets as global yields rose sharply through the summer months and sentiment waned, leading to increased recessionary risks and heightened volatility. Amidst broader market volatility, market correlations were positive as global equities, fixed income and commodities experienced sharp declines.

Easing developed market inflation prints prompted optimism and contributed to gains in global risk assets toward the end of the year. However, with labor market data generally exhibiting continued resilience, global central banks adopted more hawkish messaging than expected in December 2022. Following a 75 bps policy rate hike in November, the Fed adjusted its policy rate upward by 50 bps in December.

PORTFOLIO RESULTS

The Portfolio returned (29.53%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Bloomberg<sup>®</sup> Long-Term U.S. Treasury Index (the "Index"), returned (29.26%). (This Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Morningstar<sup>®</sup> Inc., an independent mutual fund ranking agency, the average return in 2022 of the Long Government Funds peer group was (33.36%).

U.S. interest rate positioning contributed to the Portfolio's relative performance for the period. The Portfolio's duration positioning was partially implemented through the use of futures, interest rate swaps and options. Within spread sectors, exposure to Agency MBS contributed to performance.

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**Long-Term U.S. Government Bond Portfolio (unaudited)** 

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In contrast, exposure to out-of-benchmark Agency securities and commercial mortgage-backed securities (CMBS) detracted from performance.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of PIMCO, the Portfolio's sub-adviser.

We expect a modest recession in 2023 across developed markets as central banks continue to combat inflation, yet uncertainties remain. Tighter financial conditions will likely cool inflation and lead to a recession across developed markets, which should be modest but not painless as unemployment will probably rise. We expect a yield range of about 3.25% to 4.25% for the 10-year U.S. Treasury in our baseline and broader ranges across scenarios for 2023, with a view of being neutral on duration or having a tactical underweight position at current levels. We expect Euro area and U.K. headline inflation to peak just above 10% in the fourth quarter of 2022, while U.S. CPI inflation likely peaked near 9% in mid-2022. Our baseline view is that recessions in 2023 will be modest, although we are preparing for a range of possible outcomes.

**Relative Performance**![LOGO](g422955v01g150.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Long-Term U.S. Government Bond Portfolio | -29.53% | -2.80% | 0.04% |
|  Bloomberg<sup>®</sup> Long-Term Treasury Index | -29.26% | -2.20% | 0.60% |
|  Morningstar<sup>®</sup> US Insurance Fund Long Government Average | -33.36% | -3.80% | -0.51% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account* 

 *fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Return of principal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund's existing bonds drops, which could negatively affect overall fund performance.* 

*The Portfolio may invest in securities that are issued or guaranteed by the U.S. Government or its agencies, and in derivatives designed to replicate such securities. This guarantee provides for the timely repayment of the principal and interest as applicable under the terms of the instrument, if it is held to maturity, and does not apply to derivative securities held by the Portfolio. A guarantee by the U.S. Government or its agencies does not eliminate market risk.* 

*The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio's fixed income investments.* 

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**Long-Term U.S. Government Bond Portfolio (unaudited)** 

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**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; US Treasury, Various | 103.4% |
| &nbsp;&nbsp;&nbsp; Resolution Funding Corp. Stripped, Various | 3.8% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 4387, Class AZ, 4%, 9/15/44 | 2.3% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3%, 8/15/32 | 2.0% |
| &nbsp;&nbsp;&nbsp; US Treasury Inflation Index Bond, 0.625%, 7/15/32 | 1.1% |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association TBA, 4%, 1/23/53 | 0.8% |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association, Series 2016-61, Class ML, 3%, 9/25/46 | 0.8% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 4398, Class ZX, 4%, 9/15/54 | 0.7% |
| &nbsp;&nbsp;&nbsp; VNDO Trust, Series 2016-350P, Class A, 3.805%, 1/10/35 | 0.7% |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust, Series 2016-85T, Class A, 3.791%, 12/10/36 | 0.7% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Governments | 108.8% |
| &nbsp;&nbsp;&nbsp; Structured Products | 18.1% |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | 0.4% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | -27.3% |

---

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio's stated parameters, no more than 10% of the Portfolio is invested in securities rated A by Moody's or S&P and no more than 25% of the Portfolio is invested in securities rated Aa by Moody's or AA by S&P.

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**Long-Term U.S. Government Bond Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022**

---

| | | |
|:---|:---|:---|
| Corporate Bonds (0.4%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Industrial (0.4%)** |  |  |
|  Vessel Management Services, Inc.<br>3.432%, 8/15/36 | 389000 | 350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **350** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds**<br> **(Cost: $389)** |  | **350** |
| Governments (108.8%) |  |  |
|  **Governments (108.8%)** |  |  |
|  Federal National Mortgage Association<br>5.625%, 4/17/28 | 100000 | 107 |
|  Resolution Funding Corp. Stripped<br>0.000%, 4/15/30 PO | 4800000 | 3482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 4/15/28 IO | 400000 | 318 |
|  Tennessee Valley Authority Stripped<br>0.000%, 5/1/30 PO | 500000 | 363 |
|  US Treasury<br>1.125%, 5/15/40 | 6790000 | 4250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 8/15/40 | 65580000 | 40726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 11/15/40 | 11200000 | 7281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 8/15/50 | 3300000 | 1834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 11/15/50 | 400000 | 238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 2/15/41 | 1900000 | 1343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 11/15/51 | 21760000 | 13782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 2/15/50 | 12920000 | 8533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 8/15/51 | 4300000 | 2816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 5/15/51 | 2300000 | 1650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 2/15/45 | 1470000 | 1107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 2/15/46 | 940000 | 703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 5/15/49 | 1350000 | 1086 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 11/15/44 | 1620000 | 1337 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 5/15/45 | 1620000 | 1335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 11/15/45 | 370000 | 304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 2/15/48 | 330000 | 271 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 8/15/48 b | 700000 | 575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 8/15/52 | 4500000 | 3708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 8/15/44 | 1620000 | 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 5/15/48 | 2430000 | 2042 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 8/15/42 | 6500000 | 5809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/15/42 | 1000000 | 979 |
|  US Treasury Inflation Index Bond<br>0.625%, 7/15/32 | 1230540 | 1127 |
|  US Treasury Stripped<br>0.000%, 8/15/34 IO | 850000 | 526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **109001** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Governments** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $155,569)** |  | **109001** |

---

---

| | | | |
|:---|:---|:---|:---|
| Structured Products (18.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |  |
|  **Asset Backed Securities (0.3%)** |  |  |  |
|  ECMC Group Student Loan Trust, Series 2018-1A, Class A 5.139%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A | 53518 | 51 |  |
|  Hertz Vehicle Financing LLC, Series 2022-2A, Class A 2.330%, 6/26/28 144A | 300000 | 263 |  |
|  Massachusetts Educational Financing Authority, Series 2008-1, Class A1 5.308%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38 | 23134 | 23 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **337** |  |
|  **Mortgage Securities (17.8%)** |  |  |  |
|  BWAY Mortgage Trust, Series 2013-1515, Class A2 3.454%, 3/10/33 144A | 300000 | 280 |  |
|  CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A 2.778%, (CSTR), 11/10/31 144A | 600000 | 578 |  |
|  COMM Mortgage Trust, Series 2016-667M, Class A 3.140%, 10/10/36 144A | 700000 | 611 |  |
|  COMM Mortgage Trust, Series 2018-HOME, Class A 3.815%, (CSTR, AFC), 4/10/33 144A | 200000 | 182 |  |
|  Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 3.139%, (CSTR), 7/25/33 | 269 |  | π |
|  DBWF Mortgage Trust, Series 2016-85T, Class A 3.791%, 12/10/36 144A | 800000 | 721 |  |
|  Extended Stay America Trust, Series 2021- ESH, Class A 5.398%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A | 390477 | 379 |  |
|  Federal Home Loan Mortgage Corp., Series 2752, Class EZ 5.500%, 2/15/34 | 113306 | 114 |  |
|  Federal Home Loan Mortgage Corp., Series 3759, Class FB 4.818%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40 | 21717 | 21 |  |
|  Federal Home Loan Mortgage Corp., Series 4092, Class AY 3.000%, 8/15/32 | 2200000 | 2016 |  |
|  Federal Home Loan Mortgage Corp., Series 4387, Class AZ 4.000%, 9/15/44 | 2419750 | 2292 |  |
|  Federal Home Loan Mortgage Corp., Series 4398, Class ZX 4.000%, 9/15/54 | 831352 | 742 |  |
|  Federal Home Loan Mortgage Corp., Series 4830, Class ZG 3.000%, 4/15/53 | 621775 | 499 |  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Long-Term U.S. Government Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (18.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Federal Home Loan Mortgage Corp., Series T-61, Class 1A1 3.448%, (Federal Reserve US 12 Month Cumulative Avg 1 year Constant Maturity plus 1.400%), 7/25/44 | 4455 | 4 |
|  Federal National Mortgage Association<br>3.600%, 2/1/40 | 561451 | 527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 6/1/35 | 22644 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/1/36 | 34776 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 5/1/49 | 29912 | 30 |
|  Federal National Mortgage Association, Series 2007-39, Class NZ 4.250%, 5/25/37 | 64450 | 63 |
|  Federal National Mortgage Association, Series 2012-101, Class FC 4.889%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42 | 26760 | 26 |
|  Federal National Mortgage Association, Series 2016-61, Class ML 3.000%, 9/25/46 | 900000 | 752 |
|  Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2 4.317%, (CSTR), 10/25/52 144A | 562137 | 528 |
|  Government National Mortgage Association TBA 4.000%, 1/23/53 | 800000 | 757 |
|  Government National Mortgage Association, Series 2010-26, Class OW 02/20/40 PO | 304709 | 248 |
|  Government National Mortgage Association, Series 2010-75, Class OA 09/20/35 PO | 197556 | 164 |
|  GS Mortgage Securities Trust, Series 2015-590M, Class B 3.805%, (CSTR), 10/10/35 144A | 300000 | 267 |
|  Hilton USA Trust, Series 2016-HHV, Class A 3.719%, 11/5/38 144A | 600000 | 543 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (18.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Mortgage Securities continued** |  |  |
|  Hilton USA Trust, Series 2016-HHV, Class C 4.194%, (CSTR), 11/5/38 144A | 400000 | 360 |
|  Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A 2.969%, (CSTR, AFC), 5/25/33 | 594 | 1 |
|  Morgan Stanley Capital I Trust, Series 2021-230P, Class A 5.487%, (ICE LIBOR USD 1 Month plus 1.169%), 12/15/23 144A | 200000 | 191 |
|  MSSG Trust, Series 2017-237P, Class A 3.397%, 9/13/39 144A | 700000 | 614 |
|  New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 2.750%, (AFC), 11/25/59 144A | 103776 | 95 |
|  Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class A 5.594%, (US 30 Day Average SOFR plus 1.650%), 1/25/37 144A | 200000 | 194 |
|  Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1 4.999%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34 | 1604 | 2 |
|  Towd Point Mortgage Trust, Series 2020-1, Class A2A 3.100%, (AFC), 1/25/60 144A | 200000 | 167 |
|  Uniform Mortgage Backed Security TBA<br>4.000%, 1/14/50 | 1700000 | 1594 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 2/13/49 | 1500000 | 1407 |
|  VNDO Trust, Series 2016-350P, Class A 3.805%, 1/10/35 144A | 800000 | 725 |
|  Worldwide Plaza Trust, Series 2017-WWP, Class A 3.526%, 11/10/36 144A | 100000 | 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **17838** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Structured Products** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $19,865)** |  | **18175** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (127.3%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $175,823)@** |  | **127526** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (-27.3%)** |  | **(27369)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **100157** |

---

**Securities Sold Short** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description | Coupon | Maturity Date | Principal Amount<br>(000's) | Proceeds (000's) | Value (000's) |
|  Uniform Mortgage Backed Security TBA | 4.500% | 1/14/50 | $(4600) | $(4456) | $(4426) |
|  |  |  | $(4600) | $(4456) | $(4426) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Long-Term U.S. Government Bond Portfolio** 

**Exchange Traded or Centrally Cleared Derivatives** 

**Futures** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Issuer | Long/Short | Currency | Notional<br> Par<br> (000's) | Number of<br> Contracts | Expiration<br> Date | Notional<br> Value<br> (000's) | Unrealized<br> Appreciation/<br> (Depreciation)<br> (000's) | Variation Margin<br> (000's) |
|  Five-Year US Treasury Note Future | Short | USD | 17400 | 174 | 3/23 | $18780 | $(3) | $15 |
|  Ten-Year US Treasury Note Future | Long | USD | 5200 | 52 | 3/23 | 5839 | (14) | (7) |
|  Two-Year US Treasury Note Future | Long | USD | 10200 | 51 | 3/23 | 10459 | (1) | (8) |
|  Ultra Ten-Year US Treasury Note Future | Short | USD | 11300 | 113 | 3/23 | 13366 | 48 | 7 |
|  US Treasury Long Bond Future | Short | USD | 8900 | 89 | 3/23 | 11156 | (4) | 14 |
|  |  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 |

---

**Centrally Cleared Interest Rate Swaps - Receive Floating Rate** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Floating Rate Index | Fixed<br> Rate | Expiration<br> Date | Notional<br> Amount<br> (000's) | Currency | Upfront<br> Premium<br> Paid/<br> (Received)<br> (000's) | Unrealized<br> Appreciation/<br> (Depreciation)<br> (000's) | Market<br> Value<br> (000's) | Variation<br> Margin<br> (000's) |
|  1-Day USD-SOFR Compounded-OIS | 1.750% | 10/53 | 1700 | USD | $(28) | $455 | $427 | $8 |
|  3-Month USD-LIBOR | 0.750% | 3/31 | 1000 | USD | 8 | 211 | 219 | 3 |
|  3-Month USD-LIBOR | 1.250% | 6/41 | 3110 | USD | 77 | 974 | 1051 | 11 |
|  |  |  |  |  | $57 | $1640 | $1697 | $22 |

---

**Centrally Cleared Interest Rate Swaps - Pay Floating Rate** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Floating Rate Index | Fixed<br> Rate | Expiration<br> Date | Notional<br> Amount<br> (000's) | Currency | Upfront<br> Premium<br> Paid/<br> (Received)<br> (000's) | Unrealized<br> Appreciation/<br> (Depreciation)<br> (000's) | Market<br> Value<br> (000's) | Variation<br> Margin<br> (000's) |
|  1-Day USD-SOFR Compounded-OIS | 1.600% | 10/28 | 9000 | USD | $15 | $(752) | $(737) | $(15) |
|  3-Month USD-LIBOR | 1.000% | 12/25 | 3170 | USD | 45 | (338) | (293) | (3) |
|  3-Month USD-LIBOR | 1.250% | 12/50 | 1400 | USD | (122) | (451) | (573) | (6) |
|  |  |  |  |  | $(62) | $(1541) | $(1603) | $(24) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities | |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | |
| | Swaps | Futures | Total | Swaps | Futures | Total |<br>Market Value<br> (000's)<br>Options |
|  Total Exchange-Traded or Centrally Cleared Derivatives | $22 | $36 | $58 | $(24) | $(15) | $(39) | $- |

---

**Over the Counter Derivatives** 

**Written Options** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Description | Counterparty | Currency | Notional<br>Par<br>(000's) | Exercise<br>Price | Expiration<br>Date | Number of<br>Contracts | Value<br>(000's) |
|  Call - OTC Uniform Mortgage Backed Security TBA | J.P. Morgan Securities LLC | USD | 2600 | $99.000 | 3/23 | 2600000 | $(7) |
|  Put - OTC Uniform Mortgage Backed Security TBA | J.P. Morgan Securities LLC | USD | 2600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97.000 | 3/23 | 2600000 | (40) |
|  (Premiums Received $41) |  |  |  |  |  |  | $(47) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) |
|  | Forward<br>Foreign<br>Currency<br>Contracts | Swaps | Total | Forward<br>Foreign<br>Currency<br> Contracts | Options | Swaps | Total |
|  Total Over the Counter Derivatives | – | – | – | – | $(47) | – | $(47) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Long-Term U.S. Government Bond Portfolio** 

+ All par is stated in U.S. Dollar unless otherwise noted.

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

---

| | |
|:---|:---|
| 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 December 31, 2022 the value of these securities (in thousands) was $6,835 representing 6.8% of the net assets.  |

---

---

| | |
|:---|:---|
| π | Amount is less than one thousand.  |

---

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $179,638 and the net unrealized depreciation of investments based on that cost was $56,465 which is comprised of $1,472 aggregate gross unrealized appreciation and $57,937 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
| | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| <br>**Description** | **Level 1 –**<br> **Quoted Prices** | **Level 2 –**<br> **Other Significant**<br> **Observable Inputs** | **Level 3 – Significant**<br> **Unobservable Inputs** |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | $- | $350 | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Governments |  | 109001 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Structured Products |  | 18175 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | 48 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Swaps | - | 1697 | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $48 | $129223 | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | (22) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written Options |  | (47) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Swaps |  | (1603) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities Sold Short | - | (4426) | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $(22) | $(6076) | $- |

---

^ 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.

The Accompanying Notes are an Integral Part of the Financial Statements.

**151** 

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##### [**Table of Contents**](#toc)
**Inflation Protection Portfolio (unaudited)** 

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---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Total return using a strategy that seeks to protect against U.S. inflation. | Invest substantially all assets in investment grade debt securities, with a majority in inflation-indexed debt securities. | $424 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Inflation Protection Portfolio (the "Portfolio"), has engaged American Century Investment Management, Inc. ("American Century") to act as sub-adviser for the Portfolio. The Portfolio invests substantially all of its assets in investment grade debt securities. To help protect against U.S. inflation, under normal conditions, the Portfolio will invest over 50% of its net assets in inflation-indexed debt securities. These securities include inflation-indexed U.S. Treasury Securities ("TIPS"), inflation-indexed securities issued by U.S. government agencies and instrumentalities other than the U.S. Treasury, and inflation-indexed securities issued by domestic and foreign corporations and governments and may include those located in emerging markets. The Portfolio also may invest in fixed income securities that are not inflation-indexed. Such investments may include other investment grade debt securities, including collateralized mortgage obligations, mortgage-backed securities, and asset-backed securities, including collateralized loan obligations, whether issued by the U.S. government, its agencies or instrumentalities, corporations or other non-governmental issuers, or foreign governments. Due to Internal Revenue Code ("IRC") provisions and regulations governing insurance product funds, no more than 55% of the Portfolio's assets may be invested in securities issued by the same entity.

MARKET OVERVIEW

Fixed income investors faced a tumultuous year in which broad indices logged record losses. Decades-high inflation, hawkish Federal Reserve (the "Fed") policy, soaring interest rates, economic uncertainty and geopolitical unrest created an unusual backdrop in which stock and bonds suffered steep losses.

Annual headline inflation (Consumer Price Index "CPI") began the year on a rapid upswing and steadily rose to 9.1% in June 2022, a 41-year high, before moderating to 7.1% by November. The effects of massive government spending combined with supply chain disruptions, labor shortages, surging energy prices and rapid home price appreciation contributed to the elevated inflation rate. Meanwhile, longer-term inflation expectations (10-year inflation breakeven rate) rose from 2.56% at the end of 2021 to more than 3% in late April before falling to 2.3% by year-end.

With prices soaring, the Fed launched a rate-hiking campaign in March 2022. Following a 25 bps hike in March, policymakers lifted rates 50 bps in May, 75 bps in June, July, September and November, and 50 bps in December. With the Fed on an aggressive tightening path and economic growth outlooks fading, recession fears set in, which contributed to the decline in inflation breakeven rates.

Adding to the prevailing market challenges, Russia invaded Ukraine in late February 2022, triggering ongoing global market unrest and energy sector instability. Furthermore, following back-to-back quarterly declines in Gross Domestic Product (GDP), the U.S. economy entered a technical recession in the first half of 2022. Nevertheless, a still-strong labor market prevented the National Bureau of Economic Research from calling an official recession. GDP improved in the third quarter, advancing 3.2% (annualized).

Against this backdrop, yields soared, and most fixed income sectors delivered losses for the twelve-month period. The ten-year TIPS yield climbed from (1.04%) on December 31, 2021, to 1.58% a year later. The ten-year Treasury yield climbed 237 bps to 3.88%, while the two-year Treasury yield jumped 369 bps to 4.42%, leaving the nominal yield curve inverted. While bond losses were widespread, TIPS fared better than nominal Treasuries, corporate bonds and the Bloomberg<sup>®</sup> U.S. Aggregate Bond Index.

PORTFOLIO RESULTS

The Portfolio returned (12.96%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Bloomberg<sup>®</sup> U.S. TIPS Index (the "Index"), returned (11.85%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2022 of the Inflation Protected Bonds Funds peer group was (12.30%).

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**Inflation Protection Portfolio (unaudited)** 

------

The Portfolio was fully invested in TIPS as allowed by IRC portfolio diversification regulations for insurance products (a maximum of 55%). The remainder of the Portfolio was invested mainly in securitized and investment grade corporate securities, which accounted for the underperformance relative to the Index. These credit-sensitive securities generally underperformed the all-TIPS Index.

To maximize inflation exposure while adhering to the IRC's TIPS limit, the Portfolio used inflation swaps to create an inflation overlay for the corporate and securitized securities. This strategy boosted the Portfolio's exposure to inflation and contributed positively to performance for the year.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of American Century, the Portfolio's sub-adviser.

We believe the annual inflation rate has probably peaked for the current economic cycle. We expect inflationary pressures to continue receding for goods but remain persistent for services, particularly shelter and rent. We believe core CPI ultimately will reset at a higher level than current market expectations, underscoring the continued importance of inflation-linked bonds.

Amid continuing macroeconomic uncertainty, we believe market volatility will remain heightened in the months ahead. Lingering geopolitical tensions will also further aggravate the investment backdrop. Accordingly, we remain cautious in our positioning, with a preference for higher quality securitized and corporate securities.

**Relative Performance**![LOGO](g422955dsp1577.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Inflation Protection Portfolio | -12.96% | 1.54% | 0.79% |
|  Bloomberg<sup>®</sup> U.S. Treasury Inflation Protected Securities (TIPS) Index | -11.85% | 2.11% | 1.12% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Inflation Protected Bonds Funds Average | -12.30% | 1.45% | 0.74% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the* 

*most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Return of principal is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund's existing bonds drops, which could negatively affect overall fund performance.*

*The Portfolio may use derivative instruments for hedging purposes or as alternatives to direct investments. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.*

*The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio's fixed income investments.*

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**Inflation Protection Portfolio (unaudited)** 

------

*Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio's performance.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; US Treasury Inflation Index Bond, Various | 52.5% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp., 6.25%, 7/15/32 | 4.1% |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association, 6.625%, 11/15/30 | 3.8% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Bank, 0.00%, 1/3/23 | 3.1% |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR2, Class C, 1.997%, 4/19/38 | 1.0% |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Various | 0.8% |
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Various | 0.8% |
| &nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Various | 0.8% |
| &nbsp;&nbsp;&nbsp; AT&T, Inc., Various | 0.8% |
| &nbsp;&nbsp;&nbsp; FNB Corp., 2.2%, 2/24/23 | 0.6% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Governments | 60.7% |
| &nbsp;&nbsp;&nbsp; Structured Products | 17.6% |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | 15.7% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 5.8% |
| &nbsp;&nbsp;&nbsp; Municipal Bonds | 0.2% |

---

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio's stated parameters, no more than 20% of the Portfolio is invested in foreign securities.

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**Inflation Protection Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (15.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Communications (2.0%)** |  |  |
|  Amazon.com, Inc.<br>4.600%, 12/1/25 | 2170000 | 2165 |
|  AT&T, Inc.<br>0.900%, 3/25/24 | 1459000 | 1386 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.350%, 3/1/29 | 1471000 | 1399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.900%, 8/15/37 | 477000 | 438 |
|  Paramount Global<br>4.950%, 1/15/31 | 235000 | 209 |
|  Sky, Ltd.<br>3.750%, 9/16/24 144A | 2045000 | 1996 |
|  Verizon Communications, Inc.<br>4.329%, 9/21/28 | 1081000 | 1039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **8632** |
|  **Consumer, Cyclical (1.7%)** |  |  |
|  British Airways Pass-Through Trust, Series 2020-1, Class A<br>2.900%, 9/15/36 144A | 98402 | 80 |
|  The Home Depot, Inc.<br>2.700%, 4/15/25 | 552000 | 529 |
|  Honda Motor Co., Ltd.<br>2.271%, 3/10/25 | 1550000 | 1467 |
|  Lennar Corp.<br>4.750%, 5/30/25 | 870000 | 864 |
|  Lowe's Companies, Inc.<br>3.350%, 4/1/27 | 897000 | 842 |
|  Magallanes, Inc.<br>3.755%, 3/15/27 144A | 314000 | 283 |
|  O'Reilly Automotive, Inc.<br>4.700%, 6/15/32 | 860000 | 831 |
|  Toyota Motor Credit Corp.<br>2.500%, 3/22/24 | 2218000 | 2151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **7047** |
|  **Consumer, Non-cyclical (1.6%)** |  |  |
|  AbbVie, Inc.<br>2.950%, 11/21/26 | 800000 | 744 |
|  Block Financial LLC<br>3.875%, 8/15/30 | 530000 | 464 |
|  Colgate-Palmolive Co.<br>3.100%, 8/15/27 | 1257000 | 1188 |
|  Roche Holdings, Inc.<br>2.314%, 3/10/27 144A | 1270000 | 1157 |
|  Thermo Fisher Scientific, Inc.<br>1.215%, 10/18/24 | 2570000 | 2412 |
|  Zoetis, Inc.<br>2.000%, 5/15/30 | 980000 | 795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **6760** |
|  **Energy (0.7%)** |  |  |
|  Exxon Mobil Corp.<br>2.709%, 3/6/25 | 2560000 | 2448 |
|  Petroleos Mexicanos<br>3.500%, 1/30/23 | 130000 | 129 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (15.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Energy continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.700%, 2/16/32 | 243000 | 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **2768** |
|  **Financial (7.3%)** |  |  |
|  AerCap Ireland Capital DAC / AerCap Global Aviation Trust<br>1.150%, 10/29/23 | 658000 | 633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.650%, 10/29/24 | 150000 | 138 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 7/15/25 | 706000 | 715 |
|  American Tower Corp.<br>3.650%, 3/15/27 | 272000 | 254 |
|  Athene Global Funding<br>1.985%, 8/19/28 144A | 199000 | 160 |
|  Banco Santander SA<br>3.496%, 3/24/25 | 1600000 | 1541 |
|  Bank of America Corp.<br>2.884%, (ICE LIBOR USD 3 Month plus 1.190%), 10/22/30 | 512000 | 428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28 | 939000 | 850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.458%, (ICE LIBOR USD 3 Month plus 0.970%), 3/15/25 | 2210000 | 2151 |
|  Bank of Ireland Group PLC<br>2.029%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.100%), 9/30/27 144A | 177000 | 149 |
|  The Bank of Nova Scotia<br>5.250%, 12/6/24 | 1730000 | 1733 |
|  BNP Paribas SA<br>2.819%, (ICE LIBOR USD 3 Month plus 1.111%), 11/19/25 144A | 1535000 | 1454 |
|  BOC Aviation USA Corp.<br>1.625%, 4/29/24 144A | 696000 | 661 |
|  Broadstone Net Lease LLC<br>2.600%, 9/15/31 | 182000 | 136 |
|  Citigroup, Inc.<br>3.520%, (ICE LIBOR USD 3 Month plus 1.151%), 10/27/28 | 289000 | 264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.044%, (ICE LIBOR USD 3 Month plus 1.023%), 6/1/24 | 1740000 | 1728 |
|  Discover Bank<br>4.682%, (USD 5 Year Swap Rate plus 1.730%), 8/9/28 | 1705000 | 1636 |
|  DNB Bank ASA<br>2.968%, (US SOFR Index plus 0.810%), 3/28/25 144A | 1010000 | 974 |
|  FS KKR Capital Corp.<br>4.250%, 2/14/25 144A | 128000 | 120 |
|  The Goldman Sachs Group, Inc.<br>1.757%, (US SOFR plus 0.730%), 1/24/25 | 1139000 | 1090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.948%, (US SOFR plus 0.913%), 10/21/27 | 356000 | 311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.640%, (US SOFR plus 1.114%), 2/24/28 | 355000 | 316 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.814%, (ICE LIBOR USD 3 Month plus 1.158%), 4/23/29 | 119000 | 109 |
|  Golub Capital BDC, Inc.<br>2.500%, 8/24/26 | 181000 | 154 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Inflation Protection Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (15.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
|  HSBC Holdings PLC<br>0.732%, (US SOFR plus 0.534%), 8/17/24 | 670000 | 646 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.162%, (US SOFR plus 0.580%), 11/22/24 | 1253000 | 1194 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.804%, (US SOFR plus 1.187%), 5/24/32 | 280000 | 217 |
|  JPMorgan Chase & Co.<br>1.578%, (US SOFR plus 0.885%), 4/22/27 | 330000 | 290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.069%, (US SOFR plus 1.015%), 6/1/29 | 1094000 | 914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.522%, (US SOFR plus 2.040%), 4/22/31 | 683000 | 559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.947%, (US SOFR plus 1.170%), 2/24/28 | 271000 | 245 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.546%, (US SOFR plus 1.070%), 12/15/25 | 1500000 | 1500 |
|  Lloyds Banking Group PLC<br>4.716%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.750%), 8/11/26 | 710000 | 695 |
|  Morgan Stanley<br>0.529%, (US SOFR plus 0.455%), 1/25/24 | 1288000 | 1279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.790%, (US SOFR plus 0.525%), 5/30/25 | 490000 | 456 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.484%, (US SOFR plus 1.360%), 9/16/36 | 177000 | 128 |
|  National Australia Bank, Ltd.<br>2.332%, 8/21/30 144A | 332000 | 253 |
|  Nationwide Building Society<br>1.000%, 8/28/25 144A | 1535000 | 1369 |
|  Royal Bank of Canada<br>4.240%, 8/3/27 | 905000 | 882 |
|  Sammons Financial Group, Inc.<br>4.750%, 4/8/32 144A | 203000 | 170 |
|  SBL Holdings, LLC<br>5.125%, 11/13/26 144A | 93000 | 82 |
|  Swedbank AB<br>3.356%, 4/4/25 144A | 1160000 | 1114 |
|  UBS Group AG<br>1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A | 901000 | 775 |
|  Wells Fargo & Co.<br>3.350%, (US SOFR plus 1.500%), 3/2/33 | 307000 | 259 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.540%, (US SOFR plus 1.560%), 8/15/26 | 280000 | 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **31006** |
|  **Industrial (1.1%)** |  |  |
|  Canadian National Railway Co.<br>3.850%, 8/5/32 | 1360000 | 1263 |
|  Caterpillar Financial Services Corp.<br>3.650%, 8/12/25 | 1970000 | 1922 |
|  DAE Funding LLC<br>1.550%, 8/1/24 144A | 116000 | 108 |
|  Raytheon Technologies Corp.<br>4.125%, 11/16/28 | 1240000 | 1187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **4480** |
|  **Technology (0.1%)** |  |  |
|  Fidelity National Information Services, Inc.<br>1.150%, 3/1/26 | 495000 | 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **434** |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (15.7%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Utilities (1.2%)** |  |  |
|  Ameren Corp.<br>1.950%, 3/15/27 | 1470000 | 1293 |
|  Ameren Illinois Co.<br>3.850%, 9/1/32 | 238000 | 221 |
|  Dominion Energy, Inc.<br>1.450%, 4/15/26 | 1200000 | 1068 |
|  Duke Energy Florida LLC<br>1.750%, 6/15/30 | 400000 | 318 |
|  Duke Energy Progress LLC<br>2.000%, 8/15/31 | 780000 | 617 |
|  Essential Utilities, Inc.<br>2.704%, 4/15/30 | 370000 | 311 |
|  NextEra Energy Capital Holdings, Inc.<br>5.000%, 7/15/32 | 980000 | 961 |
|  Sempra Energy<br>3.300%, 4/1/25 | 507000 | 486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **5275** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $69,821)** |  | **66402** |
| Governments (60.7%) |  |  |
|  **Governments (60.7%)** |  |  |
|  Federal Home Loan Mortgage Corp.<br>6.250%, 7/15/32 | 14850000 | 17320 |
|  Federal National Mortgage Association<br>6.625%, 11/15/30 | 13650000 | 16007 |
|  Tennessee Valley Authority<br>4.700%, 7/15/33 | 1658000 | 1666 |
|  US Treasury Inflation Index Bond<br>0.125%, 1/15/30 | 23278815 | 20909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 7/15/30 | 15863757 | 14203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 1/15/31 | 14880580 | 13215 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 7/15/31 | 6114625 | 5403 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 1/15/32 | 12361695 | 10827 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 2/15/51 | 8869875 | 5706 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 2/15/52 | 107040 | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 4/15/26 | 4431258 | 4166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 7/15/26 | 5656105 | 5330 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 10/15/26 | 10904500 | 10221 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 2/15/50 | 6397680 | 4309 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 7/15/29 | 663993 | 608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 1/15/27 | 12828816 | 12097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 7/15/27 | 10049408 | 9471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.500%, 1/15/28 | 9060000 | 8519 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 7/15/32 | 9383783 | 8595 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 2/15/43 | 8618666 | 6948 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 1/15/26 | 13982546 | 13422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.750%, 2/15/42 | 10279267 | 8598 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.750%, 2/15/45 | 18499856 | 14948 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.750%, 7/15/28 | 1780605 | 1696 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 2/15/47 | 3950048 | 3235 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 1/15/29 | 10620720 | 10118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/46 | 3709832 | 3148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/48 | 1389591 | 1168 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 2/15/49 | 2899983 | 2421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 2/15/44 | 9819110 | 9112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 1/15/28 | 1557451 | 1556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 1/15/26 | 3678185 | 3674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 2/15/41 | 3498257 | 3703 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Inflation Protection Portfolio** 

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| | | |
|:---|:---|:---|
| Governments (60.7%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Governments continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 1/15/27 | 849603 | 867 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 1/15/29 | 992320 | 1035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 4/15/28 | 2763450 | 3012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **257302** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Governments** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $299,674)** |  | **257302** |
| Municipal Bonds (0.2%) |  |  |
|  **Municipal Bonds (0.2%)** |  |  |
|  Golden State Tobacco Securitization Corp.<br>2.746%, 6/1/34 RB | 740000 | 594 |
|  Santa Clara Valley Transportation Authority<br>5.876%, 4/1/32 RB | 50000 | 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Municipal Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $802)** |  | **646** |
| Structured Products (17.6%) |  |  |
|  **Asset Backed Securities (8.3%)** |  |  |
|  Aligned Data Centers Issuer LLC, Series 2021-1A, Class B 2.482%, 8/15/46 144A | 2350000 | 1921 |
|  Ares XXXIX CLO, Ltd., Series 2016-39A, Class BR2 5.794%, (ICE LIBOR USD 3 Month plus 1.600%), 4/18/31 144A | 2000000 | 1914 |
|  Bean Creek CLO, Ltd., Series 2018-1A, Class AR 5.263%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A | 1500000 | 1470 |
|  Blackbird Capital Aircraft, Series 2021-1A, Class A 2.443%, 7/15/46 144A | 851758 | 699 |
|  BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A 2.940%, 5/25/29 144A | 112695 | 109 |
|  Cologix Canadian Issuer LP, Series 2022-1CAN, Class A2 4.940%, 1/25/52 144A CAD ∞ | 1950000 | 1314 |
|  Dryden Senior Loan Fund, Series 2016-43A, Class B2R2 3.093%, 4/20/34 144A | 2000000 | 1603 |
|  FirstKey Homes Trust, Series 2020-SFR2, Class D 1.968%, 10/19/37 144A | 1000000 | 876 |
|  Global SC Finance SRL, Series 2021-1A, Class A 1.860%, 4/17/41 144A | 1367466 | 1177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.170%, 10/17/40 144A | 881404 | 781 |
|  Global SC Finance SRL, Series 2021-2A, Class A 1.950%, 8/17/41 144A | 706230 | 612 |
|  Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR 5.363%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A | 1125000 | 1111 |
|  Goodgreen Trust, Series 2020-1A, Class A 2.630%, 4/15/55 144A | 627019 | 516 |
|  Goodgreen Trust, Series 2021-1A, Class A 2.660%, 10/20/56 144A | 439788 | 357 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (17.6%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Greenwood Park CLO, Ltd., Series 2018-1A, Class A1 5.109%, (ICE LIBOR USD 3 Month plus 1.030%), 4/15/31 144A | 1500000 | 1463 |
|  Hilton Grand Vacations Trust, Series 2017-AA, Class A 2.660%, 12/26/28 144A | 362067 | 356 |
|  Hilton Grand Vacations Trust, Series 2019-AA, Class B 2.540%, 7/25/33 144A | 638787 | 595 |
|  J.G. Wentworth XLI LLC, Series 2018-1A, Class B 4.700%, 10/15/74 144A | 385766 | 321 |
|  KKR Financial CLO, Ltd., Series 2018-22A, Class A 5.393%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A | 1500000 | 1468 |
|  KKR Financial CLO, Ltd., Series 2022-1A, Class B 5.077%, (US SOFR 3 Month plus 2.600%), 7/20/31 144A | 1400000 | 1381 |
|  Magnetite CLO, Ltd., Series 2021-29A, Class B 5.479%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A | 1650000 | 1568 |
|  Mosaic Solar Loans LLC, Series 2021-1, Class A 1.510%, 12/20/46 144A | 1110607 | 873 |
|  Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2 5.209%, (ICE LIBOR USD 3 Month plus 1.130%), 1/17/31 144A | 1750000 | 1727 |
|  Progress Residential Trust, Series 2021-SFR1, Class D 1.805%, 4/17/38 144A | 1000000 | 847 |
|  Progress Residential Trust, Series 2021-SFR2, Class C 1.997%, 4/19/38 144A | 5050000 | 4337 |
|  Progress Residential Trust, Series 2021-SFR8, Class E1 2.382%, 10/17/38 144A | 550000 | 452 |
|  Rockford Tower CLO, Ltd., Series 2020-1A, Class B 6.043%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A | 1350000 | 1299 |
|  ServiceMaster Brands, Series 2020-1, Class A2I 2.841%, 1/30/51 144A | 1228125 | 984 |
|  Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B 2.750%, 7/15/38 144A | 794831 | 749 |
|  Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B 1.340%, 11/20/37 144A | 1454754 | 1331 |
|  Wellfleet CLO, Ltd., Series 2022-1A, Class B2 4.775%, 4/15/34 144A | 1250000 | 1093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **35304** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**157** 

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##### [**Table of Contents**](#toc)
**Inflation Protection Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (17.6%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities (9.3%)** |  |  |
|  Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A | 175712 | 156 |
|  Agate Bay Mortgage Trust, Series 2016-1, Class A3 3.500%, (AFC), 12/25/45 144A | 98037 | 89 |
|  Angel Oak Mortgage Trust, Series 2019-4, Class A 3.301%, (AFC), 7/26/49 144A | 17960 | 18 |
|  Angel Oak Mortgage Trust, Series 2019-6, Class A3 2.927%, (AFC), 11/25/59 144A | 238620 | 226 |
|  Arroyo Mortgage Trust, Series 2021-1R, Class A2 1.483%, (CSTR, AFC), 10/25/48 144A | 353823 | 281 |
|  Arroyo Mortgage Trust, Series 2021-1R, Class A3 1.637%, (CSTR, AFC), 10/25/48 144A | 272172 | 217 |
|  BDS, Ltd., Series 2020-FL6, Class C 6.173%, (US 30 Day Average SOFR plus 2.365%), 9/15/35 144A | 752651 | 749 |
|  Bellemeade Re, Ltd., Series 2019-3A, Class M1C 6.339%, (ICE LIBOR USD 1 Month plus 1.950%), 7/25/29 144A | 1900000 | 1883 |
|  Bellemeade Re, Ltd., Series 2021-2A, Class M1C 5.778%, (US 30 Day Average SOFR plus 1.850%), 6/25/31 144A | 2108000 | 1928 |
|  Bellemeade Re, Ltd., Series 2021-3A, Class M1A 4.928%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A | 1265268 | 1249 |
|  BX Commercial Mortgage Trust, Series 2021- VOLT, Class E 6.318%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/36 144A | 1200000 | 1116 |
|  BX Commercial Mortgage Trust, Series 2021- VOLT, Class F 6.718%, (ICE LIBOR USD 1 Month plus 2.400%), 9/15/36 144A | 1400000 | 1288 |
|  BX Trust, Series 2020-VIVA, Class D 3.549%, (CSTR), 3/11/44 144A | 1418962 | 1063 |
|  BXMT, Ltd., Series 2020-FL2, Class B 5.840%, (US 30 Day Average SOFR plus 1.515%), 2/15/38 144A | 1600000 | 1535 |
|  Chase Mortgage Finance Corp., Series 2021- CL1, Class M1 5.128%, (US 30 Day Average SOFR plus 1.200%), 2/25/50 144A | 370668 | 336 |
|  CHNGE Mortgage Trust, Series 2022-3, ClassA1 5.000%, (AFC), 5/25/67 144A | 593934 | 579 |
|  Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1 6.028%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A | 641206 | 637 |
|  Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10 3.500%, (AFC), 12/25/44 144A | 52266 | 47 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (17.6%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities continued** |  |  |
|  Credit Suisse Mortgage Trust, Series 2019- ICE4, Class B 5.548%, (ICE LIBOR USD 1 Month plus 1.230%), 5/15/36 144A | 875000 | 859 |
|  Credit Suisse Mortgage Trust, Series 2019-ICE4, Class D 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A | 2155000 | 2110 |
|  Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3 1.538%, (AFC), 2/25/66 144A | 300243 | 239 |
|  Deephaven Residential Mortgage Trust, Series 2020-2, Class A3 2.856%, 5/25/65 144A | 1474000 | 1413 |
|  Deephaven Residential Mortgage Trust, Series 2021-3, Class A3 1.554%, (AFC), 8/25/66 144A | 955029 | 765 |
|  Extended Stay America Trust, Series 2021- ESH, Class E 7.168%, (ICE LIBOR USD 1 Month plus 2.850%), 7/15/38 144A | 1679051 | 1599 |
|  FARM Mortgage Trust, Series 2021-1, Class A 2.180%, (CSTR), 1/25/51 144A | 2121218 | 1722 |
|  Federal National Mortgage Association, Series 2018-C03, Class 1EB2 6.989%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24 | 251949 | 252 |
|  Imperial Fund Mortgage Trust, Series 2021- NQM1, Class A3 1.617%, (AFC), 6/25/56 144A | 368702 | 292 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A 4.128%, 7/5/31 144A | 2020000 | 1892 |
|  JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.787%, (AFC), 10/25/29 144A | 329341 | 307 |
|  JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A | 606313 | 538 |
|  JP Morgan Mortgage Trust, Series 2017-1, Class A2 3.449%, (AFC), 1/25/47 144A | 301263 | 260 |
|  New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2 2.891%, (AFC), 5/24/60 144A | 1383000 | 1195 |
|  Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A | 1045060 | 909 |
|  Sequoia Mortgage Trust, Series 2019-4, Class A7 3.500%, (AFC), 11/25/49 144A | 2303806 | 2008 |
|  SG Residential Mortgage Trust, Series 2021-1, Class A3 1.560%, (AFC), 7/25/61 144A | 815380 | 651 |
|  Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A 6.617%, (US SOFR 1 Month plus 2.296%), 6/19/37 144A | 1272000 | 1260 |
|  Starwood Mortgage Residential Trust, Series 2020-2, Class B1E 3.000%, (AFC), 4/25/60 144A | 2503000 | 2196 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**158** 

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##### [**Table of Contents**](#toc)
**Inflation Protection Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (17.6%) | Shares/ Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities continued** |  |  |
|  Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A | 902172 | 815 |
|  Verus Securitization Trust, Series 2020-1, Class A3 2.724%, (AFC), 1/25/60 144A S | 896194 | 841 |
|  Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A | 779638 | 623 |
|  Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A | 947437 | 718 |
|  Verus Securitization Trust, Series 2022-3, Class A3 4.130%, (CSTR, AFC), 2/25/67 144A | 2248520 | 2004 |
|  Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A | 369561 | 308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **39173** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Structured Products** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $83,006)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $83,006)** | **74477** |
| Short-Term Investments (3.9%) |  |  |
|  **Financial (0.9%)** |  |  |
|  FNB Corp.<br>2.200%, 2/24/23 | 2505000 | 2492 |
|  HSBC Holdings PLC<br>3.600%, 5/25/23 | 1280000 | 1272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **3764** |
|  **Governments (3.0%)** |  |  |
|  Federal Home Loan Bank<br>0.000%, 1/3/23 | 12902000 | 12902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **12902** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $16,675)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $16,675)** | **16666** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.1%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.1%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $469,978)@** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $469,978)@** | **415493** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (1.9%)** |  | **8055** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **423548** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**159** 

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##### [**Table of Contents**](#toc)
**Inflation Protection Portfolio** 

**Exchange Traded or Centrally Cleared Derivatives** 

**Total Return Swaps - Receive Floating Rate** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Floating Rate Index | Fixed<br> Rate | Expiration<br> Date | Notional<br> Amount<br> (000's) | Currency | Upfront<br> Premium Paid/<br> (Received)<br> (000's) | Unrealized<br> Appreciation/<br> (Depreciation)<br> (000's) | Market<br> Value<br> (000's) | Variation<br> Margin(000's) |
|  CPURNSA | 1.777% | 6/24 | 11000 | USD | $- | $1265 | $1265 | $20 |
|  CPURNSA | 1.715% | 6/24 | 7400 | USD |  | 866 | 866 | 13 |
|  CPURNSA | 1.860% | 7/24 | 7500 | USD |  | 819 | 819 | 8 |
|  CPURNSA | 1.858% | 8/24 | 12700 | USD |  | 1388 | 1388 | 13 |
|  CPURNSA | 2.073% | 8/27 | 3500 | USD |  | 420 | 420 | 1 |
|  CPURNSA | 2.145% | 11/27 | 5000 | USD |  | 550 | 550 |  |
|  CPURNSA | 1.800% | 10/29 | 3700 | USD |  | 533 | 533 | (1) |
|  CPURNSA | 1.884% | 11/29 | 2000 | USD |  | 275 | 275 |  |
|  CPURNSA | 2.900% | 10/23 | 9350 | USD |  | (8) | (8) | 3 |
|  CPURNSA | 2.695% | 8/26 | 10000 | USD |  | 554 | 554 |  |
|  CPURNSA | 2.498% | 9/31 | 7000 | USD | 1 | 444 | 445 | (3) |
|  CPURNSA | 2.210% | 1/24 | 8000 | USD |  | 792 | 792 | (4) |
|  CPURNSA | 2.273% | 1/24 | 10000 | USD |  | 974 | 974 | (6) |
|  CPURNSA | 2.243% | 1/26 | 6000 | USD |  | 609 | 609 |  |
|  CPURNSA | 1.078% | 6/25 | 3000 | USD |  | 470 | 470 | 3 |
|  CPURNSA | 1.291% | 5/30 | 2000 | USD |  | 386 | 386 | 1 |
|  CPURNSA | 1.629% | 6/30 | 2000 | USD |  | 349 | 349 |  |
|  |  |  |  |  | $1 | $10686 | $10687 | $48 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative<br> Liabilities | Financial Derivative<br> Liabilities | Financial Derivative<br> Liabilities | |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | |
|  | Swaps | Futures | Total | Swaps | Futures | Total |<br>Market Value<br>(000's)<br>Options |
|  Total Exchange-Traded or<br> Centrally Cleared Derivatives | $62 | $- | $62 | $(14) | $- | $(14) | $- |

---

**Over the Counter Derivatives** 

**Forward Foreign Currency Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Type | Counterparty | Foreign Principal<br>Amount<br> Covered by<br> Contract (000s) | USD Principal<br> Amount<br> Covered by<br> Contract (000's) | Settlement<br> Date | Unrealized<br> Appreciation<br> (000's) | Unrealized<br> (Depreciation)<br> (000's) | Net<br> Unrealized<br> Appreciation/<br> (Depreciation)<br>(000's) |
|  Sell | Morgan Stanley Capital Services, Inc. CAD | 1771 | 1309 | 3/15/2023 | $– $| (6) | $(6) |
|  |  |  |  |  | $– $| (6) | $(6) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**160** 

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##### [**Table of Contents**](#toc)
**Inflation Protection Portfolio** 

**Total Return Swaps** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Counterparty | Payment made<br> by the Fund | Expiration<br> Date | Notional<br> Amount<br> (000's) | Unrealized<br> Appreciation/<br> (Depreciation)<br> (000's) | Market<br> Value<br> (000's) |
|  CPURNSA | Bank of America NA | 2.763% | 3/23 | 700 | $(14) | $(14) |
|  CPURNSA | Bank of America NA | 2.528% | 8/24 | 2750 | 61 | 61 |
|  CPURNSA | Bank of America NA | 2.140% | 7/25 | 2900 | 280 | 280 |
|  CPURNSA | Bank of America NA | 1.790% | 8/25 | 1500 | 194 | 194 |
|  CPURNSA | Bank of America NA | 2.240% | 4/27 | 3500 | 332 | 332 |
|  CPURNSA | Bank of America NA | 2.218% | 4/27 | 2000 | 194 | 194 |
|  CPURNSA | Bank of America NA | 2.235% | 4/27 | 2000 | 191 | 191 |
|  CPURNSA | Bank of America NA | 2.235% | 5/27 | 5000 | 480 | 480 |
|  CPURNSA | Barclays Bank PLC | 2.589% | 7/24 | 1400 | 21 | 21 |
|  CPURNSA | Barclays Bank PLC | 2.385% | 9/24 | 4000 | 159 | 159 |
|  CPURNSA | Barclays Bank PLC | 2.363% | 9/24 | 3500 | 150 | 150 |
|  CPURNSA | Barclays Bank PLC | 2.310% | 9/24 | 1400 | 68 | 68 |
|  CPURNSA | Barclays Bank PLC | 2.895% | 12/27 | 1700 | (216) | (216) |
|  CPURNSA | Barclays Bank PLC | 2.784% | 7/44 | 1400 | (113) | (113) |
|  CPURNSA | Goldman Sachs International | 1.870% | 5/26 | 8500 | 1186 | 1186 |
|  CPURNSA | Goldman Sachs International | 1.920% | 5/26 | 7000 | 941 | 941 |
|  CPURNSA | Goldman Sachs International | 1.770% | 6/26 | 6000 | 894 | 894 |
|  CPURNSA | Goldman Sachs International | 2.245% | 11/26 | 3000 | 295 | 295 |
|  CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 3000 | 284 | 284 |
|  CPURNSA | Goldman Sachs International | 2.280% | 11/26 | 4000 | 378 | 378 |
|  |  |  |  |  | $5765 | $5765 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) |
|  | Forward<br>Foreign<br>Currency<br>Contracts | Swaps | Total | Forward<br>Foreign<br>Currency<br>Contracts | Options | Swaps | Total |
|  Total Over the Counter Derivatives |  | $6108 | $6108 | $(6) |  | $(343) | $(349) |

---

+ 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 December 31, 2022 the value of these securities (in thousands) was $85,130 representing 20.1% of the net assets.  |

---

∞ Foreign Bond — par value is foreign denominated.

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

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $469,951 and the net unrealized depreciation of investments based on that cost was $38,012 which is comprised of $16,863 aggregate gross unrealized appreciation and $54,875 aggregate gross unrealized depreciation.  |

---

---

| | |
|:---|:---|
| π | Amount is less than one thousand.  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**161** 

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##### [**Table of Contents**](#toc)
**Inflation Protection Portfolio** 

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
| | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| <br>**Description** | **Level 1–**<br> **Quoted Prices** | **Level 2–**<br> **Other Significant**<br> **Observable Inputs** | **Level 3 – Significant<br>Unobservable Inputs** |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | $- | $646 | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 66402 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Governments |  | 257302 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Structured Products |  | 74477 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments |  | 16666 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Return Swaps | - | 16803 | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $- | $432296 | $- |
|  Liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts |  | (6) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Return Swaps | - | (351) | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $- | $(357) | $- |

---

^ 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.

The Accompanying Notes are an Integral Part of the Financial Statements.

**162** 

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##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| High current income and capital appreciation. | Invest in non-investment grade debt securities. | $689 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the High Yield Bond Portfolio (the "Portfolio"), has engaged Federated Investment Management Company ("Federated") to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in non-investment grade debt securities, which are generally securities rated below investment grade by major credit rating agencies, or if unrated, determined to be of comparable quality. The Portfolio may invest up to 30% of net assets in non-investment grade foreign securities. The securities in which the Portfolio primarily invests are considered speculative and are sometimes known as "junk bonds." These securities tend to offer higher yields than higher rated securities of comparable maturities primarily because of the market's greater uncertainty about the issuer's ability to make all required interest and principal payments, and therefore about the returns that will in fact be realized by the Portfolio. The Portfolio invests in securities believed to have attractive investment characteristics and seeks to minimize default risk and other risks through careful security selection and diversification. The Portfolio's security selection process consists of a credit-intensive, fundamental analysis of the issuer. The Portfolio does not limit the investments to securities of a particular maturity range and does not target an average effective maturity or duration.

MARKET OVERVIEW

The major factors influencing markets during the twelve months ended December 31, 2022 were concerns about the economy and inflation. Economic growth started the year slow as the lingering impact of COVID-19, the outbreak of war in Ukraine, supply chain issues and surging prices, especially for energy and food, caused major distortions. Global central banks, including the Federal Reserve, responded to the surge in prices by aggressively raising short term interest rates. However, the second half of the year saw economic growth improve as a robust job market, rising wages, declining pandemic-related concerns and normalizing supply chains provided support. Corporate earnings also proved resilient as companies were able to aggressively raise prices to offset surging input costs and rising wages, while demand was supported by the strong jobs market and from the benefits of the reopening from pandemic closures. Default rates and credit spreads for high yield securities climbed modestly higher. The overall impact of these factors can be illustrated by the change in credit spreads between the Credit Suisse High Yield Bond Index and Treasury securities with similar maturities which began the period at 355 basis points, peaked in early July at 606 basis points before declining to end the period at 499 basis points.

Within the high yield market, major industries that substantially outperformed the benchmark included: Oil Field Services, Aerospace and Defense, Gaming, Independent Energy and Metals & Mining. Major industries that substantially underperformed the benchmark included: Pharmaceuticals, Retail, Wireless Telecommunications, Media & Entertainment and Cable & Satellite. From a quality perspective, the B-rated sector outperformed with a total return of (10.26%) followed by the BB-rated sector at (10.77%). The CCC-rated sector, perhaps reflecting some economic concerns, lagged with a return of (16.29%).

PORTFOLIO RESULTS

The Portfolio returned (11.33%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Bloomberg<sup>®</sup> U.S. Corporate High Yield 2% Issuer Capped Index (the "Index"), returned (11.18%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund rating agency, the average return in 2022 of the High Yield Funds peer group was (9.47)%.

Several factors impacted the Portfolio's performance. Detractors from the Portfolio's return included security selection in the Technology sector and in the Pharmaceutical, Media & Entertainment and Chemical industries. An overweight to the underperforming Pharmaceutical, Media & Entertainment and Cable & Satellite industries and an underweight to the strong performing Refining industry also detracted. Specific high yield issuers held by the Portfolio that detracted from relative performance included: Audacy Capital Corp., CSC Holdings LLC, Mallinckrodt PLC, Rackspace Technology Global, Inc. and Bausch Health Cos., Inc.

On the upside, the Portfolio's underweight to the poor performing Retail, Wireline and Wireless industries and its overweight to the strong performing Property and Casualty Insurance, Oil Field Services and Packaging industries. The Portfolio also benefitted from strong security selection in the Property and Casualty Insurance, Independent Energy and

**163** 

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##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio (unaudited)** 

------

Retail sectors. The Portfolio's cash position also contributed to performance. Specific high yield issuers held by the Portfolio that contributed to relative performance included: Hub International, Ltd., Clarios Global LP, USIS Merger Sub, Inc., Assured Partners, Inc. and Flex Acquisition Co., Inc. The Portfolio also benefitted from its equity position in Superior Energy Services, Inc., which it acquired in a debt restructuring.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Federated, the Portfolio's sub-adviser.

While the U.S. economy has proven quite resilient in the face of substantial global central bank tightening and inflationary pressures not seen in decades, it is likely that efforts to combat inflation will eventually lead to weaker economic growth. Also, higher prices will likely lead to demand destruction. These factors will pressure corporate profit margins and earnings. At the same time, higher interest rates will consume a greater share of earnings resulting in declining free cash flow for high yield issuers. This may lead to rising default rates and wider credit spreads. However, it must be acknowledged that, to date, the strong jobs market has lessened the impact of rising rates and inflationary price increases on the overall demand environment supporting corporate earnings. Perhaps this will lead to default rates and credit spreads peaking this cycle at lower levels than in previous cycles.

**Relative Performance**![LOGO](g422955v01g168.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  High Yield Bond Portfolio | -11.33% | 2.18% | 3.72% |
|  Bloomberg® U.S. Corporate High Yield 2% Issuer Capped Index | -11.18% | 2.30% | 4.03% |
|  Lipper® Variable Insurance Products (VIP) High Yield Funds Average | -9.47% | 1.91% | 3.39% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses,* 

 *and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund's existing bonds drops, which could negatively affect overall fund performance.* 

*Investing in bonds issued by foreign corporations carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio's performance.* 

*The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio's fixed income investments.* 

&nbsp;&nbsp;&nbsp;&nbsp;**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Various | 2.4% |
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC / CCO Holdings Capital Corp., Various | 2.1% |
| &nbsp;&nbsp;&nbsp; HUB International, Ltd., Various | 1.7% |
| &nbsp;&nbsp;&nbsp; CSC Holdings LLC, Various | 1.7% |
| &nbsp;&nbsp;&nbsp; TransDigm, Inc., Various | 1.4% |
| &nbsp;&nbsp;&nbsp; Tenet Healthcare Corp., Various | 1.1% |
| &nbsp;&nbsp;&nbsp; Antero Midstream Partners LP / Antero Midstream Finance Corp., Various | 1.1% |
| &nbsp;&nbsp;&nbsp; Clarios Global LP / Clarios US Finance Co., Various | 1.1% |
| &nbsp;&nbsp;&nbsp; EQM Midstream Partners LP, Various | 1.1% |
| &nbsp;&nbsp;&nbsp; Allied Universal Holdco LLC, Various | 1.1% |

---

**164** 

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##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio (unaudited)** 

------

&nbsp;&nbsp;&nbsp;&nbsp;**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Consumer, Cyclical | 16.7% |
| &nbsp;&nbsp;&nbsp; Communications | 16.0% |
| &nbsp;&nbsp;&nbsp; Consumer, Non-Cyclical | 13.9% |
| &nbsp;&nbsp;&nbsp; Energy | 13.8% |
| &nbsp;&nbsp;&nbsp; Industrial | 13.1% |
| &nbsp;&nbsp;&nbsp; Financial | 8.7% |
| &nbsp;&nbsp;&nbsp; Technology | 7.6% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 3.9% |
| &nbsp;&nbsp;&nbsp; Basic Materials | 3.4% |
| &nbsp;&nbsp;&nbsp; Utilities | 2.4% |
| &nbsp;&nbsp;&nbsp; Health Care | 0.3% |
| &nbsp;&nbsp;&nbsp; Diversified | 0.2% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**165** 

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##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (0.4%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communications (0.0%)** |  |  |
|  iHeartMedia, Inc. \* | 22266 | 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **136** |
|  **Consumer, Non-cyclical (0.1%)** |  |  |
|  Mallinckrodt PLC \* | 64634 | 501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **501** |
|  **Energy (0.3%)** |  |  |
|  Superior Energy Services, Inc. \*,Æ | 35182 | 2111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **2111** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks**<br> **(Cost: $2,320)** |  | **2748** |
| Corporate Bonds (95.7%) |  |  |
|  **Basic Materials (3.4%)** |  |  |
|  Ashland LLC 3.375%, 9/1/31 144A | 825000 | 659 |
|  Axalta Coating Systems LLC 3.375%, 2/15/29 144A | 875000 | 722 |
|  Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding 4.750%, 6/15/27 144A | 600000 | 555 |
|  Cheever Escrow Issuer, LLC 7.125%, 10/1/27 144A | 875000 | 833 |
|  Clearwater Paper Corp.<br>4.750%, 8/15/28 144A | 150000 | 132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 2/1/25 144A | 2250000 | 2186 |
|  Cleveland-Cliffs, Inc.<br>4.625%, 3/1/29 144A | 1525000 | 1353 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 3/1/31 144A | 825000 | 728 |
|  Coeur Mining, Inc. 5.125%, 2/15/29 144A | 1675000 | 1307 |
|  Compass Minerals International, Inc.<br>4.875%, 7/15/24 144A | 1400000 | 1346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 12/1/27 144A | 400000 | 384 |
|  Diamond BC BV 4.625%, 10/1/29 144A | 3675000 | 2949 |
|  Element Solutions, Inc. 3.875%, 9/1/28 144A | 1650000 | 1403 |
|  Freeport-McMoRan, Inc. 5.000%, 9/1/27 | 300000 | 294 |
|  H.B. Fuller Co. 4.250%, 10/15/28 | 525000 | 465 |
|  Herens Holdco SARL 4.750%, 5/15/28 144A | 3350000 | 2504 |
|  Illuminate Buyer LLC / Illuminate Holdings IV, Inc.<br>9.000%, 7/1/28 144A | 725000 | 607 |
|  Olympus Water US Holding Corp.<br>4.250%, 10/1/28 144A | 1250000 | 1015 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 10/1/29 144A | 1800000 | 1367 |
|  Polar US Borrower LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 5/15/26 144A | 1925000 | 712 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Basic Materials continued** |  |  |
|  SPCM SA 3.375%, 3/15/30 144A | 425000 | 342 |
|  WR Grace Holdings LLC<br>4.875%, 6/15/27 144A | 675000 | 598 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 8/15/29 144A | 1200000 | 969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **23430** |
|  **Communications (16.0%)** |  |  |
|  Audacy Capital Corp.<br>6.500%, 5/1/27 144A | 2250000 | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 3/31/29 144A | 1650000 | 286 |
|  Cars.com, Inc. 6.375%, 11/1/28 144A | 1900000 | 1687 |
|  CCO Holdings LLC / CCO Holdings Capital Corp.<br>4.250%, 2/1/31 144A | 750000 | 602 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 1/15/34 144A | 1200000 | 886 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 8/15/30 144A | 2175000 | 1797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 5/1/32 | 1050000 | 836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 6/1/33 144A | 1175000 | 901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 3/1/30 144A | 3400000 | 2932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 2/1/32 144A | 450000 | 365 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/1/28 144A | 2000000 | 1816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 5/1/27 144A | 2975000 | 2773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 6/1/29 144A | 1350000 | 1221 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 5/1/26 144A | 275000 | 266 |
|  Ciena Corp. 4.000%, 1/31/30 144A | 325000 | 286 |
|  CSC Holdings LLC<br>3.375%, 2/15/31 144A | 825000 | 538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 12/1/30 144A | 950000 | 671 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 11/15/31 144A | 2750000 | 1908 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/1/30 144A | 1650000 | 912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 6/1/24 | 1425000 | 1327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 4/15/27 144A | 1675000 | 1405 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 1/15/30 144A | 4200000 | 2369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 2/1/29 144A | 1450000 | 1185 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 4/1/28 144A | 1925000 | 1309 |
|  Cumulus Media New Holdings, Inc.<br>6.750%, 7/1/26 144A | 1751000 | 1471 |
|  Diamond Sports Group LLC / Diamond Sports Finance Co.<br>5.375%, 8/15/26 144A | 675000 | 79 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 8/15/27 144A | 1900000 | 14 |
|  DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 5.875%, 8/15/27 144A | 1850000 | 1655 |
|  DISH DBS Corp.<br>5.125%, 6/1/29 | 2950000 | 1903 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 12/1/28 144A | 1100000 | 878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 7/1/28 | 750000 | 531 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.750%, 7/1/26 | 1350000 | 1089 |
|  DISH Network Corp.<br>11.750%, 11/15/27 144A | 1375000 | 1416 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**High Yield Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communications continued** |  |  |
|  Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.250%, 12/1/27 144A | 1625000 | 1538 |
|  Gray Escrow II, Inc. 5.375%, 11/15/31 144A | 1175000 | 847 |
|  Gray Television, Inc.<br>4.750%, 10/15/30 144A | 525000 | 380 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 7/15/26 144A | 2575000 | 2294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 5/15/27 144A | 750000 | 665 |
|  iHeartCommunications, Inc.<br>4.750%, 1/15/28 144A | 425000 | 346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 8/15/27 144A | 1075000 | 911 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 5/1/26 | 375901 | 346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.375%, 5/1/27 | 5078194 | 4319 |
|  Intelsat Jackson Holdings SA - Series B - Contingent Value Rights \*,Æ | 2774 | 19 |
|  Intelsat Jackson Holdings SA Escrow<br>5.500%, 8/1/23 \*,Æ | 1525000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 10/15/24 \*,Æ | 800000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.750%, 7/15/25 \*,Æ | 475000 |  |
|  Lamar Media Corp.<br>3.625%, 1/15/31 | 425000 | 351 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 2/15/30 | 100000 | 87 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 1/15/29 | 675000 | 620 |
|  Match Group, Inc.<br>4.125%, 8/1/30 144A | 2175000 | 1776 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 6/1/28 144A | 1450000 | 1293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 12/15/27 144A | 525000 | 483 |
|  Midas OpCo Holdings LLC 5.625%, 8/15/29 144A | 5200000 | 4288 |
|  Millennium Escrow Corp. 6.625%, 8/1/26 144A | 1425000 | 912 |
|  News Corp. 5.125%, 2/15/32 144A | 175000 | 159 |
|  Nexstar Broadcasting, Inc.<br>4.750%, 11/1/28 144A | 1850000 | 1600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 7/15/27 144A | 3225000 | 2958 |
|  Outfront Media Capital LLC / Outfront Media Capital Corp.<br>4.250%, 1/15/29 144A | 1150000 | 954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 3/15/30 144A | 1100000 | 910 |
|  Scripps Escrow II, Inc.<br>3.875%, 1/15/29 144A | 350000 | 281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 1/15/31 144A | 750000 | 601 |
|  Scripps Escrow, Inc. 5.875%, 7/15/27 144A | 1425000 | 1272 |
|  Sinclair Television Group, Inc.<br>4.125%, 12/1/30 144A | 150000 | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 2/15/27 144A | 3975000 | 3242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 3/1/30 144A | 1175000 | 822 |
|  Sirius XM Radio, Inc.<br>3.125%, 9/1/26 144A | 1075000 | 954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 9/1/31 144A | 3025000 | 2360 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 7/15/28 144A | 725000 | 631 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 7/1/30 144A | 1775000 | 1465 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 7/1/29 144A | 925000 | 844 |
|  Sprint Corp. 7.625%, 2/15/25 | 700000 | 723 |
|  TEGNA, Inc.<br>4.625%, 3/15/28 | 600000 | 570 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Communications continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 9/15/29 | 3375000 | 3202 |
|  Telenet Finance Luxembourg Notes SARL 5.500%, 3/1/28 144A | 4400000 | 3960 |
|  Terrier Media Buyer, Inc. 8.875%, 12/15/27 144A | 5025000 | 3782 |
|  T-Mobile USA, Inc.<br>2.250%, 2/15/26 | 1500000 | 1364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 2/15/31 | 450000 | 372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 4/15/29 | 525000 | 462 |
|  Univision Communications, Inc.<br>4.500%, 5/1/29 144A | 1400000 | 1171 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 6/30/30 144A | 775000 | 741 |
|  UPC Broadband Finco BV 4.875%, 7/15/31 144A | 3450000 | 2870 |
|  Urban One, Inc. 7.375%, 2/1/28 144A | 2175000 | 1839 |
|  Viavi Solutions, Inc. 3.750%, 10/1/29 144A | 350000 | 294 |
|  Virgin Media Finance PLC 5.000%, 7/15/30 144A | 2700000 | 2166 |
|  Virgin Media Secured Finance PLC 5.500%, 5/15/29 144A | 475000 | 425 |
|  Virgin Media Vendor Financing Notes IV 5.000%, 7/15/28 144A | 2050000 | 1792 |
|  VMED O2 UK Financing I PLC<br>4.250%, 1/31/31 144A | 875000 | 708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 7/15/31 144A | 1475000 | 1198 |
|  VZ Secured Financing BV 5.000%, 1/15/32 144A | 1225000 | 995 |
|  Ziggo Bond Co. BV<br>5.125%, 2/28/30 144A | 575000 | 464 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 1/15/27 144A | 3050000 | 2838 |
|  Ziggo BV 4.875%, 1/15/30 144A | 200000 | 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **110480** |
|  **Consumer, Cyclical (16.7%)** |  |  |
|  1011778 BC ULC / New Red Finance, Inc.<br>3.500%, 2/15/29 144A | 525000 | 450 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 1/15/28 144A | 1125000 | 1006 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/15/30 144A | 5775000 | 4677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 1/15/28 144A | 1175000 | 1052 |
|  Academy, Ltd. 6.000%, 11/15/27 144A | 1500000 | 1436 |
|  Adient Global Holdings, Ltd. 4.875%, 8/15/26 144A | 3300000 | 3072 |
|  Affinity Gaming 6.875%, 12/15/27 144A | 2300000 | 1950 |
|  American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.<br>5.500%, 4/20/26 144A | 1150000 | 1106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 4/20/29 144A | 1125000 | 1028 |
|  American Builders & Contractors Supply Co., Inc.<br>3.875%, 11/15/29 144A | 275000 | 225 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 1/15/28 144A | 725000 | 647 |
|  Aramark Services, Inc.<br>5.000%, 2/1/28 144A | 225000 | 210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 5/1/25 144A | 2525000 | 2494 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**167** 

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##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer, Cyclical continued** |  |  |
|  Asbury Automotive Group, Inc.<br>4.625%, 11/15/29 144A | 1850000 | 1559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/15/32 144A | 450000 | 370 |
|  BCPE Empire Holdings, Inc. 7.625%, 5/1/27 144A | 4625000 | 4148 |
|  Boyd Gaming Corp.<br>4.750%, 12/1/27 | 1650000 | 1537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 6/15/31 144A | 575000 | 500 |
|  Caesars Entertainment, Inc.<br>4.625%, 10/15/29 144A | 825000 | 671 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 7/1/25 144A | 1750000 | 1713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 7/1/25 144A | 1900000 | 1846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.125%, 7/1/27 144A | 2325000 | 2284 |
|  CCM Merger, Inc. 6.375%, 5/1/26 144A | 425000 | 400 |
|  Clarios Global LP 6.750%, 5/15/25 144A | 135000 | 135 |
|  Clarios Global LP / Clarios US Finance Co.<br>6.250%, 5/15/26 144A | 270000 | 264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 5/15/27 144A | 7550000 | 7373 |
|  Dana Financing Luxembourg SARL 5.750%, 4/15/25 144A | 650000 | 636 |
|  Dana, Inc.<br>4.500%, 2/15/32 | 675000 | 540 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 11/15/27 | 150000 | 139 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 6/15/28 | 175000 | 159 |
|  Dornoch Debt Merger Sub, Inc. 6.625%, 10/15/29 144A | 3625000 | 2543 |
|  Ford Motor Credit Co. LLC<br>2.700%, 8/10/26 | 725000 | 630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 11/13/25 | 3250000 | 2938 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/13/30 | 1975000 | 1621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.063%, 11/1/24 | 1700000 | 1632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 8/17/27 | 1350000 | 1208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.271%, 1/9/27 | 1675000 | 1515 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.389%, 1/8/26 | 1975000 | 1840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.113%, 5/3/29 | 2950000 | 2671 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 6/16/25 | 2250000 | 2163 |
|  Foundation Building Materials, Inc. 6.000%, 3/1/29 144A | 3300000 | 2471 |
|  The Gap, Inc.<br>3.625%, 10/1/29 144A | 1050000 | 741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 10/1/31 144A | 475000 | 331 |
|  GYP Holdings III Corp. 4.625%, 5/1/29 144A | 2475000 | 2021 |
|  H&E Equipment Services, Inc. 3.875%, 12/15/28 144A | 2775000 | 2364 |
|  Hilton Domestic Operating Co., Inc.<br>3.625%, 2/15/32 144A | 700000 | 561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 5/1/29 144A | 1150000 | 995 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 1/15/30 | 500000 | 453 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 5/1/28 144A | 800000 | 776 |
|  IHO Verwaltungs GmbH<br>4.750%, 9/15/26 144A | 2375000 | 2055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 5/15/27 144A | 1475000 | 1290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 5/15/29 144A | 1100000 | 930 |
|  Interface, Inc. 5.500%, 12/1/28 144A | 1000000 | 826 |
|  KAR Auction Services, Inc. 5.125%, 6/1/25 144A | 528000 | 516 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer, Cyclical continued** |  |  |
|  KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.750%, 6/1/27 144A | 550000 | 528 |
|  Kontoor Brands, Inc. 4.125%, 11/15/29 144A | 450000 | 367 |
|  MGM Resorts International 6.000%, 3/15/23 | 1725000 | 1719 |
|  Midwest Gaming Borrower LLC 4.875%, 5/1/29 144A | 1275000 | 1085 |
|  Mohegan Gaming & Entertainment 8.000%, 2/1/26 144A | 4050000 | 3788 |
|  NMG Holding Co., Inc. / Neiman Marcus Group LLC 7.125%, 4/1/26 144A | 350000 | 328 |
|  Penn National Gaming, Inc.<br>4.125%, 7/1/29 144A | 1175000 | 928 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 1/15/27 144A | 250000 | 227 |
|  Raptor Acquisition Corp. / Raptor Co-Issuer LLC 4.875%, 11/1/26 144A | 200000 | 178 |
|  Real Hero Merger Sub 2, Inc. 6.250%, 2/1/29 144A | 4275000 | 2931 |
|  Scientific Games Holdings LP / Scientific Games US FinCo, Inc. 6.625%, 3/1/30 144A | 1725000 | 1457 |
|  Scientific Games International, Inc.<br>7.250%, 11/15/29 144A | 1250000 | 1200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.625%, 7/1/25 144A | 1400000 | 1428 |
|  SeaWorld Parks & Entertainment, Inc. 5.250%, 8/15/29 144A | 2500000 | 2177 |
|  Six Flags Entertainment Corp. 5.500%, 4/15/27 144A | 1325000 | 1193 |
|  SRS Distribution, Inc.<br>6.000%, 12/1/29 144A | 2300000 | 1830 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 7/1/29 144A | 2950000 | 2385 |
|  Station Casinos LLC<br>4.500%, 2/15/28 144A | 2000000 | 1739 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/1/31 144A | 1300000 | 1043 |
|  Suburban Propane Partners LP / Suburban Energy Finance Corp.<br>5.000%, 6/1/31 144A | 2525000 | 2146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 3/1/27 | 900000 | 855 |
|  White Cap Buyer LLC 6.875%, 10/15/28 144A | 1825000 | 1579 |
|  White Cap Parent LLC 8.250%, 3/15/26 144A | 1650000 | 1426 |
|  The William Carter Co. 5.625%, 3/15/27 144A | 400000 | 384 |
|  WMG Acquisition Corp.<br>3.750%, 12/1/29 144A | 800000 | 688 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 7/15/30 144A | 325000 | 280 |
|  Yum! Brands, Inc.<br>4.625%, 1/31/32 | 1625000 | 1436 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 1/15/30 144A | 725000 | 665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 4/1/32 | 625000 | 579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **115287** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**168** 

------

##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer, Non-cyclical (13.8%)** |  |  |
|  AdaptHealth LLC<br>4.625%, 8/1/29 144A | 1450000 | 1214 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 3/1/30 144A | 1425000 | 1213 |
|  AHP Health Partners, Inc. 5.750%, 7/15/29 144A | 1025000 | 801 |
|  Albertsons Cos., Inc. / Safeway, Inc. / New Albertson's LP / Albertson's LLC<br>3.250%, 3/15/26 144A | 350000 | 319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 2/15/23 144A | 325000 | 323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 3/15/29 144A | 2050000 | 1720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 2/15/30 144A | 450000 | 402 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 2/15/28 144A | 700000 | 665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 3/15/26 144A | 625000 | 638 |
|  Allied Universal Holdco LLC<br>6.000%, 6/1/29 144A | 2225000 | 1615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 7/15/26 144A | 1425000 | 1304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.750%, 7/15/27 144A | 5050000 | 4393 |
|  Avantor Funding, Inc.<br>3.875%, 11/1/29 144A | 1825000 | 1533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 7/15/28 144A | 2350000 | 2135 |
|  Bausch Health Cos., Inc.<br>4.875%, 6/1/28 144A | 350000 | 223 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 1/30/28 144A | 1200000 | 576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/15/29 144A | 625000 | 299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 1/30/30 144A | 1900000 | 911 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 2/15/31 144A | 625000 | 303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 8/15/27 144A | 775000 | 527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 2/1/27 144A | 300000 | 207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 2/15/29 144A | 1775000 | 855 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 5/30/29 144A | 2200000 | 1062 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 1/31/27 144A | 1450000 | 759 |
|  Bellring Brands, Inc. 7.000%, 3/15/30 144A | 1850000 | 1780 |
|  Catalent Pharma Solutions, Inc. 3.500%, 4/1/30 144A | 700000 | 553 |
|  Centene Corp. 3.000%, 10/15/30 | 375000 | 307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 2/15/30 | 900000 | 761 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 12/15/27 | 1900000 | 1782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/15/29 | 2425000 | 2216 |
|  Charles River Laboratories International, Inc.<br>3.750%, 3/15/29 144A | 525000 | 464 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 3/15/31 144A | 550000 | 476 |
|  CHS / Community Health Systems, Inc.<br>5.250%, 5/15/30 144A | 1000000 | 754 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 3/15/27 144A | 750000 | 643 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 1/15/29 144A | 225000 | 188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 4/1/30 144A | 1275000 | 631 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 4/15/29 144A | 2825000 | 1452 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 3/15/26 144A | 1125000 | 1024 |
|  DaVita, Inc. 4.625%, 6/1/30 144A | 575000 | 463 |
|  Edgewell Personal Care Co.<br>4.125%, 4/1/29 144A | 1000000 | 852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 6/1/28 144A | 875000 | 818 |
|  Embecta Corp.<br>5.000%, 2/15/30 144A | 525000 | 444 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 2/15/30 144A | 1850000 | 1670 |
|  Garda World Security Corp.<br>4.625%, 2/15/27 144A | 875000 | 773 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer, Non-cyclical continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 6/1/29 144A | 2375000 | 1930 |
|  Garden Spinco Corp. 8.625%, 7/20/30 144A | 675000 | 715 |
|  Gartner, Inc.<br>3.750%, 10/1/30 144A | 550000 | 474 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 7/1/28 144A | 250000 | 233 |
|  Global Medical Response, Inc. 6.500%, 10/1/25 144A | 2650000 | 1897 |
|  Grifols Escrow Issuer SA 4.750%, 10/15/28 144A | 1525000 | 1317 |
|  GW B-CR Security Corp. 9.500%, 11/1/27 144A | 4969000 | 4786 |
|  HCA, Inc. 3.500%, 9/1/30 | 700000 | 604 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 2/1/25 | 1250000 | 1248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 2/15/26 | 1050000 | 1057 |
|  HealthEquity, Inc. 4.500%, 10/1/29 144A | 1775000 | 1551 |
|  Jazz Securities DAC 4.375%, 1/15/29 144A | 1825000 | 1626 |
|  LifePoint Health, Inc. 4.375%, 2/15/27 144A | 625000 | 529 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 1/15/29 144A | 150000 | 85 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 4/15/25 144A | 825000 | 776 |
|  Mallinckrodt International Finance SA / Mallinckrodt CB LLC 10.000%, 6/15/29 144A | 1839000 | 988 |
|  MEDNAX, Inc. 5.375%, 2/15/30 144A | 1125000 | 978 |
|  Mozart Debt Merger Sub, Inc.<br>3.875%, 4/1/29 144A | 1625000 | 1310 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 10/1/29 144A | 6750000 | 5361 |
|  MPH Acquisition Holdings LLC<br>5.500%, 9/1/28 144A | 900000 | 702 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 11/1/28 144A | 2200000 | 1463 |
|  Organon Finance 1 LLC<br>4.125%, 4/30/28 144A | 425000 | 376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 4/30/31 144A | 1800000 | 1559 |
|  Performance Food Group, Inc. 4.250%, 8/1/29 144A | 1425000 | 1235 |
|  Post Holdings, Inc.<br>5.500%, 12/15/29 144A | 900000 | 814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 1/15/28 144A | 975000 | 918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 3/1/27 144A | 1405000 | 1359 |
|  Prestige Brands, Inc. 3.750%, 4/1/31 144A | 650000 | 536 |
|  RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A | 1825000 | 1469 |
|  Signal Parent, Inc. 6.125%, 4/1/29 144A | 1950000 | 568 |
|  Syneos Health, Inc. 3.625%, 1/15/29 144A | 925000 | 737 |
|  Team Health Holdings, Inc. 6.375%, 2/1/25 144A | 1075000 | 619 |
|  Teleflex, Inc.<br>4.250%, 6/1/28 144A | 250000 | 228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 11/15/27 | 450000 | 429 |
|  Tenet Healthcare Corp.<br>4.250%, 6/1/29 144A | 225000 | 195 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**169** 

------

##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Consumer, Non-cyclical continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 7/15/24 | 576000 | 562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 6/15/28 144A | 125000 | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 1/1/26 144A | 1200000 | 1135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 11/1/27 144A | 1800000 | 1674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 10/1/28 144A | 2450000 | 2194 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 6/15/30 144A | 775000 | 738 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 2/1/27 144A | 1125000 | 1081 |
|  United Rentals North America, Inc.<br>3.875%, 2/15/31 | 275000 | 230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 1/15/28 | 1225000 | 1161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 1/15/30 | 425000 | 399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 5/15/27 | 400000 | 395 |
|  US Foods, Inc. 4.625%, 6/1/30 144A | 700000 | 616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 2/15/29 144A | 1500000 | 1332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 4/15/25 144A | 225000 | 223 |
|  ZipRecruiter, Inc. 5.000%, 1/15/30 144A | 975000 | 804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **95376** |
|  **Diversified (0.2%)** |  |  |
|  Stena International SA 6.125%, 2/1/25 144A | 1325000 | 1232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1232** |
|  **Energy (13.5%)** |  |  |
|  Antero Midstream Partners LP / Antero Midstream Finance Corp.<br>5.375%, 6/15/29 144A | 2200000 | 2011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 3/1/27 144A | 2375000 | 2245 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 1/15/28 144A | 2600000 | 2412 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 5/15/26 144A | 1000000 | 1012 |
|  Antero Resources Corp.<br>5.375%, 3/1/30 144A | 925000 | 858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.625%, 2/1/29 144A | 244000 | 245 |
|  Archrock Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 4/1/28 144A | 1975000 | 1807 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 4/1/27 144A | 3275000 | 3126 |
|  Ascent Resources Utica Holdings LLC / ARU Finance Corp.<br>5.875%, 6/30/29 144A | 600000 | 535 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 11/1/26 144A | 1650000 | 1601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.250%, 12/31/28 144A | 575000 | 564 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.000%, 11/1/27 144A | 414000 | 509 |
|  Berry Petroleum Co. LLC 7.000%, 2/15/26 144A | 875000 | 804 |
|  Callon Petroleum Co. 6.375%, 7/1/26 | 900000 | 839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 6/15/30 144A | 250000 | 229 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.250%, 7/15/25 | 425000 | 423 |
|  Centennial Resource Production LLC<br>5.375%, 1/15/26 144A | 825000 | 751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 4/1/27 144A | 1725000 | 1625 |
|  Cheniere Energy Partners LP 3.250%, 1/31/32 | 550000 | 437 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 3/1/31 | 1500000 | 1277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/1/29 | 1150000 | 1034 |
|  Cheniere Energy, Inc. 4.625%, 10/15/28 | 975000 | 881 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Energy continued** |  |  |
|  Chesapeake Energy Corp. 5.875%, 2/1/29 144A | 225000 | 213 |
|  Chesapeake Energy Corp. Escrow 7.000%, 10/1/24 \* | 1000000 | 20 |
|  CNX Midstream Partners LP 4.750%, 4/15/30 144A | 1125000 | 923 |
|  Comstock Resources, Inc.<br>5.875%, 1/15/30 144A | 650000 | 559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 3/1/29 144A | 2400000 | 2166 |
|  Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. 8.000%, 4/1/29 144A | 1500000 | 1493 |
|  CrownRock LP / CrownRock Finance, Inc.<br>5.000%, 5/1/29 144A | 325000 | 292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 10/15/25 144A | 3025000 | 2919 |
|  DT Midstream, Inc. 4.375%, 6/15/31 144A | 1450000 | 1216 |
|  Endeavor Energy Resources LP / EER Finance, Inc. 5.750%, 1/30/28 144A | 850000 | 814 |
|  Enviva Partners LP / Enviva Partners Finance Corp. 6.500%, 1/15/26 144A | 4275000 | 4026 |
|  EQM Midstream Partners LP<br>4.500%, 1/15/29 144A | 1050000 | 882 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 1/15/31 144A | 1325000 | 1083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 7/15/28 | 1925000 | 1721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 7/1/25 144A | 331000 | 319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 7/1/27 144A | 1825000 | 1744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 7/15/48 | 1025000 | 768 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 6/1/27 144A | 975000 | 955 |
|  EQT Corp. 5.000%, 1/15/29 | 350000 | 329 |
|  Hess Midstream Operations LP<br>4.250%, 2/15/30 144A | 625000 | 534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 10/15/30 144A | 475000 | 435 |
|  Hess Midstream Partners LP 5.125%, 6/15/28 144A | 1300000 | 1202 |
|  Holly Energy Partners LP / Holly Energy Finance Corp.<br>5.000%, 2/1/28 144A | 1725000 | 1571 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 4/15/27 144A | 425000 | 418 |
|  Nabors Industries, Ltd.<br>7.250%, 1/15/26 144A | 1275000 | 1202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 5/15/27 144A | 225000 | 218 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 1/15/28 144A | 950000 | 869 |
|  NuStar Logistics LP 5.625%, 4/28/27 | 1900000 | 1777 |
|  Oasis Petroleum, Inc. 6.375%, 6/1/26 144A | 525000 | 511 |
|  Occidental Petroleum Corp.<br>5.875%, 9/1/25 | 1225000 | 1221 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 9/1/28 | 125000 | 126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.450%, 9/15/36 | 1225000 | 1249 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 9/1/30 | 1400000 | 1447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.875%, 7/15/30 | 1600000 | 1806 |
|  PDC Energy, Inc.<br>5.750%, 5/15/26 | 1525000 | 1456 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 9/15/24 | 213000 | 212 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**170** 

------

##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Energy continued** |  |  |
|  Precision Drilling Corp.<br>6.875%, 1/15/29 144A | 375000 | 349 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 1/15/26 144A | 1650000 | 1596 |
|  Range Resources Corp.<br>4.750%, 2/15/30 144A | 475000 | 419 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 5/15/25 | 350000 | 332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.250%, 1/15/29 | 875000 | 902 |
|  Rockcliff Energy II LLC 5.500%, 10/15/29 144A | 1025000 | 938 |
|  SM Energy Co.<br>5.625%, 6/1/25 | 1000000 | 960 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 7/15/28 | 200000 | 192 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 1/15/27 | 250000 | 241 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 9/15/26 | 1100000 | 1068 |
|  Southwestern Energy Co.<br>4.750%, 2/1/32 | 725000 | 620 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 3/15/30 | 300000 | 274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.375%, 9/15/28 | 1100000 | 1134 |
|  Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 5.750%, 4/15/25 | 1650000 | 1397 |
|  Tap Rock Resources LLC 7.000%, 10/1/26 144A | 1375000 | 1279 |
|  Targa Resources Partners LP / Targa Resources Partners Finance Corp.<br>5.000%, 1/15/28 | 1675000 | 1598 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 3/1/30 | 2250000 | 2117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 7/15/27 | 300000 | 302 |
|  TerraForm Power Operating LLC<br>4.750%, 1/15/30 144A | 1725000 | 1501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 1/31/28 144A | 1775000 | 1597 |
|  TransMontaigne Partners LP / TLP Finance Corp. 6.125%, 2/15/26 | 1175000 | 1010 |
|  Ultra Resources, Inc. Contingent Value Rights \*,Æ | 1380 |  |
|  USA Compression Finance Corp. 6.875%, 4/1/26 | 3550000 | 3405 |
|  USA Compression Partners LP / USA Compression Finance Corp. 6.875%, 9/1/27 | 1475000 | 1379 |
|  Western Gas Partners LP<br>4.500%, 3/1/28 | 1100000 | 1009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.300%, 3/1/48 | 2650000 | 2179 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.450%, 4/1/44 | 650000 | 540 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 8/15/48 | 400000 | 332 |
|  Western Midstream Operating LP<br>4.300%, 2/1/30 | 325000 | 284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.650%, 7/1/26 | 175000 | 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **93041** |
|  **Financial (8.7%)** |  |  |
|  AmWINS Group, Inc. 4.875%, 6/30/29 144A | 2575000 | 2184 |
|  Ardonagh Midco 2 PLC 11.500%, 1/15/27 144A Þ | 2858937 | 2716 |
|  AssuredPartners, Inc.<br>5.625%, 1/15/29 144A | 1500000 | 1235 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 8/15/25 144A | 3250000 | 3143 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financial continued** |  |  |
|  BroadStreet Partners, Inc. 5.875%, 4/15/29 144A | 6075000 | 5170 |
|  Cushman & Wakefield US Borrower LLC 6.750%, 5/15/28 144A | 400000 | 382 |
|  GTCR AP Finance, Inc. 8.000%, 5/15/27 144A | 1725000 | 1652 |
|  HUB International, Ltd.<br>5.625%, 12/1/29 144A | 2575000 | 2249 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 5/1/26 144A | 9925000 | 9716 |
|  Jones Deslauriers Insurance Management, Inc. 10.500%, 12/15/30 144A | 1750000 | 1723 |
|  Navient Corp.<br>5.000%, 3/15/27 | 450000 | 394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 3/15/29 | 1650000 | 1346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 6/25/25 | 1175000 | 1128 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 6/15/26 | 1250000 | 1185 |
|  NFP Corp.<br>6.875%, 8/15/28 144A | 7125000 | 5873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 10/1/30 144A | 1300000 | 1223 |
|  Rocket Mortgage LLC / Rocket Mortgage Co- Issuer, Inc.<br>2.875%, 10/15/26 144A | 1550000 | 1329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 3/1/29 144A | 1475000 | 1169 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 3/1/31 144A | 1525000 | 1164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/15/33 144A | 1200000 | 896 |
|  Ryan Specialty Group LLC 4.375%, 2/1/30 144A | 800000 | 693 |
|  United Shore Financial Services LLC 5.500%, 11/15/25 144A | 3250000 | 2927 |
|  United Wholesale Mortgage LLC<br>5.500%, 4/15/29 144A | 1725000 | 1372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 6/15/27 144A | 950000 | 818 |
|  USIS Merger Sub, Inc. 6.875%, 5/1/25 144A | 5250000 | 5058 |
|  VICI Properties LP / VICI Note Co., Inc.<br>3.500%, 2/15/25 144A | 125000 | 118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 2/15/29 144A | 200000 | 175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 12/1/26 144A | 1125000 | 1050 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 9/1/26 144A | 450000 | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 6/15/25 144A | 400000 | 384 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/1/29 144A | 600000 | 546 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 5/1/24 144A | 475000 | 470 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 2/1/27 144A | 225000 | 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **60130** |
|  **Health Care (0.3%)** |  |  |
|  IQVIA, Inc.<br>5.000%, 10/15/26 144A | 1375000 | 1313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 5/15/27 144A | 750000 | 715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **2028** |
|  **Industrial (13.1%)** |  |  |
|  ARD Finance SA 6.500%, 6/30/27 144A | 3057214 | 2126 |
|  Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.<br>4.000%, 9/1/29 144A | 1975000 | 1565 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 8/15/27 144A | 7100000 | 5309 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**171** 

------

##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Industrial continued** |  |  |
|  Ball Corp.<br>2.875%, 8/15/30 | 1575000 | 1257 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 9/15/31 | 300000 | 241 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 3/15/28 | 675000 | 693 |
|  Berry Global Escrow Corp.<br>4.875%, 7/15/26 144A | 1125000 | 1083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 7/15/27 144A | 1150000 | 1122 |
|  Camelot Return Merger Sub, Inc. 8.750%, 8/1/28 144A | 1575000 | 1445 |
|  Clydesdale Acquisition Holdings, Inc. 8.750%, 4/15/30 144A | 7050000 | 6035 |
|  Cornerstone Building Brands, Inc. 6.125%, 1/15/29 144A | 900000 | 634 |
|  CP Atlas Buyer, Inc. 7.000%, 12/1/28 144A | 3500000 | 2599 |
|  Crown Americas LLC 5.250%, 4/1/30 144A | 400000 | 378 |
|  Crown Americas LLC / Crown Americas Capital Corp. VI 4.750%, 2/1/26 | 1175000 | 1141 |
|  Energizer Holdings, Inc.<br>4.375%, 3/31/29 144A | 2400000 | 2035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 6/15/28 144A | 900000 | 780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 12/31/27 144A | 1650000 | 1570 |
|  Gates Global LLC / Gates Global Co. 6.250%, 1/15/26 144A | 5050000 | 4873 |
|  Graphic Packaging International LLC<br>3.500%, 3/15/28 144A | 425000 | 370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 3/1/29 144A | 450000 | 384 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 2/1/30 144A | 175000 | 149 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 7/15/27 144A | 500000 | 471 |
|  II-VI, Inc. 5.000%, 12/15/29 144A | 2100000 | 1811 |
|  Koppers, Inc. 6.000%, 2/15/25 144A | 3850000 | 3658 |
|  Madison IAQ LLC<br>4.125%, 6/30/28 144A | 250000 | 209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 6/30/29 144A | 4800000 | 3290 |
|  Mauser Packaging Solutions<br>5.500%, 4/15/24 144A | 975000 | 948 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 4/15/25 144A | 2850000 | 2636 |
|  MIWD Holdco II LLC / MIWD Finance Corp. 5.500%, 2/1/30 144A | 375000 | 299 |
|  OI European Group BV 4.750%, 2/15/30 144A | 450000 | 394 |
|  Owens-Brockway Glass Container, Inc.<br>5.375%, 1/15/25 144A | 2075000 | 1991 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 8/15/23 144A | 271000 | 269 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 8/15/25 144A | 1125000 | 1102 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 5/13/27 144A | 800000 | 776 |
|  Redwood Star Merger Sub, Inc. 8.750%, 4/1/30 144A | 2450000 | 1932 |
|  Sealed Air Corp. 5.000%, 4/15/29 144A | 550000 | 517 |
|  Sensata Technologies BV 5.875%, 9/1/30 144A | 1175000 | 1114 |
|  Sensata Technologies, Inc. 3.750%, 2/15/31 144A | 225000 | 185 |
|  Standard Industries, Inc. 3.375%, 1/15/31 144A | 725000 | 546 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Industrial continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 7/15/30 144A | 1425000 | 1161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 1/15/28 144A | 1325000 | 1192 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/15/27 144A | 3375000 | 3114 |
|  TK Elevator Holdco GmbH 7.625%, 7/15/28 144A | 1121000 | 915 |
|  TK Elevator US Newco, Inc. 5.250%, 7/15/27 144A | 2175000 | 1930 |
|  TransDigm UK Holdings PLC 6.875%, 5/15/26 | 1775000 | 1733 |
|  TransDigm, Inc.<br>4.625%, 1/15/29 | 2275000 | 2000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 5/1/29 | 775000 | 676 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 11/15/27 | 1250000 | 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 3/15/26 144A | 3025000 | 2983 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 6/15/26 | 1850000 | 1800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 3/15/27 | 675000 | 668 |
|  Trident TPI Holdings, Inc.<br>6.625%, 11/1/25 144A | 2225000 | 1928 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.250%, 8/1/24 144A | 1575000 | 1497 |
|  Trivium Packaging Finance BV<br>5.500%, 8/15/26 144A | 525000 | 481 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 8/15/27 144A | 4550000 | 4175 |
|  TTM Technologies, Inc. 4.000%, 3/1/29 144A | 950000 | 815 |
|  Watco Cos. LLC / Watco Finance Corp. 6.500%, 6/15/27 144A | 2150000 | 2043 |
|  WESCO Distribution, Inc.<br>7.125%, 6/15/25 144A | 975000 | 987 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 6/15/28 144A | 1075000 | 1089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **90298** |
|  **Technology (7.6%)** |  |  |
|  AMG AG 7.000%, 7/31/25 144A | 1050000 | 988 |
|  Black Knight InfoServ LLC 3.625%, 9/1/28 144A | 1225000 | 1063 |
|  Booz Allen Hamilton, Inc.<br>3.875%, 9/1/28 144A | 400000 | 354 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 7/1/29 144A | 250000 | 220 |
|  Boxer Parent Co., Inc. 9.125%, 3/1/26 144A | 2000000 | 1887 |
|  CDW LLC / CDW Finance Corp. 3.250%, 2/15/29 | 200000 | 170 |
|  Central Parent, Inc. / Central Merger Sub, Inc. 7.250%, 6/15/29 144A | 1950000 | 1907 |
|  Clarivate Science Holdings Corp.<br>3.875%, 7/1/28 144A | 350000 | 303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 7/1/29 144A | 1975000 | 1679 |
|  Condor Merger Sub, Inc. 7.375%, 2/15/30 144A | 5800000 | 4663 |
|  Consensus Cloud Solutions, Inc.<br>6.000%, 10/15/26 144A | 725000 | 678 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 10/15/28 144A | 1825000 | 1679 |
|  The Dun & Bradstreet Corp. 5.000%, 12/15/29 144A | 1175000 | 1006 |
|  Elastic NV 4.125%, 7/15/29 144A | 2500000 | 2019 |
|  Entegris Escrow Corp. 5.950%, 6/15/30 144A | 1150000 | 1061 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**High Yield Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Technology continued** |  |  |
|  Entegris, Inc. 3.625%, 5/1/29 144A | 725000 | 590 |
|  Fair Isaac Corp. 4.000%, 6/15/28 144A | 625000 | 567 |
|  Helios Software Holdings, Inc. 4.625%, 5/1/28 144A | 1800000 | 1368 |
|  Logan Merger Sub, Inc. 5.500%, 9/1/27 144A | 2875000 | 1546 |
|  Minerva Merger Sub, Inc. 6.500%, 2/15/30 144A | 6025000 | 4440 |
|  NCR Corp.<br>5.000%, 10/1/28 144A | 875000 | 746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 4/15/29 144A | 1475000 | 1234 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 10/1/30 144A | 1425000 | 1176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 9/1/27 144A | 1025000 | 981 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 9/1/29 144A | 650000 | 608 |
|  ON Semiconductor Corp. 3.875%, 9/1/28 144A | 675000 | 589 |
|  Open Text Corp.<br>3.875%, 2/15/28 144A | 800000 | 686 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 12/1/29 144A | 125000 | 101 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 2/15/30 144A | 800000 | 642 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 12/1/31 144A | 300000 | 233 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.900%, 12/1/27 144A | 450000 | 450 |
|  Picard Midco, Inc. 6.500%, 3/31/29 144A | 2575000 | 2169 |
|  Rackspace Technology Global, Inc.<br>3.500%, 2/15/28 144A | 1825000 | 1061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 12/1/28 144A | 2675000 | 1166 |
|  Roblox Corp. 3.875%, 5/1/30 144A | 1650000 | 1301 |
|  Rocket Software, Inc. 6.500%, 2/15/29 144A | 3575000 | 2818 |
|  Science Applications International Corp. 4.875%, 4/1/28 144A | 500000 | 462 |
|  Seagate HDD Cayman 9.625%, 12/1/32 144A | 2302125 | 2525 |
|  SS&C Technologies, Inc. 5.500%, 9/30/27 144A | 3600000 | 3371 |
|  Synaptics, Inc. 4.000%, 6/15/29 144A | 575000 | 484 |
|  Veritas US, Inc. / Veritas Bermuda, Ltd. 7.500%, 9/1/25 144A | 2250000 | 1550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **52541** |
|  **Utilities (2.4%)** |  |  |
|  AmeriGas Partners LP / AmeriGas Finance Corp. 5.625%, 5/20/24 | 425000 | 413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 5/20/27 | 550000 | 511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 8/20/26 | 2350000 | 2232 |
|  Calpine Corp.<br>3.750%, 3/1/31 144A | 1250000 | 1006 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 2/15/28 144A | 1575000 | 1405 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (95.7%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Utilities continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 2/1/29 144A | 350000 | 300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 2/1/31 144A | 200000 | 168 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 3/15/28 144A | 1075000 | 959 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 6/1/26 144A | 299000 | 285 |
|  NRG Energy, Inc.<br>3.875%, 2/15/32 144A | 2300000 | 1727 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 6/15/29 144A | 775000 | 684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 1/15/28 | 800000 | 751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 1/15/27 | 625000 | 620 |
|  Solaris Midstream Holdings LLC 7.625%, 4/1/26 144A | 650000 | 647 |
|  TransAlta Corp. 7.750%, 11/15/29 | 350000 | 357 |
|  Vistra Operations Co. LLC<br>5.000%, 7/31/27 144A | 1100000 | 1021 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 9/1/26 144A | 1400000 | 1349 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 2/15/27 144A | 1925000 | 1826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **16261** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds**<br> **(Cost: $770,237)** |  | **660104** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (96.1%)**<br> **(Cost: $772,557)@** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (96.1%)**<br> **(Cost: $772,557)@** | **662852** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (3.9%)** |  | **26553** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **689405** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**High Yield Bond Portfolio** 

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

Æ Security valued using significant unobservable inputs.

---

| | |
|:---|:---|
| 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 December 31, 2022 the value of these securities (in thousands) was $547,486 representing 79.4% of the net assets.  |

---

---

| | |
|:---|:---|
| Þ | PIK—Payment In Kind. PIK rate of Ardonagh Midco 2 PLC 12.75%.  |

---

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $772,129 and the net unrealized depreciation of investments based on that cost was $109,277 which is comprised of $2,987 aggregate gross unrealized appreciation and $112,264 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
| | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| <br>**Description** | **Level 1 –<br>Quoted Prices** | **Level 2 –<br>Other Significant<br>Observable<br>Inputs** | **Level 3 –**<br> **Significant<br>Unobservable Inputs** |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy | $- | $- | $2111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Others | 637 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Communications |  | 110461 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy |  | 93041 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Others |  | 456583 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $637 | $660085 | $2130 |

---

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2022.

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Multi-Sector Bond Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Maximum total return, consistent with prudent investment management. | Invest in a diversified portfolio of fixed income instruments of varying maturities and quality, and in derivatives designed to replicate such securities. | $1.1 billion |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC ("Mason Street Advisors"), the investment adviser for the Multi-Sector Bond Portfolio (the "Portfolio"), has engaged Pacific Investment Management Company LLC ("PIMCO") to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of fixed income instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts or swap agreements. The average portfolio duration (a measure of the sensitivity of the Portfolio's fixed income portfolio securities to changes in interest rates) of the Portfolio normally varies from three to eight years, based on the Portfolio's forecast for interest rates. The Portfolio may invest all of its assets in high yield securities subject to a maximum of 10% of its total assets in securities rated below B by Moody's or equivalently rated by S&P or Fitch or, if unrated, determined to be of comparable quality (so called "junk bonds"). The Portfolio may invest, without limitation, in securities denominated in foreign currencies and U.S. dollar denominated securities of foreign issuers. In addition, the Portfolio may invest without limit in fixed income securities of issuers that are economically tied to emerging securities markets.

MARKET OVERVIEW

Geopolitics took center stage during the reporting period as Russia invaded Ukraine in February 2022. Most assets experienced elevated volatility over the year as Russia's invasion of Ukraine and the subsequent imposition of financial sanctions added stress to already fragile global supply chains and raised concerns about commodity supplies. This amplified inflationary fears and contributed to more hawkish stances from central banks, higher global yields and flattening curves.

Risk assets were challenged throughout the first half of the year, with both equities and bonds moving significantly lower given ongoing concerns about the conflict between Russia and Ukraine. Developed market central banks maintained their hawkish stance to combat historic levels of inflation. Most notably, in the U.S., the Consumer Price Index ("CPI") increased 8.6% year-on-year in May 2022. In response to rising inflation, the Federal Reserve (the "Fed") increased interest rates seven times during the year.

Despite signs of slowing global growth heading into the second half of 2022, the Fed continued to hike its policy rate aggressively to address inflationary risks. Performance was challenged for both "safe-haven" and risk assets as global yields rose sharply through the summer months and sentiment waned, leading to increased recessionary risks and heightened volatility. Amidst broader market volatility, market correlations were positive as global equities, fixed income and commodities experienced sharp declines.

Easing developed market inflation prints prompted optimism and contributed to gains in global risk assets toward the end of the year. However, with labor market data generally exhibiting continued resilience, global central banks adopted more hawkish messaging than expected in December 2022.

PORTFOLIO RESULTS

The Portfolio returned (15.39%) for the twelve months ended December 31, 2022. By comparison, the Portfolio's benchmark, the Bloomberg<sup>®</sup> Global Credit Hedged USD Index returned (13.75%). The Portfolio's custom benchmark, comprised of 1/3 each: Bloomberg<sup>®</sup> Global Aggregate—Credit Component ex Emerging Markets, Hedged USD; ICE BofA<sup>®</sup> Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; J.P. Morgan<sup>®</sup> EMBI Global (the "Equal Weighted Composite Index"), returned (13.42%). (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) According to Lipper<sup>®</sup> Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Multi-Sector Income Funds peer group was (12.28%).

The primary detractor from the Portfolio's performance over the period was positioning within emerging markets debt, particularly security selection in Chinese property developers, which suffered a liquidity crisis and consequent default wave. Select exposure to Russian quasi-sovereign debt also drove underperformance amid geopolitical conflict. Additionally, exposure to and selection within European high yield financials detracted from performance.

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**Multi-Sector Bond Portfolio (unaudited)** 

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The largest contributor to the Portfolio's performance was an underweight to duration as rates rose, particularly underweight exposure to U.S. and U.K. interest rates. In addition to investing in bonds of different maturities, futures and interest rate swaps were used for duration management in the Portfolio. Within corporate credit, an underweight to investment grade industrials supported performance. During the year, the Portfolio's credit exposure was partially obtained through the use of credit default swaps.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of PIMCO, the Portfolio's sub-adviser.

We expect a modest recession in 2023 across developed markets as central banks continue to combat inflation, yet uncertainties remain. Tighter financial conditions will likely cool inflation and lead to a recession across developed markets, which should be modest but not painless as unemployment will probably rise. We expect a yield range of about 3.25% to 4.25% for the 10-year U.S. Treasury in our baseline and broader ranges across scenarios for 2023, with a view of being neutral on duration or having a tactical underweight position at current levels. We expect Euro area and U.K. headline inflation to peak just above 10% in the fourth quarter of 2022, while U.S. CPI inflation likely peaked near 9% in mid-2022.

Overall, we do not expect to make large changes in current positioning based on the outlook and valuations. Rather, we are focused on identifying asymmetric trades across the range of plausible scenarios to complement current positioning. Any recession could further challenge riskier assets such as equities and lower quality corporate credit. We believe the repricing across financial markets in 2022 has improved prospects for returns elsewhere, particularly in bonds. We are focusing on high quality fixed income sectors that offer more attractive yields than they have in several years.

**Relative Performance**![LOGO](g422955g03n44.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Multi-Sector Bond Portfolio | -15.39% | 0.20% | 1.91% |
|  Bloomberg<sup>®</sup> Global Credit Hedged USD Index | -13.75% | 0.53% | 2.26% |
|  1/3 each: Bloomberg<sup>®</sup> Global Aggregate — Credit Component ex Emerging Markets, Hedged USD; ICE BofA<sup>®</sup> Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; JP Morgan<sup>®</sup> EMBI Global | -13.42% | 0.64% | 2.55% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Multi-Sector Income Funds | -12.28% | 0.28% | 1.71% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

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**Multi-Sector Bond Portfolio (unaudited)** 

------

*Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund's existing bonds drops, which could negatively affect overall fund performance.* 

*Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio's performance.* 

*The Portfolio may use derivative instruments for hedging purposes or as alternatives to direct investments. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.* 

*The Portfolio may invest a portion of its assets in fixed- and floating-rate loans, including senior loans, through loan participations and assignments. Investing in loans may expose the Portfolio to additional risks, including credit risk, interest rate risk, liquidity risk, call risk, settlement risk, and risks associated with being a lender.* 

*The Portfolio may also invest in municipal securities, which may be more sensitive to certain adverse conditions than other fixed income securities, may be or become illiquid, and may have yields which move differently and adversely compared to the yields of the overall debt securities markets.* 

*The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio's fixed income investments.* 

*The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; US Treasury, Various | 7.1% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Bank, Various | 4.7% |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp., Various | 3.9% |
| &nbsp;&nbsp;&nbsp; Petroleos Mexicanos, Various | 1.8% |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG, Various | 1.3% |
| &nbsp;&nbsp;&nbsp; Banca Monte dei Paschi di Siena SpA, Various | 1.3% |
| &nbsp;&nbsp;&nbsp; UniCredit SpA, Various | 1.2% |
| &nbsp;&nbsp;&nbsp; Republic of Indonesia, Various | 1.2% |
| &nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Various | 0.9% |
| &nbsp;&nbsp;&nbsp; Credit Suisse AG, Various | 0.8% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | 47.1% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 18.2% |
| &nbsp;&nbsp;&nbsp; Governments | 16.2% |
| &nbsp;&nbsp;&nbsp; Structured Products | 13.5% |
| &nbsp;&nbsp;&nbsp; Bank Loan Obligations | 4.3% |
| &nbsp;&nbsp;&nbsp; Municipal Bonds | 0.6% |
| &nbsp;&nbsp;&nbsp; Convertible Corporate Bonds | 0.1% |
| &nbsp;&nbsp;&nbsp; Telecommunications | 0.0% |
| &nbsp;&nbsp;&nbsp; Energy | 0.0% |

---

Sector Allocation and Top 10 Holdings are subject to change.

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**Multi-Sector Bond Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Common Stocks (0.0%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Energy (0.0%)** |  |  |
|  Constellation Oil - Class B \*,Æ,ð | 112235 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **12** |
|  **Telecommunications (0.0%)** |  |  |
|  Intelsat Emergence SA \*,Æ | 9427 | 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **226** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks (Cost: $862)** |  | **238** |
| Corporate Bonds (47.1%) |  |  |
|  **Basic Materials (0.9%)** |  |  |
|  ALROSA Finance SA<br>3.100%, 6/25/27 144A j | 8500000 | 855 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.650%, 4/9/24 144A j | 500000 | 67 |
|  Georgia-Pacific LLC 8.875%, 5/15/31 | 200000 | 244 |
|  INEOS Finance PLC 2.875%, 5/1/26 EUR §,∞ | 600000 | 552 |
|  INEOS Styrolution Group GmbH<br>2.250%, 1/16/27 144A EUR ∞ | 200000 | 173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.250%, 1/16/27 EUR §,∞ | 3200000 | 2775 |
|  MMK International Capital DAC 4.375%, 6/13/24 144A j | 1400000 | 420 |
|  Sasol Financing USA LLC 5.875%, 3/27/24 | 500000 | 489 |
|  Syngenta Finance NV<br>4.441%, 4/24/23 144A | 200000 | 199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.892%, 4/24/25 144A | 4709000 | 4561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **10335** |
|  **Communications (5.9%)** |  |  |
|  Altice Financing SA<br>3.000%, 1/15/28 EUR §,∞ | 200000 | 169 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 8/15/29 EUR §,∞ | 2300000 | 1983 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 8/15/29 144A | 5400000 | 4247 |
|  Altice France Holding SA<br>6.000%, 2/15/28 144A | 1700000 | 1004 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 5/15/27 EUR §,∞ | 1000000 | 784 |
|  Altice France SA<br>4.000%, 7/15/29 144A EUR ∞ | 1850000 | 1493 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 7/15/29 EUR §,∞ | 1400000 | 1130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 10/15/29 144A EUR ∞ | 400000 | 320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 10/15/29 144A | 800000 | 610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.125%, 2/1/27 144A | 3200000 | 2915 |
|  AT&T, Inc.<br>3.500%, 9/15/53 | 237000 | 160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.650%, 9/15/59 | 6663000 | 4460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.800%, 12/1/57 | 115000 | 79 |
|  CCO Holdings LLC / CCO Holdings Capital Corp.<br>4.250%, 2/1/31 144A | 2500000 | 2005 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 6/1/33 144A | 800000 | 614 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Communications continued** |  |  |
|  Charter Communications Operating LLC / Charter Communications Operating Capital Corp.<br>4.200%, 3/15/28 | 1700000 | 1563 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.800%, 3/1/50 | 200000 | 145 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 7/1/49 | 3300000 | 2495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 4/1/38 | 100000 | 83 |
|  CommScope, Inc. 4.750%, 9/1/29 144A | 5700000 | 4595 |
|  Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A | 1800000 | 1668 |
|  Deutsche Telekom International Finance 8.750%, 6/15/30 | 475000 | 560 |
|  DISH DBS Corp. 5.750%, 12/1/28 144A | 5200000 | 4150 |
|  Iliad Holding SASU 6.500%, 10/15/26 144A | 2700000 | 2504 |
|  Intelsat Jackson Holdings SA 6.500%, 3/15/30 144A | 703000 | 628 |
|  Intelsat Jackson Holdings SA - Series A - Contingent Value Rights \*,Æ | 986 | 7 |
|  Intelsat Jackson Holdings SA - Series B - Contingent Value Rights \*,Æ | 986 | 7 |
|  Intelsat Jackson Holdings SA Escrow<br>5.500%, 8/1/23 Æ | 700000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 10/15/24 Æ | 200000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.750%, 7/15/25 Æ | 100000 |  |
|  Lumen Technologies, Inc. 4.000%, 2/15/27 144A | 100000 | 85 |
|  Prosus NV 3.257%, 1/19/27 144A | 500000 | 447 |
|  Sprint Corp.<br>7.125%, 6/15/24 | 100000 | 102 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 9/15/23 | 6400000 | 6490 |
|  Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A | 1300000 | 1281 |
|  Summer (BC) Bidco B LLC 5.500%, 10/31/26 144A | 400000 | 325 |
|  Time Warner Cable LLC<br>5.875%, 11/15/40 | 300000 | 261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 6/15/39 | 200000 | 189 |
|  United Group BV 5.250%, 2/1/30 144A EUR ∞ | 1000000 | 767 |
|  UPC Broadband Finco BV 4.875%, 7/15/31 144A | 4800000 | 3993 |
|  Virgin Media Secured Finance PLC<br>4.125%, 8/15/30 GBP §,∞ | 1200000 | 1106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 1/15/30 GBP §,∞ | 3200000 | 2993 |
|  VMED O2 UK Financing I PLC<br>3.250%, 1/31/31 EUR §,∞ | 1200000 | 1018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 1/31/29 144A GBP ∞ | 2600000 | 2442 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 1/31/29 GBP §,∞ | 500000 | 470 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 7/15/31 144A GBP ∞ | 400000 | 368 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 7/15/31 144A | 1100000 | 894 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**178** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Communications continued** |  |  |
|  Vodafone Group PLC 7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79 | 1700000 | 1709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **65318** |
|  **Consumer, Cyclical (6.5%)** |  |  |
|  Adient Global Holdings, Ltd. 3.500%, 8/15/24 EUR §,∞ | 400000 | 409 |
|  Air Canada Pass-Through Trust, Series 2020-2, Class A 5.250%, 10/1/30 144A | 748594 | 707 |
|  Alaska Airlines Pass-Through Trust, Series 2020-1, Class A 4.800%, 2/15/29 144A | 168645 | 160 |
|  American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700%, 4/1/28 | 172719 | 149 |
|  American Airlines Pass-Through Trust, Series 2015-1, Class A 3.375%, 11/1/28 | 312899 | 261 |
|  American Airlines Pass-Through Trust, Series 2016-1, Class AA 3.575%, 7/15/29 | 785817 | 701 |
|  American Airlines Pass-Through Trust, Series 2017-2, Class AA 3.350%, 4/15/31 | 151290 | 131 |
|  British Airways Pass-Through Trust, Series 2020-1, Class A<br>2.900%, 9/15/36 144A | 393609 | 320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 5/15/34 144A | 107440 | 96 |
|  Caesars Entertainment, Inc. 5.750%, 7/1/25 144A | 7300000 | 7146 |
|  Ford Motor Credit Co. LLC<br>1.744%, 7/19/24 EUR ∞ | 200000 | 204 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.330%, 11/25/25 EUR ∞ | 100000 | 98 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.386%, 2/17/26 EUR ∞ | 100000 | 97 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.492%, (Euribor 3 Month ACT/360 plus 0.730%), 11/15/23 EUR ∞ | 100000 | 105 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.684%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR ∞ | 1300000 | 1338 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.748%, 6/14/24 GBP ∞ | 700000 | 799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.021%, 3/6/24 EUR ∞ | 900000 | 943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 9/15/25 EUR ∞ | 300000 | 304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 6/17/31 | 2900000 | 2278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.815%, 11/2/27 | 300000 | 264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.134%, 8/4/25 | 200000 | 187 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.389%, 1/8/26 | 800000 | 745 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.535%, 3/6/25 GBP ∞ | 100000 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.584%, 3/18/24 | 400000 | 395 |
|  General Motors Financial Co., Inc. 5.100%, 1/17/24 | 1200000 | 1195 |
|  IHO Verwaltungs GmbH<br>3.625%, 5/15/25 EUR §,∞,Þ | 800000 | 779 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 9/15/26 EUR §,∞ | 4950000 | 4593 |
|  Jaguar Land Rover Automotive PLC<br>4.500%, 7/15/28 EUR §,∞ | 200000 | 162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 11/15/24 EUR §,∞ | 900000 | 905 |
|  JetBlue Airways Corp. 4.000%, 5/15/34 | 782213 | 695 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Consumer, Cyclical continued** |  |  |
|  John Lewis PLC 4.250%, 12/18/34 GBP §,∞ | 1000000 | 725 |
|  Las Vegas Sands Corp. 3.900%, 8/8/29 | 100000 | 84 |
|  Marks & Spencer PLC<br>4.500%, 7/10/27 GBP §,∞ | 300000 | 311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 6/12/25 GBP §,∞ | 1000000 | 1162 |
|  Mattel, Inc. 3.375%, 4/1/26 144A | 100000 | 92 |
|  Melco Resorts Finance, Ltd.<br>4.875%, 6/6/25 144A | 5700000 | 5234 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 12/4/29 144A | 700000 | 560 |
|  Mitchells & Butlers Finance PLC<br>3.815%, (SONIO plus 0.569%), 12/15/30 GBP §,∞ | 922834 | 999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.219%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 § | 167788 | 154 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.469%, 9/15/32 GBP §,∞ | 200000 | 214 |
|  Nissan Motor Acceptance Corp. 2.000%, 3/9/26 144A | 400000 | 344 |
|  Nissan Motor Co., Ltd.<br>3.201%, 9/17/28 144A EUR ∞ | 500000 | 469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.345%, 9/17/27 144A | 6400000 | 5803 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.810%, 9/17/30 144A | 500000 | 424 |
|  Pinnacle Bidco PLC<br>5.500%, 2/15/25 EUR §,∞ | 100000 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 2/15/25 GBP §,∞ | 400000 | 419 |
|  Renault SA 2.375%, 5/25/26 EUR §,∞ | 4300000 | 4135 |
|  Sands China, Ltd.<br>2.800%, 3/8/27 | 400000 | 343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 8/8/31 | 1100000 | 866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 1/8/26 | 1700000 | 1569 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.900%, 8/8/28 | 3200000 | 2996 |
|  Southwest Airlines Co. 5.250%, 5/4/25 | 1000000 | 1004 |
|  Toll Brothers Finance Corp.<br>4.350%, 2/15/28 | 100000 | 91 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 3/15/27 | 1200000 | 1146 |
|  Travis Perkins PLC 4.500%, 9/7/23 GBP §,∞ | 1900000 | 2263 |
|  United Airlines Pass Through Trust, Series 2014-1, Class A 4.000%, 10/11/27 | 588639 | 547 |
|  United Airlines Pass Through Trust, Series 2019-2, Class A 2.900%, 11/1/29 | 87888 | 70 |
|  United Airlines Pass-Through Trust, Series 2020-1, Class A 5.875%, 4/15/29 | 2292112 | 2260 |
|  US Airways Pass-Through Trust, Series 2012-1, Class A 5.900%, 4/1/26 | 593886 | 574 |
|  Volkswagen Leasing GmbH 2.625%, 1/15/24 EUR §,∞ | 1800000 | 1914 |
|  Wynn Macau, Ltd.<br>5.500%, 1/15/26 144A | 200000 | 183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 1/15/26 § | 500000 | 459 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**179** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Consumer, Cyclical continued** |  |  |
|  Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125%, 10/1/29 144A | 800000 | 686 |
|  ZF Europe Finance BV 2.000%, 2/23/26 EUR §,∞ | 2000000 | 1841 |
|  ZF Finance GmbH<br>2.750%, 5/25/27 EUR §,∞ | 4300000 | 3866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 9/21/28 EUR §,∞ | 2000000 | 1795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **71976** |
|  **Consumer, Non-cyclical (3.9%)** |  |  |
|  AA Bond Co., Ltd. 4.875%, 7/31/43 GBP §,∞ | 1200000 | 1373 |
|  AbbVie, Inc. 1.500%, 11/15/23 EUR ∞ | 400000 | 423 |
|  Abertis Infraestructuras SA<br>1.625%, 7/15/29 EUR §,∞ | 500000 | 438 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 3/26/32 EUR §,∞ | 600000 | 498 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 3/27/31 EUR §,∞ | 600000 | 557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 11/27/26 GBP §,∞ | 2100000 | 2297 |
|  Albion Financing 1 SARL / Aggreko Holdings, Inc.<br>5.250%, 10/15/26 EUR §,∞ | 1600000 | 1489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 10/15/26 144A | 300000 | 268 |
|  Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas LuxCo 4 SARL 3.625%, 6/1/28 144A EUR ∞ | 1400000 | 1186 |
|  Atlantia SpA<br>1.625%, 2/3/25 EUR §,∞ | 1200000 | 1193 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 7/13/27 EUR §,∞ | 400000 | 362 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 2/12/28 EUR §,∞ | 5500000 | 4873 |
|  Bacardi, Ltd. 4.700%, 5/15/28 144A | 2900000 | 2768 |
|  BAT Capital Corp.<br>3.222%, 8/15/24 | 100000 | 96 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.557%, 8/15/27 | 500000 | 457 |
|  Bellis Acquisition Co. PLC 3.250%, 2/16/26 GBP §,∞ | 4000000 | 3927 |
|  Centene Corp.<br>4.250%, 12/15/27 | 200000 | 188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/15/29 | 500000 | 457 |
|  CHS / Community Health Systems, Inc. 8.000%, 3/15/26 144A | 700000 | 637 |
|  Constellation Brands, Inc. 3.700%, 12/6/26 | 200000 | 190 |
|  CVS Pass-Through Trust<br>4.704%, 1/10/36 144A | 356318 | 320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.926%, 1/10/34 144A | 594255 | 580 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.507%, 1/10/32 144A | 59439 | 62 |
|  DaVita, Inc. 4.625%, 6/1/30 144A | 1900000 | 1528 |
|  Imperial Brands Finance PLC<br>3.500%, 7/26/26 144A | 200000 | 183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 7/27/27 144A | 2200000 | 2189 |
|  Loxam SAS<br>2.875%, 4/15/26 EUR §,∞ | 100000 | 95 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 1/14/25 EUR §,∞ | 900000 | 915 |
|  Market Bidco Finco PLC 4.750%, 11/4/27 144A EUR ∞ | 1898000 | 1620 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Consumer, Non-cyclical continued** |  |  |
|  Nexi SpA 2.125%, 4/30/29 EUR §,∞ | 3700000 | 3202 |
|  Organon & Co. / Organon Foreign Debt Co-Issuer BV 2.875%, 4/30/28 EUR §,∞ | 3900000 | 3648 |
|  Organon Finance 1 LLC 4.125%, 4/30/28 144A | 1100000 | 974 |
|  Perrigo Finance Unlimited Co. 4.400%, 6/15/30 | 200000 | 170 |
|  Q-Park Holding I BV 2.000%, 3/1/27 EUR §,∞ | 1000000 | 891 |
|  RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A | 500000 | 402 |
|  Teva Pharmaceutical Finance Netherlands II BV 4.375%, 5/9/30 EUR ∞ | 2000000 | 1762 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 3/1/25 EUR ∞ | 800000 | 820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **43038** |
|  **Diversified (0.0%)** |  |  |
|  Stena International SA 6.125%, 2/1/25 144A | 400000 | 372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **372** |
|  **Energy (6.9%)** |  |  |
|  Aker BP ASA 3.750%, 1/15/30 144A | 400000 | 352 |
|  Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.625%, 7/15/26 144A | 100000 | 97 |
|  Boardwalk Pipelines LP 3.400%, 2/15/31 | 200000 | 167 |
|  CGG SA<br>7.750%, 4/1/27 EUR §,∞ | 200000 | 173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.750%, 4/1/27 144A | 3400000 | 2718 |
|  Cheniere Corpus Christi Holdings LLC 5.125%, 6/30/27 | 100000 | 99 |
|  Cheniere Energy Partners LP 4.000%, 3/1/31 | 1400000 | 1192 |
|  Continental Resources, Inc. 4.375%, 1/15/28 | 1400000 | 1283 |
|  El Paso Natural Gas Co. LLC 8.375%, 6/15/32 | 200000 | 226 |
|  Energy Transfer LP<br>2.900%, 5/15/25 | 100000 | 94 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.600%, 2/1/23 | 100000 | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 5/15/30 | 200000 | 176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 5/15/28 | 1200000 | 1151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 5/15/50 | 200000 | 160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 4/15/29 | 100000 | 97 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.050%, 6/1/41 | 100000 | 94 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 2/1/42 | 300000 | 297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 10/15/36 | 500000 | 501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 7/1/38 | 1700000 | 1806 |
|  EQT Corp. 6.625%, 2/1/25 | 5500000 | 5513 |
|  Gray Oak Pipeline LLC 3.450%, 10/15/27 144A | 500000 | 442 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**180** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Energy continued** |  |  |
|  Greenko Solar Mauritius, Ltd. 5.550%, 1/29/25 144A | 1000000 | 938 |
|  Kinder Morgan Energy Partners LP 6.550%, 9/15/40 | 2382000 | 2387 |
|  Kinder Morgan, Inc. 7.750%, 1/15/32 | 1216000 | 1367 |
|  Midwest Connector Capital Co. LLC 3.900%, 4/1/24 144A | 200000 | 194 |
|  MPLX LP 4.250%, 12/1/27 | 100000 | 94 |
|  NGPL PipeCo LLC 7.768%, 12/15/37 144A | 3900000 | 4058 |
|  Noble Corp. PLC<br>11.000%, 2/15/28 144A | 32532 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.000%, 2/15/28 | 45537 | 50 |
|  NuStar Logistics LP<br>5.625%, 4/28/27 | 1400000 | 1309 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 6/1/26 | 200000 | 193 |
|  Occidental Petroleum Corp. 5.875%, 9/1/25 | 700000 | 697 |
|  Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%, 12/1/26 §,Þ | 1756862 | 953 |
|  Odebrecht Oil & Gas Finance, Ltd. 0.000%,<br>8/5/22 §,µ | 782000 | 2 |
|  Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 600000 | 538 |
|  Pertamina Persero PT 6.500%, 11/7/48 144A | 3800000 | 3791 |
|  Petroleos de Venezuela SA<br>5.375%, 4/12/27 §,j | 6500000 | 292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 4/12/37 §,j | 4300000 | 194 |
|  Petroleos Mexicanos<br>2.750%, 4/21/27 EUR §,∞ | 1100000 | 919 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 2/26/29 EUR §,∞ | 3500000 | 2916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 2/21/28 EUR §,∞ | 600000 | 524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 1/23/46 | 378000 | 220 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.950%, 1/28/31 | 4300000 | 3254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.350%, 2/12/48 | 1700000 | 1039 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 6/15/35 | 4200000 | 3047 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 6/15/38 | 2000000 | 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.700%, 2/16/32 | 4536000 | 3562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 9/21/47 | 2900000 | 1850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.690%, 1/23/50 | 2580000 | 1785 |
|  Petrorio Luxembourg SARL 6.125%, 6/9/26 144A | 200000 | 190 |
|  Plains All American Pipeline LP / PAA Finance Corp.<br>4.900%, 2/15/45 | 1100000 | 852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.650%, 1/15/37 | 277000 | 273 |
|  Ras Laffan Liquefied Natural Gas Co., Ltd. III<br>5.838%, 9/30/27 144A | 1872890 | 1881 |
|  Regency Energy Partners LP / Regency Energy Finance Corp. 4.500%, 11/1/23 | 300000 | 298 |
|  Rio Oil Finance Trust<br>9.250%, 7/6/24 144A | 617828 | 624 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.250%, 7/6/24 § | 540599 | 546 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.750%, 1/6/27 § | 300277 | 311 |
|  Sabine Pass Liquefaction LLC 4.500%, 5/15/30 | 700000 | 649 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Energy continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 3/1/25 | 4900000 | 4907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 5/15/24 | 800000 | 800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 6/30/26 | 400000 | 405 |
|  Santos Finance, Ltd. 3.649%, 4/29/31 144A | 700000 | 556 |
|  Southwestern Energy Co. 5.375%, 2/1/29 | 100000 | 93 |
|  Tallgrass Energy Partners LP 5.500%, 1/15/28 144A | 8400000 | 7449 |
|  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.500%, 3/1/30 | 1200000 | 1129 |
|  Western Midstream Operating, LP 3.350%, 2/1/25 | 1200000 | 1135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **76414** |
|  **Financial (18.6%)** |  |  |
|  ADLER Group SA<br>1.875%, 1/14/26 EUR §,∞ | 1100000 | 471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 11/13/26 EUR §,∞ | 1400000 | 592 |
|  ADLER Real Estate AG<br>2.125%, 2/6/24 EUR §,∞ | 2288000 | 2143 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 4/27/26 EUR §,∞ | 4900000 | 3614 |
|  AerCap Ireland Capital DAC / AerCap Global Aviation Trust<br>3.150%, 2/15/24 | 3600000 | 3480 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.650%, 7/21/27 | 500000 | 452 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.450%, 4/3/26 | 900000 | 859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 10/15/27 | 500000 | 464 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 1/16/24 | 1200000 | 1189 |
|  Aircastle, Ltd.<br>2.850%, 1/26/28 144A | 600000 | 491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 6/15/26 | 300000 | 282 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 8/11/25 144A | 2400000 | 2308 |
|  Ally Financial, Inc.<br>3.050%, 6/5/23 | 400000 | 395 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 11/1/31 | 1371000 | 1415 |
|  Antares Holdings LP 2.750%, 1/15/27 144A | 250000 | 200 |
|  Athora Netherlands NV<br>2.375%, 5/17/24 EUR §,∞ | 700000 | 723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,∞ | 200000 | 208 |
|  Atrium European Real Estate, Ltd. 4.250%, 9/11/25 EUR §,∞ | 3439000 | 3037 |
|  Aviation Capital Group LLC 5.500%, 12/15/24 144A | 1000000 | 982 |
|  Avolon Holdings Funding, Ltd. 2.528%, 11/18/27 144A | 2173000 | 1737 |
|  Banca Monte dei Paschi di Siena SpA<br>1.875%, 1/9/26 EUR §,∞ | 300000 | 275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 4/28/25 EUR §,∞ | 3300000 | 3187 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 9/24/24 EUR §,∞ | 3800000 | 3847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,∞ | 7100000 | 6066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.000%, (5 Year EUR Annual Swap Rate plus 8.149%), 1/22/30 EUR §,∞ | 500000 | 464 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,∞ | 800000 | 746 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**181** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
|  Banco Bilbao Vizcaya Argentaria SA<br>6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,∞ | 1600000 | 1665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.138%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.700%), 9/14/28 | 2300000 | 2303 |
|  Banco Bradesco SA 2.850%, 1/27/23 144A | 400000 | 399 |
|  Banco BTG Pactual SA 4.500%, 1/10/25 144A | 500000 | 482 |
|  Banco de Sabadell SA<br>1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,∞ | 200000 | 191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 5/10/24 EUR §,∞ | 900000 | 927 |
|  Banco do Brasil SA 4.625%, 1/15/25 144A | 900000 | 879 |
|  Banco Votorantim SA 4.500%, 9/24/24 § | 200000 | 194 |
|  Bank of America Corp.<br>3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28 | 973000 | 881 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 3/15/28 µ | 4500000 | 3963 |
|  Bank of Ireland Group PLC<br>6.253%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 9/16/26 144A | 600000 | 595 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, (5 Year EUR Annual Swap Rate plus 7.924%), 5/19/25 EUR §,µ,∞ | 1700000 | 1766 |
|  Barclays PLC<br>5.501%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 8/9/28 | 3000000 | 2906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.867%),<br>12/15/25 µ | 500000 | 456 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.437%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.500%), 11/2/33 | 500000 | 524 |
|  BNP Paribas SA<br>1.904%, (US SOFR plus 1.609%), 9/30/28 144A | 1700000 | 1416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A | 1800000 | 1782 |
|  CaixaBank SA 6.750%, (5 Year EUR Annual Swap Rate plus 6.498%), 6/13/24 EUR §,µ,∞ | 200000 | 209 |
|  Cantor Fitzgerald LP 4.875%, 5/1/24 144A | 100000 | 98 |
|  Chubb INA Holdings, Inc. 0.875%, 6/15/27 EUR ∞ | 200000 | 187 |
|  Citigroup, Inc.<br>3.070%, (US SOFR plus 1.280%), 2/24/28 | 200000 | 180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.400%, 5/1/26 | 400000 | 379 |
|  Corestate Capital Holding SA 3.500%, 4/15/23<br>EUR §,∞,j | 700000 | 100 |
|  CPI Property Group SA 1.625%, 4/23/27<br>EUR §,∞ | 700000 | 532 |
|  Credit Agricole SA 1.907%, (US SOFR plus 1.676%), 6/16/26 144A | 500000 | 456 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
|  Credit Suisse AG<br>6.500%, 8/8/23 144A | 7400000 | 7156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 8/8/23 § | 1700000 | 1644 |
|  DAE Sukuk DIFC, Ltd. 3.750%, 2/15/26 144A | 1000000 | 948 |
|  Deutsche Bank AG<br>1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,∞ | 2500000 | 1946 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,∞ | 6700000 | 5629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.035%, (US SOFR plus 1.718%), 5/28/32 | 200000 | 152 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.547%, (US SOFR plus 3.043%), 9/18/31 | 1300000 | 1042 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.729%, (US SOFR plus 2.757%), 1/14/32 | 3300000 | 2420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.742%, (US SOFR plus 2.257%), 1/7/33 | 700000 | 497 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, (5 Year EUR Annual Swap Rate plus 6.000%), 5/19/31 EUR §,∞ | 2600000 | 2715 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.882%, (US SOFR plus 5.438%), 7/8/31 | 400000 | 345 |
|  Fairfax Financial Holdings, Ltd.<br>2.750%, 3/29/28 144A EUR ∞ | 500000 | 466 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 3/29/28 EUR §,∞ | 1200000 | 1120 |
|  Fidelity National Financial, Inc. 3.400%, 6/15/30 | 200000 | 169 |
|  Freedom Mortgage Corp.<br>6.625%, 1/15/27 144A | 500000 | 389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.625%, 5/1/26 144A | 2100000 | 1752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.125%, 11/15/24 144A | 3560000 | 3275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.250%, 4/15/25 144A | 782000 | 703 |
|  Globalworth Real Estate Investments, Ltd. 3.000%, 3/29/25 EUR §,∞ | 3900000 | 3645 |
|  GLP Capital LP / GLP Financing II, Inc.<br>3.350%, 9/1/24 | 100000 | 96 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 6/1/28 | 400000 | 392 |
|  The Goldman Sachs Group, Inc.<br>2.125%, 9/30/24 EUR §,∞ | 1200000 | 1256 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 3/27/25 EUR §,∞ | 200000 | 213 |
|  Growthpoint Properties International Pty, Ltd.<br>5.872%, 5/2/23 144A | 300000 | 298 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.872%, 5/2/23 § | 5800000 | 5757 |
|  HSBC Holdings PLC<br>1.645%, (US SOFR plus 1.538%), 4/18/26 | 200000 | 181 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.099%, (US SOFR plus 1.929%), 6/4/26 | 200000 | 182 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.804%, (US SOFR plus 1.187%), 5/24/32 | 3300000 | 2553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.973%, (ICE LIBOR USD 3 Month plus 1.610%), 5/22/30 | 4900000 | 4289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 3/8/26 | 2300000 | 2225 |
|  Huarong Finance 2019 Co., Ltd.<br>2.125%, 9/30/23 § | 1100000 | 1056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 2/24/23 § | 800000 | 792 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.824%, (ICE LIBOR USD 3 Month plus 1.125%), 2/24/23 § | 3800000 | 3779 |
|  ING Groep NV<br>5.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 4.342%), 11/16/26 µ | 1800000 | 1597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ | 900000 | 865 |
|  Intesa Sanpaolo SpA<br>3.250%, 9/23/24 144A | 300000 | 285 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 9/23/29 144A | 200000 | 171 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,∞ | 4050000 | 3576 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**182** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,∞ | 900000 | 774 |
|  Jefferies Finance LLC / JFIN Co-Issuer Corp.<br>5.000%, 8/15/28 144A | 1500000 | 1224 |
|  Kaisa Group Holdings, Ltd.<br>9.375%, 6/30/24 §,j | 400000 | 54 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.750%, 9/28/23 §,j | 600000 | 81 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.500%, 1/15/25 §,j | 1100000 | 149 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.875%, 7/23/23 §,j | 400000 | 54 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.250%, 4/16/25 §,j | 3500000 | 475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.650%, 6/1/26 §,j | 1000000 | 136 |
|  Kennedy Wilson, Inc. 4.750%, 2/1/30 | 1800000 | 1373 |
|  LeasePlan Corp. NV 2.875%, 10/24/24 144A | 300000 | 281 |
|  Liberty Mutual Finance Europe DAC 1.750%, 3/27/24 EUR §,∞ | 100000 | 104 |
|  Lincoln Financing SARL 3.625%, 4/1/24 EUR §,∞ | 6000000 | 6326 |
|  Lloyds Banking Group PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.511%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 3/18/26 | 200000 | 190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.800%), 3/18/28 | 2500000 | 2308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.976%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/11/33 | 200000 | 184 |
|  Logicor Financing SARL 3.250%, 11/13/28<br>EUR §,∞ | 600000 | 539 |
|  Marsh & McLennan Cos., Inc. 1.349%, 9/21/26<br>EUR ∞ | 100000 | 97 |
|  Morgan Stanley 4.000%, 7/23/25 | 3600000 | 3515 |
|  Nationwide Building Society<br>4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A | 4500000 | 4441 |
|  NatWest Group PLC<br>2.500%, 3/22/23 EUR §,∞ | 100000 | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24 | 200000 | 198 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.800%, 4/5/26 | 2800000 | 2738 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 | 3700000 | 3501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.625%),<br>12/29/25 µ | 500000 | 462 |
|  New Metro Global, Ltd. 4.500%, 5/2/26 § | 1700000 | 1144 |
|  NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,µ,∞ | 2600000 | 2703 |
|  OMEGA Healthcare Investors, Inc.<br>4.500%, 1/15/25 | 100000 | 97 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 4/1/24 | 100000 | 99 |
|  OneMain Finance Corp.<br>3.500%, 1/15/27 | 1100000 | 911 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 9/15/30 | 700000 | 522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 3/15/24 | 2500000 | 2418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 3/15/25 | 1900000 | 1825 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 3/15/26 | 1400000 | 1331 |
|  Pacific Life Global Funding II 1.200%, 6/24/25 144A | 200000 | 181 |
|  Park Aerospace Holdings, Ltd.<br>4.500%, 3/15/23 144A | 3900000 | 3890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 2/15/24 144A | 112000 | 111 |
|  RLJ Lodging Trust LP 3.750%, 7/1/26 144A | 200000 | 178 |
|  Santander UK Group Holdings PLC<br>2.896%, (US SOFR plus 1.475%), 3/15/32 | 800000 | 618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 | 4000000 | 3575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 6/24/24 GBP §,µ,∞ | 1390000 | 1611 |
|  SBB Treasury Oyj 0.750%, 12/14/28 EUR §,∞ | 700000 | 476 |
|  Sberbank of Russia Via SB Capital SA 5.250%, 5/23/23 §,j | 4500000 | 594 |
|  Seazen Group, Ltd. 6.000%, 8/12/24 § | 200000 | 154 |
|  Service Properties Trust 4.350%, 10/1/24 | 200000 | 182 |
|  Societe Generale SA<br>7.375%, (USD 5 Year Swap Rate plus 4.302%), 10/4/23 144A µ | 300000 | 288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.875%, (USD 5 Year Swap Rate plus 4.979%), 12/29/49 144A µ | 200000 | 198 |
|  Sunac China Holdings, Ltd.<br>5.950%, 4/26/24 §,j | 2000000 | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.650%, 8/3/24 §,j | 600000 | 127 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 6/14/22 §,j | 2600000 | 533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.350%, 4/19/23 §,j | 1600000 | 345 |
|  Tesco Property Finance 3 PLC 5.744%, 4/13/40<br>GBP §,∞ | 92080 | 104 |
|  Tesco Property Finance 6 PLC 5.411%, 7/13/44<br>GBP §,∞ | 2560067 | 2780 |
|  TP ICAP PLC 5.250%, 1/26/24 GBP §,∞ | 3700000 | 4363 |
|  Trust Fibra Uno 6.390%, 1/15/50 144A | 200000 | 161 |
|  UBS Group AG 4.703%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.050%), 8/5/27 144A | 400000 | 387 |
|  UniCredit SpA<br>2.569%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 9/22/26 144A | 2900000 | 2568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.296%, (USD 5 Year Swap Rate plus 4.914%), 4/2/34 144A | 5700000 | 5224 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.830%, 12/4/23 144A | 5650000 | 5677 |
|  The Unique Pub Finance Co. PLC 7.395%, 3/28/24 GBP §,∞ | 177280 | 212 |
|  Virgin Money UK PLC<br>3.125%, (6 Month GBP-LIBOR plus 2.569%), 6/22/25 GBP §,∞ | 100000 | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, (1 Year GBP Swap Rate plus 2.145%), 4/24/26 GBP §,∞ | 100000 | 111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,∞ | 500000 | 561 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**183** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Financial continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27<br>GBP §,∞ | 200000 | 218 |
|  Vonovia Finance BV 5.000%, 10/2/23 144A | 300000 | 296 |
|  Wells Fargo & Co. 1.000%, 2/2/27 EUR §,∞ | 1500000 | 1409 |
|  Weyerhaeuser Co. 7.375%, 3/15/32 | 424000 | 469 |
|  Yango Justice International, Ltd.<br>7.500%, 4/15/24 §,j | 4200000 | 111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 9/4/24 §,j | 600000 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **207299** |
|  **Industrial (2.0%)** |  |  |
|  Berry Global, Inc. 1.570%, 1/15/26 | 100000 | 89 |
|  Constellation Oil Services Holding SA 3.000%, 12/31/26 | 100335 | 59 |
|  DAE Funding LLC<br>1.550%, 8/1/24 144A | 1700000 | 1580 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 2/15/24 144A | 1000000 | 949 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 3/20/25 144A | 500000 | 467 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 3/20/28 144A | 700000 | 620 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 3/20/28 § | 200000 | 177 |
|  Empresa de Transporte de Pasajeros Metro SA<br>4.700%, 5/7/50 § | 1400000 | 1173 |
|  Flex, Ltd. 3.750%, 2/1/26 | 700000 | 661 |
|  Fortress Transportation & Infrastructure<br>5.500%, 5/1/28 144A | 400000 | 341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 10/1/25 144A | 4818000 | 4530 |
|  GE Capital UK Funding Unlimited Co. 5.875%, 1/18/33 GBP ∞ | 800000 | 980 |
|  General Electric Co. 4.125%, 9/19/35 EUR §,∞ | 500000 | 527 |
|  Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A | 283863 | 275 |
|  The Manitowoc Co., Inc. 9.000%, 4/1/26 144A | 6200000 | 5814 |
|  Rolls-Royce PLC<br>4.625%, 2/16/26 EUR §,∞ | 1600000 | 1657 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 10/15/27 144A | 200000 | 191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 10/15/27 GBP §,∞ | 100000 | 110 |
|  SMBC Aviation Capital Finance DAC 2.300%, 6/15/28 144A | 200000 | 164 |
|  Spirit Aerosystems, Inc. 9.375%, 11/30/29 144A | 100000 | 105 |
|  Standard Industries, Inc.<br>2.250%, 11/21/26 144A EUR ∞ | 1300000 | 1183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.250%, 11/21/26 EUR §,∞ | 1300000 | 1183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **22835** |
|  **Technology (1.1%)** |  |  |
|  Broadcom, Inc. 2.450%, 2/15/31 144A | 700000 | 551 |
|  Dell International LLC / EMC Corp.<br>5.300%, 10/1/29 | 4300000 | 4206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.450%, 6/15/23 | 293000 | 293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.020%, 6/15/26 | 400000 | 408 |

---

---

| | | |
|:---|:---|:---|
| Corporate Bonds (47.1%) | Shares/<br> Par <sup>+</sup> | Value<br> $(000's) |
|  **Technology continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.100%, 7/15/36 | 162000 | 182 |
|  NXP BV / NXP Funding LLC<br>4.875%, 3/1/24 | 1700000 | 1687 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.350%, 3/1/26 | 1600000 | 1591 |
|  Seagate HDD Cayman<br>4.125%, 1/15/31 | 650000 | 507 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.625%, 12/1/32 144A | 920000 | 1009 |
|  Ubisoft Entertainment SA 0.878%, 11/24/27<br>EUR §,∞ | 800000 | 657 |
|  VMware, Inc.<br>4.500%, 5/15/25 | 300000 | 294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.650%, 5/15/27 | 1400000 | 1355 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.700%, 5/15/30 | 100000 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **12833** |
|  **Utilities (1.3%)** |  |  |
|  Adani Electricity Mumbai, Ltd. 3.949%, 2/12/30 144A | 300000 | 227 |
|  Centrais Eletricas Brasileiras SA 4.625%, 2/4/30 144A | 300000 | 263 |
|  Edison International 5.750%, 6/15/27 | 100000 | 100 |
|  Electricite de France SA 4.500%, 9/21/28 144A | 900000 | 852 |
|  FEL Energy VI SARL 5.750%, 12/1/40 § | 3049035 | 2609 |
|  Nakilat, Inc.<br>6.067%, 12/31/33 § | 920080 | 947 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.267%, 12/31/33 144A | 464429 | 481 |
|  National Fuel Gas Co. 5.200%, 7/15/25 | 300000 | 298 |
|  NPC Ukrenergo 6.875%, 11/9/28 § | 800000 | 138 |
|  Pacific Gas & Electric Co.<br>2.100%, 8/1/27 | 100000 | 85 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 2/1/31 | 100000 | 78 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.950%, 3/1/26 | 100000 | 92 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.150%, 1/1/26 | 1600000 | 1487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 6/15/23 | 100000 | 99 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.300%, 3/15/27 | 200000 | 178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.300%, 12/1/27 | 500000 | 441 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.300%, 8/1/40 | 2700000 | 1828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.450%, 7/1/25 | 300000 | 284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 6/15/25 | 1500000 | 1415 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 7/1/28 | 100000 | 89 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.200%, 6/1/41 | 100000 | 74 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 8/1/23 | 200000 | 199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 3/15/46 | 100000 | 70 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.450%, 4/15/42 | 300000 | 223 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.550%, 7/1/30 | 500000 | 453 |
|  Perusahaan Listrik Negara PT 3.000%, 6/30/30 144A | 1500000 | 1229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **14239** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds (Cost: $646,435)** |  | **524659** |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**184** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Convertible Corporate Bonds (0.1%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Financial (0.1%)** |  |  |
|  Corestate Capital Holding SA<br>1.375%, 11/28/22 EUR §,∞,j | 5700000 | 984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **984** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Convertible Corporate Bonds (Cost: $6,684)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Convertible Corporate Bonds (Cost: $6,684)** | **984** |
| Governments (16.2%) |  |  |
|  **Governments (16.2%)** |  |  |
|  Abu Dhabi Government International Bond<br>2.700%, 9/2/70 144A | 3700000 | 2299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.700%, 9/2/70 § | 900000 | 559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 4/16/50 § | 1500000 | 1269 |
|  Albania Government International Bond 3.500%, 6/16/27 144A EUR ∞ | 1400000 | 1330 |
|  Arab Republic of Egypt<br>5.625%, 4/16/30 144A EUR ∞ | 1550000 | 1147 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 4/16/30 EUR §,∞ | 1700000 | 1257 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 2/16/61 144A | 1900000 | 1170 |
|  Argentine Republic Government International Bond<br>0.500%, 7/9/30 | 866857 | 234 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 7/9/29 | 405455 | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 7/9/35 | 5922164 | 1492 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 7/9/41 | 13420196 | 3798 |
|  Australian Government 4.250%, 4/21/26 AUD §,∞ | 2400000 | 1669 |
|  Banque Ouest Africaine de Developpement 2.750%, 1/22/33 144A EUR ∞ | 500000 | 402 |
|  Brazilian Government International Bond 5.000%, 1/27/45 | 1000000 | 741 |
|  Colombia Government International Bond<br>5.000%, 6/15/45 | 6000000 | 4082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.200%, 5/15/49 | 200000 | 136 |
|  Dominican Republic International Bond<br>4.875%, 9/23/32 144A | 550000 | 457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 9/23/32 § | 1700000 | 1411 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 2/15/48 144A | 2800000 | 2303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 2/15/48 § | 2800000 | 2303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 1/29/26 § | 500000 | 505 |
|  Ecuador Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 7/31/30 144A | 323958 | 127 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.500%, 7/31/40 144A | 1225800 | 500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 7/31/35 144A | 2674620 | 1230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 7/31/30 § | 1500000 | 964 |
|  Egypt Government International Bond<br>6.375%, 4/11/31 EUR §,∞ | 3300000 | 2447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 2/16/61 § | 800000 | 493 |
|  Export-Import Bank of India 3.375%, 8/5/26 § | 600000 | 561 |
|  Federal Republic of Nigeria<br>7.625%, 11/28/47 § | 700000 | 449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.696%, 2/23/38 § | 600000 | 406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 2/16/32 § | 2800000 | 2105 |
|  Ghana Government International Bond<br>8.125%, 3/26/32 § | 400000 | 142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.950%, 3/26/51 § | 800000 | 278 |
|  Ivory Coast Government International Bond<br>5.250%, 3/22/30 EUR §,∞ | 500000 | 450 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 10/17/31 144A EUR ∞ | 300000 | 268 |

---

---

| | | |
|:---|:---|:---|
| Governments (16.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Governments continued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 3/22/48 144A EUR ∞ | 900000 | 676 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 3/22/48 EUR §,∞ | 800000 | 601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 10/17/40 144A EUR ∞ | 400000 | 321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 10/17/40 EUR §,∞ | 100000 | 80 |
|  Kingdom of Jordan<br>4.950%, 7/7/25 144A | 300000 | 287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.850%, 7/7/30 144A | 400000 | 358 |
|  Morocco Government International Bond<br>4.000%, 12/15/50 144A | 500000 | 342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 12/11/42 § | 800000 | 686 |
|  North Macedonia 3.675%, 6/3/26 144A EUR ∞ | 500000 | 492 |
|  Oman Government International Bond<br>6.000%, 8/1/29 § | 900000 | 902 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 1/25/31 144A | 2300000 | 2313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 3/8/47 § | 500000 | 455 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 1/17/48 § | 4800000 | 4491 |
|  Panama Government International Bond<br>6.700%, 1/26/36 | 1900000 | 1979 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.125%, 4/28/34 | 100000 | 119 |
|  Provincia de Buenos Aires 37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,∞ | 740000 | 2 |
|  Republic of Belarus Ministry of Finance 5.875%, 2/24/26 144A j | 600000 | 246 |
|  Republic of Indonesia<br>0.900%, 2/14/27 EUR ∞ | 1700000 | 1596 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.400%, 10/30/31 EUR ∞ | 1900000 | 1581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.450%, 9/18/26 EUR ∞ | 700000 | 681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 7/30/25 144A EUR ∞ | 800000 | 848 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 6/14/28 144A EUR ∞ | 1900000 | 1971 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 6/14/28 EUR §,∞ | 2200000 | 2283 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 4/15/43 § | 2700000 | 2433 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 1/15/45 § | 1800000 | 1737 |
|  Republic of Paraguay<br>5.600%, 3/13/48 § | 600000 | 523 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.100%, 8/11/44 § | 300000 | 288 |
|  Republic of Peru 3.300%, 3/11/41 | 2700000 | 1963 |
|  Republic of Serbia 1.650%, 3/3/33 144A EUR ∞ | 700000 | 453 |
|  Republic of South Africa Government International Bond<br>4.850%, 9/30/29 | 1200000 | 1068 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 4/14/26 | 600000 | 580 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 10/12/46 | 500000 | 349 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 9/30/49 | 4500000 | 3293 |
|  Romanian Government International Bond<br>2.000%, 4/14/33 144A EUR ∞ | 1400000 | 958 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 4/13/42 144A EUR ∞ | 500000 | 299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 3/11/39 EUR §,∞ | 1500000 | 1143 |
|  Russian Federation<br>4.250%, 6/23/27 144A j | 200000 | 62 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 6/23/27 §,j | 1000000 | 310 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 6/23/47 144A j | 200000 | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 6/23/47 §,j | 2400000 | 792 |
|  Saudi International Bond 4.500%, 10/26/46 § | 9300000 | 8242 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**185** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Governments (16.2%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Governments continued** |  |  |
|  Sri Lanka Government International Bond<br>7.550%, 3/28/30 §,j | 1600000 | 495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.850%, 3/14/29 §,j | 500000 | 155 |
|  State Agency of Roads of Ukraine 6.250%, 6/24/30 § | 600000 | 102 |
|  State of Minas Gerais 5.333%, 2/15/28 § | 120000 | 116 |
|  State of Qatar<br>4.400%, 4/16/50 144A | 1200000 | 1098 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 4/16/50 § | 2400000 | 2195 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 4/23/28 § | 1100000 | 1106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.817%, 3/14/49 § | 800000 | 778 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.103%, 4/23/48 § | 1200000 | 1205 |
|  Turkey Government International Bond<br>4.875%, 4/16/43 | 2800000 | 1816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 5/11/47 | 4400000 | 2992 |
|  Ukraine Government International Bond<br>4.375%, 1/27/32 144A EUR ∞ | 1600000 | 302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 1/27/32 EUR §,∞ | 1700000 | 321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 6/20/28 144A EUR ∞ | 600000 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.876%, 5/21/31 144A | 900000 | 170 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 9/25/34 § | 300000 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.994%, 2/1/26 144A | 1000000 | 220 |
|  United Mexican States<br>2.125%, 10/25/51 EUR ∞ | 1000000 | 581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.771%, 5/24/61 | 5400000 | 3410 |
|  US Treasury<br>1.875%, 8/31/24 b | 7310000 | 6992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 3/31/24 b | 3970000 | 3846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 11/30/24 b | 3400000 | 3255 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.250%, 11/15/24 | 15910000 | 15280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 8/15/24 b | 3700000 | 3570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 1/31/24 | 10590000 | 10340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 2/15/24 b | 8700000 | 8512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 11/30/23 b | 4230000 | 4161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 11/15/42 | 19800000 | 19385 |
|  Venezuela Government International Bond<br>6.000%, 12/9/49 §,j | 32000 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 3/31/38 §,j | 204000 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.650%, 4/21/25 §,j | 1955000 | 156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.250%, 10/13/24 §,j | 356000 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.000%, 5/7/23 §,j | 32000 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.250%, 5/7/28 §,j | 1241000 | 102 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.375%, 1/13/34 j | 1400000 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **179957** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Governments (Cost: $226,213)** |  | **179957** |
| Municipal Bonds (0.6%) |  |  |
|  **Municipal Bonds (0.6%)** |  |  |
|  American Municipal Power, Inc. 7.834%, 2/15/41 RB | 100000 | 122 |
|  Bay Area Toll Authority, California, Series 2010<br>6.918%, 4/1/40 RB | 200000 | 234 |
|  City of Riverside California Electric Revenue 7.605%, 10/1/40 RB | 200000 | 242 |
|  Golden State Tobacco Securitization Corp. 3.850%, 6/1/50 RB | 3030000 | 2679 |

---

---

| | | |
|:---|:---|:---|
| Municipal Bonds (0.6%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Municipal Bonds continued** |  |  |
|  Irvine Ranch California Water District 6.622%, 5/1/40 RB | 100000 | 112 |
|  Los Angeles County California Public Works Financing Authority 7.618%, 8/1/40 RB | 200000 | 245 |
|  Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB | 100000 | 112 |
|  Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB | 96000 | 104 |
|  New York City Transitional Finance Authority 5.508%, 8/1/37 RB | 300000 | 308 |
|  New York State Urban Development Corp. 5.770%, 3/15/39 RB | 100000 | 103 |
|  Port Authority of New York & New Jersey, Series<br>165 5.647%, 11/1/40 RB | 1100000 | 1149 |
|  Port Authority of New York & New Jersey, Series<br>168 4.926%, 10/1/51 RB | 200000 | 188 |
|  State of Illinois<br>6.630%, 2/1/35 GO | 245000 | 248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.725%, 4/1/35 GO | 95000 | 97 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.350%, 7/1/35 GO | 185714 | 195 |
|  Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB | 800000 | 805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Municipal Bonds (Cost: $6,884)** |  | **6943** |
| Structured Products (13.5%) |  |  |
|  **Asset Backed Securities (8.3%)** |  |  |
|  ABFC Trust, Series 2007-WMC1, Class A1A 5.639%, (ICE LIBOR USD 1 Month plus 1.250%), 6/25/37 | 8401753 | 5806 |
|  Accredited Mortgage Loan Trust, Series 2005-3, Class M3 5.109%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35 | 97344 | 96 |
|  ACE Securities Corp. Home Equity Loan Trust,<br>Series 2004-HE4, Class M1 5.289%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34 | 54268 | 48 |
|  ACE Securities Corp. Home Equity Loan Trust,<br>Series 2004-RM2, Class M2 5.184%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35 | 37596 | 34 |
|  ACE Securities Corp. Home Equity Loan Trust,<br>Series 2005-HE4, Class M4 5.364%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35 | 14118 | 14 |
|  ACE Securities Corp. Home Equity Loan Trust,<br>Series 2006-FM1, Class A2C 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/36 | 7110054 | 1883 |
|  Aegis Asset Backed Securities Trust, Series 2004-6, Class M2 5.389%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35 | 72198 | 67 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**186** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | | |
|:---|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par + | Value<br> $(000's) |  |
|  **Asset Backed Securities continued** |  |  |  |
|  Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1 5.259%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34 | 10040 | 10 |  |
|  Ares European CLO VI DAC, Series 2013-6A, Class ARR 1.988%, (Euribor 3 Month ACT/360 plus 0.610%), 4/15/30 144A EUR ∞ | 494180 | 514 |  |
|  Ares European CLO, Series 10A, Class AR 2.158%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞ | 1100000 | 1142 |  |
|  Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4 5.289%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35 | 91993 | 89 |  |
|  Aurium CLO I DAC, Series 2019-1A, Class ARR 3.152%, (Euribor 3 Month ACT/360 plus 1.050%), 3/23/32 144A EUR ∞ | 250000 | 261 |  |
|  Bain Capital Euro CLO, Series 2018-2A, Class AR 2.196%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ∞ | 300000 | 312 |  |
|  Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1 5.639%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37 | 55916 | 55 |  |
|  Cairn CLO BV, Series 2014-A4, Class ARRR 2.178%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ∞ | 296033 | 308 |  |
|  Cairn CLO X BV, Series 2018-10A, Class AR 2.158%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞ | 700000 | 732 |  |
|  Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R 2.078%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ∞ | 899590 | 937 |  |
|  Carrington Mortgage Loan Trust, Series 2005-FRE1, Class M3 5.154%, (ICE LIBOR USD 1 Month plus 0.765%), 12/25/35 | 8016000 | 5913 |  |
|  Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C 4.809%, (ICE LIBOR USD 1 Month plus 0.420%), 12/25/36 | 90966 | 89 |  |
|  Countrywide Alternative Loan Trust, Series 2006-5, Class M1 4.914%, (ICE LIBOR USD 1 Month plus 0.525%), 8/25/36 | 1500000 | 1422 |  |
|  Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4 5.964%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34 | 72041 | 71 |  |
|  Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6 4.740%, (AFC), 10/25/35 | 10 |  | π |
|  Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4 5.089%, (ICE LIBOR USD 1 Month plus 0.700%), 3/25/36 | 77367 | 70 |  |

---

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par + | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5 4.486%, (AFC), 7/25/36 S | 85745 | 76 |
|  Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A 4.529%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37 | 369771 | 337 |
|  Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3 4.969%, (ICE LIBOR USD 1 Month plus 0.580%), 8/25/36 | 1829 | 2 |
|  Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2 4.869%, (ICE LIBOR USD 1 Month plus 0.480%), 2/25/37 | 900000 | 771 |
|  Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3 4.529%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37 | 8979 | 9 |
|  Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A 5.229%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47 | 1161478 | 1117 |
|  Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A 4.589%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47 | 749266 | 637 |
|  Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1 5.489%, (ICE LIBOR USD 1 Month plus 1.100%), (AFC), 5/25/47 144A | 1046580 | 790 |
|  Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1 4.598%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32 | 2128 | 2 |
|  CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR 2.028%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ∞ | 800000 | 828 |
|  Ellington Loan Acquisition Trust, Series 2007-2, Class A1 5.439%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A | 195955 | 185 |
|  Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR 2.122%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ∞ | 300000 | 311 |
|  Fremont Home Loan Trust, Series 2005-2, Class M4 5.319%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35 | 300000 | 266 |
|  GSAA Home Equity Trust, Series 2006-17, Class A1 4.509%, (ICE LIBOR USD 1 Month plus 0.120%), 11/25/36 | 46780 | 12 |
|  GSAMP Trust, Series 2004-WF, Class M2 6.039%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34 | 13402 | 13 |
|  GSAMP Trust, Series 2007-FM2, Class A2B 4.479%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37 | 154450 | 93 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**187** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par + | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  GSAMP Trust, Series 2007-NC1, Class A2A 4.439%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46 | 12343 | 6 |
|  Harvest CLO XX DAC, Series 2020-A, Class AR 2.136%, (Euribor 3 Month ACT/360 plus 0.680%), 10/20/31 144A EUR ∞ | 600000 | 622 |
|  Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4 4.729%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37 | 500000 | 436 |
|  HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4 5.169%, (ICE LIBOR USD 1 Month plus 0.780%), 11/25/35 | 155821 | 138 |
|  IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2 4.549%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37 | 319999 | 170 |
|  Invesco Euro CLO III DAC, Series 3A, Class A 2.298%, (Euribor 3 Month ACT/360 plus 0.920%), 7/15/32 144A EUR ∞ | 500000 | 514 |
|  JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class M1 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/37 | 400000 | 373 |
|  KKR Financial CLO, Ltd., Series 9, Class AR2 5.029%, (ICE LIBOR USD 3 Month plus 0.950%), 7/15/30 144A | 2041970 | 2000 |
|  Laurelin DAC, Series 2016-1A, Class ARR 2.176%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ∞ | 400000 | 414 |
|  LCM XV LP, Series 2015-A, Class AR2 5.243%, (ICE LIBOR USD 3 Month plus 1.000%), 7/20/30 144A | 1733694 | 1703 |
|  Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4 4.989%, (ICE LIBOR USD 1 Month plus 0.600%), 2/25/36 | 53546 | 44 |
|  Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4 4.929%, (ICE LIBOR USD 1 Month plus 0.540%), 5/25/46 | 278698 | 92 |
|  Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/36 | 1032916 | 593 |
|  Madison Park Euro Funding XIV DAC, Series 14A, Class A1R 2.178%, (Euribor 3 Month ACT/360 plus 0.800%), 7/15/32 144A EUR ∞ | 300000 | 310 |
|  Man GLG EURO CLO III DAC, Series 2021-3A, Class AR 2.058%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ∞ | 375488 | 392 |
|  Man GLG EURO CLO, Series 2022-6A, Class AR 2.188%, (Euribor 3 Month ACT/360 plus 0.810%), 10/15/32 144A EUR ∞ | 299832 | 310 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par + | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Marathon CLO, Ltd., Series 2017-9A, Class A1AR 5.229%, (ICE LIBOR USD 3 Month plus 1.150%), 4/15/29 144A | 1201992 | 1188 |
|  Marble Point CLO X, Ltd., Series 2017-1A, Class AR 5.119%, (ICE LIBOR USD 3 Month plus 1.040%), 10/15/30 144A | 5200000 | 5087 |
|  MASTR Asset Backed Securities Trust, Series 2004-OPT1, Class M1 5.169%, (ICE LIBOR USD 1 Month plus 0.780%), 2/25/34 Σ | 723598 | 682 |
|  MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1 5.289%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34 | 83098 | 80 |
|  MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/36 | 8940159 | 7916 |
|  MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2 4.589%, (ICE LIBOR USD 1 Month plus 0.200%), 8/25/36 | 1996893 | 606 |
|  MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5 4.539%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36 | 846978 | 272 |
|  Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1 4.839%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47 | 712763 | 425 |
|  MF1, Series 2022-FL8, Class A 5.176%, (US 30 Day Average SOFR plus 1.350%), 2/19/37 144A | 1000000 | 958 |
|  Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4 5.259%, (ICE LIBOR USD 1 Month plus 0.870%), 9/25/35 | 5956056 | 4860 |
|  Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ 4.969%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35 | 784058 | 772 |
|  Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2 5.094%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35 | 162120 | 149 |
|  Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5 5.379%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35 | 127006 | 124 |
|  Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C 4.709%, (ICE LIBOR USD 1 Month plus 0.320%), 9/25/36 | 59537 | 26 |
|  Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C 4.529%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36 | 54852 | 26 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**188** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par + | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C 4.639%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37 | 54610 | 24 |
|  Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1 5.964%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32 | 7986 | 8 |
|  Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1 5.739%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33 | 16064 | 16 |
|  Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3 4.619%, (ICE LIBOR USD 1 Month plus 0.230%), 4/25/37 | 2989375 | 1637 |
|  NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B 4.549%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37 | 143089 | 141 |
|  Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR 2.196%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ∞ | 1200000 | 1243 |
|  Popular Mortgage Pass-Through Trust, Series 2006-A, Class M1 4.974%, (ICE LIBOR USD 1 Month plus 0.585%), (AFC), 2/25/36 | 40638 | 40 |
|  RAAC Series, Series 2007-RP4, Class A 4.739%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A | 168714 | 150 |
|  Renaissance Home Equity Loan Trust, Series 2006-4, Class AF6 5.340%, 1/25/37 S | 1514158 | 487 |
|  Residential Asset Securities Corp., Series 2007-KS3, Class AI4 4.729%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37 | 1354342 | 1263 |
|  Saranac CLO, Ltd., Series 2018-6A, Class A1R 5.873%, (ICE LIBOR USD 3 Month plus 1.140%), 8/13/31 144A | 2900000 | 2803 |
|  Saxon Asset Securities Trust, Series 2006-1, Class M1 4.854%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36 | 191217 | 181 |
|  Sculptor CLO XXV, Ltd., Series 25A, Class A1 5.349%, (ICE LIBOR USD 3 Month plus 1.270%), 1/15/31 144A | 2100000 | 2056 |
|  Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2 5.349%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36 | 34669 | 33 |
|  Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR2 5.315%, (ICE LIBOR USD 3 Month plus 0.990%), 1/23/29 144A | 363822 | 361 |
|  Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR 5.338%, (ICE LIBOR USD 3 Month plus 0.980%), 7/25/30 144A | 5200000 | 5109 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par + | Value<br> $(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Soundview Home Loan Trust, Series 2006-2, Class M2 4.914%, (ICE LIBOR USD 1 Month plus 0.525%), 3/25/36 | 163019 | 161 |
|  Soundview Home Loan Trust, Series 2006-OPT2, Class A4 4.949%, (ICE LIBOR USD 1 Month plus 0.560%), 5/25/36 | 113813 | 108 |
|  Soundview Home Loan Trust, Series 2006-OPT3, Class M1 4.854%, (ICE LIBOR USD 1 Month plus 0.465%), 6/25/36 | 6659136 | 5662 |
|  Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 5.364%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35 | 97075 | 94 |
|  Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1 5.364%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33 | 9755 | 10 |
|  Structured Asset Investment Loan Trust, Series 2005-7, Class M2 5.154%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35 | 265407 | 250 |
|  Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3 4.539%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36 | 6600 | 6 |
|  Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4 4.729%, (ICE LIBOR USD 1 Month plus 0.340%), 12/25/36 | 133727 | 129 |
|  Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6 4.809%, (ICE LIBOR USD 1 Month plus 0.420%), 2/25/37 | 51140 | 49 |
|  Toro European CLO 6 DAC, Series 6A, Class AR 2.239%, (Euribor 3 Month ACT/360 plus 0.920%), 1/12/32 144A EUR ∞ | 500000 | 514 |
|  Toro European CLO, Series 7A , Class ARE 2.572%, (Euribor 3 Month ACT/360 plus 0.810%), 2/15/34 144A EUR ∞ | 250000 | 257 |
|  Truman Capital Mortgage Loan Trust, Series 2006-1, Class A 4.649%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A | 424927 | 419 |
|  Venture CDO, Ltd., Series 2018-33A, Class A1LR 5.139%, (ICE LIBOR USD 3 Month plus 1.060%), 7/15/31 144A | 1000000 | 983 |
|  Venture XIV CLO, Ltd., Series 2013-14A, Class ARR 5.766%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A | 4862418 | 4801 |
|  Venture XXV CLO, Ltd., Series 2016-25A, Class ARR 5.263%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/29 144A | 2310002 | 2281 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

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| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Asset Backed Securities continued** |  |  |
|  Venture XXVIII CLO, Ltd., Series 2017-28A, Class A1R 5.233%, (ICE LIBOR USD 3 Month plus 0.990%), 7/20/30 144A | 200000 | 196 |
|  Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R 5.283%, (ICE LIBOR USD 3 Month plus 1.040%), 9/15/30 144A | 298794 | 293 |
|  WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A 4.539%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37 | 106395 | 91 |
|  Wellfleet CLO, Ltd., Series 2015-1A, Class AR4 5.133%, (ICE LIBOR USD 3 Month plus 0.890%), 7/20/29 144A | 1383445 | 1362 |
|  Wellfleet CLO, Ltd., Series 2017-1, Class 1A 5.133%, (ICE LIBOR USD 3 Month plus 0.890%), 4/20/29 144A | 2750847 | 2711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **92539** |
|  **Mortgage Securities (5.2%)** |  |  |
|  BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC, Class A 2.627%, 1/15/32 144A | 2500000 | 2142 |
|  Banc of America Funding Trust, Series 2005-H, Class 5A1 4.245%, (CSTR), 11/20/35 | 73953 | 65 |
|  Banc of America Funding Trust, Series 2006-J, Class 4A1 4.273%, (CSTR), 1/20/47 | 27339 | 25 |
|  Banc of America Funding Trust, Series 2007-6, Class A1 4.679%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37 S | 40314 | 37 |
|  BCAP LLC Trust, Series 2009-RR14, Class 2A2 3.280%, (CSTR), 7/26/36 144A | 16749 | 14 |
|  BCAP LLC Trust, Series 2009-RR5, Class 3A3 6.250%, (CSTR), 8/26/36 144A | 2069732 | 1004 |
|  Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A 3.883%, (CSTR), 7/25/34 | 1001 | 1 |
|  Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 3.668%, (CSTR), 11/25/36 | 124056 | 57 |
|  Bear Stearns ARM Trust, Series 2007-4, Class 22A1 3.696%, (CSTR), 6/25/47 | 53889 | 48 |
|  Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37 | 1687 | 2 |
|  Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA 3.871%, (CSTR), 9/25/37 | 6487 | 6 |
|  Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A 3.907%, (CSTR), 9/25/37 | 10498 | 9 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities continued** |  |  |
|  Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A 3.223%, (CSTR), 3/25/37 | 291125 | 242 |
|  Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 5.750%, 1/25/35 | 9884 | 9 |
|  Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1 6.000%, 3/25/35 | 259581 | 126 |
|  Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 5.013%, (ICE LIBOR USD 1 Month plus 0.660%), 11/20/35 | 3817 | 3 |
|  Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 3.528%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36 | 10617 | 10 |
|  Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36 | 110562 | 67 |
|  Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8 5.500%, 2/25/35 | 94069 | 90 |
|  Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 6.500%, 8/25/32 | 816 | 1 |
|  Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13 5.500%, 11/25/35 | 150010 | 90 |
|  Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37 | 105075 | 40 |
|  Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1 4.889%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36 | 353064 | 130 |
|  Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 3.131%, (CSTR), 5/25/36 | 6287 | 6 |
|  Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B 4.543%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46 | 7059 | 7 |
|  Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A 4.548%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46 | 21633 | 17 |
|  Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1 4.773%, (ICE LIBOR USD 1 Month plus 0.420%), 5/20/46 | 283855 | 233 |
|  Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A 4.563%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46 | 6799 | 5 |
|  Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 6.000%, 5/25/37 | 215175 | 104 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**190** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

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| | | | |
|:---|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |  |
|  **Mortgage Securities continued** |  |  |  |
|  Countrywide Alternative Loan Trust, Series 2007-AL1, Class A1 4.639%, (ICE LIBOR USD 1 Month plus 0.250%), 6/25/37 | 3336136 | 2648 |  |
|  Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1 4.669%, (ICE LIBOR USD 1 Month plus 0.280%), 4/25/47 | 24560 | 21 |  |
|  Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-22, Class 3A1 3.375%, (CSTR), 10/25/35 | 9032 | 7 |  |
|  Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB8, Class 1A1 3.527%, (CSTR), 12/20/35 | 1307 | 1 |  |
|  Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-16, Class 2A1 6.500%, 11/25/36 | 14287 | 6 |  |
|  Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-9, Class A1 6.000%, 5/25/36 | 98662 | 49 |  |
|  Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A1 3.008%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46 | 33963 | 11 |  |
|  Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A2 4.929%, (ICE LIBOR USD 1 Month plus 0.540%), 4/25/46 | 900007 | 257 |  |
|  Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 3A1 3.537%, (CSTR), 3/25/37 | 5137 | 4 |  |
|  Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 6.500%, 4/25/33 | 293 |  | π |
|  Credit Suisse Mortgage Trust, Series 2014-6R, Class 3A2 3.635%, (CSTR), 9/27/35 144A | 167760 | 139 |  |
|  Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 5.500%, 12/25/35 | 307855 | 260 |  |
|  EMF-NL BV, Series 2008-APRX, Class A2 2.178%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,∞ | 75600 | 77 |  |
|  Eurosail-NL BV, Series 2007-NL2X, Class A 2.878%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,∞ | 26224 | 28 |  |
|  Federal Home Loan Mortgage Corp. 5.000%, 11/1/52 | 21972780 | 21669 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 12/1/52 | 21477407 | 21535 |  |
|  Federal National Mortgage Association, Series 2003-W6, Class F 4.366%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42 | 14447 | 14 |  |
|  First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 5.750%, 5/25/37 | 161578 | 73 |  |

---

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities continued** |  |  |
|  Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A 3.144%, 12/10/36 144A | 1000000 | 934 |
|  GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 3.955%, (CSTR), 9/25/35 | 1138 | 1 |
|  GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 6.000%, 2/25/36 | 71980 | 37 |
|  GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 3.796%, (CSTR), 1/25/36 | 976 | 1 |
|  GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 3.466%, (CSTR), 3/25/47 | 6642 | 4 |
|  HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A 4.959%, (ICE LIBOR USD 1 Month plus 0.620%), (AFC), 11/19/35 | 6767 | 5 |
|  HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A 4.819%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35 | 9432 | 9 |
|  HomeBanc Mortgage Trust, Series 2005-1, Class A1 4.889%, (ICE LIBOR USD 1 Month plus 0.500%), 3/25/35 | 3196 | 3 |
|  HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A 4.829%, (ICE LIBOR USD 1 Month plus 0.440%), 11/25/35 | 818845 | 756 |
|  IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1 3.833%, (CSTR), 10/25/34 | 14131 | 13 |
|  IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A 4.869%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35 | 1177 | 1 |
|  IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A 4.989%, (ICE LIBOR USD 1 Month plus 0.600%), 7/25/35 | 8181 | 7 |
|  JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1 3.615%, (CSTR), 10/25/35 | 6397 | 5 |
|  JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 3.570%, (CSTR), 7/25/35 | 4236 | 4 |
|  JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 3.169%, (CSTR), 6/25/37 | 31607 | 24 |
|  Luminent Mortgage Trust, Series 2006-6, Class A1 4.789%, (ICE LIBOR USD 1 Month plus 0.400%), 10/25/46 | 710707 | 612 |
|  Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A 2.847%, (CSTR), 2/25/36 | 1022 | 1 |
|  Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 3.455%, (CSTR), 5/25/36 | 7318 | 7 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**191** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities continued** |  |  |
|  New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A3 1.198%, (AFC), 7/25/55 144A | 825109 | 662 |
|  Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1 4.038%, (CSTR), 8/25/35 | 1263 | 1 |
|  Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1 4.769%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/36 | 4300 | 4 |
|  Residential Accredit Loans, Inc., Series 2006- QA8, Class A1 4.769%, (ICE LIBOR USD 1 Month plus 0.380%), 9/25/36 | 12521 | 11 |
|  Residential Accredit Loans, Inc., Series 2007- QA1, Class A1 4.669%, (ICE LIBOR USD 1 Month plus 0.280%), 1/25/37 | 4248 | 4 |
|  Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37 | 3298230 | 874 |
|  Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 4.709%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35 | 34131 | 31 |
|  Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 1.567%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36 | 233375 | 184 |
|  Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1 4.749%, (ICE LIBOR USD 1 Month plus 0.360%), (AFC), 7/25/46 | 147728 | 120 |
|  Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1 5.039%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35 | 5881 | 5 |
|  Towd Point Mortgage Funding, Series 2019- GR4A, Class A1 3.952%, (SONIO/N plus 1.144%), 10/20/51 144A GBP ∞ | 1258600 | 1511 |
|  WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 3.452%, (CSTR, AFC), 2/25/33 | 527 | 1 |
|  WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.672%, (CSTR), 10/25/36 | 14956 | 13 |
|  WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 3.122%, (CSTR), 3/25/36 | 97559 | 87 |
|  WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 3.683%, (CSTR), 8/25/36 | 6317 | 6 |
|  WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 3.211%, (CSTR), 2/25/37 | 2469 | 2 |

---

---

| | | |
|:---|:---|:---|
| Structured Products (13.5%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Mortgage Securities continued** |  |  |
|  WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2 2.748%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47 | 241480 | 186 |
|  Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 3.563%, (CSTR), 7/25/37 | 24162 | 21 |
|  Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 2.755%, (CSTR), 4/25/36 | 25496 | 24 |
|  Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 4.414%, (CSTR), 11/25/37 | 19015 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **57576** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Structured Products** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $155,316)** |  | **150115** |
| Bank Loan Obligations (4.3%) |  |  |
|  **Bank Loan Obligations (4.3%)** |  |  |
|  Adient U.S. LLC, 7.934%, (ICE LIBOR USD 1 Month plus 3.250%), 4/10/28 | 6599500 | 6519 |
|  Albion Acquisitions, Ltd., 5.211%, (Euribor 3 Month ACT/360 plus 5.250%), 8/17/26 EUR ∞ | 1400000 | 1460 |
|  Altice Financing SA, 7.434%, (ICE LIBOR USD 3 Month plus 2.750%), 1/31/26 | 1160305 | 1114 |
|  Altice France SA, 7.434%, (ICE LIBOR USD 3 Month plus 2.750%), 7/31/25 | 192366 | 182 |
|  AmSurg Corp., 9.184%, (CME Term SOFR 1 Month plus 4.500%), 4/30/28 | 331115 | 263 |
|  Avolon TLB Borrower 1 LLC, 6.934%, (ICE LIBOR USD 1 Month plus 2.250%), 12/1/27 | 1176000 | 1172 |
|  Casino Guichard Perrachon SA, 3.961%, (Euribor 3 Month ACT/360 plus 4.000%), 8/31/25 EUR ∞ | 1000000 | 900 |
|  Charter Communications Operating LLC, 6.434%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27 | 3346582 | 3264 |
|  CommScope, Inc., 7.934%, (ICE LIBOR USD 3 Month plus 3.250%), 4/6/26 | 483750 | 455 |
|  Connect Finco SARL, 8.184%, (ICE LIBOR USD 1 Month plus 3.500%), 12/11/26 | 1170000 | 1155 |
|  Envision Healthcare Corp., 12.559%, (CME Term SOFR 1 Month plus 15.750%), 4/30/27 W | 200000 | 194 |
|  Grifols SA, 2.211%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR ∞ | 1850815 | 1863 |
|  Hilton Worldwide Finance LLC, 6.434%, (ICE LIBOR USD 1 Month plus 1.750%), 6/22/26 | 1120295 | 1116 |
|  INEOS Quattro Finance 2 PLC, 7.434%, (ICE LIBOR USD 1 Month plus 2.750%), 1/29/26 | 2158068 | 2117 |
|  INEOS Quattro Holdings UK, Ltd., 2.711%, (Euribor 3 Month ACT/360 plus 2.750%), 1/29/26 EUR ∞ | 1100000 | 1098 |
|  Intelsat Jackson Holdings SA, 8.934%, (CME Term SOFR 6 Month plus 4.250%), 2/1/29 | 182904 | 176 |
|  Lumen Technologies, Inc., 6.934%, (ICE LIBOR USD 1 Month plus 2.250%), 3/15/27 | 5228325 | 4958 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**192** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | | |
|:---|:---|:---|
| Bank Loan Obligations (4.3%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Bank Loan Obligations continued** |  |  |
|  Setanta Aircraft Leasing DAC, 6.684%, (ICE LIBOR USD 3 Month plus 2.000%), 11/5/28 | 4000000 | 3974 |
|  Sigma Bidco BV, 3.461%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR ∞ | 400000 | 369 |
|  SOCAR Turkey Energy, Inc., 3.411%, (Euribor 3 Month ACT/360 plus 3.450%), 8/17/26 EUR ∞ | 5800000 | 5821 |
|  Standard Industries, Inc., 6.934%, (ICE LIBOR USD 6 Month plus 2.500%), 9/22/28 | 1197475 | 1182 |
|  Summer BC Holdco B SARL, 9.184%, (ICE LIBOR USD 1 Month plus 4.500%), 12/4/26 | 987500 | 913 |
|  WP/AP Telecom Holdings IV BV, 3.961%, (Euribor 3 Month ACT/360 plus 4.000%), 3/30/29 EUR ∞ | 5800000 | 5942 |
|  Ziggo Financing Partnership BV, 7.184%, (ICE LIBOR USD 1 Month plus 2.500%), 4/30/28 | 1555228 | 1514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Bank Loan Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $50,901)** |  | **47721** |
| Short-Term Investments (15.4%) |  |  |
|  **Financial (0.1%)** |  |  |
|  Corestate Capital Holding SA ð 8.000%, 4/15/23 EUR ∞,Æ | 200000 | 214 |
|  National Bank Hungary 0.010%, 1/3/23 HUF ∞ | 437000000 | 1172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **1386** |

---

---

| | | |
|:---|:---|:---|
| Short-Term Investments (15.4%) | Shares/<br> Par <sup>+</sup> | Value<br>$(000's) |
|  **Governments (5.1%)** |  |  |
|  Federal Home Loan Bank<br>4.320%, (US SOFR plus 0.040%), 1/6/23 | 21500000 | 21500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.320%, (US SOFR plus 0.020%), 1/10/23 | 10700000 | 10700 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.340%, (US SOFR plus 0.040%), 2/10/23 | 10800000 | 10800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.345%, (US SOFR plus 0.045%), 2/23/23 | 9700000 | 9701 |
|  US Treasury 0.010%, 3/2/23 b | 3574000 | 3549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **56250** |
|  **Repurchase Agreements (10.2%)** |  |  |
|  BNP Paribas repurchase (Purchased on 12/30/22, to be repurchased at $63,730,505, collateralized by US Treasury Inflation Protection Bond, 0.625%, due 1/15/24, par and fair value of $66,208,905 and $64,848,519, respectively) 4.310%, 1/3/23 | 63700000 | 63700 |
|  Goldman Sachs repurchase (Purchased on 12/20/22, to be repurchased at $50,082,056, collateralized by US Treasury Note, 0.375%, due 7/31/27, par and fair value of $59,565,000 and $50,937,382, respectively) 4.220%, 1/4/23 | 50000000 | 50000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **113700** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $171,300)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $171,300)** | **171336** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (97.2%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (97.2%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,264,595)@** |  | **1081953** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Liabilities (2.8%)** |  | **30626** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **1112579** |

---

**Reverse Repurchase Agreements** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Counterparty | Interest<br>Rate | Borrowing<br>Date | Maturity<br>Date | Currency | Amount<br>Borrowed<br>(000's) | Payable for<br>Reverse<br>Repurchase<br>Agreements<br>(000s) |
|  INEOS Styrolution Group GmbH | JP Morgan Chase<br>Bank NA | (1.650)% | 9/13/22 | Open | EUR | (500) | $(535) |
|  |  |  |  |  |  |  | $(535) |

---

**Exchange Traded or Centrally Cleared Derivatives** 

**Futures** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Issuer | Long/<br>Short | Currency | Notional Par<br>(000's) | Number<br>of<br> Contracts | Expiration<br>Date | Notional<br>Value<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Variation<br>Margin<br>(000's) |
|  Euro-Bund Future | Long | EUR | 2200 | 22 | 3/23 | $3130 | $(160) | $(25) |
|  Five-Year US Treasury Note Future | Long | USD | 84000 | 840 | 3/23 | 90661 | (374) | (72) |
|  Long Gilt Future | Short | GBP | 3100 | 31 | 3/23 | 3744 | 245 | (4) |
|  Ten-Year US Treasury Note Future | Long | USD | 98500 | 985 | 3/23 | 110612 | (854) | (139) |
|  Two-Year US Treasury Note Future | Long | USD | 46400 | 232 | 3/23 | 47578 | (66) | (36) |
|  Ultra Long Term US Treasury Bond Future | Long | USD | 25000 | 250 | 3/23 | 33578 | (659) | (125) |
|  Ultra Ten-Year US Treasury Note Future | Long | USD | 25500 | 255 | 3/23 | 30162 | (72) | (16) |
|  |  |  |  |  |  |  | $(1940) | $(417) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**193** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

**Centrally Cleared Interest Rate Swaps - Receive Floating Rate** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Floating Rate Index | Fixed<br>Rate | Expiration<br>Date | Notional<br>Amount (000's) | Currency | Upfront<br>Premium Paid/<br>(Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Market Value<br>(000's) | Variation<br>Margin<br> (000's) |
|  1-Day JPY - MUTKCALM Compounded-OIS | 0.400% | 6/32 | 1460000 | JPY | $133 | $355 | $488 | $23 |
|  |  |  |  |  | $133 | $355 | $488 | $23 |

---

**Centrally Cleared Interest Rate Swaps - Pay Floating Rate** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Floating Rate Index | Fixed<br>Rate | Expiration<br>Date | Notional<br>Amount (000's) | Currency | Upfront<br>Premium Paid/<br>(Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Market Value<br>(000's) | Variation<br>Margin<br> (000's) |
|  1-Day GBP-SONIO Compounded-OIS | 2.000% | 3/33 | 3100 | GBP | $(579) | $51 | $(528) | $(2) |
|  1-Day GBP-SONIO Compounded-OIS | 2.000% | 3/53 | 1400 | GBP | (430) | (13) | (443) | (3) |
|  3-Month Canada Bankers Acceptances | 2.050% | 11/23 | 33800 | CAD | (6) | (606) | (612) | 2 |
|  3-Month Canada Bankers Acceptances | 0.880% | 3/24 | 12600 | CAD |  | (420) | (420) | 1 |
|  3-Month Canada Bankers Acceptances | 2.500% | 6/29 | 8000 | CAD | 114 | (518) | (404) | (14) |
|  6-Month Euribor | 1.500% | 3/25 | 4400 | EUR | (65) | (114) | (179) | (6) |
|  6-Month Euribor | 1.500% | 3/28 | 2200 | EUR | (79) | (111) | (190) | (10) |
|  6-Month Euribor | 1.750% | 3/33 | 20000 | EUR | (2389) | (276) | (2665) | (168) |
|  |  |  |  |  | $(3434) | $(2007) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5441) | $(200) |

---

**Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Receive<br>Fixed<br>Rate | Expiration<br>Date | Implied<br>Credit<br>Spread | Notional<br>Amount<br>(000's) | Currency | Upfront<br>Premium Paid/<br> (Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Market<br>Value (000's) | Variation<br>Margin<br> (000's) |
|  Markit CDX Emerging Markets Index, Series 34 | 1.000% | 12/25 | 2.798% | 5336 | USD | $(144) | $(112) | $(256) | $3 |
|  Markit CDX Emerging Markets Index, Series 35 | 1.000% | 6/26 | 2.043% | 184 | USD | (4) | (2) | (6) |  |
|  Markit CDX Emerging Markets Index, Series 36 | 1.000% | 12/26 | 2.118% | 49772 | USD | (2017) | 72 | (1945) | (26) |
|  Markit CDX Emerging Markets Index, Series 37 | 1.000% | 6/27 | 2.300% | 490 | USD | (38) | 13 | (25) |  |
|  Markit CDX Emerging Markets Index, Series 38 | 1.000% | 12/27 | 2.388% | 18400 | USD | (1447) | 371 | (1076) | 1 |
|  Markit CDX North America High Yield Index, Series 38 | 5.000% | 6/27 | 4.426% | 4059 | USD | (103) | 187 | 84 | 3 |
|  Markit CDX North America High Yield Index, Series 39 | 5.000% | 12/27 | 4.849% | 80600 | USD | (926) | 1395 | 469 | (55) |
|  Markit CDX North America Investment Grade Index, Series 35 | 1.000% | 12/25 | 0.547% | 200 | USD | 3 |  | 3 |  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**194** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

**Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Receive<br>Fixed<br>Rate | Expiration<br>Date | Implied<br>Credit<br>Spread | Notional<br>Amount<br>(000's) | Currency | Upfront<br>Premium Paid/<br> (Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Market<br>Value (000's) | Variation<br>Margin<br> (000's) |
|  Markit CDX North America Investment Grade Index, Series 36 | 1.000% | 6/26 | 0.619% | 800 | USD | $14 | $(4) | $10 | $- |
|  Markit CDX North America Investment Grade Index, Series 37 | 1.000% | 12/26 | 0.694% | 900 | USD | 10 |  | 10 |  |
|  Markit CDX North America Investment Grade Index, Series 38 | 1.000% | 6/27 | 0.739% | 22400 | USD | 98 | 137 | 235 | 2 |
|  Markit CDX North America Investment Grade Index, Series 39 | 1.000% | 12/27 | 0.819% | 61000 | USD | 76 | 410 | 486 | (3) |
|  |  |  |  |  |  | $(4478) | $2467 | $(2011) | $(75) |

---

**Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Receive<br>Fixed<br>Rate | Expiration<br>Date | Implied<br>Credit<br>Spread | Notional<br>Amount<br>(000's) | Currency | Upfront<br>Premium Paid/<br> (Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Market<br>Value<br> (000's) | Variation<br>Margin<br> (000's) |  |
|  AT&T, Inc. | 1.000% | 6/24 | 0.901% | 200 | USD | $- | $- | $- | $- | π |
|  AT&T, Inc. | 1.000% | 6/25 | 0.947% | 100 | USD | (2) | 2 |  |  | π |
|  AT&T, Inc. | 1.000% | 6/26 | 0.998% | 100 | USD | 1 | (1) |  |  | π |
|  Ford Motor Co. | 5.000% | 6/25 | 2.648% | 200 | USD | 7 | 4 | 11 |  | π |
|  Ford Motor Co. | 5.000% | 12/25 | 2.775% | 400 | USD | 13 | 11 | 24 |  | π |
|  Ford Motor Co. | 5.000% | 6/26 | 2.923% | 1000 | USD | 37 | 26 | 63 | 1 |  |
|  Ford Motor Co. | 5.000% | 6/27 | 3.169% | 900 | USD | 57 | 4 | 61 | 1 |  |
|  Ford Motor Co. | 5.000% | 12/23 | 2.257% | 200 | USD | 7 | (2) | 5 |  | π |
|  Ford Motor Co. | 5.000% | 12/23 | 2.257% | 700 | USD | 20 | (2) | 18 |  | π |
|  Ford Motor Co. | 5.000% | 6/27 | 3.542% | 300 | USD | 26 | (10) | 16 |  | π |
|  General Electric Co. | 1.000% | 12/26 | 0.870% | 400 | USD | 4 | (2) | 2 |  | π |
|  General Electric Co. | 1.000% | 6/24 | 0.522% | 900 | USD | (3) | 9 | 6 |  | π |
|  General Electric Co. | 1.000% | 6/26 | 0.801% | 3800 | USD | 29 | (5) | 24 |  | π |
|  Glencore Finance Europe, Ltd. | 5.000% | 12/25 | 1.250% | 2700 | EUR | 392 | (88) | 304 | 1 |  |
|  Glencore Finance Europe, Ltd. | 5.000% | 12/27 | 1.795% | 1600 | EUR | 340 | (98) | 242 | 1 |  |
|  Glencore Finance Europe, Ltd. | 5.000% | 12/26 | 1.507% | 700 | EUR | 122 | (27) | 95 |  | π |
|  Marks & Spencer PLC | 1.000% | 12/24 | 2.170% | 2900 | EUR | (54) | (13) | (67) | 1 |  |
|  Marks & Spencer PLC | 1.000% | 6/27 | 3.559% | 100 | EUR | (6) | (4) | (10) |  | π |
|  Marks & Spencer PLC | 1.000% | 12/28 | 4.068% | 500 | EUR | (32) | (46) | (78) |  | π |
|  Volkswagen International Finance NV | 1.000% | 12/26 | 1.267% | 3100 | EUR | 50 | (81) | (31) |  | π |
|  |  |  |  |  |  | $1008 | $(323) | $685 | $5 |  |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Assets | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities | Financial Derivative Liabilities |
|  | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Variation Margin (000's) | Market<br>Value<br>(000's) |
|  | Swaps | Futures | Total | Swaps | Futures | Total | Options |
|  Total Exchange-Traded or Centrally Cleared Derivatives | $40 | $- | $40 | $(287) | $(417) | $(704) | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**195** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

**Over the Counter Derivatives** 

**Forward Foreign Currency Contracts** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Type | Counterparty | Currency | Foreign Principal<br>Amount<br>Covered by<br>Contract (000s) | USD Principal<br>Amount<br>Covered by<br>Contract (000's) | Settlement<br>Date | Unrealized<br>Appreciation<br>(000's) |  | Unrealized<br>(Depreciation)<br>(000's) | Net Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) |
|  Sell | Bank of America NA | AUD | 1496 | 1019 | 1/10/23 | $- | π | $- | $- |
|  Sell | HSBC Bank PLC | AUD | 728 | 496 | 1/10/23 |  |  | (8) | (8) |
|  Sell | Royal Bank of Canada | AUD | 266 | 181 | 1/10/23 |  |  | (3) | (3) |
|  Buy | JP Morgan Chase Bank NA | BRL | 130 | 25 | 1/4/23 |  | π |  |  |
|  Buy | Goldman Sachs Bank USA | BRL | 130 | 25 | 2/2/23 |  |  |  |  |
|  Sell | Goldman Sachs Bank USA | BRL | 130 | 25 | 1/4/23 |  | π |  |  |
|  Buy | JP Morgan Chase Bank NA | CAD | 956 | 706 | 1/4/23 | 1 |  |  | 1 |
|  Sell | Barclays Bank PLC | CAD | 1284 | 948 | 1/10/23 | 9 |  |  | 9 |
|  Buy | BNP Paribas SA | CNH | 18099 | 2640 | 5/10/23 | 28 |  |  | 28 |
|  Sell | Goldman Sachs Bank USA | CNH | 120 | 17 | 1/19/23 |  |  |  |  |
|  Sell | HSBC Bank PLC | CNH | 18570 | 2709 | 5/10/23 | 58 |  |  | 58 |
|  Buy | Bank of America NA | EUR | 4814 | 5155 | 1/10/23 | 29 |  |  | 29 |
|  Buy | Barclays Bank PLC | EUR | 6358 | 6809 | 1/10/23 | 81 |  |  | 81 |
|  Sell | Bank of America NA | EUR | 392 | 420 | 1/10/23 |  |  | (3) | (3) |
|  Sell | Barclays Bank PLC | EUR | 5700 | 6104 | 1/10/23 |  |  | (179) | (179) |
|  Sell | BNP Paribas SA | EUR | 343 | 367 | 1/10/23 |  |  | (2) | (2) |
|  Sell | HSBC Bank PLC | EUR | 177001 | 189552 | 1/10/23 |  |  | (4042) | (4042) |
|  Sell | JP Morgan Chase Bank NA | EUR | 7160 | 7668 | 1/10/23 |  |  | (170) | (170) |
|  Sell | Bank of America NA | GBP | 560 | 677 | 1/10/23 | 5 |  |  | 5 |
|  Sell | JP Morgan Chase Bank NA | GBP | 29439 | 35596 | 1/10/23 |  |  | (48) | (48) |
|  Buy | UBS AG | HUF | 1676 | 4 | 1/13/23 |  | π |  |  |
|  Sell | Barclays Bank PLC | HUF | 365741 | 981 | 1/3/23 |  |  | (27) | (27) |
|  Sell | BNP Paribas SA | HUF | 69583 | 187 | 1/3/23 |  |  | (5) | (5) |
|  Sell | HSBC Bank PLC | IDR | 267296 | 17 | 3/14/23 |  |  |  |  |
|  Sell | JP Morgan Chase Bank NA | IDR | 182857 | 12 | 3/14/23 |  |  |  |  |
|  Buy | Royal Bank of Canada | MXN | 22 | 1 | 3/15/23 |  | π |  |  |
|  Buy | Goldman Sachs Bank USA | MXN | 136940 | 6930 | 3/21/23 | 91 |  |  | 91 |
|  Sell | Goldman Sachs Bank USA | MXN | 134387 | 6762 | 4/20/23 |  |  | (82) | (82) |
|  Sell | Royal Bank of Canada | MXN | 5104 | 257 | 4/20/23 |  |  | (11) | (11) |
|  Buy | HSBC Bank PLC | ZAR | 1719 | 99 | 9/19/23 | 2 |  |  | 2 |
|  |  |  |  |  |  | $304 |  | $(4580) | $(4276) |

---

**Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Counterparty | Receive<br>Fixed<br>Rate | Expiration<br>Date | Implied<br>Credit<br>Spread | Currency | Notional<br>Amount<br>(000's) | Upfront<br>Premium Paid/<br>(Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Market<br>Value<br>(000's) |
|  Hochtief AG | JP Morgan Chase Bank NA | 5.000% | 12/26 | 2.027% | EUR | 1000 | $183 | $(68) | $115 |
|  Hochtief AG | JP Morgan Chase Bank NA | 5.000% | 12/26 | 2.027% | EUR | 1800 | 335 | (128) | 207 |
|  Intrum AB | Barclays Bank PLC | 5.000% | 12/24 | 6.361% | EUR | 100 | 3 | (6) | (3) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 200 | 8 | (13) | (5) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 200 | 6 | (11) | (5) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 200 | 7 | (12) | (5) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 300 | 13 | (21) | (8) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 300 | 13 | (21) | (8) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 400 | 18 | (29) | (11) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 400 | 18 | (29) | (11) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**196** 

------

##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

**Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Reference Entity | Counterparty | Receive<br>Fixed<br>Rate | Expiration<br>Date | Implied<br>Credit<br>Spread | Currency | Notional<br>Amount<br>(000's) | Upfront<br>Premium Paid/<br>(Received)<br>(000's) | Unrealized<br>Appreciation/<br>(Depreciation)<br>(000's) | Market<br>Value<br>(000's) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 500 | $16 | $(29) | $(13) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 600 | 26 | (42) | (16) |
|  Intrum AB | Goldman Sachs International | 5.000% | 12/24 | 6.361% | EUR | 600 | 22 | (38) | (16) |
|  Intrum AB | JP Morgan Chase Bank NA | 5.000% | 12/24 | 6.361% | EUR | 800 | 26 | (47) | (21) |
|  Intrum AB | Morgan Stanley Capital Services LLC | 5.000% | 12/24 | 6.361% | EUR | 100 | 4 | (7) | (3) |
|  Intrum AB | Morgan Stanley Capital Services LLC | 5.000% | 12/24 | 6.361% | EUR | 100 | 4 | (7) | (3) |
|  Intrum AB | Morgan Stanley Capital Services LLC | 5.000% | 12/24 | 6.361% | EUR | 200 | 9 | (14) | (5) |
|  Republic of Indonesia | Barclays Bank PLC | 1.000% | 6/31 | 1.504% | USD | 5700 | (204) | 9 | (195) |
|  United Mexican States | Goldman Sachs International | 1.000% | 12/27 | 1.305% | USD | 100 | (4) | 3 | (1) |
|  United Mexican States | Morgan Stanley Capital Services LLC | 1.000% | 12/26 | 1.048% | USD | 300 | 1 | (1) |  |
|  United Mexican States | Morgan Stanley Capital Services LLC | 1.000% | 6/27 | 1.191% | USD | 100 |  | (1) | (1) |
|  United Mexican States | Morgan Stanley Capital Services LLC | 1.000% | 12/27 | 1.305% | USD | 300 | (10) | 6 | (4) |
|  |  |  |  |  |  |  | $494 | $(506) | $(12) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Assets (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | Financial Derivative Liabilities (000's) | |
| | Forward<br>Foreign<br>Currency<br>Contracts | Swaps | Total | Forward<br>Foreign<br>Currency<br>Contracts | Options | Swaps |<br>Total |
|  Total Over the Counter Derivatives | $304 | $322 | $626 | $(4580) |  | $(334) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4914) |

---

**Restricted Securities** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Description | Coupon | Maturity<br>Date | Acquisition<br>Date | Cost (000's) | Value (000's) | Value as a<br>Percentage of Net<br>Assets |  |
| Constellation Oil - Class B |  |  | 6/10/22 | $12 | $12 |  | %π |
| Corestate Capital Holding SA | 8.000 | 4/15/23 | 12/6/22 | 209 | 214 | 0.02 | % |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

\* Non income producing

Æ Security valued using significant unobservable inputs.

d Restricted security – see accompanying table for additional details

---

| | |
|:---|:---|
| 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 December 31, 2022 the value of these securities (in thousands) was $250,068 representing 22.5% of the net assets.  |

---

f Defaulted Security

∞ Foreign Bond — par value is foreign denominated.

The Accompanying Notes are an Integral Part of the Financial Statements.

**197** 

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##### [**Table of Contents**](#toc)
**Multi-Sector Bond Portfolio** 

---

| | |
|:---|:---|
| § | 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 December 31, 2022, the aggregate value of these securities was $223,964 (in thousands), representing 20.1% of net assets.  |

---

---

| | |
|:---|:---|
| Þ | PIK - Payment In Kind. PIK rate of IHO Verwaltungs GmbH 4.375%. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%.  |

---

µ Perpetual maturity, date shown, if applicable, represents next contractual call date.

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

---

| | |
|:---|:---|
| π | Amount is less than one thousand.  |

---

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

---

| | |
|:---|:---|
| W | All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.  |

---

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,229,154 and the net unrealized depreciation of investments based on that cost was $160,243 which is comprised of $10,860 aggregate gross unrealized appreciation and $171,103 aggregate gross unrealized depreciation.  |

---

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Valuation Inputs | Valuation Inputs | Valuation Inputs | |
| Description | Level 1 –<br>Quoted Prices | Level 2 –<br>Other Significant<br>Observable Inputs | Level 3 –<br>Significant<br>Unobservable Inputs |  |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* | |
|  Assets: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loan Obligations | $- | $47721 | $- |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  | 238 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Convertible Corporate Bonds |  | 984 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 6943 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Communications |  | 65304 | 14 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Others |  | 459341 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Governments |  | 179957 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Structured Products |  | 150115 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financial |  | 1172 | 214 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Others |  | 169950 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | 245 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts |  | 304 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Swaps |  | 488 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Default Swaps | - | 2490 | - |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $245 | $1084769 | $466 |  |
|  Liabilities: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | (2185) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts |  | (4580) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Swaps |  | (5441) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Default Swaps |  | (3828) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reverse Repurchase Agreements | - | (535) | - |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities: | $(2185) | $(14384) | $- |  |

---

^ 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.

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2022.

The Accompanying Notes are an Integral Part of the Financial Statements.

**198** 

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**Balanced Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Realize as high a level of total return as is consistent with prudent investment risk,<br>through income and capital appreciation. | Invest in the stock, bond and money market sectors, attempting<br>to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions. | $1.9 billion |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC is the investment adviser for the Balanced Portfolio (the "Portfolio"). The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy for allocating assets across the stock, bond and money market sectors. The Portfolio operates primarily as a "fund of funds" to gain the Portfolio's equity, fixed income and cash asset class exposure. The Portfolio may invest in the underlying Portfolios of Northwestern Mutual Series Fund, Inc. (each an "Underlying Portfolio") and exchange-traded funds ("ETFs") which are not portfolios of Northwestern Mutual Series Fund, Inc. The adviser allocates the Portfolio's assets among the Underlying Portfolios and ETFs based on the adviser's economic and market outlook and the investment objectives and strategies of the Underlying Portfolios and ETFs. Under normal market conditions, the Portfolio will typically hold between 35-55% of assets in equity investments, 40-60% of assets in fixed income investments, and 0-20% of assets in cash equivalent investments.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve (the "Fed") raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia's invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exacerbated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

All sectors of the U.S. bond market declined during the reporting period, as the combination of the highest inflation in forty years and sharply rising bond yields eroded bond prices, which sent bond yields higher. Bonds with the longest maturities, including U.S. Treasuries, declined the most due to their higher sensitivity to changes in interest rates, while credit-oriented bonds fell with the dimming economic outlook.

In this environment, large cap stocks, as represented by the S&P 500<sup>®</sup> Index, posted a return of (18.11%), underperforming the S&P MidCap 400<sup>®</sup> and the S&P SmallCap 600<sup>®</sup> Indices, which returned (13.06%) and (16.10%), respectively. Meanwhile, the broader bond market, as represented by the Bloomberg<sup>®</sup> U.S. Aggregate Index, returned (13.01%), while the Bloomberg<sup>®</sup> U.S. Corporate High Yield Index returned (11.18%).

PORTFOLIO RESULTS

The Portfolio returned (14.14%) for the twelve months ended December 31, 2022, outpacing the (18.11%) return of the broad stock market, as measured by the S&P 500<sup>®</sup> Index, but trailing the Bloomberg<sup>®</sup> U.S. Aggregate Index return of (13.01%). The Portfolio outperformed the Balanced Portfolio Blended Composite Benchmark return of (14.52%). (The benchmark weights are detailed in the "Benchmark Definitions" section of this annual report.) (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) Comparative peer performance in 2022 included the Morningstar<sup>®</sup> Inc. Allocation – 30% to 50% Equity peer group average return (14.30%) and the Lipper<sup>®</sup> Analytical Services, Inc. Mixed-Asset Target Allocation Moderate Funds peer group average return of (15.55%). Morningstar<sup>®</sup> Inc. and Lipper<sup>®</sup> Analytical Services, Inc. are independent mutual fund ranking agencies.

Strong security selection within the Underlying Portfolios contributed to the Portfolio's results relative to the blended benchmark, representing the majority of the relative outperformance. Performance strength was seen across the majority of the equity Underlying Portfolios when compared to their respective benchmarks. Notable Underling Portfolio contributors included the Focused Appreciation Portfolio, Large Cap Blend Portfolio, Domestic Equity Portfolio, Mid Cap Value Portfolio and Mid Cap Growth Portfolio. These five funds were among the largest holdings in the Portfolio and all have more of a valuation bias and quality focus relative to their respective benchmarks. These biases were extremely helpful during a period when many higher valued stocks across the market were being driven lower due to higher interest rates and an impending slowdown of the economy.

**199** 

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**Balanced Portfolio (unaudited)** 

------

Broad tactical asset allocation decisions were neutral during the year. While positioning the Portfolio in cheaper areas of the market benefited relative results this year, including an overweight position in foreign and value-oriented investments, an overweight to equity in general detracted from relative results.

PORTFOLIO MANAGER OUTLOOK

Investors are largely anticipating a challenging economic environment and an economic recession in 2023, but a lot of the pessimism already appears to be reflected in current stock prices after one of the most rapid equity declines in history during 2022. As such, we remain slightly overweight equity relative to fixed income and continue to tilt our exposure toward the cheapest parts of the market. More importantly, we continue to have a high degree of confidence in the fundamentally-driven, valuation-sensitive managers managing the Underlying Portfolios, as the challenging economic environment raises the likelihood that investors will demand fundamental strength and scrutinize equity valuations. Recession fears could lead to volatile markets, but we believe the pace of inflation will ease dramatically, particularly in the second half of the year, which should give the Fed flexibility to move away from monetary policy intended to restrict growth to policy that seeks to encourage growth. Earnings declines are a growing risk for 2023, but stock prices typically rise well before earnings estimates do. Historically, some of the strongest market returns have occurred when earnings were still contracting, as investors repositioned in anticipation of a return to stronger growth. In our view, the resilience of nominal economic growth in 2022, reasonable equity valuations, and heightened levels of pessimism provide a base for a recovery in equities during 2023, especially if Fed rate hike pressures subside.

**Relative Performance**![LOGO](g422955g88o69.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Balanced Portfolio | -14.14% | 3.41% | 5.25% |
|  S&P 500<sup>®</sup> Index | -18.11% | 9.41% | 12.56% |
|  Bloomberg<sup>®</sup> U.S. Aggregate Bond Index | -13.01% | 0.02% | 1.06% |
|  Balanced Portfolio Blended Composite Benchmark | -14.52% | 3.86% | 5.88% |
|  Morningstar<sup>®</sup> US Insurance Fund Allocation - 30% to 50% Equity Average | -14.30% | 2.24% | 4.17% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Mixed Asset Target Allocation Moderate Funds Average | -15.55% | 3.00% | 5.42% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return* 

*and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*The Portfolio may obtain its exposure to domestic and foreign equity securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio's net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio's expenses.* 

*The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio duration, to provide increased flexibility in asset allocation,* 

**200** 

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**Balanced Portfolio (unaudited)** 

------

*to earn income and to otherwise seek to enhance returns or to hedge foreign currency exposure. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those investments.* 

*The U.S. federal funds rate has been at historically low levels and a significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio's fixed income investments.* 

**Top 10 Holdings 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Select Bond Portfolio | 34.1% |
| &nbsp;&nbsp;&nbsp; iShares Core S&P 500 ETF | 9.9% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio | 5.7% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio | 5.4% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio | 5.3% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio | 5.1% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio | 4.9% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio | 4.4% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., International Equity Portfolio | 4.3% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., International Growth Portfolio | 4.0% |

---

**Sector Allocation 12/31/22** 

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Fixed Income | 46.0% |
| &nbsp;&nbsp;&nbsp; Domestic Equity | 39.0% |
| &nbsp;&nbsp;&nbsp; Foreign Equity | 11.3% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 3.7% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**201** 

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**Balanced Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Investment Companies (96.3%) | Shares/<br> Par <sup>+</sup>  | Value<br>$(000's) |
|  **Domestic Equity (39.0%)** |  |  |
|  iShares Core S&P 500 ETF | 483200 | 185650 |
|  iShares Core S&P Mid-Cap ETF | 31050 | 7511 |
|  iShares Core S&P Small-Cap ETF | 156000 | 14764 |
|  iShares Russell 2000 ETF | 64400 | 11229 |
|  Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £ | 65934589 | 107539 |
|  Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £ | 34966919 | 95215 |
|  Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £ | 92540637 | 100037 |
|  Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £ | 30195138 | 81889 |
|  Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £ | 55710279 | 91365 |
|  Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £ | 8954100 | 16959 |
|  Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £ | 12656070 | 22920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **735078** |
|  **Fixed Income (46.0%)** |  |  |
|  iShares Core U.S. Aggregate Bond ETF | 469400 | 45527 |
|  Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £ | 87017064 | 54560 |
|  Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £ | 111382309 | 101469 |
|  Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £ | 602085113 | 643027 |

---

---

| | | |
|:---|:---|:---|
| Investment Companies (96.3%) | Shares/<br> Par <sup>+</sup>  | Value<br> $(000's) |
|  **Fixed Income continued** |  |  |
|  Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £ | 23056020 | 22825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **867408** |
|  **Foreign Equity (11.3%)** |  |  |
|  iShares Core MSCI EAFE ETF | 588200 | 36257 |
|  iShares Core MSCI Emerging Markets ETF | 124900 | 5833 |
|  Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £ | 14608062 | 13059 |
|  Northwestern Mutual Series Fund, Inc., International Equity Portfolio £ | 57893025 | 81108 |
|  Northwestern Mutual Series Fund, Inc., International Growth Portfolio £ | 46675755 | 75895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **212152** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $2,026,092)** |  | **1814638** |
| Short-Term Investments (2.4%) |  |  |
|  **Investment Companies (2.4%)** |  |  |
|  JPMorgan Ultra-Short Income ETF | 452950 | 22706 |
|  PIMCO Enhanced Short Maturity Active ETF | 225400 | 22236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **44942** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $45,999)** |  | **44942** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.7%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.7%)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $2,072,091)<sup>@</sup>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $2,072,091)<sup>@</sup>**  | **1859580** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (1.3%)** |  | **23547** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **1883127** |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

---

| | |
|:---|:---|
| £| Affiliated Company  |

---

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,077,135 and the net unrealized depreciation of investments based on that cost was $217,555 which is comprised of $10,943 aggregate gross unrealized appreciation and $228,498 aggregate gross unrealized depreciation.  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**202** 

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**Balanced Portfolio** 

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
| | Valuation Inputs | Valuation Inputs | Valuation Inputs |
| <br>**Description** | **Level 1 –<br>Quoted Prices** | **Level 2 –<br>Other Significant<br>Observable Inputs** | **Level 3 –**<br> **Significant<br>Unobservable Inputs** |
|  | *(Amounts in thousands)* | *(Amounts in thousands)* | *(Amounts in thousands)* |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1814638 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments | 44942 | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1859580 | $- | $- |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Asset Allocation Portfolio (unaudited)** 

------

---

| | | |
|:---|:---|:---|
| **Objective:** | **Portfolio Strategy:** | **Net Assets:** |
| Realize as high a level of total return as is consistent with reasonable investment risk. | Invest in the stock, bond and money market sectors, attempting to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions. | $258 million |

---

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC is the investment adviser for the Asset Allocation Portfolio (the "Portfolio"). The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy for allocating assets across the stock, bond and money market sectors. The Portfolio operates primarily as a "fund of funds" to gain the Portfolio's equity, fixed income and cash asset exposure. The Portfolio may invest in underlying Portfolios of Northwestern Mutual Series Fund, Inc. (each, an "Underlying Portfolio") and exchange-traded funds ("ETFs") which are not portfolios of Northwestern Mutual Series Fund, Inc. The adviser allocates the Portfolio's assets among the Underlying Portfolios and ETFs based on the adviser's economic and market outlook and the investment objectives and strategies of the Underlying Portfolios and ETFs. Under normal market conditions, the Portfolio will typically hold between 55-75% of assets in equity investments, 25-45% of assets in fixed income investments, and 0-15% of assets in cash equivalent investments.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve (the "Fed") raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia's invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exacerbated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

All sectors of the U.S. bond market declined during the reporting period, as the combination of the highest inflation in forty years and sharply rising bond yields eroded bond prices, which sent bond yields higher. Bonds with the longest maturities, including U.S. Treasuries, declined the most due to their higher sensitivity to changes in interest rates, while credit-oriented bonds fell with the dimming economic outlook.

In this environment, large cap stocks, as represented by the S&P 500<sup>®</sup> Index, posted a return of (18.11%), underperforming the S&P MidCap 400<sup>®</sup> and the S&P SmallCap 600<sup>®</sup> Indices, which returned (13.06%) and (16.10%), respectively. Meanwhile, the broader bond market, as represented by the Bloomberg<sup>®</sup> U.S. Aggregate Index, returned (13.01%), while the Bloomberg<sup>®</sup> U.S. Corporate High Yield Index returned (11.18%).

PORTFOLIO RESULTS

The Portfolio returned (14.83%) for the twelve months ended December 31, 2022, outpacing both the (18.11%) return of the broad stock market, as measured by the S&P 500<sup>®</sup> Index, but trailing the Bloomberg<sup>®</sup> U.S. Aggregate Index return of (13.01%). The Portfolio outperformed the Asset Allocation Portfolio Blended Composite Benchmark return of (15.43%). (The benchmark weights are detailed in the "Benchmark Definitions" section of this annual report.) (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) Comparative peer performance in 2022 included the Morningstar<sup>®</sup> Inc. Allocation – 50% to 70% Equity peer group average return (15.77%) and the Lipper<sup>®</sup> Analytical Services, Inc. Mixed-Asset Target Allocation Growth Funds peer group average return of (16.13%). Morningstar<sup>®</sup> Inc. and Lipper<sup>®</sup> Analytical Services, Inc. are independent mutual fund ranking agencies.

Strong security selection within the Underlying Portfolios contributed to the Portfolio's results relative to the blended benchmark, representing the majority of the relative outperformance. Performance strength was seen across the majority of the equity Underlying Portfolios when compared to their respective benchmarks. Notable Underling Portfolio contributors included the Focused Appreciation Portfolio, Large Cap Blend Portfolio, Domestic Equity Portfolio, Mid Cap Value Portfolio and Mid Cap Growth Portfolio. These five funds were among the largest holdings in the Portfolio and all have more of a valuation bias and quality focus relative to their respective benchmarks. These biases were extremely helpful during a period when many higher valued stocks across the market were being driven lower due to higher interest rates and an impending slowdown of the economy.

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**Asset Allocation Portfolio (unaudited)** 

------

Broad tactical asset allocation decisions were neutral during the year. While positioning the Portfolio in cheaper areas of the market benefited relative results this year, including an overweight position in foreign and value-oriented investments, an overweight to equity in general detracted from relative results.

PORTFOLIO MANAGER OUTLOOK

Investors are largely anticipating a challenging economic environment and an economic recession in 2023, but a lot of the pessimism already appears to be reflected in current stock prices after one of the most rapid equity declines in history during 2022. As such, we remain slightly overweight equity relative to fixed income and continue to tilt our exposure toward the cheapest parts of the market. More importantly, we continue to have a high degree of confidence in the fundamentally-driven, valuation-sensitive managers managing the Underlying Portfolios, as the challenging economic environment raises the likelihood that investors will demand fundamental strength and scrutinize equity valuations. Recession fears could lead to volatile markets, but we believe the pace of inflation will ease dramatically, particularly in the second half of the year, which should give the Fed flexibility to move away from monetary policy intended to restrict growth to policy that seeks to encourage growth. Earnings declines are a growing risk for 2023, but stock prices typically rise well before earnings estimates do. Historically, some of the strongest market returns have occurred when earnings were still contracting, as investors repositioned in anticipation of a return to stronger growth. In our view, the resilience of nominal economic growth in 2022, reasonable equity valuations, and heightened levels of pessimism provide a base for a recovery in equities during 2023, especially if Fed rate hike pressures subside.

**Relative Performance**![LOGO](g422955g43u38.jpg)

---

| | | | |
|:---|:---|:---|:---|
| Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 | Average Annual Total Returns<br> For Periods Ended December 31, 2022 |
|  | 1 Year | 5 Years | 10 Years |
|  Asset Allocation Portfolio | -14.83% | 4.21% | 6.40% |
|  S&P 500<sup>®</sup> Index | -18.11% | 9.41% | 12.56% |
|  Bloomberg<sup>®</sup> U.S. Aggregate Bond Index | -13.01% | 0.02% | 1.06% |
|  Asset Allocation Portfolio Blended Composite Benchmark | -15.43% | 4.79% | 7.26% |
|  Morningstar<sup>®</sup> US Insurance Fund Allocation - 50% to 70% Equity Average | -15.77% | 3.70% | 6.32% |
|  Lipper<sup>®</sup> Variable Insurance Products (VIP) Mixed Asset Target Allocation Growth Funds Average | -16.13% | 3.90% | 6.65% |

---

*The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit <u>www.northwesternmutual.com</u>.* 

*This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.* 

*The Portfolio obtains its exposure to equity and fixed income securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio's net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio's expenses.* 

*The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio duration, to provide increased flexibility in asset allocation,* 

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**Asset Allocation Portfolio (unaudited)** 

------

*to earn income and to otherwise seek to enhance returns or to hedge foreign currency exposure. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those investments.* 

*The U.S. federal funds rate has been at historically low levels and a significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio's fixed income investments.* 

**Top 10 Holdings** 12/31/22

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Security Description | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Select Bond Portfolio | 17.1% |
| &nbsp;&nbsp;&nbsp; iShares Core S&P 500 ETF | 10.9% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio | 7.7% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio | 7.4% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio | 7.0% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., International Equity Portfolio | 6.1% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., International Growth Portfolio | 5.8% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio | 5.8% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio | 5.3% |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio | 5.3% |

---

**Sector Allocation** 12/31/22

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Sector | % of Net Assets |
| &nbsp;&nbsp;&nbsp; Domestic Equity | 50.1% |
| &nbsp;&nbsp;&nbsp; Fixed Income | 31.0% |
| &nbsp;&nbsp;&nbsp; Foreign Equity | 16.2% |
| &nbsp;&nbsp;&nbsp; Short-Term Investments & Other Net Assets | 2.7% |

---

Sector Allocation and Top 10 Holdings are subject to change.

**206** 

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##### [**Table of Contents**](#toc)
**Asset Allocation Portfolio** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2022** 

---

| | | |
|:---|:---|:---|
| Investment Companies (97.3%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Domestic Equity (50.1%)** |  |  |
|  iShares Core S&P 500 ETF | 73250 | 28143 |
|  iShares Core S&P Mid-Cap ETF | 5350 | 1294 |
|  iShares Core S&P Small-Cap ETF | 28300 | 2678 |
|  Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £ | 12189149 | 19880 |
|  Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £ | 6646192 | 18098 |
|  Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £ | 17527386 | 18947 |
|  Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £ | 4992508 | 13540 |
|  Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £ | 9136952 | 14985 |
|  Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £ | 2804874 | 5312 |
|  Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £ | 3408985 | 6174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **129051** |
|  **Fixed Income (31.0%)** |  |  |
|  iShares Core U.S. Aggregate Bond ETF | 65600 | 6362 |
|  Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £ | 20375749 | 12776 |
|  Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £ | 14896732 | 13571 |
|  Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £ | 41349931 | 44162 |
|  Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £ | 3151127 | 3120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **79991** |

---

---

| | | |
|:---|:---|:---|
| Investment Companies (97.3%) | Shares/<br>Par <sup>+</sup> | Value<br>$(000's) |
|  **Foreign Equity (16.2%)** |  |  |
|  iShares Core MSCI EAFE ETF | 111100 | 6848 |
|  iShares Core MSCI Emerging Markets ETF | 23600 | 1102 |
|  Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £ | 3309808 | 2959 |
|  Northwestern Mutual Series Fund, Inc., International Equity Portfolio £ | 11276660 | 15799 |
|  Northwestern Mutual Series Fund, Inc., International Growth Portfolio £ | 9237350 | 15020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **41728** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investment Companies** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $276,011)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $276,011)** | **250770** |
| Short-Term Investments (1.6%) |  |  |
|  **Investment Companies (1.6%)** |  |  |
|  JPMorgan Ultra-Short Income ETF | 40300 | 2020 |
|  PIMCO Enhanced Short Maturity Active ETF | 20100 | 1983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** |  | **4003** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short-Term Investments** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $4,097)** |  | **4003** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (98.9%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $280,108)<sup>@</sup>**  |  | **254773** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, Less Liabilities (1.1%)** |  | **2926** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets (100.0%)** |  | **257699** |

---

+ All par is stated in U.S. Dollar unless otherwise noted.

---

| | |
|:---|:---|
| £| Affiliated Company  |

---

---

| | |
|:---|:---|
| @ | At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $280,735 and the net unrealized depreciation of investments based on that cost was $25,962 which is comprised of $1,232 aggregate gross unrealized appreciation and $27,194 aggregate gross unrealized depreciation.  |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Asset Allocation Portfolio** 

The following is a summary of the inputs used in valuing the Portfolio's Investments at December 31, 2022. See Note 3 for additional information on portfolio valuation.

---

| | | | |
|:---|:---|:---|:---|
|  | | Valuation Inputs | |
| Description | Level 1 –<br> Quoted Prices | Level 2 –<br> Other Significant<br>Observable Inputs | Level 3 –<br> Significant<br>Unobservable Inputs |
|  |  | *(Amounts in thousands)* |  |
|  Assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | $250770 | $– | $– |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-Term Investments | 4003 | – | – |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets: | $254773 | $– | $– |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Benchmark Definitions (unaudited)** 

------

The following indices are used to illustrate investment market, sector or style performance or to serve as Portfolio performance comparisons. Unlike the Portfolios, the indices are not professionally managed and do not incur fees or expenses. It is not possible to invest directly in an index.

**1/3 each: Bloomberg**<sup>®</sup> **Global Aggregate — Credit Component ex Emerging Markets, Hedged USD; ICE BofA**<sup>®</sup> **Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; JPMorgan**<sup>®</sup> **EMBI Global** — The Bloomberg<sup>®</sup> Global Aggregate — Credit Component ex Emerging Markets, Hedged USD provides a broad-based measure of the global developed markets investment grade fixed income markets. The ICE BofA Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD tracks the performance of below investment grade bonds of corporate issuers domiciled in developed market countries rated BB1 through B3, based on an average of Moody's, S&P and Fitch. Qualifying bonds are capitalization weighted provided the total allocation to an individual issuer (defined by Bloomberg tickers) does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face value of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. The index is rebalanced on the last calendar day of the month. The JPMorgan EMBI Global tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, Brady bonds, loans, Eurobonds and local market instruments. It is not possible to invest in an unmanaged index.

**Asset Allocation Portfolio Blended Composite Benchmark** — The Asset Allocation Portfolio Blended Composite Benchmark is an unmanaged, hypothetical combination of unmanaged indices that correspond to the Asset Allocation Portfolio's model allocation and consists of the Russell 1000<sup>®</sup> Index (33%), the Russell MidCap Index (11%), the Russell 2000<sup>®</sup> Index (5%), the MSCI EAFE<sup>®</sup> (Europe-Australasia-Far-East) Index (13%), the MSCI<sup>®</sup> Emerging Markets Index (3%), the Bloomberg<sup>®</sup> U.S. Aggregate Bond Index (24%), the Bloomberg<sup>®</sup> U.S. Corporate High Yield 2% Issuer Capped Bond Index (8%), and the ICE BofA<sup>®</sup> US 3-Month Treasury Bill Index (3%).

**Balanced Portfolio Blended Composite Benchmark** — The Balanced Portfolio Blended Composite Benchmark is an unmanaged, hypothetical combination of unmanaged indices that correspond to the Balanced Portfolio's model allocation and consists of the Russell 1000<sup>®</sup> Index (26%), the Russell<sup>®</sup> MidCap Index (9%), the Russell 2000<sup>®</sup> Index (3%), the MSCI EAFE<sup>®</sup> (Europe-Australasia-Far-East) Index (9%), the MSCI<sup>®</sup> Emerging Markets Index (2%), the Bloomberg<sup>®</sup> U.S. Aggregate Bond Index (41%), the Bloomberg<sup>®</sup> U.S. Corporate High Yield 2% Issuer Capped Bond Index (6%), and the ICE BofA<sup>®</sup> US 3-Month Treasury Bill Index (4%).

**Bloomberg**<sup>®</sup> **1-3 Year U.S. Government/Credit Bond Index** — The Bloomberg<sup>®</sup> 1-3 Year U.S. Government/Credit Bond Index is an unmanaged index of publicly issued medium and larger issues of U.S. Government, investment-grade corporate and investment-grade international dollar denominated bonds that have maturities of between one and three years.

**Bloomberg**<sup>®</sup> **U.S. Aggregate Bond Index** — The Bloomberg<sup>®</sup> U.S. Aggregate Index is an unmanaged index of publicly issued investment-grade fixed-rate debt securities including corporate, U.S. Treasury and government agency securities, mortgage pass-through and asset-backed securities with remaining maturities of at least one year regardless of call features.

**Bloomberg**<sup>®</sup> **U.S. Corporate High Yield 2% Issuer Capped Bond Index** — The Bloomberg<sup>®</sup> U. S. Corporate High Yield 2% Issuer Capped Index is an unmanaged index of U.S. Dollar-denominated, non-convertible, fixed-rate, noninvestment-grade debt. Issuers are capped at 2% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.

**Bloomberg**<sup>®</sup> **Global Credit Hedged USD Index** — The Bloomberg<sup>®</sup> Global Credit Hedged USD Index is an unmanaged index composed of investment-grade and high yield credit securities from the Multiverse represented in U.S. dollars on a hedged basis (Multiverse is the merger of two groups: the Global Aggregate and the Global High Yield).

**Bloomberg**<sup>®</sup> **Long-Term U.S. Treasury Index** — The Bloomberg<sup>®</sup> Long-Term U.S. Treasury Index is an unmanaged index comprised of fixed-income securities with various maturities greater than 10 years.

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##### [**Table of Contents**](#toc)
**Benchmark Definitions (unaudited)** 

------

**Bloomberg**<sup>®</sup> **U.S. Treasury Inflation Protected Securities (TIPS) Index** — The Bloomberg<sup>®</sup> U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged index of inflation-protected public obligations of the U.S. Treasury. The index is market capitalization weighted and includes all publicly-issued U.S. Treasury Inflation-Protected Securities that have at least one year remaining to maturity and have $250 million or more of outstanding face value.

**ICE BofA**<sup>®</sup> **US 3-Month Treasury Bill Index** — The ICE BofA<sup>®</sup> US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.

**Lipper**<sup>®</sup> **Variable Insurance Products (VIP) Average** — Each Lipper<sup>®</sup> Variable Insurance Products (VIP) Average is calculated by Lipper<sup>®</sup> Analytical Services, Inc. and reflects the investment return of certain portfolios underlying variable life and annuity products. Source: Lipper<sup>®</sup>, Inc.

**Morningstar**<sup>®</sup> **Insurance Fund Category Averages** — Each Morningstar<sup>®</sup> category average is an equal-weighted category return. The calculation is simply the average of the returns at the end of the period for all the underlying variable insurance funds in a given category. Source: Morningstar<sup>®</sup>, Inc.

**Morningstar**<sup>®</sup> **US Insurance Fund Allocation – 30% to 50% Equity Average** — Funds in allocation categories seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash. These portfolios are dominated by domestic holdings and have equity exposures between 30% and 50%. Source: Morningstar<sup>®</sup>, Inc.

**Morningstar**<sup>®</sup> **US Insurance Fund Allocation – 50% to 70% Equity Average** — Funds in allocation categories seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash. These portfolios are dominated by domestic holdings and have equity exposures between 50% and 70%. Source: Morningstar<sup>®</sup>, Inc.

**MSCI**<sup>®</sup> **All Country World (ex-US) Index** — The MSCI<sup>®</sup> All Country World (ex-US) Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S.

**MSCI**<sup>®</sup> **All Country World (ex-US) Growth Index** — The MSCI<sup>®</sup> All Country World (ex-US) Growth Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S., with higher historical and forecasted growth characteristics.

**MSCI**<sup>®</sup> **All Country World (ex-US) Value Index** — The MSCI<sup>®</sup> All Country World (ex-US) Value Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S., which captures large and mid cap securities exhibiting overall value style characteristics.

**MSCI EAFE**<sup>®</sup> **(Europe-Australasia-Far-East) Index** — The MSCI EAFE<sup>®</sup> ("Europe-Australasia-Far East") Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity performance of companies in the developed markets, excluding the U.S. & Canada.

**MSCI EAFE**<sup>®</sup> **(Europe-Australasia-Far-East) Growth Index** — The MSCI EAFE<sup>®</sup> ("Europe-Australasia-Far East") Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity performance of companies in the developed markets, excluding the U.S. & Canada, with higher historical and forecasted growth characteristics.

**MSCI**<sup>®</sup> **Emerging Markets Index** — The MSCI<sup>®</sup> Emerging Markets Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity market performance in the global emerging markets.

**Russell 1000**<sup>®</sup> **Index** — The Russell 1000<sup>®</sup> Index is an unmanaged, market capitalization-weighted, large cap index that measures the performance of the 1000 largest companies in the Russell 3000<sup>®</sup> Index.

**Russell 1000**<sup>®</sup> **Growth Index** — The Russell 1000<sup>®</sup> Growth Index is an unmanaged index that measures the performance of those companies in the Russell 1000<sup>®</sup> Index with higher price-to-book ratios and higher forecasted growth values.

**210** 

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##### [**Table of Contents**](#toc)
**Benchmark Definitions (unaudited)** 

------

**Russell 1000**<sup>®</sup> **Value Index** — The Russell 1000<sup>®</sup> Value Index is an unmanaged index that measures the performance of those companies in the Russell 1000<sup>®</sup> Index with lower price-to-book ratios and lower forecasted growth values.

**Russell 2000**<sup>®</sup> **Index** — The Russell 2000<sup>®</sup> Index is an unmanaged, market capitalization-weighted index that measures the performance of the 2000 companies in the Russell 3000<sup>®</sup> Index and represents approximately 10% of the total market capitalization of the Russell 3000<sup>®</sup> Index.

**Russell 2000**<sup>®</sup> **Growth Index** — The Russell 2000<sup>®</sup> Growth Index is an unmanaged index that measures the performance of those companies in the Russell 2000<sup>®</sup> Index with higher price-to-book ratios and higher forecasted growth values.

**Russell 2000**<sup>®</sup> **Value Index** — The Russell 2000<sup>®</sup> Value Index is an unmanaged index measures the performance of those companies in the Russell 2000<sup>®</sup> Index with lower price-to-book ratios and lower forecasted growth values.

**Russell 3000**<sup>®</sup> **Index** — The Russell 3000<sup>®</sup> Index measures the performance of the 3000 largest U.S. companies representing approximately 98% of the investable U.S. equity market.

**Russell MidCap**<sup>®</sup> **Index** — The Russell MidCap<sup>®</sup> Index is an unmanaged index that measures the performance of the 800 smallest companies in the Russell 1000<sup>®</sup> Index, which represents approximately 25% of the total market capitalization of the Russell 1000<sup>®</sup> Index.

**Russell MidCap**<sup>®</sup> **Growth Index** — The Russell MidCap<sup>®</sup> Growth Index is an unmanaged index that measures the performance of the Russell MidCap<sup>®</sup> companies with higher price-to-book ratios and higher forecasted growth values.

**Russell MidCap**<sup>®</sup> **Value Index** — The Russell MidCap<sup>®</sup> Value Index is an unmanaged index that measures the performance of the Russell MidCap<sup>®</sup> companies with lower price-to-book and lower forecasted growth values.

**S&P 500**<sup>®</sup> **Index** — The S&P 500<sup>®</sup> Composite Stock Price Index is an unmanaged, capitalization-weighted index of 500 selected common stocks designed to measure the performance of the broad domestic economy.

**S&P MidCap 400**<sup>®</sup> **Index** — The S&P MidCap 400<sup>®</sup> Index is an unmanaged, capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market.

**S&P SmallCap 600**<sup>®</sup> **Index** — The S&P SmallCap 600<sup>®</sup> Index is an unmanaged index of 600 selected common stocks of U.S.-based companies with small market capitalizations.

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##### [**Table of Contents**](#toc)
**Statements of Assets and Liabilities** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Growth<br> Stock<br> Portfolio | Focused<br>Appreciation<br>Portfolio | Large Cap<br> Core<br> Stock<br> Portfolio | Large Cap<br>Blend<br> Portfolio | Index 500<br> Stock<br> Portfolio |
|  Assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investments, at Value (1) | $746466 | $959891 | $562130 | $186960 | $4413863 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash | 3158 | 4959 | 3927 | 8686 | 45401 |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral with Counterparty |  |  |  |  | 2848 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Portfolio Shares Sold | 120 | 193 | 79 | 4 | 1330 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Investment Securities Sold | 1425 | 2732 | 1690 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid Expenses and Other Assets | 7 | 8 | 5 | 2 | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and Interest Receivable | 152 | 768 | 681 | 423 | 3945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Assets** | 751328 | 968551 | 568512 | 196075 | 4467434 |
|  Liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Portfolio Shares Redeemed | 316 | 176 | 406 | 7 | 582 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Investment Securities Purchased |  | 3884 | 1673 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation Margin Payable |  |  |  |  | 143 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees Payable | 277 | 514 | 207 | 117 | 731 |
| &nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees Payable | 3 | 3 | 3 | 2 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors Fees Payable | 4 | 4 | 4 | 3 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued Expenses | 25 | 41 | 24 | 19 | 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Liabilities** | 625 | 4622 | 2317 | 148 | 1520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets** | $750703 | $963929 | $566195 | $195927 | $4465914 |
|  Represented By: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Aggregate Paid in Capital (10) (11) | $737211 | $672033 | $476103 | $161912 | $1720093 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributable Earnings (Loss) | 13492 | 291896 | 90092 | 34015 | 2745821 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Assets for Shares Outstanding (10) (11) | $750703 | $963929 | $566195 | $195927 | $4465914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Asset Value, Offering and Redemption Price per Share | $2.04 | $2.72 | $1.44 | $1.08 | $6.38 |
| (1) Unaffiliated Investments, at Cost | $670592 | $740436 | $516015 | $168467 | $1768591 |
| (10) Shares Outstanding | 367391 | 353932 | 392765 | 181292 | 700018 |
| (11) Shares Authorized, $.01 Par Value | 2000000 | 2000000 | 2000000 | 2000000 | 2000000 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Assets and Liabilities** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Large<br>Company<br>Value<br> Portfolio | Domestic<br> Equity<br>Portfolio | Equity<br> Income<br>Portfolio | Mid Cap<br> Growth<br> Stock<br> Portfolio | Index 400<br>Stock<br>Portfolio |
|  Assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investments, at Value (1) | $150768 | $1047883 | $692186 | $1007716 | $1122909 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash |  | 10759 | 7578 | 1465 | 12915 |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral with Counterparty | 702 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Portfolio Shares Sold | 12 | 266 | 32 | 74 | 323 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Investment Securities Sold | 913 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Foreign Currency | 16 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid Expenses and Other Assets | 1 | 8 | 6 | 9 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and Interest Receivable | 375 | 1765 | 3070 | 482 | 2047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Assets** | 152787 | 1060681 | 702872 | 1009746 | 1138220 |
|  Liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Portfolio Shares Redeemed | 97 | 95 | 127 | 483 | 137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation Margin Payable |  |  |  |  | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Custodian | 89 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Foreign Currency | 66 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral from Counterparty |  |  |  |  | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees Payable | 85 | 437 | 333 | 455 | 218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees Payable | 2 | 3 | 3 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors Fees Payable | 3 | 4 | 4 | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued Expenses | 31 | 23 | 29 | 27 | 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Liabilities** | 373 | 562 | 496 | 972 | 510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets** | $152414 | $1060119 | $702376 | $1008774 | $1137710 |
|  Represented By: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Aggregate Paid in Capital (10) (11) | $122136 | $787163 | $498254 | $1020513 | $854621 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributable Earnings (Loss) | 30278 | 272956 | 204122 | (11739) | 283089 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Assets for Shares Outstanding (10) (11) | $152414 | $1060119 | $702376 | $1008774 | $1137710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Asset Value, Offering and Redemption Price per Share | $0.92 | $1.63 | $1.69 | $2.71 | $1.97 |
| (1) Unaffiliated Investments, at Cost | $143374 | $840599 | $559691 | $1002364 | $904157 |
| (10) Shares Outstanding | 165105 | 650051 | 415629 | 371908 | 576959 |
| (11) Shares Authorized, $.01 Par Value | 2000000 | 2000000 | 2000000 | 2000000 | 2000000 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Assets and Liabilities** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Mid Cap<br> Value<br> Portfolio | Small Cap<br>Growth Stock<br>Portfolio | Index 600<br> Stock Portfolio | Small Cap<br> Value Portfolio | International<br>Growth<br>Portfolio |
|  Assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investments, at Value (1) | $638384 | $591307 | $369155 | $516714 | $876117 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash | 5515 | 4273 | 1925 | 17708 | 15867 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency, at Value (4) | 1 |  |  |  | 87 |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral with Counterparty | 3790 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Portfolio Shares Sold | 157 | 94 | 131 | 41 | 224 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Investment Securities Sold | 2523 |  |  | 2784 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation Margin Receivable |  |  | 3 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Foreign Currency | 39 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid Expenses and Other Assets | 5 | 5 | 8 | 5 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and Interest Receivable | 1503 | 178 | 501 | 689 | 1583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Assets** | 651917 | 595857 | 371723 | 537941 | 893885 |
|  Liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Portfolio Shares Redeemed | 115 | 507 | 39 | 66 | 131 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Investment Securities Purchased | 68 | 166 |  | 1833 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued Foreign Capital Gains Tax |  |  |  |  | 190 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Foreign Currency | 342 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral from Counterparty |  |  | 13 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees Payable | 386 | 277 | 73 | 393 | 457 |
| &nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees Payable | 3 | 3 | 3 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors Fees Payable | 3 | 3 | 3 | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued Expenses | 36 | 24 | 40 | 24 | 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Liabilities** | 953 | 980 | 171 | 2323 | 837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets** | $650964 | $594877 | $371552 | $535618 | $893048 |
|  Represented By: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Aggregate Paid in Capital (10) (11) | $560810 | $631965 | $320849 | $422983 | $760809 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributable Earnings (Loss) | 90154 | (37088) | 50703 | 112635 | 132239 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Assets for Shares Outstanding (10) (11) | $650964 | $594877 | $371552 | $535618 | $893048 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Asset Value, Offering and Redemption Price per Share | $1.64 | $1.89 | $1.39 | $1.81 | $1.63 |
| (1) Unaffiliated Investments, at Cost | $639638 | $552260 | $338354 | $440695 | $768629 |
| (4) Foreign Currency, at Cost | 1 |  |  |  | 89 |
| (10) Shares Outstanding | 397009 | 314098 | 267258 | 295762 | 549287 |
| (11) Shares Authorized, $.01 Par Value | 2000000 | 2000000 | 2000000 | 2000000 | 2000000 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Assets and Liabilities** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Research<br>International<br>Core Portfolio | International<br> Equity Portfolio | Emerging<br> Markets Equity<br> Portfolio | Government<br> Money Market<br> Portfolio | Short-Term<br>Bond Portfolio |
|  Assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investments, at Value (1) | $731205 | $1701854 | $838775 | $243426 | $378279 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in Repurchase Agreements, at Value (3) |  |  |  | 296000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash | 10712 | 21737 | 18250 | 468 | 2622 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency, at Value (4) |  | 1083 | 1031 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Portfolio Shares Sold | 541 | 286 | 415 | 1777 | 33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Investment Securities Sold |  | 1865 | 56 |  | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation Margin Receivable |  |  |  |  | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Foreign Currency |  | 3507 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid Expenses and Other Assets | 6 | 13 | 7 | 4 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and Interest Receivable | 2385 | 5221 | 534 | 1200 | 2369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Assets** | 744849 | 1735566 | 859068 | 542875 | 383335 |
|  Liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Portfolio Shares Redeemed | 88 | 489 | 103 | 188 | 38 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Investment Securities Purchased |  | 1309 | 567 |  | 342 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued Foreign Capital Gains Tax | 174 | 1550 | 3454 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation Margin Payable |  |  |  |  | 58 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Foreign Currency |  | 932 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral from Counterparty |  | 4020 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees Payable | 456 | 967 | 631 | 137 | 106 |
| &nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees Payable | 3 | 4 | 3 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors Fees Payable | 3 | 5 | 4 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued Expenses | 52 | 94 | 68 | 27 | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Liabilities** | 776 | 9370 | 4830 | 358 | 597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets** | $744073 | $1726196 | $854238 | $542517 | $382738 |
|  Represented By: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Aggregate Paid in Capital (10) (11) | $655964 | $1892254 | $908740 | $542517 | $401097 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributable Earnings (Loss) | 88109 | (166058) | (54502) |  | (18359) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Assets for Shares Outstanding (10) (11) | $744073 | $1726196 | $854238 | $542517 | $382738 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Asset Value, Offering and Redemption Price per Share | $0.98 | $1.40 | $0.89 | $1.00 | $0.99 |
| (1) Unaffiliated Investments, at Cost | $667340 | $1907661 | $871999 | $243426 | $397183 |
| (3) Investments in Repurchase Agreements, at Cost |  |  |  | 296000 |  |
| (4) Foreign Currency, at Cost |  | 1081 | 1528 |  |  |
| (10) Shares Outstanding | 756421 | 1232171 | 955115 | 542515 | 386413 |
| (11) Shares Authorized, $.01 Par Value | 2000000 | 3000000 | 2000000 | 2000000 | 2000000 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**215** 

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##### [**Table of Contents**](#toc)
**Statements of Assets and Liabilities** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Select<br> Bond<br>Portfolio | Long-Term U.S.<br>Government<br>Bond<br> Portfolio | Inflation<br>Protection<br>Portfolio | High<br> Yield<br> Bond<br>Portfolio | Multi-Sector<br> Bond<br>Portfolio |
|  Assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investments, at Value (1) | $2855177 | $127526 | $415493 | $662852 | $968253 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in Repurchase Agreements, at Value (3) |  |  |  |  | 113700 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash | 36670 | 1006 | 4346 | 17498 | 5656 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency, at Value (4) |  |  |  |  | 940 |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral with Counterparty | 300 | 878 |  |  | 16332 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Portfolio Shares Sold | 515 | 37 | 91 | 113 | 279 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Investment Securities Sold | 97589 | 8879 |  |  | 638 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Financing Transactions |  | 114212 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation Margin Receivable |  | 58 | 62 |  | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp; Outstanding Swap Contracts, at Value (8) |  |  | 6108 |  | 322 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Foreign Currency |  |  |  |  | 304 |
| &nbsp;&nbsp;&nbsp;&nbsp; Deferred Expense for Financing Transactions |  | 19 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid Expenses and Other Assets | 25 | 2 | 1 | 6 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and Interest Receivable | 14772 | 869 | 2053 | 12537 | 13675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Assets** | 3005048 | 253486 | 428154 | 693006 | 1120139 |
|  Liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Portfolio Shares Redeemed | 16781 | 12 | 53 | 3085 | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Investment Securities Purchased | 200871 | 8052 |  | 222 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Financing Transactions |  | 140671 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation Margin Payable |  | 39 | 14 |  | 704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Outstanding Options Written, at Value (6) |  | 47 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities Sold Short, at Value (7) |  | 4426 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Reverse Repurchase Agreements |  |  |  |  | 535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Outstanding Swap Contracts, at Value (9) |  |  | 343 |  | 334 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Foreign Currency |  |  | 6 |  | 4580 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Unfunded Loan Commitments |  |  |  |  | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral from Counterparty |  |  | 3963 |  | 541 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees Payable | 711 | 42 | 180 | 252 | 650 |
| &nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees Payable | 4 | 3 | 3 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors Fees Payable | 6 | 3 | 3 | 3 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued Expenses | 59 | 34 | 41 | 36 | 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Liabilities** | 218432 | 153329 | 4606 | 3601 | 7560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets** | $2786616 | $100157 | $423548 | $689405 | $1112579 |
|  Represented By: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Aggregate Paid in Capital (10) (11) | $3261270 | $163983 | $454676 | $766898 | $1316623 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributable Earnings (Loss) | (474654) | (63826) | (31128) | (77493) | (204044) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Assets for Shares Outstanding (10) (11) | $2786616 | $100157 | $423548 | $689405 | $1112579 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Asset Value, Offering and Redemption Price per Share | $1.07 | $0.65 | $1.05 | $0.63 | $0.91 |
| (1) Unaffiliated Investments, at Cost | $3108782 | $175823 | $469978 | $772557 | $1150895 |
| (3) Investments in Repurchase Agreements, at Cost |  |  |  |  | 113700 |
| (4) Foreign Currency, at Cost |  |  |  |  | 541 |
| (6) Premiums Received on Options Written |  | 41 |  |  |  |
| (7) Proceeds Received from Short Sales |  | 4456 |  |  |  |
| (8) Premiums Paid on Swap Contracts |  | 145 | 1 |  | 8542 |
| (9) Premiums Received from Swap Contracts |  | 150 |  |  | 2264 |
| (10) Shares Outstanding | 2609728 | 153984 | 403655 | 1099443 | 1221531 |
| (11) Shares Authorized, $.01 Par Value | 6000000 | 2000000 | 2000000 | 3000000 | 2000000 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Assets and Liabilities** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**December 31, 2022 (in thousands)** 

---

| | | |
|:---|:---|:---|
| | Balanced<br>Portfolio | Asset<br>Allocation<br>Portfolio |
|  Assets |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investments, at Value (1) | $351713 | $50430 |
| &nbsp;&nbsp;&nbsp;&nbsp; Affiliated Investments, at Value (2) | 1507867 | 204343 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash | 14066 | 2266 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Portfolio Shares Sold | 410 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Investment Securities Sold | 25010 | 3421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid Expenses and Other Assets | 16 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and Interest Receivable | 161 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Assets** | 1899243 | 260482 |
|  Liabilities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Portfolio Shares Redeemed | 974 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Investment Securities Purchased | 15023 | 2709 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees Payable | 81 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees Payable | 4 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors Fees Payable | 5 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued Expenses | 29 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Liabilities** | 16116 | 2783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets** | $1883127 | $257699 |
|  Represented By: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Aggregate Paid in Capital (10) (11) | $1989262 | $262447 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributable Earnings (Loss) | (106135) | (4748) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Assets for Shares Outstanding (10) (11) | $1883127 | $257699 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Asset Value, Offering and Redemption Price per Share . | $1.21 | $1.01 |
| (1) Unaffiliated Investments, at Cost | $351069 | $51123 |
| (2) Affiliated Investments, at Cost | 1721022 | 228985 |
| (10) Shares Outstanding | 1558037 | 254128 |
| (11) Shares Authorized, $.01 Par Value | 4000000 | 2000000 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Operations** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**For the Year Ended December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Growth Stock<br>Portfolio | Focused<br>Appreciation<br>Portfolio | Large Cap<br>Core Stock<br>Portfolio | Large Cap<br>Blend Portfolio | Index 500<br> Stock Portfolio |
|  Investment Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest (1) | $65 | $196 | $81 | $115 | $764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Dividends (1) | 4465 | 6114 | 9102 | 2869 | 75674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Income** | 4530 | 6310 | 9183 | 2984 | 76438 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees | 4002 | 7702 | 2808 | 1458 | 9494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian Fees | 27 | 36 | 29 | 19 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder Reporting Fees | 11 | 15 | 12 | 11 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit Fees | 29 | 26 | 29 | 23 | 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Services | 1 |  | 2 |  | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees | 10 | 11 | 10 | 8 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Directors Fees | 45 | 46 | 41 | 35 | 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Fees | 11 | 9 | 10 | 10 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trade Name Fees |  |  |  |  | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Expenses | 14 | 14 | 9 | 2 | 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Expenses** | 4150 | 7859 | 2950 | 1566 | 9885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less Waived Fees: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid by Affiliate | (12) | (1279) | (49) | (93) | (549) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Expenses** | 4138 | 6580 | 2901 | 1473 | 9336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | 392 | (270) | 6282 | 1511 | 67102 |
|  Realized and Unrealized Gain (Loss) on Investments |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (61676) | 75764 | 39905 | 14078 | 47164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  | (8614) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on Investments** | (61676) | 75764 | 39905 | 14078 | 38550 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Unrealized Appreciation (Depreciation) of: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (462439) | (439271) | (202614) | (42548) | (1105304) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  | (2666) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Change in Unrealized Appreciation (Depreciation) of<br>Investments** | (462439) | (439271) | (202614) | (42548) | (1107970) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Gain (Loss) on Investments | (524115) | (363507) | (162709) | (28470) | (1069420) |
|  Net Increase (Decrease) in Net Assets Resulting from Operations | $(523723) | $(363777) | $(156427) | $(26959) | $(1002318) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1) Net of Foreign Witholding Tax | $31 | $524 | $7 | $34 | $18 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Operations** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**For the Year Ended December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Large<br>Company<br> Value Portfolio | Domestic<br>Equity<br>Portfolio | Equity<br>Income<br>Portfolio | Mid Cap<br>Growth Stock<br>Portfolio | Index 400<br>Stock Portfolio |
|  Investment Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest (1) | $43 | $183 | $102 | $24 | $217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Dividends (1) | 4794 | 24201 | 21025 | 8360 | 18460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Income** | 4837 | 24384 | 21127 | 8384 | 18677 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees | 1291 | 5442 | 4881 | 5701 | 2939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian Fees | 44 | 18 | 38 | 37 | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder Reporting Fees | 14 | 14 | 14 | 10 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit Fees | 26 | 26 | 27 | 29 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Services | 16 |  | 1 | 1 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees | 8 | 11 | 10 | 11 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Directors Fees | 36 | 44 | 42 | 46 | 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Fees | 10 | 11 | 10 | 11 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trade Name Fees |  |  |  |  | 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Expenses | 2 | 12 | 9 | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Expenses** | 1447 | 5578 | 5032 | 5860 | 3259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less Waived Fees: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid by Affiliate | (70) | (390) | (640) | (10) | (338) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Expenses** | 1377 | 5188 | 4392 | 5850 | 2921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | 3460 | 19196 | 16735 | 2534 | 15756 |
|  Realized and Unrealized Gain (Loss) on Investments |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | 19723 | 47213 | 56384 | (13699) | 50208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  | (167) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Transactions | 1429 |  | (7) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on Investments** | 21152 | 47213 | 56377 | (13699) | 50041 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Unrealized Appreciation (Depreciation) of: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (29699) | (95306) | (103766) | (311849) | (242279) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  | (678) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Transactions | 182 |  | (1) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Change in Unrealized Appreciation (Depreciation) of Investments** | (29517) | (95306) | (103767) | (311849) | (242957) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Gain (Loss) on Investments | (8365) | (48093) | (47390) | (325548) | (192916) |
|  Net Increase (Decrease) in Net Assets Resulting from Operations | $(4905) | $(28897) | $(30655) | $(323014) | $(177160) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1) Net of Foreign Witholding Tax | $89 | $– | $717 | $2 | $– |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Statements of Operations** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**For the Year Ended December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Mid Cap Value<br>Portfolio | Small Cap<br>Growth Stock<br>Portfolio | Index 600<br>Stock Portfolio | Small Cap<br>Value Portfolio | International<br>Growth<br>Portfolio |
|  Investment Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest (1) | $194 | $132 | $64 | $303 | $473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Dividends (1) | 18601 | 3789 | 5376 | 7653 | 12584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Income** | 18795 | 3921 | 5440 | 7956 | 13057 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees | 5672 | 3454 | 875 | 4950 | 5247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian Fees | 65 | 23 | 65 | 24 | 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder Reporting Fees | 13 | 15 | 12 | 37 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit Fees | 29 | 26 | 28 | 25 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Services | 15 | 2 | 7 | 2 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees | 10 | 10 | 9 | 9 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Directors Fees | 40 | 41 | 38 | 40 | 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Fees | 11 | 10 | 15 | 10 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trade Name Fees |  |  | 39 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Expenses | 8 | 9 | 4 | 7 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Expenses** | 5863 | 3590 | 1092 | 5104 | 5537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less Waived Fees: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid by Affiliate | (1071) |  |  | (41) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Expenses** | 4792 | 3590 | 1092 | 5063 | 5537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | 14003 | 331 | 4348 | 2893 | 7520 |
|  Realized and Unrealized Gain (Loss) on Investments |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | 80991 | (75603) | 17004 | 36712 | 19063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  | (1007) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Transactions | 3245 |  |  |  | (56) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on Investments** | 84236 | (75603) | 15997 | 36712 | 19007 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Unrealized Appreciation (Depreciation) of: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (107377) | (161243) | (91945) | (165134) | (273711) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  | (145) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Transactions | 196 |  |  |  | (64) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Change in Unrealized Appreciation (Depreciation) of Investments** | (107181) | (161243) | (92090) | (165134) | (273775) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Gain (Loss) on Investments | (22945) | (236846) | (76093) | (128422) | (254768) |
|  Net Increase (Decrease) in Net Assets Resulting from Operations | $(8942) | $(236515) | $(71745) | $(125529) | $(247248) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1) Net of Foreign Witholding Tax | $218 | $– | $5 | $27 | $374 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Operations** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**For the Year Ended December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Research<br>International<br>Core<br>Portfolio | International<br>Equity<br>Portfolio | Emerging<br>Markets Equity<br>Portfolio | Government<br>Money Market<br>Portfolio | Short-Term<br>Bond Portfolio |
|  Investment Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest (1) | $154 | $412 | $383 | $8708 | $9050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Dividends (1) | 20171 | 57167 | 18553 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Income** | 20325 | 57579 | 18936 | 8708 | 9050 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees | 6004 | 11387 | 8997 | 1555 | 1282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian Fees | 146 | 284 | 198 | 42 | 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder Reporting Fees | 14 | 74 | 15 | 10 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit Fees | 30 | 33 | 30 | 26 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Services | 16 | 15 | 15 | 5 | 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees | 10 | 12 | 10 | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Directors Fees | 43 | 53 | 43 | 39 | 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Fees | 18 | 38 | 33 | 11 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Expenses | 10 | 21 | 11 | 6 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Expenses** | 6291 | 11917 | 9352 | 1703 | 1515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less Waived Fees: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid by Affiliate | (394) | (1013) | (1518) | (231) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Expenses** | 5897 | 10904 | 7834 | 1472 | 1515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | 14428 | 46675 | 11102 | 7236 | 7535 |
|  Realized and Unrealized Gain (Loss) on Investments |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | 15090 | (853) | (27386) | 7 | (4141) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  | (2546) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Transactions | (190) | 4888 | 75 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on Investments** | 14900 | 4035 | (27311) | 7 | (6684) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Unrealized Appreciation (Depreciation) of: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (197765) | (177481) | (242416) |  | (19449) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  | 256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Transactions | (85) | 3224 | (502) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Change in Unrealized Appreciation (Depreciation) of Investments** | (197850) | (174257) | (242918) |  | (19193) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Gain (Loss) on Investments | (182950) | (170222) | (270229) | 7 | (25877) |
|  Net Increase (Decrease) in Net Assets Resulting from Operations | $(168522) | $(123547) | $(259127) | $7243 | $(18342) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1) Net of Foreign Witholding Tax | $671 | $2241 | $970 | $– | $– |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Operations** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**For the Year Ended December 31, 2022 (in thousands)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Select Bond<br>Portfolio | Long –<br>Term U.S.<br>Government<br>Bond Portfolio | Inflation<br>Protection<br>Portfolio | High Yield<br>Bond Portfolio | Multi-Sector<br>Bond Portfolio |
|  Investment Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest (1) | $78839 | $3929 | $23035 | $44116 | $48560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Dividends (1) |  |  | 132 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Income** | 78839 | 3929 | 23167 | 44116 | 48560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees | 9070 | 623 | 2462 | 3098 | 8935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian Fees | 109 | 30 | 47 | 22 | 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder Reporting Fees | 60 | 9 | 15 | 18 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit Fees | 44 | 36 | 37 | 37 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Services | 57 | 14 | 28 | 45 | 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees | 16 | 8 | 9 | 10 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Directors Fees | 66 | 35 | 39 | 41 | 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Fees | 15 | 17 | 17 | 10 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Expense |  | 378 |  |  | 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Expenses | 39 | 2 | 22 | 9 | 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Expenses** | 9476 | 1152 | 2676 | 3290 | 9384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less Waived Fees: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid by Affiliate | (205) | (39) | (170) |  | (1087) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Expenses** | 9271 | 1113 | 2506 | 3290 | 8297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | 69568 | 2816 | 20661 | 40826 | 40263 |
|  Realized and Unrealized Gain (Loss) on Investments |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (279626) | (5948) | (14702) | (3804) | (19270) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  | 2018 | (225) |  | (50607) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Written |  |  |  |  | 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short Sales |  | 900 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  | 991 | 3508 |  | (15085) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Transactions |  |  | 69 |  | 25712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reverse Repurchase Agreements |  |  |  |  | 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on Investments** | (279626) | (2039) | (11350) | (3804) | (58886) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Unrealized Appreciation (Depreciation) of: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (241265) | (41860) | (76999) | (129365) | (180777) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  | 136 | 135 |  | (3008) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Written |  | (6) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short Sales |  | 37 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  | (242) | 2037 |  | (2521) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Transactions |  |  | 73 |  | 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reverse Repurchase Agreements |  |  |  |  | (36) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Change in Unrealized Appreciation (Depreciation) of Investments** | (241265) | (41935) | (74754) | (129365) | (185968) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Gain (Loss) on Investments | (520891) | (43974) | (86104) | (133169) | (244854) |
|  Net Increase (Decrease) in Net Assets Resulting from Operations | $(451323) | $(41158) | $(65443) | $(92343) | $(204591) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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**Statements of Operations** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**For the Year Ended December 31, 2022 (in thousands)** 

---

| | | |
|:---|:---|:---|
| | Balanced<br>Portfolio | Asset<br>Allocation<br>Portfolio |
|  Investment Income |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Income |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest (1) | $272 | $32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Dividends (1) | 4469 | 655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Affiliated Dividends | 27864 | 3591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Income** | 32605 | 4278 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees | 6112 | 1453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian Fees | 18 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder Reporting Fees | 10 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit Fees | 36 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Services | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees | 13 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Directors Fees | 56 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Fees | 13 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Expenses | 26 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Expenses** | 6285 | 1572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less Waived Fees: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid by Affiliate | (5093) | (1315) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Expenses** | 1192 | 257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | 31413 | 4021 |
|  Realized and Unrealized Gain (Loss) on Investments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (8407) | (912) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Affiliated Investment Securities | 6417 | 3161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributions of Realized Gains by Affiliated Investment Companies | 77875 | 14470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributions of Realized Gains by Unaffiliated Investment Companies | 42 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on Investments** | 75927 | 16723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Unrealized Appreciation (Depreciation) of: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated Investment Securities | (4709) | (935) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Affiliated Investment Securities | (434097) | (67043) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Change in Unrealized Appreciation (Depreciation) of Investments** | (438806) | (67978) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Gain (Loss) on Investments | (362879) | (51255) |
|  Net Increase (Decrease) in Net Assets Resulting from Operations | $(331466) | $(47234) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Growth Stock Portfolio** | **Growth Stock Portfolio** | **Focused Appreciation<br>Portfolio** | **Focused Appreciation<br>Portfolio** | **Large Cap Core Stock<br>Portfolio** | **Large Cap Core Stock<br>Portfolio** |
| | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $392 | $(1297) | $(270) | $(94) | 6282 | $5523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | (61676) | 152928 | 75764 | 126915 | 39905 | 111487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments | (462439) | 51611 | (439271) | 91159 | (202614) | 58406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | (523723) | 203242 | (363777) | 217980 | (156427) | 175416 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (151353) | (55999) | (127992) | (128631) | (115717) | (63357) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (151353) | (55999) | (127992) | (128631) | (115717) | (63357) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 33413 | 66958 | 96235 | 67399 | 16142 | 18494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 151353 | 55999 | 127992 | 128631 | 115717 | 63357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (148886) | (166704) | (95890) | (144714) | (136326) | (71081) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 35880 | (43747) | 128337 | 51316 | (4467) | 10770 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | (639196) | 103496 | (363432) | 140665 | (276611) | 122829 |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 1389899 | 1286403 | 1327361 | 1186696 | 842806 | 719977 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $750703 | $1389899 | $963929 | $1327361 | $566195 | $842806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 12510 | 16816 | 30292 | 15424 | 8975 | 8789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 65014 | 13432 | 45052 | 29970 | 77924 | 29913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (53936) | (43417) | (28735) | (33493) | (75581) | (33738) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 23588 | (13169) | 46609 | 11901 | 11318 | 4964 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**224** 

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Large Cap Blend Portfolio** | **Large Cap Blend Portfolio** | **Index 500 Stock Portfolio** | **Index 500 Stock Portfolio** | **Large Company Value<br>Portfolio** | **Large Company Value<br>Portfolio** |
| | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $1511 | $1309 | $67102 | $59096 | $3460 | $3726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | 14078 | 18019 | 38550 | 149490 | 21152 | 29653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments | (42548) | 13123 | (1107970) | 1029723 | (29517) | 11402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | (26959) | 32451 | (1002318) | 1238309 | (4905) | 44781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (19367) | (13080) | (208620) | (186699) | (32410) | (5187) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (19367) | (13080) | (208620) | (186699) | (32410) | (5187) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 41532 | 4803 | 306887 | 291017 | 22204 | 18519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 19367 | 13080 | 208620 | 186699 | 32410 | 5187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (21772) | (14692) | (343625) | (444085) | (92445) | (47738) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 39127 | 3191 | 171882 | 33631 | (37831) | (24032) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | (7199) | 22562 | (1039057) | 1085241 | (75146) | 15562 |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 203126 | 180564 | 5504971 | 4419729 | 227560 | 211998 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $195927 | $203126 | $4465914 | $5504970 | $152414 | $227560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 35594 | 3584 | 44050 | 39131 | 20292 | 16602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 18515 | 10031 | 31701 | 24195 | 37082 | 4538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (19365) | (11061) | (48998) | (59643) | (83073) | (42048) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 34744 | 2554 | 26753 | 3683 | (25699) | (20908) |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**225** 

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Domestic Equity Portfolio** | **Domestic Equity Portfolio** | **Equity Income Portfolio** | **Equity Income Portfolio** | **Mid Cap Growth Stock<br>Portfolio** | **Mid Cap Growth Stock<br>Portfolio** |
| | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $19196 | $18263 | $16735 | $14817 | $2534 | $1825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | 47213 | 118336 | 56377 | 79836 | (13699) | 97265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments | (95306) | 72800 | (103767) | 97810 | (311849) | 35035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | (28897) | 209399 | (30655) | 192463 | (323014) | 134125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (136599) | (41951) | (94476) | (17168) | (100047) | (177020) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (136599) | (41951) | (94476) | (17168) | (100047) | (177020) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 132917 | 67692 | 29320 | 26819 | 28886 | 27950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 136599 | 41951 | 94476 | 17168 | 100047 | 177020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (140578) | (126486) | (164225) | (138867) | (72666) | (131071) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 128938 | (16843) | (40429) | (94880) | 56267 | 73899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | (36558) | 150605 | (165560) | 80415 | (366794) | 31004 |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 1096677 | 946072 | 867936 | 787521 | 1375568 | 1344564 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $1060119 | $1096677 | $702376 | $867936 | $1008774 | $1375568 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 75132 | 37242 | 15597 | 14138 | 9486 | 6644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 87228 | 23229 | 56708 | 8979 | 36079 | 45390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (79436) | (69390) | (87588) | (73961) | (23199) | (30976) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 82924 | (8919) | (15283) | (50844) | 22366 | 21058 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**226** 

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Index 400 Stock Portfolio** | **Index 400 Stock Portfolio** | **Mid Cap Value Portfolio** | **Mid Cap Value Portfolio** | **Small Cap Growth Stock Portfolio** | **Small Cap Growth Stock Portfolio** |
| | **For the Year**<br> **Ended**<br> **December 31,**<br> **2022** | **For the Year**<br> **Ended**<br> **December 31,**<br> **2021** | **For the Year**<br> **Ended**<br> **December 31,**<br> **2022** | **For the Year**<br> **Ended**<br> **December 31,**<br> **2021** | **For the Year**<br> **Ended**<br> **December 31,**<br> **2022** | **For the Year**<br> **Ended**<br> **December 31,**<br> **2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $15756 | $13051 | $14003 | $10330 | $331 | $(543) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | 50041 | 120098 | 84236 | 100755 | (75603) | 111184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments | (242957) | 134912 | (107181) | 26542 | (161243) | (75989) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | (177160) | 268061 | (8942) | 137627 | (236515) | 34652 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (133498) | (49492) | (109209) | (12785) | (110736) | (82706) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (133498) | (49492) | (109209) | (12785) | (110736) | (82706) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 75177 | 79432 | 41682 | 47082 | 46128 | 39867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 133498 | 49492 | 109209 | 12785 | 110736 | 82706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (96244) | (127025) | (86631) | (80257) | (44750) | (84951) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 112431 | 1899 | 64260 | (20390) | 112114 | 37622 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | (198227) | 220468 | (53891) | 104452 | (235137) | (10432) |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 1335937 | 1115469 | 704855 | 600403 | 830014 | 840446 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $1137710 | $1335937 | $650964 | $704855 | $594877 | $830014 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 34219 | 32105 | 22814 | 25282 | 19429 | 11481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 68007 | 20185 | 69076 | 6732 | 56182 | 24821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (44442) | (51909) | (47794) | (42723) | (19130) | (24328) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 57784 | 381 | 44096 | (10709) | 56481 | 11974 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**227** 

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Index 600 Stock Portfolio** | **Index 600 Stock Portfolio** | **Small Cap Value Portfolio** | **Small Cap Value Portfolio** | **International Growth<br>Portfolio** | **International Growth<br>Portfolio** |
| | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $4348 | $5239 | $2893 | $1837 | $7520 | $5154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | 15997 | 33700 | 36712 | 75354 | 19007 | 96099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments | (92090) | 50661 | (165134) | 59393 | (273775) | 47291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | (71745) | 89600 | (125529) | 136584 | (247248) | 148544 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (37396) | (9577) | (77602) | (31940) | (101272) | (34654) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (37396) | (9577) | (77602) | (31940) | (101272) | (34654) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 44672 | 52725 | 23597 | 18877 | 138892 | 82450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 37396 | 9577 | 77602 | 31940 | 101272 | 34654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (35801) | (52001) | (47754) | (85236) | (66828) | (87004) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 46267 | 10301 | 53445 | (34419) | 173336 | 30100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | (62874) | 90324 | (149686) | 70225 | (175184) | 143990 |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 434426 | 344102 | 685304 | 615079 | 1068232 | 924242 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $371552 | $434426 | $535618 | $685304 | $893048 | $1068232 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 28438 | 29519 | 11049 | 7540 | 76043 | 36250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 26826 | 5423 | 41521 | 13016 | 64959 | 14284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (23153) | (29578) | (22515) | (34221) | (36768) | (37660) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 32111 | 5364 | 30055 | (13665) | 104234 | 12874 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**228** 

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Research International Core<br>Portfolio** | **Research International Core<br>Portfolio** | **International Equity**<br> **Portfolio** | **International Equity**<br> **Portfolio** | **Emerging Markets Equity**<br> **Portfolio** | **Emerging Markets Equity**<br> **Portfolio** |
| | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** | **For the Year<br>Ended<br>December 31,<br>2022** | **For the Year<br>Ended<br>December 31,<br>2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $14428 | $12855 | $46675 | $43290 | $11102 | $11808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | 14900 | 41127 | 4035 | 328388 | (27311) | 89271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments | (197850) | 50336 | (174257) | (282534) | (242918) | (145185) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | (168522) | 104318 | (123547) | 89144 | (259127) | (44106) |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (54639) | (24775) | (88599) | (43243) | (78273) | (5199) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (54639) | (24775) | (88599) | (43243) | (78273) | (5199) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 110188 | 93466 | 127200 | 144483 | 188456 | 141055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 54639 | 24775 | 88599 | 43243 | 78273 | 5199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (160696) | (125682) | (142665) | (148238) | (68584) | (127554) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 4131 | (7441) | 73134 | 39488 | 198145 | 18700 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | (219030) | 72102 | (139012) | 85389 | (139255) | (30605) |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 963103 | 891001 | 1865208 | 1779819 | 993493 | 1024098 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $744073 | $963103 | $1726196 | $1865208 | $854238 | $993493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 104902 | 74528 | 88308 | 88595 | 183940 | 100724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 58940 | 18927 | 67325 | 26050 | 88544 | 3633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (154216) | (100841) | (96849) | (90302) | (68782) | (88474) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 9626 | (7386) | 58784 | 24343 | 203702 | 15883 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Government Money Market<br>Portfolio** | **Government Money Market<br>Portfolio** | **Short-Term Bond Portfolio** | **Short-Term Bond Portfolio** | **Select Bond Portfolio** | **Select Bond Portfolio** |
| | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $7236 | $3 | $7535 | $5155 | $69568 | $39195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | 7 | 34 | (6684) | 1732 | (279626) | 10542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments |  |  | (19193) | (7662) | (241265) | (105282) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | 7243 | 37 | (18342) | (775) | (451323) | (55545) |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (7243) | (37) | (6405) | (8138) | (55391) | (227916) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (7243) | (37) | (6405) | (8138) | (55391) | (227916) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 341118 | 349697 | 50070 | 74950 | 167116 | 375420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 7243 | 37 | 6405 | 8138 | 55391 | 227916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (294702) | (443188) | (61274) | (45499) | (357593) | (295727) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 53659 | (93454) | (4799) | 37589 | (135086) | 307609 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | 53659 | (93454) | (29546) | 28676 | (641800) | 24148 |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 488858 | 582312 | 412284 | 383608 | 3428416 | 3404268 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $542517 | $488858 | $382738 | $412284 | $2786616 | $3428416 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 341119 | 349697 | 49323 | 69725 | 146687 | 284777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 7243 | 37 | 6418 | 7678 | 50817 | 179886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (294703) | (443188) | (60598) | (42495) | (318256) | (225698) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 53659 | (93454) | (4857) | 34908 | (120752) | 238965 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Long-Term U.S. Government<br>Bond Portfolio** | **Long-Term U.S. Government<br>Bond Portfolio** | **Inflation Protection<br>Portfolio** | **Inflation Protection<br>Portfolio** | **High Yield Bond Portfolio** | **High Yield Bond Portfolio** |
| | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $2816 | $2460 | $20661 | $14878 | $40826 | $40904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | (2039) | 101 | (11350) | 10325 | (3804) | 3902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments | (41935) | (10623) | (74754) | 5465 | (129365) | (1638) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | (41158) | (8062) | (65443) | 30668 | (92343) | 43168 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (1876) | (26311) | (25627) | (5725) | (40651) | (43872) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (1876) | (26311) | (25627) | (5725) | (40651) | (43872) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 18929 | 21188 | 41715 | 104626 | 44090 | 70556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 1876 | 26311 | 25627 | 5725 | 40651 | 43872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (16483) | (28190) | (66655) | (44752) | (104674) | (96595) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 4322 | 19309 | 687 | 65599 | (19933) | 17833 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | (38712) | (15064) | (90383) | 90542 | (152927) | 17129 |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 138869 | 153933 | 513931 | 423389 | 842332 | 825203 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $100157 | $138869 | $423548 | $513931 | $689405 | $842332 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 25388 | 19506 | 35489 | 84711 | 65171 | 92955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 2679 | 27931 | 23383 | 4555 | 64731 | 58809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (21977) | (26405) | (57454) | (36047) | (154215) | (127142) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 6090 | 21032 | 1418 | 53219 | (24313) | 24622 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Statements of Changes in Net Assets** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(in thousands)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Multi-Sector Bond Portfolio** | **Multi-Sector Bond Portfolio** | **Balanced Portfolio** | **Balanced Portfolio** | **Asset Allocation Portfolio** | **Asset Allocation Portfolio** |
| | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** | **For the Year**<br> **Ended<br>December 31,<br>2022** | **For the Year**<br> **Ended<br>December 31,<br>2021** |
|  Change in Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Operations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income (Loss) | $40263 | $36510 | $31413 | $36067 | $4021 | $4358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized Gain (Loss) on Investments | (58886) | 32861 | 75927 | 169860 | 16723 | 22817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Change in Unrealized Appreciation<br>(Depreciation) of Investments | (185968) | (68874) | (438806) | (33360) | (67978) | 4301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Operations | (204591) | 497 | (331466) | 172567 | (47234) | 31476 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributions to Shareholders from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Investment Income & Net Realized<br>Gain on Investments | (47671) | (39035) | (204366) | (168562) | (27192) | (22798) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Decrease in Net Assets Resulting<br>from Distributions to Shareholders | (47671) | (39035) | (204366) | (168562) | (27192) | (22798) |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 98697 | 266137 | 64833 | 105540 | 13330 | 20000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 47671 | 39035 | 204366 | 168562 | 27192 | 22798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (98178) | (98494) | (231813) | (263921) | (29134) | (37431) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets<br>Resulting from Capital Transactions | 48190 | 206678 | 37386 | 10181 | 11388 | 5367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Increase (Decrease) in Net Assets | (204072) | 168140 | (498446) | 14186 | (63038) | 14045 |
|  Net Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of Period | 1316651 | 1148511 | 2381573 | 2367387 | 320737 | 306692 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of Period | $1112579 | $1316651 | $1883127 | $2381573 | $257699 | $320737 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio Share Transactions: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Sold | 100385 | 232274 | 47449 | 65875 | 11640 | 14856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of Distributions Paid | 52850 | 34092 | 169037 | 107570 | 26949 | 17297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares Redeemed | (101784) | (86001) | (171879) | (164644) | (25974) | (27887) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Shares<br>Resulting from Portfolio Share<br>Transactions | 51451 | 180365 | 44607 | 8801 | 12615 | 4266 |

---

The Accompanying Notes are an Integral Part of the Financial Statements.

**232** 

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##### [**Table of Contents**](#toc)
**Statement of Cash Flows** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**For the Year Ended December 31, 2022 (in thousands)** 

---

| | |
|:---|:---|
| | **Long-Term U.S.<br>Government Bond Portfolio** |
|  Cash Flows from Operating Activities |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Increase (Decrease) in Net Assets Resulting from Operations | $(41158) |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Purchase of Investment Securities | (158125) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from Disposition of Investment Securities | 92832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from Disposition (Purchase) of Short-Term Investments, net | 1521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps | 2871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from Securities Sold Short | 59843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Premiums Received for Options Written | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amortization (Accretion) of Premium/Discount, net | (1051) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) Decrease in: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receivable for Investment Securities Sold | (3624) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prepaid Expenses and Other Assets | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends and Interest Receivable | (59) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (Decrease) in: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Advisory Fees Payable | (24) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compliance Fees Payable | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Directors Fees Payable | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accrued Expenses | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Change in Net Unrealized (Appreciation) Depreciation of: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Securities | 41860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | (136) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Written | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short Sales | (37) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net Realized (Gain) Loss from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Securities | 5948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | (2018) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paydowns | (5) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short Sales | (900) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | (991) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Adjustments | 38194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Cash (Used in) Provided by Operating Activities | (2964) |
|  Cash Flows from Financing Activities |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash Received from Financing Transactions | 1608280 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash (Used for) Financing Transactions | (1606269) |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from Portfolio Shares Sold | 18907 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payment on Portfolio Shares Redeemed | (16493) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net Cash (Used in) Provided by Financing Activities | 4425 |
|  Net Increase (Decrease) in Cash and Cash Equivalents | 1461 |
|  Cash and Restricted Cash, Beginning of Period | 423 |
|  Cash and Restricted Cash, End of Period | $1884 |

---

Cash and Restricted Cash is the sum of Cash and Collateral with Counterparty from the Statement of Assets and Liabilities. Supplemental disclosure of cash flow information:

Non-cash financing activities not included herein consist of reinvestment of dividends and distributions of $1,876.

Interest paid was $403 for the period ended December 31, 2022.

The Accompanying Notes are an Integral Part of the Financial Statements.

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##### [**Table of Contents**](#toc)
**Financial Highlights** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(For a share outstanding through the period)** 

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net Asset**<br> **Value,**<br> **Beginning**<br> **of Period** | **Net**<br> **Investment**<br> **Income<br>(Loss)** | **Net Realized**<br> **and**<br> **Unrealized**<br> **Gain**<br> **(Loss) on**<br> **Investments** | **Total from**<br> **Investment**<br> **Operations** | **Distributions**<br> **from Net**<br> **Investment**<br> **Income** | **Distributions**<br> **from**<br> **Realized**<br> **Gains on<br>Investments** | **Total**<br> **Distributions** | **Net Asset<br>Value, End of**<br> **Period** | **Total Return<sup>\*</sup>** | **Net Assets,**<br> **End of Period**<br> **(thousands)** | **Ratio of<br>Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Investment**<br> **Income**<br> **(Loss) to**<br> **Average Net**<br> **Assets** | **Portfolio**<br> **Turnover**<br> **Rate** |
|  Growth Stock Portfolio | Growth Stock Portfolio | Growth Stock Portfolio | Growth Stock Portfolio | Growth Stock Portfolio | Growth Stock Portfolio | Growth Stock Portfolio |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $4.04 | $0.00<sup>‡</sup> | $(1.50) | $(1.50) | $— | $(0.50) | $(0.50) | $2.04 | (38.70)% | $750703 | 0.43% | 0.43% | 0.04% | 14% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 3.60 | 0.00<sup>‡</sup> | 0.61 | 0.61 | (0.00) | (0.17) | (0.17) | 4.04 | 16.67 | 1389899 | 0.42 | 0.42 | (0.10) | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 3.18 | 0.00<sup>‡</sup> | 1.04 | 1.04 | (0.02) | (0.60) | (0.62) | 3.60 | 34.97 | 1286403 | 0.43 | 0.42 | 0.00 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 2.75 | 0.02 | 0.77 | 0.79 | (0.02) | (0.34) | (0.36) | 3.18 | 29.68 | 1083324 | 0.43 | 0.42 | 0.71 | 116 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 3.03 | 0.02 | 0.08 | 0.10 | (0.02 | (0.36) | (0.38) | 2.75 | 1.26 | 898626 | 0.43 | 0.42 | 0.68 | 48 |
|  Focused Appreciation Portfolio | Focused Appreciation Portfolio | Focused Appreciation Portfolio | Focused Appreciation Portfolio | Focused Appreciation Portfolio | Focused Appreciation Portfolio | Focused Appreciation Portfolio |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $4.32 | $0.00<sup>‡</sup> | $(1.19) | $(1.19) | $(0.00) | $(0.41) | $(0.41) | $2.72 | (27.83)% | $963929 | 0.74% | 0.62% | (0.03)% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 4.02 | 0.00<sup>‡</sup> | 0.76 | 0.76 | (0.01) | (0.45) | (0.46) | 4.32 | 18.90 | 1327361 | 0.74 | 0.62 | (0.01) | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 3.17 | 0.01 | 1.02 | 1.03 | (0.02) | (0.16) | (0.18) | 4.02 | 32.55 | 1186696 | 0.75 | 0.62 | 0.19 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 2.57 | 0.02 | 0.78 | 0.80 | (0.02) | (0.18) | (0.20) | 3.17 | 31.97 | 1012624 | 0.75 | 0.63 | 0.58 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 2.71 | 0.02 | (0.07) | (0.05) | (0.01 | (0.08) | (0.09) | 2.57 | (2.34) | 849169 | 0.75 | 0.63 | 0.65 | 7 |
|  Large Cap Core Stock Portfolio | Large Cap Core Stock Portfolio | Large Cap Core Stock Portfolio | Large Cap Core Stock Portfolio | Large Cap Core Stock Portfolio | Large Cap Core Stock Portfolio | Large Cap Core Stock Portfolio |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $2.21 | $0.02 | $(0.43) | $(0.41) | $(0.02) | $(0.34) | $(0.36) | $1.44 | (18.88)% | $566195 | 0.44% | 0.44% | 0.94% | 55% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.91 | 0.01 | 0.47 | 0.48 | (0.02) | (0.16) | (0.18) | 2.21 | 25.10 | 842806 | 0.44 | 0.43 | 0.70 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.62 | 0.02 | 0.34 | 0.36 | (0.02) | (0.05) | (0.07) | 1.91 | 22.74 | 719977 | 0.45 | 0.44 | 0.98 | 72 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.31 | 0.02 | 0.39 | 0.41 | (0.02) | (0.08) | (0.10) | 1.62 | 31.19 | 633208 | 0.45 | 0.44 | 1.19 | 54 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.96 | 0.02 | (0.05) | (0.03) | (0.03 | (0.59) | (0.62) | 1.31 | (6.04) | 518971 | 0.45 | 0.44 | 1.23 | 65 |
|  Large Cap Blend Portfolio | Large Cap Blend Portfolio | Large Cap Blend Portfolio | Large Cap Blend Portfolio | Large Cap Blend Portfolio | Large Cap Blend Portfolio | Large Cap Blend Portfolio |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.39 | $0.01 | $(0.21) | $(0.20) | $(0.01) | $(0.10) | $(0.11) | $1.08 | (13.78)% | $195927 | 0.81% | 0.76% | 0.78% | 38% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.25 | 0.01 | 0.22 | 0.23 | (0.01) | (0.08) | (0.09) | 1.39 | 18.46 | 203126 | 0.81 | 0.78 | 0.68 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.22 | 0.01 | 0.10 | 0.11 | (0.06) | (0.02) | (0.08) | 1.25 | 10.05 | 180564 | 0.83 | 0.80 | 0.77 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.09 | 0.06 | 0.20 | 0.26 | (0.01) | (0.12) | (0.13) | 1.22 | 23.97 | 174953 | 0.82 | 0.82 | 4.92 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.21 | 0.01 | (0.06) | (0.05) | (0.01) | (0.06) | (0.07) | 1.09 | (4.00) | 154435 | 0.82 | 0.82 | 1.20 | 25 |

---

\* Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. 

† Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect
of underlying funds' expenses. For additional information on underlying funds' expenses, please refer to the Fee and Expense table in the Prospectus.

‡ Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

**234** 

------

##### [**Table of Contents**](#toc)
**Financial Highlights** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(For a share outstanding through the period)** 

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net Asset**<br> **Value,**<br> **Beginning**<br> **of Period** | **Net**<br> **Investment**<br> **Income**<br> **(Loss)** | **Net Realized**<br> **and**<br> **Unrealized**<br> **Gain**<br> **(Loss) on**<br> **Investments** | **Total from**<br> **Investment**<br> **Operations** | **Distributions**<br> **from Net**<br> **Investment**<br> **Income** | **Distributions**<br> **from**<br> **Realized**<br> **Gains on<br>Investments** | **Total**<br> **Distributions** | **Net Asset**<br> **Value, End of**<br> **Period** | **Total Return<sup>\*</sup>** | **Net Assets,**<br> **End of Period**<br> **(thousands)** | **Ratio of**<br> **Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Investment**<br> **Income**<br> **(Loss) to**<br> **Average Net**<br> **Assets** | **Portfolio**<br> **Turnover**<br> **Rate** |
|  Index 500 Stock Portfolio | Index 500 Stock Portfolio | Index 500 Stock Portfolio | Index 500 Stock Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $8.18 | $0.10 | $(1.59) | $(1.49) | $(0.09) | $(0.22) | $(0.31) | $6.38 | (18.28)% | $4465914 | 0.21% | 0.20% | 1.41% | 2% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 6.60 | 0.09 | 1.77 | 1.86 | (0.09) | (0.19) | (0.28) | 8.18 | 28.45 | 5504970 | 0.21 | 0.19 | 1.19 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 5.79 | 0.09 | 0.94 | 1.03 | (0.10) | (0.12) | (0.22) | 6.60 | 18.18 | 4419729 | 0.21 | 0.20 | 1.63 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 4.59 | 0.10 | 1.32 | 1.42 | (0.09) | (0.13) | (0.22) | 5.79 | 31.18 | 3867280 | 0.21 | 0.20 | 1.81 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 4.93 | 0.09 | (0.30) | (0.21) | (0.08) | (0.05) | (0.13) | 4.59 | (4.58) | 3009141 | 0.21 | 0.20 | 1.74 | 4 |
|  Large Company Value Portfolio | Large Company Value Portfolio | Large Company Value Portfolio | Large Company Value Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.19 | $0.02 | $(0.03) | $(0.01) | $(0.04) | $(0.22) | $(0.26) | $0.92 | (0.34)% | $152414 | 0.78% | 0.74% | 1.87% | 37% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.00 | 0.02 | 0.19 | 0.21 | (0.01) | (0.01) | (0.02) | 1.19 | 21.92 | 227560 | 0.76 | 0.74 | 1.63 | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.03 | 0.02 | 0.00 <sup>‡</sup> | 0.02 | (0.02) | (0.03) | (0.05) | 1.00 | 2.64 | 211998 | 0.78 | 0.76 | 2.02 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 0.89 | 0.02 | 0.21 | 0.23 | (0.02) | (0.07) | (0.09) | 1.03 | 27.66 | 205550 | 0.77 | 0.75 | 1.86 | 62 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.06 | 0.02 | (0.09) | (0.07) | (0.02) | (0.08) | (0.10) | 0.89 | (7.92) | 173350 | 0.76 | 0.74 | 1.89 | 61 |
|  Domestic Equity Portfolio | Domestic Equity Portfolio | Domestic Equity Portfolio | Domestic Equity Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.93 | $0.03 | $(0.10) | $(0.07) | $(0.03) | $(0.20) | $(0.23) | $1.63 | (2.99)% | $1060119 | 0.53% | 0.50% | 1.84% | 12% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.64 | 0.03 | 0.33 | 0.36 | (0.03) | (0.04) | (0.07) | 1.93 | 22.71 | 1096677 | 0.53 | 0.50 | 1.77 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.75 | 0.03 | (0.04) | (0.01) | (0.03) | (0.07) | (0.10) | 1.64 | 0.73 | 946072 | 0.55 | 0.53 | 2.25 | 33 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.55 | 0.03 | 0.28 | 0.31 | (0.03) | (0.08) | (0.11) | 1.75 | 20.77 | 920776 | 0.54 | 0.53 | 2.08 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.68 | 0.03 | (0.07) | (0.04) | (0.03) | (0.06) | (0.09) | 1.55 | (2.81) | 772465 | 0.54 | 0.53 | 1.92 | 14 |
|  Equity Income Portfolio | Equity Income Portfolio | Equity Income Portfolio | Equity Income Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $2.01 | $0.04 | $(0.10) | $(0.06) | $(0.04) | $(0.22) | $(0.26) | $1.69 | (3.22)% | $702376 | 0.65% | 0.57% | 2.17% | 15% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.63 | 0.03 | 0.39 | 0.42 | (0.04) |  | (0.04) | 2.01 | 25.70 | 867936 | 0.65 | 0.57 | 1.74 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.78 | 0.04 | (0.05) | (0.01) | (0.07) | (0.07) | (0.14) | 1.63 | 1.20 | 787521 | 0.66 | 0.59 | 2.48 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.53 | 0.07 | 0.33 | 0.40 | (0.04) | (0.11) | (0.15) | 1.78 | 26.61 | 814252 | 0.65 | 0.61 | 4.21 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.86 | 0.04 | (0.19) | (0.15) | (0.04) | (0.14) | (0.18) | 1.53 | (9.35) | 704674 | 0.65 | 0.61 | 2.25 | 17 |

---

\* Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. 

† Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect
of underlying funds' expenses. For additional information on underlying funds' expenses, please refer to the Fee and Expense table in the Prospectus.

‡ Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

**235** 

------

##### [**Table of Contents**](#toc)
**Financial Highlights** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(For a share outstanding through the period)** 

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net Asset**<br> **Value,**<br> **Beginning**<br> **of Period** | **Net**<br> **Investment**<br> **Income**<br> **(Loss)** | **Net Realized**<br> **and**<br> **Unrealized**<br> **Gain**<br> **(Loss) on**<br> **Investments** | **Total from**<br> **Investment**<br> **Operations** | **Distributions**<br> **from Net**<br> **Investment**<br> **Income** | **Distributions**<br> **from**<br> **Realized**<br> **Gains on**<br> **Investments** | **Total**<br> **Distributions** | **Net Asset**<br> **Value, End of**<br> **Period** | **Total Return<sup>\*</sup>** | **Net Assets,**<br> **End of Period**<br> **(thousands)** | **Ratio of**<br> **Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Investment**<br> **Income**<br> **(Loss) to**<br> **Average Net**<br> **Assets** | **Portfolio**<br> **Turnover**<br> **Rate** |
|  Mid Cap Growth Stock Portfolio | Mid Cap Growth Stock Portfolio | Mid Cap Growth Stock Portfolio | Mid Cap Growth Stock Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $3.94 | $0.01 | $(0.95) | $(0.94) | $(0.00) | $(0.29) | $(0.29) | $2.71 | (23.77)% | $1008774 | 0.53% | 0.53% | 0.23% | 46% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 4.09 | 0.01 | 0.41 | 0.42 | (0.01) | (0.56) | (0.57) | 3.94 | 10.18 | 1375568 | 0.53 | 0.52 | 0.13 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 3.42 | 0.01 | 0.82 | 0.83 | (0.01) | (0.15) | (0.16) | 4.09 | 25.41 | 1344564 | 0.54 | 0.54 | 0.18 | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 2.69 | 0.01 | 0.87 | 0.88 | (0.01) | (0.14) | (0.15) | 3.42 | 33.01 | 1153757 | 0.54 | 0.54 | 0.28 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 3.46 | 0.01 | (0.17) | (0.16) | (0.00 | (0.61) | (0.61) | 2.69 | (7.38) | 943370 | 0.54 | 0.54 | 0.19 | 33 |
|  Index 400 Stock Portfolio | Index 400 Stock Portfolio | Index 400 Stock Portfolio | Index 400 Stock Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $2.57 | $0.03 | $(0.38) | $(0.35) | $(0.02) | $(0.23) | $(0.25) | $1.97 | (13.26)% | $1137710 | 0.28% | 0.25% | 1.34% | 14% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 2.15 | 0.03 | 0.49 | 0.52 | (0.02) | (0.08) | (0.10) | 2.57 | 24.46 | 1335937 | 0.27 | 0.24 | 1.03 | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 2.02 | 0.02 | 0.23 | 0.25 | (0.03) | (0.09) | (0.12) | 2.15 | 13.37 | 1115469 | 0.28 | 0.26 | 1.31 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.74 | 0.03 | 0.40 | 0.43 | (0.02) | (0.13) | (0.15) | 2.02 | 25.88 | 993290 | 0.28 | 0.26 | 1.38 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 2.11 | 0.03 | (0.24) | (0.21) | (0.02 | (0.14) | (0.16) | 1.74 | (11.33) | 792780 | 0.28 | 0.26 | 1.29 | 18 |
|  Mid Cap Value Portfolio | Mid Cap Value Portfolio | Mid Cap Value Portfolio | Mid Cap Value Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $2.00 | $0.04 | $(0.08) | $(0.04) | $(0.04) | $(0.28) | $(0.32) | $1.64 | (1.15)% | $650964 | 0.88% | 0.72% | 2.10% | 74% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.65 | 0.03 | 0.35 | 0.38 | (0.02) | (0.01) | (0.03) | 2.00 | 23.27 | 704855 | 0.88 | 0.72 | 1.54 | 54 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.65 | 0.03 |  | 0.03 | (0.03) |  | (0.03) | 1.65 | 1.67 | 600403 | 0.89 | 0.75 | 1.79 | 76 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.43 | 0.03 | 0.37 | 0.40 | (0.03) | (0.15) | (0.18) | 1.65 | 29.21 | 591514 | 0.89 | 0.75 | 1.74 | 44 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.83 | 0.03 | (0.23) | (0.20) | (0.03 | (0.17) | (0.20) | 1.43 | (12.85) | 471943 | 0.89 | 0.76 | 1.50 | 62 |
|  Small Cap Growth Stock Portfolio | Small Cap Growth Stock Portfolio | Small Cap Growth Stock Portfolio | Small Cap Growth Stock Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $3.22 | $0.00<sup>‡</sup> | $(0.90) | $(0.90) | $– | $(0.43) | $(0.43) | $1.89 | (28.49)% | $594877 | 0.56% | 0.56% | 0.05% | 52% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 3.42 | 0.00<sup>‡</sup> | 0.15 | 0.15 | (0.00) | (0.35) | (0.35) | 3.22 | 4.11 | 830014 | 0.54 | 0.54 | (0.06) | 43 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 2.72 | 0.00<sup>‡</sup> | 0.86 | 0.86 | (0.00) | (0.16) | (0.16) | 3.42 | 33.47 | 840446 | 0.56 | 0.56 | 0.10 | 60 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 2.35 | 0.00<sup>‡</sup> | 0.79 | 0.79 | (0.00) | (0.42) | (0.42) | 2.72 | 35.69 | 671870 | 0.56 | 0.56 | 0.13 | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 2.88 | 0.00<sup>‡</sup> | (0.28) | (0.28) |  | (0.25) | (0.25) | 2.35 | (11.71) | 520622 | 0.56 | 0.56 | 0.10 | 52 |

---

\* Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. 

† Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect
of underlying funds' expenses. For additional information on underlying funds' expenses, please refer to the Fee and Expense table in the Prospectus.

‡ Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

**236** 

------

##### [**Table of Contents**](#toc)
**Financial Highlights** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(For a share outstanding through the period)** 

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net Asset**<br> **Value,**<br> **Beginning**<br> **of Period** | **Net**<br> **Investment**<br> **Income**<br> **(Loss)** | **Net Realized**<br> **and**<br> **Unrealized**<br> **Gain**<br> **(Loss) on**<br> **Investments** | **Total from**<br> **Investment**<br> **Operations** | **Distributions**<br> **from Net**<br> **Investment**<br> **Income** | **Distributions**<br> **from**<br> **Realized**<br> **Gains on**<br> **Investments** | **Total**<br> **Distributions** | **Net Asset**<br> **Value, End of**<br> **Period** | **Total Return<sup>\*</sup>** | **Net Assets,**<br> **End of Period**<br> **(thousands)** | **Ratio of**<br> **Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Investment**<br> **Income**<br> **(Loss) to**<br> **Average Net**<br> **Assets** | **Portfolio**<br> **Turnover**<br> **Rate** |
|  Index 600 Stock Portfolio | Index 600 Stock Portfolio | Index 600 Stock Portfolio | Index 600 Stock Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.85 | $0.02 | $(0.32) | $(0.30) | $(0.02) | $(0.14) | $(0.16) | $1.39 | (16.37)% | $371552 | 0.28% | 0.28% | 1.12% | 16% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.50 | 0.02 | 0.37 | 0.39 | (0.01) | (0.03) | (0.04) | 1.85 | 26.22 | 434426 | 0.27 | 0.27 | 1.28 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.43 | 0.01 | 0.13 | 0.14 | (0.02) | (0.05) | (0.07) | 1.50 | 10.93 | 344102 | 0.31 | 0.31 | 1.10 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.26 | 0.02 | 0.25 | 0.27 | (0.00) | (0.10) | (0.10) | 1.43 | 22.44 | 290111 | 0.31 | 0.31 | 1.25 | 33 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.45 | 0.02 | (0.13) | (0.11) | (0.02 | (0.06) | (0.08) | 1.26 | (8.78) | 221803 | 0.31 | 0.31 | 1.06 | 38 |
|  Small Cap Value Portfolio | Small Cap Value Portfolio | Small Cap Value Portfolio | Small Cap Value Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $2.58 | $0.01 | $(0.48) | $(0.47) | $(0.01) | $(0.29) | $(0.30) | $1.81 | (18.53)% | $535618 | 0.88% | 0.87% | 0.50% | 27% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 2.20 | 0.01 | 0.49 | 0.50 | (0.01) | (0.11) | (0.12) | 2.58 | 23.00 | 685304 | 0.87 | 0.86 | 0.27 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 2.17 | 0.01 | 0.15 | 0.16 | (0.01) | (0.12) | (0.13) | 2.20 | 9.29 | 615079 | 0.88 | 0.88 | 0.50 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 2.04 | 0.01 | 0.50 | 0.51 | (0.01) | (0.37) | (0.38) | 2.17 | 25.89 | 605534 | 0.88 | 0.87 | 0.48 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 2.54 | 0.01 | (0.31) | (0.30) | (0.01 | (0.19) | (0.20) | 2.04 | (12.73) | 530072 | 0.88 | 0.87 | 0.43 | 22 |
|  International Growth Portfolio | International Growth Portfolio | International Growth Portfolio | International Growth Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $2.40 | $0.02 | $(0.58) | $(0.56) | $(0.01) | $(0.20) | $(0.21) | $1.63 | (23.13)% | $893048 | 0.62% | 0.62% | 0.84% | 15% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 2.14 | 0.01 | 0.33 | 0.34 | (0.01) | (0.07) | (0.08) | 2.40 | 15.92 | 1068232 | 0.62 | 0.61 | 0.51 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.85 | 0.01 | 0.32 | 0.33 | (0.03) | (0.01) | (0.04) | 2.14 | 17.91 | 924242 | 0.63 | 0.63 | 0.64 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.39 | 0.03 | 0.46 | 0.49 | (0.02) | (0.01) | (0.03) | 1.85 | 34.80 | 816113 | 0.64 | 0.64 | 1.79 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.59 | 0.02 | (0.20) | (0.18) | (0.02 | – | (0.02) | 1.39 | (11.28) | 626082 | 0.65 | 0.65 | 1.28 | 33 |
|  Research International Core Portfolio | Research International Core Portfolio | Research International Core Portfolio | Research International Core Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.29 | $0.02 | $(0.25) | $(0.23) | $(0.02) | $(0.06) | $(0.08) | $0.98 | (17.16)% | $744073 | 0.80% | 0.75% | 1.83% | 25% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.18 | 0.02 | 0.12 | 0.14 | (0.01) | (0.02) | (0.03) | 1.29 | 12.07 | 963103 | 0.78 | 0.73 | 1.37 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.08 | 0.01 | 0.13 | 0.14 | (0.02) | (0.02) | (0.04) | 1.18 | 13.46 | 891001 | 0.81 | 0.76 | 1.36 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 0.88 | 0.02 | 0.23 | 0.25 | (0.02) | (0.03) | (0.05) | 1.08 | 28.25 | 784885 | 0.82 | 0.77 | 2.32 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.04 | 0.02 | (0.16) | (0.14) | (0.02) |  | (0.02) | 0.88 | (13.66) | 595585 | 0.82 | 0.77 | 1.88 | 24 |

---

\* Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. 

† Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect
of underlying funds' expenses. For additional information on underlying funds' expenses, please refer to the Fee and Expense table in the Prospectus.

‡ Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

**237** 

------

##### [**Table of Contents**](#toc)
**Financial Highlights** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(For a share outstanding through the period)** 

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net Asset**<br> **Value,**<br> **Beginning**<br> **of Period** | **Net**<br> **Investment**<br> **Income**<br> **(Loss)** | **Net Realized**<br> **and**<br> **Unrealized**<br> **Gain**<br> **(Loss) on**<br> **Investments** | **Total from**<br> **Investment**<br> **Operations** | **Distributions**<br> **from Net**<br> **Investment**<br> **Income** | **Distributions**<br> **from**<br> **Realized**<br> **Gains on**<br> **Investments** | **Total**<br> **Distributions** | **Net Asset**<br> **Value, End of**<br> **Period** | **Total Return<sup>\*</sup>** | **Net Assets,**<br> **End of Period**<br> **(thousands)** | **Ratio of**<br> **Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Investment**<br> **Income**<br> **(Loss) to**<br> **Average Net**<br> **Assets** | **Portfolio**<br> **Turnover**<br> **Rate** | |
|  International Equity Portfolio | International Equity Portfolio | International Equity Portfolio | International Equity Portfolio |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.59 | $0.04 | $(0.15) | $(0.11) | $(0.04) | $(0.04) | $(0.08) | $1.40 | (6.83)% | $1726196 | 0.69% | 0.63 | % | 2.69% | 13 | % |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.55 | 0.04 | 0.04 | 0.08 | (0.04) |  | (0.04) | 1.59 | 5.00 | 1865208 | 0.68 | 0.51 |  | 2.30 | 118 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.65 | 0.04 | (0.09) | (0.05) | (0.05) |  | (0.05) | 1.55 | (2.71) | 1779819 | 0.68 | 0.54 |  | 2.59 | 65 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.58 | 0.05 | 0.14 | 0.19 | (0.04) | (0.08) | (0.12) | 1.65 | 12.60 | 1793034 | 0.68 | 0.54 |  | 3.33 | 43 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.91 | 0.04 | (0.32) | (0.28) | (0.05 |  | (0.05 | 1.58 | (15.41) | 1604068 | 0.68 | 0.54 |  | 2.36 | 31 |  |
|  Emerging Markets Equity Portfolio | Emerging Markets Equity Portfolio | Emerging Markets Equity Portfolio | Emerging Markets Equity Portfolio | Emerging Markets Equity Portfolio | Emerging Markets Equity Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.32 | $0.01 | $(0.35) | $(0.34) | $(0.01) | $(0.08) | $(0.09) | $0.89 | (25.28)% | $854238 | 1.09% | 0.91 | % | 1.29% | 33 | % |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.39 | 0.02 | (0.08) | (0.06) | (0.01) |  | (0.01) | 1.32 | (4.55) | 993493 | 1.06 | 0.91 |  | 1.14 | 33 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.12 | 0.01 | 0.28 | 0.29 | (0.02) |  | (0.02) | 1.39 | 26.86 | 1024098 | 1.10 | 0.95 |  | 0.67 | 31 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 0.94 | 0.02 | 0.17 | 0.19 | (0.01) |  | (0.01) | 1.12 | 20.60 | 834010 | 1.11 | 0.99 |  | 2.40 | 22 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.10 | 0.01 | (0.16) | (0.15) | (0.01 |  | (0.01 | 0.94 | (13.75) | 675350 | 1.11 | 1.00 |  | 1.27 | 17 |  |
|  Government Money Market Portfolio | Government Money Market Portfolio | Government Money Market Portfolio | Government Money Market Portfolio | Government Money Market Portfolio | Government Money Market Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.00 | $0.01 | $— | $0.01 | $(0.01) | $(0.00) | $(0.01) | $1.00 | 1.36% | $542517 | 0.33% | 0.28 | %\*\* | 1.40% |  | % |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.00 | 0.00<sup>‡</sup> |  | 0.00<sup>‡</sup> | (0.00) | (0.00) | (0.00) | 1.00 |  | 488858 | 0.33 | 0.08 | \*\* | 0.00 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.00 | 0.00<sup>‡</sup> |  | 0.00<sup>‡</sup> | (0.00) | (0.00) | (0.00) | 1.00 | 0.31 | 582312 | 0.33 | 0.25 | \*\* | 0.26 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.00 | 0.02 |  | 0.02 | (0.02) | (0.00) | (0.02) | 1.00 | 1.94 | 446517 | 0.33 | 0.33 |  | 1.91 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.00 | 0.02 |  | 0.02 | (0.02 | (0.00 | (0.02 | 1.00 | 1.54 | 443474 | 0.34 | 0.34 |  | 1.53 |  |  |
|  Short-Term Bond Portfolio | Short-Term Bond Portfolio | Short-Term Bond Portfolio | Short-Term Bond Portfolio | Short-Term Bond Portfolio | Short-Term Bond Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.05 | $0.02 | $(0.07) | $(0.05) | $(0.01) | $(0.00) | $(0.01) | $0.99 | (4.52)% | $382738 | 0.38% | 0.38 | % | 1.90% | 54 | %§ |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.08 | 0.01 | (0.02) | (0.01) | (0.02) | (0.00) | (0.02) | 1.05 | (0.10) | 412284 | 0.38 | 0.38 |  | 1.27 | 46 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.06 | 0.02 | 0.02 | 0.04 | (0.02) |  | (0.02) | 1.08 | 4.29 | 383608 | 0.39 | 0.39 |  | 1.96 | 49 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.03 | 0.03 | 0.02 | 0.05 | (0.02) |  | (0.02) | 1.06 | 4.38 | 334574 | 0.39 | 0.39 |  | 2.47 | 56 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.03 | 0.02 |  | 0.02 | (0.02) |  | (0.02) | 1.03 | 1.36 | 306541 | 0.39 | 0.39 |  | 2.14 | 41 | <sup>§</sup> |

---

\* Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. 

† Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect
of underlying funds' expenses. For additional information on underlying funds' expenses, please refer to the Fee and Expense table in the Prospectus.

‡ Amount is less than $0.005.

\*\* During the years ended December 31, 2022, 2021 and 2020, MSA voluntarily agreed to waive a portion of its advisory fee to maintain a positive yield in the Government Money Market Portfolio. The Government Money Market Portfolio's net expense ratio would increase by an amount of 0.04%, 0.25% and 0.08%, respectively, if such voluntary waiver were excluded for the years ended December 31, 2022, 2021 and 2020. See Note 7 - Investment Advisory, Sub-Advisory and Compliance Fees for more information. 

§ Portfolio Turnover Rate excludes the impact of TBA transactions.

The Accompanying Notes are an Integral Part of the Financial Statements.

**238** 

------

##### [**Table of Contents**](#toc)
**Financial Highlights** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(For a share outstanding through the period)** 

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net Asset**<br> **Value,**<br> **Beginning**<br> **of Period** | **Net**<br> **Investment**<br> **Income**<br> **(Loss)** | **Net Realized**<br> **and**<br> **Unrealized**<br> **Gain**<br> **(Loss) on**<br> **Investments** | **Total from**<br> **Investment**<br> **Operations** | **Distributions**<br> **from Net**<br> **Investment**<br> **Income** | **Distributions**<br> **from**<br> **Realized**<br> **Gains on**<br> **Investments** | **Total**<br> **Distributions** | **Net Asset**<br> **Value, End of**<br> **Period** | **Total Return<sup>\*</sup>** | **Net Assets,**<br> **End of Period**<br> **(thousands)** | **Ratio of**<br> **Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of**<br> **Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net**<br> **Investment**<br> **Income**<br> **(Loss) to**<br> **Average Net**<br> **Assets** | **Portfolio**<br> **Turnover<br>Rate** | |
|  Select Bond Portfolio | Select Bond Portfolio | Select Bond Portfolio | Select Bond Portfolio | Select Bond Portfolio | Select Bond Portfolio | Select Bond Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.26 | $0.03 | $(0.20) | $(0.17) | $(0.02) | $(0.00) | $(0.02) | $1.07 | (13.33)% | $2786616 | 0.31 | % | 0.31 | % | 2.30% | 275 | %§ |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.37 | 0.02 | (0.04) | (0.02) | (0.03) | (0.06) | (0.09) | 1.26 | (1.59) | 3428416 | 0.31 |  | 0.30 |  | 1.15 | 272 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.30 | 0.02 | 0.10 | 0.12 | (0.04) | (0.01) | (0.05) | 1.37 | 8.98 | 3404268 | 0.31 |  | 0.30 |  | 1.75 | 340 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.23 | 0.04 | 0.07 | 0.11 | (0.04) |  | (0.04) | 1.30 | 8.65 | 3192050 | 0.31 |  | 0.30 |  | 2.76 | 403 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.26 | 0.03 | (0.03) | 0.00<sup>‡</sup> | (0.03) |  | (0.03) | 1.23 | (0.21) | 2967993 | 0.31 |  | 0.31 |  | 2.74 | 294 | <sup>§</sup> |
|  Long-Term U.S. Government Bond Portfolio\*\* | Long-Term U.S. Government Bond Portfolio\*\* | Long-Term U.S. Government Bond Portfolio\*\* | Long-Term U.S. Government Bond Portfolio\*\* | Long-Term U.S. Government Bond Portfolio\*\* | Long-Term U.S. Government Bond Portfolio\*\* | Long-Term U.S. Government Bond Portfolio\*\* |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $0.94 | $0.02 | $(0.30) | $(0.28) | $(0.01) | $— | $(0.01) | $0.65 | (29.53)% | $100157 | 1.02 | %\*\* | 0.98 | %\*\* | 2.49% | 27 | %§ |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.21 | 0.02 | (0.08) | (0.06) | (0.01) | (0.20) | (0.21) | 0.94 | (5.37) | 138869 | 0.67 | \*\* | 0.67 | \*\* | 1.73 | 28 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.12 | 0.02 | 0.17 | 0.19 | (0.02) | (0.08) | (0.10) | 1.21 | 17.37 | 153933 | 0.94 | \*\* | 0.94 | \*\* | 1.61 | 157 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.01 | 0.02 | 0.11 | 0.13 | (0.02) |  | (0.02) | 1.12 | 13.17 | 122854 | 1.25 | \*\* | 1.23 | \*\* | 2.06 | 5 | <sup>§</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.08 | 0.03 | (0.06) | (0.03) | (0.02) | (0.02 | (0.04) | 1.01 | (2.04) | 111468 | 0.90 | \*\* | 0.89 | \*\* | 2.48 | 43 | <sup>§</sup> |
|  Inflation Protection Portfolio | Inflation Protection Portfolio | Inflation Protection Portfolio | Inflation Protection Portfolio | Inflation Protection Portfolio | Inflation Protection Portfolio | Inflation Protection Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.28 | $0.05 | $(0.21) | $(0.16) | $(0.04) | $(0.03) | $(0.07) | $1.05 | (12.96)% | $423548 | 0.57 | % | 0.54 | % | 4.44% | 51 | % |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.21 | 0.04 | 0.04 | 0.08 | (0.01) | (0.00) | (0.01) | 1.28 | 6.61 | 513931 | 0.56 |  | 0.53 |  | 3.17 | 78 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.13 | 0.02 | 0.08 | 0.10 | (0.02) |  | (0.02) | 1.21 | 9.57 | 423389 | 0.58 |  | 0.55 |  | 1.34 | 56 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.06 | 0.02 | 0.08 | 0.10 | (0.03) |  | (0.03) | 1.13 | 9.02 | 381132 | 0.59 |  | 0.55 |  | 2.13 | 40 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.11 | 0.03 | (0.06) | (0.03) | (0.02) |  | (0.02) | 1.06 | (2.61) | 349571 | 0.59 |  | 0.55 |  | 2.55 | 23 |  |
|  High Yield Bond Portfolio | High Yield Bond Portfolio | High Yield Bond Portfolio | High Yield Bond Portfolio | High Yield Bond Portfolio | High Yield Bond Portfolio | High Yield Bond Portfolio |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $0.75 | $0.04 | $(0.12) | $(0.08) | $(0.04) | $— | $(0.04) | $0.63 | (11.33)% | $689405 | 0.45 | % | 0.45 | % | 5.54% | 19 | % |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 0.75 | 0.04 |  | 0.04 | (0.04) |  | (0.04) | 0.75 | 5.31 | 842332 | 0.44 |  | 0.44 |  | 4.87 | 35 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 0.75 | 0.04 |  | 0.04 | (0.04) |  | (0.04) | 0.75 | 6.64 | 825203 | 0.45 |  | 0.45 |  | 5.36 | 42 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 0.69 | 0.04 | 0.06 | 0.10 | (0.04) |  | (0.04) | 0.75 | 14.97 | 846127 | 0.45 |  | 0.45 |  | 5.73 | 33 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 0.75 | 0.04 | (0.06) | (0.02) | (0.04) |  | (0.04) | 0.69 | (2.71) | 763366 | 0.45 |  | 0.45 |  | 5.65 | 23 |  |

---

\* Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. 

† Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect
of underlying funds' expenses. For additional information on underlying funds' expenses, please refer to the Fee and Expense table in the Prospectus.

‡ Amount is less than $0.005.

§ Portfolio Turnover Rate excludes the impact of TBA transactions.

\*\* The ratios of gross expenses to average net assets and net expenses to average net assets include interest expense. Excluding interest expense, the ratios would be 0.68% and 0.65% respectively for the period ended December 31, 2022, 0.65% and 0.65% respectively in 2021, 0.64% and 0.64% respectively in 2020, 0.67% and 0.65% respectively in 2019, 0.67% and 0.65% respectively in 2018. 

The Accompanying Notes are an Integral Part of the Financial Statements.

**239** 

------

##### [**Table of Contents**](#toc)
**Financial Highlights** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**(For a share outstanding through the period)** 

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net Asset**<br> **Value,**<br> **Beginning<br>of Period** | **Net**<br> **Investment**<br> **Income**<br> **(Loss)** | **Net Realized**<br> **and**<br> **Unrealized<br>Gain**<br> **(Loss) on<br>Investments** | **Total from<br>Investment**<br> **Operations** | **Distributions<br>from Net<br>Investment<br>Income** | **Distributions**<br> **from**<br> **Realized**<br> **Gains on**<br> **Investments** | **Total<br>Distributions** | **Net Asset**<br> **Value, End of**<br> **Period** | **Total Return<sup>\*</sup>** | **Net Assets,<br>End of Period<br>(thousands)** | **Ratio of**<br> **Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of**<br> **Gross**<br> **Expenses to**<br> **Average Net**<br> **Assets<sup>†</sup>**  | **Ratio of Net<br>Expenses to<br>Average Net<br>Assets<sup>†</sup>**  | **Ratio of Net<br>Expenses to<br>Average Net<br>Assets<sup>†</sup>**  | **Ratio of Net**<br> **Investment**<br> **Income**<br> **(Loss) to**<br> **Average Net<br>Assets** | **Portfolio<br>Turnover**<br> **Rate** |
|  Multi-Sector Bond Portfolio | Multi-Sector Bond Portfolio | Multi-Sector Bond Portfolio | Multi-Sector Bond Portfolio |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.13 | $0.03 | $(0.21) | $(0.18) | $(0.04) | $(0.00) | $(0.04) | $0.91 | (15.39)% | $1112579 | 0.81 | %<sup>\*\*</sup> | 0.72 | %<sup>\*\*</sup> | 3.48% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.16 | 0.03 | (0.03) | 0.00‡ | (0.02) | (0.01) | (0.03) | 1.13 | (0.08) | 1316651 | 0.81 | <sup>\*\*</sup> | 0.71 | <sup>\*\*</sup> | 2.90 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.14 | 0.04 | 0.03 | 0.07 | (0.05) | (0.00) | (0.05) | 1.16 | 6.13 | 1148511 | 0.82 | <sup>\*\*</sup> | 0.73 | <sup>\*\*</sup> | 3.23 | 30§ |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.05 | 0.04 | 0.10 | 0.14 | (0.05) |  | (0.05) | 1.14 | 14.04 | 1021824 | 0.83 | <sup>\*\*</sup> | 0.74 | <sup>\*\*</sup> | 3.53 | 30§ |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.09 | 0.04 | (0.05) | (0.01) | (0.03) |  | (0.03) | 1.05 | (1.30) | 874943 | 0.82 | <sup>\*\*</sup> | 0.75 | <sup>\*\*</sup> | 3.67 | 37§ |
|  Balanced Portfolio | Balanced Portfolio | Balanced Portfolio | Balanced Portfolio |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.57 | $0.02 | $(0.24) | $(0.22) | $(0.05) | $(0.09) | $(0.14) | $1.21 | (14.14)% | $1883127 | 0.31 | % | 0.06 | % | 1.54% | 30% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.57 | 0.02 | 0.10 | 0.12 | (0.04) | (0.08) | (0.12) | 1.57 | 7.56 | 2381573 | 0.31 |  | 0.06 |  | 1.51 | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.49 | 0.04 | 0.13 | 0.17 | (0.04) | (0.05) | (0.09) | 1.57 | 12.49 | 2367387 | 0.31 |  | 0.06 |  | 2.40 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.36 | 0.03 | 0.21 | 0.24 | (0.04) | (0.08) | (0.11) | 1.49 | 17.92 | 2254235 | 0.31 |  | 0.06 |  | 2.14 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.47 | 0.03 | (0.07) | (0.04) | (0.04) | (0.03 | (0.07) | 1.36 | (3.45) | 2065353 | 0.31 |  | 0.06 |  | 2.25 | 27 |
|  Asset Allocation Portfolio | Asset Allocation Portfolio | Asset Allocation Portfolio | Asset Allocation Portfolio |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 | $1.33 | $0.02 | $(0.23) | $(0.21) | $(0.03) | $(0.08) | $(0.11) | $1.01 | (14.83)% | $257699 | 0.57 | % | 0.09 | % | 1.46% | 35% |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 | 1.29 | 0.02 | 0.12 | 0.14 | (0.03) | (0.07) | (0.10) | 1.33 | 10.45 | 320737 | 0.55 |  | 0.09 |  | 1.37 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020 | 1.22 | 0.03 | 0.12 | 0.15 | (0.03) | (0.05) | (0.08) | 1.29 | 13.43 | 306692 | 0.57 |  | 0.09 |  | 2.32 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2019 | 1.10 | 0.02 | 0.20 | 0.22 | (0.03) | (0.08) | (0.10) | 1.22 | 21.08 | 287738 | 0.57 |  | 0.09 |  | 1.96 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2018 | 1.21 | 0.03 | (0.09) | (0.06) | (0.02) | (0.03) | (0.05) | 1.10 | (4.88) | 249511 | 0.57 |  | 0.09 |  | 2.24 | 32 |

---

\* Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year. 

† Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect
of underlying funds' expenses. For additional information on underlying funds' expenses, please refer to the Fee and Expense table in the Prospectus.

‡ Amount is less than $0.005.

\*\* The ratios of gross expenses to average net assets and net expenses to average net assets include interest expense. Excluding interest expense, the ratios would be 0.81% and 0.71% for the period ended December 31, 2022, 0.80% and 0.71% respectively in 2021, 0.81% and 0.72% respectively in 2020, 0.82% and 0.73% respectively in 2019, 0.81% and 0.74% respectively in 2018. 

§ Portfolio Turnover Rate excludes the impact of TBA transactions.

The Accompanying Notes are an Integral Part of the Financial Statements.

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NOTE 1. ORGANIZATION

Northwestern Mutual Series Fund, Inc. (the "Series Fund") is registered as an open-end management investment company under the Investment Company Act of 1940, as amended ("1940 Act"). The Series Fund is also considered an investment company following the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946. The Series Fund consists of the Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (each, a "Portfolio" or collectively, the "Portfolios"). All of the outstanding shares of each Portfolio are held by an affiliate, The Northwestern Mutual Life Insurance Company ("Northwestern Mutual"), for its segregated asset accounts (either directly or indirectly through one or more underlying Portfolios operating as affiliated fund of funds). The Government Money Market Portfolio is a government money market fund under Rule 2a-7 of the 1940 Act.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Series Fund in the preparation of its financial statements.

**A. Use of Estimates** — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

**B. Foreign Income and Capital Gains Taxes** — The Portfolios may be subject to income taxes imposed by certain countries in which they invest. Foreign withholding taxes on dividends and interest are netted against income and separately disclosed in the Statements of Operations.

Some of the Portfolios may be subject to capital gains taxes imposed by certain countries in which they invest. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

**C. Federal Income Taxes** — The Portfolios' policy is to continue to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute all of their taxable income to their respective shareholders. The Portfolios also intend to distribute sufficient net investment income and net capital gains, if any, so that they will not be subject to excise tax, as applicable, on distributable income and gains.

In accordance with the authoritative guidance for uncertainty in income taxes, management of the Series Fund has reviewed all open tax years (2019 to 2022) for major jurisdictions and concluded there was no material impact to the Portfolios' net assets or results of operations. There is no material tax liability relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

**D. Distributions** — Dividends from net investment income and net realized capital gains are declared and paid each business day for the Government Money Market Portfolio and at least annually for the remaining Portfolios, when applicable.

**E. Other** — The Portfolios record security transactions on trade date. The basis for determining cost on sale of securities is identified cost. Interest income is recorded daily on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as information from issuers is available. Where applicable, dividends are recorded net of foreign withholding tax. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method. Expenses directly attributable to a Portfolio are incurred by the respective Portfolio. Expenses that are not directly attributable to one

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or more Portfolios are allocated among applicable Portfolios on an equitable and consistent basis considering such things as the nature and type of expenses and the relative net assets of the Portfolios. The Portfolios consider highly liquid temporary cash investments purchased with an original maturity of less than three months to be cash equivalents. Cash equivalents are included in the short-term investments on the Schedule of Investments as well as in investments on the Statements of Assets and Liabilities. Temporary cash overdrafts are reported as a payable to custodian.

**F. New Accounting Pronouncements** — In March 2020, the FASB issued Accounting Standards Update ("ASU") 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." In January 2021 and December 2022, the FASB issued ASU 2021-01 and ASU 2022-06, respectively. ASU 2021-01 and 2022-06 provide further amendments to Topic 848. Collectively, these ASUs provide optional guidance to ease the potential accounting burden associated with transitioning away from the London Interbank Offered Rate and other reference rates that are expected to be discontinued. The ASUs are effective immediately upon release of the update on March 12, 2020 through December 31, 2024. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. Management is evaluating implications of this guidance on the financial statements in light of the status of the reference rate transitioning described therein.

In June 2022, the FASB issued ASU 2022-03, "Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions." The ASU clarifies that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, is not considered in measuring the fair value. The amendments also require additional disclosures related to equity securities subject to contractual sale restrictions. The ASU is effective for fiscal years beginning after December 15, 2023 and interim periods within those fiscal years. Management is evaluating the implications of this guidance to future financial statements.

NOTE 3. SECURITY VALUATION

For purposes of calculating a net asset value, Portfolio securities and other assets are valued as of the close of trading on the New York Stock Exchange ("Exchange") on each day during which the Exchange is open for trading.

The Fair Value Measurements and Disclosures Topic of the Financial 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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — fair value is determined by unadjusted quoted prices in active markets for identical
securities or derivatives

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — fair value is determined by other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, and other data used in fair valuation)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — fair value is determined by significant unobservable inputs (including the Portfolios'
own assumptions in determining fair value)

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 Portfolios' perceived risk of that instrument.

The following is a description of the valuation techniques and significant inputs used in determining the value of the Portfolios' investments classified as Level 1 and Level 2 in the fair value hierarchy:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Equity securities (common and preferred stock) and exchange traded funds ("ETFs") for which market
quotations are readily available are valued at the last sale or, when available, official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during
the day or closing prices are not available, securities are generally valued at the last quoted bid price. Equity securities traded only in the over-the-counter market
and not on a securities exchange are valued at the last sale price or closing bid price, if no sales have occurred. To the extent these securities are actively traded and valuation

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adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Additionally, for foreign securities, fair value procedures are used if a significant event occurs between the close of the foreign market and the U.S. market close. The fair value price is reflected as Level 2 in the fair value hierarchy when such fair value procedures are applied.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Fixed income securities, including corporate, convertible and municipal bonds and notes, U.S. government
agencies, U.S. treasury obligations, sovereign issues, bank loans, and non-U.S. bonds are generally valued on the basis of service provider prices that use broker dealer quotations or valuation estimates from
internal pricing models. The service providers' internal models use inputs that are observable such as issuer details, interest rates, yield curves, call features, maturities, credit risks/spreads and default rates. Securities that use similar
valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Fixed income securities purchased on a delayed delivery basis are marked to market daily until settlement at the
forward settlement date and are categorized as Level 2 in the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Mortgage related and asset backed securities are generally issued as separate tranches, or classes, of securities
within each deal. These securities are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level
attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage related and asset backed securities that use similar valuation techniques and
inputs as described above are categorized as Level 2 in the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end mutual funds (including other Portfolios and
excluding ETFs) are valued at the mutual fund's closing net asset value per share and are categorized as Level 1 in the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Short-term investments, other than in the Government Money Market Portfolio, are generally valued by a pricing
service. All securities in the Government Money Market Portfolio are valued using amortized cost, unless the current market value differs substantially from the amortized cost, at which time the securities are marked to market. Because the value is
not obtained from a quoted price in an active market, such securities are reflected as Level 2 in the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Listed derivatives, such as futures or option contracts, which are actively traded on a national securities
exchange, are stated at the last reported sale or settlement price on the day of valuation and are categorized as Level 1 in the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Centrally-cleared swaps and over-the-counter financial derivatives, such as foreign currency contracts, options contracts, or swap agreements derive their value from underlying asset prices,
indices, reference rates, and other inputs or a combination of these factors. These derivatives are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Depending on the product and the terms of the
transaction, the value of the derivatives can be estimated using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads,
interest rates, curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

The following is a description of the valuation techniques and significant inputs used in determining the value the Portfolios' investments classified as Level 3 in the fair value hierarchy:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Securities and other assets for which market quotes are not readily available are valued at fair market value as
determined in good faith in accordance with procedures adopted by the Series Fund's Board of Directors ("Board"). Market quotes are considered not readily available in circumstances where there is an absence of current or reliable
market-based data (*e.g.* trade information or broker quotes). The factors considered in reaching these values at December 31, 2022 included, but were not limited to, broker quotes, liquidity, prepayment speed, duration, geopolitical events and
recoverability.

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A table summarizing each Portfolio's investments under this hierarchy is included following each Portfolio's Schedule of Investments. Transfers between investment levels may occur as markets fluctuate and/or the availability of data used in investments' valuation changes. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. Additionally, U.S GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets categorized as Level 3 in the fair value hierarchy. In accordance with the requirements, a Level 3 reconciliation and details of significant unobservable inputs have been included in the notes to the Schedule of Investments for Portfolios that have a material amount of Level 3 investments. As of December 31, 2022, there were no Portfolios that owned a material amount of Level 3 securities.

The Series Fund and Mason Street Advisors, LLC ("MSA"), the Portfolios' investment adviser, have adopted joint policies and procedures ("Pricing Procedures") which govern the pricing of Portfolio securities and other investments. The Board has approved the Pricing Procedures and designated MSA as the Board's valuation designee under Rule 2a-5 of the 1940 Act to be responsible for the execution of the valuation process for the securities and other assets held by each Portfolio. The day-to-day responsibility for pricing Portfolio securities and other investments has been delegated to State Street Bank and Trust Company in its capacity as fund accountant, subject to the oversight of MSA. MSA has formed a cross-functional group comprised of representatives from Northwestern Mutual and Series Fund officers to assist it with its responsibilities as valuation designee. While the Board has designated MSA to perform these responsibilities, it oversees MSA in its role as valuation designee.

NOTE 4. SECURITIES AND OTHER INVESTMENTS

**A. Delayed Delivery Transactions and When-Issued Securities** — Certain Portfolios may engage in securities transactions on a when-issued or delayed delivery basis. In these transactions, the securities' prices and yields are fixed on the date of the commitment, with payment and delivery scheduled for a future date. During this period, the securities are subject to market fluctuations, and the Portfolios post collateral to meet margin requirements. A Portfolio may dispose of or renegotiate a delayed delivery transaction, which may result in a capital gain or loss.

**B. Repurchase Agreements** — Certain Portfolios may engage in repurchase transactions. Under the terms of a typical repurchase agreement, a Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and a Portfolio to resell, the obligation at an agreed upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Portfolio's custodian or designated sub-custodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed at all times the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. If the counterparty should default, a Portfolio will seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

**C. Restricted Securities** — Certain Portfolios may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from registration before being sold to the public. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.

**D. Foreign Currency Transactions** — Certain Portfolios may have securities and other assets and liabilities denominated in foreign currencies which are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. When the Portfolios purchase or sell a foreign security they may enter into a foreign currency exchange contract to minimize exchange rate risk from the trade date to the settlement date of such transaction. Such foreign currency exchange contracts are marked to market daily.

The Portfolios do not separately report the results of operations due to fluctuations in foreign exchange rates on investments from the changes arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

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Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, and the differences between the amounts of income and foreign withholding taxes recorded on the Portfolios' books and the U.S. dollar equivalent of the amounts actually received or paid.

**E. Mortgage Backed and Asset Backed Securities** — Certain Portfolios may invest in mortgage backed securities, including collateralized mortgage obligations, and asset backed securities. Mortgage backed securities are interests in pools of residential or commercial mortgage loans and asset backed securities are interests in pools of other assets, including various types of loans and credit card receivables. These securities provide a monthly payment, consisting of both a principal and interest component. Interest payments may be based on either fixed rates or adjustable rates. Receipt of principal payment reduces the outstanding par amount of the security and may generate realized gains or losses. Yields on mortgage backed securities are affected by interest and prepayment rates, which, in turn, are influenced by a variety of economic, geographical, social and other factors. Maturities on mortgage backed securities represent stated maturity dates. Actual maturity dates may differ based on prepayment rates. Unlike mortgage backed securities issued or guaranteed by the U.S. government or one of its sponsored entities, mortgage backed securities and asset backed securities issued by private issuers do not have a government or government sponsored entity guarantee. These issuers may provide credit enhancements through external entities such as financial institutions or through the structuring of the transaction itself. There is no guarantee that credit enhancements, if any, will be sufficient to prevent losses.

**F. Inflation-Indexed Bonds** — Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income in the applicable Portfolio's Statements of Operations even though investors do not receive their principal until maturity.

**G. Short Sales** — Certain Portfolios may enter into short sale transactions. A short sale is a transaction in which a Portfolio sells a security it does not own in anticipation of a decline in the market price of the security. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Portfolio is obligated to deliver the security at the market price at the time the short position is closed. The risk of loss on a short sale transaction is theoretically unlimited, because there is no limit to the cost of replacing the security sold short, whereas losses from purchase transactions cannot exceed the total amount invested.

**H. Financing Transactions** — Certain Portfolios may enter into financing transactions. In a financing transaction, the Portfolio transfers a security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. For U.S. GAAP purposes, a financing transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, the Portfolio is entitled to the interest on the security. The difference between the sale price and repurchase price is included in net investment income with the cost of the secured borrowing transaction being recorded in interest expense over the term of the borrowing. The Portfolio will benefit from the transaction if the income earned on the investment purchased with the cash received in the financing transaction exceeds the interest expense incurred by the Portfolio. If the interest expense exceeds the income earned, the Portfolio's net investment income and dividends to shareholders may be adversely impacted. Financing transactions involve the risk that the market value of the securities that the Portfolio is required to repurchase may decline below the agreed upon repurchase price of those securities. For the year ended December 31, 2022, the Long-Term U.S. Government Bond Portfolio entered into financing transactions utilizing various U.S. Treasury bonds.

**I. Loan Participation and Assignments** — Certain Portfolios may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Portfolios' investments in a loan may be in the form of either actual participation in loans or assignments of all or part of the loans from third parties. A loan is often administered by a bank or other financial institution that acts as an agent for all holders. The agent administers the terms of the loan which are specified in the loan agreement. The Portfolios may invest in multiple series or tranches of a loan, each of which can have different terms and associated risks. The Portfolios generally do not have a right

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to enforce compliance with the terms of the loan agreement and as a result, the Portfolios may be subject to the credit risk of the borrower and lender that is selling the loan agreement. When the Portfolios purchase assignments from lenders they acquire direct rights against the borrower of the loan.

The Portfolios may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments can include lines of credit, which may require the Portfolios to grant additional cash to the borrower upon demand from the borrower. These unfunded loan commitments are in fact a future obligation in full, although a percentage of the loan amount may not be utilized by the borrower. When investing in a loan, the Portfolios have the right to receive principal, interest and any fees from the lender selling the loan agreement and only when the payments are received by the lender from the borrower. There may also be a commitment fee due to the Portfolios based on the unused portion of the line of credit of the floating rate loan. In certain cases, the Portfolios may be entitled to a penalty fee if there was a prepayment of a floating rate loan by the borrower. Fees that are earned or paid will be reflected as interest income or interest expense on the Statements of Operations. Unfunded loan commitments are reflected as a liability on the Statements of Assets and Liabilities.

**J. Reverse Repurchase Agreements** — Certain Portfolios may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Portfolio delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Portfolio is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Portfolio to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. When effecting reverse repurchase transactions, the Portfolio will hold securities of a dollar amount equal in value to the securities subject to the reverse repurchase agreement in a segregated account.

NOTE 5. DERIVATIVE INSTRUMENTS

The Portfolios may use derivative instruments for various purposes, including as a cash management strategy, to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the Portfolio, to hedge exposure to a foreign currency, or as an alternative to direct investments. Because the Portfolios are required to account for derivative instruments at fair value and recognize changes in fair value through the Statements of Operations, the Portfolios' derivatives do not qualify for hedge accounting treatment.

Certain Portfolios segregate cash to cover margin requirements for derivative positions. These amounts are denoted as "Cash Collateral for Derivative Positions" on the Statements of Assets and Liabilities.

**A. Futures Contracts** — Certain Portfolios invest in futures contracts as an alternative to investing in individual securities and could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are marked to market daily based upon quoted settlement prices. The Portfolios receive from or pay to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the "variation margin," are recorded by the Portfolios as unrealized gains or losses. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

**B. Forward Foreign Currency Contracts** — The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies or as part of an investment strategy. Contracts are valued at the contractual forward rate and are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is recorded. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counterparties to meet the terms of their contracts.

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**C. Options** — Certain Portfolios may write call and put options on futures, swaps, securities or currencies they own or in which they may invest. Writing put options tends to increase a Portfolio's exposure to the underlying instrument. Writing call options tends to decrease a Portfolio's exposure to the underlying instrument. The Portfolio receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio writes a put option, it is exposed to a decline in the price of the underlying security. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying future, swap, security or currency may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.

Certain Portfolios may also purchase call and put options on futures, swaps, securities or currencies they own or in which they may invest. Purchasing call options tends to increase a Portfolio's exposure to the underlying instrument. Purchasing put options tends to decrease a Portfolio's exposure to the underlying instrument. The Portfolio pays a premium on the purchase of a put option but receives the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio purchases a call option, it is exposed to a decline in the price of the underlying security. Premiums paid are reflected in the Statements of Assets and Liabilities as an investment and are subsequently marked to market to reflect the current value of the option. Premiums paid from purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying future, swap, security or currency transaction to determine realized gain or loss. The risk associated with a Portfolio purchasing call or put options is limited to the premium paid.

**D. Swap Agreements** — The Portfolios may enter into swap agreements on interest rate, total return and credit default to manage their exposure to interest rates, foreign currencies, investment style risk and credit risk or as an alternative to direct investing. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements. Swap agreements are privately negotiated in the over-the-counter market ("OTC swaps") and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange ("centrally cleared swaps").

Swaps are marked to market daily based upon quotations from market makers or values from third party vendors, which may include a registered commodities exchange, and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Daily changes in the valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate ("variation margin") on the Statements of Assets and Liabilities. OTC swap payments received or made at the beginning of the measurement period of the swap are reflected on the Statements of Assets and Liabilities. Upfront payments are amortized to realized gain or loss. Upon termination of the swap, unamortized upfront payments are recorded as realized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments received by the Portfolios are included as part of realized gain (loss) on the Statements of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in interest rates.

*Interest Rate Swaps* — Interest rate swap agreements involve the exchange by a Portfolio with another party to pay or receive a set of cash flows, e.g., an exchange of floating rate payments for fixed rate payments based on a notional amount of principal.

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*Total Return Swaps* — Total return swap agreements involve commitments to pay or receive a financing rate in exchange for the total return of an underlying reference entity, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

*Credit Default Swaps* — Credit default swap agreements involve one party making a series of payments to another party in exchange for the right to receive a cash payment equal to the notional value of the swap in the event of a default by a third party, typically corporate issues or sovereign issues of an emerging market country. A Portfolio may use credit default swaps to provide a measure of protection against defaults of the issuers where the Portfolio owns or has exposure to the corporate or sovereign issue or to take an active long or short position on the likelihood of a particular issuer's default.

As a seller of protection, the Portfolio generally receives an upfront payment and/or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Portfolio adds leverage to its investments because the Portfolio has investment exposure on the notional amount of the swap. As a buyer of protection, the Portfolio generally makes an upfront payment or pays a fixed rate of interest throughout the term of the swap provided that there is no credit event. The Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging market country serve as an indicator of the current status of the payment/performance risk and represent the likelihood of a credit event occurring. The implied credit spread of a particular referenced entity reflects the cost of selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and indicate a greater likelihood a credit event could occur as defined under the terms of the agreement. Open credit default swaps on corporate or sovereign issues and credit indices are disclosed in the Schedules of Investments.

If the Portfolio is a seller of protection and a credit event occurs, the Portfolio will either pay to the buyer of the protection an amount equal to the notional value of the swap and may take delivery of the obligation or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the agreement. Notional amounts and fair market value of all credit default swap agreements outstanding for each Portfolio are disclosed in the Schedules of Investments. These maximum potential amounts would be partially offset by any recovery values of the referenced obligations, upfront payments received upon entering into the agreement, or net amounts received by the Portfolio from the settlement of credit default swap agreements purchasing protection for the same referenced obligation.

**E. Derivative Disclosures** — Derivative positions held by the Portfolios by contract type and primary risk exposure, including location on the Statement of Assets and Liabilities and value as of December 31, 2022, are (amounts in thousands):

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio** | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| **Portfolio** | **Statement of Assets and**<br> **Liabilities Location** | **Value** | **Statement of Assets and**<br> **Liabilities Location** | **Value** |
|  Index 500 Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts | Receivables – Variation Margin (Futures) | $— | Payables –Variation Margin (Futures) | $143 |
|  Large Company Value Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts | Receivables – Foreign Currency | 16 | Payables – Foreign Currency | 66 |
|  Index 400 Stock Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts | Receivables – Variation Margin (Futures) |  | Payables – Variation Margin (Futures) | 63 |
|  Mid Cap Value Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts | Receivables – Foreign Currency | 39 | Payables – Foreign Currency | 342 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio** | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| **Portfolio** | **Statement of Assets and**<br> **Liabilities Location** | **Value** | **Statement of Assets and**<br> **Liabilities Location** | **Value** |
|  Index 600 Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts | Receivables – Variation Margin (Futures) | $3 | Payables – Variation Margin (Futures) | $- |
|  International Equity Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts | Receivables – Foreign Currency | 3507 | Payables – Foreign Currency | 932 |
|  Short-Term Bond Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | Receivables – Variation Margin (Futures) | 20 | Payables – Variation Margin (Futures) | 58 |
|  Long-Term U.S. Government Bond Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | Receivables – Variation Margin (Futures) | 36 | Payables – Variation Margin (Futures) | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | Receivables – Variation Margin (Cleared Swap) | 22 | Payables – Variation Margin (Cleared Swap) | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | Receivables – Outstanding Options Written, at Value | - | Payables – Outstanding Options Written, at Value | 47 |
|  Inflation Protection Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts | Receivables – Foreign Currency |  | Payables – Foreign Currency | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inflation contracts | Receivables –Variation Margin (Cleared Swap) | 62 | Payables – Variation Margin (Cleared Swap) | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inflation contracts | Receivables – Outstanding Swaps Contracts, at Value | 6108 | Payables – Outstanding Swaps Contracts, at Value | 343 |
|  Multi-Sector Bond Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit contracts | Receivables – Outstanding Swaps Contracts, at Value | 322 | Payables – Outstanding Swaps Contracts, at Value | 334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit contracts | Receivables – Variation Margin (Cleared Swap) | 14 | Payables – Variation Margin (Cleared Swap) | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign | Receivables – Foreign Currency | 304 | Payables – Foreign Currency | 4580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; currency contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | Receivables – Variation Margin (Futures) |  | Payables – Variation Margin (Futures) | 417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | Receivables – Variation Margin (Cleared Swap) | 26 | Payables – Variation Margin (Cleared Swap) | 203 |

---

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the year ended December 31, 2022 are (amounts in thousands):

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Realized Gain (Loss) on Derivatives Instruments** | **Realized Gain (Loss) on Derivatives Instruments** | **Realized Gain (Loss) on Derivatives Instruments** | **Realized Gain (Loss) on Derivatives Instruments** | **Realized Gain (Loss) on Derivatives Instruments** |
| <br>**Portfolio** | **Options<br>Written** | **Futures** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total** |
|  Index 500 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts | $- | $(8614) | $- | $- | $(8614) |
|  Large Company Value Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 1429 |  | 1429 |
|  Equity Income Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | (7) |  | (7) |
|  Index 400 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts |  | (167) |  |  | (167) |
|  Mid Cap Value Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 3245 |  | 3245 |
|  Index 600 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts |  | (1007) |  |  | (1007) |
|  International Growth Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | (56) |  | (56) |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Realized Gain (Loss) on Derivatives Instruments** | **Realized Gain (Loss) on Derivatives Instruments** | **Realized Gain (Loss) on Derivatives Instruments** | **Realized Gain (Loss) on Derivatives Instruments** | **Realized Gain (Loss) on Derivatives Instruments** |
| <br>**Portfolio** | **Options<br>Written** | **Futures** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total** |
|  Research International Core Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts | $- | $- | $(190) | $- | $(190) |
|  International Equity Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 4888 |  | 4888 |
|  Emerging Markets Equity Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 75 |  | 75 |
|  Short-Term Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | (2546) |  | 3 | (2543) |
|  Long-Term U.S. Government Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | 2018 |  | 991 | 3009 |
|  Inflation Protection Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 69 |  | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | (225) |  |  | (225) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inflation contracts |  |  |  | 3508 | 3508 |
|  Multi-Sector Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  |  |  | (9483) | (9483) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 25712 |  | 25712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | 138 | (50607) |  | (5602) | (56071) |

---

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the year ended December 31, 2022 are (amounts in thousands):

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Change in Unrealized Appreciation (Depreciation) on<br>Derivative Instruments** | **Change in Unrealized Appreciation (Depreciation) on<br>Derivative Instruments** | **Change in Unrealized Appreciation (Depreciation) on<br>Derivative Instruments** | **Change in Unrealized Appreciation (Depreciation) on<br>Derivative Instruments** | **Change in Unrealized Appreciation (Depreciation) on<br>Derivative Instruments** |
| <br>**Portfolio** | **Options<br>Written** | **Futures** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total** |
|  Index 500 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts | $- | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2666) | $- | $- | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2666) |
|  Large Company Value Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 182 |  | 182 |
|  Equity Income Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | (1) |  | (1) |
|  Index 400 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts |  | (678) |  |  | (678) |
|  Mid Cap Value Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 196 |  | 196 |
|  Index 600 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts |  | (145) |  |  | (145) |
|  International Growth Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | (64) |  | (64) |
|  Research International Core Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | (85) |  | (85) |
|  International Equity Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 3224 |  | 3224 |
|  Emerging Markets Equity Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | (502) |  | (502) |
|  Short-Term Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | 256 |  |  | 256 |
|  Long-Term U.S. Government Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | (6) | 136 |  | (242) | (112) |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Change in Unrealized Appreciation (Depreciation)<br>on Derivative Instruments** | **Change in Unrealized Appreciation (Depreciation)<br>on Derivative Instruments** | **Change in Unrealized Appreciation (Depreciation)<br>on Derivative Instruments** | **Change in Unrealized Appreciation (Depreciation)<br>on Derivative Instruments** | **Change in Unrealized Appreciation (Depreciation)<br>on Derivative Instruments** |
| <br>**Portfolio** | **Options<br>Written** | **Futures** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total** |
|  Inflation Protection Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts | $- | $- | $73 | $- | $73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | 135 |  |  | 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inflation contracts |  |  |  | 2037 | 2037 |
|  Multi-Sector Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  |  |  | 818 | 818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 374 |  | 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | (3008) |  | (3339) | (6347) |

---

Volumes on derivative instruments by contract type and primary risk exposure, for the year ended December 31, 2022 are:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Portfolio** | **Volume of Derivative Instruments Held** | **Volume of Derivative Instruments Held** | **Volume of Derivative Instruments Held** | **Volume of Derivative Instruments Held** | **Volume of Derivative Instruments Held** |
| **Portfolio** | **Average Number of Contracts** | **Average Number of Contracts** | **Average Notional**<br>*(Amounts in Thousands)* | **Average Notional**<br>*(Amounts in Thousands)* | **Average Notional**<br>*(Amounts in Thousands)* |
| **Portfolio** | **Exchange<br>Traded Options** | **Futures** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Over the<br>Counter<br>Options** |
|  Index 500 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts |  | 256 |  |  |  |
|  Large Company Value Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 18012 |  |  |
|  Index 400 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts |  | 62 |  |  |  |
|  Mid Cap Value Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 53288 |  |  |
|  Index 600 Stock Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity contracts |  | 52 |  |  |  |
|  International Equity Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 163717 |  |  |
|  Emerging Markets Equity Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 16 |  |  |
|  Short-Term Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | 492 |  |  |  |
|  Long-Term U.S. Government Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | 329 |  | 24240 | 400 |
|  Inflation Protection Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts |  |  | 7021 |  |  |
|  Interest rate contracts |  | 79 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inflation contracts |  |  |  | 194040 |  |
|  Multi-Sector Bond Portfolio |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  |  |  | 297693 |  |
|  Forward foreign currency contracts |  |  | 776881 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts |  | 2512 |  | 1257226 | 12992 |

---

NOTE 6. PORTFOLIO RISK

In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets ingeneral, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit risk), for example by not making principal and interest payments when due, reduces the value of the issuer's debt and could reduce the Portfolios' income. Similar to credit risk, the Portfoliosmay be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettledor open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction

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or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Portfolios' investments may be illiquid and the Portfolios may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Portfolio is required to liquidate all or a portion of its investments quickly, the Portfolio may realize significantly less than the value at which it previously recorded those investments.

The value of a Portfolio's investments may decline because of economic changes or other events, such as inflation (or expectations for inflation), deflation (or expectations for deflation), interest rates, global demand for particular products or resources, market instability, debt crises and downgrades, embargoes, tariffs, sanctions and other trade barriers, regulatory events, other governmental trade or market control programs and related geopolitical events. The global economies and financial markets are becoming increasingly interconnected, which increases the possibility that conditions in one country or region might adversely impact issuers in a different country or region. Local and global markets and normal market operations can be adversely affected by significant market disruptions. Market disruptions can be caused by local, regional or global events such as war, military conflict, political instability, acts of terrorism, social unrest, environmental disasters, natural disasters or events, trade disputes, supply chain disruptions, spread of infectious diseases or other public health issues, climate change, recessions, or other events. Climate change, the outbreak of infectious diseases or other public health issues may exacerbate other pre-existing political, social, economic, market and financial risks. Certain illnesses spread rapidly and have the potential to significantly and adversely affect the global economy. The impact of infectious diseases in developing or emerging market countries may be greater due to less established health care systems. The impact of any such events could negatively affect the global economy as well as the economies of individual countries, the financial performance of individual companies, sectors and industries, and the markets in general in significant and unforeseen ways. Such events may affect certain sectors, industries, businesses, geographic regions or countries more significantly than others. In addition, any of such circumstances could result in disruptions in the trading markets and could result in increased market volatility. Such events could adversely affect the prices and liquidity of a Portfolio's securities and could have a materially negative impact on the value of a Portfolio. Such events also could impact the ability of the Fund to process transactions or perform other operational activities. The Fund cannot predict the effects of geopolitical or other events in the future on the U.S. and other economies, the securities markets, or the Portfolios.

**LIBOR** 

Instruments in which the Fund invests may pay interest at floating rates based on the London Interbank Offered Rate ("LIBOR") or may be subject to interest caps or floors based on LIBOR. In 2017, the head of the United Kingdom's Financial Conduct Authority ("FCA") announced a desire to phase out the use of LIBOR by the end of 2021. In March 2021, the FCA and LIBOR's administrator, ICE Benchmarks Administration announced that LIBOR would no longer be provided (i) for all sterling euro, Swiss franc and Japanese yen settings, and the one-week and two-month U.S. dollar LIBOR settings after December 31, 2021 and (ii) for the remaining U.S. dollar LIBOR settings after June 30, 2023. Various financial industry groups have been planning for the transition away from LIBOR to a new reference rate such as the Secured Overnight Financing Rate ("SOFR"), which is intended to replace the U.S. dollar LIBOR but there remain challenges to converting certain securities and transactions to a new reference rate. Although the transition process away from the use of LIBOR has become increasingly well-defined and replacement reference rates have been established for all LIBOR currencies, the potential effects of the transition on existing financial instruments in which the Fund invests which reference LIBOR may be difficult to ascertain. Changes accompanying the transition to a new reference rate may have an adverse impact on a Fund's investments, performance or financial condition.

**Master Netting Arrangements** 

The Portfolios are subject to various Master Agreements that govern the terms of certain transactions. Master Repurchase Agreements and Global Master Repurchase Agreements are in place that governs repurchase, reverse repurchase, and sale-buyback financing transactions. Master Securities Forward Transaction Agreements are in place that govern the settlement of certain forward settling transactions including to-be-announced securities, delayed-delivery or sale-buyback financing transactions. Customer Account Agreements and related addenda are in place that govern certain cleared derivative transactions including futures and cleared OTC derivatives. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes ("ISDA agreements") are in place that governs certain OTC financial derivative transactions. ISDA agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early

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and cause settlement of all outstanding transactions under the applicable ISDA agreement. The terms of Master Agreements may reduce counterparty risk with respect to transactions governed by the Master Agreement under certain circumstances. Certain Portfolios have agreements with counterparties that contain provisions, or contingency features, that allow net settlement in the event of contract termination and permit termination by either party prior to maturity upon the occurrence of certain stated events, such as failure to pay or bankruptcy. In addition, certain agreements specify other events, the occurrence of which would allow one of the parties to terminate. For example, a downgrade in credit rating of a counterparty would allow the Portfolio to terminate while a decline in the Portfolio's net assets of more than a certain percentage would allow the counterparty to terminate. In such a situation, the counterparty involved would have the option to waive the triggering event or liquidate the affected positions pursuant to the terms of the related agreement. The aggregate amount of derivatives in a liability position is disclosed in Note 5.

**Offsetting Assets and Liabilities** 

Certain Portfolios are parties to enforceable master netting or similar agreements which provide for the right of offset under certain circumstances. The Portfolios have made an accounting policy election not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities. As such, all financial and derivative instruments are presented on a gross basis on the Statements of Assets and Liabilities. The impacts of netting arrangements that provide the right to offset are detailed below (amounts in thousands). The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing transactions such as repurchase agreements and certain forward settling transactions can only be netted across transactions governed under the same Master Agreement with the same legal entity. For certain Portfolios, derivative amounts do not reconcile to the Statements of Assets and Liabilities due to the Statements of Assets and Liabilities including derivatives that are not covered under master netting or similar agreements. The amount of collateral, for the year ended December 31, 2022, has been limited such that the net amount cannot be less than zero.

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral as of period end:

**Large Company Value Portfolio** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** | | | |
| **Counterparty** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total<br>Assets** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total<br>Liabilities** |<br>**Net<br>Market<br>Value** |<br>**Collateral<br>Pledged/<br>(Received)** |<br>**Net**<br>**Exposure** |
|  Bank of America NA | $16 | $- | $16 | $- | $- | $- | $16 | $- | $16 |
|  Goldman Sachs International |  |  |  | (61) |  | (61) | (61) | 61 |  |
|  Morgan Stanley Capital Services, Inc. |  |  |  | (5) |  | (5) | (5) |  | (5) |
|  Total | $16 | $- | $16 | $(66) | $- | $(66) | $(50) | $61 | $11 |
| **Mid Cap Value Portfolio** |  |  |  |  |  |  |  |  |  |
|  | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** |  |  |  |
| **Counterparty** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total<br>Assets** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total<br>Liabilities** | **Net<br>Market<br>Value** | **Collateral<br>Pledged/<br>(Received)** | **Net**<br>**Exposure** |
|  Bank of America NA | $36 | $- | $36 | $(1) | $- | $(1) | $35 | $- | $35 |
|  Goldman Sachs International | 3 |  | 3 | (341) |  | (341) | (338) | 338 |  |
|  Total | $39 | $- | $39 | $(342) | $- | $(342) | $(303) | $338 | $35 |

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**Notes to Financial Statements** 

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **International Equity Portfolio** | **International Equity Portfolio** | **International Equity Portfolio** | **International Equity Portfolio** | **International Equity Portfolio** |  |  |  | | | |
|  | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** | | | |
| **Counterparty** | **Forward<br>Foreign<br>Currency<br>Contracts** |  | **Swaps** | **Total<br>Assets** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total<br>Liabilities** | <br>**Net<br>Market<br>Value** | <br>**Collateral<br>Pledged/**<br>**(Received)** | <br>**Net**<br>**Exposure** |
|  Bank of America NA | $78 |  | $- | $78 | $(203) | $- | $(203) | $(125) | $- | $(125) |
|  Citibank NA | 237 |  |  | 237 |  |  |  | 237 | (237) |  |
|  Goldman Sachs Bank USA | 590 |  |  | 590 | (144) |  | (144) | 446 | (446) |  |
|  HSBC Bank USA | 1533 |  |  | 1533 | (225) |  | (225) | 1308 | (1308) |  |
|  JP Morgan Chase Bank NA | 446 |  |  | 446 | (251) |  | (251) | 195 | (195) |  |
|  Morgan Stanley and Co. |  |  |  |  |  |  |  |  |  |  |
|  International |  |  |  |  | (2) |  | (2) | (2) |  | (2) |
|  Standard Chartered Bank | 344 |  |  | 344 | (107) |  | (107) | 237 | (237) |  |
|  UBS AG | 279 |  |  | 279 |  |  |  | 279 | (279) |  |
|  Total | $3507 |  | $- | $3507 | $(932) | $- | $(932) | $2575 | $(2702) | $(127) |
| **Inflation Protection Portfolio** | **Inflation Protection Portfolio** | **Inflation Protection Portfolio** | **Inflation Protection Portfolio** | **Inflation Protection Portfolio** |  |  |  |  |  |  |
|  | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** |  |  |  |
| **Counterparty** | **Forward**<br>**Foreign**<br>**Currency**<br>**Contracts** |  | **Swaps** | **Total**<br>**Assets** | **Forward**<br>**Foreign**<br>**Currency**<br>**Contracts** | **Swaps** | **Total**<br>**Liabilities** | **Net**<br>**Market**<br>**Value** | **Collateral**<br>**Pledged/**<br>**(Received)** | **Net**<br>**Exposure** |
|  Bank of America NA | $- |  | $1732 | $1732 | $- | $(14) | $(14) | $1718 | $(1697) | $21 |
|  Barclays Bank PLC |  |  | 398 | 398 |  | (329) | (329) | 69 |  | 69 |
|  Goldman Sachs International |  |  | 3978 | 3978 |  |  |  | 3978 | (3970) | 8 |
|  Morgan Stanley Capital Services, Inc. |  |  |  |  | (6) |  | (6) | (6) |  | (6) |
|  Total | $- |  | $6108 | $6108 | $(6) | $(343) | $(349) | $5759 | $(5667) | $92 |
|  **Multi-Sector Bond Portfolio** | **Multi-Sector Bond Portfolio** | **Multi-Sector Bond Portfolio** | **Multi-Sector Bond Portfolio** | **Multi-Sector Bond Portfolio** |  |  |  |  |  |  |
|  | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Assets (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** | **Derivative Liabilities (000's)** |  |  |  |
| **Counterparty** | **Forward<br>Foreign<br>Currency<br>Contracts** |  | **Swaps** | **Total<br>Assets** | **Forward<br>Foreign<br>Currency<br>Contracts** | **Swaps** | **Total<br>Liabilities** | **Net<br>Market<br>Value** | **Collateral<br>Pledged/**<br>**(Received)** | **Net**<br>**Exposure** |
|  Bank of America NA | $34 |  | $- | $34 | $(3) | $- | $(3) | $31 | $- | $31 |
|  Barclays Bank PLC | 90 |  |  | 90 | (206) | (198) | (404) | (314) | 276 | (38) |
|  BNP Paribas SA | 28 |  |  | 28 | (7) |  | (7) | 21 |  | 21 |
|  Goldman Sachs International |  |  |  |  |  | (99) | (99) | (99) |  | (99) |
|  Goldman Sachs Bank USA | 91 |  |  | 91 | (82) |  | (82) | 9 | (9) |  |
|  HSBC Bank PLC | 60 |  |  | 60 | (4050) |  | (4050) | (3990) | 3060 | (930) |
|  JP Morgan Chase Bank NA | 1 |  | 322 | 323 | (218) | (21) | (239) | 84 | (84) |  |
|  Morgan Stanley Capital Services LLC |  |  |  |  |  | (16) | (16) | (16) |  | (16) |
|  Royal Bank of Canada |  |  |  |  | (14) |  | (14) | (14) |  | (14) |
|  UBS AG |  | π |  |  |  |  |  |  |  |  |
|  Total | $304 |  | $322 | $626 | $(4580) | $(334) | $(4914) | $(4288) | $3243 | $(1045) |

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**Notes to Financial Statements** 

The following is a summary by counterparty of the market value of repurchase agreements, financing transactions, collateral and net exposure as of period end:

**Government Money Market Portfolio** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Investment in<br>Repurchase<br>Agreements** | **Payable for<br>Reverse<br>Repurchase<br>Agreements** | **Payable for<br>Financing<br>Transactions** | **Net<br>Market<br>Value** | **Collateral<br>Pledged/<br>(Received)** | **Net<br>Exposure** |
|  Bank of Montreal | $21000 | $- | $- | $21000 | $(21000) | $- |
|  Bank of Nova Scotia | 10000 |  |  | 10000 | (10000) |  |
|  BNP Paribas | 30000 |  |  | 30000 | (30000) |  |
|  Citigroup Global Markets, Inc. | 29000 |  |  | 29000 | (29000) |  |
|  Goldman Sachs Group LP | 20000 |  |  | 20000 | (20000) |  |
|  Mitsubishi UFJ | 35000 |  |  | 35000 | (35000) |  |
|  Mizuho Securities | 40000 |  |  | 40000 | (40000) |  |
|  Morgan Stanley | 41000 |  |  | 41000 | (41000) |  |
|  Natixis S.A. | 30000 |  |  | 30000 | (30000) |  |
|  TD Securities | 40000 |  |  | 40000 | (40000) |  |
|  Total | $296000 | $- | $- | $296000 | $(296000) | $- |
|  **Long-Term U.S. Government Bond Portfolio** | **Long-Term U.S. Government Bond Portfolio** |  |  |  |  |  |
| **Counterparty** | **Investment in<br>Repurchase<br>Agreements** | **Payable for<br>Short Sales** | **Payable for<br>Financing<br>Transactions** | **Net<br>Market<br>Value** | **Collateral<br>Pledged/<br>(Received)** | **Net<br>Exposure** |
|  Barclays Capital Inc. | $- | $- | $(26380) | $(26380) | $26271 | $(109) |
|  Goldman Sachs International |  |  | (55302) | (55302) | 55295 | (7) |
|  JP Morgan Chase Bank NA |  | (1347) |  | (1347) |  | (1347) |
|  Morgan Stanley Capital |  |  |  |  |  |  |
|  Services |  | (3079) | (58989) | (62068) | 58981 | (3087) |
|  Total | $- | $(4426) | $(140671) | $(145097) | $140547 | $(4550) |

---

The Long-Term U.S. Government Bond Portfolio average amount of borrowings outstanding during the year ended December 31, 2022 was $33,981 (amount in thousands) at a weighted average interest rate of 1.566%. Average borrowings include reverse repurchase agreements and sale-buyback transactions, if held during the period.

**Multi-Sector Bond Portfolio** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Investment in<br>Repurchase<br>Agreements** | **Payable for<br>Reverse<br>Repurchase<br>Agreements** | **Payable for<br>Financing<br>Transactions** | **Net<br>Market<br>Value** | **Collateral<br>Pledged/<br>(Received)** | **Net<br>Exposure** |
|  BNP Paribas | $63700 | $- | $– $| 63700 | $(63700) | $- |
|  Goldman Sachs | 50000 |  | – | 50000 | (50000) |  |
|  JP Morgan Chase Bank NA |  | (535) | – | (535) | 535 |  |
|  Total | $113700 | $(535) | $– $| 113165 | $(113165) | $- |

---

The Multi-Sector Bond Portfolio average amount of borrowings outstanding during the year ended December 31, 2022 was $1,731 (amount in thousands) at a weighted average interest rate of 0.700%. Average borrowings include reverse repurchase agreements, if held during the period.

NOTE 7. INVESTMENT ADVISORY, SUB-ADVISORY, AND COMPLIANCE FEES

The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services to MSA, an affiliate and wholly-owned subsidiary of Northwestern Mutual. Certain Portfolios, listed below, pay a fixed annual rate based on the average daily net asset values of the Portfolio.

---

| | |
|:---|:---|
| **Portfolio** | **Fee** |
|  Index 500 Stock Portfolio | 0.20% |
|  Index 400 Stock Portfolio | 0.25% |
|  Mid Cap Value Portfolio | 0.85% |

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**Notes to Financial Statements** 

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| | |
|:---|:---|
| **Portfolio** | **Fee** |
|  Small Cap Value Portfolio | 0.85% |
|  Government Money Market Portfolio | 0.30% |
|  Select Bond Portfolio | 0.30% |
|  Balanced Portfolio | 0.30% |

---

For the other Portfolios, the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio** | **First<br>$50<br>Million** | **Next<br>$50<br>Million** | **Excess Over<br>$100<br>Million** | |
|  Growth Stock Portfolio | 0.60% | 0.50% | 0.40% |  |
|  Large Cap Core Stock Portfolio | 0.60% | 0.50% | 0.40% |  |
|  Mid Cap Growth Stock Portfolio | 0.80% | 0.65% | 0.50% |  |
|  Small Cap Growth Stock Portfolio | 0.80% | 0.65% | 0.50% |  |
|  High Yield Bond Portfolio | 0.60% | 0.50% | 0.40% |  |
| **Portfolio** | **First<br>$100<br>Million** | **Next<br>$400<br>Million** | **Excess Over<br>$500<br>Million** |  |
|  Focused Appreciation Portfolio | 0.80% | 0.75% | 0.70% |  |
| **Portfolio** | **First<br>$100<br>Million** | **Next<br>$150<br>Million** | **Excess Over<br>$250<br>Million** |  |
|  Large Company Value Portfolio | 0.72% | 0.67% | 0.62% |  |
|  Domestic Equity Portfolio | 0.65% | 0.55% | 0.50% |  |
|  International Growth Portfolio | 0.75% | 0.65% | 0.55% |  |
|  Short-Term Bond Portfolio | 0.35% | 0.33% | 0.30% |  |
|  Long-Term U.S. Government Bond Portfolio | 0.555% | 0.515% | 0.495% |  |
|  Inflation Protection Portfolio | 0.58% | 0.55% | 0.49% |  |
|  Multi-Sector Bond Portfolio | 0.79% | 0.78% | 0.77% |  |
|  Asset Allocation Portfolio | 0.60% | 0.50% | 0.40% |  |
| **Portfolio** | **First<br>$150<br>Million** | **Next<br>$150<br>Million** | **Next**<br>**$200<br>Million** | **Excess Over<br>$500<br>Million** |
|  Large Cap Blend Portfolio | 0.77% | 0.70% | 0.62% | 0.56% |
|  Research International Core Portfolio | 0.88% | 0.82% | 0.75% | 0.68% |
| **Portfolio** | **First<br>$500<br>Million** | **Excess Over<br>$500<br>Million** |  |  |
|  Equity Income Portfolio | 0.65% | 0.60% |  |  |
| **Portfolio** | **First<br>$200<br>Million** | **Excess Over<br>$200<br>Million** |  |  |
|  Index 600 Stock Portfolio | 0.25% | 0.20% |  |  |
| **Portfolio** | **First<br>$50<br>Million** | **Excess Over<br>$50<br>Million** |  |  |
|  International Equity Portfolio | 0.85% | 0.65% |  |  |
| **Portfolio** | **First<br>$250<br>Million** | **Next<br>$250<br>Million** | **Next<br>$500<br>Million** | **Excess Over**<br>**$1.0**<br>**Billion** |
|  Emerging Markets Equity Portfolio | 1.14% | 1.08% | 0.96% | 0.78% |

---

For certain Portfolios, MSA contractually agreed to waive the management fee and absorb certain other operating expenses to the extent necessary so that Total Operating Expenses (excluding taxes, brokerage, other investment-related costs, interest and dividend expenses and charges, acquired fund fees, fees for class actions, other passive securities litigation and anti- trust claim filing services and such non-recurring and extraordinary expenses as they may arise) will not exceed the following amounts:

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| | | |
|:---|:---|:---|
| **Portfolio** | | **Expiration** |
|  Focused Appreciation Portfolio | 0.90% | April 30, 2023 |
|  Large Cap Blend Portfolio | 0.85% | April 30, 2023 |
|  Large Company Value Portfolio | 0.80% | April 30, 2023 |
|  Domestic Equity Portfolio | 0.75% | April 30, 2023 |
|  Equity Income Portfolio | 0.75% | April 30, 2023 |
|  Mid Cap Value Portfolio | 1.00% | April 30, 2023 |
|  Index 600 Stock Portfolio | 0.35% | April 30, 2023 |
|  Small Cap Value Portfolio | 1.00% | April 30, 2023 |
|  International Growth Portfolio | 1.10% | April 30, 2023 |
|  Research International Core Portfolio | 1.15% | April 30, 2023 |
|  Emerging Markets Equity Portfolio | 1.50% | April 30, 2023 |
|  Short-Term Bond Portfolio | 0.45% | April 30, 2023 |
|  Long-Term U.S. Government Bond Portfolio | 0.65% | April 30, 2023 |
|  Inflation Protection Portfolio | 0.65% | April 30, 2023 |
|  Multi-Sector Bond Portfolio | 0.90% | April 30, 2023 |
|  Asset Allocation Portfolio | 0.75% | April 30, 2023 |

---

Growth Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio's first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.38% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Focused Appreciation Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.66% on the Portfolio's first $100 million of average net assets, 0.61% on the next $400 million, 0.60% on the next $500 million, and 0.57% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Large Cap Core Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio's first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $400 million, and 0.37% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Large Cap Blend Portfolio – For the period from January 1, 2022 through June 30, 2022, MSA agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio's first $150 million of average net assets, 0.67% on the next $150 million, 0.62% on the next $200 million, and 0.56% on average net assets in excess of $500 million. Effective July 1, 2022, MSA has agreed to waive a portion of its management fee such that the management fee is 0.70% on the Portfolio's first $150 million of average net assets, 0.65% on the next $150 million, 0.62% on the next $200 million, and 0.56% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Index 500 Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.20% on the Portfolio's first $2 billion of average net assets, and 0.18% on average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Large Company Value Portfolio – For the period from January 1, 2022 through April 30, 2022, MSA agreed to waive a portion of its management fee such that the management fee is 0.70% on the Portfolio's first $100 million of average net assets, 0.65% on the next $150 million, 0.59% on the next $250 million, and 0.57% on the average net assets in excess of $500 million. Effective May 1, 2022, MSA has agreed to waive a portion of its management fee such that the management fee is 0.67% on the Portfolio's first $100 million of average net assets, 0.62% on the next $150 million, 0.59% on the next $250 million, and 0.57% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

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Domestic Equity Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.65% on the Portfolio's first $100 million of average net assets, 0.55% on the next $150 million, 0.50% on the next $250 million, 0.43% on the next $500 million, and 0.41% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Equity Income Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.56% on the Portfolio's first $500 million of average net assets, 0.53% on the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Mid Cap Growth Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.80% on the Portfolio's first $50 million, 0.65% on the next $50 million, 0.50% on the next $900 million, and 0.49% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Index 400 Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.25% on the Portfolio's first $500 million and 0.20% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Mid Cap Value Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.79% on the Portfolio's first $150 million of average net assets, 0.67% on the next $350 million, and 0.64% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Small Cap Value Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.85% on the Portfolio's first $500 million of average net assets, and 0.80% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

International Growth Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.75% on the Portfolio's first $100 million of average net assets, 0.65% on the next $150 million, 0.55% on the next $750 million, and 0.54% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Research International Core Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.83% on the Portfolio's first $150 million of average net assets, 0.77% on the next $150 million, 0.70% on the next $200 million, and 0.63% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

International Equity Portfolio – For the period from January 1, 2022 through April 30, 2022, MSA agreed to waive a portion of its management fee such that the management fee is 0.69% on the Portfolio's first $50 million of average net assets, 0.54% on the next $450 million, 0.52% on the next $500 million, 0.46% on the next $500 million, and 0.40% on the average net assets in excess of $1.5 billion. Effective May 1, 2022, MSA has agreed to waive a portion of its management fee such that the management fee is 0.85% on the Portfolio's first $50 million of average net assets, 0.65% on the next $1,950 million, and 0.63% on the average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Emerging Markets Equity Portfolio – For the period from January 1, 2022 through April 30, 2022, MSA agreed to waive a portion of its management fee such that its management fee was 0.95% on the Portfolio's first $250 million of average net assets, 0.87% on the next $250 million, 0.84% on the next $500 million, and 0.78% on average net assets in excess of $1 billion. Effective May 1, 2022, MSA has agreed to waive a portion of its management fee such that its management fee was 0.95% on the Portfolio's first $250 million of average net assets, 0.87% on the next $250 million, 0.80% on the next $500 million, and 0.75% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Government Money Market Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.30% on the Portfolio's first $500 million of average net assets, 0.29% on the next $500 million, and 0.28% in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023. In addition, MSA has voluntarily

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**Notes to Financial Statements** 

agreed to waive its advisory fee and/or reimburse expenses in excess of the Government Money Market Portfolio's daily yield so as to maintain a zero or positive yield for the Portfolio. This voluntary waiver is reviewed periodically by MSA in light of market and economic developments and may be revised or discontinued at any time without advance notice.

Short-Term Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.35% on the Portfolio's first $100 million of average net assets, 0.33% on the next $150 million, 0.30% on the next $250 million, and 0.28% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Select Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.30% on the Portfolio's first $2 billion of average net assets, and 0.28% on average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Long-Term U.S. Government Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.555% on the Portfolio's first $100 million of average net assets, 0.515% on the next $150 million, 0.495% of the next $250 million, and 0.445% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Inflation Protection Portfolio – MSA agreed to waive a portion of its management fee such that the management fee is 0.55% on the Portfolio's first $100 million of average net assets, 0.50% on the next $150 million, and 0.46% on average net assets in excess of $250 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

High Yield Bond Portfolio – MSA agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio's first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.30% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Multi-Sector Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio's first $100 million of average net assets, 0.73% on the next $150 million, 0.70% on the next $250 million, and 0.65% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Balanced Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.05% on all average net assets. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Asset Allocation Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.05% on all average net assets. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Waivers are not recoupable in future periods.

With respect to certain Portfolios, MSA has engaged and oversees unaffiliated sub-advisers who manage the day-to-day investment operations of such Portfolios. MSA pays each sub-adviser a fee based on the average daily net assets of each such Portfolio out of its investment management fee.

Compliance fees are paid to Northwestern Mutual, an affiliate of the Series Fund. The compliance fees paid are for the compensation, benefits and expenses of the Chief Compliance Officer and compliance staff. The amounts paid relate only to the Chief Compliance Officer and compliance staffs' duties and functions performed for the Series Fund.

NOTE 8. FEDERAL INCOME TAX MATTERS

Taxable distributions from net investment income and realized capital gains in the Portfolios may differ from book amounts earned during the period due to differences in the timing of capital gains recognition and due to the reclassification of certain gains or losses between capital and income. The differences between cost amounts for book purposes and tax purposes are primarily due to the tax treatment of deferred losses, passive foreign investment companies, and financing transactions.

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**Notes to Financial Statements** 

It is the policy of the Portfolios to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the Statements of Assets and Liabilities. Permanent differences primarily relate to character differences with respect to income on swaps, foreign currency transactions, foreign bond sales, passive foreign investment companies and paydowns on structured product investments.

A summary of the Portfolios' capital loss carryovers as of December 31, 2022 is provided below:

---

| | | | |
|:---|:---|:---|:---|
|  | **Short-Term**<br>**Loss<br>Carryover** | **Long-Term**<br>**Loss<br>Carryover** | **Losses<br>Utilized** |
|  | (Amounts in thousands) | (Amounts in thousands) | (Amounts in thousands) |
|  Growth Stock Portfolio | $31225 | $23305 | $- |
|  Mid Cap Growth Stock Portfolio | 15848 |  |  |
|  Small Cap Growth Stock Portfolio | 40983 | 34286 |  |
|  International Equity Portfolio | 1028 |  |  |
|  Emerging Markets Equity Portfolio | 27287 |  |  |
|  Short-Term Bond Portfolio | 4226 | 3010 |  |
|  Select Bond Portfolio | 184255 | 93379 |  |
|  Long-Term U.S. Government Bond Portfolio |  | 10002 | 146 |
|  Inflation Protection Portfolio | 8738 | 4886 |  |
|  High Yield Bond Portfolio | 328 | 8568 |  |
|  Multi-Sector Bond Portfolio | 27781 | 44723 |  |

---

Capital losses are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the first day of the next fiscal year.

When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the years ended December 31, 2022 and 2021 was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **2022 Distributions<br>Paid From:** | **2022 Distributions<br>Paid From:** | **2021 Distributions<br>Paid From:** | **2021 Distributions<br>Paid From:** |
| **Portfolio** | **Ordinary<br>Income** | **Long-term<br>Capital Gain** | **Ordinary<br>Income** | **Long-term<br>Capital Gain** |
|  |  | (Amounts in thousands) | (Amounts in thousands) |  |
|  Growth Stock Portfolio | $8528 | $142825 | $50 | $55949 |
|  Focused Appreciation Portfolio | 2197 | 125795 | 8040 | 120591 |
|  Large Cap Core Stock Portfolio | 34391 | 81325 | 10068 | 53289 |
|  Large Cap Blend Portfolio | 1337 | 18030 | 1241 | 11839 |
|  Index 500 Stock Portfolio | 64069 | 144551 | 66172 | 120527 |
|  Large Company Value Portfolio | 12442 | 19968 | 5187 |  |
|  Domestic Equity Portfolio | 30154 | 106445 | 18598 | 23353 |
|  Equity Income Portfolio | 22774 | 71701 | 17168 |  |
|  Mid Cap Growth Stock Portfolio | 1611 | 98437 | 37141 | 139880 |
|  Index 400 Stock Portfolio | 31873 | 101625 | 20914 | 28578 |
|  Mid Cap Value Portfolio | 44485 | 64725 | 7676 | 5109 |
|  Small Cap Growth Stock Portfolio | 3020 | 107716 | 24801 | 57905 |
|  Index 600 Stock Portfolio | 11797 | 25599 | 5359 | 4217 |
|  Small Cap Value Portfolio | 12120 | 65482 | 2594 | 29347 |
|  International Growth Portfolio | 8194 | 93077 | 5610 | 29044 |
|  Research International Core Portfolio | 20345 | 34292 | 10349 | 14425 |
|  International Equity Portfolio | 41796 | 46803 | 43243 |  |
|  Emerging Markets Equity Portfolio | 19997 | 58276 | 5199 |  |
|  Government Money Market Portfolio | 7243 |  | 10 | 27 |
|  Short-Term Bond Portfolio | 6234 | 172 | 8138 |  |
|  Select Bond Portfolio | 51441 | 3949 | 202684 | 25232 |
|  Long-Term U.S. Government Bond Portfolio | 1876 |  | 26311 |  |
|  Inflation Protection Portfolio | 16642 | 8985 | 5663 | 62 |
|  High Yield Bond Portfolio | 40651 |  | 43872 |  |
|  Multi-Sector Bond Portfolio | 47671 |  | 32327 | 6708 |
|  Balanced Portfolio | 82626 | 121740 | 64727 | 103835 |
|  Asset Allocation Portfolio | 9305 | 17887 | 7196 | 15602 |

---

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**Notes to Financial Statements** 

As of December 31, 2022 the components of distributable earnings on a tax basis were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long-Term**<br>**Gains** | **Accumulated**<br>**Losses** | **Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
|  |  | (Amounts in thousands) | (Amounts in thousands) |  |
|  Growth Stock Portfolio | $392 | $- | $(54530) | $67630 |
|  Focused Appreciation Portfolio | 2059 | 71643 |  | 218790 |
|  Large Cap Core Stock Portfolio | 6286 | 48862 |  | 34968 |
|  Large Cap Blend Portfolio | 1503 | 14830 |  | 17725 |
|  Index 500 Stock Portfolio | 67102 | 35831 |  | 2642888 |
|  Large Company Value Portfolio | 5077 | 19079 |  | 6150 |
|  Domestic Equity Portfolio | 19196 | 46554 |  | 207206 |
|  Equity Income Portfolio | 18100 | 55166 |  | 130870 |
|  Mid Cap Growth Stock Portfolio | 2534 |  | (15848) | 1574 |
|  Index 400 Stock Portfolio | 15756 | 49250 |  | 218173 |
|  Mid Cap Value Portfolio | 24111 | 71737 |  | (5687) |
|  Small Cap Growth Stock Portfolio | 331 |  | (75269) | 37846 |
|  Index 600 Stock Portfolio | 4348 | 15940 |  | 30423 |
|  Small Cap Value Portfolio | 2893 | 36376 |  | 73367 |
|  International Growth Portfolio | 8162 | 20348 |  | 104917 |
|  Research International Core Portfolio | 13540 | 15029 |  | 61020 |
|  International Equity Portfolio | 54272 |  | (1028) | (214640) |
|  Emerging Markets Equity Portfolio | 19013 |  | (27287) | (42276) |
|  Government Money Market Portfolio |  |  |  |  |
|  Short-Term Bond Portfolio | 7807 |  | (7236) | (18905) |
|  Select Bond Portfolio | 73967 |  | (277634) | (270985) |
|  Long-Term U.S. Government Bond Portfolio | 2679 |  | (10002) | (56465) |
|  Inflation Protection Portfolio | 20508 |  | (13624) | (38012) |
|  High Yield Bond Portfolio | 40679 |  | (8896) | (109277) |
|  Multi-Sector Bond Portfolio | 28568 |  | (72504) | (160243) |
|  Balanced Portfolio | 38818 | 72601 |  | (217555) |
|  Asset Allocation Portfolio | 5321 | 15893 |  | (25962) |

---

NOTE 9. VOLUNTARY REIMBURSEMENTS

Northwestern Mutual voluntarily reimburses foreign equity portfolios for the benefit Northwestern Mutual receives from foreign dividend taxes charged against the Portfolios. The amounts reimbursed represent approximately 79% of the foreign dividend taxes withheld attributable to the portion of the Portfolio owned by Northwestern Mutual. Reimbursements are recorded when foreign dividend taxes are accrued.

Voluntary reimbursements for the year ended December 31, 2022 are summarized below (amounts in thousands):

---

| | |
|:---|:---|
| **Portfolio** | **2022<br>Reimbursements** |
|  International Growth Portfolio | $909 |
|  International Equity Portfolio | 3561 |
|  Research International Core Portfolio | 1336 |
|  Emerging Markets Equity Portfolio | 1403 |

---

NOTE 10. GUARANTEES

In the normal course of business, the Portfolios enter into contracts that contain a variety of representations which provide general indemnifications. The Portfolios' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, the Portfolios expect the risk of material loss to be remote.

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**Notes to Financial Statements** 

NOTE 11. INVESTMENT INCOME AND SECURITIES TRANSACTIONS

For the year ended December 31, 2022, transactions in securities other than short term investments were:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolios** | **Non-U.S. Govt.<br>Security<br>Purchases** | **U.S. Govt.<br>Security<br>Purchases** | **Non-U.S. Govt.<br>Security Sales/<br>Maturities** | **U.S. Govt.<br>Security<br>Sales/<br>Maturities** |
|  |  | (Amounts in thousands) | (Amounts in thousands) |  |
|  Growth Stock Portfolio | $132793 | $- | $246787 | $- |
|  Focused Appreciation Portfolio | 216848 |  | 190886 |  |
|  Large Cap Core Stock Portfolio | 363567 |  | 476351 |  |
|  Large Cap Blend Portfolio | 89400 |  | 70274 |  |
|  Index 500 Stock Portfolio | 116599 |  | 91367 |  |
|  Large Company Value Portfolio | 67907 |  | 133054 |  |
|  Domestic Equity Portfolio | 140256 |  | 128757 |  |
|  Equity Income Portfolio | 116528 |  | 232752 |  |
|  Mid Cap Growth Stock Portfolio | 508005 |  | 549362 |  |
|  Index 400 Stock Portfolio | 165714 |  | 169908 |  |
|  Mid Cap Value Portfolio | 481520 |  | 506870 |  |
|  Small Cap Growth Stock Portfolio | 346123 |  | 340008 |  |
|  Index 600 Stock Portfolio | 75423 |  | 61148 |  |
|  Small Cap Value Portfolio | 151143 |  | 179223 |  |
|  International Growth Portfolio | 218077 |  | 128091 |  |
|  Research International Core Portfolio | 196625 |  | 240075 |  |
|  International Equity Portfolio | 287719 |  | 222721 |  |
|  Emerging Markets Equity Portfolio | 411711 |  | 277059 |  |
|  Short-Term Bond Portfolio | 118702 | 117378 | 100945 | 108129 |
|  Select Bond Portfolio | 2887479 | 5333271 | 2426156 | 5655340 |
|  Long-Term U.S. Government Bond Portfolio | 691 | 46397 | 520 | 35701 |
|  Inflation Protection Portfolio | 155023 | 91487 | 169581 | 51040 |
|  High Yield Bond Portfolio | 135940 |  | 155439 |  |
|  Multi-Sector Bond Portfolio | 157452 | 20003 | 213335 | 154 |
|  Balanced Portfolio | 613841 |  | 646044 |  |
|  Asset Allocation Portfolio | 102130 |  | 96841 |  |

---

**Transactions with Affiliated Companies** 

An affiliated company is a company in which a Portfolio has ownership of at least 5% of the voting securities or which the Portfolio controls, is controlled by or with which the Portfolio is under common control. Transactions with affiliated companies during the year ended December 31, 2022 are as follows:

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**Notes to Financial Statements** 

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Portfolio** | **Value at<br>12/31/2021** | **Purchases** | **Sales** | **Value at<br>12/31/2022** | **Change in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Realized<br>Gain<br>(Loss)** | **Income<br>Dividends** | **Capital Gain<br>Distributions** | **% Ownership,<br>12/31/2022** |
|  |  |  |  | *(Amounts in thousands)* | *(Amounts in thousands)* |  |  |  |  |
|  Balanced Portfolio: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Growth Stock | $108826 | $- | $73301 | $- | $(18630) | $(16895) | $- | $- | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Focused Appreciation | 109064 | 39899 | 11100 | 95215 | (46039) | 3391 | 15 | 13284 | 9.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Large Cap Core Stock | 91335 |  | 74901 |  | (24359) | 7925 |  |  | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Large Cap Blend | 92903 | 40247 | 10830 | 100037 | (23434) | 1151 | 707 | 9540 | 51.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Large Company Value | 66888 |  | 63004 |  | (11483) | 7599 |  |  | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Domestic Equity | 67194 | 71162 | 17360 | 107539 | (19105) | 5648 | 1960 | 12802 | 10.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Income | 67424 |  | 62624 |  | (13654) | 8854 |  |  | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mid Cap Growth Stock | 100637 | 13032 |  | 81889 | (31780) |  | 129 | 7903 | 8.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mid Cap Value | 106645 | 16320 | 13400 | 91365 | (18472) | 272 | 1877 | 14444 | 14.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Small Cap Growth Stock | 26276 | 3480 | 1900 | 16959 | (10377) | (520) |  | 3480 | 2.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Small Cap Value | 30377 | 3525 | 1900 | 22920 | (8408) | (674) | 69 | 3456 | 4.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; International Growth | 63466 | 34931 |  | 75895 | (22502) |  | 442 | 8189 | 8.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Research International Core | 104121 |  | 83578 |  | (26846) | 6303 |  |  | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; International Equity | 64275 | 24434 |  | 81108 | (7601) |  | 1950 | 2184 | 4.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Emerging Markets Equity | 17063 | 8180 | 5400 | 13059 | (4841) | (1943) | 245 | 1535 | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Bond | 23905 | 375 |  | 22825 | (1455) |  | 326 | 49 | 6.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Select Bond | 865259 | 13573 | 110000 | 643027 | (111125) | (14680) | 12606 | 968 | 23.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; High Yield Bond | 84024 | 3266 | 21500 | 54560 | (11216) | (14) | 3267 |  | 7.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Multi-Sector Bond | 119927 | 4312 |  | 101469 | (22770) |  | 4271 | 41 | 9.1% |
|  | $2209609 | $276736 | $550798 | $1507867 | $(434097) | $6417 | $27864 | $77875 |  |
|  Asset Allocation Portfolio: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Growth Stock | $18697 | $- | $12595 | $- | $(3730) | $(2372) | $- | $- | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Focused Appreciation | 18738 | 8038 | 1120 | 18098 | (7864) | 306 | 3 | 2435 | 1.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Large Cap Core Stock | 15479 |  | 12664 |  | (4232) | 1417 |  |  | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Large Cap Blend | 15764 | 8263 | 1220 | 18947 | (3997) | 137 | 128 | 1734 | 9.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Large Company Value | 11445 |  | 10771 |  | (1995) | 1321 |  |  | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Domestic Equity | 11541 | 13064 | 2320 | 19880 | (3188) | 783 | 354 | 2310 | 1.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Income | 11503 |  | 10685 |  | (2395) | 1577 |  |  | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mid Cap Growth Stock | 16404 | 2328 |  | 13540 | (5192) |  | 21 | 1307 | 1.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mid Cap Value | 17260 | 2608 | 1970 | 14985 | (3048) | 135 | 300 | 2308 | 2.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Small Cap Growth Stock | 7429 | 984 |  | 5312 | (3101) |  |  | 984 | 0.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Small Cap Value | 8475 | 984 | 760 | 6174 | (2428) | (97) | 19 | 964 | 1.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; International Growth | 12159 | 7208 |  | 15020 | (4347) |  | 87 | 1621 | 1.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Research International Core | 20899 |  | 16775 |  | (5805) | 1681 |  |  | 0.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; International Equity | 12358 | 4905 |  | 15799 | (1464) |  | 380 | 425 | 0.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Emerging Markets Equity | 3559 | 1450 | 700 | 2959 | (1220) | (130) | 48 | 302 | 0.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Bond | 3267 | 51 |  | 3120 | (198) |  | 45 | 7 | 0.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Select Bond | 61927 | 2280 | 11200 | 44162 | (7421) | (1424) | 883 | 68 | 1.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; High Yield Bond | 17650 | 752 | 3080 | 12776 | (2373) | (173) | 752 |  | 1.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Multi-Sector Bond | 16039 | 577 |  | 13571 | (3045) |  | 571 | 5 | 1.2% |
|  | $300593 | $53492 | $85860 | $204343 | $(67043) | $3161 | $3591 | $14470 |  |

---

The Series Fund and its Portfolios are permitted to purchase securities from, and sell securities to (so called "cross-trades"), (i) other Portfolios, (ii) any registered investment company which is an affiliate, or an affiliate of an affiliate, or (iii) any person which is an affiliate, or an affiliate of an affiliate, of the Series Fund or the Portfolio solely by reason of having a common investment adviser or sub-adviser (or affiliated investment advisers) or common directors and/or officers, pursuant to procedures adopted by the Board under Rule 17a-7 of the 1940 Act ("Procedures"). These Procedures have been designed to ensure that any cross-trade of securities by a Portfolio complies with Rule 17a-7 of the 1940 Act. Each cross-trade is effected at the current market price as defined under the Procedures. Pursuant to the Procedures, for the year ended December 31, 2022, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):

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**Notes to Financial Statements** 

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| | |
|:---|:---|
| **Portfolio** | **Cross Trade**<br>**Purchases** |
|  Growth Stock Portfolio | $3121 |
|  Mid Cap Growth Stock Portfolio | 493 |
|  Mid Cap Value Portfolio | 844 |
|  Small Cap Value Portfolio | 882 |
|  International Growth Portfolio | 7086 |
|  Research International Core Portfolio | 82 |
|  High Yield Bond Portfolio | 3245 |

---

---

| | | |
|:---|:---|:---|
|  | **Cross Trade Sales** | **Cross Trade Sales** |
| **Portfolio** | **Proceeds** | **Net Realized Gain<br>(Loss) on Sales** |
|  High Yield Bond Portfolio | $940 | $42 |
|  Mid Cap Growth Stock Portfolio | 103 | (58) |
|  Large Company Value Portfolio | 126 | (25) |
|  International Growth Portfolio | 8527 | 1086 |
|  Research International Core Portfolio | 583 | 120 |

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**Report of Independent Registered Public Accounting Firm** 

To the Board of Directors of Northwestern Mutual Series Fund, Inc. and Shareholders of Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio

***Opinions on the Financial Statements***

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (constituting Northwestern Mutual Series Fund, Inc., hereafter collectively referred to as the "Funds") as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, and for Long-Term U.S. Government Bond Portfolio the statement of cash flows for the year ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022, for Long-Term U.S. Government Bond Portfolio, the results of its cash flows for the year then ended, and each of the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinions***

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

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**Report of Independent Registered Public Accounting Firm** 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

![LOGO](g422955g48z45.jpg)

Milwaukee, WI

February 20, 2023

We have served as the auditor of one or more investment companies in Northwestern Mutual Series Fund, Inc. since 1984.

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##### [**Table of Contents**](#toc)
**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. |
| 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 |
| SONIO/N | SONIA Interest Rate Benchmark |
| 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 |
| MUTKCALM | Tokyo Overnight Average Rate |

---

**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 |
| HUF | Hungarian Forint |
| 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 |
| RUB | Russian Ruble |
| SAR | SAR |
| SEK | Swedish Krona |
| THB | Thai Baht |
| TWD | Taiwan Dollar |
| USD | United States Dollar |
| ZAR | South African Rand |

---

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##### [**Table of Contents**](#toc)
**Proxy Voting and Portfolio Holdings (unaudited)** 

**Proxy Voting Guidelines** 

A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission's website at <u>http://www.sec.gov</u>.

Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission's website at <u>http://www.sec.gov</u>.

**Quarterly Filing of Portfolio Holdings** 

Each Portfolio, other than the Government Money Market Portfolio, files its complete schedule of portfolio holdings on a monthly basis with the Securities and Exchange Commission (SEC) as an exhibit to its reports on Form N-PORT. Each Portfolio's holdings reported on Form N-PORT for the first and third quarters of the fiscal year are available on the SEC's website at <u>http://www.sec.gov</u>. Portfolios that file their holdings on Form N-PORT also make their complete schedule of portfolio holdings for the most recent quarter of their fiscal year available on the Internet at <u>www.northwesternmutual.com</u>.

The Government Money Market Portfolio files its complete schedule of portfolio holdings on a monthly basis with the SEC on Form N-MFP. Form N-MFP is available on the SEC's website at <u>http://www.sec.gov</u>. The Government Money Market Portfolio also makes its complete schedule of portfolio holdings for the most recent month available on the Internet at <u>www. northwesternmutual.com</u>.

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##### [**Table of Contents**](#toc)
**Director and Officer Information (unaudited)** 

**Northwestern Mutual Series Fund, Inc.** 

The name, address and year of birth of the directors, as well as their affiliations, positions held with the Series Fund, principal occupations during the past five years and the number of portfolios overseen in the Northwestern Mutual fund complex, are shown below as of December 31, 2022, except as otherwise noted. Each director (whenever elected) shall hold office until the next annual meeting of shareholders and until his or her successor is elected and qualifies or until his or her earlier death, resignation or removal. A director shall retire at the end of the calendar year in which the first of the two events occurs: (i) he or she attains the age of seventy-three (73), or (ii) he or she has served a term or successive terms totaling thirteen (13) years, commencing on the date of his or her election or appointment to the Board. The statement of additional information contains additional information about Series Fund directors and is available without charge, upon request, by calling 1-888-455-2232.

**Independent Directors** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Name, Address, and<br>Year of Birth | Position | Length of<br>Time Served | Number of Portfolios<br>in Fund Complex<br>Overseen by Director | Other Directorships Held<sup>2</sup> |
| Robert H. Huffman III<sup>1</sup><br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1959 | Director | Since 2007 | 27 |  |
| Principal Occupation During Past 5 Years: Since 2015, CEO of RVP Management, LLC, a registered investment adviser. | Principal Occupation During Past 5 Years: Since 2015, CEO of RVP Management, LLC, a registered investment adviser. | Principal Occupation During Past 5 Years: Since 2015, CEO of RVP Management, LLC, a registered investment adviser. | Principal Occupation During Past 5 Years: Since 2015, CEO of RVP Management, LLC, a registered investment adviser. | Principal Occupation During Past 5 Years: Since 2015, CEO of RVP Management, LLC, a registered investment adviser. |
| Christy L. Brown<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1965 | Director | Since 2012 | 27 |  |
| Principal Occupation During Past 5 Years: Since October 2012, Chief Executive Officer, Girl Scouts of Wisconsin Southeast. From 2007 to 2012, Vice Chancellor, Finance and Administrative Affairs, University of Wisconsin, Milwaukee. | Principal Occupation During Past 5 Years: Since October 2012, Chief Executive Officer, Girl Scouts of Wisconsin Southeast. From 2007 to 2012, Vice Chancellor, Finance and Administrative Affairs, University of Wisconsin, Milwaukee. | Principal Occupation During Past 5 Years: Since October 2012, Chief Executive Officer, Girl Scouts of Wisconsin Southeast. From 2007 to 2012, Vice Chancellor, Finance and Administrative Affairs, University of Wisconsin, Milwaukee. | Principal Occupation During Past 5 Years: Since October 2012, Chief Executive Officer, Girl Scouts of Wisconsin Southeast. From 2007 to 2012, Vice Chancellor, Finance and Administrative Affairs, University of Wisconsin, Milwaukee. | Principal Occupation During Past 5 Years: Since October 2012, Chief Executive Officer, Girl Scouts of Wisconsin Southeast. From 2007 to 2012, Vice Chancellor, Finance and Administrative Affairs, University of Wisconsin, Milwaukee. |
| Gail L. Hanson<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1955 | Director | Since 2012 | 27 | Director of Artisan Partner Funds<br>(17 portfolios) |
| Principal Occupation During Past 5 Years: Retired. From February 2011 to April 2018, Chief Financial Officer, Aurora Health Care. Prior thereto, Deputy Executive Director, State of Wisconsin Investment Board. | Principal Occupation During Past 5 Years: Retired. From February 2011 to April 2018, Chief Financial Officer, Aurora Health Care. Prior thereto, Deputy Executive Director, State of Wisconsin Investment Board. | Principal Occupation During Past 5 Years: Retired. From February 2011 to April 2018, Chief Financial Officer, Aurora Health Care. Prior thereto, Deputy Executive Director, State of Wisconsin Investment Board. | Principal Occupation During Past 5 Years: Retired. From February 2011 to April 2018, Chief Financial Officer, Aurora Health Care. Prior thereto, Deputy Executive Director, State of Wisconsin Investment Board. | Principal Occupation During Past 5 Years: Retired. From February 2011 to April 2018, Chief Financial Officer, Aurora Health Care. Prior thereto, Deputy Executive Director, State of Wisconsin Investment Board. |
| William Gerber<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1958 | Director | Since 2017 | 27 | Director of Ballantyne Strong, Inc., a developer of technology solutions for digital applications (2015 to present) |
| Principal Occupation During Past 5 Years: Retired. From 2006 to 2015, Chief Financial Officer, and from 2007 to 2015, Executive Vice President, of TD Ameritrade Holdings Corporation. | Principal Occupation During Past 5 Years: Retired. From 2006 to 2015, Chief Financial Officer, and from 2007 to 2015, Executive Vice President, of TD Ameritrade Holdings Corporation. | Principal Occupation During Past 5 Years: Retired. From 2006 to 2015, Chief Financial Officer, and from 2007 to 2015, Executive Vice President, of TD Ameritrade Holdings Corporation. | Principal Occupation During Past 5 Years: Retired. From 2006 to 2015, Chief Financial Officer, and from 2007 to 2015, Executive Vice President, of TD Ameritrade Holdings Corporation. | Principal Occupation During Past 5 Years: Retired. From 2006 to 2015, Chief Financial Officer, and from 2007 to 2015, Executive Vice President, of TD Ameritrade Holdings Corporation. |
| David Ribbens<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1961 | Director | Since 2017 | 27 |  |
| Principal Occupation During Past 5 Years: Since March of 2018, Member and Partner of DOMO Capital Management, LLC, a Wisconsin registered investment adviser. Founder and President of Distribution Team Alpha LLC, founded in 2016. From 2015 to 2016, President, Managing Partner, and Director of Heartland Advisors, Inc. From 2008 to 2015, Executive Vice President and Head of Distribution, Managing Partner, and Director of Heartland Advisors, Inc. | Principal Occupation During Past 5 Years: Since March of 2018, Member and Partner of DOMO Capital Management, LLC, a Wisconsin registered investment adviser. Founder and President of Distribution Team Alpha LLC, founded in 2016. From 2015 to 2016, President, Managing Partner, and Director of Heartland Advisors, Inc. From 2008 to 2015, Executive Vice President and Head of Distribution, Managing Partner, and Director of Heartland Advisors, Inc. | Principal Occupation During Past 5 Years: Since March of 2018, Member and Partner of DOMO Capital Management, LLC, a Wisconsin registered investment adviser. Founder and President of Distribution Team Alpha LLC, founded in 2016. From 2015 to 2016, President, Managing Partner, and Director of Heartland Advisors, Inc. From 2008 to 2015, Executive Vice President and Head of Distribution, Managing Partner, and Director of Heartland Advisors, Inc. | Principal Occupation During Past 5 Years: Since March of 2018, Member and Partner of DOMO Capital Management, LLC, a Wisconsin registered investment adviser. Founder and President of Distribution Team Alpha LLC, founded in 2016. From 2015 to 2016, President, Managing Partner, and Director of Heartland Advisors, Inc. From 2008 to 2015, Executive Vice President and Head of Distribution, Managing Partner, and Director of Heartland Advisors, Inc. | Principal Occupation During Past 5 Years: Since March of 2018, Member and Partner of DOMO Capital Management, LLC, a Wisconsin registered investment adviser. Founder and President of Distribution Team Alpha LLC, founded in 2016. From 2015 to 2016, President, Managing Partner, and Director of Heartland Advisors, Inc. From 2008 to 2015, Executive Vice President and Head of Distribution, Managing Partner, and Director of Heartland Advisors, Inc. |

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**Director and Officer Information (unaudited)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Name, Address, and<br>Year of Birth | Position | Length of<br>Time Served | Number of Portfolios<br>in Fund Complex<br>Overseen by Director | Other Directorships Held<sup>2</sup> |
| Donald M. Ullmann<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1957 | Director | Since 2017 | 27 |  |
| Principal Occupation During Past 5 Years: Since 2015, Principal of DMU Financial Consulting, LLC. From 2013 to 2015, Managing Director, Head of Product Development, Fixed Income at Guggenheim Securities. From 2012 to 2013, Executive Managing Director, Co-head, MBS and Rates Division at Gleacher & Co. From 2009 to 2011, Executive Vice President, Head of Fixed Income Trading and Co-Head of Fixed Income Sales at Keefe, Bruyette and Woods, Inc. | Principal Occupation During Past 5 Years: Since 2015, Principal of DMU Financial Consulting, LLC. From 2013 to 2015, Managing Director, Head of Product Development, Fixed Income at Guggenheim Securities. From 2012 to 2013, Executive Managing Director, Co-head, MBS and Rates Division at Gleacher & Co. From 2009 to 2011, Executive Vice President, Head of Fixed Income Trading and Co-Head of Fixed Income Sales at Keefe, Bruyette and Woods, Inc. | Principal Occupation During Past 5 Years: Since 2015, Principal of DMU Financial Consulting, LLC. From 2013 to 2015, Managing Director, Head of Product Development, Fixed Income at Guggenheim Securities. From 2012 to 2013, Executive Managing Director, Co-head, MBS and Rates Division at Gleacher & Co. From 2009 to 2011, Executive Vice President, Head of Fixed Income Trading and Co-Head of Fixed Income Sales at Keefe, Bruyette and Woods, Inc. | Principal Occupation During Past 5 Years: Since 2015, Principal of DMU Financial Consulting, LLC. From 2013 to 2015, Managing Director, Head of Product Development, Fixed Income at Guggenheim Securities. From 2012 to 2013, Executive Managing Director, Co-head, MBS and Rates Division at Gleacher & Co. From 2009 to 2011, Executive Vice President, Head of Fixed Income Trading and Co-Head of Fixed Income Sales at Keefe, Bruyette and Woods, Inc. | Principal Occupation During Past 5 Years: Since 2015, Principal of DMU Financial Consulting, LLC. From 2013 to 2015, Managing Director, Head of Product Development, Fixed Income at Guggenheim Securities. From 2012 to 2013, Executive Managing Director, Co-head, MBS and Rates Division at Gleacher & Co. From 2009 to 2011, Executive Vice President, Head of Fixed Income Trading and Co-Head of Fixed Income Sales at Keefe, Bruyette and Woods, Inc. |

---

<sup>1</sup>. Robert H Huffman III served as an independent director during 2022. He retired as an independent director effective December 31, 2022 in accordance with the Series Fund's By-laws.

---

| | |
|:---|:---|
| <sup>2</sup>. | This column includes only directorships of companies required to report to the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934, as amended (i.e., "public companies") or other investment companies registered under the Investment Company Act of 1940, as amended.  |

---

**Other Directors** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Name, Address, and<br>Year of Birth | Position | Length of<br>Time Served | Number of Portfolios<br>in Fund Complex<br>Overseen by Director | Other Directorships Held |
| Ronald P. Joelson<sup>3</sup>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1958 | Chairman of the Board | Since 2015 | 27 |  |
| Principal Occupation During Past 5 Years: Since January 1, 2021, Executive Vice President of The Northwestern Mutual Life Insurance Company. From 2012 through 2020, Executive Vice President and Chief Investment Officer of The Northwestern Mutual Life Insurance Company. Prior thereto, Chief Investment Officer of Genworth Financial from 2009-2012. | Principal Occupation During Past 5 Years: Since January 1, 2021, Executive Vice President of The Northwestern Mutual Life Insurance Company. From 2012 through 2020, Executive Vice President and Chief Investment Officer of The Northwestern Mutual Life Insurance Company. Prior thereto, Chief Investment Officer of Genworth Financial from 2009-2012. | Principal Occupation During Past 5 Years: Since January 1, 2021, Executive Vice President of The Northwestern Mutual Life Insurance Company. From 2012 through 2020, Executive Vice President and Chief Investment Officer of The Northwestern Mutual Life Insurance Company. Prior thereto, Chief Investment Officer of Genworth Financial from 2009-2012. | Principal Occupation During Past 5 Years: Since January 1, 2021, Executive Vice President of The Northwestern Mutual Life Insurance Company. From 2012 through 2020, Executive Vice President and Chief Investment Officer of The Northwestern Mutual Life Insurance Company. Prior thereto, Chief Investment Officer of Genworth Financial from 2009-2012. | Principal Occupation During Past 5 Years: Since January 1, 2021, Executive Vice President of The Northwestern Mutual Life Insurance Company. From 2012 through 2020, Executive Vice President and Chief Investment Officer of The Northwestern Mutual Life Insurance Company. Prior thereto, Chief Investment Officer of Genworth Financial from 2009-2012. |
| Michael G. Carter<sup>4</sup>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1961 | Chairman of the Board | Since 2023 | 27 |  |
| Principal Occupation During Past 5 Years: Since January 2023, Executive Vice President and Chief of Staff to the Chief Executive Officer. From 2019, Executive Vice President, Chief Financial Officer and Chief Risk Officer of The Northwestern Mutual Life Insurance Company. From 2008 through 2019, Executive Vice President and Chief Financial Officer of The Northwestern Mutual Life Insurance Company. | Principal Occupation During Past 5 Years: Since January 2023, Executive Vice President and Chief of Staff to the Chief Executive Officer. From 2019, Executive Vice President, Chief Financial Officer and Chief Risk Officer of The Northwestern Mutual Life Insurance Company. From 2008 through 2019, Executive Vice President and Chief Financial Officer of The Northwestern Mutual Life Insurance Company. | Principal Occupation During Past 5 Years: Since January 2023, Executive Vice President and Chief of Staff to the Chief Executive Officer. From 2019, Executive Vice President, Chief Financial Officer and Chief Risk Officer of The Northwestern Mutual Life Insurance Company. From 2008 through 2019, Executive Vice President and Chief Financial Officer of The Northwestern Mutual Life Insurance Company. | Principal Occupation During Past 5 Years: Since January 2023, Executive Vice President and Chief of Staff to the Chief Executive Officer. From 2019, Executive Vice President, Chief Financial Officer and Chief Risk Officer of The Northwestern Mutual Life Insurance Company. From 2008 through 2019, Executive Vice President and Chief Financial Officer of The Northwestern Mutual Life Insurance Company. | Principal Occupation During Past 5 Years: Since January 2023, Executive Vice President and Chief of Staff to the Chief Executive Officer. From 2019, Executive Vice President, Chief Financial Officer and Chief Risk Officer of The Northwestern Mutual Life Insurance Company. From 2008 through 2019, Executive Vice President and Chief Financial Officer of The Northwestern Mutual Life Insurance Company. |

---

<sup>3</sup>. Ronald P. Joelson served as a director and Chairman of the Board of Directors of the Series Fund during 2022. He resigned his as director and Chairman of the Board with the Series Fund effective December 31, 2022.

<sup>4</sup>. Michael G. Carter was elected to serve as a director and Chairman of the Board of directors of the Series Fund by resolution of the Board effective January 1, 2023.

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**Director and Officer Information (unaudited)** 

**Northwestern Mutual Series Fund, Inc.** 

**Executive Officers** 

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| | | |
|:---|:---|:---|
| Name, Address, and<br>Year of Birth | Position | Length of<br>Time Served |
| Paul A. Mikelson<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1970 | President | Since 2022 |
| Principal Occupation During Past 5 Years: Since January 2022, Vice President – Product and Administration of Mason Street Advisors. From 2013 - December 31, 2021, Vice President, Multi-Manager Investment Solutions at Columbia Threadneedle Investments, an Ameriprise Financial affiliate. | Principal Occupation During Past 5 Years: Since January 2022, Vice President – Product and Administration of Mason Street Advisors. From 2013 - December 31, 2021, Vice President, Multi-Manager Investment Solutions at Columbia Threadneedle Investments, an Ameriprise Financial affiliate. | Principal Occupation During Past 5 Years: Since January 2022, Vice President – Product and Administration of Mason Street Advisors. From 2013 - December 31, 2021, Vice President, Multi-Manager Investment Solutions at Columbia Threadneedle Investments, an Ameriprise Financial affiliate. |
| Todd M. Jones<sup>5</sup> 720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1968 | Vice President;<br>Chief Financial Officer & Treasurer | Since 2015 |
| Principal Occupation During Past 5 Years: Since April 2015, Vice President and Controller of Northwestern Mutual. | Principal Occupation During Past 5 Years: Since April 2015, Vice President and Controller of Northwestern Mutual. | Principal Occupation During Past 5 Years: Since April 2015, Vice President and Controller of Northwestern Mutual. |
| Matthew P. Sullivan<sup>6</sup>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1979 | Vice President;<br>Chief Financial Officer & Treasurer | Since 2023 |
| Since January 2023, Vice President and Controller of Northwestern Mutual. From June 2019 to December 2022, Vice President – Planning Experience Readiness & Adoption and from May 2016 to May 2019 Vice President of Product Finance, Northwestern Mutual and Treasurer of Northwestern Mutual Wealth Management Company. | Since January 2023, Vice President and Controller of Northwestern Mutual. From June 2019 to December 2022, Vice President – Planning Experience Readiness & Adoption and from May 2016 to May 2019 Vice President of Product Finance, Northwestern Mutual and Treasurer of Northwestern Mutual Wealth Management Company. | Since January 2023, Vice President and Controller of Northwestern Mutual. From June 2019 to December 2022, Vice President – Planning Experience Readiness & Adoption and from May 2016 to May 2019 Vice President of Product Finance, Northwestern Mutual and Treasurer of Northwestern Mutual Wealth Management Company. |
| Phil J. Rinzel <br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1979 | Controller & Chief Accounting Officer | Since 2021 |
| Principal Occupation During Past 5 Years: Since 2016, Senior Director – Investment Accounting of Northwestern Mutual. | Principal Occupation During Past 5 Years: Since 2016, Senior Director – Investment Accounting of Northwestern Mutual. | Principal Occupation During Past 5 Years: Since 2016, Senior Director – Investment Accounting of Northwestern Mutual. |
| Michael J. Conmey <br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1980 | Chief Compliance Officer | Since 2020 |
| Principal Occupation During Past 5 Years: Vice President – Managed Investments Compliance of Northwestern Mutual and Chief Compliance Officer of Mason Street Advisors and Northwestern Mutual Investment Management Company since June 2020. Assistant General Counsel and Assistant Secretary of Northwestern Mutual from 2011 - 2020. | Principal Occupation During Past 5 Years: Vice President – Managed Investments Compliance of Northwestern Mutual and Chief Compliance Officer of Mason Street Advisors and Northwestern Mutual Investment Management Company since June 2020. Assistant General Counsel and Assistant Secretary of Northwestern Mutual from 2011 - 2020. | Principal Occupation During Past 5 Years: Vice President – Managed Investments Compliance of Northwestern Mutual and Chief Compliance Officer of Mason Street Advisors and Northwestern Mutual Investment Management Company since June 2020. Assistant General Counsel and Assistant Secretary of Northwestern Mutual from 2011 - 2020. |
| Lesli H. McLinden <br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1962 | Secretary | Since 2014 |
| Principal Occupation During Past 5 Years: Assistant General Counsel and Assistant Secretary of Northwestern Mutual since 2007. Secretary of Mason Street Advisors from 2015 to 2017 and Assistant Secretary since 2017. | Principal Occupation During Past 5 Years: Assistant General Counsel and Assistant Secretary of Northwestern Mutual since 2007. Secretary of Mason Street Advisors from 2015 to 2017 and Assistant Secretary since 2017. | Principal Occupation During Past 5 Years: Assistant General Counsel and Assistant Secretary of Northwestern Mutual since 2007. Secretary of Mason Street Advisors from 2015 to 2017 and Assistant Secretary since 2017. |

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**Director and Officer Information (unaudited)** 

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| | | |
|:---|:---|:---|
| Name, Address, and<br> Year of Birth | Position | Length of<br>Time Served |
| James E. Fleming<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1975 | Vice President - Investments | Since 2020 |
| Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015. | Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015. | Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015. |
| Rodney A. Schmucker<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1966 | Vice President - Investments | Since 2020 |
| Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015. | Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015. | Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015. |
| Brent G. Schutte<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1973 | Vice President - Investments | Since 2022 |
| Principal Occupation During Past 5 Years: Since 2015, Chief Investment Officer of Northwestern Mutual Wealth Management Company | Principal Occupation During Past 5 Years: Since 2015, Chief Investment Officer of Northwestern Mutual Wealth Management Company | Principal Occupation During Past 5 Years: Since 2015, Chief Investment Officer of Northwestern Mutual Wealth Management Company |
| Garrett D. Aird<br>720 East Wisconsin Avenue<br>Milwaukee, WI 53202<br>1978 | Vice President - Investments | Since 2022 |
| Principal Occupation During Past 5 Years: Since November 2021, Vice President – Investment Management & Research of Northwestern Mutual Wealth Management Company (NMWMC). From 2017 to November 2021, Senior Director – Research at NMWMC. Prior thereto, Assistant Director – Investments at NMWMC. | Principal Occupation During Past 5 Years: Since November 2021, Vice President – Investment Management & Research of Northwestern Mutual Wealth Management Company (NMWMC). From 2017 to November 2021, Senior Director – Research at NMWMC. Prior thereto, Assistant Director – Investments at NMWMC. | Principal Occupation During Past 5 Years: Since November 2021, Vice President – Investment Management & Research of Northwestern Mutual Wealth Management Company (NMWMC). From 2017 to November 2021, Senior Director – Research at NMWMC. Prior thereto, Assistant Director – Investments at NMWMC. |

---

<sup>5</sup>. Todd Jones served in the officer capacities noted during 2022. He resigned his officer positions with the Series Fund effective December 31, 2022.

<sup>6</sup>. Matthew Sullivan was elected as Vice President, Chief Financial Officer and Treasurer pursuant to a consent action of the Board of Directors of the Series Fund, effective January 1, 2023.

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**Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)** 

**Northwestern Mutual Series Fund, Inc.** 

**<u>Annual Contract Review Process</u>** 

Under Section 15(c) of the Investment Company Act of 1940, as amended (the "1940 Act"), contracts for investment advisory services are required to be reviewed, evaluated and approved by a majority of an investment company's independent directors each year. In addition, each investment company is required to disclose in its annual or semi-annual report, as applicable, the material factors and conclusions that formed the basis for the board's approval or renewal of any investment advisory agreements within the investment company's most recently completed fiscal half-year period.

At least annually, the Board of Directors (the "Board") of Northwestern Mutual Series Fund, Inc. (the "Series Fund") considers and votes upon the renewal of the investment sub-advisory agreements between Mason Street Advisors, LLC ("Mason Street Advisors") and each of the sub-advisers of those portfolios of the Series Fund (each, a "Portfolio" and collectively, the "Portfolios") for which Mason Street Advisors and the Board have appointed a sub-adviser. In order to afford the Board the opportunity to focus on a smaller number of relationships at any one meeting, the Board considers the annual continuation of the sub-advisory agreements on a staggered basis during the course of the year.

**<u>Board Approvals During the Six-Month Period Ended December 31, 2022</u>** 

At its August 25, 2022 meeting, the Board, including the Directors who are not "interested persons" (as that term is defined in the 1940 Act) of the Series Fund or Mason Street Advisors (the "Independent Directors" or "Directors"), unanimously approved the continuance of a (1) Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and American Century Investment Management, Inc. ("American Century"), relating to the Series Fund's Mid Cap Value, Large Company Value and Inflation Protection Portfolios, (2) Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust ("Delaware") relating to the Series Fund's Domestic Equity Portfolio, (3) Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Federated Investment Management Company ("Federated") relating to the Series Fund's High Yield Bond Portfolio, and a (4) Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Loomis, Sayles & Company, L.P. ("Loomis Sayles") relating to the Series Fund's Focused Appreciation Portfolio, together with an amendment thereto incorporating a sub-advisory fee reduction.

At its November 30, 2022 meeting, the Board, including the Independent Directors, unanimously approved the following Investment Sub-Advisory Agreements: (1) an Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and T. Rowe Price Investment Management, Inc. ("TRPIM") dated November 30, 2022, relating to the Small Cap Value Portfolio; (2) a Sixth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and T. Rowe Price Associates, Inc. ("TRPA") dated November 30, 2022, relating to the Equity Income, Growth Stock and Short-Term Bond Portfolios; (3) a Fourth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Pacific Investment Management Company LLC ("PIMCO") dated November 30, 2022, relating to the Long-Term U.S. Government Bond and Multi-Sector Bond Portfolios; (4) two Amended and Restated Investment Sub-Advisory Agreements between Mason Street Advisors and BlackRock Advisors, LLC ("BlackRock"), each dated November 30, 2022, relating to the Government Money Market and Index 500 Stock Portfolios, respectively; and (5) an Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Allspring Global Investments, LLC ("Allspring") dated November 30, 2022, relating to the Select Bond Portfolio. Each of the foregoing Investment Sub-Advisory Agreements approved by the Board at its November 30, 2022 meeting continued the existing sub-advisory contract relationship with the named sub-advisers. The existing Investment Sub-Advisory Agreements were amended and restated to reflect modifications to incorporate certain updated terms and conditions.

American Century, Delaware, Federated, Loomis Sayles, TRPIM, TRPA, Allspring, PIMCO and BlackRock are sometimes collectively referred to hereinafter as the "Sub-Advisers," and their respective sub-advised Portfolios are collectively referred to herein as the "Sub-Advised Portfolios." The respective Investment Sub-Advisory Agreements with the Sub-Advisers are collectively referred to herein as the "Sub-Advisory Agreements."

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**Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)** 

In determining whether to approve the continuance of the Sub-Advisory Agreements on behalf of the Series Fund, the Board requested and received detailed information from Mason Street Advisors and the Sub-Advisers in advance of each of the foregoing meetings to assist them in their evaluation, including information compiled by certain independent providers of evaluative data. With respect to the continuation of the Sub-Advisory Agreements, while particular focus was given to an evaluation of the services, performance, fees, costs, and certain other relevant information under such Agreements at the meeting at which their continuation was formally considered, the evaluation process with respect to the Sub-Advisers and the nature, extent and quality of the services they provide to the Sub-Advised Portfolios pursuant to the terms of the Sub-Advisory Agreements is an ongoing one. As a result, the Board's consideration of such services, and the performance, fees, costs and other relevant factors was informed by information provided and deliberations that occurred at other meetings throughout the year.

The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the continuance of the Sub-Advisory Agreements, and summarizing the legal standards governing the review and approval of these Agreements. The Independent Directors reviewed these standards with their counsel during the course of the meetings, including how these standards should be applied to the review of information relating to the Sub-Advisers under the Series Fund's manager of managers structure. During the course of their deliberations, the Independent Directors had the opportunity to meet privately without representatives of Mason Street Advisors or the Sub-Advisers present, and were represented throughout the process by legal counsel.

**<u>Continuation of the Sub-Advisory Agreements between Mason Street Advisors and Certain Sub-Advisors</u>** 

At its August 25, 2022 and November 30, 2022 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the Sub-Advisory Agreements. In connection with those meetings, the Directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about the Sub-Advisers during the course of those meetings, the Directors also had available for consideration each Sub-Adviser's Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from the Sub-Advisers designed to assist the Directors in fulfilling their responsibilities when considering the continuation of the Sub-Advisory Agreements. The Directors also had available Mason Street Advisors' Executive Summary and Overview regarding each of the Sub-Advisers, and other materials prepared by Mason Street Advisors. The materials contained detailed information on performance over multiple time periods, expenses, brokerage commissions, portfolio turnover, style consistency, key portfolio statistics and metrics, and other factors with respect to each of the Sub-Advised Portfolios. The materials also contained an analysis of the Sub-Advisers' responses to the compliance questions contained in the Section 15(c) Report and the observations of the Series Fund's Chief Compliance Officer regarding the compliance structure and practices of each of the Sub-Advisers. The Directors also considered their experience with and knowledge of the nature and quality of the services provided by the Sub-Advisers and their ongoing discussions with representatives of Mason Street Advisors, its affiliates and each Sub-Adviser.

The material factors and conclusions that formed the basis for the Board's approval of the continuance of each of the Sub-Advisory Agreements include those discussed below. No one particular factor was identified as determinative, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the Board. Further, different Directors may have placed greater weight on certain factors than did other Directors.

**Nature, Extent and Quality of Services.** In considering the nature, extent and quality of each Sub-Adviser's services the Directors reviewed each Sub-Adviser's financial strength, assets under management, and overall reputation. The Directors evaluated the investment strategies employed by each Sub-Adviser, as well as the personnel providing such services with respect to each Sub-Advised Portfolio. The Directors considered informational updates given by the portfolio managers, which included reports regarding how the Sub-Advised Portfolios were being positioned in the current market environment.

**274** 

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**Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)** 

The Directors also considered Mason Street Advisors' reports on due diligence visits and conference calls that had been conducted with certain of the Sub-Advisers. The Directors also considered information about each Sub-Adviser's ongoing operational capabilities in response to the COVID-19 pandemic and concluded that the Sub-Advisers retained the ability to continue to provide services in a remote work environment.

With respect to TRPA and TRPIM, the Directors considered the internal reorganization of TRPA which resulted in TRPIM, a wholly-owned subsidiary of TRPA, becoming Sub-Adviser to the Small Cap Value Portfolio. Specifically, the Directors considered representations from TRPA and TRPIM that no changes to the portfolio management team or other key investment personnel had occurred as a result of the reorganization. Additionally, they considered that the level and scope of services rendered by TRPIM, as well as the fees payable by MSA to TRPIM, had remained the same as the services rendered and fees paid previously by TRPA.

The Directors also considered and expressed satisfaction with each Sub-Adviser's investment philosophy and process and the scope of services provided by the Sub-Advisers. Consideration was also given to the Sub-Advisers' respective reputations and experience in providing investment management services and the performance of each Sub-Advised Portfolio. Based on their review of these factors, their discussions with the Sub-Advisers, and their experience with the services provided by the Sub-Advisers for their respective Sub-Advised Portfolios, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory Agreements, that they were satisfied with the nature, extent and quality of services, and the resources committed by each Sub-Adviser in providing those services, and were satisfied with the experience and capabilities of the Sub-Advisers and the personnel associated with the Sub-Advised Portfolios.

**Investment Performance.** The Directors reviewed the investment performance of each of the Sub-Advised Portfolios over a variety of time periods. In addition to reviewing the performance of each Sub-Advised Portfolio for both short-term and long-term periods, the Directors considered (i) a comparison of each Sub-Advised Portfolio's one-, three- and five-year (as applicable) performance to the returns of appropriate benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio's respective Morningstar and Lipper peer groups for the same periods, (ii) the Morningstar overall star rating and Lipper quintile rating for each Sub-Advised Portfolio and (iii) the Morningstar and the Lipper performance rankings for one-, three- and five-year time periods (as applicable). The Directors evaluated each Sub-Advised Portfolio's performance against these peer groups and industry benchmarks and indices, and viewed this information as providing an objective comparative benchmark against which they could assess the performance of the Sub-Advised Portfolios. The Directors further considered the performance of accounts managed in a similar manner by each of the Sub-Advisers and information from the Sub-Advisers regarding any significant differences in the performance of those accounts from that of the Sub-Advised Portfolios.

**275** 

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**Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)** 

for the recent six- and twelve-month periods, its performance was well ahead of the benchmark for most time periods. With respect to Loomis Sayles, the Directors acknowledged the challenged performance results of the Focused Appreciation Portfolio during recent periods, but balanced this against the Portfolio's very strong performance record over the longer-term, the benefits of providing downside protection, and the consistency of the Loomis Sayles investment process. With respect to Delaware, the Directors considered the strong performance of the Portfolio over the twelve-month period relative to the Russell 1000 Value Index, which outweighed prior earlier underperformance. The Directors also considered the Portfolio's strong since-inception performance record.

With respect to the Portfolios sub-advised by TRPA, the Directors considered the portfolio manager's comments about the reasons for the underperformance of the Growth Stock Portfolio. The Directors expressed no performance concerns with the Equity Income Portfolio or the Short-Term Bond Portfolio. With respect to TRPIM, the Directors considered the shorter-term performance challenges experienced by the Small Cap Value Portfolio, but balanced those concerns against the Portfolio's positive performance over the longer-term. With respect to PIMCO, the Directors considered the portfolio manager's comments about the reasons of the Multi-Sector Bond Portfolio underperformance over the one-year period, which was considered in conjunction with the Portfolio's positive performance over longer-term periods. The Directors expressed satisfaction and cited no concerns with the performance for the Portfolios sub-advised by Allspring and BlackRock.

In addition to performance information presented at the meeting, the Directors considered the performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically throughout the year. Generally speaking, while attentive to the short-term performance results because of the trend that such performance might signal, the Directors placed greater weight on longer-term performance. For the reasons summarized above, the Board concluded that, considering the investment performance within the context of its overall determinations regarding the Sub-Advisory Agreements, it was satisfied with the relative investment performance of the Sub-Advised Portfolios.

**Management Fees and Other Expenses.** The Directors evaluated the reasonableness of the management fees and total expenses paid by the Sub-Advised Portfolios under the Sub-Advisory Agreements. The Directors considered the actual and contractual fees paid by each Sub-Advised Portfolio. The Directors also considered the sub-advisory fees paid by Mason Street Advisors out of its management fee, including a comparison of those fees with fees charged by the respective Sub-Advisers for similarly managed accounts. In considering the level of management fees, the Directors also considered the size of the Sub-Advised Portfolios, expenses assumed by Mason Street Advisors, and the applicable expense limitation and/or fee waiver arrangements agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio.

As part of their evaluation, the Directors received and reviewed an independent analysis prepared by Broadridge of comparative expense data for each Sub-Advised Portfolio. Broadridge provided data as of December 31, 2021 comparing each Sub-Advised Portfolio's net and total expenses with those in a category of funds underlying variable insurance products. Categories were selected by Broadridge based upon having similar investment classifications, objectives, and asset allocations. The Directors considered the comparative data as a guide to help assess the reasonableness of each Sub-Advised Portfolio's net and total expense ratios. The Directors considered that the Broadridge expense rankings of the Mid Cap Value and Inflation Protection Portfolios sub-advised by American Century, the Domestic Equity Portfolio sub-advised by Delaware, the High Yield Bond Portfolio sub-advised by Federated, the Focused Appreciation Portfolio sub-advised by Loomis Sayles, the Short-Term Bond, Equity Income and Growth Stock Portfolios sub-advised by TRPA, the Select Bond Portfolio sub-advised by Allspring, the Index 500 Stock Portfolio sub-advised by BlackRock, and the Long-Term U. S. Government Bond Portfolio sub-advised by PIMCO were in the top Broadridge quartile (meaning lowest net expenses) of their respective categories. The Directors considered that the expense rankings of the Large Company Value Portfolio sub-advised by American Century, the Small Cap Value Portfolio sub-advised by TRPIM, and the Multi-Sector Bond Portfolio sub-advised by PIMCO were within the second quartile of their respective categories. The Directors finally considered that the expense rankings of the Government Money Market Portfolio sub-advised by BlackRock were within the third quartile of its respective category.

Based on their review of the above information and other factors deemed relevant by the Directors, the Board concluded that the management fees and total operating expenses of each of the Sub-Advised Portfolios were reasonable in relation to the nature, scope and quality of services provided and the performance of the Sub-Advised Portfolios over time and the expense limitation and fee waivers that are in place.

**276** 

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**Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)** 

**Costs and Profitability.** The Directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors from the Sub-Advised Portfolios. The Directors considered Mason Street Advisors' fee and expense analysis regarding fees, expenses and profit margins related to the Sub-Advised Portfolios on a per Portfolio basis, and Mason Street Advisors' allocation methodology with respect to expenses. The profitability information presented for the Directors' consideration was supplemented by the aforementioned information regarding the expense-based ranking of each Sub-Advised Portfolio within the Portfolio's respective Broadridge peer group category. The Directors recognized that the sub-advisory fees were the result of arm's-length negotiations between Mason Street Advisors and such Sub-Advisers. The Directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as the Sub-Advisers, and that it is difficult to make comparisons of profitability among investment advisers because comparative information is not generally publicly available and, when available, such information may have been developed using a variety of assumptions and other factors. The Directors concluded that they had received sufficient information to evaluate the issues related to costs and profitability.

The Directors considered certain fall-out benefits that may be realized by Mason Street Advisors and its affiliates due to their relationship with the Sub-Advised Portfolios, including the participation of mutual fund families advised by certain Sub-Advisers to the Sub-Advised Portfolios on the brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in mutual fund partner programs offered by such brokerage affiliate, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors. The Directors reviewed information concerning certain of the Sub-Advisers' soft dollar arrangements and any other benefits to the Sub-Advisers arising from their relationships with the Sub-Advised Portfolios. Based on their review, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory Agreements, that they were satisfied that the fees paid by each of the Sub-Advised Portfolios, and the profits realized by Mason Street Advisors and the Sub-Advisers due to their relationship with the Sub-Advised Portfolios, were not excessive.

**Economies of Scale.** The Directors considered whether each Sub-Advised Portfolio's expense structure permitted economies of scale to be shared with the Sub-Advised Portfolio's investors. The Directors considered the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios, as applicable, and the extent to which each Sub-Advised Portfolio may benefit from economies of scale through those breakpoints. The Directors took into account the expense limitation arrangements in place for the Mid Cap Value, Large Company Value, Inflation Protection, Domestic Equity, Focused Appreciation, Short-Term Bond, Small Cap Value, Equity Income, Long-Term U.S. Government Bond and Multi-Sector Bond Portfolios, and the fee waiver arrangements in place with respect to the Mid Cap Value, Large Company Value, Inflation Protection, Domestic Equity, High Yield Bond, Focused Appreciation, Short-Term Bond, Small Cap Value, Equity Income, Growth Stock, Select Bond, Long-Term U.S. Government Bond, Multi-Sector Bond, Government Money Market, and Index 500 Stock Portfolios. The Directors also considered the total assets and expense ratio of each Sub-Advised Portfolio. Based on this information, the Board concluded, within the context of its overall determinations regarding the Sub-Advisory Agreements, that each Sub-Advised Portfolio's fee structure reflected appropriate economies of scale for the benefit of such Portfolio's investors.

**Other Information.** The Directors were presented with other information intended to assist them in their consideration of the continuation of the Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Sub-Advised Portfolios and information regarding Mason Street Advisors' and the Sub-Advisers' brokerage practices and commissions. The Directors took into consideration reports from Mason Street Advisors on its review of the respective compliance programs of the Sub-Advisers, including any recent compliance exceptions noted and the applicable Sub-Adviser's response. Also considered were key affiliations and business relationships between the Sub-Advisers and their affiliates and Mason Street Advisors' parent company and affiliates. Their review further included information relating to each Sub-Adviser's risk management infrastructure, pending or recent litigation or regulatory actions to which an Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser's responses to those actions. The Directors also considered

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**Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)** 

information regarding each Sub-Adviser's code of ethics, approach to portfolio manager compensation, succession planning, as well as information supplied by the Sub-Advisers related to their cybersecurity programs and business continuity plans, and other matters they deemed relevant.

**Conclusions of the Directors.** Based on a consideration of all information deemed relevant in its totality, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of their reasonable business judgment concluded that the terms of the Sub-Advisory Agreements were fair and reasonable and approved the continuation of each Agreement for another year as being in the best interests of each Portfolio.

**278** 

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##### [**Table of Contents**](#toc)
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 2.** **Code of Ethics** <br>

As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer and principal accounting officer or controller.

**Item 3.** **Audit Committee Financial Expert** <br>

The Registrant's board of directors has determined that the Registrant has two audit committee financial experts serving on its audit committee. The names of the audit committee financial experts are Gail L. Hanson and William Gerber. Each of the audit committee financial experts is independent.

**Item 4.** **Principal Accountant Fees and Services** <br>

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| | | |
|:---|:---|:---|
| (a) Audit Fees |  |  |
|  Audit Fees and Expenses of Registrant | <u>2021</u> | <u>2022</u> |
|  | $811450 | $852020 |
| (b) Audit Related Fees |  |  |
|  Audit-Related Fees and Expenses of Registrant | <u>2021</u> | <u>2022</u> |
|  | $0 | $0 |
| (c) Tax Fees | <u>2021</u> | <u>2022</u> |
|  | $82440 | $88640 |
|  Review of dividend declarations |  |  |
|  Review of excise tax calculations |  |  |
|  Non-U.S. tax compliance |  |  |

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| | | |
|:---|:---|:---|
| (d) All Other Fees | <u>2021</u> | <u>2022</u> |
|  | $0 | $0 |

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(e)(1) It is the audit committee's policy to pre-approve all audit and non-audit service engagements for the Registrant; and any non-audit service engagement of the Registrant's auditor by (1) the Registrant's investment adviser and (2) any other entity in a control relationship with the investment adviser that provides ongoing services to the Registrant if, in each of (1) and (2) above, the non-audit service engagement relates directly to the operations and financial reporting of the Registrant. (2) Not applicable.

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| | | |
|:---|:---|:---|
| (f) Not applicable.<br>|  |  |
| (g) Aggregate non-audit fees of Registrant, Registrant's investment adviser, and related service providers | <u>2021</u> | <u>2022</u> |
|  | $219033 | $201640 |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) The Registrant's audit committee has considered whether the auditor's provision of non-audit services to the Registrant's investment adviser and related service providers is compatible with the auditor's independence.

**Item 5.** **Audit Committee of Listed Registrants** <br>

Not applicable.

**Item 6.** **Investments** <br>

Full Schedule of Investments is included in Item 1.

**Item 7.** **Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies** <br>

Not applicable.

**Item 8.** **Portfolio Managers of Closed-End Management Investment Companies** <br>

Not applicable.

**Item 9.** **Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers** <br>

Not applicable.

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**Item 10.** **Submission of Matters to a Vote of Security Holders** <br>

Not applicable.

**Item 11.** **Controls and Procedures** <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Registrant's Principal Executive Officer and Principal Financial Officer have evaluated the Registrant's disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this filing was recorded, processed, summarized, and reported timely.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) There was no change in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

**Item 12.** **Disclosure of Securities Lending Activities for Closed-End Management Investment Companies** <br>

Not applicable.

**Item 13.** **Exhibits** <br>

[(a)(1) The code of ethics referred to in the response to Item 2 above is attached as exhibit EX-99.12(a)(1).](d422955dex9913a1.htm)

[(a)(2) Separate certifications for the Registrant's principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as exhibit](d422955dex99cert.htm)

EX-99.CERT.

(a)(3) Not applicable.

(a)(4) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[(b) Separate certifications for the Registrant's principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, are attached as exhibit EX-99.906CERT. The certifications furnished pursuant to this paragraph are not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.](d422955dex99906cert.htm)

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

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| | |
|:---|:---|
| NORTHWESTERN MUTUAL SERIES FUND, INC. | NORTHWESTERN MUTUAL SERIES FUND, INC. |
| By: | <u>/s/ Paul A. Mikelson</u> |
|  | Paul A. Mikelson, President |
| Date: | February 15, 2023 |

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Pursuant to the requirements of the Securities and Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

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| | |
|:---|:---|
| By: | <u>/s/ Paul A. Mikelson</u> <u> </u> |
|  | Paul A. Mikelson, President |
| Date: | February 15, 2023 |
| By: | <u>/s/ Matthew P. Sullivan</u> |
|  | Matthew P. Sullivan, Vice President, |
|  | Chief Financial Officer and Treasurer |
| Date: | February 15, 2023 |

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## Exhibit 99.13

![LOGO](g422955sp6.jpg)

**Code of Ethics for Principal Executive** 

**and Senior Financial Officers** 

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| | |
|:---|:---|
| &nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;**Applicability: All NMSF Portfolios**<br>&nbsp;&nbsp;&nbsp; | **Last Amended Date: August 6, 2014**<br>**(Exhibit A is amended and dated from time to time in the event of a change in Covered Officers)**<br>|
| &nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;**Regulatory Authority:** | **Owner: Chief Compliance Officer** |
| &nbsp;&nbsp;&nbsp;&nbsp; <br> &nbsp;&nbsp;&nbsp;&nbsp;**Section 406 of the Sarbanes-Oxley Act** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> **Compliance Contact: EC-INVCOMPLIANCE@northwesternmutual.com** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> **Compliance Contact: EC-INVCOMPLIANCE@northwesternmutual.com** |

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I. Covered Officers/Purpose of the Code

This code of ethics ("Code") for the Northwestern Mutual Series Fund, Inc. (the "Fund") applies to the Fund's Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the "Covered Officers" each of whom are set forth in Exhibit A) for the purpose of promoting:

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| | |
|:---|:---|
| ![LOGO](g422955dsp00303a.jpg) | honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
| ![LOGO](g422955dsp00303a.jpg) | full, fair, accurate, timely and understandable disclosure in reports and documents that the Fund files with, or submit to, the Securities and Exchange Commission ("SEC") and in other public communications made by the Fund; |
| ![LOGO](g422955dsp00303a.jpg) | compliance with applicable laws and governmental rules and regulations; |
| ![LOGO](g422955dsp00303a.jpg) | the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and |
| ![LOGO](g422955dsp00303a.jpg) | accountability for adherence to the Code. |

---

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

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II. Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview

A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fund.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 ("Investment Company Act") and the Investment Advisers Act of 1940 ("Investment Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Fund because of their status as "affiliated persons" of the Fund. The compliance programs and procedures for the Fund and the Fund's investment adviser, Mason Street Advisors, LLC ("MSA") are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fund and MSA and/or the Fund and the Fund's administrator, The Northwestern Mutual Life Insurance Company ("Northwestern Mutual"), of which the Covered Officers are also officers, directors, or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties be involved in establishing policies and implementing decisions that will have different effects on MSA, Northwestern Mutual and the Fund. The participation of the Covered Officers in such activities is inherent in the contractual relationships between these parties and is consistent with the performance by the Covered Officers of their duties as officers of the Fund. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Fund.

Each Covered Officer must:

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| | |
|:---|:---|
| <br> ![LOGO](g422955dsp00303a.jpg)  | not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Fund whereby the Covered Officer would benefit personally to the detriment of the Fund; and |

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| | |
|:---|:---|
| <br> ![LOGO](g422955dsp00303a.jpg)  | not cause the Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit the Fund. |

---

There are some situations that, depending upon the circumstances, have the potential to create a conflict of interest for the Covered Officer. Examples of these situations may include<sup>1</sup>:

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| | |
|:---|:---|
| <br> ![LOGO](g422955dsp00303a.jpg)  | service as a director on the board of any public or private company; |
| ![LOGO](g422955dsp00303a.jpg) | the receipt of any gift of more than nominal value; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | the receipt of any entertainment from any company with which the Fund has current or prospective business dealings unless such entertainment is business-related, is not lavish, appropriate as to time and place, and not so frequent as to raise any question of impropriety; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | any ownership interest in, or any consulting, employment or director relationship with, any of the Fund's service providers, other than its investment adviser, administrator or any affiliated person thereof; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership, or holding Fund shares. |

---

Questions regarding whether a particular situation may potentially create a conflict of interest for the Covered Officer prohibited under this Code or otherwise may be discussed with the Fund's Chief Compliance Officer and/or the Law Department of Northwestern Mutual ("Law Department"), which provides legal services to the Fund.

III. Disclosure and Compliance

---

| | |
|:---|:---|
| <br> ![LOGO](g422955dsp00303a.jpg)  | each Covered Officer should familiarize himself/herself with the disclosure requirements generally applicable to the Fund; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Fund to others, whether within or outside the Fund, including to the Fund's directors and auditors, and to governmental regulators and self-regulatory organizations; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | each Covered Officer should, to the extent appropriate within his/her area of responsibility, consult with other officers and employees of the Fund and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fund files with, or submit to, the SEC and in other public communications made by the Fund; and |
| <br> ![LOGO](g422955dsp00303a.jpg)  | it is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. |

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<u> </u>

<sup>1</sup> Any activity or relationship that would present a conflict for a Covered Officer would likely also present a conflict for the Covered Officer if a member of the Covered Officer's family engages in such an activity or has such a relationship.

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IV. Reporting and Accountability

Each Covered Officer must:

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| | |
|:---|:---|
| <br> ![LOGO](g422955dsp00303a.jpg)  | upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer) and annually thereafter, affirm in writing to the Board of Directors of the Fund ("Board") that he/she has received, read, understood and has complied with the requirements of the Code (see Acknowledgement Form at Appendix B); |
| ![LOGO](g422955dsp00303a.jpg) | report at least annually any affiliations or other relationships related to conflicts of interest; |
| ![LOGO](g422955dsp00303a.jpg) | notify the Fund's Chief Compliance Officer promptly if he/she knows of any violation of this Code. Failure to do so is itself a violation of this Code; and |
| ![LOGO](g422955dsp00303a.jpg) | not retaliate against any other Covered Officer or any employee of the Fund or their affiliated persons for reports of potential violations of this Code, any other code applicable to Fund personnel or law that are made in good faith. |

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The Fund's Chief Compliance Officer is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation.<sup>2</sup> However, any approvals or waivers<sup>3</sup> sought by the Principal Executive Officer will be considered by the Audit Committee of the Board (the "Committee").

The Fund will follow these procedures in investigating and enforcing this Code:

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| | |
|:---|:---|
| <br> ![LOGO](g422955dsp00303a.jpg)  | the Fund's Chief Compliance Officer will take all appropriate action to investigate any potential violations reported to him; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | if, after such investigation, the Fund's Chief Compliance Officer believes that no violation has occurred, the Chief Compliance Officer is not required to take any further action; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | any matter that the Fund's Chief Compliance Officer believes is a violation will be reported to the Committee; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of Northwestern Mutual, MSA, or their respective boards; or a recommendation to dismiss the Covered Officer; |
| <br> ![LOGO](g422955dsp00303a.jpg)  | the Committee will be responsible for granting waivers, as appropriate; and |
| ![LOGO](g422955dsp00303a.jpg) | any changes to or waivers (including implicit waivers<sup>4</sup>) of this Code will, to the extent required, be disclosed as provided by SEC rules. |

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<u> </u>

<sup>2</sup> The Fund's Chief Compliance Officer is authorized to consult, as appropriate, with Northwestern Mutual's Law Department and/or the chair of the Fund's Audit Committee and is encouraged to do so.

<sup>3</sup> Item 2 of Form N-CSR defines "waiver" as "the approval by the registrant of a material departure from a provision of the code of ethics."

<sup>4</sup> Item 2 of Form N-CSR defines "implicit waiver" as "the registrant's failure to take action within a reasonable period of time regarding a material departure from a provision of the code of ethics that has been made known to an executive officer … of the registrant."

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V. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Fund for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Fund, Northwestern Mutual, MSA or other service providers govern the behavior or activities of the Covered Officers who are subject to this Code, such other policies and procedures continue to be applicable to such Covered Officers. The Fund's and their investment adviser's codes of ethics under Rule 17j-1 under the Investment Company Act and the adviser's more detailed policies and procedures set forth in MSA's Policies and Procedures Manual are separate requirements applying to the Covered Officers and others, and are not part of this Code.

VI. Amendments

Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of independent directors.

VII. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than (i) the Fund's Board or appropriate officers or (ii) appropriate employees, officers or directors of Northwestern Mutual or MSA.

VIII. Internal Use

The Code is intended solely for the internal use by the Fund and does not constitute an admission, by or on behalf of the Fund, as to any fact, circumstance, or legal conclusion.

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**Exhibit A** 

**Persons Covered by this Code of Ethics:** 

Paul A. Mikelson

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| | |
|:---|:---|
| ![LOGO](g422955dsp00303a.jpg) | President of the Northwestern Mutual Series Fund, Inc. (Principal Executive Officer)  |

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Matt Sullivan

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| | |
|:---|:---|
| ![LOGO](g422955dsp00303a.jpg) | Vice President, Chief Financial Officer and Treasurer of the Northwestern Mutual Series Fund, Inc. (Principal Financial Officer)  |

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Phil J. Rinzel

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| | |
|:---|:---|
| ![LOGO](g422955dsp00303a.jpg) | Controller and Chief Accounting Officer of the Northwestern Mutual Series Fund, Inc. (Principal Accounting Officer)  |

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This Exhibit A was last amended effective January 1, 2023

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**Exhibit B** 

**NORTHWESTERN MUTUAL SERIES FUND, INC.** 

**CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND** 

**SENIOR FINANCIAL OFFICERS** 

**ACKNOWLEDGEMENT FORM** 

I hereby acknowledge receipt of a copy of the Code of Ethics for Principal Executive and Senior Financial Officers for the Northwestern Mutual Series Fund, Inc. (the "Code"), which I have read and understood. I have and will comply fully with all provisions of the Code to the extent they apply to me during the period of my employment or association with the Fund.

I further understand and acknowledge that any violation of the Code may subject me to disciplinary action, up to and including termination of employment or association.

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| | |
|:---|:---|
| Print Name |  |
|  | <u> </u> |
| Signature | Date |

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## Ex-99.Cert

**CERTIFICATIONS** 

I, Paul A. Mikelson, certify that:

1. I have reviewed this report on Form N-CSR of Northwestern Mutual Series
Fund, Inc.;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and
the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

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| |
|:---|
|  Date: February 15, 2023 |
| <u>/s/ Paul A. Mikelson</u> |
|  Paul A. Mikelson, President |

---

------

**CERTIFICATIONS** 

I, Matthew P. Sullivan, certify that:

1. I have reviewed this report on Form N-CSR of Northwestern Mutual Series
Fund, Inc.;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and
the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

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| |
|:---|
|  Date: February 15, 2023 |
| <u>/s/ Matthew P. Sullivan</u> |
|  Matthew P. Sullivan, Vice President, |
|  Chief Financial Officer and Treasurer |

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## Exhibit 99.906

**Item 13(b)** 

**Exhibit to Form N-CSR** 

**Section 906 Certification** 

**Registrant Name: Northwestern Mutual Series Fund, Inc.** 

**File Number: 811-3990** 

**Registrant CIK Number: 0000742212** 

Solely for purposes of Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. Section 1350), I, Paul A. Mikelson, certify that to my knowledge, the Annual Report to Shareholders for the fiscal year ended December 31, 2022 included in this Form N-CSR filing (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended, and the information contained in the Report fairly represents, in all material respects, the financial condition and results of operations of Northwestern Mutual Series Fund, Inc.

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| | |
|:---|:---|
| February 15, 2023 | <u>/s/ Paul A. Mikelson</u> |
|  | Paul A. Mikelson, President |

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**A signed original of this written statement required by Section 906 has been provided to Northwestern Mutual Series Fund, Inc. and will be retained by Northwestern Mutual Series Fund, Inc. and furnished to the Securities and Exchange Commission or its staff upon request.**

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**Item 13(b)** 

**Exhibit to Form N-CSR** 

**Section 906 Certification** 

**Registrant Name: Northwestern Mutual Series Fund, Inc.** 

**File Number: 811-3990** 

**Registrant CIK Number: 0000742212** 

Solely for purposes of Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. Section 1350), I, Matthew P. Sullivan, certify that to my knowledge, the Annual Report to Shareholders for the fiscal year ended December 31, 2022 included in this Form N-CSR filing (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended, and the information contained in the Report fairly represents, in all material respects, the financial condition and results of operations of Northwestern Mutual Series Fund, Inc.

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| | |
|:---|:---|
|  February 15, 2023 | <u>/s/ Matthew P. Sullivan</u> |
|  | Matthew P. Sullivan, Vice President, |
|  | Chief Financial Officer and |
|  | Treasurer |

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**A signed original of this written statement required by Section 906 has been provided to Northwestern Mutual Series Fund, Inc. and will be retained by Northwestern Mutual Series Fund, Inc. and furnished to the Securities and Exchange Commission or its staff upon request.**