Northwestern Mutual Series Fund N-CSR Certified annual shareholder report (management investment company)

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)

Barbara E. Courtney, 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, 2012

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.

Item 1. Reports to Stockholders

[Attached EDGARIZED ANNUAL REPORT]

Annual Report December 31, 2012

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering 28 Portfolios

· 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

· 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

· Commodities Return Strategy Portfolio

· Balanced Portfolio

· Asset Allocation Portfolio

Letter to Clients

December 31, 2012

At this time last year, we shared our views with contract holders about markets being dominated by macroeconomic themes, as opposed to individual, company specific factors. The macroeconomic landscape led to “risk on/risk off” trades and sharp volatility. A similar market environment was again the primary story of 2012, as markets continued to react to an uncertain economic outlook. Risk aversion in markets rose considerably over the summer of 2012 as the economic outlook dimmed, declining later in the year upon the announcements of additional stimulus from the world’s central banks. Measuring returns from the beginning to the end of the year, riskier assets generally outperformed their less risky counterparts, which was a notable divergence from 2011 market performance. For example, international markets outperformed the U.S., as the European Union took additional steps toward financial reform and economic growth stabilized in the developing world.

In the United States, investors’ preference for riskier assets was also evident, as all of the major U.S. equity indices posted double-digit returns. Mid-sized companies, as measured by the S&P MidCap 400^® Index, led the rally, followed by the S&P SmallCap 600^® Index and the S&P 500^® Index of larger companies.

Similarly, within fixed income markets, high yield corporate bonds rallied along with other credit sensitive bonds. Within the universe of corporate debt, lower quality bonds generally outperformed higher quality, investment grade debt. Bonds that offered more stability and lower yields—Treasurys and mortgage-backed securities—lagged the corporate bond market while posting solid returns.

At a high level, markets responded favorably to the coordinated efforts of policy makers to stimulate the global economy. However, the economy continued to grow at a relatively slow pace with high unemployment. In our view, the optimism that markets expressed during 2012 was somewhat disconnected with the long-term outlook for global growth. Unanswered questions regarding growth rates and debt levels in the developed world lingered despite the robust market performance. In our opinion, the biggest concern for financial markets is whether developed countries across the globe will have the ability to grow their way out of debt without the help of economic and financial stimulus.

For all that was uncertain, we found some reasons for optimism. Profit margins on average hit all time highs, while companies continued to hold record amounts of cash on comparatively healthy balance sheets. How corporations decide to utilize these resources is likely to be an important influence on the economy at this point in the business cycle. With some clarity in economic policy, a broad-based move toward capital spending and infrastructure projects could increase economic growth.

Given all of the economic crosscurrents and market volatility, we have a somewhat cautious outlook going into 2013, as we believe that slow economic growth is likely to persist. We also think that the public and private sectors will continue to grapple with policy decisions that could shape the investment landscape for many years.

Despite all of the economic challenges that we have seen over the last several years, we continue to believe that spreading investment risk across many different asset classes can act as an implicit hedge against uncertainty.

While markets remain relatively unpredictable, investors still have control over determining their goals through careful financial planning and saving for the future. To reach your important financial targets, we would encourage you to work with a financial professional to develop a plan consistent with your risk tolerance, goals, and other wealth and life cycle considerations.

R. David Ells, CFA

President of Northwestern Mutual Series Fund, Inc.

Managing Director of Mason Street Advisors, LLC

Northwestern Mutual Series Fund, Inc.

Table of Contents

Expense Examples	i
Series Fund Overviews and Schedules of Investments:
Growth Stock Portfolio	1
Focused Appreciation Portfolio	5
Large Cap Core Stock Portfolio	8
Large Cap Blend Portfolio	12
Index 500 Stock Portfolio	15
Large Company Value Portfolio	22
Domestic Equity Portfolio	27
Equity Income Portfolio	30
Mid Cap Growth Stock Portfolio	35
Index 400 Stock Portfolio	39
Mid Cap Value Portfolio	45
Small Cap Growth Stock Portfolio	50
Index 600 Stock Portfolio	54
Small Cap Value Portfolio	62
International Growth Portfolio	66
Research International Core Portfolio	70
International Equity Portfolio	76
Emerging Markets Equity Portfolio	81
Money Market Portfolio	86
Short-Term Bond Portfolio	90
Select Bond Portfolio	97
Long-Term U.S. Government Bond Portfolio	112
Inflation Protection Portfolio	119
High Yield Bond Portfolio	129
Multi-Sector Bond Portfolio	140
Commodities Return Strategy Portfolio	161
Balanced Portfolio	165
Asset Allocation Portfolio	189
Benchmark Definitions	211
Statements of Assets and Liabilities	214
Consolidated Statement of Assets and Liabilities (Commodities Return Strategy Portfolio)	218
Statements of Operations	220
Consolidated Statement of Operations (Commodities Return Strategy Portfolio)	224
Statements of Changes in Net Assets	226
Consolidated Statement of Changes in Net Assets (Commodities Return Strategy Portfolio)	234
Statement of Cash Flows	235
Financial Highlights	236
Notes to Financial Statements	244
Report of Independent Registered Public Accounting Firm	265
Proxy Voting and Portfolio Holdings	266
Director and Officer Information	267
Approval and Continuance of Investment Sub-Advisory Agreements	270

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.

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.

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, 2012 to December 31, 2012).

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 July 1, 2012		Ending Account Value December 31, 2012		Expenses Paid During Period July 1, 2012 to December 31, 2012*		Annualized Expense Ratio
Growth Stock Portfolio
Actual		$1,000.00		$1,032.55		$2.30		0.45	%
Hypothetical (5% return before expenses)		1,000.00		1,022.87		2.29		0.45
Focused Appreciation Portfolio
Actual		1,000.00		1,057.83		3.88		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.37		3.81		0.75
Large Cap Core Stock Portfolio
Actual		1,000.00		1,044.00		2.41		0.47
Hypothetical (5% return before expenses)		1,000.00		1,022.77		2.39		0.47
Large Cap Blend Portfolio
Actual		1,000.00		1,088.71		4.46		0.85
Hypothetical (5% return before expenses)		1,000.00		1,020.86		4.32		0.85
Index 500 Stock Portfolio
Actual		1,000.00		1,058.42		1.14		0.22
Hypothetical (5% return before expenses)		1,000.00		1,024.03		1.12		0.22

i Expense Examples

Expense Examples (unaudited)

	Beginning Account Value July 1, 2012		Ending Account Value December 31, 2012		Expenses Paid During Period July 1, 2012 to December 31, 2012*		Annualized Expense Ratio
Large Company Value Portfolio
Actual		$1,000.00		$1,076.72		$4.18		0.80	%
Hypothetical (5% return before expenses)		1,000.00		1,021.11		4.06		0.80
Domestic Equity Portfolio
Actual		1,000.00		1,088.59		3.10		0.59
Hypothetical (5% return before expenses)		1,000.00		1,022.17		3.00		0.59
Equity Income Portfolio
Actual		1,000.00		1,082.92		3.61		0.69
Hypothetical (5% return before expenses)		1,000.00		1,021.67		3.51		0.69
Mid Cap Growth Stock Portfolio
Actual		1,000.00		1,052.89		2.73		0.53
Hypothetical (5% return before expenses)		1,000.00		1,022.47		2.69		0.53
Index 400 Stock Portfolio
Actual		1,000.00		1,090.90		1.52		0.29
Hypothetical (5% return before expenses)		1,000.00		1,023.68		1.48		0.29
Mid Cap Value Portfolio
Actual		1,000.00		1,087.05		4.98		0.95
Hypothetical (5% return before expenses)		1,000.00		1,020.36		4.82		0.95
Small Cap Growth Stock Portfolio
Actual		1,000.00		1,027.85		3.11		0.61
Hypothetical (5% return before expenses)		1,000.00		1,022.07		3.10		0.61
Index 600 Stock Portfolio
Actual		1,000.00		1,075.51		1.77		0.34
Hypothetical (5% return before expenses)		1,000.00		1,023.43		1.73		0.34
Small Cap Value Portfolio
Actual		1,000.00		1,103.14		4.76		0.90
Hypothetical (5% return before expenses)		1,000.00		1,020.61		4.57		0.90
International Growth Portfolio
Actual		1,000.00		1,147.81		4.37		0.81
Hypothetical (5% return before expenses)		1,000.00		1,021.06		4.12		0.81
Research International Core Portfolio
Actual		1,000.00		1,128.45		5.83		1.09
Hypothetical (5% return before expenses)		1,000.00		1,019.66		5.53		1.09
International Equity Portfolio
Actual		1,000.00		1,172.63		3.77		0.69
Hypothetical (5% return before expenses)		1,000.00		1,021.67		3.51		0.69

Expense Examples ii

Expense Examples (unaudited)

	Beginning Account Value July 1, 2012		Ending Account Value December 31, 2012		Expenses Paid During Period July 1, 2012 to December 31, 2012*		Annualized Expense Ratio
Emerging Markets Equity Portfolio
Actual		$1,000.00		$1,125.23		$7.85		1.47	%
Hypothetical (5% return before expenses)		1,000.00		1,017.75		7.46		1.47
Money Market Portfolio
Actual		1,000.00		1,000.39		0.85		0.17
Hypothetical (5% return before expenses)		1,000.00		1,024.28		0.87		0.17
Short-Term Bond Portfolio
Actual		1,000.00		1,010.73		2.22		0.44
Hypothetical (5% return before expenses)		1,000.00		1,022.92		2.24		0.44
Select Bond Portfolio
Actual		1,000.00		1,019.20		1.62		0.32
Hypothetical (5% return before expenses)		1,000.00		1,023.53		1.63		0.32
Long-Term U.S. Government Bond Portfolio
Actual		1,000.00		994.50		3.47		0.69
Hypothetical (5% return before expenses)		1,000.00		1,021.42		3.52		0.69
Inflation Protection Portfolio
Actual		1,000.00		1,032.30		3.32		0.65
Hypothetical (5% return before expenses)		1,000.00		1,021.87		3.30		0.65
High Yield Bond Portfolio
Actual		1,000.00		1,071.81		2.55		0.49
Hypothetical (5% return before expenses)		1,000.00		1,022.67		2.49		0.49
Multi-Sector Bond Portfolio
Actual		1,000.00		1,073.52		4.59		0.88
Hypothetical (5% return before expenses)		1,000.00		1,020.71		4.47		0.88
Commodities Return Strategy Portfolio
Actual		1,000.00		1,024.70		4.63		0.91
Hypothetical (5% return before expenses)		1,000.00		1,020.33		4.62		0.91
Balanced Portfolio
Actual		1,000.00		1,047.22		1.54		0.30
Hypothetical (5% return before expenses)		1,000.00		1,023.63		1.53		0.30
Asset Allocation Portfolio
Actual		1,000.00		1,054.46		2.89		0.56
Hypothetical (5% return before expenses)		1,000.00		1,022.32		2.85		0.56

* Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

iii Expense Examples

Growth Stock Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Current income is a secondary objective.	Invest in well-established companies with above average potential for earnings growth.	$534 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Growth Stock Portfolio (the “Portfolio”). Normally, the Portfolio invests in the equity securities of well established, medium and large capitalization companies that are selected for their above average earnings growth potential, with an emphasis on companies that have strong financial characteristics. In evaluating individual companies, the Portfolio considers factors such as the company management team, product outlook, competitive position, global exposure, financial characteristics and valuation.

Market Overview

Equity markets finished the year with solid gains despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year.

As measured by the relevant Russell Indices, growth-oriented stocks posted double-digit returns, but trailed value shares, in part due to the volatility of growth expectations. Growth investors base investments on evaluating the future growth opportunities of more expensive, rapid growth companies. The economic environment added to concerns about the growth that these types of companies could experience going forward.

Portfolio Results

The Growth Stock Portfolio returned 12.94% for the twelve months ended December 31, 2012. By comparison, the Russell 1000^® Growth Index (the “Index”) returned 15.26%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio trailed the 16.00% average return of its Large Cap Growth Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

The Portfolio’s underperformance relative to the Index was largely attributable to stock selection in the Healthcare and Energy sectors. In the Healthcare space, the Portfolio’s position in Express Scripts was a negative contributor. The company faced difficulty managing its growth plans, as markets became somewhat concerned with its long-term growth potential, particularly after it acquired MedCo. The Portfolio’s performance was also hurt by Allergan, as the company missed its high growth targets which led to underperformance relative to slower growth large pharmaceutical companies. This positioning hurt performance relative to the Index. The Portfolio did not hold Amgen or Regeneron, as their paths to sustainable, long-term growth were unclear to the portfolio managers. Both Index stocks participated in the biotechnology rally, adding return to the Index, and in turn, detracting from the Portfolio’s relative results.

The Portfolio’s holdings in Energy lagged as a result of holdings in the equipment and services and oil, gas and consumable fuels industries. National Oilwell Varco, Inc. was a stock that we favored for its strong exposure to offshore drilling. However, the company made acquisitions unrelated to its core business and the stock declined during 2012. Similarly, the portfolio managers felt Weatherford International, Ltd. had turnaround growth potential, but its shares declined as the company struggled to execute on its plans. In the oil, gas & consumable fuels industry, Portfolio holdings in Occidental Petroleum Corp., Anadarko Petroleum Corp., and Concho Resources, Inc., hurt performance compared with the Index. Occidental Petroleum was the most significant detractor, as the stock’s price sank on market concerns about returns on capital due to higher than expected production costs.

Shifting to positive contributors to relative results, the Portfolio’s emphasis on holdings in some higher quality banks in the Financials sector helped performance. Picks in banks, such as J.P. Morgan and Chase & Co. and Wells Fargo & Co. worked well for the Portfolio. Cellular tower operator American Tower also did well thanks to growing demand for telecommunication infrastructure needed to support new, data-intensive smartphones. In the beverages industry, the Portfolio benefited from seeking growth in a mid-sized, faster growing company (Monster Beverage Corp.), while deemphasizing the slower growth, household names (PepsiCo Inc. and Coca-Cola Co.).

Portfolio Manager Outlook

We believe that the current environment of slow global growth and heightened volatility is likely to persist in 2013. Early in the year, the economy could benefit from capital spending decisions that companies have delayed due to economic and legislative uncertainty. The pace of global growth will largely depend upon China. If China improves, Europe is likely to follow, as Chinese consumers are a large source of demand for European exports. The cyclical growth stocks in the Portfolio may benefit from this theme.

Growth Stock Portfolio 1

Growth Stock Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
Growth Stock Portfolio		12.94%		0.99%		5.56%
Russell 1000® Growth Index		15.26%		3.12%		7.52%
Lipper® Variable Insurance Products (VIP) Large Cap Growth Funds Average		16.00%		1.45%		7.23%

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
www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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 as a cash management strategy, to seek to enhance returns, for hedging purposes or as alternatives to direct investments. Use of these instruments may involve certain costs and imposes certain 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Apple, Inc.	7.1%
Qualcomm, Inc.	2.8%
Google, Inc. - Class A	2.6%
Monsanto Co.	2.2%
Visa, Inc. - Class A	2.0%
Schlumberger, Ltd.	2.0%
American Tower Corp.	2.0%
EMC Corp.	1.8%
International Business Machines Corp.	1.8%
Microsoft Corp.	1.7%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

2 Growth Stock Portfolio

Growth Stock Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (94.1%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (14.8%)
*	Amazon.com, Inc.		22,750		5,713
	Comcast Corp. - Class A		175,250		6,551
*	Delphi Automotive PLC		135,000		5,164
	Dick’s Sporting Goods, Inc.		95,900		4,362
*	Dollar General Corp.		162,900		7,182
	Las Vegas Sands Corp.		95,900		4,427
	Limited Brands, Inc.		123,800		5,826
	Macy’s, Inc.		118,550		4,626
*	Michael Kors Holdings, Ltd.		121,000		6,175
	News Corp. - Class A		146,500		3,742
*	Priceline.com, Inc.		7,500		4,659
	Starbucks Corp.		146,450		7,853
	Target Corp.		89,000		5,266
	Viacom, Inc. - Class B		147,600		7,784
	Total				79,330
	Consumer Staples (6.8%)
	Costco Wholesale Corp.		59,900		5,916
	CVS Caremark Corp.		133,229		6,442
	The Estee Lauder Cos., Inc. - Class A		89,800		5,375
	PepsiCo, Inc.		83,500		5,714
	Philip Morris International, Inc.		97,200		8,130
	Whole Foods Market, Inc.		54,400		4,968
	Total				36,545
	Energy (6.9%)
	Anadarko Petroleum Corp.		95,250		7,078
*	Concho Resources, Inc.		45,700		3,681
	National-Oilwell Varco, Inc.		76,900		5,256
	Occidental Petroleum Corp.		94,500		7,240
	Schlumberger, Ltd.		154,000		10,671
*	Weatherford International, Ltd.		243,954		2,730
	Total				36,656
	Financials (7.2%)
	American Express Co.		147,400		8,472
	American Tower Corp.		134,525		10,395
	Invesco, Ltd.		123,400		3,219
	JPMorgan Chase & Co.		186,400		8,196
	Wells Fargo & Co.		234,250		8,007
	Total				38,289
	Health Care (11.4%)
	Abbott Laboratories		57,000		3,734
*	Alexion Pharmaceuticals, Inc.		55,700		5,225
	AmerisourceBergen Corp.		160,000		6,909

	Common Stocks (94.1%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	Biogen Idec, Inc.		35,000		5,133
*	Catamaran Corp.		137,400		6,473
*	Express Scripts Holding Co.		107,250		5,791
*	Gilead Sciences, Inc.		110,300		8,102
	Johnson & Johnson		73,400		5,145
	Perrigo Co.		35,400		3,683
	UnitedHealth Group, Inc.		68,300		3,705
*	Vertex Pharmaceuticals, Inc.		60,850		2,552
*	Watson Pharmaceuticals, Inc.		49,700		4,274
	Total				60,726
	Industrials (11.1%)
	The Boeing Co.		100,050		7,540
	C.H. Robinson Worldwide, Inc.		42,400		2,681
	Cummins, Inc.		28,975		3,139
	Danaher Corp.		155,150		8,673
	FedEx Corp.		59,768		5,482
	Honeywell International, Inc.		110,400		7,007
	Precision Castparts Corp.		33,712		6,386
	SPX Corp.		55,075		3,863
	Union Pacific Corp.		52,500		6,600
	United Technologies Corp.		94,777		7,773
	Total				59,144
	Information Technology (32.0%)
	Apple, Inc.		71,200		37,952
	Avago Technologies, Ltd.		127,700		4,043
*	Baidu, Inc., ADR		15,000		1,504
	Broadcom Corp. - Class A		193,450		6,425
*	Citrix Systems, Inc.		45,900		3,018
*	Cognizant Technology Solutions Corp. - Class A		103,700		7,679
*	eBay, Inc.		149,900		7,648
*	EMC Corp.		386,000		9,766
*	Facebook, Inc. - Class A		56,400		1,502
*	Google, Inc. - Class A		19,742		14,004
	Intel Corp.		119,700		2,469
	International Business Machines Corp.		50,500		9,673
	MasterCard, Inc. - Class A		13,000		6,387
	Microsoft Corp.		338,400		9,045
*	NetApp, Inc.		72,200		2,422
	Oracle Corp.		234,500		7,814
	Qualcomm, Inc.		243,500		15,102
*	Salesforce.com, Inc.		39,800		6,690
	Visa, Inc. - Class A		70,700		10,717
*	VMware, Inc. - Class A		25,200		2,372
*	Yahoo!, Inc.		224,100		4,460
	Total				170,692

	Common Stocks (94.1%)	Shares/ $ Par		Value $ (000’s)
	Materials (3.9%)
	BHP Billiton, Ltd., ADR		53,800		4,220
	CF Industries Holdings, Inc.		25,000		5,079
	Monsanto Co.		121,781		11,527
	Total				20,826
	Total Common Stocks
	(Cost: $436,681)				502,208
	Short-Term Investments (5.8%)
	Federal Government & Agencies (0.4%)
(b)	Federal Home Loan Mortgage Corp., 0.12%, 3/4/13		2,000,000		2,000
	Total				2,000
	Finance Services (1.9%)
	Alpine Securitization Corp., 0.18%, 1/9/13		5,000,000		5,000
	Govco LLC, 0.23%, 1/22/13		5,000,000		4,999
	Total				9,999
	Personal Credit Institutions (0.9%)
	Old Line Funding LLC, 0.19%, 3/25/13		5,000,000		4,998
	Total				4,998
	Restaurants (1.7%)
	Darden Restaurants, Inc., 0.28%, 1/2/13		9,100,000		9,100
	Total				9,100
	Retail Food and Drug (0.9%)
	CVS Caremark Corp., 0.28%, 1/2/13		5,000,000		5,000
	Total				5,000
	Total Short-Term Investments
	(Cost: $31,096)				31,097
	Total Investments (99.9%)
	(Cost: $467,777)(a)				533,305
	Other Assets, Less
	Liabilities (0.1%)				510
	Net Assets (100.0%)				533,815

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

Growth Stock Portfolio 3

Growth Stock Portfolio

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $468,317 and the net unrealized appreciation of investments based on that cost was $64,988 which is comprised of $75,696 aggregate gross unrealized appreciation and $10,708 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
S&P 500 Mini Index Futures (Long) (Total Notional Value at December 31, 2012, $16,920)	237	3/13	$	(92)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	502,208		$	-	$	-
Short-Term Investments		-			31,097		-
Liabilities:
Other Financial Instruments^
Futures		(92	)		-		-
Total	$	502,116		$	31,097	$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

4 Growth Stock Portfolio

Focused Appreciation Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest in equity securities selected for their growth potential.	$389 million

Portfolio Overview

Mason Street Advisors, the investment adviser for the Focused Appreciation Portfolio (the “Portfolio”), has engaged Janus Capital Management LLC (“Janus”) to act as sub-adviser for the Portfolio. In seeking to implement its growth strategy, the Portfolio employs a “bottom up” approach. That is, the Portfolio looks at companies one at a time to determine if a company is an attractive investment opportunity and is consistent with the Portfolio’s investment policies. The Portfolio may invest in companies of any size, from larger, well established companies to smaller, emerging growth companies. As a non-diversified fund, the Portfolio may hold larger positions in a smaller number of companies and, in anticipation of such investments, may hold a correspondingly larger position in cash pending investment. The Portfolio invests primarily in a core group of 20-40 common stocks.

Market Overview

In 2012, there was evidence that investors began to recognize the underlying fundamentals of individual businesses once again. This was a stark contrast from 2011, a year in which correlations were high and market sentiment was dominated more strongly by macroeconomic events. In the recent environment, it appears company analysis and individual stock selection have increased in importance for generating relative performance.

Portfolio Results

The Focused Appreciation Portfolio returned 20.14% for the twelve months ended December 31, 2012. By comparison, the Russell^® 1000 Growth Index (the “Index”) returned 15.26%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio outperformed the 16.00% average return of its Large Cap Growth Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

In providing attribution commentary on this Portfolio, it should be noted that the concentrated nature of the Portfolio can result in one holding, or a small number of holdings, producing a significant effect on the Portfolio’s relative results.

The Portfolio’s stock selections in the Information Technology and Consumer Discretionary sectors were the largest contributors to relative performance. Meanwhile, the Portfolio’s holdings in the Materials and Industrials sectors hurt relative performance.

Within Information Technology, the sector experienced a proliferation of data usage through mobile devices at work and at home, with broad implications for content owners, Internet companies and device manufacturers. The data growth trend provided a solid backdrop for companies with strong competitive positions, such as Apple, eBay and Crown Castle, three of the Portfolio’s top performing stocks during the year. On the downside, the Portfolio held a position in Facebook, which underperformed as the company experienced difficulty monetizing its position as the leading social networking company.

One of the predominant themes represented in some of the Portfolio’s Consumer Discretionary holdings was the growing wealth of many emerging market consumers. The portfolio manager‘s main investing thesis in the sector was identifying companies with strong brands and growth prospects in their core markets that were well positioned to capture growth from emerging markets, based on the view that emerging consumers were willing to pay a premium for brands that represented quality or social status. Within the sector, the portfolio manager invested in luxury goods, lifestyle and fashion brands that had the potential to deliver rapid earnings growth in emerging economies and solid earnings in more mature markets. This theme resulted in the Consumer Discretionary sector being the second largest contributor to relative performance.

The Portfolio’s relative underperformance in the Materials sector was due to one holding in particular, Turquoise Hill Resource Partners. The Portfolio also lagged the Index in the Industrials sector. The Portfolio’s holdings were largely concentrated in transport services, logistics and asset light companies that tend to underperform the more cyclical names in the sector in a broad rally. For example, one of the Portfolio’s weakest holdings in the sector was the logistics company C.H. Robinson Worldwide. The company was impacted by a shortage of trucking capacity, which reduced profitability as truckers were able to demand better pricing.

Portfolio Manager Outlook

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

We have been encouraged to see the market respond more to the underlying fundamentals of companies this year. We think this will be the case going into 2013. Much attention has been paid to today’s macroeconomic risks and uncertainties. We believe these are “known unknowns” that are already priced into the market, so we expect business fundamentals to be the biggest driver of stock performance in the coming months. In that environment, we believe the type of wide moat, long-duration growth companies we seek to identify should be recognized by the market for the strength of their businesses and the elements that set them apart from their competitors.

Focused Appreciation Portfolio 5

Focused Appreciation Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		Since Inception*
Focused Appreciation Portfolio		20.14%		1.06%		9.26%
Russell 1000® Growth Index		15.26%		3.12%		7.11%
Lipper® Variable Insurance Products (VIP) Large Cap Growth Funds Average		16.00%		1.45%		-

*Inception date of 5/1/03

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 5/1/03 (commencement of the Portfolio’s operations). 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 in derivative instruments for hedging purposes, to earn income or to seek to enhance returns. Use of these instruments may involve certain costs and imposes certain 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Apple, Inc.	10.4%
Celgene Corp.	6.3%
News Corp. - Class A	5.8%
Express Scripts Holding Co.	5.6%
eBay, Inc.	5.3%
FANUC Corp., ADR	4.7%
Precision Castparts Corp.	4.5%
Limited Brands, Inc.	4.4%
Crown Castle International Corp.	4.2%
Oracle Corp.	4.0%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

6 Focused Appreciation Portfolio

Focused Appreciation Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (91.4%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (21.3%)
*	Amazon.com, Inc.		35,129		8,822
	Compagnie Financiere Richemont SA, ADR		1,448,952		11,287
	Limited Brands, Inc.		362,408		17,055
	Marriott International, Inc. - Class A		254,773		9,496
*	MGM Resorts International		671,144		7,812
	News Corp. - Class A		878,728		22,443
	NIKE, Inc. - Class B		112,500		5,805
	Total				82,720
	Consumer Staples (1.5%)
*	Monster Beverage Corp.		109,223		5,776
	Total				5,776
	Financials (1.7%)
	Prudential PLC, ADR		226,107		6,455
	Total				6,455
	Health Care (14.8%)
*	Celgene Corp.		313,232		24,658
*	Express Scripts Holding Co.		404,986		21,869
*	Gilead Sciences, Inc.		61,153		4,492
*	Intuitive Surgical, Inc.		4,757		2,333
*	Vertex Pharmaceuticals, Inc.		103,280		4,331
	Total				57,683

	Common Stocks (91.4%)	Shares/ $ Par		Value $ (000’s)
	Industrials (16.1%)
	C.H. Robinson Worldwide, Inc.		110,231		6,969
*	FANUC Corp., ADR		588,672		18,290
	Iron Mountain, Inc.		223,546		6,941
	Precision Castparts Corp.		91,430		17,319
	United Parcel Service, Inc. - Class B		178,734		13,178
	Total				62,697
	Information Technology (29.2%)
	Amphenol Corp. - Class A		69,729		4,511
	Apple, Inc.		75,695		40,348
*	eBay, Inc.		401,198		20,469
*	EMC Corp.		538,976		13,636
	MasterCard, Inc. - Class A		9,047		4,444
	Microsoft Corp.		423,333		11,316
	Oracle Corp.		471,303		15,704
	TE Connectivity, Ltd.		87,329		3,242
	Total				113,670
	Materials (2.6%)
*	Turquoise Hill Resources, Ltd.		1,330,386		10,124
	Total				10,124

	Common Stocks (91.4%)	Shares/ $ Par		Value $ (000’s)
	Telecommunication Services (4.2%)
*	Crown Castle International Corp.		224,006		16,164
	Total				16,164
	Total Common Stocks
	(Cost: $264,607)				355,289
	Short-Term Investments (4.9%)
	Commercial Banks Non-US (4.9%)
	BNP Paribas Finance, Inc., 0.01%, 1/2/13		19,000,000		19,000
	Total				19,000
	Total Short-Term Investments
	(Cost: $19,000)				19,000
	Total Investments (96.3%)
	(Cost: $283,607)(a)				374,289
	Other Assets, Less
	Liabilities (3.7%)				14,331
	Net Assets (100.0%)				388,620

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $285,463 and the net unrealized appreciation of investments based on that cost was $88,826 which is comprised of $103,040 aggregate gross unrealized appreciation and $14,214 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	355,289	$	-	$	-
Short-Term Investments		-		19,000		-
Total	$	355,289	$	19,000	$	-

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

Focused Appreciation Portfolio 7

Large Cap Core Stock Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest primarily in equity securities of large capitalization companies.	$385 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Large Cap Core Stock Portfolio (the “Portfolio”). Normally, the Portfolio invests in equity securities of large capitalization companies that may include both “growth” and “value” stocks, and may represent companies across all market sectors. In selecting investments, the Portfolio looks for companies with characteristics such as strong management teams, solid balance sheets, consistent earnings growth, sustainable cash flows and leading market shares in their industries. The Portfolio may be broadly diversified, potentially reflecting all sectors of the S&P 500^® Index (the “Index”). Economic outlook and/or absolute valuation determines the relative attractiveness of market sectors and sector weights may differ from those in the Index, reflecting the economic outlook.

Market Overview

Equity markets finished the year with solid gains despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year.

Portfolio Results

The Portfolio returned 11.63% for the twelve months ended December 31, 2012. By comparison, the Index returned 16.00%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio trailed the 15.02% average return of its Large Cap Core Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

The broad market environment worked against the Portfolio’s investment process. While the Portfolio focused on companies with strong financial characteristics and attractive valuations, the stocks that performed best in the Index generally had highly levered balance sheets with low returns on equity. Stock selection in the Energy sector was the biggest detractor to performance relative to the Index. The Portfolio’s positions in Occidental Petroleum Corp., Weatherford International Ltd. and Anadarko Petroleum Corp. were the largest negative contributors. Occidental Petroleum Corp. continued to follow its growth strategy, but investors grew impatient with its execution. Weatherford International Ltd. experienced accounting issues.

The Materials sector was another source of performance weakness. In the metals and mining industry, HudBay Minerals, a small copper producer, was growing production that the portfolio managers believed had the potential to pay off in the long term, but the stock declined during the Portfolio’s holding period over concerns about China’s near-term rate of growth. Similarly, Cliff’s Natural Resources, Inc. was unable to lower costs at one of its mines while iron ore prices declined, hurting the company’s profitability.

In the Industrials sector, machinery stocks weighed on performance. Dover Corp. declined after an acquisition did not deliver anticipated cost savings, while Caterpillar Inc. tumbled as slower growth in China weighed on its orders for machinery. The Portfolio’s positioning in Health Care stocks also underperformed the Index’s Health Care holdings. In particular, the Portfolio did not hold Abbott Laboratories when the shares rallied after the company announced spinoff plans. Bristol-Meyers Squibb Co. also detracted from performance, as the stock fell when one of its highly anticipated drug offerings failed during testing.

Looking at positive contributors to relative results, the Portfolio’s positioning in the Utilities sector aided the Portfolio. The Portfolio avoided underperformers in the electrical utilities space and overweighted American Water Works Co. In the Consumer Discretionary sector, the Portfolio’s positions in media stocks News Corp., CIA and Comcast Corp. delivered solid results. Both companies pursued shareholder friendly policies with share buybacks and dividend payouts, driving their share prices higher.

Portfolio Manager Outlook

We are cautiously optimistic going into 2013. While Washington will likely dominate the headlines near-term, once investors can look past this and focus on the economy’s fundamentals, it is likely they will see an improving housing market and a rebound in China. If the economy’s fundamentals allow companies to maintain their record high margins, equity valuations are reasonable and should not be an impediment for another positive year in the stock market. Also to the benefit of equities, there seem to be a lack of alternative investments with expectations of outsized returns.

8 Large Cap Core Stock Portfolio

Large Cap Core Stock Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
Large Cap Core Stock Portfolio		11.63%		-0.27%		5.74%
S&P 500® Index		16.00%		1.66%		7.10%
Lipper® Variable Insurance Products (VIP) Large Cap Core Funds Average		15.02%		0.53%		6.55%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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 as a cash management strategy, to generate income or as alternatives to direct investments. Use of these instruments may involve certain costs and imposes certain 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Apple, Inc.		4.1%
JPMorgan Chase & Co.		2.7%
Exxon Mobil Corp.		2.6%
Chevron Corp.		2.6%
Microsoft Corp.		2.5%
Johnson & Johnson		2.5%
International Business Machines Corp.		2.4%
Wells Fargo & Co.		2.4%
General Electric Co.		2.2%
Citigroup, Inc.		2.2%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

Large Cap Core Stock Portfolio 9

Large Cap Core Stock Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (96.9%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (11.0%)
	Comcast Corp. - Class A		141,100		5,274
*	Delphi Automotive PLC		89,375		3,419
	Dick’s Sporting Goods, Inc.		66,500		3,025
*	Dollar General Corp.		97,150		4,283
	Las Vegas Sands Corp.		61,700		2,848
	Macy’s, Inc.		90,750		3,541
	News Corp. - Class A		239,975		6,129
	Starbucks Corp.		59,800		3,207
	Target Corp.		78,300		4,633
	Viacom, Inc. - Class B		112,200		5,917
	Total				42,276
	Consumer Staples (8.7%)
	Beam, Inc.		47,775		2,919
	Church & Dwight Co., Inc.		73,050		3,913
	Costco Wholesale Corp.		22,800		2,252
	CVS Caremark Corp.		124,172		6,004
	The Estee Lauder Cos., Inc. - Class A		38,400		2,299
	Mead Johnson Nutrition Co.		43,975		2,897
	PepsiCo, Inc.		71,300		4,879
	Philip Morris International, Inc.		97,650		8,167
	Total				33,330
	Energy (12.0%)
	Anadarko Petroleum Corp.		86,025		6,393
	Chevron Corp.		91,050		9,846
	Exxon Mobil Corp.		116,874		10,115
	National-Oilwell Varco, Inc.		35,500		2,426
	Occidental Petroleum Corp.		67,375		5,162
	Schlumberger, Ltd.		87,300		6,049
*	Weatherford International, Ltd.		347,853		3,892
*	Whiting Petroleum Corp.		56,600		2,455
	Total				46,338
	Financials (15.7%)
	American Express Co.		91,650		5,268
	American Tower Corp.		96,250		7,437
	BlackRock, Inc.		15,625		3,230
	Citigroup, Inc.		211,030		8,348
	The Goldman Sachs Group, Inc.		38,550		4,917
	Invesco, Ltd.		181,550		4,737
	JPMorgan Chase & Co.		236,946		10,418
	MetLife, Inc.		106,250		3,500

	Common Stocks (96.9%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	PNC Financial Services Group, Inc.		61,080		3,562
	Wells Fargo & Co.		267,250		9,135
	Total				60,552
	Health Care (11.2%)
	Abbott Laboratories		41,800		2,738
*	Alexion Pharmaceuticals, Inc.		15,800		1,482
	AmerisourceBergen Corp.		102,500		4,426
*	Biogen Idec, Inc.		15,400		2,259
	Eli Lilly and Co.		38,700		1,909
*	Express Scripts Holding Co.		45,300		2,446
*	Gilead Sciences, Inc.		46,100		3,386
	Johnson & Johnson		135,200		9,477
	Perrigo Co.		26,000		2,705
	Pfizer, Inc.		226,150		5,672
	UnitedHealth Group, Inc.		82,750		4,488
*	Watson Pharmaceuticals, Inc.		25,700		2,210
	Total				43,198
	Industrials (11.5%)
	The Boeing Co.		75,300		5,675
	Cummins, Inc.		23,550		2,552
	Danaher Corp.		91,434		5,111
	FedEx Corp.		65,553		6,012
	General Electric Co.		406,625		8,535
	Precision Castparts Corp.		22,220		4,209
	SPX Corp.		40,600		2,848
	Union Pacific Corp.		28,950		3,640
	United Technologies Corp.		69,275		5,681
	Total				44,263
	Information Technology (20.4%)
	Apple, Inc.		29,400		15,671
	Avago Technologies, Ltd.		77,000		2,438
	Broadcom Corp. - Class A		106,450		3,535
*	Cognizant Technology Solutions Corp. - Class A		45,700		3,384
*	eBay, Inc.		39,600		2,020
*	EMC Corp.		127,900		3,236
*	Google, Inc. - Class A		8,150		5,781
	Intel Corp.		243,600		5,026
	International Business Machines Corp.		48,850		9,357
	Microsoft Corp.		360,100		9,626
	Oracle Corp.		175,400		5,844
	Qualcomm, Inc.		82,500		5,117
	Visa, Inc. - Class A		27,500		4,169
*	Yahoo!, Inc.		166,400		3,311
	Total				78,515

	Common Stocks (96.9%)	Shares/ $ Par		Value $ (000’s)
	Materials (3.4%)
	BHP Billiton, Ltd., ADR		39,900		3,130
	Celanese Corp.		46,600		2,075
	CF Industries Holdings, Inc.		10,800		2,194
	Monsanto Co.		59,500		5,632
	Total				13,031
	Telecommunication Services (1.0%)
	Vodafone Group PLC, ADR		147,900		3,726
	Total				3,726
	Utilities (2.0%)
	American Water Works Co., Inc.		204,550		7,595
	Total				7,595
	Total Common Stocks
	(Cost: $334,905)				372,824
	Short-Term Investments (3.0%)
	Federal Government & Agencies (0.5%)
(b)	Federal Home Loan Mortgage Corp., 0.12%, 3/4/13		2,000,000		2,000
	Total				2,000
	Restaurants (2.5%)
	Darden Restaurants, Inc., 0.28%, 1/2/13		9,500,000		9,500
	Total				9,500
	Total Short-Term Investments
	(Cost: $11,499)				11,500
	Total Investments (99.9%)
	(Cost: $346,404)(a)				384,324
	Other Assets, Less
	Liabilities (0.1%)				355
	Net Assets (100.0%)				384,679

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

10 Large Cap Core Stock Portfolio

Large Cap Core Stock Portfolio

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $346,914 and the net unrealized appreciation of investments based on that cost was $37,410 which is comprised of $46,198 aggregate gross unrealized appreciation and $8,788 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
S&P 500 Mini Index Futures (Long) (Total Notional Value at December 31, 2012, $4,855)	68	3/13	$	(26)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	372,824		$	-	$	-
Short-Term Investments		-			11,500		-
Liabilities:
Other Financial Instruments^
Futures		(26	)		-		-
Total	$	372,798		$	11,500	$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

Large Cap Core Stock Portfolio 11

Large Cap Blend Portfolio

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.	$79 million

Portfolio Overview

Effective October 1, 2012, the Board of Directors of the Northwestern Mutual Series Fund, Inc. appointed Fiduciary Management, Inc. (“FMI”) to act as sub-adviser to the Large Cap Blend Portfolio (the “Portfolio”). Prior to that time, the Portfolio was sub-advised by Capital Guardian Trust Company (“Capital Guardian”). 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, typically invested in a core group of 20-30 large capitalization stocks and ADRs.

Market Overview

Equity markets finished the year with solid gains despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year.

Portfolio Results

The Portfolio returned 15.20% for the twelve months ended December 31, 2012. By comparison, the S&P 500^® Index (the “Index”) returned 16.00%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio outperformed the 15.02% average return of its Large Cap Core Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

As noted above, prior to October 1, 2012, the Portfolio was managed by Capital Guardian. With respect to the period prior to October 1, 2012, the Portfolio underperformed the Index primarily due to stock selection and an overweight stance within the Materials sector, especially among metals and mining stocks Allegheny Technologies, Cliffs Natural Resources and Barrick Gold. Stock selection in the Telecommunication Services and Utilities sectors was a drag on relative results during the period as well.

On the positive side, stock selection in the Consumer Discretionary sector was the largest contributor to relative returns. Individual stocks within this sector included Comcast, Home Depot, Time Warner Cable and Scripps Networks Interactive.

The following attribution comments relate to the period October 1, 2012 through December 31, 2012, during which FMI acted as the Portfolio’s sub-adviser.

The Portfolio outperformed the Index during the October 1, 2012 through December 31, 2012 period primarily due to stock selection in the Information Technology sector. Within the sector, electronic equipment company TE Connectivity Ltd. was a strong performer for the Portfolio during the period. An overweight position in the Industrials sector was beneficial as well.

In terms of detractors, the Energy and Financials sectors held back relative returns for the Portfolio. Within the Energy sector, the Portfolio’s investment in Devon Energy detracted from Portfolio performance. In Financials, the Portfolio was hurt by an underweight in Real Estate Investment Trusts (“REITs”) and lower quality money center banks.

Portfolio Manager Outlook

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

Regarding our investments and outlook for 2013, the summary is that it is more of the same. The Federal Reserve induced rally has kept the market trading higher, even while fundamentals appear to be darkening. Of course, there is a chance we are reading the tea leaves incorrectly. A mid-December purchasing managers survey showed expectations for a pick-up in growth in 2013 versus 2012. We hope these expectations come to fruition, but we are not staking the Portfolio on such an outcome. The Portfolio remains fairly balanced with a mixture of reasonably priced cyclical and more defensive businesses. Overall, the Portfolio is still tilted toward the cautious side.

The extensive stock market valuation work that we do every quarter again shows stocks to be well above their long-term valuation averages. Valuations for the market have been elevated for almost three years. We continue to find reasonable businesses at decent prices and our stocks trade at a very meaningful discount to the S&P 500. We do not see great opportunities in some of the assets that have been hot the past several years: gold, bonds, farmland, timber and REITs. Owning high quality equities of well financed and durable business franchises, particularly those that operate on a global basis, seems like the prudent approach, and that is the one we are taking.

12 Large Cap Blend Portfolio

Large Cap Blend Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		Since Inception*
Large Cap Blend Portfolio		15.20%		-0.42%		-1.54%
S&P 500® Index		16.00%		1.66%		1.53%
Lipper® Variable Insurance Products (VIP) Large Cap Core Funds Average		15.02%		0.53%		-

* Inception date of 4/30/07

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
www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
The Bank of New York Mellon Corp.	5.4%
3M Co.	5.4%
Berkshire Hathaway, Inc. - Class B	5.2%
Sysco Corp.	4.5%
TE Connectivity, Ltd.	4.3%
Accenture PLC - Class A	4.2%
Illinois Tool Works, Inc.	4.1%
Kimberly-Clark Corp.	3.8%
Covidien PLC	3.7%
Wal-Mart Stores, Inc.	3.6%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

Large Cap Blend Portfolio 13

Large Cap Blend Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (93.7%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (6.5%)
	Omnicom Group, Inc.		53,200		2,658
	Time Warner, Inc.		51,200		2,449
	Total				5,107
	Consumer Staples (15.6%)
	Danone SA, ADR		41,750		559
	Kimberly-Clark Corp.		35,200		2,972
	Nestle SA, ADR		36,500		2,379
	Sysco Corp.		112,000		3,546
	Wal-Mart Stores, Inc.		41,500		2,831
	Total				12,287
	Energy (6.1%)
	Devon Energy Corp.		53,800		2,800
	Schlumberger, Ltd.		28,900		2,002
	Total				4,802
	Financials (18.7%)
	American Express Co.		41,200		2,368
	The Bank of New York Mellon Corp.		166,400		4,277
*	Berkshire Hathaway, Inc. - Class B		45,200		4,054
	Comerica, Inc.		82,900		2,515
	Willis Group Holdings PLC		44,900		1,506
	Total				14,720

Common Stocks (93.7%)	Shares/ $ Par		Value $ (000’s)
Health Care (10.3%)
AmerisourceBergen Corp.		63,100		2,724
Covidien PLC		50,900		2,939
GlaxoSmithKline PLC, ADR		55,600		2,417
Total				8,080
Industrials (20.3%)
3M Co.		45,600		4,234
Cintas Corp.		54,100		2,213
Expeditors International of Washington, Inc.		61,400		2,428
Illinois Tool Works, Inc.		53,200		3,235
Ingersoll-Rand PLC		45,100		2,163
PACCAR, Inc.		38,150		1,725
Total				15,998
Information Technology (13.8%)
Accenture PLC - Class A		50,075		3,330
Automatic Data Processing, Inc.		38,800		2,212
Microsoft Corp.		72,600		1,940
TE Connectivity, Ltd.		91,700		3,404
Total				10,886

Common Stocks (93.7%)	Shares/ $ Par		Value $ (000’s)
Materials (2.4%)
Monsanto Co.		19,800		1,874
Total				1,874
Total Common Stocks
(Cost: $73,207)				73,754
Short-Term Investments (6.4%)
Other Holdings (6.4%)
JPMorgan U.S. Government Money Market Fund		2,562,973		2,563
JPMorgan U.S. Treasury Plus Money Market Fund		2,500,551		2,501
Total				5,064
Total Short-Term Investments
(Cost: $5,064)				5,064
Total Investments (100.1%)
(Cost: $78,271)(a)				78,818
Other Assets, Less
Liabilities (-0.1%)				(118	)
Net Assets (100.0%)				78,700

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $78,271 and the net unrealized appreciation of investments based on that cost was $547 which is comprised of $2,294 aggregate gross unrealized appreciation and $1,747 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	73,754	$	-	$	-
Short-Term Investments		5,064		-		-
Total	$	78,818	$	-	$	-

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

14 Large Cap Blend Portfolio

Index 500 Stock Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P 500® Index.	Invest in stocks included in the S&P 500® Index in approximately the same proportion as each stock’s weighting in the Index.	$1.7 billion

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Index 500 Stock Portfolio (the “Portfolio”). The S&P 500^® Index (the “Index”) 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 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^® Index stock futures and, to a lesser extent, swap agreements to help achieve full replication.

Market Overview

Equity markets finished the year with solid gains (as measured by the Index) despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year. In that environment, mid cap stocks outperformed shares of large and small sized companies. For the year, returns for the S&P 500^®, MidCap 400^®, and SmallCap 600^® Indices were 16.00%, 17.88%, and 16.33%, respectively.

Within the S&P 500 Index^®, every economic sector generated positive returns. Financial stocks led the rally on improving balance sheets, solid earnings, and better credit conditions. The Consumer Discretionary sector also delivered solid gains, as consumer spending continued amid slow economic growth. Performance varied widely within the sector according to spending trends, as media and internet retail stocks generally posted large gains, while hotels, restaurants and traditional retail box stores underperformed overall. Healthcare stocks outperformed the broader Index, primarily fueled by higher share prices in biotechnology.

Meanwhile, Energy was a notable laggard. Relatively flat prices for crude oil and natural gas weighed on the sector’s return during the year. Similarly, the Utilities sector, known for its stable stock prices and dividend yields, contributed very little to the Index’s performance, as investors embraced riskier stocks. Traditionally more economically sensitive stocks in the Information Technology, Materials and Industrials sectors slightly lagged the broader Index, reflecting uncertainty around global economic growth and capital spending.

Portfolio Results

The Index 500 Stock Portfolio had a total return of 15.76% for the twelve months ended December 31, 2012. That was in line with the Index, which returned 16.00%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) 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. The Portfolio outperformed the 15.39% average return for its peer group, S&P 500 Index Objective Funds, according to Lipper^® Analytical Services, Inc.

As the Portfolio seeks to track the performance and weightings of stocks in the Index, the portfolio managers make adjustments to the Portfolio’s holdings as the Index changes. Standard & Poor’s modifies the composition of the Index as companies go public or private, merge, divest or have major changes in market capitalization. Additionally, Standard & Poor’s adjusts the Index to better reflect the companies that are most representative of the composition of the U.S. economy. During 2012, there were 18 stocks added to the Index, and a like number of companies were eliminated. The portfolio managers try to make these adjustments in a way that minimizes the cost and market impact of trading.

Portfolio Manager Outlook

We have a cautiously optimistic view of equity markets heading into 2013. Currently, stocks appear relatively attractive given reasonable valuations, record high profit margins and cash positions, as well as relatively low energy prices. Extremely low interest rates have also led to improving fundamentals in the housing market and steady increases in employment.

Nevertheless, the market still faces a number of risks—from uncertainty surrounding further economic stimulus and concerns over the developed world’s ongoing debt crisis, among others—that have the potential for creating a volatile market environment for the foreseeable future.

Index 500 Stock Portfolio 15

Index 500 Stock Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
Index 500 Stock Portfolio		15.76%		1.56%		6.97%
S&P 500® Index		16.00%		1.66%		7.10%
Lipper® Variable Insurance Products (VIP) S&P 500 Index Objective Funds Average		15.39%		1.29%		6.73%

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
www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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^®”, “S&P^®”, “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 derivative instruments such as futures and swap agreements 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 Equity Holdings 12/31/12

Security Description	% of Net Assets
Apple, Inc.	3.9%
Exxon Mobil Corp.	3.1%
General Electric Co.	1.7%
Chevron Corp.	1.6%
International Business Machines Corp.	1.6%
Microsoft Corp.	1.6%
Johnson & Johnson	1.5%
AT&T, Inc.	1.5%
Google, Inc. - Class A	1.5%
The Procter & Gamble Co.	1.4%

Sector Allocation 12/31/12

Sector Allocation is based on equities.

Sector Allocation and Top 10 Holdings are subject to change.

16 Index 500 Stock Portfolio

Index 500 Stock Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (11.4%)
	Abercrombie & Fitch Co. - Class A		10,500		504
*	Amazon.com, Inc.		47,800		12,005
*	Apollo Group, Inc. - Class A		13,200		276
*	AutoNation, Inc.		5,129		204
*	AutoZone, Inc.		4,925		1,746
*	Bed Bath & Beyond, Inc.		30,300		1,694
	Best Buy Co., Inc.		35,275		418
*	Big Lots, Inc.		7,600		216
*	BorgWarner, Inc.		15,400		1,103
	Cablevision Systems Corp. - Class A		28,500		426
*	CarMax, Inc.		30,200		1,134
	Carnival Corp.		58,809		2,162
	CBS Corp. - Class B		78,024		2,969
*	Chipotle Mexican Grill, Inc.		4,200		1,249
	Coach, Inc.		37,400		2,076
	Comcast Corp. - Class A		350,805		13,113
	D.R. Horton, Inc.		36,900		730
	Darden Restaurants, Inc.		16,950		764
*	Delphi Automotive PLC		39,000		1,492
*	DIRECTV		79,700		3,998
*	Discovery Communications, Inc. - Class A		31,500		2,000
*	Dollar General Corp.		34,700		1,530
*	Dollar Tree, Inc.		30,000		1,217
	Expedia, Inc.		12,250		753
	Family Dollar Stores, Inc.		12,600		799
	Ford Motor Co.		503,265		6,517
*	Fossil, Inc.		7,100		661
	GameStop Corp. - Class Class A		16,000		401
	Gannett Co., Inc.		30,350		547
	The Gap, Inc.		39,275		1,219
	Garmin, Ltd.		14,400		588
	Genuine Parts Co.		20,500		1,303
*	The Goodyear Tire & Rubber Co.		32,300		446
	H&R Block, Inc.		35,800		665
	Harley-Davidson, Inc.		29,900		1,460
	Harman International Industries, Inc.		8,900		397
	Hasbro, Inc.		15,225		547
	The Home Depot, Inc.		197,400		12,209
	International Game Technology		35,100		497
	The Interpublic Group of Cos., Inc.		56,900		627
*	J.C. Penney Co., Inc.		18,850		372
	Johnson Controls, Inc.		90,300		2,772
	Kohl’s Corp.		27,967		1,202
	Leggett & Platt, Inc.		18,633		507
	Lennar Corp. - Class A		21,700		839

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary continued
	Limited Brands, Inc.		31,587		1,487
	Lowe’s Cos., Inc.		148,500		5,275
	Macy’s, Inc.		52,146		2,035
	Marriott International, Inc. - Class A		32,456		1,210
	Mattel, Inc.		45,288		1,658
	McDonald’s Corp.		132,478		11,686
	The McGraw-Hill Cos., Inc.		36,620		2,002
*	NetFlix, Inc.		7,300		677
	Newell Rubbermaid, Inc.		37,992		846
	News Corp. - Class A		266,200		6,799
	NIKE, Inc. - Class B		97,800		5,046
	Nordstrom, Inc.		20,034		1,072
	Omnicom Group, Inc.		34,900		1,744
*	O’Reilly Automotive, Inc.		15,100		1,350
	PetSmart, Inc.		14,200		970
*	Priceline.com, Inc.		6,600		4,100
*	PulteGroup, Inc.		44,835		814
	Ralph Lauren Corp.		8,100		1,214
	Ross Stores, Inc.		29,400		1,592
	Scripps Networks Interactive - Class A		11,500		666
	Staples, Inc.		88,950		1,014
	Starbucks Corp.		98,200		5,266
	Starwood Hotels & Resorts Worldwide, Inc.		25,900		1,486
	Target Corp.		85,857		5,080
	Tiffany & Co.		15,767		904
	Time Warner Cable, Inc.		39,792		3,867
	Time Warner, Inc.		125,033		5,980
	The TJX Cos., Inc.		96,300		4,088
*	TripAdvisor, Inc.		14,450		606
*	Urban Outfitters, Inc.		14,400		567
	VF Corp.		11,657		1,760
	Viacom, Inc. - Class B		61,024		3,218
	The Walt Disney Co.		233,957		11,649
	The Washington Post Co. - Class B		600		219
	Whirlpool Corp.		10,244		1,042
	Wyndham Worldwide Corp.		18,486		984
	Wynn Resorts, Ltd.		10,500		1,181
	Yum! Brands, Inc.		59,660		3,961
	Total				193,469
	Consumer Staples (10.5%)
	Altria Group, Inc.		267,322		8,399
	Archer-Daniels-Midland Co.		86,903		2,380
	Avon Products, Inc.		57,000		819
	Beam, Inc.		20,967		1,281
	Brown-Forman Corp. - Class B		20,033		1,267
	Campbell Soup Co.		23,622		824
	The Clorox Co.		17,250		1,263

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Consumer Staples continued
	The Coca-Cola Co.		509,150		18,457
	Coca-Cola Enterprises, Inc.		35,600		1,130
	Colgate-Palmolive Co.		58,622		6,128
	ConAgra Foods, Inc.		53,767		1,586
*	Constellation Brands, Inc. - Class A		20,000		708
	Costco Wholesale Corp.		57,064		5,636
	CVS Caremark Corp.		164,561		7,957
*	Dean Foods Co.		24,500		404
	Dr. Pepper Snapple Group, Inc.		27,500		1,215
	The Estee Lauder Cos., Inc. - Class A		31,700		1,898
	General Mills, Inc.		85,134		3,440
	H.J. Heinz Co.		42,317		2,441
	The Hershey Co.		19,700		1,423
	Hormel Foods Corp.		17,700		552
	The J.M. Smucker Co.		14,300		1,233
	Kellogg Co.		32,657		1,824
	Kimberly-Clark Corp.		51,656		4,361
	Kraft Foods Group, Inc.		78,198		3,556
	The Kroger Co.		67,805		1,764
	Lorillard, Inc.		17,046		1,989
	McCormick & Co., Inc.		17,500		1,112
	Mead Johnson Nutrition Co.		26,831		1,768
	Molson Coors Brewing Co. - Class B		20,600		881
	Mondelez International, Inc.		234,596		5,975
*	Monster Beverage Corp.		19,700		1,042
	PepsiCo, Inc.		204,225		13,975
	Philip Morris International, Inc.		220,522		18,444
	The Procter & Gamble Co.		360,964		24,506
	Reynolds American, Inc.		42,800		1,773
	Safeway, Inc.		31,600		572
	Sysco Corp.		77,625		2,458
	Tyson Foods, Inc. - Class A		37,900		735
	Walgreen Co.		113,446		4,199
	Wal-Mart Stores, Inc.		220,800		15,065
	Whole Foods Market, Inc.		22,800		2,082
	Total				178,522
	Energy (10.8%)
	Anadarko Petroleum Corp.		65,924		4,899
	Apache Corp.		51,646		4,054
	Baker Hughes, Inc.		58,064		2,371
	Cabot Oil & Gas Corp.		27,700		1,378
*	Cameron International Corp.		32,600		1,841

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

Index 500 Stock Portfolio 17

Index 500 Stock Portfolio

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Energy continued
	Chesapeake Energy Corp.		68,400		1,137
	Chevron Corp.		258,314		27,934
	ConocoPhillips		160,238		9,292
	CONSOL Energy, Inc.		30,100		966
*	Denbury Resources, Inc.		51,100		828
	Devon Energy Corp.		49,700		2,586
	Diamond Offshore Drilling, Inc.		9,200		625
	Ensco PLC - Class A		30,700		1,820
	EOG Resources, Inc.		35,720		4,315
	EQT Corp.		19,700		1,162
	Exxon Mobil Corp.		601,801		52,086
*	FMC Technologies, Inc.		31,400		1,345
	Halliburton Co.		122,538		4,251
	Helmerich & Payne, Inc.		14,000		784
	Hess Corp.		39,200		2,076
	Kinder Morgan, Inc.		83,517		2,951
	Marathon Oil Corp.		93,266		2,860
	Marathon Petroleum Corp.		44,733		2,818
	Murphy Oil Corp.		24,400		1,453
*	Nabors Industries, Ltd.		38,300		553
	National-Oilwell Varco, Inc.		56,400		3,855
*	Newfield Exploration Co.		17,800		477
	Noble Corp.		33,400		1,163
	Noble Energy, Inc.		23,500		2,391
	Occidental Petroleum Corp.		106,940		8,193
	Peabody Energy Corp.		35,400		942
	Phillips 66		82,619		4,387
	Pioneer Natural Resources Co.		16,300		1,737
	QEP Resources, Inc.		23,500		711
	Range Resources Corp.		21,500		1,351
*	Rowan Cos., PLC. - Class A		16,350		511
	Schlumberger, Ltd.		175,284		12,145
*	Southwestern Energy Co.		46,100		1,540
	Spectra Energy Corp.		87,936		2,408
	Tesoro Corp.		18,500		815
	Valero Energy Corp.		73,100		2,494
	The Williams Companies, Inc.		88,900		2,911
*	WPX Energy, Inc.		26,300		391
	Total				184,807
	Financials (15.3%)
	ACE, Ltd.		44,900		3,583
	Aflac, Inc.		61,850		3,285
	The Allstate Corp.		63,628		2,556
	American Express Co.		128,475		7,385
*	American International Group, Inc.		194,891		6,880
	American Tower Corp.		52,200		4,033
	Ameriprise Financial, Inc.		27,155		1,701
	Aon PLC		42,100		2,341
	Apartment Investment & Management Co. - Class A		19,256		521
	Assurant, Inc.		10,400		361

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	AvalonBay Communities, Inc.		15,073		2,044
	Bank of America Corp.		1,422,696		16,503
	The Bank of New York Mellon Corp.		154,263		3,965
	BB&T Corp.		92,400		2,690
*	Berkshire Hathaway, Inc. - Class B		240,766		21,597
	BlackRock, Inc.		16,600		3,431
	Boston Properties, Inc.		19,900		2,106
	Capital One Financial Corp.		76,829		4,451
*	CBRE Group, Inc.		39,800		792
	The Charles Schwab Corp.		144,711		2,078
	The Chubb Corp.		34,600		2,606
	Cincinnati Financial Corp.		19,375		759
	Citigroup, Inc.		387,064		15,312
	CME Group, Inc.		40,500		2,054
	Comerica, Inc.		25,150		763
	Discover Financial Services		66,656		2,570
*	E*TRADE Financial Corp.		33,960		304
	Equity Residential		42,500		2,408
	Federated Investors, Inc. - Class B		12,500		253
	Fifth Third Bancorp		118,434		1,799
	First Horizon National Corp.		32,666		324
	Franklin Resources, Inc.		18,250		2,294
*	Genworth Financial, Inc. - Class A		64,900		487
	The Goldman Sachs Group, Inc.		58,300		7,437
	The Hartford Financial Services Group, Inc.		57,550		1,291
	HCP, Inc.		59,700		2,697
	Health Care REIT, Inc.		34,300		2,102
	Host Hotels & Resorts, Inc.		95,694		1,499
	Hudson City Bancorp, Inc.		62,700		510
	Huntington Bancshares, Inc.		112,942		722
*	IntercontinentalExchange, Inc.		9,600		1,189
	Invesco, Ltd.		58,600		1,529
	JPMorgan Chase & Co.		501,829		22,065
	KeyCorp		123,275		1,038
	Kimco Realty Corp.		53,800		1,039
	Legg Mason, Inc.		15,500		399
	Leucadia National Corp.		26,200		623
	Lincoln National Corp.		36,330		941
	Loews Corp.		41,021		1,672
	M&T Bank Corp.		16,000		1,575
	Marsh & McLennan Cos., Inc.		71,880		2,478
	MetLife, Inc.		143,974		4,742
	Moody’s Corp.		25,550		1,286
	Morgan Stanley		182,413		3,488

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	The NASDAQ OMX Group, Inc.		15,500		388
	Northern Trust Corp.		28,850		1,447
	NYSE Euronext		32,100		1,012
	People’s United Financial, Inc.		45,900		555
	Plum Creek Timber Co., Inc.		21,300		945
	PNC Financial Services Group, Inc.		69,789		4,069
	Principal Financial Group, Inc.		36,400		1,038
	The Progressive Corp.		73,400		1,549
	Prologis, Inc.		60,797		2,218
	Prudential Financial, Inc.		61,200		3,264
	Public Storage		19,000		2,754
	Regions Financial Corp.		186,490		1,328
	Simon Property Group, Inc.		40,836		6,456
	SLM Corp.		61,042		1,046
	State Street Corp.		61,400		2,886
	SunTrust Banks, Inc.		71,133		2,017
	T. Rowe Price Group, Inc.		33,600		2,188
	Torchmark Corp.		12,575		650
	The Travelers Cos., Inc.		50,310		3,613
	U.S. Bancorp		248,221		7,928
	Unum Group		36,331		756
	Ventas, Inc.		39,000		2,524
	Vornado Realty Trust		22,374		1,792
	Wells Fargo & Co.		646,231		22,088
	XL Group PLC		39,700		995
	Zions Bancorporation		24,300		520
	Total				260,584
	Health Care (11.8%)
	Abbott Laboratories		208,650		13,667
	Aetna, Inc.		44,208		2,047
	Agilent Technologies, Inc.		46,037		1,885
*	Alexion Pharmaceuticals, Inc.		25,600		2,401
	Allergan, Inc.		40,634		3,727
	AmerisourceBergen Corp.		31,100		1,343
	Amgen, Inc.		101,243		8,739
	Baxter International, Inc.		72,500		4,833
	Becton, Dickinson and Co.		25,950		2,029
*	Biogen Idec, Inc.		31,190		4,575
*	Boston Scientific Corp.		181,222		1,038
	Bristol-Myers Squibb Co.		217,913		7,102
	C.R. Bard, Inc.		10,100		987
	Cardinal Health, Inc.		44,825		1,846
*	CareFusion Corp.		29,312		838
*	Celgene Corp.		55,800		4,393
*	Cerner Corp.		19,200		1,491
	CIGNA Corp.		37,787		2,020
	Coventry Health Care, Inc.		17,800		798
	Covidien PLC		62,500		3,609

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

18 Index 500 Stock Portfolio

Index 500 Stock Portfolio

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	DaVita, Inc.		11,100		1,227
	DENTSPLY International, Inc.		18,700		741
*	Edwards Lifesciences Corp.		15,200		1,371
	Eli Lilly and Co.		134,806		6,649
*	Express Scripts Holding Co.		107,741		5,818
*	Forest Laboratories, Inc.		30,866		1,090
*	Gilead Sciences, Inc.		100,000		7,345
*	Hospira, Inc.		21,765		680
	Humana, Inc.		20,900		1,434
*	Intuitive Surgical, Inc.		5,200		2,550
	Johnson & Johnson		365,837		25,645
*	Laboratory Corp. of America Holdings		12,500		1,083
*	Life Technologies Corp.		22,680		1,113
	McKesson Corp.		31,205		3,026
	Medtronic, Inc.		133,500		5,476
	Merck & Co., Inc.		401,283		16,428
*	Mylan, Inc.		53,800		1,478
	Patterson Cos., Inc.		11,000		376
	PerkinElmer, Inc.		15,200		482
	Perrigo Co.		11,600		1,207
	Pfizer, Inc.		971,892		24,375
	Quest Diagnostics, Inc.		21,000		1,224
	St. Jude Medical, Inc.		40,700		1,471
	Stryker Corp.		38,100		2,089
*	Tenet Heathcare Corp.		14,062		457
	Thermo Fisher Scientific, Inc.		47,500		3,029
	UnitedHealth Group, Inc.		134,844		7,314
*	Varian Medical Systems, Inc.		14,400		1,011
*	Waters Corp.		11,500		1,002
*	Watson Pharmaceuticals, Inc.		16,900		1,453
	WellPoint, Inc.		40,100		2,443
	Zimmer Holdings, Inc.		22,937		1,529
	Total				201,984
	Industrials (10.0%)
	3M Co.		84,076		7,806
	The ADT Corp.		30,700		1,427
	Avery Dennison Corp.		13,150		459
	The Boeing Co.		89,576		6,750
	C.H. Robinson Worldwide, Inc.		21,300		1,347
	Caterpillar, Inc.		86,276		7,729
	Cintas Corp.		14,033		574
	CSX Corp.		136,100		2,685
	Cummins, Inc.		23,300		2,525
	Danaher Corp.		76,800		4,293
	Deere & Co.		51,720		4,470
	Dover Corp.		23,667		1,555
	The Dun & Bradstreet Corp.		5,900		464
	Eaton Corp. PLC		61,003		3,306
	Emerson Electric Co.		95,600		5,063
	Equifax, Inc.		15,800		855

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Industrials continued
	Expeditors International of Washington, Inc.		27,600		1,092
	Fastenal Co.		35,600		1,662
	FedEx Corp.		38,520		3,533
	Flowserve Corp.		6,600		969
	Fluor Corp.		22,000		1,292
	General Dynamics Corp.		43,800		3,034
	General Electric Co.		1,384,206		29,054
	Honeywell International, Inc.		103,450		6,566
	Illinois Tool Works, Inc.		56,300		3,424
	Ingersoll-Rand PLC		37,000		1,774
	Iron Mountain, Inc.		23,785		739
*	Jacobs Engineering Group, Inc.		17,200		732
	Joy Global, Inc.		14,000		893
	L-3 Communications Holdings, Inc.		12,400		950
	Lockheed Martin Corp.		35,408		3,268
	Masco Corp.		47,100		785
	Norfolk Southern Corp.		41,757		2,582
	Northrop Grumman Corp.		32,420		2,191
	PACCAR, Inc.		46,615		2,107
	Pall Corp.		14,650		883
	Parker Hannifin Corp.		19,712		1,677
	Pentair, Ltd.		27,780		1,365
	Pitney Bowes, Inc.		26,537		282
	Precision Castparts Corp.		19,200		3,637
*	Quanta Services, Inc.		28,100		767
	Raytheon Co.		43,500		2,504
	Republic Services, Inc.		39,507		1,159
	Robert Half International, Inc.		18,540		590
	Rockwell Automation, Inc.		18,350		1,541
	Rockwell Collins, Inc.		18,550		1,079
	Roper Industries, Inc.		13,000		1,449
	Ryder System, Inc.		6,700		335
	Snap-on, Inc.		7,717		610
	Southwest Airlines Co.		97,367		997
	Stanley Black & Decker, Inc.		22,242		1,645
*	Stericycle, Inc.		11,300		1,054
	Textron, Inc.		37,200		922
	Tyco International, Ltd.		61,500		1,799
	Union Pacific Corp.		62,120		7,810
	United Parcel Service, Inc. - Class B		94,400		6,960
	United Technologies Corp.		111,334		9,130
	W.W. Grainger, Inc.		7,900		1,599
	Waste Management, Inc.		57,585		1,943
	Xylem, Inc.		24,500		664
	Total				170,356
	Information Technology (18.8%)
	Accenture PLC - Class A		84,300		5,606
*	Adobe Systems, Inc.		65,350		2,462
*	Advanced Micro Devices, Inc.		79,900		192

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	Akamai Technologies, Inc.		23,400		957
	Altera Corp.		42,311		1,457
	Amphenol Corp. - Class A		21,200		1,372
	Analog Devices, Inc.		39,757		1,672
	Apple, Inc.		124,200		66,202
	Applied Materials, Inc.		158,100		1,809
*	Autodesk, Inc.		29,668		1,049
	Automatic Data Processing, Inc.		64,050		3,651
*	BMC Software, Inc.		18,860		748
	Broadcom Corp. - Class A		68,400		2,272
	CA, Inc.		44,292		974
	Cisco Systems, Inc.		700,800		13,771
*	Citrix Systems, Inc.		24,620		1,619
*	Cognizant Technology Solutions Corp. - Class A		39,600		2,932
	Computer Sciences Corp.		20,550		823
	Corning, Inc.		195,100		2,462
	Dell, Inc.		192,633		1,951
*	eBay, Inc.		153,700		7,842
*	Electronic Arts, Inc.		40,300		586
*	EMC Corp.		278,074		7,035
*	F5 Networks, Inc.		10,400		1,010
	Fidelity National Information Services, Inc.		32,900		1,145
*	First Solar, Inc.		7,900		244
*	Fiserv, Inc.		17,625		1,393
	FLIR Systems, Inc.		19,800		442
*	Google, Inc. - Class A		35,100		24,899
	Harris Corp.		15,000		734
	Hewlett-Packard Co.		259,526		3,698
	Intel Corp.		656,863		13,551
	International Business Machines Corp.		140,239		26,863
	Intuit, Inc.		36,700		2,184
	Jabil Circuit, Inc.		24,667		476
*	JDS Uniphase Corp.		30,850		418
*	Juniper Networks, Inc.		68,100		1,340
	KLA-Tencor Corp.		22,000		1,051
*	Lam Research Corp.		22,587		816
	Linear Technology Corp.		30,550		1,048
*	LSI Corp.		73,000		517
	MasterCard, Inc. - Class A		14,100		6,927
	Microchip Technology, Inc.		25,700		838
*	Micron Technology, Inc.		134,350		853
	Microsoft Corp.		999,892		26,727
	Molex, Inc.		18,250		499
	Motorola Solutions, Inc.		37,053		2,063
*	NetApp, Inc.		47,300		1,587
	NVIDIA Corp.		82,450		1,013
	Oracle Corp.		496,125		16,531
	Paychex, Inc.		42,735		1,331
	Qualcomm, Inc.		224,934		13,950
*	Red Hat, Inc.		25,500		1,350

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

Index 500 Stock Portfolio 19

Index 500 Stock Portfolio

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
	SAIC, Inc.		37,500		424
*	Salesforce.com, Inc.		17,200		2,891
*	SanDisk Corp.		31,900		1,390
	Seagate Technology PLC		44,300		1,350
*	Symantec Corp.		91,554		1,722
	TE Connectivity, Ltd.		55,800		2,071
*	Teradata Corp.		22,300		1,380
*	Teradyne, Inc.		24,750		418
	Texas Instruments, Inc.		147,900		4,576
	Total System Services, Inc.		21,178		454
*	VeriSign, Inc.		20,500		796
	Visa, Inc. - Class A		68,800		10,429
	Western Digital Corp.		28,900		1,228
	Western Union Co.		78,732		1,072
	Xerox Corp.		166,770		1,137
	Xilinx, Inc.		34,400		1,235
*	Yahoo!, Inc.		137,400		2,734
	Total				320,249
	Materials (3.7%)
	Air Products and Chemicals, Inc.		28,067		2,358
	Airgas, Inc.		9,300		849
	Alcoa, Inc.		140,907		1,223
	Allegheny Technologies, Inc.		14,117		429
	Ball Corp.		20,264		907
	Bemis Co., Inc.		13,600		455
	CF Industries Holdings, Inc.		8,300		1,686
	Cliffs Natural Resources, Inc.		18,800		725
	The Dow Chemical Co.		158,309		5,117
	E.I. du Pont de Nemours and Co.		123,128		5,537
	Eastman Chemical Co.		20,250		1,378
	Ecolab, Inc.		34,800		2,502
	FMC Corp.		18,100		1,059
	Freeport-McMoRan Copper & Gold, Inc.		125,276		4,284
	International Flavors & Fragrances, Inc.		10,800		719
	International Paper Co.		57,966		2,309
	LyondellBasell Industries NV - Class A		50,100		2,860
	MeadWestvaco Corp.		23,079		735
	Monsanto Co.		70,606		6,683
	The Mosaic Co.		36,500		2,067
	Newmont Mining Corp.		65,480		3,041
	Nucor Corp.		41,932		1,811
*	Owens-Illinois, Inc.		21,700		462
	PPG Industries, Inc.		20,267		2,743
	Praxair, Inc.		39,200		4,290
	Sealed Air Corp.		25,642		449
	The Sherwin-Williams Co.		11,313		1,740
	Sigma-Aldrich Corp.		15,900		1,170
	United States Steel Corp.		19,050		455
	Vulcan Materials Co.		17,100		890

	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)
	Materials continued
	Weyerhaeuser Co.		71,453		1,988
	Total				62,921
	Telecommunication Services (3.0%)
	AT&T, Inc.		749,775		25,275
	CenturyLink, Inc.		82,433		3,225
*	Crown Castle International Corp.		38,700		2,793
	Frontier Communications Corp.		131,797		564
*	MetroPCS Communications, Inc.		41,800		415
*	Sprint Nextel Corp.		396,602		2,249
	Verizon Communications, Inc.		376,742		16,302
	Windstream Corp.		77,592		642
	Total				51,465
	Utilities (3.4%)
	The AES Corp.		81,500		872
	AGL Resources, Inc.		15,554		622
	Ameren Corp.		32,067		985
	American Electric Power Co., Inc.		64,040		2,733
	CenterPoint Energy, Inc.		56,462		1,087
	CMS Energy Corp.		34,800		849
	Consolidated Edison, Inc.		38,650		2,147
	Dominion Resources, Inc.		75,876		3,930
	DTE Energy Co.		22,750		1,366
	Duke Energy Corp.		92,930		5,929
	Edison International		43,020		1,944
	Entergy Corp.		23,509		1,499
	Exelon Corp.		112,813		3,355
	FirstEnergy Corp.		55,206		2,306
	Integrys Energy Group, Inc.		10,332		540
	NextEra Energy, Inc.		55,814		3,862
	NiSource, Inc.		40,873		1,017
	Northeast Utilities		41,400		1,618
	NRG Energy, Inc.		42,500		977
	ONEOK, Inc.		27,000		1,154
	Pepco Holdings, Inc.		30,300		594
	PG&E Corp.		56,725		2,279
	Pinnacle West Capital Corp.		14,500		739
	PPL Corp.		76,768		2,198
	Public Service Enterprise Group, Inc.		66,772		2,043
	SCANA Corp.		17,400		794
	Sempra Energy		29,702		2,107
	Southern Co.		115,400		4,940
	TECO Energy, Inc.		26,900		451
	Wisconsin Energy Corp.		30,400		1,120
	Xcel Energy, Inc.		64,320		1,718
	Total				57,775
	Total Common Stocks
	(Cost: $1,253,062)				1,682,132

	Short-Term Investments (1.2%)	Shares/ $ Par		Value $ (000’s)
	Electronics (0.5%)
(b)	International Business Machines Corp., 0.05%, 1/2/13		8,200,000		8,200
	Total				8,200
	Energy (0.6%)
	Xcel Energy, Inc., 0.23%, 1/7/13		10,000,000		10,000
	Total				10,000
	Federal Government & Agencies (0.1%)
	Federal Home Loan Mortgage Corp., 0.13%, 2/25/13		2,000,000		1,999
	Total				1,999
	Total Short-Term Investments
	(Cost: $20,199)				20,199
	Total Investments (99.9%)
	(Cost: $1,273,261)(a)				1,702,331
	Other Assets, Less
	Liabilities (0.1%)				2,140
	Net Assets (100.0%)				1,704,471

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

20 Index 500 Stock Portfolio

Index 500 Stock Portfolio

* Non-Income Producing

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $1,282,928 and the net unrealized appreciation of investments based on that cost was $419,403 which is comprised of $601,298 aggregate gross unrealized appreciation and $181,895 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
S&P 500 Mini Index Futures (Long) (Total Notional Value at December 31, 2012, $20,795)	293	3/13	$	9

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,682,132	$	-	$	-
Short-Term Investments		-		20,199		-
Other Financial Instruments^
Futures		9		-		-
Total	$	1,682,141	$	20,199	$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

Index 500 Stock Portfolio 21

Large Company Value Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term of capital growth. Income	Invest primarily in equity securities of larger companies	$87 million
is a secondary objective.	that are temporarily out of favor in the market.

Portfolio Overview

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

Stocks recorded strong gains in 2012, driven by the Federal Reserve’s (the Fed) extraordinary fiscal and monetary stimulus. Though the unemployment rate declined and the housing market showed signs of improvement, U.S. economic growth overall was lackluster. As a result, the Fed extended a number of its liquidity measures and launched a third round of quantitative easing (QE3). In December, the Fed identified its threshold levels for unemployment and inflation, indicating that it would continue holding short-term interest rates close to zero as long as unemployment remained above 6.5% and inflation was below 2.5%. In this environment, investors generally favored smaller and riskier companies, as measured by the relevant Russell Indices.

Portfolio Results

The Portfolio returned 16.47% for the twelve months ended December 31, 2012. By comparison, its benchmark, the Russell^®1000 Value Index (the “Index”), returned 17.51%. (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return of the Large Cap Value Funds peer group was 15.71%.

In Information Technology, which was among the weakest performing sectors in the Index, the Portfolio was hampered by an overweight relative to the Index in the semiconductor and semiconductor equipment industry. More specifically, the Portfolio was overweight Marvell Technology and Intel Corp. Shares of both companies dropped on weaker-than-expected revenues. Marvell’s hard drive business has also been affected by slowing PC sales and the company has seen weak results in its mobile and wireless business. Intel provided guidance that offered a weak outlook for its core PC business. Within computers and peripherals, an overweight in Hewlett-Packard detracted from performance. The company experienced a steady drop in revenues and struggled to regain a competitive position in the consumer and enterprise markets. It also took a significant asset-impairment charge related to its acquisition of software firm, Autonomy Corp.

In the Energy sector, which posted the second-weakest results in the Index, the Portfolio was hindered by its mix of large, integrated oil and gas companies. Many of these names declined as the global economy weakened, demand for oil fell, and fears increased about an oil supply cushion. Two of the Portfolio’s top overweights—Exxon Mobil and Chevron Corp.—detracted from the Portfolio’s relative results this year. We continued to favor these companies because they both had a track record of strong returns and continued to expand their oil and gas production capabilities.

On a positive note, the Energy sector provided notable contributor Valero Energy. Shares of the oil refiner climbed on strong earnings and the announcement it would spin off its retail business.

Although an overweight in Consumer Discretionary—the strongest performing sector in the Index—contributed positively, security selection within the sector dampened results. In specialty retailing, an overweight in Staples detracted. The office supply retailer announced a sharp drop in earnings and lowered its full-year outlook. Its shares declined further on news of a restructuring plan, including a reduction in its North American retail footprint.

In the Industrials sector, strong security selection added to results. The Portfolio held Ingersoll-Rand. The diversified industrial company started to reduce costs, boosting its profit margins as the prolonged slump in residential and commercial construction continued to weigh on demand for its products. Ingersoll-Rand’s share price also appreciated on news that activist investor Nelson Peltz had taken a position in the stock.

Forward currency exchange contracts were used to insulate the Portfolio from adverse currency movements.

Portfolio Manager Outlook

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

We continue to be bottom-up investment managers, evaluating each company individually and building our Portfolio one stock at a time. As of December 31, 2012, the Portfolio was broadly diversified, with ongoing overweight positions in the Health Care, Energy and Consumer Discretionary sectors. Our valuation work contributed to our smaller relative weightings in Utilities, Financials and Materials stocks. We are still finding greater value opportunities among mega-cap stocks and have maintained our bias toward these firms.

22 Large Company Value Portfolio

Large Company Value Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year			5 Years			Since Inception*
Large Company Value Portfolio		16.47	%		-0.13	%		-1.19	%
Russell 1000® Value Index		17.51	%		0.59	%		-0.37	%
Lipper® Variable Insurance Products (VIP) Large Cap Value Funds Average		15.71	%		0.35	%		-

* Inception date of 4/30/07

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Exxon Mobil Corp.	6.7%
General Electric Co.	3.8%
Pfizer, Inc.	3.4%
Chevron Corp.	3.4%
JPMorgan Chase & Co.	3.4%
Wells Fargo & Co.	3.2%
The Procter & Gamble Co.	2.8%
Johnson & Johnson	2.8%
Cisco Systems, Inc.	2.5%
Merck & Co., Inc.	2.3%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

Large Company Value Portfolio 23

Large Company Value Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (97.8%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (9.5%)
	Autoliv, Inc.		2,570		173
	Carnival Corp.		11,930		439
	CBS Corp. - Class B		17,260		657
	Comcast Corp. - Class A		29,470		1,102
	Ford Motor Co.		97,500		1,263
	Kohl’s Corp.		9,270		398
	Lowe’s Cos., Inc.		19,410		689
	Macy’s, Inc.		14,770		576
	Staples, Inc.		18,350		209
	Target Corp.		20,440		1,209
	Time Warner Cable, Inc.		4,260		414
	Time Warner, Inc.		24,060		1,151
	Total				8,280
	Consumer Staples (7.1%)
	Altria Group, Inc.		12,480		392
	CVS Caremark Corp.		19,500		943
	Kraft Foods Group, Inc.		6,561		298
	The Kroger Co.		24,700		643
	Mondelez International, Inc.		19,520		497
	PepsiCo, Inc.		5,710		391
	The Procter & Gamble Co.		35,770		2,428
	Wal-Mart Stores, Inc.		8,980		613
	Total				6,205
	Energy (16.6%)
	Apache Corp.		11,570		908
	Baker Hughes, Inc.		17,890		731
	Chevron Corp.		27,220		2,944
	Exxon Mobil Corp.		67,720		5,861
	National-Oilwell Varco, Inc.		11,030		754
	Occidental Petroleum Corp.		10,840		830
	Schlumberger, Ltd.		10,230		709
	Total SA, ADR		16,580		862
*	Ultra Petroleum Corp.		12,510		227
	Valero Energy Corp.		16,700		570
	Total				14,396
	Financials (25.3%)
	The Allstate Corp.		18,120		728
*	American International Group, Inc.		15,589		550
	Ameriprise Financial, Inc.		14,980		938
	Bank of America Corp.		69,460		806
	The Bank of New York Mellon Corp.		24,560		631
*	Berkshire Hathaway, Inc. - Class B		14,010		1,257
	BlackRock, Inc.		3,690		763
	The Chubb Corp.		4,400		331
	Citigroup, Inc.		48,930		1,936
	The Goldman Sachs Group, Inc.		9,320		1,189

	Common Stocks (97.8%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	JPMorgan Chase & Co.		66,730		2,934
	KeyCorp		46,500		391
	Loews Corp.		14,190		578
	MetLife, Inc.		35,280		1,162
	Morgan Stanley		15,800		302
	PNC Financial Services Group, Inc.		20,370		1,188
	Principal Financial Group, Inc.		17,830		508
	Prudential Financial, Inc.		15,740		839
	Torchmark Corp.		2,800		145
	The Travelers Cos., Inc.		12,540		901
	U.S. Bancorp		36,370		1,162
	Wells Fargo & Co.		80,920		2,766
	Total				22,005
	Health Care (13.4%)
	Abbott Laboratories		7,370		483
*	Abbott Laboratories - When Issued		6,310		198
	Aetna, Inc.		15,080		698
	Amgen, Inc.		1,930		167
*	Gilead Sciences, Inc.		3,330		245
	Johnson & Johnson		34,150		2,394
	Medtronic, Inc.		30,720		1,260
	Merck & Co., Inc.		49,280		2,017
	Pfizer, Inc.		118,780		2,979
	Quest Diagnostics, Inc.		7,420		432
	WellPoint, Inc.		12,540		764
	Total				11,637
	Industrials (9.0%)
	The ADT Corp.		3,560		165
	Avery Dennison Corp.		5,010		175
	Dover Corp.		9,590		630
	Eaton Corp. PLC		13,060		708
	General Electric Co.		156,830		3,292
	Honeywell International, Inc.		4,820		306
	Ingersoll-Rand PLC		4,140		199
	Northrop Grumman Corp.		4,820		326
	PACCAR, Inc.		12,640		571
	Raytheon Co.		9,080		523
	Southwest Airlines Co.		48,080		492
	Tyco International, Ltd.		14,480		424
	Total				7,811
	Information Technology (7.2%)
*	Adobe Systems, Inc.		8,120		306
	Applied Materials, Inc.		42,670		488
	Cisco Systems, Inc.		110,310		2,168
*	Fiserv, Inc.		850		67
	Intel Corp.		42,410		875
	Microsoft Corp.		40,150		1,073
*	NetApp, Inc.		10,550		354

	Common Stocks (97.8%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
	Oracle Corp.		28,540		951
	Total				6,282
	Materials (2.5%)
	E.I. du Pont de Nemours and Co.		7,340		330
	Freeport-McMoRan Copper & Gold, Inc.		20,380		697
	International Paper Co.		17,180		684
	Nucor Corp.		11,550		499
	Total				2,210
	Telecommunication Services (3.3%)
	AT&T, Inc.		56,100		1,891
	CenturyLink, Inc.		18,460		722
	Verizon Communications, Inc.		5,030		218
	Total				2,831
	Utilities (3.9%)
	American Electric Power Co., Inc.		11,760		502
	Exelon Corp.		9,240		275
	NV Energy, Inc.		22,240		403
	PG&E Corp.		14,420		579
	Pinnacle West Capital Corp.		10,660		544
	PPL Corp.		18,630		533
	Xcel Energy, Inc.		18,970		507
	Total				3,343
	Total Common Stocks
	(Cost: $74,880)				85,000
	Foreign Common Stocks (0.9%)
	Energy (0.9%)
(l)	Royal Dutch Shell PLC - Class A		24,190		831
	Total				831
	Total Foreign Common Stocks
	(Cost: $838)				831

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

24 Large Company Value Portfolio

Large Company Value Portfolio

Short Term Investments (1.5%)	Shares/ $ Par		Value $ (000’s)
Other Holdings (1.5%)
JPMorgan Money Market Fund		1,294,582		1,295
Total				1,295
Total Short-Term Investments
(Cost: $1,295)				1,295
Total Investments (100.2%)
(Cost: $77,013)(a)				87,126
Other Assets, Less
Liabilities (-0.2%)				(211	)
Net Assets (100.0%)				86,915

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $79,627 and the net unrealized appreciation of investments based on that cost was $7,499 which is comprised of $11,143 aggregate gross unrealized appreciation and $3,644 aggregate gross unrealized depreciation.

(h) Forward foreign currency contracts outstanding on December 31, 2012.

Type	Counterparty	Currency	Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	UBS AG	EUR	1,149	1/13	$	-	$	-	(m)	$	-	(m)
					$	-	$	-	(m)	$	-	(m)

EUR — Euro

(l) As of December 31, 2012 portfolio securities with an aggregate value of $831 (in thousands) were fair valued under procedures adopted by the Board of Directors.

(m) Amount is less than one thousand.

(o) Short Sales outstanding on 12/31/2012.

Description	Shares		Proceeds (000’s)		Value (000’s)
AbbVie, Inc. - When Issued		5,630	$	194	$	192

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

Large Company Value Portfolio 25

Large Company Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Domestic Common Stocks	$	85,000		$	-		$	-
Foreign Common Stocks		-			831			-
Short-Term Investments		1,295			-			-
Liabilities:
Short Sales		(192	)		-			-
Other Financial Instruments^
Forward Currency Contracts		-			-	(m)		-
Total	$	86,103		$	831		$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

26 Large Company Value Portfolio

Domestic Equity Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest primarily in equity securities of U.S. issuers that are selling at attractive prices relative to their intrinsic value.	$400 million

Portfolio Overview

Effective October 1, 2012, the Board of Directors of the Northwestern Mutual Series Fund, Inc. appointed Delaware Management Company, as series of Delaware Management Business Trust (“Delaware”) to act as sub-adviser to the Portfolio. Prior to that time, the Portfolio was sub-advised by Capital Guardian Trust Company (“Capital Guardian”). The Portfolio primarily invests in a core group of 30-40 equity securities of large capitalization U.S. issuers that have long-term capital appreciation potential. Typically, the Portfolio seeks securities that are 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.

Market Overview

Equity markets finished the year with solid gains despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year.

As measured by the relevant Russell Indices, large cap value stocks performed better than their growth counterparts during the past year. The value-oriented Financials sector drove strong results for value stocks, as many large financial institutions rebounded in 2012 after a number of years of lackluster results.

Portfolio Results

The Portfolio returned 14.35% for the twelve months ended December 31, 2012. By comparison, the Russell 1000^® Value Index (the “Index”) returned 17.51%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio also underperformed the 15.71% average return of its Large Cap Value Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

As noted above, prior to October 1, 2012, the Portfolio was managed by Capital Guardian. With respect to the period prior to October 1, 2012, the Portfolio underperformed the Index primarily due to stock selection and an overweight stance within the Information Technology sector, especially among semiconductors and equipment companies. Stock selection and an overweight stance in the Materials sector also pulled from relative returns.

On the positive side, stock selection within the Consumer Discretionary sector and an underweight stance in the Utilities sector contributed to relative results.

The following attribution comments relate to the period October 1, 2012 through December 31, 2012, during which Delaware acted as the Portfolio’s sub-adviser.

The Portfolio trailed the Index during the October 1, 2012 through December 31, 2012 period primarily due to an underweight position in the Financials sector, which was the second best performing sector of the Index. Stock selection within the Materials sector was also detrimental for relative results during the period.

In terms of contributors, stock selection within the Energy sector provided the biggest boost to relative results during the period. Strong stock picks in the Industrials and Consumer Discretionary sectors helped the Portfolio’s relative results as well.

Portfolio Manager Outlook

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

Looking out about five years, we are optimistic about the prospects for equities, especially those of higher quality companies trading well below their long-term average valuation multiples. While we think annualized total returns for equities during this period will be below historical averages, it is our belief that these returns will be competitive versus other asset classes. Near-term, there are several developments that could make conditions more challenging for stocks. One is that the broad market, as measured by the S&P 500^® Index, has recently been generating above-average returns that, in our view, will be difficult to sustain. A second is that the market’s valuation looks stretched to us. The price-to-earnings ratio for the S&P 500^® Index based on 5-year average earnings remains above 20.

In light of these circumstances, we remain focused on shares of companies that look demonstrably undervalued, and that have strong cash flows, manageable debt levels, diversified businesses and good dividends. To us, these represent some of the best investment opportunities in the current environment, because we think they will hold up comparatively well and have the potential to perform competitively in a market upturn.

Domestic Equity Portfolio 27

Domestic Equity Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year			5 Years			10 Years
Domestic Equity Portfolio		14.35	%		1.05	%		6.92	%
Russell 1000® Value Index		17.51	%		0.59	%		7.38	%
Lipper® Variable Insurance Products (VIP) Large Cap Value Funds Average		15.71	%		0.35	%		6.54	%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Halliburton Co.	3.3%
Lowe’s Cos., Inc.	3.2%
Cardinal Health, Inc.	3.2%
The Travelers Cos., Inc.	3.2%
Waste Management, Inc.	3.2%
The Bank of New York Mellon Corp.	3.2%
Comcast Corp. - Class A	3.2%
Cisco Systems, Inc.	3.1%
Northrop Grumman Corp.	3.1%
Johnson & Johnson	3.1%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

28 Domestic Equity Portfolio

Domestic Equity Portfolio

Schedule of Investments

December 31, 2012

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (6.4%)
Comcast Corp. - Class A		339,700		12,698
Lowe’s Cos., Inc.		365,100		12,968
Total				25,666
Consumer Staples (13.7%)
Archer-Daniels-Midland Co.		447,100		12,246
CVS Caremark Corp.		250,900		12,131
Kraft Foods Group, Inc.		262,566		11,939
Mondelez International, Inc.		293,900		7,486
Safeway, Inc.		601,600		10,883
Total				54,685
Energy (15.1%)
Chevron Corp.		112,846		12,203
ConocoPhillips		212,500		12,323
Halliburton Co.		377,700		13,102
Marathon Oil Corp.		375,600		11,516
Occidental Petroleum Corp.		148,500		11,377
Total				60,521
Financials (12.3%)
The Allstate Corp.		306,800		12,324
The Bank of New York Mellon Corp.		494,700		12,714
Marsh & McLennan Cos., Inc.		334,600		11,534
The Travelers Cos., Inc.		178,000		12,784
Total				49,356

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Health Care (18.0%)
Baxter International, Inc.		174,000		11,599
Cardinal Health, Inc.		311,800		12,840
Johnson & Johnson		176,300		12,359
Merck & Co., Inc.		269,400		11,029
Pfizer, Inc.		489,000		12,264
Quest Diagnostics, Inc.		203,000		11,829
Total				71,920
Industrials (9.4%)
Northrop Grumman Corp.		182,900		12,360
Raytheon Co.		212,600		12,237
Waste Management, Inc.		378,800		12,781
Total				37,378
Information Technology (11.9%)
Cisco Systems, Inc.		636,300		12,503
Intel Corp.		572,600		11,813
Motorola Solutions, Inc.		217,000		12,082
Xerox Corp.		1,655,400		11,290
Total				47,688
Materials (3.0%)
E.I. du Pont de Nemours and Co.		263,300		11,841
Total				11,841

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Telecommunication Services (5.8%)
AT&T, Inc.		343,200		11,569
Verizon Communications, Inc.		266,600		11,536
Total				23,105
Utilities (3.0%)
Edison International		265,900		12,016
Total				12,016
Total Common Stocks
(Cost: $380,937)				394,176
Short-Term Investments (1.3%)
Other Holdings (1.3%)
JPMorgan U.S. Government Money Market Fund		2,688,183		2,688
JPMorgan U.S. Treasury Plus Money Market Fund		2,688,183		2,688
Total				5,376
Total Short-Term Investments
(Cost: $5,376)				5,376
Total Investments (99.9%)
(Cost: $386,313)(a)				399,552
Other Assets, Less
Liabilities (0.1%)				506
Net Assets (100.0%)				400,058

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $386,314 and the net unrealized appreciation of investments based on that cost was $13,238 which is comprised of $22,056 aggregate gross unrealized appreciation and $8,818 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 –Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	394,176	$	-	$	-
Short-Term Investments		5,376		-		-
Total	$	399,552	$	-	$	-

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

Domestic Equity Portfolio 29

Equity Income Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invests in commons stocks with a focus on well-established, dividend paying companies.	$409 million

Portfolio Overview

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 65% in the stocks of well established companies paying dividends. Under normal market conditions, the Portfolio will seek to have a dividend which generally exceeds the dividend yield of the S&P 500^® Index. The Portfolio will typically employ a value approach in selecting investments, with an effort made to identify companies that appear to be undervalued by various measures and may be temporarily out of favor, but that have good prospects for capital appreciation and dividend growth.

Market Overview

U.S. stock market indices produced solid returns in 2012 despite muted U.S. economic growth, a recession and sovereign debt crisis in Europe, and a slowdown in emerging economies. Domestic stocks were supported by strong U.S. corporate earnings and actions by central banks to reduce or suppress interest rates in hopes of stimulating growth. As measured by the various Russell^® indices, mid and small cap shares narrowly surpassed their large cap counterparts, and value stocks outperformed growth stocks across all market capitalizations.

Portfolio Results

The Portfolio returned 17.23% for the twelve months ended December 31, 2012. By comparison, the Russell 1000^® Value Index (“the Index”) returned 17.51%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio outperformed the 14.99% average return of its Equity Income Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

The leading contributors to relative results were the Industrial and Business Services, Consumer Discretionary, and Materials sectors. The Telecommunication Services, Utilities and Energy sectors detracted from performance.

Stock selection and an overweight position in the Industrials and Business Services sector contributed to relative results. Shares of diversified building products company USG rose as the housing market improved. Shares of Cooper Industries advanced after diversified power products manufacturer Eaton announced it would acquire the electrical products company at a premium. The Consumer Discretionary sector contributed due to an overweight position in the Index’s strongest-performing sector.

The Materials sector contributed due to stock selection. International Paper continued to benefit from synergies related to its acquisition of Temple-Inland, as well as higher containerboard prices. The share price of Vulcan Materials rose on the expectation that Martin Marietta would renew its bid for the leading U.S. aggregates producer.

At the other end of the spectrum, the Telecommunication Services sector detracted from performance relative to the Index due to stock selection and an overweight position. Declining revenue at Telefonica, Europe’s largest integrated telecommunications operator, hurt the company’s share price, reflecting economic problems in Spain

Stock selection in the Utilities sector detracted from performance relative to the Index. Exelon and Entergy suffered, as low natural gas prices more than offset improvements in the supply and demand balance for power, resulting in lower power prices and lower earnings power for coal and nuclear power producers.

Portfolio Manager Outlook

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

We are reasonably optimistic that the policymakers in Washington will come up with a compromise on government spending. We expect the U.S. economy to grow in the range of 2% to 3% in 2013. We are encouraged by positive trends in the housing industry and unemployment rate. In our view, the main impediments to global growth remain the same as last year: an economic slowdown in China and sovereign debt problems in Europe. In addition, continuing turmoil in the Middle East carries the potential to escalate into more widespread violence.

We continue to seek opportunities to invest in high quality companies selling at attractive valuations with good dividend yields. We are currently finding value in select Energy and Information Technology stocks. We maintain our focus on investing in quality companies that are well managed, with strong competitive and financial positions and attractive value characteristics. In most cases, we also prefer firms with histories of providing attractive dividend yields.

30 Equity Income Portfolio

Equity Income Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year			5 Years			Since Inception*
Equity Income Portfolio		17.23	%		1.39	%		7.18	%
Russell 1000® Value Index		17.51	%		0.59	%		7.26	%
Lipper® Variable Insurance Products (VIP) Equity Income Funds Average		14.99	%		0.78	%		-

* Inception date of 5/1/03

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 5/1/03 (commencement of the Portfolio’s operations). 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
General Electric Co.	2.7%
JPMorgan Chase & Co.	2.6%
Chevron Corp.	2.4%
Exxon Mobil Corp.	2.1%
Wells Fargo & Co.	1.9%
AT&T, Inc.	1.8%
Royal Dutch Shell PLC - Class A, ADR	1.6%
U.S. Bancorp	1.6%
American Express Co.	1.5%
International Paper Co.	1.4%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

Equity Income Portfolio 31

Equity Income Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (93.9%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (11.3%)
	Cablevision Systems Corp. - Class A		111,100		1,660
	Carnival Corp.		57,500		2,114
	Comcast Corp. - Class A		68,100		2,545
	Ford Motor Co.		170,400		2,207
	Genuine Parts Co.		32,600		2,073
	Hasbro, Inc.		41,000		1,472
	Johnson Controls, Inc.		70,600		2,167
	Kohl’s Corp.		85,400		3,670
	Macy’s, Inc.		62,500		2,439
*	Madison Square Garden, Inc. - Class A		37,050		1,643
	Mattel, Inc.		114,600		4,197
	The McGraw-Hill Cos., Inc.		69,100		3,778
*	The New York Times Co. - Class A		117,600		1,003
	Staples, Inc.		212,800		2,426
	Tiffany & Co.		7,100		407
	Time Warner, Inc.		111,300		5,323
	The Walt Disney Co.		78,100		3,889
	Whirlpool Corp.		27,400		2,788
	WPP PLC, ADR		5,400		394
	Total				46,195
	Consumer Staples (5.6%)
	Archer-Daniels-Midland Co.		124,900		3,421
	Avon Products, Inc.		164,000		2,355
	Campbell Soup Co.		99,000		3,454
	The Clorox Co.		54,000		3,954
	ConAgra Foods, Inc.		63,800		1,882
	Energizer Holdings, Inc.		20,800		1,664
	McCormick & Co., Inc.		29,400		1,868
	PepsiCo, Inc.		50,000		3,421
	The Procter & Gamble Co.		12,300		835
	Total				22,854
	Energy (14.0%)
	Anadarko Petroleum Corp.		53,700		3,990
	Apache Corp.		43,700		3,431
	BP PLC, ADR		55,300		2,303
	Chevron Corp.		90,400		9,776
	ConocoPhillips		29,400		1,705
	CONSOL Energy, Inc.		87,000		2,793
	Diamond Offshore Drilling, Inc.		45,900		3,119
	Exxon Mobil Corp.		101,200		8,759
	Hess Corp.		66,700		3,532
	Murphy Oil Corp.		76,900		4,579
	Petroleo Brasileiro SA, ADR		60,200		1,172
	Royal Dutch Shell PLC - Class A, ADR		96,400		6,647
	Schlumberger, Ltd.		55,300		3,832
	Spectra Energy Corp.		52,550		1,439
	Total				57,077

Common Stocks (93.9%)	Shares/ $ Par		Value $ (000’s)
Financials (20.1%)
The Allstate Corp.		115,300		4,632
American Express Co.		109,300		6,283
Bank of America Corp.		434,123		5,036
The Bank of New York Mellon Corp.		96,900		2,490
Capital One Financial Corp.		47,200		2,734
The Chubb Corp.		24,100		1,815
JPMorgan Chase & Co.		241,488		10,618
Legg Mason, Inc.		106,300		2,734
Lincoln National Corp.		77,776		2,014
Loews Corp.		32,900		1,341
Marsh & McLennan Cos., Inc.		127,200		4,385
Northern Trust Corp.		76,200		3,822
Och-Ziff Capital Management Group - Class A		58,400		555
PNC Financial Services Group, Inc.		72,100		4,204
Regions Financial Corp.		180,500		1,285
SLM Corp.		166,600		2,854
Sun Life Financial, Inc.		59,300		1,573
SunTrust Banks, Inc.		126,800		3,595
U.S. Bancorp		205,500		6,564
Wells Fargo & Co.		223,700		7,646
Weyerhaeuser Co.		109,635		3,050
Willis Group Holdings PLC		53,500		1,794
XL Group PLC		51,600		1,293
Total				82,317
Health Care (7.1%)
Agilent Technologies, Inc.		37,300		1,527
Amgen, Inc.		21,600		1,864
Bristol-Myers Squibb Co.		97,800		3,187
Johnson & Johnson		77,300		5,419
Merck & Co., Inc.		111,300		4,557
Pfizer, Inc.		205,026		5,142
Quest Diagnostics, Inc.		35,900		2,092
Thermo Fisher Scientific, Inc.		83,900		5,351
Total				29,139
Industrials (14.1%)
3M Co.		59,900		5,562
Avery Dennison Corp.		28,800		1,006
The Boeing Co.		44,700		3,369
Eaton Corp. PLC		36,570		1,982
Emerson Electric Co.		88,800		4,703
General Electric Co.		525,300		11,026
Honeywell International, Inc.		69,100		4,386
Illinois Tool Works, Inc.		83,200		5,059
Ingersoll-Rand PLC		50,100		2,403
Lockheed Martin Corp.		21,000		1,938
Masco Corp.		120,200		2,002
Norfolk Southern Corp.		67,900		4,199

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

32 Equity Income Portfolio

Equity Income Portfolio

	Common Stocks (93.9%)	Shares/ $ Par		Value $ (000’s)
	Industrials continued
*	United Continental Holdings, Inc.		125,900		2,943
	United Parcel Service, Inc. - Class B		53,400		3,937
	United Technologies Corp.		8,300		681
*	USG Corp.		51,800		1,454
	Xylem, Inc.		38,000		1,030
	Total				57,680
	Information Technology (8.1%)
	Analog Devices, Inc.		68,000		2,860
	Applied Materials, Inc.		207,000		2,368
	CA, Inc.		42,000		923
	Cisco Systems, Inc.		171,100		3,362
	Computer Sciences Corp.		86,400		3,460
	Corning, Inc.		238,200		3,006
	Dell, Inc.		275,300		2,789
*	First Solar, Inc.		21,700		670
	Harris Corp.		78,300		3,834
	Hewlett-Packard Co.		98,300		1,401
	Microsoft Corp.		184,300		4,926
	Nokia Corp. OYJ, ADR		240,300		949
	Texas Instruments, Inc.		80,400		2,488
	Total				33,036
	Materials (4.8%)
	Cliffs Natural Resources, Inc.		35,900		1,384
	E.I. du Pont de Nemours and Co.		43,700		1,965
	International Paper Co.		143,500		5,717
	MeadWestvaco Corp.		66,400		2,116
	Newmont Mining Corp.		25,000		1,161
	Nucor Corp.		95,800		4,137
	Vulcan Materials Co.		60,400		3,144
	Total				19,624
	Telecommunication Services (3.2%)
	AT&T, Inc.		216,035		7,283
	CenturyLink, Inc.		55,190		2,159
	Verizon Communications, Inc.		84,100		3,639
	Total				13,081
	Utilities (5.6%)
	The AES Corp.		99,600		1,066
	Duke Energy Corp.		82,000		5,231
	Entergy Corp.		64,200		4,093
	Exelon Corp.		116,900		3,477
	FirstEnergy Corp.		37,700		1,574
	NiSource, Inc.		165,900		4,129
	TECO Energy, Inc.		42,300		709
	Xcel Energy, Inc.		97,800		2,612
	Total				22,891
	Total Common Stocks
	(Cost: $348,767)				383,894

	Foreign Common Stocks (0.8%)	Country	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (0.2%)
(l)	WPP PLC	United Kingdom		57,461		836
	Total					836
	Telecommunication Services (0.6%)
(l)	Telefonica SA	Spain		80,725		1,095
(l)	Vodafone Group PLC	United Kingdom		492,427		1,239
	Total					2,334
	Total Foreign Common Stocks
	(Cost: $3,283)					3,170
	Preferred Stocks (0.6%)
	Consumer Discretionary (0.6%)
	General Motors Co., Series B, 4.75%, 12/1/13			56,300		2,484
	Total Preferred Stocks
	(Cost: $2,648)					2,484
	Short-Term Investments (4.6%)
	Other Holdings (4.6%)
	T. Rowe Price Reserve Investment Fund			19,020,794		19,021
	Total					19,021
	Total Short-Term Investments
	(Cost: $19,021)					19,021
	Total Investments (99.9%)
	(Cost: $373,719)(a)					408,569
	Other Assets, Less
	Liabilities (0.1%)					528
	Net Assets (100.0%)					409,097

The Accompanying Notes are an Integral Part of the Financial Statements

Equity Income Portfolio 33

Equity Income Portfolio

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $374,685 and the net unrealized appreciation of investments based on that cost was $33,884 which is comprised of $57,048 aggregate gross unrealized appreciation and $23,164 aggregate gross unrealized depreciation.

(l) As of December 31, 2012 portfolio securities with an aggregate value of $3,170 (in thousands) were fair valued under procedures adopted by the Board of Directors.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Domestic Common Stocks	$	383,894	$	-	$	-
Foreign Common Stocks		-		3,170		-
Preferred Stocks		2,484		-		-
Short-Term Investments		19,021		-		-
Total	$	405,399	$	3,170	$	-

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

34 Equity Income Portfolio

Mid Cap Growth Stock Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invests primarily in equity securities of mid-sized companies with potential for above average growth.	$829 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Mid Cap Growth Stock Portfolio (the “Portfolio”). Normally, the Portfolio invests in stocks of mid-sized companies. In keeping with its growth strategy, the Portfolio selects companies for their above average growth potential, giving consideration to factors such as company management, growth rate of revenues and earnings, opportunities for margin expansion, strong financial characteristics and attractive valuations.

Market Overview

Equity markets finished the year with solid gains despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented throughout the world. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year.

Portfolio Results

The Portfolio returned 11.97% for the twelve months ended December 31, 2012. By comparison, the Russell^® Midcap Growth Index returned 15.81%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio trailed the 14.20% average return of its Mid Cap Growth Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

Holdings in the Information Technology sector were responsible for the majority of the Portfolio’s underperformance relative to the Index. The leading detractors in the software industry were Informatica Corp., Fortinet Inc. and AutoDesk Inc. The information services industry was another source of weakness. Verifone Systems, a maker of credit card scanners, declined on poor execution and fear that its product would be replaced by smart phone technology. Global Payments, a payments processor, had a highly publicized security breach, sending its shares lower. In the computer industry, the Portfolio’s holding in NetApp Inc. detracted from performance. The company suffered from poor execution and sluggish business spending.

Holdings in the Healthcare sector also detracted from performance relative to the Index. The performance of the Healthcare sector was led by a sharp rally in biotechnology stocks during 2012. From a fundamental perspective, picking the winners and losers in biotechnology requires an investor to assume considerable risk, looking several years into the future to determine the products that may or may not pan out. As such, the Portfolio held an underweight position in the biotechnology industry, avoiding Regeneron Pharmaceuticals Inc. and Amylin Inc., two biotechnology stocks that had remarkably strong returns.

On the positive side, holdings in the Telecommunications Sector helped offset some of the Portfolio’s underperformance. A relatively large position in SBA Communications Corp. generated strong returns for the Portfolio, as the stock outperformed on consistent earnings growth. Within the Consumer Discretionary sector, the Portfolio also experienced higher returns than the Index. A significant overweight in Polaris Industries helped relative performance, as the maker of all terrain vehicles rose on improving profit margins and increasing market share. Similarly, the Portfolio’s substantial holdings in Chicos FAS Inc. worked for the Portfolio, as the stock rallied sharply on solid execution.

Portfolio Manager Outlook

We are a taking a cautious view going into 2013. We expect the market to remain volatile as resolution about the “Fiscal Cliff” remains in the headlines and the resulting uncertainty swings the market around. Once resolved, we expect enterprise spending to improve, which could provide a nice tailwind for many industries. An improving Chinese economy should also provide many companies with a better outlook for future growth. However, we remain concerned that the improved global economy could lead to higher commodity prices and in turn higher inflation, as we enter the back half of the year. This could potentially cool off growth and weigh on the valuations of many stocks, making the investing environment more challenging. Therefore, we believe 2013 will be similar to the last couple of years, where the market can have solid rallies, followed by corrections that lead to a range bound market for the year.

Mid Cap Growth Stock Portfolio 35

Mid Cap Growth Stock Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
Mid Cap Growth Stock Portfolio		11.97%		0.59%		6.97%
Russell MidCap® Growth Index		15.81%		3.23%		10.32%
Lipper® Variable Insurance Products (VIP) Mid Cap Growth Funds Average		14.20%		1.96%		9.17%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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 small and medium-sized companies involves a greater degree of risk than investing in large company stocks.

The Portfolio may invest in derivative instruments for hedging purposes, as a cash management strategy or to earn income. Use of these instruments may involve certain costs and imposes certain 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
SBA Communications Corp. - Class A	2.7%
Alliance Data Systems Corp.	2.3%
Global Payments, Inc.	2.1%
Airgas, Inc.	2.1%
Corrections Corp. of America	2.0%
Robert Half International, Inc.	1.9%
AmerisourceBergen Corp.	1.9%
Kansas City Southern	1.8%
B/E Aerospace, Inc.	1.8%
Raymond James Financial, Inc.	1.8%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

36 Mid Cap Growth Stock Portfolio

Mid Cap Growth Stock Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (89.1%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (19.0%)
*	Bed Bath & Beyond, Inc.		136,223		7,616
*	BorgWarner, Inc.		170,600		12,218
	Brunswick Corp.		239,400		6,964
	Chico’s FAS, Inc.		733,301		13,537
	Coach, Inc.		106,200		5,895
	Dick’s Sporting Goods, Inc.		107,600		4,895
	The Gap, Inc.		155,300		4,821
*	LKQ Corp.		523,000		11,035
	Macy’s, Inc.		262,500		10,243
	Marriott International, Inc. - Class A		153,400		5,717
	The McGraw-Hill Cos., Inc.		245,100		13,400
*	O’Reilly Automotive, Inc.		141,260		12,632
*	Penn National Gaming, Inc.		149,900		7,362
	Polaris Industries, Inc.		168,700		14,196
	Ralph Lauren Corp.		22,400		3,358
	Ross Stores, Inc.		183,200		9,920
	Scripps Networks Interactive - Class A		90,200		5,224
	Ulta Salon, Cosmetics & Fragrance, Inc.		49,900		4,903
	Wynn Resorts, Ltd.		33,600		3,780
	Total				157,716
	Consumer Staples (6.1%)
	Beam, Inc.		216,200		13,208
	Church & Dwight Co., Inc.		232,500		12,455
	McCormick & Co., Inc.		225,900		14,351
	Mead Johnson Nutrition Co.		164,900		10,865
	Total				50,879
	Energy (4.4%)
*	Cameron International Corp.		141,800		8,006
*	Concho Resources, Inc.		106,000		8,539
*	FMC Technologies, Inc.		143,600		6,150
	Noble Energy, Inc.		93,400		9,503
*	Southwestern Energy Co.		122,300		4,086
	Total				36,284
	Financials (4.7%)
*	CBRE Group, Inc.		640,800		12,752
*	IntercontinentalExchange, Inc.		57,683		7,142
	Lazard, Ltd. - Class A		144,300		4,306
	Raymond James Financial, Inc.		376,000		14,487
	Total				38,687

	Common Stocks (89.1%)	Shares/ $ Par		Value $ (000’s)
	Health Care (10.5%)
*	Alexion Pharmaceuticals, Inc.		37,800		3,546
	AmerisourceBergen Corp.		364,500		15,739
*	Catamaran Corp.		229,400		10,807
*	Cerner Corp.		106,300		8,253
*	DaVita, Inc.		95,150		10,517
*	Express Scripts Holding Co.		79,700		4,304
*	IDEXX Laboratories, Inc.		102,712		9,532
*	Mettler-Toledo International, Inc.		46,300		8,950
*	Mylan, Inc.		131,900		3,625
	Perrigo Co.		84,500		8,790
*	Vertex Pharmaceuticals, Inc.		77,500		3,250
	Total				87,313
	Industrials (18.4%)
*	B/E Aerospace, Inc.		295,000		14,573
	Corrections Corp. of America		472,400		16,756
	Cummins, Inc.		98,946		10,721
	Dover Corp.		170,200		11,184
*	Fortune Brands Home & Security, Inc.		127,200		3,717
	Graco, Inc.		222,000		11,431
	Kansas City Southern		175,600		14,659
	Knight Transportation, Inc.		311,800		4,562
	MSC Industrial Direct Co., Inc. - Class A		93,700		7,063
*	Owens Corning, Inc.		219,300		8,112
	Regal-Beloit Corp.		119,958		8,453
	Robert Half International, Inc.		501,200		15,948
	Roper Industries, Inc.		105,300		11,739
*	WESCO International, Inc.		200,860		13,544
	Total				152,462
	Information Technology (17.7%)
*	Alliance Data Systems Corp.		134,100		19,412
	Amphenol Corp. - Class A		145,000		9,381
*	Aruba Networks, Inc.		203,500		4,223
	Avago Technologies, Ltd.		207,500		6,569
*	Citrix Systems, Inc.		139,900		9,198
*	F5 Networks, Inc.		93,100		9,045
*	Fortinet, Inc.		464,100		9,779
*	Freescale Semiconductor Holdings I, Ltd.		347,100		3,821
	Global Payments, Inc.		378,600		17,151
	Microchip Technology, Inc.		244,095		7,955

	Common Stocks (89.1%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	NetApp, Inc.		138,300		4,640
*	NetSuite, Inc.		41,500		2,793
*	Red Hat, Inc.		112,700		5,969
*	ServiceNow, Inc.		59,069		1,774
*	Skyworks Solutions, Inc.		207,600		4,214
*	Teradata Corp.		80,200		4,964
*	TIBCO Software, Inc.		196,600		4,327
*	VeriFone Systems, Inc.		416,200		12,353
*	Zebra Technologies Corp. - Class A		239,800		9,419
	Total				146,987
	Materials (5.5%)
	Airgas, Inc.		187,761		17,141
	CF Industries Holdings, Inc.		38,700		7,862
	PPG Industries, Inc.		100,100		13,549
	Westlake Chemical Corp.		87,900		6,970
	Total				45,522
	Telecommunication Services (2.8%)
*	SBA Communications Corp. - Class A		319,600		22,698
	Total				22,698
	Total Common Stocks
	(Cost: $623,270)				738,548
	Short-Term Investments (10.8%)
	Autos (1.2%)
	American Honda Finance Corp., 0.14%, 1/25/13		10,000,000		9,999
	Total				9,999
	Consumer Products/Retailing (1.2%)
	Wal-Mart Stores, Inc., 0.10%, 1/30/13		10,000,000		9,999
	Total				9,999
	Electric Utilities (2.0%)
	American Electric Power Co., Inc., 0.30%, 1/2/13		6,200,000		6,200
	Emerson Electric Co., 0.11%, 1/16/13		10,000,000		9,999
	Total				16,199
	Federal Government & Agencies (1.6%)
	Federal Home Loan Mortgage Corp., 0.12%, 2/27/13		10,000,000		9,999
(b)	Federal Home Loan Mortgage Corp., 0.12%, 3/4/13		3,000,000		3,000
	Total				12,999

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

Mid Cap Growth Stock Portfolio 37

Mid Cap Growth Stock Portfolio

Short-Term Investments (10.8%)	Shares/ $ Par	Value $ (000’s)
Finance Services (3.0%)
Alpine Securitization Corp., 0.18%, 1/22/13	10,000,000		9,999
Govco LLC, 0.23%, 1/22/13	10,000,000		9,999
Jupiter Securitization Co. LLC, 0.16%, 2/4/13	5,000,000		4,999
Total			24,997

Short-Term Investments (10.8%)	Shares/ $ Par	Value $ (000’s)
Personal Credit Institutions (0.6%)
Old Line Funding LLC, 0.19%, 3/25/13	5,000,000		4,999
Total			4,999
Restaurants (0.6%)
Darden Restaurants, Inc., 0.28%, 1/2/13	5,000,000		5,000
Total			5,000

Short-Term Investments (10.8%)	Shares/ $ Par	Value $ (000’s)
Retail Food and Drug (0.6%)
CVS Caremark Corp., 0.28%, 1/2/13	5,000,000		5,000
Total			5,000
Total Short-Term Investments
(Cost: $89,190)			89,192
Total Investments (99.9%)
(Cost: $712,460)(a)			827,740
Other Assets, Less
Liabilities (0.1%)			1,213
Net Assets (100.0%)			828,953

* Non-Income Producing

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $714,281 and the net unrealized appreciation of investments based on that cost was $113,459 which is comprised of $126,959 aggregate gross unrealized appreciation and $13,500 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
S&P 400 Mini Index Futures (Long) (Total Notional Value at December 31, 2012, $58,883)	583	3/13	$	471

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	738,548	$	-	$	-
Short-Term Investments		-		89,192		-
Other Financial Instruments^
Futures		471		-		-
Total	$	739,019	$	89,192	$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

38 Mid Cap Growth Stock Portfolio

Index 400 Stock Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P MidCap 400® Index.	Invest in stocks that make up the S&P MidCap 400® Index, holding each stock in approximately the same proportion as its weighting in the Index.	$479 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Index 400 Stock Portfolio (the “Portfolio”). The Portfolio seeks investment results that approximate the performance of the S&P MidCap 400^® Index (the “Index”), which is composed of the stocks of companies whose capitalizations generally are smaller than those of companies that comprise the S&P 500^® Index. The Index does not include the very large issues that account for most of the weighting in the S&P 500^® Index. The Portfolio attempts to achieve its objective by investing all, or substantially all, of its assets in the stocks that make up the 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^® Index stock futures and, to a lesser extent, swap agreements, to help achieve full replication.

Market Overview

Equity markets finished the year with solid gains (as measured by the Index) despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year. In that environment, mid cap stocks outperformed shares of large and small sized companies. For the year, returns for the S&P 500^®, MidCap 400^®, and SmallCap 600^® Indices were 16.00%, 17.88%, and 16.33%, respectively.

Within the S&P 400 Index^®, every economic sector posted a positive return. The Healthcare sector had the biggest gains, led by biotechnology stocks. Stocks in the Consumer Discretionary sector also outperformed the aggregate Index, reflecting strong demand for mid-sized apparel companies, homebuilders and specialty retail. The economically sensitive Industrials and Materials sectors also had strongly positive results. The Information Technology sector trailed the broader Index—slow capital spending weighed on several technology industries. The Financials sector performed in line with the Index despite a strong performance from Real Estate Investment Trusts (REITs).

Stocks in the Energy sector lagged the benchmark by a considerable margin, as relatively flat oil and natural gas prices restrained profits. Similarly, the traditionally defensive Utilities sector had a modest positive return.

Portfolio Results

The Index 400 Stock Portfolio had a total return of 17.64% in the twelve months ended December 31, 2012. That was in line with the 17.88% return of the Index. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) 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. The average return for the Portfolio’s peer group, Mid Cap Core Funds, was 16.07%, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency. However, the Mid Cap Core Funds peer group is not strictly comparable to the Portfolio because many of the funds in the group are actively managed.

As the Portfolio seeks to track the performance and weightings of stocks in the Index, the portfolio managers make adjustments to the Portfolio’s holdings as the Index changes. Standard & Poor’s modifies the composition of the Index as companies go public or private, merge, divest or have major changes in market capitalization. Additionally, Standard & Poor’s adjusts the Index to better reflect the companies that are most representative of the composition of the U.S. economy. During 2012, there were 24 stocks added to the Index, and a like number of companies were eliminated. The portfolio managers try to make these adjustments in a way that minimizes the cost and market impact of trading.

Portfolio Manager Outlook

We have a cautiously optimistic view of equity markets heading into 2013. Currently, stocks appear relatively attractive given reasonable valuations, record high profit margins and cash positions, as well as relatively low energy prices. Extremely low interest rates have also led to improving fundamentals in the housing market and steady increases in employment.

Nevertheless, the market still faces a number of risks—from uncertainty surrounding further economic stimulus and concerns over the developed world’s ongoing debt crisis, among others—that have the potential for creating a volatile market environment for the foreseeable future.

Index 400 Stock Portfolio 39

Index 400 Stock Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
Index 400 Stock Portfolio		17.64%		4.93%		10.30%
S&P MidCap 400® Index		17.88%		5.14%		10.52%
Lipper® Variable Insurance Products (VIP) Mid Cap Core Funds Average		16.07%		2.82%		8.96%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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^®”, “S&P^®”, “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 small and medium-sized companies involves a greater degree of risk than investing in large company stocks.

The Portfolio may invest in derivative instruments such as futures and swap agreements 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 Equity Holdings 12/31/12

Security Description	% of Net Assets
Regeneron Pharmaceuticals, Inc.		1.1%
Equinix, Inc.		0.8%
HollyFrontier Corp.		0.8%
Kansas City Southern		0.8%
AMETEK, Inc.		0.8%
Vertex Pharmaceuticals, Inc.		0.8%
Rackspace Hosting, Inc.		0.7%
The Macerich Co.		0.7%
PVH Corp.		0.6%
Trimble Navigation, Ltd.		0.6%

Sector Allocation 12/31/12

Sector Allocation is based on equities.

Sector Allocation and Top 10 Holdings are subject to change.

40 Index 400 Stock Portfolio

Index 400 Stock Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (13.0%)
	Aaron’s, Inc.		27,700		783
	Advance Auto Parts, Inc.		28,900		2,091
*	Aeropostale, Inc.		30,875		402
*	AMC Networks, Inc. - Class A		22,600		1,119
	American Eagle Outfitters, Inc.		71,050		1,457
*	Ann, Inc.		19,050		645
*	Ascena Retail Group, Inc.		49,600		917
*	Bally Technologies, Inc.		16,200		724
*	Barnes & Noble, Inc.		14,900		225
	Bob Evans Farms, Inc.		11,100		446
	Brinker International, Inc.		28,775		892
*	Cabela’s, Inc.		18,200		760
*	Carter’s, Inc.		20,000		1,113
	The Cheesecake Factory, Inc.		19,650		643
	Chico’s FAS, Inc.		65,600		1,211
	Cinemark Holdings, Inc.		40,300		1,047
*	Deckers Outdoor Corp.		13,900		560
	DeVry, Inc.		22,500		534
	Dick’s Sporting Goods, Inc.		38,700		1,760
*	DreamWorks Animation SKG, Inc. - Class A		28,300		469
	Foot Locker, Inc.		59,400		1,908
	Gentex Corp.		56,200		1,058
	Guess?, Inc.		24,200		594
*	Hanesbrands, Inc.		38,600		1,383
	HSN, Inc.		14,300		788
	International Speedway Corp. - Class A		10,100		279
*	Jarden Corp.		28,900		1,494
	John Wiley & Sons, Inc. - Class A		18,500		720
	KB Home		30,200		477
*	Lamar Advertising Co. - Class A		21,800		845
*	Life Time Fitness, Inc.		15,800		778
*	LKQ Corp.		117,100		2,471
	M.D.C. Holdings, Inc.		15,300		562
	Matthews International Corp. - Class A		10,800		347
	Meredith Corp.		14,200		489
*	Mohawk Industries, Inc.		22,900		2,072
*	The New York Times Co. - Class A		48,000		409
*	NVR, Inc.		1,800		1,656
*	Office Depot, Inc.		112,400		369
*	Panera Bread Co. - Class A		11,100		1,763
	Polaris Industries, Inc.		25,300		2,129
	PVH Corp.		27,800		3,086
	Regis Corp.		22,700		384
	Rent-A-Center, Inc.		23,200		797
*	Saks, Inc.		40,000		420

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary continued
	Scholastic Corp.		10,400		307
*	Scientific Games Corp. - Class A		20,800		180
	Service Corp. International		83,800		1,157
	Signet Jewelers, Ltd.		31,900		1,703
	Sotheby’s		26,700		898
	Strayer Education, Inc.		4,700		264
*	Tempur-Pedic International, Inc.		23,500		740
	Thor Industries, Inc.		17,300		648
*	Toll Brothers, Inc.		59,000		1,908
	Tractor Supply Co.		27,800		2,456
	Tupperware Brands Corp.		21,800		1,397
*	Under Armour, Inc.		30,500		1,480
	Valassis Communications, Inc.		15,500		400
*	The Warnaco Group, Inc.		16,100		1,152
	The Wendy’s Co.		110,900		521
	Williams-Sonoma, Inc.		34,000		1,488
*	WMS Industries, Inc.		21,500		376
	Total				62,151
	Consumer Staples (3.7%)
	Church & Dwight Co., Inc.		55,100		2,952
	Energizer Holdings, Inc.		24,400		1,952
	Flowers Foods, Inc.		45,200		1,052
*	Green Mountain Coffee Roasters, Inc.		48,500		2,006
	Harris Teeter Supermarkets, Inc.		19,400		748
	Hillshire Brands Co.		48,200		1,356
	Ingredion, Inc.		30,201		1,946
	Lancaster Colony Corp.		7,600		526
*	Post Holdings, Inc.		12,850		440
*	Ralcorp Holdings, Inc.		21,700		1,945
*	Smithfield Foods, Inc.		49,200		1,061
	SUPERVALU, INC.		84,100		208
	Tootsie Roll Industries, Inc.		8,077		209
*	United Natural Foods, Inc.		19,400		1,040
	Universal Corp.		9,200		459
	Total				17,900
	Energy (5.9%)
*	Alpha Natural Resources, Inc.		86,900		846
	Arch Coal, Inc.		83,600		612
*	Atwood Oceanics, Inc.		22,400		1,026
*	Bill Barrett Corp.		19,000		338
	CARBO Ceramics, Inc.		7,700		603
	Cimarex Energy Co.		34,100		1,969
*	Dresser-Rand Group, Inc.		29,800		1,673
*	Dril-Quip, Inc.		14,300		1,045
	Energen Corp.		28,400		1,280

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Energy continued
*	Forest Oil Corp.		46,600		312
*	Helix Energy Solutions Group, Inc.		38,600		797
	HollyFrontier Corp.		79,780		3,714
*	Northern Oil and Gas, Inc.		23,300		392
	Oceaneering International, Inc.		42,500		2,286
*	Oil States International, Inc.		21,600		1,545
	Patterson-UTI Energy, Inc.		58,800		1,095
*	Plains Exploration & Production Co.		50,866		2,388
*	Quicksilver Resources, Inc.		47,000		134
*	Rosetta Resources, Inc.		20,700		939
	SM Energy Co.		26,000		1,357
*	Superior Energy Services, Inc.		62,100		1,287
	Tidewater, Inc.		19,600		876
*	Unit Corp.		17,000		766
	World Fuel Services Corp.		28,400		1,169
	Total				28,449
	Financials (21.6%)
*	Affiliated Managers Group, Inc.		20,400		2,655
*	Alexander & Baldwin, Inc.		16,900		496
	Alexandria Real Estate Equities, Inc.		25,100		1,740
*	Alleghany Corp.		6,700		2,247
	American Campus Communities, Inc.		41,200		1,901
	American Financial Group, Inc.		29,850		1,180
	Apollo Investment Corp.		79,904		668
	Arthur J. Gallagher & Co.		49,000		1,698
	Aspen Insurance Holdings, Ltd.		28,000		898
	Associated Banc-Corp.		67,663		888
	Astoria Financial Corp.		32,200		301
	BancorpSouth, Inc.		32,700		475
	Bank of Hawaii Corp.		17,700		780
	BioMed Realty Trust, Inc.		60,800		1,175
	BRE Properties, Inc.		30,300		1,540
	Brown & Brown, Inc.		46,500		1,184
	Camden Property Trust		33,100		2,258
	Cathay General Bancorp		28,900		564
	CBOE Holdings, Inc.		34,400		1,013
	City National Corp.		18,700		926
	Commerce Bancshares, Inc.		30,672		1,075
	Corporate Office Properties Trust		31,800		794
	Cullen/Frost Bankers, Inc.		24,200		1,313

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

Index 400 Stock Portfolio 41

Index 400 Stock Portfolio

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	Duke Realty Corp.		108,400		1,503
	East West Bancorp, Inc.		55,300		1,188
	Eaton Vance Corp.		45,400		1,446
	Equity One, Inc.		24,300		511
	Essex Property Trust, Inc.		14,400		2,112
	Everest Re Group, Ltd.		20,400		2,243
	Federal Realty Investment Trust		25,500		2,653
	Federated Investors, Inc. - Class B		37,500		759
	Fidelity National Financial, Inc. - Class A		83,491		1,966
	First American Financial Corp.		42,000		1,012
	First Niagara Financial Group, Inc.		138,910		1,102
	FirstMerit Corp.		43,210		613
	Fulton Financial Corp.		78,500		754
	Greenhill & Co., Inc.		10,400		541
	Hancock Holding Co.		33,400		1,060
	Hanover Insurance Group, Inc.		17,600		682
	HCC Insurance Holdings, Inc.		39,950		1,487
	Highwoods Properties, Inc.		30,900		1,034
	Home Properties, Inc.		20,200		1,238
	Hospitality Properties Trust		48,700		1,141
	International Bancshares Corp.		21,500		388
	Janus Capital Group, Inc.		73,800		629
	Jefferies Group, Inc.		50,400		936
	Jones Lang LaSalle, Inc.		17,400		1,461
	Kemper Corp.		21,400		631
	Liberty Property Trust		46,600		1,667
	The Macerich Co.		53,788		3,136
	Mack-Cali Realty Corp.		32,700		854
	Mercury General Corp.		14,300		568
*	MSCI, Inc.		48,100		1,491
	National Retail Properties, Inc.		43,400		1,354
	New York Community Bancorp, Inc.		173,021		2,267
	Old Republic International Corp.		95,075		1,013
	OMEGA Healthcare Investors, Inc.		44,100		1,052
	Potlatch Corp.		15,947		625
	Prosperity Bancshares, Inc.		17,300		727
	Protective Life Corp.		31,200		892
	Raymond James Financial, Inc.		43,925		1,692
	Rayonier, Inc.		48,499		2,514
	Realty Income Corp.		52,600		2,115
	Regency Centers Corp.		35,600		1,677
	Reinsurance Group of America, Inc.		29,100		1,557
	SEI Investments Co.		53,100		1,239

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	Senior Housing Properties Trust		69,600		1,645
*	Signature Bank		18,200		1,298
	SL Green Realty Corp.		35,600		2,729
	StanCorp Financial Group, Inc.		17,400		638
*	SVB Financial Group		17,500		979
	Synovus Financial Corp.		309,900		759
	Taubman Centers, Inc.		24,300		1,913
	TCF Financial Corp.		64,400		782
	Trustmark Corp.		25,500		573
	UDR, Inc.		98,602		2,345
	Valley National Bancorp		77,886		724
	W.R. Berkley Corp.		43,350		1,636
	Waddell & Reed Financial, Inc. - Class A		33,700		1,173
	Washington Federal, Inc.		41,865		706
	Webster Financial Corp.		31,600		649
	Weingarten Realty Investors		44,000		1,178
	Westamerica Bancorporation		10,800		460
	Total				103,486
	Health Care (9.2%)
*	Allscripts Healthcare Solutions, Inc.		67,600		637
*	Bio-Rad Laboratories, Inc. - Class A		7,900		830
*	Charles River Laboratories International, Inc.		19,100		716
	Community Health Systems, Inc.		35,900		1,104
	The Cooper Cos., Inc.		18,900		1,748
*	Covance, Inc.		21,600		1,248
*	Endo Pharmaceuticals Holdings, Inc.		45,000		1,182
*	Health Management Associates, Inc. - Class A		101,000		941
*	Health Net, Inc.		32,000		778
*	Henry Schein, Inc.		34,700		2,792
	Hill-Rom Holdings, Inc.		24,000		684
*	HMS Holdings Corp.		34,200		886
*	Hologic, Inc.		105,100		2,105
*	IDEXX Laboratories, Inc.		21,500		1,995
*	LifePoint Hospitals, Inc.		19,400		732
	Masimo Corp.		20,500		431
*	MEDNAX, Inc.		19,600		1,559
*	Mettler-Toledo International, Inc.		12,100		2,339
	Omnicare, Inc.		43,600		1,574
	Owens & Minor, Inc.		24,950		711
*	Regeneron Pharmaceuticals, Inc.		29,700		5,081
	ResMed, Inc.		56,400		2,344
	STERIS Corp.		23,000		799
	Techne Corp.		13,600		929
	Teleflex, Inc.		16,100		1,148
*	Thoratec Corp.		23,200		870

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	United Therapeutics Corp.		18,600		994
	Universal Health Services, Inc. - Class B		34,900		1,687
*	VCA Antech, Inc.		34,600		728
*	Vertex Pharmaceuticals, Inc.		85,400		3,582
*	WellCare Health Plans, Inc.		17,000		828
	Total				43,982
	Industrials (16.9%)
	Acuity Brands, Inc.		16,800		1,138
*	Aecom Technology Corp.		42,600		1,014
*	AGCO Corp.		38,200		1,876
*	Alaska Air Group, Inc.		27,700		1,194
	Alliant Techsystems, Inc.		12,900		799
	AMETEK, Inc.		95,712		3,596
*	B/E Aerospace, Inc.		41,000		2,025
	The Brink’s Co.		18,800		536
	Carlisle Cos., Inc.		24,800		1,457
	CLARCOR, Inc.		19,700		941
*	Clean Harbors, Inc.		20,800		1,144
	Con-way, Inc.		22,100		615
*	Copart, Inc.		41,772		1,232
	The Corporate Executive Board Co.		13,200		627
	Corrections Corp. of America		39,400		1,398
	Crane Co.		18,800		870
	Deluxe Corp.		20,100		648
	Donaldson Co., Inc.		53,200		1,747
*	Esterline Technologies Corp.		12,200		776
	Exelis, Inc.		73,900		833
*	Fortune Brands Home & Security, Inc.		64,100		1,873
*	FTI Consulting, Inc.		16,300		538
	Gardner Denver, Inc.		19,300		1,322
	GATX Corp.		18,500		801
*	General Cable Corp.		19,600		596
*	Genesee & Wyoming, Inc. - Class A		17,200		1,309
	Graco, Inc.		23,900		1,231
	Granite Construction, Inc.		14,000		471
	Harsco Corp.		31,800		747
	Herman Miller, Inc.		23,000		493
	HNI Corp.		17,800		535
	Hubbell, Inc. - Class B		21,000		1,777
	Huntington Ingalls Industries, Inc.		19,500		845
	IDEX Corp.		32,580		1,516
	ITT Corp.		36,500		856
	J.B. Hunt Transport Services, Inc.		35,900		2,144
*	JetBlue Airways Corp.		89,625		512
	Kansas City Southern		43,400		3,623
	KBR, Inc.		58,100		1,738
	Kennametal, Inc.		31,400		1,256
*	Kirby Corp.		22,000		1,362
	Landstar System, Inc.		18,300		960

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

42 Index 400 Stock Portfolio

Index 400 Stock Portfolio

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Industrials continued
	Lennox International, Inc.		18,000		945
	Lincoln Electric Holdings, Inc.		32,700		1,592
	Manpower, Inc.		30,900		1,311
	Matson, Inc.		16,800		415
	Mine Safety Appliances Co.		12,200		521
	MSC Industrial Direct Co., Inc. - Class A		18,300		1,379
	Nordson Corp.		22,200		1,401
*	Oshkosh Corp.		36,000		1,067
	R.R. Donnelley & Sons Co.		71,000		639
	Regal-Beloit Corp.		17,500		1,233
	Rollins, Inc.		25,930		572
*	The Shaw Group, Inc.		26,256		1,224
	SPX Corp.		20,000		1,403
*	Terex Corp.		43,500		1,223
	The Timken Co.		31,300		1,497
	Towers Watson & Co. - Class A		22,500		1,265
	Trinity Industries, Inc.		31,150		1,116
	Triumph Group, Inc.		19,700		1,286
*	United Rentals, Inc.		36,523		1,663
	URS Corp.		30,300		1,190
	UTI Worldwide, Inc.		40,900		548
	Valmont Industries, Inc.		9,200		1,256
	Wabtec Corp.		18,900		1,655
	Waste Connections, Inc.		48,350		1,634
	Watsco, Inc.		11,700		876
	Werner Enterprises, Inc.		17,550		380
	Woodward, Inc.		23,700		904
	Total				81,166
	Information Technology (15.2%)
*	ACI Worldwide, Inc.		15,500		677
*	Acxiom Corp.		29,402		513
	ADTRAN, Inc.		24,700		483
*	Advent Software, Inc.		12,500		267
*	Alliance Data Systems Corp.		19,600		2,837
*	ANSYS, Inc.		36,500		2,458
	AOL, Inc.		33,000		977
*	Arrow Electronics, Inc.		41,800		1,592
*	Atmel Corp.		173,200		1,134
*	Avnet, Inc.		54,100		1,656
	Broadridge Financial Solutions, Inc.		48,200		1,103
*	Cadence Design Systems, Inc.		110,300		1,490
*	Ciena Corp.		39,500		620
*	Compuware Corp.		84,000		913
*	Concur Technologies, Inc.		17,800		1,202
	Convergys Corp.		43,000		706
*	CoreLogic, Inc.		38,400		1,034
*	Cree, Inc.		45,800		1,556
	Cypress Semiconductor Corp.		51,800		562
	Diebold, Inc.		24,900		762
	DST Systems, Inc.		12,100		733

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	Equinix, Inc.		19,200		3,959
	FactSet Research Systems, Inc.		16,000		1,409
	Fair Isaac Corp.		13,800		580
*	Fairchild Semiconductor International, Inc.		50,000		720
*	Gartner, Inc.		36,900		1,698
	Global Payments, Inc.		31,100		1,409
*	Informatica Corp.		42,500		1,289
*	Ingram Micro, Inc. - Class A		59,200		1,002
*	Integrated Device Technology, Inc.		56,830		415
	InterDigital, Inc.		16,100		662
*	International Rectifier Corp.		27,200		482
	Intersil Corp. - Class A		50,000		415
*	Itron, Inc.		15,400		686
	Jack Henry & Associates, Inc.		33,900		1,331
	Lender Processing Services, Inc.		33,400		822
	Lexmark International, Inc. - Class A		25,400		589
	ManTech International Corp. - Class A		9,300		241
*	MEMC Electronic Materials, Inc.		91,000		292
*	Mentor Graphics Corp.		37,200		633
*	MICROS Systems, Inc.		31,600		1,341
*	Monster Worldwide, Inc.		46,100		259
	National Instruments Corp.		37,275		962
*	NCR Corp.		63,000		1,605
*	NeuStar, Inc. - Class A		26,107		1,095
*	Parametric Technology Corp.		47,100		1,060
	Plantronics, Inc.		16,800		619
*	Polycom, Inc.		69,100		723
*	QLogic Corp.		36,500		355
*	Rackspace Hosting, Inc.		43,200		3,209
*	RF Micro Devices, Inc.		110,100		493
*	Riverbed Technology, Inc.		63,300		1,248
*	Rovi Corp.		40,800		630
*	Semtech Corp.		26,100		756
*	Silicon Laboratories, Inc.		15,100		631
*	Skyworks Solutions, Inc.		76,600		1,555
*	Solarwinds, Inc.		24,100		1,264
	Solera Holdings, Inc.		27,100		1,449
*	Synopsys, Inc.		58,800		1,872
*	Tech Data Corp.		14,900		678
	Tellabs, Inc.		136,100		310
*	TIBCO Software, Inc.		61,200		1,347
*	Trimble Navigation, Ltd.		49,700		2,971
*	ValueClick, Inc.		27,900		542
*	VeriFone Systems, Inc.		42,500		1,261
*	Vishay Intertechnology, Inc.		51,887		552

	Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	WEX, Inc.		15,200		1,146
*	Zebra Technologies Corp. - Class A		20,000		786
	Total				72,628
	Materials (7.1%)
	Albemarle Corp.		35,200		2,187
	AptarGroup, Inc.		26,200		1,250
	Ashland, Inc.		28,900		2,324
	Cabot Corp.		23,500		935
	Carpenter Technology Corp.		17,400		898
	Commercial Metals Co.		45,800		681
	Compass Minerals International, Inc.		13,000		971
	Cytec Industries, Inc.		18,000		1,239
	Domtar Corp.		13,900		1,161
	Grief, Inc. - Class A		11,900		530
	Intrepid Potash, Inc.		21,100		449
*	Louisiana-Pacific Corp.		54,500		1,053
	Martin Marietta Materials, Inc.		18,100		1,706
	Minerals Technologies, Inc.		13,900		555
	NewMarket Corp.		4,200		1,101
	Olin Corp.		31,600		682
	Packaging Corp. of America		38,700		1,489
	Reliance Steel & Aluminum Co.		29,800		1,851
	Rock-Tenn Co. - Class A		28,000		1,957
	Royal Gold, Inc.		25,600		2,082
	RPM International, Inc.		52,100		1,530
	The Scotts Miracle-Gro Co. - Class A		15,200		670
	Sensient Technologies Corp.		19,600		697
	Silgan Holdings, Inc.		19,313		803
	Sonoco Products Co.		39,700		1,180
	Steel Dynamics, Inc.		86,400		1,186
	The Valspar Corp.		33,300		2,078
	Worthington Industries, Inc.		20,700		538
	Total				33,783
	Telecommunication Services (0.5%)
	Telephone and Data Systems, Inc.		39,862		882
*	tw telecom, Inc.		59,600		1,518
	Total				2,400
	Utilities (4.8%)
	Alliant Energy Corp.		43,700		1,919
	Aqua America, Inc.		55,133		1,402
	Atmos Energy Corp.		35,600		1,250
	Black Hills Corp.		17,400		632
	Cleco Corp.		23,900		956
	Great Plains Energy, Inc.		60,377		1,226
	Hawaiian Electric Industries, Inc.		38,400		965

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

Index 400 Stock Portfolio 43

Index 400 Stock Portfolio

Common Stocks (97.9%)	Shares/ $ Par		Value $ (000’s)
Utilities continued
IDACORP, Inc.		19,800		858
MDU Resources Group, Inc.		74,400		1,580
National Fuel Gas Co.		32,900		1,668
NV Energy, Inc.		92,781		1,683
OGE Energy Corp.		38,900		2,191
PNM Resources, Inc.		31,350		643
Questar Corp.		69,000		1,364
UGI Corp.		44,400		1,452
Vectren Corp.		32,400		953
Westar Energy, Inc.		49,800		1,425
WGL Holdings, Inc.		20,300		796
Total				22,963
Total Common Stocks
(Cost: $391,058)				468,908

	Short-Term Investments (1.3%)	Shares/ $ Par		Value $ (000’s)
	Federal Government & Agencies (0.4%)
	Federal Home Loan Mortgage Corp., 0.13%, 2/25/13		2,000,000		2,000
	Total				2,000
	Restaurants (0.9%)
(b)	Darden Restaurants, Inc., 0.28%, 1/2/13		4,300,000		4,300
	Total				4,300
	Total Short-Term Investments
	(Cost: $6,300)				6,300
	Total Investments (99.2%)
	(Cost: $397,358)(a)				475,208
	Other Assets, Less
	Liabilities (0.8%)				3,833
	Net Assets (100.0%)				479,041

* Non-Income Producing

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $398,320 and the net unrealized appreciation of investments based on that cost was $76,888 which is comprised of $115,959 aggregate gross unrealized appreciation and $39,071 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
S&P 400 Mini Index Futures (Long) (Total Notional Value at December 31, 2012, $10,502)	104	3/13	$86

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	468,908	$	-	$	-
Short-Term Investments		-		6,300		-
Other Financial Instruments^
Futures		86		-		-
Total	$	468,994	$	6,300	$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

44 Index 400 Stock Portfolio

Mid Cap Value Portfolio

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.	$163 million

Portfolio Overview

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. 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 the Portfolio believes more accurately reflects the fair value of the company.

Market Overview

Stocks recorded strong gains in 2012, driven by the Federal Reserve’s (the Fed) extraordinary fiscal and monetary stimulus. The unemployment rate declined and the housing market showed signs of improvement, though U.S. economic growth overall was lackluster. As a result, the Fed extended a number of its liquidity measures and launched a third round of quantitative easing (QE3). In December, the Fed identified its threshold levels for unemployment and inflation, indicating that it would continue holding short-term interest rates close to zero as long as unemployment remained above 6.5% and inflation was below 2.5%. In this environment, investors generally favored riskier, lower-quality securities.

Portfolio Results

The Portfolio returned 16.57% for the twelve months ended December 31, 2012. By comparison, the Russell^® MidCap Value Index (the “Index”) returned 18.51%. (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return of the Mid Cap Value Funds peer group was 17.33%.

In Energy, the only sector in which the Portfolio declined in absolute terms, the Portfolio was hampered by security selection. A top detractor was Ultra Petroleum, a natural gas exploration and production company. Its shares declined, largely because of supply and demand. New extraction techniques, which produced a significant amount of natural gas supply, put pressure on prices. An investment in Imperial Oil also hurt performance. Falling energy prices and worries about Europe’s financial problems weighed on Imperial’s share price during the reporting period. In addition, the Portfolio was underweight relative to the Index in U.S. oil refiners, which generally performed well as the price difference between Brent and West Texas Intermediate (WTI) crude widened. For example, the Portfolio did not own Valero Energy, a stock in the Index, which appreciated more than 66%.

An underweight position in the Consumer Discretionary sector, which posted the strongest sector return in the Index, dampened performance. Specifically, the Portfolio was underweight household durables. Many of these stocks performed well, as the housing market improved.

The Portfolio’s holdings in the Materials sector detracted from relative performance. In particular, the Portfolio was hurt by its investment in gold producer Newmont Mining Corp. As risk appetite increased during the year, investors shifted away from sectors and industries they perceived as defensive and into riskier names. Newmont’s share price was also negatively impacted when the company provided lower-than-expected earnings guidance, citing the higher cost of finding gold and a decline in the amount of gold it expected to produce.

In Industrials, an overweight position contributed positively to relative performance. The sector also provided two notable contributors. Shares of Thomas & Betts Corp., a maker of electrical components, appreciated on the news it would be acquired by Swiss engineering firm ABB Ltd. The deal, which closed in May, was valued at $3.9 billion. Oshkosh Corp., the specialty vehicle manufacturer, reported stronger-than-expected earnings.

The Portfolio’s underweight in Information Technology, one of the weakest performing sectors in the Index, enhanced relative performance. Effective security selection also boosted results. Within computers and peripherals, the Portfolio owned SanDisk Corp. and Western Digital. SanDisk, a maker of flash drive memory chip products, outperformed as supply and demand fundamentals improved during the second half of the reporting period. Western Digital reported unexpectedly strong profits, benefiting from the acquisition of Hitachi’s hard drive operations.

Forward currency exchange contracts were used to insulate the Portfolio from adverse currency movements.

Mid Cap Value Portfolio 45

Mid Cap Value Portfolio

Portfolio Manager Outlook

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

We continue to follow our disciplined, bottom-up process, selecting companies one at a time for the Portfolio. As of December 31, 2012, we see opportunity in Health Care and Industrials, reflected by the Portfolio’s overweight positions in these sectors relative to the benchmark. Fundamental analysis and valuation work have led to smaller relative weightings in Consumer Discretionary, Financials, Information Technology and Materials stocks.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year	5 Years	Since Inception*
Mid Cap Value Portfolio	16.57%	2.14%	8.07%
Russell MidCap® Value Index	18.51%	3.79%	10.65%
Lipper® Variable Insurance Products (VIP) Mid Cap Value Funds Average	17.33%	2.88%	-

* Inception date of 5/1/03

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 5/1/03 (commencement of the Portfolio’s operations). 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 small and medium-sized companies involves a greater degree of risk than investing in large company stocks.

The Portfolio may invest in derivative instruments as a cash management strategy or to hedge foreign currency exposure. Use of these instruments may involve certain costs and imposes certain 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 engage in active and frequent trading in pursuit of its investment objective. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect the Portfolio’s performance.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
iShares Russell Midcap Value Index Fund	3.5%
Republic Services, Inc.	3.3%
Northern Trust Corp.	2.8%
Imperial Oil, Ltd.	2.3%
CareFusion Corp.	1.8%
Great Plains Energy, Inc.	1.7%
Applied Materials, Inc.	1.7%
PG&E Corp.	1.5%
Lowe’s Cos., Inc.	1.4%
AGL Resources, Inc.	1.4%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

46 Mid Cap Value Portfolio

Mid Cap Value Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (90.4%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (5.3%)
	Autoliv, Inc.		10,762		725
	Carnival Corp.		18,303		673
	CEC Entertainment, Inc.		37,607		1,248
	Hasbro, Inc.		23,083		829
	International Game Technology		72,135		1,022
	International Speedway Corp. - Class A		15,475		428
	Lowe’s Cos., Inc.		65,376		2,322
	Target Corp.		22,450		1,328
	Total				8,575
	Consumer Staples (6.1%)
	Campbell Soup Co.		12,204		426
	The Clorox Co.		12,231		895
	ConAgra Foods, Inc.		27,673		816
	Dr. Pepper Snapple Group, Inc.		33,884		1,497
	General Mills, Inc.		39,461		1,595
	Kellogg Co.		20,593		1,150
	Kimberly-Clark Corp.		9,719		821
	Kraft Foods Group, Inc.		36,887		1,677
	Sysco Corp.		34,997		1,108
	Total				9,985
	Energy (5.2%)
	Apache Corp.		15,924		1,250
	Devon Energy Corp.		28,328		1,474
	EQT Corp.		18,060		1,065
	Helmerich & Payne, Inc.		14,357		804
	Murphy Oil Corp.		24,314		1,448
	Peabody Energy Corp.		23,445		624
*	Southwestern Energy Co.		32,052		1,071
	Spectra Energy Partners LP		24,502		765
	Total				8,501
	Financials (24.9%)
	ACE, Ltd.		17,755		1,417
	The Allstate Corp.		25,979		1,044
	American Tower Corp.		20,353		1,573
	Aon PLC		29,080		1,617
	Capitol Federal Financial, Inc.		123,474		1,443
	The Charles Schwab Corp.		116,444		1,672
	The Chubb Corp.		29,580		2,228
	Comerica, Inc.		55,640		1,688
	Commerce Bancshares, Inc.		58,244		2,042
	Cullen/Frost Bankers, Inc.		16,299		885
	Franklin Resources, Inc.		4,055		510
	HCC Insurance Holdings, Inc.		54,890		2,042
	HCP, Inc.		26,394		1,192
	KeyCorp		117,084		986
	Marsh & McLennan Cos., Inc.		51,012		1,758
	Northern Trust Corp.		89,509		4,490
	People’s United Financial, Inc.		135,932		1,643

	Common Stocks (90.4%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	Piedmont Office Realty Trust, Inc. - Class A		104,881		1,893
	PNC Financial Services Group, Inc.		36,726		2,141
	Principal Financial Group, Inc.		21,907		625
	Reinsurance Group of America, Inc.		30,731		1,645
	State Street Corp.		10,969		516
	SunTrust Banks, Inc.		29,840		846
	Symetra Financial Corp.		64,504		837
	The Travelers Cos., Inc.		17,571		1,262
	Unum Group		57,080		1,188
	Westamerica Bancorporation		28,999		1,235
	Weyerhaeuser Co.		10,954		305
	Total				40,723
	Health Care (12.6%)
	Agilent Technologies, Inc.		21,061		862
	Becton, Dickinson and Co.		21,812		1,706
*	Boston Scientific Corp.		152,437		873
*	CareFusion Corp.		104,455		2,985
	CIGNA Corp.		16,139		863
*	Hospira, Inc.		43,353		1,354
	Humana, Inc.		17,840		1,224
*	Life Technologies Corp.		11,311		555
*	LifePoint Hospitals, Inc.		53,436		2,017
	Medtronic, Inc.		27,806		1,141
	Patterson Cos., Inc.		42,237		1,446
	STERIS Corp.		39,070		1,357
	Stryker Corp.		34,366		1,884
	Zimmer Holdings, Inc.		33,343		2,223
	Total				20,490
	Industrials (14.3%)
	ABB, Ltd., ADR		71,344		1,483
	The ADT Corp.		29,922		1,391
	Brady Corp. - Class A		20,850		696
	Corrections Corp. of America		13,754		488
	Emerson Electric Co.		8,001		424
	General Dynamics Corp.		30,194		2,092
	Heartland Express, Inc.		102,372		1,338
	ITT Corp.		76,068		1,785
	Kaydon Corp.		48,077		1,150
	L-3 Communications Holdings, Inc.		4,040		310
	Northrop Grumman Corp.		21,223		1,434
	Republic Services, Inc.		181,354		5,319
	Rockwell Collins, Inc.		13,722		798
	Southwest Airlines Co.		126,140		1,292
	Tyco International, Ltd.		52,230		1,528
	Waste Management, Inc.		22,475		758
	Woodward, Inc.		27,521		1,049
	Total				23,335

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

Mid Cap Value Portfolio 47

Mid Cap Value Portfolio

	Common Stocks (90.4%)	Shares/ $ Par		Value $ (000’s)
	Information Technology (6.2%)
	Analog Devices, Inc.		17,090		719
	Applied Materials, Inc.		234,550		2,683
	KLA-Tencor Corp.		16,476		787
	Microchip Technology, Inc.		20,121		656
	Molex, Inc. - Class A		27,943		624
*	SanDisk Corp.		19,985		871
	TE Connectivity, Ltd.		33,957		1,260
*	Teradyne, Inc.		96,025		1,622
	Western Digital Corp.		21,002		892
	Total				10,114
	Materials (3.0%)
	Bemis Co., Inc.		39,661		1,327
	Minerals Technologies, Inc.		6,899		276
	Newmont Mining Corp.		35,167		1,633
	Nucor Corp.		17,625		761
	Sonoco Products Co.		29,275		870
	Total				4,867
	Telecommunication Services (1.8%)
	CenturyLink, Inc.		31,504		1,233
*	tw telecom, Inc.		64,943		1,654
	Total				2,887
	Utilities (11.0%)
	AGL Resources, Inc.		56,575		2,261
	The Empire District Electric Co.		71,851		1,464
	Great Plains Energy, Inc.		139,480		2,833
	IDACORP, Inc.		19,630		851
	Northeast Utilities		25,003		977
	NV Energy, Inc.		58,616		1,063
	PG&E Corp.		60,265		2,422
	Portland General Electric Co.		41,648		1,140
	Westar Energy, Inc.		68,132		1,950
	WGL Holdings, Inc.		11,294		443
	Wisconsin Energy Corp.		15,201		560
	Xcel Energy, Inc.		75,477		2,016
	Total				17,980
	Total Common Stocks (Cost: $137,625)				147,457

	Foreign Common Stocks (3.9%)	Country
	Energy (2.3%)
	Imperial Oil, Ltd.	Canada	87,468	3,765
	Total			3,765
	Industrials (0.9%)
(l)	Royal Philips Electronics NV	Netherlands	57,634	1,546
	Total			1,546

Foreign Common Stocks (3.9%)	Country	Shares/ $ Par		Value $ (000’s)
Telecommunication Services (0.7%)
Rogers Communications, Inc. - Class B	Canada		23,870		1,086
Total					1,086
Total Foreign Common Stocks
(Cost: $6,291)					6,397
Investment Companies (3.5%)
Investment Companies (3.5%)
iShares Russell Midcap Value Index Fund			114,249		5,740
Total					5,740
Total Investment Companies
(Cost: $5,590)					5,740
Short-Term Investments (1.8%)
Other Holdings (1.8%)
JPMorgan Money Market Fund			2,925,935		2,926
Total					2,926
Total Short-Term Investments
(Cost: $2,926)					2,926
Total Investments (99.6%)
(Cost: $152,432)(a)					162,520
Other Assets, Less
Liabilities (0.4%)					703
Net Assets (100.0%)					163,223

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

48 Mid Cap Value Portfolio

Mid Cap Value Portfolio

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $154,378 and the net unrealized appreciation of investments based on that cost was $8,142 which is comprised of $12,577 aggregate gross unrealized appreciation and $4,435 aggregate gross unrealized depreciation.

(h) Forward foreign currency contracts outstanding on December 31, 2012.

Type	Counterparty	Currency	Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	UBS AG	CAD	4,142	1/13	$	-	$	(1	)	$	(1	)
Sell	Credit Suisse International	CHF	1,144	1/13		-		-	(m)		-	(m)
Sell	UBS AG	EUR	982	1/13		-		-	(m)		-	(m)
					$	-	$	(1	)	$	(1	)

CAD — Canadian Dollar

CHF — Swiss Franc

EUR — Euro

(l) As of December 31, 2012 portfolio securities with an aggregate value of $1,546 (in thousands) were fair valued under procedures adopted by the Board of Directors.

(m) Amount is less than one thousand.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Domestic Common Stocks	$	147,457	$	-		$	-
Foreign Common Stocks		4,851		1,546			-
Investment Companies		5,740		-			-
Short-Term Investments		2,926		-			-
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		-		(1	)		-
Total	$	160,974	$	1,545		$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

Mid Cap Value Portfolio 49

Small Cap Growth Stock Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital	Invest primarily in equity securities of small-sized companies with potential for above average growth.	$376 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Small Cap Growth Stock Portfolio (the “Portfolio”). Normally, the Portfolio invests in common stocks of U.S. companies with market capitalizations that do not exceed the maximum market capitalizations of any security in the Russell 2000^® Growth Index (the “Index”) at the time of purchase. The Portfolio employs a growth strategy, selecting securities for their above average growth potential, giving consideration to factors such as company management, growth rate of revenues and earnings, opportunities for margin expansion and strong financial characteristics.

Market Overview

Equity markets finished the year with solid gains despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year.

Within the Index, consumer-based stocks led the rally, followed by stocks in the Financials and Materials sectors. Energy and Utilities stocks declined during the year. Within the broader universe of small companies, value stocks outperformed growth shares.

Portfolio Results

The Portfolio returned 9.48% for the twelve months ended December 31, 2012. By comparison, the Index returned 14.59%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio trailed the 14.09% average return of its Small Cap Growth Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

Stock selection in the Consumer Discretionary sector was one of the main sources of underperformance relative to the Index. In the specialty retail industry, the Portfolio held a large overweight in Body Central, which hurt performance when the stock declined, as the company’s fashion products failed to meet consumer expectations. Similarly, the Portfolio’s position in Hibbett Sports underperformed, as the sporting goods retailer’s stock declined on weak demand.

The Industrials sector also weighed on performance due to stock selection. The Portfolio’s long-term overweight position in GrafTech International Ltd., a global leader in gratified electrodes, detracted from performance. The stock declined when weak economic conditions in Europe pressured prices for its products. The leading detractor in the professional services industry was Huron, Inc.

The Materials and Energy sectors also hurt performance relative to the Index, largely due to the performance of two stocks whose businesses provided inputs for the natural gas industry. In the Materials sector, chemical maker Balchem Corp. finished the year lower. Sales for one of its products used in natural gas production declined as fracking activity slowed. In the Energy sector, the stock price of pipeline maker Heckman Corp., which had experienced growth related to delivering water for natural gas production, dropped as natural gas production weakened.

Stock selection in the Technology sector was one source of strength for the Portfolio’s performance relative to the Index. Based on the portfolio manager’s investment theme of growth in data usage, the Portfolio held positions in software as a service (SaaS) and infrastructure. Portfolio overweights in SaaS providers SPS Commerce Inc. and Cornerstone OnDemand Inc. contributed positively to relative performance, as both companies experienced solid growth. Similarly, the Portfolio participated in the initial public offering of Synacor Inc., which advanced in anticipation of strong growth. Infrastructure picks, such as Equinix, InterXion Holding N.V., and AboveNet Inc. also helped the Portfolio’s relative performance, as the shares rose on strong demand for data centers and related telecommunications services.

During the period, the Portfolio used futures contracts to help maintain a fully invested position and total return swap agreements to gain additional exposure to the biotechnology industry. The biotechnology swaps were modest contributors to relative performance during the year.

50 Small Cap Growth Stock Portfolio

Small Cap Growth Stock Portfolio

Portfolio Manager Outlook

Looking ahead to 2013, we expect to see muted economic growth in the first part of the year driven by the payroll tax hike’s impact on consumer spending. However, as the fiscal cliff and the debt ceiling issues abate and as housing, autos, and manufacturing continue their recovery, we expect economic growth to accelerate as the year progresses. We will continue to employ our investment strategy as bottom-up stock pickers, while remaining cognizant of the risks and opportunities that a volatile environment can create for stock selection. We have positioned the Portfolio for sustainable economic growth by maintaining an overweight in Industrials and Energy while keeping an underweight in Consumer Discretionary and Staples.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year			5 Years			10 Years
Small Cap Growth Stock Portfolio		9.48	%		-0.28	%		7.31	%
Russell 2000® Growth Index		14.59	%		3.49	%		9.80	%
Lipper® Variable Insurance Products (VIP) Small Cap Growth Funds Average		14.09	%		2.75	%		8.98	%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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 or newer 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 derivative instruments for hedging purposes, as a cash management strategy, to earn income and seek to enhance returns; or as alternatives to direct investments. Use of these instruments may involve certain costs and imposes certain 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
SPDR S&P Biotech ETF	2.9%
Valmont Industries, Inc.	1.6%
East West Bancorp, Inc.	1.5%
LKQ Corp.	1.5%
Actuant Corp. - Class A	1.5%
InterXion Holding NV	1.4%
Synchronoss Technologies, Inc.	1.4%
SPS Commerce, Inc.	1.4%
tw telecom, Inc.	1.4%
Hexcel Corp.	1.4%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

Small Cap Growth Stock Portfolio 51

Small Cap Growth Stock Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (85.8%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (11.8%)
*	Bally Technologies, Inc.		91,408		4,087
	Chico’s FAS, Inc.		187,300		3,457
*	Chuy’s Holdings, Inc.		79,300		1,772
*	Genesco, Inc.		55,350		3,044
*	Grand Canyon Education, Inc.		203,003		4,764
*	Hibbett Sports, Inc.		58,300		3,072
*	Life Time Fitness, Inc.		90,000		4,429
*	LKQ Corp.		273,630		5,774
	Penske Automotive Group, Inc.		107,100		3,223
*	Red Robin Gourmet Burgers, Inc.		65,550		2,313
*	SHFL Entertainment, Inc.		124,150		1,800
	Ulta Salon, Cosmetics & Fragrance, Inc.		33,400		3,282
*	Vitamin Shoppe, Inc.		59,200		3,396
	Total				44,413
	Consumer Staples (0.8%)
*	United Natural Foods, Inc.		56,419		3,024
	Total				3,024
	Energy (6.9%)
*	Approach Resources, Inc.		156,300		3,909
*	Dril-Quip, Inc.		58,850		4,299
	EXCO Resources, Inc.		518,000		3,507
*	Gulfport Energy Corp.		120,500		4,606
*	Hornbeck Offshore Services, Inc.		90,900		3,121
*	Kodiak Oil & Gas Corp.		362,900		3,212
*	Rosetta Resources, Inc.		73,400		3,329
	Total				25,983
	Financials (6.1%)
	AmREIT, Inc., - Class B		114,050		1,956
	Boston Private Financial Holdings, Inc.		496,702		4,475
	East West Bancorp, Inc.		269,850		5,799
	Education Realty Trust, Inc.		235,950		2,511
	Greenhill & Co., Inc.		88,850		4,619
*	Stifel Financial Corp.		110,050		3,518
	Total				22,878
	Health Care (14.0%)
*	Akorn, Inc.		227,250		3,036
*	Align Technology, Inc.		79,684		2,211
*	Conceptus, Inc.		89,401		1,878
*	DexCom, Inc.		239,442		3,259
*	Endologix, Inc.		205,942		2,933
*	Exact Sciences Corp.		346,300		3,667
*	Fluidigm Corp.		175,150		2,506

	Common Stocks (85.8%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	Health Management Associates, Inc. - Class A		362,550		3,379
*	HealthStream, Inc.		126,100		3,065
*	HMS Holdings Corp.		62,300		1,615
*	Impax Laboratories, Inc.		231,800		4,750
*	IPC The Hospitalist Co.		53,100		2,109
*	Jazz Pharmaceuticals PLC		31,200		1,660
*	MAP Pharmaceuticals, Inc.		200,600		3,151
*	Neogen Corp.		42,750		1,937
*	Omnicell, Inc.		216,281		3,216
*	Team Health Holdings, Inc.		82,400		2,371
	U.S. Physical Therapy, Inc.		110,200		3,035
	Universal Health Services, Inc. - Class B		58,550		2,831
	Total				52,609
	Industrials (22.0%)
	Actuant Corp. - Class A		201,650		5,628
*	Beacon Roofing Supply, Inc.		106,100		3,531
	Celadon Group, Inc.		210,800		3,809
*	Chart Industries, Inc.		61,342		4,090
*	DXP Enterprises, Inc.		56,650		2,780
	Graco, Inc.		90,248		4,647
*	Heritage-Crystal Clean, Inc.		201,650		3,027
*	Hexcel Corp.		189,700		5,114
*	Huron Consulting Group, Inc.		130,137		4,384
*	The Keyw Holding Corp.		299,860		3,805
	Lindsay Corp.		57,800		4,631
	The Manitowoc Co., Inc.		146,400		2,296
*	Mistras Group, Inc.		122,450		3,023
*	NCI Building Systems, Inc.		164,383		2,285
*	Oshkosh Corp.		125,150		3,711
*	Performant Financial Corp.		150,600		1,521
	Snap-on, Inc.		60,400		4,771
	Sun Hydraulics Corp.		110,850		2,891
*	Thermon Group Holdings, Inc.		113,950		2,567
	TransDigm Group, Inc.		24,950		3,402
	Valmont Industries, Inc.		45,100		6,159
*	WESCO International, Inc.		68,680		4,631
	Total				82,703
	Information Technology (21.9%)
*	Aspen Technology, Inc.		104,350		2,884
*	BroadSoft, Inc.		98,800		3,589
*	Calix, Inc.		467,000		3,591

	Common Stocks (85.8%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	Cardtronics, Inc.		85,500		2,030
*	Cavium, Inc.		113,150		3,531
*	Cornerstone OnDemand, Inc.		84,550		2,497
*	Diodes, Inc.		239,350		4,153
*	EXA Corp.		104,225		1,014
*	ExactTarget, Inc.		83,800		1,676
*	EZchip Semiconductor, Ltd.		66,950		2,214
	FEI Co.		82,400		4,570
*	Finisar Corp.		157,550		2,568
*	Fortinet, Inc.		171,750		3,619
*	InterXion Holding NV		225,536		5,359
*	Microsemi Corp.		174,865		3,679
*	MicroStrategy, Inc. - Class A		21,250		1,984
	MKS Instruments, Inc.		123,355		3,180
*	Nanometrics, Inc.		181,700		2,620
*	Proofpoint, Inc.		68,400		842
*	Skyworks Solutions, Inc.		137,300		2,787
*	Sourcefire, Inc.		42,687		2,016
*	SPS Commerce, Inc.		140,400		5,233
*	Synacor, Inc.		238,600		1,305
*	Synchronoss Technologies, Inc.		250,532		5,284
*	Tangoe, Inc.		317,650		3,771
*	TIBCO Software, Inc.		64,700		1,424
*	The Ultimate Software Group, Inc.		52,800		4,985
	Total				82,405
	Materials (1.0%)
	Balchem Corp.		101,950		3,711
	Total				3,711
	Telecommunication Services (1.3%)
*	tw telecom, Inc.		203,100		5,173
	Total				5,173
	Total Common Stocks
	(Cost: $290,001)				322,899
	Investment Companies (4.1%)
	Investment Companies (4.1%)
	Market Vectors Junior Gold Miners ETF		224,500		4,445
	SPDR S&P Biotech ETF		122,300		10,752
	Total				15,197
	Total Investment Companies
	(Cost: $17,273)				15,197

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

52 Small Cap Growth Stock Portfolio

Small Cap Growth Stock Portfolio

	Short-Term Investments (11.0%)	Shares/ $ Par		Value $ (000’s)
	Autos (1.3%)
	American Honda Finance Corp., 0.14%, 1/25/13		5,000,000		5,000
	Total				5,000
	Commercial Banks US (1.3%)
	Bank of America NA, 0.20%, 1/3/13		5,000,000		5,000
	Total				5,000
	Consumer Products/Retailing (1.3%)
	Wal-Mart Stores, Inc., 0.10%, 1/30/13		5,000,000		5,000
	Total				5,000
	Federal Government & Agencies (1.9%)
(b)	Federal Home Loan Banks, 0.08%, 3/20/13		1,000,000		1,000
	Federal Home Loan Mortgage Corp., 0.12%, 2/25/13		1,000,000		1,000

Short-Term Investments (11.0%)	Shares/ $ Par		Value $ (000’s)
Federal Government & Agencies continued
Federal Home Loan Mortgage Corp., 0.135%, 2/25/13		5,000,000		4,999
Total				6,999
Finance Services (1.3%)
Govco LLC, 0.23%, 1/22/13		5,000,000		4,999
Total				4,999
Machinery (1.3%)
John Deere Canada ULC, 0.15%, 1/29/13		5,000,000		4,999
Total				4,999
Personal Credit Institutions (1.4%)
Old Line Funding LLC, 0.19%, 3/25/13		5,000,000		4,998
Total				4,998

Short-Term Investments (11.0%)	Shares/ $ Par		Value $ (000’s)
Restaurants (1.2%)
Darden Restaurants, Inc., 0.28%, 1/2/13		4,400,000		4,400
Total				4,400
Total Short-Term Investments
(Cost: $41,394)				41,395
Total Investments (100.9%)
(Cost: $348,668)(a)				379,491
Other Assets, Less
Liabilities (-0.9%)				(3,265	)
Net Assets (100.0%)				376,226

* Non-Income Producing

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $350,535 and the net unrealized appreciation of investments based on that cost was $28,956 which is comprised of $44,440 aggregate gross unrealized appreciation and $15,484 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
Russell 2000 Mini Index Futures (Long) (Total Notional Value at December 31, 2012, $21,828)	262	3/13	$	353

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	322,899	$	-	$	-
Investment Companies		15,197		-		-
Short-Term Investments		-		41,395		-
Other Financial Instruments^
Futures		353		-		-
Total	$	338,449	$	41,395	$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

Small Cap Growth Stock Portfolio 53

Index 600 Stock Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P SmallCap 600® Index.	Invest in stocks included in the S&P SmallCap 600® Index in approximately the same proportion as each stock’s weighting in the Index.	$74 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Index 600 Stock Portfolio (the “Portfolio”). 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^® Index (“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 exchange traded funds and swap agreements, and to a lesser extent, futures contracts, for cash management purposes and to help achieve full replication.

Market Overview

Equity markets finished the year with solid gains (as measured by the Index) despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures designed to calm markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year. In that environment, mid cap stocks outperformed shares of large and small sized companies. For the year, returns for the S&P 500^®, MidCap 400^®, and SmallCap 600^® Indices were 16.00%, 17.88%, and 16.33%, respectively.

Within the S&P SmallCap 600^® Index, the Consumer Discretionary sector drove performance more than any other sector, as consumers continued to spend despite slow economic growth. Returns for industries within the sector varied widely—specialty retail, hotel, restaurant and leisure stocks experienced solid performance, while consumer services and internet retailers had negative returns overall. Stocks in the economically sensitive Materials and Industrials sectors also outperformed other small cap stocks, as investors preferred companies with more business in the U.S. and less exposure to slowing global growth. The Financial sector also delivered solid performance, driven by Real Estate Investment Trusts (REITs).

Meanwhile, the Energy sector finished the year relatively unchanged due to flat oil and persistently low natural gas prices. The traditionally defensive Utilities sector also lagged the broad Index, reflecting investors’ preference for riskier stocks.

Portfolio Results

The Portfolio posted a total return of 15.80% in the twelve months ended December 31, 2012. That was in line with the 16.33% return of the Index. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) Portfolio performance slightly lagged the Index due to transaction costs, administrative expenses, cash flow effects and the costs associated with the use of exchange traded funds and other derivative instruments used to achieve full replication. The average return for the Portfolio’s peer group, Small Cap Core Funds, was 15.68%, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency. 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.

As the Portfolio seeks to track the performance and weightings of stocks in the Index, the portfolio managers make adjustments to the Portfolio’s holdings as the Index changes. Standard & Poor’s modifies the composition of the Index as companies go public or private, merge, divest or have major changes in market capitalization. Additionally, Standard & Poor’s adjusts the Index to better reflect the companies that are most representative of the composition of the U.S. economy. During 2012, there were 38 stocks added to the Index, and a like number of companies were eliminated. The portfolio managers try to make these adjustments in a way that minimizes the cost and market impact of trading.

Portfolio Manager Outlook

We have a cautiously optimistic view of equity markets heading into 2013. Currently, stocks appear relatively attractive given reasonable valuations, record high profit margins and cash positions, as well as relatively low energy prices. Extremely low interest rates have also led to improving fundamentals in the housing market and steady increases in employment.

Nevertheless, the market still faces a number of risks—from uncertainty surrounding further economic stimulus and concerns over the developed world’s ongoing debt crisis, among others— that have the potential for creating a volatile market environment for the foreseeable future.

54 Index 600 Stock Portfolio

Index 600 Stock Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		Since Inception*
Index 600 Stock Portfolio		15.80%		4.81%		3.12	%
S&P SmallCap 600® Index		16.33%		5.13%		3.47	%
Lipper® Variable Insurance Products (VIP) Small Cap Core Funds Average		15.68%		3.41%		-

* Inception date of 4/30/07

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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^®”, “S&P^®”, “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 or newer 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 futures contracts and swap agreements for cash management 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 Equity Holdings 12/31/12

Security Description	% of Net Assets
iShares S&P SmallCap 600 Index Fund	2.3%
Extra Space Storage, Inc.	0.6%
Kilroy Realty Corp.	0.6%
Tanger Factory Outlet Centers, Inc.	0.6%
CommVault Systems, Inc.	0.5%
Cymer, Inc.	0.5%
Mid-America Apartment Communities, Inc.	0.5%
Eagle Materials, Inc.	0.5%
Post Properties, Inc.	0.5%
Cubist Pharmaceuticals, Inc.	0.5%

Sector Allocation 12/31/12

Sector Allocation is based on equities.

Sector Allocation and Top 10 Holdings are subject to change.

Index 600 Stock Portfolio 55

Index 600 Stock Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (13.4%)
	American Greetings Corp. - Class A		4,016		68
*	American Public Education, Inc.		2,295		83
	Arbitron, Inc.		3,324		155
*	Arctic Cat, Inc.		1,683		56
	Big 5 Sporting Goods Corp.		2,126		28
*	Biglari Holdings, Inc.		153		60
*	BJ’s Restaurants, Inc.		3,133		103
*	Blue Nile, Inc.		1,588		61
	Blyth, Inc.		1,429		22
*	Boyd Gaming Corp.		7,150		48
	Brown Shoe Co., Inc.		5,177		95
	Brunswick Corp.		11,373		331
	The Buckle, Inc.		3,479		155
*	Buffalo Wild Wings, Inc.		2,363		172
	Callaway Golf Co.		9,018		59
*	Capella Education Co.		1,453		41
*	Career Education Corp.		6,479		23
	The Cato Corp. - Class A		3,423		94
	CEC Entertainment, Inc.		2,136		71
*	The Children’s Place Retail Stores, Inc.		2,997		133
*	Christopher & Banks Corp.		4,698		26
*	Coinstar, Inc.		3,834		199
*	Coldwater Creek, Inc.		2,559		12
*	Corinthian Colleges, Inc.		9,914		24
	Cracker Barrel Old Country Store, Inc.		3,009		193
*	Crocs, Inc.		11,558		166
*	Digital Generation, Inc.		3,230		35
*	DineEquity, Inc.		1,967		132
	Drew Industries, Inc.		2,389		77
*	The E.W. Scripps Co. - Class A		3,630		39
	Ethan Allen Interiors, Inc.		3,297		85
*	Fifth & Pacific Cos., Inc.		14,377		179
	The Finish Line, Inc. - Class A		6,458		122
	Fred’s, Inc. - Class A		4,289		57
*	Genesco, Inc.		3,068		169
	Group 1 Automotive, Inc.		2,713		168
	Harte-Hanks, Inc.		5,502		33
	Haverty Furniture Cos., Inc.		2,496		41
*	Helen of Troy, Ltd.		4,041		135
*	Hibbett Sports, Inc.		3,279		173
	Hillenbrand, Inc.		7,955		180
	Hot Topic, Inc.		5,375		52

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary continued
*	Iconix Brand Group, Inc.		8,667		193
	Interval Leisure Group, Inc.		4,912		95
*	iRobot Corp.		3,314		62
*	ITT Educational Services, Inc.		2,100		36
*	Jack in the Box, Inc.		5,451		156
	JAKKS Pacific, Inc.		2,629		33
*	Jos. A. Bank Clothiers, Inc.		3,550		151
*	Kirkland’s, Inc.		1,908		20
*	K-Swiss, Inc. - Class A		3,041		10
	La-Z-Boy, Inc.		6,662		94
	Lincoln Educational Services Corp.		2,693		15
	Lithia Motors, Inc. - Class A		2,662		100
*	Live Nation, Inc.		17,931		167
*	Lumber Liquidators Holdings, Inc.		3,448		182
*	M/I Homes, Inc.		2,723		72
*	Maidenform Brands, Inc.		2,995		58
	The Marcus Corp.		2,509		31
*	MarineMax, Inc.		3,019		27
*	Marriott Vacations Worldwide Corp.		3,640		152
	The Men’s Wearhouse, Inc.		6,077		189
*	Meritage Homes Corp.		3,933		147
*	Monarch Casino & Resort, Inc.		1,196		13
	Monro Muffler Brake, Inc.		3,736		131
	Movado Group, Inc.		2,252		69
*	Multimedia Games, Inc.		3,595		53
	Nutrisystem, Inc.		3,626		30
	OfficeMax, Inc.		11,020		108
	Oxford Industries, Inc.		1,811		84
*	Papa John’s International, Inc.		2,204		121
	The Pep Boys - Manny, Moe & Jack		6,746		66
	Perry Ellis International, Inc.		1,527		30
	PetMed Express, Inc.		2,542		28
*	Pinnacle Entertainment, Inc.		7,485		119
	Pool Corp.		5,933		251
*	Quiksilver, Inc.		15,809		67
*	Red Robin Gourmet Burgers, Inc.		1,647		58
*	Ruby Tuesday, Inc.		7,601		60
*	Rue21, Inc.		1,994		57
*	Ruth’s Hospitality Group, Inc.		4,513		33

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary continued
	The Ryland Group, Inc.		5,736		209
*	Select Comfort Corp.		7,119		186
*	SHFL Entertainment, Inc.		7,109		103
*	Skechers U.S.A., Inc. - Class A		4,875		90
	Sonic Automotive, Inc. - Class A		4,652		97
*	Sonic Corp.		6,922		72
	Spartan Motors, Inc.		3,953		20
	Stage Stores, Inc.		4,054		101
	Standard Motor Products, Inc.		2,493		55
*	Standard Pacific Corp.		13,999		103
	Stein Mart, Inc.		3,499		26
*	Steven Madden, Ltd.		5,191		219
	Sturm, Ruger & Co., Inc.		2,434		111
	Superior Industries International, Inc.		2,942		60
	Texas Roadhouse, Inc.		7,449		125
	True Religion Apparel, Inc.		3,079		78
*	Tuesday Morning Corp.		5,399		34
*	Universal Electronics, Inc.		1,911		37
	Universal Technical Institute, Inc.		2,751		28
*	Vitamin Shoppe, Inc.		3,832		220
*	VOXX International Corp.		2,408		16
*	Winnebago Industries, Inc.		3,600		62
	Wolverine World Wide, Inc.		6,227		255
*	Zale Corp.		3,330		14
*	Zumiez, Inc.		2,828		55
	Total				9,899
	Consumer Staples (3.4%)
*	Alliance One International, Inc.		10,466		38
	The Andersons, Inc.		2,197		94
	B&G Foods, Inc.		6,677		189
*	The Boston Beer Co., Inc. - Class A		1,066		143
	Calavo Growers, Inc.		1,616		41
	Cal-Maine Foods, Inc.		1,763		71
	Casey’s General Stores, Inc.		4,867		258
*	Central Garden & Pet Co. - Class A		5,227		55
*	Darling International, Inc.		14,961		240
	Diamond Foods, Inc.		2,804		38
*	The Hain Celestial Group, Inc.		5,696		309

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

56 Index 600 Stock Portfolio

Index 600 Stock Portfolio

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Consumer Staples continued
	Inter Parfums, Inc.		2,059		40
	J & J Snack Foods Corp.		1,882		120
*	Medifast, Inc.		1,736		46
	Nash Finch Co.		1,559		33
*	Prestige Brands Holdings, Inc.		6,416		129
	Sanderson Farms, Inc.		2,539		121
*	Seneca Foods Corp. - Class A		985		30
	Snyders-Lance, Inc.		6,108		147
	Spartan Stores, Inc.		2,764		43
*	TreeHouse Foods, Inc.		4,597		240
	WD-40 Co.		1,877		88
	Total				2,513
	Energy (3.6%)
*	Approach Resources, Inc.		4,210		105
*	Basic Energy Services, Inc.		3,475		40
	Bristow Group, Inc.		4,571		245
*	Carrizo Oil & Gas, Inc.		4,634		97
*	Cloud Peak Energy, Inc.		7,762		150
*	Comstock Resources, Inc.		5,690		86
	Contango Oil & Gas Co.		1,621		69
*	Exterran Holdings, Inc.		8,245		181
*	Geospace Technologies Corp.		1,620		144
	Gulf Island Fabrication, Inc.		1,831		44
*	Gulfport Energy Corp.		6,300		241
*	Hornbeck Offshore Services, Inc.		4,048		139
*	ION Geophysical Corp.		15,260		99
	Lufkin Industries, Inc.		4,271		248
*	Matrix Service Co.		3,292		38
*	PDC Energy, Inc.		3,845		128
	Penn Virginia Corp.		6,999		31
*	PetroQuest Energy, Inc.		7,161		35
*	Pioneer Energy Services Corp.		7,880		57
	SEACOR Holdings, Inc.		2,517		211
*	Stone Energy Corp.		6,289		129
*	Swift Energy Co.		5,453		84
*	TETRA Technologies, Inc.		9,919		75
	Total				2,676
	Financials (18.9%)
	Acadia Realty Trust		6,437		161
*	AMERISAFE, Inc.		2,310		63
	Bank Mutual Corp.		5,473		24
	Bank of the Ozarks, Inc.		3,746		125
	Banner Corp.		2,220		68
	BBCN Bancorp, Inc.		9,914		115
	Boston Private Financial Holdings, Inc.		10,028		90
	Brookline Bancorp, Inc.		8,897		76

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	Calamos Asset Management, Inc.		2,590		27
	Cash America International, Inc.		3,691		146
	Cedar Realty Trust, Inc.		6,945		37
	City Holding Co.		1,884		66
	Colonial Properties Trust		10,522		225
	Columbia Banking System, Inc.		5,042		91
	Community Bank System, Inc.		5,029		138
	Cousins Properties, Inc.		11,508		96
	CVB Financial Corp.		11,186		116
	DiamondRock Hospitality Co.		24,791		223
	Dime Community Bancshares		3,664		51
	EastGroup Properties, Inc.		3,765		203
*	eHealth, Inc.		2,573		71
	Employers Holdings, Inc.		3,903		80
*	Encore Capital Group, Inc.		2,954		90
	EPR Properties		5,951		274
	Extra Space Storage, Inc.		13,011		474
*	EZCORP, Inc. - Class A		5,742		114
	F.N.B. Corp.		17,759		189
*	Financial Engines, Inc.		5,231		145
*	First BanCorp.		8,905		41
*	First Cash Financial Services, Inc.		3,347		166
	First Commonwealth Financial Corp.		13,036		89
	First Financial Bancorp.		7,433		109
	First Financial Bankshares, Inc.		3,800		148
	First Midwest Bancorp, Inc.		9,508		119
*	Forestar Group, Inc.		4,407		76
	Franklin Street Properties Corp.		9,166		113
	Getty Realty Corp.		3,394		61
	Glacier Bancorp, Inc.		9,139		134
	Government Properties Income Trust		5,484		131
*	Hanmi Financial Corp.		4,001		54
	Healthcare Realty Trust, Inc.		11,082		266
	HFF, Inc. - Class A		4,143		62
	Home Bancshares, Inc.		2,916		96
	Horace Mann Educators Corp.		5,002		100
	Independent Bank Corp.		2,887		84
	Infinity Property & Casualty Corp.		1,483		86
	Inland Real Estate Corp.		9,873		83
	Interactive Brokers Group, Inc. - Class A		5,188		71

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
*	Investment Technology Group, Inc.		4,821		43
	Kilroy Realty Corp.		9,475		449
	Kite Realty Group Trust		9,281		52
	LaSalle Hotel Properties		11,975		304
	Lexington Realty Trust		19,293		202
	LTC Properties, Inc.		3,874		136
	MarketAxess Holdings, Inc.		4,738		167
	Meadowbrook Insurance Group, Inc.		5,944		34
	Medical Properties Trust, Inc.		17,223		206
	Mid-America Apartment Communities, Inc.		5,370		348
*	National Financial Partners Corp.		5,061		87
	National Penn Bancshares, Inc.		15,389		143
*	The Navigators Group, Inc.		1,338		68
	NBT Bancorp, Inc.		4,287		87
	Northwest Bancshares, Inc.		12,403		151
	Old National Bancorp		12,882		153
	Oritani Financial Corp.		4,945		76
	PacWest Bancorp		4,088		101
	Parkway Properties, Inc.		4,238		59
	Pennsylvania Real Estate Investment Trust		6,685		118
*	Pinnacle Financial Partners, Inc.		4,143		78
*	Piper Jaffray Cos., Inc.		2,066		66
*	Portfolio Recovery Associates, Inc.		2,145		229
	Post Properties, Inc.		6,912		345
	PrivateBancorp, Inc.		7,944		122
	ProAssurance Corp.		7,808		329
	Prospect Capital Corp.		23,357		254
	Provident Financial Services, Inc.		6,878		103
	PS Business Parks, Inc.		2,283		148
	RLI Corp.		2,157		140
	S&T Bancorp, Inc.		3,777		68
	Sabra Health Care REIT, Inc.		4,707		102
	Safety Insurance Group, Inc.		1,615		75
	Saul Centers, Inc.		1,618		69
	Selective Insurance Group, Inc.		6,987		135
	Simmons First National Corp. - Class A		2,110		54
	Sovran Self Storage, Inc.		3,866		240
	Sterling Bancorp		3,933		36
	Stewart Information Services Corp.		2,262		59
*	Stifel Financial Corp.		6,335		203
	Susquehanna Bancshares, Inc.		23,688		248

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

Index 600 Stock Portfolio 57

Index 600 Stock Portfolio

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
*	SWS Group, Inc.		3,592		19
	Tanger Factory Outlet Centers, Inc.		11,930		408
*	Texas Capital Bancshares, Inc.		5,156		231
	Tompkins Financial Corp.		1,460		58
	Tower Group, Inc.		4,388		78
	TrustCo Bank Corp. NY		11,933		63
	UMB Financial Corp.		4,126		181
	Umpqua Holdings Corp.		14,219		168
	United Bankshares, Inc.		5,812		141
*	United Community Banks, Inc.		5,866		55
	United Fire Group, Inc.		2,777		61
	Universal Health Realty Income Trust		1,612		82
	Urstadt Biddle Properties, Inc. - Class A		3,243		64
	ViewPoint Financial Group		4,525		95
*	Virtus Investment Partners, Inc.		737		89
*	Wilshire Bancorp, Inc.		7,880		46
	Wintrust Financial Corp.		4,629		170
*	World Acceptance Corp.		1,642		122
	Total				13,885
	Health Care (9.4%)
	Abaxis, Inc.		2,621		97
*	ABIOMED, Inc.		4,586		62
*	Acorda Therapeutics, Inc.		5,102		127
*	Affymetrix, Inc.		8,980		29
	Air Methods Corp.		4,428		163
*	Akorn, Inc.		8,608		115
*	Align Technology, Inc.		9,098		253
	Almost Family, Inc.		1,055		21
*	Amedisys, Inc.		3,931		44
*	AMN Healthcare Services, Inc.		5,639		65
*	AmSurg Corp.		4,024		121
	Analogic Corp.		1,554		115
*	ArQule, Inc.		7,445		21
*	Bio-Reference Laboratories, Inc.		3,097		89
*	Cambrex Corp.		3,794		43
	Cantel Medical Corp.		2,730		81
*	Centene Corp.		6,559		269
	Chemed Corp.		2,450		168
	Computer Programs and Systems, Inc.		1,323		67
	CONMED Corp.		3,619		101
*	CorVel Corp.		783		35
*	Cross Country Healthcare, Inc.		3,926		19
	CryoLife, Inc.		3,172		20
*	Cubist Pharmaceuticals, Inc.		8,182		344

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	Cyberonics, Inc.		3,028		159
*	Emergent Biosolutions, Inc.		3,229		52
	Ensign Group, Inc.		2,220		60
*	Enzo Biochem, Inc.		4,241		11
*	Gentiva Health Services, Inc.		3,619		36
*	Greatbatch, Inc.		3,010		70
*	Haemonetics Corp.		6,552		268
*	Hanger Orthopedic Group, Inc.		4,351		119
*	HealthStream, Inc.		2,499		61
*	Healthways, Inc.		4,311		46
	Hi-Tech Pharmacal Co., Inc.		1,409		49
*	ICU Medical, Inc.		1,631		99
*	Integra LifeSciences Holdings		2,474		96
	Invacare Corp.		3,692		60
*	IPC The Hospitalist Co.		2,119		84
*	Kindred Healthcare, Inc.		6,769		73
	Landauer, Inc.		1,201		74
*	LHC Group, Inc.		1,878		40
*	Luminex Corp.		4,800		80
*	Magellan Health Services, Inc.		3,512		172
*	The Medicines Co.		6,843		164
*	Medidata Solutions, Inc.		2,831		111
	Meridian Bioscience, Inc.		5,245		106
*	Merit Medical Systems, Inc.		5,067		70
*	Molina Healthcare, Inc.		3,787		103
*	Momenta Pharmaceuticals, Inc.		5,779		68
*	MWI Veterinary Supply, Inc.		1,528		168
*	Natus Medical, Inc.		3,805		43
*	Neogen Corp.		2,836		129
*	NuVasive, Inc.		5,530		86
*	Omnicell, Inc.		4,215		63
*	Palomar Medical Technologies, Inc.		2,264		21
*	PAREXEL International Corp.		7,473		221
*	PharMerica Corp.		3,746		53
*	PSS World Medical, Inc.		6,392		185
	Quality Systems, Inc.		5,053		88
	Questcor Pharmaceuticals, Inc.		7,425		198
*	Salix Pharmaceuticals, Ltd.		6,354		257
	Spectrum Pharmaceuticals, Inc.		6,593		74
*	SurModics, Inc.		1,545		35
*	Symmetry Medical, Inc.		4,673		49
*	ViroPharma, Inc.		8,373		191
	West Pharmaceutical Services, Inc.		4,335		237
	Total				6,898

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Industrials (14.1%)
	A.O. Smith Corp.		4,927		311
	AAON, Inc.		2,368		49
	AAR Corp.		5,074		95
	ABM Industries, Inc.		6,407		128
	Actuant Corp. - Class A		9,258		258
*	Aegion Corp.		4,990		111
*	Aerovironment, Inc.		2,421		53
	Albany International Corp. - Class A		3,670		83
	Allegiant Travel Co.		1,936		142
	American Science and Engineering, Inc.		1,055		69
	Apogee Enterprises, Inc.		3,606		86
	Applied Industrial Technologies, Inc.		5,341		224
	Arkansas Best Corp.		3,027		29
	Astec Industries, Inc.		2,663		89
	AZZ, Inc.		3,216		124
	Barnes Group, Inc.		5,981		134
	Belden, Inc.		5,610		252
	Brady Corp. - Class A		5,845		195
	Briggs & Stratton Corp.		6,038		127
	Cascade Corp.		1,069		69
	CDI Corp.		1,769		30
	CIRCOR International, Inc.		2,214		88
	Comfort Systems USA, Inc.		4,736		58
*	Consolidated Graphics, Inc.		1,038		36
	Cubic Corp.		2,038		98
	Curtiss-Wright Corp.		5,943		195
*	Dolan Co.		3,660		14
*	Dycom Industries, Inc.		4,141		82
	EMCOR Group, Inc.		8,453		293
	Encore Wire Corp.		2,362		72
*	EnerSys		6,159		232
*	Engility Holdings, Inc.		2,106		41
*	EnPro Industries, Inc.		2,631		108
	ESCO Technologies, Inc.		3,386		127
*	Exponent, Inc.		1,680		94
*	Federal Signal Corp.		7,914		60
	Forward Air Corp.		3,732		131
	Franklin Electric Co., Inc.		2,449		152
	G & K Services, Inc. - Class A		2,429		83
*	GenCorp, Inc.		7,686		70
	The GEO Group, Inc.		8,998		254
*	Gibraltar Industries, Inc.		3,650		58
	Griffon Corp.		5,792		66
	Healthcare Services Group, Inc.		8,605		200
	Heartland Express, Inc.		5,833		76
	Heidrick & Struggles International, Inc.		2,078		32
*	Hub Group, Inc. - Class A		4,510		152

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

58 Index 600 Stock Portfolio

Index 600 Stock Portfolio

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Industrials continued
*	II-VI, Inc.		6,930		127
	Insperity, Inc.		2,804		91
	Interface, Inc.		7,288		117
	John Bean Technologies Corp.		3,675		65
	Kaman Corp.		3,372		124
	Kaydon Corp.		4,078		98
	Kelly Services, Inc. - Class A		3,439		54
	Knight Transportation, Inc.		7,496		110
*	Korn/Ferry International		6,174		98
	Lindsay Corp.		1,616		129
*	Lydall, Inc.		2,158		31
*	Mobile Mini, Inc.		4,819		100
*	Moog, Inc. - Class A		5,761		236
	Mueller Industries, Inc.		3,569		179
	National Presto Industries, Inc.		621		43
*	Navigant Consulting, Inc.		6,499		72
*	NCI Building Systems, Inc.		2,404		33
*	Old Dominion Freight Line, Inc.		8,976		308
*	On Assignment, Inc.		5,538		112
*	Orbital Sciences Corp.		7,558		104
*	Orion Marine Group, Inc.		3,450		25
*	Powell Industries, Inc.		1,150		48
	Quanex Building Products Corp.		4,691		96
	Resources Connection, Inc.		5,268		63
	Robbins & Myers, Inc.		5,409		322
	Simpson Manufacturing Co., Inc.		5,096		167
	SkyWest, Inc.		6,511		81
	Standex International Corp.		1,617		83
*	Sykes Enterprises, Inc.		4,951		75
*	Teledyne Technologies, Inc.		4,687		305
	Tennant Co.		2,361		104
*	Tetra Tech, Inc.		8,111		214
	The Toro Co.		7,462		321
*	TrueBlue, Inc.		5,103		80
	UniFirst Corp.		1,902		139
	United Stationers, Inc.		5,110		158
	Universal Forest Products, Inc.		2,514		96
	Viad Corp.		2,574		70
	Vicor Corp.		2,468		13
	Watts Water Technologies, Inc. - Class A		3,556		153
	Total				10,374

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Information Technology (16.4%)
*	3D Systems Corp.		6,232		332
*	Advanced Energy Industries, Inc.		4,475		62
*	Agilysys, Inc.		1,800		15
	Anixter International, Inc.		3,400		218
*	Arris Group, Inc.		14,402		215
*	ATMI, Inc.		4,067		85
*	Avid Technology, Inc.		3,857		29
	Badger Meter, Inc.		1,817		86
	Bel Fuse, Inc. - Class B		1,337		26
*	Benchmark Electronics, Inc.		7,044		117
	Black Box Corp.		2,101		51
	Blackbaud, Inc.		5,737		131
*	Blucora, Inc.		5,176		81
*	Bottomline Technologies, Inc.		4,749		125
	Brooks Automation, Inc.		8,426		68
	Cabot Microelectronics Corp.		2,946		105
*	CACI International, Inc. - Class A		2,900		160
*	Cardtronics, Inc.		5,649		134
*	CEVA, Inc.		2,848		45
*	Checkpoint Systems, Inc.		5,157		55
*	CIBER, Inc.		8,502		28
*	Cirrus Logic, Inc.		8,319		241
	Cognex Corp.		5,076		187
	Coherent, Inc.		3,043		154
	Cohu, Inc.		2,893		31
*	CommVault Systems, Inc.		5,373		375
*	comScore, Inc.		4,119		57
	Comtech Telecommunications Corp.		2,210		56
*	CSG Systems International, Inc.		4,283		78
	CTS Corp.		4,292		46
*	Cymer, Inc.		3,954		358
	Daktronics, Inc.		4,725		52
*	DealerTrack Holdings, Inc.		5,426		156
*	Dice Holdings, Inc.		6,363		58
*	Digi International, Inc.		3,349		32
*	Digital River, Inc.		4,514		65
*	Diodes, Inc.		4,559		79
*	DSP Group, Inc.		2,766		16
*	DTS, Inc.		2,373		40
	Ebix, Inc.		4,073		65
	Electro Scientific Industries, Inc.		3,174		32
*	Electronics for Imaging, Inc.		5,915		112
*	Entropic Communications, Inc.		11,249		59
	EPIQ Systems, Inc.		4,059		52
*	Exar Corp.		5,835		52

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	Exlservice Holdings, Inc.		3,308		88
*	FARO Technologies, Inc.		2,156		77
	FEI Co.		4,841		268
	Forrester Research, Inc.		1,841		49
(n)*	Gerber Scientific, Inc.		2,359		0
*	GT Advance Technologies, Inc.		15,119		46
*	Harmonic, Inc.		14,708		75
	Heartland Payment Systems, Inc.		4,768		141
*	Higher One Holdings, Inc.		4,018		42
*	Hittite Microwave Corp.		3,443		214
*	iGATE Corp.		3,874		61
*	Insight Enterprises, Inc.		5,660		98
*	Interactive Intelligence Group		1,891		63
*	Intermec, Inc.		7,129		70
*	Intevac, Inc.		2,981		14
*	Ixia		6,711		114
	j2 Global, Inc.		5,477		167
*	Kopin Corp.		7,832		26
*	Kulicke and Soffa Industries, Inc.		9,534		114
*	Liquidity Services, Inc.		3,117		127
	Littelfuse, Inc.		2,774		171
*	LivePerson, Inc.		6,388		84
*	LogMeIn, Inc.		2,836		64
*	Manhattan Associates, Inc.		2,524		152
	MAXIMUS, Inc.		4,331		274
*	Measurement Specialties, Inc.		1,948		67
*	Mercury Computer Systems, Inc.		4,096		38
	Methode Electronics, Inc.		4,473		45
	Micrel, Inc.		5,971		57
*	Microsemi Corp.		11,474		241
*	MicroStrategy, Inc. - Class A		1,127		105
	MKS Instruments, Inc.		6,686		172
	Monolithic Power Systems		4,011		89
	Monotype Imaging Holdings, Inc.		4,702		75
	MTS Systems Corp.		1,994		102
*	Nanometrics, Inc.		2,706		39
*	NETGEAR, Inc.		4,862		192
*	NetScout Systems, Inc.		4,567		119
*	Newport Corp.		4,866		65
	NIC, Inc.		7,471		122
*	OpenTable, Inc.		2,887		141
*	Oplink Communications, Inc.		2,430		38
*	OSI Systems, Inc.		2,387		153
	Park Electrochemical Corp.		2,458		63

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

Index 600 Stock Portfolio 59

Index 600 Stock Portfolio

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
	PC-Tel, Inc.		2,211		16
*	Perficient, Inc.		4,207		50
*	Pericom Semiconductor Corp.		2,720		22
*	Plexus Corp.		4,457		115
	Power Integrations, Inc.		3,680		124
*	Procera Networks, Inc.		2,466		46
*	Progress Software Corp.		8,119		170
*	QuinStreet, Inc.		3,260		22
*	RadiSys Corp.		2,871		9
*	Rofin-Sinar Technologies, Inc.		3,568		77
*	Rogers Corp.		2,107		105
*	Rubicon Technology, Inc.		2,151		13
*	Rudolph Technologies, Inc.		4,109		55
*	ScanSource, Inc.		3,513		112
*	Sigma Designs, Inc.		4,251		22
*	Sourcefire, Inc.		3,822		180
*	Stamps.com, Inc.		1,784		45
*	STR Holdings, Inc.		4,869		12
*	Super Micro Computer, Inc.		3,345		34
	Supertex, Inc.		1,326		23
*	Symmetricom, Inc.		5,194		30
*	Synaptics, Inc.		4,185		125
*	Synchronoss Technologies, Inc.		3,446		73
*	SYNNEX Corp.		3,368		116
*	Take-Two Interactive Software, Inc.		11,529		127
*	TeleTech Holdings, Inc.		2,866		51
	Tessera Technologies, Inc.		6,636		109
*	TriQuint Semiconductor, Inc.		21,127		102
*	TTM Technologies, Inc.		6,661		61
*	Tyler Technologies, Inc.		3,339		162
*	Ultratech, Inc.		3,433		128
	United Online, Inc.		11,558		65
*	VASCO Data Security International, Inc.		3,664		30
*	Veeco Instruments, Inc.		4,974		147
*	ViaSat, Inc.		5,088		198
*	Virtusa Corp.		2,560		42
*	Volterra Semiconductor Corp.		3,183		55
*	Websense, Inc.		4,637		70
*	XO Group, Inc.		3,123		29
	Total				12,115
	Materials (5.8%)
	A. Schulman, Inc.		3,722		108
*	A.M. Castle & Co.		2,113		31
	AK Steel Holding Corp.		17,268		79
	AMCOL International Corp.		3,207		98
	American Vanguard Corp.		3,030		94

	Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
	Materials continued
	Balchem Corp.		3,731		136
	Buckeye Technologies, Inc.		4,914		141
*	Calgon Carbon Corp.		7,246		103
*	Century Aluminum Co.		6,520		57
*	Clearwater Paper Corp.		2,948		115
	Deltic Timber Corp.		1,383		98
	Eagle Materials, Inc.		5,906		346
	Globe Specialty Metals, Inc.		8,104		111
	H.B. Fuller Co.		6,337		221
	Hawkins, Inc.		1,165		45
	Haynes International, Inc.		1,562		81
*	Headwaters, Inc.		7,768		67
	Innophos Holdings, Inc.		2,759		128
	Kaiser Aluminum Corp.		2,135		132
	KapStone Paper & Packaging Corp.		4,876		108
	Koppers Holdings, Inc.		2,614		100
*	Kraton Performance Polymers, Inc.		4,100		99
*	LSB Industries, Inc.		2,390		85
	Materion Corp.		2,596		67
	Myers Industries, Inc.		3,945		60
	Neenah Paper, Inc.		2,015		57
	Olympic Steel, Inc.		1,165		26
*	OM Group, Inc.		4,113		91
	P.H. Glatfelter Co.		5,444		95
	PolyOne Corp.		11,316		231
	Quaker Chemical Corp.		1,662		90
*	RTI International Metals, Inc.		3,853		106
	Schweitzer-Mauduit International, Inc.		3,943		154
	Stepan Co.		2,112		117
*	Stillwater Mining Co.		14,840		190
*	SunCoke Energy, Inc.		8,888		139
*	Texas Industries, Inc.		2,635		134
	Tredegar Corp.		3,060		62
	Wausau Paper Corp.		5,890		51
	Zep, Inc.		2,844		41
	Total				4,294
	Telecommunication Services (0.5%)
	Atlantic Tele-Network, Inc.		1,187		43
*	Cbeyond, Inc.		3,788		34
*	Cincinnati Bell, Inc.		25,335		139
*	General Communication, Inc. - Class A		4,132		40
	Lumos Networks Corp.		1,883		19
	Neutral Tandem, Inc.		3,848		10
	NTELOS Holdings Corp.		1,962		26
	USA Mobility, Inc.		2,782		32
	Total				343

Common Stocks (89.0%)	Shares/ $ Par		Value $ (000’s)
Utilities (3.5%)
ALLETE, Inc.		4,441		182
American States Water Co.		2,441		117
Avista Corp.		7,592		183
CH Energy Group, Inc.		1,899		124
El Paso Electric Co.		5,096		163
The Laclede Group, Inc.		2,665		103
New Jersey Resources Corp.		5,296		210
Northwest Natural Gas Co.		3,414		151
NorthWestern Corp.		4,728		164
Piedmont Natural Gas Co., Inc.		9,156		287
South Jersey Industries, Inc.		3,972		200
Southwest Gas Corp.		5,862		248
UIL Holdings Corp.		6,421		230
UNS Energy Corp.		5,257		223
Total				2,585
Total Common Stocks
(Cost: $58,030)				65,582
Investment Companies (2.3%)
Investment Companies (2.3%)
iShares S&P SmallCap 600 Index Fund		22,077		1,727
Total				1,727
Total Investment Companies
(Cost: $1,687)				1,727
Short-Term Investments (8.4%)
Electric Utilities (1.1%)
American Electric Power Co., Inc., 0.30%, 1/2/13		800,000		800
Total				800
Federal Government & Agencies (4.2%)
Federal Home Loan Banks, 0.11%, 2/1/13		3,100,000		3,100
Total				3,100
Finance Services (2.2%)
Alpine Securitization Corp., 0.18%, 1/9/13		800,000		800
Govco LLC, 0.23%, 1/22/13		800,000		800
Total				1,600

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

60 Index 600 Stock Portfolio

Index 600 Stock Portfolio

Short-Term Investments (8.4%)	Shares/ $ Par		Value $ (000’s)
Personal Credit Institutions (0.9%)
Chariot Funding LLC, 0.21%, 3/28/13		700,000		699
Total				699
Total Short-Term Investments
(Cost: $6,199)				6,199
Total Investments (99.7%)
(Cost: $65,916)(a)				73,508
Other Assets, Less
Liabilities (0.3%)				214
Net Assets (100.0%)				73,722

* Non-Income Producing

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $66,385 and the net unrealized appreciation of investments based on that cost was $7,123 which is comprised of $12,042 aggregate gross unrealized appreciation and $4,919 aggregate gross unrealized depreciation.

(j) Swap agreements outstanding on December 31, 2012.

Total Return Swaps

Reference Entity	Counterparty	Payment Made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
S&P SmallCap 600 Index	JPMorgan Chase London	1-Month Usd Libor - 12 Bps	S&P SmallCap 600 Index	5/13	6,406	$	-
						$	-

(n) Security valued in good faith by the Board of Directors.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	65,582	$	-	$	-
Investment Companies		1,727		-		-
Short-Term Investments		-		6,199		-
Other Financial Instruments^		-		6,199		-
Total Return Swaps		-		-		-
Total	$	67,309	$	6,199	$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

Index 600 Stock Portfolio 61

Small Cap Value Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in equity securities of small-sized companies whose common stocks are believed to be undervalued.	$410 million

Portfolio Overview

Mason Street Advisors, the investment adviser for the Small Cap Value 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 of companies with market capitalizations that do not exceed the maximum market capitalization of any security in the S&P SmallCap 600^® 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 market Indices produced solid returns in 2012 despite muted U.S. economic growth, a eurozone recession and sovereign debt crisis, and a slowdown in emerging economies. Domestic equities were supported by strong U.S. corporate earnings and actions by central banks around the world to reduce or suppress interest rates in hopes of stimulating growth. Small and mid cap stocks narrowly surpassed their large cap counterparts. As measured by various Russell^® Indexes, value stocks outperformed growth stocks across all market capitalizations.

Portfolio Results

The Portfolio returned 16.33% for the twelve months ended December 31, 2012. By comparison, the Russell 2000^® Value Index (the “Index”) returned 18.05%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio underperformed the 16.38% average return of its Small Cap Value Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

Stock selection, especially in the Energy and Materials sectors, drove the Portfolio’s underperformance relative to the Index. The Portfolio’s Energy sector produced a negative absolute return and performance fell short of that of the Index. A notable detractor was CARBO Ceramics, a leading manufacturer of lightweight ceramic proppants used by pressure pumpers to complete oil and gas wells. The company suffered along with other firms exposed to natural gas, as prices for the commodity stayed around historic lows. Further, logistic constraints hindered the firm from reaching more profitable oil-producing clients.

The Financials sector was one of the Index’s best performers during the year. As a result, the Portfolio’s substantially underweight position detracted from performance relative to the Index.

Materials stocks within the Portfolio had a double-digit gain, but lagged those in the Index. In particular, AptarGroup weighed on performance. The company, which has a stable business supplying dispensing systems for household products, failed to attract investors in a rising market. In addition, AptarGroup had significant exposure to the European market, which was particularly weak during the year.

On the positive end of the spectrum, stock selection in the Information Technology sector was a positive contributor to performance. A top contributor was Cymer, a supplier of light sources used in the photolithography process for semiconductor manufacturing. During the period, a large customer reported that it would acquire Cymer for a significant premium. Stock selection and an overweight position helped the Industrials and Business Services sector to outperform its Index counterpart. An improving housing market boosted Beacon Roofing Supply, a distributor of roofing and other building materials in the United States and Canada.

The Portfolio’s Consumer Discretionary stocks also contributed positively to relative performance. Recreational vehicle manufacturer Winnebago was a top contributor within the sector. The firm, which sells motor homes through independent dealers under the Winnebago, Itasca, and Era brand names, reported sharply higher revenue due to increased deliveries of motor homes and travel trailers. The Portfolio also benefited from holding single-family homebuilders M/I Homes and Meritage. Positive signs in the housing market, including increased housing starts and home prices and decreased drag from foreclosures, acted as tailwinds for homebuilders.

Portfolio Manager Outlook

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

The market proved surprisingly resilient in the face of global economic challenges during 2012. Yet, we still consider stocks to be relatively inexpensive when viewed against the previous 50 years or against bond yields. So what did we learn? First, those who thought they would wait to invest until the world economic background improved missed a 15% move. Second, when the Federal Reserve is aggressively lowering interest rates and providing liquidity to our economy, that backdrop can be beneficial for stocks. Third, do not count out the U.S.—the resilience that our economy and markets demonstrated in 2012 is amazing to us.

62 Small Cap Value Portfolio

Small Cap Value Portfolio

We believe U.S. equities will continue to rise in 2013, although maybe not at the pace of 2012. With small company value stocks valued at close to their 30-year average compared to large companies and growth companies, we think small cap value stocks may continue to perform relatively well.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
Small Cap Value Portfolio		16.33%		5.21%		10.40%
Russell 2000® Value Index		18.05%		3.55%		9.50%
Lipper® Variable Insurance Products (VIP) Small Cap Value Funds Average		16.38%		4.15%		9.95%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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 or newer 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Aaron’s, Inc.	2.1%
Genesee & Wyoming, Inc. - Class A	2.1%
Landstar System, Inc.	2.1%
ProAssurance Corp.	2.1%
Beacon Roofing Supply, Inc.	1.8%
Kirby Corp.	1.7%
Nordson Corp.	1.5%
Alaska Air Group, Inc.	1.4%
SVB Financial Group	1.3%
AptarGroup, Inc.	1.3%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

Small Cap Value Portfolio 63

Small Cap Value Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (96.6%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (13.6%)
	Aaron’s, Inc.		309,000		8,738
*	Ascent Media Corp. - Class A		44,000		2,725
	Brunswick Corp.		55,900		1,626
	CSS Industries, Inc.		81,000		1,773
	Culp, Inc.		86,600		1,300
	Drew Industries, Inc.		124,100		4,002
	Ethan Allen Interiors, Inc.		48,800		1,255
*	Fifth & Pacific Co.		90,100		1,122
	Fred’s, Inc. - Class A		118,800		1,581
	Haverty Furniture Cos., Inc.		142,600		2,326
*	M/I Homes, Inc.		69,100		1,831
*	MarineMax, Inc.		128,000		1,144
	Matthews International Corp. - Class A		101,400		3,255
	The Men’s Wearhouse, Inc.		99,000		3,085
*	Meritage Homes Corp.		112,500		4,202
*	Modine Manufacturing Co.		160,100		1,302
*	Orient-Express Hotels, Ltd. - Class A		217,500		2,543
	Pool Corp.		101,625		4,301
	Saga Communications, Inc. - Class A		44,200		2,055
*	Stanley Furniture Co., Inc.		91,000		409
	Stein Mart, Inc.		227,000		1,712
	True Religion Apparel, Inc.		32,400		824
*	Winnebago Industries, Inc.		155,000		2,655
	Total				55,766
	Consumer Staples (0.6%)
*	Alliance One International, Inc.		280,400		1,021
	Nash Finch Co.		69,000		1,468
	Total				2,489
	Energy (4.8%)
*	Atwood Oceanics, Inc.		43,500		1,992
*	C&J Energy Services, Inc.		61,700		1,323
	CARBO Ceramics, Inc.		27,900		2,186
*	Cloud Peak Energy, Inc.		101,000		1,952
*	Hercules Offshore, Inc.		150,000		927
*	Northern Oil and Gas, Inc.		145,000		2,439
*	Oasis Petroleum, Inc.		117,500		3,737
*	PDC Energy, Inc.		42,389		1,408
*	Swift Energy Co.		88,000		1,354
	Teekay Tankers, Ltd. - Class A		276,000		800
*	TETRA Technologies, Inc.		200,000		1,518
	Total				19,636
	Financials (22.6%)
	Acadia Realty Trust		73,800		1,851
	Alterra Capital Holdings, Ltd.		115,600		3,259
	Ares Capital Corp.		286,000		5,005

	Common Stocks (96.6%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	Assured Guaranty, Ltd.		105,094		1,495
	CBL & Associates Properties, Inc.		245,100		5,199
	Cedar Realty Trust, Inc.		213,000		1,125
	Columbia Banking System, Inc.		69,000		1,238
	Compass Diversified Holdings		138,000		2,030
	East West Bancorp, Inc.		192,300		4,132
	Employers Holdings, Inc.		63,000		1,296
	First Potomac Realty Trust		161,000		1,990
	Glacier Bancorp, Inc.		181,700		2,673
	Hatteras Financial Corp.		59,800		1,484
	Hercules Technology Growth Capital, Inc.		202,800		2,257
	Home Bancshares, Inc.		117,700		3,886
	JMP Group, Inc.		94,000		571
	KCAP Financial, Inc.		167,000		1,535
	Kilroy Realty Corp.		107,600		5,097
	LaSalle Hotel Properties		131,000		3,326
*	Markel Corp.		5,800		2,514
	Meadowbrook Insurance Group, Inc.		131,400		759
	National Interstate Corp.		118,800		3,424
*	Piper Jaffray Cos., Inc.		36,000		1,157
	Potlatch Corp.		78,800		3,088
	ProAssurance Corp.		203,600		8,590
	PS Business Parks, Inc.		5,800		377
	Radian Group, Inc.		149,500		913
	Redwood Trust, Inc.		172,000		2,905
*	Safeguard Scientifics, Inc.		78,000		1,150
	Saul Centers, Inc.		34,000		1,455
*	Signature Bank		48,600		3,467
*	Stifel Financial Corp.		81,000		2,590
*	SVB Financial Group		95,000		5,317
	Washington Real Estate Investment Trust		70,300		1,838
	Wintrust Financial Corp.		97,600		3,582
	Total				92,575
	Health Care (3.9%)
	Analogic Corp.		32,300		2,400
	Landauer, Inc.		31,800		1,947
*	Momenta Pharmaceuticals, Inc.		109,000		1,284
	National Healthcare Corp.		57,500		2,704
*	Quidel Corp.		97,000		1,811
*	Triple-S Management Corp. - Class B		86,100		1,590
	West Pharmaceutical Services, Inc.		75,200		4,117
	Total				15,853
	Industrials (26.1%)
*	Aegion Corp.		142,000		3,151
*	Alaska Air Group, Inc.		136,200		5,869

	Common Stocks (96.6%)	Shares/ $ Par		Value $ (000’s)
	Industrials continued
	Astec Industries, Inc.		50,900		1,696
*	Beacon Roofing Supply, Inc.		225,100		7,491
	Belden, Inc.		92,400		4,157
	Cascade Corp.		36,300		2,334
	CIRCOR International, Inc.		58,800		2,328
	Comfort Systems USA, Inc.		124,000		1,508
*	Dolan Co.		147,000		572
	Franklin Electric Co., Inc.		35,578		2,212
*	FTI Consulting, Inc.		36,800		1,214
	G & K Services, Inc. - Class A		84,300		2,879
*	Genesee & Wyoming, Inc. - Class A		114,600		8,719
*	Gibraltar Industries, Inc.		163,000		2,595
*	Hub Group, Inc. - Class A		72,300		2,429
	IDEX Corp.		94,200		4,383
	Kaman Corp.		72,400		2,664
*	Kirby Corp.		113,100		7,000
*	Kratos Defense & Security Solutions, Inc.		200,500		1,009
	Landstar System, Inc.		164,800		8,645
	McGrath Rentcorp		158,000		4,585
	Mine Safety Appliances Co.		59,200		2,528
*	Navigant Consulting, Inc.		167,000		1,864
	Nordson Corp.		95,400		6,022
*	On Assignment, Inc.		137,200		2,782
*	Proto Labs, Inc.		23,500		926
	Quanex Building Products Corp.		94,000		1,919
	Robbins & Myers, Inc.		51,500		3,062
	Universal Forest Products, Inc.		67,000		2,549
	Waste Connections, Inc.		121,000		4,089
	Woodward, Inc.		105,100		4,007
	Total				107,188
	Information Technology (9.2%)
*	Accelrys, Inc.		102,300		926
*	Advanced Energy Industries, Inc.		150,000		2,071
*	ATMI, Inc.		70,000		1,461
	Brooks Automation, Inc.		138,000		1,111
	Cabot Microelectronics Corp.		57,900		2,056
	Cognex Corp.		35,300		1,300
*	Cymer, Inc.		9,000		814
	Electro Rent Corp.		188,400		2,897
	Electro Scientific Industries, Inc.		120,800		1,202
*	Entegris, Inc.		66,900		614
*	Ixia		197,000		3,345
	Littelfuse, Inc.		65,900		4,067
	Methode Electronics, Inc.		73,200		734
*	Newport Corp.		113,000		1,520

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

64 Small Cap Value Portfolio

Small Cap Value Portfolio

	Common Stocks (96.6%)	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	Progress Software Corp.		156,500		3,285
*	Sonus Networks, Inc.		474,500		807
*	SYNNEX Corp.		87,600		3,012
*	Teradyne, Inc.		176,000		2,973
*	TNS, Inc.		50,355		1,044
*	Websense, Inc.		109,000		1,639
	Xyratex, Ltd.		91,100		766
	Total				37,644
	Materials (11.2%)
	AMCOL International Corp.		73,300		2,249
	American Vanguard Corp.		114,400		3,554
	AptarGroup, Inc.		109,200		5,211
	Carpenter Technology Corp.		77,300		3,991
*	Clearwater Paper Corp.		82,400		3,227
	Deltic Timber Corp.		54,600		3,856
	Franco-Nevada Corp.		67,200		3,842
	Innospec, Inc.		146,700		5,060
	Minerals Technologies, Inc.		67,400		2,691
	Myers Industries, Inc.		180,800		2,739
*	North American Palladium, Ltd.		680,000		884
	Royal Gold, Inc.		50,286		4,089
	Schnitzer Steel Industries, Inc.		50,000		1,516
*	Texas Industries, Inc.		26,600		1,357
	Wausau Paper Corp.		178,000		1,541
	Total				45,807

	Common Stocks (96.6%)	Shares/ $ Par		Value $ (000’s)
	Telecommunication Services (0.5%)
*	Premiere Global Services, Inc.		207,000		2,024
	Total				2,024
	Utilities (4.1%)
	Black Hills Corp.		50,467		1,834
	Cleco Corp.		107,500		4,301
	El Paso Electric Co.		97,400		3,108
	NorthWestern Corp.		64,900		2,254
	PNM Resources, Inc.		79,300		1,626
	Southwest Gas Corp.		74,100		3,143
	Vectren Corp.		22,000		647
	Total				16,913
	Total Common Stocks
	(Cost: $288,455)				395,895
	Preferred Stocks (0.5%)
	Financials (0.5%)
	East West Bancorp, Inc., 8.00%, 12/31/49		1,359		1,999
	Total				1,999
	Total Preferred Stocks
	(Cost: $1,348)				1,999

Investment Companies (0.7%)	Shares/ $ Par	Value $ (000’s)
Investment Companies (0.7%)
iShares Russell 2000 Value Index Fund	39,100		2,953
Total			2,953
Total Investment Companies
(Cost: $2,238)			2,953
Short-Term Investments (2.2%)
Other Holdings (2.2%)
T. Rowe Price Reserve Investment Fund	8,950,187		8,950
Total			8,950
Total Short-Term Investments
(Cost: $8,950)			8,950
Total Investments (100.0%)
(Cost: $300,991)(a)			409,797
Other Assets, Less
Liabilities (0.0%)			(149	)
Net Assets (100.0%)			409,648

* Non-Income Producing

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $301,861 and the net unrealized appreciation of investments based on that cost was $107,936 which is comprised of $130,675 aggregate gross unrealized appreciation and $22,739 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	395,895	$	-	$	-
Preferred Stocks		-		1,999		-
Investment Companies		2,953		-		-
Short-Term Investments		8,950		-		-
Total	$	407,798	$	1,999	$	-

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

Small Cap Value Portfolio 65

International Growth Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in securities of issuers from countries	$330 million
	outside the U.S. that have above average growth potential.

Portfolio Overview

Mason Street Advisors, the investment adviser for the International Growth Portfolio (the “Portfolio”), has engaged Janus Capital Management LLC (“Janus”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a core group of equity securities of 60–100 issuers from countries outside the United States, including emerging markets. The Portfolio’s investments in equity securities may include small, medium and large capitalization issues. The Portfolio employs a “bottom up” approach in choosing investments and assesses companies for their growth potential. In other words, the Portfolio looks at companies one at a time to determine if a company is an attractive investment opportunity and if it is consistent with the Portfolio’s investment policies.

Market Overview

International markets rose strongly in early 2012. The European Central Bank’s (ECB) decision to inject liquidity through its Long Term Refinancing Operation took a significant amount of fear out of the market. During the middle of the year, stocks declined due to concerns of slowing global growth, particularly in China, and renewed worries over the European sovereign debt crisis. However, equity markets charged higher in September, following the ECB’s announcement that it would buy sovereign debt to reduce the borrowing costs of peripheral European countries. Additional Chinese stimulus measures also aided the rebound in equities. International markets continued to perform strongly over the final three months, as two big overhangs, China’s slowing economic growth and the European sovereign debt crisis, reduced significantly.

Portfolio Results

The Portfolio returned 17.99% for the twelve months ended December 31, 2012. By comparison, the MSCI^® All Country World (ex-US) Growth Index (the “Index”) returned 17.08%. (The Index is unmanaged, cannot be invested in directly, and does not include administrative expenses or sales charges.) The Portfolio underperformed the 19.45% average return of its International Growth Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

The Portfolio’s holdings within Information Technology contributed the most to relative performance, followed by the holdings and an underweight in Materials. The Portfolio’s holdings and overweight in Financials, which generally performed strongly, also aided performance. Relative detractors included the holdings and an overweight in the Energy sector and the holdings in Consumer Discretionary. On a country basis, the Portfolio’s holdings in the U.K., Japan and Italy were key contributors. Meanwhile, the Portfolio’s holdings in Brazil and France detracted.

In Financials, U.K. insurer Prudential benefited from increasing market share and widening profit margins in its Asian markets. In Materials, chemicals maker LyondellBasell’s shares rallied sharply during the year on lower costs. The primary input to the company’s production process is natural gas, a commodity that experienced considerable price pressure due to excess supply. The company also made several decisions that were beneficial to shareholders, including a special dividend, debt reduction and refinancing. Mitsubishi Estate also recorded strong gains. The company was among Japanese real estate firms that benefited from the anticipation of an inflationist monetary policy.

There were also several securities that detracted from performance relative to the Index. In Energy, OGX Petroleo e Gas Participacoes, a Brazilian exploration and production company, traded lower after it reported slow production. Similarly, Yamada Denki, a Japanese electronics retailer, also suffered after one of its competitors was effectively acquired by another company, significantly altering the competitive landscape for Yamada.

Finally, Japanese e-commerce company Rakuten, was another key detractor. The stock suffered from investor fears over the company’s aggressive acquisition strategy, which included Kobo (a competing e-reader to Amazon’s Kindle) and numerous e-commerce sites such as Buy.com, Play.com and PriceMinister.

Portfolio Manager Outlook

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

We have a positive outlook for global growth in 2013, as there are signs that the Chinese economy is improving and Europe has seen relative stability since the European Central Bank took action on the debt crisis. We are particularly upbeat about the prospect for international markets. Since global markets peaked in 2007, stock markets in China, Europe, Japan, Brazil and India have continued to sell well below their peaks, while U.S. stocks have much less of a discount relative to their peak, which leads us to conclude that non-U.S. markets may have more ground to regain.

Emerging markets look particularly attractive to us. In China, we anticipate some relaxation of policies that have hindered growth and potentially some small stimulus measures. We have already seen loan demand accelerate and house prices stabilize. We think China’s growth in 2013 could be higher than forecasts. Meanwhile in India, the general paralysis in economic activity began to ease during the fourth quarter. In Europe, we expect 2013 growth to be weak, but we see nascent signs of improving consumption, which imply that conditions are not deteriorating faster than expected.

66 International Growth Portfolio

International Growth Portfolio

Finally, we think Japan has the potential to escape deflation under the pro-growth policies of the new government. In terms of positioning, we intend to enter 2013 with more emerging markets exposure and a smaller weight in Energy.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year			5 Years			10 Years
International Growth Portfolio		17.99	%		-4.59	%		7.99	%
MSCI® All Country World (ex-US) Growth Index (Gross)		17.08	%		-2.55	%		9.36	%
MSCI EAFE® Index (Gross)		17.90	%		-3.21	%		8.70	%
Lipper® Variable Insurance Products (VIP) International Growth Funds Average		19.45	%		-2.49	%		8.96	%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.

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 geographical 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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Fanuc Corp.	3.7%
Kuehne + Nagel International AG	3.1%
Prudential PLC	2.9%
Reckitt Benckiser Group PLC	2.9%
Taiwan Semiconductor Manufacturing Co., Ltd.	2.9%
AIA Group, Ltd.	2.8%
ARM Holdings PLC	2.8%
The Weir Group PLC	2.6%
Novartis AG	2.5%
ThyssenKrupp AG	2.5%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

International Growth Portfolio 67

International Growth Portfolio

Schedule of Investments

December 31, 2012

	Foreign Common Stocks (95.9%)	Country	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (12.3%)
	Compagnie Financiere Richemont SA	Switzerland		68,507		5,475
*	Ctrip.com International, Ltd., ADR	China		110,922		2,528
	Isuzu Motors, Ltd.	Japan		1,032,000		6,139
	Kabel Deutschland Holding AG	Germany		69,918		5,226
	Prada S.p.A	Italy		417,300		4,037
	Rakuten, Inc.	Japan		371,300		2,892
	Renault SA	France		88,929		4,905
	Samsonite International SA	Luxembourg		1,618,200		3,385
	WPP PLC	Ireland		404,248		5,879
	Total					40,466
	Consumer Staples (13.0%)
	Beiersdorf AG	Germany		20,602		1,683
	Danone SA	France		109,419		7,226
	ITC, Ltd.	India		764,852		3,996
	Japan Tobacco, Inc.	Japan		263,800		7,427
	Reckitt Benckiser Group PLC	United Kingdom		154,014		9,651
	SABMiller PLC	United Kingdom		131,705		6,201
	Unilever NV	Netherlands		174,920		6,598
	Total					42,782
	Energy (8.6%)
	AMEC PLC	United Kingdom		198,043		3,241
	Canadian Natural Resources, Ltd.	Canada		162,306		4,683
	Encana Corp.	Canada		173,444		3,435
*	OGX Petroleo e Gas Participacoes SA	Brazil		742,600		1,588
	Petrofac, Ltd.	United Kingdom		192,534		5,218
	Reliance Industries, Ltd.	India		383,679		5,918
	Tullow Oil PLC	United Kingdom		220,303		4,488
	Total					28,571
	Financials (18.4%)
	AIA Group, Ltd.	Hong Kong		2,322,800		9,258
	Banco Bilbao Vizcaya Argentaria SA	Spain		172,294		1,581
	Banco do Brasil SA	Brazil		544,600		6,806
	BNP Paribas SA	France		6,935		391
	China Construction Bank Corp. - Class H	China		4,662,000		3,800
	DBS Group Holdings, Ltd.	Singapore		152,000		1,861
	Grupo BTG Pactual	Brazil		176,900		2,677
	Hang Lung Properties, Ltd.	Hong Kong		1,284,411		5,150
	HSBC Holdings PLC	United Kingdom		308,279		3,261
	ICICI Bank, Ltd.	India		96,070		2,020
*	ING Groep NV	Netherlands		153,553		1,468
	Mitsubishi Estate Co., Ltd.	Japan		282,000		6,733
	Prudential PLC	United Kingdom		692,752		9,669
	Standard Chartered PLC	United Kingdom		112,778		2,860

Foreign Common Stocks (95.9%)	Country	Shares/ $ Par		Value $ (000’s)
Financials continued
Turkiye Halk Bankasi A.S.	Turkey		332,858		3,280
Total					60,815
Health Care (6.8%)
Elekta AB - Class B	Sweden		214,797		3,388
Novartis AG	Switzerland		128,330		8,121
Novo Nordisk A/S	Denmark		24,342		3,974
Shire PLC	Ireland		228,432		7,018
Total					22,501
Industrials (16.5%)
A.P. Moller - Maersk A/S	Denmark		1,036		7,927
Canadian Pacific Railway, Ltd.	Canada		71,491		7,267
Fanuc Corp.	Japan		65,400		12,146
Koninklijke Vopak NV	Netherlands		57,222		4,033
Kuehne + Nagel International AG	Switzerland		82,567		10,043
Nabtesco Corp.	Japan		160,500		3,547
Vallourec SA	France		17,897		934
The Weir Group PLC	United Kingdom		272,510		8,461
Total					54,358
Information Technology (12.6%)
ARM Holdings PLC	United Kingdom		719,332		9,201
Hexagon AB - Class B	Sweden		254,107		6,389
Keyence Corp.	Japan		22,600		6,229
Samsung Electronics Co., Ltd.	South Korea		2,989		4,306
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		2,846,000		9,517
Telefonaktiebolaget LM Ericsson - Class B	Sweden		576,439		5,799
Total					41,441
Materials (7.7%)
LyondellBasell Industries NV	Netherlands		110,116		6,287
Potash Corp. of Saskatchewan, Inc.	Canada		126,030		5,139
Rio Tinto PLC	United Kingdom		99,630		5,808
ThyssenKrupp AG	Germany		344,025		8,080
Total					25,314
Total Foreign Common Stocks
(Cost: $280,044)					316,248

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

68 International Growth Portfolio

International Growth Portfolio

Short-Term Investments (4.0%)	Country	Shares/ $ Par		Value $ (000’s)
Commercial Banks Non-US (4.0%)
BNP Paribas Finance, Inc., 0.01%, 1/2/13	United States		13,100,000		13,100
Total					13,100
Total Short-Term Investments
(Cost: $13,100)					13,100
Total Investments (99.9%)
(Cost: $293,144)(a)					329,348
Other Assets, Less
Liabilities (0.1%)					370
Net Assets (100.0%)					329,718

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $295,503 and the net unrealized appreciation of investments based on that cost was $33,845 which is comprised of $48,465 aggregate gross unrealized appreciation and $14,620 aggregate gross unrealized depreciation.

Investments Percentage by Country is based on Net Assets:
United Kingdom	20.6%
Japan	13.7%
Switzerland	7.2%
Canada	6.2%
Netherlands	5.6%
Other	46.6%
Total	99.9%

(l) As of December 31, 2012 portfolio securities with an aggregate value of $275,838 (in thousands) were fair valued under procedures adopted by the Board of Directors.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Foreign Common Stocks
Consumer Discretionary	$	2,528	$	37,938	$	-
Energy		9,706		18,865		-
Financials		9,483		51,332		-
Industrials		7,267		47,091		-
Materials		11,426		13,888		-
All Others		-		106,724		-
Short-Term Investments		-		13,100		-
Total	$	40,410	$	288,938	$	-

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

International Growth Portfolio 69

Research International Core Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Capital appreciation.	Invest primarily in foreign equity securities, including	$261 million
	emerging markets.

Portfolio Overview

Mason Street Advisors, the investment adviser for the Research International Core Portfolio (the “Portfolio”), has engaged Massachusetts Financial Services Company (“MFS^®”) to act as sub-adviser for the Portfolio. The Portfolio normally invests in foreign equity securities, including emerging market equity securities. A team of research analysts selects investments for the Portfolio. MFS allocates the Portfolio’s assets to analysts by broad market sectors, which generally approximate the sector weightings in the MSCI EAFE^® Index. When investing in foreign markets, the Portfolio is not constrained to any particular investment style. The Portfolio may invest in stocks of companies it believes to have above average earnings growth potential compared to other companies (growth companies), and 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. The Portfolio also may invest in companies of any size.

Market Overview

In the aftermath of additional liquidity measures by the Federal Reserve Bank (Fed) and a commensurate improvement in macroeconomic conditions, the beginning of 2012 was characterized by a risk-on sentiment. During this time, global equity valuations rose, credit spreads contracted, and high-quality sovereign yields increased modestly.

During the middle of the year, conditions worsened, driven by broadly weaker global macroeconomic indicators, as well as renewed concerns over the Europe’s capacity and determination to address its ongoing crisis. Despite this deterioration, broad market sentiment remained relatively resilient as equity markets generally maintained gains and credit spreads did not indicate deterioration.

However, this renewed weakness in the fundamentals precipitated a further round of monetary easing by the Fed (QE3) and the European Central Bank (rate cut and a new bond purchase facility) in the second half of the year, which soon instilled additional confidence in risk markets.

Portfolio Results

For the twelve months ended December 31, 2012, the Portfolio provided a total return of 16.76%. By comparison, its primary and secondary benchmarks, the MSCI^® All Country World (ex-US) Index and MSCI EAFE^® Index, returned 17.39% and 17.90%, respectively. (These Indices are unmanaged, cannot be invested in directly, and do not include administrative expenses or sales charges.) The Portfolio underperformed the average return of its peer group, International Core Funds, which was 17.56%, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency. The performance attribution commentary is presented against the MSCI EAFE^® Index (the “Index”).

Stock selection in the Financial Services sector detracted from the Portfolio’s performance relative to the Index. Holdings of poor-performing Brazilian diversified bank Itau Unibanco Holding hindered relative performance.

Security selection in both the Capital Goods and Telecom/Catv sectors held back relative performance. Within the Capital Goods sector, holdings of Australian mining company Iluka Resources, parcel delivery services company Yamato Holdings, and mining equipment manufacturer Joy Global hurt relative results. In the Telecom/Catv sector, holdings of poor-performing telecommunications company China Unicom Hong Kong weighed on results.

Elsewhere in the Portfolio, shares of pharmaceutical company Santen Pharmaceutical, oil and gas exploration company INPEX, television broadcasting company Nippon Television, digital camera and office equipment company Canon, and medical diagnostics company Diagnosticos Da America negatively impacted relative performance, as all five stocks underperformed the broad Index during the year.

The Portfolio’s currency exposure was a detractor from relative performance. Because the Portfolio’s investment decisions were driven by the fundamentals of each individual opportunity, the Portfolio had different currency exposure than the Index during the year.

Stock selection in the Healthcare and Technology sectors supported relative performance. In the Health Care sector, holdings of German healthcare products maker Bayer and healthcare service provider Rhone-Klinikum contributed to relative performance. There were no individual securities within the Technology sector that were among the Portfolio’s top relative contributors. The Portfolio outperformed the Index within the Technology sector due to smaller contributions from the Portfolio’s diversified Technology holdings.

Elsewhere in the Portfolio, holdings of Dutch brewer Heineken, financial services firm Barclays, paint and specialty chemical manufacturer Akzo Nobel, diversified bank Erste Group Bank, reinsurance company Swiss Reinsurance, and casino operator Sands China, aided relative performance. Not holding shares of Spanish telecommunications company Telefónica, also benefited relative performance.

70 Research International Core Portfolio

Research International Core Portfolio

Portfolio Manager Outlook

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

The Research International Core Portfolio is a sector-neutral portfolio that emphasizes bottom-up fundamental research. Because of this approach, the Portfolio’s sector weightings vary only modestly from those of the Index. Instead, we attempt to outperform the Index by holding what we believe to be the most attractive opportunities among growth and value companies within each sector of the Index without regard to market capitalization.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year	5 Years		Since Inception*
Research International Core Portfolio	16.76%		-2.69%		-1.45%
MSCI® All Country World (ex-US) Index (Gross)	17.39%		-2.44%		-0.85%
MSCI EAFE® Index (Gross)	17.90%		-3.21%		-2.39%
Lipper® Variable Insurance Products (VIP) International Core Funds Average	17.56%		-3.50%		-

* Inception date of 4/30/07

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.

Investments in the securities of companies in developing nations impose risks different from, and greater than, risks of investing in developed countries.

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.

The Portfolio may invest in derivative instruments to increase or decrease exposure to a particular market, segment of the market or security. Use of these instruments may involve certain costs and imposes certain 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.

Research International Core Portfolio 71

Research International Core Portfolio

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Royal Dutch Shell PLC - Class A	3.1%
Roche Holding AG	2.8%
Nestle SA	2.8%
Rio Tinto PLC	2.6%
Novartis AG	2.2%
BP PLC	2.1%
Heineken NV	2.0%
Westpac Banking Corp.	2.0%
Bayer AG	2.0%
Barclays PLC	1.9%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

72 Research International Core Portfolio

Research International Core Portfolio

Schedule of Investments

December 31, 2012

	Foreign Common Stocks (98.9%)	Country	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (10.7%)
	Arcos Dorados Holdings, Inc.	Virgin Islands (British)		147,670		1,766
	Compass Group PLC	United Kingdom		109,270		1,293
	DENSO Corp.	Japan		96,400		3,350
	GKN PLC	United Kingdom		412,498		1,539
	Hennes & Mauritz AB - B Shares	Sweden		52,330		1,819
	Honda Motor Co., Ltd.	Japan		119,600		4,402
	Li & Fung, Ltd.	Hong Kong		1,328,000		2,393
	LVMH Moet Hennessy Louis Vuitton SA	France		14,209		2,647
	Nippon Television Holdings	Japan		116,000		1,541
	Publicis Groupe SA	France		40,048		2,398
	Sands China, Ltd.	Macau		652,800		2,929
	Whitbread PLC	United Kingdom		46,735		1,864
	Total					27,941
	Consumer Staples (10.7%)
	Danone SA	France		71,711		4,736
	Heineken NV	Netherlands		78,579		5,240
	Japan Tobacco, Inc.	Japan		141,200		3,975
	Lawson, Inc.	Japan		23,000		1,561
	M Dias Branco SA	Brazil		37,900		1,445
	Nestle SA	Switzerland		110,553		7,201
	Reckitt Benckiser Group PLC	United Kingdom		49,907		3,127
	Wumart Stores, Inc.	China		255,000		551
	Total					27,836
	Energy (8.1%)
	BG Group PLC	United Kingdom		118,409		1,986
	BP PLC	United Kingdom		777,995		5,392
	Cairn Energy PLC	United Kingdom		111,520		489
	Cenovus Energy, Inc.	Canada		31,810		1,067
	CNOOC, Ltd.	Hong Kong		464,000		1,019
	INPEX Corp.	Japan		377		2,009
	Reliance Industries, Ltd.	India		86,332		1,332
	Royal Dutch Shell PLC - Class A	Netherlands		226,087		7,991
	Total					21,285
	Financials (24.4%)
	Aeon Credit Service Co., Ltd.	Japan		67,600		1,363
	AIA Group, Ltd.	Hong Kong		644,000		2,567
	Banco Santander SA	Spain		212,300		1,711
	Barclays PLC	United Kingdom		1,151,321		4,973
	BNP Paribas SA	France		64,485		3,633
	BOC Hong Kong Holdings, Ltd.	Hong Kong		307,500		963
	DBS Group Holdings, Ltd.	Singapore		184,000		2,253
	Delta Lloyd NV	Netherlands		54,760		911
*	Erste Group Bank AG	Austria		112,398		3,593
*	Grupo Financiero Santander Mexico SAB de CV, ADR - Class B	Mexico		65,270		1,056
	GSW Immobilien AG	Germany		26,169		1,106
	Hang Lung Properties, Ltd.	Hong Kong		546,000		2,189

	Foreign Common Stocks (98.9%)	Country	Shares/ $ Par		Value $ (000’s)
	Financials continued
	HDFC Bank, Ltd., ADR	India		28,500		1,161
	Hiscox, Ltd.	Bermuda		156,447		1,139
	HSBC Holdings PLC	United Kingdom		236,785		2,505
	ICICI Bank, Ltd.	India		45,436		956
*	ING Groep NV	Netherlands		353,988		3,384
	Itau Unibanco Holding SA, ADR	Brazil		49,910		822
	KBC Groep NV	Belgium		51,437		1,790
	Mitsubishi UFJ Financial Group, Inc.	Japan		340,200		1,828
	PT Bank Mandiri Tbk	Indonesia		1,000,500		846
	PT Bank Rakyat Indonesia Tbk	Indonesia		1,195,500		871
	Siam Commercial Bank PCL	Thailand		187,300		1,108
	Sony Financial Holdings, Inc.	Japan		68,500		1,231
	Standard Chartered PLC	United Kingdom		165,652		4,200
	Sumitomo Mitsui Financial Group, Inc.	Japan		119,800		4,346
	Swiss Re AG	Switzerland		48,877		3,565
	UBS AG	Switzerland		149,332		2,347
	Westpac Banking Corp.	Australia		190,920		5,225
	Total					63,642
	Health Care (9.8%)
	Bayer AG	Germany		54,002		5,126
	Diagnosticos da America SA	Brazil		163,000		1,049
	Miraca Holdings, Inc.	Japan		37,000		1,488
	Novartis AG	Switzerland		91,190		5,770
	Roche Holding AG	Switzerland		36,421		7,416
	Santen Pharmaceutical Co., Ltd.	Japan		87,400		3,342
	Sonova Holding AG	Switzerland		12,769		1,414
	Total					25,605
	Industrials (12.8%)
	East Japan Railway Co.	Japan		23,300		1,504
	Glory, Ltd.	Japan		83,200		1,925
	Hutchison Whampoa, Ltd.	Hong Kong		214,000		2,270
	JGC Corp.	Japan		109,000		3,391
	Joy Global, Inc.	United States		41,830		2,668
	Keppel Corp., Ltd.	Singapore		172,400		1,567
	Kuehne + Nagel International AG	Switzerland		17,450		2,122
	Legrand SA	France		21,024		887
	Mitsubishi Corp.	Japan		88,800		1,705
	Schindler Holding AG	Switzerland		22,461		3,243
	Schneider Electric SA	France		55,036		4,103
	Siemens AG	Germany		42,126		4,577
	Sinotruk Hong Kong, Ltd.	China		777,000		598
	Yamato Holdings Co., Ltd.	Japan		182,700		2,774
	Total					33,334
						��
	Information Technology (6.0%)
	Amadeus IT Holding SA - Class A	Spain		62,204		1,560
	ASML Holding NV	Netherlands		9,349		605
	Canon, Inc.	Japan		70,500		2,762

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

Research International Core Portfolio 73

Research International Core Portfolio

	Foreign Common Stocks (98.9%)	Country	Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	Cognizant Technology Solutions Corp. - Class A	United States		18,390		1,362
	Dassault Systemes SA	France		14,925		1,670
	Nomura Research Institute, Ltd.	Japan		64,600		1,335
	Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		600,189		2,007
	Telefonaktiebolaget LM Ericsson - Class B	Sweden		289,651		2,914
	Yahoo! Japan Corp.	Japan		4,235		1,369
	Total					15,584
	Materials (8.3%)
	Akzo Nobel NV	Netherlands		67,382		4,445
	Chugoku Marine Paints, Ltd.	Japan		90,000		537
	Iluka Resources, Ltd.	Australia		275,966		2,677
	Linde AG	Germany		25,144		4,383
	Newcrest Mining, Ltd.	Australia		43,935		1,027
	Nippon Paint Co., Ltd.	Japan		98,000		841
	Rio Tinto PLC	United Kingdom		114,570		6,679
	Symrise AG	Germany		30,884		1,105
	Total					21,694
	Telecommunication Services (5.0%)
	Bezeq Israeli Telecommunication Corp., Ltd.	Israel		663,810		767
	BT Group PLC	United Kingdom		268,810		1,014
	China Unicom Hong Kong, Ltd.	Hong Kong		934,000		1,512
	KDDI Corp.	Japan		56,800		4,007
	Telecom Italia S.p.A.	Italy		531,725		480
*	Telecom Italia S.p.A. - Rights	Italy		1,494,238		1,182
	Tim Participacoes SA, ADR	Brazil		38,621		766
	Vodafone Group PLC	United Kingdom		1,379,858		3,471
	Total					13,199
	Utilities (3.1%)
	CEZ AS	Czech Republic		30,753		1,106
	China Resources Gas Group, Ltd.	Hong Kong		128,000		265
	Cia de Saneamento Basico do Estado de Sao Paulo	Brazil		10,300		437
	EDP - Energias do Brasil SA	Brazil		284,100		1,732
	GDF Suez	France		75,196		1,549
	Suez Environnement Co.	France		87,550		1,055
	Tokyo Gas Co., Ltd.	Japan		453,000		2,068
	Total					8,212
	Total Foreign Common Stocks
	(Cost: $229,061)					258,332
	Total Investments (98.9%)
	(Cost: $229,061)(a)					258,332
	Other Assets, Less
	Liabilities (1.1%)					2,936
	Net Assets (100.0%)					261,268

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

74 Research International Core Portfolio

Research International Core Portfolio

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $234,361 and the net unrealized appreciation of investments based on that cost was $23,971 which is comprised of $32,946 aggregate gross unrealized appreciation and $8,975 aggregate gross unrealized depreciation.

Investments Percentage by Country is based on Net Assets:
Japan	20.9%
United Kingdom	14.7%
Switzerland	12.7%
France	8.7%
Netherlands	8.6%
Germany	6.2%
Hong Kong	5.0%
Other	22.1%
Total	98.9%

(l) As of December 31, 2012 portfolio securities with an aggregate value of $243,001 (in thousands) were fair valued under procedures adopted by the Board of Directors.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Foreign Common Stocks
Consumer Discretionary	$	1,766	$	26,175	$	-
Consumer Staples		1,445		26,391		-
Energy		1,067		20,218		-
Financials		3,039		60,603		-
Health Care		1,049		24,556		-
Industrials		2,668		30,666		-
Information Technology		1,362		14,222		-
Materials		-		21,694		-
Telecommunication Services		766		12,433		-
Utilities		2,169		6,043		-
Total	$	15,331	$	243,001	$	-

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

Research International Core Portfolio 75

International Equity Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Any income realized will be identical.	Invests primarily in equity securities of issuers outside of the U.S. with favorable long-term potential relative to current market values.	$1.5 billion

Portfolio Overview

Mason Street Advisors, the investment adviser for the International Equity Portfolio (“the Portfolio”), has engaged Templeton Investment Counsel, LLC (“Templeton”) to act as sub-adviser for the Portfolio. The Portfolio may purchase securities in any foreign country, developed or undeveloped. The Portfolio’s strategy reflects a bottom up, value oriented and long-term investment philosophy. In choosing equity investments, the Portfolio will focus on the market price of a company’s securities in relation to its long-term earnings, asset value and cash flow potential. A company’s historical value measures, including price/earnings ratio, profit margins and liquidation value, also will be considered.

Market Overview

International stocks finished the year with solid gains amid considerable volatility. For most of 2012, the headlines from the European debt crisis caused concern about the durability of the financial system, while the economic slowdowns in the U.S. and China created worries about the pace of global growth. The outlook improved in the last several months of 2012, bringing relief for investors. The European Central Bank took extraordinary measures to back the Euro, and U.S. consumers increased spending, driving Chinese exports higher. In that environment, the MSCI^® All Country World (ex-US) Index (the “Index”) rose 17.39%, while the MSCI^® Emerging Market Index advanced 18.63%.

Portfolio Results

For the twelve months ended December 31, 2012, the Portfolio returned 21.52%, while the Index returned 17.39%. (The index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio outperformed the average return for the Portfolio’s peer group, International Value Funds, which was 17.30%, according to Lipper^® Analytical Services, Inc., an independent mutual fund rating agency.

Stock selection in the Financials sector was among the biggest contributors to performance relative to the Index. In particular, European financials were trading at relatively extreme discounts relative to their historical book value, reflecting concerns over the sovereign debt crisis. The Portfolio’s value-oriented investment process identified several financial institutions that had long-term appreciation potential given their low valuations and relative importance to the global financial system. These positions had a positive impact on performance during 2012, as the European Central Bank implemented broad measures to avoid sovereign defaults in the weaker European economies. In particular, the Portfolio’s holdings in Lloyds Banking Gp, DBS Group Hldgs, Swiss Re AG and BNP Paribas were responsible for the majority of the Portfolio’s relative performance in the Financials sector.

In the Materials sector, stock selection added to the Portfolio’s outperformance relative to the Index. The biggest contributor in the sector was Lyondellbasell. The stock rose sharply, as cost reductions related to low natural gas prices in the U.S. gave the company an advantage over its global competitors. The Portfolio also held Australian steel maker Bluescope Steel, which sells most of its products in China. The stock had a solid balance sheet with manageable debt, meaning the company had increased potential to weather the economic slowdown in China. The stock increased in 2012, as the Chinese economy began to recover. In addition, the Portfolio entirely avoided mining stocks that were in the Index, which helped relative performance, as stock prices generally fell in the mining industry.

Overall, the Portfolio’s holdings in the Healthcare and Information Technology sectors also outperformed the Index. The top three relative contributors were Bayer AG, Sanofi, and Merck KgaA. In the Technology sector, Samsung Electronics was the biggest contributor, as the stock outperformed on solid demand for its television and cellular phones. Taiwan Semiconductor also rallied, as the company delivered strong earnings in each of its business subdivisions.

On the other end of the spectrum, stock selection in the Consumer Staples and Industrials sectors detracted from relative performance. Specifically, some stock specific challenges weighed on relative performance in those sectors, as U.K. grocer Tesco, China’s largest specialty steel manufacturer Citic Pacific and diversified manufacturer Shanghai Electric declined sharply.

Portfolio Manager Outlook

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

The portfolio managers believe the best way to generate performance over time versus the Index is through superior individual security selection using a value-oriented approach. From a country perspective, we believe several of our holdings in Japan, including the automakers, have the potential to benefit if Japan begins to pursue economic policies that could boost the company’s exports. Similarly, we are seeing valuation opportunities in Brazil, China, and India. Many companies in these countries have attractively priced free cash flow, as investors fully discounted the economic slowdown in emerging markets.

76 International Equity Portfolio

International Equity Portfolio

Our investment thesis for healthcare will be based on European drug companies with emerging markets exposure that are exiting slower growth businesses and pursuing the development of new treatments for disease. We are also finding value in highly profitable technology stocks with exposure to business capital spending, as the pace of spending has not kept up with depreciating assets.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
International Equity Portfolio		21.52%		-2.52%		9.78%
MSCI® All Country World (ex-US) Index (Gross)		17.39%		-2.44%		10.22%
MSCI EAFE® Index (Gross)		17.90%		-3.21%		8.70%
Lipper® Variable Insurance Products (VIP) International Value Funds Average		17.30%		-4.41%		7.43%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Roche Holding AG	2.7%
Bayer AG	2.5%
Samsung Electronics Co., Ltd.	2.4%
Telenor ASA	2.3%
HSBC Holdings PLC	2.1%
Merck KGaA	2.1%
Royal Dutch Shell PLC - Class B	2.0%
Kingfisher PLC	2.0%
Taiwan Semiconductor Manufacturing Co., Ltd.	2.0%
Singapore Telecommunications, Ltd.	1.9%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

International Equity Portfolio 77

International Equity Portfolio

Schedule of Investments

December 31, 2012

	Foreign Common Stocks (95.9%)	Country	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (9.7%)
	Cie Generale des Etablissements Michelin	France		264,268		25,044
*	Hyundai Mobis	South Korea		66,060		18,034
	Kingfisher PLC	United Kingdom		6,466,180		29,876
	Marks & Spencer Group PLC	United Kingdom		3,687,520		22,998
*	Mazda Motor Corp.	Japan		1,955,880		3,988
	Nissan Motor Co., Ltd.	Japan		2,114,490		20,043
	Toyota Motor Corp.	Japan		534,020		24,893
	Total					144,876
	Consumer Staples (2.4%)
	Carrefour SA	France		317,780		8,226
	Tesco PLC	United Kingdom		4,916,610		27,017
	Total					35,243
	Energy (8.8%)
	China Coal Energy Co., Ltd.	China		11,855,740		13,257
	China Shenhua Energy Co., Ltd.	China		2,712,940		12,122
	ENI SpA	Italy		899,565		22,183
	Galp Energia SGPS SA	Portugal		1,126,050		17,487
	Petroleo Brasileiro SA, ADR	Brazil		370,530		7,214
	Repsol SA	Spain		234,660		4,817
*	Respol SA - Rights	Spain		234,660		143
	Royal Dutch Shell PLC - Class B	United Kingdom		849,205		30,065
	Statoil ASA	Norway		491,680		12,335
	Talisman Energy, Inc.	Canada		1,011,970		11,469
	Total					131,092
	Financials (21.1%)
	Aegon NV	Netherlands		931,090		5,931
	AIA Group, Ltd.	Hong Kong		5,984,820		23,854
	Aviva PLC	United Kingdom		2,395,180		14,464
	AXA SA	France		554,855		10,032
	Bangkok Bank Public Co., Ltd.	Thailand		2,559,200		17,532
	BNP Paribas SA	France		219,470		12,366
	Cheung Kong Holdings, Ltd.	Hong Kong		741,850		11,484
	China Life Insurance Co., Ltd.	China		6,621,000		21,882
	Credit Suisse Group AG	Switzerland		951,410		23,859
	DBS Group Holdings, Ltd.	Singapore		2,175,000		26,628
	Housing Development Finance Corp., Ltd.	India		47,610		725
	HSBC Holdings PLC	United Kingdom		2,956,937		31,392
*	ING Groep NV	Netherlands		1,845,152		17,638
*	Lloyds Banking Group PLC	United Kingdom		20,101,110		16,112
	NKSJ Holdings, Inc.	Japan		397,200		8,448
	Nordea Bank AB	Sweden		2,758,570		26,425
	Standard Chartered PLC	United Kingdom		867,390		21,994
	Swiss Reinsurance Co., Ltd.	Switzerland		302,612		22,074
	Total					312,840

	Foreign Common Stocks (95.9%)	Country	Shares/ $ Par		Value $ (000’s)
	Health Care (13.8%)
*	Algeta ASA	Norway		270,370		7,591
*	Basilea Pharmaceutica AG	Switzerland		87,430		4,276
	Bayer AG	Germany		384,080		36,459
*	Elan Corp. PLC, ADR	Ireland		1,915,120		19,553
	Getinge AB - Class B	Sweden		591,650		20,047
	GlaxoSmithKline PLC	United Kingdom		633,240		13,753
	Ipsen SA	France		282,440		8,551
	Merck KGaA	Germany		233,520		30,799
*	Prothena Corp. PLC	Ireland		46,710		342
	Roche Holding AG	Switzerland		195,570		39,821
	Sanofi	France		246,075		23,328
	Total					204,520
	Industrials (11.8%)
	ABB, Ltd.	Switzerland		180,460		3,745
	Deutsche Lufthansa AG	Germany		898,420		16,881
	G4S PLC	United Kingdom		4,897,450		20,456
	Hutchison Whampoa, Ltd.	Hong Kong		1,389,983		14,746
*	International Consolidated Airlines Group SA	United Kingdom		5,205,520		16,052
	ITOCHU Corp.	Japan		2,092,640		22,060
*	Qantas Airways, Ltd.	Australia		8,270,480		13,018
	Randstad Holding NV	Netherlands		293,300		10,823
	Shanghai Electric Group Co., Ltd.	China		31,604,000		13,741
	Siemens AG	Germany		170,620		18,538
	Siemens AG, ADR	Germany		228,990		25,068
	Total					175,128
	Information Technology (10.3%)
*	Flextronics International, Ltd.	Singapore		1,704,200		10,583
	Infineon Technologies AG	Germany		1,580,200		12,818
	Samsung Electronics Co., Ltd.	South Korea		24,520		35,322
	Siliconware Precision Industries Co.	Taiwan		13,391,000		14,319
	Software AG	Germany		519,740		22,069
	Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		8,880,235		29,695
*	Trend Micro, Inc.	Japan		932,980		28,119
	Total					152,925
	Materials (8.2%)
	Akzo Nobel NV	Netherlands		336,140		22,172
*	BlueScope Steel, Ltd.	Australia		4,285,762		15,739
	CRH PLC	Ireland		558,050		11,669
	HeidelbergCement AG	Germany		303,280		18,366
	LyondellBasell Industries NV	Netherlands		399,680		22,818
	POSCO	South Korea		37,010		12,180
	Rexam PLC	United Kingdom		2,717,150		19,100
	Total					122,044
	Telecommunication Services (9.5%)
	China Mobile, Ltd.	Hong Kong		2,046,500		23,974

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

78 International Equity Portfolio

International Equity Portfolio

	Foreign Common Stocks (95.9%)	Country	Shares/ $ Par		Value $ (000’s)
	Telecommunication Services continued
	China Telecom Corp., Ltd.	China		45,846,000		25,688
	Singapore Telecommunications, Ltd.	Singapore		10,531,850		28,645
	Telenor ASA	Norway		1,699,790		34,526
*	Turkcell Iletisim Hizmetleri AS	Turkey		1,369,410		8,870
	Vodafone Group PLC	United Kingdom		7,868,633		19,795
	Total					141,498
	Utilities (0.3%)
	Centrais Eletricas Brasileiras SA	Brazil		1,543,190		4,769
	Total					4,769
	Total Foreign Common Stocks
	(Cost: $1,234,794)					1,424,935
	Total Investments (95.9%)
	(Cost: $1,234,794)(a)					1,424,935
	Other Assets, Less
	Liabilities (4.1%)					60,761
	Net Assets (100.0%)					1,485,696

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $1,234,794 and the net unrealized appreciation of investments based on that cost was $190,141 which is comprised of $276,228 aggregate gross unrealized appreciation and $86,087 aggregate gross unrealized depreciation.

Investments Percentage by Country is based on Net Assets:
United Kingdom	19.1%
Germany	12.2%
Japan	7.2%
Switzerland	6.3%
France	5.9%
China	5.8%
Netherlands	5.3%
Hong Kong	5.0%
Other	29.1%
Total	95.9%

(l) As of December 31, 2012 portfolio securities with an aggregate value of $1,323,119 (in thousands) were fair valued under procedures adopted by the Board of Directors.

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

International Equity Portfolio 79

International Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Foreign Common Stocks
Consumer Discretionary	$	-	$	144,876	$	-
Consumer Staples		-		35,243		-
Financials		-		312,840		-
Energy		18,683		112,409		-
Health Care		19,895		184,625		-
Industrials		25,068		150,060		-
Information Technology		10,583		142,342		-
Telecommunication Services		-		141,498		-
Materials		22,818		99,226		-
Utilities		4,769		-		-
Total	$	101,816	$	1,323,119	$	-

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

80 International Equity Portfolio

Emerging Markets Equity Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Capital appreciation.	Invest primarily in equity securities of issuers that are tied economically to emerging market countries.	$256 million

Portfolio Overview

Mason Street Advisors, the investment adviser for the Emerging Markets Equity Portfolio (“the Portfolio”), has engaged Massachusetts Financial Services Company (“MFS^®”) 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 may include countries determined to have emerging market economies, taking into account a number of factors, including whether a particular country has a low to middle economy according to the International Bank for Reconstruction and Development (the World Bank), the country’s foreign currency debt rating, its political and economic stability, and the development of its financial and capital markets. When investing in emerging market equities, the Portfolio may invest in companies of any size. Investments are selected primarily based on fundamental analysis of individual issuers and their potential in light of their current financial condition and market, economic, political and regulatory conditions. The Portfolio may also invest in securities of companies that are not tied economically to emerging markets countries.

Market Overview

In the aftermath of additional liquidity measures by the Federal Reserve Bank (Fed) and a commensurate improvement in macroeconomic conditions, the beginning of 2012 was characterized by a risk-on sentiment. During this time, global equity valuations rose, credit spreads contracted, and high-quality sovereign yields increased modestly.

During the middle of the year, conditions worsened, driven by broadly weaker global macroeconomic indicators, as well as renewed concerns over Europe’s capacity and determination to address its ongoing crisis. Despite this deterioration, broad market sentiment remained relatively resilient, as equity markets generally maintained gains and credit spreads did not indicate deterioration.

However, this renewed weakness in the fundamentals precipitated a further round of monetary easing by the Fed (QE3) and the ECB (rate cut and a new bond purchase facility) in the second half of the year, which soon instilled additional confidence in risk markets.

Portfolio Results

For the twelve months ended December 31, 2012, the Portfolio returned 18.83%. This compares with a return of 18.63% for the Portfolio’s benchmark, the MSCI^® Emerging Markets Index (the “Index”). (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The average return of its peer group, Emerging Markets Funds, was 18.23%, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

Stock selection and, to a lesser extent, an overweight position in the Retailing sector contributed to performance relative to the Index. Within the sector, South African retailer Mr Price Group, Russian retail chain operator O’Key Group, and Thailand-based convenience store operator CP ALL benefited relative returns as all three stocks turned in strong performance over the period.

Stock selection in the Special Products & Services sector was another primary contributor to relative performance. Brazilian private education provider Kroton Educacional benefited relative performance as the stock outpaced the Index.

Security selection in the technology, transportation, and leisure sectors also positively impacted relative results. Within the transportation sector, airport facilities manager Grupo Aeroportuario del Sureste of Mexico benefited relative performance as the stock advanced. Elsewhere in the Portfolio, Hong Kong listed automaker Geely Automobile Holdings, banking firm ICICI Bank of India, and Mexican exchange Bolsa Mexicana de Valores aided relative results as all three stocks outperformed the Index. An underweight position in the poor-performing Brazilian oil company Petroleo Brasileiro and not holding shares of OGX Petroleo e Gas Participacoes, also of Brazil, aided relative performance.

Stock selection in the Autos & Housing sector detracted from relative performance. South Korean automotive companies Mando and Kia Motors, and housing construction company Urbi Desarrollos Urbanos of Mexico hindered relative results, as all three stocks turned in weak performance over the period.

Security selection in the Energy and Health Care sectors also detracted from relative performance. Within the Energy sector, oil drilling rig manufacturer Lamprell of the United Arab Emirates and oil and gas exploration companies, INPEX of Japan and Bankers Petroleum of Canada, weakened relative results.

Stocks in other sectors that detracted from relative performance included telecommunications service provider China Unicom Hong Kong, mining company Iluka Resources of Australia, and South Korean supermarket operator E-Mart Company.

The Portfolio’s cash position was another negative factor for relative performance. In a period when the Index rose, holding cash hurt performance versus the Index, which has no cash position. 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, also weakened relative performance. All of the Portfolio’s investment decisions are driven by the fundamentals of each individual opportunity and as such, it is common for the Portfolio to have different currency exposures than the Index.

Emerging Markets Equity Portfolio 81

Emerging Markets Equity Portfolio

Portfolio Manager Outlook

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

Regardless of changing economic and market conditions, we will continue to adhere to our investment process, building a Portfolio of companies that we regard as undergoing fundamental operational improvements and whose shares trade at discounted valuations. As a result, the Portfolio’s sector and industry allocation will reflect where we are finding what we believe to be the best investment opportunities at any given time.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		Since Inception*
Emerging Markets Equity Portfolio		18.83%		-1.83%		2.29%
MSCI® Emerging Markets Index (Gross)		18.63%		-0.61%		4.24%
Lipper® Variable Insurance Products (VIP) Emerging Markets Funds Average		18.23%		-2.10%		-

* Inception date of 4/30/07

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.

Investments in the securities of companies in developing nations impose risks different from, and greater than, risks of investing in developed countries.

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.

Top 10 Equity Holdings 12/31/12

Security Description	% of Net Assets
Samsung Electronics Co., Ltd.		4.6%
Taiwan Semiconductor Manufacturing Co., Ltd.		3.5%
Hon Hai Precision Industry Co., Ltd.		1.9%
China Construction Bank Corp. - Class H		1.8%
Vale SA, ADR		1.7%
Naspers, Ltd. - Class N		1.7%
China Unicom Hong Kong, Ltd.		1.6%
Li & Fung, Ltd.		1.6%
Standard Chartered PLC		1.5%
Bank of China, Ltd. - Class H		1.5%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

82 Emerging Markets Equity Portfolio

Emerging Markets Equity Portfolio

Schedule of Investments

December 31, 2012

	Foreign Common Stocks (98.7%)	Country	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (16.0%)
	Abril Educacao SA	Brazil		45,410		887
	Ajisen China Holdings, Ltd.	Hong Kong		1,386,000		1,343
	Anhanguera Educacional Participacoes SA	Brazil		54,800		925
	Arcos Dorados Holdings, Inc.	Virgin Islands (British)		63,080		754
	Arezzo Industria e Comercio SA	Brazil		38,250		738
	Astro Malaysia Holdings Bhd	Malaysia		800,100		788
	Companhia Hering	Brazil		31,900		654
*	Dish TV India, Ltd.	India		1,673,926		2,332
	Estacio Participacoes SA	Brazil		54,570		1,111
	Exide Industries, Ltd.	India		330,872		869
	Geely Automobile Holdings, Ltd.	Hong Kong		3,980,000		1,899
	Guangzhou Automobile Group Co., Ltd.	China		1,868,000		1,683
*	Kia Motors Corp.	South Korea		73,330		3,927
*	Kroton Educacional SA	Brazil		37,078		837
	Li & Fung, Ltd.	Hong Kong		2,212,000		3,986
	Lojas Renner SA	Brazil		20,800		810
(n)	M Video OAO	Russia		210,490		1,655
*	Mando Corp.	South Korea		12,005		1,459
	Minor International PCL	Thailand		1,826,610		1,170
	Mitra Adiperkasa Tbk PT	Indonesia		932,000		653
	Mr. Price Group, Ltd.	South Africa		135,325		2,267
	Naspers, Ltd. - Class N	South Africa		67,327		4,338
	PDG Realty SA Empreendimentos e Participacoes	Brazil		362,000		585
	Shangri-La Asia, Ltd.	Hong Kong		724,000		1,459
	Stella International Holdings, Ltd.	Hong Kong		1,184,000		3,210
*	Urbi Desarrollos Urbanos SAB de CV	Mexico		1,149,374		725
	Total					41,064
	Consumer Staples (9.5%)
	Arca Continental SAB de CV	Mexico		116,143		870
	BIM Birlesik Magazalar AS	Turkey		17,567		862
	Brazil Pharma SA	Brazil		148,000		1,040
	Clicks Group, Ltd.	South Africa		301,700		2,369
	Companhia de Bebidas das Americas, ADR	Brazil		61,110		2,566
	CP ALL PCL	Thailand		1,092,200		1,642
	Dabur India, Ltd.	India		1,281,632		3,011
	Dairy Farm International Holdings, Ltd.	Hong Kong		136,800		1,491
*	E-Mart Co., Ltd.	South Korea		11,102		2,487
	Hengan International Group Co., Ltd.	China		97,000		875
	Kimberly-Clark de Mexico SAB de CV - Class A	Mexico		329,584		851
	M Dias Branco SA	Brazil		46,800		1,784
	O’Key Group SA GDR	Luxembourg		240,800		2,817

	Foreign Common Stocks (98.7%)	Country	Shares/ $ Par		Value $ (000’s)
	Consumer Staples continued
	Raia Drogasil SA	Brazil		67,500		760
	Wumart Stores, Inc.	China		408,000		881
	Total					24,306
	Energy (7.7%)
	China Shenhua Energy Co., Ltd. - Class H	China		491,000		2,194
	CNOOC, Ltd.	Hong Kong		897,000		1,970
	Gazprom OAO, ADR	Russia		408,594		3,865
	INPEX Corp.	Japan		307		1,636
	Lamprell PLC	United Arab Emirates		551,500		842
	NovaTek OAO GDR	Russia		11,050		1,324
	Petroleo Brasileiro SA, ADR	Brazil		126,974		2,472
	Reliance Industries, Ltd.	India		243,259		3,753
	Tenaris SA, ADR	Luxembourg		38,728		1,623
	Total					19,679
	Financials (25.3%)
	Akbank TAS	Turkey		253,570		1,255
	Asian Property Development PCL	Thailand		3,853,000		1,070
	Banco Santander Brasil SA	Brazil		184,400		1,348
	Banco Santander Chile, ADR	Chile		16,892		481
	Bancolombia SA, ADR	Colombia		8,364		557
	Bangkok Bank PCL	Thailand		476,400		3,264
	Bank Negara Indonesia Persero Tbk PT	Indonesia		5,151,831		1,985
	Bank of China, Ltd. - Class H	China		8,650,000		3,939
	Bank Pekao SA	Poland		31,750		1,734
*	BDO Unibank, Inc.	Philippines		91,580		163
	BM&FBOVESPA SA	Brazil		341,800		2,336
	Bolsa Mexicana de Valores SAB de CV	Mexico		404,600		1,026
	Brasil Brokers Participacoes SA	Brazil		393,900		1,308
	Brasil Insurance Participacoes e Administracao SA	Brazil		185,900		1,815
	CETIP SA - Balcao Organizados	Brazil		102,742		1,273
	China Construction Bank Corp. - Class H	China		5,522,020		4,501
	China Pacific Insurance Group Co., Ltd. - Class H	China		849,600		3,187
	Chinatrust Financial Holding Co., Ltd.	Taiwan		2,951,733		1,748
	CIMB Group Holdings Bhd	Malaysia		425,000		1,062
	Credicorp, Ltd.	Bermuda		15,761		2,310
	First Pacific Co., Ltd.	Hong Kong		1,250,000		1,385
	Grupo Financiero Banorte SAB de CV	Mexico		102,900		668
*	Grupo Financiero Santander Mexico SAB de CV, ADR	Mexico		73,580		1,191
	Hana Financial Group, Inc.	South Korea		80,630		2,653
	Hang Lung Properties, Ltd.	Hong Kong		668,000		2,679
	Housing Development Finance Corp., Ltd.	India		117,906		1,794

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

Emerging Markets Equity Portfolio 83

Emerging Markets Equity Portfolio

	Foreign Common Stocks (98.7%)	Country	Shares/ $ Par		Value $ (000’s)
	Financials continued
	ICICI Bank, Ltd.	India		176,901		3,720
	Itau Unibanco Holding SA, ADR	Brazil		89,578		1,474
	Komercni Banka AS	Czech Republic		12,605		2,666
	LPS Brasil - Consultoria de Imoveis SA	Brazil		77,800		1,436
	Sberbank of Russia	Russia		862,600		2,644
	Standard Chartered PLC	United Kingdom		154,725		3,947
	Turkiye Garanti Bankasi AS	Turkey		417,868		2,176
	Total					64,795
	Health Care (2.0%)
	Diagnosticos da America SA	Brazil		91,200		587
	Fleury SA	Brazil		94,900		1,068
*	Genomma Lab Internacional SAB de CV - Class B	Mexico		671,700		1,388
	OdontoPrev SA	Brazil		112,600		590
	Top Glove Corp. Bhd	Malaysia		783,400		1,444
	Total					5,077
	Industrials (4.6%)
	Alfa SAB de CV - Class A	Mexico		326,080		697
	Copa Holdings SA	Panama		6,776		674
	Crompton Greaves, Ltd.	India		250,294		531
	Embraer SA, ADR	Brazil		36,030		1,027
	Global Ports Investments PLC GDR	Cyprus		80,460		1,134
	Glory, Ltd.	Japan		73,700		1,705
	Grupo Aeroportuario del Sureste SAB de CV, ADR	Mexico		7,790		888
*	Promotora y Operadora de Infraestructura SAB de CV	Mexico		138,200		925
	Sinotruk Hong Kong, Ltd.	Hong Kong		2,353,500		1,811
	Thermax, Ltd.	India		86,934		981
*	TK Corp.	South Korea		65,237		1,327
	Total					11,700
Information Technology (15.3%)
	Asustek Computer, Inc.	Taiwan		242,000		2,730
*	Cognizant Technology Solutions Corp.	United States		46,690		3,457
	Hon Hai Precision Industry Co., Ltd.	Taiwan		1,546,706		4,764
	Samsung Electronics Co., Ltd.	South Korea		8,247		11,880
*	Seoul Semiconductor Co., Ltd.	South Korea		64,348		1,473
	Siliconware Precision Industries Co.	Taiwan		3,502,000		3,745
	Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		2,687,290		8,986
	Totvs SA	Brazil		30,600		603
	VTech Holdings, Ltd.	Bermuda		155,600		1,749
	Total					39,387
	Materials (9.0%)
	Anhui Conch Cement Co., Ltd. - Class H	China		694,000		2,582
	Chugoku Marine Paints, Ltd.	Japan		216,000		1,288
	Formosa Plastics Corp.	Taiwan		374,000		1,015
	Gerdau SA, ADR	Brazil		194,870		1,752

	Foreign Common Stocks (98.7%)	Country	Shares/ $ Par		Value $ (000’s)
	Materials continued
	Gold Fields, Ltd.	South Africa		156,495		1,948
	Grupo Mexico SAB de CV - Series B	Mexico		328,501		1,192
	Iluka Resources, Ltd.	Australia		321,576		3,120
	Mexichem SAB de CV	Mexico		165,400		924
	Mining and Metallurgical Co. Norilsk Nickel, ADR	Russia		53,183		1,007
	MOIL, Ltd.	India		196,605		948
	Steel Authority of India, Ltd.	India		1,221,536		2,028
	Ternium SA, ADR	Luxembourg		39,090		921
	Vale SA, ADR	Brazil		209,747		4,396
	Total					23,121
	Real Estate Investment Trusts (0.4%)
*	Macquarie Mexico Real Estate Management SA de CV	Mexico		566,300		1,128
	Total					1,128
	Telecommunication Services (7.3%)
	America Movil SAB de CV - Series L, ADR	Mexico		132,450		3,065
	China Mobile, Ltd.	Hong Kong		128,000		1,499
	China Unicom Hong Kong, Ltd.	Hong Kong		2,494,000		4,038
	ENTEL Chile SA	Chile		24,611		509
	Mobile Telesystems OAO, ADR	Russia		174,563		3,255
	MTN Group, Ltd.	South Africa		85,404		1,800
	Tim Participacoes SA, ADR	Brazil		62,949		1,248
*	Turkcell Iletisim Hizmetleri AS	Turkey		239,430		1,551
	XL Axiata Tbk PT	Indonesia		3,017,500		1,792
	Total					18,757
	Utilities (1.6%)
	Aguas Andinas SA - Class A	Chile		2,604,738		1,850
	EDP - Energias do Brasil SA	Brazil		166,300		1,014
	Tractebel Energia SA	Brazil		29,000		472
	Transmissora Alianca de Energia Eletrica SA	Brazil		85,190		907
	Total					4,243
	Total Foreign Common Stocks
	(Cost: $231,934)					253,257
	Total Investments (98.7%)
	(Cost: $231,934)(a)					253,257
	Other Assets, Less
	Liabilities (1.3%)					3,219
	Net Assets (100.0%)					256,476

The Accompanying Notes are an Integral Part of the Financial Statements

84 Emerging Markets Equity Portfolio

Emerging Markets Equity Portfolio

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

GDR after the name of a security represents—Global Depositary Receipt.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $233,428 and the net unrealized appreciation of investments based on that cost was $19,829 which is comprised of $37,197 aggregate gross unrealized appreciation and $17,368 aggregate gross unrealized depreciation.

Investments Percentage by Country is based on Net Assets:
Brazil	15.5%
Hong Kong	10.4%
South Korea	9.8%
Taiwan	9.0%
India	7.8%
China	7.7%
Mexico	6.1%
Russia	5.4%
South Africa	5.1%
Other	21.9%
Total	98.7%

(l) As of December 31, 2012 portfolio securities with an aggregate value of $165,568 (in thousands) were fair valued under procedures adopted by the Board of Directors.

(n) Security valued in good faith by the Board of Directors.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Foreign Common Stocks
Consumer Discretionary	$	8,026	$	33,038	$	-
Consumer Staples		12,179		12,127		-
Energy		9,284		10,395		-
Financials		19,867		44,928		-
Health Care		3,633		1,444		-
Industrials		5,345		6,355		-
Information Technology		4,060		35,327		-
Materials		10,192		12,929		-
Telecommunication Services		8,077		10,680		-
All Others		5,371		-		-
Total	$	86,034	$	167,223	$	-

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

Emerging Markets Equity Portfolio 85

Money Market Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Maximum current income to the extent consistent with liquidity and stability of capital.	Invest in high quality, short-term, dollar-denominated money market instruments that present minimal credit risks.	$483 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Money Market Portfolio (the “Portfolio”). The Portfolio invests only in high quality, short term, dollar-denominated money market instruments that present minimal credit risks. The Portfolio may invest more than 25% of its total assets in domestic or dollar-denominated foreign bank obligations. As a money market fund, the Portfolio is subject to maturity, quality, liquidity, and diversification requirements. The Portfolio attempts to maximize its return by trading to take advantage of changing money market conditions and trends. The Portfolio will also trade to take advantage of what are believed to be disparities in yield relationships between different money market instruments. This procedure may increase or decrease the Portfolio’s yield depending upon management’s ability to correctly time and execute such transactions.

Market Overview

The combination of slow economic growth and low inflation continue to hold down money market yields. The Federal Reserve (“the Fed”) extended its short-term interest rate policy during 2012, keeping its rate target in a range between 0% and 0.25% for the entire year. During the year, the Fed also announced an official inflation target of 2.0% along with the other half of its mandate, maximum employment.

Fed policies are important for money market investors, because they determine rates on money market securities. Record low Fed rate policy meant continued historically low yields on Treasury bills and LIBOR (the London interbank offered rate), two prominent money market benchmarks. Against that backdrop, the Merrill Lynch^® 3-Month T-Bill Index returned just 0.11% for the full year. By way of comparison, stocks and bonds returned 16.00% and 4.22%, as measured by the S&P 500^® Index and Barclays^® Aggregate Bond Index, respectively.

Portfolio Results

The Money Market Portfolio returned 0.15% for the twelve months ended December 31, 2012; by comparison, the Portfolio’s benchmark, the Merrill Lynch 3-Month Treasury Bill (T-Bill) Index, returned 0.11%. (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio outperformed the (0.03%) average return of the Money Market Funds peer group tracked by Lipper^® Analytical Services, an independent mutual fund ranking agency. As of December 31, 2012, the Portfolio’s 7-day yield was 0.02%.

The Portfolio’s absolute return reflects the historically low yields currently available on money market instruments. Relative to the peer group and benchmark, performance benefited from the management fee waiver that was in place during the period. The Portfolio’s investment adviser waived its entire management fee (30 basis points) through the first six months of 2012, and waived half of its fee (15 basis points) for the last six months. In the absence of the fee waiver, the Portfolio’s return would have been lower. The Portfolio’s adviser will continue to monitor this voluntary waiver in light of market and economic developments, and may discontinue the waiver at any time.

With respect to Portfolio positioning, the Portfolio maintained a conservative bias, with high standards for liquidity and credit quality. The Portfolio limited its exposure to European financial institutions; however, the Portfolio did hold a limited amount of what the portfolio manager believed were high quality, attractively valued securities issued by Swiss and British (non-euro currency countries) banks. In addition, the portfolio manager continued to look for opportunities to diversify the Portfolio’s holdings despite a slowdown in commercial paper issuance in 2012.

86 Money Market Portfolio

Money Market Portfolio

Portfolio Manager Outlook

The key determinant of money market rates is Fed interest rate policy. Unfortunately, Fed Chairman Bernanke recently stated that rates would stay near zero until “at least 2015.” As a result, money market investors should expect low yields to persist for some time. The Fed’s inflation target of 2.0% may eventually provide justification for somewhat higher interest rates if inflation picks up in the years ahead. In the meantime, we will work hard to maximize the Portfolio’s yield consistent with maintaining safety and liquidity.

Because the Portfolio may invest a significant portion of its assets in securities of companies in the banking industry, developments affecting that industry will have a disproportionate impact on the Portfolio, including interest rate risk, credit risk, and risks associated with regulatory changes.

AN INVESTMENT IN THE MONEY MARKET PORTFOLIO IS NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE MONEY MARKET PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE MONEY MARKET PORTFOLIO.

Money Market Portfolio 87

Money Market Portfolio

Schedule of Investments

December 31, 2012

Money Market Investments (99.6%)	Shares/ $ Par		Value $ (000’s)
Autos (10.0%)
American Honda Finance Corp., 0.19%, 2/5/13		5,000,000		4,999
American Honda Finance Corp., 0.331%, 12/5/13 144A		12,500,000		12,500
Fcar Owner Trust I, 0.22%, 2/7/13		4,900,000		4,899
Fcar Owner Trust I, 0.24%, 3/1/13		8,500,000		8,497
Toyota Motor Credit Corp., 0.513%, 2/1/13		10,000,000		10,000
Toyota Motor Credit Corp., 0.55%, 1/24/13		7,500,000		7,497
Total				48,392
Commercial Banks Non-US (6.5%)
Bank of Nova Scotia/Houston, 0.745%, 10/18/13		15,000,000		15,051
Royal Bank of Canada, 0.07%, 1/31/13		10,000,000		10,000
Toronto Dominion Holdings USA, Inc., 0.18%, 1/29/13		6,500,000		6,499
Total				31,550
Commercial Banks US (10.8%)
Bank of America NA, 0.20%, 1/14/13		5,500,000		5,500
Bank of America NA, 0.25%, 1/3/13		7,000,000		7,000
Bank of America NA, 0.25%, 1/15/13		5,000,000		5,000
BP Capital Markets PLC, 0.512%, 2/8/13		10,000,000		10,000
BP Capital Markets PLC, 0.512%, 5/7/13		7,000,000		7,000
Wachovia Corp., 2.083%, 5/1/13		15,645,000		15,735
Wells Fargo Co., 0.14%, 2/19/13		2,000,000		2,000
Total				52,235
Federal Government & Agencies (9.9%)
Federal Home Loan Bank, 0.025%, 1/18/13		3,200,000		3,200
Federal Home Loan Bank, 0.08%, 3/20/13		14,000,000		13,998
Federal Home Loan Bank, 0.125%, 2/20/13		5,000,000		4,999
Federal Home Loan Mortgage Corp., 0.08%, 4/1/13		4,200,000		4,199
Federal Home Loan Mortgage Corp., 0.09%, 3/25/13		13,300,000		13,297

Money Market Investments (99.6%)	Shares/ $ Par		Value $ (000’s)
Federal Government & Agencies continued
Federal Home Loan Mortgage Corp., 0.12%, 1/28/13		3,000,000		3,000
Federal National Mortgage Association, 0.13%, 2/6/13		5,000,000		4,999
Total				47,692
Finance Services (11.1%)
Alpine Securitization Corp., 0.18%, 1/30/13		7,500,000		7,499
Alpine Securitization Corp., 0.20%, 1/23/13		10,000,000		9,999
Govco LLC, 0.27%, 1/31/13		10,500,000		10,497
Govco LLC, 0.28%, 2/1/13		5,000,000		4,999
Govco LLC, 0.28%, 2/11/13		3,000,000		2,999
Jupiter Securitization Co. LLC, 0.21%, 2/27/13		10,000,000		9,997
Jupiter Securitization Co. LLC, 0.25%, 3/27/13		7,500,000		7,495
Total				53,485
Government (17.4%)
US Treasury, 0.375%, 6/30/13		15,000,000		15,019
US Treasury, 0.625%, 4/30/13		14,000,000		14,023
US Treasury, 1.375%, 2/15/13		10,000,000		10,015
US Treasury, 1.375%, 3/15/13		10,000,000		10,025
US Treasury, 2.75%, 2/28/13		10,000,000		10,041
US Treasury, 2.875%, 1/31/13		15,000,000		15,034
US Treasury, 3.125%, 4/30/13		5,000,000		5,048
US Treasury, 3.375%, 7/31/13		5,000,000		5,093
Total				84,298
Health Care/Pharmaceuticals (1.7%)
Roche Holdings, Inc., 0.12%, 1/7/13		8,100,000		8,100
Total				8,100
Information Technology (3.6%)
Google, Inc., 0.09%, 1/16/13		5,000,000		5,000
Google, Inc., 0.13%, 3/7/13		6,000,000		5,998
Google, Inc., 0.14%, 1/4/13		6,500,000		6,500
Total				17,498

Money Market Investments (99.6%)	Shares/ $ Par		Value $ (000’s)
Machinery (7.2%)
Caterpillar Financial Services Corp., 0.17%, 1/22/13		7,500,000		7,499
Caterpillar Financial Services Corp., 0.17%, 3/4/13		5,000,000		4,999
Caterpillar Financial Services Corp., 0.18%, 3/4/13		4,800,000		4,798
John Deere Canada ULC, 0.16%, 1/24/13		12,500,000		12,499
John Deere Canada ULC, 0.16%, 2/6/13		5,000,000		4,999
Total				34,794
Miscellaneous Business Credit Institutions (3.8%)
General Electric Capital Corp., 0.14%, 3/28/13		8,500,000		8,497
General Electric Capital Corp., 0.37%, 1/2/13		10,000,000		10,000
Total				18,497
Personal Credit Institutions (11.1%)
Chariot Funding LLC, 0.19%, 1/18/13		2,500,000		2,500
Chariot Funding LLC, 0.21%, 3/18/13		7,000,000		6,997
Chariot Funding LLC, 0.21%, 3/19/13		8,000,000		7,996
Old Line Funding LLC, 0.05%, 1/3/13		9,800,000		9,800
Old Line Funding LLC, 0.15%, 1/16/13		3,690,000		3,690
Old Line Funding LLC, 0.18%, 1/17/13		5,000,000		5,000
Straight-A Funding LLC, 0.18%, 1/17/13		5,000,000		5,000
Straight-A Funding LLC, 0.18%, 1/25/13		12,500,000		12,498
Total				53,481
Short Term Business Credit (6.5%)
Atlantic Asset Securitization LLC, 0.14%, 1/2/13		14,000,000		14,000
Sheffield Receivables Corp., 0.17%, 1/9/13		5,500,000		5,500
Sheffield Receivables Corp., 0.19%, 2/4/13		5,800,000		5,799

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

88 Money Market Portfolio

Money Market Portfolio

Money Market Investments (99.6%)	Shares/ $ Par		Value $ (000’s)
Short Term Business Credit continued
Sheffield Receivables Corp., 0.21%, 1/8/13		6,200,000		6,200
Total				31,499
Total Money Market Investments
(Cost: $481,521)				481,521
Total Investments (99.6%)
(Cost: $481,521)(a)				481,521
Other Assets, Less
Liabilities (0.4%)				1,916
Net Assets (100.0%)				483,437

144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $12,500 representing 2.6% of the net assets.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
US Government	$	-	$	84,298	$	-
Corporate Bonds		-		53,286		-
Commercial Paper		-		343,937		-
Total	$	-	$	481,521	$	-

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

Money Market Portfolio 89

Short-Term Bond Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Provide as high a level of current income as is consistent with prudent investment risk.	Invest primarily in a diversified portfolio of investment grade debt securities.	$145 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Short-Term Bond Portfolio (the “Portfolio”). Normally, the Portfolio invests in a diversified portfolio of investment grade debt securities. The Portfolio may invest up to 20% of net assets in non-investment grade securities and up to 30% of net assets in foreign securities. Debt securities may be of any duration, but under normal market conditions, the Portfolio attempts to maintain an effective duration (the percentage price change of the Portfolio, stated in years, for a given change in interest rates, and adjusted for prepayments and yield curve shifts for mortgage based securities) of between zero and three years, and a dollar weighted average maturity of not more than three years. Both a top down and bottom up investment approach is used to construct the portfolio of investments. The top down investment approach involves an evaluation of the overall economic environment and its potential impact on the level and direction of interest rates. The bottom up investment approach focuses on fundamental research of issuers to identify issuers that appear to have strong relative credit quality, solid balance sheets, improving company specific fundamentals and free cash flows.

Market Overview

Bonds delivered solid returns in 2012, as slow economic growth, low inflation and an uncertain outlook increased investors’ appetite for the relative stability of fixed income. 2012 was an unusual year for the bond market. The debt crisis in Europe dimmed the economic outlook, while the Federal Reserve continued to purchase Treasury bonds to stimulate the economy. As a result, Treasury yields declined along with yields on higher-risk investments. Lower yields meant bond prices rose for both bond segments. Typically, investors express a clear preference for either riskier, higher-yielding investments or lower-risk Treasurys.

During 2012, all sectors of the bond market experienced positive total returns. Bond purchases by the Federal Reserve drove Treasury yields lower, contributing to solid performance for debt backed by the U.S. government. Meanwhile, high yield corporate bonds led the rally, followed by investment grade corporate bonds. Record amounts of corporate bond issuance reflected improvements in balance sheets and strong demand for additional lending to Corporate America. Mortgage-backed securities (MBS) lagged the broader fixed income market, largely affected by interest rate volatility. (MBS typically performs better when interest rates are stable, because rate volatility affects the likelihood of refinancing the underlying mortgages.) For the year, the broad Barclays Capital^® U.S. Aggregate Bond Index returned 4.22%.

Portfolio Results

The Portfolio returned 2.07% for the twelve months ended December 31, 2012; by comparison, the Portfolio’s benchmark, the Barclays Capital^® Aggregate 1-3 Year Index (the “Index”), returned 1.33%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio trailed the 3.03% average return of its Short-Intermediate Investment Grade Debt Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

The Portfolio’s absolute return reflects the low interest rate environment and performance of short-term investment grade bonds generally. Relative to the Index, the Portfolio outperformed as a result of both strong security selection and sector allocation decisions. Security selection in the investment grade corporate sector provided the biggest benefit to relative performance during the year. Strong security selection among asset-backed securities and mortgage-backed securities also contributed to relative results.

Based on the belief that credit conditions would improve, the management team also allocated more of the Portfolio to investment grade corporate bonds and less to Treasurys in 2012. This decision was another generator of outperformance relative to the Index, as corporate bonds overall were the best performers during 2012, significantly outpacing Treasurys.

For a portion of the year, the portfolio managers kept the Portfolio’s duration (price sensitivity to rate changes) shorter than that of the Index. This positioning hindered relative performance in 2012, as the yield curve made a significant shift lower. As a tool in managing the Portfolio’s duration and yield curve exposure during the year, Treasury futures contracts were used.

90 Short-Term Bond Portfolio

Short-Term Bond Portfolio

Portfolio Manager Outlook

We expect a relatively stable investing environment in 2013 marked by slow growth, low inflation and modest volatility. We do not expect any major policy shifts by the Federal Reserve or the U.S. Treasury, although events in Europe could cause intermittent volatility in the bond market.

The Portfolio will begin the year with sector allocations relatively close to those of the Index, based on the view that many of the sectors appear to be reasonably valued, offering limited upside for performance relative to the Index. Similarly, Treasury yields are near historic lows, leaving little room for appreciation, so we seek to minimize the Portfolio’s interest rate sensitivity. In that environment, we believe that security selection can provide opportunity for performance relative to the Index. We will continue to focus our efforts on picking attractively valued bonds, while monitoring changes in relative value at the sector level.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		Since Inception*
Short-Term Bond Portfolio		2.07%		3.21%		3.38%
Barclays® U.S. Aggregate 1-3 Years Index		1.33%		3.05%		3.53%
Lipper® Variable Insurance Products (VIP) Short-Intermediate Investment Grade Debt Funds Average		3.03%		2.90%		-

* Inception date of 4/30/07

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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.

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 other purposes as part of its investment strategy. Use of these instruments may involve certain costs and impose certain 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 investments.

Short-Term Bond Portfolio 91

Short-Term Bond Portfolio

Top 10 Fixed Income Holdings 12/31/12

Security Description	% of Net Assets
US Treasury, Various		45.7%
Federal Home Loan Mortgage Corp., Various		5.5%
Federal Home Loan Mortgage Corp.4, Series 4100, Class AD, 1.75%, 8/15/27		3.8%
Federal Home Loan Mortgage Corp.5, Series 4092, Class CL, 1.25%, 6/15/27		3.6%
Federal National Mortgage Association, Various		2.4%
Residential Asset Securities Corp., Series 2006-KS4, Class A3, 0.36%, 6/25/36		2.0%
Ford Credit Auto Owner Trust1, Series 2009-E, Class D, 5.53%, 5/15/16		1.5%
Federal National Mortgage Association1, Series 2011-113, Class AG, 2.5%, 11/25/26		1.4%
Federal Home Loan Mortgage Corp.2, Series 3718, Class BC, 2.00%, 2/15/25		1.2%
Federal National Mortgage Association3, Series 2010-95, Class BK, 1.50%, 2/25/20		1.1%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

The Corporate Bonds sector includes bonds of companies and governments headquartered outside the United States.

The Government and Structured Product categories include domestic taxable bonds.

Consistent with the Portfolio’s stated parameters, no more than 30% of the Portfolio is invested in foreign securities, and no more than 20% is invested in high yield securities.

92 Short-Term Bond Portfolio

Short-Term Bond Portfolio

Schedule of Investments

December 31, 2012

Corporate Bonds (20.5%)	Shares/ $ Par		Value $ (000’s)
Aerospace/Defense (0.6%)
Boeing Capital Corp., 5.80%, 1/15/13		80,000		80
L-3 Communications Corp., 3.95%, 11/15/16		300,000		325
Northrop Grumman Corp., 1.85%, 11/15/15		380,000		390
Total				795
Auto Manufacturing (0.8%)
American Honda Finance Corp., 2.375%, 3/18/13 144A		50,000		50
Daimler Finance North America LLC, 2.625%, 9/15/16 144A		500,000		519
Ford Motor Credit Co. LLC, 3.00%, 6/12/17		500,000		514
PACCAR, Inc., 6.875%, 2/15/14		45,000		48
Total				1,131
Banking (3.9%)
Bank of America Corp., 3.625%, 3/17/16		200,000		212
Bank of Nova Scotia, 1.375%, 12/18/17		500,000		501
Canadian Imperial Bank of Commerce, 2.35%, 12/11/15		100,000		105
Citigroup, Inc., 6.125%, 11/21/17		250,000		297
Citigroup, Inc., 6.50%, 8/19/13		200,000		207
DnB NOR Boligkreditt, 2.90%, 3/29/16 144A		375,000		399
Eksportfinans ASA, 2.00%, 9/15/15		1,000,000		957
Fifth Third Bank, 4.75%, 2/1/15		600,000		643
Morgan Stanley, 3.80%, 4/29/16		250,000		262
Nordea Bank AB, 3.125%, 3/20/17 144A		325,000		346
Regions Financial Corp., 4.875%, 4/26/13		100,000		101
The Royal Bank of Scotland PLC, 4.375%, 3/16/16		200,000		216
Standard Chartered PLC, 3.20%, 5/12/16 144A		270,000		284
Standard Chartered PLC, 3.85%, 4/27/15 144A		160,000		169
SunTrust Banks, Inc., 3.60%, 4/15/16		450,000		481
U.S. Bancorp, 3.442%, 2/1/16		450,000		474
Total				5,654

Corporate Bonds (20.5%)	Shares/ $ Par		Value $ (000’s)
Beverage/Bottling (0.7%)
Anheuser-Busch InBev Worldwide, Inc., 3.625%, 4/15/15		250,000		267
Heineken NV, 1.40%, 10/1/17 144A		280,000		279
Pernod Ricard SA, 2.95%, 1/15/17 144A		250,000		263
SABMiller Holdings, Inc., 2.45%, 1/15/17 144A		250,000		260
Total				1,069
Cable/Media/Broadcasting/Satellite (0.6%)
Comcast Corp., 4.95%, 6/15/16		250,000		282
Discovery Communications LLC, 3.70%, 6/1/15		180,000		192
Time Warner, Inc., 3.15%, 7/15/15		135,000		142
Viacom, Inc., 4.375%, 9/15/14		250,000		265
Total				881
Conglomerate/Diversified Manufacturing (0.2%)
Eaton Corp., 1.50%, 11/2/17 144A		335,000		336
Total				336
Consumer Products (0.2%)
Unilever Capital Corp., 2.75%, 2/10/16		250,000		265
Total				265
Electric Utilities (2.7%)
Arizona Public Service Co., 4.65%, 5/15/15		262,000		284
Consolidated Edison Co. of New York, 3.85%, 6/15/13		250,000		254
Consumers Energy Co., 5.50%, 8/15/16		500,000		578
Entergy Arkansas, Inc., 5.40%, 8/1/13		250,000		257
Entergy Corp., 4.70%, 1/15/17		340,000		368
Entergy Mississippi, Inc., 3.25%, 6/1/16		500,000		525
Exelon Corp., 4.90%, 6/15/15		250,000		272
Jersey Central Power & Light Co., 5.65%, 6/1/17		250,000		291
NextEra Energy Capital Holdings, Inc., 1.20%, 6/1/15		250,000		252

Corporate Bonds (20.5%)	Shares/ $ Par		Value $ (000’s)
Electric Utilities continued
NextEra Energy Capital Holdings, Inc., 2.60%, 9/1/15		500,000		521
PacifiCorp, 5.45%, 9/15/13		250,000		258
Total				3,860
Electronics (0.2%)
Hewlett-Packard Co., 2.60%, 9/15/17		350,000		341
Total				341
Food Processors (0.8%)
ConAgra Foods, Inc., 5.875%, 4/15/14		250,000		266
H.J. Heinz Co., 5.35%, 7/15/13		250,000		256
Kraft Foods, Inc., 4.125%, 2/9/16		400,000		436
Mead Johnson Nutrition Co., 3.50%, 11/1/14		200,000		209
Mondelez International, Inc., 6.50%, 8/11/17		25,000		31
Total				1,198
Gas Pipelines (1.5%)
CenterPoint Energy Resources Corp., 6.15%, 5/1/16		250,000		286
Energy Transfer Partners LP, 5.95%, 2/1/15		400,000		438
Enterprise Products Operating LLC, 3.20%, 2/1/16		100,000		106
ONEOK Partners LP, 2.00%, 10/1/17		125,000		126
ONEOK Partners LP, 3.25%, 2/1/16		230,000		243
Plains All American Pipeline LP/PAA Finance Corp., 5.625%, 12/15/13		175,000		183
Spectra Energy Capital LLC, 5.90%, 9/15/13		200,000		207
Spectra Energy Partners LP, 2.95%, 6/15/16		521,000		536
Total				2,125
Health Care/Pharmaceuticals (1.2%)
AbbVie, Inc., 1.75%, 11/6/17 144A		500,000		505
Express Scripts Holding Co., 2.65%, 2/15/17 144A		355,000		369
Express Scripts Holding Co., 3.125%, 5/15/16		60,000		63
Medtronic, Inc., 3.00%, 3/15/15		250,000		263

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

Short-Term Bond Portfolio 93

Short-Term Bond Portfolio

Corporate Bonds (20.5%)	Shares/ $ Par		Value $ (000’s)
Health Care/Pharmaceuticals continued
Stryker Corp., 3.00%, 1/15/15		135,000		141
Thermo Fisher Scientific, Inc., 3.25%, 11/20/14		250,000		261
UnitedHealth Group, Inc., 1.40%, 10/15/17		70,000		70
Watson Pharmaceuticals, Inc., 1.875%, 10/1/17		115,000		117
Total				1,789
Independent Finance (0.4%)
General Electric Capital Corp., 2.30%, 4/27/17		400,000		415
Nissan Motor Acceptance Corp., 3.25%, 1/30/13 144A		65,000		65
Nissan Motor Acceptance Corp., 4.50%, 1/30/15 144A		30,000		32
Total				512
Information/Data Technology (0.6%)
Adobe Systems, Inc., 3.25%, 2/1/15		250,000		262
Intel Corp., 1.35%, 12/15/17		330,000		330
Xerox Corp., 4.25%, 2/15/15		250,000		263
Total				855
Life Insurance (0.8%)
Aetna, Inc., 1.50%, 11/15/17		110,000		110
American International Group, Inc., 3.65%, 1/15/14		115,000		118
Metropolitan Life Global Funding I, 2.50%, 1/11/13 144A		250,000		250
Metropolitan Life Global Funding I, 3.125%, 1/11/16 144A		250,000		265
WellPoint, Inc., 1.875%, 1/15/18		470,000		476
Total				1,219
Machinery (0.1%)
Caterpillar Financial Services Corp., 2.65%, 4/1/16		200,000		210
Total				210
Metals/Mining (0.1%)
Teck Resources, Ltd., 3.15%, 1/15/17		165,000		173
Total				173
Oil & Gas Field Machines and Services (0.1%)
National Oilwell Varco, Inc., 1.35%, 12/1/17		105,000		106
Total				106

	Corporate Bonds (20.5%)	Shares/ $ Par		Value $ (000’s)
	Oil and Gas (2.2%)
	Anadarko Petroleum Corp., 5.95%, 9/15/16		350,000		403
	BG Energy Capital PLC, 2.875%, 10/15/16 144A		500,000		528
	BP Capital Markets PLC, 1.375%, 11/6/17		185,000		185
	BP Capital Markets PLC, 1.846%, 5/5/17		500,000		511
	EnCana Holdings Finance Corp., 5.80%, 5/1/14		105,000		112
	Marathon Petroleum Corp., 3.50%, 3/1/16		100,000		106
	Petrohawk Energy Corp., 6.25%, 6/1/19		500,000		569
	Statoil ASA, 1.20%, 1/17/18		440,000		440
	Talisman Energy, Inc., 5.125%, 5/15/15		245,000		264
	Total				3,118
	Other Finance (0.2%)
	Prudential Covered Trust 2012-1, 2.997%, 9/30/15 144A		332,500		345
	Total				345
	Other Holdings (0.1%)
(f)	Morgan Stanley, 5.40%, 5/15/15 144A		325,038		173
	Total				173
	Other Services (0.3%)
	CC Holdings GS V LLC, 2.381%, 12/15/17 144A		230,000		231
	Waste Management, Inc., 2.60%, 9/1/16		200,000		210
	Total				441
	Real Estate Investment Trusts (0.9%)
	ERP Operating LP, 6.584%, 4/13/15		275,000		308
	Health Care REIT, Inc., 3.625%, 3/15/16		290,000		306
	Ventas Realty LP/Ventas Capital Corp., 2.00%, 2/15/18		500,000		501
	World Financial Properties Tower B Corp., 6.91%, 9/1/13 144A		160,233		162
	Total				1,277
	Retail Food and Drug (0.2%)
	Delhaize Group, 6.50%, 6/15/17		250,000		284
	Total				284
	Retail Stores (0.6%)
	Costco Wholesale Corp., 1.125%, 12/15/17		500,000		503

	Corporate Bonds (20.5%)	Shares/ $ Par		Value $ (000’s)
	Retail Stores continued
	Nordstrom, Inc., 6.75%, 6/1/14		145,000		157
	Walgreen Co., 1.80%, 9/15/17		255,000		257
	Total				917
	Telecommunications (0.5%)
	America Movil SAB de CV, 2.375%, 9/8/16		75,000		78
	America Movil SAB de CV, 3.625%, 3/30/15		140,000		148
	France Telecom SA, 4.375%, 7/8/14		250,000		263
	Telefonica Emisiones SAU, 2.582%, 4/26/13		50,000		50
	Telefonica Emisiones SAU, 5.855%, 2/4/13		200,000		201
	Total				740
	Total Corporate Bonds
	(Cost: $28,990)				29,814
	Governments (48.9%)
	Governments (48.9%)
	Canada Government International Bond, 0.875%, 2/14/17		850,000		857
	Federal Home Loan Mortgage Corp., 2.25%, 1/23/17		750,000		767
	Federal National Mortgage Association, 0.50%, 8/9/13		3,000,000		3,006
	US Treasury, 0.125%, 12/31/14		11,580,000		11,551
(b)	US Treasury, 0.25%, 8/31/14		40,290,000		40,301
	US Treasury, 0.25%, 9/30/14		14,410,000		14,413
	Total Governments
	(Cost: $70,859)				70,895
	Municipal Bonds (0.4%)
	Municipal Bonds (0.4%)
	State of Illinois, Series 2010-3, 4.79%, 4/1/16 GO		300,000		322
	State of Illinois, Series 2011, 4.961%, 3/1/16 GO		195,000		214
	Total Municipal Bonds
	(Cost: $510)				536

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

94 Short-Term Bond Portfolio

Short-Term Bond Portfolio

Structured Products (27.6%)	Shares/ $ Par		Value $ (000’s)
Structured Products (27.6%)
Ally Auto Receivables Trust, Series 2012-2, Class B, 1.76%, 2/15/17 144A		750,000		760
Bear Stears Commercial Mortgage Securities, Inc., Series 2007-PW17, Class AAB, 5.703%, 6/11/50		712,313		756
Commercial Mortgage Pass-Through Certificate, Series 2001-J2A, Class C, 6.586%, 7/16/34		993,090		1,079
DBRR Trust, Series 2012-EZ1, Class A, 0.946%, 9/25/45 144A		495,704		497
Discover Card Master Trust I, Series 2012-B3, Class B3, 0.659%, 5/15/18		1,000,000		1,000
FDIC Structured Sale Guaranteed Notes, Series 2010-S2, Class 2A, 2.57%, 7/29/47 144A		542,274		550
Federal Home Loan Mortgage Corp., Series 4092, Class CL, 1.25%, 6/15/27		5,206,868		5,190
Federal Home Loan Mortgage Corp., Series K009, Class X1, 1.506%, 8/25/20 IO		2,496,243		206
Federal Home Loan Mortgage Corp., Series 4100, Class AD, 1.75%, 8/15/27		5,455,696		5,509
Federal Home Loan Mortgage Corp., Series 3718, Class BC, 2.00%, 2/15/25		1,673,065		1,703
Federal Home Loan Mortgage Corp., 2.50%, 10/1/27		5,682,345		5,951
Federal Home Loan Mortgage Corp., 5.00%, 4/1/18		165,338		177
Federal Home Loan Mortgage Corp., 5.50%, 5/1/22		749,968		809
Federal Home Loan Mortgage Corp., Series 2439, Class LH, 6.00%, 4/15/32		180,937		202
Federal Home Loan Mortgage Corp., 7.00%, 12/1/35		207,422		239
Federal National Mortgage Association, Series 2010-95, Class BK, 1.50%, 2/25/20		1,616,677		1,638

Structured Products (27.6%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, Series 2012-113, Class AB, 1.50%, 10/25/27	483,715		487
Federal National Mortgage Association, Series 2011-113, Class AG, 2.5%, 11/25/26	1,984,357		2,046
Federal National Mortgage Association, 6.00%, 8/1/22	412,320		455
Ford Credit Auto Owner Trust, Series 2011-B, Class B, 2.27%, 1/15/17	200,000		207
Ford Credit Auto Owner Trust, Series 2009-E, Class D, 5.53%, 5/15/16 144A	2,128,000		2,229
Golden Credit Card Trust, Series 2012-5A, Class A, 0.79%, 9/15/17 144A	725,000		727
Honda Auto Receivables Owner Trust, Series 2012-2, Class A4, 0.91%, 5/15/18	150,000		151
John Deere Owner Trust, Series 2012-A, Class A4, 0.99%, 6/15/18	600,000		606
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CB8, Class A1A, 4.158%, 1/12/39 144A	1,051,623		1,083
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4, 5.871%, 4/15/45	935,805		1,077
LB-UBS Commercial Mortgage Trust, Series 2004-C6, Class A6, 5.02%, 8/15/29	425,000		448
Louisiana Public Facilities Authority, 5.75%, 2/1/19	62,878		69
MASTR Asset Securitization Trust, Series 2003-10, Class 1A1, 5.25%, 11/25/23	42,168		44
Residential Asset Securities Corp., Series 2006-KS4, Class A3, 0.36%, 6/25/36	2,965,394		2,859
Sparebank 1 Boligkreditt AS., 2.30%, 6/30/17 144A	550,000		574

	Structured Products (27.6%)	Shares/ $ Par		Value $ (000’s)
	Structured Products continued
	Wells Fargo Mortgage Backed Securities Trust, Series 2004-EE, Class 2A2, 2.625%, 12/25/34		683,885		704
	Total Structured Products
	(Cost: $39,520)				40,032
	Short-Term Investments (2.1%)
	Commercial Banks US (0.7%)
(b)	Bank of America NA, 0.20%, 1/3/13		1,000,000		1,000
	Total				1,000
	Federal Government & Agencies (0.7%)
(b)	Federal Home Loan Mortgage Corp., 0.135%, 2/25/13		1,000,000		1,000
	Total				1,000
	Finance Services (0.7%)
(b)	Govco LLC, 0.23%, 1/22/13		1,000,000		1,000
	Total				1,000
	Total Short-Term Investments
	(Cost: $3,000)				3,000
	Total Investments (99.5%)
	(Cost: $142,879)(a)				144,277
	Other Assets, Less
	Liabilities (0.5%)				759
	Net Assets (100.0%)				145,036

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

Short-Term Bond Portfolio 95

Short-Term Bond Portfolio

144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $12,250 representing 8.5% of the net assets.

IO — Interest Only Security

GO — General Obligation

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $142,879 and the net unrealized appreciation of investments based on that cost was $1,398 which is comprised of $1,477 aggregate gross unrealized appreciation and $79 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
US Five Year Treasury Note Futures (Short) (Total Notional Value at December 31, 2012, $7,841)	63	3/13	$	3
US Long Treasury Bond Futures (Short) (Total Notional Value at December 31, 2012, $1,345)	9	3/13		17
US Ten Year Treasury Note Futures (Short) (Total Notional Value at December 31, 2012, $10,120)	76	3/13		28
US Two Year Treasury Note Futures (Long) (Total Notional Value at December 31, 2012, $13,886)	63	3/13		3

(f) Foreign Bond — par value is foreign denominated

— Morgan Stanley — Brazilian Real

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Government & US Agency Bonds	$	-	$	70,895	$	-
Foreign Bonds		-		173		-
Municipal Bonds		-		536		-
Corporate Bonds		-		29,641		-
Structured Products		-		39,482		550
Short-Term Investments		-		3,000		-
Other Financial Instruments^
Futures		51		-		-
Total	$	51	$	143,727	$	550

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

96 Short-Term Bond Portfolio

Select Bond Portfolio

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 primarily in a diversified portfolio of investment grade debt securities with maturities exceeding one year.	$1.7 billion

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Select Bond Portfolio (the “Portfolio”). Normally, the Portfolio invests in a diversified portfolio of investment grade debt securities with maturities exceeding one year. The Portfolio may invest up to 20% of net assets in non-investment grade securities and up to 30% of net assets in foreign securities. Debt securities may be of any duration, but under normal market conditions, the Portfolio attempts to maintain an effective duration (the percentage price change of the Portfolio, stated in years, for a given change in interest rates, and adjusted for prepayments and yield curve shifts for mortgage based securities) of between three and eight years and a dollar weighted average maturity of between five and ten years. Both a top down and bottom up investment approach is used to construct the portfolio of investments. The top down investment approach involves an evaluation of the overall economic environment and its potential impact on the level and direction of interest rates. The bottom up investment approach focuses on fundamental research of issuers to identify issuers that appear to have strong relative credit quality, solid balance sheets, improving company specific fundamentals and free cash flows.

Market Overview

Bonds delivered solid returns in 2012, as slow economic growth, low inflation and an uncertain outlook increased investors’ appetite for the relative stability of fixed income. 2012 was an unusual year for the bond market. The debt crisis in Europe dimmed the economic outlook, while the Federal Reserve continued to purchase Treasury bonds to stimulate the economy. As a result, Treasury yields declined along with yields on higher-risk investments. Lower yields meant bond prices rose for both bond segments. Typically, investors express a clear preference for either riskier, higher-yielding investments or lower-risk Treasurys.

During 2012, all sectors of the bond market experienced positive total returns. Bond purchases by the Federal Reserve drove Treasury yields lower, contributing to solid performance for debt backed by the U.S. government. Meanwhile, high yield corporate bonds led the rally, followed by investment grade corporate bonds. Record amounts of corporate bond issuance reflected improvements in balance sheets and strong demand for additional lending to Corporate America. Mortgage-backed securities (MBS) lagged the broader fixed income market, largely affected by interest rate volatility. (MBS typically performs better when interest rates are stable, because rate volatility affects the likelihood of refinancing the underlying mortgages.) For the year, the broad Barclays^® U.S. Aggregate Bond Index (the “Index”) returned 4.22%.

Portfolio Results

The Portfolio returned 4.96% for the twelve months ended December 31, 2012; by comparison, the Index returned 4.22%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio underperformed the 6.91% average return of its Corporate Debt Funds A-Rated peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

The Portfolio’s absolute returns reflected the solid performance of investment grade bonds in 2012. Relative to the Index, the Portfolio benefited from a number of sector allocation decisions. The primary sector allocation contributor during the period was the decision to underweight Treasury securities. Based on the belief that credit conditions would improve, the management team chose to overweight risk assets, including commercial mortgage-backed securities (CMBS) and investment grade corporate bonds. This decision worked well for the Portfolio, as overall CMBS and corporate bonds were the best performers during 2012, significantly outperforming Treasurys. While we were overweight in these higher yielding categories relative to the Index, we were likely underweight relative to the peer group, which presumably held much larger positions in riskier bonds.

Security selection also had a positive contribution to performance relative to the Index. In particular, it was beneficial to have a general overweight to lower quality corporates, as well as an overweight to the Real Estate Investment Trusts (REITs) industry. Additionally, an underweight to the information technology industry was helpful. Within the structured products allocation, strong security selection among MBS contributed to the Portfolio’s relative results this year.

Elsewhere, the portfolio managers kept the Portfolio’s duration (price sensitivity to rate changes) shorter than that of the Index for a portion of the year. This positioning hindered relative performance in 2012, as the yield curve made a significant shift lower. As a tool in managing the Portfolio’s duration and yield curve exposure during the year, Treasury futures contracts were used.

Select Bond Portfolio 97

Select Bond Portfolio

Portfolio Manager Outlook

We expect a relatively stable investing environment in 2013 marked by slow growth, low inflation and modest volatility. We do not expect any major policy shifts by the Federal Reserve or the U.S. Treasury, although events in Europe could cause intermittent volatility in the bond market.

The Portfolio will begin the year with sector allocations relatively close to those of the Index, based on the view that many of the sectors appear to be reasonably valued, offering limited upside for performance relative to the Index. Similarly, Treasury yields are near historic lows, leaving little room for appreciation, so we seek to minimize the Portfolio’s interest rate sensitivity. In that environment, we believe that security selection can provide opportunity for performance relative to the Index. We will continue to focus our efforts on picking attractively valued bonds, while monitoring changes in relative value at the sector level.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
Select Bond Portfolio		4.96%		6.25%		5.37%
Barclays® U.S. Aggregate Index		4.22%		5.95%		5.18%
Lipper® Variable Insurance Products (VIP) Corporate Debt Funds A-Rated Average		6.91%		6.06%		4.99%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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.

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 other purposes as part of its investment strategy. Use of these instruments may involve certain costs and impose certain 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 investments.

98 Select Bond Portfolio

Select Bond Portfolio

Top 10 Fixed Income Holdings 12/31/12

Security Description	% of Net Assets
US Treasury, Various	35.2%
Federal Home Loan Mortgage Corp., Various	17.5%
Federal National Mortgage Association, Various	12.5%
Citigroup Commercial Mortgage Trust, Series 2010-RR3, Class MLSR, 5.737%, 6/14/50	0.6%
JPMorgan Chase & Co., Various	0.5%
Morgan Stanley, Various	0.5%
Ford Credit Auto Owner Trust, Series 2009-E, Class D, 5.53%, 5/15/16	0.5%
Canada Government International Bond, 0.875%, 2/14/17	0.5%
GE Capital Credit Card Master Note Trust, Series 2012-1, Class B, 1.62%, 1/15/18	0.4%
Federal Home Loan Mortgage Corp.3, Series K001, Class A2, 5.651%, 4/25/16	0.4%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

The Corporate Bonds sector includes bonds of companies and governments headquartered outside the United States.

The Government and Structured Product categories include domestic taxable bonds.

Consistent with the Portfolio’s stated parameters, no more than 30% of the Portfolio is invested in foreign securities, and no more than 20% is invested in high yield securities.

Select Bond Portfolio 99

Select Bond Portfolio

Schedule of Investments

December 31, 2012

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Aerospace/Defense (0.5%)
BAE Systems Holdings, Inc., 6.375%, 6/1/19 144A		740,000		884
Boeing Capital Corp., 2.125%, 8/15/16		745,000		775
General Dynamics Corp., 2.25%, 11/15/22		1,200,000		1,174
L-3 Communications Corp., 5.20%, 10/15/19		950,000		1,083
Litton Industries, Inc., 6.75%, 4/15/18		1,000,000		1,153
Lockheed Martin Corp., 3.35%, 9/15/21		315,000		333
Lockheed Martin Corp., 4.07%, 12/15/42 144A		267,000		262
Lockheed Martin Corp., 7.65%, 5/1/16		500,000		606
Meccanica Holdings USA, Inc., 6.25%, 1/15/40 144A		650,000		561
Raytheon Co., 3.125%, 10/15/20		1,000,000		1,064
Total				7,895
Auto Manufacturing (0.8%)
American Honda Finance Corp., 2.125%, 2/28/17 144A		1,520,000		1,555
Daimler Finance North America LLC, 2.625%, 9/15/16 144A		170,000		177
Daimler Finance North America LLC, 3.00%, 3/28/16 144A		1,910,000		1,998
Ford Motor Co., 7.45%, 7/16/31		1,180,000		1,499
Ford Motor Credit Co. LLC, 3.00%, 6/12/17		1,250,000		1,284
Ford Motor Credit Co. LLC, 4.25%, 2/3/17		940,000		1,007
Ford Motor Credit Co. LLC, 5.75%, 2/1/21		1,255,000		1,445
PACCAR, Inc., 6.875%, 2/15/14		140,000		149
Toyota Motor Credit Corp., 1.75%, 5/22/17		1,845,000		1,889
Toyota Motor Credit Corp., 3.30%, 1/12/22		1,800,000		1,942
Volkswagen International Finance NV, 2.875%, 4/1/16 144A		1,075,000		1,128
Total				14,073
Banking (3.3%)
Bank of America Corp., 3.625%, 3/17/16		885,000		938

	Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
	Banking continued
	Bank of America Corp., 3.75%, 7/12/16		335,000		358
	Bank of America Corp., 5.75%, 12/1/17		985,000		1,148
	Bank of Montreal, 2.55%, 11/6/22		1,720,000		1,703
	The Bank of New York Mellon Corp., 3.55%, 9/23/21		2,025,000		2,206
	Bank of Nova Scotia, 1.375%, 12/18/17		1,275,000		1,277
	Barclays Bank PLC, 5.00%, 9/22/16		125,000		140
	Barclays Bank PLC, 6.05%, 12/4/17 144A		170,000		188
	Citigroup, Inc., 3.953%, 6/15/16		6,155,000		6,625
	Eksportfinans ASA, 2.00%, 9/15/15		6,000,000		5,743
	Fifth Third Bank, 4.75%, 2/1/15		1,215,000		1,303
	The Goldman Sachs Group, Inc., 5.95%, 1/18/18		3,105,000		3,613
	The Goldman Sachs Group, Inc., 6.15%, 4/1/18		1,115,000		1,310
	HSBC Bank PLC, 4.75%, 1/19/21 144A		30,000		35
	HSBC Holdings PLC, 5.10%, 4/5/21		875,000		1,033
	JPMorgan Chase & Co., 3.15%, 7/5/16		6,890,000		7,300
	JPMorgan Chase & Co., 6.00%, 1/15/18		720,000		862
(d)	Lehman Brothers Holdings, Inc., 5.50%, 4/4/16		385,000		90
(d)	Lehman Brothers Holdings, Inc., 6.875%, 5/2/18		480,000		115
	Merrill Lynch & Co., Inc., 6.40%, 8/28/17		3,110,000		3,652
	Morgan Stanley, 2.875%, 7/28/14		1,100,000		1,124
	Morgan Stanley, 3.80%, 4/29/16		1,175,000		1,234
	Morgan Stanley, 4.75%, 3/22/17		1,830,000		1,996
	Nordea Bank AB, 4.875%, 1/27/20 144A		440,000		507
	The Northern Trust Co., 5.85%, 11/9/17		250,000		299
	PNC Financial Services Group, Inc., 2.854%, 11/9/22		1,255,000		1,262
	PNC Funding Corp., 4.375%, 8/11/20		750,000		855

	Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
	Banking continued
	The Royal Bank of Scotland Group PLC, 6.125%, 12/15/22		635,000		670
	Standard Chartered PLC, 3.20%, 5/12/16 144A		960,000		1,009
	State Street Corp., 2.875%, 3/7/16		585,000		621
	SunTrust Banks, Inc., 6.00%, 9/11/17		570,000		674
	U.S. Bancorp, 3.442%, 2/1/16		1,065,000		1,122
	Wachovia Corp., 5.75%, 2/1/18		280,000		335
(d,n)	Washington Mutual Bank, 6.75%, 5/20/36		520,000		-
(d,n)	Washington Mutual Bank, 6.875%, 6/15/11		505,000		-
	Wells Fargo & Co., 2.625%, 12/15/16		1,815,000		1,916
	Wells Fargo & Co., 4.60%, 4/1/21		1,085,000		1,248
	Wells Fargo & Co., 7.98%, 12/31/49		250,000		287
	Total				54,798
	Beverage/Bottling (0.9%)
	Anheuser-Busch Cos. LLC, 5.75%, 4/1/36		200,000		254
	Anheuser-Busch InBev Worldwide, Inc., 2.50%, 7/15/22		1,575,000		1,585
	Anheuser-Busch InBev Worldwide, Inc., 5.375%, 1/15/20		1,180,000		1,436
	Anheuser-Busch InBev Worldwide, Inc., 8.20%, 1/15/39		1,260,000		2,069
	Beam, Inc., 3.25%, 5/15/22		460,000		477
	The Coca-Cola Co., 1.65%, 3/14/18		1,200,000		1,229
	The Coca-Cola Co., 3.15%, 11/15/20		1,170,000		1,273
	Heineken NV, 1.40%, 10/1/17 144A		430,000		429
	Heineken NV, 2.75%, 4/1/23 144A		645,000		633
	Heineken NV, 4.00%, 10/1/42 144A		170,000		164
	PepsiCo, Inc., 2.75%, 3/5/22		1,000,000		1,027
	PepsiCo, Inc., 3.125%, 11/1/20		1,590,000		1,704
	PepsiCo, Inc., 7.90%, 11/1/18		345,000		466
	Pernod-Ricard SA, 5.75%, 4/7/21 144A		840,000		1,005

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

100 Select Bond Portfolio

Select Bond Portfolio

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Beverage/Bottling continued
SABMiller Holdings, Inc., 3.75%, 1/15/22 144A		920,000		994
Total				14,745
Cable/Media/Broadcasting/Satellite (1.0%)
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/23		1,875,000		1,870
Comcast Corp., 5.875%, 2/15/18		800,000		964
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 2.40%, 3/15/17		840,000		861
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.80%, 3/15/22		1,260,000		1,300
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 4.60%, 2/15/21		150,000		162
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15%, 3/15/42		600,000		607
Discovery Communications LLC, 5.05%, 6/1/20		326,000		377
DISH DBS Corp., 5.00%, 3/15/23 144A		2,500,000		2,500
Historic TW, Inc., 6.625%, 5/15/29		880,000		1,123
Historic TW, Inc., 6.875%, 6/15/18		180,000		227
NBCUniversal Media LLC, 2.875%, 4/1/16		890,000		938
NBCUniversal Media LLC, 6.40%, 4/30/40		695,000		892
News America, Inc., 6.90%, 8/15/39		170,000		223
TCI Communications, Inc., 8.75%, 8/1/15		735,000		877
Time Warner Cable, Inc., 6.55%, 5/1/37		900,000		1,114
Time Warner Entertainment Co. LP, 8.375%, 3/15/23		690,000		975
Videotron Ltee, 5.00%, 7/15/22		600,000		629
The Walt Disney Co., 2.55%, 2/15/22		1,000,000		1,023
Total				16,662
Conglomerate/Diversified Manufacturing (0.6%)
Celanese US Holdings LLC, 4.625%, 11/15/22		1,250,000		1,309
The Dow Chemical Co., 3.00%, 11/15/22		800,000		798
E.I. du Pont de Nemours & Co., 3.625%, 1/15/21		1,500,000		1,648

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Conglomerate/Diversified Manufacturing continued
Eastman Chemical Co., 7.25%, 1/15/24		110,000		143
Eaton Corp., 2.75%, 11/2/22 144A		2,700,000		2,692
Honeywell International, Inc., 4.25%, 3/1/21		1,000,000		1,169
Monsanto Co., 5.125%, 4/15/18		55,000		65
United Technologies Corp., 3.10%, 6/1/22		1,620,000		1,716
United Technologies Corp., 4.50%, 6/1/42		750,000		833
Total				10,373
Consumer Products (0.1%)
The Procter & Gamble Co., 5.55%, 3/5/37		460,000		617
Unilever Capital Corp., 4.25%, 2/10/21		1,000,000		1,154
Total				1,771
Electric Utilities (2.4%)
AEP Texas Central Co., 6.65%, 2/15/33		575,000		731
Alabama Power Co., 3.95%, 6/1/21		1,170,000		1,308
Ameren Corp., 8.875%, 5/15/14		350,000		383
Appalachian Power Co., 4.60%, 3/30/21		590,000		680
Arizona Public Service Co., 5.05%, 9/1/41		535,000		613
Arizona Public Service Co., 8.75%, 3/1/19		115,000		152
Bruce Mansfield Unit, 6.85%, 6/1/34		383,874		400
Carolina Power & Light Co., 2.80%, 5/15/22		910,000		934
Carolina Power & Light Co., 5.15%, 4/1/15		320,000		350
CenterPoint Energy, Inc., 6.50%, 5/1/18		375,000		457
Commonwealth Edison Co., 4.00%, 8/1/20		565,000		632
Commonwealth Edison Co., 5.875%, 2/1/33		100,000		127
Commonwealth Edison Co., 6.15%, 9/15/17		140,000		170
Connecticut Light & Power Co., 5.65%, 5/1/18		160,000		194
Consumers Energy Co., 5.15%, 2/15/17		1,000,000		1,160
The Detroit Edison Co., 3.45%, 10/1/20		635,000		696
The Detroit Edison Co., 5.45%, 2/15/35		105,000		125
Dominion Resources, Inc., 1.40%, 9/15/17		1,250,000		1,250
DTE Energy Co., 6.375%, 4/15/33		415,000		539

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Electric Utilities continued
Duke Energy Corp., 6.25%, 6/15/18		50,000		61
Duke Energy Indiana, Inc., 3.75%, 7/15/20		1,180,000		1,307
Duke Energy Ohio, Inc., 2.10%, 6/15/13		485,000		489
Entergy Corp., 4.70%, 1/15/17		1,050,000		1,137
Entergy Mississippi, Inc., 6.25%, 4/1/34		660,000		669
Exelon Generation Co. LLC, 4.25%, 6/15/22 144A		1,250,000		1,300
Exelon Generation Co. LLC, 6.20%, 10/1/17		455,000		537
IPALCO Enterprises, Inc., 5.00%, 5/1/18		1,740,000		1,823
Kiowa Power Partners LLC, 4.811%, 12/30/13 144A		113,836		115
Mississippi Power Co., 4.75%, 10/15/41		970,000		1,072
Monongahela Power Co., Inc., 5.70%, 3/15/17 144A		615,000		696
Nevada Power Co., 5.95%, 3/15/16		165,000		189
NextEra Energy Capital Holdings, Inc., 4.50%, 6/1/21		1,105,000		1,228
NSTAR LLC, 4.50%, 11/15/19		55,000		62
NV Energy, Inc., 6.25%, 11/15/20		535,000		629
Ohio Edison Co., 6.875%, 7/15/36		130,000		168
Ohio Power Co., 5.375%, 10/1/21		600,000		727
Pacific Gas & Electric Co., 3.50%, 10/1/20		1,750,000		1,918
Pacific Gas & Electric Co., 5.625%, 11/30/17		300,000		362
PacifiCorp., 3.85%, 6/15/21		1,170,000		1,319
Peco Energy Co., 2.375%, 9/15/22		785,000		792
Potomac Electric Power Co., 6.50%, 11/15/37		170,000		243
PPL Capital Funding, Inc., 4.20%, 6/15/22		670,000		721
PPL Energy Supply LLC, 6.50%, 5/1/18		145,000		174
Public Service Co. of Colorado, 3.20%, 11/15/20		785,000		856
Public Service Co. of Colorado, 5.80%, 8/1/18		500,000		613
Public Service Co. of New Mexico, 5.35%, 10/1/21		650,000		714
Public Service Electric & Gas Co., 3.50%, 8/15/20		685,000		752

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

Select Bond Portfolio 101

Select Bond Portfolio

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Electric Utilities continued
Public Service Electric & Gas Co., 3.65%, 9/1/42		535,000		526
Public Service Electric & Gas Co., 5.00%, 1/1/13		1,000,000		1,000
Puget Energy, Inc., 5.625%, 7/15/22		1,835,000		1,976
Puget Sound Energy, Inc., 6.274%, 3/15/37		370,000		494
San Diego Gas & Electric Co., 6.125%, 9/15/37		170,000		234
Sempra Energy, 2.30%, 4/1/17		1,020,000		1,059
Sempra Energy, 6.15%, 6/15/18		215,000		264
South Carolina Electric & Gas Co., 6.05%, 1/15/38		265,000		344
Tampa Electric Co., 5.40%, 5/15/21		95,000		117
Union Electric Co., 3.90%, 9/15/42		715,000		725
Union Electric Co., 6.40%, 6/15/17		140,000		171
Union Electric Co., 6.70%, 2/1/19		195,000		246
Virginia Electric & Power Co., 3.45%, 9/1/22		945,000		1,022
Virginia Electric & Power Co., 5.40%, 4/30/18		60,000		72
Total				39,824
Electronics (0.2%)
Hewlett-Packard Co., 3.00%, 9/15/16		910,000		916
Hewlett-Packard Co., 3.75%, 12/1/20		130,000		126
Hewlett-Packard Co., 4.65%, 12/9/21		835,000		838
International Business Machines Corp., 1.95%, 7/22/16		540,000		561
International Business Machines Corp., 2.00%, 1/5/16		980,000		1,013
Total				3,454
Food Processors (0.5%)
Archer-Daniels-Midland Co., 4.479%, 3/1/21		335,000		378
General Mills, Inc., 3.15%, 12/15/21		900,000		941
Kellogg Co., 3.25%, 5/21/18		375,000		408
Kraft Foods Group, Inc., 2.25%, 6/5/17 144A		285,000		295
Kraft Foods Group, Inc., 3.50%, 6/6/22 144A		380,000		406
Kraft Foods Group, Inc., 6.125%, 8/23/18 144A		750,000		919
Mead Johnson Nutrition Co., 4.90%, 11/1/19		960,000		1,096
Mondelez International, Inc., 6.125%, 2/1/18		265,000		322

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Food Processors continued
Mondelez International, Inc., 6.50%, 8/11/17		1,250,000		1,527
Mondelez International, Inc., 6.50%, 2/9/40		1,485,000		1,995
Total				8,287
Gas Pipelines (0.9%)
Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 5/15/23		1,250,000		1,269
CenterPoint Energy Resources Corp., 6.125%, 11/1/17		120,000		144
El Paso LLC, 7.00%, 6/15/17		420,000		480
El Paso Pipeline Partners Operating Co. LLC, 4.70%, 11/1/42		500,000		490
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/1/21		1,815,000		2,057
Energy Transfer Partners LP, 4.65%, 6/1/21		460,000		505
Energy Transfer Partners LP, 6.05%, 6/1/41		1,205,000		1,371
Energy Transfer Partners LP, 6.70%, 7/1/18		440,000		530
Enterprise Products Operating LLC, 3.20%, 2/1/16		880,000		930
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18		1,270,000		1,521
Kinder Morgan Energy Partners LP, 6.375%, 3/1/41		1,150,000		1,423
Kinder Morgan Energy Partners LP, 6.50%, 2/1/37		200,000		244
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 144A		1,430,000		1,572
Magellan Midstream Partners LP, 6.55%, 7/15/19		445,000		550
ONEOK Partners LP, 2.00%, 10/1/17		625,000		630
Plains All American Pipeline LP/PAA Finance Corp., 6.50%, 5/1/18		220,000		272
Spectra Energy Partners LP, 2.95%, 6/15/16		455,000		468
Williams Partners LP, 4.00%, 11/15/21		225,000		241
Williams Partners LP, 4.125%, 11/15/20		90,000		98
Williams Partners LP, 5.25%, 3/15/20		740,000		852
Total				15,647

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Health Care/Pharmaceuticals (1.3%)
AbbVie, Inc., 1.75%, 11/6/17 144A		980,000		991
AbbVie, Inc., 2.90%, 11/6/22 144A		440,000		448
Amgen, Inc., 3.875%, 11/15/21		1,500,000		1,647
Express Scripts Holding Co., 2.65%, 2/15/17 144A		545,000		566
Express Scripts Holding Co., 3.125%, 5/15/16		220,000		232
Express Scripts Holding Co., 3.50%, 11/15/16 144A		900,000		962
Express Scripts Holding Co., 3.90%, 2/15/22 144A		285,000		307
Fresenius Medical Care US Finance II, Inc., 5.625%, 7/31/19 144A		620,000		666
Fresenius Medical Care US Finance II, Inc., 5.875%, 1/31/22 144A		465,000		504
GlaxoSmithKline Capital, Inc., 6.375%, 5/15/38		425,000		587
Medco Health Solutions, Inc., 7.125%, 3/15/18		1,050,000		1,309
Medtronic, Inc., 3.125%, 3/15/22		1,000,000		1,062
Merck & Co., Inc., 3.875%, 1/15/21		2,145,000		2,407
Merck & Co., Inc., 4.75%, 3/1/15		500,000		545
Merck & Co., Inc., 5.75%, 11/15/36		250,000		331
Merck & Co., Inc., 6.40%, 3/1/28		125,000		173
The Novartis Capital Corp., 2.40%, 9/21/22		1,860,000		1,865
Pfizer, Inc., 5.35%, 3/15/15		450,000		496
Roche Holdings, Inc., 6.00%, 3/1/19 144A		590,000		734
Sanofi-Aventis SA, 2.625%, 3/29/16		1,750,000		1,842
Teva Pharmaceutical Finance Co. BV, 2.95%, 12/18/22		920,000		931
Teva Pharmaceutical Finance IV LLC, 2.25%, 3/18/20		430,000		434
Thermo Fisher Scientific, Inc., 1.85%, 1/15/18		405,000		411
Thermo Fisher Scientific, Inc., 3.15%, 1/15/23		520,000		531
Watson Pharmaceuticals, Inc., 1.875%, 10/1/17		135,000		137
Watson Pharmaceuticals, Inc., 3.25%, 10/1/22		295,000		301
Watson Pharmaceuticals, Inc., 4.625%, 10/1/42		180,000		187

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

102 Select Bond Portfolio

Select Bond Portfolio

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Health Care/Pharmaceuticals continued
Wyeth LLC, 5.50%, 2/15/16		35,000		40
Wyeth LLC, 5.95%, 4/1/37		835,000		1,114
Total				21,760
Independent Finance (0.4%)
General Electric Capital Corp., 5.625%, 5/1/18		3,635,000		4,317
General Electric Capital Corp./LJ VP Holdings LLC, 3.80%, 6/18/19 144A		1,550,000		1,651
International Lease Finance Corp., 5.75%, 5/15/16		335,000		353
Total				6,321
Information/Data Technology (0.6%)
Fidelity National Information Services, Inc., 5.00%, 3/15/22		1,500,000		1,609
Intel Corp., 3.30%, 10/1/21		1,000,000		1,060
Microsoft Corp., 0.875%, 11/15/17		340,000		338
Microsoft Corp., 2.125%, 11/15/22		900,000		891
Mylan, Inc., 3.125%, 1/15/23 144A		830,000		823
NCR Corp., 4.625%, 2/15/21 144A		750,000		750
Oracle Corp., 1.20%, 10/15/17		900,000		903
Oracle Corp., 2.50%, 10/15/22		900,000		908
Oracle Corp., 3.875%, 7/15/20		2,190,000		2,470
Xerox Corp., 4.25%, 2/15/15		400,000		421
Total				10,173
Life Insurance (0.6%)
Aetna, Inc., 1.50%, 11/15/17		140,000		140
Aetna, Inc., 2.75%, 11/15/22		395,000		392
American International Group, Inc., 4.875%, 6/1/22		930,000		1,062
MassMutual Global Funding II, 2.30%, 9/28/15 144A		1,250,000		1,298
Metropolitan Life Global Funding I, 3.65%, 6/14/18 144A		1,340,000		1,467
New York Life Global Funding, 2.45%, 7/14/16 144A		1,140,000		1,195
Prudential Financial, Inc., 5.375%, 6/21/20		420,000		491
Prudential Financial, Inc., 5.70%, 12/14/36		145,000		165

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Life Insurance continued
Teachers Insurance & Annuity Association-College Retirement Equity Fund, 6.85%, 12/16/39 144A		1,665,000		2,258
UnitedHealth Group, Inc., 1.40%, 10/15/17		180,000		180
UnitedHealth Group, Inc., 2.75%, 2/15/23		210,000		212
UnitedHealth Group, Inc., 2.875%, 3/15/22		210,000		215
UnitedHealth Group, Inc., 3.95%, 10/15/42		90,000		90
UnitedHealth Group, Inc., 4.70%, 2/15/21		595,000		693
WellPoint, Inc., 1.875%, 1/15/18		395,000		400
WellPoint, Inc., 3.30%, 1/15/23		545,000		559
Total				10,817
Machinery (0.4%)
Caterpillar Financial Services Corp., 1.625%, 6/1/17		855,000		871
Deere & Co., 2.60%, 6/8/22		1,200,000		1,215
John Deere Capital Corp., 0.70%, 9/4/15		900,000		900
John Deere Capital Corp., 1.20%, 10/10/17		615,000		616
John Deere Capital Corp., 2.25%, 4/17/19		690,000		710
John Deere Capital Corp., 2.80%, 1/27/23		925,000		947
Roper Industries, Inc., 1.85%, 11/15/17		665,000		665
Roper Industries, Inc., 3.125%, 11/15/22		990,000		996
Total				6,920
Metals/Mining (0.6%)
Barrick Gold Corp., 2.90%, 5/30/16		625,000		656
Barrick Gold Corp., 3.85%, 4/1/22		1,210,000		1,281
Barrick North America Finance LLC, 6.80%, 9/15/18		375,000		463
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/1/22		1,125,000		1,116
Newmont Mining Corp., 3.50%, 3/15/22		1,515,000		1,562
Newmont Mining Corp., 6.25%, 10/1/39		245,000		295
Rio Tinto Finance USA PLC, 1.625%, 8/21/17		1,885,000		1,909
Rio Tinto Finance USA, Ltd., 4.125%, 5/20/21		900,000		994
Rio Tinto Finance USA, Ltd., 9.00%, 5/1/19		225,000		309

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Metals/Mining continued
Teck Resources, Ltd., 3.00%, 3/1/19		335,000		345
Teck Resources, Ltd., 5.20%, 3/1/42		1,250,000		1,278
Total				10,208
Natural Gas Distributors (0.1%)
NiSource Finance Corp., 5.80%, 2/1/42		1,530,000		1,742
Total				1,742
Oil & Gas Field Machines and Services (0.2%)
National Oilwell Varco, Inc., 1.35%, 12/1/17		195,000		196
National Oilwell Varco, Inc., 2.60%, 12/1/22		685,000		695
Oil States International, Inc., 5.125%, 1/15/23 144A		625,000		634
Rowan Cos., Inc., 4.875%, 6/1/22		1,540,000		1,672
Total				3,197
Oil and Gas (2.6%)
Anadarko Petroleum Corp., 6.375%, 9/15/17		1,140,000		1,362
Apache Corp., 3.25%, 4/15/22		1,000,000		1,060
Apache Corp., 4.75%, 4/15/43		605,000		659
BP Capital Markets PLC, 1.846%, 5/5/17		1,230,000		1,257
BP Capital Markets PLC, 2.50%, 11/6/22		2,155,000		2,135
BP Capital Markets PLC, 4.50%, 10/1/20		295,000		340
BP Capital Markets PLC, 4.75%, 3/10/19		1,936,000		2,245
Canadian Natural Resources, Ltd., 5.70%, 5/15/17		595,000		701
Canadian Natural Resources, Ltd., 5.85%, 2/1/35		140,000		172
Canadian Natural Resources, Ltd., 6.45%, 6/30/33		255,000		324
Cenovus Energy, Inc., 4.45%, 9/15/42		1,255,000		1,305
ConocoPhillips, 6.00%, 1/15/20		2,345,000		2,976
Continental Resources, Inc., 5.00%, 9/15/22		1,250,000		1,347
Devon Energy Corp., 1.875%, 5/15/17		595,000		607
Devon Energy Corp., 3.25%, 5/15/22		910,000		950
Encana Corp., 3.90%, 11/15/21		795,000		863
EnCana Corp., 6.50%, 2/1/38		325,000		406

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

Select Bond Portfolio 103

Select Bond Portfolio

Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
Oil and Gas continued
Ensco PLC, 4.70%, 3/15/21		880,000		990
EOG Resources, Inc., 4.40%, 6/1/20		340,000		393
Hess Corp., 5.60%, 2/15/41		585,000		692
Husky Energy, Inc., 3.95%, 4/15/22		1,355,000		1,456
Husky Energy, Inc., 7.25%, 12/15/19		195,000		253
Marathon Oil Corp., 6.60%, 10/1/37		130,000		174
Nabors Industries, Inc., 6.15%, 2/15/18		960,000		1,129
Newfield Exploration Co., 6.875%, 2/1/20		1,770,000		1,894
Noble Energy, Inc., 4.15%, 12/15/21		305,000		337
Noble Energy, Inc., 6.00%, 3/1/41		425,000		512
Occidental Petroleum Corp., 3.125%, 2/15/22		1,000,000		1,064
Occidental Petroleum Corp., 4.125%, 6/1/16		385,000		427
Pemex Project Funding Master Trust, 6.625%, 6/15/35		200,000		254
Petro-Canada, 6.05%, 5/15/18		480,000		584
Petrohawk Energy Corp., 6.25%, 6/1/19		1,260,000		1,435
QEP Resources, Inc., 5.375%, 10/1/22		600,000		643
Shell International Finance BV, 1.125%, 8/21/17		1,255,000		1,261
Shell International Finance BV, 4.30%, 9/22/19		2,303,000		2,668
Southwestern Energy Co., 4.10%, 3/15/22		755,000		812
Statoil ASA, 2.45%, 1/17/23		1,900,000		1,895
Suncor Energy, Inc., 6.85%, 6/1/39		210,000		290
Talisman Energy, Inc., 3.75%, 2/1/21		1,055,000		1,132
Total Capital International SA, 1.50%, 2/17/17		480,000		484
Total Capital SA, 4.45%, 6/24/20		1,440,000		1,668
Transocean, Inc., 6.375%, 12/15/21		960,000		1,167
Weatherford International, Ltd., 5.95%, 4/15/42		1,810,000		1,964
Total				44,287
Other Finance (0.5%)
American Express Co., 6.15%, 8/28/17		875,000		1,055
American Express Credit Corp., 5.125%, 8/25/14		760,000		814

	Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
	Other Finance continued
	Berkshire Hathaway Finance Corp., 3.00%, 5/15/22		1,250,000		1,302
	CVS Pass-Through Trust, 6.036%, 12/10/28		811,792		949
	The NASDAQ OMX Group, Inc., 5.55%, 1/15/20		235,000		256
	Prudential Covered Trust 2012-1, 2.997%, 9/30/15 144A		1,966,500		2,039
	SLM Corp., 6.00%, 1/25/17		770,000		834
	SLM Corp., 7.25%, 1/25/22		75,000		83
	SLM Corp., 8.00%, 3/25/20		570,000		651
	Total				7,983
	Other Holdings (0.3%)
(f)	Federative Republic of Brazil, 8.50%, 1/5/24		3,145,000		1,877
(f)	Morgan Stanley, 5.40%, 5/15/15 144A		6,114,421		3,249
	Total				5,126
	Other Services (0.2%)
	American Tower Corp., 4.625%, 4/1/15		295,000		314
	American Tower Corp., 7.00%, 10/15/17		300,000		359
	CC Holdings GS V LLC, 3.849%, 4/15/23 144A		880,000		895
	Republic Services, Inc., 5.25%, 11/15/21		515,000		607
	Waste Management, Inc., 2.90%, 9/15/22		740,000		732
	Waste Management, Inc., 4.60%, 3/1/21		655,000		742
	Total				3,649
	Paper and Forest Products (0.1%)
	Georgia-Pacific LLC, 5.40%, 11/1/20 144A		1,430,000		1,701
	Georgia-Pacific LLC, 7.75%, 11/15/29		90,000		123
	Total				1,824
	Property and Casualty Insurance (0.0%)
	The Hartford Financial Services Group, Inc., 6.625%, 4/15/42		300,000		381
	Total				381
	Railroads (0.4%)
	Burlington Northern Santa Fe LLC, 3.05%, 3/15/22		1,950,000		2,012
	Burlington Northern Santa Fe LLC, 3.05%, 9/1/22		685,000		708
	Burlington Northern Santa Fe LLC, 3.60%, 9/1/20		585,000		634

Corporate Bonds (23.1%)	Shares/ $ Par	Value $ (000’s)
Railroads continued
Canadian National Railway Co., 5.85%, 11/15/17	120,000		145
CSX Corp., 3.70%, 10/30/20	115,000		124
CSX Corp., 4.25%, 6/1/21	315,000		354
CSX Corp., 5.60%, 5/1/17	725,000		847
Norfolk Southern Corp., 2.903%, 2/15/23 144A	1,099,000		1,106
Union Pacific Corp., 4.30%, 6/15/42	1,255,000		1,325
Total			7,255
Real Estate Investment Trusts (1.0%)
AvalonBay Communities, Inc., 2.85%, 3/15/23	705,000		696
AvalonBay Communities, Inc., 2.95%, 9/15/22	365,000		364
AvalonBay Communities, Inc., 3.95%, 1/15/21	970,000		1,043
Boston Properties LP, 3.85%, 2/1/23	990,000		1,040
BRE Properties, Inc., 5.20%, 3/15/21	810,000		914
BRE Properties, Inc., 5.50%, 3/15/17	360,000		408
Colonial Realty LP, 6.05%, 9/1/16	255,000		284
DDR Corp., 4.75%, 4/15/18	880,000		975
Duke Realty LP, 6.50%, 1/15/18	1,000,000		1,186
Essex Portfolio LP, 3.625%, 8/15/22 144A	1,885,000		1,882
HCP, Inc., 3.75%, 2/1/16	520,000		552
HCP, Inc., 3.75%, 2/1/19	335,000		353
HCP, Inc., 6.00%, 1/30/17	290,000		333
HCP, Inc., 6.70%, 1/30/18	170,000		205
Health Care REIT, Inc., 3.625%, 3/15/16	440,000		465
Health Care REIT, Inc., 4.125%, 4/1/19	1,505,000		1,619
Ventas Realty LP/Ventas Capital Corp., 2.00%, 2/15/18	1,900,000		1,901
Ventas Realty LP/Ventas Capital Corp., 4.25%, 3/1/22	420,000		445
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/1/21	2,010,000		2,198
WEA Finance LLC, 7.125%, 4/15/18 144A	305,000		376
Total			17,239
Restaurants (0.3%)
Darden Restaurants, Inc., 3.35%, 11/1/22	300,000		290
Darden Restaurants, Inc., 4.50%, 10/15/21	950,000		1,022
Darden Restaurants, Inc., 6.20%, 10/15/17	540,000		638

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

104 Select Bond Portfolio

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Corporate Bonds (23.1%)	Shares/ $ Par	Value $ (000’s)
Restaurants continued
McDonald’s Corp., 2.625%, 1/15/22	1,000,000		1,027
Yum! Brands, Inc., 3.75%, 11/1/21	630,000		671
Yum! Brands, Inc., 3.875%, 11/1/20	560,000		608
Total			4,256
Retail Food and Drug (0.4%)
CVS Caremark Corp., 6.25%, 6/1/27	1,475,000		1,948
Delhaize Group SA, 4.125%, 4/10/19	1,310,000		1,352
Delhaize Group SA, 5.70%, 10/1/40	570,000		534
The Kroger Co., 7.50%, 4/1/31	735,000		954
Safeway, Inc., 6.35%, 8/15/17	1,770,000		2,010
Total			6,798
Retail Stores (0.8%)
Costco Wholesale Corp., 1.70%, 12/15/19	2,210,000		2,225
The Home Depot, Inc., 4.40%, 4/1/21	250,000		295
The Home Depot, Inc., 5.40%, 3/1/16	250,000		286
The Home Depot, Inc., 5.875%, 12/16/36	585,000		769
Limited Brands, Inc., 5.625%, 2/15/22	1,200,000		1,305
Lowe’s Cos., Inc., 3.80%, 11/15/21	200,000		221
Macy’s Retail Holdings, Inc., 5.90%, 12/1/16	698,000		820
Macy’s Retail Holdings, Inc., 7.875%, 7/15/15	545,000		635
Nordstrom, Inc., 6.25%, 1/15/18	330,000		400
Nordstrom, Inc., 7.00%, 1/15/38	225,000		319
Target Corp., 2.90%, 1/15/22	1,000,000		1,060
Target Corp., 6.50%, 10/15/37	405,000		565
Wal-Mart Stores, Inc., 2.80%, 4/15/16	450,000		480
Wal-Mart Stores, Inc., 3.25%, 10/25/20	735,000		800
Wal-Mart Stores, Inc., 3.625%, 7/8/20	390,000		433
Wal-Mart Stores, Inc., 4.875%, 7/8/40	625,000		739
Wal-Mart Stores, Inc., 5.625%, 4/15/41	1,480,000		1,938
Total			13,290
Telecommunications (1.1%)
America Movil SAB de CV, 2.375%, 9/8/16	705,000		733

	Corporate Bonds (23.1%)	Shares/ $ Par		Value $ (000’s)
	Telecommunications continued
	America Movil SAB de CV, 5.00%, 3/30/20		1,525,000		1,774
	AT&T, Inc., 2.625%, 12/1/22		1,875,000		1,878
	AT&T, Inc., 2.95%, 5/15/16		1,310,000		1,387
	AT&T, Inc., 3.00%, 2/15/22		1,000,000		1,040
	AT&T, Inc., 5.55%, 8/15/41		2,260,000		2,712
	CenturyLink, Inc., 5.15%, 6/15/17		665,000		717
	CenturyLink, Inc., 6.45%, 6/15/21		1,365,000		1,508
	Qwest Corp., 6.50%, 6/1/17		920,000		1,074
	Telefonica Emisiones SAU, 3.729%, 4/27/15		855,000		879
	TW Telecom Holdings, Inc., 5.375%, 10/1/22 144A		250,000		262
	Verizon Communications, Inc., 3.50%, 11/1/21		1,000,000		1,094
	Verizon Communications, Inc., 5.85%, 9/15/35		1,105,000		1,388
	Verizon Communications, Inc., 6.25%, 4/1/37		425,000		559
	Verizon Communications, Inc., 6.35%, 4/1/19		1,180,000		1,491
	Vodafone Group PLC, 5.375%, 1/30/15		40,000		44
	Total				18,540
	Total Corporate Bonds
	(Cost: $360,516)				389,295
	Governments (35.9%)
	Governments (35.9%)
	Canada Government International Bond, 0.875%, 2/14/17		7,500,000		7,561
	Israel Government AID Bond, 5.50%, 4/26/24		1,910,000		2,528
	Overseas Private Investment Corp., 4.10%, 11/15/14		579,600		604
	US Department of Housing & Urban Development, 6.08%, 8/1/13		460,000		460
	US Department of Housing & Urban Development, 6.17%, 8/1/14		490,000		490
	US Treasury, 0.125%, 12/31/14		200,000,000		199,500
	US Treasury, 0.25%, 9/30/14		78,435,000		78,453
(g)	US Treasury, 0.50%, 7/31/17		120,223,000		119,500

	Governments (35.9%)	Shares/ $ Par		Value $ (000’s)
	Governments continued
	US Treasury, 0.625%, 5/31/17		23,875,000		23,912
(g)	US Treasury, 0.625%, 9/30/17		2,805,000		2,800
	US Treasury, 0.75%, 6/30/17		24,470,000		24,615
(g)	US Treasury, 1.625%, 8/15/22		3,910,000		3,884
	US Treasury, 1.625%, 11/15/22		1,430,000		1,414
	US Treasury, 1.75%, 5/15/22		11,195,000		11,292
(g)	US Treasury, 2.75%, 8/15/42		17,440,000		16,841
	US Treasury, 3.00%, 5/15/42		20,995,000		21,389
	US Treasury, 4.50%, 2/15/36		23,510,000		30,941
	US Treasury, 5.375%, 2/15/31		40,970,000		58,485
	Total Governments
	(Cost: $604,214)				604,669
	Municipal Bonds (1.8%)
	Municipal Bonds (1.8%)
	American Municipal Power, Inc., Series 2010, 5.939%, 2/15/47 RB		1,930,000		2,241
	Bay Area Toll Authority San Francisco Bay Area Toll Bridge, Series 2009-F, 6.263%, 4/1/49 RB		100,000		139
	Board of Regents of the University of Texas System, Series 2010C, 4.794%, 8/15/46 RB		1,525,000		1,807
	Board of Regents of the University of Texas System, Series 2009B, 6.276%, 8/15/41 RB		500,000		587
	The City of New York, Series C-1, 5.517%, 10/1/37 GO		870,000		1,075
	Connecticut Housing Finance Authority, Series D-2, 5.00%, 11/15/26 RB		1,095,000		1,095
	Dallas Area Rapid Transit, Series 2010B, 5.022%, 12/1/48 RB		1,740,000		2,084
	Dallas Independent School District, Series 2010C, 6.45%, 2/15/35 GO, PSF		1,755,000		2,207
	Dormitory Authority of the State of New York, Series 2010H, 5.389%, 3/15/40 RB		290,000		357
	Energy Northwest, Series E, 2.197%, 7/1/19 RB		1,685,000		1,727

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

Select Bond Portfolio 105

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Municipal Bonds (1.8%)	Shares/ $ Par	Value $ (000’s)
Municipal Bonds continued
The Illinois State Toll Highway Authority, Series A, 6.184%, 1/1/34 RB	280,000		354
Los Angeles Unified School District, Series RY, 6.758%, 7/1/34 GO	875,000		1,168
Metropolitan Transportation Authority, Series 2010C-1, 6.687%, 11/15/40 RB	285,000		368
Metropolitan Transportation Authority, Series 2009C, 7.336%, 11/15/39 RB	550,000		806
Montana Facility Finance Authority, Series 2010A, 4.75%, 5/20/37 RB, GNMA, FHA	3,970,000		4,312
New Jersey Turnpike Authority, Series 2009F, 7.414%, 1/1/40 RB	775,000		1,144
New York City Municipal Water Finance Authority, Series AA, 5.44%, 6/15/43 RB	640,000		802
New York City Municipal Water Finance Authority, Series AA-1, 5.75%, 6/15/41 RB	170,000		220
Port Authority New York & New Jersey, Series 168, 4.926%, 10/1/51 RB	1,510,000		1,673
State of California, Series 2010, 5.70%, 11/1/21 GO	1,140,000		1,358
State of Illinois, Series 2011, 4.961%, 3/1/16 GO	1,970,000		2,158
Texas Transportation Commission, Series 2010A, 4.681%, 4/1/40 GO	522,000		612
University of California Regents Medical Center, Series H, 6.548%, 5/15/48 RB	1,230,000		1,638
Total Municipal Bonds
(Cost: $25,661)			29,932
Structured Products (36.9%)
Structured Products (36.9%)
Asset Securitization Corp., Series 1997-D5, Class PS1, 1.253%, 2/14/43 IO	3,539,788		115

Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Banc of America Funding Corp., Series 2007-1, Class TA1A, 0.27%, 1/25/37	578,056		308
Banc of America Funding Corp., Series 2007-4, Class TA1A, 0.30%, 5/25/37	735,011		461
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PWR18, Class A2, 5.613%, 6/11/50	1,260,448		1,290
Chase Issuance Trust, Series 2012-A5, Class A5, 0.59%, 8/15/17	3,500,000		3,503
Citigroup Commercial Mortgage Trust, Series 2010-RR3, Class MLSR, 5.737%, 6/14/50 144A	8,150,000		9,387
Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35	232,866		236
CNH Equipment Trust, Series 2012-A, Class A4, 1.38%, 2/15/18	2,335,000		2,380
Credit Suisse Mortgage Capital Certificates, Series 2009-RR1, Class A3A, 5.383%, 2/15/40 144A	1,490,000		1,656
Discover Card Master Trust, Series 2012-A1, Class A1, 0.81%, 8/15/17	3,360,000		3,383
Discover Card Master Trust I, Series 2012-B3, Class B3, 0.659%, 5/15/18	5,500,000		5,500
DLJ Commercial Mortgage Corp., Series 1998-CF1, Class S, 1.169%, 2/15/31 IO	5,323,616		143
DLJ Mortgage Acceptance Corp., Series 1997-CF2, Class S, 0.463%, 10/15/30 IO 144A	5,001,864		55
FDIC Structured Sale Guaranteed Notes, Series 2010-S2, Class 2A, 2.57%, 7/29/47 144A	6,371,714		6,467
Federal Home Loan Mortgage Corp., Series K009, Class X1, 1.506%, 8/25/20 IO	26,556,659		2,193
Federal Home Loan Mortgage Corp., 3.00%, 11/1/21	621,332		654
Federal Home Loan Mortgage Corp., 3.00%, 11/1/25	1,212,233		1,274

Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 3.00%, 8/1/26	3,727,433		3,920
Federal Home Loan Mortgage Corp., 3.00%, 11/1/26	1,735,296		1,825
Federal Home Loan Mortgage Corp., 3.00%, 12/1/26	2,198,137		2,312
Federal Home Loan Mortgage Corp., 3.00%, 1/1/27	3,592,269		3,778
Federal Home Loan Mortgage Corp., 3.00%, 5/1/27	441,123		465
Federal Home Loan Mortgage Corp., 3.00%, 10/1/42	624,989		654
Federal Home Loan Mortgage Corp., 3.00%, 11/1/42	7,958,962		8,328
Federal Home Loan Mortgage Corp., 3.50%, 4/1/26	3,347,793		3,520
Federal Home Loan Mortgage Corp., 3.50%, 6/1/26	540,673		569
Federal Home Loan Mortgage Corp., 3.50%, 7/1/26	2,264,578		2,381
Federal Home Loan Mortgage Corp., 3.50%, 1/1/41	1,297,447		1,397
Federal Home Loan Mortgage Corp., 3.50%, 12/1/41	2,024,071		2,154
Federal Home Loan Mortgage Corp., 3.50%, 4/1/42	1,548,006		1,651
Federal Home Loan Mortgage Corp., 3.50%, 6/1/42	99,507		106
Federal Home Loan Mortgage Corp., 3.50%, 7/1/42	1,904,103		2,031
Federal Home Loan Mortgage Corp., 3.50%, 9/1/42	20,074,875		21,408
Federal Home Loan Mortgage Corp., 4.00%, 10/1/20	383,119		407
Federal Home Loan Mortgage Corp., 4.00%, 7/1/24	334,776		354
Federal Home Loan Mortgage Corp., 4.00%, 2/1/25	447,916		473
Federal Home Loan Mortgage Corp., 4.00%, 6/1/25	474,835		502
Federal Home Loan Mortgage Corp., 4.00%, 8/1/25	6,067,496		6,414

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

106 Select Bond Portfolio

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Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 4.00%, 9/1/25	10,395		11
Federal Home Loan Mortgage Corp., 4.00%, 5/1/26	2,212,688		2,360
Federal Home Loan Mortgage Corp., 4.00%, 12/1/26	231,463		245
Federal Home Loan Mortgage Corp., 4.00%, 8/1/31	1,030,001		1,111
Federal Home Loan Mortgage Corp., 4.00%, 11/1/40	3,391,609		3,624
Federal Home Loan Mortgage Corp., 4.00%, 12/1/40	6,760,959		7,372
Federal Home Loan Mortgage Corp., 4.00%, 1/1/41	9,213,024		9,844
Federal Home Loan Mortgage Corp., 4.00%, 2/1/41	21,033,629		22,474
Federal Home Loan Mortgage Corp., 4.00%, 4/1/41	10,165,038		10,868
Federal Home Loan Mortgage Corp., 4.00%, 8/1/41	3,981,881		4,257
Federal Home Loan Mortgage Corp., 4.00%, 9/1/41	1,623,586		1,735
Federal Home Loan Mortgage Corp., 4.00%, 10/1/41	1,839,125		1,966
Federal Home Loan Mortgage Corp., 4.00%, 1/1/42	9,436,214		10,088
Federal Home Loan Mortgage Corp., 4.50%, 5/1/19	518,660		563
Federal Home Loan Mortgage Corp., 4.50%, 7/1/20	1,103,651		1,178
Federal Home Loan Mortgage Corp., Series 3065, Class TN, 4.50%, 10/15/33	257,021		260
Federal Home Loan Mortgage Corp., Series 3248, Class LN, 4.50%, 7/15/35	549,642		557
Federal Home Loan Mortgage Corp., 4.50%, 9/1/39	70,962		76
Federal Home Loan Mortgage Corp., 4.50%, 12/1/39	158,352		170
Federal Home Loan Mortgage Corp., 4.50%, 3/1/40	6,772,562		7,293

Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 4.50%, 4/1/40	4,530,139		4,877
Federal Home Loan Mortgage Corp., 4.50%, 9/1/40	1,484,658		1,626
Federal Home Loan Mortgage Corp., 4.50%, 10/1/40	6,560,948		7,065
Federal Home Loan Mortgage Corp., 4.50%, 1/1/41	2,352,943		2,576
Federal Home Loan Mortgage Corp., 4.50%, 2/1/41	84,709		91
Federal Home Loan Mortgage Corp., 4.50%, 3/1/41	7,449,131		8,038
Federal Home Loan Mortgage Corp., 4.50%, 4/1/41	5,374,966		5,800
Federal Home Loan Mortgage Corp., 4.50%, 5/1/41	533,565		575
Federal Home Loan Mortgage Corp., 4.50%, 6/1/41	3,719,913		4,006
Federal Home Loan Mortgage Corp., 4.50%, 7/1/41	18,493,580		19,955
Federal Home Loan Mortgage Corp., 4.50%, 8/1/41	112,323		121
Federal Home Loan Mortgage Corp., 5.00%, 10/1/19	800,050		860
Federal Home Loan Mortgage Corp., 5.00%, 2/1/20	171,897		188
Federal Home Loan Mortgage Corp., 5.00%, 5/1/20	653,448		713
Federal Home Loan Mortgage Corp., 5.00%, 4/1/22	171,482		184
Federal Home Loan Mortgage Corp., 5.00%, 9/1/35	2,356,629		2,594
Federal Home Loan Mortgage Corp., 5.00%, 11/1/35	866,119		953
Federal Home Loan Mortgage Corp., 5.00%, 12/1/35	8,161,467		9,007
Federal Home Loan Mortgage Corp., 5.00%, 11/1/38	11,472,923		12,346
Federal Home Loan Mortgage Corp., 5.00%, 12/1/38	375,898		404
Federal Home Loan Mortgage Corp., 5.00%, 1/1/39	5,149,347		5,541

Structured Products (36.9%)		Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 5.00%, 2/1/39		689,190		742
Federal Home Loan Mortgage Corp., 5.00%, 9/1/39		3,076,029		3,310
Federal Home Loan Mortgage Corp., 5.00%, 11/1/39		115,365		127
Federal Home Loan Mortgage Corp., 5.00%, 12/1/39		1,119,758		1,236
Federal Home Loan Mortgage Corp., 5.00%, 3/1/40		5,102,897		5,491
Federal Home Loan Mortgage Corp., 5.00%, 4/1/40		2,365,229		2,567
Federal Home Loan Mortgage Corp., 5.00%, 2/1/41		148,350		162
Federal Home Loan Mortgage Corp., 5.00%, 4/1/41		202,520		220
Federal Home Loan Mortgage Corp., 5.00%, 5/1/41		647,682		707
Federal Home Loan Mortgage Corp., 5.00%, 3/1/38		3,829,134		4,124
Federal Home Loan Mortgage Corp., 5.50%, 9/1/19		224,836		244
Federal Home Loan Mortgage Corp., 5.50%, 11/1/19		728,201		789
Federal Home Loan Mortgage Corp., 5.50%, 12/1/19		141,859		154
Federal Home Loan Mortgage Corp., 5.50%, 3/1/20		1,049,883		1,140
Federal Home Loan Mortgage Corp., 5.50%, 3/1/22	��	176,206		190
Federal Home Loan Mortgage Corp., 5.50%, 4/1/22		706,028		762
Federal Home Loan Mortgage Corp., 5.50%, 6/1/35		725,585		788
Federal Home Loan Mortgage Corp., 5.50%, 5/1/37		2,137,782		2,323
Federal Home Loan Mortgage Corp., 5.50%, 6/1/37		2,307,727		2,555
Federal Home Loan Mortgage Corp., 5.50%, 4/1/38		439,278		475

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

Select Bond Portfolio 107

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Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., Series K001, Class A2, 5.651%, 4/25/16	6,313,516		7,046
Federal Home Loan Mortgage Corp., Series 2840, Class LK, 6.00%, 11/15/17	134,760		136
Federal Home Loan Mortgage Corp., Series 2439, Class LH, 6.00%, 4/15/32	922,779		1,032
Federal Home Loan Mortgage Corp., 6.00%, 4/1/37	246,446		268
Federal Home Loan Mortgage Corp., 6.00%, 5/1/37	21,200		23
Federal Home Loan Mortgage Corp., 6.00%, 7/1/37	94,781		103
Federal Home Loan Mortgage Corp., 6.00%, 8/1/37	553,318		602
Federal Home Loan Mortgage Corp., 6.00%, 11/1/37	863,000		940
Federal Home Loan Mortgage Corp., 6.00%, 1/1/38	2,105,396		2,291
Federal Home Loan Mortgage Corp., 6.00%, 2/1/38	460,210		501
Federal Home Loan Mortgage Corp., 6.00%, 3/1/38	357,983		390
Federal Home Loan Mortgage Corp., 6.00%, 11/1/39	4,764,982		5,202
Federal Home Loan Mortgage Corp. TBA, 3.00%, 1/1/43	14,115,000		14,757
Federal Home Loan Mortgage Corp. TBA, 3.50%, 1/1/28	2,610,000		2,744
Federal National Mortgage Association, 2.50%, 7/1/27	4,480,472		4,689
Federal National Mortgage Association, 2.50%, 8/1/27	2,938,123		3,075
Federal National Mortgage Association, 3.00%, 10/1/26	121,400		128
Federal National Mortgage Association, 3.00%, 3/1/27	1,941,368		2,052
Federal National Mortgage Association, 3.00%, 4/1/27	1,253,800		1,325
Federal National Mortgage Association, 3.00%, 6/1/27	2,918,698		3,085

Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 3.00%, 11/1/42	2,170,151		2,276
Federal National Mortgage Association, 3.50%, 1/1/26	629,214		668
Federal National Mortgage Association, 3.50%, 4/1/26	2,029,163		2,154
Federal National Mortgage Association, 3.50%, 9/1/26	2,643,910		2,806
Federal National Mortgage Association, 3.50%, 11/1/41	1,162,846		1,241
Federal National Mortgage Association, 3.50%, 12/1/41	1,261,791		1,346
Federal National Mortgage Association, 3.50%, 2/1/42	6,495,218		6,930
Federal National Mortgage Association, 3.50%, 6/1/42	7,163,309		7,659
Federal National Mortgage Association, 3.50%, 10/1/42	19,413,233		20,756
Federal National Mortgage Association, 4.00%, 4/1/26	1,057,934		1,144
Federal National Mortgage Association, 4.00%, 5/1/26	1,603,686		1,718
Federal National Mortgage Association, 4.00%, 10/1/41	3,556,904		3,818
Federal National Mortgage Association, 4.00%, 1/1/42	1,773,244		1,903
Federal National Mortgage Association, 4.50%, 6/1/19	2,155,103		2,375
Federal National Mortgage Association, 4.50%, 8/1/19	239,835		259
Federal National Mortgage Association, 4.50%, 12/1/19	171,615		189
Federal National Mortgage Association, 4.50%, 7/1/20	526,429		575
Federal National Mortgage Association, 4.50%, 9/1/20	1,106,219		1,192
Federal National Mortgage Association, 4.50%, 9/1/24	1,366,966		1,471
Federal National Mortgage Association, 4.50%, 11/1/40	2,784,736		3,098
Federal National Mortgage Association, 4.50%, 1/1/41	2,193,859		2,402

Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 4.50%, 2/1/41	11,020,531		11,958
Federal National Mortgage Association, 4.50%, 3/1/41	386,682		421
Federal National Mortgage Association, 4.50%, 4/1/41	394,683		428
Federal National Mortgage Association, 4.50%, 5/1/41	17,259,018		18,736
Federal National Mortgage Association, 5.00%, 3/1/20	726,600		800
Federal National Mortgage Association, 5.00%, 5/1/20	2,041,748		2,231
Federal National Mortgage Association, 5.00%, 3/1/34	260,656		292
Federal National Mortgage Association, 5.00%, 4/1/35	931,667		1,055
Federal National Mortgage Association, 5.00%, 7/1/35	1,663,286		1,884
Federal National Mortgage Association, 5.00%, 10/1/35	1,233,784		1,397
Federal National Mortgage Association, 5.00%, 2/1/38	354,195		384
Federal National Mortgage Association, 5.00%, 4/1/38	824,347		893
Federal National Mortgage Association, 5.00%, 4/1/41	8,661,806		9,426
Federal National Mortgage Association, 5.32%, 4/1/14	1,249,379		1,290
Federal National Mortgage Association, Series 2006-M1, Class C, 5.355%, 2/25/16	2,945,092		3,037
Federal National Mortgage Association, 5.50%, 4/1/21	466,533		505
Federal National Mortgage Association, 5.50%, 9/1/34	368,962		408
Federal National Mortgage Association, 5.50%, 3/1/35	2,056,530		2,328
Federal National Mortgage Association, 5.50%, 7/1/35	479,583		530
Federal National Mortgage Association, 5.50%, 8/1/35	571,337		626

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

108 Select Bond Portfolio

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Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 5.50%, 9/1/35	6,952,617		7,692
Federal National Mortgage Association, 5.50%, 10/1/35	1,569,140		1,736
Federal National Mortgage Association, 5.50%, 11/1/35	5,733,253		6,342
Federal National Mortgage Association, 5.50%, 1/1/36	3,400,179		3,761
Federal National Mortgage Association, 5.50%, 2/1/37	2,058,781		2,277
Federal National Mortgage Association, 5.50%, 3/1/37	539,248		595
Federal National Mortgage Association, 5.50%, 5/1/37	835,418		924
Federal National Mortgage Association, 5.50%, 6/1/37	163,105		180
Federal National Mortgage Association, 5.50%, 2/1/38	3,269,471		3,614
Federal National Mortgage Association, 5.50%, 3/1/38	290,616		320
Federal National Mortgage Association, 5.50%, 4/1/38	4,420,111		4,877
Federal National Mortgage Association, 5.50%, 5/1/38	6,326,146		6,994
Federal National Mortgage Association, 5.50%, 6/1/38	1,981,430		2,188
Federal National Mortgage Association, 6.00%, 5/1/35	49,059		55
Federal National Mortgage Association, 6.00%, 6/1/35	15,618		17
Federal National Mortgage Association, 6.00%, 7/1/35	1,811,957		1,996
Federal National Mortgage Association, 6.00%, 10/1/35	488,332		538
Federal National Mortgage Association, 6.00%, 11/1/35	1,273,938		1,420
Federal National Mortgage Association, 6.00%, 6/1/36	1,379,453		1,537
Federal National Mortgage Association, 6.00%, 9/1/36	650,791		725
Federal National Mortgage Association, 6.00%, 1/1/37	4,854		5

Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 6.00%, 6/1/37	8,728		10
Federal National Mortgage Association, 6.00%, 10/1/37	3,923		4
Federal National Mortgage Association, 6.00%, 11/1/37	4,852,113		5,330
Federal National Mortgage Association, 6.00%, 6/1/38	2,074,221		2,266
Federal National Mortgage Association, 6.00%, 10/1/38	3,181,502		3,480
Federal National Mortgage Association, Series 2002-W4, Class A4, 6.25%, 5/25/42	2,760,507		3,132
Federal National Mortgage Association, 6.50%, 10/1/36	481,512		541
Federal National Mortgage Association, 6.50%, 7/1/37	4,922,724		5,523
Federal National Mortgage Association, 6.50%, 9/1/37	2,149,765		2,407
Federal National Mortgage Association, 6.75%, 4/25/18	169,553		178
Federal National Mortgage Association TBA, 2.50%, 1/1/28	6,650,000		6,953
Federal National Mortgage Association TBA, 3.50%, 1/1/43	285,000		304
Ford Credit Auto Owner Trust, Series 2012-A, Class A4, 1.15%, 6/15/17	3,090,000		3,134
Ford Credit Auto Owner Trust, Series 2009-E, Class D, 5.53%, 5/15/16 144A	7,217,732		7,561
Ford Credit Auto Owner Trust, Series 2009-D, Class D, 8.14%, 2/15/16 144A	5,500,000		5,827
GE Capital Credit Card Master Note Trust, Series 2012-1, Class B, 1.62%, 1/15/18	7,000,000		7,066
Golden Credit Card Trust, Series 2012-2A, Class A1, 1.77%, 1/15/19 144A	6,205,000		6,390
Goldman Sachs Mortgage Securities Corp. II, Series 2009-RR, Class CSA, 5.286%, 12/17/39 144A	600,000		681

Structured Products (36.9%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Goldman Sachs Mortgage Securities Corp. II, Series 2009-RR1, Class GGA, 5.842%, 7/12/38 144A	600,000		690
Government National Mortgage Association, 5.50%, 10/15/31	14,202		16
Government National Mortgage Association, 5.50%, 11/15/31	6,124		7
Government National Mortgage Association, 5.50%, 12/15/31	68,569		76
Government National Mortgage Association, 5.50%, 1/15/32	172,456		191
Government National Mortgage Association, 5.50%, 2/15/32	52,829		59
Government National Mortgage Association, 5.50%, 3/15/32	70,999		78
Government National Mortgage Association, 5.50%, 7/15/32	6,437		7
Government National Mortgage Association, 5.50%, 9/15/32	1,121,007		1,239
Honda Auto Receivables Owner Trust, Series 2012-2, Class A4, 0.91%, 5/15/18	670,000		675
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-C1, Class ASB, 5.857%, 2/15/51	4,451,141		4,906
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4, 5.871%, 4/15/45	3,400,000		3,913
Louisiana Public Facilities Authority, Series 2008, Class A3, 6.55%, 8/1/20	2,400,000		2,958
MASTR Asset Securitization Trust, Series 2004-9, Class 6A1, 5.00%, 9/25/19	304,718		315
MASTR Asset Securitization Trust, Series 2003-10, Class 1A1, 5.25%, 11/25/23	467,864		489
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1, 5.25%, 12/25/24	271,790		286
Merrill Lynch Alternative Note Asset Trust, Series 2007-A1, Class A2A, 0.28%, 1/25/37	1,413,583		542
Mid-State Trust, Series 6, Class A3, 7.54%, 7/1/35	247,244		251

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

Select Bond Portfolio 109

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	Structured Products (36.9%)	Shares/ $ Par		Value $ (000’s)
	Structured Products continued
	Oncor Electric Delivery Transition Bond Co., Series 2004-1, Class A3, 5.29%, 5/15/18		3,569,515		3,898
	Residential Funding Mortgage Securities I, Series 2003-S18, Class A1, 4.50%, 10/25/18		156,901		161
	Sequoia Mortgage Trust, Series 2011-2, Class A1, 3.90%, 9/25/41		2,809,139		2,879
	UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4, 3.091%, 8/10/49		4,725,000		4,937
	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM, 5.466%, 1/15/45		3,330,000		3,675
	Washington Mutual Alternative Mortgage Pass-Through Certficates, Series 2006-6, Class 4A, 6.873%, 11/25/34		517,643		517
	Wells Fargo Mortgage Backed Securities Trust, Series 2004-EE, Class 2A2, 2.625%, 12/25/34		907,495		934
	Wells Fargo Mortgage Backed Securities Trust, Series 2003-12, Class A1, 4.75%, 11/25/18		52,009		54
	Wells Fargo Mortgage Backed Securities Trust, Series 2005-1, Class 2A1, 5.00%, 1/25/20		259,194		273
	Total Structured Products
	(Cost: $596,578)				622,936
	Short-Term Investments (7.4%)
	Autos (0.8%)
(b)	American Honda Finance Corp., 0.331%, 12/5/13 144A		5,000,000		4,999
(b)	Toyota Motor Credit Corp., 0.20%, 1/2/13		10,000,000		10,000
	Total				14,999
	Commercial Banks Non-US (0.3%)
(b)	Bank of Nova Scotia/Houston, 0.745%, 10/18/13		5,000,000		5,017
	Total				5,017
	Commercial Banks US (0.7%)
(b)	Bank of America NA, 0.20%, 1/3/13		11,000,000		11,000
	Total				11,000

	Short-Term Investments (7.4%)	Shares/ $ Par	Value $ (000’s)
	Consumer Products/Retailing (0.6%)
(b)	Wal-Mart Stores, Inc., 0.10%, 1/30/13	10,000,000	9,999
	Total		9,999
	Electronics (0.4%)
(b)	International Business Machines Corp., 0.05%, 1/2/13	7,400,000	7,400
	Total		7,400
	Federal Government & Agencies (0.3%)
(b)	Federal Home Loan Mortgage Corp., 0.135%, 2/25/13	5,000,000	4,999
	Total		4,999
	Finance Services (1.5%)
(b)	Alpine Securitization Corp., 0.17%, 1/22/13	10,000,000	9,999
(b)	Alpine Securitization Corp., 0.18%, 1/2/13	5,000,000	5,000
(b)	Govco LLC, 0.23%, 1/22/13	5,000,000	4,999
(b)	Govco LLC, 0.27%, 1/31/13	5,000,000	4,999
	Total		24,997
	Miscellaneous Business Credit Institutions (0.6%)
(b)	General Electric Capital Corp., 1.016%, 4/24/14	10,000,000	10,073
	Total		10,073
	Personal Credit Institutions (0.6%)
(b)	Old Line Funding LLC, 0.05%, 1/3/13	5,000,000	5,000
(b)	Straight-A Funding LLC, 0.16%, 1/7/13	5,000,000	5,000
	Total		10,000
	Restaurants (1.0%)
(b)	Darden Restaurants, Inc., 0.28%, 1/2/13	16,700,000	16,700
	Total		16,700
	Retail Food and Drug (0.6%)
(b)	CVS Caremark Corp., 0.27%, 1/2/13	10,000,000	10,000
	Total		10,000
	Total Short-Term Investments
	(Cost: $125,112)		125,184
	Total Investments (105.1%)
	(Cost: $1,712,081)(a)		1,772,016
	Other Assets, Less Liabilities (-5.1%)		(86,723)
	Net Assets (100.0%)		1,685,293

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

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144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $92,501 representing 5.5% of the net assets.

IO — Interest Only Security

GO — General Obligation

RB — Revenue Bond

FHA — Federal Housing Authority

GNMA — Government National Mortgage Association

PSF — Permanent School Fund

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $1,713,160 and the net unrealized appreciation of investments based on that cost was $58,856 which is comprised of $64,387 aggregate gross unrealized appreciation and $5,531 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
US Five Year Treasury Note Futures (Long) (Total Notional Value at December 31, 2012, $27,373)	220	3/13	$	(3)
US Long Treasury Bond Futures (Short) (Total Notional Value at December 31, 2012, $48,548)	325	3/13		610
US Two Year Treasury Note Futures (Long) (Total Notional Value at December 31, 2012, $13,450)	61	3/13		(2)
US Ultra Long Treasury Bond Futures (Long) (Total Notional Value at December 31, 2012, $3,813)	23	3/13		(74)

(d) Defaulted Security

(f) Foreign Bond — par value is foreign denominated

— Federative Republic — Brazilian Real

— Morgan Stanley — Brazilian Real

(g) All or portion of the securities have been loaned. See Note 4G in the Notes to Financial Statements.

(n) Security valued in good faith by the Board of Directors.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Government & US Agency Bonds	$	-		$	604,669	$	-
Foreign Bonds		-			5,126		-
Municipal Bonds		-			29,932		-
Corporate Bonds		-			384,169		-
Structured Products		-			616,469		6,467
Short-Term Investments		-			125,184		-
Other Financial Instruments^
Futures		610			-		-
Liabilities:
Other Financial Instruments^
Futures		(79	)		-		-
Total	$	531		$	1,765,549	$	6,467

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

Select Bond Portfolio 111

Long-Term U.S. Government Bond Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Maximum total return, consistent with preservation of capital and prudent investment management.	Invest primarily 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.	$113 million

Portfolio Overview

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 seeks to achieve its investment objective by investing 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 swap agreements. Assets not invested in U.S. Government Securities may be invested in other types of non-government related 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 may, without limitation, seek to obtain market exposure to the securities in which it primarily invests by entering into a series of purchase and sale contracts or by using other investment techniques (such as buy backs or dollar rolls).

Market Overview

2012 was a year defined globally by a dynamic, polarized political process. The year began with a focus on Europe, as the seemingly inevitable Greek tragedy fueled speculation of when, not if, the European Union (EU) would see its membership shrink. In late July, a few determined statements from the European Central Bank (ECB) President Mario Draghi—later reinforced in early September by the ECB Governing Council—stabilized markets and postponed any sovereign exits from the EU. The markets spent the remainder of the year weighing the efficacy of a “do whatever it takes to safeguard monetary union” policy stance versus the Greek austerity commitment and Spanish financial system stability.

The eurozone had to compete with the United States for headlines, as the U.S. political climate often relegated geopolitical instability and uprising to second page news. Markets confronted an evolving monetary policy that produced multiple extensions of rate guidance (now mid-2015), a third quantitative easing (QE3) mortgage purchase program and additional, targeted Treasury purchases with the expiry of “Operation Twist”, the explicit use of unemployment and inflation quantitative thresholds and a growing NY Federal Reserve balance sheet and System Open Market Account which currently stands at $2.65 trillion.

While the President’s reelection likely cemented the fate of the Affordable Care Act and Dodd-Frank reforms, market participants quickly turned their attention to the uncertainty surrounding the impending fiscal cliff. Both political parties recognized that averting the cliff was essential to avoiding a recession in 2013, but negotiations were strained for much of the quarter with Democrats seeking increased tax revenue from the wealthiest Americans and Republicans asking for spending cuts on entitlement programs. Ultimately, hopes of a grand bargain abated and gave way to a short-term deal, thus opening the door to further fiscal negotiations, most notably on a debt ceiling increase and spending cuts (the “sequester”), in 2013.

Portfolio Results

The Portfolio returned 3.75% for the twelve months ended December 31, 2012. By comparison, the Portfolio’s benchmark, the Barclays^® Long-Term U.S. Treasury Index (the “Index”) returned 3.56%. (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio outperformed the 2.94% average return of the Long Government peer group according to Morningstar^®, Inc., an independent mutual fund ranking agency.

Relative to the Index, the Portfolio’s duration underweight to the long end of the curve detracted from performance, as yields fell across most of the curve; although exposure obtained via Treasury futures slightly offset this negative impact. Tactical exposure to Agency mortgages, however, added to returns. Additionally, an allocation to municipal bonds contributed to performance. A focus on the corporate sector also added to relative performance.

Portfolio Manager Outlook

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

We expect the global economy to grow at a real rate of 1.5 to 2.0% in 2013, representing a slowdown from the 2.2% pace of growth seen over the past twelve months. Real growth, we believe, will be moderated by efforts to resolve debt overhangs through fiscal restraint as evidenced by the slowing in corporate profits, capital expenditures and global trade.

Simultaneously, inflation will likely decrease in the near term. We expect households will continue to delever their balance sheets while the corporate sector remains reluctant to engage its own. Nominal growth could, however, be bolstered by the continued resolve of central banks. The balance of these forces will determine if GDP growth has slowed to stall speed or if a coordinated global slowdown can be averted.

112 Long-Term U.S. Government Bond Portfolio

Long-Term U.S. Government Bond Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year			5 Years			Since Inception*
Long-Term U.S. Government Bond Portfolio		3.75	%		10.69	%		10.78	%
Barclays® Long-Term U.S. Treasury Index		3.56	%		9.71	%		9.95	%
Morningstar® US Insurance Fund Long Government Average		2.94	%		8.61	%		-

* Inception date of 4/30/07

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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 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 is to timely repayment of the principal and interest if held to maturity, and does not apply to derivative securities held by the Portfolio. Guarantee does not eliminate market risk. The Portfolio may use derivative instruments for hedging or other purposes as part of its investment strategy. 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 that the Portfolio could not close out a position when it would be most advantageous to do so. The potential leverage created by use of derivatives may cause the Portfolio to be more sensitive to interest rate movements and thus more volatile than other long-term U.S. Government bond funds that do not use derivatives. Portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Long-Term U.S. Government Bond Portfolio 113

Long-Term U.S. Government Bond Portfolio

Top 10 Fixed Income Holdings 12/31/12

Security Description	% of Market Value
US Treasury, Various	82.4%
Residual Funding Stripped, Various	4.5%
Federal National Mortgage Association, Various	4.4%
Financing Corp., Various	2.3%
Israel Government AID Bond, Various	2.3%
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3.00%, 8/15/32	2.0%
Tennessee Valley Authority, Various	1.9%
Federal Home Loan Mortgage Corp., Series 2752, Class EZ, 5.50%, 2/15/34	0.8%
Vessel Management Services, Inc., 3.432%, 8/15/36	0.6%
Iowa State Special Obligation Build America Bonds, 6.75%, 6/1/34	0.4%

Sector Allocation 12/31/12

Sector Allocation is based on fixed income investments.

Sector Allocation and Top 10 Holdings are subject to change.

The Government and Structured Product categories include domestic taxable bonds.

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.

114 Long-Term U.S. Government Bond Portfolio

Long-Term U.S. Government Bond Portfolio

Schedule of Investments

December 31, 2012

Corporate Bonds (0.6%)	Shares/ $ Par		Value $ (000’s)
Transportation (0.6%)
Vessel Management Services, Inc., 3.432%, 8/15/36		672,000		701
Total Corporate Bonds
(Cost: $672)				701
Governments (97.0%)
Governments (97.0%)
Federal National Mortgage Association, 2.25%, 3/15/16		700,000		739
Federal National Mortgage Association, 5.625%, 7/15/37		300,000		432
Federal National Mortgage Association, 5.625%, 4/17/28		100,000		135
Federal National Mortgage Association, 6.625%, 11/15/30		1,100,000		1,675
Federal National Mortgage Association, 7.125%, 1/15/30		700,000		1,100
Financing Corp., 8.60%, 9/26/19		700,000		1,008
Financing Corp. Stripped, 0.00%, 12/27/18		500,000		455
Financing Corp. Stripped, 0.00%, 9/26/19		1,300,000		1,168
Israel Government AID Bond, 0.00%, 5/15/21		200,000		169
Israel Government AID Bond, 0.00%, 2/15/23		100,000		78
Israel Government AID Bond, 0.00%, 5/15/23		500,000		387
Israel Government AID Bond, 5.50%, 9/18/33		300,000		404
Israel Government AID Bond, 5.50%, 9/18/23		800,000		1,055
Israel Government AID Bond, 5.50%, 12/4/23		300,000		397
Israel Government AID Bond, 5.50%, 4/26/24		100,000		132
Residual Funding Corp. Stripped, 0.00%, 4/15/30		4,100,000		2,454
Residual Funding Corp. Stripped, 0.00%, 10/15/20		2,000,000		1,751
Resolution Funding Corp. Stripped, 0.00%, 1/15/20		700,000		629

Governments (97.0%)	Shares/ $ Par		Value $ (000’s)
Governments continued
Resolution Funding Corp. Stripped, 0.00%, 4/15/28		400,000		255
Tennessee Valley Authority, 4.625%, 9/15/60		300,000		359
Tennessee Valley Authority, 5.375%, 4/1/56		1,100,000		1,498
Tennessee Valley Authority Stripped, 0.00%, 5/1/20		500,000		273
US Treasury, 0.375%, 7/31/13		1,105,000		1,107
US Treasury, 2.00%, 11/15/21		3,800,000		3,944
US Treasury, 3.125%, 11/15/41		8,300,000		8,688
US Treasury, 3.50%, 2/15/39		3,100,000		3,504
US Treasury, 3.75%, 8/15/41		500,000		588
US Treasury, 4.25%, 11/15/40		15,750,000		20,111
US Treasury, 4.375%, 11/15/39		5,600,000		7,285
US Treasury, 4.375%, 5/15/41		5,600,000		7,296
US Treasury, 4.50%, 5/15/38		100,000		132
US Treasury, 4.50%, 8/15/39		2,505,000		3,320
US Treasury, 5.375%, 2/15/31		1,800,000		2,569
US Treasury, 5.50%, 8/15/28		100,000		141
US Treasury, 6.00%, 2/15/26		1,100,000		1,592
US Treasury, 6.25%, 5/15/30		13,900,000		21,493
US Treasury, 6.25%, 8/15/23		100,000		143
US Treasury, 6.75%, 8/15/26		100,000		154
US Treasury, 7.125%, 2/15/23		1,100,000		1,659
US Treasury, 8.75%, 8/15/20		600,000		929
US Treasury Stripped, 0.00%, 5/15/33		1,000,000		555
US Treasury Stripped, 0.00%, 5/15/37		1,700,000		815
US Treasury Stripped, 0.00%, 5/15/40		11,400,000		4,942
US Treasury Stripped, 0.00%, 8/15/40		2,100,000		901
US Treasury Stripped, 0.00%, 2/15/41		2,300,000		969

Governments (97.0%)	Shares/ $ Par		Value $ (000’s)
Governments continued
US Treasury Stripped, 0.00%, 5/15/42		800,000		318
Total Governments
(Cost: $104,804)				109,708
Municipal Bonds (0.9%)
Municipal Bonds (0.9%)
Iowa State Special Obligation Build America Bonds, Series 2009-B, 6.75%, 6/1/34 RB		400,000		478
New York City Municipal Water Finance Authority, Series GG, 5.00%, 6/15/43 RB		300,000		337
Poway Unified Public School District, Series 2007, 4.50%, 9/15/37 RB, AMBAC		200,000		200
Total Municipal Bonds
(Cost: $881)				1,015
Structured Products (6.0%)
Structured Products (6.0%)
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3, 2.559%, 7/25/33		4,375		4
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 2.687%, 8/25/33		5,235		5
Federal Home Loan Mortgage Corp., Series 3346, Class FA, 0.439%, 2/15/19		36,203		36
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3.00%, 8/15/32		2,200,000		2,241
Federal Home Loan Mortgage Corp., Series 3203, Class ZW, 5.00%, 11/15/35		409,785		467

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

Long-Term U.S. Government Bond Portfolio 115

Long-Term U.S. Government Bond Portfolio

Structured Products (6.0%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., Series 2752, Class EZ, 5.50%, 2/15/34		811,863		922
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T61, Class 1A1, 1.535%, 7/25/44		26,832		27
Federal National Mortgage Association, Series 2007-114, Class A6, 0.41%, 10/27/37		100,000		100
Federal National Mortgage Association, Series 2007-39, Class NZ, 4.25%, 5/25/37		254,354		281
Federal National Mortgage Association, 5.00%, 6/1/35		319,320		349
Federal National Mortgage Association, 5.00%, 2/1/36		547,046		595
General Motors Acceptance Corp. Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A, 3.632%, 6/25/34		15,987		16
Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 1.265%, 4/25/38		211,455		212
Merrill Lynch Floating Trust, Series 2008-LAQA, Class A1, 0.751%, 7/9/21 144A		321,787		320
Merrill Lynch Mortgage Investors, Inc., Series 2003-A3, Class 1A, 2.545%, 5/25/33		12,858		13
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class 3A, 3.195%, 5/25/33		4,218		4
MLCC Mortgage Investors, Inc., Series 2005-3, Class 4A, 0.46%, 11/25/35		31,314		29
SLM Student Loan Trust, Series 2007-2, Class A2, 0.315%, 7/25/17		219,926		220
SLM Student Loan Trust, Series 2008-7, Class A2, 0.815%, 10/25/17		132,514		133

	Structured Products (6.0%)	Shares/ $ Par		Value $ (000’s)
	Structured Products continued
	SLM Student Loan Trust, Series 2003-7A, Class A5A, 1.508%, 12/15/33 144A		232,999		230
	SLM Student Loan Trust, Series 2008-9, Class A, 1.815%, 4/25/23		383,260		399
	South Carolina Student Loan Corp., Series 2008-1, Class A2, 0.861%, 3/1/18		165,287		166
	Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, 0.87%, 10/19/34		11,857		12
	Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR1, Class A, 2.569%, 3/25/34		39,348		40
	Total Structured Products
	(Cost: $6,393)				6,821
	Short-Term Investments (59.7%)
	Federal Government & Agencies (16.8%)
	Federal Home Loan Bank, 0.03%, 1/14/13		10,000,000		10,000
	Federal Home Loan Bank, 0.16%, 2/19/13		100,000		100
	Federal National Mortgage Association, 0.155%, 3/6/13		900,000		900
	US Treasury Bill, 0.004%, 7/25/13		95,000		95
(b)	US Treasury Bill, 0.142%, 12/12/13		6,000,000		5,992
	US Treasury Bill, 0.18%, 11/14/13		500,000		499
	US Treasury Bill, 0.19%, 8/22/13		1,400,000		1,399
	Total				18,985
	Other Holdings (0.1%)
	JPMorgan Money Market Fund		113,289		113
	Total				113

Short-Term Investments (59.7%)	Shares/ $ Par		Value $ (000’s)
Repurchase Agreements (42.8%)
US Treasury Inflation Repurchase, 0.23%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Inflation Index Bond, 3.875%, 4/15/29, valued at $202,909, repurchase proceeds of $200,000)		200,000		200
US Treasury Repurchase, 0.22%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 2.125%, 12/31/15, valued at $12,791,713, repurchase proceeds of $12,500,000)		12,500,000		12,500
US Treasury Repurchase, 0.23%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 0.125%, 12/31/14, valued at $204,488, repurchase proceeds of $200,000)		200,000		200
US Treasury Repurchase, 0.23%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 0.125%, 12/31/14, valued at $510,720, repurchase proceeds of $500,000)		500,000		500
US Treasury Repurchase, 0.23%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 0.875%, 4/30/17, valued at $17,971,389, repurchase proceeds of $17,600,000)		17,600,000		17,600
US Treasury Repurchase, 0.23%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 1.50%, 7/31/16, valued at $16,430,529, repurchase proceeds of $16,200,000)		16,200,000		16,200

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

116 Long-Term U.S. Government Bond Portfolio

Long-Term U.S. Government Bond Portfolio

Short-Term Investments (59.7%)	Shares/ $ Par		Value $ (000’s)
Repurchase Agreements continued
US Treasury Repurchase, 0.23%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 2.125%, 12/31/15, valued at $205,215, repurchase proceeds of $200,000)		200,000		200
US Treasury Repurchase, 0.23%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 3.375%, 7/31/13, valued at $201,691, repurchase proceeds of $200,000)		200,000		200
US Treasury Repurchase, 0.24%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 2.50%, 3/31/15, valued at $202,822, repurchase proceeds of $200,000)		200,000		200
US Treasury Repurchase, 0.25%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 0.25%, 1/15/15, valued at $203,952, repurchase proceeds of $200,000)		200,000		200
US Treasury Repurchase, 0.25%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 1.00%, 9/30/16, valued at $203,585, repurchase proceeds of $200,000)		200,000		200

Short-Term Investments (59.7%)	Shares/ $ Par		Value $ (000’s)
Repurchase Agreements continued
US Treasury Repurchase, 0.25%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 1.50%, 6/30/16, valued at $204,218, repurchase proceeds of $200,000)		200,000		200
Total				48,400
Total Short-Term Investments
(Cost: $67,497)				67,498
Total Investments (164.2%)
(Cost: $180,247)(a)				185,743
Other Assets, Less
Liabilities (-64.2%)				(72,607	)
Net Assets (100.0%)				113,136

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

Long-Term U.S. Government Bond Portfolio 117

Long-Term U.S. Government Bond Portfolio

144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $550 representing 0.5% of the net assets.

RB — Revenue Bond

AMBAC — American Municipal Bond Assurance Corp.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $184,996 and the net unrealized appreciation of investments based on that cost was $747 which is comprised of $9,918 aggregate gross unrealized appreciation and $9,171 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
US Long Treasury Bond Futures (Long) (Total Notional Value at December 31, 2012, $897)	6	3/13	$	(12	)

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Government & US Agency Bonds	$	-		$	109,708	$	-
Municipal Bonds		-			1,015		-
Corporate Bonds		-			701		-
Structured Products		-			6,821		-
Short-Term Investments		113			67,385		-
Liabilities:
Other Financial Instruments^
Futures		(12	)		-		-
Total	$	101		$	185,630	$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

118 Long-Term U.S. Government Bond Portfolio

Inflation Protection Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Total return using a strategy that seeks to	Invest substantially all assets in investment grade debt	$254 million
protect against U.S. inflation.	securities, with a majority in inflation-linked debt securities.

Portfolio Overview

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-linked debt securities. These securities include inflation-linked U.S. Treasury Securities, inflation-linked securities issued by U.S. government agencies and instrumentalities other than the U.S. Treasury, and inflation-linked securities issued by other entities such as domestic and foreign corporations and governments. The Portfolio also may invest in fixed income securities that are not linked to inflation, including mortgage-and asset-backed securities. The Portfolio invests in investment grade securities, but may also invest in high yield securities (so called “junk bonds”) up to a limit of 10% of Portfolio assets. Due to Internal Revenue Code provisions governing insurance product funds, no more than 55% of the Portfolio’s assets may be invested in securities issued by the same entity, such as the U.S. Treasury.

Market Overview

Despite persistent concerns about weakening global economies and Europe’s ongoing financial crisis, investors largely focused on central bank stimulus measures, which fueled much of the period’s market optimism—and long-term inflation expectations.

The year began on an upbeat note, as select economic data improved and ongoing efforts from the European Central Bank (ECB) helped calm the latest round of default fears in the eurozone. But, a barrage of disappointing U.S. economic data released in the second calendar quarter of 2012, combined with ongoing problems in Europe, stifled the prevailing investor optimism, reigniting recession fears and triggering a short-term market selloff.

In this environment, investors presumed the ECB and the U.S. Federal Reserve (the Fed) would step in with additional stimulus measures. This anticipation—and the eventual announcements of the programs in September 2012—sparked a rally among riskier assets late in the period. Also, the Fed announced it would maintain its current ultra-low interest rate policy until unemployment dips to 6.5% or the one- to two-year inflation outlook exceeds 2.5%. These announcements further fueled longer-term inflation fears. Meanwhile, current inflation, as measured by the Consumer Price Index (CPI), eased during the year, primarily due to declines in the index’s energy component and used cars and trucks.

Returns on Treasury securities remained positive for the year, as yields generally declined. Treasury inflation-protected securities (TIPS) outperformed their nominal Treasury counterparts, as the inflationary implications of the Fed’s bond-buying and near-zero interest rate policy triggered demand for TIPS.

Portfolio Results

The Portfolio returned 7.35% for the twelve months ended December 31, 2012. The Portfolio’s benchmark, the Barclays^® US Treasury Inflation Protected Securities Index (the “Index”), returned 6.98% for the year. (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The average return of the Inflation-Protected Bond peer group was 7.37%, according to Morningstar ^® Inc., an independent mutual fund rating agency.

The Portfolio’s performance benefited from the generally favorable climate for TIPS, stemming largely from growing long-term inflation expectations associated with the Fed’s ongoing stimulus efforts. The Portfolio’s outperformance relative to the Index was due to strong performance from some of the Portfolio’s non-Index securities (held in the Portfolio, but not present in the Index).

The Portfolio was as fully invested in TIPS as allowed by IRS portfolio diversification regulations for insurance products (55% of the Portfolio). The remainder of the Portfolio included non-dollar inflation-linked bonds, investment-grade corporate, mortgage and agency securities, and, earlier in the year, a small allocation to high-yield bonds. Although all of these sectors generated positive results for the year, the corporate and higher-yielding mortgage securities held in the Portfolio outperformed TIPS and helped account for the Portfolio’s better results relative to the all-TIPS Index.

In an effort to maintain maximum portfolio inflation protection and provide TIPS-like performance without investing further in TIPS, the Portfolio held inflation “swaps” to create an inflation-linked “overlay” for the non-inflation-linked securities. Inflation swaps are fixed-maturity instruments, negotiated through a counterparty (investment bank), that return the rate of inflation (CPI). The Portfolio’s swaps outperformed and drove the Portfolio’s better relative results for the year, primarily because we used corporate securities as the counterparts to the swap agreements, and corporates generally outperformed TIPS.

Inflation Protection Portfolio 119

Inflation Protection Portfolio

Portfolio Manager Outlook

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

We expect inflation to remain relatively contained in the near term. Longer term, though, record federal debt and the Fed’s aggressive monetary policy eventually may result in higher inflation than what is currently priced into the Treasury market. We believe this scenario underscores the importance of securing potential inflation hedges and protecting purchasing power with TIPS.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		Since Inception*
Inflation Protection Portfolio		7.35%		6.59%		7.03%
Barclays® U.S. Treasury Inflation Protected Securities (TIPS) Index		6.98%		7.04%		7.65%
Lipper® Variable Insurance Products (VIP) Inflation Protected Bonds Funds Average		7.37%		6.84%		-

* Inception date of 4/30/07

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
www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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.

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.

This Portfolio invests over 50% of its assets in
inflation-linked bonds. Inflation-linked bonds issued by
the U.S. Government, known as TIPs, are fixed income
securities whose principal value is periodically
adjusted according to the rate of inflation. Neither the
current market value of the inflation-linked bonds nor
the share value of the fund that invests in them is
guaranteed, and either or both may fluctuate. Those
portions of the Portfolio which are not invested in
inflation linked securities will not be automatically
protected from inflation. The Portfolio may use
derivative instruments for hedging or other purposes
as part of its investment strategy. Use of these
instruments may involve certain costs and risks such
as liquidity risk, interest rate risk, counterparty risk,
market risk, credit risk, management risk and the risk
that the Portfolio could not close out a position when
it would be most advantageous to do so. Portfolios
investing in derivatives could lose more than the
principal amount invested in those instruments.

As a non-diversified portfolio, the Portfolio may invest
a greater percentage of its assets in a single security
or a small number of securities. Holding fewer
securities increases the risk that the value of the
Portfolio could go down because of the poor
performance of a single investment.

120 Inflation Protection Portfolio

Inflation Protection Portfolio

Top 10 Fixed Income Holdings 12/31/12

Security Description	% of Net Assets
US Treasury Inflation Index Bond, Various		53.1%
Federal Home Loan Mortgage Corp., Various		7.8%
United Kingdom Gilt Inflation Linked, Various		6.8%
France Government Bond OAT, Various		4.6%
Federal National Mortgage Association, Various		4.0%
Deutsche Bundesrepublik Inflation Linked Bond, Various		1.4%
Canadian Government Bond, Various		0.9%
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond, 0.75%, 4/15/18		0.4%
Comcast Corp., Various		0.4%
General Electric Capital Corp., Various		0.4%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

The Corporate Bonds sector includes bonds of companies and governments headquartered outside the United States.

The Government and Structured Product categories include domestic taxable bonds.

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.

Inflation Protection Portfolio 121

Inflation Protection Portfolio

Schedule of Investments

December 31, 2012

Corporate Bonds (10.8%)	Shares/ $ Par		Value $ (000’s)
Aerospace/Defense (0.6%)
Boeing Capital Corp., 2.125%, 8/15/16		130,000		135
L-3 Communications Corp., 5.20%, 10/15/19		50,000		57
Lockheed Martin Corp., 2.125%, 9/15/16		100,000		104
Lockheed Martin Corp., 4.25%, 11/15/19		385,000		434
Raytheon Co., 2.50%, 12/15/22		300,000		296
Raytheon Co., 3.125%, 10/15/20		110,000		117
Thermo Fisher Scientific, Inc., 3.20%, 3/1/16		300,000		319
Total				1,462
Auto Manufacturing (0.2%)
Ford Motor Credit Co. LLC, 5.00%, 5/15/18		100,000		110
Ford Motor Credit Co. LLC, 7.00%, 10/1/13		100,000		105
Toyota Motor Credit Corp., 3.30%, 1/12/22		300,000		324
Total				539
Banking (1.3%)
Bank of America Corp., 5.75%, 12/1/17		350,000		408
The Bear Stearns Cos. LLC, 4.11%, 1/10/14		70,000		70
Capital One Financial Corp., 3.15%, 7/15/16		100,000		106
Citigroup, Inc., 4.587%, 12/15/15		500,000		546
Citigroup, Inc., 6.01%, 1/15/15		140,000		153
The Goldman Sachs Group, Inc., 5.75%, 1/24/22		230,000		272
The Goldman Sachs Group, Inc., 6.15%, 4/1/18		200,000		235
The International Bank for Reconstruction & Development, 7.625%, 1/19/23		500,000		749
JPMorgan Chase & Co., 4.50%, 1/24/22		500,000		565
PNC Bank, N.A., 6.00%, 12/7/17		200,000		241
Total				3,345
Basic Materials (0.3%)
BHP Billiton Finance USA, Ltd., 3.25%, 11/21/21		180,000		194

Corporate Bonds (10.8%)	Shares/ $ Par		Value $ (000’s)
Basic Materials continued
CF Industries, Inc., 6.875%, 5/1/18		180,000		220
Ecolab, Inc., 4.35%, 12/8/21		160,000		179
Rio Tinto Finance USA, Ltd., 3.75%, 9/20/21		280,000		299
Total				892
Beverage/Bottling (0.6%)
Anheuser-Busch InBev Worldwide, Inc., 5.375%, 1/15/20		400,000		487
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19		120,000		160
Brown-Forman Corp., 3.75%, 1/15/43		100,000		100
The Coca-Cola Co., 3.625%, 3/15/14		100,000		104
Coca-Cola Refreshments USA, Inc., 4.25%, 3/1/15		100,000		107
Dr. Pepper Snapple Group, Inc., 2.90%, 1/15/16		320,000		337
SABMiller Holdings, Inc., 2.45%, 1/15/17 144A		200,000		209
Total				1,504
Cable/Media/Broadcasting/Satellite (1.0%)
Comcast Corp., 5.90%, 3/15/16		120,000		138
Comcast Corp., 6.50%, 11/15/35		200,000		257
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.55%, 3/15/15		400,000		421
NBCUniversal Media LLC, 4.375%, 4/1/21		340,000		382
NBCUniversal Media LLC, 5.15%, 4/30/20		240,000		284
News America, Inc., 6.90%, 8/15/39		110,000		144
Time Warner Cable, Inc., 6.75%, 7/1/18		360,000		450
Time Warner, Inc., 4.875%, 3/15/20		110,000		128
Viacom, Inc., 4.50%, 3/1/21		250,000		281
Total				2,485
Conglomerate/Diversified Manufacturing (0.4%)
The Dow Chemical Co., 2.50%, 2/15/16		130,000		135

Corporate Bonds (10.8%)	Shares/ $ Par		Value $ (000’s)
Conglomerate/Diversified Manufacturing continued
The Dow Chemical Co., 5.90%, 2/15/15		50,000		55
Eastman Chemical Co., 2.40%, 6/1/17		300,000		310
General Electric Co., 5.25%, 12/6/17		60,000		71
United Technologies Corp., 4.50%, 6/1/42		50,000		56
United Technologies Corp., 4.875%, 5/1/15		300,000		329
Total				956
Electric Utilities (0.4%)
Constellation Energy Group, Inc., 5.15%, 12/1/20		260,000		297
Dominion Resources, Inc., 6.40%, 6/15/18		170,000		211
Duke Energy Corp., 3.55%, 9/15/21		150,000		158
Duke Energy Ohio, Inc., 2.10%, 6/15/13		70,000		70
FirstEnergy Solutions Corp., 6.05%, 8/15/21		40,000		46
Pacific Gas & Electric Co., 5.80%, 3/1/37		29,000		36
Sempra Energy, 2.00%, 3/15/14		120,000		122
Sempra Energy, 6.50%, 6/1/16		50,000		59
Total				999
Electronics (0.3%)
Arrow Electronics, Inc., 3.375%, 11/1/15		155,000		161
Cisco Systems, Inc., 5.90%, 2/15/39		65,000		84
International Business Machines Corp., 1.95%, 7/22/16		150,000		156
International Business Machines Corp., 2.00%, 1/5/16		350,000		362
Total				763
Food Processors (0.3%)
General Mills, Inc., 3.15%, 12/15/21		300,000		313
H.J. Heinz Co., 2.00%, 9/12/16		90,000		93
Kraft Foods Group, Inc., 5.375%, 2/12/20 144A		130,000		156
Kraft Foods, Inc., 5.375%, 2/10/20		120,000		145

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

122 Inflation Protection Portfolio

Inflation Protection Portfolio

Corporate Bonds (10.8%)	Shares/ $ Par		Value $ (000’s)
Food Processors continued
Mondelez International, Inc., 6.125%, 2/1/18		120,000		146
Total				853
Gaming/Leisure/Lodging (0.1%)
The Walt Disney Co., 2.35%, 12/1/22		300,000		303
Total				303
Gas Pipelines (0.3%)
Enterprise Products Operating LLC, 3.70%, 6/1/15		80,000		85
Kinder Morgan Energy Partners LP, 5.30%, 9/15/20		150,000		175
Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 6/1/22		200,000		212
Williams Partners LP, 3.80%, 2/15/15		150,000		158
Williams Partners LP, 4.125%, 11/15/20		80,000		87
Total				717
Health Care/Pharmaceuticals (0.7%)
AbbVie, Inc., 2.90%, 11/6/22 144A		200,000		204
Aetna, Inc., 2.75%, 11/15/22		100,000		99
Amgen, Inc., 5.85%, 6/1/17		90,000		107
Catholic Health Initiatives, 2.95%, 11/1/22		100,000		101
Express Scripts Holding Co., 3.125%, 5/15/16		150,000		158
Express Scripts Holding Co., 7.25%, 6/15/19		100,000		128
Gilead Sciences, Inc., 4.40%, 12/1/21		160,000		182
Medtronic, Inc., 3.00%, 3/15/15		200,000		210
Roche Holdings, Inc., 6.00%, 3/1/19 144A		190,000		236
Sanofi, 1.20%, 9/30/14		150,000		152
Teva Pharmaceutical Finance IV LLC, 2.25%, 3/18/20		170,000		172
Total				1,749
Independent Finance (0.4%)
General Electric Capital Corp., 2.10%, 12/11/19		250,000		250
General Electric Capital Corp., 4.375%, 9/16/20		50,000		56
General Electric Capital Corp., 5.625%, 9/15/17		500,000		590

Corporate Bonds (10.8%)	Shares/ $ Par		Value $ (000’s)
Independent Finance continued
General Electric Capital Corp., 6.00%, 8/7/19		60,000		73
Total				969
Information/Data Technology (0.6%)
Adobe Systems, Inc., 3.25%, 2/1/15		300,000		314
Baxter International, Inc., 1.85%, 1/15/17		200,000		206
Intel Corp., 2.70%, 12/15/22		260,000		260
Microsoft Corp., 2.125%, 11/15/22		180,000		178
Oracle Corp., 2.50%, 10/15/22		300,000		303
Oracle Corp., 5.75%, 4/15/18		300,000		365
Total				1,626
Life Insurance (0.1%)
MetLife, Inc., 6.75%, 6/1/16		120,000		142
Prudential Financial, Inc., 3.74%, 3/10/15		240,000		240
Total				382
Machinery (0.0%)
Deere & Co., 2.60%, 6/8/22		60,000		61
Total				61
Metals/Mining (0.1%)
Barrick North America Finance LLC, 4.40%, 5/30/21		80,000		88
Newmont Mining Corp., 6.25%, 10/1/39		70,000		84
Total				172
Oil and Gas (1.3%)
Anadarko Petroleum Corp., 5.95%, 9/15/16		100,000		115
Apache Corp., 4.75%, 4/15/43		150,000		163
BP Capital Markets PLC, 2.50%, 11/6/22		60,000		60
Cenovus Energy, Inc., 4.50%, 9/15/14		200,000		212
ConocoPhillips, Co., 2.40%, 12/15/22		280,000		279
ConocoPhillips, Co., 4.75%, 2/1/14		69,000		72
Ensco PLC, 4.70%, 3/15/21		250,000		281
EOG Resources, Inc., 2.50%, 2/1/16		300,000		314
Noble Energy, Inc., 4.15%, 12/15/21		180,000		199
Occidental Petroleum Corp., 1.75%, 2/15/17		370,000		379

Corporate Bonds (10.8%)	Shares/ $ Par		Value $ (000’s)
Oil and Gas continued
Shell International Finance BV, 2.375%, 8/21/22		650,000		653
Statoil ASA, 2.45%, 1/17/23		250,000		249
Talisman Energy, Inc., 3.75%, 2/1/21		150,000		161
Talisman Energy, Inc., 7.75%, 6/1/19		50,000		65
Total				3,202
Other Finance (0.2%)
Caterpillar Financial Services Corp., 1.125%, 12/15/14		200,000		202
Caterpillar Financial Services Corp., 1.25%, 11/6/17		60,000		60
John Deere Capital Corp., 3.15%, 10/15/21		290,000		306
Total				568
Other Services (0.0%)
Republic Services, Inc., 3.80%, 5/15/18		100,000		110
Total				110
Paper and Forest Products (0.1%)
Georgia-Pacific LLC, 5.40%, 11/1/20 144A		140,000		167
Total				167
Railroads (0.1%)
CSX Corp., 4.25%, 6/1/21		200,000		225
Total				225
Real Estate Investment Trusts (0.3%)
DDR Corp., 4.75%, 4/15/18		80,000		89
Health Care REIT, Inc., 3.75%, 3/15/23		300,000		300
Ventas Realty LP/Ventas Capital Corp., 2.00%, 2/15/18		250,000		250
Total				639
Retail Food and Drug (0.1%)
Safeway, Inc., 4.75%, 12/1/21		130,000		134
Total				134
Retail Stores (0.5%)
CVS Caremark Corp., 2.75%, 12/1/22		500,000		502
The Gap, Inc., 5.95%, 4/12/21		40,000		46
Wal-Mart Stores, Inc., 3.25%, 10/25/20		200,000		218
Wal-Mart Stores, Inc., 3.625%, 7/8/20		200,000		222

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

Inflation Protection Portfolio 123

Inflation Protection Portfolio

Corporate Bonds (10.8%)	Shares/ $ Par		Value $ (000’s)
Retail Stores continued
Wal-Mart Stores, Inc., 5.625%, 4/15/41		200,000		262
Total				1,250
Telecommunications (0.5%)
AT&T, Inc., 2.625%, 12/1/22		250,000		250
AT&T, Inc., 5.10%, 9/15/14		100,000		107
AT&T, Inc., 6.55%, 2/15/39		110,000		145
British Telecommunications PLC, 5.95%, 1/15/18		100,000		120
CC Holdings GS V LLC, 3.849%, 4/15/23 144A		90,000		92
Cellco Partnership/Verizon Wireless Capital LLC, 5.55%, 2/1/14		100,000		105
Cellco Partnership/Verizon Wireless Capital LLC, 8.50%, 11/15/18		60,000		83
Deutsche Telekom International Finance BV, 6.75%, 8/20/18		130,000		161
Verizon Communications, Inc., 6.10%, 4/15/18		150,000		184
Total				1,247
Total Corporate Bonds
(Cost: $25,983)				27,319
Foreign Bonds (14.8%)	Par
Foreign Bonds (14.8%)
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond, 0.75%, 4/15/18		763,418		1,099
Commonwealth of Australia Treasury Indexed Bonds, 4.00%, 8/20/20		621,567		831
Deutsche Bundesrepublik Inflation Linked Bond, 0.10%, 4/15/23		733,533		1,017
Deutsche Bundesrepublik Inflation Linked Bond, 1.75%, 4/15/20		1,671,608		2,613
France Government Bond OAT, 1.10%, 7/25/22		3,401,742		4,936
France Government Bond OAT, 1.30%, 7/25/19		1,146,161		1,704

Foreign Bonds (14.8%)	Par		Value $ (000’s)
Foreign Bonds continued
France Government Bond OAT, 1.85%, 7/25/27		624,916		986
France Government Bond OAT, 2.25%, 7/25/20		2,629,662		4,131
Government of Canada Real Return Bonds, 4.25%, 12/1/21		705,854		1,001
Government of Canada Real Return Bonds, 4.25%, 12/1/26		834,612		1,346
Japanese Government CPI Linked Bond, 1.10%, 12/10/16		52,132,500		648
United Kingdom Gilt Inflation Linked, 1.875%, 11/22/22		1,932,854		4,039
United Kingdom Gilt Inflation Linked, 2.50%, 4/16/20		1,986,747		4,113
United Kingdom Gilt Inflation Linked, 2.50%, 7/17/24		4,132,677		9,184
Total Foreign Bonds
(Cost: $36,808)				37,648
Governments (53.1%)	$ Par
Governments (53.1%)
US Treasury Inflation Index Bond, 0.125%, 4/15/16		1,047,980		1,104
US Treasury Inflation Index Bond, 0.125%, 4/15/17		3,870,072		4,144
US Treasury Inflation Index Bond, 0.125%, 1/15/22		1,430,842		1,554
US Treasury Inflation Index Bond, 0.125%, 7/15/22		8,550,150		9,282
US Treasury Inflation Index Bond, 0.50%, 4/15/15		7,471,870		7,796
US Treasury Inflation Index Bond, 0.625%, 7/15/21		8,426,251		9,578
US Treasury Inflation Index Bond, 0.75%, 2/15/42		5,169,786		5,662
US Treasury Inflation Index Bond, 1.125%, 1/15/21		11,196,281		13,150
US Treasury Inflation Index Bond, 1.25%, 7/15/20		1,484,518		1,761
US Treasury Inflation Index Bond, 1.375%, 1/15/20		3,316,101		3,931

Governments (53.1%)	Shares/ $ Par		Value $ (000’s)
Governments continued
US Treasury Inflation Index Bond, 1.625%, 1/15/15		3,634,350		3,861
US Treasury Inflation Index Bond, 1.625%, 1/15/18		883,336		1,024
US Treasury Inflation Index Bond, 1.75%, 1/15/28		2,644,487		3,423
US Treasury Inflation Index Bond, 1.875%, 7/15/19		541,685		659
US Treasury Inflation Index Bond, 2.00%, 1/15/26		4,545,333		5,961
US Treasury Inflation Index Bond, 2.125%, 2/15/40		3,141,125		4,609
US Treasury Inflation Index Bond, 2.125%, 2/15/41		5,107,211		7,542
US Treasury Inflation Index Bond, 2.125%, 1/15/19		4,174,964		5,069
US Treasury Inflation Index Bond, 2.375%, 1/15/17		458,820		533
US Treasury Inflation Index Bond, 2.375%, 1/15/25		4,172,412		5,629
US Treasury Inflation Index Bond, 2.375%, 1/15/27		3,125,711		4,310
US Treasury Inflation Index Bond, 2.50%, 7/15/16		4,295,325		4,936
US Treasury Inflation Index Bond, 2.50%, 1/15/29		5,349,341		7,630
US Treasury Inflation Index Bond, 3.375%, 4/15/32		2,013,459		3,319
US Treasury Inflation Index Bond, 3.625%, 4/15/28		5,291,740		8,388
US Treasury Inflation Index Bond, 3.875%, 4/15/29		6,120,929		10,145
Total Governments
(Cost: $120,509)				135,000
Municipal Bonds (0.0%)
Municipal Bonds (0.0%)
Bay Area Toll Authority, Series S-1, 6.918%, 4/1/40 RB		15,000		21

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

124 Inflation Protection Portfolio

Inflation Protection Portfolio

Municipal Bonds (0.0%)	Shares/ $ Par		Value $ (000’s)
Municipal Bonds continued
Department of Water and Power of the City of Los Angeles Power System, Series A, 5.716%, 7/1/39 RB		15,000		18
Texas Transportation Commission State of Texas, Series 2009A, 5.517%, 4/1/39 GO		30,000		39
Total Municipal Bonds
(Cost: $60)				78
Structured Products (14.6%)
Structured Products (14.6%)
Banc of America Commercial Mortgage, Inc., Series 2004-1, Class A4, 4.76%, 11/10/39		350,000		362
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.115%, 10/10/45		250,000		277
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class AM, 5.176%, 10/10/45		200,000		220
Banc of America Mortgage Securities, Inc., Series 2004-7, Class 7A1, 5.00%, 8/25/19		102,373		105
BB-UBS Trust, Series 2012, Class A, 3.43%, 11/5/36		425,000		436
Citicorp Mortgage Securities, Inc., Series 2007-8, Class 1A3, 6.00%, 9/25/37		146,067		152
Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-35, Class 1A3, 5.00%, 9/25/18		75,447		78
Credit Suisse Mortgage Capital Certificates, Series 2007-TF2A, Class A1, 0.389%, 4/15/22 144A		82,369		78
Federal Home Loan Mortgage Corp., 4.00%, 5/1/42		10,274,109		11,164
Federal Home Loan Mortgage Corp., 4.50%, 4/1/41		7,943,693		8,698

Structured Products (14.6%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 4.00%, 5/1/41		2,869,528		3,079
Federal National Mortgage Association, 4.00%, 9/1/41		6,438,100		7,075
GE Capital Commercial Mortgage Corp., Series 2005-C3, Class A5, 4.979%, 7/10/45		31,877		32
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A4, 4.799%, 8/10/42		100,000		107
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class B, 5.426%, 6/10/36		150,000		157
GS Mortgage Securities Corp. II, Series 2012-ALOH, Class A, 3.551%, 4/10/34		400,000		432
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/39		750,000		809
GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.396%, 8/10/38		575,000		608
LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4, 4.367%, 3/15/36		300,000		311
LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A4, 4.568%, 1/15/31		150,000		156
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class A4, 4.998%, 4/15/30		272,068		278
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class AM, 5.017%, 9/15/40		300,000		326
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM, 5.263%, 11/15/40		175,000		192
LB-UBS Commercial Mortgage Trust, Series 2004-C4, Class A4, 5.533%, 6/15/29		250,000		266
PHHMC Mortgage Pass-Through Certificates, Series 2007-6, Class A1, 6.002%, 12/18/37		181,932		193

	Structured Products (14.6%)	Shares/ $ Par		Value $ (000’s)
	Structured Products continued
	Sequoia Mortgage Trust, Series 2011-1, Class A1, 4.125%, 2/25/41		251,706		256
	Wells Fargo Mortgage Backed Securities, Series 2005-AR16, Class 1A1, 2.757%, 8/25/33		365,132		374
	Wells Fargo Mortgage Backed Securities, Series 2005-AR14, Class A1, 5.331%, 8/25/35		171,917		173
	Wells Fargo Mortgage Backed Securities, Series 2005-17, Class 1A1, 5.50%, 1/25/36		191,374		198
	Wells Fargo Mortgage Backed Securities, Series 2007-3, Class 3A1, 5.50%, 4/25/22		90,362		93
	Wells Fargo Mortgage Backed Securities, Series 2006-10, Class A4, 6.00%, 8/25/36		212,305		220
	Wells Fargo Mortgage Backed Securities, Series 2007-AR10, Class 1A1, 6.056%, 1/25/38		157,690		161
	Total Structured Products
	(Cost: $35,750)				37,066
	Short-Term Investments (6.4%)
	Commercial Banks Non-US (3.1%)
(k)	BNP Paribas Finance, Inc., 0.14%, 1/3/13		8,000,000		8,000
	Total				8,000
	Other Holdings (3.3%)
	JPMorgan Money Market Fund		8,386,817		8,387
	Total				8,387
	Total Short-Term Investments
	(Cost: $16,387)				16,387
	Total Investments (99.7%)
	(Cost: $235,497)(a)				253,498
	Other Assets, Less
	Liabilities (0.3%)				678
	Net Assets (100.0%)				254,176

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

Inflation Protection Portfolio 125

Inflation Protection Portfolio

144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $1,142 representing 0.5% of the net assets.

GO — General Obligation

RB — Revenue Bond

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $235,549 and the net unrealized appreciation of investments based on that cost was $17,949 which is comprised of $18,121 aggregate gross unrealized appreciation and $172 aggregate gross unrealized depreciation.

(h) Forward foreign currency contracts outstanding on December 31, 2012.

Type	Counterparty	Currency	Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	HSBC Bank USA	AUD	4,666	1/13	$	-	$	(36	)	$	(36	)
Sell	Westpac Banking	AUD	5,559	1/13		-		(74	)		(74	)
Buy	HSBC Bank USA	CAD	4,625	1/13		-		(7	)		(7	)
Sell	Barclays Bank PLC	CAD	6,761	1/13		-		(16	)		(16	)
Sell	Westpac Banking	CAD	181	1/13		-		-	(m)		-	(m)
Sell	HSBC Bank USA	EUR	12,450	1/13		-		(211	)		(211	)
Sell	HSBC Bank USA	GBP	4,885	1/13		-		(89	)		(89	)
Sell	UBS AG	GBP	5,765	1/13		-		(139	)		(139	)
Buy	HSBC Bank USA	JPY	145,801	1/13		-		(91	)		(91	)
Sell	UBS AG	JPY	200,815	1/13		203		-			203
					$	203	$	(663	)	$	(460	)

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro

GBP — British Pound

JPY — Japanese Yen

(j) Swap agreements outstanding on December 31, 2012.

Total Return Swaps

Reference Entity	Counterparty	Payment Made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	2.900%	CPURNSA Index Total Return at Maturity	5/13	2,500	$	(164	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	1.765%	CPURNSA Index Total Return at Maturity	8/14	7,700		11
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	1.570%	CPURNSA Index Total Return at Maturity	9/14	5,000		45
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	1.870%	CPURNSA Index Total Return at Maturity	9/16	6,000		95
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	2.420%	CPURNSA Index Total Return at Maturity	4/18	2,000		(8	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	2.510%	CPURNSA Index Total Return at Maturity	3/19	2,000		(13	)

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

126 Inflation Protection Portfolio

Inflation Protection Portfolio

Reference Entity	Counterparty	Payment Made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	2.640%	CPURNSA Index Total Return at Maturity	2/20	2,800	$	(46	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	2.670%	CPURNSA Index Total Return at Maturity	4/22	3,000		(24	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.770%	CPURNSA Index Total Return at Maturity	6/14	1,000		(60	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	1.770%	CPURNSA Index Total Return at Maturity	9/14	1,000		3
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.095%	CPURNSA Index Total Return at Maturity	10/15	2,500		(16	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.303%	CPURNSA Index Total Return at Maturity	1/16	1,700		7
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.520%	CPURNSA Index Total Return at Maturity	5/16	5,400		(81	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.720%	CPURNSA Index Total Return at Maturity	8/17	2,000		(131	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.345%	CPURNSA Index Total Return at Maturity	9/17	13,000		91
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.895%	CPURNSA Index Total Return at Maturity	12/27	1,700		(91	)
						$	(382	)

(k) Securities with an aggregate value of $8,000 (in thousands) have been pledged as collateral for swap and forward currency contracts outstanding on December 31, 2012.

(m) Amount is less than one thousand.

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

Inflation Protection Portfolio 127

Inflation Protection Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
US Government	$	-	$	135,000		$	-
Foreign Bonds		-		37,648			-
Municipal Bonds		-		78			-
Corporate Bonds		-		27,319			-
Structured Products		-		37,066			-
Short-Term Investments		8,387		8,000			-
Other Financial Instruments^
Forward Currency Contracts		-		203			-
Total Return Swaps		-		252			-
Liabilities:
Other Financial Instruments^
Forward Currency Contracts	$	-	$	(663	)	$	-
Total Return Swaps		-		(634	)		-
Total	$	8,387	$	244,269		$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

128 Inflation Protection Portfolio

High Yield Bond Portfolio

Objective:	Portfolio Strategy:	Net Assets:
High current income and capital appreciation.	Invest primarily in non-investment grade debt securities.	$461 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the High Yield Bond Portfolio (the “Portfolio”). Normally, the Portfolio invests in non-investment grade debt securities, which are securities that are rated below investment grade by at least one major rating agency or, if unrated, determined by management to be of comparable quality. The Portfolio may invest up to 30% of net assets in foreign securities. The primary investment strategy of the Portfolio is to identify, based on industry and credit analysis, and to invest in industries or individual companies that are attractively priced or which have stable or improving fundamental financial characteristics relative to the overall high yield market.

Market Overview

High yield bonds posted solid returns during 2012 amid considerable uncertainty resulting from an economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. As these issues arose, policy makers responded with stimulus and financing measures that calmed markets and drove down yields across the fixed income markets. In this environment, investors accepted more risk, reaching for income in high yield bonds, where fundamentals continued to be solid and stable. Investors’ propensity for additional yield in 2012, led to lower rated CCCs outperforming higher rated B and BB bonds as an asset class in the high yield market.

Companies took advantage of historically low yields and strong demand from investors, producing a record amount of corporate bond issuance in 2012. Similarly, robust corporate profits and below average default rates made high yield an attractive investment during the year. For the year, the Barclays^® U.S. Corporate High-Yield 2% Issuer Capped Index (the “Index”) returned 15.78%, while the Barclays^® Aggregate Bond Index (a measure of broad, taxable bond market performance) returned 4.22%.

Portfolio Results

The Portfolio returned 13.89% for the twelve months ended December 31, 2012; by comparison, the Index returned 15.78%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The average return for the Portfolio’s peer group, High Current Yield Funds, was 14.09%, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

In 2012, the Portfolio was positioned somewhat less aggressively than the Index in terms of credit quality, leading to less return relative to the Index. Specifically, an underweight in lower-quality CCC bonds and an overweight in higher-quality BB and B bonds was held throughout the year. In general, the lowest quality bonds outperformed, as investors embraced risk. The Portfolio’s overweight position in higher rated B and BB bonds was the primary source of underperformance relative to the Index.

The Portfolio’s cash position, which is held intermittently in anticipation of identifying attractively valued bonds and for general management of asset flows, also dragged on performance relative to the Index. For fundamental investors in high yield, identifying and buying attractively valued bonds sometimes requires cash to be held intermittently, as does receiving payment for refinanced bonds and the general management of fund flows. While the high yield bond market posted double-digit returns, holding even a small amount of cash that yielded near 0.0% created a wide disparity in return.

Security selection produced mixed results relative to the Index. Selecting strong performers such as Ally Financial and Sprint helped generate outperformance relative to the Index, while holding Nextel International and not holding Royal Bank of Scotland hurt relative results.

Portfolio Manager Outlook

In our view, fundamentals in the high yield bond market should remain relatively sound in 2013. We do not expect either significant deterioration or vast improvements in the credit environment, which means the upside for bond prices may be more restrained than it was during 2012. Nevertheless, current yields of roughly 6% could go a long way toward delivering returns above inflation if the current rate of inflation remains flat. Given all of the economic uncertainty, we are likely to take a more cautious approach to risk and favor bonds rated BB and B, while underweighting potentially more volatile CCCs.

High Yield Bond Portfolio 129

High Yield Bond Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
High Yield Bond Portfolio		13.89%		9.31%		9.97%
Barclays® U.S. Corporate High Yield 2% Issuer Capped Index		15.78%		10.45%		10.60%
Lipper® Variable Insurance Products (VIP) High Current Yield Funds Average		14.09%		7.89%		8.97%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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 in lower quality securities, which may represent a significant risk for loss of principal and interest. Bonds and other debt obligations are affected by changes in interest rates, inflation risk and the creditworthiness of their issuers. High yield bonds generally have greater price swings and higher default risks than investment grade bonds. 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.

Top 10 Fixed Income Holdings 12/31/12

Security Description	% of Net Assets
Sprint Nextel Corp., Various	2.9%
HCA, Inc., Various	2.1%
CIT Group, Inc., Various	1.6%
International Lease Finance Corp., Various	1.6%
DISH DBS Corp., Various	1.6%
Chesapeake Energy Corp., Various	1.6%
General Motors Financial Co., Various	1.4%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, Various	1.4%
First Data Corp., Various	1.4%
The AES Corp., Various	1.3%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

130 High Yield Bond Portfolio

High Yield Bond Portfolio

Schedule of Investments

December 31, 2012

	Common Stocks (0.4%)	Shares/ $ Par		Value $ (000’s)
	Consumer Discretionary (0.0%)
*	Motors Liquidation Co. GUC Trust		3,977	84
	Total			84
	Financials (0.2%)
*	E*TRADE Financial Corp.		105,647	946
	Total			946
	Materials (0.2%)
(n)*	Catalyst Paper Corp.		20,223	24
(n)*	NewPage Group, Inc.		6,020	563
	Total			587
	Total Common Stocks
	(Cost: $1,423)			1,617
	Preferred Stocks (1.0%)
	Financials (1.0%)
	Ally Financial, Inc, 7.00%, 2/4/13 144A		1,302	1,279
	Ally Financial, Inc., 8.50%, 5/15/16		93,329	2,452
	GMAC Capital Trust I, 8.125%, 2/15/40		24,559	654
	Total Preferred Stocks
	(Cost: $3,856)			4,385
	Bonds (89.0%)
	Aerospace/Defense (1.2%)
	B/E Aerospace, Inc., 5.25%, 4/1/22		730,000	774
	Bombardier, Inc., 5.75%, 3/15/22 144A		770,000	791
	Bombardier, Inc., 7.75%, 3/15/20 144A		1,240,000	1,407
	Huntington Ingalls Industries, Inc., 6.875%, 3/15/18		550,000	598
	Huntington Ingalls Industries, Inc., 7.125%, 3/15/21		550,000	598
	TransDigm, Inc., 5.50%, 10/15/20 144A		720,000	749
	Triumph Group, Inc., 8.625%, 7/15/18		610,000	677
	Total			5,594

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Autos/Vehicle Parts (3.6%)
American Axle & Manufacturing Holdings, Inc., 6.625%, 10/15/22		355,000		360
American Axle & Manufacturing Holdings, Inc., 7.875%, 3/1/17		1,055,000		1,092
American Axle & Manufacturing Holdings, Inc., 9.25%, 1/15/17 144A		648,000		719
Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19		715,000		779
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21		905,000		996
Cooper-Standard Automotive, Inc., 8.50%, 5/1/18		615,000		661
Exide Technologies, 8.625%, 2/1/18		740,000		627
Ford Motor Credit Co. LLC, 4.25%, 2/3/17		865,000		927
Ford Motor Credit Co. LLC, 5.00%, 5/15/18		855,000		943
Ford Motor Credit Co. LLC, 5.875%, 8/2/21		1,245,000		1,450
Ford Motor Credit Co. LLC, 8.125%, 1/15/20		1,590,000		2,037
General Motors Financial Co., Inc., 4.75%, 8/15/17 144A		975,000		1,025
The Goodyear Tire & Rubber Co., 8.25%, 8/15/20		820,000		900
Jaguar Land Rover PLC, 7.75%, 5/15/18 144A		905,000		987
Navistar International Corp., 8.25%, 11/1/21		950,000		917
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625%, 9/1/17 144A		1,112,000		1,218
Visteon Corp., 6.75%, 4/15/19		688,000		733
Total				16,371
Basic Materials (11.7%)
AK Steel Corp., 7.625%, 5/15/20		510,000		444
AK Steel Corp., 8.375%, 4/1/22		860,000		740
AK Steel Corp., 8.75%, 12/1/18 144A		925,000		976

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Basic Materials continued
	Aleris International, Inc., 7.625%, 2/15/18		460,000		468
	Aleris International, Inc., 7.875%, 11/1/20 144A		600,000		600
	Alpha Natural Resources, Inc., 6.00%, 6/1/19		1,790,000		1,647
	Alpha Natural Resources, Inc., 9.75%, 4/15/18		800,000		864
	ArcelorMittal, 5.75%, 8/5/20		915,000		917
	ArcelorMittal, 6.125%, 6/1/18		2,005,000		2,032
	ArcelorMittal, 6.75%, 2/25/22		1,230,000		1,291
	Arch Coal, Inc., 8.75%, 8/1/16		655,000		681
	Arch Coal, Inc., 9.875%, 6/15/19 144A		825,000		858
	Ardagh Packaging Finance PLC, 7.375%, 10/15/17 144A		485,000		527
	Ardagh Packaging Finance PLC, 9.125%, 10/15/20 144A		430,000		469
	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 9.125%, 10/15/20 144A		445,000		483
	Berry Plastics Corp., 8.25%, 11/15/15		680,000		711
(c)	Boe Merger Corp., 9.50%, 11/1/17 144A		360,000		360
	Cascades, Inc., 7.875%, 1/15/20		810,000		863
(c)	Catalyst Paper Corp., 11.00%, 10/30/17		350,456		266
	Celanese US Holdings LLC, 4.625%, 11/15/22		825,000		864
	Chemtura Corp., 7.875%, 9/1/18		615,000		660
	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.25%, 12/15/17		710,000		760
	CONSOL Energy, Inc., 8.00%, 4/1/17		1,545,000		1,672
	CONSOL Energy, Inc., 8.25%, 4/1/20		1,540,000		1,667

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

High Yield Bond Portfolio 131

High Yield Bond Portfolio

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Basic Materials continued
	Essar Steel Algoma, Inc., 9.375%, 3/15/15 144A		920,000		833
	FMG Resources (August 2006) Pty, Ltd., 6.00%, 4/1/17 144A		575,000		586
	FMG Resources (August 2006) Pty, Ltd., 6.875%, 2/1/18 144A		635,000		656
	FMG Resources (August 2006) Pty, Ltd., 6.875%, 4/1/22 144A		765,000		782
	FMG Resources (August 2006) Pty, Ltd., 7.00%, 11/1/15 144A		1,230,000		1,291
	FMG Resources (August 2006) Pty, Ltd., 8.25%, 11/1/19 144A		1,215,000		1,294
	GrafTech International, Ltd., 6.375%, 11/15/20 144A		370,000		383
	Hexion US Finance Corp., 6.625%, 4/15/20		405,000		412
	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18		1,255,000		1,289
	HudBay Minerals, Inc., 9.50%, 10/1/20 144A		405,000		428
	Huntsman International LLC, 4.875%, 11/15/20 144A		1,385,000		1,401
	Ineos Finance PLC, 7.50%, 5/1/20 144A		400,000		419
	Ineos Finance PLC, 8.375%, 2/15/19 144A		540,000		582
	Inmet Mining Corp., 7.50%, 6/1/21 144A		245,000		254
	Molycorp, Inc., 10.00%, 6/1/20 144A		1,230,000		1,144
	New Gold, Inc., 6.25%, 11/15/22 144A		370,000		383
(d)	Patriot Coal Corp., 8.25%, 4/30/18		780,000		388
	Peabody Energy Corp., 4.75%, 12/15/41		1,950,000		1,860
	Peabody Energy Corp., 6.00%, 11/15/18		1,705,000		1,812
	Peabody Energy Corp., 6.25%, 11/15/21		610,000		648
	Peabody Energy Corp., 6.50%, 9/15/20		765,000		820

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Basic Materials continued
Quadra FNX Mining, Ltd., 7.75%, 6/15/19 144A		905,000		939
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 144A		310,000		317
Resolute Forest Products, 10.25%, 10/15/18		727,000		832
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 5.75%, 10/15/20 144A		1,345,000		1,389
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 6.875%, 2/15/21		205,000		221
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 7.125%, 4/15/19		1,340,000		1,440
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 7.875%, 8/15/19		485,000		540
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 8.25%, 2/15/21		740,000		751
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.00%, 4/15/19		1,070,000		1,113
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.875%, 8/15/19		1,010,000		1,081
Rockwood Specialties Group, Inc., 4.625%, 10/15/20		1,490,000		1,542
Sawgrass Merger Sub, Inc., 8.75%, 12/15/20 144A		310,000		312
Sealed Air Corp., 6.50%, 12/1/20 144A		370,000		400
Sealed Air Corp., 8.125%, 9/15/19 144A		425,000		478
Sealed Air Corp., 8.375%, 9/15/21 144A		785,000		897
Severstal Columbus LLC, 10.25%, 2/15/18		940,000		989
Steel Dynamics, Inc., 6.125%, 8/15/19 144A		385,000		408
Steel Dynamics, Inc., 6.375%, 8/15/22 144A		385,000		408

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Basic Materials continued
Thompson Creek Metals Co., Inc., 7.375%, 6/1/18		305,000		250
United States Steel Corp., 7.375%, 4/1/20		930,000		993
Verso Paper Holdings LLC/Verso Paper, Inc., 8.75%, 2/1/19		430,000		163
Total				53,948
Builders/Building Materials (0.6%)
KB Home, 7.25%, 6/15/18		610,000		663
KB Home, 9.10%, 9/15/17		720,000		837
USG Corp., 7.875%, 3/30/20 144A		575,000		640
Vulcan Materials Co., 6.40%, 11/30/17		760,000		830
Total				2,970
Capital Goods (1.1%)
Case New Holland, Inc., 7.875%, 12/1/17		1,015,000		1,200
CNH Capital LLC, 3.875%, 11/1/15 144A		280,000		289
CNH Capital LLC, 6.25%, 11/1/16		485,000		535
JMC Steel Group, 8.25%, 3/15/18 144A		405,000		423
The Manitowoc Co., Inc., 5.875%, 10/15/22		300,000		300
SPX Corp., 6.875%, 9/1/17		615,000		686
Terex Corp., 6.00%, 5/15/21		620,000		653
United Rentals North America, Inc., 5.75%, 7/15/18 144A		290,000		312
United Rentals North America, Inc., 6.125%, 6/15/23		300,000		317
United Rentals North America, Inc., 7.375%, 5/15/20 144A		405,000		444
Total				5,159
Consumer Products/Retailing (2.7%)
AMC Networks, Inc., 4.75%, 12/15/22		615,000		618
AutoNation, Inc., 5.50%, 2/1/20		540,000		580
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 144A		430,000		441
Hanesbrands, Inc., 6.375%, 12/15/20		615,000		676
Levi Strauss & Co., 6.875%, 5/1/22		575,000		617
Levi Strauss & Co., 7.625%, 5/15/20		615,000		670

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

132 High Yield Bond Portfolio

High Yield Bond Portfolio

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Consumer Products/Retailing continued
Limited Brands, Inc., 5.625%, 2/15/22		495,000		538
Limited Brands, Inc., 8.50%, 6/15/19		580,000		708
PVH Corp., 4.50%, 12/15/22		265,000		268
Revlon Consumer Products Corp., 9.75%, 11/15/15		675,000		710
Rite Aid Corp., 7.50%, 3/1/17		377,000		387
Rite Aid Corp., 10.375%, 7/15/16		470,000		497
Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/1/22		60,000		65
Sally Holdings LLC/Sally Capital, Inc., 6.875%, 11/15/19		425,000		470
Spectrum Brands Escrow Corp., 6.375%, 11/15/20 144A		90,000		95
Spectrum Brands Escrow Corp., 6.625%, 11/15/22 144A		155,000		166
Spectrum Brands, Inc., 9.50%, 6/15/18		830,000		942
SUPERVALU, Inc., 7.50%, 11/15/14		390,000		378
SUPERVALU, Inc., 8.00%, 5/1/16		1,420,000		1,353
Toys R US Property Co. I LLC, 10.75%, 7/15/17		815,000		878
Toys R US Property Co. II LLC, 8.50%, 12/1/17		810,000		859
Toys R US, Inc., 7.375%, 9/1/16 144A		465,000		475
Total				12,391
Energy (18.5%)
Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 5/15/23		820,000		832
Access Midstream Partners LP/ACMP Finance Corp., 6.125%, 7/15/22		685,000		738
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75%, 5/20/20		915,000		1,004
AmeriGas Partners LP/AmeriGas Finance Corp., 6.25%, 8/20/19		1,185,000		1,268

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 6.625%, 10/1/20 144A		790,000		818
Atwood Oceanics, Inc., 6.50%, 2/1/20		340,000		365
Bill Barrett Corp., 7.00%, 10/15/22		860,000		886
Bill Barrett Corp., 7.625%, 10/1/19		1,280,000		1,350
Bristow Group, Inc., 6.25%, 10/15/22		300,000		321
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20		445,000		457
Carrizo Oil & Gas, Inc., 8.625%, 10/15/18		1,000,000		1,080
Chaparral Energy, Inc., 8.25%, 9/1/21		615,000		667
Chesapeake Energy Corp., 2.50%, 5/15/37		1,640,000		1,472
Chesapeake Energy Corp., 6.125%, 2/15/21		1,400,000		1,452
Chesapeake Energy Corp., 6.875%, 11/15/20		1,255,000		1,360
Chesapeake Energy Corp., 7.25%, 12/15/18		750,000		817
Chesapeake Energy Corp., 9.50%, 2/15/15		765,000		864
Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 144A		425,000		401
Cimarex Energy Co., 5.875%, 5/1/22		960,000		1,051
CITGO Petroleum Corp., 11.50%, 7/1/17 144A		570,000		658
Compagnie Generale de Geophysique-Veritas, 9.50%, 5/15/16		905,000		971
Comstock Resources, Inc., 7.75%, 4/1/19		615,000		624
Comstock Resources, Inc., 9.50%, 6/15/20		955,000		1,027
Concho Resources, Inc., 5.50%, 4/1/23		585,000		613
Concho Resources, Inc., 7.00%, 1/15/21		615,000		686
Continental Resources, Inc., 5.00%, 9/15/22		1,235,000		1,331
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.875%, 2/15/18		1,200,000		1,296
Denbury Resources, Inc., 8.25%, 2/15/20		947,000		1,065

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Drill Rigs Holdings, Inc., 6.50%, 10/1/17 144A		1,015,000		1,010
El Paso LLC, 7.25%, 6/1/18		590,000		682
El Paso LLC, 7.75%, 1/15/32		1,095,000		1,287
Energy Transfer Equity LP, 7.50%, 10/15/20		1,580,000		1,825
EP Energy LLC/EP Energy Finance, Inc., 9.375%, 5/1/20		1,435,000		1,618
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75%, 9/1/22		290,000		307
Exterran Holdings, Inc., 7.25%, 12/1/18		1,115,000		1,182
Forest Oil Corp., 7.25%, 6/15/19		725,000		729
Forest Oil Corp., 7.50%, 9/15/20 144A		620,000		651
Hiland Partners LP/Hiland Partners Finance Corp., 7.25%, 10/1/20 144A		300,000		321
Hilcorp Energy I LP/Hilcorp Finance Co., 7.625%, 4/15/21 144A		485,000		529
Hilcorp Energy I LP/Hilcorp Finance Co., 8.00%, 2/15/20 144A		940,000		1,029
Hornbeck Offshore Services, Inc., 5.875%, 4/1/20		345,000		361
Inergy Midstream LP/NRGM Finance Corp., 6.00%, 12/15/20 144A		495,000		511
Key Energy Services, Inc., 6.75%, 3/1/21		875,000		875
Kodiak Oil & Gas Corp., 8.125%, 12/1/19		855,000		943
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/1/19 144A		1,155,000		1,161
Linn Energy LLC/Linn Energy Finance Corp., 6.50%, 5/15/19		1,440,000		1,454
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/1/21		730,000		777
Magnum Hunter Resources Corp., 9.75%, 5/15/20 144A		1,235,000		1,281
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 5.50%, 2/15/23		985,000		1,069

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

High Yield Bond Portfolio 133

High Yield Bond Portfolio

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Energy continued
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22		545,000		594
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.75%, 11/1/20		615,000		670
MEG Energy Corp., 6.375%, 1/30/23 144A		870,000		907
Newfield Exploration Co., 5.625%, 7/1/24		375,000		405
Newfield Exploration Co., 7.125%, 5/15/18		975,000		1,029
NGPL PipeCo LLC, 9.625%, 6/1/19 144A		285,000		328
Northern Tier Energy LLC/Northern Tier Finance Corp., 7.125%, 11/15/20 144A		430,000		445
Oasis Petroleum, Inc., 6.50%, 11/1/21		1,090,000		1,158
Offshore Group Investment, Ltd., 7.50%, 11/1/19 144A		1,505,000		1,520
Offshore Group Investment, Ltd., 11.50%, 8/1/15		545,000		594
OGX Austria GmbH, 8.50%, 6/1/18 144A		1,285,000		1,156
Oil States International, Inc., 5.125%, 1/15/23 144A		405,000		411
Oil States International, Inc., 6.50%, 6/1/19		605,000		644
Pacific Drilling V, Ltd., 7.25%, 12/1/17 144A		1,255,000		1,302
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 144A		1,125,000		1,212
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.375%, 6/1/20 144A		860,000		927
Petroleum Geo-Services ASA, 7.375%, 12/15/18 144A		910,000		983
Plains Exploration & Production Co., 6.125%, 6/15/19		1,150,000		1,254
Plains Exploration & Production Co., 6.625%, 5/1/21		850,000		936
Plains Exploration & Production Co., 6.75%, 2/1/22		565,000		634

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Plains Exploration & Production Co., 8.625%, 10/15/19		745,000		847
QEP Resources, Inc., 5.25%, 5/1/23		590,000		631
QEP Resources, Inc., 6.875%, 3/1/21		1,130,000		1,302
Range Resources Corp., 5.00%, 8/15/22		575,000		601
Range Resources Corp., 5.75%, 6/1/21		725,000		776
Regency Energy Partners LP/Regency Energy Finance Corp., 5.50%, 4/15/23		420,000		448
Rosetta Resources, Inc., 9.50%, 4/15/18		615,000		683
Samson Investment Co., 9.75%, 2/15/20 144A		1,890,000		1,999
SandRidge Energy, Inc., 7.50%, 3/15/21		1,035,000		1,107
SandRidge Energy, Inc., 7.50%, 2/15/23		580,000		621
SandRidge Energy, Inc., 8.00%, 6/1/18 144A		470,000		498
SandRidge Energy, Inc., 9.875%, 5/15/16		910,000		981
SESI LLC, 6.375%, 5/1/19		965,000		1,033
SESI LLC, 6.875%, 6/1/14		573,000		574
SM Energy Co., 6.50%, 11/15/21		460,000		492
SM Energy Co., 6.50%, 1/1/23		335,000		358
SM Energy Co., 6.625%, 2/15/19		610,000		644
Swift Energy Co., 7.875%, 3/1/22 144A		300,000		313
Swift Energy Co., 8.875%, 1/15/20		900,000		979
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.25%, 5/1/23 144A		725,000		750
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/1/22 144A		540,000		589
Tesoro Corp., 4.25%, 10/1/17		395,000		409
Tesoro Corp., 5.375%, 10/1/22		395,000		421
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875%, 10/1/20 144A		420,000		436
Trinidad Drilling, Ltd., 7.875%, 1/15/19 144A		925,000		983

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Unit Corp., 6.625%, 5/15/21 144A		695,000		713
Venoco, Inc., 8.875%, 2/15/19		740,000		694
W&T Offshore, Inc., 8.50%, 6/15/19 144A		750,000		806
W&T Offshore, Inc., 8.50%, 6/15/19		905,000		973
WPX Energy, Inc., 5.25%, 1/15/17		545,000		578
WPX Energy, Inc., 6.00%, 1/15/22		685,000		738
Total				85,162
Financials (8.8%)
AerCap Aviation Solutions BV, 6.375%, 5/30/17		690,000		724
Air Lease Corp., 5.625%, 4/1/17		1,915,000		2,030
Aircastle, Ltd., 6.25%, 12/1/19 144A		435,000		453
Aircastle, Ltd., 6.75%, 4/15/17		920,000		989
Aircastle, Ltd., 7.625%, 4/15/20		285,000		318
Ally Financial, Inc., 4.625%, 6/26/15		845,000		881
Ally Financial, Inc., 5.50%, 2/15/17		990,000		1,059
Ally Financial, Inc., 7.50%, 9/15/20		925,000		1,117
Ally Financial, Inc., 8.00%, 3/15/20		2,070,000		2,536
AmSouth Bank, 5.20%, 4/1/15		930,000		972
AWAS Aviation Capital, Ltd., 7.00%, 10/17/16 144A		1,656,400		1,748
CIT Group, Inc., 4.25%, 8/15/17		1,160,000		1,194
CIT Group, Inc., 4.75%, 2/15/15 144A		1,300,000		1,352
CIT Group, Inc., 5.00%, 5/15/17		575,000		609
CIT Group, Inc., 5.00%, 8/15/22		870,000		928
CIT Group, Inc., 5.25%, 3/15/18		1,915,000		2,049
CIT Group, Inc., 5.375%, 5/15/20		765,000		836
CIT Group, Inc., 5.50%, 2/15/19 144A		535,000		583
E*TRADE Financial Corp., 6.00%, 11/15/17		1,240,000		1,268
E*TRADE Financial Corp., 6.375%, 11/15/19		620,000		635
E*TRADE Financial Corp., 6.75%, 6/1/16		605,000		637

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

134 High Yield Bond Portfolio

High Yield Bond Portfolio

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 7.75%, 1/15/16		410,000		425
	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18		965,000		1,036
(c)	Igloo Holdings Corp., 8.25%, 12/15/17 144A		430,000		425
	International Lease Finance Corp., 5.75%, 5/15/16		660,000		696
	International Lease Finance Corp., 6.25%, 5/15/19		660,000		703
	International Lease Finance Corp., 7.125%, 9/1/18 144A		1,325,000		1,537
	International Lease Finance Corp., 8.625%, 9/15/15		1,235,000		1,388
	International Lease Finance Corp., 8.75%, 3/15/17		1,840,000		2,125
	International Lease Finance Corp., 8.875%, 9/1/17		925,000		1,087
	JPMorgan Chase & Co., 7.90%, 4/29/49		1,120,000		1,269
	Regions Financial Corp., 7.75%, 11/10/14		1,795,000		1,990
	The Royal Bank of Scotland Group PLC, 6.125%, 12/15/22		1,230,000		1,298
	SLM Corp., 6.00%, 1/25/17		880,000		953
	SLM Corp., 8.00%, 3/25/20		965,000		1,103
	SLM Corp., 8.45%, 6/15/18		970,000		1,135
	Wells Fargo & Co., 7.98%, 3/29/49		560,000		643
	Total				40,731
	Foods (2.6%)
(c)	Alphabet Holding Co., Inc., 7.75%, 11/1/17 144A		300,000		309
	Bumble Bee Acquisition Corp., 9.00%, 12/15/17 144A		851,000		915
	Constellation Brands, Inc., 6.00%, 5/1/22		220,000		252
	Constellation Brands, Inc., 7.25%, 9/1/16		635,000		733
	Cott Beverages, Inc., 8.125%, 9/1/18		615,000		680
	Cott Beverages, Inc., 8.375%, 11/15/17		905,000		984

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Foods continued
Dean Foods Co., 7.00%, 6/1/16		820,000		900
Dean Foods Co., 9.75%, 12/15/18		820,000		943
Dole Food Co., Inc., 8.00%, 10/1/16 144A		675,000		702
Dole Food Co., Inc., 13.875%, 3/15/14		399,000		442
JBS Finance II, Ltd., 8.25%, 1/29/18 144A		630,000		668
JBS USA LLC/JBS USA Finance, Inc., 7.25%, 6/1/21 144A		725,000		727
Land O’ Lakes, Inc., 6.00%, 11/15/22 144A		1,020,000		1,104
Pilgrim’s Pride Corp., 7.875%, 12/15/18		885,000		897
Post Holdings, Inc., 7.375%, 2/15/22 144A		150,000		164
Smithfield Foods, Inc., 6.625%, 8/15/22		785,000		867
TreeHouse Foods, Inc., 7.75%, 3/1/18		500,000		543
Total				11,830
Gaming/Leisure/Lodging (3.8%)
AMC Entertainment, Inc., 8.75%, 6/1/19		910,000		1,008
AMC Entertainment, Inc., 9.75%, 12/1/20		980,000		1,132
Caesars Entertainment Operating Co., Inc., 8.50%, 2/15/20		1,265,000		1,256
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18		1,138,000		754
Caesars Entertainment Operating Co., Inc., 11.25%, 6/1/17		1,210,000		1,296
Caesars Entertainment Operating Co., Inc., 12.75%, 4/15/18		1,645,000		1,213
Chester Downs & Marina LLC, 9.25%, 2/1/20 144A		360,000		354
Choice Hotels International, Inc., 5.75%, 7/1/22		560,000		620
Cinemark USA, Inc., 5.125%, 12/15/22 144A		245,000		248
The Geo Group, Inc., 6.625%, 2/15/21		460,000		511
The Geo Group, Inc., 7.75%, 10/15/17		620,000		666
Host Hotels & Resorts LP, 5.875%, 6/15/19		180,000		196
MGM Resorts International, 6.75%, 10/1/20 144A		595,000		608

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Gaming/Leisure/Lodging continued
MGM Resorts International, 7.625%, 1/15/17		685,000		733
MGM Resorts International, 7.75%, 3/15/22		565,000		605
MGM Resorts International, 8.625%, 2/1/19 144A		855,000		953
Penn National Gaming, Inc., 8.75%, 8/15/19		545,000		621
Regal Entertainment Group, 9.125%, 8/15/18		730,000		814
Royal Caribbean Cruises, Ltd., 5.25%, 11/15/22		430,000		455
Scientific Games International, Inc., 6.25%, 9/1/20 144A		980,000		1,012
Scientific Games International, Inc., 9.25%, 6/15/19		340,000		378
Seminole Indian Tribe of Florida, 7.75%, 10/1/17 144A		300,000		324
Speedway Motorsports, Inc., 6.75%, 2/1/19		430,000		456
Speedway Motorsports, Inc., 8.75%, 6/1/16		680,000		727
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.875%, 5/1/20		500,000		566
Total				17,506
Health Care/Pharmaceuticals (8.2%)
Biomet, Inc., 6.50%, 8/1/20 144A		825,000		877
Biomet, Inc., 6.50%, 10/1/20 144A		1,370,000		1,361
Centene Corp., 5.75%, 6/1/17		1,620,000		1,741
CHS/Community Health Systems, Inc., 5.125%, 8/15/18		575,000		599
CHS/Community Health Systems, Inc., 7.125%, 7/15/20		870,000		929
CHS/Community Health Systems, Inc., 8.00%, 11/15/19		2,170,000		2,349
Elan Finance PLC/Elan Finance Corp., 6.25%, 10/15/19 144A		1,295,000		1,353
Endo Health Solutions, Inc., 7.00%, 7/15/19		340,000		363
Endo Health Solutions, Inc., 7.25%, 1/15/22		605,000		649
Fresenius Medical Care US Finance II, Inc., 5.625%, 7/31/19 144A		1,210,000		1,299

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

High Yield Bond Portfolio 135

High Yield Bond Portfolio

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Health Care/Pharmaceuticals continued
Fresenius Medical Care US Finance II, Inc., 5.875%, 1/31/22 144A		335,000		363
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 144A		245,000		274
HCA Holdings, Inc., 6.25%, 2/15/21		495,000		507
HCA Holdings, Inc., 7.75%, 5/15/21		1,230,000		1,335
HCA, Inc., 5.875%, 3/15/22		1,730,000		1,881
HCA, Inc., 6.50%, 2/15/20		1,400,000		1,575
HCA, Inc., 7.25%, 9/15/20		1,595,000		1,766
HCA, Inc., 7.875%, 2/15/20		680,000		756
HCA, Inc., 8.00%, 10/1/18		730,000		845
HCA, Inc., 8.50%, 4/15/19		680,000		758
HCA, Inc., 9.875%, 2/15/17		87,000		92
Health Management Associates, Inc., 6.125%, 4/15/16		1,110,000		1,199
Health Management Associates, Inc., 7.375%, 1/15/20		570,000		616
Hologic, Inc., 6.25%, 8/1/20 144A		230,000		248
MPT Operating Partnership LP/MPT Finance Corp., 6.375%, 2/15/22		810,000		850
MPT Operating Partnership LP/MPT Finance Corp., 6.875%, 5/1/21		885,000		960
Mylan, Inc., 6.00%, 11/15/18 144A		925,000		1,022
Mylan, Inc., 7.625%, 7/15/17 144A		305,000		343
Mylan, Inc., 7.875%, 7/15/20 144A		185,000		219
Prospect Medical Holdings, Inc., 8.375%, 5/1/19 144A		1,000,000		1,052
Service Corp. International, 4.50%, 11/15/20		370,000		376
Service Corp. International, 7.00%, 5/15/19		430,000		471
Service Corp. International, 8.00%, 11/15/21		225,000		277
Tenet Healthcare Corp., 6.25%, 11/1/18		915,000		1,004
Tenet Healthcare Corp., 8.875%, 7/1/19		930,000		1,042

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Health Care/Pharmaceuticals continued
	Valeant Pharmaceuticals International, 6.50%, 7/15/16 144A		1,045,000		1,099
	Valeant Pharmaceuticals International, 6.75%, 10/1/17 144A		1,465,000		1,582
	Valeant Pharmaceuticals International, 6.875%, 12/1/18 144A		1,585,000		1,708
	Vanguard Health Systems, Inc., 0.00%, 2/1/16		17,000		13
	VPI Escrow Corp., 6.375%, 10/15/20 144A		1,390,000		1,491
	Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18		655,000		698
	Total				37,942
	Media (8.6%)
	Cablevision Systems Corp., 7.75%, 4/15/18		615,000		684
	CCO Holdings LLC/CCO Holdings Capital Corp., 6.50%, 4/30/21		1,125,000		1,214
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, 1/15/19		1,515,000		1,634
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.25%, 10/30/17		825,000		899
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/1/20		570,000		633
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.875%, 4/30/18		340,000		366
	Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.375%, 9/15/20 144A		1,225,000		1,276
	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20		485,000		489
	CSC Holdings LLC, 7.625%, 7/15/18		870,000		1,005
	CSC Holdings LLC, 7.875%, 2/15/18		535,000		619
	CSC Holdings LLC, 8.625%, 2/15/19		445,000		532
(c)	Dex One Corp., 14.00%, 1/29/17		789,110		262
	DISH DBS Corp., 5.00%, 3/15/23 144A		1,620,000		1,620

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Media continued
	DISH DBS Corp., 5.875%, 7/15/22		775,000		833
	DISH DBS Corp., 6.75%, 6/1/21		1,210,000		1,380
	DISH DBS Corp., 7.125%, 2/1/16		1,310,000		1,467
	DISH DBS Corp., 7.875%, 9/1/19		1,760,000		2,086
	Hughes Satellite Systems Corp., 6.50%, 6/15/19		965,000		1,064
	Hughes Satellite Systems Corp., 7.625%, 6/15/21		605,000		688
	Inmarsat Finance PLC, 7.375%, 12/1/17 144A		285,000		306
	Intelsat Jackson Holdings SA, 7.25%, 4/1/19		1,050,000		1,129
	Intelsat Jackson Holdings SA, 7.25%, 10/15/20		770,000		837
	Intelsat Jackson Holdings SA, 8.50%, 11/1/19		1,020,000		1,142
(c)	Intelsat Luxembourg SA, 11.50%, 2/4/17		1,935,000		2,056
	Lamar Media Corp., 5.00%, 5/1/23 144A		1,000,000		1,028
	LIN Television Corp., 6.375%, 1/15/21 144A		600,000		630
	Mediacom LLC/Mediacom Capital Corp., 9.125%, 8/15/19		325,000		360
	Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18		605,000		676
	QVC, Inc., 5.125%, 7/2/22 144A		260,000		273
	QVC, Inc., 7.375%, 10/15/20 144A		410,000		456
	QVC, Inc., 7.50%, 10/1/19 144A		1,530,000		1,688
	Sinclair Television Group, Inc., 6.125%, 10/1/22 144A		1,195,000		1,268
	Sirius XM Radio, Inc., 5.25%, 8/15/22 144A		290,000		293
	Starz LLC/Starz Finance Corp., 5.00%, 9/15/19 144A		295,000		302
	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 144A		1,235,000		1,275
	Univision Communications, Inc., 6.75%, 9/15/22 144A		715,000		738

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

136 High Yield Bond Portfolio

High Yield Bond Portfolio

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Media continued
	Univision Communications, Inc., 7.875%, 11/1/20 144A		800,000		866
	UPCB Finance III, Ltd., 6.625%, 7/1/20 144A		985,000		1,055
	UPCB Finance V, Ltd., 7.25%, 11/15/21 144A		340,000		374
	Videotron Ltee, 5.00%, 7/15/22		960,000		1,007
	Virgin Media Finance PLC, 8.375%, 10/15/19		451,000		512
	WMG Acquisition Corp., 6.00%, 1/15/21 144A		240,000		253
	WMG Acquisition Corp., 11.50%, 10/1/18		1,065,000		1,230
	XM Satellite Radio, Inc., 7.625%, 11/1/18 144A		930,000		1,037
	Total				39,542
	Other Holdings (–%)
(n)*	General Motors Co. Escrow, 7.20%, 1/15/13		380,000		-
(n)*	General Motors Co. Escrow, 8.375%, 7/15/33		3,515,000		-
	Total				-
	Real Estate (0.1%)
	DuPont Fabros Technology LP, 8.50%, 12/15/17		560,000		612
	Total				612
	Services (0.8%)
(c)	ARAMARK Holdings Corp., 8.625%, 5/1/16 144A		300,000		307
	Clean Harbors, Inc., 5.125%, 6/1/21 144A		310,000		321
	Clean Harbors, Inc., 5.25%, 8/1/20		550,000		573
	FTI Consulting, Inc., 6.00%, 11/15/22 144A		495,000		512
	HDTFS, Inc., 5.875%, 10/15/20 144A		300,000		313
	HDTFS, Inc., 6.25%, 10/15/22 144A		180,000		192
	Mobile Mini, Inc., 7.875%, 12/1/20		615,000		675
	Trans Union LLC/TransUnion Financing Corp., 11.375%, 6/15/18		610,000		711
	Total				3,604

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Technology (4.6%)
	Amkor Technology, Inc., 6.375%, 10/1/22 144A		475,000		468
	Amkor Technology, Inc., 6.625%, 6/1/21		965,000		962
	Equinix, Inc., 7.00%, 7/15/21		215,000		239
	Equinix, Inc., 8.125%, 3/1/18		1,245,000		1,373
	First Data Corp., 6.75%, 11/1/20 144A		1,450,000		1,464
	First Data Corp., 7.375%, 6/15/19 144A		870,000		900
	First Data Corp., 8.25%, 1/15/21 144A		740,000		740
	First Data Corp., 9.875%, 9/24/15		1,930,000		1,969
(c)	First Data Corp., 10.55%, 9/24/15		1,214,022		1,243
	Freescale Semiconductor, Inc., 9.25%, 4/15/18 144A		1,140,000		1,245
	Freescale Semiconductor, Inc., 10.125%, 3/15/18 144A		1,105,000		1,221
	Iron Mountain, Inc., 7.75%, 10/1/19		1,060,000		1,195
	Iron Mountain, Inc., 8.375%, 8/15/21		125,000		139
	Jabil Circuit, Inc., 4.70%, 9/15/22		795,000		836
	MEMC Electronic Materials, Inc., 7.75%, 4/1/19		800,000		672
	NCR Corp., 4.625%, 2/15/21 144A		490,000		490
	NCR Corp., 5.00%, 7/15/22 144A		240,000		244
	Nuance Communications, Inc., 5.375%, 8/15/20 144A		890,000		930
	Seagate HDD Cayman, 6.875%, 5/1/20		735,000		782
	Seagate HDD Cayman, 7.75%, 12/15/18		1,230,000		1,351
	SunGard Data Systems, Inc., 7.375%, 11/15/18		1,050,000		1,125
	SunGard Data Systems, Inc., 7.625%, 11/15/20		925,000		1,010
	West Corp., 11.00%, 10/15/16		415,000		432
	Total				21,030
	Telecommunications (8.7%)
	Cincinnati Bell, Inc., 8.25%, 10/15/17		660,000		711
	Clearwire Communications LLC/Clearwire Finance, Inc., 8.25%, 12/1/40 144A		725,000		795

Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
Telecommunications continued
Clearwire Communications LLC/Clearwire Finance, Inc., 12.00%, 12/1/15 144A		965,000		1,037
Clearwire Communications LLC/Clearwire Finance, Inc., 14.75%, 12/1/16 144A		935,000		1,283
Cricket Communications, Inc., 7.75%, 10/15/20		2,840,000		2,897
Crown Castle International Corp., 5.25%, 1/15/23 144A		1,200,000		1,284
CyrusOne LP/CyrusOne Finance Corp., 6.375%, 11/15/22 144A		310,000		323
Digicel Group, Ltd., 8.25%, 9/30/20 144A		395,000		435
Frontier Communications Corp., 8.125%, 10/1/18		610,000		701
Frontier Communications Corp., 8.25%, 4/15/17		1,305,000		1,507
Frontier Communications Corp., 8.50%, 4/15/20		825,000		949
Frontier Communications Corp., 8.75%, 4/15/22		825,000		957
Frontier Communications Corp., 9.25%, 7/1/21		575,000		674
GCI, Inc., 8.625%, 11/15/19		1,130,000		1,201
MetroPCS Wireless, Inc., 6.625%, 11/15/20		1,135,000		1,206
MetroPCS Wireless, Inc., 7.875%, 9/1/18		1,050,000		1,137
NII Capital Corp., 7.625%, 4/1/21		1,705,000		1,292
NII Capital Corp., 8.875%, 12/15/19		1,715,000		1,363
PAETEC Holding Corp., 8.875%, 6/30/17		450,000		483
SBA Communications Corp., 5.625%, 10/1/19 144A		715,000		751
SBA Telecommunications, Inc., 5.75%, 7/15/20 144A		580,000		616
SBA Telecommunications, Inc., 8.25%, 8/15/19		308,000		344

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

High Yield Bond Portfolio 137

High Yield Bond Portfolio

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Telecommunications continued
	Sprint Capital Corp., 6.90%, 5/1/19		1,185,000		1,292
	Sprint Nextel Corp., 6.00%, 12/1/16		1,565,000		1,702
	Sprint Nextel Corp., 6.00%, 11/15/22		1,340,000		1,377
	Sprint Nextel Corp., 7.00%, 3/1/20 144A		575,000		668
	Sprint Nextel Corp., 7.00%, 8/15/20		2,010,000		2,196
	Sprint Nextel Corp., 8.375%, 8/15/17		2,160,000		2,511
	Sprint Nextel Corp., 9.00%, 11/15/18 144A		1,020,000		1,260
	Sprint Nextel Corp., 9.125%, 3/1/17		575,000		677
	Sprint Nextel Corp., 11.50%, 11/15/21		1,140,000		1,550
	TW Telecom Holdings, Inc., 5.375%, 10/1/22 144A		160,000		168
(c)	Wind Acquisition Holding Finance SA, 12.25%, 7/15/17 144A		1,182,405		1,206
	Windstream Corp., 7.00%, 3/15/19		680,000		695
	Windstream Corp., 7.75%, 10/15/20		1,645,000		1,777
	Windstream Corp., 7.875%, 11/1/17		1,075,000		1,209
	Total				40,234
	Transportation (0.3%)
	Continental Airlines, Inc., 6.75%, 9/15/15 144A		615,000		646
	Kansas City Southern de Mexico SAB de CV, 8.00%, 2/1/18		480,000		529
	Total				1,175
	Utilities (3.1%)
	The AES Corp., 7.75%, 10/15/15		1,495,000		1,678
	The AES Corp., 8.00%, 10/15/17		585,000		676
	The AES Corp., 8.00%, 6/1/20		1,170,000		1,345
	Calpine Corp., 7.50%, 2/15/21 144A		832,000		919
	Calpine Corp., 7.875%, 7/31/20 144A		1,606,000		1,803
	DPL, Inc., 6.50%, 10/15/16		1,520,000		1,607
	DPL, Inc., 7.25%, 10/15/21		510,000		546
	GenOn Americas Generation LLC, 8.50%, 10/1/21		570,000		650
	NRG Energy, Inc., 7.625%, 1/15/18		1,765,000		1,959

	Bonds (89.0%)	Shares/ $ Par		Value $ (000’s)
	Utilities continued
	NRG Energy, Inc., 7.625%, 5/15/19		1,210,000		1,295
	NRG Energy, Inc., 8.25%, 9/1/20		230,000		258
	NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 144A		705,000		726
	Puget Energy, Inc., 5.625%, 7/15/22		950,000		1,023
	Total				14,485
	Total Bonds
	(Cost: $382,232)				410,286
	Bank Loan Obligations (3.4%)
	Bank Loan Obligations (3.4%)
	Allison Transmission, Inc., 4.25%, due 8/23/19		995,006		1,003
	Aramark Corp., 3.25%, due 7/26/16		1,000,000		1,003
	Chesapeake Energy Corp., 5.75%, due 12/2/17		1,500,000		1,501
	Chrysler Group LLC, 6.00%, due 5/24/17		1,243,687		1,269
	DaVita Healthcare Partners, Inc., 4.00%, due 11/1/19		1,500,000		1,509
	FMG Resources (August 2006) Pty, Ltd., 5.25%, due 10/18/17		997,500		1,005
	Kinetic Concepts, Inc., 5.50%, due 5/4/18		1,994,962		2,015
	MGM Resorts International, 4.25%, due 12/20/19		1,000,000		1,010
	Navistar, Inc., 7.00%, due 8/17/17		1,250,000		1,254
	The Neiman Marcus Group, Inc., 4.75%, due 5/16/18		1,000,000		1,001
	Offshore Group Investment, Ltd., 6.25%, due 10/25/17		987,500		985
	Serta Simmons Holdings, Inc., 5.00%, due 10/1/19		1,000,000		1,000
	Warner Chilcott Corp., 4.25%, due 3/15/18		1,243,683		1,250
	Total Bank Loan Obligations
	(Cost: $15,659)				15,805
	Short-Term Investments (5.1%)
	Electronics (0.8%)
(b)	International Business Machines Corp., 0.05%, 1/2/13		3,700,000		3,700
	Total				3,700

Short-Term Investments (5.1%)	Shares/ $ Par		Value $ (000’s)
Federal Government & Agencies (1.1%)
Federal Home Loan Mortgage Corp., 0.13%, 2/25/13		5,000,000		4,999
Total				4,999
Finance Services (2.1%)
Alpine Securitization Corp., 0.18%, 1/17/13		5,000,000		4,999
Govco LLC, 0.27%, 2/4/13		5,000,000		4,999
Total				9,998
Machinery (1.1%)
John Deere Canada ULC, 0.15%, 1/29/13		5,000,000		5,000
Total				5,000
Total Short-Term Investments
(Cost: $23,697)				23,697
Total Investments (98.9%)
(Cost: $426,867)(a)				455,790
Other Assets, Less
Liabilities (1.1%)				5,152
Net Assets (100.0%)				460,942

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

138 High Yield Bond Portfolio

High Yield Bond Portfolio

* Non-Income Producing

144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $122,847 representing 26.6% of the net assets.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $427,082 and the net unrealized appreciation of investments based on that cost was $28,708 which is comprised of $32,599 aggregate gross unrealized appreciation and $3,891 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for when-issued securities.

(c) PIK — Payment In Kind

(d) Defaulted Security

(n) Security valued in good faith by the Board of Directors.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,030	$	-	$	587
Preferred Stocks		3,106		1,279		-
Corporate Bonds		-		410,286		-	(m)
Bank Loans		-		15,805		-	(m)
Short-Term Investments		-		23,697		-
Total	$	4,136	$	451,067	$	587

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

High Yield Bond Portfolio 139

Multi-Sector Bond Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Maximum total return, consistent with prudent investment management.	Invest primarily in a diversified portfolio of fixed income instruments of varying maturities and quality, and in derivatives designed to replicate such securities.	$373 million

Portfolio Overview

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 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. The Portfolio may, without limitation, seek to obtain market exposure to the securities in which it primarily invests by entering into a series of purchase and sale contracts or by using other investment techniques (such as buy backs or dollar rolls).

Market Overview

2012 was a year defined globally by a dynamic, polarized political process. The year began with a focus on Europe, as the seemingly inevitable Greek tragedy fueled speculation of when, not if, the European Union (EU) would see its membership shrink. In late July, a few determined statements from the European Central Bank (ECB) President Mario Draghi—later reinforced in early September by the ECB Governing Council—stabilized markets and postponed any sovereign exits from the EU. The markets spent the remainder of the year weighing the efficacy of a “do whatever it takes to safeguard monetary union” policy stance versus the Greek austerity commitment and Spanish financial system stability.

The eurozone had to compete with the United States for headlines, as the U.S. political climate often relegated geopolitical instability and uprising to second page news. Markets confronted an evolving monetary policy that produced multiple extensions of rate guidance (now mid-2015), a third quantitative easing (QE3) mortgage purchase program and additional, targeted Treasury purchases with the expiry of “Operation Twist”, the explicit use of unemployment and inflation quantitative thresholds, and a growing NY Federal Reserve balance sheet and System Open Market Account which currently stands at $2.65 trillion.

While the President’s reelection may have cemented the fate of the Affordable Care Act and Dodd-Frank reforms, market participants quickly turned their attention to the uncertainty surrounding the impending fiscal cliff. Both political parties recognized that averting the cliff was essential to avoiding a recession in 2013, but negotiations were strained for much of the quarter with Democrats seeking increased tax revenue from the wealthiest Americans and Republicans asking for spending cuts on entitlement programs. Ultimately, hopes of a grand bargain abated and gave way to a short-term deal, thus opening the door to further fiscal negotiations, most notably on a debt ceiling increase and spending cuts (the “sequester”), in 2013.

Portfolio Results

The Portfolio returned 14.94% for the twelve months ended December 31, 2012. By comparison, the Barclays^® Global Credit Hedged USD Index returned 11.65%. The Portfolio’s custom benchmark, comprised of 1/3 Barclays^® Global Aggregate Credit component, 1/3 Merrill Lynch Global High Yield BB-B rated constrained and 1/3 J.P. Morgan EMBI Global, all U.S. dollar Hedged Index (the “Equal Weighted Composite Index”), returned 15.72%. (These Indices are unmanaged, cannot be invested in directly and do not include administrative expenses or sales charges.) The Portfolio outperformed the 11.87% average return of the Multisector Bond category according to Morningstar^®, Inc., an independent mutual fund ranking agency.

When compared to the Equal Weighted Composite Index, the Portfolio was underweight spread duration, particularly in the high yield and emerging markets (EM) sectors. These positions detracted from performance, as spreads tightened across the board. However, EM local rate exposure, particularly via interest rate swaps in Brazil, was positive for performance as the Monetary Policy Committee cut the policy rate.

Sectors that traded at a spread to U.S. Treasurys outperformed, as global central banks extended their commitment to monetary easing. The Portfolio’s focus on financials within the investment grade corporate sector added to relative performance amid accommodative monetary policy and improving housing data.

140 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

During the period, the Portfolio used certain forward currency contracts to manage how the Portfolio was exposed to various foreign currency. In addition, the Portfolio utilized credit default swaps on a basket of credit entities to manage the Portfolio’s corporate bond exposure.

Portfolio Manager Outlook

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

We expect the global economy to grow at a real rate of 1.5 to 2.0% in 2013, representing a slowdown from the 2.2% pace of growth seen over the past twelve months. Real growth, we believe, will be moderated by efforts to resolve debt overhangs through fiscal restraint as evidenced by the slowing in corporate profits, capital expenditures and global trade.

Simultaneously, inflation will likely decrease in the near term. We expect households will continue to delever their balance sheets while the corporate sector remains reluctant to engage its own. Nominal growth could, however, be bolstered by the continued resolve of central banks. The balance of these forces will determine if GDP growth has slowed to stall speed or if a coordinated global slowdown can be averted.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		Since Inception*
Multi-Sector Bond Portfolio		14.94%		9.20%		8.28%
Barclays® Global Credit Hedged USD Index		11.65%		7.10%		6.51%
Equal Weighted Composite of Barclays® Global Aggregate — Credit Component, Hedged USD; Merrill Lynch® Global High Yield BB-B Rated Constrained Index; JP Morgan® EMBI Global		15.72%		9.08%		8.23%
Morningstar® US Insurance Fund Multisector Bond Average		11.87%		6.79%		-

* Inception date of 4/30/07

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/30/07 (commencement of the Portfolio’s operations). 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 in lower-quality securities, which may present a significant risk for loss of principal and interest. Bonds and other debt obligations are affected by changes in interest rates, inflation risk and the creditworthiness of their issuers. High yield bonds generally have greater price swings and higher default risks than investment grade bonds. 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.

Multi-Sector Bond Portfolio 141

Multi-Sector Bond Portfolio

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 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.

Top 10 Fixed Income Holdings 12/31/12

Security Description	% of Market Value
US Treasury, Various		5.9%
Indonesia Government International Bond, Various		2.7%
Republic of South Africa, Various		2.5%
Petroleos de Venezuela SA, Various		1.7%
Province of Quebec Canada, Various		1.5%
American International Group, Inc., Various		1.3%
Petroleos Mexicanos, Various		1.2%
Australian Index Linked, Various		1.2%
The Royal Bank of Scotland PLC, Various		1.2%
Ally Financial, Inc., Various		1.2%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

142 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

Schedule of Investments

December 31, 2012

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Aerospace/Defense (1.1%)
	American Airlines Pass Through Trust, Series 2009-1, Class A, 10.375%, 7/2/19		85,784		91
	American Airlines Pass Through Trust, Series 2011-1, Class A, 5.25%, 1/31/21		189,455		199
(b)	American Airlines Pass Through Trust, Series 2011-2, Class A, 8.625%, 10/15/21		376,053		390
	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.25%, 11/10/19		262,974		304
	Continental Airlines Pass Through Trust, Series 2010-1, Class A, 4.75%, 1/12/21		95,434		104
	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.75%, 12/17/19		230,085		264
	Delta Air Lines Pass Through Trust, Series 2012-1, Class A, 4.75%, 5/7/20		500,000		535
	United Airlines Pass Through Trust, Series 2009-2, Class A, 9.75%, 1/15/17		318,933		369
	US Airways Pass-Through Trust, 5.90%, 10/1/24		1,500,000		1,635
	Waha Aerospace BV, 3.925%, 7/28/20 144A		240,000		260
	Total				4,151
	Autos/Vehicle Parts (1.1%)
	Ford Motor Credit Co. LLC, 2.75%, 5/15/15		300,000		306
	Ford Motor Credit Co. LLC, 3.875%, 1/15/15		200,000		209
	Ford Motor Credit Co. LLC, 7.00%, 4/15/15		900,000		1,003
	Ford Motor Credit Co. LLC, 8.00%, 6/1/14		400,000		436
(k)	Ford Motor Credit Co. LLC, 8.70%, 10/1/14		1,800,000		2,016
	Meritor, Inc., 8.125%, 9/15/15		165,000		174
	Total				4,144
	Banking (10.1%)
	Abbey National Treasury Services PLC, 1.893%, 4/25/14		600,000		599

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Banking continued
	Banco Bradesco SA, 2.41%, 5/16/14 144A		1,000,000		1,007
	Banco do Brasil SA, 2.219%, 2/15/13		300,000		300
	Banco do Brasil SA, 6.00%, 1/22/20 144A		200,000		233
	Banco do Brasil SR (Cayman), 3.875%, 10/10/22		1,200,000		1,209
	Banco Mercantil del Norte SA, 4.375%, 7/19/15 144A		100,000		105
	Banco Santander Brasil SA, 2.408%, 3/18/14 144A		400,000		399
	Banco Santander Brasil SA, 4.25%, 1/14/16 144A		1,500,000		1,556
	Banco Santander Chile, 3.875%, 9/20/22 144A		1,000,000		1,025
	Banco Votorantim SA, 5.25%, 2/11/16 144A		800,000		842
	Bank of America Corp., 5.75%, 12/1/17		500,000		583
	Bank of America Corp., 6.00%, 9/1/17		120,000		141
	BBVA Bancomer SA/Texas, 4.50%, 3/10/16		1,000,000		1,063
(k)	The Bear Stearns LLC, 7.25%, 2/1/18		2,400,000		3,007
	Cantor Fitzgerald LP, 7.875%, 10/15/19 144A		1,500,000		1,538
	Citigroup, Inc., 6.125%, 5/15/18		772,000		925
	The Export-Import Bank of Korea, 3.75%, 10/20/16		700,000		752
	The Export-Import Bank of Korea, 4.00%, 1/29/21		200,000		215
	The Export-Import Bank of Korea, 4.375%, 9/15/21		1,200,000		1,326
	The Export-Import Bank of Korea, 5.125%, 6/29/20		250,000		287
	The Goldman Sachs Group, Inc., 5.25%, 7/27/21		400,000		456
	The Goldman Sachs Group, Inc., 6.15%, 4/1/18		500,000		587
	The Goldman Sachs Group, Inc., 6.75%, 10/1/37		450,000		510

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Banking continued
(k)	The Goldman Sachs Group, Inc., 7.50%, 2/15/19		2,300,000		2,894
	HSBC Bank PLC, 4.125%, 8/12/20 144A		800,000		890
	Intesa Sanpaolo SpA, 2.712%, 2/24/14 144A		1,600,000		1,598
	Macquarie Group, Ltd., 6.25%, 1/14/21 144A		300,000		333
(k)	Merrill Lynch & Co., Inc., 6.875%, 4/25/18		1,500,000		1,808
	Morgan Stanley, 5.625%, 9/23/19		400,000		452
	Morgan Stanley, 5.95%, 12/28/17		200,000		226
	Morgan Stanley, 6.00%, 4/28/15		500,000		545
(k)	Morgan Stanley, 7.30%, 5/13/19		2,800,000		3,403
	Norddeutsche Landesbank Girozentrale, 0.875%, 10/16/15 144A		200,000		200
	Rabobank Nederland NV, 11.00%, 12/29/49 144A		200,000		270
(k)	The Royal Bank of Scotland Group PLC, 2.55%, 9/18/15		3,100,000		3,173
	RSHB Capital SA for OJSC Russian Agricultural Bank, 7.125%, 1/14/14		500,000		526
	Turkiye Garanti Bankasi AS, 2.819%, 4/20/16 144A		200,000		198
	Vnesheconombank Via VEB Finance PLC, 5.375%, 2/13/17 144A		200,000		219
	Vnesheconombank Via VEB Finance PLC, 5.45%, 11/22/17 144A		1,200,000		1,335
	Vnesheconombank Via VEB Finance PLC, 6.025%, 7/5/22 144A		400,000		465
	Vnesheconombank Via VEB Finance PLC, 6.80%, 11/22/25		100,000		122
	Vnesheconombank Via VEB Finance PLC, 6.902%, 7/9/20		400,000		488
	Total				37,810
	Basic Materials (4.0%)
	Berry Plastics Corp., 5.09%, 2/15/15		300,000		300

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

Multi-Sector Bond Portfolio 143

Multi-Sector Bond Portfolio

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Basic Materials continued
	Berry Plastics Corp., 8.25%, 11/15/15		400,000		418
	Celanese US Holdings LLC, 6.625%, 10/15/18		100,000		110
	CONSOL Energy, Inc., 8.00%, 4/1/17		1,500,000		1,624
	CSN Islands IX Corp., 10.00%, 1/15/15		200,000		226
	CSN Resources SA, 6.50%, 7/21/20 144A		100,000		109
	CSN Resources SA, 6.50%, 7/21/20		200,000		217
	Desarrolladora Homex SAB de CV, 9.50%, 12/11/19 144A		150,000		161
	FMG Resources (August 2006) Pty, Ltd., 6.00%, 4/1/17 144A		800,000		816
	FMG Resources (August 2006) Pty, Ltd., 6.375%, 2/1/16 144A		100,000		103
	FMG Resources (August 2006) Pty, Ltd., 7.00%, 11/1/15 144A		300,000		315
	FMG Resources (August 2006) Pty, Ltd., 8.25%, 11/1/19 144A		1,500,000		1,597
(k)	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18		1,700,000		1,747
	Huntsman International LLC, 8.625%, 3/15/21		600,000		686
	Ineos Finance PLC, 7.50%, 5/1/20 144A		200,000		209
	Ineos Finance PLC, 8.375%, 2/15/19 144A		200,000		216
	Ineos Finance PLC, 9.00%, 5/15/15 144A		1,200,000		1,275
	Newcrest Finance Pty, Ltd., 4.20%, 10/1/22 144A		200,000		206
	Newcrest Finance Pty, Ltd., 4.45%, 11/15/21 144A		400,000		421
	Newcrest Finance Pty, Ltd., 5.75%, 11/15/41 144A		200,000		221
(c)	Noranda Aluminum Acquisition Corp., 4.524%, 5/15/15		600,000		564
(k)	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 7.125%, 4/15/19		1,900,000		2,043

Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
Basic Materials continued
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 7.875%, 8/15/19		200,000		222
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 8.50%, 5/15/18		400,000		410
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.875%, 8/15/19		100,000		107
Sappi Papier Holding GmbH, 7.75%, 7/15/17 144A		400,000		436
Total				14,759
Builders/Building Materials (0.9%)
Agile Property Holdings, Ltd., 8.875%, 4/28/17 144A		150,000		161
Cemex Finance LLC, 9.375%, 10/12/22 144A		300,000		337
Cemex Finance LLC, 9.50%, 12/14/16 144A		600,000		653
Cemex SAB de CV, 9.50%, 6/15/18 144A		1,300,000		1,466
Corporacion GEO SAB de CV, 9.25%, 6/30/20 144A		200,000		215
HD Supply, Inc., 8.125%, 4/15/19 144A		300,000		342
Urbi Desarrollos Urbanos SAB de CV, 9.50%, 1/21/20 144A		100,000		95
Total				3,269
Consumer Products/Retailing (0.6%)
CVS Pass-Through Trust, 5.926%, 1/10/34 144A		881,222		1,060
CVS Pass-Through Trust, 7.507%, 1/10/32 144A		94,206		124
Jarden Corp., 6.125%, 11/15/22		100,000		108
Rock-Tenn Co., 4.45%, 3/1/19 144A		200,000		216
Sally Holdings LLC/Sally Capital, Inc., 6.875%, 11/15/19		100,000		111
Spectrum Brands, Inc., 9.50%, 6/15/18		400,000		454
Total				2,073

Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
Electric Utilities (0.9%)
Centrais Eletricas Brasileiras SA, 6.875%, 7/30/19 144A		400,000		455
Centrais Eletricas Brasileiras SA, 6.875%, 7/30/19		200,000		228
Centrais Eletricas Brasileiras SA, 7.75%, 11/30/15 144A		1,300,000		1,482
Enel Finance International SA, 5.70%, 1/15/13 144A		100,000		100
Entergy Corp., 3.625%, 9/15/15		100,000		105
Exelon Generation Co. LLC, 4.25%, 6/15/22 144A		500,000		520
Israel Electric Corp., Ltd., 7.25%, 1/15/19 144A		200,000		217
Korea Hydro & Nuclear Power Co., Ltd., 3.125%, 9/16/15 144A		100,000		104
Korea Hydro & Nuclear Power Co., Ltd., 6.25%, 6/17/14		100,000		107
Oncor Electric Delivery Co. LLC, 4.10%, 6/1/22		200,000		218
Total				3,536
Energy (9.1%)
AK Transneft OAO, 7.70%, 8/7/13		200,000		209
Anadarko Finance Co., 7.50%, 5/1/31		100,000		132
Anadarko Petroleum Corp., 5.95%, 9/15/16		300,000		345
Anadarko Petroleum Corp., 6.375%, 9/15/17		300,000		358
CNOOC Finance 2012, Ltd., 3.875%, 5/2/22		1,500,000		1,597
Compagnie Generale de Geophysique-Veritas, 7.75%, 5/15/17		100,000		104
Continental Resources, Inc., 7.125%, 4/1/21		100,000		113
Ecopetrol SA, 7.625%, 7/23/19		720,000		931
El Paso Corp., 8.25%, 2/15/16		100,000		112
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75%, 9/1/22		100,000		106
Gazprom OAO, 5.625%, 7/22/13		14,580		15
Gazprom OAO, 6.51%, 3/7/22		1,000,000		1,192
Gazprom OAO, 7.288%, 8/16/37		700,000		912

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

144 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

Corporate Bonds (60.2%)	Shares/ $ Par	Value $ (000’s)
Energy continued
Gazprom OAO, 8.625%, 4/28/34	1,000,000		1,439
Gazprom OAO, 9.25%, 4/23/19	200,000		265
Harvest Operations Corp., 6.875%, 10/1/17	100,000		111
Indian Oil Corp., Ltd., 4.75%, 1/22/15	1,100,000		1,150
KazMunayGas National Co., 6.375%, 4/9/21 144A	900,000		1,101
KazMunayGas National Co., 7.00%, 5/5/20 144A	300,000		373
KazMunayGas National Co., 8.375%, 7/2/13	300,000		310
KazMunayGas National Co., 11.75%, 1/23/15	700,000		836
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/1/21	100,000		106
Majapahit Holding BV, 7.25%, 6/28/17	100,000		118
Majapahit Holding BV, 7.75%, 1/20/20 144A	100,000		126
Majapahit Holding BV, 7.75%, 1/20/20	100,000		126
Majapahit Holding BV, 8.00%, 8/7/19	100,000		126
Midcontinent Express Pipeline LLC, 6.70%, 9/15/19 144A	1,500,000		1,584
Nakilat, Inc., 6.067%, 12/31/33	200,000		242
Newfield Exploration Co., 6.875%, 2/1/20	300,000		321
Newfield Exploration Co., 7.125%, 5/15/18	100,000		105
NGPL PipeCo LLC, 7.119%, 12/15/17 144A	500,000		545
NGPL PipeCo LLC, 7.768%, 12/15/37 144A	200,000		210
NGPL PipeCo LLC, 9.625%, 6/1/19 144A	700,000		805
OGX Austria GmbH, 8.375%, 4/1/22 144A	700,000		585
OGX Austria GmbH, 8.375%, 4/1/22	800,000		668
OGX Austria GmbH, 8.50%, 6/1/18 144A	600,000		540
Pemex Project Funding Master Trust, 5.75%, 3/1/18	1,440,000		1,681
Petrohawk Energy Corp., 7.25%, 8/15/18	100,000		113
Petroleos de Venezuela SA, 4.90%, 10/28/14	100,000		96
Petroleos de Venezuela SA, 5.00%, 10/28/15	100,000		92

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Energy continued
	Petroleos de Venezuela SA, 5.375%, 4/12/27		1,900,000		1,330
	Petroleos de Venezuela SA, 5.50%, 4/12/37		1,800,000		1,233
(k)	Petroleos de Venezuela SA, 8.50%, 11/2/17		4,200,000		4,147
	Pride International, Inc., 8.50%, 6/15/19		500,000		660
	Ras Laffan Liquefied Natural Gas Co., Ltd. II, 5.298%, 9/30/20		398,750		448
	Ras Laffan Liquefied Natural Gas Co., Ltd. III, 6.75%, 9/30/19		550,000		690
	Rockies Express Pipeline LLC, 5.625%, 4/15/20 144A		1,000,000		982
(k)	Rockies Express Pipeline LLC, 6.85%, 7/15/18 144A		2,900,000		3,031
	SandRidge Energy, Inc., 7.50%, 3/15/21		200,000		214
	SandRidge Energy, Inc., 7.50%, 2/15/23		400,000		428
	SandRidge Energy, Inc., 8.125%, 10/15/22		400,000		438
	SandRidge Energy, Inc., 8.75%, 1/15/20		100,000		109
	SandRidge Energy, Inc., 9.875%, 5/15/16		100,000		108
	Tengizchevroil Finance Co. SARL, 6.124%, 11/15/14		57,273		59
	Total				33,777
	Financials (2.2%)
	Ally Financial, Inc., 3.51%, 2/11/14		800,000		814
	Ally Financial, Inc., 3.709%, 6/20/14		1,000,000		1,023
	Ally Financial, Inc., 4.625%, 6/26/15		1,000,000		1,043
	Ally Financial, Inc., 6.75%, 12/1/14		400,000		432
	Ally Financial, Inc., 7.50%, 12/31/13		400,000		423
	Ally Financial, Inc., 8.30%, 2/12/15		300,000		334
	AWAS Aviation Capital, Ltd., 7.00%, 10/17/16 144A		808,000		852
	CIT Group, Inc., 5.25%, 4/1/14 144A		1,200,000		1,242
	Eksportfinans ASA, 0.505%, 4/5/13		100,000		100
	Eksportfinans ASA, 1.875%, 4/2/13		100,000		100
	Eksportfinans ASA, 2.00%, 9/15/15		200,000		191
	Eksportfinans ASA, 5.50%, 5/25/16		200,000		208

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	International Lease Finance Corp., 6.75%, 9/1/16 144A		1,200,000		1,347
	Total				8,109
	Gas Pipelines (0.2%)
	El Paso Corp., 12.00%, 12/12/13		800,000		872
(n)*	Selectica, 8.75%, 11/15/15		500,000		-
	Total				872
	Health Care/Pharmaceuticals (2.2%)
	Amgen, Inc., 3.625%, 5/15/22		800,000		860
	Amgen, Inc., 5.375%, 5/15/43		900,000		1,061
	Baptist Health South Florida Obligated Group, 4.59%, 8/15/21		100,000		112
	Boston Scientific Corp., 6.00%, 1/15/20		1,200,000		1,400
(k)	HCA, Inc., 6.50%, 2/15/20		2,200,000		2,475
	HCA, Inc., 9.875%, 2/15/17		130,000		137
	Mylan, Inc., 7.625%, 7/15/17 144A		100,000		112
	Mylan, Inc., 7.875%, 7/15/20 144A		300,000		355
	Valeant Pharmaceuticals International, 6.50%, 7/15/16 144A		600,000		631
	Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18		900,000		958
	Total				8,101
	Independent Finance (6.1%)
	Alliance Data Systems Corp., 5.25%, 12/1/17 144A		600,000		609
	American International Group, Inc., 5.05%, 10/1/15		300,000		331
	American International Group, Inc., 5.60%, 10/18/16		200,000		228
(k)	American International Group, Inc., 5.85%, 1/16/18		2,400,000		2,837
	Anglo American Capital PLC, 2.625%, 9/27/17 144A		200,000		204
	Anglo American Capital PLC, 4.125%, 9/27/22 144A		1,400,000		1,463

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

Multi-Sector Bond Portfolio 145

Multi-Sector Bond Portfolio

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Independent Finance continued
	Banco Continental SA via Continental Senior Trustee II Cayman, Ltd., 5.75%, 1/18/17 144A		600,000		657
	Fibria Overseas Finance, Ltd., 6.75%, 3/3/21 144A		200,000		221
	GATX Corp., 4.75%, 6/15/22		200,000		210
	Hyundai Capital Services, Inc., 4.375%, 7/27/16 144A		200,000		215
	Hyundai Capital Services, Inc., 6.00%, 5/5/15		1,300,000		1,427
	Indo Energy Finance BV, 7.00%, 5/7/18 144A		200,000		209
	IPIC GMTN, Ltd., 5.00%, 11/15/20 144A		1,500,000		1,705
	The Korea Development Bank, 3.00%, 9/14/22		1,000,000		996
(n)	LBG Capital No. 1 PLC, 8.50%, 12/17/49 144A		660,000		683
	Odebrecht Drilling Norbe VIII/IX, Ltd., 6.35%, 6/30/21		1,425,000		1,608
(n)	Peru Enhanced Pass-Through Finance, Ltd., 0.00%, 5/31/18 144A		147,929		135
	Reliance Holdings USA, Inc., 4.50%, 10/19/20		300,000		314
	SABIC Capital I BV, 3.00%, 11/2/15		1,200,000		1,241
	SB Capital SA, 5.40%, 3/24/17		500,000		547
	SB Capital SA, 5.499%, 7/7/15		300,000		324
	SB Capital SA, 5.717%, 6/16/21		200,000		224
	SB Capital SA, 6.125%, 2/7/22 144A		1,500,000		1,714
	SB Capital SA, 6.125%, 2/7/22		400,000		457
	Schaeffler Finance BV, 7.75%, 2/15/17 144A		300,000		333
	Temasek Financial I, Ltd., 3.375%, 7/23/42 144A		500,000		474
	TNK-BP Finance SA, 7.25%, 2/2/20 144A		400,000		485
	TNK-BP Finance SA, 7.50%, 3/13/13 144A		200,000		202
	TNK-BP Finance SA, 7.50%, 3/13/13		600,000		607
	TNK-BP Finance SA, 7.875%, 3/13/18 144A		100,000		121

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Independent Finance continued
(k)	TNK-BP Finance SA, 7.875%, 3/13/18		1,500,000		1,821
	Total				22,602
	Industrial - Other (0.2%)
	Rhodia SA, 6.875%, 9/15/20 144A		500,000		564
	Sinochem Overseas Capital Co., Ltd., 4.50%, 11/12/20 144A		100,000		107
	Total				671
	Media (0.7%)
	Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22 144A		500,000		519
	Columbus International, Inc., 11.50%, 11/20/14 144A		100,000		111
	CSC Holdings LLC, 7.625%, 7/15/18		100,000		115
	CSC Holdings LLC, 7.875%, 2/15/18		400,000		463
	CSC Holdings LLC, 8.625%, 2/15/19		200,000		239
	DISH DBS Corp., 7.125%, 2/1/16		325,000		364
	EchoStar DBS Corp., 7.75%, 5/31/15		700,000		783
	Quebecor Media, Inc., 7.75%, 3/15/16		162,000		166
	Total				2,760
	Metals/Mining (2.3%)
	AngloGold Ashanti Holdings PLC, 5.375%, 4/15/20		100,000		103
	ArcelorMittal, 7.50%, 10/15/39		100,000		94
	CSN Islands XI Corp., 6.875%, 9/21/19 144A		700,000		784
	Gerdau Holdings, Inc., 7.00%, 1/20/20 144A		200,000		232
	Gerdau Holdings, Inc., 7.00%, 1/20/20		600,000		698
	Gerdau Trade, Inc., 5.75%, 1/30/21 144A		800,000		880
	Gold Fields Orogen Holding BVI, Ltd., 4.875%, 10/7/20		200,000		197
	Severstal OAO, 6.70%, 10/25/17 144A		700,000		767
	Southern Copper Corp., 5.25%, 11/8/42		500,000		500
	Steel Dynamics, Inc., 7.625%, 3/15/20		300,000		332
	Teck Resources, Ltd., 4.50%, 1/15/21		1,500,000		1,632
	Vale Overseas, Ltd., 4.375%, 1/11/22		800,000		854

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Metals/Mining continued
	Vale Overseas, Ltd., 4.625%, 9/15/20		400,000		432
	Vale Overseas, Ltd., 6.875%, 11/21/36		100,000		124
	Xstrata Canada Financial Corp., 3.60%, 1/15/17 144A		1,000,000		1,053
	Total				8,682
	Oil and Gas (2.0%)
(k)	Petrobras International Finance Co., 5.375%, 1/27/21		2,400,000		2,702
	Petrobras International Finance Co., 5.875%, 3/1/18		600,000		687
	Petrobras International Finance Co., 7.875%, 3/15/19		230,000		287
	Petroleos Mexicanos, 4.875%, 3/15/15		1,490,000		1,606
	Petroleos Mexicanos, 8.00%, 5/3/19		1,200,000		1,569
	QGOG Constellation SA, 6.25%, 11/9/19 144A		500,000		521
	Total				7,372
	Other Finance (4.3%)
	AK Transneft OAO, 8.70%, 8/7/18 144A		1,000,000		1,295
	Alrosa Finance SA, 7.75%, 11/3/20 144A		500,000		580
	Alrosa Finance SA, 7.75%, 11/3/20		900,000		1,044
	Banque PSA Finance, 2.254%, 4/4/14 144A		1,000,000		988
	Banque PSA Finance, 4.375%, 4/4/16 144A		500,000		504
	Braskem Finance, Ltd., 5.375%, 5/2/22 144A		400,000		414
	Braskem Finance, Ltd., 5.75%, 4/15/21 144A		250,000		263
	Braskem Finance, Ltd., 5.75%, 4/15/21		700,000		739
	Dolphin Energy, Ltd., 5.50%, 12/15/21 144A		1,300,000		1,516
	Dolphin Energy, Ltd., 5.50%, 12/15/21		200,000		233
	Novatek Finance, Ltd., 6.604%, 2/3/21 144A		1,100,000		1,290
	Prudential Covered Trust 2012-1, 2.997%, 9/30/15 144A		475,000		493
	QNB Finance, Ltd., 3.375%, 2/22/17		1,200,000		1,257
	RCI Banque SA, 2.217%, 4/11/14 144A		900,000		900
	Rosneft Oil Co. via Rosneft International Finance, Ltd., 4.199%, 3/6/22 144A		700,000		716

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

146 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Other Finance continued
	SLM Corp., 5.00%, 4/15/15		600,000		632
(k)	SLM Corp., 6.25%, 1/25/16		2,700,000		2,936
	SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 144A		87,385		91
	Total				15,891
	Other Services (0.2%)
	Ecolab, Inc., 3.00%, 12/8/16		800,000		850
	Total				850
	Paper and Forest Products (0.3%)
	Celulosa Arauco y Constitucion SA, 7.25%, 7/29/19		300,000		356
	Georgia-Pacific LLC, 8.00%, 1/15/24		100,000		140
	Georgia-Pacific LLC, 8.875%, 5/15/31		300,000		450
	Total				946
	Real Estate Investment Trusts (1.2%)
(k)	American Tower Corp., 7.25%, 5/15/19		1,500,000		1,840
	Longfor Properties Co., Ltd., 9.50%, 4/7/16 144A		200,000		220
	Qatari Diar Finance QSC, 5.00%, 7/21/20		1,100,000		1,284
	SL Green Realty Corp., 5.00%, 8/15/18		1,100,000		1,195
	Total				4,539
	Services (0.2%)
	ARAMARK Corp., 3.813%, 2/1/15		250,000		249
	Hutchison Whampoa International, Ltd., 5.75%, 9/11/19		200,000		238
	Pearson PLC, 5.50%, 5/6/13 144A		100,000		102
	Total				589
	Technology (0.6%)
	Advanced Micro Devices, Inc., 7.50%, 8/15/22 144A		300,000		247
	Audatex North America, Inc., 6.75%, 6/15/18 144A		100,000		107
	First Data Corp., 6.75%, 11/1/20 144A		1,000,000		1,010
	First Data Corp., 7.375%, 6/15/19 144A		500,000		517
	Hewlett-Packard Co., 4.65%, 12/9/21		400,000		402
	Total				2,283

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Telecommunications (3.5%)
(k)	America Movil SAB de CV, 2.375%, 9/8/16		1,700,000		1,767
	America Movil SAB de CV, 4.375%, 7/16/42		200,000		208
	Brocade Communications Systems, Inc., 6.875%, 1/15/20		1,100,000		1,185
	Deutsche Telekom International Finance BV, 8.75%, 6/15/30		700,000		1,049
	Digicel Group, Ltd., 8.25%, 9/30/20 144A		600,000		660
	Eileme 2 AB, 11.625%, 1/31/20 144A		600,000		699
	Frontier Communications Corp., 7.875%, 4/15/15		66,000		74
	Qtel International Finance, Ltd., 3.375%, 10/14/16 144A		300,000		314
	Qtel International Finance, Ltd., 4.75%, 2/16/21 144A		200,000		226
	Qtel International Finance, Ltd., 4.75%, 2/16/21		1,100,000		1,243
	Qwest Corp., 7.25%, 9/15/25		500,000		579
	Telecom Italia Capital SA, 7.721%, 6/4/38		100,000		108
	Telefonos de Mexico SAB de CV, 5.50%, 1/27/15		100,000		109
	Telefonos de Mexico SAB de CV, 5.50%, 11/15/19		700,000		822
	tw telecom holdings, inc., 8.00%, 3/1/18		600,000		657
	Vimpel Communications Via VIP Finance Ireland, Ltd., 7.748%, 2/2/21 144A		1,200,000		1,386
	Vimpel Communications Via VIP Finance Ireland, Ltd., 9.125%, 4/30/18 144A		900,000		1,090
	Wind Acquisition Finance SA, 7.25%, 2/15/18 144A		300,000		304
	Windstream Corp., 7.875%, 11/1/17		100,000		112
	Windstream Corp., 8.125%, 8/1/13		600,000		622
	Total				13,214

	Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
	Tobacco (0.9%)
	Altria Group, Inc., 2.85%, 8/9/22		1,600,000		1,583
	Altria Group, Inc., 9.70%, 11/10/18		237,000		332
	Altria Group, Inc., 10.20%, 2/6/39		800,000		1,338
	Reynolds American, Inc., 6.75%, 6/15/17		50,000		61
	Total				3,314
	Transportation (1.2%)
	Asciano Finance, Ltd., 4.625%, 9/23/20 144A		500,000		519
	Asciano Finance, Ltd., 5.00%, 4/7/18 144A		800,000		864
	DP World, Ltd., 6.85%, 7/2/37		200,000		234
	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, 3/15/16 144A		700,000		702
	Penske Truck Leasing Co. LP/PTL Finance Corp., 3.75%, 5/11/17 144A		300,000		314
(k)	RZD Capital, Ltd., 5.739%, 4/3/17		1,600,000		1,792
	Total				4,425
	Utilities (0.6%)
	The AES Corp., 7.75%, 3/1/14		700,000		746
	The AES Corp., 8.00%, 10/15/17		100,000		115
	The AES Corp., 8.00%, 6/1/20		300,000		345
	NRG Energy, Inc., 7.625%, 1/15/18		600,000		666
	Puget Energy, Inc., 5.625%, 7/15/22		200,000		215
	Total				2,087
	Yankee Sovereign (3.6%)
	Indonesia Government International Bond, 6.75%, 3/10/14		500,000		529
(k)	Indonesia Government International Bond, 6.875%, 1/17/18		5,100,000		6,228
	Peruvian Government International Bond, 7.35%, 7/21/25		800,000		1,159
	Qatar Government International Bond, 5.25%, 1/20/20 144A		1,200,000		1,434
	Russian Government International Bond, 4.50%, 4/4/22 144A		800,000		916
	Russian Government International Bond, 7.50%, 3/31/30		292,950		376

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

Multi-Sector Bond Portfolio 147

Multi-Sector Bond Portfolio

Corporate Bonds (60.2%)	Shares/ $ Par		Value $ (000’s)
Yankee Sovereign continued
Venezuela Government International Bond, 7.75%, 10/13/19		100,000		94
Venezuela Government International Bond, 8.25%, 10/13/24		200,000		184
Venezuela Government International Bond, 9.25%, 5/7/28		1,100,000		1,084
Venezuela Government International Bond, 9.375%, 1/13/34		1,400,000		1,386
Total				13,390
Total Corporate Bonds
(Cost: $207,807)				224,216
Foreign Bonds (18.0%)	Par
Autos/Vehicle Parts (0.2%)
Fiat Finance & Trade SA, 7.625%, 9/15/14		500,000		699
Total				699
Banking (2.5%)
Banco do Brasil SA, 4.50%, 1/20/16 144A		500,000		703
Banco Nacional de Desenvolvimento Economico e Social, 4.125%, 9/15/17 144A		300,000		426
Bank of Scotland PLC, 6.375%, 8/16/19		100,000		173
Barclays Bank PLC, 10.00%, 5/21/21		1,200,000		2,618
Caisse Centrale du Credit Immobilier de France SA, 3.096%, 8/9/13		700,000		930
Lloyds TSB Bank PLC, 6.50%, 3/24/20		600,000		904
Lloyds TSB Bank PLC, 9.625%, 4/6/23		400,000		838
Merrill Lynch & Co., Inc., 0.456%, 1/31/14		1,100,000		1,441
The Royal Bank of Scotland Group PLC, 2.014%, 3/30/15		1,100,000		958
The Royal Bank of Scotland Group PLC, 6.934%, 4/9/18		100,000		149
Royal Bank of Scotland NV, 0.94%, 6/8/15		300,000		371
Total				9,511
Basic Materials (0.8%)
Grohe Holdings GmbH, 4.183%, 9/15/17		100,000		133
Ineos Group Holdings SA, 7.875%, 2/15/16		400,000		523

Foreign Bonds (18.0%)	Par		Value $ (000’s)
Basic Materials continued
Kinove German Bondco GmbH, 10.00%, 6/15/18		1,080,000		1,578
Obrascon Huarte Lain SA, 8.75%, 3/15/18		300,000		432
Smurfit Kappa Acquisitions, 7.75%, 11/15/19		300,000		438
Total				3,104
Beverage/Bottling (0.1%)
Ardagh Packaging Finance PLC, 7.375%, 10/15/17		100,000		144
OI European Group BV, 6.75%, 9/15/20		200,000		299
Total				443
Energy (0.4%)
NXP BV/NXP Funding LLC, 2.96%, 10/15/13		37,305		49
Tokyo Electric Power Co., 4.50%, 3/24/14		950,000		1,272
Total				1,321
Finance Lessors (0.1%)
The Great Rolling Stock Co., 6.875%, 7/27/35		100,000		203
Total				203
Governments (10.3%)
The Autonomous Community of Madrid Spain, 4.20%, 9/24/14		1,700,000		2,166
Banque Centrale de Tunisie SA, 6.25%, 2/20/13		300,000		397
Brazil Notas do Tesouro Nacional Series F, 10.00%, 1/1/14		186,000		93
Brazil Notas do Tesouro Nacional Series F, 10.00%, 1/1/17		3,251,000		1,671
Brazil Notas do Tesouro Nacional Series F, 10.00%, 1/1/21		604,000		311
Commonwealth of Australia Treasury Indexed Bonds, 3.00%, 9/20/25		400,000		571
Commonwealth of Australia Treasury Indexed Bonds, 4.00%, 8/20/20		2,100,000		4,206
Indonesia Treasury Bond, 6.625%, 5/15/33		3,257,000,000		356
Indonesia Treasury Bond, 7.00%, 5/15/27		5,953,000,000		682
Indonesia Treasury Bond, 10.00%, 2/15/28		21,000,000,000		3,036

Foreign Bonds (18.0%)	Par		Value $ (000’s)
Governments continued
Mexican Bonos, 6.00%, 6/18/15		47,000,000		3,756
New South Wales Treasury Corp., 2.75%, 11/20/25		300,000		406
Province of Ontario Canada, 3.15%, 6/2/22		3,100,000		3,231
Province of Ontario Canada, 4.00%, 6/2/21		100,000		112
Province of Ontario Canada, 4.20%, 3/8/18		300,000		335
Province of Ontario Canada, 4.20%, 6/2/20		300,000		339
Province of Quebec Canada, 4.50%, 12/1/18		1,700,000		1,932
Province of Quebec Canada, 4.50%, 12/1/19		300,000		343
Province of Quebec Canada, 4.50%, 12/1/20		2,900,000		3,323
Republic of South Africa, 7.25%, 1/15/20		4,000,000		499
Republic of South Africa, 8.00%, 12/21/18		39,900,000		5,182
Republic of South Africa, 13.50%, 9/15/15		29,700,000		4,227
United Kingdom Gilt Bond, 3.75%, 9/7/21		700,000		1,336
Total				38,510
Independent Finance (1.5%)
American International Group, Inc., 8.625%, 5/22/38		100,000		197
Conti-Gummi Finance BV, 8.50%, 7/15/15		400,000		570
GMAC International Finance BV, 7.50%, 4/21/15		400,000		577
IPIC GMTN, Ltd., 4.875%, 5/14/16		700,000		1,025
LBG Capital No. 1 PLC, 6.439%, 5/23/20		1,400,000		1,832
LBG Capital No. 1 PLC, 7.869%, 8/25/20		100,000		172
LBG Capital No. 1 PLC, 11.04%, 3/19/20		500,000		945
Mondi Finance PLC, 5.75%, 4/3/17		100,000		152
Telenet Finance III Luxembourg SCA, 6.625%, 2/15/21 144A		100,000		140
Total				5,610

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

148 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

	Foreign Bonds (18.0%)	Par		Value $ (000’s)
	Media (0.5%)
	UPC Holding BV, 8.375%, 8/15/20		1,300,000		1,925
	Total				1,925
	Other Finance (0.4%)
	ING Groep NV, 5.14%, 3/17/49		600,000		780
	UPCB Finance II, Ltd., 6.375%, 7/1/20		400,000		562
	Total				1,342
	Retail Food and Drug (0.0%)
	Spirit Issuer PLC, 6.582%, 12/28/18		100,000		150
	Total				150
	Structured Products (0.3%)
	EMF-NL BV, 1.009%, 4/17/41		299,217		335
	Epic Opera PLC, 0.778%, 7/28/16		44,499		71
	Eurosail-NL BV, 0.959%, 10/17/40		219,610		274
	Opera Germany PLC, 0.425%, 10/20/14		100,000		130
	Real Estate Capital No. 5 PLC, 0.758%, 7/25/16		190,299		306
	Total				1,116
	Telecommunications (0.8%)
	Telenet Finance V Luxembourg SCA, 6.25%, 8/15/22 144A		100,000		141
	Telenet Finance V Luxembourg SCA, 6.75%, 8/15/24 144A		300,000		423
	Virgin Media Secured Finance PLC, 7.00%, 1/15/18		900,000		1,583
	Wind Acquisition Finance SA, 7.375%, 2/15/18		600,000		804
	Total				2,951
	Total Foreign Bonds
	(Cost: $63,440)				66,886
	Governments (6.2%)	$ Par
	Governments (6.2%)
(k)	US Treasury, 0.25%, 12/15/14		6,500,000		6,500
(k)	US Treasury, 0.25%, 5/15/15		4,200,000		4,195
(k)	US Treasury, 1.625%, 8/15/22		1,000,000		993
(k)	US Treasury, 3.00%, 5/15/42		1,500,000		1,528
(b)	US Treasury, 3.125%, 11/15/41		3,200,000		3,349

	Governments (6.2%)	Shares/ $ Par		Value $ (000’s)
	Governments continued
(k)	US Treasury, 3.75%, 8/15/41		100,000		118
(k)	US Treasury, 6.375%, 8/15/27		4,300,000		6,515
	Total Governments
	(Cost: $22,963)				23,198
	Municipal Bonds (3.3%)
	Municipal Bonds (3.3%)
	Alameda County California Association of Joint Powers Authorities, Series 2010-A, 7.046%, 12/1/44 RB		100,000		127
	American Municipal Power, Inc., Series 2010-B, 7.834%, 2/15/41 RB		100,000		140
	Bay Area Toll Authority, Series 2010-S1, 6.918%, 4/1/40 RB		200,000		276
	Buckeye Tobacco Settlement Financing Authority, Series 2007-A2, 5.875%, 6/1/30 RB		100,000		91
	Buckeye Tobacco Settlement Financing Authority, Series 2007-A2, 5.875%, 6/1/47 RB		700,000		626
	Buckeye Tobacco Settlement Financing Authority, Series 2007-A2, 6.50%, 6/1/47 RB		300,000		292
	California State, Series 2010, 7.30%, 10/1/39 GO		200,000		277
	California State, Series 2010, 7.70%, 11/1/30 GO		200,000		248
	California State, Series 2010, 7.95%, 3/1/36 GO		1,100,000		1,367
	The California State University, Series 2010-B, 6.484%, 11/1/41 RB		300,000		355
	Chicago Illinois Water Revenue, Series 2010-B, 6.742%, 11/1/40 RB		100,000		137
	City of Riverside, Series 2010-A, 7.605%, 10/1/40 RB		200,000		273

Municipal Bonds (3.3%)	Shares/ $ Par		Value $ (000’s)
Municipal Bonds continued
Clovis Unified School District of California, Series 2001-B, 0.00%, 8/1/20 GO, NATL-RE, FGIC		100,000		81
Golden State Tobacco Securitization Corp., Series 2007-A2, 5.30%, 6/1/37 RB		100,000		90
Golden State Tobacco Securitization Corp., Series 2007-A1, 5.75%, 6/1/47 RB		100,000		94
Indiana Finance Authority, Series 2009-B, 6.596%, 2/1/39 RB		300,000		402
Irvine Ranch California Water District, Series 2010-B, 6.622%, 5/1/40 GO		100,000		133
Los Angeles County California Public Works Financing Authority, Series 2010-B, 7.488%, 8/1/33 RB		100,000		128
Los Angeles County California Public Works Financing Authority, Series 2010-B, 7.618%, 8/1/40 RB		200,000		265
Metropolitan Government of Nashville & Davidson County Tennessee, Series 2010-B, 6.568%, 7/1/37 RB		100,000		135
New Jersey Turnpike Authority, Series 2010-A, 7.102%, 1/1/41 RB		200,000		288
New York City Municipal Water Finance Authority, Series 2011-CC, 5.882%, 6/15/44 RB		100,000		133
New York City Municipal Water Finance Authority, Series 2010-EE, 6.011%, 6/15/42 RB		300,000		403
New York City Transitional Finance Authority, Series 2011-A1, 5.508%, 8/1/37 RB		300,000		373
New York Metropolitan Transportation Authority, Series 2010-A2, 6.089%, 11/15/40 RB		500,000		639

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

Multi-Sector Bond Portfolio 149

Multi-Sector Bond Portfolio

Municipal Bonds (3.3%)	Shares/ $ Par		Value $ (000’s)
Municipal Bonds continued
New York State Urban Development Corp., Series 2009-E, 5.77%, 3/15/39 RB		100,000		123
North Texas Tollway Authority, Series 2009-B, 6.718%, 1/1/49 RB		200,000		270
Northern Tobacco Securitization Corp., Series 2006-A, 5.00%, 6/1/46 RB		200,000		175
Orange County California Local Transportation Authority, Series 2010-A, 6.908%, 2/15/41 RB		200,000		280
Port Authority New York & New Jersey, Series 168, 4.926%, 10/1/51 RB		200,000		222
Port Authority New York & New Jersey, Series 2010, 5.647%, 11/1/40 RB		1,100,000		1,346
San Diego County Regional Airport Authority, Series 2010-C, 6.628%, 7/1/40 RB		100,000		113
San Diego Redevelopment Agency, Series 2010-A, 7.625%, 9/1/30 TRAN		100,000		107
Tennessee State School Bond Authority, Series 2010, 4.848%, 9/15/27 GO		100,000		117
Tobacco Securitization Authority of Southern California, Series 2006-A, 5.00%, 6/1/37 RB		100,000		89
Tobacco Settlement Finance Authority of West Virginia, Series 2007-A, 7.467%, 6/1/47 RB		1,270,000		1,014
Triborough Bridge & Tunnel Authority, Series 2010-A2, 5.55%, 11/15/40 RB		800,000		941
University of California Regents Medical Center, Series 2010-H, 6.398%, 5/15/31 RB		100,000		125

	Municipal Bonds (3.3%)	Shares/ $ Par		Value $ (000’s)
	Municipal Bonds continued
	University of California Regents Medical Center, Series 2010-H, 6.548%, 5/15/48 RB		100,000		133
	Total Municipal Bonds
	(Cost: $10,293)				12,428
	Structured Products (4.3%)
	Structured Products (4.3%)
	ACE Securities Corp., Series 2004-RM2, Class M2, 1.005%, 1/25/35		86,893		74
	ACE Securities Corp., Series 2004-HE4, Class M1, 1.11%, 12/25/34		94,900		80
	Aircraft Certificate Owner Trust, Series 2003-1A, Class D, 6.455%, 9/20/22 144A		19,010		19
(n)	Aircraft Certificate Owner Trust, Series 2003-1A, Class E, 7.001%, 9/20/22 144A		400,000		391
	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.01%, 9/25/45		13,435		13
	Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1, 1.08%, 7/25/34		73,639		63
	Arkle Master Issuer PLC, Series 2012-1A, Class 2A1, 2.011%, 5/17/60 144A		300,000		308
	Asset Backed Securities Corp. Home Equity, Series 2003-HE4, Class M1, 1.454%, 8/15/33		62,159		57
	Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4, 5.685%, 6/10/49		100,000		116
	Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4, 5.729%, 2/10/51		100,000		118
	Banc of America Funding Corp., Series 2007-D, Class 1A4, 0.441%, 6/20/47		300,000		272

Structured Products (4.3%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Banc of America Funding Corp., Series 2007-6, Class A1, 0.50%, 7/25/37		207,839		172
Banc of America Funding Corp., Series 2005-H, Class 5A1, 3.169%, 11/20/35		410,423		375
Banc of America Large Loan Trust, Series 2010-HLTN, Class HLTN, 2.509%, 11/15/15 144A		91,548		91
Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1, 3.099%, 5/25/47		51,201		40
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A, 4.689%, 7/25/34		44,890		45
Bear Stearns Asset Backed Securities Trust, Series 2006-HE10, Class 1A2, 0.41%, 12/25/36		100,000		75
Bear Stearns Asset Backed Securities Trust, Series 2005-HE11, Class M1, 0.64%, 11/25/35		100,000		88
Bear Stearns Asset Backed Securities Trust, Series 2005-SD3, Class 1A, 0.70%, 7/25/35		138,206		133
Bear Stearns Asset Backed Securities Trust, Series 2004-B01, Class 1A3, 0.76%, 10/25/34		258,849		257
Bear Stearns Asset Backed Securities Trust, Series 2006-6, Class 2A1, 4.749%, 11/25/36		481,146		362
Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A2, 5.663%, 6/11/40		151,362		155
CHL Mortgage Pass-Through Trust, Series 2006-9, Class A1, 6.00%, 5/25/36		526,296		480
Citicorp Mortgage Securities, Inc., Series 2007-8, Class 1A3, 6.00%, 9/25/37		24,345		25

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

150 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

Structured Products (4.3%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL1, Class A2C, 0.42%, 12/25/36		100,000		40
Citigroup Mortgage Loan Trust, Inc., Series 2007-10, Class 22AA, 3.091%, 9/25/37		48,171		36
Citigroup Mortgage Loan Trust, Inc., Series 2007-10, Class 2A3A, 5.94%, 9/25/37		236,593		185
Countrywide Alternative Loan Trust, Series 2007-0A3, Class 1A1, 0.35%, 4/25/47		105,080		82
Countrywide Alternative Loan Trust, Series 2006-OC9, Class A2A, 0.37%, 12/25/46		61,662		48
Countrywide Alternative Loan Trust, Series 2006-0A12, Class A1B, 0.401%, 9/20/46		73,922		42
Countrywide Alternative Loan Trust, Series 2006-0A17, Class 1A1A, 0.406%, 12/20/46		87,061		56
Countrywide Alternative Loan Trust, Series 2006-0A9, Class 2A1A, 0.421%, 7/20/46		33,125		16
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, 0.541%, 11/20/35		19,856		14
Countrywide Alternative Loan Trust, Series 2005-62, Class 2A1, 1.14%, 12/25/35		17,457		13
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1, 1.641%, 1/25/36		49,546		41
Countrywide Alternative Loan Trust, Series 2006-OA6, Class 2A, 4.249%, 7/25/46		52,234		39
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3, 5.50%, 1/25/36		823,979		633

Structured Products (4.3%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.75%, 1/25/35		75,504		72
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1, 6.50%, 8/25/32		66,416		66
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3, 0.35%, 7/25/37		100,000		60
Countrywide Asset-Backed Certificates, Series 2006-7, Class 2A3, 0.36%, 4/25/46		410,788		369
Countrywide Asset-Backed Certificates, Series 2005-17, Class 4A2A, 0.47%, 5/25/36		75,410		73
Countrywide Asset-Backed Certificates, Series 2006-3, Class 2A3, 0.50%, 6/25/36		100,000		70
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3, 0.50%, 7/25/36		100,000		65
Countrywide Asset-Backed Certificates, Series 2005-AB, Class 2A4, 0.56%, 3/25/36		190,536		120
Countrywide Asset-Backed Certificates, Series 2005-14, Class 3A3, 0.56%, 4/25/36		200,000		180
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6, 4.74%, 10/25/35		196,282		188
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5, 5.884%, 7/25/36		100,000		51
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1X, 2.856%, 12/20/35		27,376		22
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-22, Class 3A1, 5.163%, 10/25/35		72,603		60

Structured Products (4.3%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A1, 1.125%, 4/25/46		71,002		38
Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.762%, 9/15/39		200,000		231
Federal National Mortgage Association, Series 2003-W6, Class F, 0.56%, 9/25/42		55,612		55
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF10, Class A4, 0.36%, 7/25/36		72,884		64
First Horizon Mortgage Pass-Through Trust, Series 2005-5, Class 2A1, 5.00%, 10/25/20		39,895		41
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5, 5.75%, 5/25/37		1,231,285		1,083
GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.543%, 12/10/49		100,000		114
GSAA Home Equity Trust, Series 2006-4, Class 4A2, 0.44%, 3/25/36		71,290		56
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1, 2.654%, 9/25/35		46,358		47
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 2.774%, 1/25/36		10,342		9
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1, 2.856%, 3/25/47		41,958		33
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6, 6.00%, 2/25/36		446,690		391
Harborview Mortgage Loan Trust, Series 2005-3, Class 2A1A, 0.45%, 6/19/35		67,570		54
Harborview Mortgage Loan Trust, Series 2005-10, Class 2A1A, 0.52%, 11/19/35		28,816		21
HomeBanc Mortgage Trust, Series 2005-1, Class A1, 0.46%, 3/25/35		26,519		20

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

Multi-Sector Bond Portfolio 151

Multi-Sector Bond Portfolio

Structured Products (4.3%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
IndyMac Index Mortgage Loan Trust, Series 2005-AR12, Class 2A1A, 0.45%, 7/25/35		5,748		5
IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.51%, 7/25/35		29,263		23
IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 5A1, 2.702%, 10/25/34		82,685		81
IXIS Real Estate Capital Trust, Series 2005-HE1, Class M3, 0.99%, 6/25/35		100,000		97
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CBX, Class A5, 4.654%, 1/12/37		80,649		82
JPMorgan Mortgage Trust, Series 2005-ALT1, Class 2A1, 2.917%, 10/25/35		37,176		30
JPMorgan Mortgage Trust, Series 2007-A1, Class 6A1, 3.028%, 7/25/35		76,592		76
JPMorgan Mortgage Trust, Series 2007-A4, Class 3A1, 5.414%, 6/25/37		275,440		246
JPMorgan Reremic, Series 2009-10, Class 4A1, 0.71%, 3/26/37 144A		453,241		420
Lehman XS Trust, Series 2005-4, Class 1A3, 0.61%, 10/25/35		69,517		62
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1, Class A1, 0.38%, 2/25/37		48,024		41
Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A3, 0.59%, 8/25/35		100,000		81
Merrill Lynch Mortgage Investors, Inc., Series 2005-A9, Class 5A1, 5.079%, 12/25/35		1,052,468		969
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 6A1, 5.378%, 5/25/36		73,387		70

Structured Products (4.3%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
MLCC Mortgage Investors, Inc., Series 2006-1, Class 1A, 2.765%, 2/25/36		21,813		20
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31, 5.439%, 2/12/44		100,000		105
Morgan Stanley Capital, Inc., Series 2006-HE8, Class A2C, 0.35%, 10/25/36		100,000		50
Morgan Stanley Capital, Inc., Series 2007-HE5, Class A2C, 0.46%, 3/25/37		99,053		47
Morgan Stanley Capital, Inc., Series 2005-HE7, Class A2C, 0.53%, 11/25/35		71,423		68
Morgan Stanley Dean Witter Capital I, Inc., Series 2002-HE1, Class M1, 1.11%, 7/25/32		33,794		29
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1, 1.56%, 2/25/33		86,317		73
Morgan Stanley Mortgage Loan Trust, Series 2005-5AR, Class 1A1, 0.48%, 9/25/35		14,472		14
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 4A, 2.565%, 7/25/35		977,220		848
Nomura Asset Acceptance Corp., Series 2005-AR4, Class 3A1, 3.22%, 8/25/35		52,271		48
Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.71%, 7/25/35		100,000		90
Residential Accredit Loans, Inc., Series 2007-QA1, Class A1, 0.35%, 1/25/37		63,311		47
Residential Accredit Loans, Inc., Series 2006-QA7, Class 1A1, 0.40%, 8/25/36		29,278		20
Residential Accredit Loans, Inc., Series 2006-QA8, Class A1, 0.40%, 9/25/36		62,669		41

Structured Products (4.3%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB2, 3.278%, 3/25/35		599,255		447
Residential Asset Mortgage Products Trust, Series 2006-NC2, Class A2, 0.40%, 2/25/36		54,781		50
SLM Student Loan Trust, Series 2012-D, Class A1, 1.259%, 6/15/23 144A		87,750		88
SLM Student Loan Trust, Series 2011-B, Class A3, 2.459%, 6/16/42 144A		100,000		103
SLM Student Loan Trust, Series 2010-A, Class 1A, 3.20%, 5/16/44 144A		71,084		75
SLM Student Loan Trust, Series 2012-B, Class A2, 3.48%, 10/15/30 144A		400,000		424
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3, 0.36%, 9/25/36		74,428		50
Structured Asset Investment Loan Trust, Series 2005-5, Class M2, 0.67%, 6/25/35		100,000		86
Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1, 0.86%, 12/25/35		63,856		40
Wachovia Bank Commercial Mortgage Trust, Series 2007-WHL8, Class A1, 0.289%, 6/15/20 144A		100,442		99
WaMu Mortgage Pass-Through Certificates, Series 2007-0A1, Class A1A, 0.866%, 2/25/47		39,153		29
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6, 2.461%, 2/25/33		4,756		5
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1, 2.469%, 3/25/36		759,606		659
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 4A1, 2.685%, 2/25/37		39,349		31

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

152 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

	Structured Products (4.3%)	Shares/ $ Par		Value $ (000’s)
	Structured Products continued
	WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1, 5.146%, 2/25/37		16,949		16
	WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3, 6.087%, 10/25/36		93,182		82
	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A6, 2.614%, 7/25/36		11,380		10
	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1, 2.616%, 4/25/36		349,748		315
	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 4A1, 2.623%, 7/25/36		694,922		600
	Wells Fargo Mortgage Backed Securities Trust, Series 2005-14, Class 1A9, 5.50%, 12/25/35		38,880		39
	Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1, 5.988%, 11/25/37		326,353		291
	Total Structured Products
	(Cost: $16,065)				16,029
	Short-Term Investments (6.8%)
	Federal Government & Agencies (0.5%)
(b)	Federal Home Loan Mortgage Corp., 0.14%, 3/5/13		200,000		200
(b)	Federal Home Loan Mortgage Corp., 0.15%, 2/25/13		1,600,000		1,600
(b)	Federal National Mortgage Association, 0.17%, 2/20/13		200,000		200
	Total				2,000
	Governments (0.1%)
(b)	US Treasury Bill, 0.145%, 2/14/13		270,000		270
(b)	US Treasury Bill, 0.19%, 8/22/13		30,000		30
	Total				300

Short-Term Investments (6.8%)	Shares/ $ Par		Value $ (000’s)
Repurchase Agreements (6.2%)
US Treasury Repurchase, 0.23%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 0.125%, 12/31/14, valued at $407,993, repurchase proceeds of $400,000)		400,000		400
US Treasury Repurchase, 0.25%, dated 12/31/12, due 1/2/13, (collateralized by US Treasury Note, 1.50%, 6/30/16, valued at $23,307,828, repurchase proceeds of $22,800,000)		22,800,000		22,800
Total				23,200
Total Short-Term Investments
(Cost: $25,499)				25,500
Total Investments (98.8%)
(Cost: $346,067)(a)				368,257
Other Assets, Less Liabilities (1.2%)				4,399
Net Assets (100.0%)				372,656

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

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* Non-Income Producing

144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $79,951 representing 21.4% of the net assets.

GO — General Obligation

RB — Revenue Bond

TRAN — Tax Allocation Bond

FGIC — Financial Guaranty Insurance Co.

NATL-RE — National Public Finance Guarantee Corp.

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $346,098 and the net unrealized appreciation of investments based on that cost was $22,159 which is comprised of $23,496 aggregate gross unrealized appreciation and $1,337 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
Euro Bund Future (Long) (Total Notional Value at December 31, 2012, $569)	3	3/13	$	4
Euro-Bobl Future Medium-Term (Long) (Total Notional Value at December 31, 2012, $3,315)	20	3/13		22
US Ultra Long Treasury Bond Futures (Long) (Total Notional Value at December 31, 2012, $2,152)	13	3/13		(38	)

(c) PIK — Payment In Kind

(h) Forward foreign currency contracts outstanding on December 31, 2012.

Type	Counterparty	Currency	Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Barclays Bank PLC	AUD	9,280	1/13	$	59		$	-		$	59
Buy	HSBC Bank USA	BRL	1,668	2/13		2			-			2
Sell	Citibank, N.A.	CAD	10,367	3/13		67			-			67
Buy	Citibank, N.A.	CNY	4,361	2/13		-			(2	)		(2	)
Buy	Goldman Sachs International	CNY	7,472	2/13		-			(4	)		(4	)
Buy	UBS AG	CNY	36,342	2/13		54			-			54
Sell	BNP Paribas S.A.	CNY	15,400	2/13		-			(24	)		(24	)
Sell	UBS AG	CNY	32,776	2/13		-			(68	)		(68	)
Buy	Barclays Bank PLC	EUR	209	1/13		-	(m)		-			-	(m)
Sell	Bank of America, N.A.	EUR	6,154	1/13		-			(118	)		(118	)
Sell	BNP Paribas S.A.	EUR	6,157	1/13		-			(182	)		(182	)
Sell	Goldman Sachs International	EUR	1,603	1/13		-			(40	)		(40	)
Sell	UBS AG	EUR	6,154	1/13		-			(71	)		(71	)
Sell	Bank of America, N.A.	GBP	5,582	3/13		-			(80	)		(80	)
Buy	Barclays Bank Plc	IDR	1,038,415	1/13		1			-			1
Buy	Citibank, N.A.	IDR	34,614	1/13		-			-	(m)		-	(m)
Buy	HSBC Bank USA	IDR	1,230,600	1/13		1			-			1
Sell	Citibank, N.A.	IDR	10,005,655	1/13		-			(7	)		(7	)
Sell	Morgan Stanley & Co., Inc.	IDR	28,267,892	1/13		-			(37	)		(37	)
Buy	JP Morgan Chase Bank, N.A.	KRW	2,744,250	2/13		51			-			51
Buy	JP Morgan Chase Bank, N.A.	MXN	2,632	4/13		2			-			2
Sell	JP Morgan Chase Bank, N.A.	MXN	52,799	4/13		-			(32	)		(32	)
Buy	Citibank, N.A.	SGD	978	1/13		1			-			1
Buy	Goldman Sachs International	SGD	978	1/13		-	(m)		-			-	(m)
Buy	UBS AG	SGD	1,709	2/13		-	(m)		-			-	(m)
Sell	HSBC Bank USA	ZAR	75,985	1/13		-			(440	)		(440	)
Sell	JP Morgan Chase Bank, N.A.	ZAR	4,125	1/13		-			(15	)		(15	)
					$	238		$	(1,120	)	$	(882	)

AUD — Australian Dollar

BRL — Brazilian Real

CAD — Canadian Dollar

CNY — China Yuan Renminbi

EUR — Euro

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

154 Multi-Sector Bond Portfolio

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GBP — British Pound

IDR — Indonesian Rupiah

KRW — South Korean Won

MXN — Mexican New Peso

SGD — Singapore Dollar

ZAR — South African Rand

(i) Written options outstanding on December 31, 2012.

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate	Expiration Date	Notional Amount (000’s)	Value (000’s)
Call - OTC 5-Year Interest Rate Swap	Morgan Stanley Capital Services	3-Month USD LIBOR	Receive	0.80%	3/13	1,600	$	(3	)
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs Bank	3-Month USD LIBOR	Receive	1.20%	3/13	1,400		(4	)
Call - OTC 5-Year Interest Rate Swap	Citibank N.A.	3-Month USD LIBOR	Receive	1.70%	3/13	1,100		(43	)
Put - OTC 5-Year Interest Rate Swap	Morgan Stanley Capital Services	3-Month USD LIBOR	Receive	1.20%	3/13	1,600		(1	)
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs Bank	3-Month USD LIBOR	Receive	1.65%	3/13	1,400		(3	)
Put - OTC 5-Year Interest Rate Swap	Citibank N.A.	3-Month USD LIBOR	Receive	1.70%	3/13	1,100		-	(m)
(Premium Received $45)							$	(54	)

OTC — Over-the-Counter

(j) Swap agreements outstanding on December 31, 2012.

Interest Rate Swaps

Floating Rate Index	Counterparty	Pay/ Receive Floating Rate	Fixed Rate	Expiration Date	Currency	Upfront Premium Paid/ (Received) (000’s)			Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
28 Day Mexico Interbank TIIE Banxico	Barclays Bank PLC	Pay	5.80%	6/16	MXN		1			5,900	$	9
28 Day Mexico Interbank TIIE Banxico	HSBC Bank USA	Pay	5.80%	6/16	MXN		-	(m)		5,800		9
28 Day Mexico Interbank TIIE Banxico	Barclays Bank PLC	Pay	5.60%	9/16	MXN		12			72,000		67
28 Day Mexico Interbank TIIE Banxico	Barclays Bank PLC	Pay	5.00%	9/17	MXN		(38	)		58,900		(16	)
28 Day Mexico Interbank TIIE Banxico	Goldman Sachs International	Pay	5.50%	9/17	MXN		(6	)		32,000		30
28 Day Mexico Interbank TIIE Banxico	Goldman Sachs International	Pay	5.00%	9/17	MXN		(22	)		31,000		(6	)
28 Day Mexico Interbank TIIE Banxico	Morgan Stanley Capital Services LLC	Pay	5.50%	9/17	MXN		(1	)		10,000		9
28 Day Mexico Interbank TIIE Banxico	Morgan Stanley Capital Services LLC	Pay	5.00%	9/17	MXN		(42	)		55,000		(8	)
Brazil Cetip Interbank Deposit	HSBC Bank USA	Pay	10.14%	1/15	BRL		1			10,600		265

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

Multi-Sector Bond Portfolio 155

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Floating Rate Index	Counterparty	Pay/Receive Floating Rate	Fixed Rate	Expiration Date	Currency	Upfront Premium Paid/ (Received) (000’s)		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Brazil Cetip Interbank Deposit	HSBC Bank USA	Pay	7.78%	1/15	BRL		56		30,800	$	(17	)
Brazil Cetip Interbank Deposit	JPMorgan Chase Bank, N.A.	Pay	8.13%	1/15	BRL		-		16,600		83
Brazil Cetip Interbank Deposit	JPMorgan Chase Bank, N.A.	Pay	9.31%	1/15	BRL		88		17,200		199
Brazil Cetip Interbank Deposit	Morgan Stanley Capital Services LLC	Pay	7.80%	1/15	BRL		1		6,200		8
Brazil Cetip Interbank Deposit	Morgan Stanley Capital Services LLC	Pay	8.63%	1/15	BRL		69		14,000		68
Brazil Cetip Interbank Deposit	UBS AG	Pay	8.26%	1/15	BRL		23		11,000		46
Australian 6 Month Bank Bill	Citibank N.A.	Pay	3.50%	3/18	AUD		3		7,900		73
										$	819

Credit Default Swaps on Corporate or Sovereign Issues

Reference Entity	Counterparty	Buy/Sell Protection	(Pay)/Receive Fixed Rate	Expiration Date	Currency	Implied Credit Spread	Upfront Premium Paid/ (Received) (000’s)			Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Advanced Micro Devices, 7.75%, 8/1/20	Morgan Stanley Capital Services LLC	Sell	5.00%	9/17	USD	9.776%		(6	)		100	$	(10	)
Advanced Micro Devices, 7.75%, 8/1/20	Goldman Sachs International	Sell	5.00%	9/17	USD	9.776%		(26	)		500		(57	)
Advanced Micro Devices, 7.75%, 8/1/20	JPMorgan Chase Bank, N.A.	Sell	5.00%	12/17	USD	9.914%		(8	)		100		(9	)
Alcoa, Inc., 5.72%, 2/23/19	BNP Paribas SA	Sell	1.00%	6/21	USD	3.604%		(25	)		300		(28	)
Alcoa, Inc., 5.72%, 2/23/19	Goldman Sachs International	Sell	1.00%	6/18	USD	3.124%		(25	)		500		(27	)
Arcelormittal, 6.125%, 6/1/18	Barclays Bank PLC	Sell	1.00%	6/16	EUR	3.015%		(20	)		350		(11	)
Ardagh Packaging Finance, 9.25%, 10/15/20	Barclays Bank PLC	Sell	5.00%	9/17	EUR	5.095%		(20	)		200		20
AT&T Inc., 2.50%, 8/15/15	Citibank N.A.	Sell	1.00%	9/17	USD	0.795%		-	(m)		100		1
BP Capital Markets America, 4.20%, 6/15/18	Goldman Sachs International	Sell	1.00%	9/17	USD	0.581%		10			1,100		12
Caterpillar, Inc, 5.70%, 8/15/16	Goldman Sachs International	Sell	1.00%	6/17	USD	0.611%		(1	)		100		2
Caterpillar, Inc, 5.70%, 8/15/16	UBS AG	Sell	1.00%	6/17	USD	0.611%		(1	)		200		5

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

156 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

Reference Entity	Counterparty	Buy/Sell Protection	(Pay)/Receive Fixed Rate	Expiration Date	Currency	Implied Credit Spread	Upfront Premium Paid/ (Received) (000’s)			Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Excelon Generation Co. LLC, 6.20%, 10/1/17	JPMorgan Chase Bank, N.A.	Sell	1.00%	6/17	USD	1.556%		(45	)		700	$	28
Federative Republic of Brazil, 12.25%, 3/6/30	Citibank N.A.	Sell	1.00%	9/17	USD	1.004%		(43	)		2,000		43
Federative Republic of Brazil, 12.25%, 3/6/30	Goldman Sachs International	Sell	1.00%	9/17	USD	1.004%		(1	)		80		1
Federative Republic of Brazil, 12.25%, 3/6/30	HSBC Bank USA	Sell	1.00%	9/22	USD	1.451%		(78	)		1,200		31
Federative Republic of Brazil, 12.25%, 3/6/30	Barclays Bank PLC	Sell	1.00%	9/21	USD	1.406%		(46	)		1,200		8
Federative Republic of Brazil, 12.25%, 3/6/30	Citibank N.A.	Sell	1.00%	9/21	USD	1.406%		(11	)		300		2
Federative Republic of Brazil, 12.25%, 3/6/30	Goldman Sachs International	Sell	1.00%	9/21	USD	1.406%		(16	)		400		3
Federative Republic of Brazil, 12.25%, 3/6/30	HSBC Bank USA	Sell	1.00%	9/16	USD	0.819%		(13	)		600		17
Federative Republic of Brazil, 12.25%, 3/6/30	HSBC Bank USA	Sell	1.00%	6/17	USD	0.953%		(2	)		200		3
Federative Republic of Brazil, 12.25%, 3/6/30	Morgan Stanley Capital Services LLC	Sell	1.00%	3/17	USD	0.896%		(16	)		1,100		21
Frontier Communications, 5.00%, 9/20/17	Goldman Sachs International	Sell	5.00%	9/17	USD	4.394%		(3	)		125		6
HCA, Inc., 8.00%, 10/1/18	Goldman Sachs International	Sell	5.00%	6/17	USD	3.374%		(3	)		200		17
Hewlett-Packard Co., 5.40%, 3/1/17	UBS AG	Sell	1.00%	12/17	USD	3.046%		(34	)		400		(3	)
Hewlett-Packard Co., 5.40%, 3/1/17	Citibank N.A.	Sell	1.00%	12/17	USD	3.046%		(83	)		1,100		(20	)
Metlife, Inc., 4.75%, 2/8/21	Citibank N.A.	Sell	1.00%	12/17	USD	1.556%		(14	)		300		6
Nokia Corp., 6.75%, 2/4/19	Barclays Bank PLC	Sell	5.00%	9/14	EUR	2.669%		(3	)		200		14
Nokia Corp., 6.75%, 2/4/19	BNP Paribas SA	Sell	5.00%	9/14	EUR	2.669%		(1	)		100		7
Nokia Corp., 6.75%, 2/4/19	Citibank N.A.	Sell	5.00%	6/15	EUR	3.712%		(4	)		200		12
Nokia Corp., 6.75%, 2/4/19	HSBC Bank USA	Sell	5.00%	6/14	EUR	2.235%		4			600		29
Nokia Corp., 6.75%, 2/4/19	HSBC Bank USA	Sell	5.00%	9/14	EUR	2.669%		(7	)		100		12
Nokia Corp., 6.75%, 2/4/19	Barclays Bank PLC	Sell	1.00%	3/14	EUR	1.614%		(7	)		400		3
NRG Energy, Inc., 7.375%, 2/1/16	Barclays Bank PLC	Sell	5.00%	6/16	USD	2.211%		26			1,100		79
NRG Energy, Inc., 7.375%, 2/1/16	Citibank N.A.	Sell	5.00%	6/16	USD	2.211%		6			200		13
Pacific Gas & Electric, 4.80%, 3/1/14	Goldman Sachs International	Sell	1.00%	9/17	USD	0.831%		(2	)		400		5
People’s Republic of China, 4.75%, 10/29/13	Citibank N.A.	Sell	1.00%	12/16	USD	0.453%		(11	)		300		18
People’s Republic of China, 4.75%, 10/29/13	Morgan Stanley Capital Services LLC	Sell	1.00%	9/16	USD	0.417%		1			200		4

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

Multi-Sector Bond Portfolio 157

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Reference Entity	Counterparty	Buy/Sell Protection	(Pay)/Receive Fixed Rate	Expiration Date	Currency	Implied Credit Spread	Upfront Premium Paid/ (Received) (000’s)			Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
People’s Republic of China, 4.75%, 10/29/13	UBS AG	Sell	1.00%	6/17	USD	0.537%		(6	)		500	$	17
Petrobras International Finance Co., 8.375%, 12/10/18	Morgan Stanley Capital Services LLC	Sell	1.00%	9/15	USD	1.088%		(4	)		200		3
Republic of Indonesia, 7.25%, 4/20/15	HSBC Bank USA	Sell	1.00%	6/17	USD	1.099%		(6	)		200		5
Republic of Indonesia, 7.25%, 4/20/15	UBS AG	Sell	1.00%	9/17	USD	1.190%		(3	)		120		2
Republic of South Africa, 6.50%, 6/2/14	BNP Paribas SA	Sell	1.00%	9/17	USD	1.384%		(2	)		120		-	(m)
Republic of South Africa, 6.50%, 6/2/14	HSBC Bank USA	Sell	1.00%	6/17	USD	1.315%		(5	)		200		3
Republic of Venezuela, 9.25%, 9/15/27	HSBC Bank USA	Sell	5.00%	6/17	USD	6.265%		(20	)		200		10
Republic of Venezuela, 9.25%, 9/15/27	HSBC Bank USA	Sell	5.00%	9/17	USD	6.340%		(18	)		120		12
Rio Tinto Finance USA, Ltd., 6.50%, 7/15/18	Citibank N.A.	Sell	1.00%	9/17	USD	0.795%		(2	)		100		3
Rio Tinto Finance USA, Ltd., 6.50%, 7/15/18	Barclays Bank PLC	Sell	1.00%	9/17	USD	0.795%		(2	)		100		3
Rio Tinto Finance USA, Ltd., 6.50%, 7/15/18	BNP Paribas SA	Sell	1.00%	9/17	USD	0.795%		(2	)		100		3
Rio Tinto Finance USA, Ltd., 6.50%, 7/15/18	UBS AG	Sell	1.00%	9/17	USD	0.795%		(3	)		200		5
Russian Government International Bond, 7.50%, 3/31/30	HSBC Bank USA	Sell	1.00%	9/17	USD	1.233%		(6	)		200		4
Russian Government International Bond, 7.50%, 3/31/30	Morgan Stanley Capital Services LLC	Sell	1.00%	3/17	USD	1.088%		(261	)		5,700		242
Russian Government International Bond, 7.50%, 3/31/30	HSBC Bank USA	Sell	1.00%	6/17	USD	1.165%		(13	)		300		11
Shell International Finance BV, 5.20%, 3/22/17	JPMorgan Chase Bank, N.A.	Sell	1.00%	9/17	USD	0.442%		11			800		10
SLM Corp., 6.25%, 1/25/16	Citibank N.A.	Sell	5.00%	6/17	USD	3.047%		(2	)		200		19
Sprint Nextel Corp., 6.00%, 12/1/16	UBS AG	Sell	5.00%	3/17	USD	2.645%		(75	)		1,100		180
United Mexican States, 5.95%, 3/19/19	Goldman Sachs International	Sell	1.00%	3/17	USD	0.782%		(63	)		4,200		103
United Mexican States, 5.95%, 3/19/19	Goldman Sachs International	Sell	1.00%	9/17	USD	0.892%		(1	)		80		1
United Mexican States, 5.95%, 3/19/19	HSBC Bank USA	Sell	1.00%	6/17	USD	0.840%		(2	)		200		4
United Mexican States, 7.50%, 4/8/33	Citibank N.A.	Sell	1.00%	9/16	USD	0.712%		(11	)		500		16
UPC Holding BV, 8.00%, 11/1/16	Goldman Sachs International	Sell	5.00%	9/17	EUR	4.162%		(5	)		100		10
(n)Valeant Pharmaceuticals, 6.875%, 12/1/18	Goldman Sachs International	Sell	5.00%	6/16	USD	0.000%		(3	)		200		4
Volkswagen International Finance NV, 5.375%, 5/22/18	Citibank N.A.	Sell	1.00%	9/17	EUR	0.833%		(8	)		300		11
												$	938

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

158 Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

Credit Default Swaps on Credit Indices

Reference Entity	Counterparty	Buy/Sell Protection	(Pay)/Receive Fixed Rate	Expiration Date	Currency	Implied Credit Spread	Upfront Premium Paid/ (Received) (000’s)			Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Markit CDX Emerging Markets Index, Series 17	Morgan Stanley Capital Services LLC	Sell	5.00%	6/17	USD	2.052%		1,226			17,200	$	936
Markit CDX Emerging Markets Index, Series 18	Barclays Bank PLC	Sell	5.00%	12/17	USD	2.088%		61			500		8
Markit CDX Emerging Markets Index, Series 18	Barclays Bank PLC	Sell	5.00%	12/17	USD	2.106%		369			2,770		7
Markit CDX Emerging Markets Index, Series 18	BNP Paribas SA	Sell	5.00%	12/17	USD	2.088%		121			900		2
Markit CDX Emerging Markets Index, Series 18	HSBC Bank USA	Sell	5.00%	12/17	USD	2.088%		748			5,600		16
Markit MCDX Index, Series 18	Citibank N.A.	Sell	1.00%	6/17	USD	1.558%		(126	)		4,700		25
												$	994

Centrally Cleared Interest Rate Swaps

Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date	Currency	Upfront Premium Paid/ (Received) (000’s)		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
6-Month Australian Bank Bill	Pay	4.00%	3/23	AUD		-		700	$	(3	)
									$	(3	)

Centrally Cleared Credit Default Swap on Credit Indices

Reference Entity	Buy/Sell Protection	(Pay)/Receive Fixed Rate	Expiration Date	Currency	Implied Credit Spead			Upfront Premium Paid/ (Received) (000’s)		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Markit CDX Emerging Markets Index, Series 19	Sell	1.00%	12/17	USD		1.000	%		-		1,000	$	(1	)
												$	(1	)

(k) Cash in the amount of $4,945 and securities with an aggregate value of $71,516 (in thousands) has been pledged as collateral for swap contracts outstanding, short sales or written options on December 31, 2012.

(m) Amount is less than one thousand.

(n) Security valued in good faith by the Board of Directors.

(o) Short sales outstanding on December 31, 2012.

Description	Coupon	Maturity Date	Principal Amount (000’s)		Proceeds (000’s)	Value (000’s)
Federal National Mortgage Association TBA	3.50%	1/13	$	3,300	$3,516	$3,518

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

Multi-Sector Bond Portfolio 159

Multi-Sector Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
US Government	$	-		$	23,198		$	-
Foreign Bonds		-			66,886			-
Municipal Bonds		-			12,428			-
Corporate Bonds		-			223,398			818
Structured Products		-			15,619			410
Short-Term Investments		-			25,500			-
Other Financial Instruments^
Futures		26			-			-
Forward Currency Contracts		-			238			-
Interest Rate Swaps		-			866			-
Credit Default Swaps		-			2,093			4
Liabilities:
Short Sales		-			(3,518	)		-
Other Financial Instruments^
Futures		(38	)		-			-
Forward Currency Contracts		-			(1,120	)		-
Interest Rate Swaps		-			(50	)		-
Credit Default Swaps		-			(166	)		-
Written Options		-			(54	)		-
Total	$	(12	)	$	365,318		$	1,232

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

160 Multi-Sector Bond Portfolio

Commodities Return Strategy Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Total return.	Invest primarily in commodity linked derivative instruments, cash and fixed income securities to achieve positive total return relative to the performance of the Dow Jones-UBS Commodity Index Total Return.	$153 million

Portfolio Overview

Mason Street Advisors, the investment adviser for the Commodities Return Strategy Portfolio (the “Portfolio”), has engaged Credit Suisse Asset Management, LLC (“Credit Suisse”) to act as sub-adviser for the Portfolio. The Portfolio is designed to achieve positive total return relative to the performance of the Dow Jones-UBS Commodity Index Total Return (the “DJ-UBS Index”). The DJ-UBS Index is a broadly diversified futures index currently composed of futures contracts on 22 physical commodities. The Portfolio, which is actively managed, intends to invest primarily, either directly or indirectly, through a wholly-owned subsidiary, in commodity linked swap agreements and commodity linked derivative instruments, other derivatives that provide exposure to returns of the commodities markets, cash and fixed income securities. While the Portfolio seeks to achieve positive total return relative to the DJ-UBS Index, it is not an index fund and there can be no guarantee that this performance will be achieved. The Portfolio does not intend to invest in physical commodities.

Market Overview

The broad commodities market, as represented by the Dow Jones UBS Commodity Index Total Return (the “Index”) declined slightly in 2012. Energy was the worst performing sector, down 9.36%, led lower by Natural Gas. Livestock decreased 3.54%, as supplies increased due to farmers having to cut herd sizes as a result of high feed costs. Industrial Metals ended the year slightly higher, up 0.67% on the back of inventory re-stocking and cuts in production. Agriculture increased, up 3.98%. An exceptionally warm and dry summer in the U.S. Midwest remained the driving force behind grains performance. One of the top performers in the sector was corn, as the new crop entered the growing season amid exceptionally challenging weather conditions and extremely tight global supplies. Precious Metals ended the year 6.29% higher, as both gold and silver gained on Central Bank pledges for further stimulus and market support.

Portfolio Results

For the year ended December 31, 2012, the Portfolio returned (2.35%). By comparison, the Index returned (1.06%). (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio underperformed the 0.42% average return of its Commodities Broad Basket category peer group, according to Morningstar^®, Inc., an independent mutual fund ranking agency.

The Portfolio gained exposure to commodity markets by investing in swap agreements, through a wholly-owned subsidiary, that return the rate of the Index. For the period, the Portfolio’s use of swap agreements detracted from results versus the Index. The structure of the swap agreements led to the following 2012 attribution results for the Portfolio.

The Portfolio’s underperformance was primarily related to longer-dated curve positioning within the Agriculture and Livestock sectors, while further maturity positions in Energy and Industrial Metals had a positive impact on performance. Overall, for the year, an estimated two thirds of the underperformance came from the Agriculture sector, with the remainder coming from Livestock.

Looking at the timeline of performance relative to the Index, the majority of underperformance can be attributed to the volatility that was observed in the second quarter of 2012. The second quarter was a volatile quarter, as the Index declined 9.52% during April and May before rallying back 5.49% in June. The majority of the positive returns in June were gained on the last few days of the month. The Portfolio underperformed by approximately 1.0% during that period, as elevated forward curve volatility levels continued to be a detractor.

Portfolio Manager Outlook

The following forward looking comments are the opinion of Credit Suisse, the Portfolio’s sub-adviser.

Commodities ended 2012 lower, as a result of disappointing growth momentum. Although markets were largely focused on the looming U.S. fiscal cliff towards the end of the year, the U.S. managed to avert economic calamity with lawmakers approving a deal on January 1, 2013. For the year ahead, the rate of global growth will likely once again be the key to commodity performance. To that end, recent developments suggest that 2013 may be a better year for the asset class. Evidence continues to suggest that global growth may have troughed, with the possibility of a modest rebound over the course of 2013.

Commodities could benefit from a rebound in global growth along with continued low interest rates. Inflation may overshoot expectations if economic activity begins to pick up more robustly than expected. Commodities may also continue to provide exposure to “tail risk” events on the supply side, with the Energy and Agriculture sectors remaining particularly vulnerable. That means unexpected decreases in supply related to weather or politics can have a beneficial effect on commodity prices. We continue to believe that a strategic allocation to commodities has the potential to deliver long-term diversification benefits.

Commodities Return Strategy Portfolio 161

Commodities Return Strategy Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		Since Inception*
Commodities Return Strategy Portfolio		-2.35%		-13.26%
Dow Jones-UBS Commodity Index Total Return		-1.06%		-12.88%
Morningstar® US Insurance Fund Commodities Broad Basket Average		0.42%		-

* Inception date of 4/29/11

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 4/29/11 (commencement of the Portfolio’s operations). 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 is designed to achieve positive total return relative to the Dow Jones-UBS Commodity Index Total Return by investing, either directly or indirectly through a wholly-owned subsidiary, in commodity index-linked and commodity-linked derivative instruments backed by a portfolio of fixed income securities. Use of these instruments may involve certain risks such as commodity, counterparty, correlation, management, credit, interest rate, liquidity and market risks 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.

Exposure to commodity markets should only form a small part of a diversified portfolio. As any time, the loss associated with a particular investment held by the Portfolio may be significantly higher than 50% of the value of the investment. Investors considering an investment in the Portfolio should be willing to accept significant volatility in the Portfolio’s performance, particularly over shorter time periods.

The Portfolio is non-diversified, which means it may invest a greater portion of its assets in the securities of a smaller number of issuers than a diversified fund and may therefore be subject to greater volatility.

Top 10 Fixed Income Holdings 12/31/12

Security Description	% of Net Assets
Federal Farm Credit Banks, Various	25.7%
Federal Home Loan Bank, Various	16.7%
US Treasury, Various	16.4%
Federal Home Loan Mortgage Corp., Various	11.3%
Federal National Mortgage Association, Various	9.3%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

162 Commodities Return Strategy Portfolio

Commodities Return Strategy Portfolio

Consolidated Schedule of Investments

December 31, 2012

Governments (79.3%)	Shares/ $ Par		Value $ (000’s)
Governments (79.3%)
Federal Farm Credit Banks, 0.18%, 1/26/15		2,500,000		2,500
Federal Farm Credit Banks, 0.20%, 1/28/15		3,000,000		2,999
Federal Farm Credit Banks, 0.23%, 3/4/15		2,500,000		2,502
Federal Farm Credit Banks, 0.23%, 5/5/15		3,350,000		3,353
Federal Farm Credit Banks, 0.231%, 6/22/15		4,000,000		3,999
Federal Farm Credit Banks, 0.236%, 3/20/15		4,000,000		4,000
Federal Farm Credit Banks, 0.241%, 2/13/15		4,000,000		4,001
Federal Farm Credit Banks, 0.241%, 7/20/15		4,000,000		3,999
Federal Farm Credit Banks, 0.243%, 4/6/15		1,500,000		1,500
Federal Farm Credit Banks, 0.28%, 10/14/14		2,000,000		2,000
Federal Farm Credit Banks, 0.29%, 8/3/15		3,000,000		3,008
Federal Farm Credit Banks, 0.30%, 12/11/14		1,500,000		1,501
Federal Farm Credit Banks, 0.34%, 5/19/14		4,000,000		4,010
Federal Home Loan Bank, 0.00%, 4/15/13		4,000,000		3,999
Federal Home Loan Bank, 0.19%, 11/25/13		3,000,000		3,002
Federal Home Loan Bank, 0.24%, 4/16/13		4,000,000		4,001
Federal Home Loan Bank, 0.28%, 3/8/13		2,000,000		2,001
Federal Home Loan Bank, 0.29%, 11/8/13		4,000,000		4,004
Federal Home Loan Bank, 0.32%, 3/15/13		4,000,000		4,001
Federal Home Loan Bank, 0.32%, 5/17/13		3,000,000		3,002
Federal Home Loan Bank, 0.40%, 7/2/14		1,500,000		1,503
Federal Home Loan Mortgage Corp., 0.375%, 10/15/13		3,000,000		3,005
Federal Home Loan Mortgage Corp., 0.625%, 12/23/13		4,000,000		4,016
Federal Home Loan Mortgage Corp., 1.625%, 4/15/13		4,000,000		4,017
Federal Home Loan Mortgage Corp., 4.50%, 1/15/14		6,000,000		6,267
Federal National Mortgage Association, 0.183%, 11/8/13		3,000,000		3,000

Governments (79.3%)	Shares/ $ Par		Value $ (000’s)
Governments continued
Federal National Mortgage Association, 0.192%, 9/11/14		2,500,000		2,500
Federal National Mortgage Association, 0.221%, 3/14/13		2,000,000		2,001
Federal National Mortgage Association, 0.38%, 8/9/13		2,000,000		2,002
Federal National Mortgage Association, 3.625%, 2/12/13		4,695,000		4,713
US Treasury, 0.125%, 9/30/13		2,000,000		1,999
US Treasury, 0.25%, 1/31/14		6,000,000		6,004
US Treasury, 0.50%, 5/31/13		2,000,000		2,003
US Treasury, 0.625%, 1/31/13		1,000,000		1,000
US Treasury, 0.625%, 2/28/13		2,000,000		2,002
US Treasury, 1.00%, 7/15/13		5,000,000		5,023
US Treasury, 1.25%, 2/15/14		4,000,000		4,046
US Treasury, 1.375%, 5/15/13		1,000,000		1,005
US Treasury, 1.875%, 2/28/14		2,000,000		2,039
Total Governments
(Cost: $121,466)				121,527
Short-Term Investments (18.3%)
Federal Government & Agencies (13.1%)
Federal Home Loan, 0.07%, 8/20/13		5,000,000		4,996
Federal Home Loan, 0.08%, 3/13/13		6,000,000		6,000
Federal National Mortgage Association, 0.13%, 2/19/13		3,000,000		2,999
Federal National Mortgage Association, 0.14%, 4/1/13		6,000,000		5,999
Total				19,994
Government (5.2%)
US Treasury Bill, 0%, 3/21/13		2,000,000		2,000
US Treasury Bill, 0%, 4/11/13		2,000,000		2,000
US Treasury Bill, 0%, 5/9/13		2,000,000		1,999

	Short-Term Investments (18.3%)	Shares/ $ Par		Value $ (000’s)
	Governments continued
(k)	US Treasury Bill, 0.00%, 1/31/13		2,000,000		2,000
	Total				7,999
	Total Short-Term Investments
	(Cost: $27,988)				27,993
	Total Investments (97.6%)
	(Cost: $149,454)(a)				149,520
	Other Assets, Less Liabilities (2.4%)				3,688
	Net Assets (100.0%)				153,208

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

Commodities Return Strategy Portfolio 163

Commodities Return Strategy Portfolio

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $149,454 and the net unrealized appreciation of investments based on that cost was $66 which is comprised of $3,299 aggregate gross unrealized appreciation and $3,233 aggregate gross unrealized depreciation.

(j) Swap agreements outstanding on December 31, 2012.

Total Return Swaps

Reference Entity	Counterparty	Payment Made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
Dow Jones-UBS Commodity Index	Citigroup	USTB3M	DJUBS	1/13	5,567	$	(2	)
Dow Jones-UBS Commodity Index	Citigroup	USTB3M	DJUBS	1/13	33,280		(11	)
Dow Jones-UBS Commodity Index	Morgan Stanley	USTB3M	DJUBS	1/13	1,868		(1	)
Dow Jones-UBS Commodity Index	Morgan Stanley	USTB3M	DJUBS	1/13	18,193		(6	)
Dow Jones-UBS Commodity Index	Morgan Stanley	USTB3M	DJUBS	12/13	9,237		21
Dow Jones-UBS Commodity Index	Morgan Stanley	USTB3M	DJUBS	12/13	8,239		24
Dow Jones-UBS Commodity Index	Societe General	USTB3M	DJUBS	1/13	16,495		(6	)
Dow Jones-UBS Commodity Index	Societe General	USTB3M	DJUBS	1/13	21,756		(8	)
Dow Jones-UBS Commodity Index	UBS	USTB3M	DJUBS	1/13	1,981		(1	)
Dow Jones-UBS Commodity Index	UBS AG	USTB3M	DJUBS	10/13	14,050		41
Dow Jones-UBS Commodity Index	UBS AG	USTB3M	DJUBS	10/13	22,034		51
						$	102

USTB3M — US T-Bill 3-Month Auction Results Index plus Financing Fee

DJUBS — Dow Jones-UBS Commodity Index Total Return

(k) Cash or securities with an aggregate value of $2,000 (in thousands) has been pledged as collateral for swap contracts outstanding, short sales or written options on December 31, 2012.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
US Government & Agency Bonds	$	-	$	121,527		$	-
Short-Term Investments		-		27,993			-
Other Financial Instruments^
Total Return Swaps		-		137			-
Liabilities:
Other Financial Instruments^
Total Return Swaps		-		(35	)		-
Total	$	-	$	149,622		$	-

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

164 Commodities Return Strategy Portfolio

Balanced Portfolio

Objective:	Portfolio Strategy:	Net Assets:
Realize as high a level of total return as is consistent with prudent investment risk, through income and capital appreciation.	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.	$2.2 billion

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Balanced Portfolio (the “Portfolio”). The Portfolio seeks to achieve its objective by investing in stock, bond and money market sectors. The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy of allocating assets across the three market sectors. The Portfolio may invest in options, futures, forwards, exchange-traded funds and swap agreements to gain exposure to certain markets, sectors or regions. Under normal market conditions, the Portfolio’s equity exposure will typically range between 35% and 55% of assets.

Market Overview

Equity markets finished the year with solid gains despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures that calmed markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year. In that environment, mid cap stocks outperformed shares of large and small sized companies, while value stocks generally outperformed growth shares. For the year, returns for the S&P 500^®, MidCap 400^® , and SmallCap 600^® Indices were 16.00%, 17.88%, and 16.33%, respectively.

In the fixed income market, bonds also delivered solid gains. Investment grade and high yield bonds led the rally, as improving corporate balance sheets and record bond issuance sent investors looking for yield. Treasurys lagged during 2012 after strong gains in 2011 pushed Treasury yields to historic lows.

Portfolio Results

The Portfolio returned 9.69% for the twelve months ended December 31, 2012, trailing the 16.00% return of the broad stock market, as measured by the S&P 500^® Index. The Portfolio also trailed the Balanced Portfolio Blended Composite Benchmark return of 11.06%. (The benchmark weights are detailed in the “Benchmark Definitions” section of this annual report.) The Mixed-Asset Target Allocation Moderate Funds peer group had an average return of 11.20%, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

During the year, high level asset allocation decisions helped relative performance, while individual security selection within the underlying sleeves weighed on performance. Security selection weakness within the domestic equity portion of the Portfolio was the primary detractor from relative results, while weakness in the high yield portion of the Portfolio, which had an underweight to the lowest quality securities of the market, also held back Portfolio performance last year.

With respect to the Portfolio’s asset allocation decisions, several positions added to performance during the year. The Portfolio generated relative performance from having a higher allocation to equity during certain periods when stocks performed well and a lower allocation less equity when the market declined. These moves helped offset the Portfolio’s overall underweight position in equities, while delivering relative return with lower volatility.

Certain asset allocation decisions within the equity and fixed income portfolios also worked well. The Portfolio held an overweight in high yield bonds amid strong performance in the first half of the year and an overweight in emerging markets equity during the rally in the second half of the year.

During the period, the Portfolio made use of total return swap agreements with the intention of reducing the growth bias inherent in the Portfolio’s equity strategies. Use of these instruments helped relative results somewhat during a year in which growth generally underperformed value stocks.

Portfolio Manager Outlook

We are taking a cautious view going into 2013. The economic and fiscal policies that investors have come to expect in recent years can not continue forever. The record amounts of both fiscal and economic stimulus in recent years leave little room for additional policy measures. We have seen some early signs that policy may be shifting, albeit modestly. With interest rates at historic lows, the Federal Reserve could begin to signal that its bond buying programs used to lower interest rates could slow, as the long-term cost of keeping rates low may outweigh the short-term economic benefit. If growth in China and Europe pick up, higher commodity prices are likely to tax economic growth. Given the uncertainty, we will remain underweight in equity, overweight in cash and neutral within fixed income.

Balanced Portfolio 165

Balanced Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year		5 Years		10 Years
Balanced Portfolio		9.69%		3.31%		6.17%
S&P 500® Index		16.00%		1.66%		7.10%
Barclays® U.S. Aggregate Index		4.22%		5.95%		5.18%
Balanced Portfolio Blended Composite Benchmark		11.06%		4.31%		7.32%
Lipper® Variable Insurance Products (VIP) Mixed Asset Target Allocation Moderate Funds Average		11.20%		2.78%		6.39%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards. Small cap stocks also may carry additional risk. Smaller or newer issuers 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 volatile and more speculative. Bonds and other debt obligations are affected by changes in interest rates, inflation risk and the creditworthiness of their issuers. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

The Portfolio may obtain its exposure to foreign 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, and changes in the value of 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 for the adviser’s view on style or term structure and duration, to provide increased flexibility in asset allocation, 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, 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 investments.

166 Balanced Portfolio

Balanced Portfolio

Top 5 Equity Holdings 12/31/12

Security Description	% of Net Assets
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio	4.8%
Northwestern Mutual Series Fund, Inc., International Equity Portfolio	2.1%
SPDR S&P MidCap 400 ETF Trust	1.5%
Apple, Inc.	0.9%
iShares MSCI EAFE Index Fund	0.9%

Top 5 Fixed Income Holdings 12/31/12

Security Description	% of Net Assets
US Treasury, Various	12.9%
Federal Home Loan Mortgage Corp., Various	6.8%
Federal National Mortgage Association, Various	4.6%
Israel Government AID Bond, Various	1.1%
Discover Card Master Trust, 0.81%, 8/15/17	0.2%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

The Investment Grade Segment includes bonds of companies and governments headquarted outside the United States.

Balanced Portfolio 167

Balanced Portfolio

Schedule of Investments

December 31, 2012

	Domestic Common Stocks and Warrants (29.9%)	Shares/ $ Par		Value $ (000’s)
	Large Cap Common Stocks (21.0%)
	Consumer Discretionary (2.4%)
	Comcast Corp. - Class A		182,125		6,808
*	Delphi Automotive PLC		114,325		4,373
*	Dollar General Corp.		125,600		5,538
	Las Vegas Sands Corp.		77,775		3,590
	Macy’s, Inc.		167,375		6,531
	News Corp. - Class A		309,775		7,912
	Starbucks Corp.		76,650		4,110
	Target Corp.		100,025		5,918
	Viacom, Inc. - Class B		146,625		7,733
	Total				52,513
	Consumer Staples (1.6%)
	Costco Wholesale Corp.		29,225		2,886
	CVS Caremark Corp.		159,300		7,702
	The Estee Lauder Cos., Inc. - Class A		49,425		2,959
	Mead Johnson Nutrition Co.		87,600		5,772
	PepsiCo, Inc.		91,575		6,266
	Philip Morris International, Inc.		125,200		10,472
	Total				36,057
	Energy (2.7%)
	Anadarko Petroleum Corp.		110,475		8,209
	Chevron Corp.		116,800		12,631
	Exxon Mobil Corp.		150,050		12,987
	National-Oilwell Varco, Inc.		45,450		3,106
	Occidental Petroleum Corp.		86,475		6,625
	Schlumberger, Ltd.		112,025		7,762
*	Weatherford International, Ltd.		445,461		4,985
*	Whiting Petroleum Corp.		72,725		3,154
	Total				59,459
	Financials (3.5%)
	American Express Co.		117,525		6,755
	American Tower Corp.		123,275		9,526
	BlackRock, Inc.		20,325		4,201
	Citigroup, Inc.		267,100		10,567
	The Goldman Sachs Group, Inc.		49,525		6,317
	Invesco, Ltd.		235,450		6,143
	JPMorgan Chase & Co.		304,075		13,370
	MetLife, Inc.		136,250		4,488
	PNC Financial Services Group, Inc.		78,325		4,567
	Wells Fargo & Co.		342,675		11,713
	Total				77,647
	Health Care (2.5%)
	Abbott Laboratories		54,225		3,552

	Domestic Common Stocks and Warrants (29.9%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	Alexion Pharmaceuticals, Inc.		27,775		2,606
	AmerisourceBergen Corp.		202,175		8,730
*	Biogen Idec, Inc.		19,875		2,915
	Eli Lilly and Co.		49,575		2,445
*	Express Scripts Holding Co.		73,700		3,980
*	Gilead Sciences, Inc.		59,000		4,333
	Johnson & Johnson		173,400		12,155
	Pfizer, Inc.		277,925		6,970
	UnitedHealth Group, Inc.		106,225		5,762
*	Watson Pharmaceuticals, Inc.		33,600		2,890
	Total				56,338
	Industrials (2.6%)
	The Boeing Co.		96,425		7,267
	Cummins, Inc.		49,893		5,406
	Danaher Corp.		117,200		6,551
	FedEx Corp.		84,067		7,711
	General Electric Co.		521,300		10,942
	Precision Castparts Corp.		28,414		5,382
	SPX Corp.		52,975		3,716
	Union Pacific Corp.		37,050		4,658
	United Technologies Corp.		88,700		7,274
	Total				58,907
	Information Technology (4.3%)
	Apple, Inc.		37,050		19,749
	Broadcom Corp. - Class A		136,500		4,533
*	Cognizant Technology Solutions Corp. - Class A		58,525		4,334
*	eBay, Inc.		51,250		2,615
*	EMC Corp.		163,875		4,146
*	Google, Inc. - Class A		10,450		7,413
	Intel Corp.		314,300		6,484
	International Business Machines Corp.		62,625		11,996
	Microsoft Corp.		461,800		12,344
	Oracle Corp.		225,275		7,506
	Qualcomm, Inc.		106,000		6,574
	Visa, Inc. - Class A		35,350		5,358
*	Yahoo!, Inc.		213,400		4,247
	Total				97,299
	Materials (0.8%)
	BHP Billiton, Ltd., ADR		51,200		4,016
	Celanese Corp.		58,900		2,623
	CF Industries Holdings, Inc.		21,200		4,307
	Monsanto Co.		75,850		7,179
	Total				18,125
	Telecommunication Services (0.2%)
	Vodafone Group PLC, ADR		189,725		4,779
	Total				4,779

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

168 Balanced Portfolio

Balanced Portfolio

	Domestic Common Stocks and Warrants (29.9%)	Shares/ $ Par		Value $ (000’s)
	Utilities (0.4%)
	American Water Works Co., Inc.		262,325		9,740
	Total				9,740
	Total Large Cap Common Stocks				470,864
	Mid Cap Common Stocks (6.9%)
	Consumer Discretionary (1.5%)
*	Bed Bath & Beyond, Inc.		26,300		1,471
*	BorgWarner, Inc.		33,600		2,406
	Brunswick Corp.		46,300		1,347
	Chico’s FAS, Inc.		170,500		3,147
	Coach, Inc.		20,600		1,144
	Dick’s Sporting Goods, Inc.		106,150		4,829
	The Gap, Inc.		30,100		934
*	LKQ Corp.		141,900		2,994
	Marriott International, Inc. - Class A		29,900		1,114
	The McGraw-Hill Cos., Inc.		45,700		2,498
*	O’Reilly Automotive, Inc.		27,280		2,439
*	Penn National Gaming, Inc.		29,000		1,424
	Polaris Industries, Inc.		33,000		2,777
	Ralph Lauren Corp.		4,300		645
	Ross Stores, Inc.		36,600		1,982
	Scripps Networks Interactive - Class A		17,400		1,008
	Ulta Salon, Cosmetics & Fragrance, Inc.		14,550		1,430
	Wynn Resorts, Ltd.		6,500		731
	Total				34,320
	Consumer Staples (0.7%)
	Beam, Inc.		104,325		6,373
	Church & Dwight Co., Inc.		139,825		7,490
	McCormick & Co., Inc.		43,000		2,732
	Total				16,595
	Energy (0.3%)
*	Cameron International Corp.		28,000		1,581
*	Concho Resources, Inc.		19,100		1,539
*	FMC Technologies, Inc.		27,800		1,191
	Noble Energy, Inc.		17,700		1,801
*	Southwestern Energy Co.		23,600		788
	Total				6,900
	Financials (0.4%)
*	CBRE Group, Inc.		115,600		2,300
*	E*TRADE Financial Corp.		49,640		444
*	IntercontinentalExchange, Inc.		11,500		1,424
	Lazard, Ltd. - Class A		28,100		839
	Raymond James Financial, Inc.		73,900		2,847
	Total				7,854
	Health Care (0.7%)
*	Catamaran Corp.		45,600		2,148
*	Cerner Corp.		21,200		1,646

	Domestic Common Stocks and Warrants (29.9%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	DaVita, Inc.		18,500		2,045
*	IDEXX Laboratories, Inc.		20,100		1,865
*	Mettler-Toledo International, Inc.		9,100		1,759
*	Mylan, Inc.		25,600		704
	Perrigo Co.		50,175		5,220
*	Vertex Pharmaceuticals, Inc.		14,600		612
	Total				15,999
	Industrials (1.3%)
*	B/E Aerospace, Inc.		60,400		2,984
	Corrections Corp. of America		90,300		3,203
	Dover Corp.		32,300		2,122
*	Fortune Brands Home & Security, Inc.		24,600		719
	Graco, Inc.		56,150		2,891
	Kansas City Southern		32,600		2,721
	Knight Transportation, Inc.		63,200		925
	MSC Industrial Direct Co., Inc. - Class A		18,200		1,372
*	Owens Corning, Inc.		41,900		1,550
	Regal-Beloit Corp.		23,298		1,642
	Robert Half International, Inc.		99,700		3,173
	Roper Industries, Inc.		21,100		2,352
*	WESCO International, Inc.		50,617		3,413
	Total				29,067
	Information Technology (1.5%)
*	Alliance Data Systems Corp.		25,400		3,677
	Amphenol Corp. - Class A		28,000		1,812
*	Aruba Networks, Inc.		39,300		815
	Avago Technologies, Ltd.		139,425		4,414
*	Citrix Systems, Inc.		27,200		1,788
*	F5 Networks, Inc.		18,000		1,749
*	Fortinet, Inc.		115,150		2,426
*	Freescale Semiconductor Holdings I, Ltd.		67,500		743
	Global Payments, Inc.		74,500		3,375
	Microchip Technology, Inc.		45,100		1,470
*	NetApp, Inc.		26,800		899
*	NetSuite, Inc.		7,900		532
*	Red Hat, Inc.		21,800		1,155
*	ServiceNow, Inc.		11,407		343
*	Skyworks Solutions, Inc.		61,000		1,238
*	Teradata Corp.		15,600		965
*	TIBCO Software, Inc.		47,600		1,048
*	VeriFone Systems, Inc.		77,500		2,300
*	Zebra Technologies Corp. - Class A		46,400		1,823
	Total				32,572
	Materials (0.3%)
	Airgas, Inc.		35,870		3,275
	PPG Industries, Inc.		19,100		2,585
	Westlake Chemical Corp.		17,100		1,356
	Total				7,216

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

Balanced Portfolio 169

Balanced Portfolio

	Domestic Common Stocks and Warrants (29.9%)	Shares/ $ Par		Value $ (000’s)
	Telecommunication Services (0.2%)
*	SBA Communications Corp. - Class A		66,900		4,751
	Total				4,751
	Total Mid Cap Common Stocks				155,274
	Small Cap Common Stocks (2.0%)
	Consumer Discretionary (0.2%)
*	Bally Technologies, Inc.		13,500		604
*	Chuy’s Holdings, Inc.		12,000		268
*	Genesco, Inc.		8,050		443
*	Grand Canyon Education, Inc.		30,050		705
*	Hibbett Sports, Inc.		8,400		443
*	Life Time Fitness, Inc.		13,250		652
*	Motors Liquidation Co. GUC Trust		1,317		28
	Penske Automotive Group, Inc.		15,500		466
*	Red Robin Gourmet Burgers, Inc.		9,900		349
*	SHFL Entertainment, Inc.		18,400		267
*	Vitamin Shoppe, Inc.		8,600		493
	Total				4,718
	Consumer Staples (0.0%)
*	United Natural Foods, Inc.		8,250		442
	Total				442
	Energy (0.2%)
*	Approach Resources, Inc.		23,050		576
*	Dril-Quip, Inc.		8,700		636
	EXCO Resources, Inc.		77,100		522
*	Gulfport Energy Corp.		17,650		675
*	Hornbeck Offshore Services, Inc.		13,400		460
*	Kodiak Oil & Gas Corp.		53,700		475
*	Rosetta Resources, Inc.		10,800		490
	Total				3,834
	Financials (0.2%)
	AmREIT, Inc., - Class B		17,200		295
	Boston Private Financial Holdings, Inc.		73,600		663
	East West Bancorp, Inc.		40,100		862
	Education Realty Trust, Inc.		36,150		385
	Greenhill & Co., Inc.		13,250		689
*	Stifel Financial Corp.		16,400		524
	Total				3,418
	Health Care (0.4%)
*	Akorn, Inc.		33,900		453
*	Align Technology, Inc.		11,500		319
*	Conceptus, Inc.		13,230		278
*	DexCom, Inc.		35,291		480
*	Endologix, Inc.		30,091		429
*	Exact Sciences Corp.		53,150		563
*	Fluidigm Corp.		26,050		373

	Domestic Common Stocks and Warrants (29.9%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	Health Management Associates, Inc. - Class A		54,200		505
*	HealthStream, Inc.		18,650		453
*	HMS Holdings Corp.		9,600		249
*	Impax Laboratories, Inc.		34,250		702
*	IPC The Hospitalist Co.		7,850		312
*	Jazz Pharmaceuticals PLC		4,550		242
*	MAP Pharmaceuticals, Inc.		30,300		476
*	Neogen Corp.		6,100		276
*	Omnicell, Inc.		31,856		474
*	Team Health Holdings, Inc.		12,250		352
	U.S. Physical Therapy, Inc.		16,600		457
	Universal Health Services, Inc. - Class B		8,600		416
	Total				7,809
	Industrials (0.5%)
	Actuant Corp. - Class A		30,900		863
*	Beacon Roofing Supply, Inc.		15,650		521
	Celadon Group, Inc.		31,500		569
*	Chart Industries, Inc.		9,108		607
*	DXP Enterprises, Inc.		8,350		410
*	Heritage-Crystal Clean, Inc.		30,939		464
*	Hexcel Corp.		27,950		754
*	Huron Consulting Group, Inc.		19,389		653
*	The Keyw Holding Corp.		44,871		569
	Lindsay Corp.		8,650		693
	The Manitowoc Co., Inc.		21,000		329
*	Mistras Group, Inc.		18,841		465
*	NCI Building Systems, Inc.		24,450		340
*	Oshkosh Corp.		18,750		556
*	Performant Financial Corp.		22,300		225
	Snap-on, Inc.		8,950		707
	Sun Hydraulics Corp.		16,445		429
*	Thermon Group Holdings, Inc.		16,850		380
	TransDigm Group, Inc.		3,700		505
	Valmont Industries, Inc.		6,600		901
	Total				10,940
	Information Technology (0.5%)
*	Aspen Technology, Inc.		15,400		426
*	BroadSoft, Inc.		14,500		527
*	Calix, Inc.		70,021		538
*	Cardtronics, Inc.		19,350		459
*	Cavium, Inc.		16,900		527
*	Cornerstone OnDemand, Inc.		12,522		370
*	Diodes, Inc.		35,200		611
*	EXA Corp.		16,000		156
*	ExactTarget, Inc.		12,500		250
*	EZchip Semiconductor, Ltd.		9,950		329
	FEI Co.		13,900		771
*	Finisar Corp.		23,500		383
*	InterXion Holding NV		33,176		788
*	Microsemi Corp.		26,100		549
*	MicroStrategy, Inc. - Class A		3,250		303
	MKS Instruments, Inc.		18,150		468
*	Nanometrics, Inc.		27,150		392

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

170 Balanced Portfolio

Balanced Portfolio

	Domestic Common Stocks and Warrants (29.9%)		Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	Proofpoint, Inc.			10,500		129
*	Sourcefire, Inc.			6,350		300
*	SPS Commerce, Inc.			20,925		780
*	Synacor, Inc.			35,800		196
*	Synchronoss Technologies, Inc.			37,450		790
*	Tangoe, Inc.			46,700		554
*	The Ultimate Software Group, Inc.			7,786		735
	Total					11,331
	Materials (0.0%)
	Balchem Corp.			14,911		543
(n)*	NewPage Group, Inc.			700		65
	Total					608
	Telecommunication Services (0.0%)
*	tw telecom, Inc.			30,000		764
	Total					764
	Total Small Cap Common Stocks					43,864
	Total Domestic Common Stocks and Warrants
	(Cost: $600,420)					670,002
	Foreign Common Stocks (0.0%)	Country
	Materials (0.0%)
(n)*	Catalyst Paper Corp.	Canada		5,430		6
	Total Foreign Common Stocks
	(Cost: $6)					6
	Preferred Stocks (0.1%)
	Financials (0.1%)
	Ally Financial, Inc, 7.00%, 2/4/13 144A			357		351
	Ally Financial, Inc., 8.50%, 5/15/16			31,671		832
	GMAC Capital Trust I, 8.125%, 2/15/40			11,788		314
	Total Preferred Stocks
	(Cost: $1,404)					1,497
	Investment Grade Segment (9.0%)
	Aerospace/Defense (0.1%)
	BAE Systems Holdings, Inc., 6.375%, 6/1/19 144A			180,000		215
	Boeing Capital Corp., 2.125%, 8/15/16			460,000		479
	L-3 Communications Corp., 5.20%, 10/15/19			635,000		724
	Lockheed Martin Corp., 3.35%, 9/15/21			175,000		185
	Meccanica Holdings USA, Inc., 6.25%, 1/15/40 144A			450,000		388
	Total					1,991

Investment Grade Segment (9.0%)	Shares/ $ Par		Value $ (000’s)
Auto Manufacturing (0.4%)
American Honda Finance Corp., 2.125%, 2/28/17 144A		980,000		1,003
Daimler Finance North America LLC, 2.625%, 9/15/16 144A		60,000		62
Daimler Finance North America LLC, 3.00%, 3/28/16 144A		655,000		685
Ford Motor Co., 7.45%, 7/16/31		780,000		991
Ford Motor Credit Co. LLC, 3.00%, 6/12/17		705,000		724
Ford Motor Credit Co. LLC, 4.25%, 2/3/17		790,000		846
Ford Motor Credit Co. LLC, 5.00%, 5/15/18		410,000		452
Ford Motor Credit Co. LLC, 5.75%, 2/1/21		700,000		806
Ford Motor Credit Co. LLC, 5.875%, 8/2/21		520,000		606
Ford Motor Credit Co. LLC, 8.125%, 1/15/20		325,000		416
PACCAR, Inc., 6.875%, 2/15/14		80,000		86
Toyota Motor Credit Corp., 1.75%, 5/22/17		1,085,000		1,111
Toyota Motor Credit Corp., 3.30%, 1/12/22		1,025,000		1,106
Volkswagen International Finance NV, 2.875%, 4/1/16 144A		730,000		766
Total				9,660
Banking (1.3%)
Bank of America Corp., 3.625%, 3/17/16		580,000		614
Bank of America Corp., 3.75%, 7/12/16		155,000		166
Bank of America Corp., 5.75%, 12/1/17		870,000		1,014
Bank of Montreal, 2.55%, 11/6/22		960,000		950
The Bank of New York Mellon Corp., 3.55%, 9/23/21		1,225,000		1,335
Bank of Nova Scotia, 1.375%, 12/18/17		685,000		686
Barclays Bank PLC, 5.00%, 9/22/16		100,000		112
Barclays Bank PLC, 6.05%, 12/4/17 144A		140,000		155
Citigroup, Inc., 3.953%, 6/15/16		2,955,000		3,181
Fifth Third Bank, 4.75%, 2/1/15		740,000		794
The Goldman Sachs Group, Inc., 5.95%, 1/18/18		1,915,000		2,228
The Goldman Sachs Group, Inc., 6.15%, 4/1/18		835,000		981
HSBC Holdings PLC, 5.10%, 4/5/21		590,000		697
JPMorgan Chase & Co., 3.15%, 7/5/16		3,735,000		3,957
JPMorgan Chase & Co., 6.00%, 1/15/18		540,000		646
Merrill Lynch & Co., Inc., 6.40%, 8/28/17		2,185,000		2,566
Morgan Stanley, 2.875%, 7/28/14		780,000		797
Morgan Stanley, 4.75%, 3/22/17		395,000		431
Nordea Bank AB, 4.875%, 1/27/20 144A		320,000		369
PNC Financial Services Group, Inc., 2.854%, 11/9/22		700,000		704
PNC Funding Corp., 4.375%, 8/11/20		440,000		502
The Royal Bank of Scotland Group PLC, 6.125%, 12/15/22		750,000		792
Standard Chartered PLC, 3.20%, 5/12/16 144A		655,000		689
State Street Corp., 2.875%, 3/7/16		390,000		414
SunTrust Banks, Inc., 6.00%, 9/11/17		405,000		478
U.S. Bancorp, 3.442%, 2/1/16		700,000		737
Wachovia Corp., 5.75%, 2/1/18		215,000		257
Wells Fargo & Co., 2.625%, 12/15/16		1,115,000		1,177
Wells Fargo & Co., 4.60%, 4/1/21		715,000		822
Wells Fargo & Co., 7.98%, 3/29/49		255,000		293
Total				28,544

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

Balanced Portfolio 171

Balanced Portfolio

Investment Grade Segment (9.0%)	Shares/ $ Par			Value $ (000’s)
Beverage/Bottling (0.3%)
Anheuser-Busch Cos. LLC, 5.75%, 4/1/36		255,000			324
Anheuser-Busch InBev Worldwide, Inc., 2.50%, 7/15/22		985,000			991
Anheuser-Busch InBev Worldwide, Inc., 5.375%, 1/15/20		220,000			268
Anheuser-Busch InBev Worldwide, Inc., 8.20%, 1/15/39		1,020,000	��		1,675
Beam, Inc., 3.25%, 5/15/22		275,000			285
The Coca-Cola Co., 1.65%, 3/14/18		750,000			768
The Coca-Cola Co., 3.15%, 11/15/20		775,000			843
Dr. Pepper Snapple Group, Inc., 6.82%, 5/1/18		245,000			309
Heineken NV, 1.40%, 10/1/17 144A		270,000			269
Heineken NV, 2.75%, 4/1/23 144A		400,000			393
Heineken NV, 4.00%, 10/1/42 144A		110,000			107
PepsiCo, Inc., 3.125%, 11/1/20		300,000			322
PepsiCo, Inc., 7.90%, 11/1/18		80,000			108
Pernod-Ricard SA, 5.75%, 4/7/21 144A		430,000			514
SABMiller Holdings, Inc., 3.75%, 1/15/22 144A		580,000			626
Total					7,802
Cable/Media/Broadcasting/Satellite (0.3%)
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 2.40%, 3/15/17		655,000			671
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.80%, 3/15/22		700,000			722
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 4.60%, 2/15/21		90,000			98
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15%, 3/15/42		375,000			379
Discovery Communications LLC, 5.05%, 6/1/20		225,000			260
Historic TW, Inc., 6.625%, 5/15/29		580,000			740
Historic TW, Inc., 6.875%, 6/15/18		195,000			246
NBCUniversal Media LLC, 2.875%, 4/1/16		570,000			601
NBCUniversal Media LLC, 6.40%, 4/30/40		180,000			231
News America, Inc., 6.90%, 8/15/39		120,000			157
TCI Communications, Inc., 8.75%, 8/1/15		1,030,000			1,229
Time Warner Entertainment Co. LP, 8.375%, 3/15/23		1,650,000			2,332
Total					7,666
Conglomerate/Diversified Manufacturing (0.1%)
Eastman Chemical Co., 7.25%, 1/15/24		85,000			111
Eaton Corp., 2.75%, 11/2/22 144A		1,685,000			1,680
Monsanto Co., 5.125%, 4/15/18		55,000			65
United Technologies Corp., 3.10%, 6/1/22		390,000			413
United Technologies Corp., 4.50%, 6/1/42		470,000			522
Total					2,791
Consumer Products (0.0%)
The Procter & Gamble Co., 5.55%, 3/5/37		645,000			865
Total					865
Electric Utilities (1.1%)
Alabama Power Co., 3.95%, 6/1/21		780,000			872
Ameren Corp., 8.875%, 5/15/14		300,000			328
Appalachian Power Co., 4.60%, 3/30/21		390,000			449
Arizona Public Service Co., 5.05%, 9/1/41		355,000			407
Arizona Public Service Co., 8.75%, 3/1/19		95,000			125
Bruce Mansfield Unit, 6.85%, 6/1/34		471,749			492

Investment Grade Segment (9.0%)	Shares/ $ Par		Value $ (000’s)
Electric Utilities continued
Carolina Power & Light Co., 2.80%, 5/15/22		535,000		549
Carolina Power & Light Co., 5.15%, 4/1/15		420,000		460
CenterPoint Energy, Inc., 6.50%, 5/1/18		380,000		464
Commonwealth Edison Co., 4.00%, 8/1/20		410,000		458
Commonwealth Edison Co., 5.875%, 2/1/33		115,000		146
Commonwealth Edison Co., 6.15%, 9/15/17		105,000		127
Connecticut Light & Power Co., 5.65%, 5/1/18		150,000		182
The Detroit Edison Co., 3.45%, 10/1/20		410,000		450
Dominion Resources, Inc., 1.40%, 9/15/17		705,000		705
DTE Energy Co., 6.375%, 4/15/33		175,000		227
Duke Energy Corp., 6.25%, 6/15/18		40,000		49
Duke Energy Indiana, Inc., 3.75%, 7/15/20		775,000		858
Entergy Corp., 4.70%, 1/15/17		660,000		715
Entergy Mississippi, Inc., 6.25%, 4/1/34		1,030,000		1,044
Exelon Generation Co. LLC, 4.25%, 6/15/22 144A		705,000		733
Exelon Generation Co. LLC, 6.20%, 10/1/17		535,000		632
Kiowa Power Partners LLC, 4.811%, 12/30/13 144A		215,521		217
Mississippi Power Co., 4.75%, 10/15/41		595,000		657
Monongahela Power Co., Inc., 5.70%, 3/15/17 144A		860,000		974
Nevada Power Co., 5.95%, 3/15/16		60,000		69
NextEra Energy Capital Holdings, Inc., 4.50%, 6/1/21		800,000		889
NSTAR LLC, 4.50%, 11/15/19		40,000		45
Ohio Edison Co., 6.875%, 7/15/36		145,000		188
Ohio Power Co., 5.375%, 10/1/21		375,000		454
Pacific Gas & Electric Co., 3.50%, 10/1/20		1,175,000		1,288
Pacific Gas & Electric Co., 5.625%, 11/30/17		225,000		272
PacifiCorp., 3.85%, 6/15/21		780,000		880
Peco Energy Co., 2.375%, 9/15/22		440,000		444
Potomac Electric Power Co., 6.50%, 11/15/37		180,000		257
PPL Capital Funding, Inc., 4.20%, 6/15/22		380,000		409
PPL Energy Supply LLC, 6.50%, 5/1/18		150,000		180
Public Service Co. of Colorado, 3.20%, 11/15/20		520,000		567
Public Service Co. of Colorado, 5.80%, 8/1/18		140,000		172
Public Service Co. of New Mexico, 5.35%, 10/1/21		405,000		445
Public Service Electric & Gas Co., 3.65%, 9/1/42		300,000		295
Public Service Electric & Gas Co., 5.00%, 1/1/13		1,500,000		1,500
Puget Sound Energy, Inc., 6.274%, 3/15/37		550,000		735
San Diego Gas & Electric Co., 6.125%, 9/15/37		200,000		275
Sempra Energy, 2.30%, 4/1/17		635,000		659
Sempra Energy, 6.15%, 6/15/18		250,000		307
South Carolina Electric & Gas Co., 6.05%, 1/15/38		295,000		383
Tampa Electric Co., 5.40%, 5/15/21		530,000		652
Union Electric Co., 3.90%, 9/15/42		405,000		410
Union Electric Co., 6.40%, 6/15/17		180,000		220
Union Electric Co., 6.70%, 2/1/19		180,000		227
Virginia Electric & Power Co., 3.45%, 9/1/22		680,000		735

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

172 Balanced Portfolio

Balanced Portfolio

Investment Grade Segment (9.0%)	Shares/ $ Par		Value $ (000’s)
Electric Utilities continued
Virginia Electric & Power Co., 5.40%, 4/30/18		55,000		66
Total				25,343
Electronics (0.1%)
Hewlett-Packard Co., 3.00%, 9/15/16		555,000		559
Hewlett-Packard Co., 3.75%, 12/1/20		80,000		77
Hewlett-Packard Co., 4.65%, 12/9/21		535,000		537
International Business Machines Corp., 1.95%, 7/22/16		400,000		416
International Business Machines Corp., 2.00%, 1/5/16		520,000		537
Total				2,126
Food Processors (0.2%)
Archer-Daniels-Midland Co., 4.479%, 3/1/21		230,000		260
Kellogg Co., 3.25%, 5/21/18		235,000		256
Kraft Foods Group, Inc., 2.25%, 6/5/17 144A		180,000		186
Kraft Foods Group, Inc., 3.50%, 6/6/22 144A		240,000		256
Kraft Foods Group, Inc., 6.125%, 8/23/18 144A		303,000		371
Mead Johnson Nutrition Co., 4.90%, 11/1/19		640,000		731
Mondelez International, Inc., 6.125%, 2/1/18		107,000		130
Mondelez International, Inc., 6.50%, 8/11/17		410,000		501
Mondelez International, Inc., 6.50%, 2/9/40		930,000		1,249
Total				3,940
Gaming/Leisure/Lodging (0.0%)
Choice Hotels International, Inc., 5.75%, 7/1/22		225,000		249
Host Hotels & Resorts LP, 5.875%, 6/15/19		45,000		49
Total				298
Gas Pipelines (0.3%)
CenterPoint Energy Resources Corp., 6.125%, 11/1/17		140,000		168
Energy Transfer Partners LP, 4.65%, 6/1/21		285,000		313
Energy Transfer Partners LP, 6.05%, 6/1/41		715,000		813
Energy Transfer Partners LP, 6.70%, 7/1/18		305,000		368
Enterprise Products Operating LLC, 3.20%, 2/1/16		585,000		618
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18		800,000		958
Kinder Morgan Energy Partners LP, 6.375%, 3/1/41		795,000		984
Kinder Morgan Energy Partners LP, 6.50%, 2/1/37		280,000		342
Magellan Midstream Partners LP, 6.55%, 7/15/19		335,000		414
ONEOK Partners LP, 2.00%, 10/1/17		355,000		358
Plains All American Pipeline LP/PAA Finance Corp., 6.50%, 5/1/18		175,000		216
Spectra Energy Partners LP, 2.95%, 6/15/16		315,000		324
Williams Partners LP, 4.00%, 11/15/21		135,000		144
Williams Partners LP, 4.125%, 11/15/20		54,000		59
Williams Partners LP, 5.25%, 3/15/20		460,000		530
Total				6,609

Investment Grade Segment (9.0%)	Shares/ $ Par		Value $ (000’s)
Health Care/Pharmaceuticals (0.5%)
AbbVie, Inc., 1.75%, 11/6/17 144A		615,000		622
AbbVie, Inc., 2.90%, 11/6/22 144A		275,000		280
Amgen, Inc., 3.875%, 11/15/21		935,000		1,027
Express Scripts Holding Co., 2.65%, 2/15/17 144A		330,000		343
Express Scripts Holding Co., 3.125%, 5/15/16		155,000		163
Express Scripts Holding Co., 3.50%, 11/15/16 144A		560,000		599
Express Scripts Holding Co., 3.90%, 2/15/22 144A		175,000		189
Medco Health Solutions, Inc., 7.125%, 3/15/18		750,000		935
Merck & Co., Inc., 3.875%, 1/15/21		590,000		662
Merck & Co., Inc., 5.75%, 11/15/36		30,000		40
Mylan, Inc., 3.125%, 1/15/23 144A		520,000		515
Mylan, Inc., 6.00%, 11/15/18 144A		410,000		453
Mylan, Inc., 7.625%, 7/15/17 144A		145,000		163
Mylan, Inc., 7.875%, 7/15/20 144A		85,000		100
The Novartis Capital Corp., 2.40%, 9/21/22		1,080,000		1,083
Pfizer, Inc., 5.35%, 3/15/15		370,000		407
Roche Holdings, Inc., 6.00%, 3/1/19 144A		385,000		479
Sanofi-Aventis SA, 2.625%, 3/29/16		1,155,000		1,216
Teva Pharmaceutical Finance Co. BV, 2.95%, 12/18/22		580,000		587
Teva Pharmaceutical Finance IV LLC, 2.25%, 3/18/20		265,000		267
Thermo Fisher Scientific, Inc., 1.85%, 1/15/18		255,000		258
Thermo Fisher Scientific, Inc., 3.15%, 1/15/23		325,000		332
Watson Pharmaceuticals, Inc., 1.875%, 10/1/17		85,000		86
Watson Pharmaceuticals, Inc., 3.25%, 10/1/22		180,000		184
Watson Pharmaceuticals, Inc., 4.625%, 10/1/42		110,000		115
Wyeth LLC, 5.50%, 2/15/16		25,000		29
Wyeth LLC, 5.95%, 4/1/37		630,000		840
Total				11,974
Independent Finance (0.2%)
General Dynamics Corp., 2.25%, 11/15/22		750,000		734
General Electric Capital Corp., 5.625%, 5/1/18		1,735,000		2,061
General Electric Capital Corp./LJ VP Holdings LLC, 3.80%, 6/18/19 144A		950,000		1,012
Total				3,807
Information/Data Technology (0.1%)
Microsoft Corp., 0.875%, 11/15/17		210,000		209
Microsoft Corp., 2.125%, 11/15/22		565,000		559
Oracle Corp., 1.20%, 10/15/17		565,000		567
Oracle Corp., 2.50%, 10/15/22		565,000		570
Oracle Corp., 3.875%, 7/15/20		760,000		857
Total				2,762
Life Insurance (0.3%)
Aetna, Inc., 1.50%, 11/15/17		125,000		125
Aetna, Inc., 2.75%, 11/15/22		225,000		223
American International Group, Inc., 4.875%, 6/1/22		575,000		657
MassMutual Global Funding II, 2.30%, 9/28/15 144A		850,000		883

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

Balanced Portfolio 173

Balanced Portfolio

Investment Grade Segment (9.0%)	Shares/ $ Par		Value $ (000’s)
Life Insurance continued
Metropolitan Life Global Funding I, 3.65%, 6/14/18 144A		720,000		788
New York Life Global Funding, 2.45%, 7/14/16 144A		780,000		817
Prudential Financial, Inc., 5.375%, 6/21/20		250,000		292
Prudential Financial, Inc., 5.70%, 12/14/36		170,000		194
Teachers Insurance & Annuity Association-College Retirement Equity Fund, 6.85%, 12/16/39 144A		385,000		522
UnitedHealth Group, Inc., 1.40%, 10/15/17		100,000		100
UnitedHealth Group, Inc., 2.75%, 2/15/23		120,000		121
UnitedHealth Group, Inc., 2.875%, 3/15/22		120,000		123
UnitedHealth Group, Inc., 3.95%, 10/15/42		50,000		50
UnitedHealth Group, Inc., 4.70%, 2/15/21		400,000		466
WellPoint, Inc., 1.875%, 1/15/18		220,000		223
WellPoint, Inc., 3.30%, 1/15/23		305,000		313
Total				5,897
Machinery (0.2%)
Caterpillar Financial Services Corp., 1.625%, 6/1/17		510,000		520
John Deere Capital Corp., 0.70%, 9/4/15		560,000		560
John Deere Capital Corp., 1.20%, 10/10/17		380,000		381
John Deere Capital Corp., 2.25%, 4/17/19		430,000		442
John Deere Capital Corp., 2.80%, 1/27/23		580,000		593
Roper Industries, Inc., 1.85%, 11/15/17		415,000		415
Roper Industries, Inc., 3.125%, 11/15/22		615,000		619
Total				3,530
Metals/Mining (0.3%)
Barrick Gold Corp., 2.90%, 5/30/16		425,000		446
Barrick Gold Corp., 3.85%, 4/1/22		745,000		789
Barrick North America Finance LLC, 6.80%, 9/15/18		370,000		457
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/1/22		670,000		664
Newmont Mining Corp., 3.50%, 3/15/22		925,000		954
Newmont Mining Corp., 6.25%, 10/1/39		146,000		176
Rio Tinto Finance USA PLC, 1.625%, 8/21/17		1,050,000		1,063
Rio Tinto Finance USA, Ltd., 4.125%, 5/20/21		600,000		663
Rio Tinto Finance USA, Ltd., 9.00%, 5/1/19		200,000		275
Teck Resources, Ltd., 3.00%, 3/1/19		215,000		222
Teck Resources, Ltd., 5.20%, 3/1/42		705,000		720
Total				6,429
Natural Gas Distributors (0.0%)
NiSource Finance Corp., 5.80%, 2/1/42		915,000		1,042
Total				1,042
Oil & Gas Field Machines and Services (0.1%)
National Oilwell Varco, Inc., 1.35%, 12/1/17		120,000		121
National Oilwell Varco, Inc., 2.60%, 12/1/22		430,000		436
Rowan Cos., Inc., 4.875%, 6/1/22		840,000		912
Total				1,469
Oil and Gas (1.0%)
Anadarko Petroleum Corp., 6.375%, 9/15/17		780,000		932
Apache Corp., 4.75%, 4/15/43		370,000		403
BP Capital Markets PLC, 1.846%, 5/5/17		725,000		741

	Investment Grade Segment (9.0%)	Shares/ $ Par		Value $ (000’s)
	Oil and Gas continued
	BP Capital Markets PLC, 2.50%, 11/6/22		1,200,000		1,189
	BP Capital Markets PLC, 4.50%, 10/1/20		185,000		213
	BP Capital Markets PLC, 4.75%, 3/10/19		1,320,000		1,531
	Canadian Natural Resources, Ltd., 5.70%, 5/15/17		391,000		461
	Canadian Natural Resources, Ltd., 5.85%, 2/1/35		90,000		111
	Canadian Natural Resources, Ltd., 6.45%, 6/30/33		335,000		426
	Cenovus Energy, Inc., 4.45%, 9/15/42		700,000		728
	ConocoPhillips, 6.00%, 1/15/20		1,175,000		1,491
	Devon Energy Corp., 1.875%, 5/15/17		365,000		372
	Devon Energy Corp., 3.25%, 5/15/22		555,000		579
	Encana Corp., 3.90%, 11/15/21		475,000		516
	Ensco PLC, 4.70%, 3/15/21		585,000		658
	EOG Resources, Inc., 4.40%, 6/1/20		245,000		284
	Hess Corp., 5.60%, 2/15/41		420,000		497
	Husky Energy, Inc., 3.95%, 4/15/22		590,000		634
	Husky Energy, Inc., 7.25%, 12/15/19		80,000		104
	Marathon Oil Corp., 6.60%, 10/1/37		140,000		187
	Nabors Industries, Inc., 6.15%, 2/15/18		655,000		770
	Noble Energy, Inc., 6.00%, 3/1/41		280,000		337
	Occidental Petroleum Corp., 4.125%, 6/1/16		315,000		349
	Pemex Project Funding Master Trust, 6.625%, 6/15/35		245,000		311
	Petrohawk Energy Corp., 6.25%, 6/1/19		695,000		791
	Shell International Finance BV, 1.125%, 8/21/17		700,000		703
	Shell International Finance BV, 4.30%, 9/22/19		1,580,000		1,830
	Southwestern Energy Co., 4.10%, 3/15/22		460,000		495
	Statoil ASA, 2.45%, 1/17/23		1,035,000		1,033
	Suncor Energy, Inc., 6.85%, 6/1/39		265,000		366
	Talisman Energy, Inc., 3.75%, 2/1/21		700,000		751
	Total Capital International SA, 1.50%, 2/17/17		105,000		106
	Total Capital SA, 4.45%, 6/24/20		950,000		1,100
	Transocean, Inc., 6.375%, 12/15/21		590,000		717
	Weatherford International, Ltd., 5.95%, 4/15/42		1,120,000		1,216
	Total				22,932
	Other Finance (0.2%)
	American Express Co., 6.15%, 8/28/17		590,000		711
	American Express Credit Corp., 5.125%, 8/25/14		590,000		632
	Berkshire Hathaway Finance Corp., 3.00%, 5/15/22		705,000		735
	CVS Pass-Through Trust, 6.036%, 12/10/28		517,367		605
	The NASDAQ OMX Group, Inc., 5.55%, 1/15/20		180,000		196
	Prudential Covered Trust 2012-1, 2.997%, 9/30/15 144A		1,391,750		1,443
	Total				4,322
	Other Holdings (0.1%)
(f)	Federative Republic of Brazil, 8.50%, 1/5/24		1,855,000		1,107
(f)	Morgan Stanley, 5.40%, 5/15/15 144A		4,067,704		2,161
	Total				3,268
	Other Services (0.1%)
	American Tower Corp., 4.625%, 4/1/15		195,000		207
	American Tower Corp., 7.00%, 10/15/17		200,000		239

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

174 Balanced Portfolio

Balanced Portfolio

Investment Grade Segment (9.0%)	Shares/ $ Par		Value $ (000’s)
Other Services continued
CC Holdings GS V LLC, 3.849%, 4/15/23 144A		550,000		560
Republic Services, Inc., 5.25%, 11/15/21		425,000		501
Waste Management, Inc., 2.90%, 9/15/22		460,000		455
Waste Management, Inc., 4.60%, 3/1/21		440,000		499
Total				2,461
Paper and Forest Products (0.1%)
Georgia-Pacific LLC, 5.40%, 11/1/20 144A		890,000		1,059
Georgia-Pacific LLC, 7.75%, 11/15/29		50,000		68
Total				1,127
Property and Casualty Insurance (0.0%)
The Hartford Financial Services Group, Inc., 6.625%, 4/15/42		185,000		235
Total				235
Railroads (0.2%)
Burlington Northern Santa Fe LLC, 3.05%, 3/15/22		455,000		470
Burlington Northern Santa Fe LLC, 3.05%, 9/1/22		375,000		387
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20		390,000		422
Canadian National Railway Co., 5.85%, 11/15/17		140,000		169
CSX Corp., 3.70%, 10/30/20		70,000		76
CSX Corp., 4.25%, 6/1/21		200,000		225
CSX Corp., 5.60%, 5/1/17		490,000		572
Norfolk Southern Corp., 2.903%, 2/15/23 144A		789,000		794
Union Pacific Corp., 4.30%, 6/15/42		700,000		739
Total				3,854
Real Estate Investment Trusts (0.4%)
AvalonBay Communities, Inc., 2.85%, 3/15/23		385,000		380
AvalonBay Communities, Inc., 2.95%, 9/15/22		205,000		204
AvalonBay Communities, Inc., 3.95%, 1/15/21		675,000		726
Boston Properties LP, 3.85%, 2/1/23		580,000		609
BRE Properties, Inc., 5.20%, 3/15/21		535,000		604
BRE Properties, Inc., 5.50%, 3/15/17		245,000		278
Colonial Realty LP, 6.05%, 9/1/16		360,000		401
DDR Corp., 4.75%, 4/15/18		580,000		643
Essex Portfolio LP, 3.625%, 8/15/22 144A		1,050,000		1,048
HCP, Inc., 3.75%, 2/1/16		335,000		356
HCP, Inc., 3.75%, 2/1/19		195,000		206
HCP, Inc., 6.00%, 1/30/17		400,000		459
HCP, Inc., 6.70%, 1/30/18		200,000		241
Health Care REIT, Inc., 3.625%, 3/15/16		290,000		306
Health Care REIT, Inc., 4.125%, 4/1/19		935,000		1,006
Ventas Realty LP/Ventas Capital Corp., 2.00%, 2/15/18		1,035,000		1,036
Ventas Realty LP/Ventas Capital Corp., 4.25%, 3/1/22		270,000		286
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/1/21		515,000		563
WEA Finance LLC, 7.125%, 4/15/18 144A		360,000		444
Total				9,796
Restaurants (0.1%)
Darden Restaurants, Inc., 3.35%, 11/1/22		165,000		160
Darden Restaurants, Inc., 4.50%, 10/15/21		600,000		645

Investment Grade Segment (9.0%)	Shares/ $ Par		Value $ (000’s)
Restaurants continued
Darden Restaurants, Inc., 6.20%, 10/15/17		360,000		425
Yum! Brands, Inc., 3.75%, 11/1/21		455,000		484
Yum! Brands, Inc., 3.875%, 11/1/20		355,000		386
Total				2,100
Retail Food and Drug (0.2%)
CVS Caremark Corp., 6.25%, 6/1/27		715,000		944
Delhaize Group SA, 4.125%, 4/10/19		815,000		841
Delhaize Group SA, 5.70%, 10/1/40		770,000		722
Safeway, Inc., 6.35%, 8/15/17		1,170,000		1,329
Total				3,836
Retail Stores (0.3%)
Costco Wholesale Corp., 1.70%, 12/15/19		1,385,000		1,395
The Home Depot, Inc., 4.40%, 4/1/21		205,000		242
The Home Depot, Inc., 5.40%, 3/1/16		175,000		200
The Home Depot, Inc., 5.875%, 12/16/36		70,000		92
Lowe’s Cos., Inc., 3.80%, 11/15/21		125,000		138
Macy’s Retail Holdings, Inc., 5.90%, 12/1/16		251,000		295
Macy’s Retail Holdings, Inc., 7.875%, 7/15/15		336,000		391
Nordstrom, Inc., 6.25%, 1/15/18		225,000		273
Nordstrom, Inc., 7.00%, 1/15/38		265,000		375
Target Corp., 6.50%, 10/15/37		470,000		656
Wal-Mart Stores, Inc., 2.80%, 4/15/16		300,000		320
Wal-Mart Stores, Inc., 3.25%, 10/25/20		480,000		523
Wal-Mart Stores, Inc., 3.625%, 7/8/20		250,000		278
Wal-Mart Stores, Inc., 4.875%, 7/8/40		415,000		490
Total				5,668
Telecommunications (0.4%)
America Movil SAB de CV, 2.375%, 9/8/16		430,000		447
America Movil SAB de CV, 5.00%, 3/30/20		1,010,000		1,175
AT&T Corp., 8.00%, 11/15/31		380,000		575
AT&T, Inc., 2.625%, 12/1/22		1,050,000		1,052
AT&T, Inc., 2.95%, 5/15/16		865,000		916
CenturyLink, Inc., 5.15%, 6/15/17		465,000		501
CenturyLink, Inc., 6.45%, 6/15/21		340,000		376
Qwest Corp., 6.50%, 6/1/17		595,000		695
Telefonica Emisiones SAU, 3.729%, 4/27/15		555,000		570
Verizon Communications, Inc., 5.85%, 9/15/35		505,000		634
Verizon Communications, Inc., 6.25%, 4/1/37		400,000		526
Verizon Communications, Inc., 6.35%, 4/1/19		770,000		973
Total				8,440
Total Investment Grade Segment
(Cost: $186,020)				202,584
Governments (14.3%)
Governments (14.3%)
Canada Government International Bond, 0.875%, 2/14/17		4,375,000		4,410
Israel Government AID Bond, 0.00%, 11/15/22		2,600,000		2,061
Israel Government AID Bond, 0.00%, 11/15/23		11,500,000		8,662

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

Balanced Portfolio 175

Balanced Portfolio

	Governments (14.3%)	Shares/ $ Par		Value $ (000’s)
	Governments continued
	Israel Government AID Bond, 5.50%, 4/26/24		9,840,000		13,023
	Overseas Private Investment Corp., 4.10%, 11/15/14		873,600		910
	US Department of Housing & Urban Development, 6.17%, 8/1/14		2,455,000		2,457
(g)	US Treasury, 0.125%, 12/31/14		76,300,000		76,109
	US Treasury, 0.25%, 9/30/14		24,810,000		24,816
	US Treasury, 0.50%, 7/31/17		4,820,000		4,791
	US Treasury, 0.625%, 5/31/17		57,560,000		57,650
(g)	US Treasury, 0.625%, 8/31/17		9,550,000		9,541
(g)	US Treasury, 0.625%, 9/30/17		7,900,000		7,886
	US Treasury, 0.75%, 6/30/17		39,530,000		39,765
	US Treasury, 1.625%, 11/15/22		390,000		386
	US Treasury, 2.75%, 8/15/42		1,230,000		1,188
(g)	US Treasury, 3.00%, 5/15/42		5,260,000		5,359
	US Treasury, 3.125%, 2/15/42		16,945,000		17,718
	US Treasury, 4.50%, 2/15/36		1,900,000		2,500
	US Treasury, 5.375%, 2/15/31		29,475,000		42,075
	Total Governments
	(Cost: $314,018)				321,307
	Municipal Bonds (0.8%)
	Municipal Bonds (0.8%)
	American Municipal Power, Inc., Series 2010, 5.939%, 2/15/47 RB		1,312,000		1,524
	Bay Area Toll Authority San Francisco Bay Area Toll Bridge, Series 2009-F, 6.263%, 4/1/49 RB		70,000		97
	Board of Regents of the University of Texas System, Series 2010C, 4.794%, 8/15/46 RB		1,040,000		1,232
	Board of Regents of the University of Texas System, Series 2009B, 6.276%, 8/15/41 RB		400,000		470
	The City of New York, Series C-1, 5.517%, 10/1/37 GO		590,000		729
	Connecticut Housing Finance Authority, Series D-2, 5.00%, 11/15/26 RB		715,000		715
	Dallas Area Rapid Transit, Series 2010B, 5.022%, 12/1/48 RB		1,185,000		1,420
	Dallas Independent School District, Series 2010C, 6.45%, 2/15/35 GO, PSF		1,170,000		1,471
	Dormitory Authority of the State of New York, Series 2010H, 5.389%, 3/15/40 RB		200,000		246
	Energy Northwest, Series E, 2.197%, 7/1/19 RB		935,000		959
	Los Angeles Unified School District, Series RY, 6.758%, 7/1/34 GO		585,000		781
	Metropolitan Transportation Authority, Series 2010C-1, 6.687%, 11/15/40 RB		203,000		262
	Metropolitan Transportation Authority, Series 2009C, 7.336%, 11/15/39 RB		415,000		608
	Montana Facility Finance Authority, Series 2010A, 4.75%, 5/20/37 RB, GNMA, FHA		2,550,000		2,769
	New York City Municipal Water Finance Authority, Series AA, 5.44%, 6/15/43 RB		432,000		541

Municipal Bonds (0.8%)	Shares/ $ Par		Value $ (000’s)
New York City Municipal Water Finance Authority, Series AA-1, 5.75%, 6/15/41 RB		115,000		149
Port Authority New York & New Jersey, Series 168, 4.926%, 10/1/51 RB		930,000		1,031
State of California, Series 2010, 5.70%, 11/1/21 GO		780,000		929
State of Illinois, Series 2011, 4.961%, 3/1/16 GO		1,315,000		1,440
Texas Transportation Commission, Series 2010A, 4.681%, 4/1/40 GO		355,000		416
University of California Regents Medical Center, Series H, 6.548%, 5/15/48 RB		820,000		1,092
Total Municipal Bonds
(Cost: $16,291)				18,881
Structured Products (14.6%)
Structured Products (14.6%)
Asset Securitization Corp., Series 1997-D5, Class PS1, 1.253%, 2/14/43 IO		4,937,074		160
Banc of America Funding Corp., Series 2007-1, Class TA1A, 0.27%, 1/25/37		837,100		446
Banc of America Funding Corp., Series 2007-4, Class TA1A, 0.30%, 5/25/37		927,792		582
Chase Issuance Trust, Series 2012-A5, Class A5, 0.59%, 8/15/17		2,200,000		2,202
Citigroup Commercial Mortgage Trust, Series 2010-RR3, Class MLSR, 5.737%, 6/14/50 144A		1,485,000		1,710
Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35		260,813		264
CNH Equipment Trust, Series 2012-A, Class A4, 1.38%, 2/15/18		2,495,000		2,543
Credit Suisse Mortgage Capital Certificates, Series 2009-RR1, Class A3A, 5.383%, 2/15/40 144A		1,125,000		1,250
Discover Card Master Trust, Series 2012-A1, Class A1, 0.81%, 8/15/17		5,240,000		5,275
Discover Card Master Trust I, Series 2012-B3, Class B3, 0.659%, 5/15/18		500,000		500
DLJ Commercial Mortgage Corp., Series 1998-CF1, Class S, 1.169%, 2/15/31 IO		11,269,928		303
DLJ Mortgage Acceptance Corp., Series 1997-CF2, Class S, 0.463%, 10/15/30 IO 144A		896,414		10
FDIC Structured Sale Guaranteed Notes, Series 2010-S2, Class 2A, 2.57%, 7/29/47 144A		4,005,713		4,066

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

176 Balanced Portfolio

Balanced Portfolio

Structured Products (14.6%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., Series K009, Class X1, 1.506%, 8/25/20 IO		17,101,328		1,412
Federal Home Loan Mortgage Corp., 3.00%, 11/1/21		479,741		505
Federal Home Loan Mortgage Corp., 3.00%, 11/1/25		935,986		983
Federal Home Loan Mortgage Corp., 3.00%, 11/1/26		1,339,853		1,409
Federal Home Loan Mortgage Corp., 3.00%, 11/1/42		1,661,875		1,740
Federal Home Loan Mortgage Corp., 3.50%, 10/1/25		236,329		249
Federal Home Loan Mortgage Corp., 3.50%, 11/1/25		196,539		207
Federal Home Loan Mortgage Corp., 3.50%, 1/1/26		55,303		58
Federal Home Loan Mortgage Corp., 3.50%, 2/1/26		995,856		1,047
Federal Home Loan Mortgage Corp., 3.50%, 3/1/26		53,175		56
Federal Home Loan Mortgage Corp., 3.50%, 5/1/26		379,381		399
Federal Home Loan Mortgage Corp., 3.50%, 7/1/26		1,864,322		1,961
Federal Home Loan Mortgage Corp., 3.50%, 8/1/26		43,982		46
Federal Home Loan Mortgage Corp., 3.50%, 2/1/42		2,111,764		2,247
Federal Home Loan Mortgage Corp., 3.50%, 4/1/42		1,897,252		2,023
Federal Home Loan Mortgage Corp., 3.50%, 6/1/42		1,173,785		1,252
Federal Home Loan Mortgage Corp., 3.50%, 7/1/42		3,720,757		3,968
Federal Home Loan Mortgage Corp., 3.50%, 9/1/42		10,279,550		10,963
Federal Home Loan Mortgage Corp., 4.00%, 10/1/20		446,397		474
Federal Home Loan Mortgage Corp., 4.00%, 7/1/24		2,269,041		2,400
Federal Home Loan Mortgage Corp., 4.00%, 8/1/25		2,103,826		2,224
Federal Home Loan Mortgage Corp., 4.00%, 5/1/26		600,602		635
Federal Home Loan Mortgage Corp., 4.00%, 6/1/26		957,297		1,012
Federal Home Loan Mortgage Corp., 4.00%, 12/1/26		308,617		326
Federal Home Loan Mortgage Corp., 4.00%, 9/1/40		1,388,887		1,484
Federal Home Loan Mortgage Corp., 4.00%, 11/1/40		481,354		514
Federal Home Loan Mortgage Corp., 4.00%, 1/1/41		10,968,503		11,720

Structured Products (14.6%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 4.00%, 2/1/41		12,063,278		12,890
Federal Home Loan Mortgage Corp., 4.00%, 3/1/41		162,048		173
Federal Home Loan Mortgage Corp., 4.00%, 4/1/41		7,941,436		8,490
Federal Home Loan Mortgage Corp., 4.00%, 5/1/41		1,221,250		1,306
Federal Home Loan Mortgage Corp., 4.00%, 8/1/41		394,695		422
Federal Home Loan Mortgage Corp., 4.00%, 9/1/41		1,849,655		1,976
Federal Home Loan Mortgage Corp., 4.00%, 10/1/41		602,154		644
Federal Home Loan Mortgage Corp., 4.00%, 3/1/42		365,000		390
Federal Home Loan Mortgage Corp., 4.50%, 5/1/19		755,168		821
Federal Home Loan Mortgage Corp., Series 3065, Class TN, 4.50%, 10/15/33		276,908		280
Federal Home Loan Mortgage Corp., Series 3248, Class LN, 4.50%, 7/15/35		1,920,661		1,946
Federal Home Loan Mortgage Corp., 4.50%, 9/1/39		502,160		539
Federal Home Loan Mortgage Corp., 4.50%, 9/1/40		1,241,027		1,369
Federal Home Loan Mortgage Corp., 4.50%, 1/1/41		2,808,268		3,075
Federal Home Loan Mortgage Corp., 4.50%, 3/1/41		318,928		344
Federal Home Loan Mortgage Corp., 4.50%, 7/1/41		19,972,494		21,551
Federal Home Loan Mortgage Corp., 5.00%, 2/1/20		316,503		345
Federal Home Loan Mortgage Corp., 5.00%, 5/1/20		1,205,081		1,315
Federal Home Loan Mortgage Corp., 5.00%, 11/1/35		7,418,350		8,354
Federal Home Loan Mortgage Corp., 5.00%, 12/1/35		5,723,836		6,317
Federal Home Loan Mortgage Corp., 5.00%, 8/1/39		608,840		672
Federal Home Loan Mortgage Corp., 5.00%, 2/1/41		678,708		739
Federal Home Loan Mortgage Corp., 5.00%, 3/1/41		226,296		246
Federal Home Loan Mortgage Corp., 5.00%, 4/1/41		1,175,495		1,277
Federal Home Loan Mortgage Corp., 5.00%, 5/1/41		6,007,269		6,538
Federal Home Loan Mortgage Corp., 5.00%, 3/1/38		6,755,684		7,276
Federal Home Loan Mortgage Corp., 5.50%, 9/1/19		297,364		323

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

Balanced Portfolio 177

Balanced Portfolio

Structured Products (14.6%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 5.50%, 11/1/19		673,577		730
Federal Home Loan Mortgage Corp., 5.50%, 12/1/19		131,120		142
Federal Home Loan Mortgage Corp., 5.50%, 3/1/20		970,821		1,053
Federal Home Loan Mortgage Corp., 5.50%, 6/1/33		56,716		63
Federal Home Loan Mortgage Corp., 5.50%, 6/1/35		1,362,205		1,479
Federal Home Loan Mortgage Corp., 5.50%, 1/1/37		2,600,611		2,814
Federal Home Loan Mortgage Corp., 5.50%, 4/1/38		902,218		975
Federal Home Loan Mortgage Corp., 5.50%, 8/1/38		449,350		486
Federal Home Loan Mortgage Corp., Series 2840, Class LK, 6.00%, 11/15/17		379,181		383
Federal Home Loan Mortgage Corp., Series 2439, Class LH, 6.00%, 4/15/32		768,983		860
Federal Home Loan Mortgage Corp., 6.00%, 11/1/39		1,107,519		1,209
Federal Home Loan Mortgage Corp. TBA, 3.00%, 1/1/43		4,230,000		4,422
Federal Hone Loan Mortgage Corp., 3.50%, 12/1/25		1,190,000		1,251
Federal National Mortgage Association, 3.00%, 10/1/26		87,259		92
Federal National Mortgage Association, 3.00%, 3/1/27		1,303,393		1,378
Federal National Mortgage Association, 3.00%, 6/1/27		1,959,549		2,071
Federal National Mortgage Association, 3.50%, 4/1/26		1,046,403		1,111
Federal National Mortgage Association, 3.50%, 10/1/42		8,771,819		9,379
Federal National Mortgage Association, 4.50%, 6/1/19		4,007,670		4,416
Federal National Mortgage Association, 4.50%, 12/1/19		330,997		365
Federal National Mortgage Association, 4.50%, 11/1/40		3,181,983		3,540
Federal National Mortgage Association, 4.50%, 1/1/41		2,388,251		2,615
Federal National Mortgage Association, 4.50%, 2/1/41		4,824,314		5,234
Federal National Mortgage Association, 4.50%, 3/1/41		416,426		453
Federal National Mortgage Association, 4.50%, 4/1/41		425,043		461
Federal National Mortgage Association, 4.50%, 5/1/41		14,853,570		16,125

Structured Products (14.6%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 5.00%, 3/1/20		1,339,708		1,475
Federal National Mortgage Association, 5.00%, 5/1/20		1,995,333		2,185
Federal National Mortgage Association, 5.00%, 4/1/35		1,716,545		1,944
Federal National Mortgage Association, 5.00%, 7/1/35		2,458,487		2,785
Federal National Mortgage Association, 5.00%, 10/1/35		1,141,142		1,293
Federal National Mortgage Association, 5.00%, 5/1/38		2,912,008		3,154
Federal National Mortgage Association, Series 2006-M1, Class C, 5.355%, 2/25/16		4,561,099		4,703
Federal National Mortgage Association, 5.50%, 4/1/21		655,461		710
Federal National Mortgage Association, 5.50%, 3/1/35		4,188,631		4,742
Federal National Mortgage Association, 5.50%, 9/1/35		5,120,775		5,665
Federal National Mortgage Association, 5.50%, 11/1/35		6,221,425		6,882
Federal National Mortgage Association, 5.50%, 11/1/37		3,522,333		3,892
Federal National Mortgage Association, 6.00%, 5/1/35		91,364		102
Federal National Mortgage Association, 6.00%, 6/1/35		400,628		441
Federal National Mortgage Association, 6.00%, 7/1/35		2,721,819		2,999
Federal National Mortgage Association, 6.00%, 10/1/35		454,175		500
Federal National Mortgage Association, 6.00%, 11/1/35		3,477,600		3,883
Federal National Mortgage Association, 6.00%, 9/1/36		926,537		1,032
Federal National Mortgage Association, 6.00%, 3/1/38		561,426		620
Federal National Mortgage Association, 6.00%, 10/1/38		454,500		497
Federal National Mortgage Association, Series 2002-W4, Class A4, 6.25%, 5/25/42		3,856,031		4,375
Federal National Mortgage Association, 6.50%, 7/1/37		3,440,818		3,860
Federal National Mortgage Association, 6.75%, 4/25/18		395,623		415
Federal National Mortgage Association TBA, 2.50%, 1/1/28		5,760,000		6,023
Federal National Mortgage Association TBA, 3.50%, 1/1/43		270,000		288

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

178 Balanced Portfolio

Balanced Portfolio

Structured Products (14.6%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Ford Credit Auto Owner Trust, Series 2012-A, Class A4, 1.15%, 6/15/17		845,000		857
Ford Credit Auto Owner Trust, Series 2009-E, Class D, 5.53%, 5/15/16 144A		4,401,638		4,611
Ford Credit Auto Owner Trust, Series 2009-D, Class D, 8.14%, 2/15/16 144A		4,200,000		4,449
Golden Credit Card Trust, Series 2012-2A, Class A1, 1.77%, 1/15/19 144A		3,070,000		3,162
Goldman Sachs Mortgage Securities Corp. II, Series 2009-RR, Class CSA, 5.286%, 12/17/39 144A		500,000		568
Goldman Sachs Mortgage Securities Corp. II, Series 2009-RR1, Class GGA, 5.842%, 7/12/38 144A		400,000		460
Government National Mortgage Association, 5.00%, 7/15/33		931,697		1,026
Government National Mortgage Association, 5.50%, 1/15/32		55,145		61
Government National Mortgage Association, 5.50%, 2/15/32		631,819		697
Government National Mortgage Association, 5.50%, 9/15/32		17,347		19
Honda Auto Receivables Owner Trust, Series 2012-2, Class A4, 0.91%, 5/15/18		740,000		746
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.44%, 6/12/47		1,975,000		2,273
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-C1, Class ASB, 5.857%, 2/15/51		473,526		522
Louisiana Public Facilities Authority, Series 2008, Class A3, 6.55%, 8/1/20		2,250,000		2,773
MASTR Asset Securitization Trust, Series 2003-10, Class 1A1, 5.25%, 11/25/23		301,284		315
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1, 5.25%, 12/25/24		238,140		251
Merrill Lynch Alternative Note Asset Trust, Series 2007-A1, Class A2A, 0.28%, 1/25/37		2,040,347		782
Oncor Electric Delivery Transition Bond Co., Series 2004-1, Class A3, 5.29%, 5/15/18		2,135,897		2,332
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1, 4.50%, 10/25/18		120,401		124

Structured Products (14.6%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Sequoia Mortgage Trust, Series 2011-2, Class A1, 3.90%, 9/25/41		1,681,942		1,724
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4, 3.091%, 8/10/49		4,680,000		4,890
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM, 5.466%, 1/15/45		4,000,000		4,415
Washington Mutual Alternative Mortgage Pass-Through Certficates, Series 2006-6, Class 4A, 6.873%, 11/25/34		620,350		620
Wells Fargo Mortgage Backed Securities Trust, Series 2004-EE, Class 2A2, 2.625%, 12/25/34		491,647		506
Wells Fargo Mortgage Backed Securities Trust, Series 2003-12, Class A1, 4.75%, 11/25/18		38,322		40
Wells Fargo Mortgage Backed Securities Trust, Series 2005-1, Class 2A1, 5.00%, 1/25/20		242,860		255
Total Structured Products
(Cost: $310,754)				326,293
Below Investment Grade Segment (6.8%)
Aerospace/Defense (0.1%)
B/E Aerospace, Inc., 5.25%, 4/1/22		250,000		265
Bombardier, Inc., 5.75%, 3/15/22 144A		150,000		154
Bombardier, Inc., 7.75%, 3/15/20 144A		230,000		261
Huntington Ingalls Industries, Inc., 6.875%, 3/15/18		455,000		495
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21		265,000		288
TransDigm, Inc., 5.50%, 10/15/20 144A		250,000		260
Triumph Group, Inc., 8.625%, 7/15/18		290,000		322
Total				2,045
Autos/Vehicle Parts (0.1%)
American Axle & Manufacturing Holdings, Inc., 6.625%, 10/15/22		125,000		127
American Axle & Manufacturing Holdings, Inc., 7.875%, 3/1/17		188,000		194
American Axle & Manufacturing Holdings, Inc., 9.25%, 1/15/17 144A		160,000		178
Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19		145,000		158
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21		245,000		269
Cooper-Standard Automotive, Inc., 8.50%, 5/1/18		290,000		312
Exide Technologies, 8.625%, 2/1/18		155,000		131
General Motors Financial Co., Inc., 4.75%, 8/15/17 144A		340,000		357
The Goodyear Tire & Rubber Co., 8.25%, 8/15/20		365,000		401
Jaguar Land Rover PLC, 7.75%, 5/15/18 144A		165,000		180

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

Balanced Portfolio 179

Balanced Portfolio

	Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
	Autos/Vehicle Parts continued
	Navistar International Corp., 8.25%, 11/1/21		380,000		367
	Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625%, 9/1/17 144A		272,000		298
	Visteon Corp., 6.75%, 4/15/19		189,000		201
	Total				3,173
	Basic Materials (0.8%)
	AK Steel Corp., 7.625%, 5/15/20		125,000		109
	AK Steel Corp., 8.375%, 4/1/22		340,000		292
	AK Steel Corp., 8.75%, 12/1/18 144A		300,000		317
	Aleris International, Inc., 7.625%, 2/15/18		220,000		224
	Aleris International, Inc., 7.875%, 11/1/20 144A		210,000		210
	Alpha Natural Resources, Inc., 6.00%, 6/1/19		450,000		414
	Alpha Natural Resources, Inc., 9.75%, 4/15/18		280,000		302
	ArcelorMittal, 5.75%, 8/5/20		235,000		235
	ArcelorMittal, 6.125%, 6/1/18		665,000		674
	ArcelorMittal, 6.75%, 2/25/22		405,000		425
	Arch Coal, Inc., 8.75%, 8/1/16		45,000		47
	Arch Coal, Inc., 9.875%, 6/15/19 144A		265,000		276
	Ardagh Packaging Finance PLC, 7.375%, 10/15/17 144A		220,000		239
	Ardagh Packaging Finance PLC, 9.125%, 10/15/20 144A		205,000		223
	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 9.125%, 10/15/20 144A		125,000		136
	Berry Plastics Corp., 8.25%, 11/15/15		130,000		136
(c)	Boe Merger Corp., 9.50%, 11/1/17 144A		125,000		125
	Cascades, Inc., 7.875%, 1/15/20		100,000		106
(c)	Catalyst Paper Corp., 11.00%, 10/30/17		94,104		72
	Celanese US Holdings LLC, 4.625%, 11/15/22		965,000		1,011
	Chemtura Corp., 7.875%, 9/1/18		120,000		129
	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.25%, 12/15/17		315,000		337
	CONSOL Energy, Inc., 8.00%, 4/1/17		300,000		325
	CONSOL Energy, Inc., 8.25%, 4/1/20		415,000		449
	Essar Steel Algoma, Inc., 9.375%, 3/15/15 144A		560,000		507
	FMG Resources (August 2006) Pty, Ltd., 6.00%, 4/1/17 144A		225,000		229
	FMG Resources (August 2006) Pty, Ltd., 6.875%, 2/1/18 144A		165,000		170
	FMG Resources (August 2006) Pty, Ltd., 6.875%, 4/1/22 144A		150,000		153
	FMG Resources (August 2006) Pty, Ltd., 7.00%, 11/1/15 144A		405,000		425
	FMG Resources (August 2006) Pty, Ltd., 8.25%, 11/1/19 144A		320,000		341
	GrafTech International, Ltd., 6.375%, 11/15/20 144A		120,000		124
	Hexion US Finance Corp., 6.625%, 4/15/20		160,000		163
	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18		425,000		437
	HudBay Minerals, Inc., 9.50%, 10/1/20 144A		145,000		153
	Huntsman International LLC, 4.875%, 11/15/20 144A		455,000		460

	Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
	Basic Materials continued
	Ineos Finance PLC, 7.50%, 5/1/20 144A		160,000		168
	Ineos Finance PLC, 8.375%, 2/15/19 144A		580,000		625
	Inmet Mining Corp., 7.50%, 6/1/21 144A		80,000		83
	Molycorp, Inc., 10.00%, 6/1/20 144A		455,000		423
	New Gold, Inc., 6.25%, 11/15/22 144A		120,000		124
(d)	Patriot Coal Corp., 8.25%, 4/30/18		150,000		75
	Peabody Energy Corp., 4.75%, 12/15/41		740,000		706
	Peabody Energy Corp., 6.00%, 11/15/18		305,000		324
	Peabody Energy Corp., 6.25%, 11/15/21		575,000		611
	Peabody Energy Corp., 6.50%, 9/15/20		305,000		327
	Quadra FNX Mining, Ltd., 7.75%, 6/15/19 144A		245,000		254
	Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 144A		100,000		102
	Resolute Forest Products, 10.25%, 10/15/18		171,000		196
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 5.75%, 10/15/20 144A		475,000		490
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 6.875%, 2/15/21		515,000		555
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 7.125%, 4/15/19		415,000		446
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 8.25%, 2/15/21		170,000		173
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.00%, 4/15/19		385,000		400
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.875%, 8/15/19		475,000		508
	Rockwood Specialties Group, Inc., 4.625%, 10/15/20		450,000		466
	Sawgrass Merger Sub, Inc., 8.75%, 12/15/20 144A		100,000		101
	Sealed Air Corp., 6.50%, 12/1/20 144A		120,000		130
	Sealed Air Corp., 8.125%, 9/15/19 144A		215,000		242
	Sealed Air Corp., 8.375%, 9/15/21 144A		275,000		314
	Severstal Columbus LLC, 10.25%, 2/15/18		185,000		195
	Steel Dynamics, Inc., 6.125%, 8/15/19 144A		135,000		143
	Steel Dynamics, Inc., 6.375%, 8/15/22 144A		135,000		143
	Thompson Creek Metals Co., Inc., 7.375%, 6/1/18		80,000		66
	United States Steel Corp., 7.375%, 4/1/20		220,000		235
	Verso Paper Holdings LLC/Verso Paper, Inc., 8.75%, 2/1/19		205,000		78
	Total				18,678
	Builders/Building Materials (0.0%)
	KB Home, 7.25%, 6/15/18		290,000		315
	KB Home, 9.10%, 9/15/17		120,000		140
	USG Corp., 7.875%, 3/30/20 144A		225,000		250
	Vulcan Materials Co., 6.40%, 11/30/17		300,000		328
	Total				1,033
	Capital Goods (0.1%)
	Case New Holland, Inc., 7.875%, 12/1/17		205,000		242
	CNH Capital LLC, 3.875%, 11/1/15 144A		100,000		103
	CNH Capital LLC, 6.25%, 11/1/16		130,000		143
	JMC Steel Group, 8.25%, 3/15/18 144A		185,000		193
	The Manitowoc Co., Inc., 5.875%, 10/15/22		105,000		105

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

180 Balanced Portfolio

Balanced Portfolio

Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
Capital Goods continued
SPX Corp., 6.875%, 9/1/17		295,000		329
Terex Corp., 6.00%, 5/15/21		200,000		211
United Rentals North America, Inc., 5.75%, 7/15/18 144A		115,000		124
United Rentals North America, Inc., 6.125%, 6/15/23		105,000		111
United Rentals North America, Inc., 7.375%, 5/15/20 144A		160,000		176
Total				1,737
Consumer Products/Retailing (0.3%)
AMC Networks, Inc., 4.75%, 12/15/22		200,000		201
AutoNation, Inc., 5.50%, 2/1/20		165,000		177
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 144A		140,000		143
Hanesbrands, Inc., 6.375%, 12/15/20		250,000		275
Levi Strauss & Co., 6.875%, 5/1/22		225,000		241
Levi Strauss & Co., 7.625%, 5/15/20		240,000		262
Limited Brands, Inc., 5.625%, 2/15/22		1,140,000		1,240
Limited Brands, Inc., 8.50%, 6/15/19		110,000		134
PVH Corp., 4.50%, 12/15/22		85,000		86
Revlon Consumer Products Corp., 9.75%, 11/15/15		335,000		353
Rite Aid Corp., 10.375%, 7/15/16		455,000		481
Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/1/22		20,000		22
Sally Holdings LLC/Sally Capital, Inc., 6.875%, 11/15/19		110,000		122
Spectrum Brands Escrow Corp., 6.375%, 11/15/20 144A		30,000		31
Spectrum Brands Escrow Corp., 6.625%, 11/15/22 144A		50,000		54
Spectrum Brands, Inc., 9.50%, 6/15/18		165,000		187
SUPERVALU, Inc., 7.50%, 11/15/14		185,000		179
SUPERVALU, Inc., 8.00%, 5/1/16		315,000		300
Toys R US Property Co. I LLC, 10.75%, 7/15/17		175,000		189
Toys R US Property Co. II LLC, 8.50%, 12/1/17		130,000		138
Toys R US, Inc., 7.375%, 9/1/16 144A		750,000		767
Total				5,582
Energy (1.6%)
Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 5/15/23		970,000		985
Access Midstream Partners LP/ACMP Finance Corp., 6.125%, 7/15/22		175,000		189
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75%, 5/20/20		110,000		121
AmeriGas Partners LP/AmeriGas Finance Corp., 6.25%, 8/20/19		330,000		353
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 6.625%, 10/1/20 144A		270,000		279
Atwood Oceanics, Inc., 6.50%, 2/1/20		90,000		97
Bill Barrett Corp., 7.00%, 10/15/22		190,000		196
Bill Barrett Corp., 7.625%, 10/1/19		405,000		427
Bristow Group, Inc., 6.25%, 10/15/22		105,000		112
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20		155,000		159
Carrizo Oil & Gas, Inc., 8.625%, 10/15/18		260,000		281
Chaparral Energy, Inc., 8.25%, 9/1/21		295,000		320
Chesapeake Energy Corp., 2.50%, 5/15/37		655,000		588
Chesapeake Energy Corp., 6.125%, 2/15/21		475,000		493

Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Chesapeake Energy Corp., 6.875%, 11/15/20		325,000		352
Chesapeake Energy Corp., 7.25%, 12/15/18		170,000		185
Chesapeake Energy Corp., 9.50%, 2/15/15		305,000		345
Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 144A		225,000		212
Cimarex Energy Co., 5.875%, 5/1/22		380,000		416
CITGO Petroleum Corp., 11.50%, 7/1/17 144A		270,000		312
Compagnie Generale de Geophysique-Veritas, 9.50%, 5/15/16		550,000		590
Comstock Resources, Inc., 7.75%, 4/1/19		260,000		264
Comstock Resources, Inc., 9.50%, 6/15/20		205,000		220
Concho Resources, Inc., 5.50%, 4/1/23		205,000		215
Concho Resources, Inc., 7.00%, 1/15/21		135,000		151
Continental Resources, Inc., 5.00%, 9/15/22		960,000		1,034
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.875%, 2/15/18		505,000		545
Denbury Resources, Inc., 8.25%, 2/15/20		228,000		257
Drill Rigs Holdings, Inc., 6.50%, 10/1/17 144A		355,000		353
El Paso LLC, 7.00%, 6/15/17		515,000		588
El Paso LLC, 7.25%, 6/1/18		515,000		595
El Paso LLC, 7.75%, 1/15/32		320,000		376
El Paso Pipeline Partners Operating Co. LLC, 4.70%, 11/1/42		280,000		275
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/1/21		1,115,000		1,264
Energy Transfer Equity LP, 7.50%, 10/15/20		355,000		410
EP Energy LLC/EP Energy Finance, Inc., 9.375%, 5/1/20		290,000		327
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75%, 9/1/22		100,000		106
Exterran Holdings, Inc., 7.25%, 12/1/18		330,000		350
Forest Oil Corp., 7.25%, 6/15/19		495,000		497
Forest Oil Corp., 7.50%, 9/15/20 144A		215,000		226
Hiland Partners LP/Hiland Partners Finance Corp., 7.25%, 10/1/20 144A		105,000		112
Hilcorp Energy I LP/Hilcorp Finance Co., 7.625%, 4/15/21 144A		120,000		131
Hilcorp Energy I LP/Hilcorp Finance Co., 8.00%, 2/15/20 144A		215,000		235
Hornbeck Offshore Services, Inc., 5.875%, 4/1/20		135,000		141
Inergy Midstream LP/NRGM Finance Corp., 6.00%, 12/15/20 144A		160,000		165
Key Energy Services, Inc., 6.75%, 3/1/21		260,000		260
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 144A		910,000		1,000
Kodiak Oil & Gas Corp., 8.125%, 12/1/19		355,000		391
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/1/19 144A		275,000		276
Linn Energy LLC/Linn Energy Finance Corp., 6.50%, 5/15/19		570,000		576
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/1/21		190,000		202
Magnum Hunter Resources Corp., 9.75%, 5/15/20 144A		315,000		327
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 5.50%, 2/15/23		340,000		369
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22		335,000		365

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

Balanced Portfolio 181

Balanced Portfolio

Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
Energy continued
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.75%, 11/1/20		145,000		158
MEG Energy Corp., 6.375%, 1/30/23 144A		300,000		313
Newfield Exploration Co., 5.625%, 7/1/24		150,000		162
Newfield Exploration Co., 6.875%, 2/1/20		1,170,000		1,252
Newfield Exploration Co., 7.125%, 5/15/18		270,000		285
NGPL PipeCo LLC, 9.625%, 6/1/19 144A		115,000		132
Northern Tier Energy LLC/Northern Tier Finance Corp., 7.125%, 11/15/20 144A		140,000		145
Oasis Petroleum, Inc., 6.50%, 11/1/21		480,000		510
Offshore Group Investment, Ltd., 7.50%, 11/1/19 144A		525,000		530
Offshore Group Investment, Ltd., 11.50%, 8/1/15		221,000		241
OGX Austria GmbH, 8.50%, 6/1/18 144A		320,000		288
Oil States International, Inc., 5.125%, 1/15/23 144A		485,000		492
Oil States International, Inc., 6.50%, 6/1/19		165,000		176
Pacific Drilling V, Ltd., 7.25%, 12/1/17 144A		410,000		425
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 144A		590,000		636
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.375%, 6/1/20 144A		340,000		366
Petroleum Geo-Services ASA, 7.375%, 12/15/18 144A		300,000		324
Plains Exploration & Production Co., 6.125%, 6/15/19		375,000		409
Plains Exploration & Production Co., 6.625%, 5/1/21		270,000		297
Plains Exploration & Production Co., 6.75%, 2/1/22		145,000		163
Plains Exploration & Production Co., 7.625%, 4/1/20		255,000		284
Plains Exploration & Production Co., 8.625%, 10/15/19		365,000		415
QEP Resources, Inc., 5.25%, 5/1/23		205,000		219
QEP Resources, Inc., 5.375%, 10/1/22		375,000		402
QEP Resources, Inc., 6.875%, 3/1/21		240,000		277
Range Resources Corp., 5.00%, 8/15/22		225,000		235
Range Resources Corp., 5.75%, 6/1/21		195,000		209
Regency Energy Partners LP/Regency Energy Finance Corp., 5.50%, 4/15/23		150,000		160
Rosetta Resources, Inc., 9.50%, 4/15/18		290,000		322
Samson Investment Co., 9.75%, 2/15/20 144A		920,000		973
SandRidge Energy, Inc., 7.50%, 3/15/21		435,000		465
SandRidge Energy, Inc., 7.50%, 2/15/23		200,000		214
SandRidge Energy, Inc., 8.00%, 6/1/18 144A		260,000		276
SandRidge Energy, Inc., 9.875%, 5/15/16		220,000		237
SESI LLC, 6.375%, 5/1/19		265,000		284
SM Energy Co., 6.50%, 11/15/21		225,000		241
SM Energy Co., 6.50%, 1/1/23		135,000		144
SM Energy Co., 6.625%, 2/15/19		230,000		243
Swift Energy Co., 7.875%, 3/1/22 144A		105,000		110
Swift Energy Co., 8.875%, 1/15/20		235,000		256
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.25%, 5/1/23 144A		250,000		259
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/1/22 144A		165,000		180

	Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
	Energy continued
	Tesoro Corp., 4.25%, 10/1/17		140,000		145
	Tesoro Corp., 5.375%, 10/1/22		140,000		149
	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875%, 10/1/20 144A		145,000		150
	Trinidad Drilling, Ltd., 7.875%, 1/15/19 144A		405,000		430
	Unit Corp., 6.625%, 5/15/21 144A		240,000		246
	Venoco, Inc., 8.875%, 2/15/19		130,000		122
	W&T Offshore, Inc., 8.50%, 6/15/19 144A		260,000		280
	W&T Offshore, Inc., 8.50%, 6/15/19		245,000		263
	WPX Energy, Inc., 5.25%, 1/15/17		555,000		588
	WPX Energy, Inc., 6.00%, 1/15/22		270,000		291
	Total				35,988
	Financials (0.7%)
	AerCap Aviation Solutions BV, 6.375%, 5/30/17		275,000		289
	Air Lease Corp., 5.625%, 4/1/17		305,000		323
	Aircastle, Ltd., 6.25%, 12/1/19 144A		140,000		146
	Aircastle, Ltd., 6.75%, 4/15/17		215,000		231
	Aircastle, Ltd., 7.625%, 4/15/20		115,000		128
	Ally Financial, Inc., 4.625%, 6/26/15		160,000		167
	Ally Financial, Inc., 5.50%, 2/15/17		470,000		503
	Ally Financial, Inc., 7.50%, 9/15/20		380,000		459
	Ally Financial, Inc., 8.00%, 3/15/20		370,000		453
	AmSouth Bank, 5.20%, 4/1/15		195,000		204
	AWAS Aviation Capital, Ltd., 7.00%, 10/17/16 144A		68,680		72
	CIT Group, Inc., 4.25%, 8/15/17		400,000		412
	CIT Group, Inc., 4.75%, 2/15/15 144A		220,000		229
	CIT Group, Inc., 5.00%, 5/15/17		225,000		238
	CIT Group, Inc., 5.00%, 8/15/22		300,000		320
	CIT Group, Inc., 5.25%, 3/15/18		755,000		808
	CIT Group, Inc., 5.375%, 5/15/20		305,000		333
	CIT Group, Inc., 5.50%, 2/15/19 144A		250,000		272
	E*TRADE Financial Corp., 6.00%, 11/15/17		400,000		409
	E*TRADE Financial Corp., 6.375%, 11/15/19		200,000		205
	E*TRADE Financial Corp., 6.75%, 6/1/16		355,000		374
	Eksportfinans ASA, 2.00%, 9/15/15		4,000,000		3,829
	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 7.75%, 1/15/16		385,000		399
	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18		150,000		161
(c)	Igloo Holdings Corp., 8.25%, 12/15/17 144A		140,000		138
	International Lease Finance Corp., 5.75%, 5/15/16		415,000		437
	International Lease Finance Corp., 6.25%, 5/15/19		300,000		319
	International Lease Finance Corp., 7.125%, 9/1/18 144A		185,000		215
	International Lease Finance Corp., 8.625%, 9/15/15		85,000		95
	International Lease Finance Corp., 8.75%, 3/15/17		285,000		329
	JPMorgan Chase & Co., 7.90%, 4/29/49		275,000		312
(d)	Lehman Brothers Holdings, Inc., 5.50%, 4/4/16		490,000		115
	Regions Financial Corp., 7.75%, 11/10/14		355,000		394
	SLM Corp., 6.00%, 1/25/17		820,000		888
	SLM Corp., 7.25%, 1/25/22		45,000		50
	SLM Corp., 8.00%, 3/25/20		840,000		960

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

182 Balanced Portfolio

Balanced Portfolio

	Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	SLM Corp., 8.45%, 6/15/18		195,000		228
(d,n)	Washington Mutual Bank, 6.75%, 5/20/36		580,000		-
(d,n)	Washington Mutual Bank, 6.875%, 6/15/11		1,115,000		-
	Total				15,444
	Foods (0.2%)
(c)	Alphabet Holding Co., Inc., 7.75%, 11/1/17 144A		105,000		108
	Bumble Bee Acquisition Corp., 9.00%, 12/15/17 144A		130,000		140
	Constellation Brands, Inc., 6.00%, 5/1/22		90,000		103
	Constellation Brands, Inc., 7.25%, 9/1/16		165,000		191
	Cott Beverages, Inc., 8.125%, 9/1/18		160,000		177
	Cott Beverages, Inc., 8.375%, 11/15/17		195,000		212
	Dean Foods Co., 7.00%, 6/1/16		160,000		176
	Dean Foods Co., 9.75%, 12/15/18		365,000		420
	Dole Food Co., Inc., 8.00%, 10/1/16 144A		110,000		114
	Dole Food Co., Inc., 13.875%, 3/15/14		191,000		212
	JBS Finance II, Ltd., 8.25%, 1/29/18 144A		135,000		143
	JBS USA LLC/JBS USA Finance, Inc., 7.25%, 6/1/21 144A		195,000		195
	Land O’ Lakes, Inc., 6.00%, 11/15/22 144A		330,000		357
	Pilgrim’s Pride Corp., 7.875%, 12/15/18		400,000		406
	Post Holdings, Inc., 7.375%, 2/15/22 144A		55,000		60
	Smithfield Foods, Inc., 6.625%, 8/15/22		270,000		298
	TreeHouse Foods, Inc., 7.75%, 3/1/18		345,000		374
	Total				3,686
	Gaming/Leisure/Lodging (0.3%)
	AMC Entertainment, Inc., 8.75%, 6/1/19		555,000		615
	AMC Entertainment, Inc., 9.75%, 12/1/20		110,000		127
	Caesars Entertainment Operating Co., Inc., 8.50%, 2/15/20		465,000		462
	Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18		251,000		166
	Caesars Entertainment Operating Co., Inc., 11.25%, 6/1/17		360,000		386
	Caesars Entertainment Operating Co., Inc., 12.75%, 4/15/18		145,000		107
	Chester Downs & Marina LLC, 9.25%, 2/1/20 144A		365,000		359
	Cinemark USA, Inc., 5.125%, 12/15/22 144A		80,000		81
	The Geo Group, Inc., 6.625%, 2/15/21		220,000		244
	MGM Resorts International, 6.75%, 10/1/20 144A		210,000		214
	MGM Resorts International, 7.625%, 1/15/17		590,000		631
	MGM Resorts International, 7.75%, 3/15/22		225,000		241
	MGM Resorts International, 8.625%, 2/1/19 144A		360,000		401
	Penn National Gaming, Inc., 8.75%, 8/15/19		265,000		302
	Regal Entertainment Group, 9.125%, 8/15/18		245,000		273
	Royal Caribbean Cruises, Ltd., 5.25%, 11/15/22		140,000		148
	Scientific Games International, Inc., 6.25%, 9/1/20 144A		345,000		356
	Scientific Games International, Inc., 9.25%, 6/15/19		165,000		184
	Seminole Indian Tribe of Florida, 7.75%, 10/1/17 144A		495,000		535
	Speedway Motorsports, Inc., 6.75%, 2/1/19		205,000		217
	Speedway Motorsports, Inc., 8.75%, 6/1/16		330,000		353

Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
Gaming/Leisure/Lodging continued
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.875%, 5/1/20		110,000		125
Total				6,527
Health Care/Pharmaceuticals (0.6%)
Biomet, Inc., 6.50%, 8/1/20 144A		285,000		303
Biomet, Inc., 6.50%, 10/1/20 144A		360,000		358
Centene Corp., 5.75%, 6/1/17		440,000		473
CHS/Community Health Systems, Inc., 5.125%, 8/15/18		200,000		209
CHS/Community Health Systems, Inc., 7.125%, 7/15/20		300,000		320
CHS/Community Health Systems, Inc., 8.00%, 11/15/19		390,000		422
Elan Finance PLC/Elan Finance Corp., 6.25%, 10/15/19 144A		455,000		475
Endo Health Solutions, Inc., 7.00%, 7/15/19		90,000		96
Endo Health Solutions, Inc., 7.25%, 1/15/22		160,000		172
Fresenius Medical Care US Finance II, Inc., 5.625%, 7/31/19 144A		635,000		682
Fresenius Medical Care US Finance II, Inc., 5.875%, 1/31/22 144A		665,000		722
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 144A		65,000		73
HCA Holdings, Inc., 6.25%, 2/15/21		160,000		164
HCA Holdings, Inc., 7.75%, 5/15/21		240,000		260
HCA, Inc., 5.875%, 3/15/22		770,000		837
HCA, Inc., 6.50%, 2/15/20		455,000		512
HCA, Inc., 7.25%, 9/15/20		510,000		565
HCA, Inc., 7.875%, 2/15/20		130,000		145
HCA, Inc., 8.00%, 10/1/18		190,000		220
HCA, Inc., 8.50%, 4/15/19		325,000		362
HCA, Inc., 9.875%, 2/15/17		45,000		48
Health Management Associates, Inc., 6.125%, 4/15/16		560,000		605
Health Management Associates, Inc., 7.375%, 1/15/20		150,000		162
Hologic, Inc., 6.25%, 8/1/20 144A		80,000		86
MPT Operating Partnership LP/MPT Finance Corp., 6.375%, 2/15/22		250,000		262
MPT Operating Partnership LP/MPT Finance Corp., 6.875%, 5/1/21		235,000		255
Prospect Medical Holdings, Inc., 8.375%, 5/1/19 144A		375,000		395
Service Corp. International, 4.50%, 11/15/20		120,000		122
Service Corp. International, 7.00%, 5/15/19		205,000		224
Service Corp. International, 8.00%, 11/15/21		110,000		135
Tenet Healthcare Corp., 6.25%, 11/1/18		405,000		444
Tenet Healthcare Corp., 8.875%, 7/1/19		285,000		319
Valeant Pharmaceuticals International, 6.50%, 7/15/16 144A		200,000		210
Valeant Pharmaceuticals International, 6.75%, 10/1/17 144A		735,000		794
Valeant Pharmaceuticals International, 6.875%, 12/1/18 144A		1,040,000		1,121
Vanguard Health Systems, Inc., 0.00%, 2/1/16		4,000		3
VPI Escrow Corp., 6.375%, 10/15/20 144A		320,000		343
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18		115,000		122
Total				13,020

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

Balanced Portfolio 183

Balanced Portfolio

	Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
	Media (0.7%)
	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/23		1,050,000		1,047
	CCO Holdings LLC/CCO Holdings Capital Corp., 6.50%, 4/30/21		150,000		162
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, 1/15/19		225,000		243
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.25%, 10/30/17		145,000		158
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/1/20		280,000		311
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.875%, 4/30/18		160,000		172
	Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.375%, 9/15/20 144A		405,000		422
	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20		190,000		191
	CSC Holdings LLC, 7.625%, 7/15/18		170,000		196
	CSC Holdings LLC, 7.875%, 2/15/18		105,000		121
	CSC Holdings LLC, 8.625%, 2/15/19		300,000		358
(c)	Dex One Corp., 14.00%, 1/29/17		370,888		123
	DISH DBS Corp., 5.00%, 3/15/23 144A		1,930,000		1,930
	DISH DBS Corp., 5.875%, 7/15/22		265,000		285
	DISH DBS Corp., 6.75%, 6/1/21		520,000		593
	DISH DBS Corp., 7.125%, 2/1/16		275,000		308
	DISH DBS Corp., 7.875%, 9/1/19		485,000		575
	Hughes Satellite Systems Corp., 6.50%, 6/15/19		375,000		413
	Hughes Satellite Systems Corp., 7.625%, 6/15/21		165,000		188
	Inmarsat Finance PLC, 7.375%, 12/1/17 144A		115,000		124
	Intelsat Jackson Holdings SA, 7.25%, 4/1/19		360,000		387
	Intelsat Jackson Holdings SA, 7.25%, 10/15/20		295,000		321
	Intelsat Jackson Holdings SA, 8.50%, 11/1/19		500,000		560
(c)	Intelsat Luxembourg SA, 11.50%, 2/4/17		325,000		345
	Lamar Media Corp., 5.00%, 5/1/23 144A		350,000		360
	LIN Television Corp., 6.375%, 1/15/21 144A		210,000		220
	Mediacom LLC/Mediacom Capital Corp., 9.125%, 8/15/19		435,000		482
	Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18		290,000		324
	QVC, Inc., 5.125%, 7/2/22 144A		105,000		110
	QVC, Inc., 7.375%, 10/15/20 144A		195,000		217
	QVC, Inc., 7.50%, 10/1/19 144A		230,000		254
	Sinclair Television Group, Inc., 6.125%, 10/1/22 144A		345,000		366
	Sirius XM Radio, Inc., 5.25%, 8/15/22 144A		100,000		101
	Starz LLC/Starz Finance Corp., 5.00%, 9/15/19 144A		105,000		108
	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 144A		400,000		413
	Univision Communications, Inc., 6.75%, 9/15/22 144A		255,000		263
	Univision Communications, Inc., 7.875%, 11/1/20 144A		725,000		785
	UPCB Finance III, Ltd., 6.625%, 7/1/20 144A		360,000		386

	Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
	Media continued
	UPCB Finance V, Ltd., 7.25%, 11/15/21 144A		505,000		555
	Videotron Ltee, 5.00%, 7/15/22		750,000		787
	Virgin Media Finance PLC, 8.375%, 10/15/19		74,000		84
	WMG Acquisition Corp., 6.00%, 1/15/21 144A		85,000		90
	WMG Acquisition Corp., 11.50%, 10/1/18		285,000		329
	XM Satellite Radio, Inc., 7.625%, 11/1/18 144A		390,000		435
	Total				16,202
	Other Holdings (–%)
(n)*	General Motors Co. Escrow, 7.20%, 1/15/13		200,000		-
(n)*	General Motors Co. Escrow, 8.375%, 7/15/33		1,090,000		-
	Total				-
	Real Estate (0.0%)
	DuPont Fabros Technology LP, 8.50%, 12/15/17		125,000		137
	Total				137
	Services (0.1%)
(c)	ARAMARK Holdings Corp., 8.625%, 5/1/16 144A		85,000		87
	Clean Harbors, Inc., 5.125%, 6/1/21 144A		100,000		103
	Clean Harbors, Inc., 5.25%, 8/1/20		190,000		198
	FTI Consulting, Inc., 6.00%, 11/15/22 144A		160,000		166
	HDTFS, Inc., 5.875%, 10/15/20 144A		105,000		110
	HDTFS, Inc., 6.25%, 10/15/22 144A		60,000		64
	Mobile Mini, Inc., 7.875%, 12/1/20		485,000		532
	Trans Union LLC/TransUnion Financing Corp., 11.375%, 6/15/18		290,000		338
	Total				1,598
	Technology (0.3%)
	Amkor Technology, Inc., 6.375%, 10/1/22 144A		165,000		163
	Amkor Technology, Inc., 6.625%, 6/1/21		280,000		279
	Equinix, Inc., 7.00%, 7/15/21		245,000		272
	Equinix, Inc., 8.125%, 3/1/18		280,000		309
	Fidelity National Information Services, Inc., 5.00%, 3/15/22		935,000		1,003
	First Data Corp., 6.75%, 11/1/20 144A		305,000		308
	First Data Corp., 7.375%, 6/15/19 144A		400,000		414
	First Data Corp., 8.25%, 1/15/21 144A		170,000		170
	First Data Corp., 9.875%, 9/24/15		280,000		286
(c)	First Data Corp., 10.55%, 9/24/15		496,424		508
	Freescale Semiconductor, Inc., 10.125%, 3/15/18 144A		467,000		516
	Iron Mountain, Inc., 7.75%, 10/1/19		255,000		288
	Iron Mountain, Inc., 8.375%, 8/15/21		50,000		55
	Jabil Circuit, Inc., 4.70%, 9/15/22		275,000		289
	MEMC Electronic Materials, Inc., 7.75%, 4/1/19		155,000		130
	NCR Corp., 4.625%, 2/15/21 144A		580,000		580
	NCR Corp., 5.00%, 7/15/22 144A		85,000		86
	Nuance Communications, Inc., 5.375%, 8/15/20 144A		310,000		324
	Seagate HDD Cayman, 7.75%, 12/15/18		290,000		319
	SunGard Data Systems, Inc., 7.375%, 11/15/18		380,000		407

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

184 Balanced Portfolio

Balanced Portfolio

	Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
	Technology continued
	SunGard Data Systems, Inc., 7.625%, 11/15/20		240,000		262
	West Corp., 11.00%, 10/15/16		195,000		203
	Total				7,171
	Telecommunications (0.6%)
	Cincinnati Bell, Inc., 8.25%, 10/15/17		435,000		469
	Clearwire Communications LLC/Clearwire Finance, Inc., 8.25%, 12/1/40 144A		195,000		214
	Clearwire Communications LLC/Clearwire Finance, Inc., 12.00%, 12/1/15 144A		195,000		210
	Clearwire Communications LLC/Clearwire Finance, Inc., 14.75%, 12/1/16 144A		275,000		377
	Cricket Communications, Inc., 7.75%, 10/15/20		540,000		551
	Crown Castle International Corp., 5.25%, 1/15/23 144A		270,000		289
	CyrusOne LP/CyrusOne Finance Corp., 6.375%, 11/15/22 144A		100,000		104
	Digicel Group, Ltd., 8.25%, 9/30/20 144A		135,000		148
	Frontier Communications Corp., 8.125%, 10/1/18		105,000		121
	Frontier Communications Corp., 8.25%, 4/15/17		175,000		202
	Frontier Communications Corp., 8.50%, 4/15/20		385,000		443
	Frontier Communications Corp., 8.75%, 4/15/22		160,000		186
	Frontier Communications Corp., 9.25%, 7/1/21		230,000		270
	GCI, Inc., 8.625%, 11/15/19		555,000		590
	MetroPCS Wireless, Inc., 6.625%, 11/15/20		245,000		260
	MetroPCS Wireless, Inc., 7.875%, 9/1/18		545,000		590
	NII Capital Corp., 7.625%, 4/1/21		475,000		360
	NII Capital Corp., 8.875%, 12/15/19		905,000		719
	PAETEC Holding Corp., 8.875%, 6/30/17		220,000		236
	SBA Communications Corp., 5.625%, 10/1/19 144A		250,000		262
	SBA Telecommunications, Inc., 5.75%, 7/15/20 144A		200,000		212
	SBA Telecommunications, Inc., 8.25%, 8/15/19		150,000		168
	Sprint Capital Corp., 6.90%, 5/1/19		330,000		360
	Sprint Nextel Corp., 6.00%, 12/1/16		200,000		217
	Sprint Nextel Corp., 6.00%, 11/15/22		435,000		447
	Sprint Nextel Corp., 7.00%, 3/1/20 144A		225,000		262
	Sprint Nextel Corp., 7.00%, 8/15/20		700,000		765
	Sprint Nextel Corp., 8.375%, 8/15/17		575,000		668
	Sprint Nextel Corp., 9.00%, 11/15/18 144A		540,000		667
	Sprint Nextel Corp., 9.125%, 3/1/17		225,000		265
	Sprint Nextel Corp., 11.50%, 11/15/21		295,000		401
	TW Telecom Holdings, Inc., 5.375%, 10/1/22 144A		195,000		204
(c)	Wind Acquisition Holding Finance SA, 12.25%, 7/15/17 144A		584,407		596
	Windstream Corp., 7.00%, 3/15/19		215,000		220
	Windstream Corp., 7.75%, 10/15/20		540,000		583
	Windstream Corp., 7.875%, 11/1/17		225,000		253
	Total				12,889
	Transportation (0.0%)
	Continental Airlines, Inc., 6.75%, 9/15/15 144A		295,000		310

	Below Investment Grade Segment (6.8%)	Shares/ $ Par		Value $ (000’s)
	Transportation continued
	Kansas City Southern de Mexico SAB de CV, 8.00%, 2/1/18		230,000		253
	Total				563
	Utilities (0.3%)
	The AES Corp., 7.75%, 10/15/15		160,000		180
	The AES Corp., 8.00%, 10/15/17		640,000		739
	The AES Corp., 8.00%, 6/1/20		100,000		115
	Calpine Corp., 7.50%, 2/15/21 144A		223,000		246
	Calpine Corp., 7.875%, 7/31/20 144A		410,000		460
	DPL, Inc., 6.50%, 10/15/16		200,000		212
	DPL, Inc., 7.25%, 10/15/21		135,000		144
	GenOn Americas Generation LLC, 8.50%, 10/1/21		200,000		228
	IPALCO Enterprises, Inc., 5.00%, 5/1/18		1,200,000		1,257
	NRG Energy, Inc., 7.625%, 1/15/18		415,000		461
	NRG Energy, Inc., 7.625%, 5/15/19		330,000		353
	NRG Energy, Inc., 8.25%, 9/1/20		35,000		39
	NV Energy, Inc., 6.25%, 11/15/20		340,000		400
	Puget Energy, Inc., 5.625%, 7/15/22		1,470,000		1,583
	Total				6,417
	Total Below Investment Grade Segment
	(Cost: $144,208)				151,890
	Investment Companies (12.3%)
	Investment Companies (12.3%)
	iShares Barclays MBS Bond Fund		162,207		17,518
	iShares MSCI EAFE Index Fund		340,930		19,372
	iShares MSCI Emerging Markets Index		76,960		3,413
	iShares Russell 2000 Index Fund		121,830		10,269
	iShares Russell Midcap Index Fund		41,662		4,712
	Market Vectors Junior Gold Miners		33,400		661
(q)	Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio		4,984,386		5,273
(q)	Northwestern Mutual Series Fund, Inc., International Equity Portfolio		26,381,905		47,329
(q)	Northwestern Mutual Series Fund, Inc., Research International Core Portfolio		128,571,137		106,843
	SPDR S&P Biotech		18,200		1,600
	SPDR S&P MidCap 400 ETF Trust		178,838		33,212
	Vanguard Emerging Markets		222,500		9,908
	Vanguard MSCI EAFE		406,240		14,312
	Total Investment Companies
	(Cost: $246,102)				274,422

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

Balanced Portfolio 185

Balanced Portfolio

	Short-Term Investments (14.3%)	Shares/ $ Par		Value $ (000’s)
	Autos (0.9%)
	American Honda Finance Corp., 0.15%, 3/25/13		10,000,000		9,994
	American Honda Finance Corp., 0.17%, 2/5/13		9,000,000		8,999
	Total				18,993
	Commercial Banks Non-US (1.6%)
	Bank of Nova Scotia/Houston, 0.745%, 10/18/13		5,000,000		5,016
	Royal Bank of Canada, 0.07%, 1/25/13		10,000,000		10,000
(b)	Toronto Dominion Holdings USA, Inc., 0.18%, 1/3/13		20,000,000		20,000
	Total				35,016
	Commercial Banks US (1.0%)
	Bank of America NA, 0.25%, 2/1/13		10,000,000		10,000
	BP Capital Markets PLC, 0.512%, 2/8/13		7,000,000		7,000
(b)	BP Capital Markets PLC, 0.512%, 5/7/13		4,800,000		4,805
	Total				21,805
	Consumer Products/Retailing (0.4%)
	Wal-Mart Stores, Inc., 0.10%, 1/30/13		10,000,000		9,999
	Total				9,999
	Electric Utilities (0.9%)
	Emerson Electric Co., 0.12%, 1/14/13		10,000,000		9,999
	Emerson Electric Co., 0.15%, 2/25/13		10,000,000		9,998
	Total				19,997
	Electronics (0.5%)
	International Business Machines Corp., 0.05%, 1/2/13		10,800,000		10,800
	Total				10,800
	Federal Government & Agencies (1.3%)
(b)	Federal Home Loan Banks, 0.12%, 2/20/13		20,000,000		19,999
	Federal Home Loan Mortgage Corp., 0.13%, 2/25/13		10,000,000		10,000
	Total				29,999
	Finance Services (1.8%)
	Alpine Securitization Corp., 0.18%, 1/2/13		5,000,000		5,000
(b)	Alpine Securitization Corp., 0.18%, 1/22/13		15,000,000		14,998
(b)	Govco LLC, 0.22%, 1/22/13		20,000,000		19,998
	Total				39,996

	Short-Term Investments (14.3%)	Shares/ $ Par		Value $ (000’s)
	Information Technology (0.9%)
	Google, Inc., 0.11%, 2/4/13		10,000,000		9,999
	Google, Inc., 0.12%, 2/12/13		10,000,000		9,998
	Total				19,997
	Machinery (0.9%)
	John Deere Canada ULC, 0.12%, 2/19/13		9,745,000		9,743
	John Deere Canada ULC, 0.15%, 1/24/13		10,000,000		9,999
	Total				19,742
	Miscellaneous Business Credit Institutions (0.9%)
	General Electric Capital Corp., 0.12%, 3/18/13		10,000,000		9,997
	General Electric Capital Corp., 1.016%, 4/24/14		10,000,000		10,073
	Total				20,070
	Personal Credit Institutions (2.2%)
	Chariot Funding LLC, 0.19%, 1/28/13		10,000,000		9,999
	Old Line Funding LLC, 0.05%, 1/3/13		10,000,000		10,000
	Old Line Funding LLC, 0.19%, 3/25/13		10,000,000		9,997
	Straight-A Funding LLC, 0.17%, 2/6/13		10,000,000		9,998
	Straight-A Funding LLC, 0.19%, 3/27/13		10,000,000		9,996
	Total				49,990
	Restaurants (0.8%)
(b)	Darden Restaurants, Inc., 0.28%, 1/2/13		18,800,000		18,800
	Total				18,800
	Short Term Business Credit (0.2%)
(k)	Sheffield Receivables Corp., 0.17%, 1/16/13		5,000,000		5,000
	Total				5,000
	Total Short-Term Investments
	(Cost: $320,123)				320,204
	Total Investments (102.1%)
	(Cost: $2,139,346)(a)				2,287,086
	Other Assets, Less
	Liabilities (-2.1%)				(46,854	)
	Net Assets (100.0%)				2,240,232

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

186 Balanced Portfolio

Balanced Portfolio

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $92,199 representing 4.1% of the net assets.

IO — Interest Only Security

GO — General Obligation

RB — Revenue Bond

FHA — Federal Housing Authority

GNMA — Government National Mortgage Association

PSF — Permanent School Fund

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $2,143,835 and the net unrealized appreciation of investments based on that cost was $143,251 which is comprised of $167,559 aggregate gross unrealized appreciation and $24,308 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
British Pound Currency Futures (Short) (Total Notional Value at December 31, 2012, $22,593)	225	3/13	$	(245	)
S&P 500 Mini Index Futures (Long) (Total Notional Value at December 31, 2012, $73,606)	1,031	3/13		(402	)
US Five Year Treasury Note Futures (Long) (Total Notional Value at December 31, 2012, $8,356)	67	3/13		(20	)
US Long Treasury Bond Futures (Short) (Total Notional Value at December 31, 2012, $30,525)	205	3/13		288
US Ten Year Treasury Note Futures (Short) (Total Notional Value at December 31, 2012, $23,445)	176	3/13		75
US Two Year Treasury Note Futures (Long) (Total Notional Value at December 31, 2012, $16,537)	75	3/13		(3	)
US Ultra Long Treasury Bond Futures (Long) (Total Notional Value at December 31, 2012, $992)	6	3/13		(16	)

(c) PIK — Payment In Kind

(d) Defaulted Security

(f) Foreign Bond — par value is foreign denominated

— Federated Republic of Brazil – Brazilian Real

— Morgan Stanley – Brazilian Real

(g) All or portion of the securities have been loaned. See Note 4G in the Notes to Financial Statements.

(h) Forward foreign currency contracts outstanding on December 31, 2012.

Type	Counterparty	Currency	Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Barclays Bank PLC	EUR	28,750	2/13	$	-	$	(738	)	$	(738	)
					$	-	$	(738	)	$	(738	)

EUR — Euro

(j) Swap agreements outstanding on December 31, 2012.

Total Return Swaps

Reference Entity	Counterparty	Payment Made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
MSCI Daily Net EAFE Index Total Return	Credit Suisse International	3-Month USD LIBOR -15 Basis Points (Bps)	MSCI Daily Net EAFE Index Total Return	8/13	35,744	$	2,590
Russell 2000 Growth Index Total Return	Credit Suisse International	Russell 2000 Growth Index Total Return	3-Month USD LIBOR -82 Bps	5/13	30,192		(1,608	)

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

Balanced Portfolio 187

Balanced Portfolio

Reference Entity	Counterparty	Payment Made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
Russell 2000 Value Index Total Return	Credit Suisse International	3-Month USD LIBOR - 70 Bps	Russell 2000 Value Index Total Return	5/13	31,065	$	2,054
Russell Midcap Growth Index Total Return	Bank of America N.A.	Russell Midcap Growth Index Total Return	3-Month USD LIBOR - 33 Bps	5/13	87,929		(3,319	)
Russell Midcap Index Total Return	Credit Suisse International	3-Month USD LIBOR - 15 Bps	Russell Midcap Index Total Return	8/13	10,044		526
Russell Midcap Value Index Total Return	Bank of America N.A.	3-Month USD LIBOR - 26 Bps	Russell Midcap Value Index Total Return	5/13	92,029		3,850
						$	4,093

(k) Securities with an aggregate value of $5,000 (in thousands) have been pledged as collateral for swap contracts outstanding on December 31, 2012.

(n) Security valued in good faith by the Board of Directors.

(q) Affiliated Company

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	��	Valuation Inputs
Description		Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs
		(Amounts in thousands)
Assets:
Domestic Common Stocks		$	669,937		$	-		$	65
Foreign Common Stocks			-			-			6
Preferred Stocks			1,146			351			-
Government & US Agency Bonds			-			321,307			-
Foreign Bonds			-			3,268			-
Municipal Bonds			-			18,881			-
Corporate Bonds			-			351,206			-
Structured Products			-			322,227			4,066
Investment Companies			274,422			-			-
Short-Term Investments			-			320,204			-
Other Financial Instruments^
Futures			363			-			-
Total Return Swaps			-			9,020			-
Liabilities:
Other Financial Instruments^
Futures			(686	)		-			-
Forward Currency Contracts			-			(738	)		-
Total Return Swaps			-			(4,927	)		-
Total		$	945,182		$	1,340,799		$	4,137

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

188 Balanced Portfolio

Asset Allocation Portfolio

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.	$236 million

Portfolio Overview

Mason Street Advisors acts as the investment adviser for the Asset Allocation Portfolio (the “Portfolio”). The Portfolio seeks to achieve its objective by investing in stock, bond and money market sectors. The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy of allocating assets across the three market sectors. The Portfolio may invest in options, futures, forwards, exchange-traded funds and swap agreements to gain exposure to certain markets, sectors or regions. Under normal market conditions, the Portfolio’s equity exposure will typically range between 55-75% of assets.

Market Overview

Equity markets finished the year with solid gains despite economic uncertainty and significant volatility. Throughout the year, investors shifted their focus from uncertainty regarding the pace of global economic growth to evaluating fiscal and economic stimulus measures implemented globally. The economic slowdown in China, fiscal and debt crises in Europe, and the slow pace of growth in the U.S. drove volatility. As these issues arose, policy makers responded with stimulus and financing measures that calmed markets. Ultimately, investors embraced risk, as record profit margins in the U.S. and remarkable cash flow generation propelled equity markets during the year. In that environment, mid cap stocks outperformed shares of large and small sized companies, while value stocks generally outperformed growth shares. For the year, returns for the S&P 500^®, MidCap 400^®, and SmallCap 600^® Indices were 16.00%, 17.88%, and 16.33%, respectively.

In the fixed income market, bonds also delivered solid gains. Investment grade and high yield corporate bonds led the rally, as improving corporate balance sheets and record bond issuance sent investors looking for yield. Treasurys lagged during 2012 after strong gains in 2011 pushed Treasury yields to historic lows.

Portfolio Results

The Portfolio returned 11.02% for the twelve months ended December 31, 2012, trailing the 16.00% return of the broad stock market, as measured by the S&P 500^® Index. The Portfolio also trailed the Asset Allocation Portfolio Blended Composite Benchmark return of 13.54%. (The benchmark weights are detailed in the “Benchmark Definitions” section of this annual report.) The Mixed-Asset Target Allocation Growth Funds peer group had an average return of 13.50%, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

During the year, high level asset allocation decisions helped relative performance, while individual security selection within the underlying sleeves weighed on performance. Security selection weakness within the domestic equity portion of the Portfolio was the primary detractor from relative results, while weakness in the high yield portion of the Portfolio, which had an underweight to the lowest quality securities of the market, also held back Portfolio performance last year.

With respect to the Portfolio’s asset allocation decisions, several positions added to performance during the year. The Portfolio generated relative performance from having a higher allocation to equity during certain periods when stocks performed well and a lower allocation less equity when the market declined. These moves helped offset the Portfolio’s overall underweight position in equities, while delivering relative return with lower volatility.

Certain asset allocation decisions within the equity and fixed income portfolios also worked well. The Portfolio held an overweight in high yield bonds amid strong performance in the first half of the year and an overweight in emerging markets equity during the rally in the second half of the year.

During the period, the Portfolio made use of total return swap agreements with the intention of reducing the growth bias inherent in the Portfolio’s equity strategies. Use of these instruments helped relative results somewhat during a year in which growth generally underperformed value stocks.

Portfolio Manager Outlook

We are taking a cautious view going into 2013. The economic and fiscal policies that investors have come to expect in recent years can not continue forever. The record amounts of both fiscal and economic stimulus in recent years leave little room for additional policy measures. We have seen some early signs that policy may be shifting, albeit modestly. With interest rates at historic lows, the Federal Reserve could begin to signal that its bond buying programs used to lower interest rates could slow, as the long-term cost of keeping rates low may outweigh the short-term economic benefit. If growth in China and Europe pick up, higher commodity prices are likely to tax economic growth. Given the uncertainty, we anticipate remaining underweight in equity, overweight in cash and neutral within fixed income.

Asset Allocation Portfolio 189

Asset Allocation Portfolio

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2012
	1 Year			5 Years			10 Years
Asset Allocation Portfolio		11.02	%		2.17	%		6.63	%
S&P 500® Index		16.00	%		1.66	%		7.10	%
Barclays® U.S. Aggregate Index		4.22	%		5.95	%		5.18	%
Asset Allocation Portfolio Blended Composite Benchmark		13.54	%		3.63	%		8.05	%
Lipper® Variable Insurance Products (VIP) Mixed Asset Target Allocation Growth Funds Average		13.50	%		1.93	%		6.70	%

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 www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/02. Returns shown include deductions for management and other portfolio expenses, and reinvestment of all dividends. 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. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards. Small cap stocks also may carry additional risk. Smaller or newer issuers 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 volatile and more speculative. Bonds and other debt obligations are affected by changes in interest rates, inflation risk and the creditworthiness of their issuers. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

The Portfolio may obtain its exposure to foreign 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, and changes in the value of 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 for the adviser’s view on style or term structure and duration, to provide increased flexibility in asset allocation, 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, 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 investments.

190 Asset Allocation Portfolio

Asset Allocation Portfolio

Top 5 Equity Holdings 12/31/12

Security Description	% of Net Assets
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio	7.0%
Northwestern Mutual Series Fund, Inc., International Equity Portfolio	3.1%
SPDR S&P MidCap 400 ETF Trust	1.4%
iShares MSCI EAFE Index Fund	1.4%
Apple, Inc.	1.2%

Top 5 Fixed Income Holdings 12/31/12

Security Description	% of Net Assets
US Treasury, Various	7.8%
Federal Home Loan Mortgage Corp., Various	4.5%
Federal National Mortgage Association, Various	2.4%
Sprint Nextel Corp., Various	0.2%
DISH DBS Corp., Various	0.2%

Sector Allocation 12/31/12

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.

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Asset Allocation Portfolio

Schedule of Investments

December 31, 2012

	Domestic Common Stocks and Warrants (39.9%)	Shares/ $ Par		Value $ (000’s)
	Large Cap Common Stocks (27.9%)
	Consumer Discretionary (3.1%)
	Comcast Corp. - Class A		25,275		945
*	Delphi Automotive PLC		15,900		608
*	Dollar General Corp.		17,600		776
	Las Vegas Sands Corp.		10,625		490
	Macy’s, Inc.		22,719		887
	News Corp. - Class A		43,400		1,108
	Starbucks Corp.		10,675		572
	Target Corp.		14,075		833
	Viacom, Inc. - Class B		20,450		1,079
	Total				7,298
	Consumer Staples (2.1%)
	Costco Wholesale Corp.		4,125		407
	CVS Caremark Corp.		22,130		1,070
	The Estee Lauder Cos., Inc. - Class A		7,050		422
	Mead Johnson Nutrition Co.		11,884		783
	PepsiCo, Inc.		12,650		866
	Philip Morris International, Inc.		17,525		1,466
	Total				5,014
	Energy (3.5%)
	Anadarko Petroleum Corp.		15,350		1,141
	Chevron Corp.		16,450		1,779
	Exxon Mobil Corp.		21,025		1,820
	National-Oilwell Varco, Inc.		6,350		434
	Occidental Petroleum Corp.		12,200		934
	Schlumberger, Ltd.		15,625		1,083
*	Weatherford International, Ltd.		62,105		695
*	Whiting Petroleum Corp.		10,150		440
	Total				8,326
	Financials (4.6%)
	American Express Co.		16,500		948
	American Tower Corp.		17,275		1,335
	BlackRock, Inc.		2,800		579
	Citigroup, Inc.		37,225		1,473
	The Goldman Sachs Group, Inc.		6,800		867
	Invesco, Ltd.		32,900		858
	JPMorgan Chase & Co.		42,825		1,883
	MetLife, Inc.		19,150		631
	PNC Financial Services Group, Inc.		10,925		637
	Wells Fargo & Co.		48,250		1,649
	Total				10,860
	Health Care (3.3%)
	Abbott Laboratories		7,550		495
*	Alexion Pharmaceuticals, Inc.		3,825		359
	AmerisourceBergen Corp.		27,408		1,183

	Domestic Common Stocks and Warrants (39.9%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	Biogen Idec, Inc.		2,800		411
	Eli Lilly and Co.		6,850		338
*	Express Scripts Holding Co.		10,139		547
*	Gilead Sciences, Inc.		8,225		604
	Johnson & Johnson		24,175		1,695
	Pfizer, Inc.		39,325		986
	UnitedHealth Group, Inc.		14,850		805
*	Watson Pharmaceuticals, Inc.		4,775		411
	Total				7,834
	Industrials (3.5%)
	The Boeing Co.		13,475		1,015
	Cummins, Inc.		6,802		737
	Danaher Corp.		16,425		918
	FedEx Corp.		11,740		1,077
	General Electric Co.		72,750		1,527
	Precision Castparts Corp.		3,968		752
	SPX Corp.		7,350		516
	Union Pacific Corp.		5,250		660
	United Technologies Corp.		12,375		1,015
	Total				8,217
	Information Technology (5.8%)
	Apple, Inc.		5,250		2,798
	Broadcom Corp. - Class A		19,075		634
*	Cognizant Technology Solutions Corp. - Class A		8,225		609
*	eBay, Inc.		7,150		365
*	EMC Corp.		22,975		581
*	Google, Inc. - Class A		1,400		993
	Intel Corp.		43,900		906
	International Business Machines Corp.		8,725		1,671
	Microsoft Corp.		64,800		1,732
	Oracle Corp.		31,700		1,056
	Qualcomm, Inc.		14,900		924
	Visa, Inc. - Class A		4,925		747
*	Yahoo!, Inc.		29,800		593
	Total				13,609
	Materials (1.1%)
	BHP Billiton, Ltd., ADR		7,100		557
	Celanese Corp.		8,350		372
	CF Industries Holdings, Inc.		2,776		564
	Monsanto Co.		10,375		982
	Total				2,475
	Telecommunication Services (0.3%)
	Vodafone Group PLC, ADR		26,575		669
	Total				669

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

192 Asset Allocation Portfolio

Asset Allocation Portfolio

	Domestic Common Stocks and Warrants (39.9%)	Shares/ $ Par		Value $ (000’s)
	Utilities (0.6%)
	American Water Works Co., Inc.		36,800		1,366
	Total				1,366
	Total Large Cap Common Stocks				65,668
	Mid Cap Common Stocks (8.6%)
	Consumer Discretionary (1.9%)
*	Bed Bath & Beyond, Inc.		3,453		193
*	BorgWarner, Inc.		4,302		308
	Brunswick Corp.		5,800		169
	Chico’s FAS, Inc.		22,135		409
	Coach, Inc.		2,600		144
	Dick’s Sporting Goods, Inc.		15,225		693
	The Gap, Inc.		3,800		118
*	LKQ Corp.		20,158		425
	Marriott International, Inc. - Class A		3,893		145
	The McGraw-Hill Cos., Inc.		5,954		325
*	O’Reilly Automotive, Inc.		3,567		319
*	Penn National Gaming, Inc.		3,641		179
	Polaris Industries, Inc.		4,204		354
	Ralph Lauren Corp.		500		75
	Ross Stores, Inc.		4,665		253
	Scripps Networks Interactive - Class A		2,200		127
	Ulta Salon, Cosmetics & Fragrance, Inc.		2,100		206
	Wynn Resorts, Ltd.		800		90
	Total				4,532
	Consumer Staples (0.9%)
	Beam, Inc.		13,948		852
	Church & Dwight Co., Inc.		18,874		1,011
	McCormick & Co., Inc.		5,487		349
	Total				2,212
	Energy (0.4%)
*	Cameron International Corp.		3,528		199
*	Concho Resources, Inc.		2,374		192
*	FMC Technologies, Inc.		3,501		150
	Noble Energy, Inc.		2,322		236
*	Southwestern Energy Co.		2,962		99
	Total				876
	Financials (0.4%)
*	CBRE Group, Inc.		14,740		293
*	E*TRADE Financial Corp.		7,078		64
*	IntercontinentalExchange, Inc.		1,552		192
	Lazard, Ltd. - Class A		3,586		107
	Raymond James Financial, Inc.		9,370		361
	Total				1,017
	Health Care (0.9%)
*	Catamaran Corp.		5,800		273
*	Cerner Corp.		2,728		212

	Domestic Common Stocks and Warrants (39.9%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	DaVita HealthCare Partners, Inc.		2,339		258
*	IDEXX Laboratories, Inc.		2,598		241
*	Mettler-Toledo International, Inc.		1,198		232
*	Mylan, Inc.		3,200		88
	Perrigo Co.		6,775		705
*	Vertex Pharmaceuticals, Inc.		1,797		75
	Total				2,084
	Industrials (1.6%)
*	B/E Aerospace, Inc.		7,764		384
	Corrections Corp. of America		11,478		407
	Dover Corp.		4,081		268
*	Fortune Brands Home & Security, Inc.		3,100		91
	Graco, Inc.		7,831		403
	Kansas City Southern		4,163		348
	Knight Transportation, Inc.		7,954		116
	MSC Industrial Direct Co., Inc. - Class A		2,342		177
*	Owens Corning, Inc.		5,354		198
	Regal-Beloit Corp.		2,953		208
	Robert Half International, Inc.		12,609		401
	Roper Industries, Inc.		2,601		290
*	WESCO International, Inc.		7,031		474
	Total				3,765
	Information Technology (1.8%)
*	Alliance Data Systems Corp.		3,101		449
	Amphenol Corp. - Class A		3,552		230
*	Aruba Networks, Inc.		5,000		104
	Avago Technologies, Ltd.		18,956		600
*	Citrix Systems, Inc.		3,449		227
*	F5 Networks, Inc.		2,314		225
*	Fortinet, Inc.		16,044		338
*	Freescale Semiconductor Holdings I, Ltd.		8,601		95
	Global Payments, Inc.		9,625		436
	Microchip Technology, Inc.		5,936		193
*	NetApp, Inc.		3,300		111
*	NetSuite, Inc.		900		60
*	Red Hat, Inc.		2,800		148
*	ServiceNow, Inc.		1,465		44
*	Skyworks Solutions, Inc.		8,950		181
*	Teradata Corp.		1,950		121
*	TIBCO Software, Inc.		6,550		144
*	VeriFone Systems, Inc.		10,002		297
*	Zebra Technologies Corp. - Class A		5,984		235
	Total				4,238
	Materials (0.4%)
	Airgas, Inc.		4,632		423
	PPG Industries, Inc.		2,490		337
	Westlake Chemical Corp.		2,189		173
	Total				933

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

Asset Allocation Portfolio 193

Asset Allocation Portfolio

	Domestic Common Stocks and Warrants (39.9%)	Shares/ $ Par		Value $ (000’s)
	Telecommunication Services (0.3%)
*	SBA Communications Corp. - Class A		8,329		592
	Total				592
	Total Mid Cap Common Stocks				20,249
	Small Cap Common Stocks (3.4%)
	Consumer Discretionary (0.4%)
*	Bally Technologies, Inc.		2,500		112
*	Chuy’s Holdings, Inc.		2,100		47
*	Genesco, Inc.		1,450		80
*	Grand Canyon Education, Inc.		5,550		130
*	Hibbett Sports, Inc.		1,550		82
*	Life Time Fitness, Inc.		2,450		121
*	Motors Liquidation Co. GUC Trust		295		6
	Penske Automotive Group, Inc.		2,800		84
*	Red Robin Gourmet Burgers, Inc.		1,850		65
*	SHFL Entertainment, Inc.		3,400		49
*	Vitamin Shoppe, Inc.		1,600		92
	Total				868
	Consumer Staples (0.0%)
*	United Natural Foods, Inc.		1,500		80
	Total				80
	Energy (0.3%)
*	Approach Resources, Inc.		4,200		105
*	Dril-Quip, Inc.		1,600		117
	EXCO Resources, Inc.		14,200		96
*	Gulfport Energy Corp.		3,300		126
*	Hornbeck Offshore Services, Inc.		2,500		86
*	Kodiak Oil & Gas Corp.		9,950		88
*	Rosetta Resources, Inc.		2,000		91
	Total				709
	Financials (0.3%)
	Amreit, Inc., - Class B		3,100		53
	Boston Private Financial Holdings, Inc.		13,750		124
	East West Bancorp, Inc.		7,350		158
	Education Realty Trust, Inc.		6,600		70
	Greenhill & Co., Inc.		2,450		127
*	Stifel Financial Corp.		3,050		98
	Total				630
	Health Care (0.6%)
*	Akorn, Inc.		6,250		83
*	Align Technology, Inc.		2,566		71
*	Conceptus, Inc.		2,450		51
*	DexCom, Inc.		6,509		89
*	Endologix, Inc.		6,538		93
*	Exact Sciences Corp.		9,700		103
*	Fluidigm Corp.		4,750		68

	Domestic Common Stocks and Warrants (39.9%)	Shares/ $ Par		Value $ (000’s)
	Health Care continued
*	Health Management Associates, Inc. - Class A		9,950		93
*	HealthStream, Inc.		3,450		84
*	HMS Holdings Corp.		1,750		45
*	Impax Laboratories, Inc.		6,300		129
*	IPC The Hospitalist Co.		1,465		58
*	Jazz Pharmaceuticals PLC		800		42
*	MAP Pharmaceuticals, Inc.		5,450		86
*	Neogen Corp.		1,350		61
*	Omnicell, Inc.		5,902		88
*	Team Health Holdings, Inc.		2,250		65
	U.S. Physical Therapy, Inc.		3,000		83
	Universal Health Services, Inc. - Class B		1,550		75
	Total				1,467
	Industrials (0.8%)
	Actuant Corp. - Class A		5,650		158
*	Beacon Roofing Supply, Inc.		2,850		95
	Celadon Group, Inc.		5,750		104
*	Chart Industries, Inc.		1,647		110
*	DXP Enterprises, Inc.		1,500		74
*	Heritage-Crystal Clean, Inc.		5,625		84
*	Hexcel Corp.		5,050		136
*	Huron Consulting Group, Inc.		3,550		120
*	The KEYW Holding Corp.		8,228		104
	Lindsay Corp.		1,600		128
	The Manitowoc Co., Inc.		3,900		61
*	Mistras Group, Inc.		3,400		84
*	NCI Building Systems, Inc.		4,500		63
*	Oshkosh Corp.		3,450		102
*	Performant Financial Corp.		4,100		41
	Snap-on, Inc.		1,650		130
	Sun Hydraulics Corp.		3,000		78
*	Thermon Group Holdings, Inc.		3,100		70
	TransDigm Group, Inc.		675		92
	Valmont Industries, Inc.		1,200		164
	Total				1,998
	Information Technology (0.9%)
*	Aspen Technology, Inc.		2,800		77
*	BroadSoft, Inc.		2,650		96
*	Calix, Inc.		12,850		99
*	Cardtronics, Inc.		3,200		76
*	Cavium, Inc.		3,100		97
*	Cornerstone OnDemand, Inc.		2,300		68
*	Diodes, Inc.		6,450		112
*	EXA Corp.		2,900		28
*	ExactTarget, Inc.		2,250		45
*	EZchip Semiconductor, Ltd.		1,800		60
	FEI Co.		2,550		141
*	Finisar Corp.		4,300		70
*	InterXion Holding NV		6,100		145
*	Microsemi Corp.		4,800		101
*	MicroStrategy, Inc. - Class A		600		56
	MKS Instruments, Inc.		3,300		85
*	Nanometrics, Inc.		5,000		72
*	Proofpoint, Inc.		1,900		23

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

194 Asset Allocation Portfolio

Asset Allocation Portfolio

	Domestic Common Stocks and Warrants (39.9%)		Shares/ $ Par		Value $ (000’s)
	Information Technology continued
*	Sourcefire, Inc.			1,150		54
*	SPS Commerce, Inc.			3,850		144
*	Synacor, Inc.			6,550		36
*	Synchronoss Technologies, Inc.			6,850		145
*	Tangoe, Inc.			8,600		102
*	The Ultimate Software Group, Inc.			1,450		137
	Total					2,069
	Materials (0.0%)
	Balchem Corp.			2,750		100
(n)*	NewPage Group, Inc.			220		21
	Total					121
	Telecommunication Services (0.1%)
*	tw telecom, Inc.			5,500		140
	Total					140
	Total Small Cap Common Stocks					8,082
	Total Domestic Common Stocks and Warrants
	(Cost: $83,002)					93,999
	Foreign Common Stocks (0.0%)	Country
	Materials (0.0%)
(n)*	Catalyst Paper Corp.	Canada		936		1
	Total Foreign Common Stocks
	(Cost: $1)					1
	Preferred Stocks (0.1%)
	Financials (0.1%)
	Ally Financial, Inc, 7.00%, 2/4/13 144A			91		89
	Ally Financial, Inc., 8.50%, 5/15/16			4,589		121
	GMAC Capital Trust I, 8.125%, 2/15/40			1,703		45
	Total Preferred Stocks
	(Cost: $220)					255
	Investment Grade Segment (5.5%)
	Aerospace/Defense (0.1%)
	BAE Systems Holdings, Inc., 6.375%, 6/1/19 144A			15,000		18
	Boeing Capital Corp., 2.125%, 8/15/16			35,000		36
	General Dynamics Corp., 2.25%, 11/15/22			50,000		49
	L-3 Communications Corp., 5.20%, 10/15/19			45,000		51
	Lockheed Martin Corp., 3.35%, 9/15/21			10,000		11
	Meccanica Holdings USA, Inc., 6.25%, 1/15/40 144A			15,000		13
	Total					178

Investment Grade Segment (5.5%)	Shares/ $ Par		Value $ (000’s)
Auto Manufacturing (0.2%)
Daimler Finance North America LLC, 2.625%, 9/15/16 144A		5,000		5
Daimler Finance North America LLC, 3.00%, 3/28/16 144A		40,000		42
Ford Motor Co., 7.45%, 7/16/31		40,000		51
Ford Motor Credit Co. LLC, 3.00%, 6/12/17		45,000		46
Ford Motor Credit Co. LLC, 4.25%, 2/3/17		75,000		80
Ford Motor Credit Co. LLC, 5.00%, 5/15/18		15,000		16
Ford Motor Credit Co. LLC, 5.75%, 2/1/21		45,000		52
Ford Motor Credit Co. LLC, 8.125%, 1/15/20		20,000		26
PACCAR, Inc., 6.875%, 2/15/14		10,000		11
Toyota Motor Credit Corp., 1.75%, 5/22/17		70,000		72
Toyota Motor Credit Corp., 3.30%, 1/12/22		75,000		81
Volkswagen International Finance NV, 2.875%, 4/1/16 144A		45,000		47
Total				529
Banking (0.8%)
Bank of America Corp., 3.625%, 3/17/16		35,000		37
Bank of America Corp., 3.75%, 7/12/16		10,000		11
Bank of America Corp., 5.75%, 12/1/17		20,000		23
Bank of Montreal, 2.55%, 11/6/22		60,000		59
The Bank of New York Mellon Corp., 3.55%, 9/23/21		80,000		87
Bank of Nova Scotia, 1.375%, 12/18/17		40,000		40
Citigroup, Inc., 3.953%, 6/15/16		200,000		215
Credit Suisse of New York, New York, 5.50%, 5/1/14		125,000		133
Fifth Third Bank, 4.75%, 2/1/15		45,000		48
The Goldman Sachs Group, Inc., 5.95%, 1/18/18		110,000		128
The Goldman Sachs Group, Inc., 6.15%, 4/1/18		50,000		59
HSBC Holdings PLC, 5.10%, 4/5/21		35,000		41
JPMorgan Chase & Co., 3.15%, 7/5/16		225,000		238
JPMorgan Chase & Co., 6.00%, 1/15/18		30,000		36
Merrill Lynch & Co., Inc., 6.22%, 9/15/26		20,000		22
Merrill Lynch & Co., Inc., 6.40%, 8/28/17		120,000		141
Morgan Stanley, 2.875%, 7/28/14		20,000		21
Morgan Stanley, 3.80%, 4/29/16		50,000		53
Morgan Stanley, 4.75%, 3/22/17		70,000		76
PNC Financial Services Group, Inc., 2.854%, 11/9/22		45,000		45
PNC Funding Corp., 4.375%, 8/11/20		30,000		34
The Royal Bank of Scotland Group PLC, 6.125%, 12/15/22		80,000		85
State Street Corp., 2.875%, 3/7/16		25,000		27
SunTrust Banks, Inc., 6.00%, 9/11/17		25,000		30
U.S. Bancorp, 3.442%, 2/1/16		45,000		47
Wachovia Corp., 5.75%, 2/1/18		5,000		6
Wells Fargo & Co., 2.625%, 12/15/16		70,000		74
Wells Fargo & Co., 4.60%, 4/1/21		45,000		52
Total				1,868
Beverage/Bottling (0.2%)
Anheuser-Busch Cos. LLC, 5.75%, 4/1/36		15,000		19
Anheuser-Busch InBev Worldwide, Inc., 2.50%, 7/15/22		65,000		65
Anheuser-Busch InBev Worldwide, Inc., 8.20%, 1/15/39		70,000		115
Beam, Inc., 3.25%, 5/15/22		15,000		16
The Coca-Cola Co., 1.65%, 3/14/18		50,000		51
The Coca-Cola Co., 3.15%, 11/15/20		50,000		54
Heineken NV, 1.40%, 10/1/17 144A		20,000		20
Heineken NV, 2.75%, 4/1/23 144A		30,000		30
Heineken NV, 4.00%, 10/1/42 144A		5,000		5

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

Asset Allocation Portfolio 195

Asset Allocation Portfolio

Investment Grade Segment (5.5%)	Shares/ $ Par		Value $ (000’s)
Beverage/Bottling continued
PepsiCo, Inc., 7.90%, 11/1/18		35,000		47
Pernod-Ricard SA, 5.75%, 4/7/21 144A		30,000		36
SABMiller Holdings, Inc., 3.75%, 1/15/22 144A		45,000		49
Total				507
Cable/Media/Broadcasting/Satellite (0.2%)
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.80%, 3/15/22		40,000		41
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 4.60%, 2/15/21		5,000		5
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15%, 3/15/42		25,000		25
Discovery Communications LLC, 5.05%, 6/1/20		25,000		29
Historic TW, Inc., 6.625%, 5/15/29		40,000		51
Historic TW, Inc., 6.875%, 6/15/18		10,000		13
NBCUniversal Media LLC, 2.875%, 4/1/16		35,000		37
NBCUniversal Media LLC, 6.40%, 4/30/40		15,000		19
News America, Inc., 6.90%, 8/15/39		10,000		13
TCI Communications, Inc., 8.75%, 8/1/15		60,000		72
Time Warner Entertainment Co. LP, 8.375%, 3/15/23		55,000		78
Total				383
Conglomerate/Diversified Manufacturing (0.1%)
Eastman Chemical Co., 7.25%, 1/15/24		5,000		7
Eaton Corp., 2.75%, 11/2/22 144A		115,000		115
United Technologies Corp., 3.10%, 6/1/22		25,000		26
United Technologies Corp., 4.50%, 6/1/42		30,000		33
Total				181
Consumer Products (0.0%)
The Procter & Gamble Co., 5.55%, 3/5/37		40,000		54
Total				54
Electric Utilities (0.6%)
Alabama Power Co., 3.95%, 6/1/21		50,000		56
Ameren Corp., 8.875%, 5/15/14		15,000		16
Appalachian Power Co., 4.60%, 3/30/21		20,000		23
Arizona Public Service Co., 5.05%, 9/1/41		10,000		11
Arizona Public Service Co., 8.75%, 3/1/19		10,000		13
Bruce Mansfield Unit, 6.85%, 6/1/34		27,750		29
Carolina Power & Light Co., 2.80%, 5/15/22		35,000		36
Carolina Power & Light Co., 5.15%, 4/1/15		25,000		27
CenterPoint Energy, Inc., 6.50%, 5/1/18		20,000		24
Commonwealth Edison Co., 4.00%, 8/1/20		25,000		28
Commonwealth Edison Co., 6.15%, 9/15/17		5,000		6
Connecticut Light & Power Co., 5.65%, 5/1/18		10,000		12
The Detroit Edison Co., 3.45%, 10/1/20		25,000		27
Dominion Resources, Inc., 1.40%, 9/15/17		45,000		45
DTE Energy Co., 6.375%, 4/15/33		5,000		7
Duke Energy Corp., 6.25%, 6/15/18		5,000		6
Duke Energy Indiana, Inc., 3.75%, 7/15/20		45,000		50
Entergy Corp., 4.70%, 1/15/17		40,000		43
Entergy Mississippi, Inc., 6.25%, 4/1/34		55,000		56
Exelon Generation Co. LLC, 4.25%, 6/15/22 144A		45,000		47
Exelon Generation Co. LLC, 6.20%, 10/1/17		30,000		35
Kiowa Power Partners LLC, 4.811%, 12/30/13 144A		9,593		10
Mississippi Power Co., 4.75%, 10/15/41		35,000		39
Monongahela Power Co., Inc., 5.70%, 3/15/17 144A		45,000		51
Nevada Power Co., 5.95%, 3/15/16		10,000		12

Investment Grade Segment (5.5%)	Shares/ $ Par			Value $ (000’s)
Electric Utilities continued
NextEra Energy Capital Holdings, Inc., 4.50%, 6/1/21		95,000			106
NSTAR LLC, 4.50%, 11/15/19		10,000			11
Ohio Edison Co., 6.875%, 7/15/36		5,000			7
Ohio Power Co., 5.375%, 10/1/21		25,000			30
Pacific Gas & Electric Co., 3.50%, 10/1/20		75,000			82
Pacific Gas & Electric Co., 5.625%, 11/30/17		10,000			12
PacifiCorp., 3.85%, 6/15/21		50,000			56
Peco Energy Co., 2.375%, 9/15/22		30,000			30
Potomac Electric Power Co., 6.50%, 11/15/37		5,000			7
PPL Capital Funding, Inc., 4.20%, 6/15/22		25,000			27
PPL Energy Supply LLC, 6.50%, 5/1/18		10,000			12
Public Service Co. of Colorado, 3.20%, 11/15/20		30,000			33
Public Service Co. of Colorado, 5.80%, 8/1/18		10,000			12
Public Service Co. of New Mexico, 5.35%, 10/1/21		25,000			28
Public Service Electric & Gas Co., 3.65%, 9/1/42		20,000			20
Public Service Electric & Gas Co., 5.00%, 1/1/13		100,000			100
Puget Sound Energy, Inc., 6.274%, 3/15/37		30,000			40
San Diego Gas & Electric Co., 6.125%, 9/15/37		10,000			14
Sempra Energy, 2.30%, 4/1/17		45,000			47
Sempra Energy, 6.15%, 6/15/18		15,000			18
South Carolina Electric & Gas Co., 6.05%, 1/15/38		15,000			20
Tampa Electric Co., 5.40%, 5/15/21		5,000			6
Union Electric Co., 3.90%, 9/15/42		25,000			25
Union Electric Co., 6.40%, 6/15/17		10,000			12
Union Electric Co., 6.70%, 2/1/19		10,000			13
Virginia Electric & Power Co., 3.45%, 9/1/22		40,000	��		43
Total					1,520
Electronics (0.0%)
Hewlett-Packard Co., 3.00%, 9/15/16		35,000			35
Hewlett-Packard Co., 3.75%, 12/1/20		5,000			5
Hewlett-Packard Co., 4.65%, 12/9/21		30,000			30
International Business Machines Corp., 1.95%, 7/22/16		25,000			26
Total					96
Food Processors (0.1%)
Archer-Daniels-Midland Co., 4.479%, 3/1/21		10,000			11
General Mills, Inc., 3.15%, 12/15/21		40,000			42
Kellogg Co., 3.25%, 5/21/18		15,000			16
Kraft Foods Group, Inc., 2.25%, 6/5/17 144A		10,000			11
Kraft Foods Group, Inc., 3.50%, 6/6/22 144A		15,000			16
Kraft Foods Group, Inc., 6.125%, 8/23/18 144A		40,000			49
Mead Johnson Nutrition Co., 4.90%, 11/1/19		35,000			40
Mondelez International, Inc., 6.125%, 2/1/18		15,000			18
Mondelez International, Inc., 6.50%, 8/11/17		20,000			25
Mondelez International, Inc., 6.50%, 2/9/40		65,000			87
Total					315
Gaming/Leisure/Lodging (0.0%)
Choice Hotels International, Inc., 5.75%, 7/1/22		30,000			33
Host Hotels & Resorts LP, 5.875%, 6/15/19		15,000			17
Total					50
Gas Pipelines (0.2%)
CenterPoint Energy Resources Corp., 6.125%, 11/1/17		10,000			12
Energy Transfer Partners LP, 4.65%, 6/1/21		25,000			27
Energy Transfer Partners LP, 6.05%, 6/1/41		40,000			46

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

196 Asset Allocation Portfolio

Asset Allocation Portfolio

Investment Grade Segment (5.5%)	Shares/ $ Par		Value $ (000’s)
Gas Pipelines continued
Energy Transfer Partners LP, 6.70%, 7/1/18		35,000		42
Enterprise Products Operating LLC, 3.20%, 2/1/16		35,000		37
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18		55,000		66
Kinder Morgan Energy Partners LP, 6.375%, 3/1/41		55,000		68
Kinder Morgan Energy Partners LP, 6.50%, 2/1/37		15,000		18
Magellan Midstream Partners LP, 6.55%, 7/15/19		30,000		37
ONEOK Partners LP, 2.00%, 10/1/17		20,000		20
Plains All American Pipeline LP/PAA Finance Corp., 6.50%, 5/1/18		15,000		19
Spectra Energy Partners LP, 2.95%, 6/15/16		30,000		31
Williams Partners LP, 4.00%, 11/15/21		10,000		11
Williams Partners LP, 4.125%, 11/15/20		5,000		5
Williams Partners LP, 5.25%, 3/15/20		33,000		38
Total				477
Health Care/Pharmaceuticals (0.3%)
AbbVie, Inc., 1.75%, 11/6/17 144A		40,000		40
AbbVie, Inc., 2.90%, 11/6/22 144A		20,000		20
Amgen, Inc., 3.875%, 11/15/21		65,000		71
Express Scripts Holding Co., 2.65%, 2/15/17 144A		20,000		21
Express Scripts Holding Co., 3.125%, 5/15/16		25,000		26
Express Scripts Holding Co., 3.50%, 11/15/16 144A		40,000		43
Express Scripts Holding Co., 3.90%, 2/15/22 144A		10,000		11
GlaxoSmithKline Capital, Inc., 6.375%, 5/15/38		20,000		28
Medco Health Solutions, Inc., 7.125%, 3/15/18		25,000		31
Merck & Co., Inc., 3.875%, 1/15/21		15,000		17
Mylan, Inc., 3.125%, 1/15/23 144A		35,000		35
Mylan, Inc., 6.00%, 11/15/18 144A		60,000		66
Mylan, Inc., 7.625%, 7/15/17 144A		20,000		23
Mylan, Inc., 7.875%, 7/15/20 144A		15,000		18
The Novartis Capital Corp., 2.40%, 9/21/22		60,000		60
Pfizer, Inc., 5.35%, 3/15/15		15,000		17
Roche Holdings, Inc., 6.00%, 3/1/19 144A		25,000		31
Sanofi-Aventis SA, 2.625%, 3/29/16		60,000		63
Teva Pharmaceutical Finance Co. BV, 2.95%, 12/18/22		40,000		41
Teva Pharmaceutical Finance IV LLC, 2.25%, 3/18/20		20,000		20
Thermo Fisher Scientific, Inc., 1.85%, 1/15/18		15,000		15
Thermo Fisher Scientific, Inc., 3.15%, 1/15/23		20,000		20
Watson Pharmaceuticals, Inc., 1.875%, 10/1/17		5,000		5
Watson Pharmaceuticals, Inc., 3.25%, 10/1/22		10,000		10
Watson Pharmaceuticals, Inc., 4.625%, 10/1/42		10,000		10
Wyeth LLC, 5.50%, 2/15/16		5,000		6
Wyeth LLC, 5.95%, 4/1/37		35,000		47
Total				795
Independent Finance (0.1%)
General Electric Capital Corp., 5.625%, 5/1/18		125,000		148
Total				148
Information/Data Technology (0.1%)
Microsoft Corp., 0.875%, 11/15/17		15,000		15
Microsoft Corp., 2.125%, 11/15/22		35,000		35
Oracle Corp., 1.20%, 10/15/17		35,000		35
Oracle Corp., 2.50%, 10/15/22		35,000		35

Investment Grade Segment (5.5%)	Shares/ $ Par		Value $ (000’s)
Information/Data Technology continued
Oracle Corp., 3.875%, 7/15/20		50,000		56
Total				176
Life Insurance (0.1%)
Aetna, Inc., 1.50%, 11/15/17		5,000		5
Aetna, Inc., 2.75%, 11/15/22		15,000		15
American International Group, Inc., 4.875%, 6/1/22		35,000		40
New York Life Global Funding, 2.45%, 7/14/16 144A		80,000		84
Prudential Financial, Inc., 5.375%, 6/21/20		19,000		22
Prudential Financial, Inc., 5.70%, 12/14/36		5,000		6
Teachers Insurance & Annuity Association-College Retirement Equity Fund, 6.85%, 12/16/39 144A		20,000		27
UnitedHealth Group, Inc., 1.40%, 10/15/17		5,000		5
UnitedHealth Group, Inc., 2.75%, 2/15/23		5,000		5
UnitedHealth Group, Inc., 2.875%, 3/15/22		5,000		5
UnitedHealth Group, Inc., 3.95%, 10/15/42		5,000		5
UnitedHealth Group, Inc., 4.70%, 2/15/21		25,000		29
WellPoint, Inc., 1.875%, 1/15/18		15,000		15
WellPoint, Inc., 3.30%, 1/15/23		20,000		21
Total				284
Machinery (0.1%)
John Deere Capital Corp., 0.70%, 9/4/15		40,000		40
John Deere Capital Corp., 1.20%, 10/10/17		25,000		25
John Deere Capital Corp., 2.25%, 4/17/19		30,000		31
John Deere Capital Corp., 2.80%, 1/27/23		40,000		41
Roper Industries, Inc., 1.85%, 11/15/17		30,000		30
Roper Industries, Inc., 3.125%, 11/15/22		40,000		40
Total				207
Metals/Mining (0.2%)
Barrick Gold Corp., 2.90%, 5/30/16		45,000		47
Barrick Gold Corp., 3.85%, 4/1/22		45,000		48
Barrick North America Finance LLC, 6.80%, 9/15/18		25,000		31
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/1/22		40,000		40
Newmont Mining Corp., 3.50%, 3/15/22		60,000		62
Newmont Mining Corp., 6.25%, 10/1/39		10,000		12
Rio Tinto Finance USA PLC, 1.625%, 8/21/17		65,000		66
Rio Tinto Finance USA, Ltd., 4.125%, 5/20/21		50,000		55
Rio Tinto Finance USA, Ltd., 9.00%, 5/1/19		15,000		20
Teck Resources, Ltd., 3.00%, 3/1/19		30,000		31
Teck Resources, Ltd., 5.20%, 3/1/42		45,000		46
Total				458
Natural Gas Distributors (0.0%)
NiSource Finance Corp., 5.80%, 2/1/42		55,000		63
Total				63
Oil & Gas Field Machines and Services (0.0%)
National Oilwell Varco, Inc., 1.35%, 12/1/17		10,000		10
National Oilwell Varco, Inc., 2.60%, 12/1/22		30,000		31
Rowan Cos., Inc., 4.875%, 6/1/22		50,000		54
Total				95
Oil and Gas (0.7%)
Anadarko Petroleum Corp., 6.375%, 9/15/17		80,000		96
Apache Corp., 4.75%, 4/15/43		25,000		27
BP Capital Markets PLC, 1.846%, 5/5/17		45,000		46
BP Capital Markets PLC, 2.50%, 11/6/22		75,000		74
BP Capital Markets PLC, 4.50%, 10/1/20		10,000		12

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

Asset Allocation Portfolio 197

Asset Allocation Portfolio

	Investment Grade Segment (5.5%)	Shares/ $ Par		Value $ (000’s)
	Oil and Gas continued
	BP Capital Markets PLC, 4.75%, 3/10/19		80,000		93
	Canadian Natural Resources, Ltd., 5.70%, 5/15/17		25,000		29
	Canadian Natural Resources, Ltd., 5.85%, 2/1/35		5,000		6
	Canadian Natural Resources, Ltd., 6.45%, 6/30/33		45,000		57
	Cenovus Energy, Inc., 4.45%, 9/15/42		45,000		47
	ConocoPhillips, 6.00%, 1/15/20		85,000		108
	Devon Energy Corp., 1.875%, 5/15/17		25,000		25
	Devon Energy Corp., 3.25%, 5/15/22		35,000		37
	Encana Corp., 3.90%, 11/15/21		30,000		33
	Ensco PLC, 4.70%, 3/15/21		35,000		39
	EOG Resources, Inc., 4.40%, 6/1/20		15,000		17
	Hess Corp., 5.60%, 2/15/41		25,000		30
	Husky Energy, Inc., 3.95%, 4/15/22		55,000		59
	Husky Energy, Inc., 7.25%, 12/15/19		5,000		7
	Marathon Oil Corp., 6.60%, 10/1/37		10,000		13
	Nabors Industries, Inc., 6.15%, 2/15/18		20,000		24
	Noble Energy, Inc., 4.15%, 12/15/21		10,000		11
	Noble Energy, Inc., 6.00%, 3/1/41		15,000		18
	Occidental Petroleum Corp., 4.125%, 6/1/16		20,000		22
	Pemex Project Funding Master Trust, 6.625%, 6/15/35		15,000		19
	Petrohawk Energy Corp., 6.25%, 6/1/19		45,000		51
	Shell International Finance BV, 1.125%, 8/21/17		45,000		45
	Shell International Finance BV, 4.30%, 9/22/19		120,000		139
	Southwestern Energy Co., 4.10%, 3/15/22		30,000		32
	Statoil ASA, 2.45%, 1/17/23		65,000		65
	Suncor Energy, Inc., 6.85%, 6/1/39		15,000		21
	Talisman Energy, Inc., 3.75%, 2/1/21		45,000		48
	Total Capital International SA, 1.50%, 2/17/17		15,000		15
	Total Capital SA, 4.45%, 6/24/20		100,000		116
	Transocean, Inc., 6.375%, 12/15/21		35,000		43
	Weatherford International, Ltd., 5.95%, 4/15/42		70,000		76
	Total				1,600
	Other Finance (0.1%)
	American Express Co., 6.15%, 8/28/17		35,000		42
	American Express Credit Corp., 5.125%, 8/25/14		10,000		11
	Berkshire Hathaway Finance Corp., 3.00%, 5/15/22		45,000		47
	CVS Pass-Through Trust, 6.036%, 12/10/28		37,856		44
	Total				144
	Other Holdings (0.1%)
(f)	Morgan Stanley, 5.40%, 5/15/15 144A		325,416		173
	Total				173
	Other Services (0.1%)
	American Tower Corp., 4.625%, 4/1/15		10,000		11
	American Tower Corp., 7.00%, 10/15/17		15,000		18
	CC Holdings GS V LLC, 3.849%, 4/15/23 144A		35,000		35
	Republic Services, Inc., 5.25%, 11/15/21		25,000		29
	Waste Management, Inc., 2.90%, 9/15/22		30,000		30
	Waste Management, Inc., 4.60%, 3/1/21		30,000		34
	Total				157
	Paper and Forest Products (0.0%)
	Georgia-Pacific LLC, 5.40%, 11/1/20 144A		65,000		77
	Georgia-Pacific LLC, 7.75%, 11/15/29		5,000		7
	Total				84

Investment Grade Segment (5.5%)	Shares/ $ Par		Value $ (000’s)
Property and Casualty Insurance (0.0%)
The Hartford Financial Services Group, Inc., 6.625%, 4/15/42		15,000		19
Total				19
Railroads (0.1%)
Burlington Northern Santa Fe LLC, 3.05%, 3/15/22		75,000		77
Burlington Northern Santa Fe LLC, 3.05%, 9/1/22		25,000		26
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20		25,000		27
Canadian National Railway Co., 5.85%, 11/15/17		5,000		6
CSX Corp., 3.70%, 10/30/20		5,000		5
CSX Corp., 4.25%, 6/1/21		15,000		17
CSX Corp., 5.60%, 5/1/17		30,000		35
Norfolk Southern Corp., 2.903%, 2/15/23 144A		48,000		48
Union Pacific Corp., 4.30%, 6/15/42		45,000		48
Total				289
Real Estate Investment Trusts (0.3%)
AvalonBay Communities, Inc., 2.85%, 3/15/23		20,000		20
AvalonBay Communities, Inc., 2.95%, 9/15/22		15,000		15
AvalonBay Communities, Inc., 3.95%, 1/15/21		75,000		81
Boston Properties LP, 3.85%, 2/1/23		40,000		42
BRE Properties, Inc., 5.20%, 3/15/21		35,000		39
BRE Properties, Inc., 5.50%, 3/15/17		15,000		17
Colonial Realty LP, 6.05%, 9/1/16		20,000		22
DDR Corp., 4.75%, 4/15/18		40,000		44
Essex Portfolio LP, 3.625%, 8/15/22 144A		65,000		65
HCP, Inc., 3.75%, 2/1/16		25,000		26
HCP, Inc., 3.75%, 2/1/19		10,000		11
HCP, Inc., 6.00%, 1/30/17		25,000		29
HCP, Inc., 6.70%, 1/30/18		10,000		12
Health Care REIT, Inc., 3.625%, 3/15/16		15,000		16
Health Care REIT, Inc., 4.125%, 4/1/19		60,000		65
Ventas Realty LP/Ventas Capital Corp., 2.00%, 2/15/18		65,000		65
Ventas Realty LP/Ventas Capital Corp., 4.25%, 3/1/22		15,000		16
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/1/21		35,000		38
WEA Finance LLC, 7.125%, 4/15/18 144A		25,000		31
Total				654
Restaurants (0.1%)
Darden Restaurants, Inc., 3.35%, 11/1/22		10,000		10
Darden Restaurants, Inc., 4.50%, 10/15/21		40,000		43
Darden Restaurants, Inc., 6.20%, 10/15/17		25,000		29
Yum! Brands, Inc., 3.75%, 11/1/21		30,000		32
Yum! Brands, Inc., 3.875%, 11/1/20		25,000		27
Total				141
Retail Food and Drug (0.1%)
CVS Caremark Corp., 6.25%, 6/1/27		40,000		53
Delhaize Group SA, 4.125%, 4/10/19		55,000		57
Delhaize Group SA, 5.70%, 10/1/40		40,000		37
The Kroger Co., 7.50%, 4/1/31		40,000		52
Safeway, Inc., 6.35%, 8/15/17		60,000		68
Total				267
Retail Stores (0.2%)
Costco Wholesale Corp., 1.70%, 12/15/19		90,000		91
The Home Depot, Inc., 5.40%, 3/1/16		50,000		57

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

198 Asset Allocation Portfolio

Asset Allocation Portfolio

Investment Grade Segment (5.5%)	Shares/ $ Par		Value $ (000’s)
Retail Stores continued
Lowe’s Cos., Inc., 3.80%, 11/15/21		10,000		11
Macy’s Retail Holdings, Inc., 5.90%, 12/1/16		13,000		15
Macy’s Retail Holdings, Inc., 7.875%, 7/15/15		21,000		25
Nordstrom, Inc., 6.25%, 1/15/18		15,000		18
Nordstrom, Inc., 7.00%, 1/15/38		15,000		21
Target Corp., 6.50%, 10/15/37		15,000		21
Wal-Mart Stores, Inc., 2.80%, 4/15/16		20,000		21
Wal-Mart Stores, Inc., 3.25%, 10/25/20		35,000		38
Wal-Mart Stores, Inc., 3.625%, 7/8/20		15,000		17
Wal-Mart Stores, Inc., 4.875%, 7/8/40		30,000		35
Total				370
Telecommunications (0.3%)
America Movil SAB de CV, 5.00%, 3/30/20		65,000		76
AT&T Corp., 8.00%, 11/15/31		70,000		106
AT&T, Inc., 2.625%, 12/1/22		75,000		75
AT&T, Inc., 2.95%, 5/15/16		50,000		53
AT&T, Inc., 5.55%, 8/15/41		40,000		48
CenturyLink, Inc., 5.15%, 6/15/17		70,000		75
CenturyLink, Inc., 6.45%, 6/15/21		45,000		50
Qwest Corp., 6.50%, 6/1/17		40,000		47
Telefonica Emisiones SAU, 3.729%, 4/27/15		35,000		36
Verizon Communications, Inc., 5.85%, 9/15/35		30,000		38
Verizon Communications, Inc., 6.25%, 4/1/37		30,000		39
Verizon Communications, Inc., 6.35%, 4/1/19		50,000		63
Total				706
Total Investment Grade Segment
(Cost: $11,928)				12,988
Governments (8.0%)
Governments (8.0%)
Canada Government International Bond, 0.875%, 2/14/17		275,000		277
Overseas Private Investment Corp., 4.10%, 11/15/14		25,200		26
US Department of Housing & Urban Development, 6.08%, 8/1/13		10,000		10
US Treasury, 0.25%, 5/31/14		395,000		395
US Treasury, 0.25%, 6/30/14		470,000		470
US Treasury, 0.25%, 8/31/14		6,120,000		6,122
US Treasury, 0.25%, 9/30/14		430,000		430
US Treasury, 0.50%, 7/31/17		960,000		954
US Treasury, 0.625%, 8/31/17		4,205,000		4,201
US Treasury, 0.75%, 6/30/17		435,000		438
US Treasury, 1.625%, 8/15/22		295,000		293
US Treasury, 1.625%, 11/15/22		85,000		84
US Treasury, 1.75%, 5/15/22		430,000		434
US Treasury, 2.75%, 8/15/42		1,085,000		1,048
US Treasury, 3.00%, 5/15/42		255,000		260
US Treasury, 3.125%, 2/15/42		135,000		141
US Treasury, 4.50%, 2/15/36		465,000		612
US Treasury, 5.375%, 2/15/31		1,780,000		2,541
Total Governments
(Cost: $18,743)				18,736
Municipal Bonds (0.5%)
Municipal Bonds (0.5%)
American Municipal Power, Inc., Series 2010, 5.939%, 2/15/47 RB		88,000		102

Municipal Bonds (0.5%)	Shares/ $ Par		Value $ (000’s)
Municipal Bonds continued
Bay Area Toll Authority San Francisco Bay Area Toll Bridge, Series 2009-F, 6.263%, 4/1/49 RB		5,000		7
Board of Regents of the University of Texas System, Series 2010C, 4.794%, 8/15/46 RB		60,000		71
Board of Regents of the University of Texas System, Series 2009B, 6.276%, 8/15/41 RB		10,000		12
The City of New York, Series C-1, 5.517%, 10/1/37 GO		40,000		49
Connecticut Housing Finance Authority, Series D-2, 5.00%, 11/15/26 RB		45,000		45
Dallas Area Rapid Transit, Series 2010B, 5.022%, 12/1/48 RB		75,000		90
Dallas Independent School District, Series 2010C, 6.45%, 2/15/35 GO, PSF		75,000		94
Dormitory Authority of the State of New York, Series 2010H, 5.389%, 3/15/40 RB		15,000		18
Energy Northwest, Series E, 2.197%, 7/1/19 RB		60,000		62
Los Angeles Unified School District, Series RY, 6.758%, 7/1/34 GO		40,000		53
Metropolitan Transportation Authority, Series 2010C-1, 6.687%, 11/15/40 RB		12,000		16
Metropolitan Transportation Authority, Series 2009C, 7.336%, 11/15/39 RB		35,000		51
Montana Facility Finance Authority, Series 2010A, 4.75%, 5/20/37 RB, GNMA, FHA		110,000		119
New Jersey Turnpike Authority, Series 2009F, 7.414%, 1/1/40 RB		25,000		37
New York City Municipal Water Finance Authority, Series AA, 5.44%, 6/15/43 RB		30,000		38
New York City Municipal Water Finance Authority, Series AA-1, 5.75%, 6/15/41 RB		10,000		13
Port Authority New York & New Jersey, Series 168, 4.926%, 10/1/51 RB		60,000		67
State of California, Series 2010, 5.70%, 11/1/21 GO		80,000		95
State of Illinois, Series 2011, 4.961%, 3/1/16 GO		85,000		93
Texas Transportation Commission, Series 2010A, 4.681%, 4/1/40 GO		23,000		27
University of California Regents Medical Center, Series H, 6.548%, 5/15/48 RB		50,000		67
Total Municipal Bonds
(Cost: $1,047)				1,226
Structured Products (8.8%)
Structured Products (8.8%)
Asset Securitization Corp., Series 1997-D5, Class PS1, 1.253%, 2/14/43 IO		279,444		9
Banc of America Funding Corp., Series 2007-1, Class TA1A, 0.27%, 1/25/37		44,785		24
Banc of America Funding Corp., Series 2007-4, Class TA1A, 0.30%, 5/25/37		52,462		33
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PWR18, Class A2, 5.613%, 6/11/50		56,982		58
Chase Issuance Trust, Series 2012-A5, Class A5, 0.59%, 8/15/17		75,000		75

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

Asset Allocation Portfolio 199

Asset Allocation Portfolio

Structured Products (8.8%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Citigroup Commercial Mortgage Trust, Series 2010-RR3, Class MLSR, 5.737%, 6/14/50 144A		365,000		420
Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35		13,619		14
CNH Equipment Trust, Series 2012-A, Class A4, 1.38%, 2/15/18		170,000		173
Credit Suisse Mortgage Capital Certificates, Series 2009-RR1, Class A3A, 5.383%, 2/15/40 144A		85,000		94
Discover Card Master Trust, Series 2012-A1, Class A1, 0.81%, 8/15/17		350,000		352
FDIC Structured Sale Guaranteed Notes, Series 2010-S2, Class 2A, 2.57%, 7/29/47 144A		200,286		203
Federal Home Loan Mortgage Corp., Series K009, Class X1, 1.506%, 8/25/20 IO		1,024,565		85
Federal Home Loan Mortgage Corp., 3.00%, 11/1/21		69,129		73
Federal Home Loan Mortgage Corp., 3.00%, 11/1/25		134,873		142
Federal Home Loan Mortgage Corp., 3.00%, 11/1/26		193,069		203
Federal Home Loan Mortgage Corp., 3.00%, 11/1/42		92,334		97
Federal Home Loan Mortgage Corp., 3.50%, 2/1/26		209,399		220
Federal Home Loan Mortgage Corp., 3.50%, 7/1/26		270,339		284
Federal Home Loan Mortgage Corp., 3.50%, 8/1/26		9,522		10
Federal Home Loan Mortgage Corp., 3.50%, 4/1/42		99,110		106
Federal Home Loan Mortgage Corp., 3.50%, 6/1/42		75,566		81
Federal Home Loan Mortgage Corp., 3.50%, 7/1/42		237,543		254
Federal Home Loan Mortgage Corp., 3.50%, 9/1/42		840,499		897
Federal Home Loan Mortgage Corp., 4.00%, 10/1/20		32,363		34
Federal Home Loan Mortgage Corp., 4.00%, 8/1/25		49,163		52
Federal Home Loan Mortgage Corp., 4.00%, 5/1/26		38,605		41
Federal Home Loan Mortgage Corp., 4.00%, 6/1/26		61,532		65
Federal Home Loan Mortgage Corp., 4.00%, 9/1/40		133,175		142
Federal Home Loan Mortgage Corp., 4.00%, 1/1/41		355,304		380

Structured Products (8.8%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 4.00%, 2/1/41		723,796		773
Federal Home Loan Mortgage Corp., 4.00%, 4/1/41		899,455		961
Federal Home Loan Mortgage Corp., 4.00%, 5/1/41		7,019		8
Federal Home Loan Mortgage Corp., 4.00%, 8/1/41		33,002		35
Federal Home Loan Mortgage Corp., 4.00%, 9/1/41		73,986		79
Federal Home Loan Mortgage Corp., 4.00%, 10/1/41		28,186		30
Federal Home Loan Mortgage Corp., 4.50%, 5/1/19		53,941		59
Federal Home Loan Mortgage Corp., 4.50%, 7/1/20		92,898		99
Federal Home Loan Mortgage Corp., Series 3065, Class TN, 4.50%, 10/15/33		14,770		15
Federal Home Loan Mortgage Corp., 4.50%, 9/1/39		36,549		39
Federal Home Loan Mortgage Corp., 4.50%, 12/1/39		20,768		22
Federal Home Loan Mortgage Corp., 4.50%, 4/1/40		6,646		7
Federal Home Loan Mortgage Corp., 4.50%, 9/1/40		60,438		65
Federal Home Loan Mortgage Corp., 4.50%, 12/1/40		1,112,651		1,218
Federal Home Loan Mortgage Corp., 4.50%, 1/1/41		577,445		632
Federal Home Loan Mortgage Corp., 4.50%, 2/1/41		11,294		12
Federal Home Loan Mortgage Corp., 4.50%, 4/1/41		45,060		49
Federal Home Loan Mortgage Corp., 4.50%, 5/1/41		212,605		229
Federal Home Loan Mortgage Corp., 4.50%, 6/1/41		70,187		76
Federal Home Loan Mortgage Corp., 4.50%, 7/1/41		753,679		813
Federal Home Loan Mortgage Corp., 4.50%, 8/1/41		14,977		16
Federal Home Loan Mortgage Corp., 5.00%, 11/1/19		64,130		69
Federal Home Loan Mortgage Corp., 5.00%, 2/1/20		15,358		17
Federal Home Loan Mortgage Corp., 5.00%, 5/1/20		59,058		65
Federal Home Loan Mortgage Corp., 5.00%, 11/1/39		57,683		64
Federal Home Loan Mortgage Corp., 5.00%, 4/1/41		178,826		194
Federal Home Loan Mortgage Corp., 5.00%, 5/1/41		348,697		378

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

200 Asset Allocation Portfolio

Asset Allocation Portfolio

Structured Products (8.8%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 5.00%, 3/1/38		449,241		484
Federal Home Loan Mortgage Corp., 5.50%, 9/1/19		14,506		16
Federal Home Loan Mortgage Corp., 5.50%, 11/1/19		49,317		53
Federal Home Loan Mortgage Corp., 5.50%, 12/1/19		9,621		10
Federal Home Loan Mortgage Corp., 5.50%, 3/1/20		72,004		79
Federal Home Loan Mortgage Corp., 5.50%, 4/1/22		117,955		127
Federal Home Loan Mortgage Corp., 5.50%, 6/1/35		43,967		48
Federal Home Loan Mortgage Corp., 5.50%, 10/1/35		90,327		98
Federal Home Loan Mortgage Corp., Series K001, Class A2, 5.651%, 4/25/16		201,004		224
Federal Home Loan Mortgage Corp., Series 2840, Class LK, 6.00%, 11/15/17		18,740		19
Federal Home Loan Mortgage Corp., Series 2439, Class LH, 6.00%, 4/15/32		45,235		51
Federal Home Loan Mortgage Corp., 6.00%, 4/1/37		33,446		36
Federal Home Loan Mortgage Corp., 6.00%, 5/1/37		2,877		3
Federal Home Loan Mortgage Corp., 6.00%, 7/1/37		12,863		14
Federal Home Loan Mortgage Corp., 6.00%, 8/1/37		1,782		2
Federal Home Loan Mortgage Corp., 6.00%, 2/1/38		62,457		68
Federal Home Loan Mortgage Corp., 6.00%, 1/1/39		134,148		146
Federal Home Loan Mortgage Corp. TBA, 3.00%, 1/1/43		380,000		397
Federal National Mortgage Association, 3.50%, 2/1/42		45,805		49
Federal National Mortgage Association, 3.50%, 10/1/42		401,009		429
Federal National Mortgage Association, 4.50%, 6/1/19		145,308		160
Federal National Mortgage Association, 4.50%, 12/1/19		12,059		13
Federal National Mortgage Association, 4.50%, 7/1/20		42,037		46
Federal National Mortgage Association, 4.50%, 9/1/24		20,166		22
Federal National Mortgage Association, 4.50%, 11/1/40		194,936		217
Federal National Mortgage Association, 5.00%, 3/1/20		65,384		72

Structured Products (8.8%)	Shares/ $ Par			Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 5.00%, 5/1/20		103,573			114
Federal National Mortgage Association, 5.00%, 11/1/34		387,343			436
Federal National Mortgage Association, 5.00%, 4/1/35		62,910			71
Federal National Mortgage Association, 5.00%, 7/1/35		190,845			216
Federal National Mortgage Association, 5.00%, 10/1/35		39,116			44
Federal National Mortgage Association, 5.00%, 5/1/38		436,801			473
Federal National Mortgage Association, 5.32%, 4/1/14		99,677			103
Federal National Mortgage Association, Series 2006-M1, Class C, 5.355%, 2/25/16		235,217			243
Federal National Mortgage Association, 5.50%, 4/1/21		43,293			47
Federal National Mortgage Association, 5.50%, 10/1/34		126,603			139
Federal National Mortgage Association, 5.50%, 3/1/35		80,220			91
Federal National Mortgage Association, 5.50%, 9/1/35		421,761			466
Federal National Mortgage Association, 5.50%, 11/1/35		404,954			448
Federal National Mortgage Association, 5.50%, 2/1/37		286,323	��		317
Federal National Mortgage Association, 5.50%, 11/1/37		221,596			245
Federal National Mortgage Association, 5.50%, 4/1/38		499,162			551
Federal National Mortgage Association, 6.00%, 10/1/34		104,444			117
Federal National Mortgage Association, 6.00%, 11/1/34		148,622			165
Federal National Mortgage Association, 6.00%, 5/1/35		3,303			4
Federal National Mortgage Association, 6.00%, 6/1/35		1,068			1
Federal National Mortgage Association, 6.00%, 7/1/35		80,237			88
Federal National Mortgage Association, 6.00%, 10/1/35		39,953			44
Federal National Mortgage Association, 6.00%, 11/1/35		80,073			89
Federal National Mortgage Association, 6.00%, 9/1/36		32,061			36
Federal National Mortgage Association, Series 2002-W4, Class A4, 6.25%, 5/25/42		208,713			237
Federal National Mortgage Association TBA, 2.50%, 1/1/28		355,000			371

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

Asset Allocation Portfolio 201

Asset Allocation Portfolio

Structured Products (8.8%)	Shares/ $ Par		Value $ (000’s)
Structured Products continued
Federal National Mortgage Association TBA, 3.50%, 1/1/43		15,000		16
Ford Credit Auto Owner Trust, Series 2012-A, Class A4, 1.15%, 6/15/17		65,000		66
Ford Credit Auto Owner Trust, Series 2009-E, Class D, 5.53%, 5/15/16 144A		312,630		327
Ford Credit Auto Owner Trust, Series 2009-D, Class D, 8.14%, 2/15/16 144A		300,000		318
Golden Credit Card Trust, Series 2012-2A, Class A1, 1.77%, 1/15/19 144A		225,000		232
Goldman Sachs Mortgage Securities Corp. II, Series 2009-RR, Class CSA, 5.286%, 12/17/39 144A		40,000		45
Goldman Sachs Mortgage Securities Corp. II, Series 2009-RR1, Class GGA, 5.842%, 7/12/38 144A		30,000		35
Honda Auto Receivables Owner Trust, Series 2012-2, Class A4, 0.91%, 5/15/18		40,000		40
Louisiana Public Facilities Authority, Series 2008, Class A3, 6.55%, 8/1/20		150,000		185
MASTR Asset Securitization Trust, Series 2003-10, Class 1A1, 5.25%, 11/25/23		18,050		19
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1, 5.25%, 12/25/24		14,495		15
Merrill Lynch Alternative Note Asset Trust, Series 2007-A1, Class A2A, 0.28%, 1/25/37		111,067		43
Morgan Stanley Reremic Trust, Series 2009-GG10, Class A4A, 5.789%, 8/12/45 144A		300,000		350
Oncor Electric Delivery Transition Bond Co., Series 2004-1, Class A3, 5.29%, 5/15/18		106,553		116
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1, 4.50%, 10/25/18		7,110		7
Sequoia Mortgage Trust, Series 2011-2, Class A1, 3.90%, 9/25/41		105,185		108
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4, 3.091%, 8/10/49		65,000		68
Washington Mutual Alternative Mortgage Pass-Through Certficates, Series 2006-6, Class 4A, 6.873%, 11/25/34		32,141		32
Wells Fargo Mortgage Backed Securities Trust, Series 2003-12, Class A1, 4.75%, 11/25/18		2,737		3
Wells Fargo Mortgage Backed Securities Trust, Series 2005-1, Class 2A1, 5.00%, 1/25/20		15,437		16
Total Structured Products
(Cost: $19,684)				20,725

	Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
	Aerospace/Defense (0.1%)
	B/E Aerospace, Inc., 5.25%, 4/1/22		35,000		37
	Bombardier, Inc., 5.75%, 3/15/22 144A		20,000		21
	Bombardier, Inc., 7.75%, 3/15/20 144A		35,000		40
	Huntington Ingalls Industries, Inc., 6.875%, 3/15/18		65,000		71
	Huntington Ingalls Industries, Inc., 7.125%, 3/15/21		40,000		43
	TransDigm, Inc., 5.50%, 10/15/20 144A		35,000		36
	Triumph Group, Inc., 8.625%, 7/15/18		40,000		44
	Total				292
	Autos/Vehicle Parts (0.2%)
	American Axle & Manufacturing Holdings, Inc., 6.625%, 10/15/22		15,000		15
	American Axle & Manufacturing Holdings, Inc., 7.875%, 3/1/17		45,000		47
	American Axle & Manufacturing Holdings, Inc., 9.25%, 1/15/17 144A		16,000		18
	Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19		30,000		33
	Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21		40,000		44
	Cooper-Standard Automotive, Inc., 8.50%, 5/1/18		40,000		43
	Exide Technologies, 8.625%, 2/1/18		50,000		42
	General Motors Financial Co., Inc., 4.75%, 8/15/17 144A		50,000		53
	The Goodyear Tire & Rubber Co., 8.25%, 8/15/20		50,000		55
	Navistar International Corp., 8.25%, 11/1/21		55,000		53
	Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625%, 9/1/17 144A		36,000		39
	Visteon Corp., 6.75%, 4/15/19		32,000		34
	Total				476
	Basic Materials (1.1%)
	AK Steel Corp., 7.625%, 5/15/20		20,000		17
	AK Steel Corp., 8.375%, 4/1/22		50,000		43
	AK Steel Corp., 8.75%, 12/1/18 144A		45,000		48
	Aleris International, Inc., 7.625%, 2/15/18		35,000		36
	Aleris International, Inc., 7.875%, 11/1/20 144A		30,000		30
	Alpha Natural Resources, Inc., 6.00%, 6/1/19		65,000		60
	Alpha Natural Resources, Inc., 9.75%, 4/15/18		40,000		43
	ArcelorMittal, 5.75%, 8/5/20		40,000		40
	ArcelorMittal, 6.125%, 6/1/18		95,000		96
	ArcelorMittal, 6.75%, 2/25/22		55,000		58
	Arch Coal, Inc., 8.75%, 8/1/16		10,000		10
	Arch Coal, Inc., 9.875%, 6/15/19 144A		35,000		36
	Ardagh Packaging Finance PLC, 7.375%, 10/15/17 144A		30,000		33
	Ardagh Packaging Finance PLC, 9.125%, 10/15/20 144A		30,000		33
	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 9.125%, 10/15/20 144A		20,000		22
	Berry Plastics Corp., 8.25%, 11/15/15		20,000		21
(c)	BOE Merger Corp., 9.50%, 11/1/17 144A		20,000		20
	Cascades, Inc., 7.875%, 1/15/20		20,000		21
(c)	Catalyst Paper Corp., 11.00%, 10/30/17		16,224		12
	Celanese US Holdings LLC, 4.625%, 11/15/22		90,000		94
	Chemtura Corp., 7.875%, 9/1/18		15,000		16

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

202 Asset Allocation Portfolio

Asset Allocation Portfolio

	Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
	Basic Materials continued
	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.25%, 12/15/17		45,000		48
	CONSOL Energy, Inc., 8.00%, 4/1/17		40,000		43
	CONSOL Energy, Inc., 8.25%, 4/1/20		100,000		108
	Essar Steel Algoma, Inc., 9.375%, 3/15/15 144A		65,000		59
	FMG Resources (August 2006) Pty, Ltd., 6.00%, 4/1/17 144A		35,000		36
	FMG Resources (August 2006) Pty, Ltd., 6.875%, 2/1/18 144A		25,000		26
	FMG Resources (August 2006) Pty, Ltd., 6.875%, 4/1/22 144A		45,000		46
	FMG Resources (August 2006) Pty, Ltd., 7.00%, 11/1/15 144A		15,000		16
	FMG Resources (August 2006) Pty, Ltd., 8.25%, 11/1/19 144A		55,000		59
	GrafTech International, Ltd., 6.375%, 11/15/20 144A		15,000		16
	Hexion US Finance Corp., 6.625%, 4/15/20		20,000		20
	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18		60,000		62
	HudBay Minerals, Inc., 9.50%, 10/1/20 144A		20,000		21
	Huntsman International LLC, 4.875%, 11/15/20 144A		65,000		66
	Ineos Finance PLC, 7.50%, 5/1/20 144A		25,000		26
	Ineos Finance PLC, 8.375%, 2/15/19 144A		65,000		70
	Inmet Mining Corp., 7.50%, 6/1/21 144A		10,000		10
	Molycorp, Inc., 10.00%, 6/1/20 144A		65,000		61
	New Gold, Inc., 6.25%, 11/15/22 144A		15,000		16
(d)	Patriot Coal Corp., 8.25%, 4/30/18		25,000		13
	Peabody Energy Corp., 4.75%, 12/15/41		105,000		100
	Peabody Energy Corp., 6.00%, 11/15/18		50,000		53
	Peabody Energy Corp., 6.25%, 11/15/21		65,000		69
	Peabody Energy Corp., 6.50%, 9/15/20		45,000		48
	Quadra FNX Mining, Ltd., 7.75%, 6/15/19 144A		40,000		42
	Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 144A		15,000		15
	Resolute Forest Products, 10.25%, 10/15/18		18,000		21
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 5.75%, 10/15/20 144A		65,000		67
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 6.875%, 2/15/21		55,000		59
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 7.125%, 4/15/19		30,000		32
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 8.25%, 2/15/21		25,000		25
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.00%, 4/15/19		55,000		57
	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.875%, 8/15/19		70,000		75
	Rockwood Specialties Group, Inc., 4.625%, 10/15/20		25,000		26
	Sawgrass Merger Sub, Inc., 8.75%, 12/15/20 144A		15,000		15
	Sealed Air Corp., 6.50%, 12/1/20 144A		15,000		16
	Sealed Air Corp., 8.125%, 9/15/19 144A		20,000		23

Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
Basic Materials continued
Sealed Air Corp., 8.375%, 9/15/21 144A		40,000		46
Severstal Columbus LLC, 10.25%, 2/15/18		65,000		68
Steel Dynamics, Inc., 6.125%, 8/15/19 144A		20,000		21
Steel Dynamics, Inc., 6.375%, 8/15/22 144A		20,000		21
Thompson Creek Metals Co., Inc., 7.375%, 6/1/18		15,000		12
United States Steel Corp., 7.375%, 4/1/20		30,000		32
Verso Paper Holdings LLC/Verso Paper, Inc., 8.75%, 2/1/19		30,000		11
Total				2,565
Builders/Building Materials (0.1%)
KB Home, 7.25%, 6/15/18		40,000		44
KB Home, 9.10%, 9/15/17		20,000		23
USG Corp., 7.875%, 3/30/20 144A		35,000		39
Vulcan Materials Co., 6.40%, 11/30/17		45,000		49
Total				155
Capital Goods (0.1%)
Case New Holland, Inc., 7.875%, 12/1/17		20,000		24
CNH Capital LLC, 3.875%, 11/1/15 144A		15,000		15
CNH Capital LLC, 6.25%, 11/1/16		20,000		22
JMC Steel Group, 8.25%, 3/15/18 144A		25,000		26
The Manitowoc Co., Inc., 5.875%, 10/15/22		15,000		15
SPX Corp., 6.875%, 9/1/17		45,000		50
Terex Corp., 6.00%, 5/15/21		30,000		32
United Rentals North America, Inc., 5.75%, 7/15/18 144A		15,000		16
United Rentals North America, Inc., 6.125%, 6/15/23		15,000		16
United Rentals North America, Inc., 7.375%, 5/15/20 144A		20,000		22
Total				238
Consumer Products/Retailing (0.3%)
AMC Networks, Inc., 4.75%, 12/15/22		30,000		30
AutoNation, Inc., 5.50%, 2/1/20		25,000		27
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 144A		20,000		21
Hanesbrands, Inc., 6.375%, 12/15/20		60,000		66
Levi Strauss & Co., 6.875%, 5/1/22		35,000		38
Levi Strauss & Co., 7.625%, 5/15/20		30,000		33
Limited Brands, Inc., 5.625%, 2/15/22		95,000		103
Limited Brands, Inc., 8.50%, 6/15/19		15,000		18
PVH Corp., 4.50%, 12/15/22		15,000		15
Revlon Consumer Products Corp., 9.75%, 11/15/15		50,000		53
Rite Aid Corp., 7.50%, 3/1/17		31,000		32
Rite Aid Corp., 10.375%, 7/15/16		35,000		37
Sally Holdings LLC/Sally Capital, Inc., 6.875%, 11/15/19		20,000		22
Spectrum Brands Escrow Corp., 6.375%, 11/15/20 144A		5,000		5
Spectrum Brands Escrow Corp., 6.625%, 11/15/22 144A		5,000		5
Spectrum Brands, Inc., 9.50%, 6/15/18		30,000		34
SUPERVALU, Inc., 7.50%, 11/15/14		30,000		29
SUPERVALU, Inc., 8.00%, 5/1/16		50,000		48
Toys R US Property Co. I LLC, 10.75%, 7/15/17		30,000		32
Toys R US Property Co. II LLC, 8.50%, 12/1/17		20,000		21
Toys R US, Inc., 7.375%, 9/1/16 144A		20,000		20
Total				689

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

Asset Allocation Portfolio 203

Asset Allocation Portfolio

Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
Energy (1.9%)
Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 5/15/23		85,000		86
Access Midstream Partners LP/ACMP Finance Corp., 6.125%, 7/15/22		30,000		32
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75%, 5/20/20		15,000		16
AmeriGas Partners LP/AmeriGas Finance Corp., 6.25%, 8/20/19		55,000		59
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 6.625%, 10/1/20 144A		35,000		37
Atwood Oceanics, Inc., 6.50%, 2/1/20		15,000		16
Bill Barrett Corp., 7.00%, 10/15/22		25,000		26
Bill Barrett Corp., 7.625%, 10/1/19		45,000		47
Bristow Group, Inc., 6.25%, 10/15/22		15,000		16
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20		20,000		21
Carrizo Oil & Gas, Inc., 8.625%, 10/15/18		50,000		54
Chaparral Energy, Inc., 8.25%, 9/1/21		40,000		43
Chesapeake Energy Corp., 2.50%, 5/15/37		100,000		90
Chesapeake Energy Corp., 6.125%, 2/15/21		75,000		78
Chesapeake Energy Corp., 6.875%, 11/15/20		55,000		60
Chesapeake Energy Corp., 9.50%, 2/15/15		45,000		51
Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 144A		40,000		38
Cimarex Energy Co., 5.875%, 5/1/22		55,000		60
CITGO Petroleum Corp., 11.50%, 7/1/17 144A		40,000		46
Compagnie Generale de Geophysique-Veritas, 9.50%, 5/15/16		60,000		64
Comstock Resources, Inc., 7.75%, 4/1/19		30,000		30
Comstock Resources, Inc., 9.50%, 6/15/20		55,000		59
Concho Resources, Inc., 5.50%, 4/1/23		30,000		31
Continental Resources, Inc., 5.00%, 9/15/22		105,000		113
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.875%, 2/15/18		50,000		54
Denbury Resources, Inc., 8.25%, 2/15/20		30,000		34
Drill Rigs Holdings, Inc., 6.50%, 10/1/17 144A		50,000		50
El Paso LLC, 7.00%, 6/15/17		25,000		29
El Paso LLC, 7.25%, 6/1/18		70,000		81
El Paso LLC, 7.75%, 1/15/32		40,000		47
El Paso Pipeline Partners Operating Co. LLC, 4.70%, 11/1/42		20,000		20
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/1/21		70,000		79
Energy Transfer Equity LP, 7.50%, 10/15/20		85,000		98
EP Energy LLC/EP Energy Finance, Inc., 9.375%, 5/1/20		35,000		39
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75%, 9/1/22		15,000		16
Exterran Holdings, Inc., 7.25%, 12/1/18		60,000		64
Forest Oil Corp., 7.25%, 6/15/19		55,000		55
Forest Oil Corp., 7.50%, 9/15/20 144A		30,000		31
Hiland Partners LP/Hiland Partners Finance Corp., 7.25%, 10/1/20 144A		15,000		16
Hilcorp Energy I LP/Hilcorp Finance Co., 7.625%, 4/15/21 144A		20,000		22
Hilcorp Energy I LP/Hilcorp Finance Co., 8.00%, 2/15/20 144A		35,000		38
Hornbeck Offshore Services, Inc., 5.875%, 4/1/20		20,000		21
Inergy Midstream LP/NRGM Finance Corp., 6.00%, 12/15/20 144A		20,000		21
Key Energy Services, Inc., 6.75%, 3/1/21		40,000		40

Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 144A		60,000		66
Kodiak Oil & Gas Corp., 8.125%, 12/1/19		55,000		61
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/1/19 144A		65,000		65
Linn Energy LLC/Linn Energy Finance Corp., 6.50%, 5/15/19		90,000		91
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/1/21		35,000		37
Magnum Hunter Resources Corp., 9.75%, 5/15/20 144A		70,000		73
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 5.50%, 2/15/23		50,000		54
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22		50,000		54
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.75%, 11/1/20		20,000		22
MEG Energy Corp., 6.375%, 1/30/23 144A		45,000		47
Newfield Exploration Co., 5.625%, 7/1/24		20,000		22
Newfield Exploration Co., 6.875%, 2/1/20		60,000		64
Newfield Exploration Co., 7.125%, 5/15/18		65,000		69
NGPL PipeCo LLC, 9.625%, 6/1/19 144A		15,000		17
Northern Tier Energy LLC/Northern Tier Finance Corp., 7.125%, 11/15/20 144A		20,000		21
Oasis Petroleum, Inc., 6.50%, 11/1/21		75,000		80
Offshore Group Investment, Ltd., 7.50%, 11/1/19 144A		70,000		71
Offshore Group Investment, Ltd., 11.50%, 8/1/15		34,000		37
OGX Austria GmbH, 8.50%, 6/1/18 144A		55,000		49
Oil States International, Inc., 5.125%, 1/15/23 144A		45,000		46
Oil States International, Inc., 6.50%, 6/1/19		25,000		27
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 144A		35,000		38
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.375%, 6/1/20 144A		50,000		54
Petroleum Geo-Services ASA, 7.375%, 12/15/18 144A		40,000		43
Plains Exploration & Production Co., 6.125%, 6/15/19		20,000		22
Plains Exploration & Production Co., 6.625%, 5/1/21		40,000		44
Plains Exploration & Production Co., 6.75%, 2/1/22		25,000		28
Plains Exploration & Production Co., 8.625%, 10/15/19		55,000		63
QEP Resources, Inc., 5.25%, 5/1/23		30,000		32
QEP Resources, Inc., 5.375%, 10/1/22		25,000		27
QEP Resources, Inc., 6.875%, 3/1/21		30,000		35
Range Resources Corp., 5.00%, 8/15/22		35,000		37
Range Resources Corp., 5.75%, 6/1/21		35,000		37
Regency Energy Partners LP/Regency Energy Finance Corp., 5.50%, 4/15/23		20,000		21
Rosetta Resources, Inc., 9.50%, 4/15/18		45,000		50
Samson Investment Co., 9.75%, 2/15/20 144A		85,000		90
SandRidge Energy, Inc., 7.50%, 3/15/21		65,000		70
SandRidge Energy, Inc., 7.50%, 2/15/23		30,000		32
SandRidge Energy, Inc., 8.00%, 6/1/18 144A		35,000		37
SandRidge Energy, Inc., 9.875%, 5/15/16		30,000		32
SESI LLC, 6.375%, 5/1/19		45,000		48
SM Energy Co., 6.50%, 11/15/21		20,000		21
SM Energy Co., 6.50%, 1/1/23		20,000		21

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

204 Asset Allocation Portfolio

Asset Allocation Portfolio

	Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
	Energy continued
	SM Energy Co., 6.625%, 2/15/19		35,000		37
	Swift Energy Co., 7.875%, 3/1/22 144A		15,000		16
	Swift Energy Co., 8.875%, 1/15/20		25,000		27
	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.25%, 5/1/23 144A		35,000		36
	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/1/22 144A		25,000		27
	Tesoro Corp., 4.25%, 10/1/17		20,000		21
	Tesoro Corp., 5.375%, 10/1/22		20,000		21
	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875%, 10/1/20 144A		20,000		21
	Trinidad Drilling, Ltd., 7.875%, 1/15/19 144A		40,000		42
	Unit Corp., 6.625%, 5/15/21 144A		35,000		36
	Venoco, Inc., 8.875%, 2/15/19		25,000		23
	W&T Offshore, Inc., 8.50%, 6/15/19 144A		35,000		38
	W&T Offshore, Inc., 8.50%, 6/15/19		40,000		43
	WPX Energy, Inc., 5.25%, 1/15/17		65,000		69
	WPX Energy, Inc., 6.00%, 1/15/22		45,000		48
	Total				4,488
	Financials (0.8%)
	AerCap Aviation Solutions BV, 6.375%, 5/30/17		40,000		42
	Air Lease Corp., 5.625%, 4/1/17		45,000		48
	Aircastle, Ltd., 6.25%, 12/1/19 144A		20,000		21
	Aircastle, Ltd., 6.75%, 4/15/17		25,000		27
	Aircastle, Ltd., 7.625%, 4/15/20		15,000		17
	Ally Financial, Inc., 4.625%, 6/26/15		25,000		26
	Ally Financial, Inc., 5.50%, 2/15/17		45,000		48
	Ally Financial, Inc., 7.50%, 9/15/20		90,000		109
	Ally Financial, Inc., 8.00%, 3/15/20		45,000		55
	AWAS Aviation Capital, Ltd., 7.00%, 10/17/16 144A		16,160		17
	CIT Group, Inc., 4.25%, 8/15/17		60,000		62
	CIT Group, Inc., 4.75%, 2/15/15 144A		65,000		67
	CIT Group, Inc., 5.00%, 5/15/17		35,000		37
	CIT Group, Inc., 5.00%, 8/15/22		45,000		48
	CIT Group, Inc., 5.25%, 3/15/18		10,000		11
	CIT Group, Inc., 5.375%, 5/15/20		45,000		49
	CIT Group, Inc., 5.50%, 2/15/19 144A		30,000		33
	E*TRADE Financial Corp., 6.00%, 11/15/17		55,000		56
	E*TRADE Financial Corp., 6.375%, 11/15/19		30,000		31
	E*TRADE Financial Corp., 6.75%, 6/1/16		50,000		53
	Eksportfinans ASA, 2.00%, 9/15/15		250,000		239
	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 7.75%, 1/15/16		55,000		57
	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18		25,000		27
(c)	Igloo Holdings Corp., 8.25%, 12/15/17 144A		20,000		20
	International Lease Finance Corp., 5.75%, 5/15/16		55,000		58
	International Lease Finance Corp., 6.25%, 5/15/19		40,000		42
	International Lease Finance Corp., 7.125%, 9/1/18 144A		40,000		46
	International Lease Finance Corp., 8.625%, 9/15/15		15,000		17
	International Lease Finance Corp., 8.75%, 3/15/17		55,000		63
	International Lease Finance Corp., 8.875%, 9/1/17		40,000		47
	JPMorgan Chase & Co., 7.90%, 4/29/49		35,000		40
(d)	Lehman Brothers Holdings, Inc., 5.50%, 4/4/16		35,000		8
(d)	Lehman Brothers Holdings, Inc., 6.875%, 5/2/18		25,000		6
	Regions Financial Corp., 7.75%, 11/10/14		15,000		17

	Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
	Financials continued
	SLM Corp., 6.00%, 1/25/17		55,000		59
	SLM Corp., 8.00%, 3/25/20		105,000		120
	SLM Corp., 8.45%, 6/15/18		25,000		29
	Total				1,752
	Foods (0.2%)
(c)	Alphabet Holding Co., Inc., 7.75%, 11/1/17 144A		15,000		15
	Bumble Bee Acquisition Corp., 9.00%, 12/15/17 144A		23,000		25
	Constellation Brands, Inc., 6.00%, 5/1/22		10,000		12
	Cott Beverages, Inc., 8.125%, 9/1/18		20,000		22
	Cott Beverages, Inc., 8.375%, 11/15/17		20,000		22
	Dean Foods Co., 7.00%, 6/1/16		45,000		49
	Dean Foods Co., 9.75%, 12/15/18		50,000		58
	Dole Food Co., Inc., 8.00%, 10/1/16 144A		25,000		26
	Dole Food Co., Inc., 13.875%, 3/15/14		30,000		33
	JBS Finance II, Ltd., 8.25%, 1/29/18 144A		40,000		42
	JBS USA LLC/JBS USA Finance, Inc., 7.25%, 6/1/21 144A		35,000		35
	Land O’ Lakes, Inc., 6.00%, 11/15/22 144A		45,000		49
	Post Holdings, Inc., 7.375%, 2/15/22 144A		5,000		6
	Smithfield Foods, Inc., 6.625%, 8/15/22		40,000		44
	TreeHouse Foods, Inc., 7.75%, 3/1/18		25,000		27
	Total				465
	Gaming/Leisure/Lodging (0.4%)
	AMC Entertainment, Inc., 8.75%, 6/1/19		55,000		61
	Caesars Entertainment Operating Co., Inc., 8.50%, 2/15/20		60,000		59
	Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18		78,000		52
	Caesars Entertainment Operating Co., Inc., 11.25%, 6/1/17		55,000		59
	Caesars Entertainment Operating Co., Inc., 12.75%, 4/15/18		40,000		29
	Chester Downs & Marina LLC, 9.25%, 2/1/20 144A		40,000		39
	Cinemark USA, Inc., 5.125%, 12/15/22 144A		10,000		10
	The Geo Group, Inc., 6.625%, 2/15/21		35,000		39
	MGM Resorts International, 6.75%, 10/1/20 144A		30,000		31
	MGM Resorts International, 7.625%, 1/15/17		70,000		75
	MGM Resorts International, 7.75%, 3/15/22		30,000		32
	MGM Resorts International, 8.625%, 2/1/19 144A		50,000		56
	Penn National Gaming, Inc., 8.75%, 8/15/19		40,000		46
	Regal Entertainment Group, 9.125%, 8/15/18		40,000		45
	Royal Caribbean Cruises, Ltd., 5.25%, 11/15/22		20,000		21
	Scientific Games International, Inc., 6.25%, 9/1/20 144A		45,000		46
	Scientific Games International, Inc., 9.25%, 6/15/19		25,000		28
	Seminole Indian Tribe of Florida, 7.75%, 10/1/17 144A		55,000		59
	Speedway Motorsports, Inc., 6.75%, 2/1/19		30,000		32
	Speedway Motorsports, Inc., 8.75%, 6/1/16		50,000		53
	Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.875%, 5/1/20		35,000		40
	Total				912
	Health Care/Pharmaceuticals (0.7%)
	Biomet, Inc., 6.50%, 8/1/20 144A		40,000		43
	Biomet, Inc., 6.50%, 10/1/20 144A		25,000		25

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

Asset Allocation Portfolio 205

Asset Allocation Portfolio

Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
Health Care/Pharmaceuticals continued
Centene Corp., 5.75%, 6/1/17		75,000		81
CHS/Community Health Systems, Inc., 5.125%, 8/15/18		30,000		31
CHS/Community Health Systems, Inc., 7.125%, 7/15/20		45,000		48
CHS/Community Health Systems, Inc., 8.00%, 11/15/19		55,000		60
Elan Finance PLC/Elan Finance Corp., 6.25%, 10/15/19 144A		65,000		68
Endo Health Solutions, Inc., 7.00%, 7/15/19		15,000		16
Endo Health Solutions, Inc., 7.25%, 1/15/22		30,000		32
Fresenius Medical Care US Finance II, Inc., 5.625%, 7/31/19 144A		85,000		91
Fresenius Medical Care US Finance II, Inc., 5.875%, 1/31/22 144A		55,000		60
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 144A		10,000		11
HCA Holdings, Inc., 6.25%, 2/15/21		20,000		20
HCA Holdings, Inc., 7.75%, 5/15/21		35,000		38
HCA, Inc., 5.875%, 3/15/22		25,000		27
HCA, Inc., 6.50%, 2/15/20		80,000		90
HCA, Inc., 7.25%, 9/15/20		85,000		94
HCA, Inc., 7.875%, 2/15/20		25,000		28
HCA, Inc., 8.00%, 10/1/18		30,000		35
HCA, Inc., 8.50%, 4/15/19		50,000		56
HCA, Inc., 9.875%, 2/15/17		7,000		7
Health Management Associates, Inc., 6.125%, 4/15/16		45,000		49
Health Management Associates, Inc., 7.375%, 1/15/20		25,000		27
Hologic, Inc., 6.25%, 8/1/20 144A		10,000		11
MPT Operating Partnership LP/MPT Finance Corp., 6.375%, 2/15/22		40,000		42
MPT Operating Partnership LP/MPT Finance Corp., 6.875%, 5/1/21		40,000		43
Prospect Medical Holdings, Inc., 8.375%, 5/1/19 144A		55,000		58
Service Corp. International, 4.50%, 11/15/20		15,000		15
Service Corp. International, 7.00%, 5/15/19		30,000		33
Service Corp. International, 8.00%, 11/15/21		15,000		18
Tenet Healthcare Corp., 6.25%, 11/1/18		40,000		44
Tenet Healthcare Corp., 8.875%, 7/1/19		35,000		39
Valeant Pharmaceuticals International, 6.50%, 7/15/16 144A		70,000		74
Valeant Pharmaceuticals International, 6.75%, 10/1/17 144A		55,000		59
Valeant Pharmaceuticals International, 6.875%, 12/1/18 144A		65,000		70
Vanguard Health Systems, Inc., 0.00%, 2/1/16		1,000		1
VPI Escrow Corp., 6.375%, 10/15/20 144A		40,000		43
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18		50,000		53
Total				1,640
Media (0.9%)
Cablevision Systems Corp., 7.75%, 4/15/18		45,000		50
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/23		75,000		75
CCO Holdings LLC/CCO Holdings Capital Corp., 6.50%, 4/30/21		10,000		11
CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, 1/15/19		55,000		59
CCO Holdings LLC/CCO Holdings Capital Corp., 7.25%, 10/30/17		55,000		60

	Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
	Media continued
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/1/20		20,000		22
	CCO Holdings LLC/CCO Holdings Capital Corp., 7.875%, 4/30/18		20,000		22
	Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.375%, 9/15/20 144A		55,000		57
	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20		25,000		25
	CSC Holdings LLC, 7.625%, 7/15/18		40,000		46
	CSC Holdings LLC, 7.875%, 2/15/18		22,000		26
	CSC Holdings LLC, 8.625%, 2/15/19		25,000		30
(c)	Dex One Corp., 14.00%, 1/29/17		59,010		20
	DISH DBS Corp., 5.00%, 3/15/23 144A		175,000		175
	DISH DBS Corp., 5.875%, 7/15/22		40,000		43
	DISH DBS Corp., 6.75%, 6/1/21		80,000		91
	DISH DBS Corp., 7.125%, 2/1/16		85,000		95
	DISH DBS Corp., 7.875%, 9/1/19		50,000		59
	Hughes Satellite Systems Corp., 6.50%, 6/15/19		40,000		44
	Hughes Satellite Systems Corp., 7.625%, 6/15/21		25,000		28
	Inmarsat Finance PLC, 7.375%, 12/1/17 144A		15,000		16
	Intelsat Jackson Holdings SA, 7.25%, 4/1/19		50,000		54
	Intelsat Jackson Holdings SA, 7.25%, 10/15/20		50,000		54
	Intelsat Jackson Holdings SA, 8.50%, 11/1/19		75,000		84
(c)	Intelsat Luxembourg SA, 11.50%, 2/4/17		90,000		96
	Lamar Media Corp., 5.00%, 5/1/23 144A		50,000		51
	LIN Television Corp., 6.375%, 1/15/21 144A		30,000		32
	Mediacom LLC/Mediacom Capital Corp., 9.125%, 8/15/19		50,000		55
	Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18		45,000		50
	QVC, Inc., 5.125%, 7/2/22 144A		15,000		16
	QVC, Inc., 7.375%, 10/15/20 144A		30,000		33
	QVC, Inc., 7.50%, 10/1/19 144A		55,000		61
	Sinclair Television Group, Inc., 6.125%, 10/1/22 144A		10,000		11
	Sirius XM Radio, Inc., 5.25%, 8/15/22 144A		15,000		15
	Starz LLC/Starz Finance Corp., 5.00%, 9/15/19 144A		15,000		15
	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 144A		55,000		57
	Univision Communications, Inc., 6.75%, 9/15/22 144A		35,000		36
	Univision Communications, Inc., 7.875%, 11/1/20 144A		20,000		22
	UPCB Finance V, Ltd., 7.25%, 11/15/21 144A		55,000		61
	Videotron Ltee, 5.00%, 7/15/22		80,000		84
	Virgin Media Finance PLC, 8.375%, 10/15/19		17,000		19
	WMG Acquisition Corp., 6.00%, 1/15/21 144A		10,000		11
	WMG Acquisition Corp., 11.50%, 10/1/18		50,000		58
	XM Satellite Radio, Inc., 7.625%, 11/1/18 144A		55,000		61
	Total				2,090
	Other Holdings (0.0%)
(n)*	General Motors Co. Escrow, 7.20%, 1/15/13		30,000		-
(n)*	General Motors Co. Escrow, 8.375%, 7/15/33		260,000		-
	Total				-
	Real Estate (0.0%)
	DuPont Fabros Technology LP, 8.50%, 12/15/17		40,000		44
	Total				44

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

206 Asset Allocation Portfolio

Asset Allocation Portfolio

	Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
	Services (0.1%)
(c)	ARAMARK Holdings Corp., 8.625%, 5/1/16 144A		15,000		15
	Clean Harbors, Inc., 5.125%, 6/1/21 144A		15,000		15
	Clean Harbors, Inc., 5.25%, 8/1/20		30,000		31
	FTI Consulting, Inc., 6.00%, 11/15/22 144A		20,000		21
	HDTFS, Inc., 5.875%, 10/15/20 144A		15,000		16
	HDTFS, Inc., 6.25%, 10/15/22 144A		10,000		11
	Mobile Mini, Inc., 7.875%, 12/1/20		65,000		71
	Trans Union LLC/TransUnion Financing Corp., 11.375%, 6/15/18		40,000		47
	Total				227
	Technology (0.4%)
	Amkor Technology, Inc., 6.375%, 10/1/22 144A		25,000		25
	Amkor Technology, Inc., 6.625%, 6/1/21		25,000		25
	Equinix, Inc., 7.00%, 7/15/21		25,000		28
	Equinix, Inc., 8.125%, 3/1/18		35,000		39
	Fidelity National Information Services, Inc., 5.00%, 3/15/22		65,000		70
	First Data Corp., 6.75%, 11/1/20 144A		70,000		71
	First Data Corp., 7.375%, 6/15/19 144A		50,000		52
	First Data Corp., 8.25%, 1/15/21 144A		25,000		25
	First Data Corp., 9.875%, 9/24/15		65,000		66
(c)	First Data Corp., 10.55%, 9/24/15		38,382		39
	Freescale Semiconductor, Inc., 9.25%, 4/15/18 144A		30,000		33
	Freescale Semiconductor, Inc., 10.125%, 3/15/18 144A		71,000		78
	Iron Mountain, Inc., 7.75%, 10/1/19		45,000		51
	Iron Mountain, Inc., 8.375%, 8/15/21		10,000		11
	Jabil Circuit, Inc., 4.70%, 9/15/22		40,000		42
	MEMC Electronic Materials, Inc., 7.75%, 4/1/19		25,000		21
	NCR Corp., 4.625%, 2/15/21 144A		55,000		55
	NCR Corp., 5.00%, 7/15/22 144A		10,000		10
	Nuance Communications, Inc., 5.375%, 8/15/20 144A		45,000		47
	Seagate HDD Cayman, 7.75%, 12/15/18		45,000		49
	SunGard Data Systems, Inc., 7.375%, 11/15/18		55,000		59
	SunGard Data Systems, Inc., 7.625%, 11/15/20		65,000		71
	West Corp., 11.00%, 10/15/16		30,000		31
	Total				998
	Telecommunications (0.8%)
	Cincinnati Bell, Inc., 8.25%, 10/15/17		50,000		54
	Clearwire Communications LLC/Clearwire Finance, Inc., 8.25%, 12/1/40 144A		35,000		38
	Clearwire Communications LLC/Clearwire Finance, Inc., 12.00%, 12/1/15 144A		20,000		22
	Clearwire Communications LLC/Clearwire Finance, Inc., 14.75%, 12/1/16 144A		45,000		62
	Cricket Communications, Inc., 7.75%, 10/15/20		100,000		102
	Crown Castle International Corp., 5.25%, 1/15/23 144A		35,000		37
	CyrusOne LP/CyrusOne Finance Corp., 6.375%, 11/15/22 144A		15,000		16
	Digicel Group, Ltd., 8.25%, 9/30/20 144A		20,000		22
	Frontier Communications Corp., 8.125%, 10/1/18		30,000		34
	Frontier Communications Corp., 8.25%, 4/15/17		70,000		81
	Frontier Communications Corp., 8.50%, 4/15/20		55,000		63
	Frontier Communications Corp., 8.75%, 4/15/22		30,000		35
	Frontier Communications Corp., 9.25%, 7/1/21		30,000		35
	GCI, Inc., 8.625%, 11/15/19		70,000		74
	MetroPCS Wireless, Inc., 6.625%, 11/15/20		30,000		32

	Below Investment Grade Segment (8.4%)	Shares/ $ Par		Value $ (000’s)
	Telecommunications continued
	MetroPCS Wireless, Inc., 7.875%, 9/1/18		50,000		54
	NII Capital Corp., 7.625%, 4/1/21		75,000		57
	NII Capital Corp., 8.875%, 12/15/19		115,000		91
	PAETEC Holding Corp., 8.875%, 6/30/17		30,000		32
	SBA Communications Corp., 5.625%, 10/1/19 144A		35,000		37
	SBA Telecommunications, Inc., 5.75%, 7/15/20 144A		30,000		32
	SBA Telecommunications, Inc., 8.25%, 8/15/19		23,000		26
	Sprint Capital Corp., 6.90%, 5/1/19		35,000		38
	Sprint Nextel Corp., 6.00%, 12/1/16		40,000		44
	Sprint Nextel Corp., 6.00%, 11/15/22		60,000		62
	Sprint Nextel Corp., 7.00%, 3/1/20 144A		35,000		41
	Sprint Nextel Corp., 7.00%, 8/15/20		30,000		33
	Sprint Nextel Corp., 8.375%, 8/15/17		85,000		99
	Sprint Nextel Corp., 9.00%, 11/15/18 144A		70,000		86
	Sprint Nextel Corp., 9.125%, 3/1/17		35,000		41
	Sprint Nextel Corp., 11.50%, 11/15/21		50,000		68
	tw telecom holdings, Inc., 5.375%, 10/1/22 144A		20,000		21
(c)	Wind Acquisition Holding Finance SA, 12.25%, 7/15/17 144A		89,244		91
	Windstream Corp., 7.00%, 3/15/19		65,000		66
	Windstream Corp., 7.75%, 10/15/20		25,000		27
	Windstream Corp., 7.875%, 11/1/17		50,000		56
	Total				1,809
	Transportation (0.0%)
	Continental Airlines, Inc., 6.75%, 9/15/15 144A		45,000		47
	Kansas City Southern de Mexico SAB de CV, 8.00%, 2/1/18		35,000		39
	Total				86
	Utilities (0.3%)
	The AES Corp., 7.75%, 10/15/15		10,000		11
	The AES Corp., 8.00%, 10/15/17		35,000		40
	The AES Corp., 8.00%, 6/1/20		45,000		52
	Calpine Corp., 7.50%, 2/15/21 144A		59,000		65
	Calpine Corp., 7.875%, 7/31/20 144A		63,000		71
	DPL, Inc., 6.50%, 10/15/16		40,000		42
	DPL, Inc., 7.25%, 10/15/21		20,000		21
	GenOn Americas Generation LLC, 8.50%, 10/1/21		25,000		29
	IPALCO Enterprises, Inc., 5.00%, 5/1/18		60,000		63
	NRG Energy, Inc., 7.625%, 1/15/18		80,000		89
	NRG Energy, Inc., 7.625%, 5/15/19		55,000		59
	NRG Energy, Inc., 8.25%, 9/1/20		5,000		6
	NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 144A		81,000		83
	NV Energy, Inc., 6.25%, 11/15/20		25,000		29
	Puget Energy, Inc., 5.625%, 7/15/22		125,000		135
	Total				795
	Total Below Investment Grade Segment
	(Cost: $18,657)				19,721
	Investment Companies (16.6%)
	Investment Companies (16.6%)
	iShares Barclays MBS Bond Fund		7,840		847
	iShares MSCI EAFE Index Fund		57,000		3,239

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

Asset Allocation Portfolio 207

Asset Allocation Portfolio

	Investment Companies (16.6%)	Shares/ $ Par		Value $ (000’s)
	Investment Companies continued
	iShares MSCI Emerging Markets Index		13,750		610
	iShares Russell 2000 Index Fund		17,020		1,435
	iShares Russell Midcap Index Fund		10,303		1,165
	Market Vectors Junior Gold Miners ETF		6,150		122
(q)	Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio		996,877		1,055
(q)	Northwestern Mutual Series Fund, Inc., International Equity Portfolio		4,058,755		7,281
(q)	Northwestern Mutual Series Fund, Inc., Research International Core Portfolio		19,780,175		16,437
	SPDR S&P Biotech ETF		3,350		294
	SPDR S&P MidCap 400 ETF Trust		17,719		3,291
	Vanguard Emerging Markets ETF		33,990		1,513
	Vanguard MSCI EAFE		52,970		1,866
	Total Investment Companies
	(Cost: $34,908)				39,155
	Short-Term Investments (12.3%)
	Autos (1.3%)
	American Honda Finance Corp., 0.14%, 1/25/13		3,000,000		3,000
	Total				3,000
	Commercial Banks US (1.9%)
(b)	Bank of America NA, 0.20%, 1/3/13		3,000,000		3,000
	BP Capital Markets PLC, 0.512%, 2/8/13		900,000		900
	BP Capital Markets PLC, 0.512%, 5/7/13		700,000		701
	Total				4,601
	Consumer Products/Retailing (1.3%)
	Wal-Mart Stores, Inc., 0.10%, 1/30/13		3,000,000		3,000
	Total				3,000
	Electronics (1.3%)
(b)	International Business Machines Corp., 0.05%, 1/2/13		3,000,000		3,000
	Total				3,000
	Federal Government & Agencies (0.4%)
(b)	Federal Home Loan Mortgage Corp., 0.12%, 3/4/13		1,000,000		1,000
	Total				1,000

	Short-Term Investments (12.3%)	Shares/ $ Par		Value $ (000’s)
	Finance Services (2.5%)
	Alpine Securitization Corp., 0.18%, 1/9/13		3,000,000		3,000
(k)	Govco LLC, 0.23%, 1/22/13		3,000,000		2,999
	Total				5,999
	Personal Credit Institutions (1.2%)
	Chariot Funding LLC, 0.21%, 3/28/13		3,000,000		2,999
	Total				2,999
	Restaurants (1.1%)
	Darden Restaurants, Inc., 0.28%, 1/2/13		2,500,000		2,500
	Total				2,500
	Retail Food and Drug (1.3%)
	CVS Caremark Corp., 0.28%, 1/2/13		3,000,000		3,000
	Total				3,000
	Total Short-Term Investments
	(Cost: $29,097)				29,099
	Total Investments (100.1%)
	(Cost: $217,287)(a)				235,905
	Other Assets, Less
	Liabilities (-0.1%)				(143	)
	Net Assets (100.0%)				235,762

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

208 Asset Allocation Portfolio

Asset Allocation Portfolio

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

144A after the name of a security represents a 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, 2012 the value of these securities (in thousands) was $9,380 representing 4.0% of the net assets.

IO — Interest Only Security

GO — General Obligation

RB — Revenue Bond

FHA — Federal Housing Authority

GNMA — Government National Mortgage Association

PSF — Permanent School Fund

(a) At December 31, 2012 the aggregate cost of securities for federal tax purposes (in thousands) was $217,741 and the net unrealized appreciation of investments based on that cost was $18,164 which is comprised of $20,893 aggregate gross unrealized appreciation and $2,729 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
British Pound Currency Futures (Short) (Total Notional Value at December 31, 2012, $3,515)	35	3/13	$	(38	)
S&P 500 Mini Index Futures (Long) (Total Notional Value at December 31, 2012, $6,568)	92	3/13		(36	)
US Five Year Treasury Note Futures (Long) (Total Notional Value at December 31, 2012, $374)	3	3/13		(1	)
US Long Treasury Bond Futures (Short) (Total Notional Value at December 31, 2012, $2,242)	15	3/13		30
US Ten Year Treasury Note Futures (Short) (Total Notional Value at December 31, 2012, $534)	4	3/13		2
US Two Year Treasury Note Futures (Long) (Total Notional Value at December 31, 2012, $2,646)	12	3/13		-	(m)

(c) PIK — Payment In Kind

(d) Defaulted Security

(f) Foreign Bond — par value is foreign denominated

— Morgan Stanley — Brazilian Real

(h) Forward foreign currency contracts outstanding on December 31, 2012.

Type	Counterparty	Currency	Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Barclays Bank PLC	EUR	4,550	2/13	$	-	$	(117	)	$	(117	)
					$	-	$	(117	)	$	(117	)

EUR — Euro

(j) Swap agreements outstanding on December 31, 2012.

Total Return Swaps

Reference Entity	Counterparty	Payment Made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
MSCI Daily Net EAFE Index	Credit Suisse International	3-Month USD LIBOR -15 Basis Points (Bps)	MSCI Daily Net EAFE Index Total Return	8/13	5,105	$	370

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

Asset Allocation Portfolio 209

Asset Allocation Portfolio

Reference Entity	Counterparty	Payment Made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
Russell Midcap Growth Index	Bank of America, N.A.	Russell Midcap Growth Index Total Return	3-Month USD LIBOR - 33 Bps	5/13	10,991	$	(415	)
Russell Midcap Index	Credit Suisse International	3-Month USD LIBOR - 15 Bps	Russell Midcap Index Total Return	8/13	2,008		105
Russell Midcap Value Index	Bank of America, N.A.	3-Month USD LIBOR - 26 Bps	Russell Midcap Value Index Total Return	5/13	11,504		481
						$	541

(k) Securities with an aggregate value of $2,999 (in thousands) have been pledged as collateral for swap contracts outstanding on December 31, 2012.

(m) Amount is less than one thousand.

(n) Security valued in good faith by the Board of Directors.

(q) Affiliated Company

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2012. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Domestic Common Stocks	$	93,978		$	-		$	21
Foreign Common Stocks		-			-			1
Preferred Stocks		166			89			-
Government & US Agency Bonds		-			18,736			-
Foreign Bonds		-			173			-
Municipal Bonds		-			1,226			-
Corporate Bonds		-			32,536			-
Structured Products		-			20,522			203
Investment Companies		39,155			-			-
Short-Term Investments		-			29,099			-
Other Financial Instruments^
Futures		32			-			-
Total Return Swaps		-			956			-
Liabilities:
Other Financial Instruments^
Futures		(75	)		-			-
Forward Currency Contracts		-			(117	)		-
Total Return Swaps		-			(415	)		-
Total	$	133,256		$	102,805		$	225

^ Other financial instruments are derivative instruments such as futures, forwards, written options and swaps contracts, which are valued at the unrealized appreciation (depreciation) on the instrument and short sales, which are valued at market value.

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

210 Asset Allocation Portfolio

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.

33%: Barclays^® Global Aggregate - Credit Component, Hedged USD, Merrill Lynch^® Global High- Yield BB-B Rated Constrained Index and JPMorgan^® EMBI Global - The benchmark is an equally weighted blend of the following three indices: Barclays Capital^® Global Aggregate - Credit Component, Hedged USD, Merrill Lynch^® Global High Yield BB-B Rated Constrained Index and JPMorgan^® EMBI Global. The Barclays Capital^® Global Aggregate - Credit Component, Hedged USD Index provides a broad-based measure of the global investment-grade fixed income markets. The Merrill Lynch^® Global High Yield BB-B Rated Constrained Index tracks the performance of below investment-grade bonds of corporate issuers domiciled in countries having an investment-grade foreign currency long term debt rating (based on a composite of Moody’s, S&P, and Fitch). The Index includes bonds denominated in U.S. dollars, Canadian dollars, sterling, and euro (or euro legacy currency), but excludes all multi-currency denominated bonds. Bonds must be rated below investment-grade but at least B3 based on a composite 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-basis. The index is re-balanced on the last calendar day of the month. JPMorgan^® EMBI Global tracks total returns for United States Dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, Brady bonds, loans, Eurobonds and local market instruments. This index only tracks the particular region or country.

Asset Allocation Portfolio Blended Composite - 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 3000^® Index (50%), the MSCI^® All Country World (ex-US) Index (15%), the Barclays^® U.S. Aggregate Index (25%), and the Barclays^® U.S. Corporate High Yield 2% Issuer Capped Index (10%).

Balanced Portfolio Blended Composite - 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 3000^® Index (40%), the MSCI^® All Country World (ex-US) Index (10%), the Barclays^® U.S. Aggregate Index (45%) and the Barclays^® U.S. Corporate High Yield 2% Issuer Capped Index (5%).

Barclays^® U.S. Aggregate 1-3 Years Index - The Barclays^® U.S. Aggregate 1-3 Years 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 one to three years.

Barclays^® U.S. Aggregate Index - The Barclays^® 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.

Barclays^® U.S. Corporate High Yield 2% Issuer Capped Index - The Barclays^® 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.

Barclays^® Global Credit Hedged USD Index - The Barclays^® 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).

Barclays^® Long-Term U.S. Treasury Index - The Barclays^® Long-Term U.S. Treasury Index is an unmanaged index comprised of fixed-income securities with various maturities greater than 10 years.

Barclays^® U.S. Treasury Inflation Protected Securities (TIPS) Index - The Barclays^® 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.

Benchmark Definitions 211

Benchmark Definitions (unaudited)

Dow Jones-UBS Commodity Index Total Return^SM - The DJ-UBS Index is a broadly diversified futures index composed of futures contracts on 22 physical commodities. The DJ- UBS Index is rebalanced as of the beginning of each calendar year so that as of that time no single commodity constitutes more than 15% or less than 2% of the Index, and each related group of commodities represented in the Index is limited to 33%. However, following this rebalancing and for the remainder of the calendar year these percentages may change so that a single commodity may constitute a lesser or greater percentage of the Index and different sectors may represent different proportions of the Index.

Lipper^® Variable Insurance Products (VIP) Average - Each Lipper^® Variable Insurance Products (VIP) Average is calculated by Lipper^® Analytical Services, Inc. and reflects the investment return of certain portfolios underlying variable life and annuity products. Source: Lipper^®, Inc.

Morningstar^® Insurance Fund Category Averages - Each Morningstar^® 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^®, Inc.

MSCI EAFE^® (Europe-Australasia-Far-East) Index - The MSCI EAFE^® (“Europe-Australasia-Far East”) Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure developed market equity performance, excluding the U.S. & Canada.

MSCI^® All Country World (ex-US) Index - The MSCI^® 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^® All Country World (ex-US) Growth Index - The MSCI^® 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^® Emerging Markets Index - The MSCI^® 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^® Growth Index - The Russell 1000^® Growth Index is an unmanaged index that measures the performance of those companies in the Russell 1000^® Index with higher price-to-book ratios and higher forecasted growth values. The Russell 1000^® Index is an unmanaged, market capitalization-weighted, large cap index that measures the performance of the 1000 largest companies in the Russell 3000^® Index.

Russell 1000^® Value Index - The Russell 1000^® Value Index is an unmanaged index that measures the performance of those companies in the Russell 1000^® Index with lower price-to-book ratios and lower forecasted growth values. The Russell 1000^® Index is an unmanaged, market capitalization-weighted, large cap index that measures the performance of the 1000 largest companies in the Russell 3000^® Index.

Russell 2000^® Growth Index - The Russell 2000^® Growth Index is an unmanaged index that measures the performance of those companies in the Russell 2000^® Index with higher price-to-book ratios and higher forecasted growth values. The Russell 2000^® Index is an unmanaged, market capitalization-weighted index that measures the performance of the 2000 smallest of the 3000 largest publicly traded U.S. companies, based on total market capitalization.

Russell 2000^® Value Index - The Russell 2000^® Value Index is an unmanaged index measures the performance of those companies in the Russell 2000^® Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2000^® Index is an unmanaged, market-capitalization weighted index that measures the performance of the 2000 smallest of the 3000 largest publicly traded U.S. companies, based on total market capitalization.

Russell 3000^® Index - The Russell 3000^® Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market.

Russell MidCap^® Growth Index - The Russell MidCap^® Growth Index is an unmanaged index that measures the performance of the Russell MidCap^® companies with higher price-to-book ratios and higher forecasted growth values. The Russell MidCap^® Index is an unmanaged index that measures the performance of the 800 smallest companies in the Russell 1000^® Index, which represents approximately 25% of the total market capitalization of the Russell 1000^® Index.

Russell MidCap^® Value Index - The Russell MidCap^® Value Index is an unmanaged index that measures the performance of the Russell MidCap^® companies with lower price-to-book and lower forecasted growth values. The Russell MidCap^® Index is an unmanaged index that measures the performance of the 800 smallest companies in the Russell 1000^® Index, which represents approximately 25% of the total market capitalization of the Russell 1000^® Index.

212 Benchmark Definitions

Benchmark Definitions (unaudited)

S&P 500^® Index - The S&P 500^® 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^® Index - The S&P MidCap 400^® 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^® Index - The S&P SmallCap 600^® Index is an unmanaged index of 600 selected common stocks of U.S.-based companies with small market capitalizations.

Benchmark Definitions 213

Statements of Assets and Liabilities

Northwestern Mutual Series Fund, Inc.

December 31, 2012 (in thousands)

	Growth Stock Portfolio		Focused Appreciation Portfolio			Large Cap Core Stock Portfolio			Large Cap Blend Portfolio		Index 500 Stock Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	533,305	$	374,289		$	384,324		$	78,818	$	1,702,331
Affiliated Investments, at Value (2)		-		-			-			-		-
Investments in Repurchase Agreements, at Value (3)		-		-			-			-		-
Cash & Cash Equivalents		81		14,266			92			-		49
Foreign Currency, at Value (4)		-		-			-			-		-
Cash Collateral for Derivative Positions		-		-			-			-		-
Receivable for Portfolio Shares Sold		135		415			132			13		430
Receivable for Investment Securities Sold		-		-			-			-		-
Receivable for Treasury Roll Transactions		-		-			-			-		-
Futures Variation Margin		428		-			123			-		531
Outstanding Options Written, at Value (6)		-		-			-			-		-
Outstanding Swap Contracts, at Value (8)		-		-			-			-		-
Receivable for Foreign Currency		-		-			-			-		-
Prepaid Expenses and Other Assets		6		5			4			1		19
Dividends and Interest Receivable		258		68			374			108		1,867
Total Assets		534,213		389,043			385,049			78,940		1,705,227
Liabilities
Payable for Portfolio Shares Redeemed		168		160			195			33		400
Payable for Investment Securities Purchased		-		-			-			141		-
Payable for Treasury Roll Transactions		-		-			-			-		-
Futures Variation Margin		-		-			-			-		-
Outstanding Options Written, at Value (6)		-		-			-			-		-
Securities Sold Short, at Value (7)		-		-			-			-		-
Outstanding Swap Contracts, at Value (9)		-		-			-			-		-
Payable for Foreign Currency		-		-			-			-		-
Collateral from Counterparty		-		-			-			-		-
Collateral for Securities on Loan (5)		-		-			-			-		-
Investment Advisory Fees		192		228			143			48		288
Compliance Fees Payable		4		4			3			3		3
Deferred Income for Treasury Roll Transactions		-		-			-			-		-
Accrued Expenses		34		31			29			15		65
Total Liabilities		398		423			370			240		756
Net Assets	$	533,815	$	388,620		$	384,679		$	78,700	$	1,704,471
Represented By:
Aggregate Paid in Capital (10) (11)	$	411,494	$	298,298		$	350,755		$	78,086	$	1,210,184
Undistributed Net Investment Income (Loss)		5,017		2,567			5,722			54		35,516
Undistributed Accumulated Net Realized Gain (Loss)		51,868		(2,927	)		(9,691	)		13		29,692
Net Unrealized Appreciation (Depreciation)		65,436		90,682			37,893			547		429,079
Net Assets for Shares Outstanding (10) (11)	$	533,815	$	388,620		$	384,679		$	78,700	$	1,704,471
Net Asset Value, Offering and Redemption Price per Share	$	2 .35	$	2 .09		$	1 .34		$	0 .83	$	2 .84
(1) Unaffiliated Investments, at Cost	$	467,777	$	283,607		$	346,404		$	78,271	$	1,273,261
(2) Affiliated Investments, at Cost		-		-			-			-		-
(3) Investments in Repurchase Agreements, at Cost		-		-			-			-		-
(4) Foreign Currency, at Cost		-		-			-			-		-
(5) Securities on Loan		-		-			-			-		-
(6) Premiums Received on Options Written		-		-			-			-		-
(7) Proceeds Received from Short Sales		-		-			-			-		-
(8) Premiums Paid on Swap Contracts		-		-			-			-		-
(9) Premiums Received from Swap Contracts		-		-			-			-		-
(10) Shares Outstanding		227,570		185,808			287,509			94,884		600,269
(11) Shares Authorized, $.01 Par Value		2,000,000		2,000,000			2,000,000			2,000,000		2,000,000

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

214 Statements of Assets and Liabilities

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
$	87,126		$	399,552		$	408,569		$	827,740	$	475,208	$	162,520		$	379,491		$	73,508		$	409,797
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	-			-			68			102		71		-			88			99			75
	9			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			1,150			-			-
	12			94			590			130		112		207			92			37			275
	471			-			-			-		4,744		1,447			22			307			153
	-			-			-			-		-		-			-			-			-
	-			-			-			1,347		240		-			574			-			-
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	1			5			5			10		5		2			4			1			4
	124			827			467			289		306		238			20			47			296
	87,743			400,478			409,699			829,618		480,686		164,414			381,441			73,999			410,600
	26			201			78			265		143		37			124			4			80
	542			-			269			-		1,360		1,007			4,871			247			538
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	192			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		1			-			-			-
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	49			189			222			354		101		116			177			10			288
	3			3			4			3		3		3			3			3			3
	-			-			-			-		-		-			-			-			-
	16			27			29			43		38		27			40			13			43
	828			420			602			665		1,645		1,191			5,215			277			952
$	86,915		$	400,058		$	409,097		$	828,953	$	479,041	$	163,223		$	376,226		$	73,722		$	409,648
$	82,895		$	434,298		$	368,605		$	672,708	$	378,051	$	150,518		$	386,651		$	66,470		$	293,449
	77			8,767			7,979			3,305		5,967		2,891			2,246			53			5,972
	(6,172	)		(56,245	)		(2,338	)		37,189		17,087		(273	)		(43,846	)		(393	)		1,420
	10,115			13,238			34,851			115,751		77,936		10,087			31,175			7,591			108,807
$	86,915		$	400,058		$	409,097		$	828,953	$	479,041	$	163,223		$	376,226		$	73,722		$	409,648
$	0 .84		$	0 .98		$	1 .34		$	3 .26	$	1 .49	$	1 .30		$	1 .88		$	1 .01		$	1 .89
$	77,013		$	386,313		$	373,719		$	712,460	$	397,358	$	152,432		$	348,668		$	65,916		$	300,991
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	9			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	194			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	-			-			-			-		-		-			-			-			-
	103,558			409,673			304,529			254,148		320,918		125,290			199,931			73,223			216,680
	2,000,000			2,000,000			2,000,000			2,000,000		2,000,000		2,000,000			2,000,000			2,000,000			2,000,000

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

Statements of Assets and Liabilities 215

Statements of Assets and Liabilities

Northwestern Mutual Series Fund, Inc.

December 31, 2012 (in thousands)

	International Growth Portfolio			Research International Core Portfolio			International Equity Portfolio		Emerging Markets Equity Portfolio			Money Market Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	329,348		$	258,332		$	1,424,935	$	253,257		$	481,521
Affiliated Investments, at Value (2)		-			-			-		-			-
Investments in Repurchase Agreements, at Value (3)		-			-			-		-			-
Cash & Cash Equivalents		222			3,859			59,520		3,045			90
Foreign Currency, at Value (4)		104			36			58		24			-
Cash Collateral for Derivative Positions		-			-			-		-			-
Receivable for Portfolio Shares Sold		278			488			674		493			1,611
Receivable for Investment Securities Sold		-			4			-		80			-
Receivable for Treasury Roll Transactions		-			-			-		-			-
Futures Variation Margin		-			-			-		-			-
Outstanding Options Written, at Value (6)		-			-			-		-			-
Outstanding Swap Contracts, at Value (8)		-			-			-		-			-
Receivable for Foreign Currency		-			-			-		1			-
Prepaid Expenses and Other Assets		4			2			16		2			6
Dividends and Interest Receivable		171			394			2,012		171			590
Total Assets		330,127			263,115			1,487,215		257,073			483,818
Liabilities
Payable for Portfolio Shares Redeemed		91			8			459		22			307
Payable for Investment Securities Purchased		-			1,554			-		169			-
Payable for Treasury Roll Transactions		-			-			-		-			-
Futures Variation Margin		-			-			-		-			-
Outstanding Options Written, at Value (6)		-			-			-		-			-
Securities Sold Short, at Value (7)		-			-			-		-			-
Outstanding Swap Contracts, at Value (9)		-			-			-		-			-
Payable for Foreign Currency		-			3			-		-			-
Collateral from Counterparty		-			-			-		-			-
Collateral for Securities on Loan (5)		-			-			-		-			-
Investment Advisory Fees		180			184			741		239			60
Compliance Fees Payable		3			3			4		3			4
Deferred Income for Treasury Roll Transactions		-			-			-		-			-
Accrued Expenses		135			95			315		164			10
Total Liabilities		409			1,847			1,519		597			381
Net Assets	$	329,718		$	261,268		$	1,485,696	$	256,476		$	483,437
Represented By:
Aggregate Paid in Capital (10) (11)	$	358,273		$	246,913		$	1,259,675	$	233,773		$	483,025
Undistributed Net Investment Income (Loss)		5,268			420			35,439		2,343			415
Undistributed Accumulated Net Realized Gain (Loss)		(69,988	)		(15,326	)		421		(905	)		(3	)
Net Unrealized Appreciation (Depreciation)		36,165			29,261			190,161		21,265			–
Net Assets for Shares Outstanding (10) (11)	$	329,718		$	261,268		$	1,485,696	$	256,476		$	483,437
Net Asset Value, Offering and Redemption Price per Share	$	1 .21		$	0 .83		$	1 .79	$	1 .06		$	1 .00
(1) Unaffiliated Investments, at Cost	$	293,144		$	229,061		$	1,234,794	$	231,934		$	481,521
(2) Affiliated Investments, at Cost		-			-			-		-			-
(3) Investments in Repurchase Agreements, at Cost		-			-			-		-			-
(4) Foreign Currency, at Cost		104			36			59		24			-
(5) Securities on Loan		-			-			-		-			-
(6) Premiums Received on Options Written		-			-			-		-			-
(7) Proceeds Received from Short Sales		-			-			-		-			-
(8) Premiums Paid on Swap Contracts		-			-			-		-			-
(9) Premiums Received from Swap Contracts		-			-			-		-			-
(10) Shares Outstanding		272,788			313,911			828,078		242,330			483,437
(11) Shares Authorized, $.01 Par Value		2,000,000			2,000,000			2,000,000		2,000,000			2,000,000

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

216 Statements of Assets and Liabilities

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		Asset Allocation Portfolio
$	144,277		$	1,772,016	$	137,343		$	253,498	$	455,790		$	345,057	$	2,127,641	$	211,132
	-			-		-			-		-			-		159,445		24,773
	-			-		48,400			-		-			23,200		-		-
	147			295		37			-		105			1,085		582		74
	-			-		-			-		-			454		-		-
	-			-		-			-		-			-		890		-
	277			1,508		54			463		242			341		678		55
	279			10,206		-			-		-			3,526		7,351		1,098
	-			-		77			-		-			-		-		-
	20			258		-			-		-			-		1,935		160
	-			-		-			-		-			-		-		-
	-			-		-			252		-			5,861		9,020		958
	-			-		-			203		-			238		-		-
	4			19		2			11		4			4		-		3
	386			8,292		727			1,227		6,826			4,965		7,755		709
	145,390			1,792,594		186,640			255,654		462,967			384,731		2,315,267		238,962
	6			251		133			25		805			36		993		629
	279			39,493		-			-		998			473		16,529		1,903
	-			-		72,219			-		-			-		-		-
	-			-		5			-		-			17		-		-
	-			-		-			-		-			54		-		-
	-			-		-			-		-			3,518		-		-
	-			-		-			634		-			1,604		4,927		417
	-			-		-			663		-			1,120		738		117
	-			-		1,000			-		-			4,945		780		-
	-			67,069		-			-		-			-		50,496		-
	43			426		53			120		169			242		536		89
	3			4		3			3		3			3		3		3
	-			-		69			-		-			-		-		-
	23			58		22			33		50			63		63		42
	354			107,301		73,504			1,478		2,025			12,075		75,035		3,200
$	145,036		$	1,685,293	$	113,136		$	254,176	$	460,942		$	372,656	$	2,240,232	$	235,762
$	144,557		$	1,576,044	$	112,295		$	229,290	$	437,787		$	332,699	$	1,941,315	$	214,253
	273			38,848		23			2,822		27,546			13,550		73,431		6,893
	(1,243	)		9,934		(4,667	)		4,902		(33,313	)		2,364		74,711		(4,384	)
	1,449			60,467		5,485			17,162		28,922			24,043		150,775		19,000
$	145,036		$	1,685,293	$	113,136		$	254,176	$	460,942		$	372,656	$	2,240,232	$	235,762
$	1 .03		$	1 .30	$	1 .07		$	1 .22	$	0 .75		$	1 .14	$	1 .51	$	1 .13
$	142,879		$	1,712,081	$	131,846		$	235,497	$	426,867		$	322,867	$	2,001,862	$	195,904
	-			-		-			-		-			-		137,484		21,383
	-			-		48,400			-		-			23,200		-		-
	-			-		-			-		-			454		-		-
	-			65,470		-			-		-			-		49,501		-
	-			-		-			-		-			45		-		-
	-			-		-			-		-			3,516		-		-
	-			-		-			-		-			2,835		-		-
	-			-		-			-		-			1,330		-		-
	141,299			1,292,843		105,935			208,584		613,468			325,515		1,486,784		208,339
	2,000,000			2,000,000		2,000,000			2,000,000		2,000,000			2,000,000		3,000,000		2,000,000

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

Statements of Assets and Liabilities 217

Consolidated Statement of Assets and Liabilities

Northwestern Mutual Series Fund, Inc.

December 31, 2012 (in thousands)

	Commodities Return Strategy Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	149,520
Affiliated Investments, at Value (2)		-
Investments in Repurchase Agreements, at Value (3)		-
Cash & Cash Equivalents		3,098
Foreign Currency, at Value (4)		-
Cash Collateral for Derivative Positions		-
Receivable for Portfolio Shares Sold		343
Receivable for Investment Securities Sold		-
Receivable for Treasury Roll Transactions		-
Futures Variation Margin		-
Outstanding Options Written, at Value (6)		-
Outstanding Swap Contracts, at Value (8)		109
Receivable for Foreign Currency		-
Prepaid Expenses and Other Assets		4
Dividends and Interest Receivable		299
Total Assets		153,373
Liabilities
Payable for Portfolio Shares Redeemed		15
Payable for Investment Securities Purchased		-
Payable for Treasury Roll Transactions		-
Futures Variation Margin		-
Outstanding Options Written, at Value (6)		-
Securities Sold Short, at Value (7)		-
Outstanding Swap Contracts, at Value (9)		7
Payable for Foreign Currency		-
Collateral from Counterparty		-
Collateral for Securities on Loan (5)		-
Investment Advisory Fees		103
Compliance Fees Payable		3
Deferred Income for Treasury Roll Transactions		-
Accrued Expenses		37
Total Liabilities		165
Net Assets	$	153,208
Represented By:
Aggregate Paid in Capital (10) (11)	$	153,142
Undistributed Net Investment Income (Loss)		(101	)
Undistributed Accumulated Net Realized Gain (Loss)		-
Net Unrealized Appreciation (Depreciation)		167
Net Assets for Shares Outstanding (10) (11)	$	153,208
Net Asset Value, Offering and Redemption Price per Share	$	0.79
(1) Unaffiliated Investments, at Cost	$	149,454
(2) Affiliated Investments, at Cost		-
(3) Investments in Repurchase Agreements, at Cost		-
(4) Foreign Currency, at Cost		-
(5) Securities on Loan		-
(6) Premiums Received on Options Written		-
(7) Proceeds Received from Short Sales		-
(8) Premiums Paid on Swap Contracts		-
(9) Premiums Received from Swap Contracts		-
(10) Shares Outstanding		194,346
(11) Shares Authorized, $.01 Par Value		2,000,000

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

218 Consolidated Statement of Assets and Liabilities

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219

Statements of Operations

Northwestern Mutual Series Fund, Inc.

For the Year Ended December 31, 2012 (in thousands)

	Growth Stock Portfolio			Focused Appreciation Portfolio			Large Cap Core Stock Portfolio			Large Cap Blend Portfolio			Index 500 Stock Portfolio			Large Company Value Portfolio
Investment Income
Income
Interest	$	58		$	20		$	36		$	-		$	30		$	-
Unaffiliated Dividends (1)		7,325			5,200			7,477			1,422			39,379			2,254
Total Income		7,383			5,220			7,513			1,422			39,409			2,254
Expenses
Investment Advisory Fees		2,349			2,755			1,731			581			3,375			582
Custodian Fees		16			19			16			11			38			17
Shareholder Reporting Fees		51			46			38			8			99			7
Audit Fees		22			22			22			22			21			22
Valuation Services		1			-			-			1			3			2
Compliance Fees		9			10			9			10			9			9
Directors Fees		13			13			13			13			13			13
Professional Fees		6			6			6			9			7			9
Trade Name Fees		-			-			-			-			60			-
Other Expenses		11			6			7			1			31			1
Total Expenses		2,478			2,877			1,842			656			3,656			662
Less Waived Fees:
Paid by Affiliate		(39	)		(223	)		(11	)		(25	)		(37	)		(24	)
Net Expenses		2,439			2,654			1,831			631			3,619			638
Net Investment Income (Loss)		4,944			2,566			5,682			791			35,790			1,616
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		60,082			(1,412	)		33,646			15,674			34,809			3,125
Affiliated Investment Securities		-			-			-			-			-			-
Futures Contracts		2,517			-			2,566			-			3,560			15
Options Written		99			-			7			-			-			-
Swap Contracts		-			-			-			-			-			-
Foreign Currency Transactions		-			-			-			-			182			(51	)
Net Realized Gain (Loss) on Investments		62,698			(1,412	)		36,219			15,674			38,551			3,089
Net Unrealized Appreciation (Depreciation) of:
Investment Securities		(1,214	)		60,768			1,553			(6,031	)		170,013			7,190
Futures Contracts		(232	)		-			(443	)		-			(695	)		1
Options Written		-			-			-			-			-			-
Short Sales		-			-			-			-			-			2
Swap Contracts		-			-			-			-			-			-
Foreign Currency Transactions		-			-			-			-			-			(4	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		(1,446	)		60,768			1,110			(6,031	)		169,318			7,189
Net Gain (Loss) on Investments		61,252			59,356			37,329			9,643			207,869			10,278
Net Increase (Decrease) in Net Assets Resulting from Operations	$	66,196		$	61,922		$	43,011		$	10,434		$	243,659		$	11,894
(1) Net of Foreign Dividend Tax	$	4		$	46		$	-		$	17		$	29		$	9

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

220 Statements of Operations

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
$	1		$	19		$	108		$	32		$	2		$	54		$	12		$	8
	11,217			10,513			7,630			7,279			4,457			1,777			1,126			9,401
	11,218			10,532			7,738			7,311			4,459			1,831			1,138			9,409
	2,220			2,363			4,464			1,174			1,233			2,165			167			3,298
	10			18			17			28			36			21			41			9
	38			42			74			46			34			65			9			78
	22			22			23			21			22			22			21			22
	1			2			1			2			2			1			3			1
	10			9			9			9			9			10			9			10
	13			13			13			13			13			13			13			13
	6			6			6			7			6			6			10			6
	-			-			-			31			-			-			10			-
	7			6			16			9			2			7			1			7
	2,327			2,481			4,623			1,340			1,357			2,310			284			3,444
	(12	)		(12	)		(190	)		(21	)		(12	)		(16	)		(53	)		(17	)
	2,315			2,469			4,433			1,319			1,345			2,294			231			3,427
	8,903			8,063			3,305			5,992			3,114			(463	)		907			5,982
	74,949			12,436			83,309			15,185			6,277			40,170			1,196			2,348
	-			-			-			-			-			-			-			-
	-			-			7,728			5,307			-			688			-			-
	-			-			-			-			-			72			-			-
	-			-			-			-			-			1,438			891			-
	-			(1	)		-			-			(140	)		-			-			-
	74,949			12,435			91,037			20,492			6,137			42,368			2,087			2,348
	(30,765	)		35,614			1,128			49,638			12,655			(6,981	)		6,172			49,986
	-			-			(23	)		(1,064	)		-			309			-			-
	-			-			-			-			-			-			-			-
	-			-			-			-			-			-			-			-
	-			-			-			-			-			33			-			-
	-			1			-			-			(18	)		-			-			-
	(30,765	)		35,615			1,105			48,574			12,637			(6,639	)		6,172			49,986
	44,184			48,050			92,142			69,066			18,774			35,729			8,259			52,334
$	53,087		$	56,113		$	95,447		$	75,058		$	21,888		$	35,266		$	9,166		$	58,316
$	83		$	78		$	(5	)	$	-		$	11		$	-		$	-		$	6

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

Statements of Operations 221

Statements of Operations

Northwestern Mutual Series Fund, Inc.

For the Year Ended December 31, 2012 (in thousands)

	International Growth Portfolio			Research International Core Portfolio			International Equity Portfolio			Emerging Markets Equity Portfolio			Money Market Portfolio			Short-Term Bond Portfolio
Investment Income
Income
Interest	$	10		$	5		$	16		$	4		$	1,082		$	2,357
Unaffiliated Dividends (1)		8,079			5,337			43,280			5,387			-			-
Affiliated Dividends		-			-			-			-			-			-
Total Income		8,089			5,342			43,296			5,391			1,082			2,357
Expenses
Investment Advisory Fees		1,982			1,570			8,792			2,315			1,391			509
Custodian Fees		253			335			745			569			8			15
Shareholder Reporting Fees		56			20			132			40			19			15
Audit Fees		23			23			23			23			13			24
Valuation Services		-			-			-			-			1			12
Compliance Fees		9			10			10			9			9			10
Directors Fees		13			13			13			13			13			13
Professional Fees		42			52			93			56			2			9
Interest Expense		-			-			-			-			-			-
Other Expenses		6			2			25			3			9			3
Total Expenses		2,384			2,025			9,833			3,028			1,465			610
Less Waived Fees:
Paid by Affiliate		(16	)		(11	)		(761	)		(13	)		(1,059	)		(12	)
Net Expenses		2,368			2,014			9,072			3,015			406			598
Net Investment Income (Loss)		5,721			3,328			34,224			2,376			676			1,759
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(7,449	)		(772	)		22,758			1,078			(3	)		2,573
Affiliated Investment Securities		-			-			-			-			-			-
Futures Contracts		-			-			-			-			-			(924	)
Options Written		-			-			-			-			-			-
Swap Contracts		-			-			-			-			-			-
Foreign Currency Transactions		(347	)		25			(949	)		(97	)		-			19
Net Realized Gain (Loss) on Investments		(7,796	)		(747	)		21,809			981			(3	)		1,668
Net Unrealized Appreciation (Depreciation) of:
Investment Securities		51,546			31,304			212,544			30,258			-			(671	)
Futures Contracts		-			-			-			-			-			207
Options Written		-			-			-			-			-			-
Short Sales		-			-			-			-			-			-
Swap Contracts		-			-			-			-			-			-
Foreign Currency Transactions		4			3			30			2			-			(56	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		51,550			31,307			212,574			30,260			-			(520	)
Net Gain (Loss) on Investments		43,754			30,560			234,383			31,241			(3	)		1,148
Net Increase (Decrease) in Net Assets Resulting from Operations	$	49,475		$	33,888		$	268,607		$	33,617		$	673		$	2,907
(1) Net of Foreign Dividend Tax	$	178		$	229		$	1,372		$	200		$	-		$	-

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

222 Statements of Operations

Select Bond Portfolio			Long-Term U.S. Government Bond Portfolio			Inflation Protection Portfolio			High Yield Bond Portfolio			Multi-Sector Bond Portfolio			Balanced Portfolio			Asset Allocation Portfolio
$	41,874		$	3,512		$	5,545		$	29,106		$	14,959		$	37,675		$	3,114
	-			-			-			339			-			15,724			2,153
	-			-			-			-			-			2,482			382
	41,874			3,512			5,545			29,445			14,959			55,881			5,649
	4,769			640			1,228			1,835			2,351			6,732			1,280
	23			8			26			26			66			61			69
	85			10			27			71			31			54			9
	16			29			22			25			27			16			24
	65			6			27			31			83			81			77
	10			10			9			9			10			9			10
	13			13			13			13			13			13			13
	3			11			30			6			12			4			6
	-			42			-			-			-			-			-
	30			2			3			8			5			44			4
	5,014			771			1,385			2,024			2,598			7,014			1,492
	(46	)		(10	)		(22	)		(24	)		(34	)		(277	)		(207	)
	4,968			761			1,363			2,000			2,564			6,737			1,285
	36,906			2,751			4,182			27,445			12,395			49,144			4,364
	40,925			(1,512	)		5,336			175			2,467			146,429			20,348
	-			-			-			-			-			2			-
	(3,291	)		305			33			-			1,026			16,677			2,000
	-			(1	)		-			-			70			(93	)		(11	)
	-			-			(29	)		-			2,814			9,773			1,153
	331			-			524			-			76			1,829			223
	37,965			(1,208	)		5,864			175			6,453			174,617			23,713
	654			2,838			5,228			26,650			22,388			(918	)		(1,544	)
	765			(53	)		-			-			(901	)		(2,189	)		(250	)
	-			-			-			-			(61	)		-			-
	20			-			-			-			(3	)		-			-
	-			-			964			-			2,675			(10,701	)		(1,363	)
	(568	)		-			(1,466	)		-			(1,881	)		(2,739	)		(372	)
	871			2,785			4,726			26,650			22,217			(16,547	)		(3,529	)
	38,836			1,577			10,590			26,825			28,670			158,070			20,184
$	75,742		$	4,328		$	14,772		$	54,270		$	41,065		$	207,214		$	24,548
$	-		$	-		$	-		$	-		$	-		$	6		$	1

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

Statements of Operations 223

Consolidated Statement of Operations

Northwestern Mutual Series Fund, Inc.

For the Year Ended December 31, 2012 (in thousands)

	Commodities Return Strategy Portfolio
Investment Income
Income
Interest	$	267
Total Income		267
Expenses
Investment Advisory Fees		999
Custodian Fees		24
Shareholder Reporting Fees		21
Audit Fees		32
Valuation Services		4
Compliance Fees		9
Directors Fees		13
Professional Fees		17
Other Expenses		2
Total Expenses		1,121
Less Waived Fees:
Paid by Affiliate		(13	)
Net Expenses		1,108
Net Investment Income (Loss)		(841	)
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		30
Affiliated Investment Securities		-
Futures Contracts		-
Options Written		-
Swap Contracts		(3,140	)
Foreign Currency Transactions		-
Net Realized Gain (Loss) on Investments		(3,110	)
Net Unrealized Appreciation (Depreciation) of:
Investment Securities		44
Futures Contracts		-
Options Written		-
Short Sales		-
Swap Contracts		331
Foreign Currency Transactions		-
Net Change in Unrealized Appreciation (Depreciation) of Investments		375
Net Gain (Loss) on Investments		(2,735	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(3,576	)

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

224 Consolidated Statement of Operations

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225

Statements of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	Growth Stock Portfolio						Focused Appreciation Portfolio						Large Cap Core Stock Portfolio
	For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011
Change in Net Assets
Operations
Net Investment Income (Loss)	$	4,944		$	3,564		$	2,566		$	1,011		$	5,682		$	5,001
Net Realized Gain (Loss) on Investments		62,698			19,509			(1,412	)		7,925			36,219			20,272
Net Change in Unrealized Appreciation (Depreciation) of Investments		(1,446	)		(29,373	)		60,768			(27,889	)		1,110			(29,763	)
Net Increase (Decrease) in Net Assets Resulting from Operations		66,196			(6,300	)		61,922			(18,953	)		43,011			(4,490	)
Distributions to Shareholders from:
Net Investment Income		(3,139	)		(4,271	)		(1,010	)		(572	)		(4,738	)		(4,523	)
Net Realized Gain on Investments		-			-			-			-			-			-
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(3,139	)		(4,271	)		(1,010	)		(572	)		(4,738	)		(4,523	)
Capital Transactions:
Shares Sold		22,764			26,974			66,064			51,848			19,247			20,093
Reinvestment of Distributions Paid		3,139			4,271			1,010			572			4,738			4,523
Shares Redeemed		(69,152	)		(63,539	)		(44,486	)		(38,972	)		(54,648	)		(46,864	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(43,249	)		(32,294	)		22,588			13,448			(30,663	)		(22,248	)
Total Increase (Decrease) in Net Assets		19,808			(42,865	)		83,500			(6,077	)		7,610			(31,261	)
Net Assets
Beginning of Period		514,007			556,872			305,120			311,197			377,069			408,330
End of Period	$	533,815		$	514,007		$	388,620		$	305,120		$	384,679		$	377,069
Undistributed Net Investment Income (Loss)	$	5,017		$	3,564		$	2,567		$	1,011		$	5,722		$	5,001
Portfolio Share Transactions:
Shares Sold		9,822			12,604			32,803			28,437			14,617			16,154
Reinvestment of Distributions Paid		1,334			2,066			491			328			3,570			3,866
Shares Redeemed		(29,689	)		(29,525	)		(22,199	)		(21,095	)		(41,515	)		(37,694	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(18,533	)		(14,855	)		11,095			7,670			(23,328	)		(17,674	)

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

226 Statements of Changes in Net Assets

Large Cap Blend Portfolio						Index 500 Stock Portfolio						Large Company Value Portfolio						Domestic Equity Portfolio
For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011
$	791		$	554		$	35,790		$	30,082		$	1,616		$	1,212		$	8,903		$	9,031
	15,674			2,876			38,551			31,098			3,089			2,620			74,949			21,196
	(6,031	)		(4,883	)		169,318			(29,380	)		7,189			(2,732	)		(30,765	)		(26,738	)
	10,434			(1,453	)		243,659			31,800			11,894			1,100			53,087			3,489
	(736	)		(550	)		(29,810	)		(27,053	)		(1,609	)		(1,205	)		(8,652	)		(8,356	)
	(3,145	)		-			(30,519	)		(36,188	)		-			-			-			-
	(3,881	)		(550	)		(60,329	)		(63,241	)		(1,609	)		(1,205	)		(8,652	)		(8,356	)
	8,359			14,157			84,780			91,690			16,192			16,229			19,983			29,017
	3,881			549			60,329			63,241			1,609			1,205			8,652			8,356
	(9,361	)		(7,212	)		(193,769	)		(179,476	)		(10,845	)		(8,666	)		(58,823	)		(55,132	)
	2,879			7,494			(48,660	)		(24,545	)		6,956			8,768			(30,188	)		(17,759	)
	9,432			5,491			134,670			(55,986	)		17,241			8,663			14,247			(22,626	)
	69,268			63,777			1,569,801			1,625,787			69,674			61,011			385,811			408,437
$	78,700		$	69,268		$	1,704,471		$	1,569,801		$	86,915		$	69,674		$	400,058		$	385,811
$	54		$	4		$	35,516		$	29,810		$	77		$	125		$	8,767		$	9,031
	10,144			18,402			30,570			34,976			20,250			22,075			21,305			32,868
	4,694			733			21,584			26,296			1,922			1,642			9,059			10,228
	(11,477	)		(9,315	)		(69,725	)		(68,428	)		(13,598	)		(11,612	)		(62,470	)		(62,599	)
	3,361			9,820			(17,571	)		(7,156	)		8,574			12,105			(32,106	)		(19,503	)

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

Statements of Changes in Net Assets 227

Statements of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	Equity Income Portfolio						Mid Cap Growth Stock Portfolio						Index 400 Stock Portfolio
	For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011
Change in Net Assets
Operations
Net Investment Income (Loss)	$	8,063		$	5,743		$	3,305		$	1,048		$	5,992		$	4,306
Net Realized Gain (Loss) on Investments		12,435			5,210			91,037			(6,543	)		20,492			19,243
Net Change in Unrealized Appreciation (Depreciation) of Investments		35,615			(12,839	)		1,105			(48,275	)		48,574			(31,452	)
Net Increase (Decrease) in Net Assets Resulting from Operations		56,113			(1,886	)		95,447			(53,770	)		75,058			(7,903	)
Distributions to Shareholders from:
Net Investment Income		(5,715	)		(4,374	)		(1,047	)		(2,086	)		(4,278	)		(4,083	)
Net Realized Gain on Investments		—			—			—			—			(20,389	)		(26,147	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(5,715	)		(4,374	)		(1,047	)		(2,086	)		(24,667	)		(30,230	)
Capital Transactions:
Shares Sold		83,503			76,511			24,202			29,235			26,484			35,323
Reinvestment of Distributions Paid		5,715			4,374			1,047			2,086			24,667			30,230
Shares Redeemed		(37,440	)		(27,011	)		(103,478	)		(104,611	)		(61,896	)		(59,037	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		51,778			53,874			(78,229	)		(73,290	)		(10,745	)		6,516
Total Increase (Decrease) in Net Assets		102,176			47,614			16,171			(129,146	)		39,646			(31,617	)
Net Assets
Beginning of Period		306,921			259,307			812,782			941,928			439,395			471,012
End of Period	$	409,097		$	306,921		$	828,953		$	812,782		$	479,041		$	439,395
Undistributed Net Investment Income (Loss)	$	7,979		$	5,761		$	3,305		$	1,048		$	5,967		$	4,306
Portfolio Share Transactions:
Shares Sold		65,567			65,084			7,606			9,447			18,148			23,947
Reinvestment of Distributions Paid		4,409			3,980			328			724			17,420			23,218
Shares Redeemed		(29,259	)		(22,560	)		(32,457	)		(33,646	)		(42,730	)		(40,242	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		40,717			46,504			(24,523	)		(23,475	)		(7,162	)		6,923

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

228 Statements of Changes in Net Assets

Mid Cap Value Portfolio						Small Cap Growth Stock Portfolio						Index 600 Stock Portfolio						Small Cap Value Portfolio
For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011
$	3,114		$	1,975		$	(463	)	$	(831	)	$	907		$	318		$	5,982		$	1,820
	6,137			12,913			42,368			52,430			2,087			2,286			2,348			8,486
	12,637			(15,155	)		(6,639	)		(62,051	)		6,172			(2,123	)		49,986			(14,914	)
	21,888			(267	)		35,266			(10,452	)		9,166			481			58,316			(4,608	)
	(2,021	)		(2,135	)		-			(1,448	)		(1,766	)		(385	)		(1,466	)		(2,251	)
	-			-			-			-			(1,713	)		(1,522	)		(4,508	)		-
	(2,021	)		(2,135	)		-			(1,448	)		(3,479	)		(1,907	)		(5,974	)		(2,251	)
	34,700			23,891			15,904			28,480			17,563			12,499			40,451			42,410
	2,021			2,135			-			1,448			3,479			1,907			5,974			2,251
	(17,622	)		(17,497	)		(54,303	)		(57,634	)		(7,019	)		(4,959	)		(51,685	)		(49,495	)
	19,099			8,529			(38,399	)		(27,706	)		14,023			9,447			(5,260	)		(4,834	)
	38,966			6,127			(3,133	)		(39,606	)		19,710			8,021			47,082			(11,693	)
	124,257			118,130			379,359			418,965			54,012			45,991			362,566			374,259
$	163,223		$	124,257		$	376,226		$	379,359		$	73,722		$	54,012		$	409,648		$	362,566
$	2,891		$	1,998		$	2,246		$	-		$	53		$	29		$	5,972		$	1,793
	28,290			21,088			8,595			15,812			17,665			13,277			22,829			25,435
	1,627			2,011			-			874			3,459			2,091			3,408			1,466
	(14,307	)		(15,079	)		(29,293	)		(32,137	)		(7,076	)		(5,211	)		(29,098	)		(29,413	)
	15,610			8,020			(20,698	)		(15,451	)		14,048			10,157			(2,861	)		(2,512	)

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

Statements of Changes in Net Assets 229

Statements of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	International Growth Portfolio						Research International  Core Portfolio						International Equity Portfolio
	For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011
Change in Net Assets
Operations
Net Investment Income (Loss)	$	5,721		$	4,414		$	3,328		$	1,358		$	34,224		$	37,067
Net Realized Gain (Loss) on Investments		(7,796	)		2,626			(747	)		592			21,809			29,162
Net Change in Unrealized Appreciation (Depreciation) of Investments		51,550			(46,763	)		31,307			(10,879	)		212,574			(201,709	)
Net Increase (Decrease) in Net Assets Resulting from Operations		49,475			(39,723	)		33,888			(8,929	)		268,607			(135,480	)
Distributions to Shareholders from:
Net Investment Income		(4,070	)		(3,374	)		(3,294	)		(1,332	)		(35,832	)		(28,606	)
Net Realized Gain on Investments		-			-			-			-			-			-
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(4,070	)		(3,374	)		(3,294	)		(1,332	)		(35,832	)		(28,606	)
Capital Transactions:
Shares Sold		49,961			44,750			171,439			39,973			148,774			116,615
Reinvestment of Distributions Paid		4,070			3,374			3,294			1,332			35,832			28,606
Shares Redeemed		(35,933	)		(36,616	)		(36,015	)		(4,799	)		(149,755	)		(139,658	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		18,098			11,508			138,718			36,506			34,851			5,563
Total Increase (Decrease) in Net Assets		63,503			(31,589	)		169,312			26,245			267,626			(158,523	)
Net Assets
Beginning of Period		266,215			297,804			91,956			65,711			1,218,070			1,376,593
End of Period	$	329,718		$	266,215		$	261,268		$	91,956		$	1,485,696		$	1,218,070
Undistributed Net Investment Income (Loss)	$	5,268		$	4,496		$	420		$	322		$	35,439		$	35,752
Portfolio Share Transactions:
Shares Sold		44,799			38,690			232,466			51,270			93,644			69,216
Reinvestment of Distributions Paid		3,700			3,067			4,000			1,845			22,200			18,491
Shares Redeemed		(31,918	)		(31,461	)		(49,434	)		(5,949	)		(91,135	)		(81,767	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		16,581			10,296			187,032			47,166			24,709			5,940

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

230 Statements of Changes in Net Assets

Emerging Markets Equity Portfolio						Money Market Portfolio						Short-Term Bond Portfolio						Select Bond Portfolio
For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011
$	2,376		$	1,669		$	676		$	643		$	1,759		$	2,649		$	36,906		$	44,219
	981			11,755			(3	)		2			1,668			(2,305	)		37,965			25,113
	30,260			(40,913	)		-			-			(520	)		500			871			30,184
	33,617			(27,489	)		673			645			2,907			844			75,742			99,516
	(309	)		(1,340	)		(676	)		(643	)		(1,769	)		(2,242	)		(43,260	)		(47,795	)
	(93	)		-			-			(2	)		-			(251	)		(34,872	)		(28,703	)
	(402	)		(1,340	)		(676	)		(645	)		(1,769	)		(2,493	)		(78,132	)		(76,498	)
	94,004			78,927			261,916			288,387			53,918			47,668			272,418			195,170
	402			1,340			676			645			1,769			2,492			78,132			76,498
	(17,981	)		(45,267	)		(275,715	)		(268,760	)		(77,505	)		(13,215	)		(148,297	)		(171,352	)
	76,425			35,000			(13,123	)		20,272			(21,818	)		36,945			202,253			100,316
	109,640			6,171			(13,126	)		20,272			(20,680	)		35,296			199,863			123,334
	146,836			140,665			496,563			476,291			165,716			130,420			1,485,430			1,362,096
$	256,476		$	146,836		$	483,437		$	496,563		$	145,036		$	165,716		$	1,685,293		$	1,485,430
$	2,343		$	303		$	415		$	416		$	273		$	320		$	38,848		$	42,269
	95,524			78,053			261,916			288,387			52,333			46,117			206,880			149,815
	412			1,471			676			645			1,723			2,447			60,944			59,439
	(18,224	)		(41,932	)		(275,715	)		(268,761	)		(75,475	)		(12,802	)		(112,464	)		(131,284	)
	77,712			37,592			(13,123	)		20,271			(21,419	)		35,762			155,360			77,970

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

Statements of Changes in Net Assets 231

Statements of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	Long-Term U.S. Government Bond Portfolio						Inflation Protection Portfolio						High Yield Bond Portfolio
	For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,751		$	2,676		$	4,182		$	5,266		$	27,445		$	26,127
Net Realized Gain (Loss) on Investments		(1,208	)		23,355			5,864			1,701			175			5,272
Net Change in Unrealized Appreciation (Depreciation) of Investments		2,785			4,108			4,726			9,090			26,650			(15,182	)
Net Increase (Decrease) in Net Assets Resulting from Operations		4,328			30,139			14,772			16,057			54,270			16,217
Distributions to Shareholders from:
Net Investment Income		(2,108	)		(2,665	)		(5,598	)		(56	)		(26,613	)		(25,673	)
Net Realized Gain on Investments		(8,201	)		(14,522	)		(2,258	)		(1,196	)		-			-
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(10,309	)		(17,187	)		(7,856	)		(1,252	)		(26,613	)		(25,673	)
Capital Transactions:
Shares Sold		30,564			32,894			79,866			62,606			75,159			54,418
Reinvestment of Distributions Paid		10,309			17,187			7,856			1,251			26,613			25,673
Shares Redeemed		(68,905	)		(19,264	)		(18,837	)		(16,365	)		(44,776	)		(37,895	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(28,032	)		30,817			68,885			47,492			56,996			42,196
Total Increase (Decrease) in Net Assets		(34,013	)		43,769			75,801			62,297			84,653			32,740
Net Assets
Beginning of Period		147,149			103,380			178,375			116,078			376,289			343,549
End of Period	$	113,136		$	147,149		$	254,176		$	178,375		$	460,942		$	376,289
Undistributed Net Investment Income (Loss)	$	23		$	25		$	2,822		$	3,949		$	27,546		$	26,252
Portfolio Share Transactions:
Shares Sold		26,837			28,959			65,953			55,492			101,975			74,505
Reinvestment of Distributions Paid		9,468			15,235			6,652			1,083			37,168			37,755
Shares Redeemed		(60,368	)		(18,045	)		(15,520	)		(14,543	)		(60,648	)		(51,933	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(24,063	)		26,149			57,085			42,032			78,495			60,327

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

232 Statements of Changes in Net Assets

Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011
$	12,395		$	9,838		$	49,144		$	51,247		$	4,364		$	4,222
	6,453			5,347			174,617			46,909			23,713			3,043
	22,217			(6,023	)		(16,547	)		(51,923	)		(3,529	)		(7,267	)
	41,065			9,162			207,214			46,233			24,548			(2	)
	(1,319	)		(11,659	)		(26,176	)		(62,036	)		(545	)		(5,767	)
	(1,141	)		(4,168	)		-			-			-			-
	(2,460	)		(15,827	)		(26,176	)		(62,036	)		(545	)		(5,767	)
	121,444			87,414			95,710			106,877			17,527			19,192
	2,460			15,827			26,176			62,036			545			5,767
	(24,725	)		(44,157	)		(250,832	)		(260,072	)		(36,570	)		(37,099	)
	99,179			59,084			(128,946	)		(91,159	)		(18,498	)		(12,140	)
	137,784			52,419			52,092			(106,962	)		5,505			(17,909	)
	234,872			182,453			2,188,140			2,295,102			230,257			248,166
$	372,656		$	234,872		$	2,240,232		$	2,188,140		$	235,762		$	230,257
$	13,550		$	(90	)	$	73,431		$	10,277		$	6,893		$	(1,315	)
	112,153			83,111			65,209			75,439			16,052			18,232
	2,258			15,658			17,818			45,783			494			5,790
	(22,867	)		(42,560	)		(170,791	)		(184,722	)		(33,552	)		(35,293	)
	91,544			56,209			(87,764	)		(63,500	)		(17,006	)		(11,271	)

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

Statements of Changes in Net Assets 233

Consolidated Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	Commodities Return Strategy Portfolio
	For the Year Ended December 31, 2012			For the Period From Commencement of Operations to December 31, 2011
Change in Net Assets
Operations
Net Investment Income (Loss)	$	(841	)	$	(370	)
Net Realized Gain (Loss) on Investments		(3,110	)		(14,391	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		375			(208	)
Net Increase (Decrease) in Net Assets Resulting from Operations		(3,576	)		(14,969	)
Distributions to Shareholders from:
Net Investment Income		-			-
Net Realized Gain on Investments		(3	)		(3	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(3	)		(3	)
Capital Transactions:
Shares Sold		72,049			107,401
Reinvestment of Distributions Paid		3			3
Shares Redeemed		(6,164	)		(1,533	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		65,888			105,871
Total Increase (Decrease) in Net Assets		62,309			90,899
Net Assets
Beginning of Period		90,899			-
End of Period	$	153,208		$	90,899
Undistributed Net Investment Income (Loss)	$	(101	)	$	229
Portfolio Share Transactions:
Shares Sold		89,364			114,372
Reinvestment of Distributions Paid		4			4
Shares Redeemed		(7,647	)		(1,750	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		81,721			112,626

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

234 Consolidated Statement of Changes in Net Assets

Statement of Cash Flows

Northwestern Mutual Series Fund, Inc.

For the Year Ended December 31, 2012 (in thousands)

	Long-Term U.S. Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations	$	4,328
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities
Purchase of Investment Securities		(205,155	)
Proceeds from Disposition of Investment Securities		244,424
Proceeds from Disposition (Purchase) of Short-Term Investments, net		40,668
Proceeds from (Payments for) Closed Futures Contracts		278
Cash Paid for Terminated Options Written		(12	)
Premiums Received for Options Written		11
Amortization (Accretion) of Premium/Discount, net		326
(Increase) Decrease in:
Cash Collateral for Derivative Positions		1,009
Dividends and Interest Receivable		335
Payable for Investment Securities Purchased		(24,709	)
Payable for Investment Advisory Fees		(12	)
Accrued Expenses		11
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities		(2,838	)
Futures Contracts		53
Net Realized (Gain) Loss from:
Investment Securities		1,512
Futures Contracts		(305	)
Options Written		1
Paydowns		(11	)
Total Adjustments		55,586
Net Cash (Used in) Provided by Operating Activities		59,914
Cash Flows from Financing Activities
Cash Received from (Used for) Treasury Roll Transactions, net		(21,878	)
Proceeds from Capital Shares Sold		30,787
Payment on Capital Shares Redeemed		(68,786	)
Net Cash (Used in) Provided by Financing Activities		(59,877	)
Net Increase (Decrease) in Cash		37
Cash: Beginning of Period		-
Cash: End of Period	$	37

Supplemental disclosure of cash flow information:

Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $ 10,309.

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

Statement of Cash Flows 235

Financial Highlights

(For a share outstanding throughout the period)

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments
Growth Stock Portfolio
2012	$	2.09	$	0.02		$	0.25		$	0.27		$	(0.01	)	$	-
2011		2.13		0.01			(0.03	)		(0.02	)		(0.02	)		-
2010		1.92		0.02			0.21			0.23			(0.02	)		-
2009		1.41		0.01			0.52			0.53			(0.02	)		-
2008		2.49		0.02			(0.94	)		(0.92	)		(0.02	)		(0.14	)
Focused Appreciation Portfolio
2012	$	1.75	$	0.01		$	0.34		$	0.35		$	(0.01	)	$	-
2011		1.86		0.01			(0.12	)		(0.11	)		0.00	(e)		-
2010		1.70		0.00	(e)		0.16			0.16			-			-
2009		1.20		-			0.50			0.50			-			-
2008		2.05		-			(0.80	)		(0.80	)		(0.01	)		(0.04	)
Large Cap Core Stock Portfolio
2012	$	1.21	$	0.02		$	0.13		$	0.15		$	(0.02	)	$	-
2011		1.24		0.02			(0.04	)		(0.02	)		(0.01	)		-
2010		1.12		0.01			0.12			0.13			(0.01	)		-
2009		0.88		0.01			0.25			0.26			(0.02	)		-
2008		1.45		0.02			(0.57	)		(0.55	)		(0.02	)		-
Large Cap Blend Portfolio
2012	$	0.76	$	0.01		$	0.10		$	0.11		$	(0.01	)	$	(0.03	)
2011		0.78		0.01			(0.02	)		(0.01	)		(0.01	)		-
2010		0.69		0.01			0.09			0.10			(0.01	)		-
2009		0.55		0.01			0.14			0.15			(0.01	)		-
2008		0.93		0.01			(0.38	)		(0.37	)		(0.01	)		-
Index 500 Stock Portfolio
2012	$	2.54	$	0.06		$	0.34		$	0.40		$	(0.05	)	$	(0.05	)
2011		2.60		0.05			(0.01	)		0.04			(0.04	)		(0.06	)
2010		2.33		0.04			0.30			0.34			(0.05	)		(0.02	)
2009		1.95		0.05			0.45			0.50			(0.06	)		(0.06	)
2008		3.26		0.06			(1.22	)		(1.16	)		(0.06	)		(0.09	)
Large Company Value Portfolio
2012	$	0.73	$	0.02		$	0.11		$	0.13		$	(0.02	)	$	-
2011		0.74		0.01			(0.01	)		0.00	(e)		(0.01	)		-
2010		0.67		0.01			0.07			0.08			(0.01	)		-
2009		0.57		0.01			0.10			0.11			(0.01	)		-
2008		0.93		0.02			(0.36	)		(0.34	)		(0.02	)		-
Domestic Equity Portfolio
2012	$	0.87	$	0.02		$	0.11		$	0.13		$	(0.02	)	$	-
2011		0.89		0.02			(0.02	)		0.00	(e)		(0.02	)		-
2010		0.79		0.02			0.10			0.12			(0.02	)		-
2009		0.63		0.02			0.16			0.18			(0.02	)		-
2008		1.15		0.03			(0.44	)		(0.41	)		(0.03	)		(0.08	)
Equity Income Portfolio
2012	$	1.16	$	0.03		$	0.17		$	0.20		$	(0.02	)	$	-
2011		1.19		0.02			(0.03	)		(0.01	)		(0.02	)		-
2010		1.05		0.02			0.14			0.16			(0.02	)		-
2009		0.87		0.02			0.19			0.21			(0.03	)		-
2008		1.38		0.03			(0.51	)		(0.48	)		-			(0.03	)

(e) Amount is less than $0.005.

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

236 Financial Highlights

Total Distributions			Net Asset Value, End of Period		Total Return(d)			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets			Ratio of Net Expenses to Average Net Assets			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
$	(0.01	)	$	2.35		12.94	%	$	533,815		0.45	%		0.44	%		0.90	%		68.40	%
	(0.02	)		2.09		(1.30	)		514,007		-			0.44			0.65			47.15
	(0.02	)		2.13		12.37			556,872		-			0.44			0.83			48.90
	(0.02	)		1.92		37.17			535,535		-			0.44			0.92			50.16
	(0.16	)		1.41		(38.86	)		413,801		-			0.43			0.88			38.18
$	(0.01	)	$	2.09		20.14	%	$	388,620		0.79	%		0.74	%		0.71	%		15.65	%
	0.00	(e)		1.75		(6.10	)		305,120		0.79	(p)		0.74	(p)		0.32			45.98
	-			1.86		9.33			311,197		0.79	(p)		0.77	(p)		0.21			40.65
	-			1.70		42.47			264,946		-			0.79			(0.14	)		23.61
	(0.05	)		1.20		(40.01	)		171,551		-			0.78			(0.09	)		67.79
$	(0.02	)	$	1.34		11.63	%	$	384,679		0.46	%		0.46	%		1.43	%		74.09	%
	(0.01	)		1.21		(1.21	)		377,069		-			0.45			1.26			51.46
	(0.01	)		1.24		12.91			408,330		-			0.46			1.21			43.16
	(0.02	)		1.12		29.33			379,809		-			0.46			1.35			42.82
	(0.02	)		0.88		(38.74	)		310,665		-			0.44			1.35			50.12
$	(0.04	)	$	0.83		15.20	%	$	78,700		0.87	%		0.84	%		1.05	%		132.66	%
	(0.01	)		0.76		(2.29	)		69,268		-			0.82			0.82			35.91
	(0.01	)		0.78		14.29			63,777		-			0.84			0.83			34.89
	(0.01	)		0.69		27.40			47,031		-			0.85			1.33			39.32
	(0.01	)		0.55		(40.25	)		29,382		0.87			0.85			1.15			59.53
$	(0.10	)	$	2.84		15.76	%	$	1,704,471		0.22	%		0.21	%		2.12	%		2.77	%
	(0.10	)		2.54		1.95			1,569,801		-			0.21			1.86			3.21
	(0.07	)		2.60		14.89			1,625,787		-			0.21			1.84			4.14
	(0.12	)		2.33		26.40			1,478,052		-			0.20			2.34			5.70
	(0.15	)		1.95		(36.94	)		1,231,610		-			0.20			2.13			4.10
$	(0.02	)	$	0.84		16.47	%	$	86,915		0.82	%		0.79	%		1.99	%		34.71	%
	(0.01	)		0.73		1.49			69,674		-			0.78			1.84			47.30
	(0.01	)		0.74		10.95			61,011		-			0.80			1.67			29.84
	(0.01	)		0.67		20.70			45,465		-			0.80			2.11			26.95
	(0.02	)		0.57		(37.23	)		28,570		0.81			0.80			2.41			26.04
$	(0.02	)	$	0.98		14.35	%	$	400,058		0.58	%		0.58	%		2.23	%		134.18	%
	(0.02	)		0.87		0.91			385,811		-			0.57			2.26			40.73
	(0.02	)		0.89		14.62			408,437		-			0.58			2.29			48.18
	(0.02	)		0.79		29.52			361,647		-			0.59			2.99			67.19
	(0.11	)		0.63		(38.49	)		281,556		-			0.57			2.89			60.11
$	(0.02	)	$	1.34		17.23	%	$	409,097		0.68	%		0.68	%		2.21	%		16.21	%
	(0.02	)		1.16		(0.92	)		306,921		-			0.67			2.05			13.79
	(0.02	)		1.19		15.33			259,307		-			0.67			2.00			11.14
	(0.03	)		1.05		24.58			203,716		-			0.67			2.27			12.49
	(0.03	)		0.87		(35.81	)		151,641		-			0.67			2.61			28.82

(d) 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.

(p) For the Focused Appreciation Portfolio, expense ratios reflect total expenses before a management fee waiver effective August 12, 2010, (“Gross Expense Ratio”) and after such waiver (“Net Expense Ratio”).

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

Financial Highlights 237

Financial Highlights

(For a share outstanding throughout the period)

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments
Mid Cap Growth Stock Portfolio
2012	$	2.92	$	0.01		$	0.33		$	0.34		$	0.00	(e)	$	-
2011		3.12		0.00	(e)		(0.19	)		(0.19	)		(0.01	)		-
2010		2.52		0.01			0.60			0.61			(0.01	)		-
2009		1.92		-			0.61			0.61			(0.01	)		-
2008		3.68		0.01			(1.35	)		(1.34	)		(0.01	)		(0.41	)
Index 400 Stock Portfolio
2012	$	1.34	$	0.02		$	0.21		$	0.23		$	(0.01	)	$	(0.07	)
2011		1.47		0.01			(0.04	)		(0.03	)		(0.01	)		(0.09	)
2010		1.18		0.01			0.30			0.31			(0.01	)		(0.01	)
2009		0.90		0.01			0.32			0.33			(0.02	)		(0.03	)
2008		1.60		0.02			(0.55	)		(0.53	)		(0.02	)		(0.15	)
Mid Cap Value Portfolio
2012	$	1.13	$	0.03		$	0.16		$	0.19		$	(0.02	)	$	-
2011		1.16		0.02			(0.03	)		(0.01	)		(0.02	)		-
2010		0.98		0.02			0.17			0.19			(0.01	)		-
2009		0.81		0.02			0.17			0.19			(0.01	)		(0.01	)
2008		1.28		0.01			(0.46	)		(0.45	)		-			(0.02	)
Small Cap Growth Stock Portfolio
2012	$	1.72	$	0.00	(e)	$	0.16		$	0.16		$	-		$	-
2011		1.77		0.00	(e)		(0.04	)		(0.04	)		(0.01	)		-
2010		1.42		0.00	(e)		0.36			0.36			(0.01	)		-
2009		1.09		-			0.33			0.33			-			-
2008		2.37		-			(0.92	)		(0.92	)		-			(0.36	)
Index 600 Stock Portfolio
2012	$	0.91	$	0.01		$	0.14		$	0.15		$	(0.03	)	$	(0.02	)
2011		0.94		0.01			(0.01	)		0.00	(e)		(0.01	)		(0.02	)
2010		0.77		0.01			0.19			0.20			(0.03	)		-
2009		0.64		0.01			0.15			0.16			(0.03	)		(0.01	)
2008		0.93		0.01			(0.29	)		(0.28	)		-			(0.01	)
Small Cap Value Portfolio
2012	$	1.65	$	0.03		$	0.24		$	0.27		$	(0.01	)	$	(0.02	)
2011		1.69		0.01			(0.04	)		(0.03	)		(0.01	)		-
2010		1.40		0.01			0.30			0.31			(0.02	)		-
2009		1.14		0.01			0.30			0.31			(0.01	)		(0.04	)
2008		1.72		0.01			(0.45	)		(0.44	)		(0.01	)		(0.13	)
International Growth Portfolio
2012	$	1.04	$	0.02		$	0.17		$	0.19		$	(0.02	)	$	-
2011		1.21		0.02			(0.18	)		(0.16	)		(0.01	)		-
2010		1.05		0.02			0.15			0.17			(0.01	)		-
2009		0.86		0.02			0.18			0.20			(0.01	)		-
2008		1.82		0.03			(0.80	)		(0.77	)		(0.02	)		(0.17	)
Research International Core Portfolio
2012	$	0.72	$	0.01		$	0.11		$	0.12		$	(0.01	)	$	-
2011		0.82		0.01			(0.10	)		(0.09	)		(0.01	)		-
2010		0.75		0.01			0.07			0.08			(0.01	)		-
2009		0.58		0.01			0.17			0.18			(0.01	)		-
2008		1.04		0.02			(0.46	)		(0.44	)		(0.01	)		(0.01	)

(e) Amount is less than $0.005.

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

238 Financial Highlights

Total Distributions			Net Asset Value, End of Period		Total Return(d)			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets			Ratio of Net Expenses to Average Net Assets			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
$	0.00	(e)	$	3.26		11.97	%	$	828,953		0.54	%		0.52	%		0.39	%		63.30	%
	(0.01	)		2.92		(6.18	)		812,782		-			0.53			0.12			50.26
	(0.01	)		3.12		23.86			941,928		-			0.54			0.33			41.04
	(0.01	)		2.52		32.09	(o)		831,412		-			0.54			0.23			39.73
	(0.42	)		1.92		(40.08	)		695,626		-			0.53			0.20			43.67
$	(0.08	)	$	1.49		17.64	%	$	479,041		0.28	%		0.28	%		1.27	%		10.91	%
	(0.10	)		1.34		(1.92	)		439,395		-			0.27			1.04			13.15
	(0.02	)		1.47		26.29			471,012		-			0.27			1.10			9.93
	(0.05	)		1.18		37.00			400,128		-			0.26			1.35			13.40
	(0.17	)		0.90		(36.28	)		319,515		-			0.26			1.50			15.94
$	(0.02	)	$	1.30		16.57	%	$	163,223		0.93	%		0.93	%		2.14	%		75.97	%
	(0.02	)		1.13		(0.61	)		124,257		-			0.91			1.66			100.60
	(0.01	)		1.16		19.93			118,130		-			0.92			2.35			121.65
	(0.02	)		0.98		23.24			94,985		-			0.94			1.91			207.63
	(0.02	)		0.81		(35.07	)		74,681		-			0.89			1.01			50.78
$	-		$	1.88		9.48	%	$	376,226		0.59	%		0.59	%		(0.12	)%		76.49	%
	(0.01	)		1.72		(2.78	)		379,359		-			0.57			(0.20	)		75.67
	(0.01	)		1.77		25.85			418,965		-			0.59			0.03			74.54
	-			1.42		31.17			350,161		-			0.59			0.15			111.08
	(0.36	)		1.09		(43.87	)		284,621		-			0.57			0.01			146.28
$	(0.05	)	$	1.01		15.80	%	$	73,722		0.42	%		0.35	%		1.36	%		38.47	%
	(0.03	)		0.91		0.90			54,012		0.37			0.35			0.72			52.75
	(0.03	)		0.94		25.90			45,991		0.42			0.35			0.88			46.88
	(0.03	)		0.77		25.17			30,716		0.45			0.35			0.78			51.96
	(0.01	)		0.64		(31.30	)		21,174		0.55			0.35			1.38			71.09
$	(0.03	)	$	1.89		16.33	%	$	409,648		0.88	%		0.88	%		1.54	%		5.82	%
	(0.01	)		1.65		(1.36	)		362,566		-			0.87			0.63			7.25
	(0.02	)		1.69		21.95			374,259		-			0.87			0.85			11.51
	(0.05	)		1.40		28.18			308,928		-			0.86			0.76			21.11
	(0.14	)		1.14		(28.13	)		240,817		-			0.87			0.87			22.94
$	(0.02	)	$	1.21		17.99	%	$	329,718		0.80	%		0.80	%		1.92	%		65.36	%
	(0.01	)		1.04		(13.17	)		266,215		-			0.78			1.50			82.02
	(0.01	)		1.21		16.43			297,804		0.81	(q)		0.69	(q)		1.40			150.91
	(0.01	)		1.05		23.16			246,868		-			0.85			1.95			218.24
	(0.19	)		0.86		(46.19	)		197,383		0.80			0.79			1.96			134.71
$	(0.01	)	$	0.83		16.76	%	$	261,268		1.11	%		1.11	%		1.83	%		42.10	%
	(0.01	)		0.72		(10.48	)		91,956		1.37			1.15			1.79			34.10
	(0.01	)		0.82		11.05			65,711		1.38			1.15			1.54			47.90
	(0.01	)		0.75		30.82			51,345		1.69			1.15			1.94			64.57
	(0.02	)		0.58		(42.54	)		33,435		1.69			1.15			2.27			77.80

(d) 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.

(o) Total return reflects the effect of a one-time class action settlement received on June 18, 2009. Absent the payment, returns would have been lower.

(q) For the International Growth Portfolio, expense ratios reflect total expenses before a management fee waiver effective from October 1, 2010, through December 31, 2010, (“Gross Expense Ratio”) and after such waiver (“Net Expense Ratio”).

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

Financial Highlights 239

Financial Highlights

(For a share outstanding throughout the period)

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments
International Equity Portfolio
2012	$	1.52	$	0.04		$	0.27		$	0.31		$	(0.04	)	$	-
2011		1.73		0.05			(0.22	)		(0.17	)		(0.04	)		-
2010		1.65		0.04			0.09			0.13			(0.05	)		-
2009		1.32		0.04			0.39			0.43			(0.07	)		(0.03	)
2008		2.67		0.07			(1.16	)		(1.09	)		(0.05	)		(0.21	)
Emerging Markets Equity Portfolio
2012	$	0.89	$	0.01		$	0.16		$	0.17		$	0.00	(e)	$	0.00	(e)
2011		1.11		0.01			(0.22	)		(0.21	)		(0.01	)		-
2010		0.90		0.01			0.21			0.22			(0.01	)		-
2009		0.53		0.01			0.37			0.38			(0.01	)		-
2008		1.24		0.02			(0.71	)		(0.69	)		(0.02	)		-
Money Market Portfolio
2012	$	1.00	$	0.00	(e)	$	0.00	(e)	$	0.00	(e)	$	0.00	(e)	$	-
2011		1.00		0.00	(e)		-			0.00	(e)		0.00	(e)		0.00	(e)
2010		1.00		0.00	(e)		-			0.00	(e)		0.00	(e)		0.00	(e)
2009		1.00		0.01			-			0.01			(0.01	)		-
2008		1.00		0.03			-			0.03			(0.03	)		-
Short-Term Bond Portfolio
2012	$	1.02	$	0.01		$	0.01		$	0.02		$	(0.01	)	$	-
2011		1.03		0.02			(0.01	)		0.01			(0.02	)		0.00	(e)
2010		1.02		0.03			0.02			0.05			(0.03	)		(0.01	)
2009		0.99		0.04			0.02			0.06			(0.03	)		-
2008		1.00		0.04			(0.01	)		0.03			(0.04	)		-
Select Bond Portfolio
2012	$	1.31	$	0.03		$	0.03		$	0.06		$	(0.04	)	$	(0.03	)
2011		1.29		0.04			0.05			0.09			(0.04	)		(0.03	)
2010		1.26		0.05			0.03			0.08			(0.05	)		0.00	(e)
2009		1.21		0.06			0.05			0.11			(0.06	)		-
2008		1.23		0.06			(0.02	)		0.04			(0.06	)		-
Long-Term U.S. Government Bond Portfolio
2012	$	1.13	$	0.03		$	0.02		$	0.05		$	(0.02	)	$	(0.09	)
2011		1.00		0.03			0.25			0.28			(0.02	)		(0.13	)
2010		1.00		0.03			0.08			0.11			(0.05	)		(0.06	)
2009		1.22		0.03			(0.11	)		(0.08	)		-			(0.14	)
2008		1.04		0.03			0.19			0.22			(0.02	)		(0.02	)
Inflation Protection Portfolio
2012	$	1.18	$	0.02		$	0.06		$	0.08		$	(0.03	)	$	(0.01	)
2011		1.06		0.04			0.09			0.13			0.00	(e)		(0.01	)
2010		1.06		0.03			0.03			0.06			(0.04	)		(0.02	)
2009		0.99		0.02			0.07			0.09			(0.02	)		-
2008		1.04		0.05			(0.06	)		(0.01	)		(0.04	)		-

(e) Amount is less than $0.005.

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

240 Financial Highlights

Total Distributions			Net Asset Value, End of Period		Total Return(d)			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets			Ratio of Net Expenses to Average Net Assets			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
$	(0.04	)	$	1.79		21.52	%	$	1,485,696		0.73	%		0.68	%		2.55	%		41.34	%
	(0.04	)		1.52		(10.10	)		1,218,070		0.72	(f)		0.67	(f)		2.75			32.06
	(0.05	)		1.73		7.67			1,376,593		0.72	(f)		0.67	(f)		2.33			28.57
	(0.10	)		1.65		33.11	(o)		1,289,943		0.72	(f)		0.66	(f)		2.79			10.85
	(0.26	)		1.32		(43.78	)		1,009,367		0.71	(f)		0.65	(f)		3.26			2.98
$	0.00	(e)	$	1.06		18.83	%	$	256,476		1.49	%		1.48	%		1.17	%		27.32	%
	(0.01	)		0.89		(18.66	)		146,836		1.59			1.50			1.21			45.56
	(0.01	)		1.11		24.08			140,665		1.57			1.50			0.98			51.60
	(0.01	)		0.90		69.73			113,931		1.62			1.50			1.37			66.35
	(0.02	)		0.53		(55.22	)		52,386		1.79			1.50			2.10			109.36
$	0.00	(e)	$	1.00		0.15	%	$	483,437		0.32	%(l)		0.09	%(l)		0.15	%		-	%
	0.00	(e)		1.00		0.14			496,563		0.30	(l)		0.08	(l)		0.13			-
	0.00	(e)		1.00		0.29			476,291		0.30	(l)		0.00	(e),(l)		0.29			-
	(0.01	)		1.00		0.76	(o)		570,855		0.34	(l),(m)		0.04	(l),(m)		0.62			-
	(0.03	)		1.00		2.76			622,620		0.32	(l),(m)		0.32	(l),(m)		2.66			-
$	(0.01	)	$	1.03		2.07	%	$	145,036		0.41	%		0.40	%		1.18	%		267.65	%
	(0.02	)		1.02		0.55			165,716		-			0.38			1.79			116.64
	(0.04	)		1.03		3.63			130,420		-			0.39			2.48			115.08
	(0.03	)		1.02		7.22			96,710		-			0.39			3.54			65.56
	(0.04	)		0.99		2.71			69,797		-			0.40			4.29			74.86	(g)
$	(0.07	)	$	1.30		4.96	%	$	1,685,293		0.32	%		0.31	%		2.32	%		130.37	%(g)
	(0.07	)		1.31		7.16			1,485,430		-			0.30			3.10			139.34	(g)
	(0.05	)		1.29		6.59			1,362,096		-			0.30			3.51			112.85	(g)
	(0.06	)		1.26		9.37			1,200,071		-			0.30			4.42			66.49	(g)
	(0.06	)		1.21		3.26			1,088,647		-			0.30			5.06			85.39	(g)
$	(0.11	)	$	1.07		3.75	%	$	113,136		0.66	%(s)		0.65	%(s)		2.35	%		164.63	%(g) (t)
	(0.15	)		1.13		28.92			147,149		-			0.59			2.32			665.73	(g)
	(0.11	)		1.00		10.62			103,380		-			0.60			2.76			525.61	(g)
	(0.14	)		1.00		(6.98	)		82,888		-			0.60			2.75			589.06	(g)
	(0.04	)		1.22		20.76			90,206		-			0.62			2.51			272.80	(g)
$	(0.04	)	$	1.22		7.35	%	$	254,176		0.63	%		0.62	%		1.92	%		77.11	%
	(0.01	)		1.18		11.93			178,375		-			0.61			3.74			52.72
	(0.06	)		1.06		5.60			116,078		-			0.61			2.43			68.09
	(0.02	)		1.06		9.98			105,670		-			0.61			2.35			63.47
	(0.04	)		0.99		(1.38	)		69,140		-			0.62			4.34			48.63	(g)

(d) 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.

(f) For the International Equity Portfolio, expense ratios reflect total expenses before a management fee waiver in effect from November 15, 2006, (“Gross Expense Ratio”) and after such waiver (“Net Expense Ratio”).

(g) Portfolio Turnover Rate excludes the impact of mortgage dollar roll transactions.

(l) For the Money Market Portfolio, expense ratios reflect total expenses before a management fee waiver in effect December 31, 2008, (“Gross Expense Ratio”) and after such waiver (“Net Expense Ratio”).

(m) Reflects fee paid by the Portfolio to participate in the U.S. Department of Treasury’s Temporary Guarantee Program for Money Market Funds.

(o) Total return reflects the effect of a one-time class action settlement received on June 18, 2009. Absent the payment, returns would have been lower.

(s) 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 0.63% and 0.62% respectively.

(t) Due to a change in accounting standards effective for 2012, certain treasury roll transactions which were previously accounted for as a sale and subsequent repurchase are now accounted for as a secured borrowing. Had the change in standards not occurred, the portfolio turnover rate would have been 504.73%.

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

Financial Highlights 241

Financial Highlights

(For a share outstanding throughout the period)

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)				Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments
High Yield Bond Portfolio
2012	$	0.70	$	0.05			$	0.05		$	0.10		$	(0.05	)	$	-
2011		0.72		0.05				(0.02	)		0.03			(0.05	)		-
2010		0.68		0.06				0.03			0.09			(0.05	)		-
2009		0.51		0.05				0.18			0.23			(0.06	)		-
2008		0.70		0.05				(0.19	)		(0.14	)		(0.05	)		-
Multi-Sector Bond Portfolio
2012	$	1.00	$	0.04			$	0.11		$	0.15		$	(0.01	)	$	0.00	(e)
2011		1.03		0.05				(0.01	)		0.04			(0.05	)		(0.02	)
2010		0.99		0.06				0.08			0.14			(0.08	)		(0.02	)
2009		0.85		0.04				0.15			0.19			(0.03	)		(0.02	)
2008		0.98		0.04				(0.11	)		(0.07	)		(0.06	)		-
Commodities Return Strategy Portfolio
2012	$	0.81	$	(0.01	)	��	$	(0.01	)	$	(0.02	)	$	-		$	0.00	(e)
2011(h)		1.00		0.00	(e)			(0.19	)		(0.19	)		-			0.00	(e)
Balanced Portfolio
2012	$	1.39	$	0.03			$	0.11		$	0.14		$	(0.02	)	$	-
2011		1.40		0.03				0.00	(e)		0.03			(0.04	)		-
2010		1.28		0.03				0.12			0.15			(0.03	)		-
2009		1.10		0.04				0.19			0.23			(0.05	)		-
2008		1.99		0.05				(0.41	)		(0.36	)		(0.02	)		(0.51	)
Asset Allocation Portfolio
2012	$	1.02	$	0.02			$	0.09		$	0.11		$	0.00	(e)	$	-
2011		1.05		0.02				(0.02	)		0.00	(e)		(0.03	)		-
2010		0.96		0.02				0.10			0.12			(0.03	)		-
2009		0.77		0.02				0.20			0.22			(0.03	)		-
2008		1.24		0.03				(0.38	)		(0.35	)		(0.03	)		(0.09	)

(e) Amount is less than $0.005.

(h) For the period April 29,2011 (commencement of operations) through December 31,2011.

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

242 Financial Highlights

Total Distributions			Net Asset Value, End of Period		Total Return(d)			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets			Ratio of Net Expenses to Average Net Assets			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
$	(0.05	)	$	0.75		13.89	%	$	460,942		0.48	%		0.47	%		6.50	%		45.66	%
	(0.05	)		0.70		4.59			376,289		-			0.46			7.33			44.40
	(0.05	)		0.72		14.56			343,549		-			0.47			7.99			71.62
	(0.06	)		0.68		45.39			299,022		-			0.48			8.74			75.30
	(0.05	)		0.51		(21.35	)		212,003		-			0.47			8.55			43.30
$	(0.01	)	$	1.14		14.94	%	$	372,656		0.86	%		0.85	%		4.11	%		41.31	%(g)
	(0.07	)		1.00		4.99			234,872		-			0.83			5.15			59.18	(g)
	(0.10	)		1.03		13.19			182,453		-			0.84			5.41			102.10	(g)
	(0.05	)		0.99		22.08			145,720		-			0.85			4.43			93.70	(g)
	(0.06	)		0.85		(6.86	)		94,121		-			0.88			4.40			23.40	(g)
$	0.00	(e)	$	0.79		(2.35	)%	$	153,208		0.89	%		0.89	%		(0.67	)%		109.06	%(g)
	0.00	(e)		0.81		(19.30	)		90,899		-	(c)		0.91	(c)		(0.51	)(c)		81.69	(g)
$	(0.02	)	$	1.51		9.69	%	$	2,240,232		0.31	%		0.30	%		2.18	%		121.91	%(g)
	(0.04	)		1.39		2.11			2,188,140		-			0.30			2.27			114.17	(g)
	(0.03	)		1.40		11.96			2,295,102		-			0.30			2.58			81.33	(g)
	(0.05	)		1.28		21.43			2,202,539		-			0.30			3.07			73.12	(g)
	(0.53	)		1.10		(22.72	)		1,994,701		-			0.30			3.26			68.34	(g)
$	0.00	(e)	$	1.13		11.02	%	$	235,762		0.63	%		0.54	%		1.84	%		119.01	%(g)
	(0.03	)		1.02		(0.08	)		230,257		0.58			0.53			1.74			95.15	(g)
	(0.03	)		1.05		13.01			248,166		0.58			0.53			2.01			73.04	(g)
	(0.03	)		0.96		27.09			232,454		0.60			0.55			2.44			78.15	(g)
	(0.12	)		0.77		(30.13	)		199,640		0.60			0.54			2.59			74.22	(g)

(c) Computed on an annualized basis.

(d) 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.

(g) Portfolio Turnover Rate excludes the impact of mortgage dollar roll transactions.

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

Financial Highlights 243

Notes to Financial Statements

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. 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, 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, Commodities Return Strategy 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 The Northwestern Mutual Life Insurance Company (“Northwestern Mutual”) for its general account and/or for its segregated asset accounts (either directly or indirectly through one or more underlying Portfolios operating as affiliated fund of funds).

During the period ended December 31, 2012, Northwestern Mutual made redemptions from the following Portfolios totaling:

Portfolio	Redemption Amount
Research International Core	$	27,365,772
Short-Term Bond		59,636,963
Long-Term U.S. Government Bond		43,771,615

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 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 dividend income taxes imposed by certain countries in which they invest. Foreign withholding taxes on dividends are netted against dividend income and separately disclosed in the Statements of Operations.

Some of the Portfolios may be subject to capital gains taxes and repatriation taxes imposed by certain countries in which they invest. The Portfolios may record a deferred tax liability in respect of unrealized appreciation on foreign securities for capital gains net of losses, if applicable, and repatriation taxes.

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 its taxable income to its 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 on distributable income and gains. Therefore, no federal income tax or excise provision is required.

In accordance with the authoritative guidance for uncertainty in income taxes, management of the Portfolios has reviewed all open tax years (2008 to 2012) 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 resulting from unrecognized tax benefits 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 each business day for the Money Market Portfolio and at least annually for the remaining Portfolios of the Series Fund, 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

244 Notes to Financial Statements

Notes to Financial Statements

or as soon as information from foreign issuers is available. Where applicable, dividends are recorded net of foreign withholding tax. Discounts and premiums on securities purchased are amortized over the life of the respective securities using the effective interest method.

F. New Accounting Pronouncements —In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) to enhance disclosures about financial instruments and derivative instruments that are subject to offsetting (“netting”) on the Statements of Assets and Liabilities. This information will enable users of the entity’s financial statements to evaluate the effect or potential effect of netting arrangements on the entity’s financial position. The ASU is effective prospectively during interim or annual periods beginning on or after January 1, 2013. At this time, management is evaluating the implications of these changes on the 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:

• Level 1 — fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

• Level 2 — fair value is determined by other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and other data used in fair valuation)

• 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:

• Equity securities (common and preferred stock) for which market quotations are readily available are valued at the last sale or 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 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 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.

• Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, 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.

• 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.

Notes to Financial Statements 245

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• 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.

• Investments in open-end mutual funds (including other Portfolios) are valued at the mutual fund’s closing net asset value per share and are categorized as Level 1 in the fair value hierarchy. Investments in privately held mutual funds are valued at the mutual fund’s closing net asset value per share and are categorized as Level 2 in the fair value hierarchy.

• Money market investments, other than in the Money Market Portfolio, with maturities exceeding 60 days are generally valued by a pricing service. Money market investments with maturities of 60 days or less and all securities in the 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.

• Listed derivatives, such as futures or option contracts, that 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.

• Over-the-counter financial derivatives, such as foreign currency contracts, futures 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:

• 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. 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, 2012 included, but were not limited to, broker quotes, analysis of the likely outcome of pending litigation, liquidity, prepayment speed, duration and recoverability.

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. The Portfolios recognize transfers between levels as of the end of the period.

At December 31, 2012, the fair market value of certain securities was adjusted, resulting in their level 2 classification, due to developments that occurred between the time of the close of the foreign markets on which they trade and the close of regular session trading on the NYSE. The following table summarizes security transfers from Level 1 to Level 2 for each Portfolio as of December 31, 2012 (amounts in thousands):

Portfolio	Amount
Equity Income Portfolio	$	3,170
Mid Cap Value Portfolio		1,546
International Growth Portfolio	$	208,282
Research International Core Portfolio		207,720
International Equity Portfolio		1,144,581
Emerging Markets Equity Portfolio		144,778

246 Notes to Financial Statements

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In addition, management concluded that investments in open end money market mutual funds should be classified as Level 1, resulting in transfers from Level 2 to Level 1. Additionally, preferred securities were transferred from level 2 to level 1 due to availability of closing market price. The following table summarizes security transfers from Level 2 to Level 1 for each Portfolio as of December 31, 2012 (amounts in thousands):

Portfolio	Amount
Large Company Value Portfolio	$	1,295
Equity Income Portfolio		19,021
Mid Cap Value Portfolio		2,926
Small Cap Value Portfolio		8,950
Long-Term US Government Bond Portfolio		113
High Yield Bond Portfolio		3,106
Balanced Portfolio		1,146
Asset Allocation Portfolio		166

In addition, certain securities no longer were valued based on significant observable inputs resulting in transfers from Level 2 to Level 3. The following table summarizes security transfers from Level 2 to Level 3 for each Portfolio as of December 31, 2012 (amounts in thousands):

Portfolio	Amount
Short-Term Bond Portfolio	$	550
Select Bond Portfolio		6,467
Multi-Sector Portfolio		1,228
Balanced Portfolio		4,066
Asset Allocation Portfolio		203

The Series Fund has adopted policies and procedures which govern the pricing of Portfolio securities. The Series Fund’s Board of Directors has delegated the day-to-day responsibility for pricing Portfolio securities and other investments to Mason Street Advisors, LLC (“MSA”), the Portfolios’ investment adviser and Northwestern Mutual in its capacity as fund accountant, subject to the oversight of a Pricing Committee appointed by the Board. The Pricing Committee is charged with the primary and day-to-day operational responsibility for executing the valuation process. The Pricing Committee has been delegated the authority to approve the override of any prices as permitted under the pricing procedures approved by the Board of Directors and any variances from these pricing procedures when appropriate. All such actions are subject to further review and approval by the Board of Directors at its next regular meeting.

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. When delayed delivery purchases are outstanding, a Portfolio will earmark liquid assets on their records in amounts sufficient to meet the purchase price. 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.

Notes to Financial Statements 247

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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.

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 dividends 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 in the principal amount of an inflation indexed bond will be included as interest income in the Statements of Operations even though investors do not receive their principal until maturity.

G. Securities Lending — Each Portfolio is authorized to participate in securities lending, however, only the Select Bond and Balanced Portfolios currently have an established securities lending program that enables each to loan securities to approved broker-dealers. The Portfolios receive cash (U.S. currency), U.S. government or U.S. government agency obligations as collateral against the loaned securities. To the extent that a loan is collateralized by cash, such collateral is invested by the Portfolios in commercial paper to earn interest in accordance with the Portfolios’ investment policies. For the period ended December 31, 2012, the Select Bond and Balanced Portfolios earned $471,151 and $482,111, respectively, in interest from securities lending activity, which is included as interest income in the Statements of Operations. The collateral received under the securities lending program is recorded on each Portfolio’s Statement of Assets and Liabilities along with the related obligation to return the collateral.

Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is recorded as income for the Portfolios. All collateral received will be in an amount at least equal to 102% (for loans of U.S. securities) or 105% (for non-U.S. securities) of the market value of the loaned securities at the inception of each loan. Thereafter, each loan must be continuously secured by collateral at least equal at all times to the value of the securities on loan. In addition, the Portfolios are entitled to terminate a securities loan at any time. As of December 31, 2012, the value of outstanding securities on loan and the value of collateral amounted to the following:

Portfolio	Values of Securities on Loan		Value of Collateral
Select Bond Portfolio	$	65,469,505	$	67,068,750
Balanced Portfolio		49,500,820		50,495,625

248 Notes to Financial Statements

Notes to Financial Statements

As of December 31, 2012, collateral received for securities on loan was invested in money market instruments and included in Investments on each Portfolio’s Statement of Assets and Liabilities.

H. 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. As of December 31, 2012, short positions were held by the Large Company Value Portfolio and Multi-Sector Bond Portfolio.

I. Treasury Roll Transactions — In April 2011, the FASB issued an ASU related to accounting for repurchase agreements and similar agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. The ASU modified the criteria for determining effective control of transferred assets and as a result certain treasury roll transactions are now accounted for as secured borrowings. Certain Portfolios may enter into treasury roll transactions. In a treasury roll transaction, the Portfolio transfers a treasury 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 treasury roll 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 treasury 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 treasury roll transaction exceeds the investment income and dividends to shareholders may be adversely impacted. Treasury roll 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.

J. 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 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. For the period ended December 31, 2012, only the High Yield Bond Portfolio invested in loan participations and assignments. At December 31, 2012 there were no unfunded loan commitments outstanding.

Notes to Financial Statements 249

Notes to Financial Statements

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, to earn income and enhance returns, or as an alternative to direct investments. The Portfolios have adopted amendments to authoritative guidance regarding disclosures of derivatives and hedging activity. This guidance requires qualitative disclosures about objectives and strategies for using derivatives and quantitative disclosures about fair value amounts of, and gains and losses on, derivative instruments. The disclosure requirements distinguish between derivatives which are accounted for as “hedges” and those that do not qualify for such accounting. 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 under the guidance.

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.

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 (call) 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.

250 Notes to Financial Statements

Notes to Financial Statements

Transactions in written call and put options for the period ended December 31, 2012 were as follows (amounts in thousands, except number of contracts):

	Balance at 12/31/2011		Sales		Closing Buys			Expirations			Exercised			Balance at 12/31/2012
Growth Stock Portfolio
# of Contracts		-		1,448		(50	)		(1,293	)		(105	)		-
Notional Amount		-		145		(5	)		(129	)		(11	)		-
Premium	$	-		243		(37	)		(128	)		(78	)	$	-
Large Cap Core Stock Portfolio
# of Contracts		-		261		(30	)		(231	)		-			-
Notional Amount		-		26		(3	)		(23	)		-			-
Premium	$	-		47		(22	)		(25	)		-		$	-
Small Cap Growth Stock Portfolio
# of Contracts		-		7,979		-			(5,031	)		(2,948	)		-
Notional Amount		-		798		-			(503	)		(295	)		-
Premium	$	-		257		-			(157	)		(100	)	$	-
Long-Term U.S. Government Bond Portfolio
# of Contracts		-		20		(10	)		(10	)		-			-
Notional Amount		-		20		(10	)		(10	)		-			-
Premium	$	-		11		(6	)		(5	)		-		$	-
Multi-Sector Bond Portfolio
# of Contracts		565		1,480		(180	)		(715	)		(330	)		820
Notional Amount		5,538		14,800		(1,800	)		(7,038	)		(3,300	)		8,200
Premium	$	54		78		(13	)		(57	)		(17	)	$	45
Balanced Portfolio
# of Contracts		-		395		(47	)		(300	)		(48	)		-
Notional Amount		-		40		(5	)		(30	)		(5	)		-
Premium	$	-		78		(35	)		(7	)		(36	)	$	-
Asset Allocation Portfolio
# of Contracts		-		52		(6	)		(40	)		(6	)		-
Notional Amount		-		5		(1	)		(4	)		-			-
Premium	$	-		10		(5	)		(1	)		(4	)	$	-

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 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

Notes to Financial Statements 251

Notes to Financial Statements

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.

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 as of December 31, 2012 for each Portfolio are disclosed in the footnotes to 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. Commodity-Linked Derivatives — The Commodities Portfolio invests in commodity-linked derivative instruments that provide exposure to the investment returns of the commodities market or a commodity index without investing directly in physical commodities. Such instruments may include swap agreements, options, futures and options on futures. The prices of commodity-linked instruments may move in different directions than investments in traditional equity and debt securities. However, there can be no guarantee that the Portfolio’s commodity linked investments would not be correlated with traditional financial assets under any particular market conditions. The value of commodity linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

252 Notes to Financial Statements

Notes to Financial Statements

F. 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, 2012, are (amounts in thousands):

	Asset Derivatives - December 31, 2012			Liability Derivatives - December 31, 2012
Portfolio	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Growth Stock
Equity contracts	Receivables - Futures Variation Margin	$	428	Payables - Futures Variation Margin	$	-
Large Cap Core Stock
Equity contracts	Receivables - Futures Variation Margin		123	Payables - Futures Variation Margin		-
Index 500 Stock
Equity contracts	Receivables - Futures Variation Margin		531	Payables - Futures Variation Margin		-
Mid Cap Growth Stock
Equity contracts	Receivables - Futures Variation Margin		1,347	Payables - Futures Variation Margin		-
Index 400 Stock
Equity contracts	Receivables - Futures Variation Margin		240	Payables - Futures Variation Margin		-
Mid Cap Value
Foreign exchange contracts	Receivables - Foreign Currency Sold		-	Payables - Foreign Currency Purchased		1
Small Cap Growth Stock
Equity contracts	Receivables - Futures Variation Margin		574	Payables - Futures Variation Margin		-
Short-Term Bond
Interest rate contracts	Receivables - Futures Variation Margin		20	Payables - Futures Variation Margin		-
Select Bond
Interest rate contracts	Receivables - Futures Variation Margin		258	Payables - Futures Variation Margin		-
Long-Term U.S. Government Bond
Interest rate contracts	Receivables - Futures Variation Margin		-	Payables - Futures Variation Margin		5
Inflation Protection
Foreign exchange contracts	Receivables - Foreign Currency Sold		203	Payables - Foreign Currency Purchased		663
Interest rate contracts	Receivables - Outstanding Swaps Contracts, at Value		252	Payables - Outstanding Swaps Contracts, at Value		634
Multi-Sector Bond
Credit contracts	Receivables - Outstanding Swaps Contracts, at Value		4,680	Payables - Outstanding Swaps Contracts, at Value		1,388
Foreign exchange contracts	Receivables - Foreign Currency Sold		238	Payables - Foreign Currency Purchased		1,120
Interest rate contracts	Receivables - Futures Variation Margin		-	Payables - Futures Variation Margin		17
Interest rate contracts	Receivables - Outstanding Options Written, at Value		-	Payables - Outstanding Options Written, at Value		54
Interest rate contracts	Receivables - Outstanding Swaps Contracts, at Value		1.181	Payables - Outstanding Swaps Contracts, at Value		216
Balanced
Equity contracts	Receivables - Futures Variation Margin		1,861	Payables - Futures Variation Margin		-
Equity contracts	Receivables - Outstanding Swaps Contracts, at Value		9,020	Payables - Outstanding Swaps Contracts, at Value		4,927
Foreign exchange contracts	Receivables - Foreign Currency Sold		-	Payables - Foreign Currency Purchased		738
Interest rate contracts	Receivables - Futures Variation Margin		211	Payables - Futures Variation Margin		137
Asset Allocation
Equity contracts	Receivables - Futures Variation Margin		166	Payables - Futures Variation Margin		-
Equity contracts	Receivables - Outstanding Swaps Contracts, at Value		958	Payables - Outstanding Swaps Contracts, at Value		417
Foreign exchange contracts	Receivables - Foreign Currency Sold		-	Payables - Foreign Currency Purchased		117
Interest rate contracts	Receivables - Futures Variation Margin		14	Payables - Futures Variation Margin		20
Commodities Return Strategy
Other contracts	Receivables - Outstanding Swaps Contracts, at Value		109	Payables - Outstanding Swaps Contracts, at Value		7

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended December 31, 2012 are (amounts in thousands):

	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options		Futures		Forward Currency Contracts		Swaps		Total
Growth Stock
Equity contracts	$	99	$	2,517	$	-	$	-	$	2,616
Large Cap Core Stock
Equity contracts		7		2,566		-		-		2,573

Notes to Financial Statements 253

Notes to Financial Statements

	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options			Futures			Forward Currency Contracts			Swaps			Total
Index 500 Stock
Equity contracts	$	-		$	3,560		$	-		$	-		$	3,560
Foreign currency exchange contracts		-			-			182			-			182
Large Company Value
Equity contracts		-			15			-			-			15
Foreign currency exchange contracts		-			-			(51	)		-			(51	)
Equity Income
Foreign currency exchange contracts		-			-			(1	)		-			(1	)
Mid Cap Growth Stock
Equity contracts		-			7,728			-			-			7,728
Index 400 Stock
Equity contracts		-			5,308			-			-			5,308
Mid Cap Value
Foreign currency exchange contracts		-			-			(140	)		-			(140	)
Small Cap Growth Stock
Equity contracts		72			688			-			1,438			2,198
Index 600 Stock
Equity contracts		-			-			-			891			891
Short-Term Bond
Foreign currency exchange contracts		-			-			19			-			19
Interest rate contracts		-			(924	)		-			-			(924	)
Select Bond
Foreign currency exchange contracts		-			-			331			-			331
Interest rate contracts		-			(3,291	)		-			-			(3,291	)
Long-Term U.S. Government Bond
Interest rate contracts		(1	)		305			-			-			304
Inflation Protection
Foreign currency exchange contracts		-			-			524			-			524
Interest rate contracts		-			33			-			(29	)		4
Multi-Sector Bond
Credit contracts		-			-			-			1,317			1,317
Foreign currency exchange contracts		-			-			76			-			76
Interest rate contracts		70			1,026			-			1,497			2,593
Balanced
Equity contracts		(93	)		19,691			-			9,773			29,371
Foreign currency exchange contracts		-			-			1,829			-			1,829
Interest rate contracts		-			(3,014	)		-			-			(3,014	)
Asset Allocation
Equity contracts		(11	)		2,066			-			1,153			3,208
Foreign currency exchange contracts		-			-			223			-			223
Interest rate contracts		-			(66	)		-			-			(66	)
Commodities Return Strategy
Other contracts		-			-			-			(3,140	)		(3,140	)

	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options		Futures			Forward Currency Contracts			Swaps		Total
Growth Stock
Equity contracts	$	-	$	(232	)	$	-		$	-	$	(232	)
Large Cap Core Stock
Equity contracts		-		(443	)		-			-		(443	)
Index 500 Stock
Equity contracts		-		(695	)		-			-		(695	)
Large Company Value
Equity contracts		-		1			-			-		1
Foreign currency exchange contracts		-		-			(4	)		-		(4	)
Equity Income
Foreign currency exchange contracts		-		-			1			-		1
Mid Cap Growth Stock
Equity contracts		-		(23	)		-			-		(23	)
Index 400 Stock Portfolio
Equity contracts		-		(1,064	)		-			-		(1,064	)

254 Notes to Financial Statements

Notes to Financial Statements

	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options			Futures			Forward Currency Contracts			Swaps			Total
Mid Cap Value Portfolio
Foreign currency exchange contracts	$	-		$	-		$	(18	)	$	-		$	(18	)
Small Cap Growth Stock Portfolio
Equity contracts		-			309			-			33			342
Short-Term Bond
Foreign currency exchange contracts		-			-			(56	)		-			(56	)
Interest rate contracts		-			207			-			-			207
Select Bond
Foreign currency exchange contracts		-			-			(568	)		-			(568	)
Interest rate contracts		-			765			-			-			765
Long-Term U.S. Government Bond
Interest rate contracts		-			(53	)		-			-			(53	)
Inflation Protection
Foreign currency exchange contracts		-			-			(1,466	)		-			(1,466	)
Interest rate contracts		-			-			-			964			964
Multi-Sector Bond
Credit contracts		-			-			-			2,176			2,176
Foreign currency exchange contracts		-			-			(1,881	)		-			(1,881	)
Interest rate contracts		(61	)		(901	)		-			499			(463	)
Balanced
Equity contracts		-			(2,492	)		-			(10,701	)		(13,193	)
Foreign currency exchange contracts		-			-			(2,739	)		-			(2,739	)
Interest rate contracts		-			303			-			-			303
Asset Allocation
Equity contracts		-			(261	)		-			(1,363	)		(1,624	)
Foreign currency exchange contracts		-			-			(372	)		-			(372	)
Interest rate contracts		-			11			-			-			11
Commodities Return Strategy
Other contracts		-			-			-			331			331

The volumes indicated in the open futures contracts, transactions in written options and swap agreements outstanding tables are indicative of the amounts throughout the period.

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 in general, 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 Portfolios may be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Portfolios to credit risk, consist principally of cash due from counterparties and investments. The extent of the Portfolios’ exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Statements of Assets and Liabilities.

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.

Notes to Financial Statements 255

Notes to Financial Statements

Note 7. Investment Advisory and Sub-Advisory 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, a wholly owned subsidiary of Northwestern Mutual. Certain Portfolios, listed below, pay at a fixed annual rate based on the average daily net asset values of the Portfolio.

Portfolio	Fee
Index 500 Stock		0.20%
Index 400 Stock		0.25%
Mid Cap Value		0.85%
Small Cap Value		0.85%
Money Market		0.30%
Select Bond		0.30%
Commodities Return Strategy		0.80%
Balanced		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 $50 Million		Next $50 Million		Excess Over $100 Million
Growth Stock		0.60%		0.50%		0.40%
Large Cap Core Stock		0.60%		0.50%		0.40%
Mid Cap Growth Stock		0.80%		0.65%		0.50%
Small Cap Growth Stock		0.80%		0.65%		0.50%
High Yield Bond		0.60%		0.50%		0.40%
Portfolio	First $100 Million		Next $400 Million		Excess Over $500 Million
Focused Appreciation		0.80%		0.75%		0.70%
Portfolio	First $100 Million		Next $150 Million		Excess Over $250 Million
Domestic Equity		0.65%		0.55%		0.50%
Large Company Value		0.72%		0.67%		0.62%
International Growth		0.75%		0.65%		0.55%
Short-Term Bond		0.35%		0.33%		0.30%
Long-Term U.S. Government Bond		0.555%		0.515%		0.495%
Inflation Protection		0.58%		0.55%		0.49%
Multi-Sector Bond		0.79%		0.78%		0.77%
Asset Allocation		0.60%		0.50%		0.40%
Portfolio	First $150 Million		Next $150 Million		Next $200 Million		Excess Over $500 Million
Large Cap Blend		0.77%		0.70%		0.62%		0.56%
Research International Core		0.88%		0.82%		0.75%		0.68%
Portfolio	First $500 Million		Excess Over $500 Million
Equity Income		0.65%		0.60%
Portfolio	First $200 Million		Excess Over $200 Million
Index 600 Stock		0.25%		0.20%
Portfolio	First $50 Million		Excess Over $50 Million
International Equity		0.85%		0.65%

256 Notes to Financial Statements

Notes to Financial Statements

Portfolio	First $250 Million		Next $250 Million		Next $500 Million		Excess Over $1.0 Billion
Emerging Markets Equity		1.14%		1.08%		0.96%		0.78%

MSA, which is the manager and investment adviser of the Series Fund, 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 and extraordinary expenses) will not exceed the following amounts:

Portfolio			Expiration
Focused Appreciation	0.90	%		April 30, 2013
Large Cap Blend	0.85	%		April 30, 2013
Large Company Value	0.80	%		April 30, 2013
Domestic Equity	0.75	%		April 30, 2013
Equity Income	0.75	%		April 30, 2013
Mid Cap Value	1.00	%		April 30, 2013
Index 600 Stock	0.35	%		April 30, 2013
Small Cap Value	1.00	%		April 30, 2013
International Growth	1.10	%		April 30, 2013
Research International Core	1.15	%		April 30, 2013
Emerging Markets Equity	1.50	%		April 30, 2013
Short-Term Bond	0.45	%		April 30, 2013
Long-Term U.S. Government Bond	0.65	%		April 30, 2013
Inflation Protection	0.65	%		April 30, 2013
Multi-Sector Bond	0.90	%		April 30, 2013
Commodities Return Strategy	0.95	%		April 30, 2013
Asset Allocation	0.75	%		April 30, 2013

Growth Stock Portfolio — MSA has agreed to waive a portion of its management fee on assets over $500 million such that the management fee is 0.60% on the Portfolio’s first $50 million of assets, 0.50% on the next $50 million, 0.40% on the next $400 million and 0.35% on assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Focused Appreciation 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 assets, 0.70% on the next $200 million, 0.65% on the next $200 million and 0.60% on assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Large Cap Core Stock Portfolio — MSA has agreed to waive a portion of its management fee on assets over $500 million such that the management fee is 0.60% on the Portfolio’s first $50 million of assets, 0.50% on the next $50 million, 0.40% on the next $400 million and 0.35% on assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Mid Cap Growth Portfolio — MSA has agreed to waive a portion of its management fee on assets over $500 million such that the management fee is 0.80% on the Portfolio’s first $50 million of assets, 0.65% on the next $50 million, 0.50% on the next $400 million and 0.45% on assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Index 400 Stock Portfolio — MSA has agreed to waive a portion of its management fee on assets over $500 million such that the management fee is 0.25% on the Portfolio’s first $500 million of assets and 0.20% on assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Mid Cap Value Portfolio — MSA has agreed to waive a portion of its management fee on assets over $150 million such that the management fee is 0.85% on the Portfolio’s first $150 million of assets, 0.80% on the next $150 million and 0.75% on assets in excess of $300 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Small Cap Growth Portfolio — MSA has agreed to waive a portion of its management fee on assets over $500 million such that the management fee is 0.80% on the Portfolio’s first $50 million of assets, 0.65% on the next $50 million, 0.50% on the next $400 million and 0.45% on assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Notes to Financial Statements 257

Notes to Financial Statements

Small Cap Value Portfolio — MSA has agreed to waive a portion of its management fee on assets over $500 million such that the management fee is 0.85% on the Portfolio’s first $500 million of assets and 0.80% on assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

International Equity Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee for the Portfolio is 0.80% on the Portfolio’s first $50 million of assets, 0.60% on the next $950 million, 0.58% on the next $500 million and 0.51% on assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Money Market Portfolio — For the period from January 1, 2012 to June 30, 2012; MSA voluntarily agreed to waive its entire management fee on a temporary basis. Effective July 1, 2012 and continuing for a period of time to be determined by MSA, MSA voluntarily agreed to waive a portion of the investment advisory fee such that the investment advisory fee is 0.15% of the Portfolio’s average net assets. This voluntary waiver will be 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 on assets over $500 million such that the management fee is 0.35% on the Portfolio’s first $100 million of assets, 0.33% on the next $150 million, 0.30% on the next $250 million and 0.28% on assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

High Yield Bond Portfolio — MSA has agreed to waive a portion of its management fee on assets over $1 billion such that the management fee is 0.60% on the Portfolio’s first $50 million of assets, 0.50% on the next $50 million, 0.40% on the next $900 million and 0.35% on assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Commodities Return Strategy Portfolio — MSA has agreed to waive its management fee in an amount equal to the management fee paid to it by the Portfolio’s wholly owned Cayman Islands subsidiary fund. The fee waiver agreement will remain in effect for as long as the Portfolio remains invested in the subsidiary fund.

Balanced Portfolio — MSA has agreed to waive a portion of its management fee such that its management fee on assets invested in the International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio and Emerging Markets Portfolio (“Underlying Portfolios”) is 0.05%. MSA may terminate this fee waiver agreement at any time after April 30, 2013.

Asset Allocation Portfolio — MSA has 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 assets, 0.45% on the next $150 million, and 0.35% on assets in excess of $250 million. In addition, MSA has agreed to waive a portion of its management fee such that its management fee on assets invested in Underlying Portfolios is 0.05%. MSA may terminate these fee waiver agreements at any time after April 30, 2013.

The investment advisory fee is paid to MSA. For the period January 1, 2012 to April 30, 2012, all of the Portfolios, except for the Balanced, Select Bond and Money Market Portfolios, paid custodian fees, audit expenses and certain other expenses. Effective May 1, 2012, the shareholders of the Series Fund approved an amendment and restatement of three previously existing investment advisory agreements into one Amended and Restated Advisory Agreement (“New Agreement”) which shifted, among other things, the responsibility to pay for certain of the Portfolios’ administrative and operating expenses not already assumed by the Portfolios from MSA to the Portfolios. Prior to May 1, 2012, the Balanced, Select Bond and Money Market Portfolios paid only limited operating expenses whereas the remaining Portfolios paid those and certain additional expenses. Under the new structure, these three Portfolios assumed responsibility for the additional expenses already paid by the other Portfolios, and all Portfolios assumed responsibility for additional day-to-day operating expenses. These additional expenses include the compensation of the Series Fund’s independent directors, compensation, benefits and expenses of the Series Fund’s chief compliance officer and his or her staff relating to their duties and functions for the Series Fund, expenses associated with the pricing of the shares of the Portfolios, and non-recurring or extraordinary expenses as they may arise. For the period May 1, 2012 through June 30, 2012, these additional expenses that were incurred as a result of the New Agreement were waived. MSA pays certain other costs in connection with the management of the investment of the assets of the Portfolios and the administration of the affairs of the Portfolios.

258 Notes to Financial Statements

Notes to Financial Statements

Certain Portfolios, listed below, pay a portion of their custodian fees indirectly through expense offset arrangements. Custodian fees are reduced for Portfolios that maintain compensating balances in non-interest bearing accounts. These Portfolios could have invested the assets used to pay for the custodian fees, had the assets not been used in the expense offset arrangements. For the period ended December 31, 2012, the amounts paid through expense offset arrangements were as follows:

Portfolio	Amount
Growth Stock Portfolio	$	113
Focused Appreciation Portfolio		157
Large Cap Core Stock Portfolio		102
Large Cap Blend Portfolio		92
Index 500 Stock Portfolio		135
Domestic Equity Portfolio		117
Equity Income Portfolio		88
Mid Cap Growth Stock Portfolio		106
Index 400 Stock Portfolio		110
Small Cap Growth Stock Portfolio		131
Index 600 Stock Portfolio		139
Small Cap Value Portfolio		124
Short-Term Bond Portfolio		135
High Yield Bond Portfolio		161
Asset Allocation Portfolio		102

With respect to certain Portfolios, MSA has engaged and oversees 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.

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, corporate actions and interest only securities.

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 and paydowns on structured product investments.

Certain losses incurred by the Portfolios after October 31 are deferred and deemed to have occurred in the next fiscal year for income tax purposes. Deferred late year losses for federal income tax purposes are carried forward to offset future income or net realized gains. A summary of the Portfolios’ late year losses and capital loss carryovers as of December 31, 2012 is provided below:

	Late Year Capital Losses		Late Year Ordinary Losses		Capital Loss Carryover
					Amount Subject to Expiration		Expiration		Utilized in 2012		Amount Not Subject to Expiration
	(Amounts in thousands)
Growth Stock Portfolio	$	-	$	-	$	-		-	$	9,537	$	-
Focused Appreciation Portfolio		-		-		1,071		2017		176		-
Large Cap Core Stock Portfolio		-		-		9,207		2017		35,931		-
Large Cap Blend Portfolio		-		-		-		-		12,340		-
Index 500 Stock Portfolio		-		-		-		-		-		-
Large Company Value Portfolio		106		24		3,453		2017-2018		3,107		-
Domestic Equity Portfolio		-		-		56,245		2016-2017		72,493		-
Equity Income Portfolio		-		-		1,372		2017-2018		12,421		-
Mid Cap Growth Stock Portfolio		-		-		-		-		42,790		-
Index 400 Stock Portfolio		-		-		-		-		-		-
Mid Cap Value Portfolio		-		-		-		-		5,016		-
Small Cap Growth Stock Portfolio		-		-		41,627		2017		40,135		-
Index 600 Stock Portfolio		-		-		-		-		-		-
Small Cap Value Portfolio		-		-		-		-		-		-
International Growth Portfolio		-		-		61,099		2017		-		6,529
Research International Core Portfolio		-		36		10,028		2016-2018		1,830		-
International Equity Portfolio		-		-		-		-		18,962		-

Notes to Financial Statements 259

Notes to Financial Statements

	Late Year Capital Losses		Late Year Ordinary Losses		Capital Loss Carryover
					Amount Subject to Expiration		Expiration		Utilized in 2012		Amount Not Subject to Expiration
	(Amounts in thousands)
Emerging Markets Equity Portfolio	$	-	$	-	$	-	$	-	$	-	$	-
Money Market Portfolio		-		-		-		-		-		3
Short-Term Bond Portfolio		98		-		-		-		-		524
Select Bond Portfolio		-		-		-		-		-		-
Long-Term U.S. Government Bond Portfolio		-		-		-		-		-		-
Inflation Protection Portfolio		-		-		-		-		-		-
High Yield Bond Portfolio		-		-		32,411		2016-2017		-		732
Multi-Sector Bond Portfolio		-		-		-		-		-		-
Commodities Return Strategy Portfolio		-		-		-		-		-		-
Balanced Portfolio		-		-		-		-		26,787		-
Asset Allocation Portfolio		-		-		3,179		2017		18,288		-

Under the Regulated Investment Company Modernization Act of 2010 (“Modernization Act”), capital losses incurred during fiscal years after 2010 are carried forward indefinitely and retain the character of the original loss. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment.

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 periods ended December 31, 2012 and 2011 was as follows:

	2012 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain
	(Amounts in thousands)
Growth Stock Portfolio	$	3,139	$	-
Focused Appreciation Portfolio		1,010		-
Large Cap Core Stock Portfolio		4,738		-
Large Cap Blend Portfolio		736		3,145
Index 500 Stock Portfolio		30,164		30,165
Large Company Value Portfolio		1,609		-
Domestic Equity Portfolio		8,652		-
Equity Income Portfolio		5,715		-
Mid Cap Growth Stock Portfolio		1,047		-
Index 400 Stock Portfolio		4,436		20,231
Mid Cap Value Portfolio		2,021		-
Small Cap Growth Stock Portfolio		-		-
Index 600 Stock Portfolio		2,285		1,194
Small Cap Value Portfolio		1,466		4,508
International Growth Portfolio		4,070		-
Research International Core Portfolio		3,294		-
International Equity Portfolio		35,832		-
Emerging Markets Equity Portfolio		309		93
Money Market Portfolio		676		-
Short-Term Bond Portfolio		1,769		-
Select Bond Portfolio		68,063		10,069
Long-Term U.S. Government Bond Portfolio		8,953		1,356
Inflation Protection Portfolio		6,029		1,827
High Yield Bond Portfolio		26,613		-
Multi-Sector Bond Portfolio		1,801		659
Commodities Return Strategy Portfolio		-		3
Balanced Portfolio		26,176		-
Asset Allocation Portfolio		545		-

260 Notes to Financial Statements

Notes to Financial Statements

	2011 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain
		(Amounts in thousands)
Growth Stock Portfolio	$	4,271	$	-
Focused Appreciation Portfolio		572		-
Large Cap Core Stock Portfolio		4,523		-
Large Cap Blend Portfolio		550		-
Index 500 Stock Portfolio		28,570		34,671
Large Company Value Portfolio		1,205		-
Domestic Equity Portfolio		8,356		-
Equity Income Portfolio		4,374		-
Mid Cap Growth Stock Portfolio		2,086		-
Index 400 Stock Portfolio		7,351		22,879
Mid Cap Value Portfolio		2,135		-
Small Cap Growth Stock Portfolio		1,448		-
Index 600 Stock Portfolio		662		1,245
Small Cap Value Portfolio		2,251		-
International Growth Portfolio		3,374		-
Research International Core Portfolio		1,332		-
International Equity Portfolio		28,606		-
Emerging Markets Equity Portfolio		1,340		-
Money Market Portfolio		645		-
Short-Term Bond Portfolio		2,493		-
Select Bond Portfolio		68,303		8,195
Long-Term U.S. Government Bond Portfolio		14,173		3,014
Inflation Protection Portfolio		515		737
High Yield Bond Portfolio		25,673		-
Multi-Sector Bond Portfolio		13,385		2,442
Commodities Return Strategy Portfolio		-		3
Balanced Portfolio		62,036		-
Asset Allocation Portfolio		5,767		-

As of December 31, 2012, the components of distributable earnings on a tax basis were as follows:

Portfolio	Undistributed Ordinary Income		Undistributed Long-Term Gains		Accumulated Losses			Unrealized Appreciation (Depreciation)
	(Amounts in thousands)
Growth Stock Portfolio	$	5,017	$	52,317	$	-		$	64,988
Focused Appreciation Portfolio		2,567		-		(1,071	)		88,826
Large Cap Core Stock Portfolio		5,721		-		(9,207	)		37,410
Large Cap Blend Portfolio		54		13		-			547
Index 500 Stock Portfolio		37,338		37,546		-			419,403
Large Company Value Portfolio		101		-		(3,583	)		7,499
Domestic Equity Portfolio		8,767		-		(56,245	)		13,238
Equity Income Portfolio		7,979		-		(1,372	)		33,884
Mid Cap Growth Stock Portfolio		3,305		39,481		-			113,459
Index 400 Stock Portfolio		8,271		16,975		-			76,888
Mid Cap Value Portfolio		2,889		1,673		-			8,142
Small Cap Growth Stock Portfolio		2,247		-		(41,627	)		28,956
Index 600 Stock Portfolio		96		101		-			7,123
Small Cap Value Portfolio		5,972		2,290		-			107,936
International Growth Portfolio		5,271		-		(67,628	)		33,845
Research International Core Portfolio		458		-		(10,064	)		23,971
International Equity Portfolio		35,539		421		-			190,141
Emerging Markets Equity Portfolio		2,345		589		-			19,829
Money Market Portfolio		415		-		(3	)		-
Short-Term Bond Portfolio		273		-		(621	)		1,398
Select Bond Portfolio		62,323		4,531		-			58,856
Long-Term U.S. Government Bond Portfolio		209		15		-			747
Inflation Protection Portfolio		5,309		2,509		-			17,949
High Yield Bond Portfolio		27,656		-		(33,143	)		28,708
Multi-Sector Bond Portfolio		16,562		1,400		-			22,159
Commodities Return Strategy Portfolio		-		-		-			66
Balanced Portfolio		78,088		93,746		-			143,251
Asset Allocation Portfolio		7,353		-		(3,179	)		18,164

Notes to Financial Statements 261

Notes to Financial Statements

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 65% 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 periods ended December 31, 2012 and 2011 are summarized below:

Portfolio	2012 Reimbursements		2011 Reimbursements
International Growth Portfolio	$	330,126	$	316,188
International Equity Portfolio		2,261,710		2,789,589
Research International Core Portfolio		124,547		134,488
Emerging Markets Equity Portfolio		305,832		213,969

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 loss to be remote.

Note 11. Basis of Consolidation

The NMSF Cayman Commodity Fund, Ltd. (“Subsidiary”), a Cayman Islands exempted company, was incorporated on March 8, 2011 and is a wholly owned subsidiary of the Commodities Return Strategy Portfolio (“Commodities Portfolio”). Investing in the Subsidiary allows the Commodities Portfolio to achieve greater exposure to commodities-related investments in pursuit of its investment objectives as outlined in the prospectus and statement of additional information. The Commodities Portfolio is the sole shareholder of the Subsidiary with the intent that the Commodities Portfolio will retain all rights to the Subsidiary. The Commodities Portfolio may invest up to 25% of its total assets in the Subsidiary, which may invest without limitation in commodity index linked and commodity linked derivative instruments and other derivatives such as swap agreements and futures contracts that provide exposure to the performance of the commodities markets. The Subsidiary also may invest in fixed income securities. The Commodities Portfolio’s Schedule of Investments and related financial statements have been consolidated and includes the accounts of both the Commodities Portfolio and the Subsidiary. All inter-company transactions and balances have been eliminated.

Note 12. Investment Income and Securities Transactions

For the period ended December 31, 2012, transactions in securities other than money market investments were (amounts in thousands):

262 Notes to Financial Statements

Notes to Financial Statements

Portfolio	Total Security Purchases		U.S. Govt. Security Purchases		Total Security Sales/Maturities		U.S. Govt. Security Sales/Maturities
Growth Stock Portfolio	$	354,347	$	-	$	386,781	$	-
Focused Appreciation Portfolio		66,457		-		51,646		-
Large Cap Core Stock Portfolio		278,237		-		288,200		-
Large Cap Blend Portfolio		94,641		-		95,847		-
Index 500 Stock Portfolio		46,172		-		109,505		-
Large Company Value Portfolio		34,523		-		27,547		-
Domestic Equity Portfolio		513,789		-		534,931		-
Equity Income Portfolio		103,698		-		56,066		-
Mid Cap Growth Stock Portfolio		499,159		-		611,175		-
Index 400 Stock Portfolio (a)		52,916		-		49,152		-
Mid Cap Value Portfolio		127,439		-		108,405		-
Small Cap Growth Stock Portfolio		275,233		-		320,556		-
Index 600 Stock Portfolio (b)		34,605		-		23,244		-
Small Cap Value Portfolio		22,145		-		30,404		-
International Growth Portfolio		202,860		-		188,161		-
Research International Core Portfolio		212,815		-		75,173		-
International Equity Portfolio		543,656		-		525,170		-
Emerging Markets Equity Portfolio		132,161		-		54,593		-
Money Market Portfolio		-		-		-		-
Short-Term Bond Portfolio		77,626		306,610		85,244		309,664
Select Bond Portfolio (c)		733,924		1,703,274		638,301		1,438,548
Long-Term U.S. Government Bond Portfolio		5,942		199,212		17,906		225,511
Inflation Protection Portfolio		93,757		126,833		68,686		96,386
High Yield Bond Portfolio		236,374		-		176,567		-
Multi-Sector Bond Portfolio		169,111		70,568		60,023		54,407
Commodities Return Strategy Portfolio		116,556		42,284		74,482		34,070
Balanced Portfolio (d)		1,561,053		932,776		1,641,353		794,750
Asset Allocation Portfolio (e)		193,583		57,471		197,081		48,209

(a) Includes (in thousands) $36 of sales directly with affliliates

(b) Includes (in thousands) $36 of purchases directly with affiliates

(c) Includes (in thousands) $4,183 of purchases directly with affliliates

(d) Includes (in thousands) $4,215 of sales directly with affiliates

(e) Includes (in thousands) $32 of purchases directly with affiliates

Notes to Financial Statements 263

Notes to Financial Statements

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 period ended December 31, 2012 are as follows:

Portfolio	Value at 12/31/2011		Purchases		Sales		Value at 12/31/2012		Realized Gain (Loss)		Income Dividends		Capital Gain Distributions		% Ownership, 12/31/2012
	(Amounts in thousands)
Balanced
Research International Core	$	–	$	92,361	$	–	$	106,843	$	–	$	1,361	$	–		40.9	%
International Equity		–		40,114		–		47,329		–		1,114		–		3.2
Emerging Markets Equity		–		5,009		–		5,273		–		7		2		2.1
	$	–	$	137,484	$	–	$	159,445	$	–	$	2,482	$	2
Asset Allocation
Research International Core	$	–	$	14,209	$	–	$	16,437	$	–	$	209	$	–		6.3	%
International Equity		–		6,171		–		7,281		–		171		–		0.5
Emerging Markets Equity		–		1,002		–		1,055		–		2		–		0.4
	$	–	$	21,382	$	–	$	24,773	$	–	$	382	$	–

Note 13. Litigation

The Index 400 Stock, Index 500 Stock, Small Cap Value and Equity Income Portfolios are among the defendants in lawsuits and/or adversary proceedings (the “Actions”) in bankruptcy proceedings arising out of investments made by those Portfolios in two separate companies. These Actions seek to recover all payments made to beneficial owners of common stock in 2007 in connection with leveraged buy-out transactions involving each company. The Actions allege no misconduct by the Portfolios or management, and management intends to vigorously defend these Actions. The defendant shareholders have filed motions to dismiss both lawsuits. The value of the proceeds received by these Portfolios in 2007, and the percentage the proceeds represent of each Portfolio’s net assets as of December 31, 2012, were: Index 400 Stock Portfolio $5,600,000 (1.17% of net assets); Index 500 Stock Portfolio $977,000 (0.06% of net assets); Small Cap Value Portfolio $618,000 (0.15% of net assets); and Equity Income Portfolio $2,873,000 (0.70% of net assets).

Note 14. Subsequent Events

Effective January 1, 2013, with respect to the Money Market Portfolio, MSA voluntarily agreed to waive its entire investment advisory fee commencing on January 1, 2013 and continuing for a period of time to be determinded by MSA.

Northwestern Mutual is requesting approval of the Securities and Exchange Commission (“SEC”) to substitute an unaffiliated mutual fund for the Commodities Return Strategy Portfolio (“Commodities Portfolio”) as an investment option under the variable annuity and variable life insurance contracts issued by Northwestern Mutual. Subject to the SEC’s approval of such request, the Commodities Portfolio is expected to dissolve immediately following the effectiveness of such substitution (“Substitution”). The date for completing the Substitution is subject to SEC approval, which has not yet been received. Northwestern Mutual or its affiliates will bear all expenses incurred in connection with the Substitution. As of December 31, 2012, Northwestern Mutual (a related party) owned 50,003,499.32 shares in the Commodities Portfolio with a value of $39,402,757 which represented 25.8% of the Commodities Portfolio’s net assets. Northwestern Mutual intends to redeem those shares prior to the Substitution.

264 Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of

Northwestern Mutual Series Fund, Inc.

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of assets and liabilities, of operations, of changes in net assets, of cash flows for the Long-Term U.S. Government Bond Portfolio and the financial highlights present fairly, in all material respects, the financial position 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, 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, Commodities Return Strategy Portfolio, Balanced Portfolio and Asset Allocation Portfolio (constituting Northwestern Mutual Series Fund, Inc., hereafter referred to as the “Fund”) at December 31, 2012, 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 then ended, the cash flows for Long-Term U.S. Government Bond Portfolio for the year then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion.

February 28, 2013

Report of Independent Registered Public Accounting Firm 265

Proxy Voting and Portfolio Holdings

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 http://www.sec.gov.

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 http://www.sec.gov.

Quarterly Filing of Portfolio Holdings

Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q filings are available (i) on the SEC website at http://www.sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Portfolios also make their complete schedule of portfolio holdings for the most recent quarter of their fiscal year available on the Internet at www.northwesternmutual.com.

266 Proxy Voting and Portfolio Holdings

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, 2012. 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, provided no director shall serve a term or successive terms totaling more than twelve (12) years. The twelve-year service limitation commences for all directors on the later of May 1, 2003, or the date of his or her election or appointment to the Board. Notwithstanding the foregoing, the Series Fund’s By-Laws provide that a director who has attained the age of seventy (70) on or before the first quarterly Board meeting in a calendar year shall retire effective at the end of the meeting. If a director attains age seventy (70) after the first quarterly Board meeting in a calendar year, he or she shall retire effective at the end of the first quarterly Board meeting in the following calendar year. 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 Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held
Michael G. Smith 720 East Wisconsin Avenue Milwaukee, WI 53202 1944	Director	Since 2003	28	Trustee of The Ivy Family of Funds (2 registered investment companies - 29 portfolios), Director of the TDX Independence Funds, Inc. (5 portfolios), Director of CTMG, Inc. and Cox Business School, Southern Methodist University
Principal Occupation During Past 5 Years: Private investor; retired since 1999.
Miriam M. Allison 720 East Wisconsin Avenue Milwaukee, WI 53202 1947	Director	Since 2006	28	Director of Wasatch Funds, Inc. (18 portfolios)
Principal Occupation During Past 5 Years: Rancher since 2004. From 2001 to 2005, Chairman of UMB Fund Services, Inc. (formerly Sunstone Financial Group, Inc.), a mutual fund service provider.
Robert H. Huffman III 720 East Wisconsin Avenue Milwaukee, WI 53202 1959	Director	Since 2007	28	None
Principal Occupation During Past 5 Years: Co-Founder and Managing Partner of Relative Value Partners, LLC, a registered investment adviser since 2004.
Christy L. Brown 720 East Wisconsin Avenue Milwaukee, WI 53202 1965	Director	Since 2012	28	None
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. Prior thereto, Executive Vice President and General Counsel, Milwaukee Area Technical College.

Director and Officer Information 267

Director and Officer Information (Unaudited)

Name, Address, and Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held
Gail L. Hanson 720 East Wisconsin Avenue Milwaukee, WI 53202 1955	Director	Since 2012	28	Director of Artisan Funds, Inc. (12 portfolios)
Principal Occupation During Past 5 Years: Since February 2011, Chief Financial Officer, Aurora Health Care. Prior thereto, Deputy Executive Director, State of Wisconsin Investment Board.
Other Directors
Name, Address, and Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held
Jefferson V. DeAngelis 720 East Wisconsin Avenue Milwaukee, WI 53202 1958	Chairman of the Board	Since 2012	28	None
Principal Occupation During Past 5 Years: President of Mason Street Advisors, LLC (MSA) since 2008. Senior Vice President – Public Markets since 2009 of Northwestern Mutual and Chief Investment Officer of Northwestern Mutual Wealth Management since November, 2012. Prior thereto, Managing Director of Fixed Income of MSA from 1992 to 2008.

Northwestern Mutual Series Fund, Inc.

Executive Officers

Name, Address, and Year of Birth	Position	Length of Time Served
R. David Ells 720 East Wisconsin Avenue Milwaukee, WI 53202 1968	President	Since 2010
Principal Occupation During Past 5 Years: Managing Director of Mason Street Advisors, LLC (MSA) since 2010. Prior thereto, Director of MSA from 2004 to 2010.
Walter M. Givler 720 East Wisconsin Avenue Milwaukee, WI 53202 1957	Vice President; Chief Financial Officer & Treasurer	Since 2003
Principal Occupation During Past 5 Years: Vice President – Accounting Policy of Northwestern Mutual since 2007.
Kate M. Fleming 720 East Wisconsin Avenue Milwaukee, WI 53202 1962	Vice President - Operations	Since 2004
Principal Occupation During Past 5 Years: Vice President – Operations since 2004 and Treasurer since 2008 of Mason Street Advisors, LLC
Barbara E. Courtney 720 East Wisconsin Avenue Milwaukee, WI 53202 1957	Controller & Chief Accounting Officer	Since 1996
Principal Occupation During Past 5 Years: Director of Mutual Fund Accounting of Northwestern Mutual since 2002.

268 Director and Officer Information

Director and Officer Information (Unaudited)

Name, Address, and Year of Birth	Position	Length of Time Served
Michael W. Zielinski 720 East Wisconsin Avenue Milwaukee, WI 53202 1974	Chief Compliance Officer	Since 2006
Principal Occupation During Past 5 Years: Chief Compliance Officer of Mason Street Advisors, LLC since 2006.
Randy M. Pavlick 720 East Wisconsin Avenue Milwaukee, WI 53202 1959	Secretary	Since 2006
Principal Occupation During Past 5 Years: Assistant General Counsel of Northwestern Mutual and Assistant Secretary of Mason Street Advisors, LLC, each since 2004.

Director and Officer Information 269

Approval and Continuance of Investment

Sub-Advisory Agreements

Northwestern Mutual Series Fund, Inc.

Annual Contract Review Process

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, including sub-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 has 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.

Board Approvals During the Six-Month Period Ended December 31, 2012

At its August 9, 2012 meeting, the Series Fund 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 (“Independent Directors”), unanimously approved the continuance of (1) the Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Janus Capital Management LLC (“Janus”) relating to the Series Fund’s Focused Appreciation Portfolio; (2) the Investment Sub-Advisory Agreement between Mason Street Advisors and Janus relating to the Series Fund’s International Growth Portfolio and (3) the Investment Sub-Advisory Agreement between Mason Street Advisors and American Century Investment Management, Inc. (“ACI”) relating to the Series Fund’s Large Company Value Portfolio, Inflation Protection Portfolio and Mid Cap Value Portfolio.

At its August 9, 2012 meeting, the Series Fund Board, including the Independent Directors, also unanimously approved a new Investment Sub-Advisory Agreement between Mason Street Advisors and Delaware Management Company, a Series of Delaware Management Business Trust (“Delaware”) relating to the Domestic Equity Portfolio (the “Delaware Sub-Advisory Agreement”) and a new Investment Sub-Advisory Agreement between Mason Street Advisors and Fiduciary Management, Inc. (“FMI”) relating to the Large Cap Blend Portfolio (the “FMI Sub-Advisory Agreement” and, together with the Delaware Sub-Advisory Agreement, the “New Sub-Advisory Agreements”). Delaware and FMI are sometimes collectively referred to hereinafter as the “New Sub-Advisers.”

At its November 15, 2012 meeting, the Series Fund Board, including the Independent Directors, unanimously approved the continuance of (1) the Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and T. Rowe Price Associates, Inc. (“T. Rowe Price”) relating to the Series Fund’s Small Cap Value Portfolio and Equity Income Portfolio; (2) the Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Pacific Investment Management Company LLC (“PIMCO”) relating to the Series Fund’s Long-Term U.S. Government Bond Portfolio and Multi-Sector Bond Portfolio and (3) the Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Credit Suisse Asset Management, LLC (“Credit Suisse”) relating to the Series Fund’s Commodities Return Strategy Portfolio. The Board also approved a related Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Credit Suisse covering the NMSF Cayman Commodity Fund Ltd., a wholly-owned Cayman Islands subsidiary of the Commodities Return Strategy Portfolio. Janus, ACI, T. Rowe Price, PIMCO and Credit Suisse are sometimes collectively referred to hereinafter as the “Sub-Advisers,” their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios” and the respective Investment Sub-Advisory Agreements with such Sub-Advisers are collectively referred to herein as the “Existing Sub-Advisory Agreements.”

Approval of New Sub-Advisory Agreements Relating to Domestic Equity and Large Cap Blend Portfolios

In determining whether to approve the New Sub-Advisory Agreements on behalf of the Domestic Equity and Large Cap Blend Portfolios, the directors requested and received detailed information from Mason Street Advisors and the New Sub-Advisers to

270 Approval and Continuance of Investment Sub-Advisory Agreements

Approval and Continuance of Investment

Sub-Advisory Agreements

assist them in their evaluation, including information compiled by certain independent providers of evaluative data. The Independent Directors also received a memorandum from their counsel advising them of their responsibilities in connection with the approval of the New Sub-Advisory Agreements and summarizing the legal standards governing the review of the Agreements. In addition, during the course of their deliberations, the Independent Directors had the opportunity to meet privately without representatives of Mason Street Advisors and the New Sub-Advisers present, and were represented throughout the process by legal counsel to the Independent Directors.

The material factors and conclusions that formed the basis for the Board’s determination to approve the New Sub-Advisory Agreements include those discussed below. The Board’s decision was reached after extensive research and qualitative and quantitative analysis of numerous candidate firms and their respective organizational structures, investment processes and long-term performance records. In addition to the information provided to them in anticipation of and at the May 10, 2012 and August 9, 2012 meetings, the directors considered the in-person presentations from Delaware and FMI at the August 9, 2012 meeting and Delaware’s and FMI’s respective responses to the directors’ questions during that meeting. The directors also considered the detailed analysis conducted by Mason Street Advisors and provided to the directors, which was based on Mason Street Advisors’ due diligence visit to, and interview of, each of the New Sub-Advisers. The directors were provided with, and considered an analysis that included details regarding each New Sub-Adviser’s investment performance, investment process, investment professionals and firm and operational and enterprise issues. The directors evaluated a variety of information they deemed relevant. No one particular factor was identified as controlling, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the directors.

Nature, Extent and Quality of Services. The directors evaluated the nature, scope, extent and quality of services to be provided by Delaware with respect to the Domestic Equity Portfolio and by FMI with respect to the Large Cap Blend Portfolio. The directors considered the process followed to identify potential sub-advisers for each Portfolio, and the rationale for the recommendation of Delaware as sub-adviser for the Domestic Equity Portfolio and FMI as sub-adviser for the Large Cap Blend Portfolio. The directors also considered the breadth and depth of experience of each of the New Sub-Advisers in managing other accounts using similar investment strategies, including other mutual funds using substantially similar strategies. The directors’ considerations included information about each New Sub-Adviser’s organization and the tenure, experience and performance of the New Sub-Advisers’ respective investment management teams. With respect to Delaware, the directors considered Delaware’s portfolio management team structure and the investment decision-making process among the members of the team. The directors also took into consideration Delaware’s consistent, understandable and disciplined investment approach and Delaware’s apparent commitment to the large cap value mandate. The directors also considered Delaware’s high conviction investment process and their favorable impression of the construction of similarly managed portfolios. With respect to FMI, the directors considered FMI’s investment management team structure and the continuity of the team. The directors also took into consideration FMI’s focused investment approach and its low turnover investment process. In connection with the foregoing, the directors noted that FMI’s focused approach provided a contrast to the offerings available to owners of variable annuity and variable life insurance products in the large cap blend space. The directors also considered FMI’s demonstrated attention to asset size. The directors took into consideration FMI’s private, employee-owned structure. The directors noted that the portfolio managers’ retirement plan assets were invested in the same manner as the client mandates managed by FMI, and observed that this created an alignment with the interests of FMI’s clients. Finally, the directors took into consideration each New Sub-Adviser’s general reputation and the resources available to be committed in managing the Portfolios. Based on their review of these factors and other factors deemed relevant, the directors concluded that they were satisfied with the nature, extent and quality of services to be provided by the New Sub-Advisers with respect to the Portfolios, and the resources to be committed by the New Sub-Advisers in providing such services.

Investment Performance. Because Delaware and FMI were newly appointed sub-advisers, the directors, at the meeting, could not consider the New Sub-Advisers’ respective investment performance in managing the Domestic Equity and Large Cap Blend Portfolios as a factor in evaluating the New Sub-Advisory Agreements. However, the directors considered each new Sub-Adviser’s performance record for other accounts, including other mutual funds, with investment objectives, investment policies and investment strategies substantially similar to the Portfolio to be managed by such New Sub-Adviser. In addition to absolute performance and risk adjusted performance for these similar accounts for both short and long-term periods, the directors considered a comparison of the performance to the returns of a peer group and universe of comparable funds underlying variable insurance products as compiled by an independent research firm, and to the performance averages of the respective Morningstar and Lipper categories for the same periods. The directors evaluated the similar accounts’ relative performance, and considered independent rankings and ratings where applicable, to provide an objective comparative benchmark against which they could assess the experience and ability of the New Sub-Advisers in managing similar accounts. The directors specifically noted the strong performance of such accounts over both the short and long-term periods, including,

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with respect to FMI, in down markets. Based on these and other factors deemed relevant, the directors concluded that they were satisfied with the experience and capabilities of each New Sub-Adviser and the personnel to be associated with the Portfolios.

Management Fees and Other Expenses. In evaluating the management fees paid by the Domestic Equity and Large Cap Blend Portfolios, the directors considered the actual and contractual fees paid by each Portfolio under the Amended and Restated Advisory Agreement dated April 30, 2012, between Mason Street Advisors and the Series Fund with respect to each Portfolio (the “Advisory Agreement”). The directors also considered the sub-advisory fees to be paid by Mason Street Advisors to each New Sub-Adviser out of its management fee, including a comparison of those fees with fees charged by each New Sub-Adviser for similarly managed accounts, including other mutual funds. The directors considered a comparison of the actual and contractual management fees of each Portfolio and those of an independently selected peer group of mutual funds for each Portfolio. The directors considered the comparative data as a guide to help assess the reasonableness of each Portfolio’s advisory fee, although they acknowledged that it was difficult to make precise comparisons with other funds since the exact nature of services provided by peers is often not apparent. The directors also separately considered the allocation between Mason Street Advisors and each New Sub-Adviser of the respective Portfolio’s investment advisory fee (i.e. the amount of the advisory fee retained by Mason Street Advisors relative to that paid to each New Sub-Adviser as a sub-advisory fee). They determined that the allocation was reasonable and the product of arm’s length negotiation between Mason Street Advisors and each new Sub-Adviser.

The directors did not consider the management fees charged to other Mason Street Advisors’ clients as particularly relevant, because substantially all of those accounts were managed for affiliates of Mason Street Advisors and, as such, those accounts were priced based on different factors and considerations and, in some instances, had investment objectives and policies different than those of the Portfolios.

The directors further considered the total operating expenses of each Portfolio and a comparison of those expenses with such Portfolio’s peer group. The directors noted that the Domestic Equity Portfolio was projected to continue to be in the top Lipper quartile (meaning lowest) and the Large Cap Blend Portfolio was projected to continue to be in the second Lipper quartile (meaning second lowest), with respect to total operating expenses. In considering the level of management fees, the directors also considered the structure and size of each Portfolio, the expenses assumed by Mason Street Advisors, the existing expense cap arrangement agreed to by Mason Street Advisors for each Portfolio and the amounts waived or reimbursed by Mason Street Advisors under such agreements. Based on their review of the management and other expenses, the comparative data, and other factors deemed relevant by the directors, the directors concluded that the management fees and total operating expenses of each Portfolio were reasonable in relation to the nature, scope and quality of services to be provided.

Costs and Profitability. The directors also considered Mason Street Advisors’ pricing methodology for its services as investment adviser and for the products of which the Portfolios were investment options. Also considered was the financial condition of Mason Street Advisors and information concerning Mason Street Advisors’ costs and profitability with respect to its relationship with the Portfolios in general as well as in light of the sub-advisory fees negotiated with each New Sub-Adviser. Mason Street Advisors provided a profitability analysis for each Portfolio that included the expense allocation methodology used, net income for the Portfolio and net and gross profit margins for the Portfolio. In connection with its review of the profitability of Mason Street Advisors’ services to the Portfolios, the directors also considered services provided by affiliates of Mason Street Advisors. The directors also received information on soft dollar arrangements, including its policies for allocating brokerage and research services, and any other benefits to Mason Street Advisors or its affiliates arising from the Portfolios.

The directors recognized that there are limitations inherent in allocating costs and calculating profitability for an organization such as Mason Street Advisors, and that it is difficult to make comparisons of profitability among investment advisers and clients because comparative information is not generally publicly available and, when available, such information has been developed using a variety of assumptions and other factors. Based on their review of the profitability analysis for each Portfolio, the directors concluded that they were satisfied that Mason Street Advisors’ level of profitability from its relationship with the Portfolios was not excessive.

Economies of Scale. The directors also considered whether each Portfolio’s expense structure permitted economies of scale to be shared with such Portfolio’s investors. The directors considered that the fee schedule for each Portfolio contained breakpoints and the extent to which the Portfolios may benefit from economies of scale through those breakpoints. The directors also took into consideration the expense cap agreement that was in place with respect to each Portfolio. The directors

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also considered the total assets of each Portfolio and the expense ratios of the Portfolios. Based on this information, the Board concluded that the fee schedule and breakpoints evidenced an appropriate sharing of economies of scale between each Portfolio and Mason Street Advisors.

Other Information. The directors were presented with other information intended to assist them in their consideration of the approval of the New Sub-Advisory Agreements, including information about each New Sub-Adviser’s risk management infrastructure, compliance structure, compliance policies and procedures, brokerage practices and use of soft dollars. The directors also received information regarding pending or recent litigation or regulatory actions to which each New Sub-Adviser or its respective affiliates may have been a party, and responses to those actions, information regarding portfolio turnover, business continuity, succession planning, portfolio manager compensation, codes of ethics, and proxy voting policies and procedures.

Conclusions of the Directors. Based on a consideration of all information they 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 its business judgment concluded that it was in the best interest of the Domestic Equity Portfolio to approve the New Sub-Advisory Agreement between Mason Street Advisors and Delaware and in the best interest of the Large Cap Blend Portfolio to approve the New Sub-Advisory Agreement between Mason Street Advisors and FMI.

Restatement and Continuation of Existing Sub-Advisory Agreements Between Mason Street Advisors and Certain Sub-Advisers

In determining whether to approve the continuance of the Existing Sub-Advisory Agreements on behalf of the Series Fund, the Board requested and received detailed information from Mason Street Advisors and the Sub-Advisers to assist them in their evaluation, including information compiled by certain independent providers of evaluative data. The Board also had available Mason Street Advisors’ Executive Summary and Overview regarding each of the Sub-Advisers and other materials prepared by Mason Street Advisors, which contained detailed information concerning the expenses, performance, brokerage commissions, portfolio turnover, style consistency and other factors with respect to each of the Sub-Advised Portfolios, as well as a recap of the Sub-Advisers’ responses to the compliance questions contained in each Sub-Adviser’s Section 15(c) Report and the observations of Mason Street Advisors’ compliance group regarding the compliance structure and practices of each of the Sub-Advisers. While particular focus is given to an evaluation of the services, performance, fees, expenses and certain other relevant information under such Agreements at the meeting at which their continuation is 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, together with related information, is an ongoing one. As a result, the Board’s consideration of the nature, extent and quality of services, and the performance, fees, expenses and other relevant factors was informed by information provided and deliberations that occurred at other meetings throughout the year.

The Independent Directors also received a memorandum from their counsel advising them of their responsibilities in connection with the annual review of the Existing Sub-Advisory Agreements and summarizing the legal standards governing the renewal of such Agreements. The Independent Directors reviewed these standards with their counsel during the course of these 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 and the Sub-Advisers present, and were represented throughout the process by legal counsel.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of each of the Existing Sub-Advisory Agreements with respect to each Sub-Advised Portfolio include those discussed below. In addition to the information provided to them at the meetings by Mason Street Advisers and the Sub-Advisers, the directors considered their experience with and knowledge of the nature and quality of the services provided by the Sub-Advisers and their discussions with representatives of Mason Street Advisers, its affiliates and each Sub-Adviser. The directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. The directors evaluated a variety of information they deemed relevant on a Portfolio by Portfolio basis. 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 directors, and different directors may have placed greater weight on certain factors than did other directors.

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Nature, Extent and Quality of Services. In considering the nature, extent and quality of each Sub-Adviser’s services, factors considered by the directors included the Sub-Adviser’s overall business, organization and management structure, the tenure and experience of the Sub-Adviser’s investment personnel in general and the experience of the portfolio managers of each of the Sub-Advised Portfolios in particular, and changes in key personnel. The directors also received information provided by each Sub-Adviser with respect to its financial condition and assets under management, and noted in particular T. Rowe Price’s strong earnings and positive asset flows. The directors were provided with information regarding a recent workforce reduction implemented by Credit Suisse, but concluded that the reduction was not likely to impact services provided to the Commodities Return Strategy Portfolio based on Credit Suisse’s stated intention to continue to support and grow its commodities business. In connection with the renewal of the Existing Sub-Advisory Agreement with PIMCO, the directors considered recent changes to the organizational structure for the asset management business of PIMCO’s parent company, and concluded that the changes should not have an adverse effect on services provided to the Portfolios sub-advised by PIMCO. In connection with the renewal of the Existing Sub-Advisory Agreement with ACI, the Board considered ACI’s private ownership structure, which seems to afford ACI the flexibility to take a long term view, and its focus on money management as its sole line of business.

The directors also considered each Sub-Adviser’s investment philosophy and process and the scope of the services provided by the Sub-Advisers, noting in particular T. Rowe Price’s consistent, understandable investment strategy. The Board concluded that generally there were no changes in the services provided. The directors also considered the succession plans with respect to the management of the Sub-Advised Portfolios. The directors evaluated information provided by T. Rowe Price regarding its succession plan for the Small Cap Value Portfolio in light of the upcoming retirement of the Portfolio’s named portfolio manager, and concluded that in light of T. Rowe Price’s investment advisory committee structure and the qualifications of the named portfolio manager’s successor, professional coverage should be uninterrupted because the remaining professionals on the team had extensive knowledge of the mandate’s process and the Portfolio’s current holdings. Consideration was also given to each Sub-Adviser’s reputation in the industry in providing investment management services, each Sub-Adviser’s experience 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 the respective Sub-Advised Portfolios, the directors concluded, within the context of their overall determinations regarding the Existing Sub-Advisory Agreements, that they were satisfied with the nature, extent and quality of services provided by each Sub-Adviser on behalf of the respective Sub-Advised Portfolio, and the resources committed by each Sub-Adviser in providing those services.

Management Fees and Other Expenses. The directors evaluated the reasonableness of management fees and total expenses paid by the Sub-Advised Portfolios under the Existing 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, which fees are paid by Mason Street Advisers out of its management fee, including a comparison of those fees with fees charged by the Sub-Advisers for similarly managed accounts. In considering the level of management fees, the directors also considered the size of each Sub-Advised Portfolio, expenses assumed by Mason Street Advisors, and the existing expense cap arrangements agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio.

As part of its evaluation, the directors received and reviewed an independent analysis prepared by Lipper of comparative expense and performance data for each Sub-Advised Portfolio. Lipper provided data comparing each Portfolio’s net and total expenses with those of a peer group of funds underlying variable insurance products, as well as a universe of funds underlying variable insurance products across each fund’s investment classification and objective, each as selected by Lipper. The directors considered the comparative data as a guide to help assess the reasonableness of each Portfolio’s net and total expense ratios. The directors noted that all but two of the Sub-Advised Portfolios were in the top two Lipper quartiles (meaning lowest expenses) of their respective peer groups for both gross and net expenses, for the period ended December 31, 2011. With respect to the Portfolios that were in the third Lipper quartile with respect to expenses, the directors considered that expense cap agreements were in place for each such Portfolio, that an advisory fee waiver had been implemented with respect to one of the Portfolios and that the other Portfolio was in Lipper’s top quartile (meaning lowest fees) for advisory fees. Expense information considered by the directors for the period ended December 31, 2011 was based on actual expenses plus estimated expenses that were shifted to the Portfolios pursuant to the Advisory Agreement, after giving effect to expense caps and breakpoints.

Based on their review of the above information and other factors deemed relevant by the directors, the directors concluded that the management fees and total 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.

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Investment Performance of the Sub-Advised Portfolios. The directors reviewed the investment performance of each Sub-Advised Portfolio over a variety of time periods. In addition to absolute performance and risk adjusted performance for each Sub-Advised Portfolio for both short 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 categories for the same periods, (ii) the Morningstar overall star rating for each Portfolio (as applicable), and (iii) the Morningstar and the Lipper rankings for the one-, three- and five-year (as applicable) periods. 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 each Sub-Advised Portfolio. The directors also considered the performance of accounts managed in a similar manner by each of the Sub-Advisers, where available, and information from the Sub-Advisers regarding any significant differences in the performance of those accounts from that of the Sub-Advised Portfolio in question. In connection with their evaluation of the performance of the Sub-Advised Portfolios, the directors also took into consideration the risk profile for each Sub-Advised Portfolio over the short and long term relative to its performance. The performance was considered in light of each Sub-Advised Portfolio’s investment objective and strategies as well as market conditions. In addition to performance information presented at the meeting, the directors considered the detailed performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically throughout the year. Generally speaking, while attentive to short term performance and what it might indicate, the directors gave greater weight to longer term performance.

The directors noted in particular their satisfaction with improving investment performance of the Portfolios sub-advised by ACI that seemed related to ACI’s revisions to investment process. The directors also noted that the short term performance of the Focused Appreciation Portfolio had improved, and observed that the Portfolio continued to maintain a strong long term track record. The directors noted favorably the strong investment results of the Portfolios sub-advised by T. Rowe Price and PIMCO as well as the low portfolio turnover rates of the Portfolios sub-advised by T. Rowe Price. The directors considered that the current portfolio management team for the International Growth Portfolio had been in place for less than two years, and thus its three year performance record continued to be negatively impacted by performance prior to the time Janus had been appointed as sub-adviser. Finally, with respect to the Commodities Return Strategy Portfolio, which had underperformed its benchmark since inception in 2011, the directors considered the role of the Portfolio in the variable annuity and variable life products for which it was an investment option, which was to provide pure exposure to a commodities return through an enhanced index strategy for purposes of diversification. The directors concluded that the Portfolio’s performance relative to this goal was sufficient to warrant approval of the continuation of the Existing Sub-Advisory Agreement with Credit Suisse.

The Board concluded that, in the totality of the circumstances and within the context of its overall determinations regarding the Existing Sub-Advisory Agreements, the performance of each Sub-Advised Portfolio was within an acceptable range compared to benchmarks and/or peers to support the continuation of each Existing Sub-Advisory Agreement.

Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors due to its relationship with the Sub-Advised Portfolios. The directors considered Mason Street Advisors’ quarterly presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to the Sub-Advised Portfolios on an aggregate and a per Portfolio basis, and Mason Street Advisors’ allocation methodology with respect to the revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by the aforementioned information regarding the range of peer expenses in each Sub-Advised Portfolio’s respective Lipper category and the ranking of each Sub-Advised Portfolio within the categories. The directors also considered the profitability information related to certain of the Sub-Advised Portfolios where such information had been provided and the financial statements of certain Sub-Advisers or their affiliates who had not provided specific profitability information. In all instances, including in those cases where profitability information had not been provided, the directors noted that the sub-advisory fees were the result of arm’s-length negotiations between Mason Street Advisors and the 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 had been developed using a variety of assumptions and other factors.

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 fund families advised by certain Sub-Advisers to the Sub-Advised Portfolios in affinity fund or select fund programs offered by an affiliate of Mason Street Advisors and the payment of fees by those entities to affiliates of Mason Street Advisors. The directors also reviewed information concerning

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the Sub-Advisers’ soft dollar arrangements and any other benefits to the Sub-Advisers arising from their relationships with the Sub-Advised Portfolios.

The Board concluded, within the context of its overall determinations regarding the Existing Sub-Advisory Agreements, 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 relationships with the Sub-Advised Portfolios, were not excessive.

Economics of Scale. The directors also considered whether each Sub-Advised Portfolio’s expense structure permitted economies of scale to be shared with such Portfolio’s investors. The directors considered the breakpoints contained in the advisory fee schedules for all but one of the Sub-Advised Portfolios and the extent to which the Sub-Advised Portfolios may benefit from economies of scale through those breakpoints. With respect to the Sub-Advised Portfolio for which breakpoints had not been established, the directors also took into account the expense cap agreement that was in place with respect to such Portfolio. The directors considered that the fee schedules for all but two of the Sub-Advised Portfolios contained breakpoints, and that the fee schedules and breakpoints evidenced an appropriate sharing of economies of scale between each Sub-Advised Portfolio and Mason Street Advisors. The directors also considered the total assets of each Sub-Advised Portfolio and the expense ratios of the Sub-Advised Portfolios.

Based on this information, the Board concluded, within the context of its overall determinations regarding the Existing 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 Existing Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Sub-Advised Portfolios. The directors considered reports from Mason Street Advisors on its review of the respective compliance programs of the Sub-Advisers, recent compliance exceptions noted, pending or recent litigation or regulatory actions to which a Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser’s response. Their review further included information relating to each Sub-Adviser’s risk management infrastructure, information regarding portfolio manager compensation, brokerage and proxy voting practices, codes of ethics, business continuity and other matters.

Conclusions of the Directors. Based on a consideration of all information they deemed relevant in its totality, the directors, 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 it was in the best interest of each Portfolio to approve the continuation of each of the Existing Sub-Advisory Agreements between Mason Street Advisors and the Sub-Advisers.

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REPORT ON FORM N-CSR

RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.

Item 2. Code of Ethics

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

The Registrant’s board of directors has determined that the Registrant has three audit committee financial experts serving on its audit committee. The names of the audit committee financial experts are Miriam M. Allison, Gail L. Hanson and Michael G. Smith. Each of the audit committee financial experts is independent.

Item 4. Principal Accountant Fees and Services

(a) Audit Fees
Audit Fees and Expenses of Registrant
	2011		2012
	$	562,000	$	584,340
(b) Audit Related Fees
Audit-Related Fees and Expenses of Registrant
	2011		2012
	$	0	$	0
(c) Tax Fees
	2011		2012
	$	99,200	$	95,765
Review of dividend declarations
Review of excise tax calculations
Non-U.S. tax compliance
(d) All Other Fees
	2011		2012
	$	0	$	0

(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.

(f) Not applicable.

(g) Aggregate non-audit fees of Registrant and related service providers
	2011		2012
	$	136,700	$	154,715

(h) The Registrant’s audit committee has considered whether the auditor’s provision of non-audit services to the Registrant’s related service providers is compatible with the auditor’s independence.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Full Schedule of Investments is included in Item 1.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

Not applicable.

Item 11. Disclosure Controls and Procedures

(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.

(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 Registrant’s last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits

(a)(1) The code of ethics referred to in the response to Item 2 above is attached as exhibit EX-99.12(a)(1).

(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 EX-99.CERT.

(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.

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.

NORTHWESTERN MUTUAL SERIES FUND, INC.

By:	/s/ R. David Ells
	R. David Ells, President
Date: February 14, 2013

By:	/s/ Walter M. Givler
	Walter M. Givler, Vice-President,
	Chief Financial Officer and
	Treasurer
Date: February 14, 2013