Northwestern Mutual Series Fund NCSR 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, 2014

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, 2014

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering 27 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

Balanced Portfolio

Asset Allocation Portfolio

Letter to Contract Holders

December 31, 2014

In last year’s letter to contract holders, we discussed how investment markets for the past several years had been driven by broad economic themes, as opposed to individual, company specific factors. Economic themes continued to influence market performance during 2014, but investors demonstrated a greater appreciation for the fundamental drivers of different asset classes, countries and types of securities. For example, U.S. stocks and the U.S. dollar posted strong gains, as investors rewarded the U.S. economy’s strength relative to most major nations. With unsteady growth and political uncertainty throughout the world in 2014, investors embraced the U.S. economy’s improving growth and steady reduction in monetary stimulus.

Despite the overall strength of the U.S. market in 2014, the path for the market was uneven, as stocks fell sharply at the beginning of the year when global growth concerns dampened the outlook. Stocks rebounded thereafter, as improving economic growth in the U.S. led to optimism. The Federal Reserve (the “Fed”) steadily decreased its unprecedented stimulus program during the year, finishing its final bond purchasing program in October 2014. In September, the stock market dropped sharply again, as investors reduced risk in light of the Fed’s impending policy shift. Investors quickly returned to the U.S., as the Fed reaffirmed its commitment to a zero interest rate policy and the U.S. economy delivered solid growth, propelling the S&P 500^® Index to an all-time high.

The U.S. stock market outperformed most foreign markets, while most major stock indices outperformed bonds. In general, emerging markets lagged during China’s economic slowdown, while the European Union continued to experience stagnant economic growth, sparking deflationary fears. A relatively new global theme emerged during the final months of the year when the U.S. dollar rallied relative to other major currencies due to rising economic prospects in the U.S. and the Fed’s termination of bond purchases. Subsequently, the rising dollar and record U.S. oil and gas production helped drive oil prices to a five-year low.

In that environment, investors were somewhat more discerning than in years past, as they developed a nuanced taste for risk assets. At the highest level, investors continued to embrace risk in stocks over the relative safety of bonds, although some clear risk-reduction themes emerged within both asset classes.

In the U.S., investors preferred the stability of larger-capitalization stocks, as the S&P 500^® Index delivered a double-digit gain. Mid- and small-sized companies, on the other hand, produced more modest returns. Investors’ clear preference for large, liquid stocks was a notable divergence from the risk preference of prior years.

Similarly, within fixed income markets, bonds that offered more stability and lower yields—Treasurys and mortgage-backed securities—posted solid performance, while the higher yielding and higher risk corporate bond market

delivered mediocre returns. Here again, markets expressed a subtle shift toward risk reduction.

The U.S. economy grew at a moderate pace with contained inflation in 2014. An unseasonably cold winter led to a sharp economic contraction at the beginning of the year. Nevertheless, economic growth improved in each subsequent quarter with a strong finish in the latter half of the year. As a result, the U.S. unemployment rate dipped to 5.6% in December 2014. The improving job market and rising home prices led to relatively steady consumer spending, while solid profit growth and healthy balance sheets continued to propel Corporate America.

Despite the many strong and improving stories of 2014, we still find reasons to proceed with caution. Europe is struggling with stagnant economic growth and the risk of deflation, Japanese economic growth remains sluggish despite large amounts of economic stimulus, and declining oil prices could be a harbinger of weak demand. The Fed’s policy trajectory is tilting toward less economic stimulus, but the Fed’s interest rate policy remains uncertain, which may contribute to market volatility.

Although myriad economic, political and business events during 2015 may cause the investment markets to be volatile, this can serve as a reminder for investors to assess whether their portfolios remain adequately diversified in accordance with their long-term investment goals and risk tolerance. Portfolios tend to become unbalanced over time, as the outperformance of a certain asset class can lead to a higher concentration of that asset class in an investor’s portfolio. In light of this, an investor might consider whether it would be appropriate to return to his or her previously established asset class allocation levels by reallocating the gains of higher performing classes.¹

Similar to all financial decisions, an investor should approach rebalancing with the guidance of a financial professional to pinpoint the appropriate allocation for his or her individual portfolio, current financial situation and overall financial plan. As always, we encourage you to work closely with your financial professional through the ups and downs of the financial markets in 2015, as they can help you develop and adhere to a plan that will be guided by your long-term goals, rather than the short-term fluctuations of the market.

LOGO

Kate M. Fleming

President of Northwestern Mutual Series Fund, Inc.

¹ A strategy involving portfolio rebalancing cannot assure a profit or protect against loss in a declining market. Not intended to be investment advice.

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			4
Large Cap Core Stock Portfolio			8
Large Cap Blend Portfolio			11
Index 500 Stock Portfolio			14
Large Company Value Portfolio			21
Domestic Equity Portfolio			25
Equity Income Portfolio			28
Mid Cap Growth Stock Portfolio			33
Index 400 Stock Portfolio			36
Mid Cap Value Portfolio			42
Small Cap Growth Stock Portfolio			47
Index 600 Stock Portfolio			51
Small Cap Value Portfolio			59
International Growth Portfolio			63
Research International Core Portfolio			67
International Equity Portfolio			72
Emerging Markets Equity Portfolio			77
Money Market Portfolio			82
Short-Term Bond Portfolio			86
Select Bond Portfolio			98
Long-Term U.S. Government Bond Portfolio			110
Inflation Protection Portfolio			116
High Yield Bond Portfolio			128
Multi-Sector Bond Portfolio			138
Balanced Portfolio			158
Asset Allocation Portfolio			163
Benchmark Definitions			168
Statements of Assets and Liabilities			170
Statements of Operations			174
Statements of Changes in Net Assets			178
Statement of Cash Flows			186
Financial Highlights			188
Notes to Financial Statements			196
Report of Independent Registered Public Accounting Firm			218
Proxy Voting and Portfolio Holdings			219
Director and Officer Information			220
Approval and Continuance of Investment Sub-Advisory Agreements			223

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, 2014 to December 31, 2014).

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, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period July 1, 2014 to December 31, 2014*		Annualized Expense Ratio

Growth Stock Portfolio
Actual		$1,000.00		$1,045.13		$2.11		0.41	%
Hypothetical (5% return before expenses)		1,000.00		1,023.14		2.09		0.41

Focused Appreciation Portfolio
Actual		1,000.00		1,085.46		3.36		0.64
Hypothetical (5% return before expenses)		1,000.00		1,021.98		3.26		0.64

Large Cap Core Stock Portfolio
Actual		1,000.00		1,010.77		2.23		0.44
Hypothetical (5% return before expenses)		1,000.00		1,022.99		2.24		0.44

Large Cap Blend Portfolio
Actual		1,000.00		1,038.71		4.16		0.81
Hypothetical (5% return before expenses)		1,000.00		1,021.12		4.13		0.81

Index 500 Stock Portfolio
Actual		1,000.00		1,060.23		1.09		0.21
Hypothetical (5% return before expenses)		1,000.00		1,024.15		1.07		0.21


i		Expense Examples

Expense Examples (unaudited)


	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period July 1, 2014 to December 31, 2014*		Annualized Expense Ratio

Large Company Value Portfolio
Actual		1,000.00		1,047.05		3.66		0.71
Hypothetical (5% return before expenses)		1,000.00		1,021.63		3.62		0.71

Domestic Equity Portfolio
Actual		1,000.00		1,049.13		2.84		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.43		2.80		0.55

Equity Income Portfolio
Actual		1,000.00		1,012.57		3.35		0.66
Hypothetical (5% return before expenses)		1,000.00		1,021.88		3.36		0.66

Mid Cap Growth Stock Portfolio
Actual		1,000.00		1,057.44		2.64		0.51
Hypothetical (5% return before expenses)		1,000.00		1,022.63		2.60		0.51

Index 400 Stock Portfolio
Actual		1,000.00		1,019.61		1.37		0.27
Hypothetical (5% return before expenses)		1,000.00		1,023.84		1.38		0.27

Mid Cap Value Portfolio
Actual		1,000.00		1,059.22		4.05		0.78
Hypothetical (5% return before expenses)		1,000.00		1,021.27		3.97		0.78

Small Cap Growth Stock Portfolio
Actual		1,000.00		1,038.16		2.93		0.57
Hypothetical (5% return before expenses)		1,000.00		1,022.33		2.91		0.57

Index 600 Stock Portfolio
Actual		1,000.00		1,022.68		1.89		0.35
Hypothetical (5% return before expenses)		1,000.00		1,023.34		1.89		0.35

Small Cap Value Portfolio
Actual		1,000.00		972.84		4.38		0.88
Hypothetical (5% return before expenses)		1,000.00		1,020.77		4.48		0.88

International Growth Portfolio
Actual		1,000.00		913.19		3.62		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.42		3.82		0.75

Research International Core Portfolio
Actual		1,000.00		905.35		4.51		0.94
Hypothetical (5% return before expenses)		1,000.00		1,020.47		4.79		0.94

International Equity Portfolio
Actual		1,000.00		887.78		3.14		0.66
Hypothetical (5% return before expenses)		1,000.00		1,021.88		3.36		0.66


		Expense Examples			ii

Expense Examples (unaudited)


	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period July 1, 2014 to December 31, 2014*		Annualized Expense Ratio

Emerging Markets Equity Portfolio
Actual		1,000.00		894.31		6.45		1.35
Hypothetical (5% return before expenses)		1,000.00		1,018.40		6.87		1.35

Money Market Portfolio
Actual		1,000.00		1,000.17		0.55		0.11
Hypothetical (5% return before expenses)		1,000.00		1,024.65		0.56		0.11

Short-Term Bond Portfolio
Actual		1,000.00		997.98		2.06		0.41
Hypothetical (5% return before expenses)		1,000.00		1,023.14		2.09		0.41

Select Bond Portfolio
Actual		1,000.00		1,016.63		1.63		0.32
Hypothetical (5% return before expenses)		1,000.00		1,023.59		1.63		0.32

Long-Term U.S. Government Bond Portfolio
Actual		1,000.00		1,104.62		3.40		0.65
Hypothetical (5% return before expenses)		1,000.00		1,021.98		3.26		0.65

Inflation Protection Portfolio
Actual		1,000.00		978.94		2.94		0.59
Hypothetical (5% return before expenses)		1,000.00		1,022.23		3.01		0.59

High Yield Bond Portfolio
Actual		1,000.00		965.41		2.33		0.47
Hypothetical (5% return before expenses)		1,000.00		1,022.84		2.40		0.47

Multi-Sector Bond Portfolio
Actual		1,000.00		971.28		3.97		0.80
Hypothetical (5% return before expenses)		1,000.00		1,021.17		4.08		0.80

Balanced Portfolio
Actual		1,000.00		1,012.88		0.56		0.11
Hypothetical (5% return before expenses)		1,000.00		1,024.65		0.56		0.11

Asset Allocation Portfolio
Actual		1,000.00		1,006.57		0.81		0.16
Hypothetical (5% return before expenses)		1,000.00		1,024.40		0.82		0.16

*	Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).


iii		Expense Examples

Growth Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Current income is a secondary objective.	Invest in the equity securities of medium and large capitalization companies exhibiting the potential for earnings growth or share price appreciation.	$886 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Growth Stock Portfolio (the “Portfolio”), has engaged The Boston Company Asset Management, LLC (“The Boston Company”) to act as sub-adviser for the Portfolio. The Portfolio invests in the equity securities of medium and large capitalization companies. The Portfolio invests in stocks selected by a team of core research analysts, with each analyst responsible for investments in his or her area of expertise. These analysts use a fundamental, bottom-up research process to identify investments for the Portfolio. The Portfolio invests in those companies in which the analysts have the highest degree of conviction or have identified the potential for a strong near-term catalyst for earnings growth or share price appreciation.

Market Overview

Global equities produced mixed returns for 2014, according to various global indexes, as investors digested a medley of encouraging U.S. data, increasing volatility and rising geopolitical risk. Positive economic data helped U.S. stocks, as measured by the Russell 3000^® Index, during the first quarter despite an unseasonably harsh winter that threatened consumer sentiment. By the second quarter, U.S. investors largely shrugged off reports that the economy shrank during the first three months of the year, while the U.S. Federal Reserve (the “Fed”) underlined an improving economy by announcing it would wind down its monthly bond purchases. U.S. stocks logged third-quarter gains, as investors cheered better-than-expected growth indicators, which included improvements in consumer spending, tourism and manufacturing. In the final quarter of 2014, U.S. stocks tallied another solid quarterly gain, as the Fed offered a mostly upbeat assessment of the country’s economic prospects.

Portfolio Results

The Portfolio returned 9.02% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Russell 1000^® Growth Index (the “Index”), returned 13.05%. (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 Growth Funds peer group was 10.04% for 2014.

The Portfolio delivered solid performance in January and February, but in March, the markets began a correction, rotating away from the momentum stocks that had been 2013’s market leaders. This caused significant relative underperformance in March and April. From May through December, the Portfolio trailed the Index, but much less so relative to March/April. For the year, Industrials, Consumer Staples, Information Technology and Consumer Discretionary were the worst relative performers by sector, partially offset by outperformance in Health Care and a lack of exposure to Telecommunication Services.

The Healthcare sector delivered the best performance in both the Portfolio and the Index. The Portfolio’s outperformance was driven primarily by holdings in the biotechnology and life sciences tools & services segments. Within biotechnology, a position in Alexion Pharmaceuticals, Inc. moved higher, as the company’s Soliris treatment continued to generate improving earnings.

The Portfolio’s relative performance in the Industrials sector was hurt primarily by holdings in the construction & engineering and aerospace & defense segments. Shares of global construction & engineering firm Fluor Corp. fell despite several strong earnings reports, largely on concerns that lower oil prices may impact its backlog due to postponed projects.

The Portfolio’s relative underperformance in the Consumer Staples sector was mostly due to holdings in food & staples retailing and food products. Shares of specialty food retailer Whole Foods Market, Inc. dropped after disappointing earnings reports, demonstrating decelerating sales and margin compression.

Underperformance in the Consumer Discretionary sector was attributable to holdings in Internet & catalog retail and media. A position in television and media streaming service Netflix, Inc. fell amid weak subscriber growth with lackluster reviews for recent original content. As a result, the portfolio managers sold the position.

Portfolio Manager Outlook

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

The U.S. economy continues to improve in key areas such as employment and manufacturing, and overall, we believe the economy remains well positioned for continued expansion in 2015. Lower oil prices could serve as a tailwind for the broader economy, as businesses realize lower input costs and consumers benefit from a boost to disposable income, which may drive retail spending in 2015. Coupled with early signs of rising wages and multi-year highs in consumer confidence, the consumer could be a particular source of economic strength.


		Growth Stock Portfolio			1

Growth Stock Portfolio (unaudited)

Inflation remains subdued, and a strong dollar is likely to weigh on commodity prices for some time. The direction of interest rates and a potential rate hike by the Fed remain notable market uncertainties. While rates are widely expected to rise, we have yet to see that materialize. Market volatility could be further influenced by concerns about the new political mix in Washington, slow growth in Europe and Asia and extended weakness in oil, which could emerge as a source of instability. Overall, we continue to believe a healthier U.S. economy, strong corporate underpinnings and secular tailwinds will remain supportive of U.S. equities.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Growth Stock Portfolio		9.02	%		13.16	%		7.21	%
Russell 1000^® Growth Index		13.05	%		15.81	%		8.49	%
Lipper^® Variable Insurance Products (VIP) Large Cap Growth Funds Average		10.04	%		14.09	%		7.73	%

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 12/31/04. 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.

Top 10 Equity Holdings 12/31/14


Security Description	% of Net Assets
Apple, Inc.	6.9	%
Microsoft Corp.	2.8	%
PepsiCo, Inc.	2.8	%
Facebook, Inc. - Class A	2.8	%
Visa, Inc. - Class A	2.7	%
The Home Depot, Inc.	2.4	%
Gilead Sciences, Inc.	2.1	%
Honeywell International, Inc.	2.1	%
Comcast Corp. - Class A	2.0	%
Schlumberger, Ltd.	2.0	%

Sector Allocation 12/31/14

LOGO

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, 2014


	Common Stocks (99.5%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (16.3%)
*	AMC Networks, Inc. - Class A		100,486		6,408
	Comcast Corp. - Class A		312,294		18,116
	Delphi Automotive PLC		97,960		7,124
*	Dollar General Corp.		113,400		8,017
	The Home Depot, Inc.		202,260		21,231
	The Interpublic Group of Cos., Inc.		429,810		8,927
*	Michael Kors Holdings, Ltd.		137,645		10,337
	NIKE, Inc. - Class B		146,070		14,045
*	Priceline.com, Inc.		13,111		14,949
	PVH Corp.		89,830		11,514
*	Ulta Salon, Cosmetics & Fragrance, Inc.		69,980		8,946
*	Under Armour, Inc.		71,510		4,856
	Viacom, Inc. - Class B		127,530		9,597

	Total				144,067


	Consumer Staples (10.8%)
	Coca-Cola Enterprises, Inc.		253,410		11,206
	Colgate-Palmolive Co.		207,980		14,390
	Costco Wholesale Corp.		79,456		11,263
	CVS Caremark Corp.		124,790		12,018
	The Estee Lauder Cos., Inc. - Class A		163,800		12,482
	Mondelez International, Inc.		281,670		10,232
	PepsiCo, Inc.		258,560		24,449

	Total				96,040


	Energy (4.5%)
	EOG Resources, Inc.		142,900		13,157
	Kinder Morgan, Inc.		213,291		9,024
	Schlumberger, Ltd.		209,360		17,882

	Total				40,063


	Common Stocks (99.5%)	Shares/ $ Par		Value $ (000’s)

	Financials (6.0%)
	Ameriprise Financial, Inc.		86,660		11,461
	BlackRock, Inc.		30,910		11,052
	Discover Financial Services		115,530		7,566
	Intercontinental Exchange, Inc.		52,540		11,521
	Marsh & McLennan Cos., Inc.		204,835		11,725

	Total				53,325


	Health Care (16.7%)
*	Actavis PLC		57,783		14,874
*	Alexion Pharmaceuticals, Inc.		62,990		11,655
*	Biogen Idec, Inc.		38,440		13,049
	Bristol-Myers Squibb Co.		144,090		8,506
*	Celgene Corp.		144,040		16,112
*	Gilead Sciences, Inc.		198,590		18,719
*	Illumina, Inc.		49,638		9,162
	McKesson Corp.		68,710		14,263
	Perrigo Co. PLC		61,101		10,214
*	Regeneron Pharmaceuticals, Inc.		20,780		8,525
	UnitedHealth Group, Inc.		104,960		10,610
*	Vertex Pharmaceuticals, Inc.		102,520		12,179

	Total				147,868


	Industrials (10.4%)
	Cummins, Inc.		76,890		11,085
	Danaher Corp.		129,240		11,077
	FedEx Corp.		58,430		10,147
	Fluor Corp.		142,268		8,626
	Honeywell International, Inc.		181,930		18,178
	Precision Castparts Corp.		54,720		13,181
	Raytheon Co.		86,320		9,337
	Tyco Interntional PLC		234,990		10,307

	Total				91,938


	Common Stocks (99.5%)	Shares/ $ Par		Value $ (000’s)

	Information Technology (31.9%)
	Accenture PLC - Class A		93,590		8,359
*	Adobe Systems, Inc.		130,390		9,479
*	Akamai Technologies, Inc.		117,250		7,382
	Apple, Inc.		554,980		61,259
*	Cognizant Technology Solutions Corp. - Class A		175,590		9,247
	EMC Corp.		390,970		11,627
*	Facebook, Inc. - Class A		313,271		24,441
*	Fortinet, Inc.		230,984		7,082
*	Google, Inc. - Class A		31,610		16,774
*	Google, Inc. - Class C		31,610		16,640
	Intuit, Inc.		160,490		14,796
*	LinkedIn Corp. - Class A		39,950		9,177
	Microsoft Corp.		533,082		24,762
	Oracle Corp.		293,248		13,187
*	Salesforce.com, Inc.		215,550		12,784
	SanDisk Corp.		115,130		11,280
	Visa, Inc. - Class A		92,830		24,340

	Total				282,616


	Materials (2.9%)
	The Dow Chemical Co.		188,630		8,603
	Martin Marietta Materials, Inc.		66,060		7,288
	Praxair, Inc.		74,670		9,674

	Total				25,565

	Total Common Stocks
	(Cost: $683,284)				881,482

	Total Investments (99.5%)
	(Cost: $683,284)(a)				881,482

	Other Assets, Less
	Liabilities (0.5%)				4,398

	Net Assets (100.0%)				885,880

*	Non-Income Producing

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $684,921 and the net unrealized appreciation of investments based on that cost was $196,561 which is comprised of $199,956 aggregate gross unrealized appreciation and $3,395 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	881,482	$	-	$	-
Total	$	881,482	$	-	$	-

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


		Growth Stock Portfolio			3

Focused Appreciation Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest in equity securities selected for their growth potential.	$722 million

Portfolio Overview

Mason Street Advisors, LLC (“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 in choosing investments for the Portfolio. 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

U.S. large-cap equities, as measured by the Russell 1000^® Index, enjoyed another year of strong gains. Generally positive corporate earnings reports, a declining unemployment rate and a pickup in economic growth later in the year provided evidence the U.S. economy was strengthening. Low interest rates in most developed regions also provided a supportive backdrop for equities. While the U.S. equity market, measured by the Russell 3000^® Index, enjoyed strong gains, volatility increased considerably in the final months of the year.

Portfolio Results

The Portfolio returned 9.43% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Russell 1000^® Growth Index (the “Index”), returned 13.05%. (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 Growth Funds peer group was 10.04% for 2014.

As part of the Portfolio’s investment strategy, the portfolio managers seek companies that have clear, sustainable competitive moats around their businesses based on their view that sustainable competitive advantages should help grow market share within their respective industries over time. Important competitive advantages could include a strong brand, network effects from a product or service that would be hard for a competitor to replicate, a lower cost structure than competitors in the industry, a distribution advantage or patent protection over valuable intellectual property.

For the majority of companies in the Portfolio, the portfolio managers continued to see confirmation of their views on the strength of their competitive advantages, and the portfolio managers’ view of the long-term growth potential of these companies remained unchanged. However, the Portfolio did hold some stocks that produced disappointing results, and played a large role in the Portfolio’s underperformance relative to the Index.

Stock selection in the Technology and Financial sectors were the largest detractors from performance relative to the Index. The Portfolio’s relative underperformance in both sectors was stock specific, rather than the result of a broad underlying trend. Within the Information Technology sector, the Portfolio’s decision to not own Apple, Inc. was a significant detractor. The Portfolio’s position in Citigroup, Inc. held back results in the Financials sector.

The Portfolio’s underweight to the Energy sector and overweight to the Healthcare sector were the largest contributors to relative results. Within the Healthcare sector, the Portfolio held several biotechnology companies that announced encouraging results about innovative therapies under development, which was a large driver of performance. The Portfolio had a longstanding underweight to the Energy sector due to the sensitivity many businesses in the sector have to commodity prices. The decision to be underweight the sector was beneficial in the fourth quarter, when energy stocks generally declined as oil prices sank.

Portfolio Manager Outlook

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

Heading into 2015, we have a positive outlook for both the U.S. economy and domestic equities. In our view, the U.S. is clearly showing economic strength relative to the rest of the world. While declining commodity prices may create some short-term uncertainty, lower oil prices ultimately represent a tax cut for most consumers around the world. In a country such as the U.S., where such a large portion of the economy is driven by consumer spending, the tailwind from a sharp drop in oil prices can be considerable.

Looking at equity markets, we believe valuations are reasonable. However, after rising valuations in 2013 and the first half of 2014, we believe further stock price appreciation will need to be accompanied by earnings growth. If earnings growth again becomes the primary driver of stock returns next year, we believe such an environment could be favorable for our investment process.


4		Focused Appreciation Portfolio

Focused Appreciation Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Focused Appreciation Portfolio		9.43	%		11.73	%		8.76	%
Russell 1000^® Growth Index		13.05	%		15.81	%		8.49	%
Lipper^® Variable Insurance Products (VIP) Large Cap Growth Funds Average		10.04	%		14.09	%		7.73	%

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.

Top 10 Equity Holdings 12/31/14


Security Description	% of Net Assets
Precision Castparts Corp.	4.5	%
Lowe’s Cos., Inc.	4.4	%
Celgene Corp.	4.1	%
Google, Inc. - Class C	3.9	%
Endo International PLC	3.9	%
Valeant Pharmaceuticals International, Inc.	3.6	%
Salesforce.com, Inc.	3.4	%
Delphi Automotive PLC	3.4	%
Zoetis, Inc.	3.3	%
Canadian Pacific Railway, Ltd.	3.3	%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


		Focused Appreciation Portfolio			5

Focused Appreciation Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (94.5%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (23.5%)
*	Amazon.com, Inc.		65,404		20,298
	Comcast Corp. - Class A		310,420		18,007
	Delphi Automotive PLC		336,260		24,453
	Las Vegas Sands Corp.		137,682		8,008
	Lowe’s Cos., Inc.		465,229		32,008
	Marriott International, Inc. - Class A		193,305		15,084
*	Priceline.com, Inc.		16,236		18,512
	Starbucks Corp.		215,092		17,648
	The TJX Cos., Inc.		230,328		15,796

	Total				169,814


	Energy (0.5%)
	Baker Hughes, Inc.		64,164		3,598

	Total				3,598


	Financials (10.8%)
	Aon PLC		194,316		18,427
	Crown Castle International Corp.		213,534		16,805
*	E*TRADE Financial Corp.		462,625		11,221
	Intercontinental Exchange, Inc.		63,477		13,920
	U.S. Bancorp		395,744		17,789

	Total				78,162


	Health Care (21.0%)
*	athenahealth, Inc.		32,461		4,729
*	Biogen Idec, Inc.		48,369		16,419
*	Boston Scientific Corp.		552,602		7,322
*	Celgene Corp.		262,388		29,351
*	Endo International PLC		390,387		28,155
*	Pharmacyclics, Inc.		91,561		11,194
*	Salix Pharmaceuticals, Ltd.		43,782		5,032
*	Valeant Pharmaceuticals International, Inc.		179,421		25,677
	Zoetis, Inc.		551,482		23,730

	Total				151,609


	Industrials (12.0%)
	Canadian Pacific Railway, Ltd.		122,793		23,661
	Kansas City Southern		81,989		10,005
	Nielsen NV		447,052		19,997
	Precision Castparts Corp.		136,144		32,794

	Total				86,457


	Information Technology (23.7%)
*	Adobe Systems, Inc.		198,691		14,445
*	Alibaba Group Holding, Ltd., ADR		166,832		17,340
	Amphenol Corp. - Class A		166,915		8,982
	ARM Holdings PLC, ADR		313,413		14,511
*	CoStar Group, Inc.		75,290		13,825
*	Google, Inc. - Class C		53,499		28,162
*	LinkedIn Corp. - Class A		43,979		10,102

Common Stocks (94.5%)

Shares/
$ Par

Value
$ (000’s)

Information Technology continued

MasterCard, Inc. - Class A

274,266

23,631

NetSuite, Inc.

58,318

6,367

Salesforce.com, Inc.

413,357

24,516

Yahoo!, Inc.

179,111

9,047

Total

170,928

Materials (2.0%)

Monsanto Co.

119,970

14,333

Total

14,333

Telecommunication Services (1.0%)

T-Mobile US, Inc.

271,298

7,309

Total

7,309

Total Common Stocks

(Cost: $549,916)

682,210

Foreign Common Stocks (3.3%)

Country

Information Technology (1.4%)

Tencent Holdings, Ltd.

Cayman Islands

717,000

10,288

Total

10,288

Telecommunication Services (1.9%)

Iliad SA

France

57,416

13,771

Total

13,771

Total Foreign Common Stocks

(Cost: $23,485)

24,059

Total Investments (97.8%)

(Cost: $573,401)(a)

706,269

Other Assets, Less

Liabilities (2.2%)

16,110

Net Assets (100.0%)

722,379

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


6		Focused Appreciation Portfolio

Focused Appreciation Portfolio

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $573,986 and the net unrealized appreciation of investments based on that cost was $132,283 which is comprised of $133,202 aggregate gross unrealized appreciation and $919 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	682,210	$	-	$	-
Foreign Common Stocks		-		24,059		-
Total	$	682,210	$	24,059	$	-

For the period ended December 31, 2014, there were transfers from a Level 1 to a Level 2 in the amount of $24,059 thousand. These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2014. These securities did not require the use of fair value procedures on December 31, 2013.

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


		Focused Appreciation Portfolio			7

Large Cap Core Stock Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Long-term growth of capital and income.

Invest primarily in common stocks of large capitalization

U.S. and foreign based companies listed on U.S. exchanges.

$556 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Large Cap Core Stock Portfolio (the “Portfolio”), has engaged Fayez Sarofim & Co. (“Sarofim & Co.”) to act as sub-adviser for the Portfolio. In choosing securities, the Portfolio’s portfolio managers first identify structurally attractive economic sectors they believe can support longer term profit growth. Using fundamental analysis, the Portfolio’s portfolio managers then seek companies within these sectors that have dominant positions and sustainable competitive advantages in their industries, superior management that productively redeploys cash flow, sustained patterns of profitability, strong balance sheets, expanding global presence and the potential to achieve predictable, above-average earnings and dividend growth over the next three to five years or longer. The Portfolio may also invest in companies which the portfolio managers consider undervalued in terms of earnings, assets or growth prospects.

Market Overview

The S&P 500^® Index recorded a series of successive new highs in 2014, despite five short-lived sell-offs, and has now more than tripled from its March 2009 low. The S&P 500^® Index outpaced other developed market indices, as domestic economic growth gained traction and the U.S. Federal Reserve (the “Fed”) ended quantitative easing. In contrast, economic weakness and financial strains resurfaced abroad, and foreign central banks generally stepped up stimulative efforts. The U.S. dollar strengthened against nearly every major currency in 2014, while oil prices plunged 50%. Concerns about global growth intensified in the second half prompting increased market volatility. The relative performance of large cap stocks (S&P 500^® Index) versus small caps (S&P SmallCap 600^® Index) began to strengthen over the last six months, reversing the trend that has persisted through most of this liquidity-driven recovery. Utilities, Health Care, and Information Technology were the leading sectors in the S&P 500^® Index for the year, while Energy was the only sector with a negative return.

Portfolio Results

The Portfolio returned 8.56% for the twelve months ended December 31, 2014. By comparison, the S&P 500^® Index (the “Index”) returned 13.69%. (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 Core Funds peer group was 11.51% for 2014.

The Portfolio’s overweight allocation to the weak Energy sector was a primary factor weighing on results relative to Index. This impact, however, was mitigated by advantageous stock selection within the sector, reflecting the emphasis on the major integrated oil companies and the avoidance of the more volatile oilfield service and equipment stocks. The portfolio managers believed that the Portfolio’s Energy sector holdings offered compelling valuations, strong balance sheets, established records of returning capital to shareholders and disciplined cost controls.

Another factor impeding relative performance was stock selection in the Consumer Staples sector. Weakening demand in international markets, particularly in Europe, and the strength of the U.S. dollar detracted from the Portfolio’s holdings in the Consumer Staples sector, which included several global companies. Stock selection ultimately weighed on performance relative to the Index, although an overweight in the rallying sector limited the negative impact.

Stock selection in the Financials and Health Care sectors also detracted from relative performance.

On the upside, factors that supported results relative to the Index included the limited and selectively focused representations in the Consumer Discretionary and Materials sectors, two lagging sectors. The underweighted allocation to the Industrials sector and the lack of exposure to the Telecommunication Services sector also added value relative to the Index.

Turning to the performance of individual holdings, Portfolio holdings that delivered the largest contributions to absolute return were Apple, Inc., Altria Group, Inc., Walgreen Boots Alliance, Inc., Johnson & Johnson, AbbVie, Inc., Texas Instruments, Inc., Intel Corp. and The Walt Disney Co. Holdings that detracted from absolute performance were International Business Machines Corp., Exxon Mobil Corp., Chevron Corp., Occidental Petroleum Corp., Total Sponsored ADR, General Electric Co., Diageo PLC Sponsored ADR and Philip Morris International, Inc.

Portfolio Manager Outlook

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

Although the U.S. economy seems to be gaining self-sustaining momentum, the global backdrop has grown less supportive. We expect the relative performance of the larger cap issues in the Portfolio to strengthen in the year ahead as equity markets adjust to desynchronized global trends and the potential shift in Fed policy. We believe the industry leaders that are the focus of the Portfolio’s investment strategy have the financial resources, operational discipline and competitive advantages to sustain


8		Large Cap Core Stock Portfolio

Large Cap Core Stock Portfolio (unaudited)

longer-term earnings growth if interest rates begin to rise. Our strategic stock selection emphasizes structurally attractive industries with less cyclical attributes where pricing power is stronger and margins are more stable. We also continue to focus on companies with established records of returning capital to shareholders in the form of dividends and share repurchases, providing investors a degree of downside protection if market conditions continue to shift and volatility increases.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Large Cap Core Stock Portfolio		8.56	%		11.69	%		6.15	%
S&P 500^® Index		13.69	%		15.45	%		7.67	%
Lipper^® Variable Insurance Products (VIP) Large Cap Core Funds Average		11.51	%		13.87	%		7.21	%

Top 10 Equity Holdings 12/31/14


Security Description	% of Net Assets
Apple, Inc.	4.9	%
Exxon Mobil Corp.	4.5	%
Philip Morris International, Inc.	4.2	%
The Coca-Cola Co.	4.0	%
Chevron Corp.	3.5	%
Nestle SA, ADR	2.9	%
JPMorgan Chase & Co.	2.5	%
Altria Group, Inc.	2.5	%
Johnson & Johnson	2.5	%
The Procter & Gamble Co.	2.4	%

Sector Allocation 12/31/14

LOGO

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, 2014


	Common Stocks (99.8%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (8.0%)
	Comcast Corp. - Class A		119,152		6,912
	McDonald’s Corp.		89,278		8,365
	Target Corp.		92,553		7,026
	Time Warner Cable, Inc.		22,288		3,389
	Twenty-First Century Fox, Inc.		238,510		9,160
	Twenty-First Century Fox, Inc. - Class B		20,000		738
	The Walt Disney Co.		94,133		8,866

	Total				44,456


	Consumer Staples (26.2%)
	Altria Group, Inc.		286,708		14,126
	Anheuser-Busch InBev NV, ADR		50,000		5,616
	The Coca-Cola Co.		529,535		22,357
	Diageo PLC		41,833		4,773
	The Estee Lauder Cos., Inc. - Class A		115,311		8,787
	Mondelez International, Inc.		74,689		2,713
	Nestle SA, ADR		221,932		16,190
	PepsiCo, Inc.		103,025		9,742
	Philip Morris International, Inc.		286,328		23,321
	The Procter & Gamble Co.		148,522		13,529
	SABMiller PLC, ADR		107,053		5,519
	Walgreens Boots Alliance, Inc.		142,358		10,848
	Wal-Mart Stores, Inc.		90,647		7,785

	Total				145,306


	Energy (16.9%)
*	California Resources Corp.		59,116		326
	Chevron Corp.		174,747		19,603
	ConocoPhillips		154,170		10,647


	Common Stocks (99.8%)	Shares/ $ Par		Value $ (000’s)

	Energy continued
	EOG Resources, Inc.		36,822		3,390
	Exxon Mobil Corp.		269,581		24,923
	Imperial Oil, Ltd.		125,732		5,410
	Occidental Petroleum Corp.		147,790		11,913
	Phillips 66		43,579		3,125
	Royal Dutch Shell PLC - Class A, ADR		115,227		7,714
	Total SA, ADR		138,507		7,092

	Total				94,143


	Financials (11.3%)
	ACE, Ltd.		56,944		6,541
	American Express Co.		109,017		10,143
	BlackRock, Inc.		28,303		10,120
	Franklin Resources, Inc.		158,502		8,776
	JPMorgan Chase & Co.		225,755		14,128
	State Street Corp.		85,500		6,712
	Wells Fargo & Co.		120,523		6,607

	Total				63,027


	Health Care (13.2%)
	Abbott Laboratories		210,638		9,483
	AbbVie, Inc.		171,972		11,254
*	Celgene Corp.		50,000		5,593
*	Gilead Sciences, Inc.		64,000		6,033
	Johnson & Johnson		132,101		13,814
	Novartis AG, ADR		88,303		8,182
	Novo Nordisk A/S, ADR		233,235		9,870
	Roche Holding AG, ADR		262,964		8,938

	Total				73,167


	Industrials (5.6%)
	Canadian Pacific Railway, Ltd.		39,854		7,679
	Caterpillar, Inc.		58,273		5,334


Common Stocks (99.8%)	Shares/ $ Par		Value $ (000’s)

Industrials continued
General Electric Co.		110,792		2,800
Union Pacific Corp.		30,000		3,574
United Technologies Corp.		102,676		11,808

Total				31,195


Information Technology (15.6%)
Apple, Inc.		248,089		27,384
ASML Holding N.V.		30,000		3,235
Automatic Data Processing, Inc.		86,475		7,209
Intel Corp.		160,564		5,827
International Business Machines Corp.		73,519		11,795
Oracle Corp.		162,624		7,313
Qualcomm, Inc.		122,918		9,137
Texas Instruments, Inc.		206,633		11,048
Xilinx, Inc.		83,444		3,612

Total				86,560


Materials (3.0%)
Air Products and Chemicals, Inc.		35,897		5,177
Praxair, Inc.		88,526		11,470

Total				16,647


Total Common Stocks
(Cost: $443,372)				554,501


Total Investments (99.8%)
(Cost: $443,372)(a)				554,501

Other Assets, Less
Liabilities (0.2%)				1,138

Net Assets (100.0%)				555,639

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $443,396 and the net unrealized appreciation of investments based on that cost was $111,105 which is comprised of $114,229 aggregate gross unrealized appreciation and $3,124 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	554,501	$	-	$	-
Total	$	554,501	$	-	$	-

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


10		Large Cap Core Stock Portfolio

Large Cap Blend Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest primarily in equity securities of U.S. large capitalization companies listed or traded on U.S. securities exchanges.	$167 million

Portfolio Overview

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

Market Overview

The U.S. stock market rally completed its 69^th month since the market bottomed on March 9, 2009. Since then, large cap stocks, as measured by the S&P 500^® Index, gained 244%, while small cap stocks, measured by the Russell 2000^® Index, appreciated 280%. Improving economic growth with mild inflation prompted the U.S. Federal Reserve (the “Fed”) to gradually complete its bond purchasing program and maintain its zero interest rate policy during 2014, though Fed policy contributed to uncertainty during the second half of the year. Throughout the year, the Fed decreased its bond purchasing at a measured $10 billion monthly pace. Market volatility preceded the Fed’s last bond purchase in October, as investors became concerned that the Fed’s zero interest rate policy might be the next tightening of monetary stimulus. The Fed reaffirmed its commitment to zero interest rate policy for a considerable period, which reassured investors. Markets rallied on the news, while improving economic growth late in the year also increased investors’ optimism.

Portfolio Results

The Portfolio returned 12.58% for the twelve months ended December 31, 2014. By comparison, the S&P 500^® Index (the “Index”) returned 13.69%. (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 Core Funds peer group was 11.51% for 2014.

Overall, stock selection was solid, particularly in Healthcare. UnitedHealth Group, Inc., AmerisourceBergen Corp. and Covidien PLC (sold in June after the buyout announcement by Medtronic) were among the top contributors relative to the Index in Healthcare. Other stock picks that helped performance relative to the Index were Ross Stores, Inc., Cintas Corp. and Berkshire Hathaway, Inc.

The Energy sector of the Portfolio delivered solid relative performance. The Portfolio’s positions in Devon Energy Corp. and Schlumberger, Ltd. both declined in the fourth quarter during the energy selloff, but still performed much better relative to the Index’s energy holdings.

The detractors in 2014 were the Portfolio’s elevated cash level (approximately 9%) and American Depository Receipts (ADR) exposure, including Danone SA, Nestle SA, and Unilever PLC. In those three investments, the depreciation in the Euro, Swiss Franc, and British Pound also detracted from the Portfolio’s return. The portfolio managers believed all three companies had strong franchises with above average growth prospects, relative to their U.S. counterparts. The portfolio managers added to positions in Danone SA and Unilever PLC during the year.

Portfolio Manager Outlook

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

Given the stock market’s significant appreciation in recent years, we would be surprised if returns over the next five years are anywhere close to returns of the past five years. The increased volatility in the fourth quarter may be a harbinger of future volatility. We believe volatile markets could give us more opportunities to maneuver in 2015. A recent investment letter that was discussing the rapid and steep drop in oil prices, quoted the renowned German economist, Rudiger Dornbusch; “In economics, things take longer to happen than you think they will, and then happen much quicker than you thought they could.” We believe this observation also applies to stock markets. Until good businesses are offered again at relatively inexpensive prices, we will focus on owning good businesses at somewhat elevated prices. The Portfolio trades at a significant discount to the Index, which we believe has the potential to help the Portfolio’s performance relative to the Index in 2015.


		Large Cap Blend Portfolio			11

Large Cap Blend Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			Since Inception*
Large Cap Blend Portfolio		12.58	%		13.64	%		3.98	%
S&P 500^® Index		13.69	%		15.45	%		6.66	%
Lipper^® Variable Insurance Products (VIP) Large Cap Core Funds Average		11.51	%		13.87	%		-

*	Inception date of 4/30/07

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 12/31/14


Security Description	% of Net Assets
Potash Corp. of Saskatchewan, Inc.	5.7	%
UnitedHealth Group, Inc.	5.6	%
Accenture PLC - Class A	5.4	%
Berkshire Hathaway, Inc. - Class B	5.2	%
The Bank of New York Mellon Corp.	5.0	%
AmerisourceBergen Corp.	4.5	%
Devon Energy Corp.	3.7	%
American Express Co.	3.7	%
DANONE SA, ADR	3.7	%
The Progressive Corp.	3.6	%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


12		Large Cap Blend Portfolio

Large Cap Blend Portfolio

Schedule of Investments

December 31, 2014


Common Stocks (92.2%)	Shares/ $ Par		Value $ (000’s)

Consumer Discretionary (9.7%)
Comcast Corp. - Class A		90,350		5,241
Omnicom Group, Inc.		70,125		5,432
Ross Stores, Inc.		58,950		5,557

Total				16,230


Consumer Staples (9.0%)
DANONE SA, ADR		471,250		6,134
Nestle SA, ADR		70,925		5,174
Unilever PLC, ADR		91,025		3,685

Total				14,993


Energy (7.2%)
Devon Energy Corp.		102,200		6,255
Schlumberger, Ltd.		68,350		5,838

Total				12,093


Financials (20.8%)
American Express Co.		67,025		6,236
The Bank of New York Mellon Corp.		205,100		8,321


	Common Stocks (92.2%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
*	Berkshire Hathaway, Inc. - Class B		57,625		8,652
	Comerica, Inc.		119,050		5,576
	The Progressive Corp.		220,175		5,943

	Total				34,728


	Health Care (10.1%)
	AmerisourceBergen Corp.		82,475		7,436
	UnitedHealth Group, Inc.		92,775		9,379

	Total				16,815


	Industrials (15.0%)
	3M Co.		31,775		5,221
	Cintas Corp.		44,700		3,506
	Expeditors International of Washington, Inc.		104,550		4,664
	Honeywell International, Inc.		58,800		5,875
	PACCAR, Inc.		85,125		5,790

	Total				25,056


	Common Stocks (92.2%)	Shares/ $ Par		Value $ (000’s)

	Information Technology (14.7%)
	Accenture PLC - Class A		101,175		9,036
*	eBay, Inc.		79,225		4,446
	Microsoft Corp.		127,825		5,938
	TE Connectivity, Ltd.		79,925		5,055

	Total				24,475


	Materials (5.7%)
	Potash Corp. of Saskatchewan, Inc.		268,475		9,483

	Total				9,483


	Total Common Stocks
	(Cost: $124,982)				153,873


	Total Investments (92.2%)
	(Cost: $124,982)(a)				153,873


	Other Assets, Less
	Liabilities (7.8%)				13,075

	Net Assets (100.0%)				166,948

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $125,384 and the net unrealized appreciation of investments based on that cost was $28,489 which is comprised of $29,677 aggregate gross unrealized appreciation and $1,188 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	153,873	$	-	$	-
Total	$	153,873	$	-	$	-

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


				Large Cap Blend Portfolio			13

Index 500 Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P 500^® Index.	Invest in stocks that make up the S&P 500^® Index, holding each stock in approximately the same proportion as its weighting in the Index.	$2.4 billion

Portfolio Overview

Mason Street Advisors is the investment adviser for the Index 500 Stock Portfolio (the “Portfolio”). The S&P 500^® 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

The equity markets posted solid gains during 2014, as markets adjusted to changing monetary policy. Improving economic growth with mild inflation prompted the U.S. Federal Reserve (the “Fed”) to gradually complete its bond purchasing program and maintain its zero interest rate policy during 2014, though Fed policy contributed to uncertainty during the second half of the year. Throughout the year, the Fed decreased its bond purchasing at a measured $10 billion monthly pace. Market volatility preceded the Fed’s last bond purchase in October, as investors became concerned that the Fed’s zero interest rate policy might be the next tightening of monetary stimulus. The Fed reaffirmed its commitment to zero interest rate policy for a considerable period, which reassured investors. Markets rallied on the news, while improving economic growth late in the year also increased investors’ optimism. In that environment, small cap stocks led the market, followed by shares of mid and large sized companies. For the year, returns for the S&P 500^®, MidCap 400^®, and SmallCap 600^® Indices were 13.69%, 9.77%, and 5.76%, respectively.

Portfolio Results

The Index 500 Stock Portfolio had a total return of 13.46% for the twelve months ended December 31, 2014. That was in line with the S&P 500^® Index (the “Index”), which returned 13.69%. (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 13.21% average return for its peer group, S&P 500 Index Objective Funds, according to Lipper^® Analytical Services, Inc.

Within the Portfolio, nine of the ten economic sectors posted positive returns. The Technology sector generated the largest contribution to the Portfolio’s return, as solid consumer spending on technology offset relatively slow business spending. The Health Care sector also generated solid performance, as health care companies continued to grow while adapting to the Affordable Care Act. The Financials sector delivered a solid contribution to the Portfolio’s return, driven by improving balance sheets and solid earnings. The Consumer Staples sector also posted solid results. Lower gas prices and declining interest rates buoyed the Utilities sector during 2014.

At the other end of the spectrum, the Energy sector declined due to falling oil and gas prices, as global oil producers increased supply amid modest demand for oil. The Telecommunications sector also detracted from the Portfolio’s performance, although its impact was limited by a weighting of less than 3% on average during 2014. The Industrials and Materials sectors posted modest returns while lagging the overall Portfolio, as manufacturing and industrial activity remained restrained in international markets, particularly in China.

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. The portfolio managers try to make these adjustments in a way that minimizes the cost and market impact of trading.


14		Index 500 Stock Portfolio

Index 500 Stock Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Index 500 Stock Portfolio		13.46	%		15.23	%		7.53	%
S&P 500^® Index		13.69	%		15.45	%		7.67	%
Lipper^® Variable Insurance Products (VIP) S&P 500 Index Objective Funds Average		13.21	%		15.01	%		7.32	%

“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 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 12/31/14


Security Description	% of Net Assets
Apple, Inc.	3.5	%
Exxon Mobil Corp.	2.1	%
Microsoft Corp.	2.1	%
Johnson & Johnson	1.6	%
Berkshire Hathaway, Inc. - Class B	1.5	%
Wells Fargo & Co.	1.4	%
General Electric Co.	1.4	%
The Procter & Gamble Co.	1.3	%
JPMorgan Chase & Co.	1.3	%
Chevron Corp.	1.1	%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on equities.

Sector Allocation and Top 10 Holdings are subject to change.


		Index 500 Stock Portfolio			15

Index 500 Stock Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (12.0%)
*	Amazon.com, Inc.		48,703		15,115
*	AutoNation, Inc.		9,579		579
*	AutoZone, Inc.		4,110		2,544
*	Bed Bath & Beyond, Inc.		23,762		1,810
	Best Buy Co., Inc.		37,346		1,456
	BorgWarner, Inc.		29,167		1,603
	Cablevision Systems Corp. - Class A		28,081		580
*	CarMax, Inc.		27,631		1,840
	Carnival Corp.		57,779		2,619
	CBS Corp. - Class B		61,165		3,385
*	Chipotle Mexican Grill, Inc.		3,978		2,723
	Coach, Inc.		35,352		1,328
	Comcast Corp. - Class A		330,485		19,171
	D.R. Horton, Inc.		42,560		1,076
	Darden Restaurants, Inc.		17,016		998
	Delphi Automotive PLC		37,981		2,762
*	DIRECTV		64,426		5,586
*	Discovery Communications, Inc.		35,056		1,182
*	Discovery Communications, Inc. - Class A		19,048		656
*	Dollar General Corp.		38,923		2,752
*	Dollar Tree, Inc.		26,381		1,857
	Expedia, Inc.		12,662		1,081
	Family Dollar Stores, Inc.		12,322		976
	Ford Motor Co.		493,706		7,652
*	Fossil Group, Inc.		5,767		639
	GameStop Corp. - Class A		13,921		470
	Gannett Co., Inc.		28,969		925
	The Gap, Inc.		34,231		1,441
	Garmin, Ltd.		15,454		816
	General Motors Co.		173,129		6,044
	Genuine Parts Co.		19,608		2,090
	The Goodyear Tire & Rubber Co.		35,221		1,006
	H&R Block, Inc.		35,298		1,189
	Harley-Davidson, Inc.		27,486		1,812
	Harman International Industries, Inc.		8,789		938
	Hasbro, Inc.		14,510		798
	The Home Depot, Inc.		169,050		17,745
	The Interpublic Group of Cos., Inc.		53,650		1,114
	Johnson Controls, Inc.		85,458		4,131
	Kohl’s Corp.		25,914		1,582
	L Brands, Inc.		31,538		2,730
	Leggett & Platt, Inc.		17,654		752
	Lennar Corp. - Class A		22,906		1,026
	Lowe’s Cos., Inc.		124,804		8,586
	Macy’s, Inc.		44,293		2,912
	Marriott International, Inc. - Class A		27,262		2,127


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary continued
	Mattel, Inc.		43,464		1,345
	McDonald’s Corp.		124,842		11,698
*	Michael Kors Holdings, Ltd.		26,414		1,984
*	Mohawk Industries, Inc.		7,948		1,235
*	Netflix, Inc.		7,728		2,640
	Newell Rubbermaid, Inc.		34,776		1,325
*	News Corp. - Class A		63,994		1,004
	NIKE, Inc. - Class B		89,516		8,607
	Nordstrom, Inc.		18,059		1,434
	Omnicom Group, Inc.		31,836		2,466
*	O’Reilly Automotive, Inc.		13,013		2,506
	PetSmart, Inc.		12,752		1,037
*	Priceline.com, Inc.		6,716		7,658
	PulteGroup, Inc.		42,806		919
	PVH Corp.		10,569		1,355
	Ralph Lauren Corp.		7,763		1,437
	Ross Stores, Inc.		26,917		2,537
	Royal Caribbean Cruises, Ltd.		21,423		1,766
	Scripps Networks Interactive - Class A		13,015		980
	Staples, Inc.		82,073		1,487
	Starbucks Corp.		95,991		7,876
	Starwood Hotels & Resorts Worldwide, Inc.		22,907		1,857
	Target Corp.		81,709		6,202
	Tiffany & Co.		14,436		1,543
	Time Warner Cable, Inc.		35,982		5,471
	Time Warner, Inc.		107,560		9,188
	The TJX Cos., Inc.		88,371		6,060
	Tractor Supply Co.		17,438		1,374
*	TripAdvisor, Inc.		14,301		1,068
	Twenty-First Century Fox, Inc.		237,864		9,135
*	Under Armour, Inc.		21,382		1,452
*	Urban Outfitters, Inc.		12,834		451
	VF Corp.		44,320		3,320
	Viacom, Inc. - Class B		47,389		3,566
	The Walt Disney Co.		200,122		18,849
	Whirlpool Corp.		9,989		1,935
	Wyndham Worldwide Corp.		15,812		1,356
	Wynn Resorts, Ltd.		10,391		1,546
	Yum! Brands, Inc.		56,121		4,088

	Total				283,961


	Consumer Staples (9.7%)
	Altria Group, Inc.		253,540		12,492
	Archer-Daniels-Midland Co.		82,585		4,294
	Avon Products, Inc.		55,757		524
	Brown-Forman Corp. - Class B		20,070		1,763
	Campbell Soup Co.		22,981		1,011
	The Clorox Co.		16,600		1,730


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Consumer Staples continued
	The Coca-Cola Co.		505,690		21,350
	Coca-Cola Enterprises, Inc.		28,529		1,261
	Colgate-Palmolive Co.		109,899		7,604
	ConAgra Foods, Inc.		54,496		1,977
*	Constellation Brands, Inc. - Class A		21,525		2,113
	Costco Wholesale Corp.		56,156		7,960
	CVS Health Corp.		147,057		14,163
	Dr. Pepper Snapple Group, Inc.		24,939		1,788
	The Estee Lauder Cos., Inc. - Class A		28,731		2,189
	General Mills, Inc.		77,448		4,130
	The Hershey Co.		18,983		1,973
	Hormel Foods Corp.		17,236		898
	The J.M. Smucker Co.		13,061		1,319
	Kellogg Co.		32,336		2,116
	Keurig Green Mountain, Inc.		15,587		2,064
	Kimberly-Clark Corp.		47,778		5,520
	Kraft Foods Group, Inc.		75,534		4,733
	The Kroger Co.		62,997		4,045
	Lorillard, Inc.		46,183		2,907
	McCormick & Co., Inc.		16,567		1,231
	Mead Johnson Nutrition Co.		25,916		2,606
	Molson Coors Brewing Co. - Class B		20,441		1,523
	Mondelez International, Inc.		215,499		7,828
*	Monster Beverage Corp.		18,494		2,004
	PepsiCo, Inc.		191,983		18,154
	Philip Morris International, Inc.		199,309		16,234
	The Procter & Gamble Co.		346,626		31,574
	Reynolds American, Inc.		39,529		2,540
	Safeway, Inc.		29,556		1,038
	Sysco Corp.		75,413		2,993
	Tyson Foods, Inc. – Class A		37,588		1,507
	Walgreens Boots Alliance, Inc.		111,584		8,503
	Wal-Mart Stores, Inc.		202,599		17,399
	Whole Foods Market, Inc.		46,148		2,327

	Total				229,385


	Energy (8.3%)
	Anadarko Petroleum Corp.		64,967		5,360
	Apache Corp.		48,295		3,027
	Baker Hughes, Inc.		55,504		3,112
	Cabot Oil & Gas Corp.		52,982		1,569
*	Cameron International Corp.		25,328		1,265
	Chesapeake Energy Corp.		66,549		1,302
	Chevron Corp.		242,502		27,204

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


16		Index 500 Stock Portfolio

Index 500 Stock Portfolio


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Energy continued
	Cimarex Energy Co.		11,192		1,186
	ConocoPhillips		157,901		10,905
	CONSOL Energy, Inc.		29,527		998
	Denbury Resources, Inc.		45,227		368
	Devon Energy Corp.		49,330		3,020
	Diamond Offshore Drilling, Inc.		8,621		316
	Ensco PLC - Class A		30,057		900
	EOG Resources, Inc.		70,298		6,472
	EQT Corp.		19,435		1,471
	Exxon Mobil Corp.		543,202		50,219
*	FMC Technologies, Inc.		29,998		1,405
	Halliburton Co.		108,711		4,276
	Helmerich & Payne, Inc.		13,887		936
	Hess Corp.		32,599		2,406
	Kinder Morgan, Inc.		217,962		9,222
	Marathon Oil Corp.		86,575		2,449
	Marathon Petroleum Corp.		35,943		3,244
	Murphy Oil Corp.		21,403		1,081
	Nabors Industries, Ltd.		37,128		482
	National Oilwell Varco, Inc.		55,234		3,619
*	Newfield Exploration Co.		17,604		477
	Noble Corp. PLC		32,322		536
	Noble Energy, Inc.		46,228		2,193
	Occidental Petroleum Corp.		99,471		8,018
	ONEOK, Inc.		26,707		1,330
	Phillips 66		71,004		5,091
	Pioneer Natural Resources Co.		19,100		2,843
	QEP Resources, Inc.		21,260		430
	Range Resources Corp.		21,641		1,157
	Schlumberger, Ltd.		165,069		14,099
*	Southwestern Energy Co.		45,298		1,236
	Spectra Energy Corp.		86,075		3,125
	Tesoro Corp.		16,195		1,204
	Transocean, Ltd.		43,680		801
	Valero Energy Corp.		66,865		3,310
	The Williams Companies, Inc.		86,296		3,878

	Total				197,542


	Financials (16.4%)
	ACE, Ltd.		42,555		4,889
*	Affiliated Managers Group, Inc.		7,129		1,513
	Aflac, Inc.		57,801		3,531
	The Allstate Corp.		53,805		3,780
	American Express Co.		114,146		10,620
	American International Group, Inc.		179,580		10,058
	American Tower Corp.		50,858		5,027
	Ameriprise Financial, Inc.		23,672		3,131
	Aon PLC		36,577		3,469
	Apartment Investment & Management Co. – Class A		18,755		697
	Assurant, Inc.		9,012		617
	AvalonBay Communities, Inc.		16,934		2,767


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	Bank of America Corp.		1,349,042		24,134
	The Bank of New York Mellon Corp.		144,405		5,858
	BB&T Corp.		92,400		3,593
*	Berkshire Hathaway, Inc. - Class B		233,923		35,124
	BlackRock, Inc.		16,341		5,843
	Boston Properties, Inc.		19,639		2,527
	Capital One Financial Corp.		71,320		5,887
*	CBRE Group, Inc.		35,868		1,228
	The Charles Schwab Corp.		147,403		4,450
	The Chubb Corp.		30,250		3,130
	Cincinnati Financial Corp.		18,875		978
	Citigroup, Inc.		388,620		21,028
	CME Group, Inc.		40,617		3,601
	Comerica, Inc.		23,050		1,080
	Crown Castle International Corp.		42,827		3,370
	Discover Financial Services		58,172		3,810
*	E*TRADE Financial Corp.		37,049		899
	Equity Residential		46,484		3,339
	Essex Property Trust, Inc.		8,202		1,695
	Fifth Third Bancorp		105,703		2,154
	Franklin Resources, Inc.		50,298		2,785
	General Growth Properties, Inc.		80,497		2,264
*	Genworth Financial, Inc. - Class A		63,711		542
	The Goldman Sachs Group, Inc.		51,961		10,072
	The Hartford Financial Services Group, Inc.		55,350		2,308
	HCP, Inc.		58,914		2,594
	Health Care REIT, Inc.		42,034		3,181
	Host Hotels & Resorts, Inc.		97,148		2,309
	Hudson City Bancorp, Inc.		61,724		625
	Huntington Bancshares, Inc.		104,477		1,099
	Intercontinental Exchange, Inc.		14,458		3,170
	Invesco, Ltd.		55,266		2,184
	JPMorgan Chase & Co.		479,532		30,009
	KeyCorp		111,132		1,545
	Kimco Realty Corp.		52,777		1,327
	Legg Mason, Inc.		12,881		687
	Leucadia National Corp.		40,645		911
	Lincoln National Corp.		33,325		1,922
	Loews Corp.		38,396		1,613
	M&T Bank Corp.		16,947		2,129
	The Macerich Co.		18,051		1,506
	Marsh & McLennan Cos., Inc.		69,386		3,972
	McGraw Hill Financial, Inc.		34,828		3,099
	MetLife, Inc.		145,731		7,883
	Moody’s Corp.		23,548		2,256
	Morgan Stanley		195,853		7,599


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	The NASDAQ OMX Group, Inc.		15,056		722
	Navient Corp.		52,623		1,137
	Northern Trust Corp.		28,398		1,914
	People’s United Financial, Inc.		39,506		600
	Plum Creek Timber Co., Inc.		22,563		965
	PNC Financial Services Group, Inc.		67,502		6,158
	Principal Financial Group, Inc.		35,034		1,820
	The Progressive Corp.		68,616		1,852
	Prologis, Inc.		64,138		2,760
	Prudential Financial, Inc.		58,752		5,315
	Public Storage		18,612		3,440
	Regions Financial Corp.		176,573		1,865
	Simon Property Group, Inc.		39,867		7,260
	State Street Corp.		53,556		4,204
	SunTrust Banks, Inc.		66,892		2,803
	T. Rowe Price Group, Inc.		33,274		2,857
	Torchmark Corp.		16,502		894
	The Travelers Cos., Inc.		42,511		4,500
	U.S. Bancorp		229,541		10,318
	Unum Group		32,325		1,127
	Ventas, Inc.		37,755		2,707
	Vornado Realty Trust		22,397		2,636
	Wells Fargo & Co.		605,572		33,197
	Weyerhaeuser Co.		67,265		2,414
	XL Group PLC		33,103		1,138
	Zions Bancorporation		26,032		742

	Total				388,763


	Health Care (14.0%)
	Abbott Laboratories		193,162		8,696
	AbbVie, Inc.		204,383		13,375
*	Actavis PLC		34,002		8,752
	Aetna, Inc.		45,116		4,008
	Agilent Technologies, Inc.		42,783		1,752
*	Alexion Pharmaceuticals, Inc.		25,436		4,706
	Allergan, Inc.		38,214		8,124
	AmerisourceBergen Corp.		26,651		2,403
	Amgen, Inc.		97,578		15,543
	Anthem, Inc.		34,628		4,352
	Baxter International, Inc.		69,524		5,095
	Becton, Dickinson and Co.		24,627		3,427
*	Biogen Idec, Inc.		30,294		10,283
*	Boston Scientific Corp.		170,160		2,255
	Bristol-Myers Squibb Co.		212,786		12,561
	C.R. Bard, Inc.		9,608		1,601
	Cardinal Health, Inc.		42,456		3,427
*	CareFusion Corp.		26,158		1,552
*	Celgene Corp.		102,457		11,461
*	Cerner Corp.		38,986		2,521
	Cigna Corp.		33,555		3,453
	Covidien PLC		58,083		5,941
*	DaVita HealthCare Partners, Inc.		22,054		1,670

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)

	Health Care continued
	DENTSPLY International, Inc.		18,155		967
*	Edwards Lifesciences Corp.		13,723		1,748
	Eli Lilly and Co.		125,690		8,671
*	Express Scripts Holding Co.		94,145		7,971
*	Gilead Sciences, Inc.		193,530		18,242
*	Hospira, Inc.		21,705		1,329
	Humana, Inc.		19,670		2,825
*	Intuitive Surgical, Inc.		4,650		2,460
	Johnson & Johnson		359,068		37,548
*	Laboratory Corp. of America Holdings		10,840		1,170
*	Mallinckrodt PLC		14,916		1,477
	McKesson Corp.		29,746		6,175
	Medtronic, Inc.		126,267		9,117
	Merck & Co., Inc.		365,708		20,769
*	Mylan, Inc.		48,011		2,706
	Patterson Cos., Inc.		10,979		528
	PerkinElmer, Inc.		14,491		634
	Perrigo Co. PLC		18,057		3,018
	Pfizer, Inc.		808,244		25,177
	Quest Diagnostics, Inc.		18,541		1,243
*	Regeneron Pharmaceuticals, Inc.		9,520		3,906
	St. Jude Medical, Inc.		36,677		2,385
	Stryker Corp.		38,339		3,617
*	Tenet Heathcare Corp.		12,607		639
	Thermo Fisher Scientific, Inc.		51,315		6,429
	UnitedHealth Group, Inc.		123,121		12,446
	Universal Health Services, Inc. - Class B		11,680		1,300
*	Varian Medical Systems, Inc.		12,825		1,110
*	Vertex Pharmaceuticals, Inc.		30,854		3,665
*	Waters Corp.		10,683		1,204
	Zimmer Holdings, Inc.		21,725		2,464
*	Zoetis, Inc.		64,310		2,767

	Total				332,665


	Industrials (10.3%)
	3M Co.		82,204		13,508
	The ADT Corp.		22,388		811
	Allegion PLC		12,280		681
	AMETEK, Inc.		31,548		1,660
	The Boeing Co.		85,052		11,055
	C.H. Robinson Worldwide, Inc.		18,765		1,405
	Caterpillar, Inc.		77,660		7,108
	Cintas Corp.		12,455		977
	CSX Corp.		127,689		4,626
	Cummins, Inc.		21,795		3,142
	Danaher Corp.		78,423		6,722
	Deere & Co.		45,978		4,068
	Delta Air Lines, Inc.		107,362		5,281
	Dover Corp.		21,212		1,521
	The Dun & Bradstreet Corp.		4,607		557


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Industrials continued
	Eaton Corp. PLC		60,881		4,137
	Emerson Electric Co.		88,979		5,493
	Equifax, Inc.		15,469		1,251
	Expeditors International of Washington, Inc.		24,762		1,105
	Fastenal Co.		34,985		1,664
	FedEx Corp.		33,791		5,868
	Flowserve Corp.		17,485		1,046
	Fluor Corp.		20,040		1,215
	General Dynamics Corp.		40,385		5,558
	General Electric Co.		1,288,205		32,553
	Honeywell International, Inc.		100,418		10,034
	Illinois Tool Works, Inc.		46,137		4,369
	Ingersoll-Rand PLC		34,054		2,159
	Iron Mountain, Inc.		23,919		925
*	Jacobs Engineering Group, Inc.		16,747		748
	Joy Global, Inc.		12,594		586
	Kansas City Southern		14,157		1,728
	L-3 Communications Holdings, Inc.		10,921		1,378
	Lockheed Martin Corp.		34,448		6,634
	Masco Corp.		45,701		1,152
	Nielsen NV		41,551		1,859
	Norfolk Southern Corp.		39,695		4,351
	Northrop Grumman Corp.		25,912		3,819
	PACCAR, Inc.		45,424		3,089
	Pall Corp.		13,666		1,383
	Parker Hannifin Corp.		19,068		2,459
	Pentair PLC		23,962		1,592
	Pitney Bowes, Inc.		25,783		628
	Precision Castparts Corp.		18,284		4,404
*	Quanta Services, Inc.		27,924		793
	Raytheon Co.		39,557		4,279
	Republic Services, Inc.		32,382		1,303
	Robert Half International, Inc.		17,436		1,018
	Rockwell Automation, Inc.		17,417		1,937
	Rockwell Collins, Inc.		17,054		1,441
	Roper Industries, Inc.		12,848		2,009
	Ryder System, Inc.		6,804		632
	Snap-on, Inc.		7,454		1,019
	Southwest Airlines Co.		87,069		3,685
	Stanley Black & Decker, Inc.		20,095		1,931
*	Stericycle, Inc.		10,894		1,428
	Textron, Inc.		35,411		1,491
	Tyco Interntional PLC		53,680		2,354
	Union Pacific Corp.		114,053		13,587
	United Parcel Service, Inc. - Class B		89,414		9,940
*	United Rentals, Inc.		12,803		1,306
	United Technologies Corp.		108,761		12,507
	W.W. Grainger, Inc.		7,784		1,984
	Waste Management, Inc.		54,630		2,804
	Xylem, Inc.		23,331		888

	Total				244,645


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Information Technology (19.4%)
	Accenture PLC - Class A		80,496		7,189
*	Adobe Systems, Inc.		60,779		4,419
*	Akamai Technologies, Inc.		22,833		1,438
*	Alliance Data Systems Corp.		8,200		2,346
	Altera Corp.		39,102		1,444
	Amphenol Corp. - Class A		39,698		2,136
	Analog Devices, Inc.		39,921		2,216
	Apple, Inc.		752,337		83,043
	Applied Materials, Inc.		156,295		3,895
*	Autodesk, Inc.		29,186		1,753
	Automatic Data Processing, Inc.		61,838		5,155
	Avago Technologies, Ltd.		32,442		3,263
	Broadcom Corp. - Class A		69,106		2,994
	CA, Inc.		41,092		1,251
	Cisco Systems, Inc.		655,967		18,246
*	Citrix Systems, Inc.		20,649		1,317
*	Cognizant Technology Solutions Corp. - Class A		78,111		4,113
	Computer Sciences Corp.		18,022		1,136
	Corning, Inc.		164,435		3,770
*	eBay, Inc.		145,027		8,139
*	Electronic Arts, Inc.		39,887		1,875
	EMC Corp.		261,037		7,763
*	F5 Networks, Inc.		9,465		1,235
*	Facebook, Inc. - Class A		268,217		20,926
	Fidelity National Information Services, Inc.		36,399		2,264
*	First Solar, Inc.		9,641		430
*	Fiserv, Inc.		31,296		2,221
	FLIR Systems, Inc.		18,074		584
*	Google, Inc. - Class A		36,565		19,404
*	Google, Inc. - Class C		36,532		19,230
	Harris Corp.		13,417		964
	Hewlett-Packard Co.		239,404		9,607
	Intel Corp.		620,230		22,508
	International Business Machines Corp.		118,066		18,942
	Intuit, Inc.		36,627		3,377
	Juniper Networks, Inc.		49,386		1,102
	KLA-Tencor Corp.		21,099		1,484
	Lam Research Corp.		20,391		1,618
	Linear Technology Corp.		30,598		1,395
	MasterCard, Inc. - Class A		125,704		10,831
	Microchip Technology, Inc.		25,780		1,163
*	Micron Technology, Inc.		137,702		4,821
	Microsoft Corp.		1,057,387		49,116
	Motorola Solutions, Inc.		27,174		1,823
	NetApp, Inc.		39,984		1,657
	NVIDIA Corp.		66,238		1,328
	Oracle Corp.		414,964		18,661
	Paychex, Inc.		41,889		1,934
	Qualcomm, Inc.		213,277		15,853
*	Red Hat, Inc.		24,094		1,666
*	Salesforce.com, Inc.		75,278		4,465
	SanDisk Corp.		28,305		2,773

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)

	Information Technology continued
	Seagate Technology PLC		41,978		2,792
	Symantec Corp.		88,532		2,271
	TE Connectivity, Ltd.		52,168		3,300
*	Teradata Corp.		19,627		857
	Texas Instruments, Inc.		135,502		7,245
	Total System Services, Inc.		21,224		721
*	VeriSign, Inc.		13,980		797
	Visa, Inc. - Class A		62,654		16,428
	Western Digital Corp.		28,003		3,100
	Western Union Co.		67,043		1,201
	Xerox Corp.		137,651		1,908
	Xilinx, Inc.		33,924		1,469
*	Yahoo!, Inc.		113,019		5,709

	Total				460,081


	Materials (3.1%)
	Air Products and Chemicals, Inc.		24,673		3,559
	Airgas, Inc.		8,624		993
	Alcoa, Inc.		151,219		2,388
	Allegheny Technologies, Inc.		13,944		485
	Avery Dennison Corp.		11,686		606
	Ball Corp.		17,564		1,197
	CF Industries Holdings, Inc.		6,380		1,739
	The Dow Chemical Co.		142,114		6,482
	E.I. du Pont de Nemours and Co.		116,214		8,593
	Eastman Chemical Co.		19,053		1,445
	Ecolab, Inc.		34,649		3,622
	FMC Corp.		17,095		975
	Freeport-McMoRan, Inc.		133,298		3,114
	International Flavors & Fragrances, Inc.		10,387		1,053
	International Paper Co.		54,341		2,912
	LyondellBasell Industries NV - Class A		53,307		4,232
	Martin Marietta Materials, Inc.		7,939		876
	MeadWestvaco Corp.		21,387		949
	Monsanto Co.		62,097		7,419
	The Mosaic Co.		40,487		1,848
	Newmont Mining Corp.		63,985		1,209


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Materials continued
	Nucor Corp.		40,921		2,007
*	Owens-Illinois, Inc.		21,155		571
	PPG Industries, Inc.		17,604		4,069
	Praxair, Inc.		37,377		4,843
	Sealed Air Corp.		27,087		1,149
	The Sherwin-Williams Co.		10,467		2,753
	Sigma-Aldrich Corp.		15,278		2,097
	Vulcan Materials Co.		16,895		1,110

	Total				74,295


	Telecommunication Services (2.3%)
	AT&T, Inc.		665,384		22,350
	CenturyLink, Inc.		73,210		2,898
	Frontier Communications Corp.		128,547		858
*	Level 3 Communications, Inc.		35,770		1,766
	Verizon Communications, Inc.		532,323		24,902
	Windstream Holdings, Inc.		77,323		637

	Total				53,411


	Utilities (3.2%)
	The AES Corp.		84,152		1,159
	AGL Resources, Inc.		15,339		836
	Ameren Corp.		31,125		1,436
	American Electric Power Co., Inc.		62,759		3,811
	CenterPoint Energy, Inc.		55,134		1,292
	CMS Energy Corp.		35,284		1,226
	Consolidated Edison, Inc.		37,572		2,480
	Dominion Resources, Inc.		74,904		5,760
	DTE Energy Co.		22,704		1,961
	Duke Energy Corp.		90,731		7,580
	Edison International		41,795		2,737
	Entergy Corp.		23,152		2,025
	Exelon Corp.		110,252		4,088
	FirstEnergy Corp.		53,979		2,105
	Integrys Energy Group, Inc.		10,258		798
	NextEra Energy, Inc.		55,991		5,951
	NiSource, Inc.		40,498		1,718
	Northeast Utilities		40,639		2,175
	NRG Energy, Inc.		43,373		1,169


	Common Stocks (98.7%)	Shares/ $ Par		Value $ (000’s)

	Utilities continued
	Pepco Holdings, Inc.		32,315		870
	PG&E Corp.		60,944		3,245
	Pinnacle West Capital Corp.		14,168		968
	PPL Corp.		85,315		3,099
	Public Service Enterprise Group, Inc.		64,915		2,688
	SCANA Corp.		18,286		1,104
	Sempra Energy		29,650		3,302
	The Southern Co.		115,428		5,669
	TECO Energy, Inc.		30,106		617
	Wisconsin Energy Corp.		28,929		1,526
	Xcel Energy, Inc.		64,869		2,330

	Total				75,725


	Total Common Stocks
	(Cost: $1,244,646)				2,340,473


	Short-Term Investments (0.5%)

	Commercial Paper (0.5%)
(b)	Federal Home Loan Bank, 0.07%, 1/14/15		3,200,000		3,200
	Federal Home Loan Bank, 0.00%, 1/21/15		2,000,000		2,000
	Federal Home Loan Bank, 0.04%, 1/9/15		4,800,000		4,800
	Federal Home Loan Bank, 0.08%, 2/11/15		2,000,000		2,000

	Total				12,000


	Total Short-Term Investments
	(Cost: $12,000)				12,000


	Total Investments (99.2%)
	(Cost: $1,256,646)(a)				2,352,473

	Other Assets, Less
	Liabilities (0.8%)				17,825

	Net Assets (100.0%)				2,370,298

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


		Index 500 Stock Portfolio			19

Index 500 Stock Portfolio

*	Non-Income Producing

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $1,259,756 and the net unrealized appreciation of investments based on that cost was $1,092,717 which is comprised of $1,148,568 aggregate gross unrealized appreciation and $55,851 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, 2014, $27,333)	271	3/15	$	476

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	2,340,473	$	-	$	-
Short-Term Investments		-		12,000		-
Other Financial Instruments^
Futures		476		-		-
Total	$	2,340,949	$	12,000	$	-

^ 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.


20		Index 500 Stock Portfolio

Large Company Value Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Long-term of capital growth. Income

is a secondary objective.

Invest primarily in equity securities of larger companies

considered to be undervalued.

$191 million

Portfolio Overview

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

Market Overview

U.S. stocks posted solid gains for the year despite ending with a volatile fourth quarter. During the second half of the year, oil prices dropped dramatically, hurting energy stocks, but leaving consumers with more discretionary income. Economic growth in the U.S. continued at a moderate pace and inflation remained below the U.S. Federal Reserve’s (the “Fed”) target for raising interest rates. For 2014 overall, large cap value stocks posted returns similar to those of their large cap growth peers, while outpacing mid and small cap value stocks, according to various Russell^® Indices.

Portfolio Results

The Portfolio returned 13.03% for the twelve months ended December 31, 2014. By comparison, its benchmark, the Russell 1000^® Value Index (the “Index”), returned 13.45%. (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 for 2014 was 10.79%.

In the Consumer Discretionary sector, security selection and an overweight position relative to the Index contributed to relative results. Against a backdrop of a recovering housing market and an improving economy, Lowe’s Cos, Inc. exceeded consensus earnings estimates and shares advanced on the good news. Solid sales growth and improved merchandising led to better-than-expected operating margins. The Portfolio initiated a position in Whirlpool Corp. during the period, and the stock helped results.

An overweight in the Information Technology sector gave an additional boost to relative returns, and the sector was the source of one of the Portfolio’s top contributors, Electronic Arts, Inc. The gaming software company generated strong top line sales and substantially improved margins. This, along with robust earnings growth, drove an appreciation in the stock price. The portfolio managers believed the company’s outlook remained favorable for continued margin improvement and promising game launches.

In the Industrials sector, security selection added value to relative returns in the machinery industry, although an overweight to the group offset some of the gain.

Selection among Consumer Staples names enhanced results. CVS Health Corp. outperformed its peers with strong execution in both its pharmacy benefit manager and retail segments, despite the headwinds of generic drug inflation for the former and the company’s decision to cease tobacco sales for the latter. Revenue growth exceeded consensus expectations, driving earnings that were also better than expected. The portfolio managers believed the company was well-positioned in an evolving health care landscape.

In the Energy sector, security selection and an overweight position detracted from relative returns. In particular, Halliburton Co. was negatively impacted by the substantial decline in energy prices. Additionally, investors were concerned about the company’s proposed acquisition of Baker Hughes, Inc. Other Portfolio energy holdings, including Oasis Petroleum, Inc., Chevron Corp., and Total SA, were also dragged down by the falling price of crude oil.

An underweight to the Utilities sector also hampered relative results, particularly in the multi-utilities industry. Security selection in the Financials sector weighed on relative performance. The Portfolio was significantly underweight real estate investment trusts (REITs), as the portfolio managers believed the asset class was overvalued in general.

Derivatives did not play a substantial role in the investment process. The Portfolio did not hold any exchange traded fund (ETF) positions, but the Portfolio utilized forward currency contracts to help reduce risk that can result from currency fluctuations in foreign equity investments. The total impact of derivatives to the Portfolio over the year ended December 31, 2014 was positive, contributing 0.18% to return.


		Large Company Value Portfolio			21

Large Company Value Portfolio (unaudited)

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, 2014, the Portfolio was broadly diversified, with ongoing overweight positions in the Consumer Discretionary and Financials sectors. Our valuation work contributed to our smaller relative weightings in Utilities stocks. We are still finding greater value opportunities among mega-cap stocks and have maintained our bias toward these firms.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			Since Inception*
Large Company Value Portfolio		13.03	%		14.25	%		4.35	%
Russell 1000^® Value Index		13.45	%		15.42	%		5.17	%
Lipper^® Variable Insurance Products (VIP) Large Cap Value Funds Average		10.79	%		13.85	%		-

* Inception date of 4/30/07

Top 10 Equity Holdings 12/31/14


Security Description	% of Net Assets
Chevron Corp.	3.9	%
JPMorgan Chase & Co.	3.9	%
Johnson & Johnson	3.4	%
Wells Fargo & Co.	3.4	%
CVS Health Corp.	2.5	%
United Technologies Corp.	2.5	%
Medtronic, Inc.	2.4	%
U.S. Bancorp	2.2	%
Ingersoll-Rand PLC	2.1	%
Applied Materials, Inc.	2.0	%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


22		Large Company Value Portfolio

Large Company Value Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (97.4%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (10.8%)
	Comcast Corp. - Class A		27,670		1,605
	Delphi Automotive PLC		26,330		1,915
	Ford Motor Co.		133,720		2,072
	Lowe’s Cos., Inc.		28,330		1,949
	Macy’s, Inc.		44,850		2,949
	Marriott International, Inc. - Class A		14,160		1,105
	Target Corp.		7,760		589
	Time Warner Cable, Inc.		18,000		2,737
	Time Warner, Inc.		36,990		3,160
	Whirlpool Corp.		13,400		2,596

	Total				20,677


	Consumer Staples (4.5%)
	Altria Group, Inc.		16,550		816
	CVS Health Corp.		49,900		4,806
	The Kroger Co.		17,320		1,112
	Philip Morris International, Inc.		22,730		1,851

	Total				8,585


	Energy (10.3%)
	Baker Hughes, Inc.		20,300		1,138
	Chevron Corp.		66,140		7,420
	Exxon Mobil Corp.		19,600		1,812
	Halliburton Co.		54,670		2,150
	National Oilwell Varco, Inc.		26,120		1,712
*	Oasis Petroleum, Inc.		28,830		477
	Occidental Petroleum Corp.		29,230		2,356
	Total SA, ADR		52,410		2,683

	Total				19,748


	Financials (31.3%)
	The Allstate Corp.		36,080		2,535
	American International Group, Inc.		37,680		2,110
	Ameriprise Financial, Inc.		23,560		3,116
	Bank of America Corp.		83,760		1,498
*	Berkshire Hathaway, Inc. - Class B		11,420		1,715
	BlackRock, Inc.		3,090		1,105
	Brixmor Property Group, Inc.		39,340		977
	Capital One Financial Corp.		44,860		3,703
	Citigroup, Inc.		31,250		1,691
	Fifth Third Bancorp		98,660		2,010
	The Goldman Sachs Group, Inc.		13,500		2,617
	Invesco, Ltd.		77,440		3,060
	JPMorgan Chase & Co.		118,110		7,391
	KeyCorp		139,720		1,942
	MetLife, Inc.		43,080		2,330
	PNC Financial Services Group, Inc.		35,930		3,278
	Principal Financial Group, Inc.		15,220		791
	Prudential Financial, Inc.		37,170		3,362


	Common Stocks (97.4%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	State Street Corp.		21,200		1,664
*	Synchrony Financial		13,530		403
	The Travelers Cos., Inc.		17,410		1,843
	U.S. Bancorp		93,130		4,186
	Wells Fargo & Co.		117,250		6,428

	Total				59,755


	Health Care (13.9%)
	Abbott Laboratories		81,010		3,647
	Aetna, Inc.		18,800		1,670
	Amgen, Inc.		9,440		1,504
	Anthem, Inc.		19,990		2,512
*	Catalent, Inc.		32,300		901
*	Gilead Sciences, Inc.		18,800		1,772
	Johnson & Johnson		61,490		6,430
	Medtronic, Inc.		62,440		4,508
	Merck & Co., Inc.		63,230		3,591

	Total				26,535


	Industrials (12.0%)
	Eaton Corp. PLC		26,840		1,824
	Honeywell International, Inc.		29,800		2,978
	Huntington Ingalls Industries, Inc.		16,010		1,800
	Ingersoll-Rand PLC		63,090		3,999
	Masco Corp.		59,440		1,498
	Raytheon Co.		21,340		2,308
	Stanley Black & Decker, Inc.		19,050		1,830
	Textron, Inc.		22,810		961
*	United Rentals, Inc.		9,720		992
	United Technologies Corp.		40,720		4,683

	Total				22,873


	Information Technology (9.7%)
	Applied Materials, Inc.		152,310		3,795
	Cisco Systems, Inc.		33,900		943
*	Electronic Arts, Inc.		52,570		2,471
	Microchip Technology, Inc.		54,570		2,462
	Microsoft Corp.		54,360		2,525
	Oracle Corp.		78,940		3,550
	Qualcomm, Inc.		10,300		766
	Western Digital Corp.		17,480		1,935

	Total				18,447


	Materials (2.6%)
*	Axalta Coating Systems, Ltd.		3,940		103
	The Dow Chemical Co.		55,320		2,523
	International Paper Co.		20,440		1,095
	LyondellBasell Industries NV - Class A		16,220		1,288

	Total				5,009

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


		Large Company Value Portfolio			23

Large Company Value Portfolio

Common Stocks (97.4%)

Shares/

$ Par

Value

$ (000’s)

Utilities (2.3%)

PPL Corp.

53,670

1,950

Westar Energy, Inc.

21,130

871

Xcel Energy, Inc.

44,650

1,604

Total

4,425

Total Common Stocks

(Cost: $156,862)

186,054

Foreign Common Stocks (1.2%)

Country

Energy (1.2%)

Imperial Oil, Ltd.

Canada

50,630

2,181

Total

2,181

Total Foreign Common Stocks

(Cost: $2,464)

2,181


Short-Term Investments (1.3%)

Commercial Paper (1.3%)
Federal Farm Credit Bank, 0.01%, 1/2/15	931,000	931
Federal Home Loan Bank, 0.01%, 1/2/15	1,621,000	1,621

Total		2,552


Total Short-Term Investments
(Cost: $2,552)		2,552


Total Investments (99.9%)
(Cost: $161,878)(a)		190,787

Other Assets, Less
Liabilities (0.1%)		167

Net Assets (100.0%)		190,954

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $162,654 and the net unrealized appreciation of investments based on that cost was $28,133 which is comprised of $32,028 aggregate gross unrealized appreciation and $3,895 aggregate gross unrealized depreciation.

(h)	Forward foreign currency contracts outstanding on December 31, 2014.


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	HSBC Bank USA	CAD	2,073	1/15	$	-	$	-	$	-	(m)
Sell	HSBC Bank USA	EUR	1,922	1/15		31		-		31

					$	31	$	-	$	31

CAD — Canadian Dollar

EUR — Euro

(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, 2014. 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	$	186,054	$	-		$	-
Foreign Common Stocks		2,181		-			-
Short-Term Investments		-		2,552			-
Other Financial Instruments^
Forward Currency Contracts		-		31			-
Total Assets	$	188,235	$	2,583		$	-
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		-		-	(m)		-
Total Liabilities	$	-	$	-	(m)	$	-

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


24		Large Company Value Portfolio

Domestic Equity Portfolio (unaudited)


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.	$620 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Domestic Equity Portfolio (the “Portfolio”), has engaged Delaware Investments Fund Advisers, a series of Delaware Management Business Trust (“Delaware”), to act as sub-adviser for the Portfolio. The Portfolio primarily invests in equity securities of large-capitalization companies that are believed to 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

U.S. equities were broadly higher in 2014. The S&P 500^® Index advanced 13.7%, marking the third consecutive year of double-digit gains. Meanwhile, non-U.S. stocks generally remained under pressure amid signs of slowing economic growth and, in some cases, economic stagnation.

Late in the year, the U.S. Department of Commerce reported a 5.0% increase in third quarter real gross domestic product, which marked the second consecutive quarter of above trend growth. As in the prior quarter, there were notable improvements in capital expenditures by businesses and spending by consumers.

The U.S. Federal Reserve concluded its bond buying stimulus program, though it reiterated plans to maintain short-term interest rates near zero for some time longer. This commitment helped boost stock prices despite a variety of challenges, including the slumping European economy, growing geopolitical tensions in Russia and the Middle East and a sharp decline in oil prices that weighed heavily on energy stocks.

Portfolio Results

The Portfolio returned 13.87% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned 13.45%. (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 for 2014 was 10.79%.

Investments in the Industrials and Information Technology sectors contributed most to relative returns. Stock selection was strong in the Industrials sector. As a group, the return of the Portfolio’s three Industrials stocks far exceeded the return of the Index’s Industrial constituents. Defense contractor Northrop Grumman Corp. was the strongest performer. The company continued to execute well despite downward pressure on defense spending, and has been buying back shares and increasing dividends.

In Technology, the Portfolio benefited most from an overweight allocation, but stock selection was also a positive contributor. Semiconductor manufacturer Broadcom Corporation (“Broadcom”) was the top performer. Its shares rose sharply after the company announced plans to abandon its unprofitable cellular baseband business. The move boosted Broadcom’s earnings and cash flow.

Energy sector investments caused the largest drag on the Portfolio’s return during the year. As a group, the Portfolio’s five holdings declined more than the Energy sector in the Index. The Portfolio’s modest overweight in the sector also hurt performance. Energy services provider Halliburton Company (“Halliburton”) had the largest decline of any stock in the Portfolio. The company’s businesses are sensitive to the price of oil, a key determinant in the level of oil field activity and, consequently, demand for its products and services. The shares also took a hit after Halliburton announced it would be acquiring rival and next-largest services provider, Baker Hughes, Inc.

Security selection in the Health Care sector was a notable source of weakness. The Portfolio’s six Health Care stocks lagged the Index’s Health Care constituents. In particular, Pfizer, Inc. (“Pfizer”) lagged the group, as various factors weighed on Pfizer’s shares, including a series of revenue declines and a failed effort to acquire U.K.-based competitor AstraZeneca PLC.

Portfolio Manager Outlook

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

Over our three- to five-year investment horizon, we are cautious about the prospects for equities but optimistic about shares of higher quality companies trading below their long-term average valuation multiples. While we think annualized total returns for U.S. equities could be below average, we believe equity returns will be competitive versus other asset classes. Chief among our concerns is the valuation of the U.S. stock market. It appears fully valued across a range of price multiples including those based on earnings, sales, cash flows and book value. While none of these is approaching the extreme levels seen in


		Domestic Equity Portfolio			25

Domestic Equity Portfolio (unaudited)

March 2000, price to book, price to ten-year average earnings, and price to sales are all near their 2007 highs. As a result, we expect to retain a defensive bias in the Portfolio, staying focused on higher quality businesses with relatively low price multiples and attractive risk and return profiles.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Domestic Equity Portfolio		13.87	%		15.08	%		6.61	%
Russell 1000^® Value Index		13.45	%		15.42	%		7.30	%
Lipper^® Variable Insurance Products (VIP) Large Cap Value Funds Average		10.79	%		13.85	%		6.79	%

Top 10 Equity Holdings 12/31/14


Security Description	% of Net Assets
Edison International		3.4	%
Quest Diagnostics, Inc.		3.3	%
Lowe’s Cos., Inc.		3.3	%
Marsh & McLennan Cos., Inc.		3.2	%
Kraft Foods Group, Inc.		3.2	%
Broadcom Corp. - Class A		3.2	%
CVS Caremark Corp.		3.2	%
Raytheon Co.		3.2	%
E.I. du Pont de Nemours and Co.		3.2	%
Pfizer, Inc.		3.2	%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


26		Domestic Equity Portfolio

Domestic Equity Portfolio

Schedule of Investments

December 31, 2014


Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)

Consumer Discretionary (6.2%)
Johnson Controls, Inc.		373,300		18,046
Lowe’s Cos., Inc.		295,600		20,337

Total				38,383


Consumer Staples (12.5%)
Archer-Daniels-Midland Co.		370,700		19,276
CVS Caremark Corp.		206,100		19,849
Kraft Foods Group, Inc.		317,566		19,899
Mondelez International, Inc.		505,900		18,377

Total				77,401


Energy (13.0%)
Chevron Corp.		146,046		16,383
ConocoPhillips		230,700		15,932
Halliburton Co.		385,600		15,166
Marathon Oil Corp.		558,100		15,789
Occidental Petroleum Corp.		213,300		17,194

Total				80,464


Financials (12.3%)
The Allstate Corp.		275,600		19,361
The Bank of New York Mellon Corp.		466,100		18,910
BB&T Corp.		462,200		17,975


Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)

Financials continued
Marsh & McLennan Cos., Inc.		348,100		19,925

Total				76,171


Health Care (18.2%)
Baxter International, Inc.		249,500		18,286
Cardinal Health, Inc.		242,300		19,561
Johnson & Johnson		171,600		17,944
Merck & Co., Inc.		298,700		16,963
Pfizer, Inc.		629,000		19,594
Quest Diagnostics, Inc.		306,400		20,547

Total				112,895


Industrials (9.4%)
Northrop Grumman Corp.		131,500		19,382
Raytheon Co.		182,300		19,719
Waste Management, Inc.		377,900		19,394

Total				58,495


Information Technology (12.3%)
Broadcom Corp. - Class A		459,200		19,897
Cisco Systems, Inc.		682,200		18,975
Intel Corp.		524,500		19,034
Xerox Corp.		1,338,500		18,552

Total				76,458


Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)

Materials (3.2%)
E.I. du Pont de Nemours and Co.		265,600		19,639

Total				19,639


Telecommunication Services (5.4%)
AT&T, Inc.		524,200		17,608
Verizon Communications, Inc.		344,600		16,120

Total				33,728


Utilities (3.4%)
Edison International		317,400		20,783

Total				20,783


Total Common Stocks
(Cost: $433,043)				594,417


Total Investments (95.9%)
(Cost: $433,043)(a)				594,417

Other Assets, Less
Liabilities (4.1%)				25,604

Net Assets (100.0%)				620,021

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $432,823 and the net unrealized appreciation of investments based on that cost was $161,594 which is comprised of $164,512 aggregate gross unrealized appreciation and $2,918 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	594,417	$	-	$	-
Total	$	594,417	$	-	$	-

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


		Domestic Equity Portfolio			27

Equity Income Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest in common stocks with a focus on larger capitalization stocks with a strong track record of paying dividends, or that are believed to be undervalued.	$782 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Equity Income Portfolio (the “Portfolio”), has engaged T. Rowe Price Associates, Inc. (“T. Rowe Price”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in common stocks, with an emphasis on larger capitalization stocks with a strong track record of paying dividends, or that are believed to be undervalued. Under normal market conditions, the Portfolio’s yield, which reflects the level of dividends paid by the Portfolio, would be expected to generally exceed 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. equities rose in 2014 for the sixth consecutive year, as the economy recovered strongly from a first-quarter weather-related contraction. Falling long-term interest rates, solid employment growth, favorable corporate earnings, and expanded stimulus measures by major non-U.S. central banks boosted returns.

The Russell 1000^® Value Index posted a double-digit positive return during the period. As measured by the various Russell^® Indices, large cap shares reached new highs in December, significantly outpacing small- and mid-caps in 2014. Within the large cap space, value stocks outperformed their growth peers. Within the Russell 1000^® Value Index, nearly all sectors posted a positive return. Information Technology led performance, followed by Utilities and Health Care. The only sector to end in negative territory was Energy.

Portfolio Results

The Portfolio returned 7.43% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned 13.45%. (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 Equity Income Funds peer group for 2014 was 9.48%.

Overall, stock selection and sector allocation both detracted from relative performance. The Healthcare and Energy sectors hurt relative results, while the Utilities and Materials sectors contributed positively.

The Health Care sector was the most notable detractor, owing to stock choices and a detrimental underweight. In particular, GlaxoSmithKline PLC hurt returns. This U.K.-based pharmaceutical company experienced ongoing difficulty getting its respiratory treatments reimbursed by insurance plans, but the company expected the problem to be resolved going forward.

In the Energy sector, our overweight position and stock selection both proved disadvantageous. Among the underperforming names was Apache Corp. Despite continuing to sell off its weaker non-core assets, Apache Corp. declined sharply amid falling commodity prices. The Portfolio maintained its position as the portfolio managers expected the company to improve performance by focusing on U.S. onshore oil and natural gas production.

On the positive side, the Utilities sector outperformed due to stock selection. A leading name here was Entergy Corp., which surged due to colder weather earlier in the year, as well as stricter Environmental Protection Agency guidelines that reinforced the need for the company’s nuclear power plants.

Stock selection in the Materials sector was another area of relative strength, most notably International Paper Co. The firm benefited from strong operational performance in a highly consolidated market, led by a skilled new chief executive officer. The portfolio managers selectively trimmed the position on strength during the year, but the portfolio managers also saw further upside potential due to the company’s strong balance sheet and management’s ability to raise dividends or buy back shares.

Portfolio Manager Outlook

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

Overall, we remain optimistic about the environment for equities, as valuations still look attractive despite last year’s strong performance. While overall inflation has remained tame, we expect that rising wage costs in the U.S. will squeeze record profit margins. Nevertheless, we think the pace of labor cost increases will be manageable, as companies may also enjoy modest sales gains. We note that fourth-quarter earnings reports should provide greater clarity on the overall impact on profits of the decline in oil prices, as some firms benefit from increased discretionary spending, particularly on the part of lower-income consumers.


28		Equity Income Portfolio

Equity Income Portfolio (unaudited)

We are currently finding opportunities more in specific companies rather than in larger themes, highlighting the importance of fundamental research and effective stock selection. In the current environment, we will trim our holdings to our best ideas. We remain disciplined in our valuation-based approach and stand ready to take advantage of opportunities should valuations become more attractive.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Equity Income Portfolio		7.43	%		13.34	%		6.72	%
Russell 1000^® Value Index		13.45	%		15.42	%		7.30	%
Lipper^® Variable Insurance Products (VIP) Equity Income Funds Average		9.48	%		13.71	%		6.77	%

A portion of the Portfolio’s assets may be invested in lower quality debt securities, which may present a significant risk for loss of principal and interest. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
JPMorgan Chase & Co.		2.7%
General Electric Co.		2.7%
Wells Fargo & Co.		2.2%
Chevron Corp.		1.9%
U.S. Bancorp		1.8%
Exxon Mobil Corp.		1.8%
Bank of America Corp.		1.8%
Johnson & Johnson		1.6%
Illinois Tool Works, Inc.		1.6%
PNC Financial Services Group, Inc.		1.5%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


		Equity Income Portfolio			29

Equity Income Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (91.7%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (11.5%)
	Cablevision Systems Corp. - Class A		194,800		4,021
	Carnival Corp.		170,100		7,711
	Coach, Inc.		51,400		1,931
	Comcast Corp. - Class A		67,000		3,887
	Ford Motor Co.		260,400		4,036
	General Motors Co.		119,733		4,180
	Genuine Parts Co.		51,100		5,446
	Johnson Controls, Inc.		104,500		5,052
	Kohl’s Corp.		144,000		8,790
	Macy’s, Inc.		97,300		6,397
*	Madison Square Garden, Inc. - Class A		13,850		1,042
	Mattel, Inc.		259,500		8,030
	McDonald’s Corp.		20,800		1,949
	The New York Times Co. - Class A		178,700		2,362
*	News Corp. - Class A		153,800		2,413
	Staples, Inc.		374,300		6,782
	Tiffany & Co.		5,900		630
	Time Warner, Inc.		118,300		10,105
	The Walt Disney Co.		43,900		4,135
	Whirlpool Corp.		5,700		1,104

	Total				90,003


	Consumer Staples (4.2%)
	Archer-Daniels-Midland Co.		166,400		8,653
	Avon Products, Inc.		270,500		2,540
	Campbell Soup Co.		89,300		3,929
	The Clorox Co.		60,800		6,336
	ConAgra Foods, Inc.		24,800		900
	Kellogg Co.		19,000		1,243
	McCormick & Co., Inc.		43,100		3,202
	PepsiCo, Inc.		65,600		6,203

	Total				33,006


	Energy (12.2%)
	Anadarko Petroleum Corp.		57,500		4,744
	Apache Corp.		183,900		11,525
	BP PLC, ADR		90,400		3,446
	Chevron Corp.		129,100		14,482
	ConocoPhillips		43,100		2,976
	CONSOL Energy, Inc.		161,000		5,443
	Diamond Offshore Drilling, Inc.		97,400		3,576
	Exxon Mobil Corp.		148,800		13,757
	Hess Corp.		137,900		10,180
	Murphy Oil Corp.		129,000		6,517
	Royal Dutch Shell PLC - Class A, ADR		152,900		10,237
	Schlumberger, Ltd.		61,100		5,218
	Talisman Energy, Inc.		393,100		3,078

	Total				95,179


	Common Stocks (91.7%)	Shares/ $ Par		Value $ (000’s)

	Financials (19.3%)
	American Express Co.		88,000		8,188
	Bank of America Corp.		767,023		13,722
	The Bank of New York Mellon Corp.		5,500		223
	The Chubb Corp.		38,300		3,963
	Digital Realty Trust, Inc.		55,100		3,653
	JPMorgan Chase & Co.		335,788		21,014
	Loews Corp.		123,000		5,168
	Marsh & McLennan Cos., Inc.		200,200		11,459
	MetLife, Inc.		97,100		5,252
	Northern Trust Corp.		116,700		7,866
	Och-Ziff Capital Management Group - Class A		65,500		765
	PNC Financial Services Group, Inc.		131,300		11,978
	Rayonier, Inc.		103,600		2,895
	Regions Financial Corp.		269,000		2,841
	Sun Life Financial, Inc.		86,000		3,101
	SunTrust Banks, Inc.		200,100		8,384
	U.S. Bancorp		321,600		14,456
	Wells Fargo & Co.		317,000		17,378
	Weyerhaeuser Co.		182,935		6,566
	Willis Group Holdings PLC		51,800		2,321

	Total				151,193


	Health Care (6.1%)
	Bristol-Myers Squibb Co.		164,200		9,693
	Johnson & Johnson		121,700		12,726
	Merck & Co., Inc.		175,000		9,938
	Pfizer, Inc.		334,626		10,424
	Quest Diagnostics, Inc.		77,100		5,170

	Total				47,951


	Industrials (13.1%)
	The Boeing Co.		66,400		8,631
	Deere & Co.		66,900		5,919
	Eaton Corp. PLC		59,270		4,028
	Emerson Electric Co.		133,600		8,247
	Flowserve Corp.		6,500		389
	General Electric Co.		828,400		20,934
	Honeywell International, Inc.		91,300		9,123
	Illinois Tool Works, Inc.		131,000		12,406
	Joy Global, Inc.		84,300		3,922
	Masco Corp.		189,700		4,780
	Stanley Black & Decker, Inc.		70,000		6,725
	United Parcel Service, Inc. - Class B		82,300		9,149
*	USG Corp.		104,600		2,928
	Xylem, Inc.		135,500		5,158

	Total				102,339


	Information Technology (11.0%)
	Analog Devices, Inc.		94,100		5,224
	Apple, Inc.		48,900		5,398

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


30		Equity Income Portfolio

Equity Income Portfolio


	Common Stocks (91.7%)	Shares/ $ Par		Value $ (000’s)

	Information Technology continued
	Applied Materials, Inc.		330,800		8,243
	CA, Inc.		73,800		2,247
	Cisco Systems, Inc.		277,500		7,719
	Computer Sciences Corp.		61,200		3,859
	Corning, Inc.		321,800		7,379
(p)*	Dell Appraisal Rights Action		347,300		4,775
	Harris Corp.		107,200		7,699
	International Business Machines Corp.		39,900		6,402
	Microsoft Corp.		159,400		7,404
	Motorola Solutions, Inc.		19,400		1,301
	Qualcomm, Inc.		112,700		8,377
	Texas Instruments, Inc.		120,800		6,459
	Western Union Co.		179,300		3,211

	Total				85,697


	Materials (5.0%)
	E.I. du Pont de Nemours and Co.		68,300		5,050
	International Paper Co.		194,500		10,421
	MeadWestvaco Corp.		103,200		4,581
	Newmont Mining Corp.		160,200		3,028
	Nucor Corp.		131,600		6,455
	Potash Corp. of Saskatchewan, Inc.		95,800		3,384
	Vulcan Materials Co.		88,600		5,824

	Total				38,743


	Telecommunication Services (2.9%)
	AT&T, Inc.		316,235		10,622
	CenturyLink, Inc.		117,090		4,635
	Verizon Communications, Inc.		160,708		7,518

	Total				22,775


	Utilities (6.4%)
	The AES Corp.		198,300		2,731
	Duke Energy Corp.		122,600		10,242
	Entergy Corp.		102,600		8,975
	Exelon Corp.		179,900		6,671
	FirstEnergy Corp.		139,600		5,443
	NiSource, Inc.		243,300		10,321
	Xcel Energy, Inc.		152,100		5,463

	Total				49,846


	Total Common Stocks
	(Cost: $565,319)				716,732


Foreign Common Stocks (1.3%)	Country

Consumer Discretionary (0.3%)
Pearson PLC	United Kingdom	116,707	2,147

Total			2,147


Health Care (0.4%)
GlaxoSmithKline PLC	United Kingdom	162,092	3,468

Total			3,468

Foreign Common Stocks (1.3%)

Country

Shares/
$ Par

Value
$ (000’s)

Telecommunication Services (0.6%)

Telefonica SA

Spain

229,045

3,276

Vodafone Group PLC

United Kingdom

442,817

1,517

Total

4,793

Total Foreign Common Stocks

(Cost: $12,081)

10,408

Short-Term Investments (7.8%)

Money Market Funds (7.8%)

T. Rowe Price Reserve Investment Fund

60,958,660

60,959

Total

60,959

Total Short-Term Investments

(Cost: $60,959)

60,959

Total Investments (100.8%)

(Cost: $638,359)(a)

788,099

Other Assets, Less

Liabilities (-0.8%)

(6,364

)

Net Assets (100.0%)

781,735

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


		Equity Income Portfolio			31

Equity Income Portfolio

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $638,374 and the net unrealized appreciation of investments based on that cost was $149,725 which is comprised of $167,724 aggregate gross unrealized appreciation and $17,999 aggregate gross unrealized depreciation.

(p)	Restricted securities (excluding 144A issues) on December 31, 2014.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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
Information Technology	$	80,922	$	-	$	4,775
All Others		631,035		-		-
Foreign Common Stocks		-		10,408		-
Short-Term Investments		60,959		-		-
Total	$	772,916	$	10,408	$	4,775

For the period ended December 31, 2014, there were transfers from a Level 1 to a Level 2 in the amount of $10,408 thousand. These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2014. These securities did not require the use of fair value procedures on December 31, 2013.

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


32		Equity Income Portfolio

Mid Cap Growth Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks of mid cap domestic companies that are expected to experience solid growth in earnings.	$1.1 billion

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Mid Cap Growth Stock Portfolio (the “Portfolio”), has engaged William Blair & Company, L.L.C. (“William Blair”) to act as sub-adviser for the Portfolio. The Portfolio invests primarily in common stocks of mid cap domestic companies that are expected to experience solid growth in earnings. In choosing investments, the Portfolio evaluates the extent to which a company meets one or more of the following criteria, relative to the valuation of the security: (a) the company should have or should have the expectation of becoming, a significant provider in the primary markets it serves, (b) the company should have some distinctive attribute relative to present or potential competitors, (c) the prices of the company’s products or services should be based to some degree upon their value to the customer, rather than their production cost, (d) the company should participate in an industry expected to grow rapidly due to economic factors or technological change or grow through market share gains in its industry and (e) the company should have a strong management team.

Market Overview

The market’s advance in 2014 was fueled by positive domestic economic data, strong corporate earnings, continued accommodative policy from global central banks and increased merger and acquisition activity. The U.S. economy strengthened over the course of the year in marked contrast to many other leading economies. With this backdrop, the U.S. stock market moved steadily higher through much of the year and selloffs were relatively short-lived.

In contrast to the subdued volatility environment that preceded it, volatility spiked higher in the fourth quarter. This was the result of two conflicting views of the economic, and therefore, equity market outlook. On one hand, substantial parts of the global economy, including Europe, Japan and China, appeared to be slowing. Slow growth and collapsing commodity prices led to fears around deflation and the sustainability of economic growth and corporate earnings. On the other hand, the U.S. economy appeared to be quite healthy, as evidenced by robust economic growth in the second and third quarters of 2014 which was supported by a strengthened U.S. consumer. Improvement in the labor and housing markets, as well as the recent drop in energy prices, bolstered consumer confidence. Heightened fourth quarter volatility was reflective of these divergent dynamics.

Portfolio Results

The Portfolio returned 8.49% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Russell^® Midcap Growth Index (the “Index”), returned 11.90%. (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 Growth Funds peer group for 2014 was 6.81%.

The Portfolio’s underperformance was driven by a mix of stock selection and style headwinds. Most notably from a style perspective, some of our typical industry biases, including our underweights to airlines, semiconductors and REITs, worked against us. The Portfolio’s exposure to higher valuation stocks, as a result of our biases to higher quality and higher growth companies, as well as our smaller market cap profile, were more modest headwinds. In terms of stock selection, Information Technology, including positions in Pandora Media, Inc. and NeuStar, Inc., was an area of weakness. Other top detractors included Dick’s Sporting Goods, Inc. (Consumer Discretionary), Lululemon Athletica, Inc. (Consumer Discretionary) and SM Energy Company (Energy).

Our top contributors for the year came from a variety of sectors and included Keurig Green Mountain, Inc. (Consumer Staples), O’Reilly Automotive, Inc. (Consumer Discretionary), IDEXX Laboratories, Inc. (Health Care), Old Dominion Freight Line, Inc. (Industrials) and Akamai Technologies, Inc. (Information Technology).

Portfolio Manager Outlook

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

Moving into 2015, the U.S. economy and stock market have several tailwinds including positive trends in employment and housing data and lower gas prices to boost consumer spending. Robust demand dynamics within the U.S. should provide support for the earnings of U.S. companies. However, there is considerable uncertainty as to how insulated the U.S. will be from the rest of the globe where the outlook is more challenged. China continues to slow, despite monetary easing, and eurozone growth remains sluggish, in part due to the drag caused by the Russian recession. Together with the implications of a strengthening U.S. dollar, these factors pose a threat to U.S. economic growth. Additionally, the timing of monetary policy implementation within the U.S. remains a notable risk. Though U.S. economic data has been solid, low inflation, reinforced by weak commodity prices, has enabled the U.S. Federal Reserve (the “Fed”) to keep interest rate hikes on hold. A weak global outlook, to the extent it challenges U.S. growth, could further slow the pace of tightening. We expect the market to remain highly sensitive to incremental guidance from the Fed.


		Mid Cap Growth Stock Portfolio			33

Mid Cap Growth Stock Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Mid Cap Growth Stock Portfolio		8.49	%		12.12	%		6.49	%
Russell MidCap^® Growth Index		11.90	%		16.94	%		9.43	%
Lipper^® Variable Insurance Products (VIP) Mid Cap Growth Funds Average		6.81	%		15.00	%		8.41	%

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

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
Affiliated Managers Group, Inc.		3.3%
Stericycle, Inc.		3.2%
O’Reilly Automotive, Inc.		3.0%
Vantiv, Inc. - Class A		2.9%
Dollar General Corp.		2.7%
Williams-Sonoma, Inc.		2.7%
Equifax, Inc.		2.6%
Gartner, Inc.		2.5%
SBA Communications Corp. - Class A		2.5%
Mead Johnson Nutrition Co.		2.4%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


34		Mid Cap Growth Stock Portfolio

Mid Cap Growth Stock Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (97.2%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (20.0%)
	BorgWarner, Inc.		407,990		22,419
*	Dollar General Corp.		425,453		30,080
	L Brands, Inc.		162,754		14,086
	Marriott International, Inc. - Class A		275,473		21,495
*	Michael Kors Holdings, Ltd.		147,874		11,105
*	O’Reilly Automotive, Inc.		171,122		32,962
	Polaris Industries, Inc.		156,612		23,686
	Ross Stores, Inc.		219,052		20,648
	Six Flags Entertainment Corp.		332,890		14,364
	Williams-Sonoma, Inc.		386,924		29,282

	Total				220,127


	Consumer Staples (9.5%)
	Church & Dwight Co., Inc.		229,288		18,070
	Keurig Green Mountain, Inc.		141,996		18,799
	Mead Johnson Nutrition Co.		265,115		26,655
*	Monster Beverage Corp.		193,462		20,962
*	Sprouts Farmers Market, Inc.		583,969		19,843

	Total				104,329


	Energy (3.7%)
*	Concho Resources, Inc.		103,384		10,313
*	FMC Technologies, Inc.		209,840		9,829
	Pioneer Natural Resources Co.		59,369		8,837
	Range Resources Corp.		158,864		8,491
*	Whiting Petroleum Corp.		109,526		3,614

	Total				41,084


	Financials (8.2%)
*	Affiliated Managers Group, Inc.		172,171		36,542


	Common Stocks (97.2%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	LPL Financial Holdings, Inc.		429,260		19,123
*	PRA Group, Inc.		272,827		15,805
*	Signature Bank		143,909		18,127

	Total				89,597


	Health Care (15.9%)
*	Align Technology, Inc.		258,973		14,479
*	BioMarin Pharmaceutical, Inc.		272,487		24,633
	Bio-Techne Corp.		119,527		11,044
*	HMS Holdings Corp.		841,691		17,793
*	IDEXX Laboratories, Inc.		95,775		14,201
*	Mallinckrodt PLC		129,998		12,874
*	Medivation, Inc.		129,720		12,921
*	MEDNAX, Inc.		315,662		20,869
*	Mettler-Toledo International, Inc.		37,836		11,444
*	Sirona Dental Systems, Inc.		205,745		17,976
	Zoetis, Inc.		387,854		16,689

	Total				174,923


	Industrials (19.2%)
	AMETEK, Inc.		414,561		21,818
	Equifax, Inc.		359,586		29,080
	Fortune Brands Home & Security, Inc.		401,254		18,165
	Manpowergroup, Inc.		175,037		11,932
*	The Middleby Corp.		129,998		12,883
*	Old Dominion Freight Line, Inc.		331,649		25,749
	Rockwell Collins, Inc.		128,887		10,888
*	Stericycle, Inc.		265,749		34,834
	Towers Watson & Co. - Class A		111,573		12,627
	TransDigm Group, Inc.		55,384		10,875


	Common Stocks (97.2%)	Shares/ $ Par		Value $ (000’s)

	Industrials continued
*	Verisk Analytics, Inc. - Class A		339,909		21,771

	Total				210,622


	Information Technology (17.1%)
*	Akamai Technologies, Inc.		350,769		22,084
*	CoStar Group, Inc.		91,767		16,851
*	Gartner, Inc.		331,158		27,887
*	Genpact, Ltd.		858,876		16,259
*	Guidewire Software, Inc.		402,114		20,359
*	IPG Photonics Corp.		167,972		12,585
*	NeuStar, Inc. - Class A		412,763		11,475
*	Pandora Media, Inc.		547,690		9,765
*	Red Hat, Inc.		271,923		18,801
*	Vantiv, Inc. - Class A		935,619		31,736

	Total				187,802


	Materials (1.1%)
	International Flavors & Fragrances, Inc.		117,543		11,914

	Total				11,914


	Telecommunication Services (2.5%)
*	SBA Communications Corp. - Class A		247,713		27,437

	Total				27,437


	Total Common Stocks
	(Cost: $961,751)				1,067,835


	Total Investments (97.2%)
	(Cost: $961,751)(a)				1,067,835


	Other Assets, Less
	Liabilities (2.8%)				30,320

	Net Assets (100.0%)				1,098,155

*	Non-Income Producing

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $961,333 and the net unrealized appreciation of investments based on that cost was $106,502 which is comprised of $136,904 aggregate gross unrealized appreciation and $30,402 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	1,067,835	$	-	$	-
Total	$	1,067,835	$	-	$	-

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


		Mid Cap Growth Stock Portfolio			35

Index 400 Stock Portfolio (unaudited)

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.

$652 million

Portfolio Overview

Mason Street Advisors is 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

Portfolio Results

The Index 400 Stock Portfolio had a total return of 9.42% in the twelve months ended December 31, 2014. That was in line with the 9.77% 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 9.29%, 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.

Within the Portfolio, nine of the ten economic sectors posted positive returns. The Financials sector delivered the largest contribution to the Portfolio’s return, driven by improving balance sheets and solid earnings. The Health Care sector also generated solid performance, as health care companies continued to grow while adapting to the Affordable Care Act. The Consumer Discretionary sector was another large contributor, as the improving job market and declining oil prices late in the reporting period helped consumer spending. The Technology sector generated a solid return while lagging other sectors of the Portfolio due to slow business spending.

At the other end of the spectrum, the energy sector declined due to falling oil and gas prices, as global oil producers increased supply amid modest demand for oil. The Industrials and Materials sectors posted modest returns while lagging the overall Portfolio, as manufacturing and industrial activity remained restrained in international markets, particularly in China.


36		Index 400 Stock Portfolio

Index 400 Stock Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Index 400 Stock Portfolio		9.42	%		16.25	%		9.48	%
S&P MidCap 400^® Index		9.77	%		16.54	%		9.71	%
Lipper^® Variable Insurance Products (VIP) Mid Cap Core Funds Average		9.29	%		15.39	%		8.48	%

“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, to a lesser extent, 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 12/31/14


Security Description	% of Net Assets
Skyworks Solutions, Inc.	0.8	%
Equinix, Inc.	0.7	%
Advance Auto Parts, Inc.	0.7	%
SL Green Realty Corp.	0.7	%
Henry Schein, Inc.	0.7	%
Hanesbrands, Inc.	0.7	%
Endo International PLC	0.7	%
Realty Income Corp.	0.6	%
Signet Jewelers, Ltd.	0.6	%
Church & Dwight Co., Inc.	0.6	%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on equities.

Sector Allocation and Top 10 Holdings are subject to change.


		Index 400 Stock Portfolio			37

Index 400 Stock Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (13.6%)
	Aaron’s, Inc.		25,224		771
	Abercrombie & Fitch Co. - Class A		27,909		799
	Advance Auto Parts, Inc.		28,545		4,547
*	AMC Networks, Inc. - Class A		23,124		1,475
	American Eagle Outfitters, Inc.		68,453		950
*	Ann, Inc.		17,878		652
*	Apollo Group, Inc. - Class A		37,772		1,288
*	Ascena Retail Group, Inc.		51,506		647
	Big Lots, Inc.		20,903		837
	Brinker International, Inc.		24,855		1,459
	Brunswick Corp.		36,351		1,863
*	Cabela’s, Inc.		18,626		982
	Carter’s, Inc.		20,690		1,806
	The Cheesecake Factory, Inc.		18,001		906
	Chico’s FAS, Inc.		59,808		970
	Cinemark Holdings, Inc.		40,724		1,449
	CST Brands, Inc.		30,371		1,325
*	Deckers Outdoor Corp.		13,545		1,233
	DeVry, Inc.		22,483		1,067
	Dick’s Sporting Goods, Inc.		38,366		1,905
	Domino’s Pizza, Inc.		21,511		2,026
*	DreamWorks Animation SKG, Inc. - Class A		28,328		633
	Foot Locker, Inc.		55,565		3,122
	Gentex Corp.		57,249		2,068
	Graham Holdings Co.		1,722		1,487
	Guess?, Inc.		24,998		527
	Hanesbrands, Inc.		39,064		4,360
	HSN, Inc.		12,698		965
	International Game Technology		96,750		1,669
	International Speedway Corp. - Class A		10,933		346
*	J.C. Penney Co., Inc.		119,217		773
*	Jarden Corp.		69,966		3,350
	John Wiley & Sons, Inc. - Class A		18,348		1,087
*	Kate Spade & Co.		49,709		1,591
	KB Home		35,608		589
	Lamar Advertising Co. - Class A		31,349		1,682
*	Life Time Fitness, Inc.		14,076		797
*	Live Nation Entertainment, Inc.		56,499		1,475
*	LKQ Corp.		118,507		3,332
	M.D.C. Holdings, Inc.		15,272		404
	Meredith Corp.		14,254		774
*	Murphy USA, Inc.		16,810		1,158
	The New York Times Co. - Class A		51,138		676


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary continued
*	NVR, Inc.		1,522		1,941
*	Office Depot, Inc.		189,573		1,626
*	Panera Bread Co. - Class A		10,019		1,751
	Polaris Industries, Inc.		23,888		3,613
	Rent-A-Center, Inc.		20,688		751
	Service Corp. International		81,203		1,843
	Signet Jewelers, Ltd.		31,355		4,125
	Sotheby’s		24,012		1,037
*	Tempur-Pedic International, Inc.		23,820		1,308
	Thor Industries, Inc.		18,164		1,015
	Time, Inc.		42,637		1,049
*	Toll Brothers, Inc.		63,314		2,170
	Tupperware Brands Corp.		19,698		1,241
	The Wendy’s Co.		107,133		967
	Williams-Sonoma, Inc.		33,492		2,535

	Total				88,794


	Consumer Staples (3.3%)
	Church & Dwight Co., Inc.		52,315		4,123
	Dean Foods Co.		36,691		711
	Energizer Holdings, Inc.		24,284		3,122
	Flowers Foods, Inc.		72,244		1,386
*	The Hain Celestial Group, Inc.		39,466		2,300
	Ingredion, Inc.		28,103		2,384
	Lancaster Colony Corp.		7,592		711
*	Post Holdings, Inc.		17,543		735
*	SUPERVALU, INC.		80,670		782
	Tootsie Roll Industries, Inc.		7,802		239
*	TreeHouse Foods, Inc.		16,553		1,416
*	United Natural Foods, Inc.		19,509		1,509
*	The WhiteWave Foods Co.		68,185		2,386

	Total				21,804


	Energy (4.0%)
*	Atwood Oceanics, Inc.		23,406		664
*	California Resources Corp.		119,407		658
	CARBO Ceramics, Inc.		7,676		307
*	Dresser-Rand Group, Inc.		29,976		2,452
*	Dril-Quip, Inc.		15,437		1,184
	Energen Corp.		28,628		1,825
*	Gulfport Energy Corp.		33,449		1,396
*	Helix Energy Solutions Group, Inc.		38,383		833
	HollyFrontier Corp.		76,546		2,869
	Oceaneering International, Inc.		41,066		2,415
*	Oil States International, Inc.		20,794		1,017


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Energy continued
	Patterson-UTI Energy, Inc.		57,257		950
	Peabody Energy Corp.		106,153		822
*	Rosetta Resources, Inc.		24,047		537
	Rowan Cos., PLC - Class A		48,703		1,136
	SM Energy Co.		26,360		1,017
	Superior Energy Services, Inc.		59,509		1,199
	Tidewater, Inc.		19,447		630
*	Unit Corp.		18,030		615
	Western Refining, Inc.		28,538		1,078
	World Fuel Services Corp.		28,182		1,323
*	WPX Energy, Inc.		79,531		925

	Total				25,852


	Financials (22.7%)
	Alexander & Baldwin, Inc.		17,732		696
	Alexandria Real Estate Equities, Inc.		28,160		2,499

*	Alleghany Corp.		6,299		2,920
	American Campus Communities, Inc.		41,108		1,700
	American Financial Group, Inc.		28,865		1,753
	Arthur J. Gallagher & Co.		63,108		2,971
	Aspen Insurance Holdings, Ltd.		24,337		1,065
	Associated Banc-Corp.		59,436		1,107
	Astoria Financial Corp.		34,343		459
	BancorpSouth, Inc.		33,445		753
	Bank of Hawaii Corp.		17,158		1,018
	BioMed Realty Trust, Inc.		77,213		1,663
	Brown & Brown, Inc.		46,102		1,517
	Camden Property Trust		33,787		2,495
	Cathay General Bancorp		28,988		742
	CBOE Holdings, Inc.		33,006		2,093
	City National Corp.		18,752		1,515
	Commerce Bancshares, Inc.		32,384		1,408
	Corporate Office Properties Trust		36,182		1,026
	Corrections Corp. of America		45,550		1,655
	Cullen/Frost Bankers, Inc.		21,454		1,516
	Duke Realty Corp.		133,633		2,699
	East West Bancorp, Inc.		56,139		2,173
	Eaton Vance Corp.		46,248		1,893
	Equity One, Inc.		30,023		761
	Everest Re Group, Ltd.		17,695		3,013
	Extra Space Storage, Inc.		43,218		2,534
	Federal Realty Investment Trust		26,644		3,556
	Federated Investors, Inc. - Class B		37,224		1,226

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


38		Index 400 Stock Portfolio

Index 400 Stock Portfolio


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	First American Financial Corp.		41,948		1,422
	First Horizon National Corp.		91,998		1,249
	First Niagara Financial Group, Inc.		138,414		1,167
	FirstMerit Corp.		64,681		1,222
	Fulton Financial Corp.		72,451		896
	Hancock Holding Co.		31,899		979
	Hanover Insurance Group, Inc.		17,219		1,228
	HCC Insurance Holdings, Inc.		37,855		2,026
	Highwoods Properties, Inc.		35,693		1,581
	Home Properties, Inc.		22,434		1,472
	Hospitality Properties Trust		58,620		1,817
	International Bancshares Corp.		22,658		601
	Janus Capital Group, Inc.		57,461		927
	Jones Lang LaSalle, Inc.		17,528		2,628
	Kemper Corp.		19,566		707
	Kilroy Realty Corp.		32,833		2,268
	LaSalle Hotel Properties		43,670		1,767
	Liberty Property Trust		58,091		2,186
	Mack-Cali Realty Corp.		32,728		624
	Mercury General Corp.		14,205		805
	Mid-America Apartment Communities, Inc.		29,429		2,198
	MSCI, Inc.		43,811		2,078
	National Retail Properties, Inc.		51,577		2,031
	New York Community Bancorp, Inc.		173,104		2,770
	Old Republic International Corp.		94,883		1,388
	OMEGA Healthcare Investors, Inc.		49,832		1,947
	PacWest Bancorp		37,862		1,721
	Potlatch Corp.		15,876		665
	Primerica, Inc.		20,781		1,128
	Prosperity Bancshares, Inc.		23,465		1,299
	Protective Life Corp.		30,840		2,148
	Raymond James Financial, Inc.		49,267		2,823
	Rayonier, Inc.		49,558		1,385
	Realty Income Corp.		87,085		4,155
	Regency Centers Corp.		36,465		2,326
	Reinsurance Group of America, Inc.		26,865		2,354
	RenaissanceRe Holdings, Ltd.		15,067		1,465
	SEI Investments Co.		51,012		2,043
	Senior Housing Properties Trust		79,732		1,763
*	Signature Bank		19,676		2,478
	SL Green Realty Corp.		37,744		4,492
	SLM Corp.		165,485		1,686


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	StanCorp Financial Group, Inc.		16,440		1,149
*	SVB Financial Group		19,885		2,308
	Synovus Financial Corp.		53,408		1,447
	Tanger Factory Outlet Centers, Inc.		37,502		1,386
	Taubman Centers, Inc.		24,763		1,892
	TCF Financial Corp.		65,398		1,039
	Trustmark Corp.		26,373		647
	UDR, Inc.		99,807		3,076
	Umpqua Holdings Corp.		84,965		1,445
	Valley National Bancorp		86,002		835
	W.R. Berkley Corp.		39,704		2,035
	Waddell & Reed Financial, Inc. - Class A		32,699		1,629
	Washington Federal, Inc.		38,395		850
	Washington Prime Group, Inc.		60,679		1,045
	Webster Financial Corp.		35,292		1,148
	Weingarten Realty Investors		43,992		1,536

	Total				147,808


	Health Care (10.1%)
*	Align Technology, Inc.		28,259		1,580
*	Allscripts Healthcare Solutions, Inc.		66,265		846
*	Bio-Rad Laboratories, Inc. - Class A		8,041		969
	Bio-Techne Corp.		14,499		1,340
*	Centene Corp.		22,943		2,383
*	Charles River Laboratories International, Inc.		18,350		1,168
*	Community Health Systems, Inc.		45,474		2,452
	The Cooper Cos., Inc.		18,881		3,060
*	Covance, Inc.		22,128		2,298
*	Cubist Pharmaceuticals, Inc.		29,836		3,003
*	Endo International PLC		60,112		4,335
*	Halyard Health, Inc.		18,199		828
*	Health Net, Inc.		30,471		1,631
*	Henry Schein, Inc.		32,934		4,484
	Hill-Rom Holdings, Inc.		22,494		1,026
*	HMS Holdings Corp.		34,331		726
*	Hologic, Inc.		94,809		2,535
*	IDEXX Laboratories, Inc.		18,647		2,765
*	LifePoint Hospitals, Inc.		17,705		1,273
*	MEDNAX, Inc.		39,269		2,596
*	Mettler-Toledo International, Inc.		11,164		3,377
	Omnicare, Inc.		38,279		2,792
	Owens & Minor, Inc.		24,668		866
	ResMed, Inc.		54,532		3,057
*	Salix Pharmaceuticals, Ltd.		24,920		2,864
*	Sirona Dental Systems, Inc.		21,654		1,892
	STERIS Corp.		23,238		1,507


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Health Care continued
	Teleflex, Inc.		16,196		1,860
*	Thoratec Corp.		21,509		698
*	United Therapeutics Corp.		18,579		2,406
*	VCA, Inc.		32,898		1,604
*	WellCare Health Plans, Inc.		17,170		1,409

	Total				65,630


	Industrials (14.8%)
	A.O. Smith Corp.		29,415		1,659
	Acuity Brands, Inc.		16,960		2,376
*	Aecom Technology Corp.		60,154		1,827
	AGCO Corp.		32,732		1,480
	Alaska Air Group, Inc.		51,449		3,075
	Alliant Techsystems, Inc.		12,487		1,452
*	B/E Aerospace, Inc.		41,182		2,389
	Carlisle Cos., Inc.		25,093		2,264
	CLARCOR, Inc.		19,602		1,306
*	Clean Harbors, Inc.		21,334		1,025
	Con-way, Inc.		22,651		1,114
*	Copart, Inc.		44,465		1,623
	The Corporate Executive Board Co.		13,155		954
	Crane Co.		19,376		1,137
	Deluxe Corp.		19,425		1,209
	Donaldson Co., Inc.		49,938		1,929
*	Esterline Technologies Corp.		12,491		1,370
	Exelis, Inc.		73,031		1,280
	Fortune Brands Home & Security, Inc.		61,698		2,793
*	FTI Consulting, Inc.		16,043		620
	GATX Corp.		17,285		995
*	Genesee & Wyoming, Inc. - Class A		20,017		1,800
	Graco, Inc.		23,256		1,865
	Granite Construction, Inc.		14,087		536
	Harsco Corp.		31,602		597
	Herman Miller, Inc.		23,263		685
	HNI Corp.		17,361		886
	Hubbell, Inc. - Class B		21,243		2,269
	Huntington Ingalls Industries, Inc.		18,884		2,124
	IDEX Corp.		31,049		2,417
	ITT Corp.		35,822		1,449
	J.B. Hunt Transport Services, Inc.		36,194		3,049
*	JetBlue Airways Corp.		95,859		1,520
	KBR, Inc.		56,736		962
	Kennametal, Inc.		30,936		1,107
*	Kirby Corp.		22,314		1,802
*	KLX, Inc.		20,591		849
	Landstar System, Inc.		17,495		1,269
	Lennox International, Inc.		17,284		1,643
	Lincoln Electric Holdings, Inc.		30,378		2,099
	Manpowergroup, Inc.		30,949		2,110
	MSA Safety, Inc.		12,299		653
	MSC Industrial Direct Co., Inc. - Class A		19,755		1,605

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


		Index 400 Stock Portfolio			39

Index 400 Stock Portfolio


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Industrials continued
	Nordson Corp.		22,948		1,789
*	NOW, Inc.		41,870		1,077
*	Old Dominion Freight Line, Inc.		26,620		2,067
	Oshkosh Corp.		31,208		1,518
	R.R. Donnelley & Sons Co.		78,135		1,313
	Regal-Beloit Corp.		17,476		1,314
	Rollins, Inc.		25,041		829
	SPX Corp.		16,062		1,380
	Terex Corp.		42,391		1,182
	The Timken Co.		29,133		1,243
	Towers Watson & Co. - Class A		27,350		3,095
	Trinity Industries, Inc.		60,864		1,705
	Triumph Group, Inc.		19,861		1,335
	Valmont Industries, Inc.		9,623		1,222
	Wabtec Corp.		37,642		3,271
	Waste Connections, Inc.		48,539		2,135
	Watsco, Inc.		10,674		1,142
	Werner Enterprises, Inc.		17,424		543
	Woodward, Inc.		22,828		1,124

	Total				96,457


	Information Technology (17.1%)
*	3D Systems Corp.		40,884		1,344
*	ACI Worldwide, Inc.		44,948		907
*	Acxiom Corp.		30,116		610
*	Advanced Micro Devices, Inc.		245,599		656
	Advent Software, Inc.		17,387		533
*	ANSYS, Inc.		35,942		2,947
*	AOL, Inc.		30,459		1,406
*	ARRIS Group, Inc.		51,522		1,555
*	Arrow Electronics, Inc.		37,897		2,194
*	Atmel Corp.		163,214		1,370
	Avnet, Inc.		53,595		2,306
	Belden, Inc.		16,744		1,320
	Broadridge Financial Solutions, Inc.		46,934		2,167
*	Cadence Design Systems, Inc.		114,473		2,172
	CDK Global, Inc.		62,817		2,560
*	Ciena Corp.		41,674		809
*	Cognex Corp.		34,040		1,407
*	CommVault Systems, Inc.		16,823		870
	Convergys Corp.		39,241		799
*	CoreLogic, Inc.		35,094		1,109
*	Cree, Inc.		46,711		1,505
	Cypress Semiconductor Corp.		58,011		828
	Diebold, Inc.		25,274		875
	DST Systems, Inc.		11,460		1,079
	Equinix, Inc.		21,431		4,859
	FactSet Research Systems, Inc.		15,183		2,137
	Fair Isaac Corp.		12,556		908
*	Fairchild Semiconductor International, Inc.		46,448		784
	FEI Co.		16,249		1,468


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Information Technology continued
*	Fortinet, Inc.		54,154		1,660
*	Gartner, Inc.		34,425		2,899
	Global Payments, Inc.		26,451		2,135
*	Informatica Corp.		42,498		1,621
*	Ingram Micro, Inc. - Class A		60,981		1,685
*	Integrated Device Technology, Inc.		58,132		1,139
	InterDigital, Inc.		14,534		769
*	International Rectifier Corp.		27,975		1,116
	Intersil Corp. - Class A		50,649		733
*	IPG Photonics Corp.		13,877		1,040
*	Itron, Inc.		15,275		646
	Jabil Circuit, Inc.		75,630		1,651
	Jack Henry & Associates, Inc.		31,980		1,987
*	JDS Uniphase Corp.		90,670		1,244
*	Keysight Technologies, Inc.		65,504		2,212
*	Knowles Corp.		33,257		783
	Leidos Holdings, Inc.		24,331		1,059
	Lexmark International, Inc. - Class A		24,166		997
	Mentor Graphics Corp.		38,261		839
	National Instruments Corp.		39,417		1,225
*	NCR Corp.		65,855		1,919
*	NeuStar, Inc. - Class A		21,461		597
	Plantronics, Inc.		16,787		890
*	Polycom, Inc.		53,374		721
*	PTC, Inc.		45,362		1,662
*	Rackspace Hosting, Inc.		46,595		2,181
*	RF Micro Devices, Inc.		113,693		1,886
*	Riverbed Technology, Inc.		60,658		1,238
*	Rovi Corp.		37,046		837
	Science Applications International Corp.		15,814		783
*	Semtech Corp.		26,105		720
*	Silicon Laboratories, Inc.		15,414		734
	Skyworks Solutions, Inc.		74,558		5,421
*	Solarwinds, Inc.		25,734		1,282
	Solera Holdings, Inc.		26,681		1,366
*	SunEdison, Inc.		98,548		1,923
*	Synopsys, Inc.		60,938		2,649
*	Tech Data Corp.		14,960		946
	Teradyne, Inc.		84,663		1,675
*	Trimble Navigation, Ltd.		101,288		2,688
*	Tyler Technologies, Inc.		12,918		1,414
*	The Ultimate Software Group, Inc.		11,095		1,629
*	VeriFone Systems, Inc.		44,213		1,645
	Vishay Intertechnology, Inc.		53,051		751
*	WEX, Inc.		15,161		1,500
*	Zebra Technologies Corp. - Class A		19,914		1,542

	Total				111,523


	Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

	Materials (7.2%)
	Albemarle Corp.		30,600		1,840
	AptarGroup, Inc.		25,313		1,692
	Ashland, Inc.		24,957		2,989
	Bemis Co., Inc.		39,060		1,766
	Cabot Corp.		25,047		1,099
	Carpenter Technology Corp.		20,820		1,025
	Cliffs Natural Resources, Inc.		59,909		428
	Commercial Metals Co.		46,207		753
	Compass Minerals International, Inc.		13,135		1,141
	Cytec Industries, Inc.		28,186		1,301
	Domtar Corp.		25,212		1,014
	Eagle Materials, Inc.		19,656		1,494
	Grief, Inc. - Class A		13,255		626
*	Louisiana-Pacific Corp.		55,614		921
	Minerals Technologies, Inc.		13,494		937
	NewMarket Corp.		4,165		1,681
	Olin Corp.		30,579		696
	Packaging Corp. of America		38,474		3,003
	PolyOne Corp.		35,552		1,348
	Reliance Steel & Aluminum Co.		30,533		1,871
	Rock-Tenn Co. - Class A		54,769		3,340
	Royal Gold, Inc.		25,496		1,599
	RPM International, Inc.		52,198		2,647
	The Scotts Miracle-Gro Co. - Class A		17,364		1,082
	Sensient Technologies Corp.		18,833		1,136
	Silgan Holdings, Inc.		17,054		914
	Sonoco Products Co.		39,599		1,730
	Steel Dynamics, Inc.		94,019		1,856
	TimkenSteel Corp.		14,992		555
	United States Steel Corp.		56,894		1,521
	The Valspar Corp.		29,811		2,578
	Worthington Industries, Inc.		19,817		596

	Total				47,179


	Telecommunication Services (0.1%)
	Telephone and Data Systems, Inc.		38,400		970

	Total				970


	Utilities (4.8%)
	Alliant Energy Corp.		43,383		2,882
	Aqua America, Inc.		69,075		1,844
	Atmos Energy Corp.		39,260		2,188
	Black Hills Corp.		17,463		926
	Cleco Corp.		23,612		1,288
	Great Plains Energy, Inc.		60,169		1,709
	Hawaiian Electric Industries, Inc.		40,109		1,343
	IDACORP, Inc.		19,658		1,301
	MDU Resources Group, Inc.		75,908		1,784

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


40		Index 400 Stock Portfolio

Index 400 Stock Portfolio


Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)

Utilities continued
National Fuel Gas Co.		32,924		2,289
OGE Energy Corp.		77,947		2,766
ONE Gas, Inc.		20,357		839
PNM Resources, Inc.		31,150		923
Questar Corp.		68,537		1,733
UGI Corp.		67,430		2,561
Vectren Corp.		32,278		1,492
Westar Energy, Inc.		51,127		2,108
WGL Holdings, Inc.		19,440		1,062

Total				31,038


Total Common Stocks
(Cost: $429,442)				637,055


	Short-Term Investments (0.3%)	Shares/ $ Par		Value $ (000’s)

	Commercial Paper (0.3%)
(b)	Federal Home Loan Bank, 0.08%, 2/11/15		2,000,000		2,000

	Total				2,000


	Total Short-Term Investments
	(Cost: $2,000)				2,000


	Total Investments (98.0%)
	(Cost: $431,442)(a)				639,055

	Other Assets, Less
	Liabilities (2.0%)				13,349

	Net Assets (100.0%)				652,404

*	Non-Income Producing

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $431,976 and the net unrealized appreciation of investments based on that cost was $207,079 which is comprised of $228,826 aggregate gross unrealized appreciation and $21,747 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, 2014, $14,794)	105	3/15	$417

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	637,055	$	-	$	-
Short-Term Investments		-		2,000		-
Other Financial Instruments^
Futures		417		-		-
Total	$	637,472	$	2,000	$	-

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


		Index 400 Stock Portfolio			41

Mid Cap Value Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term capital growth. Current income is a secondary objective.	Invest primarily in equity securities of mid-sized companies that are determined to be undervalued.	$428 million

Portfolio Overview

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

Market Overview

U.S. stocks posted solid gains for the year despite ending with a volatile fourth quarter. During the second half of the year, oil prices dropped dramatically, hurting energy stocks but leaving consumers with more discretionary income. Economic growth in the U.S. continued at a moderate pace and inflation remained below the U.S. Federal Reserve’s (the “Fed’s”) target for raising interest rates. According to various Russell^® Indices, mid cap stocks outperformed small cap stocks but underperformed large cap stocks in 2014. Among mid cap stocks, mid cap value stocks outpaced mid cap growth stocks.

Portfolio Results

The Portfolio returned 16.69% for the twelve months ended December 31, 2014. By comparison, its benchmark, the Russell Midcap^® Value Index (the “Index”), returned 14.75%. According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return of the Mid Cap Value Funds peer group for 2014 was 9.53%.

Security selection among Information Technology names contributed to performance relative to the Index. In the Information Technology sector, Applied Materials, Inc. enhanced relative results. The semiconductor equipment maker saw fundamentals improve across the industry in the wake of technology changes in semiconductor and memory manufacturing. The company continued to focus on improving its margins, market share, and research and development productivity. Additionally, the firm was working toward closing an acquisition that was expected to be highly accretive.

In the Industrials sector, security selection enhanced relative performance, although some of the gain was offset by a detrimental overweight position in the sector. Security selection and an underweight position in the machinery segment drove contribution from the sector.

The Energy sector was a contributor to performance relative to the Index. In particular, lack of exposure to Seadrill, Ltd. was helpful as crude oil plunged during the fourth quarter. However, many of the Portfolio’s energy holdings were also negatively impacted by falling oil prices, including Apache Corporation and Imperial Oil, Ltd. Weaker than expected demand from non-U.S. markets, higher than anticipated supply from North American shale formations, and the OPEC’s unwillingness to curtail production in the wake of falling prices all drove weakness in crude oil price.

Overweights in the Health Care and Consumer Staples sectors also contributed to relative performance. Merger and acquisition activity served as a tailwind for several of the Portfolio’s holdings. In the Consumer Staples sector, Hillshire Brands Co. was a top contributor for the Portfolio. Its share price appreciated when it announced it was being acquired by Tyson Foods, Inc. Health Care company CareFusion Corp. appreciated after accepting a buyout offer at a large premium from Becton, Dickinson and Company.

Security selection in the Financials sector was the greatest detractor from relative performance. The Portfolio remained significantly underweight in REITs, as the portfolio managers found valuations unattractive amid continued low interest rates.

In the Materials sector, security selection weighed on relative returns. Global aluminum fabricator Constellium NV detracted as an acquisition increased its debt burden. Additionally, the company announced its intent to increase capacity over the next three years, which could limit its free cash flow generation.

Derivatives did not play a substantial role in the investment process. Exchange traded funds (ETFs) and futures are occasionally used to equitize cash and temporarily gain sector exposure. The Portfolio had one ETF position, and the Portfolio also utilized forward currency contracts to help reduce risk that can result from currency fluctuations in foreign equity investments. The total impact of derivatives to the Portfolio for the twelve months ended December 31, 2014 was positive, contributing 0.75% to return.

Portfolio Manager Outlook

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


42		Mid Cap Value Portfolio

Mid Cap Value Portfolio (unaudited)

We continue to follow our disciplined, bottom-up process, selecting companies one at a time for the Portfolio. As of December 31, 2014, we see opportunity in Industrials, Consumer Staples and Energy, as 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 Financials, Consumer Discretionary and Materials stocks.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Mid Cap Value Portfolio		16.69	%		16.13	%		7.37	%
Russell MidCap^® Value Index		14.75	%		17.43	%		9.43	%
Lipper^® Variable Insurance Products (VIP) Mid Cap Value Funds Average		9.53	%		15.22	%		8.08	%

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

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
Republic Services, Inc.		2.9%
Northern Trust Corp.		2.8%
iShares Russell Midcap Value Index Fund		2.6%
Sysco Corp.		1.6%
Royal Philips Electronics NV		1.6%
LifePoint Hospitals, Inc.		1.5%
The Laclede Group, Inc.		1.5%
Westar Energy, Inc.		1.5%
Imperial Oil, Ltd.		1.5%
Edison International		1.4%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


		Mid Cap Value Portfolio			43

Mid Cap Value Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (90.6%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (6.2%)
	Autoliv, Inc.		15,635		1,659
*	Bed Bath & Beyond, Inc.		32,425		2,470
	Carnival Corp.		56,656		2,568
	Coach, Inc.		29,953		1,125
	International Game Technology		116,650		2,012
	Lowe’s Cos., Inc.		61,203		4,211
*	Markit, Ltd.		80,953		2,140
	Mattel, Inc.		92,128		2,851
	Ralph Lauren Corp.		12,781		2,366
	Target Corp.		41,519		3,152
*	Toll Brothers, Inc.		62,260		2,134

	Total				26,688


	Consumer Staples (6.9%)
	Campbell Soup Co.		53,318		2,346
	ConAgra Foods, Inc.		152,344		5,527
	General Mills, Inc.		69,141		3,687
	The J.M. Smucker Co.		39,331		3,972
	Kellogg Co.		37,576		2,459
	Kraft Foods Group, Inc.		34,904		2,187
	Mondelez International, Inc.		75,594		2,746
	Sysco Corp.		169,924		6,744

	Total				29,668


	Energy (4.6%)
*	Antero Midstream Partners LP		33,705		927
	Apache Corp.		68,797		4,311
*	Cameron International Corp.		58,911		2,943
	Devon Energy Corp.		63,978		3,916
	Noble Energy, Inc.		38,370		1,820
	Occidental Petroleum Corp.		37,403		3,015
*	Southwestern Energy Co.		33,676		919
	Williams Partners LP		38,460		1,721

	Total				19,572


	Financials (25.7%)
	ACE, Ltd.		31,984		3,674
	Aflac, Inc.		30,647		1,872
	The Allstate Corp.		20,557		1,444
	Annaly Capital Management, Inc.		103,185		1,115
	Arthur J. Gallagher & Co.		28,482		1,341
	Bank of Hawaii Corp.		45,165		2,679
	BB&T Corp.		53,809		2,093
	BOK Financial Corp.		37,406		2,246
	Brown & Brown, Inc.		70,388		2,317
	Capitol Federal Financial, Inc.		59,628		762
	The Chubb Corp.		24,756		2,562
	Comerica, Inc.		50,126		2,348
	Commerce Bancshares, Inc.		121,458		5,282
	Corrections Corp. of America		131,845		4,791
	Cullen/Frost Bankers, Inc.		33,670		2,378


	Common Stocks (90.6%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	Empire State Realty Trust, Inc.		120,796		2,124
	Franklin Resources, Inc.		41,140		2,278
	HCC Insurance Holdings, Inc.		78,971		4,227
	LPL Financial Holdings, Inc.		84,692		3,773
	M&T Bank Corp.		42,349		5,320
	MetLife, Inc.		34,069		1,843
	Northern Trust Corp.		179,138		12,074
	People’s United Financial, Inc.		236,750		3,594
	Piedmont Office Realty Trust, Inc. - Class A		247,679		4,666
	PNC Financial Services Group, Inc.		57,714		5,265
	Reinsurance Group of America, Inc.		45,985		4,029
	State Street Corp.		37,080		2,911
	SunTrust Banks, Inc.		63,638		2,666
	T. Rowe Price Group, Inc.		24,877		2,136
	Torchmark Corp.		28,377		1,537
	The Travelers Cos., Inc.		20,577		2,178
	Unum Group		91,727		3,199
	Westamerica Bancorporation		71,631		3,511
	Weyerhaeuser Co.		156,450		5,615

	Total				109,850


	Health Care (10.7%)
	Agilent Technologies, Inc.		35,145		1,439
*	Bio-Rad Laboratories, Inc. - Class A		14,895		1,796
*	Boston Scientific Corp.		165,811		2,197
	Cardinal Health, Inc.		45,132		3,643
*	CareFusion Corp.		84,842		5,035
	Cigna Corp.		22,259		2,291
*	Hospira, Inc.		24,311		1,489
	Humana, Inc.		21,937		3,151
*	LifePoint Hospitals, Inc.		89,237		6,417
	Medtronic, Inc.		47,329		3,417
	Patterson Cos., Inc.		49,445		2,378
	Quest Diagnostics, Inc.		83,723		5,614
	Stryker Corp.		29,954		2,826
*	Waters Corp.		13,938		1,571
	Zimmer Holdings, Inc.		20,693		2,347

	Total				45,611


	Industrials (11.2%)
	The ADT Corp.		141,718		5,134
*	Clean Harbors, Inc.		70,823		3,403
	Emerson Electric Co.		69,122		4,267
	Exelis, Inc.		224,065		3,928
	Heartland Express, Inc.		85,772		2,317
	Oshkosh Corp.		102,975		5,010
	Pentair PLC		24,518		1,628
	Republic Services, Inc.		307,479		12,376
	Textron, Inc.		47,415		1,997
	Tyco Interntional PLC		85,198		3,737
	Waste Management, Inc.		21,163		1,086

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


44		Mid Cap Value Portfolio

Mid Cap Value Portfolio


	Common Stocks (90.6%)		Shares/ $ Par		Value $ (000’s)

	Industrials continued
	Werner Enterprises, Inc.			91,393		2,847

	Total					47,730


	Information Technology (9.8%)
	Applied Materials, Inc.			148,998		3,713
	Broadcom Corp. - Class A			94,023		4,074
	Fidelity National Information Services, Inc.			45,692		2,842
	Harris Corp.			29,914		2,148
*	Keysight Technologies, Inc.			38,366		1,296
	Lam Research Corp.			49,764		3,948
	Maxim Integrated Products, Inc.			89,479		2,852
	Microchip Technology, Inc.			82,449		3,719
	SanDisk Corp.			34,474		3,378
	TE Connectivity, Ltd.			55,959		3,539
	Teradyne, Inc.			241,740		4,784
	Western Digital Corp.			52,067		5,764

	Total					42,057


	Materials (3.4%)
	Bemis Co., Inc.			93,771		4,240
	The Mosaic Co.			73,346		3,348
	Newmont Mining Corp.			96,043		1,815
	Nucor Corp.			61,715		3,027
	Sonoco Products Co.			49,372		2,158

	Total					14,588


	Telecommunication Services (0.8%)
	CenturyLink, Inc.			90,809		3,594

	Total					3,594


	Utilities (11.3%)
	Ameren Corp.			45,588		2,103
	Atmos Energy Corp.			76,756		4,278
	Consolidated Edison, Inc.			31,284		2,065
	Edison International			93,521		6,124
	Great Plains Energy, Inc.			152,307		4,327
	The Laclede Group, Inc.			119,643		6,365
	Northeast Utilities		��	34,164		1,828
	NorthWestern Corp.			34,966		1,978
	OGE Energy Corp.			27,474		975
	PG&E Corp.			73,305		3,903
	The Southern Co.			42,694		2,097
	Westar Energy, Inc.			154,214		6,360
	Xcel Energy, Inc.			168,719		6,060

	Total					48,463

	Total Common Stocks
	(Cost: $340,195)					387,821

	Foreign Common Stocks (4.2%)	Country

	Consumer Staples (0.3%)
	Danone SA	France		16,469		1,083

	Total					1,083

Foreign Common Stocks (4.2%)

Country

Shares/
$ Par

Value
$ (000’s)

Energy (1.5%)

Imperial Oil, Ltd.

Canada

147,546

6,356

Total

6,356

Industrials (1.9%)

BAE Systems PLC

United
Kingdom

223,917

1,635

Royal Philips Electronics NV

Netherlands

228,829

6,644

Total

8,279

Telecommunication Services (0.5%)

Rogers Communications, Inc. - Class B

Canada

58,872

2,289

Total

2,289

Total Foreign Common Stocks

(Cost: $18,500)

18,007

Investment Companies (2.7%)

Investment Companies (2.7%)

iShares Russell Midcap Value Index Fund

153,403

11,317

Total

11,317

Total Investment Companies

(Cost: $10,842)

11,317

Short-Term Investments (2.5%)

Commercial Paper (2.5%)

Federal Farm Credit Bank, 0.01%, 1/2/15

3,837,000

3,837

Federal Home Loan Bank, 0.01%, 1/2/15

6,683,000

6,683

Total

10,520

Total Short-Term Investments

(Cost: $10,520)

10,520

Total Investments (100.0%)

(Cost: $380,057)(a)

427,665

Other Assets, Less

Liabilities (0.0%)

188

Net Assets (100.0%)

427,853

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


		Mid Cap Value Portfolio			45

Mid Cap Value Portfolio

*	Non-Income Producing

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $382,176 and the net unrealized appreciation of investments based on that cost was $45,489 which is comprised of $52,294 aggregate gross unrealized appreciation and $6,805 aggregate gross unrealized depreciation.

(h)	Forward foreign currency contracts outstanding on December 31, 2014.


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	HSBC Bank Usa Na	CAD	8,730	1/15	$	-	(m)	$	-	$	-	(m)
Sell	HSBC Bank Usa Na	EUR	5,507	1/15		87			-		87
Sell	HSBC Bank Usa Na	GBP	901	1/15		4			-		4

					$	91		$	-	$	91

CAD — Canadian Dollar

EUR — Euro

GBP — British Pound

(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, 2014. 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	$	387,821	$	-		$	-
Foreign Common Stocks							-
Consumer Staples		-		1,083			-
Energy		6,356		-			-
Industrials		-		8,279			-
Telecommunication Services		2,289		-			-
Investment Companies		11,317		-			-
Short-Term Investments				10,520			-
Other Financial Instruments^
Forward Currency Contracts		-		91			-
Total Assets	$	407,783	$	19,973		$	-
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		-		-	(m)		-
Total Liabilities	$	-	$	-	(m)	$	-

For the period ended December 31, 2014, there were transfers from a Level 1 to a Level 2 in the amount of $9,362 thousand. These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2014. These securities did not require the use of fair value procedures on December 31, 2013.

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


46		Mid Cap Value Portfolio

Small Cap Growth Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks of small capitalization companies.	$530 million

Portfolio Overview

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

Market Overview

U.S. stocks began 2014 with their worst month in nearly two years. Worries about a slowdown in China and general angst surrounding emerging markets overshadowed a fairly benign domestic environment. Despite negative weather-influenced economic data, the S&P 500^® Index rebounded from January’s pullback and finished February at a new peak. By the end of the second quarter the S&P 500^® Index was up 224.4% from its closing low on March 9, 2009. The second half of the year was also bumpy, with U.S. equities sinking in July, rebounding in August, and falling once again around mid-September before recovering in October. U.S. equities hit several all-time highs toward the end of the period, pulling back slightly on the final trading day of November and into December, led by weakness in the energy sector after OPEC’s decision to leave production unchanged.

Portfolio Results

The Portfolio returned 8.66% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Russell 2000^® Growth Index (the “Index”), returned 5.60%. (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 Small Cap Growth Funds peer group for 2014 was 3.41%.

The Portfolio’s outperformance during the period was primarily the result of strong stock selection, particularly in the Health Care, Materials and Industrials sectors. Weak selection within the Information Technology sector, as well as a modest cash position in a rising equity market detracted from relative returns during the period.

Top contributors to relative returns during the period included Agios Pharmaceuticals, Inc. (Healthcare), Core-Mark Holding Co., Inc. (Consumer Discretionary) and Athlon Energy, Inc. (Energy). Shares of Agios Pharmaceuticals, Inc., a biotech company focused on treating previously obtuse cancer mutations with highly specific drugs, rose during the period after company management reported strong enrollment trends and progress in reaching clinical trial and drug approval milestones. Shares of Core-Mark Holding Co., Inc., a provider of fresh and broad-line supply solutions to the convenience retail industry, outperformed during the period after the company signed a distribution agreement with Rite Aid Corp. Athlon Energy, Inc., a company focused on exploration and production within the Permian Basin, saw its shares surge after Encana Corp. announced that it would acquire the company at a significant premium. The portfolio managers eliminated the position on strength shortly after the announcement.

Top detractors from relative returns during the period included Energy XXI, Ltd. (Energy), Chart Industries, Inc. (Industrials) and Rosetta Resources, Inc. (Energy). Energy XXI, Ltd., an oil and gas exploration and production company, detracted from relative performance following the release of disappointing production results. Shares of Chart Industries, Inc., a maker of natural gas storage-related infrastructure equipment, fell during the period after the company reduced its sales and earnings guidance for the year based on a delay in shipments to China. Shares of Rosetta Resources, Inc., an energy exploration and production company, fell during the period. The primary cause of the decline was oil price weakness.

Portfolio Manager Outlook

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

There are two key issues that have altered our outlook a little since last quarter—the precipitous drop in oil prices and the flattening of the yield curve. Without a supply response it’s hard to predict the near-term floor for oil prices. This worries us in terms of the multiplier effect from a slowdown in business spending in the energy complex, which could affect a broad swath of companies that could be involved in lending, hospitality or industrial goods in affected areas. At a high level, some of this will likely be offset by a boost to consumer demand from cheaper prices at the pump (serves as a tax break), although historically there has been a lagging effect between lower gas prices and a change in consumer behavior. Lower home heating costs due to a decline in heating oil prices should also serve as a tailwind to consumer spending trends. Thus, lower oil prices could be a net positive for the US economy. With respect to the flattening of the yield curve, this is likely to have a negative impact on banks and insurance companies’ investment and interest income, but low rates should be a boost to the consumer. The continued low rate environment should be good for housing and related areas as mortgage rates remain low and the ranks of the employed grow.


		Small Cap Growth Stock Portfolio			47

Small Cap Growth Stock Portfolio (unaudited)

Relative Performance


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Small Cap Growth Stock Portfolio		8.66	%		15.07	%		6.79	%
Russell 2000^® Growth Index		5.60	%		16.80	%		8.54	%
Lipper^® Variable Insurance Products (VIP) Small Cap Growth Funds Average		3.41	%		16.20	%		8.31	%

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 as a cash management strategy. Investing in ETFs may expose the Portfolio to greater risk of loss and price fluctuation than investing directly in a comparable portfolio of stocks due to lack of liquidity, the additional expenses incurred as a stockholder in another investment company, and tracking error.

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
iShares Russell 2000 Growth Index Fund		2.5%
DexCom, Inc.		1.4%
Casey’s General Stores, Inc.		1.4%
Tyler Technologies, Inc.		1.4%
Bloomin’ Brands, Inc.		1.3%
HSN, Inc.		1.2%
Graphic Packaging Holding Co.		1.2%
Manhattan Associates, Inc.		1.1%
j2 Global, Inc.		1.1%
Heartland Payment Systems, Inc.		1.1%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


48		Small Cap Growth Stock Portfolio

Small Cap Growth Stock Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (96.9%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (15.1%)
	Arctic Cat, Inc.		85,650		3,041
*	Bloomin’ Brands, Inc.		274,590		6,799
	Brinker International, Inc.		64,390		3,779
*	Buffalo Wild Wings, Inc.		24,230		4,371
	Core-Mark Holding Co., Inc.		75,796		4,694
	Dana Holding Corp.		156,713		3,407
*	Del Frisco’s Restaurant Group, Inc.		122,570		2,910
	DSW, Inc. - Class A		112,124		4,182
*	Five Below, Inc.		100,650		4,110
	HSN, Inc.		84,680		6,436
*	Ignite Restaurant Group, Inc.		151,435		1,192
*	Kate Spade & Co.		137,436		4,399
	Marriott Vacations Worldwide Corp.		59,020		4,399
	Oxford Industries, Inc.		43,310		2,391
	Pier 1 Imports, Inc.		290,666		4,476
*	Steven Madden, Ltd.		131,765		4,194
*	Taylor Morrison Home Corp. - Class A		104,100		1,966
*	Tenneco, Inc.		98,740		5,590
*	Vince Holding Corp.		150,416		3,932
*	Wayfair, Inc.		92,605		1,838
*	Zulily, Inc. - Class A		82,925		1,940

	Total				80,046


	Consumer Staples (4.1%)
	Casey’s General Stores, Inc.		82,100		7,415
*	Diplomat Pharmacy, Inc.		41,900		1,147
*	Natural Grocers by Vitamin Cottage, Inc.		141,579		3,989
	PriceSmart, Inc.		38,908		3,549
*	TreeHouse Foods, Inc.		63,895		5,465

	Total				21,565


	Energy (2.3%)
*	Diamondback Energy, Inc.		36,700		2,194
*	Forum Energy Technologies, Inc.		82,619		1,713
*	Jones Energy, Inc. - Class A		118,735		1,355
	PBF Energy, Inc.		68,585		1,827
*	Rosetta Resources, Inc.		71,970		1,606
*	RSP Permian, Inc.		142,740		3,588

	Total				12,283


	Financials (7.9%)
	Altisource Residential Corp.		66,460		1,289
	AMERISAFE, Inc.		96,840		4,102
	CoreSite Realty Corp.		73,500		2,870
	EverBank Financial Corp.		198,280		3,779
	Evercore Partners, Inc.		55,080		2,884
	First Merchants Corp.		161,670		3,678
	Flushing Financial Corp.		82,500		1,672
*	Great Western Bancorp, Inc.		69,600		1,586


	Common Stocks (96.9%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	HFF, Inc. - Class A		115,500		4,149
*	James River Group Holdings, Ltd.		98,320		2,238
*	MGIC Investment Corp.		291,500		2,717
*	PRA Group, Inc.		26,370		1,528
	Ramco-Gershenson Properties Trust		110,800		2,076
	Sandy Spring Bancorp, Inc.		3,900		102
	Sunstone Hotel Investors, Inc.		246,260		4,066
	Wintrust Financial Corp.		65,200		3,049

	Total				41,785


	Health Care (22.5%)
*	Acorda Therapeutics, Inc.		111,700		4,565
*	Aerie Pharmaceuticals, Inc.		104,330		3,045
*	Agios Pharmaceuticals, Inc.		27,997		3,137
*	Alnylam Pharmaceuticals, Inc.		52,540		5,096
*	Anacor Pharmaceuticals, Inc.		134,646		4,342
	Atrion Corp.		8,954		3,044
*	BioCryst Pharmaceuticals, Inc.		64,300		782
*	Bruker Corp.		184,425		3,618
*	CorVel Corp.		77,500		2,885
*	Cyberonics, Inc.		52,180		2,905
*	DexCom, Inc.		138,265		7,612
*	Five Prime Therapeutics, Inc.		98,065		2,648
*	Globus Medical, Inc. - Class A		218,430		5,192
*	GlycoMimetics, Inc.		101,985		734
	HEALTHSOUTH Corp.		149,520		5,751
*	HeartWare International, Inc.		25,500		1,872
*	Hyperion Therapeutics, Inc.		84,500		2,028
*	ICU Medical, Inc.		51,710		4,235
*	Ironwood Pharmaceuticals, Inc.		25,900		397
*	The Medicines Co.		148,710		4,115
*	NPS Pharmaceuticals, Inc.		117,920		4,218
*	Omnicell, Inc.		109,200		3,617
*	PAREXEL International Corp.		89,000		4,945
*	Portola Pharmaceuticals, Inc.		78,230		2,216
*	Prestige Brands Holdings, Inc.		132,390		4,597
*	PTC Therapeutics, Inc.		56,810		2,941
*	Puma Biotechnology, Inc.		18,015		3,410
*	Team Health Holdings, Inc.		98,510		5,667
*	Tesaro, Inc.		68,400		2,544
	U.S. Physical Therapy, Inc.		105,860		4,442
*	Ultragenyx Pharmaceutical, Inc.		44,630		1,958


	Common Stocks (96.9%)	Shares/ $ Par		Value $ (000’s)

	Health Care continued
*	Vascular Solutions, Inc.		157,404		4,275
*	WellCare Health Plans, Inc.		51,550		4,230
*	XenoPort, Inc.		226,790		1,989

	Total				119,052


	Industrials (15.2%)
	A.O. Smith Corp.		58,120		3,279
	AAON, Inc.		130,483		2,922
	Altra Holdings, Inc.		110,288		3,131
	Applied Industrial Technologies, Inc.		67,970		3,099
	Astronics Corp.		71,400		3,949
	AZZ, Inc.		67,583		3,171
	Celadon Group, Inc.		115,698		2,625
*	Chart Industries, Inc.		65,066		2,225
	Deluxe Corp.		84,040		5,231
*	Esterline Technologies Corp.		35,600		3,905
	Exponent, Inc.		54,888		4,528
*	Generac Holdings, Inc.		103,154		4,823
*	GP Strategies Corp.		109,700		3,722
	Heico Corp.		64,620		3,903
	Lennox International, Inc.		47,500		4,516
	Marten Transport, Ltd.		93,810		2,051
*	Moog, Inc. - Class A		58,750		4,349
*	On Assignment, Inc.		106,515		3,535
*	Swift Transportation Co.		159,493		4,566
*	Teledyne Technologies, Inc.		47,780		4,909
	The Toro Co.		55,739		3,557
*	WageWorks, Inc.		35,200		2,273

	Total				80,269


	Information Technology (24.9%)
*	Aruba Networks, Inc.		158,580		2,883
*	Aspen Technology, Inc.		120,370		4,215
*	Bankrate, Inc.		127,650		1,587
*	CACI International, Inc. - Class A		42,960		3,702
*	Carbonite, Inc.		177,277		2,530
	Cass Information Systems, Inc.		73,290		3,903
	CDW Corp.		110,730		3,894
*	Ciena Corp.		72,260		1,402
*	Cvent, Inc.		52,130		1,451
*	Demandware, Inc.		33,450		1,925
*	Ellie Mae, Inc.		115,250		4,647
*	ePlus, Inc.		60,574		4,585
*	Everyday Health, Inc.		175,738		2,592
*	Exlservice Holdings, Inc.		134,259		3,855
	Fair Isaac Corp.		74,990		5,422
	FEI Co.		61,625		5,568
*	Five9, Inc.		348,389		1,561
*	Fleetmatics Group PLC		149,390		5,302
	Heartland Payment Systems, Inc.		106,910		5,768
	j2 Global, Inc.		93,940		5,824

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


		Small Cap Growth Stock Portfolio			49

Small Cap Growth Stock Portfolio


	Common Stocks (96.9%)	Shares/ $ Par		Value $ (000’s)

	Information Technology continued
*	Manhattan Associates, Inc.		148,940		6,065
*	Marketo, Inc.		87,700		2,869
*	Model N, Inc.		245,150		2,603
*	Nanometrics, Inc.		81,600		1,372
*	NetScout Systems, Inc.		78,210		2,858
*	PTC, Inc.		144,350		5,290
*	Q2 Holdings, Inc.		39,430		743
*	Qualys, Inc.		76,765		2,898
*	Sapient Corp.		200,350		4,985
	Solera Holdings, Inc.		79,380		4,063
*	SunEdison Semiconductor, Ltd.		87,180		1,619
*	SunEdison, Inc.		221,874		4,329
*	SunPower Corp.		101,215		2,614
*	Tyler Technologies, Inc.		66,600		7,289
	Ubiquiti Networks, Inc.		73,990		2,193
*	Ultratech, Inc.		69,960		1,298
*	WebMD Health Corp.		78,285		3,096
*	WEX, Inc.		29,890		2,957

	Total				131,757


	Common Stocks (96.9%)	Shares/ $ Par		Value $ (000’s)

	Materials (4.9%)
	Cabot Corp.		61,995		2,719
*	Graphic Packaging Holding Co.		452,500		6,163
*	Headwaters, Inc.		299,345		4,487
*	Omnova Solutions, Inc.		325,820		2,652
	Orion Engineered Carbons SA		68,600		1,166
	PolyOne Corp.		139,590		5,292
	Silgan Holdings, Inc.		68,600		3,677

	Total				26,156


	Total Common Stocks
	(Cost: $422,689)				512,913


Investment Companies (2.5%)	Shares/ $ Par		Value $ (000’s)

Investment Companies (2.5%)
iShares Russell 2000 Growth Index Fund		93,600		13,327

Total				13,327

Total Investment Companies
(Cost: $12,415)				13,327


Total Investments (99.4%)
(Cost: $435,104)(a)				526,240

Other Assets, Less
Liabilities (0.6%)				3,308

Net Assets (100.0%)				529,548

*	Non-Income Producing

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $435,315 and the net unrealized appreciation of investments based on that cost was $90,925 which is comprised of $112,457 aggregate gross unrealized appreciation and $21,532 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	512,913	$	-	$	-
Investment Companies		13,327		-		-
Total	$	526,240	$	-	$	-

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


50		Small Cap Growth Stock Portfolio

Index 600 Stock Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Investment results that approximate the performance of the S&P SmallCap 600^® Index.

Invest in stocks that make up the S&P SmallCap 600^®

Index, holding each stock in approximately the same proportion as its weighting in the Index.

$101 million

Portfolio Overview

Mason Street Advisors is 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, 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, swap agreements and, to a lesser extent, futures contracts for cash management purposes and to help achieve full replication.

Market Overview

Portfolio Results

The Portfolio posted a total return of 5.34% in the twelve months ended December 31, 2014. That was in line with the 5.76% return of the S&P SmallCap 600^® Index (“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 Portfolio outperformed the 4.39% average return of its peer group, Small Cap Core Funds, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

Within the Portfolio, nine of the ten economic sectors posted positive returns. The Technology sector generated the largest contribution to the Portfolio’s return, as solid consumer spending on technology offset relatively slow business spending. The Financials sector also delivered a solid contribution to the Portfolio’s return, driven by improving balance sheets and solid earnings. The Health Care sector generated solid performance, as health care companies continued to grow while adapting to the Affordable Care Act. Lower gas prices and declining interest rates buoyed the Utilities sector as well.

At the other end of the spectrum, the Energy sector sharply declined due to falling oil and gas prices, as global oil producers increased supply amid modest demand for oil. The Industrials and Materials sectors posted modest returns while lagging the overall Portfolio due to modest manufacturing and industrial activity.


		Index 600 Stock Portfolio			51

Index 600 Stock Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			Since Inception*
Index 600 Stock Portfolio		5.34	%		16.86	%		7.68	%
S&P SmallCap 600^® Index		5.76	%		17.27	%		8.07	%
Lipper^® Variable Insurance Products (VIP) Small Cap Core Funds Average		4.39	%		15.15	%		–
* Inception date of 4/30/07

“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.

The Portfolio may invest in exchange-traded funds and derivative instruments such as swap agreements and, to a lesser extent, futures contracts, 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 12/31/14


Security Description	% of Net Assets
iShares S&P SmallCap 600 Index Fund	2.2	%
TriQuint Semiconductor, Inc.	0.7	%
West Pharmaceutical Services, Inc.	0.6	%
Teledyne Technologies, Inc.	0.6	%
MAXIMUS, Inc.	0.5	%
The Toro Co.	0.5	%
Casey’s General Stores, Inc.	0.5	%
Buffalo Wild Wings, Inc.	0.5	%
Curtiss-Wright Corp.	0.5	%
Stifel Financial Corp.	0.5	%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on equities.

Sector Allocation and Top 10 Holdings are subject to change.


52		Index 600 Stock Portfolio

Index 600 Stock Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (12.9%)
*	Aeropostale, Inc.		10,179		24
*	American Public Education, Inc.		2,221		82
	Arctic Cat, Inc.		1,664		59
*	Barnes & Noble, Inc.		5,503		128
	Big 5 Sporting Goods Corp.		2,339		34
*	Biglari Holdings, Inc.		221		88
*	BJ’s Restaurants, Inc.		2,785		140
*	Blue Nile, Inc.		1,524		55
	Bob Evans Farms, Inc.		3,036		155
*	Boyd Gaming Corp.		10,043		128
	Brown Shoe Co., Inc.		5,630		181
	The Buckle, Inc.		3,609		190
*	Buffalo Wild Wings, Inc.		2,435		439
	Callaway Golf Co.		9,979		77
	Capella Education Co.		1,400		108
*	Career Education Corp.		7,703		54
	The Cato Corp. - Class A		3,303		139
	The Children’s Place Retail Stores, Inc.		2,727		155
*	Christopher & Banks Corp.		4,751		27
	Cracker Barrel Old Country Store, Inc.		3,076		433
*	Crocs, Inc.		10,613		133
	DineEquity, Inc.		2,121		220
*	Dorman Products, Inc.		3,946		190
*	Drew Industries, Inc.		3,042		155
*	The E.W. Scripps Co. - Class A		3,861		86
	Ethan Allen Interiors, Inc.		3,349		104
	The Finish Line, Inc. - Class A		6,152		150
*	Francesca’s Holdings Corp.		5,441		91
	Fred’s, Inc. - Class A		4,460		78
*	FTD Companies, Inc.		2,443		85
*	Genesco, Inc.		3,100		238
*	G-III Apparel Group, Ltd.		2,457		248
	Group 1 Automotive, Inc.		2,751		247
	Harte-Hanks, Inc.		5,509		43
	Haverty Furniture Cos., Inc.		2,656		58
*	Helen of Troy, Ltd.		3,435		224
*	Hibbett Sports, Inc.		3,216		156
*	Iconix Brand Group, Inc.		6,172		209
	Interval Leisure Group, Inc.		5,068		106
*	iRobot Corp.		3,803		132
	Jack in the Box, Inc.		4,970		397
*	Kirkland’s, Inc.		1,913		45
	La-Z-Boy, Inc.		6,660		179
	Lithia Motors, Inc. - Class A		2,938		255
*	Lumber Liquidators Holdings, Inc.		3,481		231
*	M/I Homes, Inc.		3,148		72
	The Marcus Corp.		2,361		44
*	MarineMax, Inc.		3,197		64


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary continued
	Marriott Vacations Worldwide Corp.		3,650		272
	The Men’s Wearhouse, Inc.		5,873		259
*	Meritage Homes Corp.		4,782		172
*	Monarch Casino & Resort, Inc.		1,297		22
	Monro Muffler Brake, Inc.		4,062		235
	Movado Group, Inc.		2,332		66
	Nutrisystem, Inc.		3,702		72
*	Outerwall, Inc.		2,433		183
	Oxford Industries, Inc.		1,864		103
	Papa John’s International, Inc.		3,823		213
*	The Pep Boys - Manny, Moe & Jack		6,883		68
*	Perry Ellis International, Inc.		1,547		40
	PetMed Express, Inc.		2,607		37
*	Pinnacle Entertainment, Inc.		7,716		172
	Pool Corp.		5,586		354
*	Quiksilver, Inc.		15,851		35
*	Red Robin Gourmet Burgers, Inc.		1,803		139
*	Regis Corp.		5,757		97
*	Ruby Tuesday, Inc.		7,966		55
	Ruth’s Hospitality Group, Inc.		4,548		68
	The Ryland Group, Inc.		5,932		229
	Scholastic Corp.		3,452		126
*	Scientific Games Corp. - Class A		6,329		81
*	Select Comfort Corp.		6,855		185
*	Sizmek, Inc.		2,855		18
*	Skechers U.S.A., Inc. - Class A		5,275		291
	Sonic Automotive, Inc. - Class A		4,279		116
	Sonic Corp.		6,480		176
	Stage Stores, Inc.		4,090		85
	Standard Motor Products, Inc.		2,680		102
*	Standard Pacific Corp.		19,456		142
	Stein Mart, Inc.		3,642		53
*	Steven Madden, Ltd.		7,271		231
*	Strayer Education, Inc.		1,403		104
	Sturm, Ruger & Co., Inc.		2,496		86
	Superior Industries International, Inc.		2,980		59
	Texas Roadhouse, Inc.		8,039		271
*	Tuesday Morning Corp.		5,627		122
*	Unify, Inc.		1,681		50
*	Universal Electronics, Inc.		2,032		132
	Universal Technical Institute, Inc.		2,779		27
*	Vitamin Shoppe, Inc.		3,972		193
*	VOXX International Corp.		2,578		23


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary continued
	Winnebago Industries, Inc.		3,468		75
	Wolverine World Wide, Inc.		13,066		385
*	Zumiez, Inc.		2,782		107

	Total				13,067


	Consumer Staples (3.1%)
*	Alliance One International, Inc.		10,577		17
	The Andersons, Inc.		3,458		184
	B&G Foods, Inc.		6,904		206
*	The Boston Beer Co., Inc. - Class A		1,143		331
	Calavo Growers, Inc.		1,980		94
	Cal-Maine Foods, Inc.		3,859		150
	Casey’s General Stores, Inc.		4,969		449
*	Central Garden & Pet Co. - Class A		5,515		53
*	Darling Ingredients, Inc.		21,186		385
*	Diamond Foods, Inc.		3,395		96
	Inter Parfums, Inc.		2,189		60
	J & J Snack Foods Corp.		1,921		209
*	Medifast, Inc.		1,443		48
	Sanderson Farms, Inc.		2,641		222
*	Seneca Foods Corp. - Class A		911		25
	Snyder’s-Lance, Inc.		6,690		204
	SpartanNash Co.		4,824		126
	Universal Corp.		2,982		131
	WD-40 Co.		1,769		150


	Total				3,140


	Energy (2.9%)
*	Approach Resources, Inc.		4,681		30
	Arch Coal, Inc.		27,308		49
*	Basic Energy Services, Inc.		4,500		32
*	Bill Barrett Corp.		6,387		73
*	Bonanza Creek Energy, Inc.		3,765		90
	Bristow Group, Inc.		4,523		298
*	C&J Energy Services, Inc.		5,908		78
*	Carrizo Oil & Gas, Inc.		5,456		227
*	Cloud Peak Energy, Inc.		7,848		72
	Comstock Resources, Inc.		5,726		39
*	Contango Oil & Gas Co.		2,044		60
*	ERA Group, Inc.		2,490		53
	Exterran Holdings, Inc.		8,781		286
*	Geospace Technologies Corp.		1,691		45
	Green Plains, Inc.		4,403		109
	Gulf Island Fabrication, Inc.		1,718		33
	GulfMark Offshore, Inc. - Class A		3,388		83
*	Hornbeck Offshore Services, Inc.		4,160		104
*	ION Geophysical Corp.		16,477		45
*	Matrix Service Co.		3,413		76

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


		Index 600 Stock Portfolio			53

Index 600 Stock Portfolio


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Energy continued
*	Newpark Resources, Inc.		10,805		103
*	Northern Oil and Gas, Inc.		7,373		42
	Paragon Offshore PLC		10,903		30
*	PDC Energy, Inc.		4,615		190
*	Penn Virginia Corp.		9,206		61
*	PetroQuest Energy, Inc.		7,559		28
*	Pioneer Energy Services Corp.		8,208		45
*	Rex Energy Corp.		6,265		32
*	SEACOR Holdings, Inc.		2,270		168
*	Stone Energy Corp.		7,227		122
*	Swift Energy Co.		5,642		23
*	Synergy Resources Corp.		8,875		111
	Tesco Corp.		4,641		60
*	TETRA Technologies, Inc.		10,240		68

	Total				2,965


	Financials (20.9%)
	Acadia Realty Trust		8,696		279
	Agree Realty Corp.		2,214		69
	American Assets Trust, Inc.		4,769		190
	American Equity Investment Life Holding Co.		9,725		284
	AMERISAFE, Inc.		2,421		103
	Associated Estates Realty Corp.		7,416		172
	Aviv REIT, Inc.		3,161		109
	Bank Mutual Corp.		5,571		38
	Bank of the Ozarks, Inc.		8,305		315
	Banner Corp.		2,518		108
	BBCN Bancorp, Inc.		10,227		147
*	BofI Holding, Inc.		1,677		130
	Boston Private Financial Holdings, Inc.		10,649		143
	Brookline Bancorp, Inc.		8,974		90
	Calamos Asset Management, Inc.		2,192		29
	Capstead Mortgage Corp.		12,325		151
	Cardinal Financial Corp.		4,120		82
	CareTrust REIT, Inc.		3,596		44
	Cash America International, Inc.		3,716		84
	Cedar Realty Trust, Inc.		8,865		65
	Central Pacific Financial Corp.		3,242		70
	Chesapeake Lodging Trust		7,060		263
	City Holding Co.		1,958		91
	Columbia Banking System, Inc.		6,867		190
	Community Bank System, Inc.		5,223		199
	CoreSite Realty Corp.		2,793		109
	Cousins Properties, Inc.		26,460		302
	CVB Financial Corp.		12,389		198
	DiamondRock Hospitality Co.		25,175		374
	Dime Community Bancshares		3,888		63
	EastGroup Properties, Inc.		4,108		260


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	Education Realty Trust, Inc.		6,110		224
*	eHealth, Inc.		2,292		57
	Employers Holdings, Inc.		4,051		95
*	Encore Capital Group, Inc.		3,077		137
*	Enova International, Inc.		3,400		76
	EPR Properties		7,352		424
	Evercore Partners, Inc.		4,632		243
*	EZCORP, Inc. - Class A		6,273		74
	F.N.B. Corp.		22,319		297
	Financial Engines, Inc.		6,684		244
*	First BanCorp/Puerto Rico		13,427		79
*	First Cash Financial Services, Inc.		3,642		203
	First Commonwealth Financial Corp.		11,800		109
	First Financial Bancorp.		7,895		147
	First Financial Bankshares, Inc.		8,242		246
	First Midwest Bancorp, Inc.		9,686		166
*	Forestar Group, Inc.		4,491		69
	Franklin Street Properties Corp.		11,471		141
	FXCM, Inc. - Class A		5,460		90
	The GEO Group, Inc.		9,539		385
	Getty Realty Corp.		3,353		61
	Glacier Bancorp, Inc.		9,651		268
	Government Properties Income Trust		9,049		208
*	Green Dot Corp. - Class A		4,658		95
	Greenhill & Co., Inc.		3,403		148
	Hanmi Financial Corp.		4,103		89
	HCI Group, Inc.		1,173		51
	Healthcare Realty Trust, Inc.		12,630		345
	HFF, Inc. - Class A		4,217		151
	Home BancShares, Inc.		7,558		243
	Horace Mann Educators Corp.		5,392		179
	Independent Bank Corp.		3,082		132
	Infinity Property & Casualty Corp.		1,479		114
	Inland Real Estate Corp.		11,334		124
	Interactive Brokers Group, Inc. - Class A		7,521		219
*	Investment Technology Group, Inc.		4,475		93
	Kite Realty Group Trust		10,738		309
	Lexington Realty Trust		26,887		295
	LTC Properties, Inc.		4,483		194
	MarketAxess Holdings, Inc.		4,808		345
	MB Financial, Inc.		8,272		272
	Meadowbrook Insurance Group, Inc.		5,993		51
	Medical Properties Trust, Inc.		22,185		306
	Montpelier Re Holdings, Ltd.		4,741		170
	National Penn Bancshares, Inc.		15,923		168
*	The Navigators Group, Inc.		1,396		102
	NBT Bancorp, Inc.		5,625		148


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
	Northwest Bancshares, Inc.		12,214		153
	OFG Bancorp		5,748		96
	Old National Bancorp		13,760		205
	Oritani Financial Corp.		4,901		75
	Parkway Properties, Inc.		10,831		199
	Pennsylvania Real Estate Investment Trust		8,850		208
	Pinnacle Financial Partners, Inc.		4,266		169
*	Piper Jaffray Cos., Inc.		2,095		122
	Post Properties, Inc.		7,006		412
*	PRA Group, Inc.		6,442		373
	PrivateBancorp, Inc.		9,046		302
	ProAssurance Corp.		7,356		332
	Provident Financial Services, Inc.		6,928		125
	PS Business Parks, Inc.		2,493		198
	Retail Opportunity Investments Corp.		11,960		201
	RLI Corp.		4,760		235
	S&T Bancorp, Inc.		3,833		114
	Sabra Health Care REIT, Inc.		7,015		213
	Safety Insurance Group, Inc.		1,622		104
	Saul Centers, Inc.		1,452		83
	Selective Insurance Group, Inc.		7,259		197
	Simmons First National Corp. - Class A		2,040		83
	Sovran Self Storage, Inc.		4,343		379
	Sterling Bancorp		10,793		155
	Stewart Information Services Corp.		2,853		106
*	Stifel Financial Corp.		8,492		433
	Susquehanna Bancshares, Inc.		23,319		313
*	Texas Capital Bancshares, Inc.		5,880		319
	Tompkins Financial Corp.		1,519		84
	TrustCo Bank Corp. NY		12,207		89
	UMB Financial Corp.		4,857		276
	United Bankshares, Inc.		8,190		307
	United Community Banks, Inc.		5,813		110
	United Fire Group, Inc.		2,707		80
	Universal Health Realty Income Trust		1,663		80
	Universal Insurance Holdings, Inc.		3,746		77
	Urstadt Biddle Properties, Inc. - Class A		3,542		78
	ViewPoint Financial Group		4,683		112
	Virtus Investment Partners, Inc.		909		155
	Westamerica Bancorporation		3,330		163
	Wilshire Bancorp, Inc.		9,066		92
	Wintrust Financial Corp.		6,010		281
*	World Acceptance Corp.		1,156		92

	Total				21,117

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


54		Index 600 Stock Portfolio

Index 600 Stock Portfolio


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Health Care (10.1%)
	Abaxis, Inc.		2,725		155
*	ABIOMED, Inc.		4,735		180
*	Acorda Therapeutics, Inc.		5,396		221
*	Affymetrix, Inc.		9,466		93
*	Air Methods Corp.		4,590		202
*	Akorn, Inc.		9,572		347
*	Albany Molecular Research, Inc.		3,062		50
*	Almost Family, Inc.		1,012		29
*	Amedisys, Inc.		4,294		126
*	AMN Healthcare Services, Inc.		5,999		118
*	AmSurg Corp.		6,191		339
	Analogic Corp.		1,592		135
*	AngioDynamics, Inc.		3,289		63
*	Anika Therapeutics, Inc.		1,866		76
*	Bio-Reference Laboratories, Inc.		3,175		102
*	Cambrex Corp.		3,987		86
	Cantel Medical Corp.		4,541		196
	Chemed Corp.		2,188		231
	Computer Programs and Systems, Inc.		1,341		81
	CONMED Corp.		3,541		159
*	CorVel Corp.		1,142		42
*	Cross Country Healthcare, Inc.		3,780		47
	CryoLife, Inc.		3,235		37
*	Cyberonics, Inc.		3,385		188
*	Cynosure, Inc. - Class A		2,785		76
*	DepoMed, Inc.		7,557		122
*	Emergent Biosolutions, Inc.		3,768		103
	Ensign Group, Inc.		2,603		116
*	ExamWorks Group, Inc.		4,186		174
*	Gentiva Health Services, Inc.		4,042		77
*	Greatbatch, Inc.		3,215		158
*	Haemonetics Corp.		6,604		247
*	Hanger, Inc.		4,540		99
*	HealthStream, Inc.		2,737		81
*	Healthways, Inc.		4,553		91
*	ICU Medical, Inc.		1,739		142
*	Impax Laboratories, Inc.		8,524		270
*	Integra LifeSciences Holdings		3,248		176
	Invacare Corp.		3,759		63
*	IPC The Hospitalist Co.		2,216		102
	Kindred Healthcare, Inc.		8,955		163
	Landauer, Inc.		1,229		42
*	Lannett Co., Inc.		3,404		146
*	LHC Group, Inc.		1,580		49
*	Ligand Pharmaceuticals, Inc. - Class B		2,344		125
*	Luminex Corp.		4,904		92
*	Magellan Health, Inc.		3,556		213
*	Masimo Corp.		6,136		162
*	MedAssets, Inc.		7,745		153
*	The Medicines Co.		8,416		233
*	Medidata Solutions, Inc.		6,979		333


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Health Care continued
	Meridian Bioscience, Inc.		5,357		88
*	Merit Medical Systems, Inc.		5,584		97
*	Molina Healthcare, Inc.		4,047		217
*	Momenta Pharmaceuticals, Inc.		6,006		72
*	MWI Veterinary Supply, Inc.		1,661		282
*	Natus Medical, Inc.		4,187		151
*	Neogen Corp.		4,750		236
*	NuVasive, Inc.		6,052		285
*	Omnicell, Inc.		4,580		152
*	PAREXEL International Corp.		7,077		393
*	PharMerica Corp.		3,874		80
*	Prestige Brands Holdings, Inc.		6,712		233
*	The Providence Service Corp.		1,530		56
	Quality Systems, Inc.		5,660		88
*	Repligen Corp.		3,957		78
*	Sagent Pharmaceuticals, Inc.		2,915		73
*	Spectrum Pharmaceuticals, Inc.		7,441		52
*	SurModics, Inc.		1,654		37
	West Pharmaceutical Services, Inc.		9,143		487

	Total				10,268


	Industrials (14.6%)
	AAON, Inc.		5,396		121
	AAR Corp.		4,875		135
	ABM Industries, Inc.		6,670		191
	Aceto Corp.		3,515		76
	Actuant Corp. - Class A		8,358		228
*	Aegion Corp.		4,809		90
*	Aerovironment, Inc.		2,580		70
	Albany International Corp. - Class A		3,693		140
	Allegiant Travel Co.		1,754		264
	American Science and Engineering, Inc.		1,012		53
*	American Woodmark Corp.		1,609		65
	Apogee Enterprises, Inc.		3,726		158
	Applied Industrial Technologies, Inc.		5,311		242
	ArcBest Corp.		3,115		144
	Astec Industries, Inc.		2,419		95
*	Atlas Air Worldwide Holdings, Inc.		3,191		157
	AZZ, Inc.		3,302		155
	Barnes Group, Inc.		6,304		233
	Brady Corp. - Class A		6,133		168
	Briggs & Stratton Corp.		5,836		119
	The Brink’s Co.		6,249		153
	CDI Corp.		1,867		33
	Celadon Group, Inc.		2,829		64
	CIRCOR International, Inc.		2,274		137
	Comfort Systems USA, Inc.		4,793		82
	Cubic Corp.		2,799		147
	Curtiss-Wright Corp.		6,178		436


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Industrials continued
*	DXP Enterprises, Inc.		1,656		84
*	Dycom Industries, Inc.		4,381		154
	EMCOR Group, Inc.		8,329		371
	Encore Wire Corp.		2,399		90
	EnerSys		5,835		360
*	Engility Holdings, Inc.		2,263		97
*	EnPro Industries, Inc.		3,086		194
	ESCO Technologies, Inc.		3,385		125
	Exponent, Inc.		1,655		137
	Federal Signal Corp.		8,052		124
	Forward Air Corp.		3,917		197
	Franklin Electric Co., Inc.		5,076		191
	G & K Services, Inc. - Class A		2,564		182
*	GenCorp, Inc.		7,573		139
	General Cable Corp.		6,261		93
*	Gibraltar Industries, Inc.		3,725		61
	Griffon Corp.		5,419		72
	Healthcare Services Group, Inc.		9,091		281
	Heartland Express, Inc.		7,114		192
	Heidrick & Struggles International, Inc.		2,112		49
	Hillenbrand, Inc.		8,074		279
*	Hub Group, Inc. - Class A		4,476		170
	Insperity, Inc.		2,900		98
	Interface, Inc.		8,522		140
	John Bean Technologies Corp.		3,746		123
	Kaman Corp.		3,488		140
	Kelly Services, Inc. - Class A		3,828		65
	Knight Transportation, Inc.		7,829		264
*	Korn/Ferry International		6,471		186
	Lindsay Corp.		1,570		135
*	Lydall, Inc.		2,207		72
	Matson, Inc.		5,537		191
	Matthews International Corp. - Class A		3,806		185
	Mobile Mini, Inc.		5,932		240
*	Moog, Inc. - Class A		5,230		387
	Mueller Industries, Inc.		7,319		250
	National Presto Industries, Inc.		632		37
*	Navigant Consulting, Inc.		6,238		96
*	On Assignment, Inc.		6,061		201
*	Orbital Sciences Corp.		7,832		211
*	Orion Marine Group, Inc.		3,540		39
*	PGT, Inc.		6,126		59
	Powell Industries, Inc.		1,192		58
	Quanex Building Products Corp.		4,829		91
	Resources Connection, Inc.		4,899		81
*	Roadrunner Transportation Systems, Inc.		3,562		83
*	Saia, Inc.		3,185		176
	Simpson Manufacturing Co., Inc.		5,352		185
	SkyWest, Inc.		6,584		87
	Standex International Corp.		1,641		127

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


		Index 600 Stock Portfolio			55

Index 600 Stock Portfolio


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Industrials continued
*	TASER International, Inc.		6,756		179
*	Teledyne Technologies, Inc.		4,703		483
	Tennant Co.		2,367		171
	Tetra Tech, Inc.		8,054		215
	Titan International, Inc.		6,897		73
	The Toro Co.		7,161		457
*	TrueBlue, Inc.		5,469		122
	UniFirst Corp.		2,012		244
	United Stationers, Inc.		5,004		211
	Universal Forest Products, Inc.		2,570		137
	US Ecology, Inc.		2,782		112
*	UTI Worldwide, Inc.		11,803		142
*	Veritiv Corp.		1,050		54
	Viad Corp.		2,582		69
*	Vicor Corp.		2,133		26
*	WageWorks, Inc.		4,229		273
	Watts Water Technologies, Inc. - Class A		3,661		232

	Total				14,805


	Information Technology (15.2%)
	ADTRAN, Inc.		6,988		152
*	Advanced Energy Industries, Inc.		4,849		115
*	Agilysys, Inc.		1,908		24
*	Anixter International, Inc.		3,506		310
	Badger Meter, Inc.		1,859		110
	Bel Fuse, Inc. - Class B		1,375		38
*	Benchmark Electronics, Inc.		6,834		174
	Black Box Corp.		1,988		48
	Blackbaud, Inc.		5,955		258
*	Blucora, Inc.		5,275		73
*	Bottomline Technologies, Inc.		4,916		124
	Brooks Automation, Inc.		8,610		110
*	Cabot Microelectronics Corp.		3,061		145
*	CACI International, Inc. - Class A		3,061		264
*	CalAmp Corp.		4,654		85
*	Cardtronics, Inc.		5,728		221
*	CEVA, Inc.		2,598		47
*	Checkpoint Systems, Inc.		5,377		74
*	CIBER, Inc.		9,082		32
*	Cirrus Logic, Inc.		8,126		192
*	Coherent, Inc.		3,231		196
	Cohu, Inc.		3,285		39
*	comScore, Inc.		4,400		204
	Comtech Telecommunications Corp.		2,086		66
	CSG Systems International, Inc.		4,416		111
	CTS Corp.		4,306		77
	Daktronics, Inc.		5,043		63
*	Dealertrack Holdings, Inc.		5,700		253
*	Dice Holdings, Inc.		4,786		48
*	Digi International, Inc.		3,197		30
*	Digital River, Inc.		4,101		101


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Information Technology continued
*	Diodes, Inc.		4,713		130
*	DSP Group, Inc.		2,780		30
*	DTS, Inc.		2,211		68
	Ebix, Inc.		3,775		64
	Electro Scientific Industries, Inc.		3,421		27
*	Electronics for Imaging, Inc.		6,048		259
*	Entropic Communications, Inc.		11,587		29
	EPIQ Systems, Inc.		4,028		69
*	Exar Corp.		6,056		62
*	Exlservice Holdings, Inc.		4,014		115
*	Fabrinet		3,817		68
*	FARO Technologies, Inc.		2,222		139
	Forrester Research, Inc.		1,405		55
*	Gerber Scientific, Inc.		2,359		0
*	Harmonic, Inc.		11,328		79
	Heartland Payment Systems, Inc.		4,660		251
*	iGATE Corp.		4,572		180
*	II-VI, Inc.		6,690		91
*	Insight Enterprises, Inc.		5,271		136
*	Interactive Intelligence Group		2,170		104
*	Ixia		7,564		85
	j2 Global, Inc.		5,842		362
*	Kopin Corp.		7,800		28
*	Kulicke and Soffa Industries, Inc.		9,904		143
*	Liquidity Services, Inc.		3,157		26
	Littelfuse, Inc.		2,893		280
*	LivePerson, Inc.		6,398		90
*	LogMeIn, Inc.		3,137		155
*	Manhattan Associates, Inc.		9,601		391
	ManTech International Corp. - Class A		3,021		91
	MAXIMUS, Inc.		8,472		465
*	Mercury Systems, Inc.		4,146		58
	Methode Electronics, Inc. -Class A		4,909		179
	Micrel, Inc.		5,758		84
*	Microsemi Corp.		12,226		347
*	MicroStrategy, Inc. - Class A		1,163		189
	MKS Instruments, Inc.		6,824		250
	Monolithic Power Systems		4,635		231
	Monotype Imaging Holdings, Inc.		5,039		145
*	Monster Worldwide, Inc.		11,412		53
	MTS Systems Corp.		1,942		146
*	Nanometrics, Inc.		3,108		52
*	NETGEAR, Inc.		4,449		158
*	NetScout Systems, Inc.		4,822		176
*	Newport Corp.		5,126		98
	NIC, Inc.		7,812		141
*	OSI Systems, Inc.		2,398		170
	Park Electrochemical Corp.		2,695		67
*	Perficient, Inc.		4,428		82
*	Pericom Semiconductor Corp.		2,557		35


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Information Technology continued
*	Plexus Corp.		4,327		178
	Power Integrations, Inc.		3,798		196
*	Progress Software Corp.		6,456		174
*	QLogic Corp.		11,339		151
*	QuinStreet, Inc.		4,454		27
*	Rofin-Sinar Technologies, Inc.		3,608		104
*	Rogers Corp.		2,353		192
*	Rudolph Technologies, Inc.		4,269		44
*	Sanmina Corp.		10,610		250
*	ScanSource, Inc.		3,673		147
*	Stamps.com, Inc.		1,883		90
*	Super Micro Computer, Inc.		4,495		157
*	Sykes Enterprises, Inc.		5,012		118
*	Synaptics, Inc.		4,747		327
*	Synchronoss Technologies, Inc.		4,630		194
	SYNNEX Corp.		3,593		281
*	Take-Two Interactive Software, Inc.		10,822		303
*	Tangoe, Inc.		4,697		61
*	TeleTech Holdings, Inc.		2,257		53
	Tessera Technologies, Inc.		6,042		216
*	TriQuint Semiconductor, Inc.		22,494		620
*	TTM Technologies, Inc.		6,862		52
*	Ultratech, Inc.		3,637		67
*	VASCO Data Security International, Inc.		3,776		107
*	Veeco Instruments, Inc.		5,174		180
*	ViaSat, Inc.		5,544		349
*	Virtusa Corp.		3,453		144
*	XO Group, Inc.		3,113		57

	Total				15,356


	Materials (5.1%)
	A. Schulman, Inc.		3,749		152
*	A.M. Castle & Co.		2,237		18
*	AK Steel Holding Corp.		22,780		135
	American Vanguard Corp.		3,258		38
	Balchem Corp.		3,955		264
*	Boise Cascade Co.		5,070		188
*	Calgon Carbon Corp.		6,846		142
*	Century Aluminum Co.		6,637		162
*	Clearwater Paper Corp.		2,513		172
	Deltic Timber Corp.		1,424		97
*	Flotek Industries, Inc.		6,453		121
	FutureFuel Corp.		2,869		37
	Globe Specialty Metals, Inc.		8,254		142
	H.B. Fuller Co.		6,470		288
	Hawkins, Inc.		1,216		53
	Haynes International, Inc.		1,597		77
*	Headwaters, Inc.		9,457		142
	Innophos Holdings, Inc.		2,797		164
*	Intrepid Potash, Inc.		7,236		100
	Kaiser Aluminum Corp.		2,289		164
	KapStone Paper & Packaging Corp.		10,868		319
	Koppers Holdings, Inc.		2,637		69

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


56		Index 600 Stock Portfolio

Index 600 Stock Portfolio


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Materials continued
*	Kraton Performance Polymers, Inc.		4,223		88
*	LSB Industries, Inc.		2,502		79
	Materion Corp.		2,593		91
	Myers Industries, Inc.		3,203		56
	Neenah Paper, Inc.		2,139		129
	Olympic Steel, Inc.		1,173		21
	OM Group, Inc.		3,964		118
	P.H. Glatfelter Co.		5,524		141
	Quaker Chemical Corp.		1,707		157
	Rayonier Advanced Materials, Inc.		5,487		122
*	RTI International Metals, Inc.		3,952		100
	Schweitzer-Mauduit International, Inc.		3,919		166
	Stepan Co.		2,461		99
*	Stillwater Mining Co.		15,460		228
	SunCoke Energy, Inc.		8,518		165
	Tredegar Corp.		3,292		74
	US Silica Holdings, Inc.		6,936		178
	Wausau Paper Corp.		6,432		73
	Zep, Inc.		2,970		45

	Total				5,174


	Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

	Telecommunication Services (0.6%)
*	8x8, Inc.		11,509		106
	Atlantic Tele-Network, Inc.		1,290		87
*	Cincinnati Bell, Inc.		26,917		86
	Consolidated Communications Holdings, Inc.		6,034		168
*	General Communication, Inc. - Class A		3,923		54
	Lumos Networks Corp.		2,428		41
	NTELOS Holdings Corp.		2,168		9
	Spok Holdings, Inc.		2,789		48

	Total				599


	Utilities (3.4%)
	ALLETE, Inc.		4,935		272
	American States Water Co.		4,940		186
	Avista Corp.		7,366		260
	El Paso Electric Co.		5,192		208
	The Laclede Group, Inc.		5,559		296
	New Jersey Resources Corp.		5,435		332
	Northwest Natural Gas Co.		3,500		175
	NorthWestern Corp.		5,906		334
	Piedmont Natural Gas Co., Inc.		10,078		397


Common Stocks (88.8%)	Shares/ $ Par		Value $ (000’s)

Utilities continued
South Jersey Industries, Inc.		4,328		255
Southwest Gas Corp.		5,984		370
UIL Holdings Corp.		7,274		317

Total				3,402


Total Common Stocks
(Cost: $69,937)				89,893


Investment Companies (1.9%)

Investment Companies (1.9%)
iShares S&P SmallCap 600 Index Fund		16,869		1,924

Total				1,924


Total Investment Companies
(Cost: $1,896)				1,924


Total Investments (90.7%)
(Cost: $71,833)(a)				91,817

Other Assets, Less
Liabilities (9.3%)				9,469

Net Assets (100.0%)				101,286

*	Non-Income Producing

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $72,254 and the net unrealized appreciation of investments based on that cost was $19,563 which is comprised of $22,924 aggregate gross unrealized appreciation and $3,361 aggregate gross unrealized depreciation.

(j)	Swap agreements outstanding on December 31, 2014.

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 + 15 Basis Points (Bps)

S&P SmallCap 600 Index

5/15

9,574

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


		Index 600 Stock Portfolio			57

Index 600 Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	89,893	$	-	$	-
Investment Companies		1,924		-		-
Other Financial Instruments^
Total Return Swaps		-		-		-
Total	$	91,817	$	-	$	-

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


58		Index 600 Stock Portfolio

Small Cap Value Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Long-term growth of capital.

Invest primarily in common stocks of

small-sized companies believed to be undervalued.

$583 million

Portfolio Overview

Mason Street Advisors, LLC 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 primarily invests in common stocks of companies with market capitalizations that do not exceed the maximum market capitalization of any security in the Russell 2000^® 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

U.S. equities rose in 2014 for the sixth consecutive year. Falling long-term interest rates, solid employment growth, favorable corporate earnings and expanded stimulus measures by major non-U.S. central banks propelled equities in 2014. Stagnant global growth, heightened geopolitical tensions due to U.S. and European Union sanctions against Russia for its actions in Ukraine and unrest in the Middle East periodically weighed on stock prices, as did concerns that the Federal Reserve would soon start raising short-term interest rates. However, interest rate reductions in the eurozone, as well as aggressive monetary easing in Japan, boosted investor sentiment.

A sharp decline in the price of oil was positive for U.S. consumers and oil-importing nations but contributed to steep declines in the currencies and assets of major oil-producing and -exporting countries. Large-cap stocks significantly outpaced small- and mid-cap stocks for the twelve months ended December 31, 2014, according to various Russell^® Indices. In the small cap universe, the Russell 2000^® Value Index underperformed the Russell 2000^® Growth Index.

Portfolio Results

The Portfolio returned 0.22% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Russell 2000^® Value Index (the “Index”), returned 4.22%. (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 Small Cap Value Funds peer group for 2014 was 4.25%.

The Portfolio’s underperformance relative to the Index was primarily due to sector weightings. Stock selection also detracted but to a much lesser degree. A substantially underweight position in the Financials sector and a substantially overweight position in the Industrials and Business Services sector hindered performance relative to the Index. In Industrials and Business Services, stock selection more than offset the detrimental effect of the overweight position. In the Energy sector, stock selection hurt performance, but being underweight compared to the Index in the weakest performing sector mitigated part of the blow to relative performance.

The Portfolio’s Consumer Discretionary stocks significantly lagged their Index counterparts. Meritage Homes Corp. (“Meritage”) was a notable detractor. Meritage is the ninth-largest U.S. homebuilder with a large presence in Florida, Texas, California, and Arizona. Despite measured growth in new home sales, months with anemic growth weighed heavily on homebuilders, and housing volumes remained at low levels for the size of the population.

Stock selection in Health Care also hampered the Portfolio’s relative performance, especially Momenta Pharmaceuticals, Inc. (“Momenta”), a biotechnology company with a diversified pipeline of complex generic, follow-on biologic, and novel drugs. Early in the year, the firm’s share price tumbled after rival Teva Pharmaceutical Industries, Ltd. benefited from the Supreme Court’s decision to review an appeal, which indefinitely delayed the sale of Momenta’s generic version of Copaxone, a multiple sclerosis drug.

The Industrials and Business Services sector was a bright spot for the Portfolio, helped by Alaska Air Group, Inc. The Seattle-based airline serves primarily the West Coast region, Alaska, Hawaii, and Mexico. The portfolio managers believed the company’s management followed a carefully articulated strategy with good capital discipline, including cautious expansion, while ensuring that demand was in place. Despite recent focus on increased competition in the northwestern U.S., particularly from Delta Air Lines, Inc., the firm continued to show strong revenues. In addition, the recent decline in oil prices improved the cost structure for the industry.

Portfolio Manager Outlook

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

Although energy stocks are a small part of the small cap value universe, the recent decline in oil prices has weighed particularly heavily on small cap producers, while also punishing stocks in related industries, such as rail and barge transportation, that rely on energy industry spending. Upcoming earnings reports should provide greater clarity on the broader effects of falling oil prices on small caps. Clearly, energy-using firms and consumer-based companies stand to benefit from lower oil prices. In addition, the equally surprising decline in long-term interest rates has had a large, positive effect on small cap value stocks, especially financials. As always, our focus remains on long-term performance, and we believe a contrarian approach will ultimately best serve shareholders’ interests.


		Small Cap Value Portfolio			59

Small Cap Value Portfolio (unaudited)

Relative Performance

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Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
Small Cap Value Portfolio		0.22	%		13.07	%		7.75	%
Russell 2000^® Value Index		4.22	%		14.26	%		6.89	%
Lipper^® Variable Insurance Products (VIP) Small Cap Value Funds Average		4.25	%		14.51	%		7.89	%

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
Landstar System, Inc.		2.0%
Alaska Air Group, Inc.		1.9%
East West Bancorp, Inc.		1.7%
Aaron’s, Inc.		1.7%
ProAssurance Corp.		1.7%
Genesee & Wyoming, Inc. - Class A		1.6%
Home BancShares, Inc.		1.5%
West Pharmaceutical Services, Inc.		1.4%
SVB Financial Group		1.4%
AptarGroup, Inc.		1.3%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


60		Small Cap Value Portfolio

Small Cap Value Portfolio

Schedule of Investments

December 31, 2014


	Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (12.6%)
	Aaron’s, Inc.		330,000		10,088
*	American Public Education, Inc.		58,500		2,157
*	Ascent Capital Group LLC - Class A		36,200		1,916
*	Belmond, Ltd.		84,900		1,050
	Brunswick Corp.		67,500		3,460
*	Crocs, Inc.		100,900		1,260
	CSS Industries, Inc.		90,000		2,488
	Culp, Inc.		105,600		2,289
*	Dorman Products, Inc.		21,280		1,027
	Drew Industries, Inc.		126,000		6,435
	Ethan Allen Interiors, Inc.		91,000		2,818
	Fred’s, Inc. - Class A		130,659		2,275
	Haverty Furniture Cos., Inc.		152,700		3,361
	Interval Leisure Group, Inc.		13,500		282
*	M/I Homes, Inc.		79,400		1,823
*	Meritage Homes Corp.		125,200		4,506
*	Modine Manufacturing Co.		213,500		2,904
	National CineMedia, Inc.		25,200		362
	New Media Investment Group, Inc.		132,500		3,131
	Pier 1 Imports, Inc.		244,200		3,761
	Pool Corp.		90,600		5,748
*	Red Robin Gourmet Burgers, Inc.		27,000		2,078
	Saga Communications, Inc. - Class A		71,298		3,100
*	Sportsman’s Warehouse Holdings, Inc.		198,300		1,451
	Stein Mart, Inc.		253,000		3,699

	Total				73,469


	Consumer Staples (1.0%)
*	Alliance One International, Inc.		294,600		466
	Pinnacle Foods, Inc.		44,400		1,567
	SpartanNash Co.		146,000		3,816

	Total				5,849


	Energy (3.9%)
*	Atwood Oceanics, Inc.		56,900		1,614
	Bristow Group, Inc.		18,300		1,204
	CARBO Ceramics, Inc.		36,700		1,470
*	Clayton Williams Energy, Inc.		23,400		1,493
*	Cloud Peak Energy, Inc.		182,400		1,674
	GasLog, Ltd.		167,400		3,407
*	Matador Resources Co.		108,200		2,189
*	Northern Oil and Gas, Inc.		205,000		1,158
*	Oasis Petroleum, Inc.		109,600		1,813
*	PDC Energy, Inc.		45,100		1,861
	Teekay Tankers, Ltd. - Class A		374,000		1,893


	Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)

	Energy continued
	Tesco Corp.		139,400		1,787
*	TETRA Technologies, Inc.		214,200		1,431

	Total				22,994


	Financials (26.4%)
	Acadia Realty Trust		152,600		4,888
	Ares Capital Corp.		222,800		3,477
	Associated Estates Realty Corp.		112,300		2,607
	Assured Guaranty, Ltd.		94,300		2,451
	BBCN Bancorp, Inc.		163,500		2,351
	CatchMark Timber Trust, Inc. - Class A		96,570		1,093
	CBL & Associates Properties, Inc.		206,800		4,016
	Cedar Realty Trust, Inc.		318,400		2,337
	Columbia Banking System, Inc.		133,900		3,697
	Compass Diversified Holdings		151,000		2,454
	East West Bancorp, Inc.		263,098		10,185
	Employers Holdings, Inc.		148,000		3,479
*	Enstar Group, Ltd.		5,300		810
	First Potomac Realty Trust		256,300		3,168
*	Forestar Group, Inc.		36,600		564
	Glacier Bancorp, Inc.		205,800		5,715
	Hatteras Financial Corp.		188,000		3,465
	Hercules Technology Growth Capital, Inc.		265,000		3,943
	Home BancShares, Inc.		279,400		8,986
	Home Properties, Inc.		39,700		2,604
	Janus Capital Group, Inc.		135,000		2,178
	JMP Group, Inc.		107,000		815
	Kilroy Realty Corp.		73,800		5,097
	Kite Realty Group Trust		89,525		2,573
	LaSalle Hotel Properties		142,600		5,771
	Main Street Capital Corp.		44,800		1,310
	Meadowbrook Insurance Group, Inc.		321,000		2,716
	National Bank Holding Corp.		119,000		2,310
	National Interstate Corp.		110,400		3,290
*	Piper Jaffray Cos., Inc.		35,900		2,085
	Potlatch Corp.		94,200		3,944
	ProAssurance Corp.		219,000		9,888
	PS Business Parks, Inc.		21,600		1,718
	Radian Group, Inc.		206,100		3,446
	Redwood Trust, Inc.		200,000		3,940
*	Safeguard Scientifics, Inc.		92,000		1,823
	Safety Insurance Group, Inc.		9,500		608
	Sandy Spring Bancorp, Inc.		4,000		104
	Saul Centers, Inc.		59,500		3,403
*	Signature Bank		40,800		5,139


	Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)

	Financials continued
*	Strategic Hotels & Resorts, Inc.		193,700		2,563
*	SVB Financial Group		71,400		8,287
	Washington Real Estate Investment Trust		107,100		2,962
	Wintrust Financial Corp.		127,900		5,981

	Total				154,241


	Health Care (5.2%)
	Analogic Corp.		36,000		3,046
	Atrion Corp.		3,600		1,224
*	Halyard Health, Inc.		107,600		4,893
	Landauer, Inc.		34,100		1,164
*	Momenta Pharmaceuticals, Inc.		129,000		1,553
	National Healthcare Corp.		67,000		4,210
*	Quidel Corp.		106,000		3,065
*	Triple-S Management Corp. - Class B		93,000		2,224
*	WellCare Health Plans, Inc.		4,407		362
	West Pharmaceutical Services, Inc.		162,000		8,625

	Total				30,366


	Industrials (23.1%)
*	Aegion Corp.		152,100		2,831
	Alaska Air Group, Inc.		185,600		11,091
	Astec Industries, Inc.		73,900		2,905
*	Beacon Roofing Supply, Inc.		241,100		6,703
	CIRCOR International, Inc.		64,400		3,882
	Comfort Systems USA, Inc.		161,400		2,763
	ESCO Technologies, Inc.		118,300		4,365
	Franklin Electric Co., Inc.		88,500		3,321
*	FTI Consulting, Inc.		75,000		2,897
	G & K Services, Inc. - Class A		92,000		6,518
*	Genesee & Wyoming, Inc. - Class A		105,700		9,505
*	Gibraltar Industries, Inc.		183,000		2,976
	Hillenbrand, Inc.		34,790		1,200
*	Hub Group, Inc. - Class A		83,900		3,195
	Kaman Corp.		94,000		3,768
*	Kirby Corp.		56,300		4,546
*	Kratos Defense & Security Solutions, Inc.		21,500		108
	Landstar System, Inc.		159,100		11,540
	Luxfer Holdings PLC, ADR		75,100		1,121
	Matthews International Corp. - Class A		117,800		5,733
	McGrath RentCorp		187,500		6,724
	MSA Safety, Inc.		91,000		4,831
*	Navigant Consulting, Inc.		197,000		3,028

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


		Small Cap Value Portfolio			61

Small Cap Value Portfolio


	Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)

	Industrials continued
	Nordson Corp.		82,600		6,440
*	On Assignment, Inc.		66,100		2,194
	Quanex Building Products Corp.		41,700		783
	RBC Bearings, Inc.		27,000		1,742
	Sun Hydraulics Corp.		60,000		2,363
	Universal Forest Products, Inc.		73,800		3,926
	Universal Truckload Services, Inc.		96,594		2,754
	US Ecology, Inc.		83,900		3,366
*	UTI Worldwide, Inc.		164,700		1,988
	Woodward, Inc.		70,100		3,451

	Total				134,558


	Information Technology (10.5%)
*	Advanced Energy Industries, Inc.		171,000		4,053
	Badger Meter, Inc.		14,900		884
	Belden, Inc.		93,500		7,369
	Brooks Automation, Inc.		154,000		1,963
*	Cabot Microelectronics Corp.		104,000		4,921
*	Cognex Corp.		33,100		1,368
	Electro Rent Corp.		215,000		3,019
	Electro Scientific Industries, Inc.		200,000		1,552
*	Entegris, Inc.		170,800		2,256
*	Fabrinet		153,000		2,714
	Intersil Corp. - Class A		61,500		890
*	Ixia		259,500		2,919
	Littelfuse, Inc.		70,600		6,825
	Methode Electronics, Inc.		66,000		2,410


	Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)
*	Newport Corp.		97,000		1,854
*	Progress Software Corp.		121,400		3,280
*	Sonus Networks, Inc.		508,300		2,018
	SYNNEX Corp.		94,800		7,410
	Teradyne, Inc.		188,500		3,730

	Total				61,435


	Materials (8.5%)
	American Vanguard Corp.		135,000		1,569
	AptarGroup, Inc.		116,500		7,787
	Carpenter Technology Corp.		66,400		3,270
*	Clearwater Paper Corp.		76,600		5,251
	Deltic Timber Corp.		60,900		4,166
	Innospec, Inc.		174,500		7,451
	Minerals Technologies, Inc.		84,000		5,834
	Myers Industries, Inc.		196,000		3,450
	Royal Gold, Inc.		36,400		2,282
*	Ryerson Holding Corp.		67,400		669
	Schnitzer Steel Industries, Inc.		69,300		1,563
*	Stillwater Mining Co.		167,100		2,463
	Wausau Paper Corp.		324,000		3,684

	Total				49,439


	Telecommunication Services (0.1%)
*	Premiere Global Services, Inc.		42,330		450

	Total				450


	Utilities (4.6%)
	Black Hills Corp.		54,600		2,896


Common Stocks (95.9%)	Shares/ $ Par		Value $ (000’s)

Utilities continued
Cleco Corp.		115,100		6,277
El Paso Electric Co.		106,000		4,246
NorthWestern Corp.		89,300		5,053
PNM Resources, Inc.		117,100		3,470
Southwest Gas Corp.		80,300		4,963

Total				26,905


Total Common Stocks
(Cost: $369,196)				559,706


Investment Companies (0.6%)

Domestic Equity (0.6%)
iShares Russell 2000 Value Index Fund		32,300		3,284

Total				3,284

Total Investment Companies
(Cost: $1,822)				3,284


Short-Term Investments (4.5%)

Money Market Funds (4.5%)
T. Rowe Price Reserve Investment Fund		26,073,802		26,074

Total				26,074

Total Short-Term Investments
(Cost: $26,074)				26,074

Total Investments (101.0%)
(Cost: $397,092) (a)				589,064

Other Assets, Less
Liabilities (-1.0%)				(5,697	)

Net Assets (100.0%)				583,367

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $397,480 and the net unrealized appreciation of investments based on that cost was $191,584 which is comprised of $206,966 aggregate gross unrealized appreciation and $15,382 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	559,706	$	-	$	-
Investment Companies		3,284		-		-
Short-Term Investments		26,074		-		-
Total	$	589,064	$	-	$	-

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


62		Small Cap Value Portfolio

International Growth Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Long-term growth of capital.

Invest in securities of issuers from countries outside

the U.S. that have above average growth potential.

$437 million

Portfolio Overview

Mason Street Advisors, LLC (“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. The Portfolio normally 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 applies 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

Geopolitical risks and tepid global growth set the stage for volatile markets that lasted for most of 2014. Early in the period, the Ukraine conflict and a deceleration in Europe contributed to negative sentiment. The European Central Bank (the “ECB”) responded by introducing measures to combat low inflation and stimulate growth. A slowdown in China and a weak Brazilian economy also soured markets.

U.S. stocks rose for much of the year, driven by steady employment gains. Japanese markets had to deal with a weaker yen relative to the U.S. dollar and other major currencies.

Volatility in the fourth quarter was partially mollified by a series of measures by major central banks. The ECB announced that it would raise the level of its balance sheet; the Bank of Japan enacted unprecedented easing and the People’s Bank of China lowered a key interest rate. Falling crude prices fueled volatility as investors considered the possibility that the slide was a consequence of declining global growth.

Portfolio Results

The Portfolio returned (4.52%) for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the MSCI^® All Country World (ex-US) Growth Index (the “Index”), returned (2.29%). (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 International Multi-Cap Growth Funds peer group for 2014 was (3.77%).

The Portfolio’s Consumer Discretionary and Financial holdings detracted most from relative performance, while stock selection in the Health Care and Information Technology sectors contributed to relative results. On a country basis, Canadian and Japanese holdings were relative detractors while selection of U.K. stocks and holdings in India were relative contributors.

Sega Sammy Holdings, Inc. was a top detractor. The gaming device maker suffered from a delay in legislation in Japan that would allow the construction of the country’s first casino. The company was also negatively impacted by new stricter testing standards for its games.

Melco International Development, Ltd. (“Melco”) was negatively impacted following a larger-than-expected slowdown in revenue in Macau, China. The portfolio managers believed growth in Macau’s mass market business was enough to offset weakness in other business segments. The portfolio managers also continued to appreciate Melco’s exposure to the growth in Asian travel and gaming.

French lender Societe Generale SA detracted due to lingering weakness within its home market and its exposure to Russia and Ukraine, which experienced diminishing growth prospects and declining investment during the year.

Shire PLC (“Shire”) and NGK Spark Plug Co., Ltd. (“NGK Spark Plug”) were the top contributors. Shire’s stock rose in anticipation of its purchase by AbbVie, Inc. Following the deal’s collapse, the company’s stock fell, yet the portfolio managers still favored Shire as a stand-alone company due to its dominant position in the ADHD market, as well as its portfolio of drugs for rare diseases. The portfolio managers also believed NGK Spark Plug’s core business could benefit from limited competition and steady growth due to tightening emissions standards and increased use by motorcycle manufacturers.

Portfolio Manager Outlook

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

Entering 2015, we are not finding equity valuations extreme in the context of low interest rates and inflation, but they are hardly cheap. Lower oil prices are generally good for the global economy, but it creates winners and losers. In addition, Europe still has structural problems. China remains attractive despite slowing growth. India could perform well if government reforms live up to the market’s enthusiasm. While these countries benefit from lower oil prices, Russia has been punished. Brazil remains the most uncertain, as the country is sorting through a corruption probe related to its largest oil company.

Against this backdrop, we remain positive on global equities. With global growth rates constrained, the challenge for stock pickers will be to find companies that can generate growth through superior business models, restructuring or acquisitions. We expect higher volatility in 2015, but we think stocks with high valuations and underappreciated risks will be the most vulnerable.


		International Growth Portfolio			63

International Growth Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
International Growth Portfolio		-4.52	%		6.41	%		3.86	%
MSCI^® All Country World (ex-US) Growth Index (Gross)		-2.29	%		5.54	%		5.77	%
MSCI EAFE^® Index (Gross)		-4.48	%		5.81	%		4.91	%
Lipper^® Variable Insurance Products (VIP) International Multi-Cap Growth Funds Average		-3.77	%		5.92	%		5.30	%

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 12/31/14


Security Description		% of Net Assets
AIA Group, Ltd.		3.3%
NGK Spark Plug Co., Ltd.		3.1%
Volkswagen AG		2.6%
SABMiller PLC		2.4%
ARM Holdings PLC		2.4%
Prudential PLC		2.3%
Panalpina Welttransport Holding AG		2.3%
Taiwan Semiconductor Manufacturing Co., Ltd.		2.3%
Cie Financiere Richemont SA		2.3%
Glencore PLC		2.3%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


64		International Growth Portfolio

International Growth Portfolio

Schedule of Investments

December 31, 2014


	Foreign Common Stocks (95.9%)	Country	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (14.8%)
	Cie Financiere Richemont SA	Switzerland		112,053		9,925
*	Hella KGaA Hueck & Co.	Germany		24,693		1,060
*	Liberty Global PLC	United Kingdom		172,030		8,637
	L’Occitane International SA	Luxembourg		2,165,250		5,460
	Melco International Development, Ltd.	Hong Kong		3,891,000		8,529
	NGK Spark Plug Co., Ltd.	Japan		451,700		13,640
	Samsonite International SA	Luxembourg		1,976,000		5,849
	Volkswagen AG	Germany		51,240		11,446

	Total					64,546


	Consumer Staples (9.7%)
	AMBEV SA	Brazil		885,400		5,446
	Diageo PLC	United Kingdom		299,835		8,599
	ITC, Ltd.	India		797,929		4,646
	Reckitt Benckiser Group PLC	United Kingdom		103,689		8,365
	SABMiller PLC	United Kingdom		201,425		10,424
	Unilever NV	Netherlands		125,035		4,912

	Total					42,392


	Energy (5.3%)
	Inpex Corp.	Japan		750,700		8,329
	Koninklijke Vopak NV	Netherlands		32,251		1,671
*	MEG Energy Corp.	Canada		92,502		1,556
	PrairieSky Royalty, Ltd.	Canada		112,849		2,972
	Royal Dutch Shell PLC	Netherlands		133,522		4,466
	Total SA	France		85,024		4,384

	Total					23,378


	Financials (26.4%)
	AIA Group, Ltd.	Hong Kong		2,606,800		14,304
	Banco Bilbao Vizcaya Argentaria SA	Spain		1,460,664		6,943
	Bangkok Bank PCL	Thailand		701,600		4,118
	BB Seguridade Participacoes SA	Brazil		172,300		2,085
	BNP Paribas SA	France		127,656		7,502
	Countrywide PLC	United Kingdom		624,385		4,247
*	Dalian Wanda Commercial Properties Co., Ltd.	China		572,402		3,643
	Deutsche Bank AG	Germany		197,767		5,978
	Housing Development Finance Corp., Ltd.	India		130,221		2,330
	HSBC Holdings PLC	United Kingdom		835,002		7,891
	ICICI Bank, Ltd.	India		723,199		4,017
	Kennedy Wilson Europe Real Estate PLC	United Kingdom		556,209		9,137
	Mitsubishi Estate Co., Ltd.	Japan		206,000		4,360
	Mori Hills REIT Investment Corp.	Japan		3,164		4,527
*	National Bank of Greece SA	Greece		905,222		1,608
	Prudential PLC	United Kingdom		440,033		10,126
	Seven Bank, Ltd.	Japan		2,340,397		9,850
	Societe Generale SA	France		95,151		3,998
	Turkiye Halk Bankasi A.S.	Turkey		377,096		2,227


	Foreign Common Stocks (95.9%)	Country	Shares/ $ Par		Value $ (000’s)

	Financials continued
	UniCredit SpA	Italy		1,033,286		6,586

	Total					115,477


	Health Care (10.6%)
	Bayer AG	Germany		48,695		6,657
*	Catamaran Corp.	Canada		186,321		9,642
	Essilor International SA	France		78,983		8,792
*	Indivior PLC	United Kingdom		103,689		241
	Novo Nordisk A/S	Denmark		151,832		6,424
	Roche Holding AG	Switzerland		31,720		8,597
	Shire PLC	Ireland		36,304		2,569
*	Swedish Orphan Biovitrum AB	Sweden		314,623		3,202

	Total					46,124


	Industrials (5.9%)
	Brenntag AG	Germany		159,105		8,953
	Panalpina Welttransport Holding AG	Switzerland		74,643		10,021
	TNT Express NV	Netherlands		1,006,908		6,690

	Total					25,664


	Information Technology (11.3%)
*	Alibaba Group Holding, Ltd., ADR	China		57,324		5,958
	ARM Holdings PLC	United Kingdom		666,008		10,255
	Hexagon AB - Class B	Sweden		154,754		4,786
	Keyence Corp.	Japan		11,700		5,183
	Sumco Corp.	Japan		360,600		5,185
	Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		2,253,000		9,942
	Tencent Holdings, Ltd.	China		311,800		4,474
	TravelSky Technology, Ltd.	China		3,371,000		3,622

	Total					49,405


	Materials (10.6%)
	Acerinox SA	Spain		164,083		2,453
	Alent PLC	United Kingdom		1,179,833		5,887
*	APERAM SA	Luxembourg		78,457		2,297
	Glencore PLC	United Kingdom		2,154,552		9,917
	LyondellBasell Industries NV	Netherlands		71,897		5,708
*	Outokumpu OYJ	Finland		534,900		3,039
	Shin-Etsu Chemical Co., Ltd.	Japan		147,000		9,563
*	ThyssenKrupp AG	Germany		285,999		7,356

	Total					46,220

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


		International Growth Portfolio			65

International Growth Portfolio

Foreign Common Stocks (95.9%)

Country

Shares/

$ Par

Value

$ (000’s)

Telecommunication Services (1.3%)

Vodafone Group PLC

United Kingdom

1,696,133

5,812

Total

5,812

Total Foreign Common Stocks
(Cost: $410,928)

419,018

Total Investments (95.9%)

(Cost: $410,928)(a)

419,018

Other Assets, Less

Liabilities (4.1%)

17,913

Net Assets (100.0%)

436,931

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $411,685 and the net unrealized appreciation of investments based on that cost was $7,333 which is comprised of $38,946 aggregate gross unrealized appreciation and $31,613 aggregate gross unrealized depreciation.


Investments Percentage by Country is based on Net Assets:
United Kingdom			22.8%
Japan			13.9%
Germany			9.5%
Switzerland			6.5%
France			5.6%
Netherlands			5.4%
Hong Kong			5.2%
Other			27.0%
Total			95.9%

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	8,637	$	55,909	$	-
Consumer Staples		5,446		36,946	$	-
Energy		4,528		18,850	$	-
Financials		2,085		113,392	$	-
Health Care		9,642		36,482	$	-
Information Technology		5,958		43,447	$	-
Materials		5,708		40,512	$	-
All Others		-		31,476	$	-
Total	$	42,004	$	377,014	$	-

During the year ended December 31, 2014 there were transfers from Level 1 to Level 2 in the amount of $377,014 thousand. These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2014.

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


66		International Growth Portfolio

Research International Core Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Capital appreciation.	Invest primarily in foreign equity securities, including emerging markets.	$457 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Research International Core Portfolio (the “Portfolio”), has engaged Massachusetts Financial Services Company (“MFS^®”) 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 using a “bottom up” investment approach. MFS^® allocates the Portfolio’s assets to analysts by broad market sectors, which generally approximate the sector weightings in the MSCI EAFE^® Index. The adviser may invest the Portfolio’s assets 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

Early in 2014, U.S. equities suffered what proved to be a temporary setback due to concerns over emerging markets, as well as a pause in U.S. economic growth, partially caused by extreme weather events. Markets soon recovered as the economic pause concluded and investors appeared to have become increasingly comfortable that newly-installed US Federal Reserve (the “Fed”) Chair Janet Yellen would not make any substantial changes to the trajectory of the Fed’s monetary policy.

A generally risk-friendly environment persisted from February 2014 until mid-year. While geopolitical tensions flared in the Middle East and Ukraine, any market setbacks were short-lived, as improving economic growth in the U.S., coupled with prospects for easier monetary policy in regions with slowing growth, such as Japan, Europe and China, supported risk assets. For example, the European Central Bank (the “ECB”) cut policy interest rates into negative territory. By the end of the year, expectations were for additional rate cuts and the announcement for non-conventional easing measures by the ECB. Similarly, the Bank of Japan surprised markets late in the year with fresh stimulus measures given lackluster growth trends. The related decline in developed market interest rates was also supportive for equity markets.

At the end of the year, the U.S. equity market was trading close to all-time highs and U.S. Treasury yields were close to their lows for the year. However, credit markets did not fare as well in the second half of 2014, particularly U.S. high yield and emerging market debt. The higher weightings of oil and gas credits in these asset classes resulted in widening spreads and increased volatility, as oil prices began to decline in an accelerated fashion in the fourth quarter.

Portfolio Results

For the twelve months ended December 31, 2014, the Portfolio returned (6.71%). By comparison, its primary and secondary benchmarks, the MSCI^® All Country World (ex-US) Index and MSCI EAFE^® Index, returned (3.44%) and (4.48%), 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 Multi-Cap Core Funds, which was (5.02%) for 2014, 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 within the Financials sector detracted from performance relative to the Index, led by overweight positions in banking and financial services firms Sumitomo Mitsui Financial Group, Inc. (Japan), Erste Group Bank AG (Austria) and Mitsubishi Estate Co., Ltd. (Japan).

Weak stock selection in both the Industrials sector also weakened relative returns. Within the sector, an overweight position in global engineering company JGC Corp. (Japan) weighed on relative results.

Individual holdings in various sectors of the Portfolio also detracted from relative performance. Overweight positions in automotive company Honda Motor Co., Ltd. (Japan), steel producer Gerdau SA (Brazil), mining company Iluka Resources, Ltd. (Australia), casino resort operator Sands China, Ltd. (Macau) and oil and gas company BG Group PLC (United Kingdom) held back relative performance, as all five stocks underperformed the Index.

Generally strong stock selection in the Energy and Information Technology sectors contributed to relative performance. In addition, stock selection in the Telecommunication Services sector aided relative returns. Within Telecommunication Services, an overweight position in telecommunications company KDDI Corp. (Japan) boosted relative returns.

Elsewhere, overweight positions in pharmaceutical companies Novartis AG (Switzerland) and Santen Pharmaceuticals Co., Ltd. (Japan), banking and financial services firms HDFC Bank, Ltd. (India), DBS Group Holdings, Ltd. (Singapore) and Kasikornbank PCL (Thailand), hotel and restaurant chain operator Whitbread PLC (United Kingdom) and automotive safety systems manufacturer Autoliv, Inc. (Sweden) strengthened relative performance.

Portfolio Manager Outlook

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


		Research International Core Portfolio			67

Research International Core Portfolio (unaudited)

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

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			Since Inception*
Research International Core Portfolio		-6.71	%		5.19	%		0.27	%
MSCI^® All Country World (ex-US) Index (Gross)		-3.44	%		4.89	%		0.83	%
MSCI EAFE^® Index (Gross)		-4.48	%		5.81	%		0.33	%
Lipper^® Variable Insurance Products (VIP) International Mulit-Cap Core Funds Average		-5.02	%		5.62	%		–

* Inception date of 4/30/07

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.

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
Roche Holding AG		3.3%
Novartis AG		3.0%
Royal Dutch Shell PLC - Class A		3.0%
Nestle SA		2.7%
HSBC Holdings PLC		2.3%
Bayer AG		2.2%
Rio Tinto PLC		2.0%
Denso Corp.		2.0%
KDDI Corp.		1.9%
Schneider Electric SE		1.8%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


68		Research International Core Portfolio

Research International Core Portfolio

Schedule of Investments

December 31, 2014


	Foreign Common Stocks (97.9%)	Country	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (12.8%)
	Autoliv, Inc.	United States		46,427		4,927
	Compass Group PLC	United Kingdom		205,687		3,506
	Denso Corp.	Japan		191,300		8,916
	Esprit Holdings, Ltd.	Hong Kong		1,007,000		1,203
*	Global Brands Group Holding, Ltd.	Bermuda		5,772,000		1,128
	Hennes & Mauritz AB - B Shares	Sweden		24,105		1,000
	Honda Motor Co., Ltd.	Japan		219,700		6,389
	Li & Fung, Ltd.	Hong Kong		898,000		840
	Lojas Renner SA	Brazil		48,823		1,404
	LVMH Moet Hennessy Louis Vuitton SA	France		29,131		4,607
	ProSiebenSat.1 Media AG	Germany		46,686		1,967
	Reed Elsevier NV	Netherlands		164,190		3,924
	Ryohin Keikaku Co., Ltd.	Japan		11,700		1,446
	Sands China, Ltd.	Macau		468,400		2,281
	Whitbread PLC	United Kingdom		80,453		5,937
	WPP PLC	Jersey Channel Islands		244,449		5,071
	Yum! Brands, Inc.	United States		52,870		3,851

	Total					58,397

	Consumer Staples (9.7%)
	Danone SA	France		110,752		7,286
	Japan Tobacco, Inc.	Japan		169,800		4,662
	L’Oreal SA	France		28,756		4,828
	M Dias Branco SA	Brazil		59,016		2,020
	Nestle SA	Switzerland		165,542		12,134
	Pernod Ricard SA	France		54,225		6,012
	Reckitt Benckiser Group PLC	United Kingdom		61,493		4,961
	Sundrug Co., Ltd.	Japan		58,000		2,348

	Total					44,251


	Energy (5.7%)
	BG Group PLC	United Kingdom		251,557		3,348
*	Cairn Energy PLC	United Kingdom		224,961		617
	Cenovus Energy, Inc.	Canada		53,269		1,099
	Galp Energia SGPS SA	Portugal		109,310		1,106
	INPEX Corp.	Japan		174,200		1,933
	Oil Search, Ltd.	Australia		168,235		1,087
	Reliance Industries, Ltd.	India		111,042		1,562
	Royal Dutch Shell PLC – Class A	Netherlands		413,678		13,712
	Technip SA	France		23,002		1,374

	Total					25,838


	Financials (24.5%)
	AEON Financial Service Co., Ltd.	Japan		96,700		1,890
	AIA Group, Ltd.	Hong Kong		1,399,600		7,680
	BNP Paribas SA	France		106,284		6,246
	BOC Hong Kong Holdings, Ltd.	Hong Kong		403,500		1,341


	Foreign Common Stocks (97.9%)	Country	Shares/ $ Par		Value $ (000’s)

	Financials continued
	DBS Group Holdings, Ltd.	Singapore		331,000		5,111
	Deutsche Wohnen AG	Germany		91,951		2,185
	Erste Group Bank AG	Austria		109,398		2,508
	HDFC Bank, Ltd., ADR	India		35,084		1,781
	Hiscox, Ltd.	Bermuda		164,457		1,847
	HSBC Holdings PLC	United Kingdom		1,089,523		10,297
*	ING Groep NV	Netherlands		514,947		6,667
	Intu Properties PLC	United Kingdom		382,614		1,979
*	Julius Baer Group, Ltd.	Switzerland		69,645		3,178
	Kasikornbank PCL	Thailand		253,700		1,752
*	KBC Groep NV	Belgium		98,673		5,476
	Mitsubishi UFJ Financial Group, Inc.	Japan		1,047,900		5,744
	Prudential PLC	United Kingdom		178,403		4,105
*	Royal Bank of Scotland Group PLC	United Kingdom		906,954		5,506
	Sberbank of Russia, ADR	Russia		186,840		757
	Sony Financial Holdings, Inc.	Japan		106,700		1,573
	Standard Chartered PLC	United Kingdom		246,143		3,691
	Sumitomo Mitsui Financial Group, Inc.	Japan		133,200		4,813
*	UBS Group AG	Switzerland		457,033		7,856
	UniCredit SpA	Italy		507,348		3,234
	Westpac Banking Corp.	Australia		297,483		7,997
*	Zurich Insurance Group AG	Switzerland		22,326		6,991

	Total					112,205


	Health Care (11.0%)
	Bayer AG	Germany		71,979		9,840
*	Indivior PLC	United Kingdom		54,370		127
	Novartis AG	Switzerland		150,939		13,882
	Odontoprev SA	Brazil		284,755		1,056
	Roche Holding AG	Switzerland		54,712		14,829
	Santen Pharmaceutical Co., Ltd.	Japan		124,600		6,668
	Sonova Holding AG	Switzerland		8,584		1,258
	Terumo Corp.	Japan		112,600		2,565

	Total					50,225


	Industrials (10.9%)
	Atlas Copco AB	Sweden		262,146		7,297
	Brenntag AG	Germany		28,872		1,625
	Hutchison Whampoa, Ltd.	Hong Kong		334,000		3,828
	JGC Corp.	Japan		132,000		2,720
	Joy Global, Inc.	United States		65,171		3,032
	Legrand SA	France		27,021		1,415
	Mitsubishi Corp.	Japan		138,400		2,538
	Schindler Holding AG	Switzerland		34,999		5,050
	Schneider Electric SE	France		114,730		8,337
	Siemens AG	Germany		65,640		7,444
	Yamato Holdings Co., Ltd.	Japan		336,700		6,630

	Total					49,916

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


		Research International Core Portfolio			69

Research International Core Portfolio


	Foreign Common Stocks (97.9%)	Country	Shares/ $ Par		Value $ (000’s)

	Information Technology (6.6%)
*	Cognizant Technology Solutions Corp. - Class A	United States		83,505		4,397
	Computershare, Ltd.	Australia		236,945		2,266
	Dassault Systemes SA	France		39,409		2,398
	Infineon Technologies AG	Germany		270,514		2,900
	MediaTek, Inc.	Taiwan		396,000		5,765
	Nomura Research Institute, Ltd.	Japan		73,200		2,248
	Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		1,242,189		5,482
	Telefonaktiebolaget LM Ericsson - Class B	Sweden		394,486		4,778

	Total					30,234


	Materials (7.7%)
	Akzo Nobel NV	Netherlands		102,304		7,094
	Gerdau SA, ADR	Brazil		311,970		1,108
	Iluka Resources, Ltd.	Australia		430,007		2,067
	JSR Corp.	Japan		324,600		5,574
	Linde AG	Germany		39,178		7,308
	Rio Tinto PLC	United Kingdom		196,127		9,036
	Symrise AG	Germany		48,123		2,918

	Total					35,105


	Telecommunication Services (5.2%)
	BT Group PLC	United Kingdom		337,774		2,097
*	Hellenic Telecommunications Organization SA	Greece		125,000		1,364
	KDDI Corp.	Japan		139,700		8,741
	Koninklijke KPN NV	Netherlands		625,955		1,974
*	Mobile TeleSystems OJSC	Russia		193,472		538
	Philippine Long Distance Telephone Co.	Philippines		19,850		1,281
	Telecom Italia S.p.A. - Rights	Italy		2,017,527		1,686
	Telefonica Brasil SA, ADR	Brazil		54,245		959
	Vodafone Group PLC	United Kingdom		1,436,969		4,924

	Total					23,564


	Utilities (3.8%)
	APA Group	Australia		398,195		2,425
	Canadian Utilities, Ltd.	Canada		68,510		2,412
	Centrica PLC	United Kingdom		541,977		2,333
	China Resources Gas Group, Ltd.	Hong Kong		806,000		2,085
	GDF Suez	France		193,249		4,513
	Tokyo Gas Co., Ltd.	Japan		677,000		3,653

	Total					17,421


	Total Foreign Common Stocks
	(Cost: $434,843)					447,156

Short-Term Investments (0.4%)

Country

Shares/
$ Par

Value
$ (000’s)

Commercial Paper continued

HSBC Americas, 0.02%, 1/2/15

United States

1,981,000

1,981

Total

1,981

Total Short-Term Investments

(Cost: $1,981)

1,981

Total Investments (98.3%)

(Cost: $436,824)(a)

449,137

Other Assets, Less Liabilities (1.7%)

7,871

Net Assets (100.0%)

457,008

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


70		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, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $440,169 and the net unrealized appreciation of investments based on that cost was $8,968 which is comprised of $40,717 aggregate gross unrealized appreciation and $31,749 aggregate gross unrealized depreciation.


Investments Percentage by Country is based on Net Assets:
Japan			17.7%
Switzerland			14.3%
United Kingdom			13.7%
France			10.3%
Germany			7.9%
Netherlands			7.3%
Other			27.1%
Total			98.3%

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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	$	10,182	$	48,215	$	-
Consumer Staples		2,020		42,231		-
Energy		1,099		24,739		-
Financials		2,537		109,668		-
Health Care		1,056		49,169		-
Industrials		3,032		46,884		-
Information Technology		4,397		25,837		-
Materials		1,108		33,997		-
Telecommunication Services		959		22,605		-
Utilities		2,412		15,009		-
Short-Term Investments		-		1,981		-
Total	$	28,802	$	420,335	$	-

During the year ended December 31, 2014 there were transfers from Level 1 to Level 2 in the amount of $417,813 thousand. These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31,2014.

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


		Research International Core Portfolio			71

International Equity Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Any income realized will be incidental.	Invests primarily in equity securities of issuers outside of the U.S. with favorable long-term potential relative to current market values.	$1.6 billion

Portfolio Overview

Mason Street Advisors, LLC (“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 investments in equity securities may include small, medium and large capitalization issues that the Portfolio’s sub-adviser believes are undervalued. 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, will also be considered.

Market Overview

The global economy grew moderately during 2014. U.S. economic growth accelerated while growth rates in much of the rest of the world declined. The U.S. Federal Reserve ended its asset purchase program in October while keeping interest rates low. The U.K. economy grew relatively well, but eurozone economic growth remained subdued. The European Central Bank reduced its main interest rate and implemented an asset purchase program. Japan’s economy entered a recession, and the Bank of Japan expanded its stimulus measures. Global developed market stocks advanced overall during the twelve-month period amid a generally accommodative monetary policy environment and continued strength in corporate earnings. Emerging market stocks overall fell for the year, amid headwinds such as soft domestic demand, weak exports, plummeting crude oil prices, regional geopolitical tensions and concerns about possible U.S. interest rate increases.

Portfolio Results

For the twelve months ended December 31, 2014, the Portfolio returned (8.80%). By comparison, the Portfolio’s benchmark, the MSCI^® All Country World (ex-US) Index (the “Index”), returned (3.44%). (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, International Multi-Cap Value Funds, was (6.40%) for 2014, according to Lipper^® Analytical Services, Inc., an independent mutual fund rating agency.

From a sector standpoint, underperformance relative to the Index during the period came from stock selection in the Portfolio’s overweighted Energy position. The portfolio managers did not know when or at what price equilibrium would be restored to oil markets, and instead focused on the long-term fundamental prospects of individual energy companies. As energy companies improved capital allocation and refocused on shareholder returns, the portfolio managers continued to find what they considered were long-term bargains in the sector.

Underweighted Consumer Staples holdings also detracted, pressured by U.K. grocer Tesco PLC’s (“Tesco”) share price, which declined toward year-end, as the firm issued three profit warnings in five months. Although Tesco’s turnaround has been more difficult than expected, the portfolio managers remained positive toward the company’s strategy to revive sales and regain market share by improving the quality of its products and offering a stronger, clearer price message.

Stock selection supported relative performance in the Materials and Industrials sectors. The latter accounted for several of the Portfolio’s top contributors, led by Australian airline Qantas Airways Limited. Qantas shares nearly doubled in the final two months of the year as the price of oil declined and the firm benefited from improving fundamentals in international and domestic markets.

From a regional standpoint, stock selection and an overweighting in Europe detracted from relative performance, as the delicate progress that had been made towards stabilizing the banking system, enacting necessary budget reforms and preparing for further monetary stimulus failed to restore corporate confidence or revive lending activity. Concerns about Europe, along with worries about a slowing China and destabilized Russia, have made European equities cheap according to the portfolio managers. In contrast, stock selection buoyed the Portfolio’s underweighted Asian holdings.

Portfolio Manager Outlook

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

In recent years, we feel that stocks have traded more on macroeconomic and policy expectations than on business fundamentals. This trend has, in our view, resulted in an increasingly bifurcated market in which the winners (U.S. stocks, consumer cyclicals, health care) kept surging farther ahead and the losers (international stocks, industrial cyclicals) kept falling farther behind. Throughout this challenging period, we have tried to use the market’s distraction to our advantage by focusing on what we determined to be overlooked value. In doing so, we have continued to build portfolios based on our long-term assumptions about company-level business fundamentals. We believe outperformance comes from value recognition, and it has been our experience that price and value have the potential to intersect over time. Going into 2015, we continue to believe that our portfolios contain far more value than their prices seem to reflect.


72		International Equity Portfolio

International Equity Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year		5 Years		10 Years
International Equity Portfolio		-8.80%		5.42%		5.32%
MSCI^® All Country World (ex-US) Index (Gross)		-3.44%		4.89%		5.59%
MSCI EAFE^® Index (Gross)		-4.48%		5.81%		4.91%
Lipper^® Variable Insurance Products (VIP) International Multi-Cap Value Funds Average		-6.40%		4.51%		3.40%

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

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
Samsung Electronics Co., Ltd.		2.2%
Telenor ASA		2.1%
Qantas Airways, Ltd.		2.1%
DBS Group Holdings, Ltd.		2.1%
Teva Pharmaceutical Industries, Ltd., ADR		2.0%
China Telecom Corp., Ltd. - Class H		2.0%
Credit Agricole SA		1.9%
Singapore Telecommunications, Ltd.		1.9%
Royal Dutch Shell PLC - Class B		1.8%
Bayer AG		1.8%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


		International Equity Portfolio			73

International Equity Portfolio

Schedule of Investments

December 31, 2014


	Foreign Common Stocks (97.1%)	Country	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (10.4%)
	Cie Generale des Etablissements Michelin	France		157,858		14,312
	Haier Electronics Group Co., Ltd.	Hong Kong		11,224,550		26,671
*	Hyundai Mobis Co., Ltd.	South Korea		66,060		14,060
*	Hyundai Motor Co.	South Korea		53,030		8,051
	Kingfisher PLC	United Kingdom		4,233,390		22,308
	Nikon Corp.	Japan		311,500		4,136
	Nissan Motor Co., Ltd.	Japan		2,477,990		21,584
	SEB SA	France		195,270		14,532
	Sky PLC	United Kingdom		1,290,860		17,966
	Toyota Motor Corp.	Japan		414,280		25,835

	Total					169,455


	Consumer Staples (2.3%)
*	METRO AG	Germany		302,910		9,274
	Suntory Beverage & Food, Ltd.	Japan		401,300		13,856
	Tesco PLC	United Kingdom		4,916,610		14,307

	Total					37,437


	Energy (9.4%)
	BP PLC	United Kingdom		2,335,890		14,832
	China Shenhua Energy Co., Ltd.	China		4,099,940		12,048
	Eni SpA	Italy		1,116,505		19,500
	Galp Energia SGPS SA	Portugal		1,849,900		18,715
	Kunlun Energy Co., Ltd.	Bermuda		9,531,920		9,063
	Petrofac, Ltd.	United Kingdom		304,149		3,299
	Petroleo Brasileiro SA, ADR	Brazil		654,340		4,777
	Royal Dutch Shell PLC - Class B	United Kingdom		849,205		29,174
*	Saipem SpA	Italy		124,300		1,305
	Statoil ASA	Norway		197,050		3,453
	Talisman Energy, Inc.	Canada		1,011,970		7,926
	Technip SA	France		162,980		9,732
	Total SA	France		347,570		17,921
	Trican Well Service, Ltd.	Canada		526,500		2,524

	Total					154,269


	Financials (24.9%)
	Aegon NV	Netherlands		931,090		6,986
	AIA Group, Ltd.	Hong Kong		2,679,820		14,705
	Aviva PLC	United Kingdom		2,395,180		17,947
	AXA SA	France		744,155		17,187
	Bangkok Bank PCL	Thailand		2,911,000		17,088
	Barclays PLC	United Kingdom		2,967,820		11,157
	BNP Paribas SA	France		446,500		26,238
	Cheung Kong Holdings, Ltd.	Hong Kong		741,850		12,398
	China Life Insurance Co., Ltd.	China		6,621,000		25,844
	Credit Agricole SA	France		2,406,300		30,935
*	Credit Suisse Group AG	Switzerland		974,615		24,432
	DBS Group Holdings, Ltd.	Singapore		2,175,000		33,587


	Foreign Common Stocks (97.1%)	Country	Shares/ $ Par		Value $ (000’s)

	Financials continued
	Deutsche Boerse AG	Germany		324,180		23,232
	Hana Financial Group, Inc.	South Korea		344,710		9,958
	Housing Development Finance Corp., Ltd.	India		47,610		852
	HSBC Holdings PLC	United Kingdom		2,956,937		28,113
*	ING Groep NV	Netherlands		1,199,292		15,528
	Intesa Sanpaolo SpA	Italy		624,420		1,806
*	NN Group NV	Netherlands		679,540		20,249
	Standard Chartered PLC	United Kingdom		1,335,740		20,032
*	Swiss Re AG	Switzerland		200,752		16,798
	UniCredit SpA	Italy		3,147,550		20,061
	UNIQA Insurance Group AG	Austria		1,268,484		11,875

	Total					407,008


	Health Care (16.3%)
*	Basilea Pharmaceutica AG	Switzerland		87,430		8,086
	Bayer AG	Germany		209,050		28,579
	Draegerwerk AG & Co. KGaA	Germany		92,710		9,407
	Gerresheimer AG	Germany		134,790		7,290
	Getinge AB - Class B	Sweden		591,650		13,439
	GlaxoSmithKline PLC	United Kingdom		909,640		19,462
	H Lundbeck A/S	Denmark		398,070		7,916
	Ipsen SA	France		282,440		14,689
	Merck KGaA	Germany		292,250		27,724
*	MorphoSys AG	Germany		168,120		15,566
*	QIAGEN NV	Netherlands		393,320		9,211
	Roche Holding AG	Switzerland		96,190		26,071
	Sanofi	France		55,425		5,051
	Shanghai Pharmaceuticals Holding Co., Ltd.	China		7,792,400		17,516
	Sinopharm Group Co., Ltd.	China		2,023,200		7,134
*	Sorin SpA	Italy		1,547,340		3,606
	Teva Pharmaceutical Industries, Ltd., ADR	Israel		570,080		32,785
	UCB SA	Belgium		177,210		13,449

	Total					266,981


	Industrials (10.0%)
*	ABB, Ltd.	Switzerland		643,060		13,602
*	China CNR Corp., Ltd.	China		10,215,000		14,622
	Cie de Saint-Gobain	France		341,910		14,394
	CSR Corp., Ltd.	China		11,290,000		15,200
	Deutsche Lufthansa AG	Germany		491,830		8,237
	FLSmidth & Co. A/S	Denmark		68,780		3,017
	Hutchison Whampoa, Ltd.	Hong Kong		1,897,983		21,754
*	Qantas Airways, Ltd.	Australia		17,523,680		33,978
	Serco Group PLC	United Kingdom		1,766,090		4,392
	Siemens AG, ADR	Germany		27,290		3,056
	TNT Express NV	Netherlands		3,846,610		25,556
	Weichai Power Co., Ltd.	China		1,170,000		4,895

	Total					162,703

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


74		International Equity Portfolio

International Equity Portfolio


	Foreign Common Stocks (97.1%)	Country	Shares/ $ Par		Value $ (000’s)

	Information Technology (6.5%)
	Capcom Co., Ltd.	Japan		468,400		7,060
	Infineon Technologies AG	Germany		1,580,200		16,941
	Konica Minolta, Inc.	Japan		819,800		8,843
	Samsung Electronics Co., Ltd.	South Korea		30,140		36,230
	Software AG	Germany		519,740		12,699
	Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		5,624,945		24,821

	Total					106,594


	Materials (7.4%)
	Akzo Nobel NV	Netherlands		336,140		23,309
	CRH PLC	Ireland		558,050		13,255
	HeidelbergCement AG	Germany		303,280		21,575
	LANXESS AG	Germany		175,080		8,145
	MMC Norilsk Nickel OJSC, ADR	Russia		1,671,710		23,772
	POSCO	South Korea		37,010		9,338
	POSCO, ADR	South Korea		92,600		5,909
	Rexam PLC	United Kingdom		2,173,720		15,282

	Total					120,585


	Telecommunication Services (8.8%)
	China Mobile, Ltd.	Hong Kong		478,700		5,636
	China Telecom Corp., Ltd. - Class H	China		54,694,000		31,859
	Mobile TeleSystems OJSC, ADR	Russia		737,210		5,293
	Singapore Telecommunications, Ltd.	Singapore		10,531,850		30,915
	Telefonica SA	Spain		1,740,805		24,900
	Telenor ASA	Norway		1,699,790		34,274
*	Vivendi SA	France		201,800		5,034
	Vodafone Group PLC	United Kingdom		1,697,694		5,817

	Total					143,728


	Utilities (1.1%)
	Power Grid Corp. of India, Ltd.	India		8,352,110		18,208

	Total					18,208


	Total Foreign Common Stocks
	(Cost: $1,506,219)					1,586,968

Short-Term Investments (1.2%)

Country

Shares/

$ Par

Value

$ (000’s)

Commercial Paper (1.2%)

Federal Farm Credit Bank, 0.01%, 1/2/15

United States

20,000,000

20,000

Total

20,000

Total Short-Term Investments

(Cost: $20,000)

20,000

Total Investments (98.3%)

(Cost: $1,526,219)(a)

1,606,968

Other Assets, Less

Liabilities (1.7%)

28,410

Net Assets (100.0%)

1,635,378

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


		International Equity Portfolio			75

International Equity Portfolio

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $1,526,219 and the net unrealized appreciation of investments based on that cost was $80,749 which is comprised of $256,568 aggregate gross unrealized appreciation and $175,819 aggregate gross unrealized depreciation.


Investments Percentage by Country is based on Net Assets:
United Kingdom			13.7%
Germany			11.7%
France			10.4%
China			7.9%
Netherlands			6.2%
Switzerland			5.4%
South Korea			5.1%
Other			37.9%
Total			98.3%

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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
Energy	$	15,227	$	139,042	$	-
Health Care		32,785		234,196		-
Industrials		3,056		159,647		-
Materials		29,681		90,904		-
Telecommunication Services		5,293		138,435		-
All Others		-		738,702		-
Short-Term Investments		-		20,000		-
Total	$	86,042	$	1,520,926	$	-

During the year ended December 31, 2014 there were transfers from Level 1 to Level 2 in the amount of $1,500,926 thousand. These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2014.

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


76		International Equity Portfolio

Emerging Markets Equity Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Capital Appreciation.	Invest in equity securities of issuers that are tied economically to emerging market countries.	$417 million

Portfolio Overview

Mason Street Advisors, LLC (“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 include countries determined by the Portfolio’s adviser to have emerging market economies, taking into account a number of factors, including whether a particular country has a low- to middle-income economy according to the International Bank for Reconstruction and Development (the World Bank), the country’s designation by the International Monetary Fund as an emerging market, the country’s inclusion in an emerging market index and other factors that demonstrate that the country’s financial and capital markets are in the development phase. 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.

Market Overview

Early in 2014, U.S. equities suffered what proved to be a temporary setback due to concerns over emerging markets, as well as a pause in U.S. economic growth, partially caused by extreme weather events. Markets soon recovered as the economic pause concluded and investors appeared to have become increasingly comfortable that newly-installed U.S. Federal Reserve (the “Fed”) Chair Janet Yellen would not make any substantial changes to the trajectory of the Fed’s monetary policy.

At the end of the year, the U.S. equity market was trading close to all-time highs and U.S. Treasury yields were close to their lows for the period. However, credit markets did not fare as well in the second half of 2014, particularly U.S. high yield and emerging market debt. The higher weightings of oil and gas credits in these asset classes resulted in widening spreads and increased volatility, as oil prices began to decline in an accelerated fashion in the fourth quarter.

Portfolio Results

For the twelve months ended December 31, 2014, the Portfolio returned (6.25%). This compares with a return of (1.82%) 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 (4.78%) for 2014, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

Weak stock selection within the Industrials sector detracted from performance relative to the Index, led by the Portfolio’s positions in Brazilian specialty engineering services company Mills Estruturas e Servicos de Engenharia SA and shipping company Diana Shipping, Inc. (Greece).

Stock selection in both the Telecommunication Services and Health Care sectors also hampered relative returns. Within the Telecommunication Services sector, an overweight position in Russian telecommunications company Mobile TeleSystems held back relative results. There were no individual stocks within the Health Care sector that were among the Portfolio’s top relative detractors during the period. Stocks in other sectors that detracted from relative performance included holdings of insurance and brokerage services provider Brasil Insurance Participacoes e Administracao SA (Brazil), pipe manufacturer TMK OAO (Russia), oil and gas exploration company Gran Tierra Energy, Inc. (United States), banking group Standard Chartered PLC (United Kingdom) and South Korean LED devices manufacturer Seoul Semiconductor Co., Ltd.

On the upside, an underweight allocation to the Energy sector helped relative results. In addition, an underweight position in poor-performing Russian natural gas producer Gazprom OAO boosted relative returns.

Favorable stock selection in the Consumer Staples sector also aided relative performance. Within this sector, an overweight position in ayurvedic and natural health care products maker Dabur India, Ltd. (India) boosted relative returns, as the stock turned in strong performance in 2014.

Stocks in other sectors that contributed to relative performance included overweight positions in financial services company Housing Development Finance (India), banking group Kasikornbank PCL (Thailand), semiconductor manufacturer Taiwan Semiconductor (Taiwan), and banking services providers, Kotak Mahindra Bank (India) and BDO Unibank, Inc. (Philippines).


		Emerging Markets Equity Portfolio			77

Emerging Markets Equity Portfolio (unaudited)

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, basing our investment decisions primarily on fundamental analysis and our view of their potential in light of the broader market environment, including economic, political and regulatory conditions. As a result, the Portfolio’s sector and industry allocations will reflect where we are finding what we believe to be the best investment opportunities at any given time.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			Since Inception*
Emerging Markets Equity Portfolio		-6.25	%		1.30	%		0.14	%
MSCI^® Emerging Markets Index (Gross)		-1.82	%		2.11	%		2.56	%
Lipper^® Variable Insurance Products (VIP) Emerging Markets Funds Average		-4.78	%		1.78	%		–

*	Inception date of 4/30/07

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

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

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
Taiwan Semiconductor Manufacturing Co., Ltd.		5.5%
Naspers, Ltd. - Class N		3.6%
Samsung Electronics Co., Ltd.		3.6%
China Construction Bank Corp. - Class H		3.1%
MediaTek, Inc.		2.7%
Housing Development Finance Corp., Ltd.		2.4%
Cognizant Technology Solutions Corp.		2.4%
Techtronic Industries Co., Ltd.		1.9%
Kia Motors Corp.		1.9%
LG Household & Health Care, Ltd.		1.9%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


78		Emerging Markets Equity Portfolio

Emerging Markets Equity Portfolio

Schedule of Investments

December 31, 2014


	Foreign Common Stocks (97.8%)	Country	Shares/ $ Par		Value $ (000’s)

	Consumer Discretionary (18.2%)
	Ajisen China Holdings, Ltd.	Hong Kong		2,566,000		1,953
	Astro Malaysia Holdings Bhd	Malaysia		3,445,600		2,976
	Estacio Participacoes SA	Brazil		399,745		3,582
*	Global Brands Group Holding, Ltd.	Bermuda		16,952,000		3,314
	Guangzhou Automobile Group Co., Ltd.	China		8,220,000		7,419
	Imperial Holdings, Ltd.	South Africa		122,513		1,942
	Kia Motors Corp.	South Korea		166,688		7,876
	Kroton Educacional SA	Brazil		203,304		1,185
	Li & Fung, Ltd.	Hong Kong		2,890,000		2,703
	Minor International PCL	Thailand		2,783,310		2,749
	Mitra Adiperkasa Tbk PT	Indonesia		540,000		220
	Naspers, Ltd. - Class N	South Africa		116,753		15,032
	SACI Falabella	Chile		264,251		1,773
	Samsonite International SA	Luxembourg		647,700		1,917
	Sands China, Ltd.	Macau		356,000		1,734
	Stella International Holdings, Ltd.	Hong Kong		2,194,500		5,758
	Techtronic Industries Co., Ltd.	Hong Kong		2,467,000		7,906
	Woolworths Holdings, Ltd.	South Africa		881,742		5,829

	Total					75,868


	Consumer Staples (12.6%)
	AMBEV SA, ADR	Brazil		759,933		4,727
	AVI, Ltd.	South Africa		324,120		2,172
	BRF SA	Brazil		68,956		1,646
	Dabur India, Ltd.	India		1,540,378		5,695
	Dairy Farm International Holdings, Ltd.	Hong Kong		252,000		2,268
	E-Mart Co., Ltd.	South Korea		20,567		3,789
*	Grupo Lala SAB de CV	Mexico		648,703		1,254
	Gudang Garam Tbk PT	Indonesia		376,500		1,847
	ITC, Ltd.	India		319,684		1,861
	LG Household & Health Care, Ltd.	South Korea		13,894		7,873
	M Dias Branco SA	Brazil		64,987		2,225
*	Magnit PJSC	Russia		22,903		3,657
	SABMiller PLC	United Kingdom		140,576		7,275
	Want Want China Holdings, Ltd.	Cayman Islands		2,995,000		3,929
	Wumart Stores, Inc.	China		2,715,000		2,322

	Total					52,540


	Energy (5.7%)
	China Shenhua Energy Co., Ltd. - Class H	China		2,176,000		6,394
*	Gran Tierra Energy, Inc.	United States		953,232		3,659
	INPEX Corp.	Japan		330,700		3,669
*	Lamprell PLC	United Arab Emirates		1,312,539		2,439
	NovaTek OAO-GDR	Russia		49,198		3,857
	Petroleo Brasileiro SA, ADR	Brazil		234,301		1,711


	Foreign Common Stocks (97.8%)	Country	Shares/ $ Par		Value $ (000’s)

	Energy continued
	Reliance Industries, Ltd.	India		137,824		1,939

	Total					23,668


	Financials (29.4%)
	Bancolombia SA, ADR	Colombia		32,704		1,566
	Bangkok Bank PCL	Thailand		174,600		1,036
	Bank Mandiri Persero Tbk PT	Indonesia		2,120,000		1,830
	BDO Unibank, Inc.	Philippines		2,300,920		5,628
	BM&FBOVESPA SA	Brazil		1,006,476		3,729
	BOC Hong Kong Holdings, Ltd.	Hong Kong		1,232,000		4,094
	Bolsa Mexicana de Valores SAB de CV	Mexico		887,236		1,607
	Brasil Insurance Participacoes e Administracao SA	Brazil		558,560		714
	Cathay Financial Holding Co., Ltd.	Taiwan		3,155,800		4,643
	China Construction Bank Corp. - Class H	China		15,842,020		12,853
	China Pacific Insurance Group Co., Ltd. - Class H	China		1,574,000		7,838
*	Compartamos SAB de CV	Mexico		690,179		1,387
	Concentradora Fibra Danhos SA de CV	Mexico		677,908		1,654
	Concentradora Fibra Hotelera Mexicana SA de CV	Mexico		1,328,261		2,035
	Credicorp, Ltd.	Bermuda		29,810		4,775
	E.Sun Financial Holding Co., Ltd.	Taiwan		10,798,979		6,695
	First Pacific Co., Ltd.	Hong Kong		3,914,750		3,859
	Grupo Financiero Banorte SAB de CV	Mexico		473,685		2,617
	Hang Lung Properties, Ltd.	Hong Kong		1,368,000		3,812
	Housing Development Finance Corp., Ltd.	India		559,252		10,005
	Iguatemi Empresa de Shopping Centers SA	Brazil		173,962		1,610
	Itau Unibanco Holding SA, ADR	Brazil		220,120		2,864
	Kasikornbank PCL-NVDR	Thailand		1,044,600		7,213
	Kasikornbank PCL	Thailand		343,400		2,386
	Komercni Banka AS	Czech Republic		19,470		4,011
	Kotak Mahindra Bank, Ltd.	India		275,006		5,476
*	Prologis Property Mexico SA de CV	Mexico		1,000,175		1,842
	Samsung Fire & Marine Insurance Co., Ltd.	South Korea		8,345		2,138
*	Sberbank of Russia	Russia		2,686,463		2,428
	Standard Chartered PLC	United Kingdom		237,525		3,536
	Turkiye Garanti Bankasi AS	Turkey		1,282,073		5,137
	Turkiye Sinai Kalkinma Bankasi AS	Turkey		1,949,810		1,680

	Total					122,698

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


		Emerging Markets Equity Portfolio			79

Emerging Markets Equity Portfolio


	Foreign Common Stocks (97.8%)	Country	Shares/ $ Par		Value $ (000’s)

	Health Care (2.0%)
*	Genomma Lab Internacional SAB de CV - Class B	Mexico		1,098,500		2,093
	OdontoPrev SA	Brazil		793,457		2,943
*	Qualicorp SA	Brazil		115,107		1,204
	Top Glove Corp. Bhd	Malaysia		1,451,400		1,877

	Total					8,117


	Industrials (4.4%)
*	51job, Inc., ADR	China		92,397		3,312
	Copa Holdings SA	Panama		21,893		2,269
*	Diana Shipping, Inc.	Marshall Islands		371,162		2,491
	Glory, Ltd.	Japan		106,900		2,857
	Haitian International Holdings, Ltd.	Cayman Islands		256,000		538
	Localiza Rent a Car SA	Brazil		114,405		1,537
	Mills Estruturas e Servicos de Engenharia SA	Brazil		374,408		1,345
	Pacific Basin Shipping, Ltd.	Bermuda		3,769,614		1,515
*	Promotora y Operadora de Infraestructura SAB de CV	Mexico		106,710		1,287
*	TK Corp.	South Korea		128,231		1,333

	Total					18,484


	Information Technology (15.9%)
*	Cognizant Technology Solutions Corp.	United States		187,605		9,879
	Hon Hai Precision Industry Co., Ltd.	Taiwan		70,109		194
	MediaTek, Inc.	Taiwan		785,000		11,428
	NAVER Corp.	South Korea		5,766		3,725
	Samsung Electronics Co., Ltd.	South Korea		12,347		14,842
*	Seoul Semiconductor Co., Ltd.	South Korea		70,468		1,281
	Siliconware Precision Industries Co., Ltd.	Taiwan		1,444,000		2,177
	Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		5,175,290		22,837

	Total					66,363


	Materials (3.5%)
*	Cemex SAB de CV, ADR	Mexico		236,659		2,411
*	Fibria Celulose SA	Brazil		156,177		1,910
	Gerdau SA, ADR	Brazil		455,910		1,618
	Grupo Mexico SAB de CV - Series B	Mexico		616,385		1,788
	Iluka Resources, Ltd.	Australia		289,293		1,391
	LG Chem, Ltd.	South Korea		12,743		2,080
	PTT Global Chemical PCL	Thailand		896,000		1,396
	Vale SA, ADR	Brazil		244,276		1,998

	Total					14,592


	Telecommunication Services (4.4%)
	America Movil SAB de CV - Series L, ADR	Mexico		128,386		2,848
	China Mobile, Ltd.	Hong Kong		464,500		5,469
*	Hellenic Telecommunications Organization SA	Greece		170,415		1,860
	MTN Group, Ltd.	South Africa		272,354		5,168
	Orange Polska SA	Poland		739,943		1,733

Foreign Common Stocks (97.8%)

Country

Shares/

$ Par

Value

$ (000’s)

Telecommunication Services continued

PT XL Axiata Tbk

Indonesia

3,209,500

1,251

Total

18,329

Utilities (1.7%)

Alupar Investimento SA

Brazil

208,977

1,387

CESC, Ltd.

India

381,656

4,028

China Resources Gas Group, Ltd.

Hong Kong

666,000

1,723

Total

7,138

Total Foreign Common Stocks

(Cost: $422,043)

407,797

Warrants (0.1%)

Consumer Discretionary (0.0%)

Minor International PCL

Thailand

252,460

Financials (0.1%)

Emaar Malls Group PJSC

Luxembourg

603,822

435

Total Warrants

(Cost: $519)

472

Short-Term Investments (0.4%)

Commercial Paper (0.4%)

HSBC Americas, 0.02%, 1/2/15

United States

1,800,000

1,800

Total

1,800

Total Short-Term Investments

(Cost: $1,800)

1,800

Total Investments (98.3%)

(Cost: $424,362)(a)

410,069

Other Assets, Less

Liabilities (1.7%)

6,928

Net Assets (100.0%)

416,997

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


80		Emerging Markets Equity Portfolio

Emerging Markets Equity Portfolio

*	Non-Income Producing

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

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $427,925 and the net unrealized depreciation of investments based on that cost was $17,856 which is comprised of $35,832 aggregate gross unrealized appreciation and $53,688 aggregate gross unrealized depreciation.


Investments Percentage by Country is based on Net Assets:
Taiwan			11.5%
South Korea			10.8%
China			9.6%
Hong Kong			9.5%
Brazil			9.1%
South Africa			7.2%
India			7.0%
Mexico			5.5%
Other			28.1%
Total			98.3%

(h)	Forward foreign currency contracts outstanding on December 31, 2014.


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	Brown Brothers Harriman and Co.	PHP	33,485		1/15	$	-	$	-	$	- (m)

						$	-	$	-	$	-

PHP — Philippines Peso

(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, 2014. 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	$	6,540	$	69,365	$	-
Consumer Staples		12,120		40,420		-
Energy		9,227		14,441		-
Financials		26,400		96,733		-
Health Care		6,240		1,877		-
Industrials		12,241		6,243		-
Information Technology		9,879		56,484		-
Materials		9,726		4,866		-
Telecommunication Services		2,848		15,481		-
Utilities		1,387		5,751		-
Short-Term Investments		-		1,800		-
Total Assets	$	96,608	$	313,461	$	-
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		-		- (m)		-
Total Liabilities	$	-	$	- (m)	$	-

During the year ended December 31, 2014 there were transfers from Level 1 to Level 2 in the amount of $302,355 thousand. These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2014.

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


		Emerging Markets Equity Portfolio			81

Money Market Portfolio (unaudited)

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.

$439 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Money Market Portfolio (the “Portfolio”), has engaged BlackRock Advisors, LLC (“BlackRock”) to act as sub-adviser for the Portfolio. BlackRock was appointed sub-adviser to the Portfolio effective October 31, 2014. Prior to that time, the Portfolio was managed directly by Mason Street Advisors. The Portfolio invests only in high quality, short term, dollar-denominated money market instruments that present minimal credit risks, as determined by management. The Portfolio may invest more than 25% of its total assets in domestic or dollar-denominated foreign bank obligations. The Portfolio’s investments will comply with applicable rules governing the quality, maturity, liquidity and diversification of securities held by money market funds under Rule 2a-7 under the Investment Company Act of 1940. The Portfolio seeks to maintain a net asset value of $1.00 per share.

Market Overview

The U.S. money market industry navigated the year in an environment with growing structural and regulatory constraints while the Federal Open Market Committee (“FOMC”) maintained the federal funds rate in the target range of 0.00% to 0.25% during the twelve-month period ended December 31, 2014. In July, the SEC approved final rules on money market reform that will have significant implications on the market once they become effective in late 2016. Front-end credit markets experienced slowing demand in the second half of the year, primarily driven by higher yields in the repo market. During the final months of the year money markets experienced moderate volatility as the New York Federal Reserve Bank adjusted the size and terms of the reverse repo program. These factors, combined with increasing T-bill and agency discount note supply, placed upward pressure on commercial paper and certificate of deposit rates into the close of the year.

Portfolio Results

The Portfolio returned 0.07% for the twelve months ended December 31, 2014; by comparison, the Portfolio’s benchmark, the Merrill Lynch^® 3-Month Treasury Bill (T-Bill) Index (the “Index”), returned 0.03%. (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio outperformed the (0.04%) average return of the Money Market Funds peer group tracked by Lipper^® Analytical Services, an independent mutual fund ranking agency.

The Portfolio’s absolute return reflects the historically low yields currently available on money market instruments. Relative to the peer group and Index, performance benefited from the management fee waiver that was in place during the period. The Portfolio’s investment adviser waived the entire management fee (30 basis points) through the first eight months of 2014. During the final four months of the year, the adviser voluntarily agreed to waive its advisory fee and /or reimburse expenses in excess of the Portfolio’s daily yield so as to maintain a zero or positive yield for the Portfolio. In the absence of the fee waiver, the Portfolio’s return would have been lower. With respect to Portfolio positioning, the Portfolio maintained a conservative bias, with high standards for liquidity and credit quality throughout the period.


82		Money Market Portfolio

Money Market Portfolio (unaudited)

Portfolio Manager Outlook

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

With tepid wage growth and core inflation trending below target, we believe the Federal Reserve will be measured in the pursuit of higher rates. Given improvements in the economy and the labor market, and consistent with public remarks from prominent members of the FOMC, policy normalization could begin as early as the middle of 2015. That said, an increase in rates could occur at a later date should the impact of declines in energy prices on inflation prove other than transitory. Economic weakness overseas, particularly in Europe, also remains a threat if not properly addressed by relevant policy makers. Nevertheless, we expect an increase in rate volatility as the market continues to build in risk premiums in anticipation of the first Federal Reserve rate move in more than six years. While supply of eligible money market securities will remain constrained, the extension of the New York Federal Reserve Bank’s reverse repo program for another year should continue to support the lower boundary of interest rates.

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

Recent amendments to regulations governing money market funds change the manner in which certain money market funds will be required to operate. The effect of these amendments on the Portfolio are still uncertain but may impact the Portfolio’s operations and return potential.

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			83

Money Market Portfolio

Schedule of Investments

December 31, 2014


Money Market Investments (102.1%)	Shares/ $ Par		Value $ (000’s)

Autos (2.8%)
American Honda Finance Corp., 0.12%, 1/12/15		4,500,000		4,500
Toyota Motor Credit Corp., 0.12%, 1/16/15		7,900,000		7,899

Total				12,399


Commercial Banks Non-US (21.7%)
Australia & New Zealand Banking Group, Ltd., 1.393%, 3/16/15 144A		5,000,000		5,012
Bank of Tokyo-Mitsubishi UFJ, Ltd., 3.85%, 1/22/15 144A		6,825,000		6,838
Ing Bank NV, 0.12%, 1/5/15		4,000,000		4,000
Nieuw Amsterdam Rec, 0.22%, 3/12/15 144A		10,332,000		10,328
Rabobank Nederland of NY, 0.261%, 1/13/15		10,000,000		10,000
Rabobank Nederland of NY, 0.283%, 2/25/15		8,000,000		8,000
Royal Bank of Canada NY, 0.30%, 2/4/15		15,000,000		15,000
Skandinviska Enskilda, 0.05%, 1/2/15		18,000,000		18,000
Svenska Handelsbanken, 0.05%, 1/2/15		17,800,000		17,800

Total				94,978


Commercial Banks US (4.0%)
Bank of America NA, 0.20%, 2/6/15		17,500,000		17,500

Total				17,500


Finance Services (48.7%)
Antalis US Funding Corp., 0.12%, 1/7/15		18,000,000		18,000
Aspen Funding Corp., 0.28%, 1/5/15 144A		14,000,000		14,000
Australia & New Zealand, 0.263%, 11/25/15 144A		4,000,000		4,000
Bank of Tokyo Misubishi, 0.16%, 1/12/15		10,000,000		10,000
BNP Paribas SA, 0.25%, 3/2/15		5,000,000		5,000
Caisse Centrale, 0.13%, 1/5/15		4,000,000		4,000
Caisse Centrale, 0.16%, 1/26/15		10,000,000		9,999
Caisse Centrale, 0.17%, 2/5/15		6,500,000		6,499
Chariot Funding LLC, 0.26%, 8/13/15 144A		3,000,000		2,995
Charta LLC, 0.25%, 5/12/15 144A		4,534,000		4,530
Charta LLC, 0.25%, 5/20/15 144A		4,000,000		3,996


Money Market Investments (102.1%)	Shares/ $ Par		Value $ (000’s)

Finance Services continued
CRC Funding LLC, 0.25%, 6/4/15 144A		4,000,000		3,996
Dbs Bank, Ltd., 0.23%, 5/26/15 144A		4,000,000		3,996
Ing US Funding LLC, 0.21%, 2/27/15		5,000,000		4,998
Kellls Funding LLC, 0.242%, 4/16/15 144A		5,000,000		5,000
Lloyds Bank PLC, 0.49%, 1/7/15		12,300,000		12,301
LMA Americas LLC, 0.25%, 3/2/15 144A		14,000,000		13,994
Macquarie Bank, Ltd., 0.405%, 3/3/15 144A		8,600,000		8,600
Manhattan Asset Funding, 0.17%, 1/16/15 144A		8,700,000		8,699
Mizuho Funding LLC, 0.21%, 2/17/15 144A		12,500,000		12,497
Natixis, 0.10%, 1/2/15		16,800,000		16,800
Oversea-chinese Banking, 0.23%, 1/27/15		7,000,000		7,000
Royal Bank of Canada, 0.252%, 11/10/15		2,000,000		2,000
Sumitomo Mitsui Banking, 0.17%, 1/23/15 144A		900,000		900
Sumitomo Mitsui Banking, 0.22%, 3/4/15 144A		7,000,000		6,997
Sumitomo Mitsui Trust, 0.16%, 1/2/15 144A		15,000,000		15,000
Working Capital Management, 0.13%, 1/5/15 144A		3,000,000		3,000
Working Capital Management, 0.17%, 1/8/15 144A		5,000,000		5,000

Total				213,797


Government (12.4%)
Cash Management Bill, 0.11%, 7/2/15		10,000,000		9,995
US Treasury, 0.25%, 3/31/15		9,000,000		9,004
US Treasury, 1.75%, 7/31/15		10,000,000		10,096
US Treasury, 1.875%, 6/30/15		10,000,000		10,090
US Treasury Floating Rate Note, 0.085%, 1/31/16		15,000,000		14,995

Total				54,180


Information Technology (2.1%)
Google, Inc., 0.10%, 2/24/15 144A		5,000,000		4,999


Money Market Investments (102.1%)	Shares/ $ Par		Value $ (000’s)

Information Technology continued
Google, Inc., 0.11%, 3/18/15 144A		4,300,000		4,299

Total				9,298


Miscellaneous Business Credit Institutions (3.6%)
General Electric Capital, 0.22%, 6/4/15		10,000,000		9,991
General Electric Capital, 0.24%, 6/16/15		6,000,000		5,993

Total				15,984


Municipal Bonds (3.9%)
Wheaton College/IL, 0.17%, 1/7/15		17,000,000		17,000

Total				17,000


Personal Credit Institutions (1.9%)
Old Line Funding LLC, 0.15%, 1/7/15 144A		8,500,000		8,500

Total				8,500


Short Term Business Credit (1.0%)
Atlantic Asset Securitization LLC, 0.20%, 1/6/15 144A		4,500,000		4,500

Total				4,500

Total Money Market Investments
(Cost: $448,136)				448,136

Total Investments (102.1%)
(Cost: $448,136)(a)				448,136

Other Assets, Less Liabilities (-2.1%)				(9,384	)

Net Assets (100.0%)				438,752

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


84		Money Market Portfolio

Money Market 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, 2014 the value of these securities (in thousands) was $161,676 representing 36.9% of the net assets.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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:
Short-Term Investments	$	-	$	448,136	$	-
Total	$	-	$	448,136	$	-

See above Schedule of Investments for values of each security.

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


		Money Market Portfolio			85

Short-Term Bond Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Provide as high a level of current income

as is consistent with prudent investment risk.

Invest in a diversified portfolio of investment

grade debt securities.

$234 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Short-Term Bond Portfolio (the “Portfolio”), has engaged T. Rowe Price Associates, Inc. (“T. Rowe Price”) to act as sub-adviser for the Portfolio. T. Rowe Price was appointed sub-adviser to the Portfolio effective October 31, 2014. Prior to that time, the Portfolio was managed directly by Mason Street Advisors. 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, high yield/high risk bonds (so called “junk bonds”). Also, the Portfolio may invest up to 30% of net assets in foreign securities. Debt securities may be of any maturity, but under normal market conditions, the Portfolio’s average effective maturity will not exceed three years. The Portfolio may invest in mortgage- and asset-backed securities. The adviser uses both a “top down” and “bottom up” investment approach to construct the portfolio of investments.

Market Overview

Generally, bond markets posted positive returns in 2014, as most interest rates declined, pushing bond prices higher. The year began with the broadly held consensus view that interest rates would rise, but low inflation, modest economic growth and no unexpected changes to monetary policy led to lower interest rates. Although rates experienced some short-term volatility, investors largely favored the relative safety of U.S. Treasurys over the higher yields of corporate bonds. As a result, bonds experienced a relatively wide range of returns, as the Barclays^® Long Term Treasury Index returned 25.07%, while the Barclays^® Corporate U.S. High Yield Index returned only 2.45%. Overall, the broad bond market, as measured by the Barclays^® U.S. Aggregate Index, posted a solid 5.97% return for 2014. Short-term fixed income markets, as measured by the Barclays^® 1-3 Year U.S. Government/Credit Bond Index, posted a positive total return for the year of 0.77%, with positive absolute and excess returns across all sectors.

Portfolio Results

The Portfolio returned 0.38% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Barclays^® 1-3 Year Government/Credit Bond Index, returned 0.77%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio’s benchmark prior to October 31, 2014 was the Barclays^® U.S. Aggregate 1-3 Year Index, which had a return of 0.82% in 2014. The Portfolio underperformed the 1.28% average return of its Short Investment Grade Debt Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

As noted above, prior to October 31, 2014, the Portfolio was managed by Mason Street Advisors. With respect to the period prior to October 31, 2014, the Portfolio underperformed the Barclays^® U.S. Aggregate 1-3 Year Index primarily due to duration positioning, which was partially implemented through the use of Treasury futures contracts. When compared to the Barclays^® U.S. Aggregate 1-3 Year Index, the Portfolio was short duration while interest rates dropped.

On a positive note, security selection, particularly among corporate and structured securities, contributed to relative results during the period.

The following attribution comments relate to the period October 31, 2014 through December 31, 2014, during which T. Rowe Price acted as the Portfolio’s sub-adviser.

The Portfolio performed in line with the Barclays^® 1-3 Year Government/Credit Bond Index during the October 31, 2014 through December 31, 2014 period. Yield curve positioning contributed to relative performance, while sector allocation weighed on returns.

Shorter-dated Treasury yields rose amid anticipation of a rising Federal Funds rate, while yields on longer-dated bonds fell due to global economic weakness and geopolitical uncertainties. As the yield curve flattened, the Portfolio’s strategic positioning contributed to relative returns. The Portfolio was overweight the intermediate part of the curve and had modest out-of-benchmark exposure to longer maturities. The overweight allocation to the investment-grade corporate sector modestly detracted from returns, particularly for an energy-related name as oil prices continued to fall over the period. The Portfolio’s out-of-benchmark allocation to commercial-backed securities (CMBS) and a local Mexican government bond contributed modestly to relative performance.

Portfolio Manager Outlook

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

The U.S. economy continues to experience steady improvement and an upwardly trending dollar while other major economies, such as Europe, Japan, and China, are showing signs of slower growth or concerns for deflation.


86		Short-Term Bond Portfolio

Short-Term Bond Portfolio (unaudited)

U.S. labor market reports continue to improve while inflation remains low. We expect rates to trend upward, with greater volatility toward the front of the curve, as the market assesses the timing and trajectory of the tightening cycle. In short-duration credit markets, spreads have continued to tighten amid low volatility. In this environment, we expect interest rate management and security selection to play a greater role in alpha generation. U.S. credit fundamentals remain solid, and our analysts continue to find select opportunities for risk-adjusted returns within their respective sectors.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			Since Inception*
Short-Term Bond Portfolio		0.38	%		1.43	%		2.61	%
Barclays^® 1-3 Year U.S. Government/Credit Bond Index**		0.77	%		1.41	%		2.70	%
Barclays^® U.S. Aggregate 1-3 Years Index		0.82	%		1.43	%		2.80	%
Lipper^® Variable Insurance Products (VIP) Short-Intermediate Investment Grade Debt Funds Average		1.28	%		1.95	%		–

*Inception

date of 4/30/07

** The Barclays 1-3 Year U.S. Government/Credit Bond Index replaced the Barclays U.S. Aggregrate 1-3 Years Index as the Portfolio’s primary benchmark in connection with the appointment of the Portfolio’s sub-adviser effective October 31, 2014, based on the view that it would better align with the sub-adviser’s intended investment strategies.

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. A portion of the Portfolio’s assets may be invested in lower quality debt securities which may present a significant risk for loss of principal and interest. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

The Portfolio may invest in derivative instruments to adjust the Portfolio’s duration and yield curve exposure, to hedge foreign currency exposure or for any other permissible purporse keeping with its investment objective. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.


		Short-Term Bond Portfolio			87

Short-Term Bond Portfolio (unaudited)

Top 10 Fixed Income Holdings 12/31/14


Security Description	% of Net Assets
Federal National Mortgage Association, Various	8.6	%
US Treasury, 1.75%, 7/31/15	7.4	%
Federal Home Loan Mortgage Corp., Various	2.3	%
Federal Home Loan Bank, 0.50%, 9/28/16	2.0	%
Mexican Bonos, 7.75%, 12/14/17, MXN	1.2	%
Bank of America Corp., Various	1.0	%
Morgan Stanley, Various	0.9	%
Government National Mortgage Association Pass-Through, Various	0.9	%
DBRR Trust, Series 2013-EZ3, Class A, 1.636%, 12/18/49	0.8	%
Citigroup, Inc., Various	0.8	%

Sector Allocation 12/31/14

LOGO

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.


88		Short-Term Bond Portfolio

Short-Term Bond Portfolio

Schedule of Investments

December 31, 2014


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Aerospace & Defense (0.2%)
L-3 Communications Corp., 1.50%, 5/28/17		250,000		248
L-3 Communications Corp., 3.95%, 11/15/16		300,000		313

Total				561


Autos & Vehicle Parts (4.0%)
American Honda Finance Corp., 1.20%, 7/14/17		750,000		747
American Honda Finance Corp., 2.125%, 10/10/18		250,000		252
Daimler Finance North America LLC, 1.092%, 8/1/18 144A		850,000		861
Daimler Finance North America LLC, 2.375%, 8/1/18 144A		125,000		127
Delphi Corp., 6.125%, 5/15/21		550,000		599
Ford Motor Credit Co. LLC, 1.684%, 9/8/17		900,000		893
Ford Motor Credit Co. LLC, 2.375%, 1/16/18		250,000		251
Ford Motor Credit Co. LLC, 3.00%, 6/12/17		250,000		257
General Motors Financial Co., 3.50%, 7/10/19		140,000		143
General Motors Financial Co., 4.75%, 8/15/17		300,000		316
The Goodyear Tire & Rubber Co., 8.25%, 8/15/20		500,000		530
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 144A		500,000		501
Hyundai Capital America, 1.45%, 2/6/17 144A		1,000,000		996
Hyundai Capital Services, Inc., 3.50%, 9/13/17 144A		600,000		621
Nissan Motor Acceptance Corp., 1.95%, 9/12/17 144A		550,000		554
Nissan Motor Acceptance Corp., 4.50%, 1/30/15 144A		30,000		30
Toyota Motor Credit Corp., 2.05%, 1/12/17		750,000		764
Volkswagen Group of America Finance LLC, 1.25%, 5/23/17 144A		850,000		846

Total				9,288


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Banking (9.8%)
Abbey National Treasury Services PLC/Stamford CT, 1.375%, 3/13/17		500,000		499
Ally Financial, Inc., 2.75%, 1/30/17		250,000		249
American Express Credit Corp., 2.375%, 3/24/17		250,000		256
Bank of America Corp., 2.00%, 1/11/18		600,000		600
Bank of America Corp., 2.60%, 1/15/19		765,000		771
Bank of America Corp., 2.65%, 4/1/19		190,000		191
Bank of America Corp., 3.625%, 3/17/16		125,000		129
Bank of America Corp., 6.00%, 9/1/17		500,000		551
The Bank of New York Mellon Corp., 1.35%, 3/6/18		250,000		248
The Bank of New York Mellon Corp., 2.20%, 3/4/19		125,000		126
Barclays Bank PLC, 6.05%, 12/4/17 144A		250,000		275
BB&T Corp., 1.094%, 6/15/18		450,000		454
BNP Paribas SA, 2.40%, 12/12/18		250,000		252
BPCE SA, 2.50%, 12/10/18		550,000		558
Canadian Imperial Bank of Commerce, 1.55%, 1/23/18		415,000		413
Canadian Imperial Bank of Commerce, 2.35%, 12/11/15		30,000		30
Capital One Bank USA NA, 1.15%, 11/21/16		500,000		498
Citigroup, Inc., 1.55%, 8/14/17		650,000		648
Citigroup, Inc., 1.75%, 5/1/18		350,000		346
Citigroup, Inc., 1.85%, 11/24/17		860,000		859
Credit Suisse/New York NY, 1.375%, 5/26/17		650,000		648
Discover Bank of Greenwood Delaware, 2.00%, 2/21/18		250,000		249
Fifth Third Bank, 4.75%, 2/1/15		600,000		602
The Goldman Sachs Group, Inc., 2.90%, 7/19/18		250,000		257
The Goldman Sachs Group, Inc., 6.15%, 4/1/18		750,000		842


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Banking continued
The Goldman Sachs Group, Inc., 6.25%, 9/1/17		500,000		556
HBOS PLC, 6.75%, 5/21/18 144A		650,000		724
HSBC Bank NA/New York NY, 6.00%, 8/9/17		250,000		276
HSBC USA, Inc., 1.50%, 11/13/17		900,000		898
JPMorgan Chase & Co., 1.625%, 5/15/18		250,000		247
JPMorgan Chase & Co., 1.80%, 1/25/18		850,000		849
JPMorgan Chase & Co., 2.35%, 1/28/19		250,000		252
KeyBank NA/Cleveland OH, 7.413%, 5/6/15		250,000		256
Lloyds Bank PLC, 2.30%, 11/27/18		300,000		303
Morgan Stanley, 2.125%, 4/25/18		1,650,000		1,651
Morgan Stanley, 3.80%, 4/29/16		250,000		258
Morgan Stanley, 7.30%, 5/13/19		250,000		297
Nordea Bank AB, 0.875%, 5/13/16 144A		800,000		799
Nordea Bank AB, 3.125%, 3/20/17 144A		325,000		337
PNC Bank NA, 4.875%, 9/21/17		250,000		271
Regions Bank, 7.50%, 5/15/20		300,000		348
The Royal Bank of Scotland Group PLC, 2.55%, 9/18/15		400,000		404
Standard Chartered PLC, 3.20%, 5/12/16 144A		270,000		277
Standard Chartered PLC, 3.85%, 4/27/15 144A		160,000		162
SunTrust Banks, Inc., 2.35%, 11/1/18		465,000		468
Swedbank AB, 1.75%, 3/12/18 144A		1,100,000		1,098
The Toronto-Dominion Bank, 1.40%, 4/30/18		170,000		169
The Toronto-Dominion Bank, 2.625%, 9/10/18		350,000		359
U.S. Bancorp, 3.442%, 2/1/16		450,000		461
Wells Fargo & Co., 5.625%, 12/11/17		600,000		667

Total				22,938

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


		Short-Term Bond Portfolio			89

Short-Term Bond Portfolio


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Basic Materials (0.7%)
Hutchinson Whampoa International 14, Ltd., 1.625%, 10/31/17 144A		1,100,000		1,091
Rock-Tenn Co., 3.50%, 3/1/20		450,000		457

Total				1,548


Builders & Building Materials (0.2%)
Mohawk Industries, Inc., 6.125%, 1/15/16		350,000		367

Total				367


Capital Goods (0.3%)
Caterpillar Financial Services Corp., 2.65%, 4/1/16		200,000		205
CNH Capital LLC, 3.875%, 11/1/15		575,000		578

Total				783


Chemicals (0.8%)
The Dow Chemical Co., 2.50%, 2/15/16		600,000		610
Eastman Chemical Co., 3.00%, 12/15/15		729,000		743
LyondellBasell Industries NV, 5.00%, 4/15/19		400,000		436

Total				1,789


Conglomerate & Diversified Manufacturing (0.2%)
Eaton Corp., 1.50%, 11/2/17		335,000		333
Roper Industries, Inc., 2.05%, 10/1/18		180,000		179

Total				512


Consumer Products & Retailing (2.7%)
AutoZone, Inc., 1.30%, 1/13/17		375,000		374
AutoZone, Inc., 5.50%, 11/15/15		250,000		260
Brinker International, Inc., 2.60%, 5/15/18		200,000		200
Colgate-Palmolive Co., 0.90%, 5/1/18		175,000		171
CVS Caremark Corp., 1.20%, 12/5/16		250,000		251
CVS Caremark Corp., 2.25%, 12/5/18		250,000		252
Delhaize Group, 6.50%, 6/15/17		250,000		276
Dollar General Corp., 4.125%, 7/15/17		550,000		567
The Home Depot, Inc., 2.25%, 9/10/18		500,000		510
Imperial Tobacco Finance PLC, 2.05%, 2/11/18 144A		650,000		646
Newell Rubbermaid, Inc., 2.05%, 12/1/17		200,000		199


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Consumer Products & Retailing continued
Philip Morris International, Inc., 1.25%, 11/9/17		1,110,000		1,104
Target Corp., 2.30%, 6/26/19		185,000		187
Unilever Capital Corp., 2.75%, 2/10/16		250,000		256
Walgreens Boots Alliance, Inc., 1.75%, 11/17/17		150,000		150

Wal-Mart Stores, Inc., 1.125%, 4/11/18		500,000		494
Whirlpool Corp., 1.35%, 3/1/17		350,000		349

Total				6,246


Electric Utilities (3.2%)
Arizona Public Service Co., 4.65%, 5/15/15		262,000		266
Commonwealth Edison Co., 2.15%, 1/15/19		250,000		252
Commonwealth Edison Co., 6.15%, 9/15/17		250,000		280
Consumers Energy Co., 5.50%, 8/15/16		247,000		265
Dayton Power & Light Co., 1.875%, 9/15/16		465,000		470
Dominion Resources, Inc., 5.20%, 8/15/19		150,000		167
Duke Energy Corp., 2.10%, 6/15/18		115,000		116
Duke Energy Indiana, Inc., 0.579%, 7/11/16		500,000		501
Entergy Mississippi, Inc., 3.25%, 6/1/16		500,000		515
Exelon Corp., 4.90%, 6/15/15		250,000		254
FirstEnergy Corp., 2.75%, 3/15/18		250,000		252
MidAmerican Energy Co., 2.40%, 3/15/19		500,000		508
Nevada Power Co., 5.95%, 3/15/16		250,000		265
NextEra Energy Capital Holdings, Inc., 1.20%, 6/1/15		250,000		250
NextEra Energy Capital Holdings, Inc., 2.40%, 9/15/19		250,000		250
Northeast Utilities, 1.45%, 5/1/18		105,000		103
NSTAR Electric Co., 0.472%, 5/17/16		440,000		440
Peco Energy Co., 1.20%, 10/15/16		250,000		251
Public Service Co. of Colorado, 5.80%, 8/1/18		500,000		568
Public Service Electric & Gas Co., 2.30%, 9/15/18		400,000		406


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Electric Utilities continued
RJS Power Holdings LLC, 5.125%, 7/15/19 144A		140,000		138
Southern Electric Generating Co., 2.20%, 12/1/18 144A		140,000		141
Westar Energy, Inc., 8.625%, 12/1/18		300,000		372
Zhejiang Energy Group Hong Kong, Ltd., 2.30%, 9/30/17		550,000		544

Total				7,574


Energy (2.4%)
Anadarko Petroleum Corp., 5.95%, 9/15/16		500,000		535
Apache Corp., 5.625%, 1/15/17		300,000		324
Cameron International Corp., 1.40%, 6/15/17		300,000		295
Canadian Natural Resources, Ltd., 1.75%, 1/15/18		155,000		154
Canadian Natural Resources, Ltd., 5.70%, 5/15/17		250,000		271
Marathon Oil Corp., 0.90%, 11/1/15		575,000		573
National Oilwell Varco, Inc., 1.35%, 12/1/17		105,000		104
Noble Energy, Inc., 8.25%, 3/1/19		250,000		300
Noble Holding International, Ltd., 2.50%, 3/15/17		250,000		239
Pioneer Natural Resources Co., 5.875%, 7/15/16		800,000		850
Rowan Cos., 5.00%, 9/1/17		350,000		365
Sempra Energy, 6.15%, 6/15/18		250,000		283
SESI LLC, 6.375%, 5/1/19		1,000,000		970
Talisman Energy, Inc., 5.125%, 5/15/15		245,000		249
Transocean, Inc., 2.50%, 10/15/17		75,000		66

Total				5,578


Entertainment (0.1%)
Carnival Corp., 1.20%, 2/5/16		275,000		275

Total				275


Finance (0.9%)
GATX Corp., 3.50%, 7/15/16		586,000		605
General Electric Capital Corp., 2.30%, 4/27/17		900,000		922
General Electric Capital Corp., 6.00%, 8/7/19		250,000		291

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


90		Short-Term Bond Portfolio

Short-Term Bond Portfolio


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Finance continued
International Lease Finance Corp., 2.184%, 6/15/16		350,000		349

Total				2,167


Food & Beverage (1.6%)
Bunge, Ltd. Finance Corp., 3.20%, 6/15/17		900,000		925
Coca-Cola Femsa SAB de CV, 2.375%, 11/26/18		325,000		331
ConAgra Foods, Inc., 1.90%, 1/25/18		285,000		283
General Mills, Inc., 2.20%, 10/21/19		250,000		248
Heineken NV, 1.40%, 10/1/17 144A		280,000		278
Mondelez International, Inc., 4.125%, 2/9/16		400,000		415
Pernod Ricard SA, 2.95%, 1/15/17 144A		250,000		256
SABMiller Holdings, Inc., 2.45%, 1/15/17 144A		250,000		255
Tyson Foods, Inc., 2.65%, 8/15/19		200,000		202
WM Wrigley Jr. Co., 1.40%, 10/21/16 144A		60,000		60
WM Wrigley Jr. Co., 2.00%, 10/20/17 144A		380,000		383
WM Wrigley Jr. Co., 2.40%, 10/21/18 144A		65,000		65

Total				3,701


Foreign Agencies (0.9%)
CNOOC Nexen Finance 2014 ULC, 1.625%, 4/30/17		350,000		348
Ecopetrol SA, 4.25%, 9/18/18		400,000		416
Eksportfinans ASA, 2.00%, 9/15/15		1,000,000		1,001
Electricite de France SA, 1.15%, 1/20/17 144A		450,000		450

Total				2,215


Gaming/Leisure/Lodging (0.2%)
GLP Capital LP/GLP Financing II, Inc., 4.375%, 11/1/18		450,000		460

Total				460


Healthcare (1.3%)
AmerisourceBergen Corp., 1.15%, 5/15/17		250,000		248
Baxter International, Inc., 0.95%, 6/1/16		250,000		250
Express Scripts Holding Co., 1.25%, 6/2/17		400,000		396
Express Scripts Holding Co., 2.65%, 2/15/17		355,000		363


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Healthcare continued
Express Scripts Holding Co., 3.125%, 5/15/16		60,000		62
McKesson Corp., 1.40%, 3/15/18		275,000		272
McKesson Corp., 3.25%, 3/1/16		400,000		409
Thermo Fisher Scientific, Inc., 2.25%, 8/15/16		900,000		914
Thermo Fisher Scientific, Inc., 2.40%, 2/1/19		65,000		65

Total				2,979


Insurance (1.5%)
ACE INA Holdings, Inc., 5.80%, 3/15/18		250,000		281
Aetna, Inc., 1.50%, 11/15/17		110,000		109
AIA Group, Ltd., 2.25%, 3/11/19 144A		200,000		199
American International Group, Inc., 5.85%, 1/16/18		445,000		498
Berkshire Hathaway Finance Corp., 1.30%, 5/15/18		250,000		248
CNA Financial Corp., 6.50%, 8/15/16		250,000		270
Humana, Inc., 2.625%, 10/1/19		190,000		190
Marsh & McLennan Cos., Inc., 2.55%, 10/15/18		160,000		163
Metropolitan Life Global Funding I, 1.50%, 1/10/18 144A		250,000		248
Metropolitan Life Global Funding I, 3.125%, 1/11/16 144A		250,000		257
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 144A		262,502		266
UnitedHealth Group, Inc., 1.40%, 10/15/17		320,000		320
WellPoint, Inc., 1.875%, 1/15/18		100,000		100
WellPoint, Inc., 2.25%, 8/15/19		500,000		495

Total				3,644


Media (2.3%)
British Sky Broadcasting Group PLC, 2.625%, 9/16/19 144A		515,000		515
Comcast Corp., 4.95%, 6/15/16		250,000		265
Cox Communications, Inc., 5.50%, 10/1/15		1,000,000		1,034
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 1.75%, 1/15/18		250,000		248


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Media continued
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 2.40%, 3/15/17		750,000		764
Discovery Communications LLC, 3.70%, 6/1/15		180,000		182
Omnicom Group, Inc., 5.90%, 4/15/16		600,000		635
SES Global Americas Holdings GP, 2.50%, 3/25/19 144A		50,000		50
Thomson Reuters Corp., 0.875%, 5/23/16		600,000		597
Time Warner, Inc., 2.10%, 6/1/19		250,000		246
Time Warner, Inc., 3.15%, 7/15/15		135,000		137
UPCB Finance III, Ltd., 6.625%, 7/1/20 144A		400,000		420
Viacom, Inc., 2.20%, 4/1/19		145,000		143
Viacom, Inc., 2.50%, 9/1/18		250,000		252

Total				5,488


Metals & Mining (0.7%)
Goldcorp, Inc., 2.125%, 3/15/18		450,000		445
Plains Exploration & Production Co., 6.50%, 11/15/20		640,000		693
Rio Tinto Finance USA PLC, 2.25%, 12/14/18		250,000		250
Vale Overseas, Ltd., 6.25%, 1/23/17		200,000		213

Total				1,601


Oil & Gas (1.2%)
BG Energy Capital PLC, 2.875%, 10/15/16 144A		500,000		513
BP Capital Markets PLC, 1.846%, 5/5/17		500,000		504
Chevron Corp., 1.718%, 6/24/18		250,000		251
Murphy Oil Corp., 2.50%, 12/1/17		500,000		497
Petro-Canada, 6.05%, 5/15/18		236,000		265
Shell International Finance BV, 1.90%, 8/10/18		250,000		251
Total Capital Canada, Ltd., 1.45%, 1/15/18		250,000		248
Total Capital SA, 2.125%, 8/10/18		250,000		252

Total				2,781


Pharmaceuticals (1.6%)
AbbVie, Inc., 1.75%, 11/6/17		750,000		752

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


		Short-Term Bond Portfolio			91

Short-Term Bond Portfolio


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Pharmaceuticals continued
Actavis Funding SCS, 2.45%, 6/15/19		100,000		98
Actavis, Inc., 1.875%, 10/1/17		115,000		114
Bayer US Finance LLC, 2.375%, 10/8/19 144A		440,000		442
Celgene Corp., 1.90%, 8/15/17		500,000		502
Celgene Corp., 2.25%, 5/15/19		340,000		338
Gilead Sciences, Inc., 2.05%, 4/1/19		120,000		120
Merck & Co., Inc., 1.30%, 5/18/18		250,000		248
Perrigo Co. PLC, 1.30%, 11/8/16		180,000		179
Perrigo Co. PLC, 2.30%, 11/8/18		125,000		125
Takeda Pharmaceutical Co., Ltd., 1.625%, 3/17/17 144A		750,000		752

Total				3,670


Pipelines (3.7%)
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 6.625%, 10/1/20		600,000		611
CenterPoint Energy Resources Corp., 6.00%, 5/15/18		250,000		282
CenterPoint Energy Resources Corp., 6.15%, 5/1/16		250,000		267
DCP Midstream Operating LP, 3.25%, 10/1/15		520,000		528
Enable Midstream Partners LP, 2.40%, 5/15/19 144A		250,000		243
Energy Transfer Partners LP, 5.95%, 2/1/15		400,000		401
EnLink Midstream Partners LP, 2.70%, 4/1/19		85,000		84
Enterprise Products Operating LLC, 1.25%, 8/13/15		800,000		802
Enterprise Products Operating LLC, 3.20%, 2/1/16		100,000		102
Enterprise Products Operating LLC, 6.50%, 1/31/19		250,000		287
Florida Gas Transmission Co., 4.00%, 7/15/15 144A		1,000,000		1,014
Kinder Morgan, Inc., 2.00%, 12/1/17		105,000		104
NiSource Finance Corp., 5.25%, 9/15/17		250,000		273


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Pipelines continued
ONEOK Partners LP, 3.20%, 9/15/18		250,000		253
ONEOK Partners LP, 3.25%, 2/1/16		230,000		235
Plains All American Pipeline LP/PAA Finance Corp., 3.95%, 9/15/15		750,000		765
Regency Energy Partners LP, 8.375%, 6/1/19 144A		400,000		419
Spectra Energy Partners LP, 2.95%, 6/15/16		521,000		534
Tennessee Gas Pipeline Co., 8.00%, 2/1/16		500,000		533
TransCanada PipeLines, Ltd., 0.75%, 1/15/16		575,000		573
Williams Partners LP/Williams Partners Financial Corp., 7.25%, 2/1/17		275,000		303

Total				8,613


Real Estate Investment Trusts (1.2%)
DDR Corp., 4.75%, 4/15/18		250,000		267
ERP Operating LP, 6.584%, 4/13/15		275,000		276
Health Care REIT, Inc., 3.625%, 3/15/16		290,000		299
Kilroy Realty LP, 5.00%, 11/3/15		450,000		464
Simon Property Group LP, 1.50%, 2/1/18 144A		250,000		248
Ventas Realty LP, 1.25%, 4/17/17		500,000		495
Ventas Realty LP, 1.55%, 9/26/16		450,000		452
WEA Finance LLC / Westfield UK & Europe Finance PLC, 1.75%, 9/15/17 144A		300,000		298

Total				2,799


Services (0.2%)
QVC, Inc., 3.125%, 4/1/19		55,000		55
Republic Services, Inc., 5.50%, 9/15/19		250,000		282
Waste Management, Inc., 2.60%, 9/1/16		200,000		204

Total				541


Technology (2.4%)
Adobe Systems, Inc., 3.25%, 2/1/15		250,000		250
Anstock II, Ltd., 2.125%, 7/24/17		300,000		296
Apple, Inc., 1.00%, 5/3/18		200,000		197
Arrow Electronics, Inc., 3.375%, 11/1/15		275,000		280


Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

Technology continued
Avnet, Inc., 6.00%, 9/1/20		1,000,000		1,031
Baidu, Inc., 2.75%, 6/9/19		200,000		199
Cisco Systems, Inc., 2.125%, 3/1/19		250,000		251
Fidelity National Information Services, Inc., 1.45%, 6/5/17		250,000		249
Hewlett-Packard Co., 2.75%, 1/14/19		275,000		275
International Business Machines Corp., 5.70%, 9/14/17		500,000		557
Keysight Technologies, Inc., 3.30%, 10/30/19 144A		850,000		845
Oracle Corp., 2.375%, 1/15/19		250,000		254
Oracle Corp., 5.75%, 4/15/18		250,000		283
Tencent Holdings, Ltd., 2.00%, 5/2/17 144A		350,000		349
Xerox Corp., 4.25%, 2/15/15		250,000		251

Total				5,567


Telecommunications (1.4%)
America Movil SAB de CV, 2.375%, 9/8/16		425,000		431
America Movil SAB de CV, 3.625%, 3/30/15		140,000		141
American Tower Corp., 4.50%, 1/15/18		250,000		265
American Tower Corp., 4.625%, 4/1/15		1,250,000		1,261
British Telecommunications PLC, 2.35%, 2/14/19		250,000		250
CC Holdings GS V LLC/Crown Castle GS III Corp., 2.381%, 12/15/17		230,000		232
Verizon Communications, Inc., 1.10%, 11/1/17		200,000		197
Verizon Communications, Inc., 2.50%, 9/15/16		240,000		245
Verizon Communications, Inc., 3.65%, 9/14/18		335,000		354

Total				3,376


Transportation (1.9%)
A.P. Moeller-Maersk A/S, 2.55%, 9/22/19 144A		500,000		501
Burlington Northern Santa Fe LLC, 5.75%, 3/15/18		750,000		841

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


92		Short-Term Bond Portfolio

Short-Term Bond Portfolio


	Corporate Bonds (47.6%)	Shares/ $ Par		Value $ (000’s)

	Transportation continued
	ERAC USA Finance LLC, 1.40%, 4/15/16 144A		750,000		752
	ERAC USA Finance LLC, 5.90%, 11/15/15 144A		500,000		522
	Kansas City Southern de Mexico SA de CV, 2.35%, 5/15/20		450,000		432
	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 7/17/18 144A		750,000		763
	Southwest Airlines Co., 2.75%, 11/6/19		280,000		281
	Southwest Airlines Co., 5.75%, 12/15/16		230,000		248
	Union Pacific Corp., 2.25%, 2/15/19		85,000		86

	Total				4,426


	Total Corporate Bonds
	(Cost: $111,488)				111,487


	Governments (13.2%)	Shares/ Par

	Governments (12.7%)
(b)	Federal Home Loan Bank, 0.50%, 9/28/16		4,680,000		4,668
	Federal National Mortgage Association, 0.625%, 8/26/16		5,000,000		4,999
(f)	Mexican Bonos, 7.75%, 12/14/17, MXN		37,260,000		2,758
	US Treasury, 1.75%, 7/31/15		17,250,000		17,408

	Total				29,833


	Yankee Sovereign (0.5%)
	Hazine Mustesarligi Varlik Kiralama AS, 4.557%, 10/10/18 144A		325,000		340
	Iceland Government International Bond, 4.875%, 6/16/16 144A		750,000		785

	Total				1,125


	Total Governments
	(Cost: $30,962)				30,958


Municipal Bonds (0.9%)	Shares/ $ Par		Value $ (000’s)

Municipal Bonds (0.9%)
Florida Hurricane Catastrophe Fund Finance Corp., Series 2013A, 1.298%, 7/1/16 RB		200,000		201
Florida Hurricane Catastrophe Fund Finance Corp., Series 2013A, 2.107%, 7/1/18 RB		190,000		0191
Province of Ontario Canada, 2.00%, 9/27/18 GO		1,000,000		1,012
State of Illinois, Series 2010-3, 4.79%, 4/1/16 GO		300,000		312
State of Illinois, Series 2011, 4.961%, 3/1/16 GO		195,000		203
University of California, Series 2011Y-1, 0.655%, 7/1/41 RB		270,000		270


Total Municipal Bonds
(Cost: $2,161)				2,189


Structured Products (36.8%)

Structured Products (36.8%)
AEP Texas Central Transition Funding LLC, 5.17%, 1/1/18		700,000		749
Ally Auto Receivables Trust, Series 2012-2, Class B, 1.76%, 2/15/17 144A		750,000		755
Ally Master Owner Trust, Series 2013-1, Class A2, 1.00%, 2/15/18		1,200,000		1,201
Ally Master Owner Trust, Series 2014-4, Class A2, 1.43%, 6/17/19		1,045,000		1,043
American Express Credit Account Master Trust, Series 2014-2, Class A, 1.26%, 1/15/20		1,000,000		998
American Express Credit Account Master Trust, Series 2014-3, Class A, 1.49%, 4/15/20		1,775,000		1,777
Banc of America Commercial Mortgage Trust, Series 2006-4, Class AM, 5.675%, 7/10/46		650,000		692


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Banc of America Commercial Mortgage Trust, Series 2008-1, Class AM, 6.29%, 2/10/51		440,000		485
Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/41		315,480		333
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class AM, 5.582%, 9/11/41		500,000		528
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PWR18, Class AM, 6.048%, 6/11/50		500,000		550
Bear Stearns Commercial Mortgage Securities Trust, Inc., Series 2007-PWR17, Class AAB, 5.703%, 6/11/50		395,977		398
BMW Vehicle Lease Trust, Series 2014-1, Class A3, 0.73%, 2/21/17		365,000		365
BMW Vehicle Lease Trust, Series 2014-1, Class A4, 0.99%, 8/21/17		295,000		295
Capital Auto Receivables Asset Trust, Series 2014-1, Class A2, 0.96%, 4/20/17		325,000		325
Capital Auto Receivables Asset Trust, Series 2013-3, Class A3, 1.31%, 12/20/17		1,370,000		1,376
Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.96%, 9/16/19		500,000		498
Capital One Multi-Asset Execution Trust, Series 2014-A2, Class A2, 1.26%, 1/15/20		470,000		469
Carmax Auto Owner Trust, Series 2013-2, Class A4, 0.84%, 11/15/18		420,000		416
CarMax Auto Owner Trust, Series 2014-4, Class A3, 1.25%, 11/15/19		440,000		439
CarMax Auto Owner Trust, Series 2014-4, Class A4, 1.81%, 7/15/20		250,000		250

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


		Short-Term Bond Portfolio			93

Short-Term Bond Portfolio


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
CD Commerical Mortgage Trust, Series 2007-CD5, Class AMA, 6.12%, 11/15/44		565,000		619
Chase Issuance Trust, Series 2013-A8, Class A8, 1.01%, 10/15/18		145,000		145
Chase Issuance Trust, Series 2014-A1, Class A, 1.15%, 1/15/19		400,000		400
Citibank Credit Card Issuance Trust, Series 2014-A9, Class A9, 0.40525%, 11/23/18		695,000		695
Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.32%, 9/7/18		1,150,000		1,156
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class A1, 1.485%, 10/10/47		338,096		337
CNH Equipment Trust, Series 2013-B, Class A4, 0.99%, 11/15/18		845,000		838
CNH Equipment Trust, Series 2014-B, Class A4, 1.61%, 5/17/21		1,150,000		1,144
Comm Mortgage Trust, Series 2014-CR21, Class A1, 1.494%, 12/10/47		92,165		92
Commercial Mortgage Pass Through Certificates, Series 2014-UBS6, Class A1, 1.445%, 12/10/47		180,000		179
Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.82%, 7/10/38		500,000		527
Commercial Mortgage Trust, Series 2001-J2A, Class C, 6.586%, 7/16/34 144A		457,756		490
Connecticut Avenue Securities, 2.105%, 11/25/24		306,587		307
Connecticut Avenue Securities, 2.255%, 11/25/24		160,597		161
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C5, Class AM, 5.10%, 8/15/38		285,000		291
DBRR Trust, Series 2013-EZ3, Class A, 1.636%, 12/18/49 144A		1,904,142		1,914


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Diamond Resorts Owner Trust, Series 2014-1, Class A, 2.54%, 5/20/27 144A		386,296		385
Discover Card Execution Note Trust, Series 2013-A5, Class A5, 1.04%, 4/15/19		1,150,000		1,149
Discover Card Master Trust I, Series 2012-B3, Class B3, 0.61%, 5/15/18		1,000,000		999
FDIC Structured Sale Guaranteed Notes, Series 2010-S2, Class 2A, 2.57%, 7/29/47 144A		363,824		367
Federal Home Loan Mortgage Corp., Series 4092, Class CL, 1.25%, 6/15/27		2,784,450		2,682
Federal Home Loan Mortgage Corp., Series 3718, Class BC, 2.00%, 2/15/25		1,038,313		1,045
Federal Home Loan Mortgage Corp., 2.50%, 1/1/24		2,230,455		2,292
Federal Home Loan Mortgage Corp., 5.00%, 4/1/18		61,814		65
Federal Home Loan Mortgage Corp., 5.50%, 5/1/22		348,014		379
Federal National Mortgage Association, Series 2010-95, Class BK, 1.50%, 2/25/20		852,040		859
Federal National Mortgage Association, Series 2013-74, Class AD, 2.00%, 7/25/23		908,530		919
Federal National Mortgage Association, 2.50%, 10/1/22		1,552,816		1,597
Federal National Mortgage Association, 2.50%, 12/1/22		382,785		394
Federal National Mortgage Association, Series 2011-113, Class AG, 2.50%, 11/25/26		515,302		527
Federal National Mortgage Association, 3.00%, 6/1/22		479,317		500
Federal National Mortgage Association, 3.00%, 4/1/24		938,047		980
Federal National Mortgage Association, 3.50%, 5/1/27		1,765,196		1,868


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Federal National Mortgage Association, 3.50%, 11/1/44		2,040,887		2,136
Federal National Mortgage Association, 4.00%, 2/1/29		2,310,447		2,473
Federal National Mortgage Association, 4.00%, 3/1/41		100,507		107
Federal National Mortgage Association, 4.00%, 3/1/42		994,407		1,063
Federal National Mortgage Association, 4.50%, 5/1/40		352,184		383
Federal National Mortgage Association, 4.50%, 9/1/40		349,553		380
Federal National Mortgage Association, 5.50%, 8/1/37		252,614		284
Federal National Mortgage Association, 5.5%, 2/1/38		972,816		1,093
Federal National Mortgage Association, 6.00%, 8/1/22		183,739		198
Federal National Mortgage Association, 6.00%, 8/1/34		556,286		635
Federal National Mortgage Association, 6.00%, 10/1/40		572,911		650
Fifth Third Auto Trust, Series 2014-2, Class A4, 1.38%, 12/15/20		500,000		499
Ford Credit Auto Lease Trust, Series 2014-A, Class A3, 0.68%, 4/15/17		260,000		260
Ford Credit Auto Lease Trust, Series 2014-A, Class A4, 0.90%, 6/15/17		220,000		219
Ford Credit Auto Lease Trust, Series 2013-B, Class A4, 0.96%, 10/15/16		1,000,000		1,001
Ford Credit Auto Owner Trust, Series 2014-A, Class A3, 0.79%, 5/15/18		350,000		350
Ford Credit Auto Owner Trust, Series 2014-A, Class A4, 1.29%, 4/15/19		425,000		425
Ford Credit Auto Owner Trust, Series 2014-B, Class A4, 1.42%, 8/15/19		400,000		400

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


94		Short-Term Bond Portfolio

Short-Term Bond Portfolio


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Ford Credit Auto Owner Trust, Series 2011-B, Class B, 2.27%, 1/15/17		200,000		202
Ford Credit Auto Owner Trust, Series 2013-C, Class D, 2.50%, 1/15/20		575,000		584
Ford Credit Auto Owner Trust, Series 2011-A, Class D, 3.21%, 7/15/17		110,000		111
Ford Credit Floorplan Master Owner Trust, Series 2014-1, Class A1, 1.20%, 2/15/19		500,000		499
Ford Credit Floorplan Master Owner Trust, Series 2014-4, Class A1, 1.40%, 8/15/19		1,150,000		1,148
GE Equipment Small Ticket LLC, Series 2014-1A, Class A4, 1.44%, 10/25/21 144A		300,000		300
General Electric Capital Credit Card Master Note Trust, Series 2013-1, Class B, 1.69%, 3/15/21		465,000		460
Government National Mortgage Association, 3.50%, 9/20/44		503,975		530
Government National Mortgage Association, 5.00%, 3/20/34		1,117,456		1,236
Government National Mortgage Association, 5.50%, 6/20/37		292,711		329
GS Mortgage Securities Trust, Series 2011-GC5, Class A1, 1.468%, 8/10/44		363,065		365
Honda Auto Receivables Owner Trust, Series 2013-1, Class A3, 0.48%, 11/21/16		1,349,736		1,350
Honda Auto Receivables Owner Trust, Series 2012-2, Class A4, 0.91%, 5/15/18		150,000		150
Honda Auto Receivables Owner Trust, Series 2013-4, Class A4, 1.04%, 2/18/20		85,000		85
Honda Auto Receivables Owner Trust, Series 2013-3, Class A4, 1.13%, 9/16/19		165,000		165
Honda Auto Receiveables Owner Trust, Series 2014-4, Class A3, 0.99%, 9/17/18		845,000		843


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Hyundai Auto Receivables Trust, Series 2011-B, Class D, 3.51%, 11/15/17		445,000		456
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB14, Class AM, 5.43%, 12/12/44		600,000		622
John Deere Owner Trust, Series 2014-A, Class A3, 0.92%, 4/16/18		600,000		600
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP8, Class AM, 5.44%, 5/15/45		485,000		514
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class AM, 5.87%, 4/15/45		730,000		775
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class AM, 5.88%, 2/12/51		350,000		384
JP Morgan Chase Commerical Mortgage Securities Trust, Series 2007-C1, Class AM, 5.96%, 2/15/51		680,000		729
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class A1, 1.5962%, 1/15/48		505,000		504
Kubota Credit Owner Trust, Series 2014-1A, Class A4, 1.67%, 7/15/20 144A		1,500,000		1,495
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class AM, 5.413%, 9/15/39		400,000		425
MASTR Asset Securitization Trust, Series 2003-10, Class 1A1, 5.25%, 11/25/23		20,995		21
Mercedes-Benz Auto Lease Trust, Series 2014-A, Class A4, 0.90%, 12/16/19		470,000		470
Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class AM, 5.29%, 11/12/37		360,000		370
ML-CFC Commercial Mortgage Trust, Series 2007-5, Class AM, 5.419%, 8/12/48		350,000		367


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
ML-CFC Commerical Mortgage Trust, Series 2006-4, Class AM, 5.204%, 12/12/49		210,000		224
Morgan Stanely Capital I Trust, Series 2006-T21, Class A4, 5.162%, 10/12/52		1,120,000		1,148
Morgan Stanley Bank of American Merrill Lynch Trust, Series 2014-C19, Class A1, 1.573%, 12/15/47		345,000		345
Morgan Stanley Capital I Trust, Series 2005-HQ6, Class AJ, 5.073%, 8/13/42		600,000		609
Nissan Auto Lease Trust, Series 2013-A, Class A3, 0.61%, 4/15/16		1,000,000		1,000
Nissan Auto Lease Trust, Series 2014-A, Class A4, 1.04%, 10/15/19		1,150,000		1,148
Nissan Auto Receivables Owner Trust, Series 2014-B, Class A3, 1.11%, 5/15/19		475,000		474
Residential Asset Securities Corp., Series 2006-KS4, Class A3, 0.319%, 6/25/36		667,380		663
Santander Drive Auto Receivables Trust, Series 2013-1, Class B, 1.16%, 1/15/16		665,000		667
Santander Drive Auto Receivables Trust, Series 2013-5, Class B, 1.55%, 10/15/18		925,000		928
Santander Drive Auto Receivables Trust, Series 2011-3, Class C, 3.09%, 5/15/17		90,621		91
Santander Drive Auto Receivables Trust, Series 2011-4, Class C, 3.82%, 8/15/17		332,275		336
Sierra Receivables Funding Co. LLC, Series 2013-3A, Class A, 2.20%, 10/20/30 144A		662,580		659
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A, 2.28%, 11/20/25 144A		547,752		552
Synchrony Credit Card Master Note Trust, Series 2012-6, Class A, 1.36%, 8/17/20		1,145,000		1,138

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


		Short-Term Bond Portfolio			95

Short-Term Bond Portfolio


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Synchrony Credit Card Master Note Trust, Series 2014-1, Class A, 1.61%, 11/16/20		1,155,000		1,151
TIAA Seasoned Commerical Mortgage Trust, Series 2007-C4, Class AJ, 5.56%, 8/15/39		491,000		504
Toyota Auto Receivables Owners Trust, Series 2014-B, Class A4, 1.31%, 9/16/19		1,500,000		1,496
Volkswagen Auto Loan Enhanced Trust, Series 2014-1, Class A3, 0.91%, 10/22/18		85,000		85


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)
Volkswagen Auto Loan Enhanced Trust, Series 2013-2, Class A4, 1.16%, 3/20/20		1,150,000		1,141
Volkswagen Auto Loan Enhanced Trust, Series 2014-1, Class A4, 1.45%, 9/21/20		425,000		422
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AM, 5.339%, 11/15/48		916,000		976


Structured Products (36.8%)	Shares/ $ Par		Value $ (000’s)
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class AM, 5.72%, 5/15/43		496,000		522
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class A1, 1.437%, 12/15/47		435,000		434
Wells Fargo Mortgage Backed Securities Trust, Series 2004-EE, Class 2A2, 2.611%, 12/25/34		648,364		659


Total Structured Products
(Cost: $86,327)				86,261


Total Investments (98.5%)
(Cost: $230,938)(a)				230,895

Other Assets, Less Liabilities (1.5%)				3,592

Net Assets (100.0%)				234,487

GO — General Obligation

RB — Revenue Bond

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $230,941 and the net unrealized depreciation of investments based on that cost was $46 which is comprised of $745 aggregate gross unrealized appreciation and $791 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, 2014, $12,960)	109	3/15	$	(4)
US Ten Year Treasury Note Futures (Short) (Total Notional Value at December 31, 2014, $2,268)	18	3/15		(14)

(f)	Foreign Bond — par value is foreign denominated

MXN – Mexican New Peso

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


96		Short-Term Bond Portfolio

Short-Term Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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 & Agency Bonds	$	-		$	30,958	$	-
Municipal Bonds		-			2,189		-
Corporate Bonds		-			111,487		-
Structured Products		-			84,347		1,914
Total Assets	$	-		$	228,981	$	1,914
Liabilities:
Other Financial Instruments^
Futures		(18	)		-		-
Total Liabilities	$	(18	)	$	-	$	-

For the period December 31, 2014, there were transfers from a Level 3 to a Level 2 in the amount of $367 thousand. These transfers were the result of an increase in the availability of observable inputs for a security that was previously priced by a third party utilizing a broker quote.

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2014. (Amounts in thousands)


Category	Market Value 12/31/13		Net Purchases		Net Sales		Accrued Discounts/ (Premiums)		Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfers in at Market Value		Transfers out at Market Value		Market Value 12/31/14		Net Change in Unrealized Appreciation/ (Depreciation) on Invetments Held at 12/31/14
Structured Products	$	5,798	$	155	$	3,665	$	—	$	1	$	(8	)	$	—	$	367	$	1,914	$	5

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


		Short-Term Bond Portfolio			97

Select Bond Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Provide as high a level of total return

as is consistent with prudent investment risk. A secondary objective is to seek preservation of shareholders’ capital.

Invest in a diversified portfolio of investment grade

debt securities with maturities exceeding one year.

$2.8 billion

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Select Bond Portfolio (the “Portfolio”), has engaged Wells Capital Management, Inc. (“Wells Capital”) to act as sub-adviser for the Portfolio. Wells Capital was appointed sub-adviser to the Portfolio effective October 31, 2014. Prior to that time, the Portfolio was managed directly by Mason Street Advisors. 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, high yield/high risk bonds (so called “junk bonds”) and up to 30% of net assets in foreign securities. Debt securities may be of any maturity or duration, but under normal market conditions, the Portfolio attempts to maintain an overall dollar-weighted average effective duration (an aggregate measure of the sensitivity of the Portfolio’s fixed income portfolio securities to changes in interest rates) that is within 10% of the Barclays^® U.S. Aggregate Index. The Portfolio uses a “bottom up,” fundamental, relative value investment approach to construct the portfolio of investments. The Portfolio invests in debt securities that it believes offer competitive returns and are undervalued, offering additional income and/or price appreciation potential relative to other debt securities of similar credit quality and interest rate sensitivity. The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives.

Market Overview

Higher risk assets began 2014 with mixed performance as the markets reacted to concerns about U.S and Chinese growth and geopolitical turmoil. Then risk premiums compressed while volatility edged toward all-time lows over the course of the second quarter. In the third quarter, volatility in markets returned. Concerns included uncertainty around monetary policy, geopolitical tensions and technical factors related to fixed-income flows.

A “flash rally” in Treasurys in October produced the most volatile month for rates since mid-2013. The Fed reaffirmed that a rate hike remains likely but data-dependent in 2015. Tumbling oil prices, weakening commodities, all-time lows in European bond yields, and highs in U.S. equities reflected the disparity between a strengthening U.S. economy and significant softness globally.

The Barclays^® U.S. Aggregate Index posted a positive total return for the year, with positive returns across all sectors, on a relative basis led by tightening in commercial mortgage-backed securities, asset-backed securities, agencies, and agency mortgages, while credit was the sole sector that underperformed.

Portfolio Results

The Portfolio returned 5.56% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Barclays^® U.S. Aggregate Index (the “Index”), returned 5.97%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio underperformed the 6.12% average return of its Corporate Debt Funds A-Rated peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

As noted above, prior to October 31, 2014, the Portfolio was managed by Mason Street Advisors. With respect to the period prior to October 31, 2014, the Portfolio underperformed the Index primarily due to duration and yield curve positioning. When compared to the Index, the Portfolio was short duration while interest rates dropped.

On a positive note, the Portfolio experienced positive security selection mainly within mortgage-backed securities and the credit sector.

The following attribution comments relate to the period October 31, 2014 through December 31, 2014, during which Wells Capital acted as the Portfolio’s sub-adviser.

The Portfolio underperformed the Index during the October 31, 2014 through December 31, 2014 period. Detractors to Portfolio performance included positions in the energy and pipelines sectors, due mainly to falling oil prices and supply pressure. Security selection within collateralized mortgage obligations, specifically positioning in lower coupons, detracted from performance as well. A sector overweight to commercial mortgage-backed securities and positions in credit cards asset-backed securities were also modest detractors from performance.

Security selection overall was a positive contributor to performance. In credit, contributors were concentrated in the health care, local government, and insurance segments. Security selection within hybrid adjustable-rate mortgages, fixed-rate mortgages and commercial mortgage-backed securities also contributed to performance.


98		Select Bond Portfolio

Select Bond Portfolio (unaudited)

Portfolio Manager Outlook

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

Consistent with our bottom-up security selection process, we maintain a neutral duration. We maintain a modest underweight to mortgages, reflecting stretched valuations in some securities and potentially worsening supply/demand technicals. We maintain a small overweight to credit, navigating a choppy environment with diverse subsector impacts. We are modestly overweight the asset-backed securities and commercial mortgage-backed securities sectors on favorable dynamics versus agency mortgages. We believe we are well positioned and stand ready to take advantage of relative value trading opportunities as they arise.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year		5 Years		10 Years
Select Bond Portfolio		5.56%		4.37%		4.67%
Barclays^® U.S. Aggregate Index		5.97%		4.45%		4.71%
Lipper^® Variable Insurance Products (VIP) Corporate Debt Funds A-Rated Average		6.12%		5.21%		4.44%

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.


		Select Bond Portfolio			99

Select Bond Portfolio (unaudited)

Top 10 Fixed Income Holdings 12/31/14


Security Description			% of Market Value
US Treasury, Various			33.1%
Federal National Mortgage Association, Various			12.1%
Government National Mortgage Association, Various			4.9%
Federal Home Loan Mortgage Corp, Various			3.1%
Citibank Credit Card Issuance Trust, Series 2014-A6, Class A6, 2.15%, 7/15/21			1.3%
Federal National Mortgage Association TBA, 4.00%, 2/1/43			1.2%
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB, 3.407%, 11/15/47			1.1%
Verizon Communications, Inc., Various			1.0%
Federal National Mortgage Association Stripped, 3.00%, 8/25/42			0.9%
Federal National Mortgage Association, 4.00%, 6/25/39			0.8%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on fixed income investments. 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.


100		Select Bond Portfolio

Select Bond Portfolio

Schedule of Investments

December 31, 2014


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Aerospace & Defense (0.4%)
L-3 Communications Corp., 3.95%, 5/28/24		2,505,000		2,526
Litton Industries, Inc., 6.75%, 4/15/18		1,000,000		1,144
Northrop Grumman Corp., 3.25%, 8/1/23		4,160,000		4,191
Northrop Grumman Corp., 4.75%, 6/1/43		3,160,000		3,528

Total				11,389


Autos & Vehicle Parts (0.6%)
Daimler Finance North America LLC, 2.25%, 9/3/19 144A		170,000		169
Daimler Finance North America LLC, 2.875%, 3/10/21 144A		2,105,000		2,124
Daimler Finance North America LLC, 3.25%, 8/1/24 144A		565,000		569
Ford Motor Credit Co. LLC, 3.664%, 9/8/24		3,300,000		3,307
General Motors Co., 3.50%, 10/2/18		3,635,000		3,708
General Motors Co., 5.00%, 4/1/35		320,000		333
General Motors Co., 5.20%, 4/1/45		480,000		506
General Motors Financial Co., Inc., 3.50%, 7/10/19		1,860,000		1,899
Johnson Controls, Inc., 4.625%, 7/2/44		955,000		983
Johnson Controls, Inc., 4.95%, 7/2/64		955,000		985
Toyota Motor Credit Corp., 3.30%, 1/12/22		2,900,000		3,019

Total				17,602


Banking (5.0%)
American Express Co., 3.625%, 12/5/24		1,780,000		1,795
Australia & New Zealand Banking Group, Ltd., 4.50%, 3/19/24 144A		3,310,000		3,379
Bank of America Corp., 4.00%, 4/1/24		5,755,000		5,992
Bank of America Corp., 4.25%, 10/22/26		3,080,000		3,073
Bank of America Corp., 6.00%, 9/1/17		3,500,000		3,859
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.35%, 9/8/19 144A		10,000,000		9,933
BB&T Corp., 2.45%, 1/15/20		5,745,000		5,722
BPCE SA, 5.70%, 10/22/23 144A		1,800,000		1,933


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Banking continued
Citigroup, Inc., 1.55%, 8/14/17		5,185,000		5,170
Citigroup, Inc., 1.70%, 7/25/16		3,000,000		3,021
Citigroup, Inc., 3.75%, 6/16/24		2,290,000		2,339
Citigroup, Inc., 4.30%, 11/20/26		1,165,000		1,162
Credit Suisse of New York, 3.625%, 9/9/24		4,250,000		4,323
Fifth Third Bank, 4.75%, 2/1/15		2,000,000		2,006
The Goldman Sachs Group, Inc., 6.25%, 2/1/41		1,300,000		1,643
The Goldman Sachs Group, Inc., 6.75%, 10/1/37		1,300,000		1,635
HSBC Holdings PLC, 4.25%, 3/14/24		1,200,000		1,249
HSBC Holdings PLC, 5.25%, 3/14/44		2,000,000		2,240
HSBC USA, Inc., 2.375%, 11/13/19		6,395,000		6,393
ING Bank NV, 2.50%, 10/1/19 144A		7,000,000		7,045
ING Bank NV, 5.80%, 9/25/23 144A		2,800,000		3,106
Inter-American Development Bank, 4.375%, 1/24/44		1,045,000		1,289
Intesa Sanpaolo S.p.A, 2.375%, 1/13/17		4,000,000		4,035
JPMorgan Chase & Co., 2.20%, 10/22/19		4,155,000		4,119
JPMorgan Chase & Co., 4.125%, 12/15/26		5,000,000		5,005
JPMorgan Chase & Co., 4.85%, 2/1/44		2,000,000		2,219
Lazard Group LLC, 4.25%, 11/14/20		2,955,000		3,114
Lazard Group LLC, 6.85%, 6/15/17		4,000,000		4,453
Lloyds Banking Group PLC, 4.50%, 11/4/24		3,200,000		3,229
Morgan Stanley, 2.375%, 7/23/19		6,300,000		6,277
Morgan Stanley, 3.70%, 10/23/24		6,225,000		6,310
Morgan Stanley, 4.35%, 9/8/26		2,700,000		2,716
Murray Street Investment Trust I, 4.647%, 3/9/17		5,750,000		6,068
Royal Bank of Scotland Group PLC, 5.125%, 5/28/24		1,195,000		1,216
State Street Corp., 3.30%, 12/16/24		4,425,000		4,491


	Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

	Banking continued
	Sumitomo Mitsui Banking Corp., 1.35%, 7/11/17		5,000,000		4,953
	Sumitomo Mitsui Financial Group, Inc., 4.436%, 4/2/24 144A		1,775,000		1,838
	Synchrony Financial, 4.25%, 8/15/24		2,895,000		2,971
(d)	Washington Mutual Bank, 6.75%, 5/20/36		1,100,000		-
(d)	Washington Mutual Bank, 6.875%, 6/15/11		1,620,000		-

	Total				141,321


	Chemicals (0.4%)
	Albemarle Corp., 4.15%, 12/1/24		1,425,000		1,448
	Albemarle Corp., 5.45%, 12/1/44		1,350,000		1,453
	Eastman Chemical Co., 3.80%, 3/15/25		2,865,000		2,916
	Eastman Chemical Co., 4.65%, 10/15/44		1,315,000		1,346
	LYB International Finance BV, 4.875%, 3/15/44		1,255,000		1,291
	The Mosaic Co., 5.625%, 11/15/43		1,200,000		1,375
	Praxair, Inc., 3.55%, 11/7/42		2,000,000		1,947

	Total				11,776


	Consumer Products & Retailing (0.7%)
	Altria Group, Inc., 2.625%, 1/14/20		3,520,000		3,530
	Altria Group, Inc., 4.50%, 5/2/43		1,855,000		1,868
	Bed Bath & Beyond, Inc., 5.165%, 8/1/44		1,800,000		1,883
	LVMH Moet Hennessy Louis Vuitton SA, 1.625%, 6/29/17 144A		4,460,000		4,463
	Philip Morris International, Inc., 3.25%, 11/10/24		1,415,000		1,416
	Philip Morris International, Inc., 4.25%, 11/10/44		1,360,000		1,383
	Signet UK Finance PLC, 4.70%, 6/15/24		4,000,000		3,860

	Total				18,403


	Electric Utilities (1.2%)
	AEP Texas Central Co., 6.65%, 2/15/33		575,000		758
	Alabama Power Co., 3.95%, 6/1/21		2,000,000		2,179
	Alabama Power Co., 4.15%, 8/15/44		1,300,000		1,365

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


		Select Bond Portfolio			101

Select Bond Portfolio


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Electric Utilities continued
Ameren Illinois Co., 4.30%, 7/1/44		1,550,000		1,659
Appalachian Power Co., 4.60%, 3/30/21		1,000,000		1,109
Berkshire Hathaway, 4.50%, 2/1/45 144A		1,875,000		1,962
Bruce Mansfield Unit, 6.85%, 6/1/34		776,290		847
CenterPoint Energy, Inc., 6.50%, 5/1/18		775,000		886
Commonwealth Edison Co., 5.875%, 2/1/33		215,000		270
Connecticut Light & Power Co., 5.65%, 5/1/18		320,000		359
Consolidated Edison Co. of New York, Inc., 4.625%, 12/1/54		1,195,000		1,309
Dayton Power & Light Co., 1.875%, 9/15/16		1,870,000		1,891
The Detroit Edison Co., 3.45%, 10/1/20		1,070,000		1,122
The Detroit Edison Co., 5.45%, 2/15/35		105,000		129
Dominion Resources, Inc., 4.70%, 12/1/44		1,925,000		2,049
Duke Energy Corp., 6.25%, 6/15/18		95,000		108
Duke Energy Ohio, Inc., 3.80%, 9/1/23		365,000		388
Entergy Gulf States Louisiana LLC, 3.78%, 4/1/25		2,000,000		2,082
Mississippi Power Co., 4.75%, 10/15/41		1,600,000		1,766
Northeast Utilities, 2.80%, 5/1/23		1,430,000		1,384
Northeast Utilities, 4.50%, 11/15/19		105,000		114
NV Energy, Inc., 6.25%, 11/15/20		900,000		1,057
Ohio Power Co., 5.375%, 10/1/21		1,000,000		1,157
Pacific Gas & Electric Co., 5.625%, 11/30/17		535,000		595
Public Service Electric & Gas Co., 3.05%, 11/15/24		1,545,000		1,551
Puget Energy, Inc., 5.625%, 7/15/22		1,000,000		1,157
Puget Sound Energy, Inc., 6.274%, 3/15/37		950,000		1,284
Southern Electric Generating Co., 2.20%, 12/1/18 144A		1,715,000		1,728
Southwestern Electric Power Co., 3.55%, 2/15/22		1,300,000		1,333
Tampa Electric Co., 5.40%, 5/15/21		630,000		736


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Electric Utilities continued
Virginia Electric & Power Co., 5.40%, 4/30/18		115,000		129

Total				34,463


Energy (0.7%)
Canadian Oil Sands, Ltd., 6.00%, 4/1/42 144A		1,635,000		1,476
ConocoPhillips Co., 2.875%, 11/15/21		2,285,000		2,308
ConocoPhillips Co., 4.15%, 11/15/34		555,000		570
ConocoPhillips Co., 4.30%, 11/15/44		2,710,000		2,835
Continental Resources, Inc., 4.50%, 4/15/23		4,045,000		3,847
Diamond Offshore Drilling, Inc., 4.875%, 11/1/43		900,000		767
Rowan Cos., 5.40%, 12/1/42		1,590,000		1,385
Talisman Energy, Inc., 3.75%, 2/1/21		2,350,000		2,273
Weatherford International, Ltd., 4.50%, 4/15/22		1,500,000		1,335
Weatherford International, Ltd., 5.95%, 4/15/42		2,000,000		1,693

Total				18,489


Finance (0.1%)
General Electric Capital Corp., 5.875%, 1/14/38		2,475,000		3,132

Total				3,132


Food & Beverage (0.8%)
Anheuser-Busch InBev Finance, Inc., 2.15%, 2/1/19		4,500,000		4,518
Anheuser-Busch InBev Finance, Inc., 2.625%, 1/17/23		2,180,000		2,116
Pernod-Ricard SA, 5.75%, 4/7/21 144A		4,050,000		4,652
Tyson Foods, Inc., 4.50%, 6/15/22		4,510,000		4,883
WM Wrigley Jr. Co., 2.00%, 10/20/17 144A		1,145,000		1,154
WM Wrigley Jr. Co., 2.40%, 10/21/18 144A		320,000		322
WM Wrigley Jr. Co., 2.90%, 10/21/19 144A		760,000		770
WM Wrigley Jr. Co., 3.375%, 10/21/20 144A		3,490,000		3,567

Total				21,982


Foreign Agencies (0.2%)
Pemex Project Funding Master Trust, 6.625%, 6/15/35		460,000		531
Statoil ASA, 2.25%, 11/8/19		2,575,000		2,576


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Foreign Agencies continued
Statoil ASA, 2.90%, 11/8/20		3,000,000		3,069

Total				6,176


Healthcare (0.5%)
McKesson Corp., 3.796%, 3/15/24		1,900,000		1,952
Medtronic, Inc., 2.50%, 3/15/20 144A		1,975,000		1,980
Medtronic, Inc., 3 .15%, 3/15/22 144A		3,030,000		3,069
Medtronic, Inc., 4 .375%, 3/15/35 144A		1,349,000		1,431
Thermo Fisher Scientific, Inc., 1.30%, 2/1/17		3,680,000		3,659
Thermo Fisher Scientific, Inc., 3.30%, 2/15/22		1,900,000		1,903
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21		1,500,000		1,549

Total				15,543


Insurance (0.8%)
ACE INA Holdings, Inc., 3.35%, 5/15/24		895,000		904
Alleghany Corp., 4.90%, 9/15/44		390,000		409
American International Group, Inc., 3.375%, 8/15/20		2,180,000		2,265
American International Group, Inc., 4.50%, 7/16/44		1,385,000		1,463
American International Group, Inc., 8.175%, 5/15/58		800,000		1,084
Anthem, Inc., 5.10%, 1/15/44		1,000,000		1,124
Liberty Mutual Group, Inc., 4.85%, 8/1/44 144A		2,015,000		2,048
Markel Corp., 3.625%, 3/30/23		805,000		810
Markel Corp., 4.90%, 7/1/22		20,000		22
MetLife, Inc., 1.903%, 12/15/17		1,650,000		1,654
Nationwide Financial Services, Inc., 5.30%, 11/18/44 144A		3,100,000		3,270
Prudential Financial, Inc., 4.60%, 5/15/44		690,000		727
Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44 144A		1,435,000		1,599
WellPoint, Inc., 3.125%, 5/15/22		3,770,000		3,768
WellPoint, Inc., 3.50%, 8/15/24		2,010,000		2,025
WellPoint, Inc., 3.70%, 8/15/21		75,000		78

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


102		Select Bond Portfolio	��

Select Bond Portfolio


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Insurance continued
WellPoint, Inc., 4.35%, 8/15/20		35,000		38

Total				23,288


Media (1.2%)
British Sky Broadcasting Group PLC, 3.75%, 9/16/24 144A		3,240,000		3,260
Cox Enterprise, Inc., 4.80%, 2/1/35 144A		2,260,000		2,355
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.80%, 3/15/22		3,000,000		3,052
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.95%, 1/15/25		4,090,000		4,122
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 4.45%, 4/1/24		3,100,000		3,243
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 4.60%, 2/15/21		245,000		262
Grupo Televisa SAB, 5.00%, 5/13/45		1,505,000		1,531
Outerwall, Inc., 5.875%, 6/15/21 144A		1,325,000		1,236
Scripps Networks Interactive, Inc., 2.75%, 11/15/19		1,875,000		1,883
Scripps Networks Interactive, Inc., 3.90%, 11/15/24		3,400,000		3,462
Thomson Reuters Corp., 3.85%, 9/29/24		3,300,000		3,336
Viacom, Inc., 4.85%, 12/15/34		4,390,000		4,493
Viacom, Inc., 5.25%, 4/1/44		1,140,000		1,205

Total				33,440


Metals & Mining (0.2%)
Barrick Gold Corp., 4.10%, 5/1/23		1,355,000		1,319
BHP Hilliton Finance USA, Ltd., 5.00%, 9/30/43		1,140,000		1,292
Freeport-McMoRan, Inc., 4.55%, 11/14/24		2,860,000		2,777
Freeport-McMoRan, Inc., 5.40%, 11/14/34		905,000		882

Total				6,270


Oil & Gas (0.6%)
BP Capital Markets PLC, 3.535%, 11/4/24		1,260,000		1,253
BP Capital Markets PLC, 3.814%, 2/10/24		380,000		382


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Oil & Gas continued
Chevron Corp., 2.193%, 11/15/19		2,845,000		2,856
Kerr-McGee Corp., 6.95%, 7/1/24		5,125,000		6,264
Phillips 66, 4.875%, 11/15/44		3,735,000		3,823
Total Capital International SA, 1.50%, 2/17/17		600,000		604
Total Capital International SA, 2.75%, 6/19/21		1,625,000		1,631
Total Capital SA, 2.125%, 8/10/18		1,500,000		1,512

Total				18,325


Pharmaceuticals (0.9%)
AbbVie, Inc., 4.40%, 11/6/42		1,835,000		1,893
Actavis Funding SCS, 3.85%, 6/15/24		700,000		704
Actavis Funding SCS, 4.85%, 6/15/44		2,040,000		2,070
Amgen, Inc., 1.25%, 5/22/17		6,255,000		6,206
Amgen, Inc., 3.625%, 5/22/24		2,345,000		2,383
Amgen, Inc., 5.375%, 5/15/43		515,000		598
Celgene Corp., 3.625%, 5/15/24		2,585,000		2,640
Celgene Corp., 5.25%, 8/15/43		1,395,000		1,576
Forest Laboratories, Inc., 4.375%, 2/1/19 144A		3,365,000		3,555
Merck & Co., Inc., 4.75%, 3/1/15		500,000		503
Mylan, Inc., 5.40%, 11/29/43		1,265,000		1,404
Perrigo Finance PLC, 3.90%, 12/15/24		2,970,000		3,024

Total				26,556


Pipelines (1.1%)
CenterPoint Energy Resources Corp., 6.125%, 11/1/17		270,000		302
Dominion Gas Holdings LLC, 4.60%, 12/15/44		1,865,000		1,954
El Paso Pipeline Partners Operating Co. LLC, 4.30%, 5/1/24		3,200,000		3,206
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/1/21		4,370,000		4,596
Energy Transfer Partners LP, 6.50%, 2/1/42		890,000		1,023
EnLink Midstream Partners, 5.05%, 4/1/45		2,265,000		2,188
Enterprise Products Operating LLC, 3.75%, 2/15/25		1,915,000		1,922


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Pipelines continued
Enterprise Products Operating LLC, 4.85%, 3/15/44		2,135,000		2,226
Kinder Morgan Energy Partners LP, 3.50%, 3/1/21		1,665,000		1,638
Kinder Morgan Energy Partners LP, 4.15%, 2/1/24		1,650,000		1,646
Kinder Morgan, Inc., 4.30%, 6/1/25		250,000		250
Kinder Morgan, Inc., 5.30%, 12/1/34		880,000		893
Kinder Morgan, Inc., 5.55%, 6/1/45		2,140,000		2,192
NiSource Finance Corp., 6.125%, 3/1/22		1,000,000		1,186
Oneok Partners LP, 5.00%, 9/15/23		1,005,000		1,050
Plains All American Pipeline, 4.90%, 2/15/45		2,195,000		2,231
Sunoco Logistics Partners Operations LP, 5.35%, 5/15/45		3,435,000		3,473

Total				31,976


Real Estate Investment Trusts (0.7%)
DDR Corp., 3.375%, 5/15/23		3,705,000		3,592
DDR Corp., 4.625%, 7/15/22		3,847,000		4,107
Federal Realty Investment Trust, 2.75%, 6/1/23		2,500,000		2,408
Healthcare Trust of America Holdings LP, 3.70%, 4/15/23		1,511,000		1,495
Mid-America Apartments LP, 4.30%, 10/15/23		2,440,000		2,567
Tanger Properties LP, 3.75%, 12/1/24		1,445,000		1,456
WEA Finance LLC/Westfield UK & Europe Finance PLC, 2.70%, 9/17/19 144A		1,500,000		1,500
WEA Finance LLC/Westfield UK & Europe Finance PLC, 3.75%, 9/17/24 144A		2,165,000		2,197

Total				19,322


Services (0.4%)
Alibaba Group Holding, Ltd., 2.50%, 11/28/19 144A		3,695,000		3,645
Alibaba Group Holding, Ltd., 3.60%, 11/28/24 144A		2,795,000		2,772
Amazon.com, Inc., 4.95%, 12/5/44		1,355,000		1,400

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


		Select Bond Portfolio			103

Select Bond Portfolio


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Services continued
MasterCard, Inc., 3.375%, 4/1/24		2,915,000		2,992

Total				10,809


Technology (0.9%)
Anixter, Inc., 5.125%, 10/1/21		1,500,000		1,500
Apple, Inc., 2.85%, 5/6/21		6,765,000		6,920
Apple, Inc., 3.45%, 5/6/24		2,945,000		3,084
Apple, Inc., 4.45%, 5/6/44		1,755,000		1,934
Broadcom Corp., 4.50%, 8/1/34		665,000		697
NCR Corp., 4.625%, 2/15/21		1,200,000		1,164
NCR Corp., 5.875%, 12/15/21		400,000		411
Oracle Corp., 2.50%, 10/15/22		1,500,000		1,461
Oracle Corp., 3.40%, 7/8/24		2,645,000		2,704
Oracle Corp., 4.30%, 7/8/34		3,240,000		3,469
Oracle Corp., 4.50%, 7/8/44		780,000		847

Total				24,191


Telecommunications (1.7%)
America Movil SAB de CV, 5.00%, 3/30/20		1,330,000		1,467
American Tower Corp., 3.45%, 9/15/21		3,000,000		2,949
American Tower Corp., 3.50%, 1/31/23		3,040,000		2,937
AT&T, Inc., 3.00%, 2/15/22		1,000,000		981
AT&T, Inc., 4.30%, 12/15/42		1,475,000		1,402
AT&T, Inc., 4.35%, 6/15/45		2,495,000		2,352
AT&T, Inc., 4.80%, 6/15/44		1,475,000		1,503
AT&T, Inc., 5.55%, 8/15/41		1,260,000		1,404
CenturyLink, Inc., 5.15%, 6/15/17		1,200,000		1,257
Rogers Communications, Inc., 5.45%, 10/1/43		1,115,000		1,280
Verizon Communications, Inc., 2.50%, 9/15/16		3,185,000		3,256
Verizon Communications, Inc., 3.50%, 11/1/24		3,125,000		3,070
Verizon Communications, Inc., 4.40%, 11/1/34		9,084,000		9,029
Verizon Communications, Inc., 4.50%, 9/15/20		3,000,000		3,257
Verizon Communications, Inc., 4.862%, 8/21/46 144A		1,315,000		1,351
Verizon Communications, Inc., 5.15%, 9/15/23		5,895,000		6,510


Corporate Bonds (19.6%)	Shares/ $ Par		Value $ (000’s)

Telecommunications continued
Verizon Communications, Inc., 6.25%, 4/1/37		855,000		1,049
Verizon Communications, Inc., 6.35%, 4/1/19		2,000,000		2,318
Verizon Communications, Inc., 6.40%, 9/15/33		1,578,000		1,944

Total				49,316


Transportation (0.5%)
A.P. Moeller-Maersk A/S, 3.75%, 9/22/24 144A		675,000		693
Canadian National Railway Co., 5.85%, 11/15/17		265,000		297
CSX Corp., 5.60%, 5/1/17		1,245,000		1,362
ERAC USA Finance LLC, 3.85%, 11/15/24 144A		1,235,000		1,253
ERAC USA Finance LLC, 5.625%, 3/15/42 144A		4,410,000		5,148
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.05%, 1/9/20 144A		4,865,000		4,861

Total				13,614


Total Corporate Bonds
(Cost: $551,555)				557,383


Governments (37.7%)

Governments (36.1%)
Federal Home Loan Bank, 0.50%, 9/28/16		3,440,000		3,431
Federal National Mortgage Association, 0.00%, 10/9/19		7,000,000		6,294
US Treasury, 0.375%, 10/31/16		443,745,000		441,907
US Treasury, 0.50%, 9/30/16		23,670,000		23,642
US Treasury, 0.625%, 12/31/16		38,976,000		38,924
US Treasury, 0.875%, 11/15/17		28,559,000		28,423
US Treasury, 1.00%, 12/15/17		11,941,000		11,913
US Treasury, 1.50%, 5/31/19		12,714,000		12,682
US Treasury, 1.50%, 10/31/19		148,125,000		147,222
US Treasury, 1.50%, 11/30/19		753,000		748
US Treasury, 1.625%, 12/31/19		49,303,000		49,230
US Treasury, 1.75%, 9/30/19		118,031,000		118,723
US Treasury, 1.875%, 11/30/21		7,718,000		7,673
US Treasury, 2.25%, 11/15/24		40,454,000		40,726
US Treasury, 3.00%, 11/15/44		1,851,000		1,945


Governments (37.7%)	Shares/ $ Par		Value $ (000’s)

Governments continued
US Treasury, 3.125%, 8/15/44		18,269,000		19,668
US Treasury, 3.375%, 5/15/44		31,492,000		35,453
US Treasury Stripped, 0.00%, 5/15/34		61,400,000		36,323
Yankee Sovereign (1.6%)
Federative Republic of Brazil, 5.00%, 1/27/45		720,000		706
Israel Government AID Bond, 5.50%, 4/26/24		11,750,000		14,568
Mexico Government International Bond, 3.60%, 1/30/25		1,645,000		1,639
Republic of Paraguay, 6.10%, 8/11/44 144A		3,005,000		3,200
Slovakia Government International Bond, 4.375%, 5/21/22 144A		7,300,000		7,895
Slovenia Government International Bond, 5.25%, 2/18/24 144A		5,350,000		5,878
Slovenia Government International Bond, 5.50%, 10/26/22 144A		3,500,000		3,881
Slovenia Government International Bond, 5.85%, 5/10/23 144A		1,500,000		1,696
United Mexican States, 5.75%, 10/12/10		6,565,000		7,057


Total Governments
(Cost: $1,065,893)				1,071,447


Municipal Bonds (2.4%)

Municipal Bonds (2.4%)
American Municipal Power, Inc., Series 2010, 5.939%, 2/15/47 RB		3,330,000		4,187
Bay Area Toll Authority San Francisco Bay Area Toll Bridge, Series 2009-F, 6.263%, 4/1/49 RB		175,000		247
Board of Regents of the University of Texas System, Series 2010C, 4.794%, 8/15/46 RB		2,625,000		3,117
Board of Regents of the University of Texas System, Series 2009B, 6.276%, 8/15/41 RB		910,000		1,052
The City of New York, Series C-1, 5.517%, 10/1/37 GO		1,500,000		1,832
County of Clark Department of Aviation, , 6.82%, 7/1/45 RB		2,900,000		4,253
Dallas Area Rapid Transit, Series 2010B, 5.022%, 12/1/48 RB		3,000,000		3,700

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


104		Select Bond Portfolio

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Municipal Bonds (2.4%)	Shares/ $ Par		Value $ (000’s)

Municipal Bonds continued
Dallas Independent School District, Series 2010C, 6.45%, 2/15/35 GO, PSF		3,000,000		3,593
Dormitory Authority of the State of New York, Series 2010H, 5.389%, 3/15/40 RB		505,000		642
Energy Northwest, Series E, 2.197%, 7/1/19 RB		2,680,000		2,677
Florida Hurricane Catastrophe Fund Finance Corp., Series 2013A, 1.298%, 7/1/16 RB		20,000		20
Florida Hurricane Catastrophe Fund Finance Corp., Series 2013A, 2.107%, 7/1/18 RB		90,000		91
The Illinois State Toll Highway Authority, Series A, 6.184%, 1/1/34 RB		280,000		362
Los Angeles Community College District, Series 2010-E, 6.75%, 8/1/49 GO		2,785,000		4,151
Los Angeles Unified School District, Series RY, 6.758%, 7/1/34 GO		1,500,000		2,090
Louisiana Public Facilities Authority, Series 2008, 6.55%, 8/1/20 RB		4,800,000		5,395
Metropolitan Transportation Authority, Series 2010C-1, 6.687%, 11/15/40 RB		500,000		683
Metropolitan Transportation Authority, Series 2009C, 7.336%, 11/15/39 RB		1,000,000		1,526
Montana Facility Finance Authority, Series 2010A, 4.75%, 5/20/37 RB, GNMA, FHA		3,830,000		4,213
New Jersey Turnpike Authority, Series 2010, 7.102%, 1/1/41 RB		3,295,000		4,779
New Jersey Turnpike Authority, Series 2009F, 7.414%, 1/1/40 RB		800,000		1,202
New York City Municipal Water Finance Authority, Series AA, 5.44%, 6/15/43 RB		1,102,000		1,401
New York City Municipal Water Finance Authority, Series AA-1, 5.75%, 6/15/41 RB		295,000		389
North Texas Tollway Authority, Series 2009-B, 6.718%, 1/1/49 RB		3,285,000		4,756


Municipal Bonds (2.4%)	Shares/ $ Par		Value $ (000’s)

Municipal Bonds continued
Port Authority New York & New Jersey, Series 168, 4.926%, 10/1/51 RB, GO OF AUTH		2,500,000		2,828
State of California, Series A, 4.988%, 4/1/39 GO		2,280,000		2,465
State of California, Series 2010, 5.70%, 11/1/21 GO		2,000,000		2,369
Texas Transportation Commission, Series 2010A, 4.681%, 4/1/40 GO		900,000		1,053
University of California Regents Medical Center, Series H, 6.548%, 5/15/48 RB		2,100,000		2,871


Total Municipal Bonds
(Cost: $62,332)				67,944


Structured Products (48.4%)

Structured Products (48.4%)
Ally Auto Receivables Trust, Series 2013-1, Class A3, 0.63%, 5/15/17		5,045,976		5,047
Ally Auto Receivables Trust, Series 2012-2, Class C, 2.26%, 7/16/18 144A		990,000		999
Ally Master Owner Trust, Series 2014-5, Class A1, 0.651%, 10/15/19		18,542,000		18,542
Ally Master Owner Trust, Series 2012-5, Class A, 1.54%, 9/15/19		10,000,000		9,924
American Express Credit Account Master Trust, Series 2012-1, Class A, 0.431%, 1/15/20		10,000,000		9,994
American Express Credit Account Master Trust, Series 2013-2, Class A, 0.581%, 5/17/21		1,626,000		1,630
American Express Credit Account Master Trust, Series 2012-2, Class A, 0.68%, 3/15/18		16,264,000		16,276
American Express Credit Account Master Trust, Series 2014-3, Class A, 1.49%, 4/15/20		6,575,000		6,581
Asset Securitization Corp., Series 1997-D5, Class PS1, 1.43%, 2/14/43 IO		5,592,952		106


Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 1.92%, 9/20/19 144A		3,422,000		3,386
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.10%, 3/20/19 144A		2,329,000		2,330
BA Credit Card Trust, Series 2014-A3, Class A, 0.451%, 1/15/20		5,000,000		4,999
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-4, Class A5A, 4.933%, 7/10/45		3,897,000		3,934
Bank of America Credit Card Trust, Series 2014-A2, Class A, 0.431%, 9/16/19		11,531,000		11,510
Bank of the West Auto Trust, Series 2014-1, Class A3, 1.09%, 3/15/19 144A		2,384,000		2,385
Bank of the West Auto Trust, Series 2014-1, Class A4, 1.65%, 3/16/20 144A		3,164,000		3,158
Capital Auto Receivables Asset Trust, Series 2013-4, Class A2, 0.85%, 2/21/17		750,000		750
Capital Auto Receivables Asset Trust, Series 2014-1, Class A, 0.96%, 4/20/17		3,675,000		3,679
Capital Auto Receivables Asset Trust, Series 2013-1, Class A4, 0.97%, 1/22/18		17,250,000		17,241
Capital Auto Receivables Asset Trust, Series 2014-3, Class A2, 1.18%, 12/20/17		9,740,000		9,740
Capital Auto Receivables Asset Trust, Series 2014-1, Class A3, 1.32%, 6/20/18		9,528,000		9,564
Capital One Multi-Asset Execution Trust, Series 2014-A2, Class A2, 1.26%, 1/15/20		1,530,000		1,528
Chase Issuance Trust, Series 2007-A2, Class A2, 0.211%, 4/15/19		10,815,000		10,755
Chase Issuance Trust, Series 2013-A3, Class A3, 0.441%, 4/15/20		5,328,000		5,310
Chase Issuance Trust, Series 2012-A8, Class A8, 0.54%, 10/16/17		5,000,000		4,998

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


		Select Bond Portfolio			105

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Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Chase Issuance Trust, Series 2013-A6, Class A6, 0.581%, 7/15/20		9,800,000		9,816
Chase Issuance Trust, Series 2013-A9, Class A, 0.581%, 11/16/20		4,400,000		4,409
Chase Issuance Trust, Series 2013-A7, Class A, 0.591%, 9/15/20		11,246,000		11,278
Chase Issuance Trust, Series 2013-A8, Class A8, 1.01%, 10/15/18		6,265,000		6,265
Chase Issuance Trust, Series 2014-A1, Class A, 1.15%, 1/15/19		4,600,000		4,598
Chase Issuance Trust, Series 2012-A4, Class A4, 1.58%, 8/16/21		3,235,000		3,166
Citibank Credit Card Issuance Trust, Series 2014-A3, Class A3, 0.358%, 5/9/18		22,764,000		22,764
Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.592%, 9/10/20		6,545,000		6,544
Citibank Credit Card Issuance Trust, Series 2014-A6, Class A6, 2.15%, 7/15/21		40,602,000		40,630
Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class A4, 4.131%, 11/10/46		475,000		516
Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35		329,749		334
Commercial Mortgage Trust Pass-Through Certificates, Series 2014-UBS6, Class ASB, 3.387%, 12/10/47		3,518,000		3,631
Commercial Mortgage Trust Pass-Through Certificates, Series 2014-UBS4, Class A5, 3.694%, 8/10/47		6,410,000		6,676
Commercial Mortgage Trust Pass-Through Certificates, Series 2014-CR19, Class A5, 3.796%, 8/10/47		3,055,000		3,225
Commercial Mortgage Trust Pass-Through Certificates, Series 2014-LC15, Class A4, 4.006%, 4/10/47		8,000,000		8,598


Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Commercial Mortgage Trust Pass-Through Certificates, Series 2014-UBS6, Class AM, 4.048%, 12/10/47		3,411,000		3,547
Credit Suisse Mortgage Capital Certificates, Series 2013-IVR4, Class A6, 2.50%, 7/25/43 144A		7,142,650		7,017
Credit Suisse Mortgage Capital Certificates, Series 2009-RR1, Class A3A, 5.383%, 2/15/40 144A		1,995,149		2,077
DBUBS Mortgage Trust, Series 2011-LC1A, Class A3, 5.002%, 11/10/46 144A		9,675,000		10,910
Discover Card Execution Note Trust, Series 2013-A5, Class A5, 1.04%, 4/15/19		9,000,000		8,991
DLJ Commercial Mortgage Corp., Series 1998-CF1, Class S, 1.36%, 2/15/31 IO		6,709,082		56
DLJ Mortgage Acceptance Corp., Series 1997-CF2, Class S, 0.688%, 10/15/30 IO 144A		57,248		-
Federal Home Loan Mortgage Corp., 2.873%, 11/1/44		2,522,000		2,600
Federal Home Loan Mortgage Corp., 2.88%, 12/1/44		2,109,071		2,175
Federal Home Loan Mortgage Corp., 2.91%, 11/1/44		683,000		705
Federal Home Loan Mortgage Corp., 3.00%, 7/15/43		19,172,652		19,444
Federal Home Loan Mortgage Corp., 3.50%, 12/1/29		897,000		955
Federal Home Loan Mortgage Corp., 3.50%, 11/1/42		43,915,876		45,836
Federal Home Loan Mortgage Corp., 4.00%, 10/1/29		14,874,607		16,033
Federal Home Loan Mortgage Corp., 4.00%, 8/1/31		595,593		642
Federal Home Loan Mortgage Corp., 4.50%, 5/1/19		612,140		647
Federal Home Loan Mortgage Corp., 5.00%, 11/1/35		5,132,283		5,719


	Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

	Structured Products continued
	Federal Home Loan Mortgage Corp., Series 2439, Class LH, 6.00%, 4/15/32		1,004,776		1,095
	Federal Home Loan Mortgage Corp., 7.00%, 12/1/35		107,369		125
(n)	Federal Home Loan Mortgage Corp., 2.63%, 1/1/45		5,152,000		5,271
(n)	Federal Home Loan Mortgage Corp., 2.70%, 2/1/45		3,808,000		3,924
(n)	Federal Home Loan Mortgage Corp., 2.73%, 1/1/45		30,000,000		30,788
(n)	Federal Home Loan Mortgage Corp., 2.73%, 2/1/45		3,810,000		3,933
(n)	Federal Home Loan Mortgage Corp., 2.75%, 2/1/45		3,938,000		4,072
(n)	Federal Home Loan Mortgage Corp., 2.80%, 2/1/45		3,810,000		3,940
	Federal National Mortgage Association, 2.516%, 1/1/43		9,267,867		9,350
	Federal National Mortgage Association, 2.70%, 1/1/45		3,938,000		4,047
	Federal National Mortgage Association, 2.76%, 12/1/44		4,789,000		4,935
	Federal National Mortgage Association, 2.799%, 12/1/44		2,000,000		2,063
	Federal National Mortgage Association, 2.815%, 11/1/44		11,062,412		11,411
	Federal National Mortgage Association, 2.99%, 11/1/43		26,378,735		27,225
	Federal National Mortgage Association, 3.50%, 12/1/29		3,075,000		3,272
	Federal National Mortgage Association, 3.50%, 1/1/30		6,237,000		6,647
	Federal National Mortgage Association, 3.50%, 7/1/42		1,133,808		1,184
	Federal National Mortgage Association, 3.50%, 9/1/42		2,112,203		2,205
	Federal National Mortgage Association, 3.50%, 4/1/43		1,541,985		1,610
	Federal National Mortgage Association, 3.50%, 7/1/43		1,972,951		2,060

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


106		Select Bond Portfolio

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	Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

	Structured Products continued
	Federal National Mortgage Association, 4.00%, 8/1/33		6,594,850		7,115
	Federal National Mortgage Association, 4.00%, 11/1/29		24,713,029		26,456
	Federal National Mortgage Association, 4.00%, 5/1/34		56,570,184		60,982
	Federal National Mortgage Association, Series 2013-91, Class CA, 4.00%, 4/25/39		22,144,918		23,648
	Federal National Mortgage Association, Series 2013-133, Class AB, 4.00%, 6/25/39		22,238,804		23,802
	Federal National Mortgage Association, 4.00%, 1/1/43		10,737,794		11,582
	Federal National Mortgage Association, 4.50%, 6/1/19		3,350,131		3,550
	Federal National Mortgage Association, 4.50%, 12/1/19		319,742		337
	Federal National Mortgage Association, 4.50%, 11/1/44		8,328,018		9,232
	Federal National Mortgage Association, 5.00%, 7/1/41		3,203,946		3,616
	Federal National Mortgage Association, 5.50%, 11/1/35		5,436,427		6,138
	Federal National Mortgage Association, 5.50%, 8/1/41		1,074,313		1,203
	Federal National Mortgage Association, Series 2002-W4, Class A4, 6.25%, 5/25/42		5,395,442		5,970
	Federal National Mortgage Association, 6.50%, 7/1/37		3,412,292		3,886
	Federal National Mortgage Association, 6.50%, 9/1/37		1,218,576		1,420
	Federal National Mortgage Association, 6.75%, 4/25/18		74,446		77
	Federal National Mortgage Association Strip, Series 411, Class A3, 3.00%, 8/25/42		27,490,290		27,325
	Federal National Mortgage Association TBA, 2.50%, 1/1/28		1,000,000		1,018
(n)	Federal National Mortgage Association, 2.73%, 2/1/45		1,928,000		1,987


	Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

	Structured Products continued
(n)	Federal National Mortgage Association, 2.75%, 2/1/45		3,823,000		3,935
	Federal National Mortgage Association TBA, 3.00%, 6/4/18		10,800,000		10,925
	Federal National Mortgage Association TBA, 3.00%, 2/1/28		14,000,000		14,526
	Federal National Mortgage Association TBA, 3.00%, 1/1/30		27,900,000		29,000
	Federal National Mortgage Association TBA, 3.50%, 1/1/43		13,100,000		13,656
	Federal National Mortgage Association TBA, 3.50%, 2/1/43		21,700,000		22,562
	Federal National Mortgage Association TBA, 4.00%, 2/1/43		34,600,000		36,832
	Federal National Mortgage Association TBA, 4.00%, 11/1/44		8,300,000		8,858
	Federal National Mortgage Association TBA, 4.50%, 1/1/44		50,100,000		54,382
	Ford Credit Auto Owner Trust, Series 2013-B, Class A3, 0.57%, 10/15/17		4,088,535		4,088
	Ford Credit Auto Owner Trust, Series 2014-A, Class A3, 0.79%, 5/15/18		4,150,000		4,147
	Ford Credit Auto Owner Trust, Series 2013-D, Class A4, 1.11%, 2/15/19		3,500,000		3,490
	Ford Credit Auto Owner Trust, Series 2014-A, Class A4, 1.29%, 4/15/19		5,075,000		5,076
	Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.26%, 11/15/25 144A		6,931,000		6,968
	Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.31%, 4/15/26		6,260,000		6,276
	Ford Credit Floorplan Master Owner Trust, Series 2014-1, Class A1, 1.20%, 2/15/19		1,500,000		1,496
	Government National Mortgage Association, 3.00%, 1/1/45		33,800,000		34,565
	Government National Mortgage Association, 3.50%, 1/1/45		58,100,000		60,987
	Government National Mortgage Association, 3.50%, 2/1/45		13,900,000		14,556


Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Government National Mortgage Association, 4.00%, 1/1/45		15,500,000		16,619
Government National Mortgage Association, 4.00%, 2/1/45		21,400,000		22,899
GS Mortgage Securities Corp. II, Series 2012-GCJ7, Class A1, 1.144%, 5/10/45		990,413		993
GS Mortgage Securities Corp. II, Series 2012-GC3, Class A2, 3.645%, 3/10/44		2,450,404		2,509
GS Mortgage Securities Trust, Series 2014-GC26, Class AAB, 3.365%, 11/10/47		2,187,000		2,260
GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648%, 1/10/47		65,000		68
GS Mortgage Securities Trust, Series 2013-GC16, Class A4, 4.271%, 11/10/46		10,000,000		10,961
GS Mortgage Securities Trust, Series 2009-RR1, Class CSA, 5.286%, 12/17/39 144A		1,119,752		1,181
Honda Auto Receivables Owner Trust, Series 2013-3, Class A3, 0.77%, 5/15/17		3,757,000		3,760
Honda Auto Receivables Owner Trust, Series 2012-2, Class A4, 0.91%, 5/15/18		1,450,000		1,452
Honda Auto Receivables Owner Trust, Series 2014-4, Class A4, 1.46%, 10/15/20		3,287,000		3,279
Hyundai Auto Receivables Trust, Series 2013-C, Class A3, 1.01%, 2/15/18		3,000,000		3,009
Hyundai Auto Receivables Trust, Series 2011-B, Class D, 3.51%, 11/15/17		2,455,000		2,513
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010-1, Class A1, 5.314%, 1/25/51 144A		6,384,682		7,313
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class A1, 1.031%, 5/15/45		3,300,987		3,305

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


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Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB, 3.407%, 11/15/47		32,477,000		33,749
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.44%, 6/12/47		1,902,361		2,023
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-C1, Class ASB, 5.857%, 2/15/51		2,596,439		2,732
MASTR Asset Securitization Trust, Series 2004-9, Class 6A1, 5.00%, 9/25/19		122,625		125
MASTR Asset Securitization Trust, Series 2003-10, Class 1A1, 5.25%, 11/25/23		391,839		397
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1, 5.25%, 12/25/24		327,216		341
MBNA Credit Card Master Note Trust, Series 2004-A3, Class A3, 0.421%, 8/16/21		4,398,000		4,377
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class A4, 5.047%, 7/12/38		4,797,000		4,838
Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class AM, 5.288%, 11/12/37		3,330,000		3,419
Mid-State Trust, Series 6, Class A3, 7.54%, 7/1/35		191,588		205
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class ASB, 3.654%, 4/15/47		65,000		68
Navient Student Loan Trust, Series 2014-1, Class A2, 0.465%, 3/27/23		1,350,000		1,345
Navient Student Loan Trust, Series 2014-8, Class A2, 0.595%, 4/25/23		10,153,000		10,158
Navient Student Loan Trust, Series 2014-8, Class B, 1.655%, 7/26/49		2,092,000		2,028
Nelnet Student Loan Trust, Series 2004-4, Class A5, 0.394%, 1/25/37		4,812,494		4,760


Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Oncor Electric Delivery Transition Bond Co., Series 2004-1, Class A3, 5.29%, 5/15/18		2,591,249		2,695
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1, 4.50%, 10/25/18		104,883		107
Sequoia Mortgage Trust, Series 2013-5, Class A2, 3.00%, 5/25/43 144A		3,754,968		3,705
Sequoia Mortgage Trust, Series 2011-2, Class A1, 3.90%, 9/25/41		1,698,671		1,733
SLM Private Education Loan Trust, Series 2014-A, Class A1, 0.761%, 7/15/22 144A		2,905,501		2,904
SLM Private Education Loan Trust, Series 2011-C, Class A1, 1.561%, 12/15/23 144A		5,559,444		5,589
SLM Private Education Loan Trust, Series 2012-D, Class A2, 2.95%, 2/15/46		4,356,000		4,476
SLM Private Education Loan Trust, Series 2011-B, Class A2, 3.74%, 2/15/29		3,590,000		3,764
SLM Private Education Loan Trust, Series 2012-A, Class A2, 3.83%, 1/17/45		1,945,000		2,045
SLM Private Education Loan Trust, Series 2011-A, Class A2, 4.37%, 4/17/28		1,400,000		1,492
SLM Student Loan Trust, Series 2006-9, Class A4, 0.304%, 10/25/22		3,303,752		3,298
SLM Student Loan Trust, Series 2005-5, Class A3, 0.334%, 4/25/25		1,721,145		1,714
SLM Student Loan Trust, Series 2007-2, Class B, 0.404%, 7/25/25		1,426,000		1,287
SLM Student Loan Trust, Series 2013-6, Class A1, 0.435%, 2/25/19		3,566,235		3,566
SLM Student Loan Trust, Series 2012-5, Class A2, 0.47%, 6/25/19		19,083,820		19,080
SLM Student Loan Trust, Series 2014-2, Class A2, 0.519%, 10/25/21		5,367,000		5,346
SLM Student Loan Trust, Series 2014-1, Class A2, 0.549%, 7/26/21		950,000		950
SLM Student Loan Trust, Series 2012-6, Class A3, 0.919%, 5/26/26		20,950,000		21,056


Structured Products (48.4%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
SLM Student Loan Trust, Series 2012-6, Class B, 1.17%, 4/27/43		3,000,000		2,803
SLM Student Loan Trust, Series 2012-7, Class B, 1.969%, 9/25/43		4,250,000		4,257
Toyota Auto Receivables Owner Trust, Series 2014-B, Class A4, 1.31%, 9/16/19		3,750,000		3,740
Toyota Auto Receivables Owner Trust, Series 2013-B, Class A4, 1.46%, 1/15/19		5,000,000		5,042
Trade MAPS, Ltd., Series 2013-1A, Class A, 0.862%, 12/10/18 144A		9,100,000		9,112
World Financial Network Credit Card Master Trust, Series 2014-B, Class A, 0.61%, 7/15/19		3,063,000		3,062


Total Structured Products
(Cost: $1,370,270)				1,374,505


Total Investments (108.1%)
(Cost: $3,050,050)(a)				3,071,279

Other Assets, Less Liabilities (-8.1%)				(230,123	)

Net Assets (100.0%)				2,841,156

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


108		Select Bond Portfolio

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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, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $3,051,350 and the net unrealized appreciation of investments based on that cost was $19,929 which is comprised of $26,186 aggregate gross unrealized appreciation and $6,257 aggregate gross unrealized depreciation.

(d)	Defaulted Security

(n)	Security issued on a when-issued basis

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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 & Agency Bonds	$	-	$	1,071,447	$	-
Municipal Bonds		-		67,944		-
Corporate Bonds		-		557,383		-
Structured Products		-		1,374,505		-
Total	$	-	$	3,071,279	$	-

For the period ended December 31, 2014, there were transfers from a Level 3 to a Level 2 in the amount of $9,112 thousand. These transfers were the result of an increase in the quantity of observable inputs for a security that was previously priced by a third party utilizing a broker quote.

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2014. (Amounts in thousands)


Category	Market Value 12/31/13		Net Purchases		Net Sales		Accrued Discounts/ (Premiums)		Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfers in at Market Value		Transfers out at Market Value		Market Value 12/31/14		Net Change in Unrealized Appreciation/ (Depreciation) on Invetments Held at 12/31/14
Structured Products	$	18,660	$	9,376	$	18,844	$	-	$	87	$	(167	)	$	-	$	9,112	$	-	$	-

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


		Select Bond Portfolio			109

Long-Term U.S. Government Bond Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Maximum total return, consistent with

preservation of capital and prudent

investment management.

Invest in a diversified portfolio of fixed income securities that are issued or guaranteed by the U.S. Government, its agencies or government sponsored enterprises, and in derivatives designed to replicate such securities.

$109 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Long-Term U.S. Government Bond Portfolio (the “Portfolio”), has engaged Pacific Investment Management Company LLC (“PIMCO”) to act as sub-adviser for the Portfolio. The Portfolio invests in a diversified portfolio of fixed income securities that are issued or guaranteed by the U.S. Government, its agencies or government sponsored enterprises (“U.S. Government Securities”), which may be represented by forwards or derivatives, such as options, futures contracts or interest rate swap agreements. Assets not invested in U.S. Government Securities may be invested in other types of 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’s investments in fixed income securities are limited to investment grade U.S. dollar denominated securities of U.S. issuers that are rated at least A by Moody’s or equivalently rated by S&P or Fitch, or, if unrated, determined by PIMCO to be of comparable quality.

Market Overview

Both uncertainty and volatility increased in the first quarter of 2014. Bond markets rallied early in the quarter due to the somewhat uncertain pace of economic expansion and mostly held on to gains as the crisis in Ukraine led a general flight to quality. European economies continued to stabilize but concerns rose in Asia, especially over China’s economic health.

The second quarter of 2014 saw the return of risk appetite and an easing of global political risks. Bond markets rallied as central banks remained accommodative. Emerging markets (“EM”) led gains, and developed market yields fell to twelve-month lows during the quarter.

The third quarter was marked by geopolitical tension and diverging markets. Most developed market government yields moved lower, while credit markets backed up. Given the improvement in the outlook for growth, the Federal Reserve (the “Fed”) policy rate projections increased modestly and the U.S. dollar surged versus its major trading partners. Further east, growth concerns developed in China and Japan, and in EM tensions over Ukraine pushed the U.S. and European Union to expand sanctions on Russia.

The final quarter of 2014 saw continued global growth divergence, but the most defining event was the sharp decline in oil prices and accompanying market volatility, which dissipated quickly but still managed to leave certain risk sectors bruised. Growth in the U.S. exceeded expectations and handily outpaced its peers in the developed world, especially Japan and Europe, which continued to struggle.

Portfolio Results

The Portfolio returned 23.73% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Barclays^® Long-Term U.S. Treasury Index (the “Index”), returned 25.07%. (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) According to Morningstar^® Inc., an independent mutual fund ranking agency, the average return of the Long Government peer group for 2014 was 18.58%.

The Portfolio’s allocation along the range of bond maturities was the primary detractor from performance. An underweight in longer-term bonds was negative for returns as rates fell for these maturities. An allocation to Treasury Inflation-Protected Securities was also negative for performance as inflation expectations fell. Holdings of agency debentures and agency mortgages contributed to returns during the period.

As a tool in managing the Portfolio’s Treasury exposure and yield curve positioning, Treasury futures were used during the period.

Portfolio Manager Outlook

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

We expect global growth to accelerate from around 2.5% this year to 2.75% next year. This incremental improvement comes from our view that lower oil prices will be a positive shock for a majority of global economies, as petrodollars are redirected from producers to consumers. Declining oil prices will also have a clear downside impact on global inflation, allowing many countries to sustain or increase growth-supportive monetary policy measures.


110		Long-Term U.S. Government Bond Portfolio

Long-Term U.S. Government Bond Portfolio (unaudited)

support a healthy pace of payroll gains, wage pressures are expected to gradually rise as the unemployment rate falls further. While falling oil prices should keep headline inflation subdued, we expect the Fed will take its policy signals from marginal wage gains and begin to gradually raise policy interest rates in mid-2015. As a result of the stronger growth outlook and likelihood for policy normalization, we expect the strength of the U.S. dollar versus other currencies to persist.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years		Since Inception*
Long-Term U.S. Government Bond Portfolio		23.73	%		9.69%		8.86%
Barclays^® Long-Term U.S. Treasury Index		25.07	%		9.96%		8.51%
Morningstar^® US Insurance Fund Long Government Average		18.58	%		8.27%		–

*Inception

date of 4/30/07

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			111

Long-Term U.S. Government Bond Portfolio (unaudited)

Top 10 Fixed Income Holdings 12/31/14


Security Description	% of Market Value
US Treasury, Various		73.4	%
Residual Funding Stripped, Various		4.9	%
Federal National Mortgage Association, Various		4.6	%
Financing Corp., Various		2.2	%
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3.00%, 8/15/32		1.9	%
Freddie Mac Remics, , , 4.00%, 9/15/44		1.8	%
Israel Government AID Bond, Various		1.7	%
Federal Home Loan Mortgage Corp., Series 2752, Class EZ, 5.50%, 2/15/34		0.6	%
Tennessee Valley Authority, Various		0.6	%
Vessel Management Services, Inc., 3.432%, 8/15/36		0.5	%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on fixed income investments.

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 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.


112		Long-Term U.S. Government Bond Portfolio

Long-Term U.S. Government Bond Portfolio

Schedule of Investments

December 31, 2014


	Governments (93.1%)		Shares/ $ Par		Value $ (000’s)

	Governments (93.1%)
	Federal National Mortgage Association, 5.625%, 4/17/28			100,000	128
	Federal National Mortgage Association, 6.25%, 5/15/29			2,000,000	2,786
	Federal National Mortgage Association, 7.125%, 1/15/30			700,000	1,067
	Financing Corp., 8.60%, 9/26/19			700,000	911
	Financing Corp. Stripped, 0.00%, 12/27/18			500,000	466
	Financing Corp. Stripped, 0.00%, 9/26/19			1,300,000	1,186
	Israel Government AID Bond, 0.00%, 2/15/23			100,000	81
	Israel Government AID Bond, 0.00%, 5/15/23			500,000	402
	Israel Government AID Bond, 5.50%, 9/18/33			300,000	403
	Israel Government AID Bond, 5.50%, 9/18/23			800,000	985
	Israel Government AID Bond, 5.50%, 4/26/24			100,000	124
	Residual Funding Corp. Stripped, 0.00%, 4/15/30	��		4,800,000	3,045
	Residual Funding Corp. Stripped, 0.00%, 10/15/20			2,000,000	1,768
	Resolution Funding Corp. Stripped, 0.00%, 1/15/20			700,000	635
	Resolution Funding Corp. Stripped, 0.00%, 4/15/28			400,000	273
	Tennessee Valley Authority, 4.625%, 9/15/60			300,000	341
	Tennessee Valley Authority Stripped, 0.00%, 5/1/30			500,000	301
	US Treasury, 2.00%, 11/15/21			112,000	112
	US Treasury, 2.50%, 5/15/24			1,600,000	1,648
	US Treasury, 3.125%, 11/15/41			3,250,000	3,507
(b)	US Treasury, 3.125%, 2/15/42			14,000,000	15,071
	US Treasury, 3.125%, 2/15/43			2,050,000	2,201
	US Treasury, 3.125%, 8/15/44			4,000,000	4,306


	Governments (93.1%)	Shares/ $ Par	Value $ (000’s)

	Governments continued
(b)	US Treasury, 3.375%, 5/15/44	11,100,000		12,496
	US Treasury, 3.75%, 11/15/43	4,000,000		4,808
(b)	US Treasury, 4.375%, 11/15/39	19,000,000		24,914
	US Treasury, 4.50%, 8/15/39	3,800,000		5,064
	US Treasury, 6.25%, 5/15/30	1,500,000		2,241
	US Treasury Inflation Index Bond, 1.375%, 2/15/44	1,120,735		1,268
	US Treasury Inflation Index Bond, 2.00%, 1/15/26	119,637		137
	US Treasury Inflation Index Bond, 3.625%, 4/15/28	146,811		202
	US Treasury Stripped, 0.00%, 5/15/33	1,000,000		609
	US Treasury Stripped, 0.00%, 8/15/39	1,400,000		712
	US Treasury Stripped, 0.00%, 5/15/40	11,400,000		5,660
	US Treasury Stripped, 0.00%, 5/15/42	800,000		369
	US Treasury Stripped, 0.00%, 8/15/42	1,400,000		638
	US Treasury Stripped, 0.00%, 11/15/42	600,000		271
	Vessel Management Services, Inc., 3.432%, 8/15/36	613,000		629


	Total Governments
	(Cost: $94,132)			101,765


	Municipal Bonds (0.3%)

	Municipal Bonds (0.3%)
	Massachusetts Educational Financing Authority, Series 2008-1, 1.184%, 4/25/38 RB	144,219		145
	Poway Unified Public School District, Series 2007, 4.50%, 9/15/37 RB, AMBAC	200,000		204
	South Carolina Student Loan Corp., Series 2008-1, 0.784%, 3/1/18 RB	13,411		13


	Total Municipal Bonds
	(Cost: $350)			362


Structured Products (7.4%)	Shares/ $ Par		Value $ (000’s)

Structured Products (7.4%)
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3, 2.248%, 7/25/33		2,989		3
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 2.472%, 8/25/33		2,888		3
Federal Home Loan Mortgage Corp., Series 3346, Class FA, 0.391%, 2/15/19		13,797		14
Federal Home Loan Mortgage Corp., Series T61, Class 1A1, 1.515%, 7/25/44		20,383		21
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3.00%, 8/15/32		2,200,000		2,192
Federal Home Loan Mortgage Corp., Series 4387, Class AZ, 4.00%, 9/15/44		2,020,067		2,145
Federal Home Loan Mortgage Corp., Series 3203, Class ZW, 5.00%, 11/15/35		454,675		502
Federal Home Loan Mortgage Corp., Series 2752, Class EZ, 5.50%, 2/15/34		665,048		717
Federal National Mortgage Association, Series 2007-114, Class A6, 0.370%, 10/27/37		100,000		99
Federal National Mortgage Association, 3.765%, 12/1/25		900,000		975
Federal National Mortgage Association, Series 2007-39, Class NZ, 4.250%, 5/25/37		276,877		294
Federal National Mortgage Association, 5.00%, 6/1/35		151,213		167
Federal National Mortgage Association, 5.00%, 2/1/36		245,151		271
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class 3A, 2.791%, 5/25/33		2,768		3
SLM Student Loan Trust, Series 2007-2, Class A2, 0.234%, 7/25/17		66,921		67

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


		Long-Term U.S. Government Bond Portfolio			113

Long-Term U.S. Government Bond Portfolio


	Structured Products (7.4%)	Shares/ $ Par		Value $ (000’s)

	Structured Products continued
	SLM Student Loan Trust, Series 2008-7, Class A2, 0.734%, 10/25/17		51,320		51
	SLM Student Loan Trust, Series 2003-7A, Class A5A, 1.441%, 12/15/33 144A		194,911		193
	SLM Student Loan Trust, Series 2008-9, Class A, 1.734%, 4/25/23		302,493		311
	Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, 0.824%, 10/19/34		9,679		9
	Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR1, Class A, 2.419%, 3/25/34		26,046		26


	Total Structured Products
	(Cost: $7,800)				8,063


	Short-Term Investments (6.7%)

	Commercial Paper (1.3%)
(b)	Federal Home Loan Bank, 0.00%, 1/28/15		300,000		300
(b)	Federal Home Loan Bank, 0.00%, 2/12/15		400,000		400
(b)	Federal Home Loan Bank, 0.08%, 4/17/15		200,000		200
(b)	Federal Home Loan Bank, 0.09%, 3/11/15		100,000		100
(b)	Federal Home Loan Mortgage Corp., 0.10%, 3/19/15		100,000		100
(b)	Federal Home Loan Mortgage Corp., 0.12%, 5/27/15		100,000		100
(b)	Federal National Mortgage Association, 0.09%, 4/13/15		200,000		200

	Total				1,400


	Short-Term Investments (6.7%)	Shares/ $ Par		Value $ (000’s)

	Repurchase Agreements (5.4%)
(b)	US Treasury Repurchase, 0.15%, dated 12/31/14, due 1/2/15, (collateralized by US Treasury Bond, 3.75%, 11/15/43, valued at $5,997,277, repurchase proceeds of $5,900,000)		5,900,000		5,900

	Total				5,900

	Total Short-Term Investments
	(Cost: $7,300)				7,300


	Total Investments (107.5%)
	(Cost: $109,582)(a)				117,490

	Other Assets, Less Liabilities (-7.5%)				(8,240	)

	Net Assets (100.0%)				109,250

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


114		Long-Term U.S. Government Bond Portfolio

Long-Term U.S. Government Bond Portfolio

RB — Revenue Bond

AMBAC — American Municipal Bond Assurance Corp.

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $113,623 and the net unrealized appreciation of investments based on that cost was $3,867 which is comprised of $7,978 aggregate gross unrealized appreciation and $4,111 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)
90 Day Euro $ Commodity Future (Short) (Total Notional Value at December 31, 2014, $24,671)	101	6/17	$	(28	)
90 Day Euro $ Commodity Future (Long) (Total Notional Value at December 31, 2014, $24,880)	101	6/16		9
US Long Treasury Bond Futures (Long) (Total Notional Value at December 31, 2014, $1,266)	9	3/15		35

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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 & Agency Bonds	$	-		$	101,765	$	-
Municipal Bonds		-			362		-
Structured Products		-			8,063		-
Short-Term Investments		-			7,300		-
Other Financial Instruments^
Futures		44			-		-
Total Assets	$	44		$	117,490	$	-
Liabilities:
Other Financial Instruments^
Futures		(28	)		-		-
Total Liabilities	$	(28	)	$	-	$	-

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


		Long-Term U.S. Government Bond Portfolio			115

Inflation Protection Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Total return using a strategy that seeks to protect against U.S. inflation.	Invest substantially all assets in investment grade debt securities, with a majority in inflation-indexed debt securities.	$286 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Inflation Protection Portfolio (the “Portfolio”), has engaged American Century Investment Management, Inc. (“American Century”) to act as sub-adviser for the Portfolio. The Portfolio invests substantially all of its assets in investment grade debt securities. To help protect against U.S. inflation, under normal conditions, the Portfolio will invest over 50% of its net assets in inflation-indexed debt securities. These securities include inflation-indexed U.S. Treasury Securities, inflation-indexed securities issued by U.S. government agencies and instrumentalities other than the U.S. Treasury, and inflation-indexed 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 inflation-indexed, including mortgage- and asset-backed securities. The Portfolio invests primarily 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

Most investors entered 2014 expecting U.S. interest rates to rise and the U.S. economy to gain ground, and, indeed, U.S. economic activity steadily improved after the first quarter. By the third quarter of 2014 (the latest data available as of year-end), the U.S. economy expanded at an annual rate of 5%, its fastest pace in more than a decade. Yet, these gains proved to have little effect on interest rates or inflation. Instead, longer-maturity rates declined more than 1% and inflation remained tame, providing a backdrop that supported broad fixed income gains.

Tame inflation and demand for perceived “safe-haven” Treasurys, which was triggered largely by geopolitical tensions (primarily in Russia/Ukraine and throughout the Middle East) and the relative attractiveness of U.S. fixed income securities versus those of other regions, generally helped drive down Treasury yields. Although Treasury inflation-protected securities (“TIPS”) returns remained positive, largely due to the strong rally among longer-maturity Treasurys, they lagged nominal Treasury returns and the broad investment grade fixed income benchmark average, according to various Barclays^® Indices. The lagging results for TIPS were due to weak current inflation and declining longer-term inflation expectations.

At the end of December 2014, the annual headline inflation rate, as measured by CPI, was only 0.8%. Global commodity prices, which influence the inflation rate, declined sharply during the year, driven largely by a steep drop in oil prices. Brent crude plunged 50%, while West Texas Intermediate (WTI) crude futures declined 46%. Similarly, long-term expectations for inflation remained subdued due to subpar global growth, a rallying U.S. dollar and muted current inflation.

Portfolio Results

For the twelve months ended December 31, 2014, the Portfolio advanced 3.14%, compared with the gain of 3.64% for the Barclays U.S. TIPS Index, the Portfolio’s benchmark. (This Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) According to Lipper^® Inc., an independent mutual fund ranking agency, the average return of the Inflation Protected Bond Funds peer group for 2014 was 3.88%.

The Portfolio’s duration strategy detracted from relative performance. Anticipating a gradual “normalization” in interest rates, the Portfolio maintained a shorter-than-benchmark duration. However, interest rates continued to decline in 2014. With global and technical factors, rather than the U.S. economic backdrop, driving the rate environment, the portfolio managers reduced the Portfolio’s short duration position late in the period.

The Portfolio’s relative performance benefited from exposure to certain non-benchmark securities that outperformed TIPS. The Portfolio was nearly as fully invested in TIPS as allowed by IRS portfolio diversification regulations for insurance products (54% of assets versus the IRS maximum of 55%). The remainder of the Portfolio included positions in investment grade corporate, mortgage and agency securities, which outperformed the all-TIPS benchmark. The Portfolio also held non-dollar inflation-linked bonds (hedged against currency fluctuations), which weighed on Portfolio performance. Most of the exposure in this allocation was to Europe, where inflation was even weaker than it was in the U.S.

In an effort to maintain maximum inflation protection and provide TIPS-like performance without investing further in TIPS, the Portfolio used inflation swaps to create an inflation-linked overlay for the non-inflation-linked securities. The swaps outperformed and aided Portfolio performance for the year, primarily because of the use of corporate and mortgage securities as the counterparts to the swap agreements.

Portfolio Manager Outlook

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


116		Inflation Protection Portfolio

Inflation Protection Portfolio (unaudited)

We believe falling oil prices and global factors will keep U.S. inflation relatively low and contained in the near term. Longer term, we believe the large amount of monetary stimulus and an improving U.S. economy may trigger higher inflation, underscoring the importance of TIPS. In addition, with inflation expectations near seven-year lows, we believe TIPS currently represent an attractive buying opportunity.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			Since Inception*
Inflation Protection Portfolio		3.14	%		3.71	%		4.39	%
Barclays^® U.S. Treasury Inflation Protected Securities (TIPS) Index		3.64	%		4.11	%		4.86	%
Lipper^® Variable Insurance Products (VIP) Inflation Protected Bonds Funds Average		3.88	%		4.02	%		-

*	Inception date of 4/30/07

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, 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.


		Inflation Protection Portfolio			117

Inflation Protection Portfolio (unaudited)

Top 10 Fixed Income Holdings 12/31/14


Security Description		% of Net Assets
US Treasury Inflation Index Bond, Various		54.1%
United Kingdom Gilt Inflation Linked, Various		7.7%
Federal Home Loan Mortgage Corp., Various		4.5%
France Government Bond OAT, Various		4.4%
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond, Various		1.6%
Canadian Government Bond, Various		0.7%
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A15, 2.614%, 6/25/35		0.6%
Bank of America Corp., Various		0.5%
General Electric Capital Corp., Various		0.5%
Comcast Corp., Various		0.4%

Sector Allocation 12/31/14

LOGO

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.


118		Inflation Protection Portfolio

Inflation Protection Portfolio

Schedule of Investments

December 31, 2014


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Aerospace & Defense (0.2%)
L-3 Communications Corp., 5.20%, 10/15/19		50,000		55
Lockheed Martin Corp., 2.125%, 9/15/16		100,000		102
Lockheed Martin Corp., 4.25%, 11/15/19		200,000		218
Raytheon Co., 2.50%, 12/15/22		300,000		292

Total				667

Autos & Vehicle Parts (0.3%)
Daimler Finance North America LLC, 1.875%, 1/11/18 144A		200,000		201
Ford Motor Credit Co. LLC, 2.375%, 1/16/18		200,000		201
Ford Motor Credit Co. LLC, 5.00%, 5/15/18		100,000		109
Toyota Motor Credit Corp., 3.30%, 1/12/22		350,000		364

Total				875


Banking (3.3%)
American Express Co., 1.55%, 5/22/18		350,000		347
American Express Credit Corp., 1.30%, 7/29/16		70,000		70
Ameriprise Financial, Inc., 4.00%, 10/15/23		100,000		106
Bank of America Corp., 3.30%, 1/11/23		350,000		350
Bank of America Corp., 5.75%, 12/1/17		650,000		718
Barclays Bank PLC, 3.75%, 5/15/24		100,000		103
BB&T Corp., 2.05%, 6/19/18		100,000		101
BNP Paribas SA, 2.40%, 12/12/18		150,000		152
Branch Banking & Trust Co., 3.80%, 10/30/26		200,000		204
Capital One Bank USA NA, 2.30%, 6/5/19		250,000		248
Capital One Financial Corp., 2.45%, 4/24/19		100,000		100
Capital One Financial Corp., 3.15%, 7/15/16		100,000		103
Citigroup, Inc., 1.75%, 5/1/18		200,000		198
Citigroup, Inc., 3.75%, 6/16/24		150,000		153
Citigroup, Inc., 4.00%, 8/5/24		250,000		251
Citigroup, Inc., 4.05%, 7/30/22		300,000		310
Citigroup, Inc., 5.50%, 2/15/17		150,000		161


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Banking continued
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/8/22		200,000		213
Credit Suisse of New York, 3.625%, 9/9/24		250,000		254
Fifth Third Bancorp, 4.30%, 1/16/24		60,000		63
Fifth Third Bank, 2.875%, 10/1/21		250,000		250
The Goldman Sachs Group, Inc., 2.375%, 1/22/18		200,000		202
The Goldman Sachs Group, Inc., 2.90%, 7/19/18		100,000		103
The Goldman Sachs Group, Inc., 3.625%, 1/22/23		500,000		506
The Goldman Sachs Group, Inc., 3.85%, 7/8/24		150,000		154
The Goldman Sachs Group, Inc., 5.75%, 1/24/22		230,000		266
HSBC Holdings PLC, 5.10%, 4/5/21		200,000		226
JPMorgan Chase & Co., 3.875%, 9/10/24		250,000		250
JPMorgan Chase & Co., 4.50%, 1/24/22		500,000		546
JPMorgan Chase & Co., 4.625%, 5/10/21		250,000		275
Morgan Stanley, 5.00%, 11/24/25		670,000		715
Morgan Stanley, 5.95%, 12/28/17		200,000		222
PNC Bank, N.A., 6.00%, 12/7/17		200,000		223
Standard Chartered PLC, 3.95%, 1/11/23 144A		60,000		58
Synchrony Financial, 3.00%, 8/15/19		250,000		253
U.S. Bancorp, 2.95%, 7/15/22		200,000		197
U.S. Bancorp, 3.60%, 9/11/24		200,000		203
Wells Fargo & Co., 4.125%, 8/15/23		100,000		105
Wells Fargo & Co., 5.625%, 12/11/17		400,000		445

Total				9,404


Basic Materials (0.1%)
Georgia-Pacific LLC, 2.539%, 11/15/19 144A		100,000		100


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Basic Materials continued
Georgia-Pacific LLC, 5.40%, 11/1/20 144A		140,000		157
International Paper Co., 6.00%, 11/15/41		75,000		88

Total				345


Capital Goods (0.2%)
Caterpillar Financial Services Corp., 1.25%, 11/6/17		60,000		60
Deere & Co., 2.60%, 6/8/22		60,000		59
Deere & Co., 5.375%, 10/16/29		100,000		121
John Deere Capital Corp., 3.15%, 10/15/21		290,000		301

Total				541


Chemicals (0.5%)
The Dow Chemical Co., 2.50%, 2/15/16		130,000		132
The Dow Chemical Co., 3.50%, 10/1/24		200,000		198
E.I. du Pont de Nemours & Co., 4.15%, 2/15/43		200,000		201
Eastman Chemical Co., 3.60%, 8/15/22		140,000		142
Ecolab, Inc., 4.35%, 12/8/21		360,000		392
LYB International Finance BV, 4.875%, 3/15/44		100,000		103
LyondellBasell Industries NV, 5.00%, 4/15/19		75,000		82
The Mosaic Co., 5.625%, 11/15/43		100,000		115

Total				1,365


Conglomerate & Diversified Manufacturing (0.2%)
General Electric Co., 5.25%, 12/6/17		210,000		233
Ingersoll-Rand Luxembourg Finance SA, 3.55%, 11/1/24		200,000		199
United Technologies Corp., 4.50%, 6/1/42		80,000		87

Totalaea				519


Consumer Products & Retailing (0.8%)
Colgate-Palmolive Co., 3.25%, 3/15/24		200,000		207
CVS Caremark Corp., 2.75%, 12/1/22		500,000		487
The Home Depot, Inc., 4.20%, 4/1/43		200,000		208

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


		Inflation Protection Portfolio			119

Inflation Protection Portfolio


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Consumer Products & Retailing continued
Macy’s Retail Holdings, Inc., 3.625%, 6/1/24		150,000		152
McDonald’s Corp., 3.25%, 6/10/24		150,000		153
NIKE, Inc., 2.25%, 5/1/23		250,000		243
Unilever Capital Corp., 2.20%, 3/6/19		200,000		202
Wal-Mart Stores, Inc., 3.25%, 10/25/20		400,000		418
Wal-Mart Stores, Inc., 5.625%, 4/15/41		300,000		383

Total				2,453


Electric Utilities (0.5%)
CMS Energy Corp., 6.25%, 2/1/20		100,000		116
Constellation Energy Group, Inc., 5.15%, 12/1/20		260,000		288
Dominion Resources, Inc., 3.625%, 12/1/24		200,000		202
Dominion Resources, Inc., 6.40%, 6/15/18		340,000		388
Duke Energy Corp., 3.55%, 9/15/21		150,000		157
Georgia Power Co., 4.30%, 3/15/42		100,000		105
Potomac Electric Power Co., 3.60%, 3/15/24		80,000		84
Virginia Electric and Power Co., 3.45%, 2/15/24		50,000		51

Total				1,391


Energy (0.8%)
Anadarko Petroleum Corp., 5.95%, 9/15/16		100,000		107
Apache Corp., 4.75%, 4/15/43		225,000		211
ConocoPhillips, Co., 2.40%, 12/15/22		280,000		268
Ensco PLC, 4.70%, 3/15/21		250,000		251
EOG Resources, Inc., 2.50%, 2/1/16		300,000		305
Noble Energy, Inc., 4.15%, 12/15/21		330,000		337
Occidental Petroleum Corp., 1.75%, 2/15/17		370,000		372
Sempra Energy, 6.50%, 6/1/16		50,000		54
Talisman Energy, Inc., 3.75%, 2/1/21		150,000		145
Transocean, Inc., 3.80%, 10/15/22		100,000		81
Transocean, Inc., 5.05%, 12/15/16		100,000		100

Total				2,231


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Finance (0.4%)
General Electric Capital Corp., 2.10%, 12/11/19		250,000		249
General Electric Capital Corp., 4.65%, 10/17/21		100,000		113
General Electric Capital Corp., 5.625%, 9/15/17		500,000		555
General Electric Capital Corp., 6.00%, 8/7/19		110,000		128

Total				1,045


Food & Beverage (0.6%)
Anheuser-Busch InBev Worldwide, Inc., 5.375%, 1/15/20		525,000		595
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19		120,000		145
Diageo Capital PLC, 2.625%, 4/29/23		200,000		194
General Mills, Inc., 3.15%, 12/15/21		450,000		465
Mondelez International, Inc., 4.00%, 2/1/24		100,000		105
Sysco Corp., 3.00%, 10/2/21		200,000		203

Total				1,707


Foreign Agencies (0.2%)
CNOOC Nexen Finance 2014 ULC, 1.625%, 4/30/17		100,000		100
Petrobras Global Finance BV, 4.375%, 5/20/23 144A		240,000		206
Statoil ASA, 2.45%, 1/17/23		250,000		238

Total				544


Healthcare (0.5%)
Baxter International, Inc., 1.85%, 1/15/17		200,000		203
Baxter International, Inc., 3.20%, 6/15/23		150,000		151
Catholic Health Initiatives, 2.95%, 11/1/22		100,000		98
Dignity Health, 2.637%, 11/1/19		200,000		202
Express Scripts Holding Co., 3.125%, 5/15/16		150,000		154
Express Scripts Holding Co., 7.25%, 6/15/19		100,000		120
Medtronic, Inc., 2.50%, 3/15/20 144A		100,000		100
Medtronic, Inc., 2.75%, 4/1/23		100,000		97
Medtronic, Inc., 3.50%, 3/15/25 144A		80,000		82
Thermo Fisher Scientific, Inc., 3.20%, 3/1/16		300,000		307

Total				1,514


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Insurance (1.0%)
Aetna, Inc., 2.75%, 11/15/22		100,000		97
The Allstate Corp., 4.50%, 6/15/43		150,000		166
American International Group, Inc., 4.50%, 7/16/44		150,000		158
American International Group, Inc., 4.875%, 6/1/22		250,000		281
American International Group, Inc., 5.85%, 1/16/18		100,000		112
Berkshire Hathaway, Inc., 4.50%, 2/11/43		250,000		273
The Hartford Financial Services Group, Inc., 5.125%, 4/15/22		150,000		169
Liberty Mutual Group, Inc., 4.25%, 6/15/23 144A		100,000		103
Metropolitan Life Global Funding I, 3.00%, 1/10/23 144A		400,000		398
Prudential Financial, Inc., 2.30%, 8/15/18		100,000		101
Prudential Financial, Inc., 3.57%, 3/10/15		240,000		240
Prudential Financial, Inc., 5.625%, 5/12/41		150,000		176
TIAA Asset Management Finance Co. LLC, 4.125%, 11/1/24 144A		200,000		205
UnitedHealth Group, Inc., 4.25%, 3/15/43		150,000		157
Voya Financial, Inc., 2.90%, 2/15/18		200,000		205
XLIT ltd., 2.30%, 12/15/18		100,000		100

Total				2,941


Media (1.1%)
21st Century Fox America, Inc., 6.90%, 8/15/39		235,000		319
Comcast Corp., 6.50%, 11/15/35		200,000		267
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.55%, 3/15/15		400,000		402
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 4.45%, 4/1/24		100,000		105
NBCUniversal Media LLC, 4.375%, 4/1/21		340,000		374
NBCUniversal Media LLC, 5.15%, 4/30/20		540,000		613

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


120		Inflation Protection Portfolio

Inflation Protection Portfolio


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Media continued
Time Warner, Inc., 4.05%, 12/15/23		150,000		157
Time Warner, Inc., 4.70%, 1/15/21		100,000		110
Viacom, Inc., 4.50%, 3/1/21		250,000		268
The Walt Disney Co., 2.35%, 12/1/22		500,000		490

Total				3,105


Metals & Mining (0.3%)
Barrick North America Finance LLC, 4.40%, 5/30/21		80,000		81
BHP Billiton Finance USA, Ltd., 3.25%, 11/21/21		330,000		341
Newmont Mining Corp., 6.25%, 10/1/39		120,000		121
Rio Tinto Finance USA, Ltd., 3.75%, 9/20/21		280,000		288

Total				831


Oil & Gas (0.7%)
BP Capital Markets PLC, 2.50%, 11/6/22		60,000		56
BP Capital Markets PLC, 2.75%, 5/10/23		200,000		187
Chevron Corp., 2.427%, 6/24/20		100,000		101
Marathon Petroleum Corp., 3.625%, 9/15/24		250,000		245
Petro-Canada, 6.80%, 5/15/38		80,000		101
Petroleos Mexicanos, 3.50%, 1/30/23		130,000		124
Phillips 66, 4.65%, 11/15/34		200,000		205
Shell International Finance BV, 2.375%, 8/21/22		900,000		875
Total Capital SA, 2.125%, 8/10/18		100,000		101

Total				1,995


Pharmaceuticals (0.9%)
AbbVie, Inc., 2.90%, 11/6/22		200,000		197
Actavis Funding SCS, 3.85%, 6/15/24		150,000		151
Amgen, Inc., 3.625%, 5/22/24		140,000		142
Amgen, Inc., 5.85%, 6/1/17		90,000		99
Celgene Corp., 3.625%, 5/15/24		50,000		51
Gilead Sciences, Inc., 4.40%, 12/1/21		260,000		287
GlaxoSmithKline Capital, Inc., 2.85%, 5/8/22		200,000		200


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Pharmaceuticals continued
Merck & Co., Inc., 2.40%, 9/15/22		200,000		195
Mylan, Inc., 2.55%, 3/28/19		100,000		99
Mylan, Inc., 2.60%, 6/24/18		70,000		71
Perrigo Finance PLC, 3.90%, 12/15/24		200,000		204
Roche Holdings, Inc., 3.35%, 9/30/24 144A		400,000		412
Roche Holdings, Inc., 6.00%, 3/1/19 144A		254,000		293
Teva Pharmaceutical Finance IV LLC, 2.25%, 3/18/20		170,000		167

Total				2,568


Pipelines (0.8%)
Enable Midstream Partners LP, 3.90%, 5/15/24 144A		150,000		145
Enbridge, Inc., 3.50%, 6/10/24		150,000		141
Energy Transfer Partners LP, 3.60%, 2/1/23		100,000		97
Energy Transfer Partners LP, 4.15%, 10/1/20		100,000		102
Enterprise Products Operating LLC, 3.70%, 6/1/15		80,000		81
Enterprise Products Operating LLC, 3.75%, 2/15/25		200,000		201
Enterprise Products Operating LLC, 4.85%, 3/15/44		100,000		104
Kinder Morgan Energy Partners LP, 5.30%, 9/15/20		270,000		291
Magellan Midstream Partners LP, 5.15%, 10/15/43		150,000		159
Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 6/1/22		200,000		201
Sunoco Logistics Partners Operations LP, 3.45%, 1/15/23		200,000		192
TransCanada PipeLines, Ltd., 2.50%, 8/1/22		100,000		94
The Williams Cos., Inc., 4.55%, 6/24/24		150,000		139
Williams Partners LP, 3.80%, 2/15/15		150,000		150
Williams Partners LP, 4.125%, 11/15/20		80,000		82
Williams Partners LP, 4.30%, 3/4/24		200,000		200

Total				2,379


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Real Estate Investment Trusts (0.3%)
Boston Properties LP, 3.80%, 2/1/24		70,000		72
DDR Corp., 4.75%, 4/15/18		60,000		64
Essex Portfolio LP, 3.625%, 8/15/22		100,000		101
Health Care REIT, Inc., 3.75%, 3/15/23		300,000		303
Host Hotels & Resorts LP, 3.75%, 10/15/23		100,000		100
Kilroy Realty LP, 3.80%, 1/15/23		130,000		131
Ventas Realty LP/Ventas Capital Corp., 3.25%, 8/15/22		250,000		247

Total				1,018


Services (0.1%)
Republic Services, Inc., 3.80%, 5/15/18		100,000		106
Waste Management, Inc., 3.50%, 5/15/24		100,000		101

Total				207


Technology (0.9%)
Adobe Systems, Inc., 3.25%, 2/1/15		300,000		301
Apple, Inc., 1.00%, 5/3/18		100,000		99
Apple, Inc., 4.45%, 5/6/44		100,000		110
Cisco Systems, Inc., 5.90%, 2/15/39		165,000		208
Fidelity National Information Services, Inc., 3.50%, 4/15/23		100,000		99
Hewlett-Packard Co., 4.30%, 6/1/21		150,000		158
Intel Corp., 2.70%, 12/15/22		260,000		258
Intuit, Inc., 5.75%, 3/15/17		140,000		154
Microsoft Corp., 2.125%, 11/15/22		180,000		175
Oracle Corp., 2.50%, 10/15/22		300,000		292
Oracle Corp., 3.40%, 7/8/24		150,000		153
Oracle Corp., 5.75%, 4/15/18		300,000		339
Seagate HDD Cayman, 4.75%, 1/1/25 144A		150,000		155

Total				2,501


Telecommunications (0.6%)
AT&T, Inc., 2.625%, 12/1/22		250,000		238
AT&T, Inc., 4.80%, 6/15/44		150,000		153
AT&T, Inc., 6.55%, 2/15/39		77,000		95

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


		Inflation Protection Portfolio			121

Inflation Protection Portfolio


Corporate Bonds (15.7%)	Shares/ $ Par		Value $ (000’s)

Telecommunications continued
British Telecommunications PLC, 5.95%, 1/15/18		100,000		112
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.849%, 4/15/23		90,000		89
Deutsche Telekom International Finance BV, 6.75%, 8/20/18		130,000		151
Orange SA, 2.75%, 2/6/19		100,000		102
Verizon Communications, Inc., 3.50%, 11/1/24		200,000		196
Verizon Communications, Inc., 4.15%, 3/15/24		150,000		155
Verizon Communications, Inc., 4.40%, 11/1/34		150,000		149
Verizon Communications, Inc., 5.15%, 9/15/23		250,000		276

Total				1,716


Transportation (0.4%)
Burlington Northern Santa Fe LLC, 3.75%, 4/1/24		200,000		208
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41		100,000		111
Canadian National Railway Co., 4.50%, 11/7/43		125,000		138
CSX Corp., 4.25%, 6/1/21		200,000		217
Norfolk Southern Corp., 3.85%, 1/15/24		75,000		79
Norfolk Southern Corp., 5.75%, 4/1/18		100,000		112
Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 7/17/18 144A		100,000		102
Union Pacific Corp., 2.75%, 4/15/23		100,000		99

Total				1,066

Total Corporate Bonds
(Cost: $44,447)				44,928


	Governments (69.2%)	Shares/ Par		Value $ (000’s)

	Foreign Governments (15.0%)
(f)	Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond, 0.75%, 4/15/18 EUR		936,082		1,163
(f)	Canadian Government Bond, 4.25%, 12/1/21 CAD		727,382		805
(f)	Canadian Government Bond, 4.25%, 12/1/26 CAD		860,070		1,073
(f)	Commonwealth of Australia Treasury Indexed Bonds, 4.00%, 8/20/20 AUD		715,000		1,124
(f)	Deutsche Bundesrepublik Inflation Linked Bond, 0.10%, 4/15/23 EUR		875,741		1,107
(f)	Deutsche Bundesrepublik Inflation Linked Bond, 1.75%, 4/15/20 EUR		1,798,293		2,426
(f)	France Government Bond OAT, 1.10%, 7/25/22 EUR		3,756,695		5,016
(f)	France Government Bond OAT, 1.30%, 7/25/19 EUR		1,156,436		1,508
(f)	France Government Bond OAT, 1.85%, 7/25/27 EUR		1,107,419		1,652
(f)	France Government Bond OAT, 2.25%, 7/25/20 EUR		3,236,604		4,477
(f)	Japanese Government CPI Linked Bond, 1.10%, 12/10/16 JPY		54,075,000		483
(f)	United Kingdom Gilt Inflation Linked, 0.25%, 3/22/52 GBP		132,014		286
(f)	United Kingdom Gilt Inflation Linked, 1.875%, 11/22/22 GBP		2,368,208		4,590
(f)	United Kingdom Gilt Inflation Linked, 2.50%, 4/16/20 GBP		975,000		5,606
(f)	United Kingdom Gilt Inflation Linked, 2.50%, 7/17/24 GBP		2,100,000		11,409

	Total				42,725


	US Governments (54.1%)
	US Treasury Inflation Index Bond, 0.125%, 4/15/16		1,613,640		1,609


	Governments (69.2%)	Shares/ $ Par		Value $ (000’s)

	US Governments continued
	US Treasury Inflation Index Bond, 0.125%, 4/15/18		8,731,370		8,699
	US Treasury Inflation Index Bond, 0.125%, 4/15/19		9,069,662		8,970
	US Treasury Inflation Index Bond, 0.125%, 1/15/22		3,042,448		2,959
	US Treasury Inflation Index Bond, 0.125%, 7/15/22		9,809,415		9,557
	US Treasury Inflation Index Bond, 0.125%, 1/15/23		3,600,520		3,481
	US Treasury Inflation Index Bond, 0.375%, 7/15/23		2,550,850		2,522
	US Treasury Inflation Index Bond, 0.625%, 2/15/43		5,422,200		5,098
	US Treasury Inflation Index Bond, 0.625%, 7/15/21		10,229,971		10,359
(b)	US Treasury Inflation Index Bond, 0.625%, 1/15/24		12,873,399		12,929
	US Treasury Inflation Index Bond, 0.75%, 2/15/42		6,147,531		5,973
(k)	US Treasury Inflation Index Bond, 1.125%, 1/15/21		6,825,498		7,090
	US Treasury Inflation Index Bond, 1.25%, 7/15/20		1,524,335		1,600
	US Treasury Inflation Index Bond, 1.375%, 2/15/44		6,775,353		7,668
	US Treasury Inflation Index Bond, 1.375%, 7/15/18		3,138,278		3,287
	US Treasury Inflation Index Bond, 1.375%, 1/15/20		1,756,896		1,844
	US Treasury Inflation Index Bond, 1.75%, 1/15/28		4,528,093		5,126
	US Treasury Inflation Index Bond, 1.875%, 7/15/19		2,780,225		2,984
	US Treasury Inflation Index Bond, 2.00%, 1/15/26		4,665,843		5,347
	US Treasury Inflation Index Bond, 2.125%, 2/15/40		2,675,115		3,468
	US Treasury Inflation Index Bond, 2.125%, 2/15/41		2,586,056		3,376

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


122		Inflation Protection Portfolio

Inflation Protection Portfolio


	Governments (69.2%)	Shares/ $ Par		Value $ (000’s)

	Governments continued
	US Treasury Inflation Index Bond, 2.125%, 1/15/19		4,285,634		4,605
(k)	US Treasury Inflation Index Bond, 2.375%, 1/15/25		4,283,048		5,028
	US Treasury Inflation Index Bond, 2.375%, 1/15/27		3,208,579		3,840
	US Treasury Inflation Index Bond, 2.50%, 1/15/29		8,256,066		10,245
	US Treasury Inflation Index Bond, 3.375%, 4/15/32		4,100,234		5,815
	US Treasury Inflation Index Bond, 3.625%, 4/15/28		2,202,165		3,027
	US Treasury Inflation Index Bond, 3.875%, 4/15/29		5,633,238		8,063

	Total				154,569


	Yankee Sovereign (0.1%)
	Mexico Government International Bond, 4.75%, 3/8/44		200,000		209

	Total				209

	Total Governments (Cost: $200,266)				197,503


	Municipal Bonds (0.0%)

	Municipal Bonds (0.0%)
	Bay Area Toll Authority, Series S-1, 6.918%, 4/1/40 RB		15,000		21
	Los Angeles Department of Water and Power, 5.716%, 7/1/39 RB		15,000		19
	State of Texas, Series 2009A, 5.517%, 4/1/39 GO		30,000		40

	Total Municipal Bonds (Cost: $60)				80


	Structured Products (11.2%)

	Structured Products (11.2%)
	Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.10%, 3/20/19 144A		750,000		750


Structured Products (11.2%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A, 2.959%, 12/10/30 144A		1,050,000		1,051
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.115%, 10/10/45		217,267		221
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class AM, 5.176%, 10/10/45		200,000		206
Banc of America Mortgage Trust, Series 2004-7, Class 7A1, 5.00%, 8/25/19		38,587		39
BB-UBS Trust, Series 2012, Class A, 3.43%, 11/5/36		850,000		865
Chesapeake Funding LLC, Series 2014-1A, Class A, .576%, 3/7/26		775,000		775
Citicorp Mortgage Securities, Inc., Series 2007-8, Class 1A3, 6.00%, 9/25/37		80,784		84
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, 4.193%, 9/10/47		850,000		896
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM, 4.426%, 2/10/47		550,000		598
Federal Home Loan Mortgage Corp., 4.00%, 5/1/42		6,445,027		6,907
Federal Home Loan Mortgage Corp., 4.50%, 4/1/41		5,442,675		5,959
GS Mortgage Securities Corp. II, Series 2012-ALOH, Class A, 3.551%, 4/10/34		1,000,000		1,042
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/39		397,069		397
Hilton Grand Vacations Trust, Series 2014-AA, Class A, 1.77%, 11/25/26 144A		710,033		703
Irvine Core Office Trust, Series 2013-IRV, Class A2, 3.279%, 5/15/48 144A		950,000		965


Structured Products (11.2%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
JPMorgan Mortgage Trust, Series 2014-5, Class A1, 3.00%, 10/1/29 144A		678,219		696
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4, 4.166%, 12/15/46		600,000		655
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class AS, 4.517%, 12/15/46		375,000		410
LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A4, 4.568%, 1/15/31		16,670		17
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class AM, 5.017%, 9/15/40		300,000		306
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM, 5.263%, 11/15/40		175,000		180
Morgan Stanley Capital I Trust, Series 2014-CPT, Class C, 3.56%, 7/13/29		600,000		609
PHHMC Mortgage Pass-Through Certificates, Series 2007-6, Class A1, 5.558%, 12/18/37		61,882		62
Sequoia Mortgage Trust, Series 2014-3, Class A14, 3.00%, 10/25/44		773,974		784
Sequoia Mortgage Trust, Series 2013-12, Class A1, 4.00%, 12/25/43		503,054		521
Sequoia Mortgage Trust, Series 2011-1, Class A1, 4.125%, 2/25/41		56,464		57
Sequoia Mortgage Trust, Series 2014-4, Class A2, 3.50%, 11/25/44		546,350		563
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 3A2, 2.386%, 6/25/34		815,638		830
TAL Advantage LLC, Series 2014-1A, Class A, 3.51%, 2/22/39 144A		458,333		460
Thornburg Morgage Securities Trust, Series 2004-3, Class A, 0.894%, 9/25/44		655,205		635

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


		Inflation Protection Portfolio			123

Inflation Protection Portfolio


Structured Products (11.2%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 1A1, 2.597%, 8/25/33		240,609		245
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 1A1, 2.614%, 6/25/35		534,856		543
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A15, 2.614%, 6/25/35		1,680,936		1,709
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR14, Class A1, 5.353%, 8/25/35		94,727		95


Structured Products (11.2%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Wells Fargo Mortgage Backed Securities Trust, Series 2005-17, Class 1A1, 5.50%, 1/25/36		108,318		110
Wells Fargo Mortgage Backed Securities Trust, Series 2007-3, Class 3A1, 5.50%, 4/25/22		25,688		26
Wells Fargo Mortgage Backed Securities Trust, Series 2006-10, Class A4, 6.00%, 8/25/36		120,687		124
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR10, Class 1A1, 6.107%, 1/25/38		106,735		106
WinWater Mortgage Loan Trust, Series 2014-1, Class A4, 3.50%, 6/20/44 144A		845,996		864

Total Structured Products
(Cost: $31,339)				32,065


	Short-Term Investments (4.9%)

	Commercial Paper (4.9%)
(b)	Bnp Paribas Finance, Inc., 0.02%, 1/2/15	14,000,000	14,000

	Total		14,000

	Total Short-Term Investments
	(Cost: $14,000)		14,000

	Total Investments (101.0%)
	(Cost: $290,112)(a)		288,576

	Other Assets, Less Liabilities (-1.0%)		(2,891	)

	Net Assets (100.0%)		285,685

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


124		Inflation Protection Portfolio

Inflation Protection Portfolio

GO — General Obligation

RB — Revenue Bond

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $290,169 and the net unrealized depreciation of investments based on that cost was $1,593 which is comprised of $7,241 aggregate gross unrealized appreciation and $8,834 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 (Short) (Total Notional Value at December 31, 2014, $3,250)	23	3/15	$	(75	)
US Ten Year Treasury Note Futures (Short) (Total Notional Value at December 31, 2014, $5,176)	41	3/15		(23	)
US Ultra Long Treasury Bond Futures (Short) (Total Notional Value at December 31, 2014, $7,749)	49	3/15		(345	)

(f)	Foreign Bond — par value is foreign denominated

(h)	Forward foreign currency contracts outstanding on December 31, 2014.


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	HSBC Bank USA NA	AUD	1,251	2/15	$	67	$	-			67
Sell	HSBC Bank USA NA	CAD	2,114	2/15		41		-			41
Buy	HSBC Bank USA NA	EUR	330	2/15		-		(10	)		(10	)
Sell	HSBC Bank USA NA	EUR	14,349	2/15		542		-			542
Sell	HSBC Bank USA NA	GBP	13,955	2/15		173		-			173
Sell	HSBC Bank USA NA	JPY	50,521	2/15		16		-			16

					$	839	$	(10	)	$	829

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro

GBP — British Pound

JPY — Japanese Yen

(j)	Swap agreements outstanding on December 31, 2014.

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	2.528%	CPURNSA Index Total Return at Maturity	8/24	2,750	$	(185	)
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		(179	)
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		(143	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	2.223%	CPURNSA Index Total Return at Maturity	5/18	2,500		(121	)

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


		Inflation Protection Portfolio			125

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.	2.210%	CPURNSA Index Total Return at Maturity	3/19	6,500		(255	)
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	3/19	4,500	$	(334	)
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		(172	)
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		(298	)
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		(356	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Bank of America, N.A.	2.763%	CPURNSA Index Total Return at Maturity	3/23	700		(73	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.589%	CPURNSA Index Total Return at Maturity	7/24	1,400		(103	)
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		(99	)
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		(62	)
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		(315	)
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		(254	)
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		(650	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.526%	CPURNSA Index Total Return at Maturity	5/23	5,500		(444	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.535%	CPURNSA Index Total Return at Maturity	5/23	1,000		(81	)
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		(372	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.784%	CPURNSA Index Total Return at Maturity	7/44	1,400		(229	)

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)	Barclays Bank PLC	2.385%	CPURNSA Index Total Return at Maturity	9/24	4,000		(207	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.363%	CPURNSA Index Total Return at Maturity	9/24	3,500		(172	)
U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted (CPURNSA)	Barclays Bank PLC	2.310%	CPURNSA Index Total Return at Maturity	9/24	1,400		(61	)

						$	(5,165	)

(k)	Cash or securities with an aggregate value of $12,118 (in thousands) has been pledged as collateral for swap contracts outstanding, short sales or written options on December 31, 2014.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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 & Agency Bonds	$	-		$	197,503		$	-
Municipal Bonds		-			80			-
Corporate Bonds		-			44,928			-
Structured Products		-			32,065			-
Short-Term Investments		-			14,000			-
Other Financial Instruments^
Forward Currency Contracts		-			839			-
Total Assets	$	-		$	289,415			-
Liabilities:
Other Financial Instruments^
Futures		(443	)		-			-
Forward Currency Contracts		-			(10	)		-
Total Return Swaps		-			(5,165	)		-
Total	$	(443	)	$	(5,175	)	$	-

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


		Inflation Protection Portfolio			127

High Yield Bond Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

High current income and

capital appreciation.

Invest in non-investment grade debt securities.

$702 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the High Yield Bond Portfolio (the “Portfolio”), has engaged Federated Investment Management Company (“Federated”) to act as sub-adviser for the Portfolio. Federated was appointed sub-adviser to the Portfolio effective October 31, 2014. Prior to that time, the Portfolio was managed directly by Mason Street Advisors. Normally, the Portfolio invests in non-investment grade debt securities, which are securities rated below investment grade by at least one major rating agency or, if unrated, determined by Federated to be of comparable quality. The Portfolio may invest up to 30% of net assets in foreign securities. The securities in which the Portfolio primarily invests are considered speculative and are sometimes known as “junk bonds.” These securities tend to offer higher yields than higher rated securities of comparable maturities because the historical financial condition of the issuers of these securities is usually not as strong as that of other issuers. Federated selects securities that it believes have attractive risk-return characteristics and seeks to minimize default risk and other risks through careful security selection and diversification. Federated’s securities selection process consists of a credit-intensive, fundamental analysis of the issuer. Federated does not limit the Portfolio’s investments to securities of a particular maturity range.

Market Overview

The total return for the high yield market for the twelve-month reporting period was modest on an absolute basis but weak on a relative basis. For example, the Barclays^® U.S. Corporate High-Yield 2% Issuer Capped Index returned 2.46%, underperforming the Barclays^® U.S. Aggregate Index, a measure of high quality bond performance, which returned 5.97% for the period. The main factor negatively impacting the high yield market during the period was the roughly 42% decline in the price of oil and its impact on the performance of the Energy sector in the Barclays^® U.S. Corporate High-Yield 2% Issuer Capped Index. At the beginning of the period, the Energy component made up 14.27% of the Barclays^® U.S. Corporate High-Yield 2% Issuer Capped Index. The two subsectors of the total Energy sector most directly impacted by the fall in the price of oil were Independents and Oil Field Services, which generated total returns of (12.01%) and (16.08%), respectively, for the twelve-month period. The oil price decline was so dominant that it offset factors that would have normally supported very strong performance for high yield securities – strong economic growth, surging stock prices, strong employment growth and rising consumer confidence to name a few.

Portfolio Results

The Portfolio returned 1.18% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Barclays^® U.S. Corporate High-Yield 2% Issuer Capped Index (the “Index”), returned 2.46%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) The Portfolio underperformed the 1.59% average return of its High Yield Funds peer group, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

As noted above, prior to October 31, 2014, the Portfolio was managed by Mason Street Advisors. With respect to the period prior to October 31, 2014, the Portfolio’s underperformance relative to the Index was mainly attributable to an overweight to the Energy sector and energy related credits. Issue selection among these credits also held back relative results during the period. Issue selection among lower quality credits, CCC-rated credits, helped performance relative to the Index during the period.

The following attribution comments relate to the period October 31, 2014 through December 31, 2014, during which Federated acted as the Portfolio’s sub-adviser.

The Portfolio was being repositioned during the October 31, 2014 through December 31, 2014 period. The Portfolio entered the period with overweight positions in the independent energy and oil field services subsectors of the Energy sector, as well as an overweight position in the Metals and Mining sector. These sector overweights were substantially altered by the end of November with the Energy and Metals and Mining exposures substantially reduced to below benchmark positions. Despite the exposure reduction in these sectors, the generally weak performance of these sectors within the Index in November held back the Portfolio’s relative results over the full two-month period.

Portfolio Manager Outlook

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

As 2015 begins, the high yield market is really a tale of two markets. First, the Independent Energy and Oil Field Services industry subsectors will continue to be impacted by the rise and fall of oil prices. While the sector substantially underperformed late in 2014, deteriorating financial results will lead to further problems for the weaker players in the sector should oil prices not rebound by late 2015. Of course if oil prices rise at some point in 2015, these subsectors have the potential to outperform the overall market. The other roughly 85% of the market should benefit from the decline in oil prices


128		High Yield Bond Portfolio

High Yield Bond Portfolio (unaudited)

in addition to the strong domestic economy, rising employment, improving consumer confidence and rising corporate valuations. Overall, we would expect spreads ex Energy to move tighter in 2015 with overall market total returns, both relative and absolute, to be heavily influenced by the price of oil and returns in the Energy sector. As we begin 2015, the Portfolio will remain underweight in the Energy sector as a result of both the credit risk related to the rising volatility of commodity prices and our near-term expectation that oil prices will not move materially higher anytime soon.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year			5 Years			10 Years
High Yield Bond Portfolio		1.18	%		7.88	%		6.65	%
Barclays^® U.S. Corporate High Yield 2% Issuer Capped Index		2.46	%		8.98	%		7.73	%
Lipper^® Variable Insurance Products (VIP) High Yield Funds Average		1.59	%		7.91	%		6.47	%

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.

The Portfolio’s investments in convertible securities are subject to the risks associated with investments in equity securities, including market risk.

Currently, interest rates are at unprecedented historically low levels. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments. Certain fixed income investments, including Rule 144A securities, may be difficult to purchase or sell at an advantageous time or price, if at all.


		High Yield Bond Portfolio			129

High Yield Bond Portfolio (unaudited)

Top 10 Fixed Income Holdings 12/31/14


Security Description	% of Net Assets
HCA, Inc., Various	2.2	%
Sprint Nextel Corp., Various	1.8	%
Ally Financial, Inc. Various	1.6	%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, Various	1.5	%
T-Mobile USA, Inc., Various	1.2	%
First Data Corp., Various	1.2	%
CCO Holdings LLC/CCO Holdings Capital Corp., Various	1.1	%
Tenet Healthcare Corp., Various	1.0	%
Intelsat Jackson Holdings SA, Various	1.0	%
MGM Resorts International, Various	1.0	%

Sector Allocation 12/31/14

LOGO

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, 2014


	Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

	Aerospace & Defense (1.1%)
	KLX, Inc., 5.875%, 12/1/22 144A		2,100,000		2,121
	TransDigm, Inc., 6.00%, 7/15/22		520,000		519
	TransDigm, Inc., 6.50%, 7/15/24		4,725,000		4,748

	Total				7,388


	Autos & Vehicle Parts (5.6%)
	Affinia Group, Inc., 7.75%, 5/1/21		2,350,000		2,420
	American Axle & Manufacturing, Inc., 5.125%, 2/15/19		325,000		332
	American Axle & Manufacturing, Inc., 6.25%, 3/15/21		2,335,000		2,452
	American Axle & Manufacturing, Inc., 6.625%, 10/15/22		950,000		1,007
	Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21		3,230,000		3,577
	Gates Global LLC / Gates Global Co., 6.00%, 7/15/22 144A		2,780,000		2,662
	General Motors Co., 4.00%, 4/1/25		1,900,000		1,905
	General Motors Financial Co., Inc., 3.50%, 7/10/19		1,035,000		1,057
	General Motors Financial Co., Inc., 4.75%, 8/15/17		840,000		886
	The Goodyear Tire & Rubber Co., 6.50%, 3/1/21		1,645,000		1,744
	The Goodyear Tire & Rubber Co., 8.25%, 8/15/20		1,235,000		1,309
	International Automotive Components Group S.L., 9.125%, 6/1/18 144A		1,975,000		2,059
	Jaguar Land Rover Automotive PLC, 4.125%, 12/15/18 144A		1,020,000		1,025
	JB Poindexter & Co., 9.00%, 4/1/22 144A		1,275,000		1,377
	Lear Corp., 5.25%, 1/15/25		2,950,000		2,987
	Lear Corp., 5.375%, 3/15/24		655,000		670
	MPG Holdco I, Inc., 7.375%, 10/15/22 144A		3,075,000		3,167
	Schaeffler Finance BV, 4.75%, 5/15/21 144A		1,070,000		1,070
(c)	Schaeffler Finance BV, 6.25%, 11/15/19 144A		440,000		453


	Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

	Autos & Vehicle Parts continued
(c)	Schaeffler Finance BV, 6.75%, 11/15/22 144A		2,700,000		2,822
	Schaeffler Holding Finance BV, 6.875%, 8/15/18 144A		785,000		818
	Stackpole International Intermediate Co. SA/Stackpole International Powder Meta l, 7.75%, 10/15/21 144A		1,350,000		1,350
	Tenneco, Inc., 5.375%, 12/15/24		2,400,000		2,460

	Total				39,609


	Banking (1.6%)
	Ally Financial, Inc., 2.75%, 1/30/17		500,000		498
	Ally Financial, Inc., 3.50%, 1/27/19		895,000		884
	Ally Financial, Inc., 3.75%, 11/18/19		4,950,000		4,876
	Ally Financial, Inc., 5.50%, 2/15/17		990,000		1,040
	Ally Financial, Inc., 7.50%, 9/15/20		1,114,000		1,306
	Ally Financial, Inc., 8.00%, 3/15/20		1,996,000		2,355

	Total				10,959


	Basic Materials (8.9%)
	Ardagh Finance Holdings SA, 8.625%, 6/15/19 144A		542,798		535
	Ardagh Packaging Finance PLC, 9.125%, 10/15/20 144A		665,000		708
	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.00%, 6/30/21 144A		1,000,000		955
	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 6.25%, 1/31/19 144A		1,640,000		1,603
	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.00%, 11/15/20 144A		302,647		306
	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 9.125%, 10/15/20 144A		590,000		625
	Ball Corp., 4.00%, 11/15/23		2,625,000		2,533
	Belden, Inc., 5.25%, 7/15/24 144A		325,000		312


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Basic Materials continued
Belden, Inc., 5.50%, 9/1/22 144A		3,450,000		3,424
Berry Plastics Corp., 5.50%, 5/15/22		4,205,000		4,268
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II, 6.00%, 6/15/17 144A		1,365,000		1,331
BWAY Holding Co., 9.125%, 8/15/21 144A		2,440,000		2,440
Clearwater Paper Corp., 5.375%, 2/1/25 144A		2,500,000		2,462
Cleaver-Brooks, Inc., 8.75%, 12/15/19 144A		1,700,000		1,789
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23		3,250,000		3,152
Dematic SA / DH Services Luxembourg Sarl, 7.75%, 12/15/20 144A		2,350,000		2,462
Garda World Security Corp., 7.25%, 11/15/21 144A		520,000		515
Graphic Packaging International, Inc., 4.75%, 4/15/21		820,000		826
Graphic Packaging International, Inc., 4.875%, 11/15/22		1,925,000		1,935
The Hillman Group, Inc., 6.375%, 7/15/22 144A		2,475,000		2,376
Interline Brands, Inc., 10.00%, 11/15/18		1,561,000		1,631
Mustang Merger Corp., 8.50%, 8/15/21 144A		1,750,000		1,662
Owens-Brockway Glass Container, Inc., 5.00%, 1/15/22 144A		425,000		434
Owens-Brockway Glass Container, Inc., 5.375%, 1/15/25 144A		2,350,000		2,374
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 5.75%, 10/15/20		2,405,000		2,465
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 6.875%, 2/15/21		775,000		809
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 8.25%, 2/15/21		3,835,000		3,931

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


		High Yield Bond Portfolio			131

High Yield Bond Portfolio


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Basic Materials continued
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.00%, 4/15/19		1,510,000		1,563
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 9.875%, 8/15/19		1,555,000		1,648
Sealed Air Corp., 4.875%, 12/1/22 144A		1,675,000		1,662
Sealed Air Corp., 5.125%, 12/1/24 144A		1,675,000		1,692
Sealed Air Corp., 6.50%, 12/1/20 144A		505,000		553
Sealed Air Corp., 8.375%, 9/15/21 144A		1,100,000		1,229
Signode Industrial Group US, Inc., 6.375%, 5/1/22 144A		3,575,000		3,486
Truven Health Analytics, Inc., 10.625%, 6/1/20 144A		1,375,000		1,341
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 144A		1,750,000		1,724

Total				62,761


Builders & Building Materials (2.2%)
American Builders & Contractors Supply Co., 5.625%, 4/15/21 144A		2,800,000		2,814
CPG Merger Sub LLC, 8.00%, 10/1/21 144A		1,525,000		1,559
HD Supply, Inc., 5.25%, 12/15/21 144A		1,700,000		1,730
Masonite International Corp., 8.25%, 4/15/21 144A		2,000,000		2,135
Nortek, Inc., 8.50%, 4/15/21		2,550,000		2,729
Nortek, Inc., 10.00%, 12/1/18		1,300,000		1,362
USG Corp., 5.875%, 11/1/21 144A		2,500,000		2,525
USG Corp., 7.875%, 3/30/20 144A		835,000		893

Total				15,747


Capital Goods (0.8%)
Jurassic Holdings III, 6.875%, 2/15/21 144A		2,695,000		2,506
United Rentals North America, Inc., 5.75%, 7/15/18		420,000		438
United Rentals North America, Inc., 5.75%, 11/15/24		1,300,000		1,339
United Rentals North America, Inc., 6.125%, 6/15/23		525,000		551


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Capital Goods continued
United Rentals North America, Inc., 7.375%, 5/15/20		585,000		632

Total				5,466


Chemicals (2.4%)
Ashland, Inc., 4.75%, 8/15/22		1,400,000		1,400
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 7.375%, 5/1/21 144A		3,150,000		3,339
Axiall Corp., 4.875%, 5/15/23		1,500,000		1,416
Celanese US Holdings LLC, 4.625%, 11/15/22		1,425,000		1,411
Eco Services Operations LLC/Eco Finance Corp., 8.50%, 11/1/22 144A		1,000,000		1,015
Hexion US Finance Corp., 6.625%, 4/15/20		2,650,000		2,597
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18		2,290,000		2,038
Huntsman International LLC, 4.875%, 11/15/20		1,905,000		1,891
W.R. Grace & Co., 5.125%, 10/1/21 144A		775,000		794
W.R. Grace & Co., 5.625%, 10/1/24 144A		855,000		891

Total				16,792


Conglomerate & Diversified Manufacturing (1.8%)
Entegris, Inc., 6.00%, 4/1/22 144A		2,675,000		2,709
Gardner Denver, Inc., 6.875%, 8/15/21 144A		2,320,000		2,227
Milacron LLC, 8.375%, 5/15/19 144A		1,550,000		1,643
Rexel SA, 5.25%, 6/15/20 144A		2,845,000		2,866
WESCO Distribution, Inc., 5.375%, 12/15/21		3,505,000		3,536

Total				12,981


Consumer Products & Retailing (6.7%)
101178 B.C. ULC/New Red Finance, Inc., 6.00%, 4/1/22 144A		4,050,000		4,151
FGI Operating Co. LLC/FGI Finance, Inc., 7.875%, 5/1/20		1,825,000		1,642
First Quality Finance Co., Inc., 4.625%, 5/15/21 144A		2,285,000		2,091
L Brands, Inc., 5.625%, 10/15/23		1,250,000		1,350
Limited Brands, Inc., 5.625%, 2/15/22		620,000		666


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Consumer Products & Retailing continued
Limited Brands, Inc., 8.50%, 6/15/19		705,000		835
Michaels Stores, Inc., 5.875%, 12/15/20 144A		3,500,000		3,535
Needle Merger Sub Corp., 8.125%, 3/15/19 144A		2,000,000		1,860
Neiman Marcus Group LTD, Inc., 8.00%, 10/15/21 144A		585,000		619
Neiman Marcus Group, Ltd. LLC, 8.75%, 10/15/21 144A		2,000,000		2,120
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 144A		4,600,000		4,554
NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc., 10.50%, 1/15/20		1,500,000		1,556
Party City Holdings, Inc., 8.875%, 8/1/20		1,225,000		1,308
PC Nextco Holdings LLC/ PC Nextco Finance, Inc., 8.75%, 8/15/19		3,500,000		3,517
Petco Holdings, Inc., 8.50%, 10/15/17 144A		3,500,000		3,553
Prestige Brands, Inc., 5.375%, 12/15/21 144A		2,850,000		2,800
Sally Holdings LLC/Sally Capital, Inc., 6.875%, 11/15/19		1,165,000		1,238
Serta Simmons Holdings LLC, 8.125%, 10/1/20 144A		3,975,000		4,204
Spectrum Brands, Inc., 6.125%, 12/15/24 144A		3,450,000		3,502
Springs Industries, Inc., 6.25%, 6/1/21		1,700,000		1,692

Total				46,793


Electric Utilities (1.2%)
Calpine Corp., 5.375%, 1/15/23		2,600,000		2,626
Calpine Corp., 6.00%, 1/15/22 144A		455,000		484
NRG Energy, Inc., 6.25%, 7/15/22		1,450,000		1,483
NRG Energy, Inc., 6.25%, 5/1/24 144A		1,300,000		1,323
NRG Energy, Inc., 7.625%, 1/15/18		1,710,000		1,877
NRG Energy, Inc., 8.25%, 9/1/20		270,000		288

Total				8,081


Energy (5.3%)
Antero Resources Finance Corp., 5.375%, 11/1/21		1,305,000		1,263

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


132		High Yield Bond Portfolio

High Yield Bond Portfolio


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Energy continued
Antero Resources Investment LLC, 5.125%, 12/1/22 144A		1,290,000		1,216
Berry Petroleum Co., 6.375%, 9/15/22		1,000,000		760
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.875%, 4/15/22		655,000		506
California Resources Corp., 5.00%, 1/15/20 144A		645,000		560
California Resources Corp., 5.50%, 9/15/21 144A		970,000		829
California Resources Corp., 6.00%, 11/15/24 144A		1,615,000		1,365
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20		620,000		595
CGG SA, 6.875%, 1/15/22		1,765,000		1,341
Chesapeake Energy Corp., 5.375%, 6/15/21		1,140,000		1,139
Chesapeake Energy Corp., 6.125%, 2/15/21		950,000		997
Chesapeake Energy Corp., 6.875%, 11/15/20		1,635,000		1,758
Chesapeake Energy Corp., 7.25%, 12/15/18		920,000		1,007
Energy XXI Gulf Coast, Inc., 7.50%, 12/15/21		1,180,000		637
EP Energy LLC/EP Energy Finance, Inc., 9.375%, 5/1/20		700,000		707
Gulfport Energy Corp., 7.75%, 11/1/20 144A		1,375,000		1,344
Kodiak Oil & Gas Corp., 5.50%, 1/15/21		620,000		622
Kodiak Oil & Gas Corp., 5.50%, 2/1/22		785,000		787
Kodiak Oil & Gas Corp., 8.125%, 12/1/19		1,265,000		1,287
Laredo Petroleum, Inc., 5.625%, 1/15/22		675,000		591
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21 144A		980,000		799
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21		805,000		656
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/1/19		1,495,000		1,263
Linn Energy LLC/Linn Energy Finance Corp., 6.50%, 9/15/21		1,290,000		1,045
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/1/21		1,215,000		1,024
Northern Oil and Gas, Inc., 8.00%, 6/1/20		1,905,000		1,443


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Energy continued
Oasis Petroleum, Inc., 6.50%, 11/1/21		1,645,000		1,497
Oasis Petroleum, Inc., 6.875%, 3/15/22		1,020,000		928
Range Resources Corp., 5.75%, 6/1/21		955,000		986
Rice Energy, Inc., 6.25%, 5/1/22 144A		1,850,000		1,721
SandRidge Energy, Inc., 7.50%, 3/15/21		2,285,000		1,462
SandRidge Energy, Inc., 7.50%, 2/15/23		810,000		510
SandRidge Energy, Inc., 8.125%, 10/15/22		1,040,000		655
SM Energy Co., 6.50%, 11/15/21		1,205,000		1,169
SM Energy Co., 6.50%, 1/1/23		490,000		470
Whiting Petroleum Corp., 5.00%, 3/15/19		1,310,000		1,225
Whiting Petroleum Corp., 5.75%, 3/15/21		785,000		728

Total				36,892


Entertainment (1.2%)
Activision Blizzard, Inc., 5.625%, 9/15/21 144A		785,000		824
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 5.375%, 6/1/24 144A		2,680,000		2,667
NCL Corp., Ltd., 5.00%, 2/15/18		415,000		415
NCL Corp., Ltd., 5.25%, 11/15/19 144A		975,000		982
Regal Entertainment Group, 5.75%, 3/15/22		660,000		630
Royal Caribbean Cruises, Ltd., 5.25%, 11/15/22		590,000		620
Six Flags Entertainment Corp., 5.25%, 1/15/21 144A		2,500,000		2,500

Total				8,638


Finance (1.9%)
AerCap Aviation Solutions BV, 6.375%, 5/30/17		1,005,000		1,063
AerCap Ireland Capital, Ltd., 5.00%, 10/1/21 144A		2,400,000		2,484
CIT Group, Inc., 5.00%, 5/15/17		455,000		472
CIT Group, Inc., 5.00%, 8/15/22		1,215,000		1,249
CIT Group, Inc., 5.25%, 3/15/18		1,680,000		1,751
CIT Group, Inc., 5.375%, 5/15/20		515,000		544


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Finance continued
CIT Group, Inc., 5.50%, 2/15/19 144A		815,000		860
International Lease Finance Corp., 7.125%, 9/1/18 144A		1,550,000		1,736
International Lease Finance Corp., 8.75%, 3/15/17		2,180,000		2,414
International Lease Finance Corp., 8.875%, 9/1/17		965,000		1,088

Total				13,661


Food & Beverage (3.5%)
Anna Merger Sub, Inc., 7.75%, 10/1/22 144A		4,100,000		4,151
ARAMARK Corp., 5.75%, 3/15/20		4,585,000		4,734
B&G Foods, Inc., 4.625%, 6/1/21		2,150,000		2,099
Constellation Brands, Inc., 4.75%, 11/15/24		1,500,000		1,519
Darling Ingredients, Inc., 5.375%, 1/15/22		285,000		281
Del Monte Corp., 7.625%, 2/15/19		2,575,000		2,530
H.J. Heinz Co., 4.25%, 10/15/20		1,000,000		1,010
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 4.875%, 5/1/21		3,000,000		2,925
Smithfield Foods, Inc., 6.625%, 8/15/22		1,095,000		1,144
Sun Merger Sub, Inc., 5.25%, 8/1/18 144A		785,000		799
Sun Merger Sub, Inc., 5.875%, 8/1/21 144A		390,000		398
US Foods, Inc., 8.50%, 6/30/19		2,625,000		2,782
Whitewave Foods Co., 5.375%, 10/1/22		515,000		530

Total				24,902


Gaming/Leisure/Lodging (3.8%)
Ameristar Casinos, Inc., 7.50%, 4/15/21		2,625,000		2,737
Chester Downs & Marina LLC, 9.25%, 2/1/20 144A		1,300,000		949
Churchill Downs, Inc., 5.375%, 12/15/21		1,550,000		1,550
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23		2,000,000		2,070
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/21		1,800,000		1,881
MGM Resorts International, 6.00%, 3/15/23		2,350,000		2,362

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


		High Yield Bond Portfolio			133

High Yield Bond Portfolio


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Gaming/Leisure/Lodging continued
MGM Resorts International, 6.625%, 12/15/21		1,040,000		1,092
MGM Resorts International, 6.75%, 10/1/20		835,000		877
MGM Resorts International, 7.75%, 3/15/22		820,000		908
MGM Resorts International, 8.625%, 2/1/19		1,265,000		1,434
Penn National Gaming, Inc., 5.875%, 11/1/21		2,675,000		2,488
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, 5.875%, 5/15/21 144A		3,865,000		3,826
Seminole Tribe of Florida, Inc., 7.804%, 10/1/20 144A		2,405,000		2,549
Station Casinos LLC, 7.50%, 3/1/21		2,000,000		2,050

Total				26,773


Healthcare (9.0%)
AmSurg Corp., 5.625%, 7/15/22 144A		2,325,000		2,383
Biomet, Inc., 6.50%, 8/1/20		725,000		776
Catamaran Corp., 4.75%, 3/15/21		1,715,000		1,715
CHS/Community Health Systems, Inc., 5.125%, 8/15/18		805,000		833
CHS/Community Health Systems, Inc., 6.875%, 2/1/22		1,185,000		1,255
CHS/Community Health Systems, Inc., 7.125%, 7/15/20		715,000		762
CHS/Community Health Systems, Inc., 8.00%, 11/15/19		2,615,000		2,792
Davita, Inc., 5.75%, 8/15/22		2,250,000		2,385
DJO Finance LLC/DJO Finance Corp., 9.875%, 4/15/18		1,500,000		1,522
Emdeon, Inc., 11.00%, 12/31/19		1,500,000		1,631
Envision Healthcare Corp., 5.125%, 7/1/22 144A		3,330,000		3,305
HCA Holdings, Inc., 6.25%, 2/15/21		1,460,000		1,555
HCA Holdings, Inc., 7.75%, 5/15/21		1,505,000		1,603
HCA, Inc., 4.25%, 10/15/19		900,000		913


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Healthcare continued
HCA, Inc., 5.00%, 3/15/24		2,575,000		2,646
HCA, Inc., 5.875%, 3/15/22		3,525,000		3,860
HCA, Inc., 5.875%, 5/1/23		2,020,000		2,129
HCA, Inc., 6.50%, 2/15/20		1,935,000		2,168
HCA, Inc., 8.00%, 10/1/18		580,000		664
LifePoint Hospitals, Inc., 5.50%, 12/1/21		2,390,000		2,444
MPH Acquisition Holdings LLC, 6.625%, 4/1/22 144A		4,125,000		4,218
Omnicare, Inc., 4.75%, 12/1/22		1,975,000		2,000
Omnicare, Inc., 5.00%, 12/1/24		900,000		922
Ortho-Clinical Diagnostics, Inc., 6.625%, 5/15/22 144A		4,750,000		4,269
Teleflex, Inc., 5.25%, 6/15/24 144A		1,750,000		1,750
Tenet Healthcare Corp., 4.50%, 4/1/21		830,000		832
Tenet Healthcare Corp., 5.00%, 3/1/19 144A		655,000		656
Tenet Healthcare Corp., 6.00%, 10/1/20		1,285,000		1,380
Tenet Healthcare Corp., 6.25%, 11/1/18		860,000		933
Tenet Healthcare Corp., 6.75%, 2/1/20		1,045,000		1,100
Tenet Healthcare Corp., 8.125%, 4/1/22		2,180,000		2,436
United Surgical Partners International, Inc., 9.00%, 4/1/20		1,575,000		1,691
VWR Funding, Inc., 7.25%, 9/15/17		3,500,000		3,658

Total				63,186


Insurance (0.9%)
Hockey Merger Sub 2, Inc., 7.875%, 10/1/21 144A		4,370,000		4,348
Hub Holdings LLC/Hub Holdings Finance, Inc., 8.125%, 7/15/19 144A		485,000		480
York Risk Services Holding Corp., 8.50%, 10/1/22 144A		1,650,000		1,650

Total				6,478


Media (12.0%)
AMC Networks, Inc., 7.75%, 7/15/21		2,200,000		2,354


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Media continued
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.25%, 2/15/22 144A		795,000		801
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.875%, 3/15/25 144A		1,950,000		1,965
CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, 3/15/21		1,350,000		1,360
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 9/1/23		1,000,000		1,012
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/24		3,050,000		3,080
CCO Holdings LLC/CCO Holdings Capital Corp., 6.50%, 4/30/21		1,285,000		1,349
CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/1/20		870,000		922
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.125%, 12/15/21 144A		2,460,000		2,386
Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.375%, 9/15/20 144A		1,685,000		1,744
Clear Channel Communications, Inc., 9.00%, 9/15/22 144A		1,515,000		1,485
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22		2,700,000		2,781
Cumulus Media Holdings, Inc., 7.75%, 5/1/19		1,750,000		1,767
DISH DBS Corp., 5.00%, 3/15/23		1,110,000		1,074
DISH DBS Corp., 5.875%, 7/15/22		1,080,000		1,107
DISH DBS Corp., 5.875%, 11/15/24 144A		900,000		904
DISH DBS Corp., 6.75%, 6/1/21		1,810,000		1,946
Expo Event Transco, Inc., 9.00%, 6/15/21 144A		2,400,000		2,448
Gannett Co., 4.875%, 9/15/21 144A		195,000		194
Gannett Co., 5.125%, 10/15/19		785,000		803
Gannett Co., 5.125%, 7/15/20		980,000		1,000
Gannett Co., 5.50%, 9/15/24 144A		195,000		195
Gannett Co., 6.375%, 10/15/23		700,000		742

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


134		High Yield Bond Portfolio

High Yield Bond Portfolio


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Media continued
Gray Television, Inc., 7.50%, 10/1/20		2,730,000		2,812
IAC/InterActiveCorp, 4.75%, 12/15/22		2,500,000		2,431
IAC/InterActiveCorp., 4.875%, 11/30/18		655,000		666
Inmarsat Finance PLC, 4.875%, 5/15/22 144A		1,305,000		1,292
Intelsat Jackson Holdings SA, 5.50%, 8/1/23		2,800,000		2,783
Intelsat Jackson Holdings SA, 6.625%, 12/15/22		1,200,000		1,233
Intelsat Jackson Holdings SA, 7.25%, 4/1/19		1,460,000		1,524
Intelsat Jackson Holdings SA, 7.25%, 10/15/20		1,115,000		1,178
Intelsat Luxembourg SA, 7.75%, 6/1/21		1,860,000		1,865
Lamar Media Corp., 5.875%, 2/1/22		2,600,000		2,697
LIN Television Corp., 6.375%, 1/15/21		840,000		838
Media General Financing Sub, Inc., 5.875%, 11/15/22 144A		2,000,000		1,980
Nielsen Finance LLC, 4.50%, 10/1/20		3,000,000		3,015
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 144A		2,000,000		2,010
Numericable Group SA, 4.875%, 5/15/19 144A		2,535,000		2,513
Numericable Group SA, 6.00%, 5/15/22 144A		1,295,000		1,302
Numericable Group SA, 6.25%, 5/15/24 144A		650,000		655
Radio One, Inc., 9.25%, 2/15/20 144A		1,000,000		870
Sinclair Television Group, Inc., 5.375%, 4/1/21		1,370,000		1,360
Sinclair Television Group, Inc., 6.125%, 10/1/22		990,000		1,007
Sinclair Television Group, Inc., 6.375%, 11/1/21		550,000		567
Sirius XM Holdings, Inc., 4.25%, 5/15/20 144A		645,000		635
Sirius XM Holdings, Inc., 4.625%, 5/15/23 144A		550,000		514
Sirius XM Holdings, Inc., 5.75%, 8/1/21 144A		1,045,000		1,069
Sirius XM Holdings, Inc., 5.875%, 10/1/20 144A		1,180,000		1,215
Sirius XM Radio, Inc., 6.00%, 7/15/24 144A		2,185,000		2,240
Southern Graphics, Inc., 8.375%, 10/15/20 144A		2,375,000		2,381
Time, Inc., 5.75%, 4/15/22 144A		1,575,000		1,524


	Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

	Media continued
	Unitymedia Hessen GmbH & Co., 5.00%, 1/15/25 144A		1,525,000		1,529
	Unitymedia KabelBW GmbH, 6.125%, 1/15/25 144A		3,250,000		3,356
	Virgin Media Secured Finance PLC, 5.375%, 4/15/21 144A		1,380,000		1,425

	Total				83,905


	Metals & Mining (0.4%)
	Steel Dynamics, Inc., 5.125%, 10/1/21 144A		620,000		632
	Steel Dynamics, Inc., 5.50%, 10/1/24 144A		930,000		953
	Steel Dynamics, Inc., 6.125%, 8/15/19		540,000		567
	Steel Dynamics, Inc., 6.375%, 8/15/22		540,000		572

	Total				2,724


	Oil & Gas (0.3%)
	Tesoro Corp., 5.125%, 4/1/24		1,725,000		1,712
	Tesoro Corp., 5.375%, 10/1/22		555,000		562

	Total				2,274


	Other Holdings (–%)
(d)	General Motors Co. Escrow, 7.20%, 1/15/15		610,000		—
(d)	General Motors Co. Escrow, 8.375%, 7/15/33		4,865,000		—

	Total				—


	Pharmaceuticals (1.4%)
	Grifols Worldwide Operations, Ltd., 5.25%, 4/1/22 144A		2,800,000		2,863
	Jaguar Holding Co. I, 9.375%, 10/15/17 144A		2,410,000		2,463
	Jaguar Holding Co. II/ Jaguar Merger Sub, Inc., 9.50%, 12/1/19 144A		1,600,000		1,716
	Valeant Pharmaceuticals International, Inc., 5.625%, 12/1/21 144A		655,000		660
	Valeant Pharmaceuticals International, Inc., 6.375%, 10/15/20 144A		750,000		784
	Valeant Pharmaceuticals International, Inc., 6.75%, 8/15/18 144A		1,571,000		1,671

	Total				10,157


	Pipelines (5.7%)
	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/24		1,600,000		1,624


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Pipelines continued
Access Midstream Partners LP/ACMP Finance Corp., 6.125%, 7/15/22		890,000		946
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 6.625%, 10/1/20		1,095,000		1,114
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 144A		1,000,000		965
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.00%, 12/15/20		1,175,000		1,125
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.125%, 3/1/22		520,000		497
El Paso LLC, 6.50%, 9/15/20		500,000		566
El Paso LLC, 7.25%, 6/1/18		500,000		567
Energy Transfer Equity LP, 5.875%, 1/15/24		2,500,000		2,538
Energy Transfer Equity LP, 7.50%, 10/15/20		2,020,000		2,242
Ferrellgas LP / Ferrellgas Finance Corp., 6.50%, 5/1/21		850,000		829
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/22		2,350,000		2,297
Hiland Partners LP/Hiland Partners Finance Corp., 5.50%, 5/15/22 144A		1,050,000		924
Hiland Partners LP/Hiland Partners Finance Corp., 7.25%, 10/1/20 144A		1,075,000		1,021
Kinder Morgan, Inc., 5.00%, 2/15/21 144A		730,000		759
Kinder Morgan, Inc., 5.625%, 11/15/23 144A		625,000		669
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875%, 12/1/24		1,850,000		1,808
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22		603,000		624
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.75%, 11/1/20		780,000		811
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 6.50%, 5/15/21		405,000		409

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


		High Yield Bond Portfolio			135

High Yield Bond Portfolio


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Pipelines continued
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.375%, 6/1/20		811,000		866
Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/1/23		655,000		601
Regency Energy Partners LP/Regency Energy Finance Corp., 5.00%, 10/1/22		205,000		194
Regency Energy Partners LP/Regency Energy Finance Corp., 5.75%, 9/1/20		1,310,000		1,313
Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/1/22		525,000		524
Rose Rock Midstream LP., 5.625%, 7/15/22		2,100,000		1,964
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21		1,650,000		1,621
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23		1,230,000		1,202
Sabine Pass Liquefaction LLC, 6.25%, 3/15/22		2,285,000		2,319
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.50%, 6/1/24		3,075,000		2,967
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.50%, 8/15/22		455,000		432
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/1/22		547,000		554
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875%, 10/1/20		967,000		969
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.125%, 10/15/21		940,000		938
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 144A		1,125,000		1,122

Total				39,921


Services (2.2%)
Garda World Security Corp., 7.25%, 11/15/21 144A		2,000,000		1,980


	Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

	Services continued
	Hearthside Group Holdings LLC/Hearthside Finance Co., 6.50%, 5/1/22 144A		3,175,000		3,096
	IHS, Inc., 5.00%, 11/1/22 14A		2,100,000		2,079
	Multi-Color Corp., 6.125%, 12/1/22 144A		3,125,000		3,125
	The ServiceMaster Co., 7.00%, 8/15/20		4,750,000		4,916
	The ServiceMaster Co., 8.00%, 2/15/20		400,000		421

	Total				15,617


	Technology (11.4%)
	ACI Worldwide, Inc., 6.375%, 8/15/20 144A		395,000		413
	Advanced Micro Devices, Inc., 6.75%, 3/1/19		785,000		738
	Advanced Micro Devices, Inc., 7.00%, 7/1/24		1,655,000		1,403
	Anixter, Inc., 5.125%, 10/1/21		3,125,000		3,125
	Audatex North America, Inc., 6.00%, 6/15/21 144A		3,140,000		3,234
	Audatex North America, Inc., 6.125%, 11/1/23 144A		1,605,000		1,657
	Blackboard, Inc., 7.75%, 11/15/19 144A		1,450,000		1,454
	BMC Software Finance, Inc., 8.125%, 7/15/21 144A		2,200,000		2,068
	Boxer Parent Co., 9.00%, 10/15/19 144A		1,385,000		1,177
	CDW LLC/CDW Finance Corp., 5.50%, 12/1/24		2,250,000		2,253
	CDW LLC/CDW Finance Corp., 6.00%, 8/15/22		2,250,000		2,323
	CommScope, Inc., 5.00%, 6/15/21 144A		460,000		453
	CommScope, Inc., 5.50%, 6/15/24 144A		3,825,000		3,768
	Compiler Finance Sub, Inc., 7.00%, 5/1/20 144A		1,500,000		1,290
	CoreLogic, Inc., 7.25%, 6/1/21		2,500,000		2,625
	Eagle Midco, Inc., 9.00%, 6/15/18 144A		1,650,000		1,687
	First Data Corp., 6.75%, 11/1/20 144A		1,185,000		1,265
	First Data Corp., 7.375%, 6/15/19 144A		820,000		863
	First Data Corp., 8.25%, 1/15/21 144A		935,000		1,000
(c)	First Data Corp., 8.75%, 1/15/22 144A		1,875,000		2,016
	First Data Corp., 11.25%, 1/15/21		1,012,000		1,149


	Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

	Technology continued
	First Data Corp., 11.75%, 8/15/21		1,639,000		1,881
	Freescale Semiconductor, Inc., 5.00%, 5/15/21 144A		2,150,000		2,150
	Freescale Semiconductor, Inc., 6.00%, 1/15/22 144A		655,000		684
(c)	Igloo Holdings Corp., 8.25%, 12/15/17 144A		3,625,000		3,661
(c)	Infor Software Parent LLC/Infor Software Parent, Inc., 7.125%, 5/1/21 144A		5,560,000		5,449
	Infor, Inc., 9.375%, 4/1/19		1,000,000		1,070
	Interactive Data Corp., 5 .875%, 4/15/19 144A		1,525,000		1,514
	Iron Mountain, Inc., 7.75%, 10/1/19		1,360,000		1,455
	Magnachip Semiconductor Corp., 6.625%, 7/15/21		1,500,000		1,361
	MSCI, Inc., 5.25%, 11/15/24 144A		500,000		517
	NCR Corp., 4.625%, 2/15/21		675,000		655
	NCR Corp., 5.00%, 7/15/22		335,000		327
	NCR Corp., 5.875%, 12/15/21		2,000,000		2,055
	NCR Corp., 6.375%, 12/15/23		520,000		541
	Nuance Communications, Inc., 5.375%, 8/15/20 144A		2,500,000		2,506
	Sensata Technologies BV, 5.625%, 11/1/24 144A		1,625,000		1,686
	Sophia Holding Finance LP/Sophia Holding Finance, Inc., 9.625%, 12/1/18 144A		3,500,000		3,518
	Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 144A		625,000		667
	SunGard Data Systems, Inc., 6.625%, 11/1/19		2,525,000		2,550
	SunGard Data Systems, Inc., 7.625%, 11/15/20		1,230,000		1,304
	TransUnion Holding Co., 8.125%, 6/15/18		1,000,000		1,025
	TransUnion Holding Co., 9.625%, 6/15/18		3,000,000		3,068
	VeriSign, Inc., 4.625%, 5/1/23		1,500,000		1,470
	Zebra Technologies Corp., 7.25%, 10/15/22 144A		2,725,000		2,861

	Total				79,936


	Telecommunications (4.4%)
	Altice SA, 7.75%, 5/15/22 144A		1,150,000		1,152

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


136		High Yield Bond Portfolio

High Yield Bond Portfolio


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Telecommunications continued
Digicel Group, Ltd., 7.125%, 4/1/22 144A		525,000		488
Digicel Group, Ltd., 8.25%, 9/30/20 144A		1,200,000		1,164
Digicel, Ltd., 6.00%, 4/15/21 144A		1,260,000		1,178
Level 3 Communications, Inc., 5.75%, 12/1/22 144A		4,250,000		4,277
MetroPCS Wireless, Inc., 6.625%, 11/15/20		1,410,000		1,435
Sprint Communications, Inc., 6.00%, 11/15/22		1,000,000		920
Sprint Communications, Inc., 7.00%, 8/15/20		2,740,000		2,740
Sprint Communications, Inc., 9.00%, 11/15/18 144A		1,630,000		1,854
Sprint Communications, Inc., 11.50%, 11/15/21		1,485,000		1,786
Sprint Corp., 7.125%, 6/15/24		650,000		604


Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

Telecommunications continued
Sprint Corp., 7.25%, 9/15/21		2,610,000		2,587
Sprint Corp., 7.875%, 9/15/23		1,965,000		1,940
T-Mobile USA, Inc., 6.00%, 3/1/23		775,000		777
T-Mobile USA, Inc., 6.125%, 1/15/22		575,000		584
T-Mobile USA, Inc., 6.25%, 4/1/21		2,740,000		2,804
T-Mobile USA, Inc., 6.375%, 3/1/25		1,035,000		1,051
T-Mobile USA, Inc., 6.542%, 4/28/20		1,045,000		1,079
T-Mobile USA, Inc., 6.625%, 4/1/23		1,000,000		1,024
T-Mobile USA, Inc., 6.633%, 4/28/21		785,000		806
T-Mobile USA, Inc., 6.731%, 4/28/22		365,000		376

Total				30,626


	Bonds (96.4%)	Shares/ $ Par		Value $ (000’s)

	Transportation (0.7%)
	HDTFS, Inc., 6.25%, 10/15/22		4,100,000		4,141
	The Hertz Corp., 5.875%, 10/15/20		420,000		423

	Total				4,564


	Total Bonds
	(Cost: $683,753)				676,831


	Common Stocks & Warrants (0.0%)
	Metals & Mining (0.0%)
*	Patriot Coal Corp. Warrants		17,358		38


	Total Common Stocks & Warrants
	(Cost: $95)				38


	Total Investments (96.4%)
	(Cost: $683,848)(a)				676,869

	Other Assets, Less
	Liabilities (3.6%)				25,119

	Net Assets (100.0%)				701,988

*	Non-Income Producing

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $683,852 and the net unrealized depreciation of investments based on that cost was $6,983 which is comprised of $6,948 aggregate gross unrealized appreciation and $13,931 aggregate gross unrealized depreciation.

(c)	PIK — Payment In Kind

(d)	Defaulted Security

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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 & Warrants	$	-	$	-	$	38
Corporate Bonds		-		676,831		-
Total	$	-	$	676,831	$	38

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


		High Yield Bond Portfolio			137

Multi-Sector Bond Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Maximum total return, consistent with prudent investment management.

Invest in a diversified portfolio of fixed income instruments

of varying maturities and quality, and in derivatives designed to replicate such securities.

$546 million

Portfolio Overview

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Multi-Sector Bond Portfolio (the “Portfolio”), has engaged Pacific Investment Management Company LLC (“PIMCO”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of fixed income instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts or swap agreements. The 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 by PIMCO to be of comparable quality (so called “junk bonds”). The Portfolio may invest, without limitation, in securities denominated in foreign currencies and U.S. dollar denominated securities of foreign issuers. In addition, the Portfolio may invest without limit in fixed income securities of issuers that are economically tied to emerging securities markets.

Market Overview

The third quarter was marked by geopolitical tension and diverging markets. Most developed market government yields moved lower, while credit markets backed up. Given this improvement in the outlook for growth, the Federal Reserve (the “Fed”) policy rate projections increased modestly and the U.S. dollar surged more than 7.5% versus its major trading partners. Further east, growth concerns developed in China and Japan, and in EM tensions over Ukraine pushed the U.S. and European Union to expand sanctions on Russia.

The final quarter of 2014 saw continued global growth divergence, but the most defining event was the sharp decline in oil prices and accompanying market volatility, which dissipated quickly but still managed to leave certain risk sectors bruised. Growth in the U.S. exceeded expectations and handily outpaced its peers in the developed world, particularly in Japan and Europe, which continued to struggle.

Portfolio Results

The Portfolio returned 3.25% for the twelve months ended December 31, 2014. By comparison, the Portfolio’s benchmark, the Barclays^® Global Credit Hedged USD Index returned 6.64%. 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, returned 5.48%. (These Indices are unmanaged, cannot be invested in directly and does not include administrative expenses or sales charges.) According to Morningstar^® Inc., an independent mutual fund ranking agency, the average return of the Multisector Bond peer group was 3.43% in 2014.

During the period, exposure to Russian external debt was the primary detractor amid concerns over geopolitical tensions, oil prices and currency weakness. An underweight to long-term U.S. government bonds detracted from returns as rates fell during the period. An underweight to longer-term bonds in the U.K., partially implemented through the use of interest rate swaps, also detracted as rates fell across most parts of the curve. Within spread sectors, an overweight to EM external debt was negative for returns as spreads widened.

An overweight to European rates implemented through euro denominated external debt contributed to returns as rates fell across the maturity spectrum, particular in longer dated maturities. Additionally, an overweight to longer-term Australian government bonds contributed to returns as rates fell. Within the corporate sector, an underweight to high yield and investment grade industrials was positive for returns as spreads widened.

Portfolio Manager Outlook

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

We expect global growth to accelerate from around 2.5% this year to 2.75% next year. This incremental improvement comes from our view that lower oil prices will be a positive shock for a majority of global economies as petrodollars are redirected from producers to consumers. Declining oil prices will also have a clear downside impact on global inflation, allowing many countries to sustain or increase growth-supportive monetary policy measures.


138		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio (unaudited)

We believe the U.S. economy will continue to be the growth leader in the developed world, with average growth around 3.0%. Our favorable outlook reflects improving household finances and confidence, as well as solid corporate profits and rising utilization rates, which should coalesce to underpin a self-reinforcing economic cycle. With business expansion plans likely to support a healthy pace of payroll gains, wage pressures are expected to gradually rise as the unemployment rate falls further. While falling oil prices should keep headline inflation subdued, we expect the Fed will take its policy signals from marginal wage gains and begin to gradually raise policy interest rates in mid-2015. As a result of the stronger growth outlook and likelihood for policy normalization, we expect the strength of the U.S. dollar versus other currencies to persist.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year		5 Years		Since Inception*
Multi-Sector Bond Portfolio		3.25%		6.78%		6.28%
Barclays^® Global Credit Hedged USD Index		6.64%		6.30%		5.75%
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		5.48%		7.42%		6.71%
Morningstar^® US Insurance Fund Multisector Bond Average		3.43%		6.40%		–

*	Inception date of 4/30/07

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.

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.


		Multi-Sector Bond Portfolio			139

Multi-Sector Bond Portfolio (unaudited)

Top 10 Fixed Income Holdings 12/31/14


Security Description	% of Net Assets
US Treasury, Various		3.2%
Mexico Government International Bond, 4.00%, 10/2/23		2.2%
Barclays Bank PLC, Various		2.1%
Brazil, Various		1.4%
Russian Federation, Various		1.4%
Gazprom OAO, Various		1.4%
Credit Agricole SA, 8.125%, 9/19/33		1.3%
Ally Financial, Inc., Various		1.3%
Republic of Italy EUR, 3.75%, 9/1/24		1.3%
UBS AG, Various		1.3%

Sector Allocation 12/31/14

LOGO

Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


140		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

Schedule of Investments

December 31, 2014


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Autos & Vehicle Parts (0.6%)
	Banque PSA Finance SA, 4.375%, 4/4/16 144A		500,000		515
(b)	General Motors Financial Co., Inc., 2.625%, 7/10/17		800,000		803
(b)	Magna International, Inc., 3.625%, 6/15/24		700,000		701
	RCI Banque SA, 3.50%, 4/3/18 144A		300,000		311
	Schaeffler Finance BV, 7.75%, 2/15/17 144A		300,000		329
(c)	Schaeffler Holding Finance BV, 6.25%, 11/15/19 144A		300,000		309
(c)	Schaeffler Holding Finance BV, 6.75%, 11/15/22 144A		400,000		418

	Total				3,386


	Banking (14.2%)
(b)	Ally Financial, Inc., 3.50%, 7/18/16		700,000		708
(b)	Ally Financial, Inc., 3.75%, 11/18/19		5,200,000		5,122
(b)	Ally Financial, Inc., 4.625%, 6/26/15		300,000		302
(b)	Ally Financial, Inc., 5.125%, 9/30/24		800,000		812
	Banco Continental SA via Continental Senior Trustee II Cayman, Ltd., 5.75%, 1/18/17 144A		600,000		633
(b)	Banco Santander Brasil SA, 4.625%, 2/13/17		400,000		415
	Banco Santander Chile, 3.875%, 9/20/22 144A		1,000,000		989
	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/9/22 144A		2,350,000		2,327
	Banco Votorantim SA, 5.25%, 2/11/16 144A		800,000		815
(b)	Bank of America Corp., 2.60%, 1/15/19		3,300,000		3,326
(b)	Barclays Bank PLC, 7.625%, 11/21/22		2,000,000		2,187
(b)	Barclays Bank PLC, 7.75%, 4/10/23		3,200,000		3,488
(b)	BPCE SA, 4.00%, 4/15/24		2,000,000		2,090
	BPCE SA, 4.50%, 3/15/25 144A		1,600,000		1,563


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Banking continued
	BPCE SA, 4.625%, 7/11/24 144A		1,400,000		1,359
	Cantor Fitzgerald LP, 7.875%, 10/15/19 144A		1,500,000		1,639
	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 11.00%, 12/29/49 144A		200,000		257
	Corpbanca SA, 3.875%, 9/22/19 144A		1,400,000		1,404
	Credit Agricole SA, 8.125%, 9/19/33		6,500,000		7,252
	Credit Suisse AG, 6.50%, 8/8/23 144A		2,200,000		2,415
	Credit Suisse AG, 6.50%, 8/8/23		1,700,000		1,866
(b)	The Goldman Sachs Group, Inc., 4.00%, 3/3/24		400,000		415
(b)	The Goldman Sachs Group, Inc., 5.75%, 1/24/22		400,000		463
(b)	The Goldman Sachs Group, Inc., 6.75%, 10/1/37		850,000		1,069
(b)	The Goldman Sachs Group, Inc., 7.50%, 2/15/19		400,000		476
	ING Bank NV, 5.80%, 9/25/23 144A		3,000,000		3,328
(b)	Intesa Sanpaolo SpA, 2.375%, 1/13/17		800,000		807
	Intesa Sanpaolo SpA, 5.017%, 6/26/24 144A		500,000		485
	Intesa Sanpaolo SpA, 6.50%, 2/24/21 144A		4,100,000		4,743
(b)	JPMorgan Chase & Co., 7.90%, 4/29/49		2,200,000		2,368
	KBC Bank NV, 8.00%, 1/25/23		4,600,000		5,176
	LBG Capital No.1 PLC, 8.50%, 12/29/49 144A		660,000		714
	Macquarie Group, Ltd., 6.25%, 1/14/21 144A		300,000		343
(b)	Morgan Stanley, 5.50%, 1/26/20		500,000		563
(b)	Morgan Stanley, 7.30%, 5/13/19		400,000		474
(b)	Royal Bank of Scotland Group PLC, 6.40%, 10/21/19		1,200,000		1,394
	Royal Bank of Scotland PLC, 9.50%, 3/16/22		3,200,000		3,637
	UBS AG, 4.75%, 5/22/23		2,300,000		2,321


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Banking continued
	UBS AG of Stamford Connecticut, 7.625%, 8/17/22		1,400,000		1,648
	UBS AG/Jersey, 7.25%, 2/22/22		2,700,000		2,896
	Wells Fargo & Co., 7.98%, 3/29/49		3,100,000		3,422

	Total				77,711


	Basic Materials (0.3%)
(b)	Georgia-Pacific LLC, 8.875%, 5/15/31		200,000		310
(b)	Hamilton College, 4.75%, 7/1/13		100,000		90
(b)	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, 7.875%, 8/15/19		200,000		211
	Sappi Papier Holding GmbH, 7.75%, 7/15/17 144A		400,000		428
(b)	Weyerhaeuser Co., 7.375%, 10/1/19		400,000		477

	Total				1,516


	Builders & Building Materials (0.4%)
(b)	Associated Materials LLC/AMH New Finance, Inc., 9.125%, 11/1/17		600,000		495
	Cemex SAB de CV, 9.50%, 6/15/18 144A		1,300,000		1,417
(b)	Owens Corning, Inc., 4.20%, 12/1/24		400,000		395

	Total				2,307


	Capital Goods (0.2%)
	NCSG Crane & Heavy Haul Services, 9.50%, 8/15/19 144A		1,000,000		850

	Total				850


	Chemicals (0.5%)
(b)	Ashland, Inc., 3.875%, 4/15/18		500,000		505
	Braskem Finance, Ltd., 5.75%, 4/15/21		700,000		705
	EuroChem Mineral & Chemical Co. OJSC via EuroChem GI, Ltd., 5.125%, 12/12/17 144A		900,000		772
	Ineos Finance PLC, 7.50%, 5/1/20 144A		200,000		210
	Ineos Finance PLC, 8.375%, 2/15/19 144A		200,000		213

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


		Multi-Sector Bond Portfolio			141

Multi-Sector Bond Portfolio


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Chemicals continued
	Phosagro OAO via Phosagro Bond Funding, Ltd., 4.204%, 2/13/18 144A		200,000		172

	Total				2,577


	Consumer Products & Retailing (0.4%)
(b)	Altria Group, Inc., 10.20%, 2/6/39		418,000		728
	CVS Pass-Through Trust, 4.704%, 1/10/36 144A		487,846		521
	CVS Pass-Through Trust, 5.926%, 1/10/34 144A		836,541		973
	CVS Pass-Through Trust, 7.507%, 1/10/32 144A		89,305		114
	Sally Holdings LLC/Sally Capital, Inc., 6.875%, 11/15/19		100,000		106

	Total				2,442


	Electric Utilities (1.9%)
(k)	The AES Corp., 8.00%, 10/15/17		13,000		15
(k)	The AES Corp., 8.00%, 6/1/20		300,000		343
	ContourGlobal Power Holdings SA, 7.125%, 6/1/19 144A		300,000		300
	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.625%, 11/1/24 144A		1,875,000		1,912
(k)	Exelon Generation Co. LLC, 4.25%, 6/15/22		500,000		520
(k)	FirstEnergy Corp., 7.375%, 11/15/31		800,000		968
(k)	NRG Energy, Inc., 7.625%, 1/15/18		3,400,000		3,732
(k)	Puget Energy, Inc., 5.625%, 7/15/22		200,000		231
	RWE AG, 7.00%, 10/12/72		800,000		856
	SSE PLC, 5.625%, 9/29/49		1,600,000		1,687

	Total				10,564


	Energy (2.6%)
	Afren PLC, 6.625%, 12/9/20		2,600,000		1,456
	Borets Finance, Ltd., 7.625%, 9/26/18 144A		1,600,000		1,136
	California Resources Corp., 5.00%, 1/15/20 144A		700,000		607
	California Resources Corp., 5.50%, 9/15/21 144A		600,000		513


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Energy continued
	California Resources Corp., 6.00%, 11/15/24 144A		600,000		507
(k)	CGG SA, 7.75%, 5/15/17		34,000		29
(k)	Chesapeake Energy Corp., 3.481%, 4/15/19		1,500,000		1,470
(k)	EP Energy LLC/Everest Acquisition Finance, Inc., 7.75%, 9/1/22		100,000		93
	Gazprom OAO Via Gaz Capital SA, 6.51%, 3/7/22 144A		200,000		179
(k)	Harvest Operations Corp., 6.875%, 10/1/17		100,000		96
	Nakilat, Inc., 6.067%, 12/31/33		200,000		223
	Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 144A		3,590,000		2,657
	Novatek OAO via Novatek Finance, Ltd., 6.604%, 2/3/21 144A		1,600,000		1,368
	Odebrecht Drilling Norbe VIII/IX, Ltd., 6.35%, 6/30/21		1,275,000		1,202
	Petrofac, Ltd., 3.40%, 10/10/18 144A		100,000		99
(k)	Pride International, Inc., 8.50%, 6/15/19		500,000		599
	Tullow Oil PLC, 6.25%, 4/15/22 144A		2,600,000		2,184

	Total				14,418


	Finance (4.8%)
	AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, 10/1/21 144A		1,500,000		1,552
	Aviation Capital Group Corp., 3.875%, 9/27/16 144A		1,000,000		1,025
	AWAS Aviation Capital, Ltd., 7.00%, 10/17/16 144A		616,000		630
(k)	CIT Group, Inc., 3.875%, 2/19/19		800,000		798
(k)	CIT Group, Inc., 4.25%, 8/15/17		100,000		102
(k)	CIT Group, Inc., 5.25%, 3/15/18		2,700,000		2,815
(k)	GATX Corp., 4.75%, 6/15/22		200,000		220
(k)	General Electric Capital Corp., 6.25%, 12/29/49		2,300,000		2,504


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Finance continued
(k)	International Lease Finance Corp., 5.875%, 4/1/19		1,400,000		1,509
	International Lease Finance Corp., 6.75%, 9/1/16 144A		1,200,000		1,278
	Navient Corp., 4.875%, 6/17/19		1,200,000		1,203
	Navient Corp., 6.00%, 1/25/17		100,000		105
	Navient Corp., 6.25%, 1/25/16		3,200,000		3,328
(k)	Navient Corp., 8.45%, 6/15/18		1,100,000		1,227
	OneMain Financial Holdings, Inc., 6.75%, 12/15/19 144A		600,000		612
	OneMain Financial Holdings, Inc., 7.25%, 12/15/21 144A		600,000		615
(k)	PHH Corp., 6.375%, 8/15/21		1,100,000		1,008
	SCF Capital, Ltd., 5.375%, 10/27/17 144A		2,500,000		2,047
(k)	Springleaf Finance Corp., 5.75%, 9/15/16		300,000		310
(k)	Springleaf Finance Corp., 6.50%, 9/15/17		700,000		735
	Springleaf Finance Corp., 6.90%, 12/15/17		2,200,000		2,343

	Total				25,966


	Healthcare (0.8%)
(k)	Boston Scientific Corp., 6.00%, 1/15/20		1,200,000		1,352
(k)	CHS/Community Health Systems, Inc., 5.125%, 8/1/21		200,000		208
(k)	HCA, Inc., 6.50%, 2/15/20		2,000,000		2,241
	Tenet Healthcare Corp., 4.50%, 4/1/21		300,000		301

	Total				4,102


	Insurance (0.6%)
(k)	AXA SA, 8.60%, 12/15/30		2,000,000		2,717
	The Doctors Co., 6.50%, 10/15/23 144A		300,000		330

	Total				3,047


	Media (1.9%)
(k)	CSC Holdings LLC, 7.625%, 7/15/18		800,000		899
(k)	CSC Holdings LLC, 8.625%, 2/15/19		200,000		232
(k)	DISH DBS Corp., 5.125%, 5/1/20		3,800,000		3,828
	Numericable Group SA, 4.875%, 5/15/19 144A		400,000		397

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


142		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Media continued
	Numericable Group SA, 6.00%, 5/15/22 144A		900,000		905
	Numericable Group SA, 6.25%, 5/15/24 144A		2,400,000		2,418
	UPCB Finance III, Ltd., 6.625%, 7/1/20 144A		400,000		420
	UPCB Finance V, Ltd., 7.25%, 11/15/21 144A		200,000		219
	UPCB Finance VI, Ltd., 6.875%, 1/15/22 144A		150,000		163
	Viacom, Inc., 5.85%, 9/1/43		100,000		111
	Virgin Media Secured Finance PLC, 5.25%, 1/15/21		700,000		732

	Total				10,324


	Metals & Mining (4.6%)
	ALROSA Finance SA, 7.75%, 11/3/20 144A		1,500,000		1,410
	ALROSA Finance SA, 7.75%, 11/3/20		900,000		846
	Anglo American Capital PLC, 4.125%, 4/15/21 144A		200,000		201
	Anglo American Capital PLC, 4.125%, 9/27/22 144A		1,100,000		1,089
(k)	AngloGold Ashanti Holdings PLC, 5.375%, 4/15/20		100,000		96
(k)	AngloGold Ashanti Holdings PLC, 6.50%, 4/15/40		1,000,000		881
(k)	ArcelorMittal, 4.25%, 8/5/15		1,500,000		1,522
	CONSOL Energy, Inc., 5.875%, 4/15/22 144A		400,000		372
	CSN Resources SA, 6.50%, 7/21/20		100,000		92
	Glencore Finance Canada, Ltd., 2.70%, 10/25/17 144A		5,300,000		5,362
	Gold Fields Orogen Holding BVI, Ltd., 4.875%, 10/7/20		3,400,000		2,856
	GTL Trade Finance, Inc., 5.893%, 4/29/24 144A		2,490,000		2,403
	Metalloinvest Finance, Ltd., 6.50%, 7/21/16		200,000		189
	OAO Novolipetsk Steel via Steel Funding, Ltd., 4.45%, 2/19/18 144A		1,500,000		1,327
	Severstal OAO Via Steel Capital SA, 4.45%, 3/19/18 144A		1,000,000		860
	Severstal OAO Via Steel Capital SA, 6.70%, 10/25/17 144A		700,000		646


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Metals & Mining continued
	Southern Copper Corp., 5.25%, 11/8/42		1,700,000		1,519
	Southern Copper Corp., 6.75%, 4/16/40		800,000		839
	Southern Copper Corp., 7.50%, 7/27/35		200,000		225
	Steel Dynamics, Inc., 7.625%, 3/15/20		300,000		313
	Vale Overseas, Ltd., 4.375%, 1/11/22		800,000		767
	Vale Overseas, Ltd., 4.625%, 9/15/20		400,000		404
	Vale Overseas, Ltd., 6.875%, 11/21/36		700,000		738
	Vale Overseas, Ltd., 6.875%, 11/10/39		300,000		319

	Total				25,276


	Oil & Gas (0.5%)
	BG Energy Capital PLC, 6.50%, 11/30/72		700,000		750
	Borets Finance, Ltd., 7.625%, 9/26/18		1,100,000		781
	EDC Finance, Ltd., 4.875%, 4/17/20		400,000		258
	Reliance Holdings USA, Inc., 4.50%, 10/19/20		300,000		313
	Rosneft Finance SA, 7.25%, 2/2/20 144A		400,000		346
	Rosneft Finance SA, 7.875%, 3/13/18 144A		100,000		92

	Total				2,540


	Pharmaceuticals (0.5%)
(k)	Amgen, Inc., 5.375%, 5/15/43		900,000		1,045
	Endo Finance LLC, 5.75%, 1/15/22 144A		300,000		300
	Endo Finance LLC & Endo Finco, Inc., 5.375%, 1/15/23 144A		900,000		882
(k)	Hospira, Inc., 5.80%, 8/12/23		200,000		224
	Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.75%, 8/1/22 144A		400,000		411

	Total				2,862


	Pipelines (1.8%)
	Hiland Partners LP/Hiland Partners Finance Corp., 5.50%, 5/15/22 144A		100,000		88
	Hiland Partners LP/Hiland Partners Finance Corp., 7.25%, 10/1/20 144A		100,000		95


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Pipelines continued
(k)	Kinder Morgan, Inc., 7.75%, 1/15/32		916,000		1,127
(k)	Kinder Morgan, Inc., 8.25%, 2/15/16		100,000		106
	Midcontinent Express Pipeline LLC, 6.70%, 9/15/19 144A		1,700,000		1,861
(k)	Regency Energy Partners LP/Regency Energy Finance Corp., 5.00%, 10/1/22		1,100,000		1,039
(k)	Regency Energy Partners LP/Regency Energy Finance Corp., 5.75%, 9/1/20		300,000		301
	Rockies Express Pipeline LLC, 5.625%, 4/15/20 144A		1,000,000		983
	Rockies Express Pipeline LLC, 6.85%, 7/15/18 144A		2,900,000		2,987
	Sabine Pass Liquefaction LLC, 5.75%, 5/15/24		300,000		294
	Sabine Pass LNG LP, 7.50%, 11/30/16 144A		100,000		104
	Sabine Pass LNG LP, 7.50%, 11/30/16		100,000		104
(d)	Selectica, 8.75%, 11/15/15		500,000		—
	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875%, 10/1/20		469,000		470
	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 144A		100,000		100

	Total				9,659


	Real Estate Investment Trusts (0.5%)
	Deutsche Annington Finance BV, 5.00%, 10/2/23 144A		300,000		314
	Goodman Funding Pty., Ltd., 6.375%, 4/15/21 144A		1,000,000		1,151
	OMEGA Healthcare Investors, Inc., 4.50%, 1/15/25 144A		100,000		99
(k)	OMEGA Healthcare Investors, Inc., 4.95%, 4/1/24		100,000		104
(k)	SL Green Realty Corp., 5.00%, 8/15/18		1,100,000		1,180

	Total				2,848


	Services (0.1%)
(k)	QVC, Inc., 4.375%, 3/15/23		500,000		502

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


		Multi-Sector Bond Portfolio			143

Multi-Sector Bond Portfolio


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Services continued
(k)	QVC, Inc., 4.85%, 4/1/24		100,000		102

	Total				604


	Technology (0.4%)
	Alliance Data Systems Corp., 5.25%, 12/1/17 144A		600,000		618
	Denali Borrower LLC/Denali Finance Corp., 5.625%, 10/15/20 144A		800,000		832
(k)	Flextronics International, Ltd., 4.625%, 2/15/20		200,000		203
	NXP BV/NXP Funding LLC, 3.50%, 9/15/16 144A		400,000		404

	Total				2,057


	Telecommunications (3.6%)
(k)	American Tower Corp., 7.25%, 5/15/19		1,500,000		1,752
(k)	Deutsche Telekom International Finance BV, 8.75%, 6/15/30		700,000		1,034
	Digicel Group, Ltd., 8.25%, 9/30/20 144A		600,000		582
	Eileme 2 AB, 11.625%, 1/31/20 144A		600,000		672
	Millicom International Cellular SA, 6.625%, 10/15/21 144A		200,000		208
	Qwest Corp., 7.25%, 9/15/25		500,000		595
	Sprint Communications, Inc., 7.00%, 8/15/20		700,000		700
	Sprint Corp., 7.125%, 6/15/24		2,300,000		2,139
	Sprint Corp., 7.875%, 9/15/23		2,500,000		2,468
	T-Mobile USA, Inc., 6.00%, 3/1/23		400,000		401
	T-Mobile USA, Inc., 6.25%, 4/1/21		600,000		614
	T-Mobile USA, Inc., 6.542%, 4/28/20		600,000		620
	Verizon Communications, Inc., 6.55%, 9/15/43		1,565,000		2,005
	Vimpel Communications Via VIP Finance Ireland, Ltd., 7.748%, 2/2/21 144A		1,200,000		997
	Vimpel Communications Via VIP Finance Ireland, Ltd., 9.125%, 4/30/18 144A		900,000		846


	Corporate Bonds (42.3%)	Shares/ $ Par		Value $ (000’s)

	Telecommunications continued
	VimpelCom Holdings BV, 7.504%, 3/1/22 144A		3,700,000		2,997
	Wind Acquisition Finance SA, 7.375%, 4/23/21 144A		1,000,000		944

	Total				19,574


	Transportation (1.1%)
(k)	American Airlines Pass Through Trust, 3.70%, 10/1/26		600,000		603
(k)	American Airlines Pass Through Trust, 5.25%, 1/31/21		153,409		165
	Asciano Finance, Ltd., 4.625%, 9/23/20 144A		500,000		522
(k)	Asciano Finance, Ltd., 5.00%, 4/7/18 144A		800,000		860
	Brunswick Rail Finance, Ltd., 6.50%, 11/1/17 144A		2,700,000		1,107
(k)	Continental Airlines Pass Through Trust, 4.75%, 1/12/21		82,978		88
(k)	Continental Airlines Pass Through Trust, 7.25%, 11/10/19		232,395		269
	DP World Sukuk, Ltd., 6.25%, 7/2/17		200,000		217
	DP World, Ltd., 6.85%, 7/2/37		500,000		564
	United Airlines Pass Through Trust, 4.30%, 8/15/25		100,000		104
	US Airways Pass-Through Trust, 5.90%, 10/1/24		1,341,471		1,496
	The Virgin Australia Trust, 5.00%, 10/23/23 144A		89,501		92

	Total				6,087


	Total Corporate Bonds
	(Cost: $235,084)				230,717


	Foreign Bonds (19.4%)	Par		Value $ (000’s)

	Aerospace & Defense (0.6%)
(f)	Finmeccanica SpA, 8.00%, 12/16/19 GBP		1,900,000		3,451

	Total				3,451


	Autos & Vehicle Parts (1.0%)
(f)	Fiat Chrysler Finance Europe, 7.00%, 3/23/17 EUR		2,900,000		3,829
(c),(f)	Schaeffler Holding Finance BV, 5.75%, 11/15/21 144A EUR		1,100,000		1,418


	Foreign Bonds (19.4%)	Par		Value $ (000’s)

	Autos & Vehicle Parts continued
(c),(f)	Schaeffler Holding Finance BV, 6.875%, 8/15/18 EUR		200,000		252

	Total				5,499


	Banking (6.9%)
(f)	Alpha Credit Group PLC, 3.375%, 6/17/17 EUR		2,400,000		2,485
(f)	Banco Nacional de Desenvolvimento Economico e Social, 4.125%, 9/15/17 144A EUR		300,000		365
(f)	Banco Popolare SC, 2.375%, 1/22/18 EUR		900,000		1,097
(f)	Banco Popolare SC, 3.50%, 3/14/19 EUR		3,800,000		4,794
(f)	Banco Popular Espanol SA, 11.50%, 10/29/49 EUR		1,500,000		2,066
(f)	Bank of Scotland PLC, 6.375%, 8/16/19 GBP		100,000		178
(f)	Bankia SA, 4.00%, 5/22/24 EUR		2,000,000		2,364
(f)	Barclays Bank PLC, 10.00%, 5/21/21 GBP		2,050,000		4,230
(f)	Barclays Bank PLC, 14.00%, 11/29/49 GBP		800,000		1,637
(f)	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA of Netherlands, 6.875%, 3/19/20 EUR		3,000,000		4,302
(f)	Credit Suisse AG, 5.75%, 9/18/25 EUR		300,000		410
(f)	ERB Hellas PLC, 4.25%, 6/26/18 EUR		800,000		801
(f)	HBOS PLC, 5.374%, 6/30/21 EUR		600,000		813
(f)	LBG Capital No.1 PLC, 7.869%, 8/25/20 GBP		800,000		1,259
(f)	LBG Capital No.2 PLC, 15.00%, 12/21/19 EUR		700,000		1,252
(f)	LBG Capital No.2 PLC, 15.00%, 12/21/19 GBP		400,000		855
(f)	Lloyds Bank PLC, 7.625%, 4/22/25 GBP		1,200,000		2,413
(f)	Nationwide Building Society, 10.25%, 6/29/49 GBP		1,200,000		2,357
(f)	Novo Banco SA, 3.875%, 1/21/15 EUR		100,000		120
(f)	Novo Banco SA, 5.00%, 4/23/19 EUR		500,000		579
(f)	Novo Banco SA, 5.00%, 5/14/19 EUR		300,000		355

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


144		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio


	Foreign Bonds (19.4%)	Par		Value $ (000’s)

	Banking continued
(f)	Novo Banco SA, 5.00%, 5/21/19 EUR		100,000		118
(f)	Novo Banco SA, 5.00%, 5/23/19 EUR		700,000		827
(f)	Novo Banco SA, 5.875%, 11/9/15 EUR		200,000		244
(f)	Novo Banco SA, 7.00%, 3/4/16 EUR		200,000		242
(f)	Piraeus Group Finance PLC, 5.00%, 3/27/17 EUR		1,200,000		1,239

	Total				37,402


	Basic Materials (0.3%)
(f)	KP Germany Erste GmbH, 11.625%, 7/15/17 EUR		200,000		259
(f)	OI European Group BV, 6.75%, 9/15/20 EUR		200,000		287
(f)	Smurfit Kappa Acquisitions, 4.125%, 1/30/20 144A EUR		300,000		392
(c),(f)	Xella Holdco Finance SA, 9.125%, 9/15/18 EUR		400,000		494

	Total				1,432


	Builders & Building Materials (1.0%)
(f)	HeidelbergCement Finance Luxembourg SA, 8.50%, 10/31/19 EUR		1,400,000		2,234
(f)	HeidelbergCement Finance Luxembourg SA, 9.50%, 12/15/18 EUR		300,000		475
(f)	Lafarge SA, 6.25%, 4/13/18 EUR		700,000		962
(f)	Lafarge SA, 6.625%, 11/29/18 EUR		1,000,000		1,413
(f)	Lafarge SA, 6.75%, 12/16/19 EUR		400,000		588

	Total				5,672


	Capital Goods (0.4%)
(f)	Obrascon Huarte Lain SA, 7.625%, 3/15/20 EUR		600,000		755
(f)	Obrascon Huarte Lain SA, 8.75%, 3/15/18 EUR		1,200,000		1,519

	Total				2,274


	Chemicals (0.7%)
(f)	Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18 EUR		1,950,000		2,402
(f)	Ineos Group Holdings SA, 6.50%, 8/15/18 EUR		1,200,000		1,426

	Total				3,828


	Foreign Bonds (19.4%)	Par		Value $ (000’s)

	Consumer Products & Retailing (2.2%)
(e),(f)	Co-operative Group Holdings, Ltd., 6.875%, 7/8/20 GBP		2,400,000		3,862
(f)	DFS Furniture Holdings PLC, 7.625%, 8/15/18 GBP		100,000		161
(f)	Indesit Co. SPA, 4.50%, 4/26/18 EUR		1,800,000		2,370
(f)	Marks & Spencer PLC, 6.125%, 12/6/21 GBP		300,000		551
(f)	Safeway, Ltd., 6.125%, 12/17/18 GBP		300,000		519
(f)	Spirit Issuer PLC, 6.582%, 12/28/27 GBP		900,000		1,459
(f)	Stretford 79 PLC, 6.25%, 7/15/21 GBP		400,000		490
(f)	TeamSystem Holding SPA, 7.375%, 5/15/20 EUR		2,000,000		2,525

	Total				11,937


	Electric Utilities (0.4%)
(f)	SSE PLC, 5.625%, 9/29/49 EUR		1,500,000		1,967

	Total				1,967


	Finance (0.0%)
(f)	Stonegate Pub Co. Financing PLC, 5.31%, 4/15/19 144A GBP		100,000		154

	Total				154


	Insurance (0.4%)
(f)	CNP Assurances, 6.00%, 9/14/40 EUR		100,000		140
(f)	CNP Assurances, 6.875%, 9/30/41 EUR		200,000		295
(f)	CNP Assurances, 7.375%, 9/30/41 GBP		1,000,000		1,787

	Total				2,222


	Media (1.4%)
(f)	LGE HoldCo VI BV, 7.125%, 5/15/24 EUR		1,600,000		2,131
(f)	Numericable Group SA, 5.375%, 5/15/22 EUR		100,000		125
(f)	Numericable Group SA, 5.625%, 5/15/24 EUR		100,000		125
(f)	Telenet Finance V Luxembourg SCA, 6.75%, 8/15/24 EUR		1,100,000		1,491
(e),(f)	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.625%, 4/15/23 144A EUR		300,000		393


	Foreign Bonds (19.4%)	Par		Value $ (000’s)

	Media continued
(f)	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.625%, 4/15/23 EUR		200,000		262
(f)	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, 1/15/23 EUR		100,000		131
(f)	Unitymedia KabelBW GmbH, 9.50%, 3/15/21 EUR		100,000		135
(f)	UPCB Finance II, Ltd., 6.375%, 7/1/20 EUR		400,000		507
(f)	Virgin Media Secured Finance PLC, 5.50%, 1/15/21 GBP		1,300,000		2,170

	Total				7,470


	Municipal Bonds (1.4%)
(f)	The Autonomous Community of Catalonia, 4.95%, 2/11/20 EUR		1,500,000		2,012
(f)	Heta Asset Resolution AG, 4.25%, 10/31/16 EUR		1,600,000		1,346
(f)	Heta Asset Resolution AG, 4.375%, 1/24/17 EUR		4,850,000		4,049

	Total				7,407


	Oil & Gas (0.2%)
(f)	BG Energy Capital PLC, 6.50%, 11/30/72 GBP		800,000		1,322

	Total				1,322


	Structured Products (0.5%)
(f)	EMF-NL BV, 0.881%, 4/17/41 EUR		266,568		306
(f)	Eurosail-NL BV, 1.581%, 10/17/40 EUR		185,034		223
(f)	Mitchells & Butlers Finance PLC, 1.01%, 12/15/30 GBP		83,780		121
(f)	Tesco Property Finance 2 PLC, 6.052%, 10/13/39 GBP		653,506		1,065
(f)	The Unique Pub Finance Co. PLC, 6.542%, 3/30/21 GBP		691,840		1,115

	Total				2,830


	Telecommunications (1.8%)
(f)	Altice SA, 7.25%, 5/15/22 EUR		200,000		245
(f)	Koninklijke KPN NV, 6.125%, 3/29/49 EUR		1,500,000		1,940

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


		Multi-Sector Bond Portfolio			145

Multi-Sector Bond Portfolio


	Foreign Bonds (19.4%)	Par		Value $ (000’s)

	Telecommunications continued
(f)	Telecom Italia SpA, 5.375%, 1/29/19 EUR		2,000,000		2,700
(f)	Telecom Italia SpA, 6.375%, 6/24/19 GBP		700,000		1,199
(f)	Telefonica Europe BV, 6.50%, 9/29/49 EUR		200,000		265
(f)	Telenet Finance III Luxembourg SCA, 6.625%, 2/15/21 144A EUR		100,000		128
(f)	Telenet Finance V Luxembourg SCA, 6.25%, 8/15/22 144A EUR		100,000		132
(f)	Wind Acquisition Finance SA, 4.00%, 7/15/20 EUR		1,000,000		1,187
(f)	Wind Acquisition Finance SA, 7.00%, 4/23/21 EUR		1,900,000		2,248

	Total				10,044


	Transportation (0.2%)
(f)	Europcar Groupe SA, 11.50%, 5/15/17 EUR		700,000		949

	Total				949


	Total Foreign Bonds
	(Cost: $115,802)				105,860


	Governments (20.0%)

	Foreign Agencies (11.4%)
	AK Transneft OJSC Via TransCapitalInvest, Ltd., 8.70%, 8/7/18 144A		1,000,000		1,030
(k)	Banco do Brasil SA, 3.875%, 10/10/22		4,300,000		3,945
	Banco do Brasil SA, 6.00%, 1/22/20 144A		200,000		212
(f)	Banco do Brasil SA, 3.75%, 7/25/18 144A EUR		300,000		364
	Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 144A		700,000		702
	Banco Nacional de Desenvolvimento Economico e Social, 4.00%, 4/14/19 144A		2,100,000		2,068
(k)	Banco Nacional de Desenvolvimento Economico e Social, 6.50%, 6/10/19		2,000,000		2,120
(k)	Centrais Eletricas Brasileiras SA, 6.875%, 7/30/19		600,000		612
	Dolphin Energy, Ltd., 5.50%, 12/15/21 144A		1,500,000		1,688


	Governments (20.0%)	Par		Value $ (000’s)

	Foreign Agencies continued
	DP World, Ltd., 6.85%, 7/2/37 144A		200,000		226
(k)	Ecopetrol SA, 7.375%, 9/18/43		1,400,000		1,512
(k)	Ecopetrol SA, 7.625%, 7/23/19		720,000		824
(k)	Eksportfinans ASA, 2.00%, 9/15/15		1,500,000		1,502
(k)	Eksportfinans ASA, 2.375%, 5/25/16		1,900,000		1,904
(k)	Eksportfinans ASA, 5.50%, 5/25/16		200,000		209
(k)	Eksportfinans ASA, 5.50%, 6/26/17		100,000		107
(k)	Electricite de France SA, 5.25%, 1/29/49		2,200,000		2,255
	Electricite de France SA, 5.625%, 12/29/49 144A		500,000		527
(k),(f)	EnBW Energie Baden-Wuerttemberg AG, 7.375%, 4/2/72 EUR		764,000		1,030
	Gazprom Neft OAO Via GPN Capital SA, 6.00%, 11/27/23 144A		3,000,000		2,385
	Gazprom OAO Via Gaz Capital SA, 3.85%, 2/6/20 144A		1,400,000		1,148
(k)	Gazprom OAO Via Gaz Capital SA, 6.51%, 3/7/22		1,000,000		895
	Gazprom OAO Via Gaz Capital SA, 8.625%, 4/28/34		3,100,000		3,108
	Israel Electric Corp., Ltd., 7.25%, 1/15/19 144A		200,000		223
	Majapahit Holding BV, 7.25%, 6/28/17		100,000		110
	Majapahit Holding BV, 7.75%, 1/20/20 144A		900,000		1,042
	Majapahit Holding BV, 8.00%, 8/7/19 144A		700,000		811
	Nakilat, Inc., 6.267%, 12/31/33 144A		631,214		714
	Ooredoo International Finance, Ltd., 4.75%, 2/16/21 144A		1,300,000		1,399
	Pertamina Persero PT, 4.30%, 5/20/23 144A		600,000		573
	Peru Enhanced Pass-Through Finance, Ltd., 0.00%, 5/31/18 144A		94,137		89
	Perusahaan Listrik Negara PT, 5.50%, 11/22/21 144A		600,000		625
(k)	Petrobras Global Finance BV, 6.25%, 3/17/24		1,400,000		1,332


	Governments (20.0%)	Par		Value $ (000’s)

	Foreign Agencies continued
(k)	Petrobras International Finance Co. SA, 5.375%, 1/27/21		5,100,000		4,726
(k)	Petrobras International Finance Co. SA, 5.75%, 1/20/20		300,000		290
	Petroleos de Venezuela SA, 5.375%, 4/12/27		3,600,000		1,261
	Petroleos de Venezuela SA, 5.50%, 4/12/37		5,200,000		1,789
(k)	Petroleos Mexicanos, 8.00%, 5/3/19		1,200,000		1,419
	Rosneft Finance SA, 7.25%, 2/2/20		400,000		346
	Rosneft Oil Co. via Rosneft International Finance, Ltd., 3.149%, 3/6/17 144A		1,700,000		1,519
	Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.10%, 7/25/18 144A		2,400,000		1,974
	Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 144A		2,000,000		1,707
(f)	Russian Railways via RZD Capital PLC, 7.487%, 3/25/31 GBP		800,000		1,068
	Russian Railways via RZD Capital, Ltd., 5.739%, 4/3/17		1,600,000		1,507
(f)	Sberbank Capital SA, 3.352%, 11/15/19 EUR		1,000,000		998
	Sberbank of Russia Via SB Capital SA, 4.95%, 2/7/17 144A		2,800,000		2,633
	Sberbank of Russia Via SB Capital SA, 5.18%, 6/28/19		400,000		354
	Sberbank of Russia Via SB Capital SA, 5.717%, 6/16/21		200,000		173
	Vnesheconombank Via VEB Finance PLC, 5.942%, 11/21/23		2,700,000		2,092
	Vnesheconombank Via VEB Finance PLC, 6.025%, 7/5/22 144A		1,100,000		834
	Vnesheconombank Via VEB Finance PLC, 6.902%, 7/9/20 144A		600,000		481

	Total				62,462


	Foreign Governments (1.8%)
(f)	Brazil Notas do Tesouro Nacional, 10.00%, 1/1/25 BRL		3,600,000		1,186

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


146		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio


	Governments (20.0%)	Par		Value $ (000’s)

	Foreign Governments continued
(f)	Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/1/17 BRL		3,344,000		1,198
(f)	Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/1/21 BRL		650,000		221
(f)	Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/1/23 BRL		47,000		15
(e),(f)	Hellenic Republic Government Bond, 2.00%, 2/24/32 EUR		200,000		124
(f)	Republic of Italy, 3.75%, 9/1/24 EUR		4,900,000		6,919
(f)	Republic of South Africa, 3.75%, 7/24/26 EUR		200,000		258

	Total				9,921


	US Government (3.2%)
(b)	US Treasury, 0.125%, 4/30/15		5,000,000		5,001
(b)	US Treasury, 0.25%, 2/28/15		909,000		910
(b)	US Treasury, 0.25%, 3/31/15		11,330,000		11,334

	Total				17,245


	Yankee Sovereign (3.6%)
	Indonesia Government International Bond, 6.875%, 1/17/18		5,300,000		5,989
	Mexico Government International Bond, 4.00%, 10/2/23		11,300,000		11,724
	Venezuela Government International Bond, 7.65%, 4/21/25		800,000		339
	Venezuela Government International Bond, 7.75%, 10/13/19		1,100,000		488
	Venezuela Government International Bond, 8.25%, 10/13/24		200,000		87
	Venezuela Government International Bond, 9.25%, 5/7/28		1,100,000		483
	Venezuela Government International Bond, 9.375%, 1/13/34		1,400,000		608

	Total				19,718


	Total Governments
	(Cost: $119,197)				109,346


Municipal Bonds (2.5%)	Shares/ $ Par		Value $ (000’s)

Municipal Bonds (2.5%)
Alameda County Joint Powers Authority, Series 2010-A, 7.046%, 12/1/44 RB		100,000		138
American Municipal Power, Inc., Series 2010-B, 7.834%, 2/15/41 RB		100,000		151
Bay Area Toll Authority, Series 2010-S1, 6.918%, 4/1/40 RB		200,000		284
Buckeye Tobacco Settlement Financing Authority, Series 2007-A2, 5.875%, 6/1/30 RB		100,000		83
Buckeye Tobacco Settlement Financing Authority, Series 2007-A2, 5.875%, 6/1/47 RB		900,000		732
Buckeye Tobacco Settlement Financing Authority, Series 2007-A2, 6.50%, 6/1/47 RB		300,000		263
California State, Series 2010, 7.30%, 10/1/39 GO		200,000		295
California State, Series 2010, 7.70%, 11/1/30 GO		200,000		252
California State, Series 2010, 7.95%, 3/1/36 GO		1,100,000		1,360
City of Riverside, Series 2010-A, 7.605%, 10/1/40 RB		200,000		284
Golden State Tobacco Securitization Corp., Series 2007-A2, 5.30%, 6/1/37 RB		100,000		81
Golden State Tobacco Securitization Corp., Series 2007-A1, 5.75%, 6/1/47 RB		100,000		82
Indiana Finance Authority, Series 2009-B, 6.596%, 2/1/39 RB		300,000		400
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		133


Municipal Bonds (2.5%)	Shares/ $ Par		Value $ (000’s)

Municipal Bonds continued
Los Angeles County California Public Works Financing Authority, Series 2010-B, 7.618%, 8/1/40 RB		200,000		292
Metropolitan Government of Nashville & Davidson County Tennessee, Series 2010-B, 6.568%, 7/1/37 RB		100,000		132
Municipal Electric Authority of Georgia, , 6.655%, 4/1/57 RB		200,000		264
New York City Municipal Water Finance Authority, Series 2011-CC, 5.882%, 6/15/44 RB		100,000		135
New York City Transitional Finance Authority, Series 2011-A1, 5.508%, 8/1/37 RB		300,000		374
New York Metropolitan Transportation Authority, Series 2010-A2, 6.089%, 11/15/40 RB		500,000		666
New York State Urban Development Corp., Series 2009-E, 5.77%, 3/15/39 RB		100,000		123
Orange County California Local Transportation Authority, Series 2010-A, 6.908%, 2/15/41 RB		200,000		284
Port Authority New York & New Jersey, Series 168, 4.926%, 10/1/51 RB, GO		200,000		226
Port Authority New York & New Jersey, Series 2010, 5.647%, 11/1/40 RB, GO		1,100,000		1,349
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		112

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


		Multi-Sector Bond Portfolio			147

Multi-Sector Bond Portfolio


Municipal Bonds (2.5%)	Shares/ $ Par		Value $ (000’s)

Municipal Bonds continued
Tobacco Securitization Authority of Southern California, Series 2006-A, 5.00%, 6/1/37 RB		100,000		81
Tobacco Settlement Finance Authority of West Virginia, Series 2007-A, 7.467%, 6/1/47 RB		1,180,000		1,012
Tobacco Settlement Financing Corp., Series 2007A, 6.706%, 6/1/46 RB		3,340,000		2,509
Triborough Bridge & Tunnel Authority, Series 2010-A2, 5.55%, 11/15/40 RB		800,000		989
University of California Regents Medical Center, Series 2010-H, 6.548%, 5/15/48 RB		100,000		137


Total Municipal Bonds
(Cost: $11,366)				13,469


Structured Products (6.1%)

Structured Products (6.1%)
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4, 0.82%, 7/25/35		100,000		85
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2, 0.964%, 1/25/35		86,893		83
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1, 1.069%, 12/25/34		94,900		86
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2, 1.17%, 3/25/35		300,000		266
Aircraft Certificate Owner Trust, Series 2003-1A, Class E, 7.001%, 9/20/22 144A		349,432		367
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.832%, 9/25/45		9,168		9
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1, 1.039%, 7/25/34		50,944		45


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Asset Backed Securities Corp. Home Equity Loan Trust, Series WMC20-HE5, Class M4, 1.069%, 6/25/35		200,000		164
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE4, Class M1, 1.40%, 8/15/33		50,323		48
Banc of America Commercial Mortgage Trust, Series 2007-3, Class A4, 5.547%, 6/10/49		100,000		107
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.754%, 2/10/51		77,756		85
Banc of America Funding Trust, Series 2007-D, Class 1A4, 0.395%, 6/20/47		204,320		194
Banc of America Funding Trust, Series 2007-6, Class A1, 0.46%, 7/25/37		154,610		134
Banc of America Funding Trust, Series 2005-H, Class 5A1, 2.62%, 11/20/35		270,823		239
Barclays Capital LLC, Series 2009-RR14, Class 2A2, 4.979%, 7/26/36 144A		86,001		68
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A, 2.61%, 7/25/34		25,929		25
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1, 4.334%, 11/25/36		389,738		298
Bear Stearns Asset Backed Securities I Trust, Series 07-AQ1, Class A1, 0.265%, 11/25/36		23,931		23
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2, 0.37%, 12/25/36		83,180		77
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A2, 0.37%, 4/25/37		516,006		466


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Bear Stearns Asset Backed Securities I Trust, Series 2005-HE11, Class M1, 0.585%, 11/25/35		100,000		97
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1, 1.419%, 8/25/37		369,742		338
Bear Stearns Asset Backed Securities Trust, Series 2005-SD3, Class 1A, 0.659%, 7/25/35		79,843		78
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW16, Class A2, 5.655%, 6/11/40		28,448		29
CD Commercial Mortgage Trust, Series 2006-CD2, Class A1B, 5.30%, 1/15/46		1,110,204		1,147
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3, 6.00%, 9/25/37		13,464		14
Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C, 0.38%, 12/25/36		100,000		74
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA, 2.745%, 9/25/37		38,605		34
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A, 2.917%, 9/25/37		186,135		155
Citigroup Mortgage Loan Trust, Inc., Series 05-HE3, Class M2, 0.649%, 9/25/35		300,000		282
Countrywide Alternative Loan Trust, Series 2007-0A3, Class 1A1, 0.31%, 4/25/47		81,032		68
Countrywide Alternative Loan Trust, Series 2006-OC9, Class A2A, 0.33%, 12/25/46		43,409		43
Countrywide Alternative Loan Trust, Series 2006-0A12, Class A1B, 0.355%, 9/20/46		53,787		43

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


148		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Countrywide Alternative Loan Trust, Series 2006-0A17, Class 1A1A, 0.36%, 12/20/46		76,610		58
Countrywide Alternative Loan Trust, Series 2006-0A9, Class 2A1A, 0.375%, 7/20/46		24,232		17
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, 0.487%, 11/20/35		16,738		13
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1, 1.593%, 1/25/36		42,212		39
Countrywide Alternative Loan Trust, Series 2006-OA6, Class 2A, 3.254%, 7/25/46		24,702		21
Countrywide Alternative Loan Trust, Series 2003-19CB, Class 2A1, 4.50%, 9/25/18		7,079		7
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1, 5.445%, 5/25/36		36,328		31
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3, 5.50%, 1/25/36		589,977		524
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.75%, 1/25/35		53,832		55
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2, 6.00%, 5/25/37		478,289		389
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1, 6.50%, 8/25/32		37,680		40
Countrywide Asset-Backed Certificates, Series 2007-2, Class 2A2, 0.27%, 8/25/37		144,462		143
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3, 0.31%, 7/25/37		100,000		79


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Countrywide Asset-Backed Certificates, Series 2006-7, Class 2A3, 0.32%, 4/25/46		318,069		296
Countrywide Asset-Backed Certificates, Series 2006-23, Class 2A3, 0.339%, 5/25/37		564,140		500
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A2, 0.349%, 8/25/36		652,437		638
Countrywide Asset-Backed Certificates, Series 2005-17, Class 4A2A, 0.415%, 5/25/36		15,632		16
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3, 0.46%, 7/25/36		100,000		86
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3, 0.46%, 8/25/36		200,000		169
Countrywide Asset-Backed Certificates, Series 2005-AB, Class 2A4, 0.519%, 3/25/36		129,082		113
Countrywide Asset-Backed Certificates, Series 2005-14, Class 3A3, 0.519%, 4/25/36		157,179		154
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6, 4.74%, 10/25/35		96,823		96
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5, 5.157%, 7/25/36		100,000		67
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A1, 1.073%, 4/25/46		63,299		36
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1X, 2.47%, 12/20/35		21,712		18
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-22, Class 3A1, 4.826%, 10/25/35		46,772		40


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-9, Class A1, 6.00%, 5/25/36		358,021		330
Countrywide Home Loan Mortgage Pass Through Trust, Series 06-16, Class 2A1, 6.50%, 11/25/36		49,751		45
Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A4, 5.898%, 9/15/39		166,106		179
Dryden Senior Loan Fund, Series 2011-22A, , 1.401%, 1/15/22 144A		500,000		499
Federal National Mortgage Association, Series 2003-W6, Class F, 0.519%, 9/25/42		41,813		42
First Franklin Mortgage Loan Trust, Series 2006-FF12, Class A4, 0.31%, 9/25/36		186,780		167
First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4, 0.32%, 7/25/36		47,799		45
First Horizon Mortgage Pass Through Trust, Series 2007-2, Class 1A5, 5.75%, 5/25/37		768,988		661
First Horizon Mortgage Pass-Through Trust, Series 2005-5, Class 2A1, 5.00%, 10/25/20		21,113		21
GE Commercial Mortgage Corp. Trust, Series 2007-C1, Class A4, 5.543%, 12/10/49		100,000		106
GSAA Home Equity Trust, Series 2006-4, Class 4A2, 0.40%, 3/25/36		34,014		31
GSAMP Trust, Series 2007-NC1, Class A2A, 0.22%, 12/25/46		22,374		13
GSAMP Trust, Series 2007-FM2, Class A2B, 0.26%, 1/25/37		268,974		162
GSAMP Trust, Series 04-WF, Class M2, 1.819%, 10/25/34		140,747		123
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1, 2.614%, 3/25/47		32,884		29

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


		Multi-Sector Bond Portfolio			149

Multi-Sector Bond Portfolio


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 2.629%, 1/25/36		7,515		7
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1, 2.655%, 9/25/35		29,722		30
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6, 6.00%, 2/25/36		299,437		245
Harborview Mortgage Loan Trust, Series 2005-3, Class 2A1A, 0.404%, 6/19/35		57,322		50
Harborview Mortgage Loan Trust, Series 2005-10, Class 2A1A, 0.474%, 11/19/35		25,073		21
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4, 0.509%, 4/25/37		500,000		300
HomeBanc Mortgage Trust, Series 2005-1, Class A1, 0.42%, 3/25/35		21,193		19
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4, 0.56%, 11/25/35		300,000		217
IndyMac Index Mortgage Loan Trust, Series 2005-AR12, Class 2A1A, 0.41%, 7/25/35		4,744		4
IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.47%, 7/25/35		25,877		23
IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 5A1, 2.519%, 10/25/34		56,934		54
ING Investment Management CLO, Ltd., Series 2006-3A, Class A1, 0.479%, 12/13/20 144A		631,487		625
IXIS Real Estate Capital Trust, Series 2005-HE1, Class M3, 0.95%, 6/25/35		56,076		55
JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1, 2.424%, 10/25/35		29,719		26


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1, 2.51%, 7/25/35		45,311		45
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1, 5.189%, 6/25/37		190,225		174
JP Morgan Resecuritization Trust, Series 2009-10, Class 4A1, 0.669%, 3/26/37 144A		224,120		217
Landmark VII CDO, Ltd., Series 2006-7A, Class A1L, 0.506%, 7/15/18 144A		1,374		1
Lehman XS Trust, Series 2005-4, Class 1A3, 0.955%, 10/25/35		49,074		46
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1, Class A1, 0.339%, 2/25/37		33,023		31
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A3, 0.549%, 8/25/35		100,000		92
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1, 0.619%, 2/25/47		1,384,514		1,017
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A, 2.475%, 2/25/36		16,663		16
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1, 5.337%, 5/25/36		52,263		51
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1, 5.401%, 12/25/35		594,413		551
Morgan Stanley ABS Capital I, Inc., Series 2006-HE8, Class A2C, 0.31%, 10/25/36		91,634		56
Morgan Stanley ABS Capital I, Inc., Series 2007-HE5, Class A2C, 0.42%, 3/25/37		89,444		51
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE7, Class A2C, 0.49%, 11/25/35		50,584		50


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5, 1.16%, 6/25/35		300,000		269
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31, 5.439%, 2/12/44		17,218		17
Morgan Stanley Dean Witter Capital I, Inc., Series 2002-HE1, Class M1, 1.069%, 7/25/32		21,229		20
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1, 1.519%, 2/25/33		65,175		62
Morgan Stanley Mortgage Loan Trust, Series 2005-5AR, Class 1A1, 0.44%, 9/25/35		8,484		8
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 4A, 2.362%, 7/25/35		680,931		586
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1, 2.87%, 8/25/35		38,687		37
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M1, 0.669%, 7/25/35		100,000		99
People’s Choice Home Loan Securities Trust, Series 2005-3, Class M2, 0.95%, 8/25/35		400,000		370
Residential Accredit Loans, Inc., Series 2007-QA1, Class A1, 0.31%, 1/25/37		52,599		43
Residential Accredit Loans, Inc., Series 2006-QA7, Class 1A1, 0.359%, 8/25/36		23,483		17
Residential Accredit Loans, Inc., Series 2006-QA8, Class A1, 0.359%, 9/25/36		51,942		40
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB2, 3.053%, 3/25/35		451,119		375

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


150		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00%, 10/25/34		505,342		528
Residential Asset Mortgage Products, Series 2006-NC2, Class A2, 0.359%, 2/25/36		31,043		30
Residential Asset Mortgage Products, Series 2007-RP4, Class A, 0.519%, 11/25/46 144A		404,120		349
Residential Asset Mortgage Products, Series 2005-EFC4, Class M3, 0.649%, 9/25/35		300,000		258
Residential Asset Securities Corp., Series 2007-KS1, Class A3, 0.32%, 1/25/37		460,319		427
Residential Asset Securities Corp., Series 2007-KS3, Class AI4, 0.509%, 4/25/37		1,600,000		1,124
Residential Asset Securities Corp., Series 06-EMX1, Class M1, 0.58%, 1/25/36		200,000		173
Rio Oil Finance Trust, 6.25%, 7/6/24 144A		1,200,000		1,148
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2, 1.129%, 1/25/36		181,799		159
SLM Private Education Loan Trust, Series 2012-D, Class A1, 1.211%, 6/15/23 144A		38,103		38
SLM Private Education Loan Trust, Series 2011-B, Class A3, 2.411%, 6/16/42 144A		100,000		106
SLM Private Education Loan Trust, Series 2010-A, Class 1A, 3.20%, 5/16/44 144A		52,707		55
SLM Private Education Loan Trust, Series 2012-B, Class A2, 3.48%, 10/15/30 144A		400,000		416
Soundview Home Loan Trust, Series 06-3, Class A3, 0.33%, 11/25/36		631,218		534
Soundview Home Loan Trust, Series 06-OPT2, Class A4, 0.45%, 5/25/36		200,000		158


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Soundview Home Loan Trust, Series 06-2, Class M2, 0.519%, 3/25/36		400,000		325
Soundview Home Loan Trust, Series 2005-3, Class M3, 0.994%, 6/25/35		300,000		268
Specialty Underwriting & Residential Finance Trust, Series 05-BC2, Class M3, 0.82%, 12/25/35		600,000		551
Structured Adjustable Rate Mortgage Loan Trust, Series 05-19XS, Class 1A1, 0.49%, 10/25/35		153,761		130
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3, 0.32%, 9/25/36		59,757		47
Structured Asset Investment Loan Trust, Series 05-7, Class M2, 0.679%, 8/25/35		500,000		374
Structured Asset Investment Loan Trust, Series 2005-5, Class M2, 0.86%, 6/25/35		100,000		96
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1, 0.349%, 7/25/46		515,980		419
Structured Asset Mortgage Investments II Trust, Series 05-AR8, Class A2, 1.614%, 2/25/36		1,073,490		937
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-BC3, Class 2A2, 0.31%, 5/25/47		300,000		288
Structured Asset Securities Corp. Mortgage Loan Trust, Series 06-BC4, Class A4, 0.339%, 12/25/36		835,427		696
Structured Asset Securities Corp. Mortgage Loan Trust, Series 07-WF1, Class A6, 0.38%, 2/25/37		227,853		200
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-GEL2, Class M1, 0.539%, 4/25/36 144A		100,000		85


Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

Structured Products continued
Structured Asset Securities Corp. Trust, Series 2005-1, Class 1A1, 0.519%, 2/25/35		98,286		91
Structured Asset Securitization Corp. Mortgage Pass Through Certificates, Series 2004-3, Class 4A1, 5.667%, 3/25/34		15,439		16
Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1, 0.82%, 12/25/35		48,892		38
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A, 0.43%, 3/25/36 144A		3,023,605		2,796
Wachovia Bank Commercial Mortgage Trust, Series 2007-WHL8, Class A1, 0.241%, 6/15/20 144A		13,700		14
Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class A1A, 5.557%, 3/15/45		996,179		1,038
WaMu Mortgage Pass Through Certificates, Series 06-AR8, Class 2A1, 2.225%, 8/25/36		31,002		27
WaMu Mortgage Pass Through Certificates, Series 2006-AR2, Class 1A1, 2.329%, 3/25/36		620,424		574
WaMu Mortgage Pass Through Certificates, Series 2002-AR19, Class A6, 2.402%, 2/25/33		3,608		4
WaMu Mortgage Pass Through Certificates, Series 2007-HY1, Class 3A1, 4.462%, 2/25/37		11,265		10
WaMu Mortgage Pass Through Certificates, Series 2006-AR12, Class 3A3, 6.047%, 10/25/36		63,522		53
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2, 0.813%, 4/25/47		696,196		555
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1, 2.59%, 7/25/37		163,850		138

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


		Multi-Sector Bond Portfolio			151

Multi-Sector Bond Portfolio


	Structured Products (6.1%)	Shares/ $ Par		Value $ (000’s)

	Structured Products continued
	Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1, 2.608%, 11/25/37		183,680		161
	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 4A1, 2.61%, 7/25/36		475,004		447
	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1, 2.615%, 4/25/36		251,089		240
	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 1A1, 2.616%, 3/25/35		62,275		63


	Total Structured Products
	(Cost: $33,580)				33,570


	Bank Loan Obligations (2.3%)	Par
	Bank Loan Obligations (2.3%)
	Albertson’s Holdings LLC, 5.00%, 8/8/19		1,200,000		1,196
	Avago Technologies Cayman, Ltd., 3.75%, 5/6/21		100,000		100
	Burger King, 4.50%, 12/12/21		300,000		299
	Charter Communications Operating LLC, 3.00%, 7/1/20		698,228		683
	Crown Castle Operating Co., 3.00%, 1/31/21		498,741		489
	Dell, Inc., 4.50%, 4/29/20		3,384,810		3,371
	Grifols Worldwide Operations USA, Inc., 3.00%, 3/27/21		694,750		684
	H.J. Heinz Co., 3.50%, 6/5/20		3,441,759		3,415
	Hilton Worldwide Finance LLC, 3.50%, 10/25/20		328,947		325
	Las Vegas Sands LLC, 3.25%, 12/19/20		99,748		99
	Rise, Ltd., 4.75%, 2/15/39		758,315		766
(f)	Ziggo BV, 3.50%, 1/15/22 EUR		1,000,000		1,190


	Total Bank Loan Obligations
	(Cost: $12,810)				12,617


	Short-Term Investments (7.7%)	Shares/ $ Par		Value $ (000’s)

	Commercial Paper (7.7%)
(b)	US Treasury Bill, 0.01%, 1/22/15		4,000,000		4,000
(b)	US Treasury Bill, 0.015%, 1/29/15		4,000,000		4,000
(b)	US Treasury Bill, 0.02%, 1/15/15		4,000,000		4,000
(b)	US Treasury Bill, 0.02%, 2/26/15		454,000		454
(b)	US Treasury Bill, 0.05%, 4/23/15		6,900,000		6,899
(b)	US Treasury Bill, 0.06%, 5/7/15		100,000		100
(b)	US Treasury Bill, 0.06%, 5/14/15		4,400,000		4,399
(b)	US Treasury Bill, 0.07%, 5/21/15		8,000,000		7,999
(b)	US Treasury Bill, 0.07%, 6/4/15		10,000,000		9,997

	Total				41,848


	Total Short-Term Investments
	(Cost: $41,847)				41,848


	Total Investments (100.3%)
	(Cost: $569,686)(a)				547,427

	Other Assets, Less
	Liabilities (-0.3%)				(1,368	)

	Net Assets (100.0%)				546,059

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


152		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

GO — General Obligation

RB — Revenue Bond

TRAN — Tax Allocation Bond

AUD — Australian Dollar

BRL — Brazilian Real

EUR — Euro

GBP — British Pound

INR — Indian Rupee

JPY — Japanese Yen

MXN — Mexican New Peso

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $569,798 and the net unrealized depreciation of investments based on that cost was $22,371 which is comprised of $10,060 aggregate gross unrealized appreciation and $32,431 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, 2014, $4,973)	26	3/15	$	65
US Long Treasury Bond Futures (Long) (Total Notional Value at December 31, 2014, $46,168)	322	3/15		381
US Ten Year Treasury Note Futures (Long) (Total Notional Value at December 31, 2014, $17,331)	137	3/15		40
US Ultra Long Treasury Bond Futures (Long) (Total Notional Value at December 31, 2014, $21,583)	134	3/15		552

(c)	PIK — Payment In Kind

(d)	Defaulted Security

(e)	Step bond security that presently receives no coupon payments. At the predetermined date the stated coupon rate becomes effective.

(f)	Foreign Bond — par value is foreign denominated

(h)	Forward foreign currency contracts outstanding on December 31, 2014.


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	HSBC Bank USA	AUD	521	2/15	$	-	$	(1	)	$	(1	)
Buy	BNP Paribas SA	BRL	2,426	1/15		-		(2	)		(2	)
Buy	JP Morgan Chase Bank, N.A.	BRL	7,054	1/15		-		(90	)		(90	)
Buy	UBS AG	BRL	4,628	1/15		-		(3	)		(3	)
Sell	BNP Paribas SA	BRL	2,426	1/15		22		-			22
Sell	JP Morgan Chase Bank, N.A.	BRL	7,054	1/15		5		-			5
Sell	UBS AG	BRL	4,628	1/15		208		-			208
Sell	JP Morgan Chase Bank, N.A.	BRL	7,054	7/15		77		-			77
Buy	BNP Paribas SA	EUR	76,673	1/15		-		(665	)		(665	)
Buy	Goldman Sachs International	EUR	439	1/15		-		(15	)		(15	)
Sell	Goldman Sachs International	EUR	76,709	1/15		2,950		-			2,950
Sell	JP Morgan Chase Bank, N.A.	EUR	403	1/15		15		-			15
Sell	BNP Paribas SA	EUR	76,673	2/15		667		-			667
Buy	Bank of America, N.A.	GBP	22,324	1/15		-		(85	)		(85	)
Buy	Royal Bank of Canada	GBP	384	1/15		-		(5	)		(5	)
Buy	UBS AG	GBP	486	1/15		-		(1	)		(1	)
Sell	Goldman Sachs International	GBP	22,278	1/15		215		-			215
Sell	UBS AG	GBP	430	1/15		1		-			1

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


		Multi-Sector Bond Portfolio			153

Multi-Sector Bond Portfolio


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	Bank of America, N.A.	GBP	22,324	2/15	$	85	$	-		$	85
Buy	Citibank, N.A.	INR	49,584	1/15		-		(15	)		(15	)
Buy	JP Morgan Chase Bank, N.A.	INR	113,369	1/15		-		(34	)		(34	)
Buy	JP Morgan Chase Bank, N.A.	JPY	669,100	1/15		28		-			28
Sell	Bank of America, N.A.	JPY	651,900	1/15		85		-			85
Sell	BNP Paribas SA.	JPY	17,200	1/15		4		-			4
Sell	JP Morgan Chase Bank, N.A.	JPY	669,100	2/15		-		(27	)		(27	)

					$	4,362	$	(943	)	$	3,419

(j)	Swap agreements outstanding on December 31, 2014.

Interest Rate Swaps - Pay Floating Rate


Floating Rate Index	Counterparty	Fixed Rate	Expiration Date	Notional Amount (000’s)	Currency	Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)
6-Month Australian Bank Bill	Citibank, N.A.	3.50%	3/18	7,900	AUD	$	2	$	213	$	215

						$	2	$	213	$	215

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection


Reference Entity	Counterparty	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Alcoa, Inc., 5.72%, 2/23/19	BNP Paribas SA	1.00%	6/21	2.267%	300	USD	$	(20	)	$	(2	)	$	(22	)
Anglo American Capital PLC, 5.875%, 4/17/15	Citibank, N.A.	1.00%	3/19	1.242%	100	EUR		(4	)		3			(1	)
Federal Republic of Brazil, 12.25%, 3/6/30	Barclays Bank PLC	1.00%	6/18	1.523%	400	USD		(5	)		(2	)		(7	)
Federal Republic of Brazil, 12.25%, 3/6/30	Barclays Bank PLC	1.00%	9/21	2.243%	1,200	USD		(37	)		(52	)		(89	)
Federal Republic of Brazil, 12.25%, 3/6/30	BNP Paribas SA	1.00%	6/18	1.523%	800	USD		(7	)		(6	)		(13	)
Federal Republic of Brazil, 12.25%, 3/6/30	Citibank, N.A.	1.00%	9/17	1.367%	2,000	USD		(25	)		6			(19	)
Federal Republic of Brazil, 12.25%, 3/6/30	Citibank, N.A.	1.00%	6/18	1.523%	1,100	USD		(11	)		(8	)		(19	)
Federal Republic of Brazil, 12.25%, 3/6/30	Citibank, N.A.	1.00%	9/21	2.243%	300	USD		(9	)		(13	)		(22	)
Federal Republic of Brazil, 12.25%, 3/6/30	Goldman Sachs International	1.00%	9/17	1.367%	80	USD		(1	)		-	(m)		(1	)
Federal Republic of Brazil, 12.25%, 3/6/30	Goldman Sachs International	1.00%	6/18	1.523%	1,100	USD		(14	)		(5	)		(19	)
Federal Republic of Brazil, 12.25%, 3/6/30	Goldman Sachs International	1.00%	9/21	2.243%	400	USD		(12	)		(17	)		(29	)
Federal Republic of Brazil, 12.25%, 3/6/30	HSBC Bank USA	1.00%	6/17	1.311%	200	USD		(1	)		-	(m)		(1	)
Federal Republic of Brazil, 12.25%, 3/6/30	HSBC Bank USA	1.00%	6/18	1.523%	2,300	USD		(22	)		(17	)		(39	)
Federal Republic of Brazil, 12.25%, 3/6/30	HSBC Bank USA	1.00%	9/22	2.352%	1,200	USD		(63	)		(44	)		(107	)
Federal Republic of Brazil, 12.25%, 3/6/30	Morgan Stanley Capital Services LLC	1.00%	3/17	1.242%	1,100	USD		(9	)		3			(6	)
Federal Republic of Brazil, 12.25%, 3/6/30	Morgan Stanley Capital Services LLC	1.00%	6/18	1.523%	900	USD		(12	)		(4	)		(16	)
Frontier Communications, 5.00%, 9/20/17	Goldman Sachs International	5.00%	9/17	1.186%	125	USD		(2	)		14			12

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


154		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)


Reference Entity	Counterparty	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)		Upfront Premium Paid/(Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Heidelbergcement Finance Luxembourg Sa, 5.625%, 1/4/18	Citibank, N.A.	5.00%	9/21	1.409%	100	EUR	$	12		$	16		$	28
HeidelbergCement Finance Luxembourg SA, 5.625%, 1/4/18	Goldman Sachs International	5.00%	12/18	0.803%	200	EUR		31			10			41
Hellenic Republic Government Bond, 2.00%, 2/24/23	Goldman Sachs International	1.00%	9/15	13.930%	1,400	EUR		(39	)		(126	)		(165	)
Hellenic Republic Government Bond, 2.00%, 2/24/23	Goldman Sachs International	1.00%	9/15	17.097%	2,500	USD		(47	)		(217	)		(264	)
Hellenic Republic Government Bond, 2.00%, 2/24/23	Goldman Sachs International	1.00%	12/15	16.350%	1,500	EUR		(59	)		(171	)		(230	)
Marks & Spencer PLC, 6.125%, 12/2/19	BNP Paribas SA	1.00%	6/21	1.325%	3,100	EUR		(131	)		57			(74	)
Marks & Spencer PLC, 6.125%, 12/2/19	Citibank, N.A.	1.00%	6/21	1.325%	300	EUR		(13	)		5			(8	)
Petrobras International Finance Co., 8.375%, 12/10/18	Morgan Stanley Capital Services LLC	1.00%	9/15	5.662%	200	USD		(1	)		(5	)		(6	)
Renault SA, 5.625%, 3/22/17	Citibank, N.A.	1.00%	12/18	0.760%	600	EUR		(31	)		38			7
Renault SA, 5.625%, 3/22/17	Goldman Sachs International	1.00%	12/18	0.760%	200	EUR		(10	)		12			2
Republic of Indonesia, 6.875%, 3/9/17	Barclays Bank Plc	1.00%	12/19	1.516%	1,100	USD		(32	)		6			(26	)
Republic of Indonesia, 6.875%, 3/9/17	Citibank N.A.	1.00%	12/19	1.516%	2,300	USD		(79	)		24			(55	)
Republic of Indonesia, 6.875%, 3/9/17	Morgan Stanley Capital Services LLC	1.00%	12/19	1.516%	600	USD		(12	)		(3	)		(15	)
Republic of Peru, 8.75%, 11/21/33	Barclays Bank PLC	1.00%	3/23	1.535%	1,100	USD		(25	)		(18	)		(43	)
Republic of Venezuela, 9.25%, 9/15/27	HSBC Bank USA	5.00%	6/17	51.641%	200	USD		(11	)		(94	)		(105	)
Republic of Venezuela, 9.25%, 9/15/27	HSBC Bank USA	5.00%	9/17	50.044%	120	USD		(10	)		(53	)		(63	)
Safeway, Ltd., 6.125%, 12/17/18	Citibank, N.A.	1.00%	9/19	1.531%	300	EUR		(7	)		(2	)		(9	)
Safeway, Ltd., 6.125%, 12/17/18	Goldman Sachs International	1.00%	9/19	1.531%	500	EUR		(12	)		(2	)		(14	)
Safeway, Ltd., 6.125%, 12/17/18	Goldman Sachs International	1.00%	9/19	1.531%	600	EUR		(14	)		(4	)		(18	)
Safeway, Ltd., 6.125%, 12/17/18	JPMorgan Chase Bank, N.A.	1.00%	12/19	1.602%	300	EUR		(6	)		(4	)		(10	)
Schaeffler Finance BV, 5.00%, 6/20/19	Barclays Bank PLC	5.00%	6/19	1.566%	400	EUR		75			(2	)		73
Sprint Communications, Inc., 8.375%, 8/15/17	Citibank N.A.	5.00%	12/19	4.563%	300	USD		15			(9	)		6
Teck Resources, Ltd., 3.15%, 1/15/17	BNP Paribas SA	1.00%	3/19	2.109%	800	USD		(19	)		(16	)		(35	)
Telefonica Emisiones Sau, 4.375%, 2/2/16	Citibank, N.A.	1.00%	6/19	0.661%	4,000	EUR		56			18			74
Telefonica Emisiones Sau, 4.375%, 2/2/16	Goldman Sachs International	1.00%	6/21	0.955%	600	EUR		(31	)		34			3
Tesco PLC, 6.00%, 12/14/29	Barclays Bank PLC	1.00%	9/19	1.804%	700	EUR		3			(33	)		(30	)
Tesco PLC, 6.00%, 12/14/29	Barclays Bank PLC	1.00%	12/19	1.872%	100	EUR		(2	)		(3	)		(5	)
Tesco PLC, 6.00%, 12/14/29	Barclays Bank PLC	1.00%	12/19	1.872%	300	EUR		(6	)		(9	)		(15	)
Tesco PLC, 6.00%, 12/14/29	Citibank, N.A	1.00%	12/19	1.872%	100	EUR		(1	)		(4	)		(5	)

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


		Multi-Sector Bond Portfolio			155

Multi-Sector Bond Portfolio

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)


Reference Entity	Counterparty	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)	Upfront Premium Paid/(Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Tesco PLC, 6.00%, 12/14/29	Citibank, N.A.	1.00%	12/19	1.872%	100 EUR	$	(2	)	$	(3	)	$	(5	)
Tesco PLC, 6.00%, 12/14/29	Citibank, N.A.	1.00%	12/19	1.872%	800 EUR		(13	)		(26	)		(39	)
Tesco PLC, 6.00%, 12/14/29	Goldman Sachs International	1.00%	12/19	1.872%	100 EUR		—			(4	)		(4	)
Tesco PLC, 6.00%, 12/14/29	Morgan Stanley Capital Services LLC	1.00%	9/19	1.804%	600 EUR		2			(28	)		(26	)
Ukraine Government International Bond, 6.75%, 11/14/17	Citibank, N.A.	5.00%	3/19	28.150%	900 USD		(135	)		(249	)		(384	)
Valeant Pharmaceuticals, 6.875%, 12/1/18	Goldman Sachs International	5.00%	6/16	0.870%	200 USD		(1	)		14			13
Volvo Treasury AB, 5.00%, 5/31/17	BNP Paribas SA	1.00%	9/19	0.709%	600 EUR		5			5			10
Volvo Treasury AB, 5.00%, 5/31/17	Citibank, N.A.	1.00%	9/19	0.709%	300 EUR		2			3			5
Volvo Treasury AB, 5.00%, 5/31/17	JPMorgan Chase Bank, N.A.	1.00%	9/19	0.709%	400 EUR		3			4			7
Wendel SA, 4.875%, 5/26/16	Barclays Bank PLC	5.00%	6/21	1.177%	100 EUR		26			3			29

						$	(773	)	$	(980	)	$	(1,753	)

Credit Default Swaps on Corporate or Sovereign Issues - Buy Protection


Reference Entity	Counterparty	Pay Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)
Russian Federation, 7.50%, 3/31/30	JPMorgan Chase Bank N.A.	1.00%	12/19	4.779%	2,500	USD	$	178	$	214	$	392

							$	178	$	214	$	392

Centrally Cleared Interest Rate Swaps - Pay Floating Rate


Floating Rate Index	Fixed Rate	Expiration Date	Notional Amount (000’s)	Currency		Unrealized Appreciation/ (Depreciation) (000’s)
28 Day Mexico Interbank TIIE Banxico	5.84%	9/21	9,900		MXN	$	5
6-Month Australian Bank Bill	4.00%	6/19	34,100		AUD		1,292

						$	1,297

Centrally Cleared Interest Rate Swaps - Receive Floating Rate


Floating Rate Index		Fixed Rate	Expiration Date	Notional Amount (000’s)	Currency		Unrealized Appreciation/ (Depreciation) (000’s)
3-Month USD-LIBOR		2.25%	12/19	18,000		USD	$	21
3-Month USD-LIBOR		1.50%	12/17	20,000		USD		8
3-Month USD-LIBOR		1.25%	6/17	40,000		USD		103
6-Month Euribor	��	0.50%	3/20	2,300		EUR		(33	)
6-Month GBP-LIBOR		2.75%	3/25	3,400		GBP		(250	)
6-Month JPY-LIBOR		1.00%	3/24	510,000		JPY		(45	)
6-Month JPY-LIBOR		1.00%	9/23	1,120,000		JPY		(337	)

							$	(533	)

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


156		Multi-Sector Bond Portfolio

Multi-Sector Bond Portfolio

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection


Reference Entity	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)	Currency	Unrealized Appreciation/ (Depreciation) (000’s)
Markit CDX Emerging Markets Index, Series 21	5.00%	6/19	3.757%	7,334	USD	$	(250	)
Markit CDX Emerging Markets Index, Series 22	1.00%	12/19	3.394%	15,700	USD		(489	)

						$	(739	)

(k)	Cash or securities with an aggregate value of $68,686 (in thousands) has been pledged as collateral for swap contracts outstanding, short sales or written options on December 31, 2014.

(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, 2014. 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:
Bank Loan Obligations	$	-	$	11,851		$	766
Government & Agency Bonds		-		109,346			-
Foreign Bonds		-		105,860			-
Municipal Bonds		-		13,469			-
Corporate Bonds		-		229,845			872
Structured Products		-		33,203			367
Short-Term Investments		-		41,848			-
Other Financial Instruments^
Futures		1,038		-			-
Forward Currency Contracts		-		4,362			-
Interest Rate Swaps		-		1,642			-
Credit Default Swaps		-		489			-
Total Assets	$	1,038	$	551,915		$	2,005
Liabilities:
Other Financial Instruments^
Forward Currency Contracts	$	-	$	(943	)	$	-
Interest Rate Swaps		-		(665	)		-
Credit Default Swaps		-		(1,994	)		-
Total Liabilities	$	-	$	(3,602	)	$	-

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


		Multi-Sector Bond Portfolio			157

Balanced Portfolio (unaudited)

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.

$2.4 billion

Portfolio Overview

Mason Street Advisors, LLC is the investment adviser for the Balanced Portfolio (the “Portfolio”). The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy of allocating assets across the stock, bond and money market sectors. The Portfolio operates as a “fund of funds” to gain the Portfolio’s equity and fixed income exposure by investing in one or more of the portfolios of the Northwestern Mutual Series Fund, Inc. (each an “Underlying Portfolio”). The adviser will allocate the Portfolio’s assets among the Underlying Portfolios based on the adviser’s economic and market outlook and the investment objectives and strategies of the Underlying Portfolios. Under normal market conditions, the Portfolio’s equity exposure will typically range between 35-55% of assets.

Market Overview

The bond market also posted positive returns, as most interest rates declined during 2014, pushing bond prices higher. The year began with the broadly held consensus view that interest rates would rise, but low inflation, modest economic growth and no unexpected changes to monetary policy led to lower interest rates. Although rates experienced some short-term volatility, investors largely favored the relative safety of U.S. Treasurys over the higher yields of corporate bonds. As a result, bonds experienced a relatively wide range of returns, as the Barclays^® Long Term Treasury Index returned 25.07%, while the Barclays^® Corporate U.S. High Yield Index returned only 2.45%. Overall, the broad bond market, as measured by the Barclays^® U.S. Aggregate Index, posted a solid 5.97% return for 2014.

Portfolio Results

The Portfolio returned 5.56% for the twelve months ended December 31, 2014, trailing the 13.69% 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 7.47%. (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 5.76% in 2014, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

The Portfolio’s underperformance relative to the blended benchmark reflects the performance of the Portfolio’s Underlying Portfolios, as most of the Underlying Portfolios underperformed their respective benchmarks during a difficult year for active management.

Overall allocation decisions were modestly positive for the full year. The Portfolio’s additions to equities in the fourth quarter, particularly during market corrections, were the driver of the positive attribution. The Portfolio’s overweight to emerging markets during the early months of the year partially offset the positive allocation effects for the full year.

During the year, equity futures contracts and fixed income futures contracts were used for cash management purposes. The Portfolio’s use of derivatives did not have a significant effect on the Portfolio’s relative results during 2014.

Portfolio Manager Outlook

As we enter 2015, we expect volatility to continue to rise from historically low levels witnessed for much of 2014. Both equity and fixed income markets saw volatility pick up in the last quarter of 2014. Credit spreads widened as the year came to a close, implying some near term risk aversion. We will be closely following the financial markets’ reaction to the Fed’s exit from extraordinary monetary policy. Just as quantitative easing was a contributing factor to the reduction of volatility, the return to a more normal monetary policy and tighter liquidity conditions could lead to increased volatility. With interest rates low and earnings growth expected to continue in the U.S., we think equities look relatively attractive despite potential volatility.


158		Balanced Portfolio

Balanced Portfolio (unaudited)

Relative Performance

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Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year		5 Years		10 Years
Balanced Portfolio		5.56%		8.21%		5.39%
S&P 500^® Index		13.69%		15.45%		7.67%
Barclays^® U.S. Aggregate Index		5.97%		4.45%		4.71%
Balanced Portfolio Blended Composite Benchmark		7.47%		9.39%		6.60%
Lipper^® Variable Insurance Products (VIP) Mixed Asset Target Allocation Moderate Funds Average		5.76%		8.76%		5.94%

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 obtains its exposure to equity and fixed income securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio’s net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio’s expenses.

The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio duration, to provide increased flexibility in asset allocation, to earn income and to otherwise seek to enhance returns or to hedge foreign currency exposure. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those investments.


		Balanced Portfolio			159

Balanced Portfolio (unaudited)

Top 10 Equity Holdings 12/31/14


Security Description	% of Net Assets
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio		38.8%
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio		6.8%
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio		6.3%
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio		5.3%
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio		4.5%
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio		4.5%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio		3.4%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio		3.3%
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio		3.3%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio		3.3%

Sector Allocation 12/31/14

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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 headquarteed outside the United States.


160		Balanced Portfolio

Balanced Portfolio

Schedule of Investments

December 31, 2014


	Investment Companies (94.6%)	Shares/ $ Par		Value $ (000’s)

	Domestic Equity (39.0%)
	iShares Russell 2000 ETF		63,980		7,656
	iShares Russell Mid-Cap ETF		41,662		6,959
(q)	Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio		54,602,360		78,737
(q)	Northwestern Mutual Series Fund, Inc., Equity Income Portfolio		41,537,698		73,605
(q)	Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio		30,126,661		79,354
(q)	Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio		56,014,610		161,042
(q)	Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio		68,646,796		77,159
(q)	Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio		44,846,678		74,132
(q)	Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio		67,293,480		77,186
(q)	Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio		31,490,889		107,037
(q)	Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio		60,619,286		107,357
(q)	Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio		13,588,571		33,903
(q)	Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio		14,260,608		33,997
	SPDR S&P MidCap 400 ETF Trust		15,573		4,111

	Total				922,235


	Fixed Income (44.7%)
	iShares iBoxx $ High Yield Corporate Bond ETF		127,375		11,413
(q)	Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio		175,438,215		126,491
(q)	Northwestern Mutual Series Fund, Inc., Select Bond Portfolio		725,572,167		919,300

	Total				1,057,204


	Foreign Equity (10.9%)
	iShares MSCI EAFE ETF		165,000		10,039
	iShares MSCI Emerging Markets ETF		212,675		8,356
	iShares MSCI Japan ETF		998,000		11,217


	Investment Companies (94.6%)	Shares/ $ Par		Value $ (000’s)

	Foreign Equity continued
(q)	Northwestern Mutual Series Fund, Inc., Emerging Markets Portfolio		10,256,634		9,498
(q)	Northwestern Mutual Series Fund, Inc., International Equity Portfolio		36,737,411		65,172
(q)	Northwestern Mutual Series Fund, Inc., Research International Core Portfolio		164,552,753		148,426
	Vanguard FTSE Developed Markets ETF		171,615		6,501

	Total				259,209


	Total Investment Companies (Cost: $2,113,878)				2,238,648


	Short-Term Investments (4.6%)
	Autos (0.4%)
	Toyota Motor Credit Corp., 0.331%, 1/15/15		10,000,000		10,000

	Total				10,000


	Commercial Paper (4.2%)
	Alpine Securitization Corp., 0.22%, 2/19/15 144A		10,000,000		9,997
	Federal Home Loan Banks, 0.005%, 1/21/15		4,000,000		4,000
	Federal Home Loan Banks, 0.04%, 2/10/15		13,000,000		12,999
	Federal Home Loan Banks, 0.05%, 1/7/15		10,000,000		10,000
	Federal Home Loan Banks, 0.07%, 1/14/15		11,200,000		11,200
	Federal Home Loan Banks, 0.07%, 1/23/15		18,100,000		18,099
	Federal Home Loan Banks, 0.07%, 2/5/15		5,000,000		5,000
	Federal Home Loan Banks, 0.08%, 1/20/15		10,000,000		10,000
	Federal Home Loan Banks, 0.08%, 2/11/15		5,000,000		4,999
	Federal Home Loan Banks, 0.09%, 1/28/15		12,700,000		12,699
(b)	Federal Home Loan Mortgage Corp., 0.10%, 3/16/15		1,300,000		1,300

	Total				100,293


	Total Short-Term Investments (Cost: $110,293)				110,293


	Total Investments (99.2%) (Cost: $2,224,171)(a)				2,348,941


	Other Assets, Less Liabilities (0.8%)				18,186

	Net Assets (100.0%)				2,367,127

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


		Balanced Portfolio			161

Balanced Portfolio

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $2,224,215 and the net unrealized appreciation of investments based on that cost was $124,726 which is comprised of $136,287 aggregate gross unrealized appreciation and $11,561 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, 2014, $28,821)	287	3/15	$	630

(q)	Affiliated Company

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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:
Investment Companies	$	2,238,648	$	-	$	-
Short-Term Investments		-		110,293		-
Other Financial Instruments^
Futures		630		-		-
Total	$	2,239,278	$	110,293	$	-

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


162		Balanced Portfolio

Asset Allocation Portfolio (unaudited)

Objective:

Portfolio Strategy:

Net Assets:

Realize as high a level of total return

as is consistent with reasonable investment risk.

Invest in the stock, bond and money market sectors, attempting to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions.

$266 million

Portfolio Overview

Mason Street Advisors, LLC is the investment adviser for the Asset Allocation Portfolio (the “Portfolio”). The Portfolio invests in the 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 stock, bond and money market sectors. The Portfolio operates as a “fund of funds” to gain the Portfolio’s equity and fixed income exposure by investing in one or more of the portfolios of Northwestern Mutual Series Fund, Inc. (each an “Underlying Portfolio”). The adviser will allocate the Portfolio’s assets among the Underlying Portfolios based on the adviser’s economic and market outlook and the investment objectives and strategies of the Underlying Portfolios. Under normal market conditions, the Portfolio’s equity exposure will typically range between 55-75% of assets.

Market Overview

Portfolio Results

The Portfolio returned 5.15% for the twelve months ended December 31, 2014, trailing the 13.69% 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 7.43%. (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 6.05% in 2014, according to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency.

Portfolio Manager Outlook

As we enter 2015, we volatility to continue to rise from historically low levels witnessed for much of 2014. Both equity and fixed income markets saw volatility pick up in the last quarter of 2014. Credit spreads widened as the year came to a close, implying some near term risk aversion. We will be closely following the financial markets’ reaction to the Fed’s exit from extraordinary monetary policy. Just as quantitative easing was a contributing factor to the reduction of volatility, the return to a more normal monetary policy and tighter liquidity conditions could lead to increased volatility. With interest rates low and earnings growth expected to continue in the U.S., we think equities look relatively attractive despite potential volatility.


		Asset Allocation Portfolio			163

Asset Allocation Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2014
	1 Year		5 Years		10 Years
Asset Allocation Portfolio		5.15%		8.99%		5.80%
S&P 500^® Index		13.69%		15.45%		7.67%
Barclays^® U.S. Aggregate Index		5.97%		4.45%		4.71%
Asset Allocation Portfolio Blended Composite Benchmark		7.43%		10.71%		7.07%
Lipper^® Variable Insurance Products (VIP) Mixed Asset Target Allocation Growth Funds Average		6.05%		10.17%		6.61%


164		Asset Allocation Portfolio

Asset Allocation Portfolio

Top 10 Equity Holdings 12/31/14


Security Description		% of Net Assets
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio		22.0%
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio		8.4%
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio		8.2%
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio		7.1%
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio		5.4%
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio		5.4%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio		4.4%
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio		4.3%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio		4.0%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio		4.0%

Sector Allocation 12/31/14

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Sector Allocation is based on Net Assets.

Sector Allocation and Top 10 Holdings are subject to change.


		Asset Allocation Portfolio			165

Asset Allocation Portfolio

Schedule of Investments

December 31, 2014


	Investment Companies (95.1%)	Shares/ $ Par		Value $ (000’s)

	Domestic Equity (49.6%)
	iShares Russell 2000 ETF		15,775		1,888
	iShares Russell Midcap ETF		10,303		1,721
(q)	Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio		7,420,074		10,700
(q)	Northwestern Mutual Series Fund, Inc., Equity Income Portfolio		5,643,992		10,001
(q)	Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio		4,092,270		10,779
(q)	Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio		7,611,778		21,884
(q)	Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio		10,492,644		11,794
(q)	Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio		6,853,802		11,329
(q)	Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio		9,144,637		10,489
(q)	Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio		4,251,313		14,450
(q)	Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio		8,139,655		14,415
(q)	Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio		2,428,753		6,060
(q)	Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio		2,583,520		6,159
	SPDR S&P MidCap 400 ETF Trust		1,289		340

	Total				132,009


	Fixed Income (29.5%)
	iShares iBoxx $ High Yield Corporate Bond Fund		14,350		1,286
(q)	Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio		26,098,184		18,817
(q)	Northwestern Mutual Series Fund, Inc., Select Bond Portfolio		46,263,600		58,616

	Total				78,719


	Foreign Equity (16.0%)
	iShares MSCI EAFE ETF		66,775		4,063
	iShares MSCI Emerging Markets ETF		50,875		1,999
	iShares MSCI Japan ETF		130,000		1,461


	Investment Companies (95.1%)	Shares/ $ Par		Value $ (000’s)

	Foreign Equity continued
(q)	Northwestern Mutual Series Fund, Inc., Emerging Markets Portfolio		1,692,795		1,567
(q)	Northwestern Mutual Series Fund, Inc., International Equity Portfolio		5,572,318		9,885
(q)	Northwestern Mutual Series Fund, Inc., Research International Core Portfolio		24,945,237		22,501
	Vanguard FTSE Developed Markets ETF		28,070		1,063

	Total				42,539

	Total Investment Companies (Cost: $235,426)				253,267


	Short-Term Investments (2.5%)

	Commercial Paper (2.5%)
	Federal Home Loan Banks, 0.07%, 1/14/15		3,900,000		3,900
	Federal Home Loan Banks, 0.07%, 1/23/15		1,700,000		1,700
(b)	Federal Home Loan Banks, 0.08%, 2/11/15		1,000,000		1,000

	Total				6,600


	Total Short-Term Investments (Cost: $6,600)				6,600


	Total Investments (97.6%) (Cost: $242,026)(a)				259,867

	Other Assets, Less Liabilities (2.4%)				6,542

	Net Assets (100.0%)				266,409

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


166		Asset Allocation Portfolio

Asset Allocation Portfolio

(a)

At December 31, 2014, the aggregate cost of securities for federal tax purposes (in thousands) was $242,093 and the net unrealized appreciation of investments based on that cost was $17,774 which is comprised of $19,535 aggregate gross unrealized appreciation and $1,761 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, 2014, $5,725)	57	3/15	$	125

(q)	Affiliated Company

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2014. 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:
Investment Companies	$	253,267	$	-	$	-
Short-Term Investments		-		6,600		-
Other Financial Instruments^
Futures		125		-		-
Total	$	253,392	$	6,600	$	-

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


		Asset Allocation Portfolio			167

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^® Global Aggregate —Credit Component, Hedged USD, Merrill Lynch^® Global High Yield BB-B Rated Constrained Index and JPMorgan^® EMBI Global. The Barclays^® 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^® 1-3 Year U.S. Government/Credit Bond Index — The Barclays^® 1-3 Year U.S. Government/Credit Bond Index is an unmanaged index of publicly issued medium and larger issues of U.S. Government, investment-grade corporate and investment-grade international dollar denominated bonds that have maturities of between one and three years.

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.


168		Benchmark Definitions

Benchmark Definitions (unaudited)

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.

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			169

Statements of Assets and Liabilities

Northwestern Mutual Series Fund, Inc.

December 31, 2014 (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)	$	881,482	$	706,269	$	554,501	$	153,873	$	2,352,473
Affiliated Investments, at Value (2)		-		-		-		-		-
Cash & Cash Equivalents		4,335		20,848		413		13,055		16,171
Foreign Currency, at Value (3)		-		-		-		-		-
Cash Collateral for Derivative Positions		-		-		-		-		-
Receivable for Portfolio Shares Sold		93		258		114		19		603
Receivable for Investment Securities Sold		-		674		-		-		-
Receivable for Financing Transactions		-		-		-		-		-
Futures Variation Margin		-		-		-		-		-
Outstanding Swap Contracts, at Value (4)		-		-		-		-		-
Receivable for Foreign Currency		-		-		-		-		-
Prepaid Expenses and Other Assets		8		6		5		2		30
Dividends and Interest Receivable		627		181		1,164		167		3,133

Total Assets		886,545		728,236		556,197		167,116		2,372,410

Liabilities
Payable for Portfolio Shares Redeemed		313		227		316		38		1,238
Payable for Investment Securities Purchased		-		5,192		-		-		-
Payable for Financing Transactions		-		-		-		-		-
Futures Variation Margin		-		-		-		-		329
Outstanding Swap Contracts, at Value (5)		-		-		-		-		-
Payable for Foreign Currency		-		-		-		-		-
Collateral from Counterparty		-		-		-		-		-
Investment Advisory Fees		318		398		213		115		428
Compliance Fees Payable		-		-		-		-		-
Deferred Income for Financing Transactions		-		-		-		-		-
Accrued Expenses		34		40		29		15		117

Total Liabilities		665		5,857		558		168		2,112

Net Assets	$	885,880	$	722,379	$	555,639	$	166,948	$	2,370,298

Represented By:
Aggregate Paid in Capital (6) (7)	$	620,148	$	507,588	$	425,211	$	128,288	$	1,195,122
Undistributed Net Investment Income (Loss)		6,518		-		11,360		1,436		40,235
Undistributed Accumulated Net Realized Gain (Loss)		61,016		81,923		7,939		8,334		38,637
Net Unrealized Appreciation (Depreciation)		198,198		132,868		111,129		28,890		1,096,304

Net Assets for Shares Outstanding (6) (7)	$	885,880	$	722,379	$	555,639	$	166,948	$	2,370,298

Net Asset Value, Offering and Redemption Price per Share	$	2.87	$	2.63	$	1.65	$	1.12	$	3.98

(1) Unaffiliated Investments, at Cost	$	683,284	$	573,401	$	443,372	$	124,982	$	1,256,646
(2) Affiliated Investments, at Cost		-		-		-		-		-
(3) Foreign Currency, at Cost		-		-		-		-		-
(4) Premiums Paid on Swap Contracts		-		-		-		-		-
(5) Premiums Received from Swap Contracts		-		-		-		-		-
(6) Shares Outstanding		308,184		274,255		336,207		148,531		596,197
(7) 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.


170		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

$	190,787	$	594,417		$	788,099	$	1,067,835	$	639,055	$	427,665	$	526,240	$	91,817		$	589,064
	-		-			-		-		-		-		-		-			-
	2		25,001			198		31,298		13,484		15		2,592		9,377			323
	10		-			-		-		-		35		-		-			-
	-		-			-		-		-		-		-		-			-
	81		88			274		156		58		121		86		42			180
	192		-			593		1,438		-		1,037		1,581		290			1,849
	-		-			-		-		-		-		-		-			-
	-		-			-		-		-		-		-		-			-
	-		-			-		-		-		-		-		-			-
	31		-			-		-		-		91		-		-			-
	2		5			7		10		23		4		5		6			5
	277		1,142			1,079		179		567		878		233		115			1,209

	191,382		620,653			790,250		1,100,916		653,187		429,846		530,737		101,647			592,630


	14		306			107		685		402		155		125		7			351
	283		-			7,925		1,547		-		1,522		772		189			8,425
	-		-			-		-		-		-		-		-			-
	-		-			-		-		196		-		-		-			-
	-		-			-		-		-		-		-		-			-
	-		-			-		-		-		-		-		-			-
	-		-			-		-		-		-		-		120			-
	114		300			443		488		140		280		256		22			436
	-		-			-		-		-		-		-		-			-
	-		-			-		-		-		-		-		-			-
	17		26			40		41		45		36		36		23			51

	428		632			8,515		2,761		783		1,993		1,189		361			9,263

$	190,954	$	620,021		$	781,735	$	1,098,155	$	652,404	$	427,853	$	529,548	$	101,286		$	583,367


$	143,493	$	455,776		$	588,691	$	892,331	$	398,188	$	332,688	$	411,615	$	81,439		$	355,313
	2,937		11,101			13,177		412		7,337		7,271		615		-			4,055
	15,584		(8,230	)		30,129		99,328		38,849		40,194		26,182		(137	)		32,027
	28,940		161,374			149,738		106,084		208,030		47,700		91,136		19,984			191,972

$	190,954	$	620,021		$	781,735	$	1,098,155	$	652,404	$	427,853	$	529,548	$	101,286		$	583,367

$	1 .15	$	1 .44		$	1 .77	$	3 .40	$	1 .96	$	1 .77	$	2 .50	$	1 .16		$	2 .38

$	161,878	$	433,043		$	638,359	$	961,751	$	431,442	$	380,057	$	435,104	$	71,833		$	397,092
	-		-			-		-		-		-		-		-			-
	10		-			-		-		-		35		-		-			-
	-		-			-		-		-		-		-		-			-
	-		-			-		-		-		-		-		-			-
	166,461		429,855			441,268		323,070		332,829		241,542		212,216		86,961			244,745
	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			171

Statements of Assets and Liabilities

Northwestern Mutual Series Fund, Inc.

December 31, 2014 (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)	$	419,018		$	449,137	$	1,606,968	$	410,069		$	448,136
Affiliated Investments, at Value (2)		-			-		-		-			-
Cash & Cash Equivalents		17,692			7,099		21,824		5,347			133
Foreign Currency, at Value (3)		-			191		3,657		2,037			-
Cash Collateral for Derivative Positions		-			-		-		-			-
Receivable for Portfolio Shares Sold		201			216		447		230			632
Receivable for Investment Securities Sold		322			-		-		930			-
Receivable for Financing Transactions		-			-		-		-			-
Futures Variation Margin		-			-		-		-			-
Outstanding Swap Contracts, at Value (4)		-			-		-		-			-
Receivable for Foreign Currency		-			-		1		2			-
Prepaid Expenses and Other Assets		5			4		17		4			4
Dividends and Interest Receivable		581			972		5,471		151			297

Total Assets		437,819			457,619		1,638,385		418,770			449,202

Liabilities
Payable for Portfolio Shares Redeemed		123			105		691		95			369
Payable for Investment Securities Purchased		-			13		995		645			9,995
Payable for Financing Transactions		-			-		-		-			-
Futures Variation Margin		-			-		-		-			-
Outstanding Swap Contracts, at Value (5)		-			-		-		-			-
Payable for Foreign Currency		3			-		-		-			-
Collateral from Counterparty		-			-		-		-			-
Investment Advisory Fees		251			338		884		419			63
Compliance Fees Payable		-			-		-		-			-
Deferred Income for Financing Transactions		-			-		-		-			-
Accrued Expenses		511			155		437		614			23

Total Liabilities		888			611		3,007		1,773			10,450

Net Assets	$	436,931		$	457,008	$	1,635,378	$	416,997		$	438,752

Represented By:
Aggregate Paid in Capital (6) (7)	$	429,397		$	426,679	$	1,437,698	$	439,805		$	438,729
Undistributed Net Investment Income (Loss)		7,745			10,472		49,800		3,893			28
Undistributed Accumulated Net Realized Gain (Loss)		(7,867	)		7,617		67,504		(11,905	)		(5	)
Net Unrealized Appreciation (Depreciation)		7,656			12,240		80,376		(14,796	)		–

Net Assets for Shares Outstanding (6) (7)	$	436,931		$	457,008	$	1,635,378	$	416,997		$	438,752

Net Asset Value, Offering and Redemption Price per Share	$	1 .34		$	0 .90	$	1 .77	$	0 .93		$	1 .00

(1) Unaffiliated Investments, at Cost	$	410,928		$	436,824	$	1,526,219	$	424,362		$	448,136
(2) Affiliated Investments, at Cost		-			-		-		-			-
(3) Foreign Currency, at Cost		-			195		3,851		2,029			-
(4) Premiums Paid on Swap Contracts		-			-		-		-			-
(5) Premiums Received from Swap Contracts		-			-		-		-			-
(6) Shares Outstanding		324,978			506,674		921,656		450,565			438,757
(7) Shares Authorized, $.01 Par Value		2,000,000			2,000,000		3,000,000		2,000,000			2,000,000

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


172		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

$	230,895		$	3,071,279	$	117,490		$	288,576		$	676,869		$	547,427		$	176,545	$	20,421
	-			-		-			-			-			-			2,172,396		239,446
	2,561			169,565		205			174			9,762			8,745			7,080		6,375
	-			-		-			66			-			4,221			-		-
	-			-		-			-			-			1,578			-		-
	48			725		22			204			169			220			605		25
	-			411,675		44,711			-			5,683			6			17,590		1,444
	-			-		19			-			-			22			-		-
	-			-		5			-			-			189			-		-
	-			-		-			-			-			1,084			-		-
	-			-		-			839			-			4,362			-		-
	2			17		1			80			5			170			22		2
	1,259			10,853		653			1,351			10,603			8,447			88		6

	234,765			3,664,114		163,106			291,290			703,091			576,471			2,374,326		267,719


	152			734		76			216			278			349			879		67
	-			821,370		-			-			488			15,530			5,710		1,127
	-			-		53,678			-			-			7,343			-		-
	21			-		5			32			-			-			433		84
	-			-		-			5,165			-			2,305			-		-
	-			-		-			10			-			943			-		-
	-			-		-			-			-			3,464			-		-
	71			768		54			132			266			352			152		12
	-			-		-			-			-			-			-		-
	-			-		18			-			-			21			-		-
	34			86		25			50			71			105			25		20

	278			822,958		53,856			5,605			1,103			30,412			7,199		1,310

$	234,487		$	2,841,156	$	109,250		$	285,685		$	701,988		$	546,059		$	2,367,127	$	266,409


$	233,852		$	2,767,895	$	104,305		$	287,855		$	707,173		$	530,191		$	2,091,948	$	230,687
	1,717			42,378		2,211			6,063			32,590			27,511			45,681		5,056
	(1,022	)		9,654		(5,190	)		(1,906	)		(30,796	)		6,899			104,098		12,701
	(60	)		21,229		7,924			(6,327	)		(6,979	)		(18,542	)		125,400		17,965

$	234,487		$	2,841,156	$	109,250		$	285,685		$	701,988		$	546,059		$	2,367,127	$	266,409

$	1 .03		$	1 .27	$	1 .12		$	1 .10		$	0 .72		$	1 .08		$	1 .48	$	1 .20

$	230,938		$	3,050,050	$	109,582		$	290,112		$	683,848		$	569,686		$	174,823	$	19,755
	-			-		-			-			-			-			2,049,348		222,271
	-			-		-			69			-			4,412			-		-
	-			-		-			-			-			409			-		-
	-			-		-			-			-			1,003			-		-
	228,043			2,243,109		97,672			259,713			974,159			503,409			1,598,701		222,847
	2,000,000			3,000,000		2,000,000			2,000,000			3,000,000			2,000,000			4,000,000		2,000,000

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


		Statements of Assets and Liabilities			173

Statements of Operations

Northwestern Mutual Series Fund, Inc.

For the Year Ended December 31, 2014 (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 (1)	$	-		$	13		$	-		$	1		$	40		$	-
Unaffiliated Dividends (1)		10,063			4,062			13,792			2,722			46,047			4,040

Total Income		10,063			4,075			13,792			2,723			46,087			4,040

Expenses
Investment Advisory Fees		3,585			4,875			2,338			1,207			4,477			1,241
Custodian Fees		7			33			4			7			31			18
Shareholder Reporting Fees		44			60			34			8			85			10
Audit Fees		24			23			23			22			30			22
Valuation Services		1			2			1			-			2			1
Compliance Fees		16			15			14			12			24			12
Directors Fees		30			28			27			24			46			24
Professional Fees		7			7			7			6			10			6
Trade Name Fees		-			-			-			-			99			-
Other Expenses		13			9			8			3			33			3

Total Expenses		3,727			5,052			2,456			1,289			4,837			1,337

Less Waived Fees:
Paid by Affiliate		(179	)		(854	)		(24	)		-			-			(55	)
Paid Indirectly		(3	)		(3	)		-			(2	)		(1	)		-

Net Expenses		3,545			4,195			2,432			1,287			4,836			1,282

Net Investment Income (Loss)		6,518			(120	)		11,360			1,436			41,251			2,758
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		61,731			82,077			8,124			8,735			38,717			17,226
Affiliated Investment Securities		-			-			-			-			-			-
Futures Contracts		-			-			-			-			3,446			-
Options Written		-			-			-			-			-			-
Swap Contracts		-			-			-			-			-			-
Foreign Currency Transactions		-			(24	)		-			-			-			291

Net Realized Gain (Loss) on Investments		61,731			82,053			8,124			8,735			42,163			17,517

Net Unrealized Appreciation (Depreciation) of:
Investment Securities		6,191			(19,479	)		25,294			8,588			201,902			1,667
Futures Contracts		-			-			-			-			(230	)		-
Options Written		-			-			-			-			-			-
Swap Contracts		-			-			-			-			-			-
Foreign Currency Transactions		-			-			-			-			-			43

Net Change in Unrealized Appreciation (Depreciation) of Investments		6,191			(19,479	)		25,294			8,588			201,672			1,710

Net Gain (Loss) on Investments		67,922			62,574			33,418			17,323			243,835			19,227

Net Increase (Decrease) in Net Assets Resulting from Operations	$	74,440		$	62,454		$	44,778		$	18,759		$	285,086		$	21,985

(1) Net of Foreign Tax	$	-		$	62		$	647		$	183		$	4		$	20

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


174		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


$	-		$	35		$	-		$	27		$	1		$	-		$	10		$	8
	14,657			18,606			7,981			9,092			8,771			3,539			1,105			9,034
	14,657			18,641			7,981			9,119			8,772			3,539			1,115			9,042

	3,181			4,604			5,504			1,588			3,255			2,772			236			4,834
	7			24			11			25			51			7			37			17
	33			59			61			44			52			53			16			87
	23			24			27			22			22			23			20			23
	-			2			-			2			3			1			2			1
	15			15			17			15			14			14			12			14
	28			29			33			28			25			27			23			27
	7			7			7			7			6			8			9			7
	-			-			-			62			-			-			15			-
	8			10			17			10			5			7			1			8
	3,302			4,774			5,677			1,803			3,433			2,912			371			5,018

	-			-			(278	)		(68	)		(440	)		(6	)		(42	)		(34	)
	(3	)		-			(8	)		(1	)		-			(1	)		(1	)		-
	3,299			4,774			5,391			1,734			2,993			2,905			328			4,984
	11,358			13,867			2,590			7,385			5,779			634			787			4,058


	23,327			30,308			97,910			40,773			42,179			26,408			14,635			33,068
	-			-			-			-			-			-			-			-
	-			-			-			454			-			-			-			-
	-			-			-			-			-			-			-			-
	-			-			-			-			-			-			499			-
	-			(1	)		-			-			1,500			-			-			-
	23,327			30,307			97,910			41,227			43,679			26,408			15,134			33,068
	42,579			8,516			(13,904	)		8,948			10,258			15,494			(11,036	)		(35,544	)

	-			-			-			104			-			-			-			-
	-			-			-			-			-			-			-			-
	-			-			-			-			-			-			-			-
	-			(5	)		-			-			178			-			-			-
	42,579			8,511			(13,904	)		9,052			10,436			15,494			(11,036	)		(35,544	)
	65,906			38,818			84,006			50,279			54,115			41,902			4,098			(2,476	)
$	77,264		$	52,685		$	86,596		$	57,664		$	59,894		$	42,536		$	4,885		$	1,582
$	-		$	180		$	-		$	-		$	60		$	9		$	-		$	3

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


		Statements of Operations			175

Statements of Operations

Northwestern Mutual Series Fund, Inc.

For the Year Ended December 31, 2014 (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 (1)	$	7		$	6		$	15		$	6		$	627		$	2,558
Unaffiliated Dividends (1)		10,842			15,062			62,309			9,427			-			-
Affiliated Dividends		-			-			-			-			-			-

Total Income		10,849			15,068			62,324			9,433			627			2,558

Expenses
Investment Advisory Fees		2,748			3,629			11,458			4,460			1,364			741
Custodian Fees		336			420			938			760			18			25
Shareholder Reporting Fees		64			42			133			61			26			27
Audit Fees		24			24			30			24			22			27
Valuation Services		-			-			-			-			1			32
Compliance Fees		16			14			18			13			14			13
Directors Fees		26			25			39			25			27			24
Professional Fees		20			15			17			18			5			6
Interest Expense		-			-			-			-			-			-
Other Expenses		6			6			27			5			7			3

Total Expenses		3,240			4,175			12,660			5,366			1,484			898

Less Waived Fees:
Paid by Affiliate		-			-			(1,196	)		-			(1,185	)		-
Paid Indirectly		-			-			-			-			-			(2	)

Net Expenses		3,240			4,175			11,464			5,366			299			896

Net Investment Income (Loss)		7,609			10,893			50,860			4,067			328			1,662
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		21,116			12,092			67,503			(9,867	)		(1	)		761
Affiliated Investment Securities		-			-			-			-			-			-
Futures Contracts		-			-			-			-			-			(760	)
Options Written		-			-			-			-			-			-
Swap Contracts		-			-			-			-			-			-
Foreign Currency Transactions		(115	)		(95	)		(655	)		(68	)		-			(7	)

Net Realized Gain (Loss) on Investments		21,001			11,997			66,848			(9,935	)		(1	)		(6	)

Net Unrealized Appreciation (Depreciation) of:
Investment Securities		(48,957	)		(54,517	)		(273,164	)		(20,797	)		-			(472	)
Futures Contracts		-			-			-			-			-			(373	)
Options Written		-			-			-			-			-			-
Swap Contracts		-			-			-			-			-			-
Foreign Currency Transactions		(72	)		(95	)		(344	)		3			-			-

Net Change in Unrealized Appreciation (Depreciation) of Investments		(49,029	)		(54,612	)		(273,508	)		(20,794	)		-			(845	)

Net Gain (Loss) on Investments		(28,028	)		(42,615	)		(206,660	)		(30,729	)		(1	)		(851	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(20,419	)	$	(31,722	)	$	(155,800	)	$	(26,662	)	$	327		$	811

(1) Net of Foreign Tax	$	268		$	675		$	1,768		$	379		$	-		$	-

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


176		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


$	48,612	$	3,253		$	5,079		$	34,729		$	24,139		$	23,672		$	1,925
	-		-			-			702			-			1,412			335
	-		-			-			-			-			9,307			1,346

	48,612		3,253			5,079			35,431			24,139			34,391			3,606


	6,373		541			1,522			2,550			3,996			7,100			1,410
	70		11			44			36			142			93			59
	93		10			46			82			53			30			9
	35		38			26			34			37			28			26
	106		8			49			67			149			87			81
	22		12			13			15			14			24			13
	42		23			25			27			27			48			25
	13		6			6			10			11			14			9
	-		15			-			-			2			-			-
	28		2			4			8			7			38			4

	6,782		666			1,735			2,829			4,438			7,462			1,636


	-		(17	)		(112	)		-			(285	)		(3,687	)		(1,025	)
	(27)		-			-			(3	)		-			(1	)		(1	)

	6,755		649			1,623			2,826			4,153			3,774			609

	41,857		2,604			3,456			32,605			19,986			30,617			2,997


	50,609		2,290			103			(2,184	)		2,609			54,423			4,011
	-		-			-			-			-			76,714			10,811
	(4,730)		364			(1,741	)		-			3,692			5,068			1,111
	-		18			-			-			45			-			-
	-		-			(60	)		-			(960	)		-			-
	69		-			2,381			-			11,677			41			-

	45,948		2,672			683			(2,184	)		17,063			136,246			15,953


	16,148		15,421			5,965			(30,635	)		(28,365	)		(37,466	)		(5,456	)
	48		19			(543	)		-			2,360			(1,067	)		(97	)
	-		-			-			-			19			-			-
	-		-			(3,371	)		-			(1,140	)		-			-
	(32)		-			1,588			-			4,413			(19	)		-

	16,164		15,440			3,639			(30,635	)		(22,713	)		(38,552	)		(5,553	)

	62,112		18,112			4,322			(32,819	)		(5,650	)		97,694			10,400

$	103,969	$	20,716		$	7,778		$	(214	)	$	14,336		$	128,311		$	13,397

$	-	$	-		$	-		$	-		$	16		$	-		$	-

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


		Statements of Operations			177

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, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013
Change in Net Assets
Operations
Net Investment Income (Loss)	$	6,518		$	5,254		$	(120	)	$	177		$	11,360		$	8,237
Net Realized Gain (Loss) on Investments		61,731			81,957			82,053			70,607			8,124			58,703
Net Change in Unrealized Appreciation (Depreciation) of Investments		6,191			126,505			(19,479	)		61,665			25,294			47,966

Net Increase (Decrease) in Net Assets Resulting from Operations		74,440			213,716			62,454			132,449			44,778			114,906

Distributions to Shareholders from:
Net Investment Income		(5,089	)		(5,017	)		(131	)		(2,567	)		(8,198	)		(5,721	)
Net Realized Gain on Investments		(82,323	)		(52,317	)		(67,736	)		-			(49,261	)		-
Tax Return of Capital		-			-			-			-			-			-

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(87,412	)		(57,334	)		(67,867	)		(2,567	)		(57,459	)		(5,721	)

Capital Transactions:
Shares Sold		27,204			163,438			95,788			152,149			18,370			85,840
Reinvestment of Distributions Paid		87,412			57,334			67,867			2,567			57,459			5,721
Shares Redeemed		(63,148	)		(63,585	)		(60,375	)		(48,706	)		(45,877	)		(47,057	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		51,468			157,187			103,280			106,010			29,952			44,504

Total Increase (Decrease) in Net Assets		38,496			313,569			97,867			235,892			17,271			153,689
Net Assets
Beginning of Period		847,384			533,815			624,512			388,620			538,368			384,679

End of Period	$	885,880		$	847,384		$	722,379		$	624,512		$	555,639		$	538,368

Undistributed Net Investment Income (Loss)	$	6,518		$	5,254		$	-		$	131		$	11,360		$	8,237

Portfolio Share Transactions:
Shares Sold		9,307			62,328			36,806			66,405			10,785			56,114
Reinvestment of Distributions Paid		32,423			22,501			28,231			1,079			35,979			3,656
Shares Redeemed		(21,578	)		(24,367	)		(23,252	)		(20,822	)		(27,046	)		(30,789	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		20,152			60,462			41,785			46,662			19,718			28,981

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


178		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, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013


$	1,436		$	1,252		$	41,251		$	36,862		$	2,758		$	2,400		$	11,358		$	10,231
	8,735			10,868			42,163			29,321			17,517			16,058			23,327			24,432
	8,588			19,755			201,672			468,624			1,710			17,092			42,579			105,425

	18,759			31,875			285,086			534,807			21,985			35,550			77,264			140,088


	(59	)		(1,247	)		(36,099	)		(35,405	)		-			(2,362	)		(10,099	)		(8,767	)
	(6,023	)		(5,260	)		(28,128	)		(39,372	)		(9,080	)		(2,653	)		-			-
	-			-			-			-			-			-			-			-

	(6,082	)		(6,507	)		(64,227	)		(74,777	)		(9,080	)		(5,015	)		(10,099	)		(8,767	)


	7,570			79,206			123,029			103,969			13,592			87,261			27,775			92,289
	6,082			6,507			64,227			74,777			9,080			5,015			10,099			8,767
	(10,480	)		(38,682	)		(202,318	)		(178,746	)		(14,685	)		(39,664	)		(55,666	)		(61,787	)

	3,172			47,031			(15,062	)		-			7,987			52,612			(17,792	)		39,269

	15,849			72,399			205,797			460,030			20,892			83,147			49,373			170,590

	151,099			78,700			2,164,501			1,704,471			170,062			86,915			570,648			400,058

$	166,948		$	151,099		$	2,370,298		$	2,164,501		$	190,954		$	170,062		$	620,021		$	570,648

$	1,436		$	59		$	40,235		$	36,421		$	2,937		$	17		$	11,101		$	10,230


	7,052			82,410			32,735			32,130			12,303			89,007			20,371			80,248
	5,743			6,296			17,326			22,881			8,431			4,713			7,344			7,417
	(9,815	)		(38,039	)		(53,823	)		(55,321	)		(13,385	)		(38,166	)		(40,959	)		(54,239	)

	2,980			50,667			(3,762	)		(310	)		7,349			55,554			(13,244	)		33,426

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


		Statements of Changes in Net Assets			179

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, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013
Change in Net Assets
Operations
Net Investment Income (Loss)	$	13,867		$	9,630		$	2,590		$	4,221		$	7,385		$	6,414
Net Realized Gain (Loss) on Investments		30,307			23,116			97,910			208,116			41,227			29,756
Net Change in Unrealized Appreciation (Depreciation) of Investments		8,511			106,019			(13,904	)		4,077			9,052			121,031

Net Increase (Decrease) in Net Assets Resulting from Operations		52,685			138,765			86,596			216,414			57,664			157,201

Distributions to Shareholders from:
Net Investment Income		(9,121	)		(7,946	)		(3,769	)		(3,093	)		(6,280	)		(5,972	)
Net Realized Gain on Investments		(21,833	)		-			(207,085	)		(39,484	)		(30,105	)		(19,282	)
Tax Return of Capital		-			-			-			-			-			-

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(30,954	)		(7,946	)		(210,854	)		(42,577	)		(36,385	)		(25,254	)

Capital Transactions:
Shares Sold		111,040			174,190			32,194			124,108			38,212			41,007
Reinvestment of Distributions Paid		30,954			7,946			210,854			42,577			36,385			25,254
Shares Redeemed		(58,021	)		(46,021	)		(93,967	)		(96,143	)		(67,564	)		(53,157	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		83,973			136,115			149,081			70,542			7,033			13,104

Total Increase (Decrease) in Net Assets		105,704			266,934			24,823			244,379			28,312			145,051
Net Assets
Beginning of Period		676,031			409,097			1,073,332			828,953			624,092			479,041

End of Period	$	781,735		$	676,031		$	1,098,155		$	1,073,332		$	652,404		$	624,092

Undistributed Net Investment Income (Loss)	$	13,177		$	9,519		$	412		$	4,036		$	7,337		$	6,338

Portfolio Share Transactions:
Shares Sold		63,727			112,602			8,824			34,116			19,878			23,841
Reinvestment of Distributions Paid		18,155			5,013			66,578			11,684			19,636			14,564
Shares Redeemed		(33,227	)		(29,531	)		(25,832	)		(26,449	)		(35,067	)		(30,940	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		48,655			88,084			49,570			19,351			4,447			7,465

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


180		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, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013



$	5,779		$	3,866		$	634		$	(6	)	$	787		$	729		$	4,058		$	2,251
	43,679			32,255			26,408			100,940			15,134			8,219			33,068			14,024
	10,436			27,111			15,494			44,401			(11,036	)		23,413			(35,544	)		118,945

	59,894			63,232			42,536			145,335			4,885			32,361			1,582			135,220


	(3,829)			(2,886	)		-			(2,246	)		(1,419	)		(3,587	)		(2,032	)		(5,874	)
	(32,278	)		(1,673	)		(57,515	)		-			(15,897	)		(3,748	)		(14,657	)		(2,384	)
	-			-			-			-			-			-			-			-

	(36,107	)		(4,559	)		(57,515	)		(2,246	)		(17,316	)		(7,335	)		(16,689	)		(8,258	)


	54,015			138,159			22,235			51,425			19,952			25,514			57,330			82,527
	36,107			4,559			57,515			2,246			17,316			7,335			16,689			8,258
	(29,989	)		(20,681	)		(55,715	)		(52,494	)		(47,038	)		(8,110	)		(52,375	)		(50,565	)

	60,133			122,037			24,035			1,177			(9,770	)		24,739			21,644			40,220

	83,920			180,710			9,056			144,266			(22,201	)		49,765			6,537			167,182

	343,933			163,223			520,492			376,226			123,487			73,722			576,830			409,648

$	427,853		$	343,933		$	529,548		$	520,492		$	101,286		$	123,487		$	583,367		$	576,830

$	7,271		$	4,065		$	615		$	-		$	-		$	(129	)	$	4,055		$	2,251


	31,296			91,143			8,882			23,479			15,146			20,797			24,160			38,061
	21,923			2,951			25,237			977			14,726			5,515			7,249			3,745
	(17,366	)		(13,694	)		(22,374	)		(23,916	)		(35,645	)		(6,800	)		(21,956	)		(23,194	)

	35,853			80,400			11,745			540			(5,773	)		19,512			9,453			18,612

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


		Statements of Changes in Net Assets			181

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, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013
Change in Net Assets
Operations
Net Investment Income (Loss)	$	7,609		$	4,446		$	10,893		$	5,431		$	50,860		$	33,694
Net Realized Gain (Loss) on Investments		21,001			42,529			11,997			14,390			66,848			116,746
Net Change in Unrealized Appreciation (Depreciation) of Investments		(49,029	)		20,520			(54,612	)		37,591			(273,508	)		163,724

Net Increase (Decrease) in Net Assets Resulting from Operations		(20,419	)		67,495			(31,722	)		57,412			(155,800	)		314,164

Distributions to Shareholders from:
Net Investment Income		(5,721	)		(5,267	)		(6,491	)		(452	)		(33,309	)		(35,590	)
Net Realized Gain on Investments		-			-			(2,772	)		-			(117,385	)		(421	)
Tax Return of Capital		-			-			-			-			-			-

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(5,721	)		(5,267	)		(9,263	)		(452	)		(150,694	)		(36,011	)

Capital Transactions:
Shares Sold		73,592			58,279			94,736			108,059			149,226			128,805
Reinvestment of Distributions Paid		5,721			5,267			9,263			452			150,694			36,011
Shares Redeemed		(36,460	)		(35,274	)		(18,419	)		(14,326	)		(136,250	)		(150,463	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		42,853			28,272			85,580			94,185			163,670			14,353

Total Increase (Decrease) in Net Assets		16,713			90,500			44,595			151,145			(142,824	)		292,506
Net Assets
Beginning of Period		420,218			329,718			412,413			261,268			1,778,202			1,485,696

End of Period	$	436,931		$	420,218		$	457,008		$	412,413		$	1,635,378		$	1,778,202

Undistributed Net Investment Income (Loss)	$	7,745		$	5,384		$	10,472		$	6,463		$	49,800		$	32,904

Portfolio Share Transactions:
Shares Sold		52,238			44,422			98,267			118,573			74,795			66,344
Reinvestment of Distributions Paid		4,009			4,015			9,599			487			78,938			18,344
Shares Redeemed		(25,723	)		(26,925	)		(18,981	)		(15,759	)		(67,068	)		(77,894	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		30,524			21,512			88,885			103,301			86,665			6,794

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


182		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, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013


$	4,067		$	2,423		$	328		$	467		$	1,662		$	1,274		$	41,857		$	33,682
	(9,935	)		(369	)		(1	)		(1	)		(6	)		294			45,948			(14,511	)
	(20,794	)		(15,266	)		-			-			(845	)		(664	)		16,164			(55,403	)

	(26,662	)		(13,212	)		327			466			811			904			103,969			(36,232	)


	(2,542	)		(2,364	)		(328	)		(467	)		(1,286	)		(273	)		(36,871	)		(39,702	)
	(142	)		(589	)		-			-			-			-			-			(27,152	)
	-			-			-			-			-			-			-			-

	(2,684	)		(2,953	)		(328	)		(467	)		(1,286	)		(273	)		(36,871	)		(66,854	)


	124,956			135,105			241,263			320,665			64,591			73,102			1,261,633			258,343
	2,684			2,953			328			467			1,286			273			36,871			66,854
	(38,550	)		(21,116	)		(286,020	)		(321,386	)		(27,113	)		(22,844	)		(237,342	)		(194,507	)

	89,090			116,942			(44,429	)		(254	)		38,764			50,531			1,061,162			130,690

	59,744			100,777			(44,430	)		(255	)		38,289			51,162			1,128,260			27,603

	357,253			256,476			483,182			483,437			196,198			145,036			1,712,896			1,685,293

$	416,997		$	357,253		$	438,752		$	483,182		$	234,487		$	196,198		$	2,841,156		$	1,712,896

$	3,893		$	2,541		$	28		$	415		$	1,717		$	1,286		$	42,378		$	36,042


	128,009			134,834			241,263			320,665			62,562			71,172			1,004,526			203,671
	2,590			3,057			328			467			1,249			266			29,567			54,931
	(39,394	)		(20,861	)		(286,020	)		(321,386	)		(26,267	)		(22,238	)		(188,797	)		(153,632	)

	91,205			117,030			(44,429	)		(254	)		37,544			49,200			845,296			104,970

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


		Statements of Changes in Net Assets			183

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, 2014			For the Year Ended December 31, 2013⁽¹⁾			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,604		$	2,666		$	3,456		$	2,346		$	32,605		$	27,908
Net Realized Gain (Loss) on Investments		2,672			(5,754	)		683			2,190			(2,184	)		4,853
Net Change in Unrealized Appreciation (Depreciation) of Investments		15,440			(11,214	)		3,639			(27,128	)		(30,635	)		(5,267	)

Net Increase (Decrease) in Net Assets Resulting from Operations		20,716			(14,302	)		7,778			(22,592	)		(214	)		27,494

Distributions to Shareholders from:
Net Investment Income		(2,087	)		(23	)		(1,520	)		(2,808	)		(27,964	)		(27,656	)
Net Realized Gain on Investments		-			(201	)		(2,767	)		(5,010	)		-			-
Tax Return of Capital		-			-			-			-			-			-

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(2,087	)		(224	)		(4,287	)		(7,818	)		(27,964	)		(27,656	)

Capital Transactions:
Shares Sold		22,576			15,783			58,499			62,744			240,372			81,708
Reinvestment of Distributions Paid		2,087			224			4,287			7,818			27,964			27,656
Shares Redeemed		(21,669	)		(26,990	)		(33,300	)		(41,620	)		(56,557	)		(51,757	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		2,994			(10,983	)		29,486			28,942			211,779			57,607

Total Increase (Decrease) in Net Assets		21,623			(25,509	)		32,977			(1,468	)		183,601			57,445
Net Assets
Beginning of Period		87,627			113,136			252,708			254,176			518,387			460,942

End of Period	$	109,250		$	87,627		$	285,685		$	252,708		$	701,988		$	518,387

Undistributed Net Investment Income (Loss)	$	2,211		$	2,086		$	6,063		$	1,656		$	32,590		$	27,821

Portfolio Share Transactions:
Shares Sold		21,701			15,814			52,462			54,134			320,273			108,063
Reinvestment of Distributions Paid		2,036			238			3,807			7,133			37,840			38,147
Shares Redeemed		(20,904	)		(27,148	)		(29,868	)		(36,540	)		(75,003	)		(68,628	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		2,833			(11,096	)		26,401			24,727			283,110			77,582

(1)

During the 2014 fiscal year, a calculation error was identified in the December 31, 2013 annual report of the Long-Term U.S. Government Bond Portfolio. The calculation error resulted in a $3,958,000 reclassification increasing the Net Realized Loss on Investments and decreasing the Net Change in Unrealized Depreciation on Investments. The cost of investments were overstated by $2,171,000 at December 31, 2013. The error had no impact on the Portfolio’s net assets or NAV at December 31, 2013, and had no impact on the Net Gain on Investments, the Net Increase in Net Assets Resulting from Operations in the Statement of Operations or the Fund’s Financial Highlights for the year ended December 31, 2013. Because the errors are not material to the Portfolio’s financial statements, the error was corrected in these financial statements.

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


184		Statements of Changes in Net Assets


Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2014			For the Year Ended December 31, 2013


$	19,986		$	16,350		$	30,617		$	44,237		$	2,997		$	4,095
	17,063			(3,076	)		136,246			205,515			15,953			29,697
	(22,713	)		(19,872	)		(38,552	)		13,160			(5,553	)		4,516

	14,336			(6,598	)		128,311			262,912			13,397			38,308


	(13,804	)		(14,770	)		(54,943	)		(78,038	)		(5,717	)		(8,268	)
	-			(3,192	)		(188,495	)		(93,485	)		(23,506	)		-
	-			-			-			-			-			-

	(13,804	)		(17,962	)		(243,438	)		(171,523	)		(29,223	)		(8,268	)


	116,438			130,657			130,614			122,826			25,628			22,823
	13,804			17,962			243,438			171,523			29,223			8,268
	(43,973	)		(37,457	)		(258,083	)		(259,685	)		(33,192	)		(36,317	)

	86,269			111,162			115,969			34,664			21,659			(5,226	)

	86,801			86,602			842			126,053			5,833			24,814

	459,258			372,656			2,366,285			2,240,232			260,576			235,762

$	546,059		$	459,258		$	2,367,127		$	2,366,285		$	266,409		$	260,576

$	27,511		$	11,520		$	45,681		$	53,637		$	5,056		$	5,695


	104,857			116,936			84,604			79,052			20,353			18,757
	12,503			16,993			168,469			115,115			25,041			6,878
	(39,600	)		(33,795	)		(167,826	)		(167,498	)		(26,550	)		(29,971	)

	77,760			100,134			85,247			26,669			18,844			(4,336	)

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


		Statements of Changes in Net Assets			185

Statement of Cash Flows

Northwestern Mutual Series Fund, Inc.

For the Year Ended December 31, 2014 (in thousands)


	Long-Term U.S. Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations	$	20,716
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities
Purchase of Investment Securities		(114,631	)
Proceeds from Disposition of Investment Securities		115,562
Proceeds from Disposition (Purchase) of Short-Term Investments, net		36,262
Proceeds from (Payments for) Closed Futures Contracts		383
Premiums Received for Options Written		17
Amortization (Accretion) of Premium/Discount, net		(220	)
(Increase) Decrease in:
Cash Collateral for Derivative Positions		(520	)
Receivable for Investment Securities Sold		(44,711	)
Prepaid Expenses and Other Assets		1
Dividends and Interest Receivable		34
Increase (Decrease) in:
Payable for Investment Securities Purchased		-
Payable for Investment Advisory Fees		16
Accrued Expenses		-
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities		(15,421	)
Futures Contracts		(19	)
Net Realized (Gain) Loss from:
Investment Securities		(2,290	)
Futures Contracts		(364	)
Options Written		(18	)
Paydowns		(8	)

Total Adjustments		(25,927	)

Net Cash (Used in) Provided by Operating Activities		(5,211	)

Cash Flows from Financing Activities
Cash Received from (Used for) Financing Transactions		4,000
Proceeds from Capital Shares Sold		22,565
Payment on Capital Shares Redeemed		(21,608	)

Net Cash (Used in) Provided by Financing Activities		4,957

Net Increase (Decrease) in Cash		(254	)
Cash: Beginning of Period		459

Cash: End of Period	$	205

Supplemental disclosure of cash flow information:

Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $2,087.

Interest paid was $15 for the year ended December 31, 2014.

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


186		Statement of Cash Flows

[THIS PAGE INTENTIONALLY LEFT BLANK]


					187

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			Total Distributions			Net Asset Value, End of Period
Growth Stock Portfolio
2014	$	2.94	$	0.02		$	0.22		$	0.24		$	(0.02	)	$	(0.29	)	$	(0.31	)	$	2.87
2013		2.35		0.02			0.78			0.80			(0.02	)		(0.19	)		(0.21	)		2.94
2012		2.09		0.02			0.25			0.27			(0.01	)		-			(0.01	)		2.35
2011		2.13		0.01			(0.03	)		(0.02	)		(0.02	)		-			(0.02	)		2.09
2010		1.92		0.02			0.21			0.23			(0.02	)		-			(0.02	)		2.13
Focused Appreciation Portfolio
2014	$	2.69	$	0.00	^(e)	$	0.22		$	0.22		$	0.00	^(e)	$	(0.28	)	$	(0.28	)	$	2.63
2013		2.09		0.00	^(e)		0.61			0.61			(0.01	)		-			(0.01	)		2.69
2012		1.75		0.01			0.34			0.35			(0.01	)		-			(0.01	)		2.09
2011		1.86		0.01			(0.12	)		(0.11	)		0.00	^(e)		-			0.00	^(e)		1.75
2010		1.70		0.00	^(e)		0.16			0.16			-			-			-			1.86
Large Cap Core Stock Portfolio
2014	$	1.70	$	0.04		$	0.10		$	0.14		$	(0.03	)	$	(0.16	)	$	(0.19	)	$	1.65
2013		1.34		0.03			0.35			0.38			(0.02	)		-			(0.02	)		1.70
2012		1.21		0.02			0.13			0.15			(0.02	)		-			(0.02	)		1.34
2011		1.24		0.02			(0.04	)		(0.02	)		(0.01	)		-			(0.01	)		1.21
2010		1.12		0.01			0.12			0.13			(0.01	)		-			(0.01	)		1.24
Large Cap Blend Portfolio
2014	$	1.04	$	0.01		$	0.11		$	0.12		$	0.00	^(e)	$	(0.04	)	$	(0.04	)	$	1.12
2013		0.83		0.01			0.25			0.26			(0.01	)		(0.04	)		(0.05	)		1.04
2012		0.76		0.01			0.10			0.11			(0.01	)		(0.03	)		(0.04	)		0.83
2011		0.78		0.01			(0.02	)		(0.01	)		(0.01	)		-			(0.01	)		0.76
2010		0.69		0.01			0.09			0.10			(0.01	)		-			(0.01	)		0.78
Index 500 Stock Portfolio
2014	$	3.61	$	0.07		$	0.41		$	0.48		$	(0.06	)	$	(0.05	)	$	(0.11	)	$	3.98
2013		2.84		0.06			0.84			0.90			(0.06	)		(0.07	)		(0.13	)		3.61
2012		2.54		0.06			0.34			0.40			(0.05	)		(0.05	)		(0.10	)		2.84
2011		2.60		0.05			(0.01	)		0.04			(0.04	)		(0.06	)		(0.10	)		2.54
2010		2.33		0.04			0.30			0.34			(0.05	)		(0.02	)		(0.07	)		2.60
Large Company Value Portfolio
2014	$	1.07	$	0.02		$	0.12		$	0.14		$	-		$	(0.06	)	$	(0.06	)	$	1.15
2013		0.84		0.02			0.24			0.26			(0.01	)		(0.02	)		(0.03	)		1.07
2012		0.73		0.02			0.11			0.13			(0.02	)		-			(0.02	)		0.84
2011		0.74		0.01			(0.01	)		0.00	^(e)		(0.01	)		-			(0.01	)		0.73
2010		0.67		0.01			0.07			0.08			(0.01	)		-			(0.01	)		0.74
Domestic Equity Portfolio
2014	$	1.29	$	0.03		$	0.14		$	0.17		$	(0.02	)	$	-		$	(0.02	)	$	1.44
2013		0.98		0.02			0.31			0.33			(0.02	)		-			(0.02	)		1.29
2012		0.87		0.02			0.11			0.13			(0.02	)		-			(0.02	)		0.98
2011		0.89		0.02			(0.02	)		0.00	^(e)		(0.02	)		-			(0.02	)		0.87
2010		0.79		0.02			0.10			0.12			(0.02	)		-			(0.02	)		0.89
Equity Income Portfolio
2014	$	1.72	$	0.03		$	0.10		$	0.13		$	(0.02	)	$	(0.06	)	$	(0.08	)	$	1.77
2013		1.34		0.03			0.37			0.40			(0.02	)		-			(0.02	)		1.72
2012		1.16		0.03			0.17			0.20			(0.02	)		-			(0.02	)		1.34
2011		1.19		0.02			(0.03	)		(0.01	)		(0.02	)		-			(0.02	)		1.16
2010		1.05		0.02			0.14			0.16			(0.02	)		-			(0.02	)		1.19

(e)	Amount is less than $0.005.

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


	188			Financial Highlights


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

	9.02	%	$	885,880		0.43	%		0.41	%		0.76	%		42.36	%
	35.86			847,384		0.44			0.43			0.79			85.54
	12.94			533,815		0.45			0.44			0.90			68.40
	(1.30	)		514,007		-			0.44			0.65			47.15
	12.37			556,872		-			0.44			0.83			48.90

	9.43	%	$	722,379		0.77	%		0.64	%		(0.02	)%		54.58	%
	29.01			624,512		0.79			0.71			0.04			63.90
	20.14			388,620		0.79			0.74			0.71			15.65
	(6.10	)		305,120		0.79			0.74			0.32			45.98
	9.33			311,197		0.79			0.77			0.21			40.65

	8.56	%	$	555,639		0.45	%		0.44	%		2.08	%		5.92	%
	28.58			538,368		0.46			0.46			1.78			72.60
	11.63			384,679		0.46			0.46			1.43			74.09
	(1.21	)		377,069		-			0.45			1.26			51.46
	12.91			408,330		-			0.46			1.21			43.16

	12.58	%	$	166,948		0.82	%		0.82	%		0.91	%		27.31	%
	30.86			151,099		-			0.83			1.00			55.43
	15.20			78,700		0.87			0.84			1.05			132.66
	(2.29	)		69,268		-			0.82			0.82			35.91
	14.29			63,777		-			0.84			0.83			34.89

	13.46	%	$	2,370,298		0.22	%		0.22	%		1.84	%		2.65	%
	32.05			2,164,501		-			0.22			1.90			3.76
	15.76			1,704,471		0.22			0.21			2.12			2.77
	1.95			1,569,801		-			0.21			1.86			3.21
	14.89			1,625,787		-			0.21			1.84			4.14

	13.03	%	$	190,954		0.75	%		0.72	%		1.55	%		55.92	%
	31.29			170,062		0.78			0.76			1.73			49.12
	16.47			86,915		0.82			0.79			1.99			34.71
	1.49			69,674		-			0.78			1.84			47.30
	10.95			61,011		-			0.80			1.67			29.84

	13.87	%	$	620,021		0.56	%		0.56	%		1.92	%		7.97	%
	34.03			570,648		-			0.57			2.10			17.09
	14.35			400,058		0.58			0.58			2.23			134.18
	0.91			385,811		-			0.57			2.26			40.73
	14.62			408,437		-			0.58			2.29			48.18

	7.43	%	$	781,735		0.66	%		0.66	%		1.94	%		13.56	%
	29.94			676,031		-			0.67			1.77			15.98
	17.23			409,097		0.68			0.68			2.21			16.21
	(0.92	)		306,921		-			0.67			2.05			13.79
	15.33			259,307		-			0.67			2.00			11.14

(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.

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


		Financial Highlights			189

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			Total Distributions			Net Asset Value, End of Period
Mid Cap Growth Stock Portfolio
2014	$	3.92	$	0.01		$	0.27		$	0.28		$	(0.01	)	$	(0.79	)	$	(0.80	)	$	3.40
2013		3.26		0.02			0.80			0.82			(0.01	)		(0.15	)		(0.16	)		3.92
2012		2.92		0.01			0.33			0.34			0.00	^(e)		-			0.00	^(e)		3.26
2011		3.12		0.00	^(e)		(0.19	)		(0.19	)		(0.01	)		-			(0.01	)		2.92
2010		2.52		0.01			0.60			0.61			(0.01	)		-			(0.01	)		3.12
Index 400 Stock Portfolio
2014	$	1.90	$	0.02		$	0.15		$	0.17		$	(0.02	)	$	(0.09	)	$	(0.11	)	$	1.96
2013		1.49		0.02			0.47			0.49			(0.02	)		(0.06	)		(0.08	)		1.90
2012		1.34		0.02			0.21			0.23			(0.01	)		(0.07	)		(0.08	)		1.49
2011		1.47		0.01			(0.04	)		(0.03	)		(0.01	)		(0.09	)		(0.10	)		1.34
2010		1.18		0.01			0.30			0.31			(0.01	)		(0.01	)		(0.02	)		1.47
Mid Cap Value Portfolio
2014	$	1.67	$	0.03		$	0.24		$	0.27		$	(0.02	)	$	(0.15	)	$	(0.17	)	$	1.77
2013		1.30		0.02			0.37			0.39			(0.01	)		(0.01	)		(0.02	)		1.67
2012		1.13		0.03			0.16			0.19			(0.02	)		-			(0.02	)		1.30
2011		1.16		0.02			(0.03	)		(0.01	)		(0.02	)		-			(0.02	)		1.13
2010		0.98		0.02			0.17			0.19			(0.01	)		-			(0.01	)		1.16
Small Cap Growth Stock Portfolio
2014	$	2.60	$	0.00	^(e)	$	0.20		$	0.20		$	-		$	(0.30	)	$	(0.30	)	$	2.50
2013		1.88		0.00	^(e)		0.73			0.73			(0.01	)		-			(0.01	)		2.60
2012		1.72		0.00	^(e)		0.16			0.16			-			-			-			1.88
2011		1.77		0.00	^(e)		(0.04	)		(0.04	)		(0.01	)		-			(0.01	)		1.72
2010		1.42		0.00	^(e)		0.36			0.36			(0.01	)		-			(0.01	)		1.77
Index 600 Stock Portfolio
2014	$	1.33	$	0.01		$	0.06		$	0.07		$	(0.02	)	$	(0.22	)	$	(0.24	)	$	1.16
2013		1.01		0.01			0.39			0.40			(0.04	)		(0.04	)		(0.08	)		1.33
2012		0.91		0.01			0.14			0.15			(0.03	)		(0.02	)		(0.05	)		1.01
2011		0.94		0.01			(0.01	)		0.00	^(e)		(0.01	)		(0.02	)		(0.03	)		0.91
2010		0.77		0.01			0.19			0.20			(0.03	)		-			(0.03	)		0.94
Small Cap Value Portfolio
2014	$	2.45	$	0.02		$	(0.02	)	$	0.00	^(e)	$	(0.01	)	$	(0.06	)	$	(0.07	)	$	2.38
2013		1.89		0.01			0.59			0.60			(0.03	)		(0.01	)		(0.04	)		2.45
2012		1.65		0.03			0.24			0.27			(0.01	)		(0.02	)		(0.03	)		1.89
2011		1.69		0.01			(0.04	)		(0.03	)		(0.01	)		-			(0.01	)		1.65
2010		1.40		0.01			0.30			0.31			(0.02	)		-			(0.02	)		1.69
International Growth Portfolio
2014	$	1.43	$	0.02		$	(0.09	)	$	(0.07	)	$	(0.02	)	$	-		$	(0.02	)	$	1.34
2013		1.21		0.02			0.22			0.24			(0.02	)		-			(0.02	)		1.43
2012		1.04		0.02			0.17			0.19			(0.02	)		-			(0.02	)		1.21
2011		1.21		0.02			(0.18	)		(0.16	)		(0.01	)		-			(0.01	)		1.04
2010		1.05		0.02			0.15			0.17			(0.01	)		-			(0.01	)		1.21
Research International Core Portfolio
2014	$	0.99	$	0.02		$	(0.09	)	$	(0.07	)	$	(0.01	)	$	(0.01	)	$	(0.02	)	$	0.90
2013		0.83		0.01			0.15			0.16			0.00	^(e)		-			0.00	^(e)		0.99
2012		0.72		0.01			0.11			0.12			(0.01	)		-			(0.01	)		0.83
2011		0.82		0.01			(0.10	)		(0.09	)		(0.01	)		-			(0.01	)		0.72
2010		0.75		0.01			0.07			0.08			(0.01	)		-			(0.01	)		0.82

(e)	Amount is less than $0.005.

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


190		Financial Highlights


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

	8.49	%	$	1,098,155		0.54	%		0.51	%		0.25	%		82.51	%
	25.53			1,073,332		0.54			0.52			0.44			137.80
	11.97			828,953		0.54			0.52			0.39			63.30
	(6.18	)		812,782		-			0.53			0.12			50.26
	23.86			941,928		-			0.54			0.33			41.04

	9.42	%	$	652,404		0.28	%		0.27	%		1.25	%		12.20	%
	33.16			624,092		0.29			0.28			1.15			11.21
	17.64			479,041		0.28			0.28			1.27			10.91
	(1.92	)		439,395		-			0.27			1.04			13.15
	26.29			471,012		-			0.27			1.10			9.93

	16.69	%	$	427,853		0.90	%		0.78	%		1.56	%		66.16	%
	30.24			343,933		0.91			0.85			1.54			68.43
	16.57			163,223		0.93			0.93			2.14			75.97
	(0.61	)		124,257		-			0.91			1.66			100.60
	19.93			118,130		-			0.92			2.35			121.65

	8.66	%	$	529,548		0.57	%		0.57	%		0.12	%		27.07	%
	38.60			520,492		-			0.59			0.00			155.34
	9.48			376,226		0.59			0.59			(0.12	)		76.49
	(2.78	)		379,359		-			0.57			(0.20	)		75.67
	25.85			418,965		-			0.59			0.03			74.54

	5.34	%	$	101,286		0.39	%		0.35	%		0.93	%		49.73	%
	40.67			123,487		0.38			0.35			0.76			47.23
	15.80			73,722		0.42			0.35			1.36			38.47
	0.90			54,012		0.37			0.35			0.72			52.75
	25.90			45,991		0.42			0.35			0.88			46.88

	0.22	%	$	583,367		0.88	%		0.88	%		0.81	%		16.29	%
	31.76			576,830		0.88			0.88			0.46			9.17
	16.33			409,648		0.88			0.88			1.54			5.82
	(1.36	)		362,566		-			0.87			0.63			7.25
	21.95			374,259		-			0.87			0.85			11.51

	(4.52	)%	$	436,931		0.74	%		0.74	%		1.75	%		64.20	%
	19.81			420,218		-			0.76			1.20			77.33
	17.99			329,718		0.80			0.80			1.92			65.36
	(13.17	)		266,215		-			0.78			1.50			82.02
	16.43			297,804		0.81			0.69			1.40			150.91

	(6.71	)%	$	457,008		0.94	%		0.94	%		2.45	%		25.24	%
	18.92			412,413		0.98			0.98			1.65			30.41
	16.76			261,268		1.11			1.11			1.83			42.10
	(10.48	)		91,956		1.37			1.15			1.79			34.10
	11.05			65,711		1.38			1.15			1.54			47.90

(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.

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


		Financial Highlights			191

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			Total Distributions			Net Asset Value, End of Period
International Equity Portfolio
2014	$2.13	$	0.06		$	(0.24	)	$	(0.18	)	$	(0.04	)	$	(0.14	)	$	(0.18	)	$	1.77
2013	1.79		0.04			0.34			0.38			(0.04	)		0.00	^(e)		(0.04	)		2.13
2012	1.52		0.04			0.27			0.31			(0.04	)		-			(0.04	)		1.79
2011	1.73		0.05			(0.22	)		(0.17	)		(0.04	)		-			(0.04	)		1.52
2010	1.65		0.04			0.09			0.13			(0.05	)		-			(0.05	)		1.73
Emerging Markets Equity Portfolio
2014	$0.99	$	0.01		$	(0.06	)	$	(0.05	)	$	(0.01	)	$	0.00	^(e)	$	(0.01	)	$	0.93
2013	1.06		0.01			(0.07	)		(0.06	)		(0.01	)		0.00	^(e)		(0.01	)		0.99
2012	0.89		0.01			0.16			0.17			0.00	^(e)		0.00	^(e)		0.00	^(e)		1.06
2011	1.11		0.01			(0.22	)		(0.21	)		(0.01	)		-			(0.01	)		0.89
2010	0.90		0.01			0.21			0.22			(0.01	)		-			(0.01	)		1.11
Money Market Portfolio
2014	$1.00	$	0.00	^(e)	$	-		$	0.00	^(e)	$	0.00	^(e)	$	-		$	0.00	^(e)	$	1.00
2013	1.00		0.00	^(e)		-			0.00	^(e)		0.00	^(e)		-			0.00	^(e)		1.00
2012	1.00		0.00	^(e)		-			0.00	^(e)		0.00	^(e)		-			0.00	^(e)		1.00
2011	1.00		0.00	^(e)		-			0.00	^(e)		0.00	^(e)		0.00	^(e)		0.00	^(e)		1.00
2010	1.00		0.00	^(e)		-			0.00	^(e)		0.00	^(e)		0.00	^(e)		0.00	^(e)		1.00
Short-Term Bond Portfolio
2014	$1.03	$	0.01		$	-		$	0.01		$	(0.01	)	$	-		$	(0.01	)	$	1.03
2013	1.03		0.01			(0.01	)		0.00	^(e)		0.00	^(e)		-			0.00	^(e)		1.03
2012	1.02		0.01			0.01			0.02			(0.01	)		-			(0.01	)		1.03
2011	1.03		0.02			(0.01	)		0.01			(0.02	)		0.00	^(e)		(0.02	)		1.02
2010	1.02		0.03			0.02			0.05			(0.03	)		(0.01	)		(0.04	)		1.03
Select Bond Portfolio
2014	$1.23	$	0.02		$	0.05		$	0.07		$	(0.03	)	$	-		$	(0.03	)	$	1.27
2013	1.30		0.03			(0.05	)		(0.02	)		(0.03	)		(0.02	)		(0.05	)		1.23
2012	1.31		0.03			0.03			0.06			(0.04	)		(0.03	)		(0.07	)		1.30
2011	1.29		0.04			0.05			0.09			(0.04	)		(0.03	)		(0.07	)		1.31
2010	1.26		0.05			0.03			0.08			(0.05	)		0.00	^(e)		(0.05	)		1.29
Long-Term U.S. Government Bond Portfolio
2014	$0.92	$	0.03		$	0.19		$	0.22		$	(0.02	)	$	-		$	(0.02	)	$	1.12
2013	1.07		0.03			(0.18	)		(0.15	)		0.00	^(e)		0.00	^(e)		0.00	^(e)		0.92
2012	1.13		0.03			0.02			0.05			(0.02	)		(0.09	)		(0.11	)		1.07
2011	1.00		0.03			0.25			0.28			(0.02	)		(0.13	)		(0.15	)		1.13
2010	1.00		0.03			0.08			0.11			(0.05	)		(0.06	)		(0.11	)		1.00
Inflation Protection Portfolio
2014	$1.08	$	0.01		$	0.03		$	0.04		$	(0.01	)	$	(0.01	)	$	(0.02	)	$	1.10
2013	1.22		0.01			(0.12	)		(0.11	)		(0.01	)		(0.02	)		(0.03	)		1.08
2012	1.18		0.02			0.06			0.08			(0.03	)		(0.01	)		(0.04	)		1.22
2011	1.06		0.04			0.09			0.13			0.00	^(e)		(0.01	)		(0.01	)		1.18
2010	1.06		0.03			0.03			0.06			(0.04	)		(0.02	)		(0.06	)		1.06

(e)	Amount is less than $0.005.

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


192		Financial Highlights


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

	(8.80	)%	$	1,635,378		0.72	%		0.66	%		2.91	%		17.84	%
	21.38			1,778,202		0.73			0.66			2.10			34.06
	21.52			1,485,696		0.73			0.68			2.55			41.34
	(10.10	)		1,218,070		0.72			0.67			2.75			32.06
	7.67			1,376,593		0.72			0.67			2.33			28.57

	(6.25	)%	$	416,997		1.34	%		1.34	%		1.02	%		45.75	%
	(5.15	)		357,253		-			1.40			0.81			31.60
	18.83			256,476		1.49			1.48			1.17			27.32
	(18.66	)		146,836		1.59			1.50			1.21			45.56
	24.08			140,665		1.57			1.50			0.98			51.60

	0.07	%	$	438,752		0.33	%		0.07	%		0.07	%		-	%
	0.10			483,182		0.32			0.07			0.10			-
	0.15			483,437		0.32			0.09			0.15			-
	0.14			496,563		0.30			0.08			0.13			-
	0.29			476,291		0.30			0.00	^(e)		0.29			-

	0.38	%	$	234,487		0.41	%		0.41	%		0.76	%		196.15	%
	0.55			196,198		-			0.42			0.76			199.33
	2.07			145,036		0.41			0.40			1.18			267.65
	0.55			165,716		-			0.38			1.79			116.64
	3.63			130,420		-			0.39			2.48			115.08

	5.56	%	$	2,841,156		0.32	%		0.32	%		1.97	%		308.80	%^(g)
	(2.16	)		1,712,896		-			0.32			1.99			131.49	^(g)
	4.96			1,685,293		0.32			0.31			2.32			130.37	^(g)
	7.16			1,485,430		-			0.30			3.10			139.34	^(g)
	6.59			1,362,096		-			0.30			3.51			112.85	^(g)

	23.73	%	$	109,250		0.68	%^(s)		0.67	%^(s)		2.67	%		116.62	%^(g),^(t)
	(13.27	)		87,627		0.69	^(s)		0.68	^(s)		2.69			125.96	^(g),^(t)
	3.75			113,136		0.66	^(s)		0.65	^(s)		2.35			164.63	^(g),^(t)
	28.92			147,149		-			0.59			2.32			665.73	^(g)
	10.62			103,380		-			0.60			2.76			525.61	^(g)

	3.14	%	$	285,685		0.63	%		0.59	%		1.26	%		20.25	%
	(8.33	)		252,708		0.64			0.62			0.91			31.82
	7.35			254,176		0.63			0.62			1.92			77.11
	11.93			178,375		-			0.61			3.74			52.72
	5.60			116,078		-			0.61			2.43			68.09

(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.

(s)

The ratios of gross expenses to average net assets and net expenses to average net assets includes interest expense. Excluding interest expense, the ratios would be 0.67% and 0.65% respectively for the period ended December 31, 2014, 0.67% and 0.65% respectively in 2013 and 0.63% and 0.62% respectively in 2012.

(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.

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


		Financial Highlights			193

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			Total Distributions			Net Asset Value, End of Period
High Yield Bond Portfolio
2014	$	0.75	$	0.04	$	(0.03	)	$	0.01		$	(0.04	)	$	-		$	(0.04	)	$	0.72
2013		0.75		0.04		-			0.04			(0.04	)		-			(0.04	)		0.75
2012		0.70		0.05		0.05			0.10			(0.05	)		-			(0.05	)		0.75
2011		0.72		0.05		(0.02	)		0.03			(0.05	)		-			(0.05	)		0.70
2010		0.68		0.06		0.03			0.09			(0.05	)		-			(0.05	)		0.72
Multi-Sector Bond Portfolio
2014	$	1.08	$	0.04	$	(0.01	)	$	0.03		$	(0.03	)	$	-		$	(0.03	)	$	1.08
2013		1.14		0.04		(0.05	)		(0.01	)		(0.04	)		(0.01	)		(0.05	)		1.08
2012		1.00		0.04		0.11			0.15			(0.01	)		0.00	^(e)		(0.01	)		1.14
2011		1.03		0.05		(0.01	)		0.04			(0.05	)		(0.02	)		(0.07	)		1.00
2010		0.99		0.06		0.08			0.14			(0.08	)		(0.02	)		(0.10	)		1.03
Balanced Portfolio
2014	$	1.56	$	0.02	$	0.07		$	0.09		$	(0.04	)	$	(0.13	)	$	(0.17	)	$	1.48
2013		1.51		0.03		0.14			0.17			(0.05	)		(0.07	)		(0.12	)		1.56
2012		1.39		0.03		0.11			0.14			(0.02	)		-			(0.02	)		1.51
2011		1.40		0.03		0.00	^(e)		0.03			(0.04	)		-			(0.04	)		1.39
2010		1.28		0.03		0.12			0.15			(0.03	)		-			(0.03	)		1.40
Asset Allocation Portfolio
2014	$	1.28	$	0.01	$	0.05		$	0.06		$	(0.03	)	$	(0.11	)	$	(0.14	)	$	1.20
2013		1.13		0.02		0.17			0.19			(0.04	)		-			(0.04	)		1.28
2012		1.02		0.02		0.09			0.11			0.00	^(e)		-			0.00	^(e)		1.13
2011		1.05		0.02		(0.02	)		0.00	^(e)		(0.03	)		-			(0.03	)		1.02
2010		0.96		0.02		0.10			0.12			(0.03	)		-			(0.03	)		1.05

(e)	Amount is less than $0.005.

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


194		Financial Highlights


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

	1.18	%	$	701,988		0.47	%		0.47	%		5.43	%		96.48	%
	5.84			518,387		-			0.48			5.70			53.07
	13.89			460,942		0.48			0.47			6.50			45.66
	4.59			376,289		-			0.46			7.33			44.40
	14.56			343,549		-			0.47			7.99			71.62

	3.25	%	$	546,059		0.86	%		0.81	%		3.88	%		58.51	%^(g)
	(1.58	)		459,258		-			0.88			3.91			65.10	^(g)
	14.94			372,656		0.86			0.85			4.11			41.31	^(g)
	4.99			234,872		-			0.83			5.15			59.18	^(g)
	13.19			182,453		-			0.84			5.41			102.10	^(g)

	5.56	%	$	2,367,127		0.32	%		0.16	%		1.29	%		56.83	%^(g),^(h)
	12.08			2,366,285		0.32			0.26			1.91			112.58	^(g)
	9.69			2,240,232		0.31			0.30			2.18			121.91	^(g)
	2.11			2,188,140		-			0.30			2.27			114.17	^(g)
	11.96			2,295,102		-			0.30			2.58			81.33	^(g)

	5.15	%	$	266,409		0.62	%		0.23	%		1.13	%		39.50	%^(g),^(h)
	16.67			260,576		0.65			0.43			1.65			105.28	^(g)
	11.02			235,762		0.63			0.54			1.84			119.01	^(g)
	(0.08	)		230,257		0.58			0.53			1.74			95.15	^(g)
	13.01			248,166		0.58			0.53			2.01			73.04	^(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.

(g)	Portfolio Turnover Rate excludes the impact of mortgage dollar roll transactions.

(h)	Portfolio Turnover Rate excludes the impact of in kind transactions.

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


		Financial Highlights			195

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 is also considered an investment company following the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Series Fund consists of the Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (each, a “Portfolio” or collectively, the “Portfolios”). All of the outstanding shares of each Portfolio are held by The Northwestern Mutual Life Insurance Company (“Northwestern Mutual”) for its segregated asset accounts (either directly or indirectly through one or more underlying Portfolios operating as affiliated fund of funds).

During the period ended December 31, 2014, Northwestern Mutual made redemptions from the following Portfolios totaling:


Portfolio	Redemption Amount
Index 600 Portfolio	$	33,212,995

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 their taxable income to their respective shareholders. The Portfolios also intend to distribute sufficient net investment income and net capital gains, if any, so that they will not be subject to excise tax, as applicable, on distributable income and gains.

In accordance with the authoritative guidance for uncertainty in income taxes, management of the Series Fund has reviewed all open tax years (2011 to 2014) for major jurisdictions and concluded there was no material impact to the Portfolios’ net assets or results of operations. There is no material tax liability relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

D. Distributions — Dividends from net investment income and net realized capital gains are declared and paid each business day for the Money Market Portfolio and at least annually for the remaining Portfolios of the Series Fund, when applicable. During 2014, the Money Market Portfolio utilized earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes.


196		Notes to Financial Statements

Notes to Financial Statements

E. Other — The Portfolios record security transactions on trade date. The basis for determining cost on sale of securities is identified cost. Interest income is recorded daily on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as information from issuers is available. Where applicable, dividends are recorded net of foreign withholding tax. Discounts and premiums on securities purchased are amortized using the effective interest method. Expenses directly attributable to a Portfolio are incurred by the respective Portfolio. Expenses that are not directly attributable to one or more Portfolios are allocated among applicable Portfolios on an equitable and consistent basis considering such things as the nature and type of expenses and the relative net assets of the Portfolios.

F. New Acounting Pronouncements — In June 2014, the FASB issued an Accounting Standards Update (ASU) that expands secured borrowing accounting for certain repurchase agreements. The ASU also sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare to similar transactions accounted for as secured borrowings. The ASU is effective prospectively during interim or annual periods beginning after December 15, 2014. 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 where applicable.

•

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.


		Notes to Financial Statements			197

Notes to Financial Statements

•

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.

•

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, which are actively traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation and are categorized as Level 1 in the fair value hierarchy.

•

Centrally cleared swaps are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. These securities are categorized as Level 2 in the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate forward rate to produce the daily settlement price. These securities are categorized as Level 2 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, 2014 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. The amounts of


198		Notes to Financial Statements

Notes to Financial Statements

transfers between Levels 1 and 2 are disclosed in the Notes to Schedules of Investments for the Portfolio. For fair valuations using significant unobservable inputs, U.S. Generally Accepted Accounting Principles (GAAP) requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. Additionally, U.S GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets categorized as Level 3 in the fair value hierarchy. In accordance with the requirements, a Level 3 reconciliation and details of significant unobservable inputs have been included in the Notes to the Schedule of Investments for Portfolios that have a material amount of Level 3 investments.

The Series Fund has adopted policies and procedures which govern the pricing of Portfolio securities. The Series Fund’s Board of Directors (sometimes referred to hereinafter as “Board”) 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 and comprised of representatives of MSA, Northwestern Mutual and Series Fund officers. 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 and any variances from these pricing procedures when appropriate. All such actions are subject to further review and approval by the Board 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 its 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.

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.


		Notes to Financial Statements			199

Notes to Financial Statements

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 applicable Portfolio’s Statement 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 had an established securities lending program that enabled each to loan securities to approved broker dealers during the period ended December 31, 2014. 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, 2014, the Select Bond and Balanced Portfolios earned $87,297 and $80,920 , respectively, in interest from securities lending activity, which is included as interest income in their respective Statements of Operations.

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, 2014, none of the Portfolios had any outstanding securities on loan.

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, 2014 there were no short positions held by any Portfolio.

I. Treasury Roll Transactions — 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


200		Notes to Financial Statements

Notes to Financial Statements

benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Portfolio. If the interest expense exceeds the income earned, the Portfolio’s net investment income and dividends to shareholders may be adversely impacted. 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, 2014, only the High Yield Bond Portfolio and Multi Sector Bond Portfolio invested in loan participations and assignments. At December 31, 2014 there were no unfunded loan commitments outstanding.

K. Reverse Repurchase Agreements — Certain Portfolios may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Portfolio delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Portfolio is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Portfolio to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. When effecting reverse repurchase transactions, the Portfolio will hold securities of a dollar amount equal in value to the securities subject to the reverse repurchase agreement in a segregated account.

Note 5. Derivative Instruments

The Portfolios may use derivative instruments for various purposes, including as a cash management strategy, to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the Portfolio, to hedge exposure to a foreign currency, or as an alternative to direct investments. Because the Portfolios are required to account for derivative instruments at fair value and recognize changes in fair value through the Statements of Operations, the Portfolios’ derivatives do not qualify for hedge accounting treatment.

Certain Portfolios segregate cash to cover margin requirements for derivative positions. These amounts are denoted as “Cash Collateral for Derivative Positions” on the Statements of Assets and Liabilities.

A. Futures Contracts — Certain Portfolios invest in futures contracts as an alternative to investing in individual securities and could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are marked to market daily based upon quoted settlement prices. The Portfolios receive from or pay to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the “variation margin,” are recorded by the Portfolios as unrealized gains or losses. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.


		Notes to Financial Statements			201

Notes to Financial Statements

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 (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.

Transactions in written call and put options for the period ended December 31, 2014 were as follows (amounts in thousands, except number of contracts):


	Balance at 12/31/2013			Sales		Closing Buys		Expirations		Exercised		Balance at 12/31/2014
Long-Term U.S. Government Bond Portfolio
# of Contracts		1			40		-		21		20		-
Premium	$	-			33		-		18		15	$	-
Multi-Sector Bond Portfolio
# of Contracts		26			-		-		26		-		-
Notional Amount		21,300			-		-		9,200		12,100		-
Premium	$	51	)		0		-		37		14	$	-

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”).


202		Notes to Financial Statements

Notes to Financial Statements

Swaps are marked to market daily based upon quotations from market makers or values from third party vendors, which may include a registered commodities exchange, and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Daily changes in the valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. OTC swap payments received or made at the beginning of the measurement period of the swap are reflected on the Statements of Assets and Liabilities. Upfront payments are amortized to realized gain or loss. Upon termination of the swap, unamortized upfront payments are recorded as realized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments received by the Portfolios are included as part of realized gain (loss) on the Statements of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in interest rates.

Interest Rate Swaps — Interest rate swap agreements involve the exchange by a Portfolio with another party to pay or receive a set of cash flows, e.g., an exchange of floating rate payments for fixed rate payments based on a notional amount of principal.

Total Return Swaps — Total return swap agreements involve commitments to pay or receive a financing rate in exchange for the total return of an underlying reference entity, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

Credit Default Swaps — Credit default swap agreements involve one party making a series of payments to another party in exchange for the right to receive a cash payment equal to the notional value of the swap in the event of a default by a third party, typically corporate issues or sovereign issues of an emerging market country. A Portfolio may use credit default swaps to provide a measure of protection against defaults of the issuers where the Portfolio owns or has exposure to the corporate or sovereign issue or to take an active long or short position on the likelihood of a particular issuer’s default.

As a seller of protection, the Portfolio generally receives an upfront payment and/or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Portfolio adds leverage to its investments because the Portfolio has investment exposure on the notional amount of the swap. As a buyer of protection, the Portfolio generally makes an upfront payment or pays a fixed rate of interest throughout the term of the swap provided that there is no credit event. The Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging market country serve as an indicator of the current status of the payment/performance risk and represent the likelihood of a credit event occurring. The implied credit spread of a particular referenced entity reflects the cost of selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and indicate a greater likelihood a credit event could occur as defined under the terms of the agreement. Open credit default swaps on corporate or sovereign issues and credit indices are disclosed in the Schedules of Investments.

If the Portfolio is a seller of protection and a credit event occurs, the Portfolio will either pay to the buyer of the protection an amount equal to the notional value of the swap and may take delivery of the obligation or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the agreement. Notional amounts and fair market value of all credit default swap agreements outstanding for each Portfolio are disclosed in the 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.


		Notes to Financial Statements			203

Notes to Financial Statements

E. Derivative Disclosures — Derivative positions held by the Portfolios by contract type and primary risk exposure, including location on the Statement of Assets and Liabilities and value as of December 31, 2014, are (amounts in thousands):

Asset Derivatives – December 31, 2014

Liability Derivatives – December 31, 2014

Portfolio

Statement of Assets and Liabilities
Location

Value

Statement of Assets and Liabilities
Location

Value

Index 500 Stock Portfolio

Equity contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

329

Large Company Value Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

Index 400 Stock Portfolio

Equity contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

196

Mid Cap Value Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

International Growth Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

International Equity Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

Emerging Markets Equity Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

Short-Term Bond Portfolio

Interest rate contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

Inflation Protection Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

839

Payables – Foreign Currency Purchased

Interest rate contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

Interest rate contracts

Receivables – Outstanding Swaps Contracts, at Value

Payables – Outstanding Swaps Contracts, at Value

5,165

Multi-Sector Bond Portfolio

Credit contracts

Receivables – Outstanding Swaps Contracts, at Value

702

Payables – Outstanding Swaps Contracts, at Value

2,164

Foreign exchange contracts

Receivables – Foreign Currency Sold

4,363

Payables – Foreign Currency Purchased

944

Interest rate contracts

Receivables – Futures Variation Margin

189

Payables – Futures Variation Margin

Interest rate contracts

Receivables – Outstanding Swaps Contracts, at Value

382

Payables – Outstanding Swaps Contracts, at Value

141

Balanced Portfolio

Equity contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

433

Asset Allocation Portfolio

Equity contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended December 31, 2014 are (amounts in thousands):


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options		Futures		Forward Currency Contracts			Swaps		Total
Focused Appreciation Portfolio
Foreign currency exchange contracts	$	-	$	-	$	(24	)	$	-	$	(24	)
Index 500 Stock Portfolio
Equity contracts		-		3,446		-			-		3,446
Large Company Value Portfolio
Foreign currency exchange contracts		-		-		291			-		291
Equity Income Portfolio
Foreign currency exchange contracts		-		-		(1	)		-		(1	)
Index 400 Stock Portfolio
Equity contracts		-		454		-			-		454
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-		1,500			-		1,500
Index 600 Stock Portfolio
Equity contracts		-		-		-			499		499


204		Notes to Financial Statements

Notes to Financial Statements


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options		Futures			Forward Currency Contracts			Swaps			Total
International Growth Portfolio
Foreign currency exchange contracts	$	-	$	-		$	(115	)	$	-		$	(115	)
Research International Core Portfolio
Foreign currency exchange contracts		-		-			(95	)		-			(95	)
International Equity Portfolio
Foreign currency exchange contracts		-		-			(655	)		-			(655	)
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-			(68	)		-			(68	)
Short-Term Bond Portfolio
Foreign currency exchange contracts		-		-			(7	)		-			(7	)
Interest rate contracts		-		(760	)		-			-			(760	)
Select Bond Portfolio
Foreign currency exchange contracts		-		-			69			-			69
Interest rate contracts		-		(4,730	)		-			-			(4,730	)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		18		364			-			-			382
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-			2,381			-			2,381
Interest rate contracts		-		(1,741	)		-			(60	)		(1,801	)
Multi-Sector Bond Portfolio
Credit contracts		-		-			-			(2,173	)		(2,173	)
Foreign currency exchange contracts		-		-			11,677			-			11,677
Interest rate contracts		45		3,692			-			1,213			4,950
Balanced Portfolio
Equity contracts		-		8,982			-			-			8,982
Foreign currency exchange contracts		-		-			41			-			41
Interest rate contracts		-		(3,914	)		-			-			(3,914	)
Asset Allocation Portfolio
Equity contracts		-		1,268			-			-			1,268
Interest rate contracts		-		(157	)		-			-			(157	)

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure, for the period ended December 31, 2014 are (amounts in thousands):


	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options		Futures			Forward Currency Contracts			Swaps		Total
Index 500 Stock Portfolio
Equity contracts	$	-	$	(230	)	$	-		$	-	$	(230	)
Large Company Value Portfolio
Foreign currency exchange contracts		-		-			43			-		43
Equity Income Portfolio
Foreign currency exchange contracts		-		-			(6	)		-		(6	)
Index 400 Stock Portfolio
Equity contracts		-		104			-			-		104
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-			178			-		178
International Growth Portfolio
Foreign currency exchange contracts		-		-			(72	)		-		(72	)
Research International Core Portfolio
Foreign currency exchange contracts		-		-			(95	)		-		(95	)
International Equity Portfolio
Foreign currency exchange contracts		-		-			(344	)		-		(344	)
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-			3			-		3


		Notes to Financial Statements			205

Notes to Financial Statements


	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options		Futures			Forward Currency Contracts			Swaps			Total
Short-Term Bond Portfolio
Interest rate contracts	$	-	$	(373	)	$	-		$	-		$	(373	)
Select Bond Portfolio
Foreign currency exchange contracts		-		-			(32	)		-			(32	)
Interest rate contracts		-		48			-			-			48
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		19			-			-			19
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-			1,588			-			1,588
Interest rate contracts		-		(543	)		-			(3,371	)		(3,914	)
Multi-Sector Bond Portfolio
Credit contracts		-		-			-			(1,991	)		(1,991	)
Foreign currency exchange contracts		-		-			4,413			-			4,413
Interest rate contracts		19		2,360			-			851			3,230
Balanced Portfolio
Equity contracts		-		(482	)		-			-			(482	)
Foreign currency exchange contracts		-		-			(19	)		-			(19	)
Interest rate contracts		-		(585	)		-			-			(585	)
Asset Allocation Portfolio
Equity contracts		-		(66	)		-			-			(66	)
Interest rate contracts		-		(31	)		-			-			(31	)

Volumes on derivative instruments by contract type and primary risk exposure, for the period ended December 31, 2014 are (amounts in thousands):


	Volume of Derivative Instruments Held
	Average Contracts				Average Notional
Portfolio	Exchange Traded Options		Futures		Forward Currency Contracts		Swaps		Over the Counter Options
Focused Appreciation Portfolio
Foreign currency exchange contracts		-		-		84		-		-
Index 500 Stock Portfolio
Equity contracts		-		293		-		-		-
Large Company Value Portfolio
Foreign currency exchange contracts		-		-		6,844		-		-
Equity Income Portfolio
Foreign currency exchange contracts		-		-		141		-		-
Index 400 Stock Portfolio
Equity contracts		-		125		-		-		-
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-		39,322		-		-
Index 600 Stock Portfolio
Interest rate contracts		-		-		-		9,168		-
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-		150		-		-
Short-Term Bond Portfolio
Interest rate contracts		-		329		-		-		-
Select Bond Portfolio
Foreign currency exchange contracts		-		-		221		-		-
Interest rate contracts		-		768		-		-		-
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		8		59		-		-		-


206		Notes to Financial Statements

Notes to Financial Statements


	Volume of Derivative Instruments Held
	Average Contracts				Average Notional
Portfolio	Exchange Traded Options		Futures		Forward Currency Contracts		Swaps		Over the Counter Options
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-		43,905		-		-
Interest rate contracts		-		94		-		73,180		-
Multi-Sector Bond Portfolio
Credit contracts		-		-		-		71,881		-
Foreign currency exchange contracts		-		-		419,534		-		-
Interest rate contracts		5		773		-		90,992		4,260
Balanced Portfolio
Equity contracts		-		337		-		-		-
Foreign currency exchange contracts		-		-		131		-		-
Interest rate contracts		-		476		-		-		-
Asset Allocation Portfolio
Equity contracts		-		64		-		-		-
Interest rate contracts		-		31		-		-		-

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 fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Portfolios’ investments may be illiquid and the Portfolios may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Portfolio is required to liquidate all or a portion of its investments quickly, the Portfolio may realize significantly less than the value at which it previously recorded those investments.

Master Netting Arrangements

The Portfolios are subject to various Master Agreements that govern the terms of certain transactions. Master Repurchase Agreements and Global Master Repurchase Agreements are in place that govern repurchase, reverse repurchase, and sale-buyback financing transactions. Master Securities Forward Transaction Agreements are in place that govern the settlement of certain forward settling transactions including to-be-announced securities, delayed-delivery or sale-buyback financing transactions. Customer Account Agreements and related addenda are in place that govern certain cleared derivative transactions including futures and cleared OTC derivatives. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA agreements”) are in place that govern certain OTC financial derivative transactions. The terms of Master Agreements may reduce counterparty risk with respect to transactions governed by the Master Agreement under certain circumstances.

Offsetting Assets and Liabilities

Certain Portfolios are parties to enforceable master netting or similar agreements which provide for the right of offset under certain circumstances. The Portfolios have made an accounting policy election not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities. As such, all financial and derivative instruments are presented on a gross basis on the Statements of Assets and Liabilities. The impacts of netting arrangements that provide the right to offset are detailed below (amounts in thousands). The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing transactions such as repurchase agreements and certain forward settling transactions can only be netted across transactions governed under the same Master Agreement with the same legal entity. For certain Portfolios, derivative amounts do not reconcile to the Statements of Assets and Liabilities due to the Statements of Assets and Liabilities including derivatives that are not covered under master netting or similar agreements. The amount of collateral presented below has been limited such that the net amount cannot be less than zero.


		Notes to Financial Statements			207

Notes to Financial Statements

Inflation Protection Portfolio


Offsetting of Financial Assets and Derivative Assets
As of December 31, 2014			(i)			(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Assets			Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Foreign Currency			$	839		$	-	$	839

Financial Assets, Derivative Assets, and Collateral Held
As of December 31, 2014	(iii)		(iv)					(v) = (iii) - (iv)
			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received		Net Amount
HSBC Bank USA	$	839	$	(839	)	$	-	$	-

Offsetting of Financial Liabilities and Derivative Liabilities
As of December 31, 2014			(i)			(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Foreign Currency			$	10		$	-	$	10
Swaps				5,165			-		5,165

Total			$	5,175		$	-	$	5,175


Financial Liabilties, Derivative Liabilities, and Collateral Pledged
As of December 31, 2014	(iii)		(iv)					(v) = (iii) - (iv)
			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Liabilities in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Bank of America, N.A.	$	2,116	$	(1,821	)	$	-	$	295
Barclays Bank PLC		3,049		(2,787	)		-		261
HSBC Bank USA		10		(10	)		-		-

Total	$	5,175	$	(4,618	)	$	-	$	556


Long-Term Government Bond Portfolio
Offsetting of Financial Assets and Derivative Assets
As of December 31, 2014				(i)			(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Assets			Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Repurchase Agreements			$	5,900		$	-	$	5,900

Financial Assets, Derivative Assets, and Collateral Held
As of December 31, 2014	(iii)		(iv)					(v) = (iii) - (iv)
			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received		Net Amount
Morgan Stanley & Co. LLC	$	5,900	$	(5,900	)	$	-	$	-


208		Notes to Financial Statements

Notes to Financial Statements

Long-Term Government Bond Portfolio continued


Offsetting of Financial Liabilities and Derivative Liabilities
As of December 31, 2014				(i)			(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Financing Transactions			$	53,678		$	-	$	53,678

Financial Liabilties, Derivative Liabilities, and Collateral Pledged
As of December 31, 2014	(iii)		(iv)					(v) = (iii) - (iv)
			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Liabilities in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Barclays Capital, Inc.	$	6,248	$	(6,247	)	$	-	$	1
Credit Suisse Securities LLC		44,712		(44,711	)		-		1
Goldman Sachs & Co.		1,625		(1,625	)		-		-
Morgan Stanley & Co. LLC		1,093		(1,093	)		-		-

Total	$	53,678	$	(53,676	)	$	-	$	2

Multi-Sector Bond Portfolio


Offsetting of Financial Assets and Derivative Assets
As of December 31, 2014			(i)			(ii)			(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Assets			Gross Amounts Offset in the Statement of Assets and Liabilities			Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Foreign Currency			$	4,363		$	-		$	4,363
Swaps				917			-			917

Total			$	5,280		$	-		$	5,280


Financial Assets, Derivative Assets, and Collateral Held
As of December 31, 2014	(iii)		(iv)						(v) = (iii) - (iv)
			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Bank of America, N.A.	$	169	$	(85	)	$	-		$	84
Barclays Bank PLC		102		(102	)		-			-
BNP Paribas SA		704		(704	)		-			-
Citibank, N.A.		336		(336	)		-			-
Goldman Sachs International		3,235		(759	)		(2,476	)		-
JPMorgan Chase Bank, N.A.		524		(162	)		(180	)		182
UBS AG		210		(5	)		(205	)		-

Total	$	5,280	$	(2,153	)	$	(2,861	)	$	267


Offsetting of Financial Liabilities and Derivative Liabilities
As of December 31, 2014			(i)			(ii)			(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets and Liabilities			Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Foreign Currency			$	944		$	-		$	944
Swaps				2,064			-			2,064
Financing Transactions				7,343			-			7,343

Total			$	10,351		$	-		$	10,351


		Notes to Financial Statements			209

Notes to Financial Statements

Multi-Sector Bond Portfolio continued



Financial Liabilties, Derivative Liabilities, and Collateral Pledged
As of December 31, 2014	(iii)		(iv)					(v) = (iii) - (iv)
			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Liabilities in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Bank of America, N.A.	$	85	$	(85	)	$	-	$	-
Barclays Bank PLC		214		(102	)		-		113
BNP Paribas SA		812		(704	)		-		108
Citibank, N.A.		580		(336	)		-		244
Credit Suisse Securities, Ltd.		500		(489	)		-		11
Goldman Sachs International		759		(759	)		-		-
HSBC Bank USA		318		-			-		318
JPMorgan Chase Bank, N.A.		162		(162	)		-		-
Morgan Stanley Capital Services		68		-			-		68
Morgan Stanley & Co.		6,843		(6,840	)		-		3
Royal Bank of Canada		5		-			-		5
UBS AG		5		(5	)		-		-

Total	$	10,351	$	(9,482	)	$	-	$	869

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 Portfolio		0.20%
Index 400 Stock Portfolio		0.25%
Mid Cap Value Portfolio		0.85%
Small Cap Value Portfolio		0.85%
Money Market Portfolio		0.30%
Select Bond Portfolio		0.30%
Balanced Portfolio		0.30%

For the other Portfolios, the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:


Portfolio	First $50 Million		Next $50 Million		Excess Over $100 Million
Growth Stock Portfolio		0.60%		0.50%		0.40%
Large Cap Core Stock Portfolio		0.60%		0.50%		0.40%
Mid Cap Growth Stock Portfolio		0.80%		0.65%		0.50%
Small Cap Growth Stock Portfolio		0.80%		0.65%		0.50%
High Yield Bond Portfolio		0.60%		0.50%		0.40%

Portfolio	First $100 Million		Next $400 Million		Excess Over $500 Million
Focused Appreciation Portfolio		0.80%		0.75%		0.70%


210		Notes to Financial Statements

Notes to Financial Statements


Portfolio	First $100 Million		Next $150 Million		Excess Over $250 Million
Domestic Equity Portfolio		0.65%		0.55%		0.50%
Large Company Value Portfolio		0.72%		0.67%		0.62%
International Growth Portfolio		0.75%		0.65%		0.55%
Short-Term Bond Portfolio		0.35%		0.33%		0.30%
Long-Term U.S. Government Bond Portfolio		0.555%		0.515%		0.495%
Inflation Protection Portfolio		0.58%		0.55%		0.49%
Multi-Sector Bond Portfolio		0.79%		0.78%		0.77%
Asset Allocation Portfolio		0.60%		0.50%		0.40%

Portfolio	First $150 Million		Next $150 Million		Next $200 Million		Excess Over $500 Million
Large Cap Blend Portfolio		0.77%		0.70%		0.62%		0.56%
Research International Core Portfolio		0.88%		0.82%		0.75%		0.68%

Portfolio	First $500 Million		Excess Over $500 Million
Equity Income Portfolio		0.65%		0.60%

Portfolio	First $200 Million		Excess Over $200 Million
Index 600 Stock Portfolio		0.25%		0.20%

Portfolio	First $50 Million		Excess Over $50 Million
International Equity Portfolio		0.85%		0.65%

Portfolio	First $250 Million		Next $250 Million		Next $500 Million		Excess Over $1.0 Billion
Emerging Markets Equity Portfolio		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, acquired fund fees and expenses and extraordinary expenses) will not exceed the following amounts:


Portfolio			Expiration
Focused Appreciation Portfolio	0.90	%		April 30, 2015
Large Cap Blend Portfolio	0.85	%		April 30, 2015
Large Company Value Portfolio	0.80	%		April 30, 2015
Domestic Equity Portfolio	0.75	%		April 30, 2015
Equity Income Portfolio	0.75	%		April 30, 2015
Mid Cap Value Portfolio	1.00	%		April 30, 2015
Index 600 Stock Portfolio	0.35	%		April 30, 2015
Small Cap Value Portfolio	1.00	%		April 30, 2015
International Growth Portfolio	1.10	%		April 30, 2015
Research International Core Portfolio	1.15	%		April 30, 2015
Emerging Markets Equity Portfolio	1.50	%		April 30, 2015
Short-Term Bond Portfolio	0.45	%		April 30, 2015
Long-Term U.S. Government Bond Portfolio	0.65	%		April 30, 2015
Inflation Protection Portfolio	0.65	%		April 30, 2015
Multi-Sector Bond Portfolio	0.90	%		April 30, 2015
Asset Allocation Portfolio	0.75	%		April 30, 2015

Growth Stock Portfolio – MSA has agreed to waive a portion of its management fee on average net assets over $500 million such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $400 million and 0.35% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.


		Notes to Financial Statements			211

Notes to Financial Statements

Focused Appreciation Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.66% on the Portfolio’s first $100 million of average net assets, 0.61% on the next $400 million, and 0.60% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Large Cap Core Stock Portfolio — MSA has agreed to waive a portion of its management fee on average net assets over $500 million such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $400 million and 0.35% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Large Company Value Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.68% on the Portfolio’s first $100 million of average net assets, 0.65% on the next $150 million, and 0.59% on average net assets in excess of $250 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Mid Cap Growth Stock Portfolio — MSA has agreed to waive a portion of its management fee on average net assets over $500 million such that the management fee is 0.80% on the Portfolio’s first $50 million, 0.65% on the next $50 million, 0.50% on the next $400 million and 0.45% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Index 400 Stock Portfolio — MSA has agreed to waive a portion of its management fee on average net assets over $500 million such that the management fee is 0.25% on the Portfolio’s first $500 million and 0.20% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Mid Cap Value Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.79% on the Portfolio’s first $150 million of average net assets, and 0.70% in excess of $150 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Small Cap 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 0.80% on the Portfolio’s first $50 million of average net assets, 0.65% on the next $50 million, 0.50% on the next $400 million and 0.45% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

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 average net assets and 0.80% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

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 average net assets, 0.60% on the next $950 million, 0.58% on the next $500 million, 0.51% on the next $500 million, and 0.45% on average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Money Market Portfolio — For the period from January 1, 2014 to August 29, 2014, MSA voluntarily agreed to waive its entire management fee on a temporary basis. Effective August 30, 2014, and continuing for a period of time to be determined by MSA, MSA voluntarily agreed to waive its advisory fee and/or reimburse expenses in excess of the Portfolio’s daily yield so as to maintain a zero or positive yield for the Portfolio.

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 average net assets, 0.33% on the next $150 million, 0.30% on the next $250 million and 0.28% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Inflation Protection 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 average net assets, 0.50% on the next $150 million, and 0.46% on average net assets in excess of $250 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

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 average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million and 0.35% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2015.


212		Notes to Financial Statements

Notes to Financial Statements

Multi-Sector Bond Portfolio — Effective February 4, 2014, MSA agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $100 million of average net assets, 0.73% on the next $150 million, and 0.70% on average net assets in excess of $250 million. MSA may terminate this fee waiver agreement at any time after April 30, 2015.

Balanced Portfolio — MSA has agreed to waive a portion of its management fee such that its management fee on assets invested in affiliated companies is 0.05%. MSA may terminate this fee waiver agreement at any time after April 30, 2015. For the period from August 30, 2014 through October 31, 2014, MSA voluntarily agreed to waive its entire investment advisory fee on all assets of the Balanced Portfolio invested in the Select Bond and High Yield Bond Portfolios.

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 average net assets, 0.45% on the next $150 million, and 0.35% on average net 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 affiliated companies is 0.05%. MSA may terminate these fee waiver agreements at any time after April 30, 2015. For the period from August 30, 2014 through October 31, 2014, MSA voluntarily agreed to waive its entire investment advisory fee on all assets of the Asset Allocation Portfolio invested in the Select Bond and High Yield Bond Portfolios.

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, 2014, the amounts paid through expense offset arrangements were as follows:


Portfolio	Amount
Growth Stock Portfolio	$	2,710
Focused Appreciation Portfolio		2,929
Large Cap Core Stock Portfolio		147
Large Cap Blend Portfolio		1,799
Index 500 Stock Portfolio		1,224
Domestic Equity Portfolio		3,320
Equity Income Portfolio		150
Mid Cap Growth Stock Portfolio		7,584
Index 400 Stock Portfolio		822
Mid Cap Value Portfolio		2
Small Cap Growth Stock Portfolio		1,417
Index 600 Stock Portfolio		795
Small Cap Value Portfolio		380
Money Market Portfolio		522
Short-Term Bond Portfolio		1,726
Select Bond Portfolio		26,804
Long-Term U.S. Government Bond Portfolio		70
Inflation Protection Portfolio		9
High Yield Bond Portfolio		3,267
Balanced Portfolio		1,503
Asset Allocation Portfolio		1,316

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, passive foreign investment companies, interest only securities and financing transactions.


		Notes to Financial Statements			213

Notes to Financial Statements

It is the policy of the Portfolios to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the Statements of Assets and Liabilities. Permanent differences primarily relate to character differences with respect to income on swaps, foreign currency transactions, foreign bond sales, passive foreign investment companies and paydowns on structured product investments.

A summary of the Portfolios’ capital loss carryovers as of December 31, 2014 is provided below:


	Amount Subject to Expiration		Expiration Dates		Utilized in 2014		Amount Not Subject to Expiration
	(Amounts in Thousands)
Domestic Equity Portfolio	$	8,450		2017	$	23,363	$	-
International Growth Portfolio		7,111		2017		19,349		-
Emerging Markets Equity Portfolio		-		-		-		8,342
Money Market Portfolio		-		-		-		5
Short-Term Bond Portfolio		-		-		-		572
Select Bond Portfolio		-		-		20,629		-
Long-Term U.S. Government Bond Portfolio		-		-		484		1,011
Inflation Protection Portfolio		-		-		-		239
High Yield Bond Portfolio		28,315		2016-2017		-		2,477
Multi-Sector Bond Portfolio		-		-		943		-

Capital losses incurred during fiscal years after 2010 are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the first day of the next fiscal year and must be utilized prior to the losses incurred prior to 2011.

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, 2014 and 2013 was as follows:


	2014 Distributions Paid From:				2013 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain		Ordinary Income		Long-term Capital Gain
	(Amounts in Thousands)
Growth Stock Portfolio	$	27,171	$	60,242	$	5,017	$	52,317
Focused Appreciation Portfolio		131		67,736		2,567		-
Large Cap Core Stock Portfolio		17,975		39,484		5,721		-
Large Cap Blend Portfolio		106		5,976		5,447		1,060
Index 500 Stock Portfolio		38,463		25,764		37,227		37,550
Large Company Value Portfolio		-		9,080		2,362		2,653
Domestic Equity Portfolio		10,099		-		8,767		-
Equity Income Portfolio		11,149		19,806		7,946		-
Mid Cap Growth Stock Portfolio		57,787		153,067		3,093		39,484
Index 400 Stock Portfolio		8,640		27,745		8,276		16,978
Mid Cap Value Portfolio		18,475		17,632		2,886		1,673
Small Cap Growth Stock Portfolio		-		57,514		2,247		-
Index 600 Stock Portfolio		2,227		15,089		4,606		2,729
Small Cap Value Portfolio		2,436		14,253		5,874		2,384
International Growth Portfolio		5,721		-		5,267		-
Research International Core Portfolio		6,491		2,773		452		-
International Equity Portfolio		48,726		101,968		35,590		421
Emerging Markets Equity Portfolio		2,542		142		2,364		589
Money Market Portfolio		347		-		467		-
Short-Term Bond Portfolio		1,286		-		273		-
Select Bond Portfolio		36,871		-		62,323		4,531
Long-Term U.S. Government Bond Portfolio		2,087		-		209		15
Inflation Protection Portfolio		1,837		2,450		5,309		2,509
High Yield Bond Portfolio		27,964		-		27,656		-
Multi-Sector Bond Portfolio		13,804		-		16,562		1,400
Balanced Portfolio		111,042		132,396		78,038		93,484
Asset Allocation Portfolio		9,473		19,751		8,268		-


214		Notes to Financial Statements

Notes to Financial Statements

As of December 31, 2014, 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	$	20,753	$	49,004	$	-		$	196,561
Focused Appreciation Portfolio		6,918		75,590		-			132,283
Large Cap Core Stock Portfolio		11,360		8,027		-			111,105
Large Cap Blend Portfolio		3,963		6,208		-			28,489
Index 500 Stock Portfolio		41,699		40,759		-			1,092,717
Large Company Value Portfolio		7,419		11,909		-			28,133
Domestic Equity Portfolio		11,101		-		(8,450	)		161,594
Equity Income Portfolio		13,821		29,500		-			149,725
Mid Cap Growth Stock Portfolio		25,193		74,443		-			106,503
Index 400 Stock Portfolio		8,258		39,365		-			207,079
Mid Cap Value Portfolio		23,362		26,314		-			45,490
Small Cap Growth Stock Portfolio		12,131		14,877		-			90,925
Index 600 Stock Portfolio		-		349		-			19,563
Small Cap Value Portfolio		4,055		32,415		-			191,584
International Growth Portfolio		7,805		-		(7,111	)		7,333
Research International Core Portfolio		10,557		10,963		-			8,968
International Equity Portfolio		50,078		67,503		-			80,749
Emerging Markets Equity Portfolio		3,897		-		(8,342	)		(17,856	)
Money Market Portfolio		28		-		(5	)		-
Short-Term Bond Portfolio		1,717		-		(572	)		(46	)
Select Bond Portfolio		55,277		1,029		-			19,929
Long-Term U.S. Government Bond Portfolio		2,212		-		(1,011	)		3,867
Inflation Protection Portfolio		6,986		-		(239	)		(1,593	)
High Yield Bond Portfolio		32,590		-		(30,792	)		(6,983	)
Multi-Sector Bond Portfolio		35,421		4,734		-			(22,371	)
Balanced Portfolio		66,615		86,487		-			124,726
Asset Allocation Portfolio		6,708		11,422		-			17,774

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, 2014 and 2013 are summarized below:


Portfolio	2014 Reimbursements		2013 Reimbursements
International Growth Portfolio	$	401,626	$	370,045
International Equity Portfolio		3,145,179		1,797,491
Research International Core Portfolio		423,715		210,374
Emerging Markets Equity Portfolio		554,965		349,091

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.


		Notes to Financial Statements			215

Notes to Financial Statements

Note 11. Investment Income and Securities Transactions

For the period ended December 31, 2014, transactions in securities other than short term investments were:


Portfolios	Non U.S. Govt Security Purchases		U.S. Govt. Security Purchases		Non U.S. Govt. Security Sales/Maturities		U.S. Govt. Security Sales/Maturities
		(Amounts in Thousands)
Growth Stock Portfolio	$	361,057	$	-	$	385,259	$	-
Focused Appreciation Portfolio		382,563		-		349,479		-
Large Cap Core Stock Portfolio		32,362		-		47,336		-
Large Cap Blend Portfolio		39,354		-		39,995		-
Index 500 Stock Portfolio		58,700		-		95,279		-
Large Company Value Portfolio		100,261		-		98,738		-
Domestic Equity Portfolio		46,070		-		82,861		-
Equity Income Portfolio		151,244		-		90,570		-
Mid Cap Growth Stock Portfolio		853,386		-		915,984		-
Index 400 Stock Portfolio (a)		75,510		-		95,334		-
Mid Cap Value Portfolio		278,811		-		247,724		-
Small Cap Growth Stock Portfolio		137,387		-		168,282		-
Index 600 Stock Portfolio (b)		43,611		-		69,468		-
Small Cap Value Portfolio		94,240		-		90,528		-
International Growth Portfolio		308,451		-		274,099		-
Research International Core Portfolio (c)		189,592		-		110,052		-
International Equity Portfolio		423,730		-		298,882		-
Emerging Markets Equity Portfolio (d)		262,567		-		178,892		-
Short-Term Bond Portfolio		198,960		270,772		108,627		307,834
Select Bond Portfolio		7,649,350		92,344		6,400,255		92,339
Long-Term U.S. Government Bond Portfolio		2,164		112,380		665		113,910
Inflation Protection Portfolio		30,267		61,581		8,556		44,547
High Yield Bond Portfolio		765,449		-		541,705		-
Multi-Sector Bond Portfolio		361,114		39,536		255,433		31,301
Balanced Portfolio		1,549,518		848,341		1,242,276		1,128,347
Asset Allocation Portfolio		128,391		62,295		99,639		80,302

(a)	Includes $890 (in thousands) of purchases and $279 (in thousands) of sales directly with affliliates.

(b)	Includes $279 (in thousands) of purchases and $890 (in thousands) of sales directly with affliliates.

(c)	Includes $7 (in thousands) of sales directly with affliliates.

(d)	Includes $7 (in thousands) of purchases directly with affiliates.


216		Notes to Financial Statements

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, 2014 are as follows:


Portfolio	Value at 12/31/2013		Purchases			Sales		Value at 12/31/2014		Realized Gain (Loss)		Income Dividends		Capital Gain Distributions		% Ownership, 12/31/2014
								(Amounts in thousands)
Balanced
Growth Stock	$	147,712	$	15,655		$	-	$	161,042	$	-	$	911	$	14,743		18.2	%
Focused Appreciation		72,512		7,525			-		79,354		-		14		7,511		11.0	%
Large Cap Core Stock		68,283		7,512			-		74,132		-		1,072		6,440		13.3	%
Large Cap Blend		68,539		2,772			-		77,159		-		27		2,745		46.2	%
Large Company Value		68,288		3,677			-		77,186		-		-		3,677		40.4	%
Domestic Equity		69,144		1,263			-		78,737		-		1,263		-		12.7	%
Equity Income		68,513		2,985			-		73,605		-		880		2,105		9.4	%
Mid Cap Growth Stock		93,952		24,463			-		107,037		-		348		19,115		9.7	%
Mid Cap Value		93,373		11,109			3,400		107,357		474		1,008		8,501		25.1	%
Small Cap Growth Stock		33,065		3,789			2,000		33,903		230		-		3,789		6.4	%
Small Cap Value		31,892		2,922			-		33,997		-		112		810		5.8	%
Research International Core		159,107		3,233			-		148,426		-		2,265		968		32.5	%
International Equity		71,464		6,082			-		65,172		-		1,344		4,738		4.0	%
Emerging Markets Equity		19,638		67			9,000		9,498		424		63		4		2.3	%
Select Bond		-		962,493	(a)		51,500		919,300		326		-		-		32.3	%
High Yield Bond		-		138,167	(a)		7,000		126,491		114		-		-		18.0	%

	$	1,065,482	$	1,193,714		$	72,900	$	2,172,396	$	1,568	$	9,307	$	75,146

Asset Allocation
Growth Stock	$	20,072	$	2,127		$	-	$	21,884	$	-	$	124	$	2,003		2.5	%
Focused Appreciation		9,850		1,022			-		10,779		-		2		1,020		1.5	%
Large Cap Core Stock		10,436		1,148			-		11,329		-		164		984		2.0	%
Large Cap Blend		10,476		424			-		11,794		-		4		420		7.1	%
Large Company Value		9,280		500			-		10,489		-		-		500		5.5	%
Domestic Equity		9,396		172			-		10,700		-		172		-		1.7	%
Equity Income		9,309		406			-		10,001		-		120		286		1.3	%
Mid Cap Growth Stock		12,467		3,520			-		14,450		-		47		2,573		1.3	%
Mid Cap Value		12,394		1,681			500		14,415		70		136		1,145		3.4	%
Small Cap Growth Stock		5,950		682			400		6,060		46		-		682		1.1	%
Small Cap Value		5,739		566			-		6,159		-		20		146		1.1	%
Research International Core		24,120		490			-		22,501		-		343		147		4.9	%
International Equity		10,840		923			-		9,885		-		204		719		0.6	%
Emerging Markets Equity		2,728		11			1,000		1,568		65		10		1		0.4	%
Select Bond		-		62,181	(a)		4,100		58,616		26		-		-		2.1	%
High Yield Bond		-		19,495	(a)		-		18,817		-		-		-		2.7	%

	$	153,057	$	95,348		$	6,000	$	239,446	$	207	$	1,346	$	10,626

(a)	Purchase was made by contributing securities to the affiliated portfolio on August 29, 2014.

Note 12. 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”) 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. One of the lawsuits has been dismissed and is on appeal, and the remaining lawsuits are in the pleadings stage. 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, 2014, were: Index 400 Stock Portfolio $5,600,000 (0.86% of net assets); Index 500 Stock Portfolio $977,000 (0.05% of net assets); Small Cap Value Portfolio $618,000 (0.11% of net assets); and Equity Income Portfolio $2,873,000 (0.37% of net assets).


		Notes to Financial Statements			217

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 operations, of changes in net assets, and 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, Balanced Portfolio and Asset Allocation Portfolio (constituting Northwestern Mutual Series Fund, Inc., hereafter referred to as the “Fund”) at December 31, 2014, 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 the Long-Term U.S. Government Bond Portfolio for the year then ended and the financial highlights for each of the five years in the period then ended, 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, 2014 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion.

LOGO

Milwaukee, WI

February 26, 2015


218		Report of Independent Registered Public Accounting Firm

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.


		Proxy Voting and Portfolio Holdings			219

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, 2014. Each director (whenever elected) shall hold office until the next annual meeting of shareholders and until his or her successor is elected and qualifies or until his or her earlier death, resignation or removal. A director shall retire at the end of the calendar year in which the first of the two events occurs: (i) he or she attains the age of seventy-three (73), or (ii) he or she has served a term or successive terms totaling thirteen (13) years, commencing on the date of his or her election or appointment to the Board. The statement of additional information contains additional information about Series Fund directors and is available without charge, upon request, by calling 1-888-455-2232.

Independent Directors


Name, Address, and 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	27	Trustee of The Ivy Family of Funds (2 registered investment companies – 35 portfolios), Director of the DBX 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	27	Director of Wasatch Funds, Inc. (20 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	27	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	27	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.


220		Director and Officer Information

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	27	Director of Artisan Funds, Inc. (13 portfolios)

Principal Occupation During Past 5 Years: Since February 2011, Senior Vice President and 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

R. David Ells 720 East Wisconsin Avenue Milwaukee, WI 53202 1968	Chairman of the Board	Since 2013	27	None

Principal Occupation During Past 5 Years: Since February 2013, Vice President of Northwestern Mutual and head of

Northwestern Mutual’s Investment Strategy Department. Prior thereto, Managing Director of Mason Street Advisors, LLC

(MSA) from 2010 to February 2013 and Director of MSA from 2004 to 2010.

Northwestern Mutual Series Fund, Inc.

Executive Officers


Name, Address, and Year of Birth	Position	Length of Time Served

Kate M. Fleming 720 East Wisconsin Avenue Milwaukee, WI 53202 1962	President	Since 2013

Principal Occupation During Past 5 Years: Vice President – Operations since 2004 and Treasurer since 2008 of Mason Street

Advisors, LLC. Effective January 1, 2015, President of Mason Street Advisors, LLC.

John C. Kelly
720 East Wisconsin Avenue
Milwaukee, WI 53202

1959

Vice President;
Chief Financial Officer & Treasurer

Since 2014

Principal Occupation During Past 5 Years: Vice President and Controller of Northwestern Mutual since 2004.



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.


		Director and Officer Information			221

Director and Officer Information (Unaudited)


Name, Address, and Year of Birth	Position	Length of Time Served

Randy M. Pavlick 720 East Wisconsin Avenue Milwaukee, WI 53202 1959	Chief Compliance Officer	Since 2014

Principal Occupation During Past 5 Years: Chief Compliance Officer of Mason Street Advisors, LLC since 2014; from

2004 to 2014, Assistant General Counsel of Northwestern Mutual, Secretary of the Fund and Assistant Secretary of Mason Street Advisors, LLC.

Leslie H. McLinden
720 East Wisconsin Avenue
Milwaukee, WI 53202

1962

Secretary

Since 2014

Principal Occupation During Past 5 Years: Assistant General Counsel of Northwestern Mutual since 2007, Secretary of the

Fund and Assistant Secretary of Mason Street Advisors, LLC, each since 2014.


222		Director and Officer Information

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 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, 2014

At its August 6, 2014 meeting, the Board, including the directors who are not “interested persons” (as that term is defined in the 1940 Act) of the Series Fund or Mason Street Advisors (“Independent Directors”), unanimously approved Investment Sub-Advisory Agreements between Mason Street Advisors and (1) Wells Capital Management, Inc. (“WellsCap”) relating to the Series Fund’s Select Bond Portfolio, (2) Federated Investment Management Company (“Federated”) relating to the Series Fund’s High Yield Bond Portfolio, (3) T. Rowe Price Associates, Inc. (“T. Rowe Price”) relating to the Series Fund’s Short-Term Bond Portfolio, and (4) BlackRock Advisors, LLC (“BlackRock”) relating to the Series Fund’s Money Market Portfolio (each, a “New Sub-Advisory Agreement” and collectively, the “New Sub-Advisory Agreements”). WellsCap, Federated, BlackRock and T. Rowe Price (with respect to the Short-Term Bond Portfolio) are sometimes collectively referred to hereinafter as the “New Sub-Advisers.”

Also at its August 6, 2014 meeting, the Board, including the Independent Directors), unanimously approved the continuance of (1) the Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and American Century Investment Management, Inc. (“ACI”) relating to the Series Fund’s Large Company Value, Inflation Protection and Mid Cap Value Portfolios and (2) the Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Delaware Investments Fund Advisers, a series of Delaware Management Business Trust (“Delaware”) relating to the Series Fund’s Domestic Equity Portfolio. The Series Fund Board, including the Independent Directors, also unanimously approved the continuance, subject to the limitations discussed below, of the Second 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 and International Growth Portfolios. At its November 20, 2014 meeting, the 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 relating to the Series Fund’s Small Cap Value and Equity Income Portfolios and (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 and Multi-Sector Bond Portfolios. Janus, ACI, Delaware, PIMCO and T. Rowe Price (with respect to the Equity Income and Small Cap Value Portfolios) are sometimes collectively referred to hereinafter as the “Existing 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 the Existing Sub-Advisers are collectively referred to herein as the “Existing Sub-Advisory Agreements.”

In determining whether to approve the New Sub-Advisory Agreements and 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, the New Sub-Advisers and the Existing Sub-Advisers in advance of each meeting to assist them in their evaluation, including information compiled by certain independent providers of evaluative data. With respect to the continuation of the Existing Sub-Advisory Agreements, while particular focus was given to an evaluation of the services, performance, fees, costs, and certain other relevant information under such Existing Sub-Advisory Agreements at the meeting at which their continuation is formally considered, the evaluation process with respect to the Existing Sub-Advisers and the nature, extent and quality of the


Approval and Continuance of Investment Sub-Advisory Agreements		223

Approval and Continuance of Investment

Sub-Advisory Agreements

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 the 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 approval of the New Sub-Advisory Agreements and the continuance of the Existing Sub-Advisory Agreements, and summarizing the legal standards governing the review and approval of these Agreements. The Independent Directors reviewed these standards with their counsel during the course of the meetings, including how these standards should be applied to the review of information relating to 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 Existing and New Sub-Advisers present, and were represented throughout the process by legal counsel.

Continuation of Existing Sub-Advisory Agreements

At its August 6, 2014 and November 20, 2014 meetings, the Series Fund Board, including the Independent Directors, unanimously approved the continuance of the Existing Sub-Advisory Agreements with respect to the Sub-Advised Portfolios. At the August 6, 2014 and November 20, 2014 meetings, the directors received a presentation from representatives of each Existing Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about the Existing Sub-Advisers during the course of the August 6, 2014 and November 20, 2014 meetings, the directors also had available for consideration each Existing Sub-Adviser’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from the Existing Sub-Advisers designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Existing Sub-Advisory Agreements. The directors also had available Mason Street Advisors’ Executive Summary and Overview regarding each of the Existing 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 Existing Sub-Advisers’ responses to the compliance questions contained in each of the Existing Sub-Adviser’s Section 15(c) Report and the observations of the Series Fund’s Chief Compliance Officer regarding the compliance structure and practices of each of the Existing Sub-Advisers. In addition to the information provided to them at the meetings by Mason Street Advisors and the Existing Sub-Advisers, the directors considered their experience with and knowledge of the nature and quality of the services provided by the Existing Sub-Advisers and their discussions with representatives of Mason Street Advisors, its affiliates and each Existing Sub-Adviser.

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 Existing Sub-Advised Portfolio include those discussed below. 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.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of each Existing Sub-Adviser’s services, factors considered by the directors included the Existing Sub-Adviser’s overall business, organization and management structure. The directors also reviewed information provided by each Existing Sub-Adviser with respect to its financial condition and assets under management. Included in the directors’ consideration was an evaluation of the services provided by each Existing Sub-Adviser and the tenure and experience of the Existing Sub-Adviser’s investment personnel in general and the experience of the portfolio managers of each of the Sub-Advised Portfolios in particular, as well as changes in key personnel. In particular, the Board considered T. Rowe Price’s smooth transition to a new portfolio manager for the Small Cap Value Portfolio. The Board also considered T. Rowe Price’s succession plans with respect to the management of the Equity Income Portfolio in light of the upcoming retirement of the portfolio manager as well as the experience and qualifications of the retiring portfolio manager’s successor and his familiarity with the mandate. The Board noted favorably T. Rowe Price as an organization and its culture and the Series Fund’s long relationship with T. Rowe Price. The directors also considered each Existing Sub-Adviser’s investment philosophy and process and the scope of services provided by the Existing Sub-Advisers, and concluded that generally there had been no changes in the level of service provided. The directors considered information provided by ACI regarding the departure of a mid-cap analyst as well as ACI’s statement that the departure would not impact the services provided to the Mid Cap Value Portfolio. The directors also considered the investment strategies employed by the


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Existing Sub-Advisers with respect to the Sub-Advised Portfolios, and in particular noted favorably the low portfolio turnover rate that resulted from Delaware’s investment strategy. Consideration was also given to each Existing Sub-Adviser’s reputation and experience in providing investment management services and the performance of each Sub-Advised Portfolio. Additionally, the directors considered other recent organizational and firm developments. In particular, the Board considered favorably the clarity of PIMCO’s presentation regarding internal changes at PIMCO and discussed positive developments as a result, including the return of certain investment personnel. The directors also considered that recent outflows at PIMCO were primarily related to strategies different from those used to manage the Long-Term U.S. Government and Multi-Sector Bond Portfolios.

Based on their review of these factors, their discussions with the Existing Sub-Advisers and their experience with the services provided by the Existing Sub-Advisers for the respective Sub-Advised Portfolios, other than as discussed below with respect to Janus under “Investment Performance”, 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 Existing Sub-Adviser on behalf of the respective Sub-Advised Portfolio, and the resources committed by each Existing Sub-Adviser in providing those services.

Investment Performance. The directors reviewed the investment performance of each Existing Sub-Advised Portfolio over a variety of time periods. In addition to absolute performance and risk adjusted performance for each Existing Sub-Advised Portfolio for both short and long-term periods, the directors considered (i) a comparison of each Existing 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 Existing 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 Existing 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 Existing Sub-Advisers, where available, and information from the Existing 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.

With respect to the Portfolios sub-advised by ACI, the directors considered favorably the improved performance of the Large Cap Value Portfolio and the consistent performance of the Mid Cap Value and Inflation Protection Portfolios. With respect to the Domestic Equity Portfolio, the directors noted the strong performance under Delaware’s tenure as sub-adviser, as well as the low turnover rate that resulted from Delaware’s investment strategy. The directors also acknowledged the improved performance of the International Growth Portfolio. With respect to the Equity Income Portfolio and the Small Cap Value Portfolio, the Board acknowledged T. Rowe Price’s near-term underperformance but considered the Portfolio’s stronger long-term performance and expressed confidence in T. Rowe Price’s resources and ability as a firm, and their capability to improve performance going forward. With respect to the Portfolios sub-advised by PIMCO, the Board was satisfied with PIMCO’s performance in light of the recent major internal changes at the firm. With respect to the Board’s consideration of the continuation of the Existing Sub-Advisory Agreement with Janus relating to the Focused Appreciation, the Board considered the Portfolio’s lagging performance over a variety of periods, the frequent portfolio manager and investment process changes that the Portfolio had experienced during that time, as well as the investment style employed by the current portfolio manager. The Board expressed concern that Janus’ approach to improving the Portfolio’s performance was not likely to be successful. The Board also considered changes that had occurred at the management level of Janus and the potential impact of those changes on further service levels to the Portfolios sub-advised by Janus. Based on the foregoing considerations, the Board concluded that the Existing Sub-Advisory Agreement with Janus relating to the Focused Appreciation Portfolio should be continued only until such time as an orderly transition to a new sub-adviser could be accomplished.

The Board concluded that, in the totality of the circumstances and within the context of its overall determinations regarding the Existing Sub-Advisory Agreements, except as stated above with respect to Janus, 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.


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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 paid by Mason Street Advisers out of its management fee, including a comparison of those fees with fees charged by the Existing 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 and/or advisory fee waivers agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio.

As part of their evaluation, the directors received and reviewed an independent analysis prepared by Lipper of comparative expense and performance data for each Sub-Advised Portfolio. Lipper provided data comparing each Portfolio’s net and total expenses and actual and contractual management 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 expense ratio and management expenses. The directors noted that five of the ten Sub-Advised Portfolios were in the top two Lipper quartiles (meaning lowest expenses) of their respective peer universe for total expenses, for the period ended December 31, 2013. With respect to the Portfolios in Lipper’s third and fourth quartiles with respect to total expenses, the directors considered the nature of the expenses that had contributed to the total operating expenses and that an expense cap agreement was in place for each such Portfolio.

In evaluating the management fees paid by each Sub-Advised Portfolio on a stand-alone basis, and the fact that six of the Sub-Advised Portfolios were ranked in Lipper’s third or fourth quartile for actual management fees within their respective peer universe for the period ended December 31, 2013, the Board took into consideration that the management fees compensated Mason Street Advisors for a broader range of services than would often be the case under a typical investment management contract, in that Mason Street Advisors and its affiliates provided certain other administrative services necessary for the operation of the Sub-Advised Portfolios and the servicing of the Series Fund’s investors, including mutual fund accounting, legal and middle and back office investment operations services, corporate and regulatory reporting, service provider oversight and overall risk management. The directors concluded that as a result of these additional services, a comparison of Mason Street Advisors’ management fees to Lipper averages might not provide a complete frame of reference.

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.

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. 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 Existing Sub-Advisers. The directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as the Existing 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 Existing 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 the Sub-Advisers’ soft dollar arrangements and any other benefits to the Existing Sub-Advisers arising from their relationships with the Sub-Advised Portfolios.


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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 Existing Sub-Advisers due to their relationships with the Sub-Advised Portfolios, were not excessive.

Economies 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 all but two of the advisory fee schedules 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 two Sub-Advised Portfolios for which breakpoints had not been established, the directors considered the investment advisory fee waiver agreement in place with respect to each such Portfolio which contained breakpoints as well as the expense limitation agreement that was in place with respect to each such Portfolio. The Board also acknowledged Mason Street Advisors’ ongoing efforts to seek fee concessions from each Existing Sub-Adviser, in particular with respect to the Multi-Sector Bond Portfolio, and the fee waiver agreement for the Multi-Sector Bond Portfolio that was put in place earlier in the year. 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 Existing Sub-Advisers, recent compliance exceptions noted, pending or recent litigation or regulatory actions to which a Existing Sub-Adviser or its affiliates may have been a party, and the applicable Existing Sub-Adviser’s response. Also considered were key affiliations and business relationships between the Existing Sub-Advisers and their affiliates and Mason Street Advisors’ parent company and its affiliates. Their review further included information relating to each Existing Sub-Adviser’s risk management infrastructure, information regarding portfolio manager compensation, brokerage and proxy voting practices, codes of ethics, business continuity and other matters.

Approval of New Investment Sub-Advisory Agreements

At its August 6, 2014 meetings, the Board, including the Independent Directors, unanimously approved each of the New Sub-Advisory Agreements between Mason Street Advisors and the New Sub-Advisers, pursuant to which, respectively, WellsCap was appointed to serve as the sub-adviser for the Select Bond Portfolio, Federated was appointed to serve as the sub-adviser for the High Yield Bond Portfolio, T. Rowe Price was appointed to serve as the sub-adviser for the Short-Term Bond Portfolio and BlackRock was appointed to serve as the sub-adviser for the Money Market Portfolio, beginning October 31, 2014. Prior to that time, Mason Street Advisors managed the assets of each such Portfolio.

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. In addition to the information provided to them in anticipation of and at the February 20, 2014, May 16, 2014 and August 5-6, 2014 meetings, the directors considered the in-person presentation from the New Sub-Advisers at the meeting on August 5-6, 2014, and the New Sub-Advisers’ responses to the directors’ questions during the meeting. The in-person presentation with the New Sub-Advisers and the other candidates considered by the Board were the culmination of an extensive process that began a number of months prior to the meeting at which the New Sub-Advisers were selected with the creation of a significant universe of prospects that all of the directors narrowed down over several meetings and a number of months to 2-3 finalists per mandate. The screening criteria used to select potential candidates for the mandate was extensive. In addition to the analysis and information compiled by Mason Street Advisors and presented at the Board’s meetings in February and May, the directors considered a detailed analysis conducted by Mason Street Advisors and provided to the directors at the August Board meeting. The analysis was designed to facilitate the Board’s review of the


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substantial amount of material that was available, and was based on Mason Street Advisor’s due diligence visits and interviews of, and review of the detailed information provided by, the candidates. Among other factors, the Board considered details of each candidate’s investment performance and risk/return profiles over various time periods, peer group ratings and rankings, representative holdings, key points of differentiation and competitive advantages, portfolio characteristics, mandate assets under management, investment personnel, process and strategies, proposed sub-advisory fees and breakpoints, the impact on Mason Street Advisors’ profitability, and other operational and enterprise issues. Also available for the directors’ consideration was Portfolio information regularly provided at Board meetings, including net expense ratio information, certain comparative peer group data, and other Portfolio information.

Also considered were reports received from Mason Street Advisors regarding its due diligence visits with each candidate, including the New Sub-Advisers. The due diligence reports were based on the candidate’s responses to the requests for proposals as well as interviews with compliance and/or legal representatives of each candidate. The proposals included information about each candidate’s compliance structure, compliance policies and procedures, trade execution practices and receipt of research or other benefits, trading policies and procedures, codes of ethics and proxy voting procedures, recent SEC exams, pricing practices, derivatives practices, to the extent applicable, information about material business relationships with Northwestern Mutual, if any, and other matters. The directors also had available for consideration each candidate’s responses to the investment, compliance and operations requests for proposals. In addition to written materials, the directors considered in-person interviews with each candidate to have been of particular assistance in gaining an understanding of the candidates’ investment philosophies and portfolio construction processes. 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 WellsCap with respect to the Select Bond Portfolio, Federated with respect to the High Yield Bond Portfolio, T. Rowe with respect to the Short-Term Bond Portfolio, and BlackRock with respect to the Money Market Portfolio. The directors considered the extensive process followed to identify potential sub-advisers for each Portfolio, as well as observations and analysis of the candidates provided by Mason Street Advisors. The directors also considered the breadth and depth of experience of the New Sub-Advisers in managing accounts, including accounts for other mutual funds, using similar investment strategies. The directors’ consideration included information about each of the New Sub-Adviser’s organization and ownership structure, and the tenure, experience and performance of the firm’s investment management team. In addition, the directors considered the in-person presentation by the New Sub-Advisers, including the firm’s description of its investment process.

In particular, with respect to WellsCap, the directors considered whether the various investment strategies employed by the candidates for the Select Bond Portfolio’s mandate were consistent with the current core investment strategy of the Portfolio. The directors noted that while each of the potential sub-advisers were strong candidates, each employed a different strategy. The Board considered favorably WellsCap’s consistent and straight-forward investment process and long-tenured investment management team. Some concern was also expressed over the apparent reliance by one candidate on a single, long tenured manager for the mandate. The relative sizes of the candidates’ respective mandates was specifically considered by the directors, including possibly that mandate size might impact liquidity and portfolio turnover. While the directors considered the investment strategy employed by WellsCap to be most favorable compared to the other candidates, they noted and discussed the elevated portfolio turnover rate that the strategy seemed to produce and weighed that factor against other factors, such as performance.

With respect to Federated, the directors considered Federated and another candidate for the High Yield Bond Portfolio to be particularly strong and noted that their respective investment styles shared a number of similar qualities. However, the directors observed the particularly strong fundamental research aspect of Federated’s investment strategy and noted the mandate’s high Morningstar ranking. The relative merits of each candidate’s investment personnel were also discussed. The directors considered Federated’s strong investment team and also observed that Federated had a strong transition plan in place with respect to its portfolio management team. The directors also considered the role of the high yield mandate within Northwestern Mutual’s asset allocation models in evaluating the candidates.

With respect to T. Rowe Price, the directors compared and contrasted the investment strategies employed by T. Rowe Price and the other candidate, and considered information about each candidate’s standard deviation, beta and duration contained in the materials. It was observed that the investment parameters employed by T. Rowe Price most closely resembled those currently in place for the Portfolio. The directors observed that consistency of performance and protection of principal were particularly important for this Portfolio, and concluded that T. Rowe Price’s strategy was more likely to result in consistent performance with lower volatility. The directors also commented favorably on the amount invested by T. Rowe Price’s portfolio managers in its mandate.


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With respect to BlackRock, the directors viewed favorably the depth of BlackRock’s credit research capabilities and the strength of its compliance function and, particularly, its use of internally developed infrastructure and systems. In addition, the directors considered favorably BlackRock’s expressed willingness to support the Series Fund’s extensive pricing efforts and its robust stress testing procedures. The directors considered and discussed concerns they had with the other candidate based on the candidate’s recent presentation to the Board and certain directors’ past experience with the candidate.

Finally, the directors took into consideration each of the New Sub-Adviser’s general reputation and the resources available to be committed in managing the respective Portfolio, and in particular with respect to the Money Market Portfolio, BlackRock’s commitment to the money market fund product line. 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 the services to be provided by the New Sub-Advisers with respect to the Portfolios, and the resources to be committed by each New Sub-Adviser in providing such services.

Investment Performance. Because the New Sub-Advisers are newly appointed sub-advisers, the directors, at the meeting, could not consider the New Sub-Advisers’ respective investment performance in managing the Portfolios as a factor in evaluating the New Sub-Advisory Agreements. However, the directors considered each New Sub-Adviser’s performance record for a composite of other accounts, including mutual fund accounts, with investment objectives, investment policies and investment strategies substantially similar to the Portfolio to be managed by the New Sub-Adviser. The directors considered absolute performance and risk adjusted performance (based on, among other things, standard deviation, information ratio and tracking errors) for these similar accounts for both short and long-term periods. The directors also evaluated the similar accounts’ relative performance versus the appropriate index and considered independent Morningstar rankings and ratings of the candidates to provide an objective comparative benchmark against which they could assess the experience and ability of the candidates in managing similar accounts. The directors also took into consideration information presented to them regarding the composition of porfolios managed by the candidates in a similar mandate, including (as applicable) sector and industry allocation, portfolio turnover, maturity, duration, credit quality, weighted average maturity and weighted average life, among other things.

With respect to the consideration of candidates for the Select Bond Portfolio, the directors noted favorably the consistency of WellsCap’s long term performance in contrast to the performance volatility of other candidates. With respect to the consideration of candidates for the High Yield Bond Portfolio, the directors observed that Federated and one of the other candidates experienced a negative information ratio over the longer term, but observed that Federated’s strategy appeared to provide superior protection in down markets. With respect to another candidate for the High Yield Bond Portfolio, the directors noted that candidate’s mandate had higher beta and performance volatility as compared to Federated. With respect to the consideration of candidates for the Short-Term Bond Portfolio, the directors considered at length the performance of T. Rowe Price and the other candidate, focusing in particular on performance during the 2008-2009 period and what under- or over-performance during that period suggested about each candidate’s strategy. The directors noted that while the other candidate achieved strong performance results, a portion of its performance was achieved through investments in lower rated securities. The directors expressed concern about the additional risk and volatility that could result from that strategy, particularly for a short-term fund. They viewed more favorably the consistent performance with lower volatility that would likely result from T. Rowe Price’s strategy. With respect to the consideration of candidates for the Money Market Portfolio, while the directors considered the performance information provided throughout the selection process, they focused more heavily on the candidates’ respective investment processes and other services in light of the nature of money market portfolios in the current economic environment.

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 each Portfolio, the directors considered the contractual fees and applicable breakpoints, if any, paid by the Portfolio under the Advisory Agreement between Mason Street Advisors and the Series Fund with respect to the Portfolios. The directors also considered the sub-advisory fees and applicable breakpoints to be paid by Mason Street Advisors to each New Sub-Adviser out of its management fee. The directors also separately considered the proposed 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 the New Sub-Adviser as a sub-advisory fee). They determined that the allocation was reasonable in light of the nature, scope and quality of services to be provided and was the product of an arm’s length negotiation between Mason Street Advisors and each New Sub-Adviser.


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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, generally, had investment objectives and policies different than those of the Portfolio.

In considering the level of management fees, the directors also considered the structure, size, and total operating expenses of each Portfolio. With respect to the Money Market, Short-Term Bond and High Yield Bond Portfolios, the directors also considered the existing fee waiver arrangements in place for each such Portfolio as well as the expense limitation agreement in place for the Short-Term Bond Portfolio. With respect to the Select Bond Portfolio, the directors considered information about how the Portfolio’s expenses compared to the range of Lipper expense breakpoint levels. Based on their review of the management and other expenses, 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 the services to be provided.

Costs and Profitability. The directors also considered Mason Street Advisors’ pricing methodology for its services as investment adviser for the products of which the Portfolios were an investment option. 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 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 considered whether each Portfolio’s expense structure permitted economies of scale to be shared with the Portfolio’s investors. They also took into consideration the total assets and expense ratios of each Portfolio. With respect to the Select Bond Portfolio in particular, information provided to the directors showed that the Portfolio’s total expenses are close to the lowest relative to the total expenses of the Portfolio’s peer group as determined by Lipper. With respect to the Short-Term Bond and High Yield Bond Portfolios, the directors considered the breakpoints contained in the fee schedules for each Portfolio and the extent to which those Portfolios may benefit from economies of scale through those breakpoints. The directors also considered the fee waiver agreements in place for the Short-Term Bond, High Yield Bond, and Money Market Portfolios, as well as the expense limitation agreement in place for the Short-Term Bond Portfolio. Based on this information, the Board concluded that each Portfolio’s fee structure reflected appropriate economies of scale between the 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 regarding each New Sub-Adviser’s risk management structure, any pending or recent litigation or regulatory actions to which the New Sub-Adviser or its affiliates may have been a party, and responses to those actions. The directors also received information regarding business continuity and portfolio manager compensation.

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 Select Bond Portfolio to approve the New Sub-Advisory Agreement between Mason Street Advisors and WellsCap, it was in the best interest of the High Yield Bond Portfolio to approve the New Sub-Advisory Agreement between Mason Street Advisors and Federated, it was in the best interest of the Short-Term Bond Portfolio to approve the New Sub-Advisory Agreement between Mason Street Advisors and T. Rowe Price, and it was in the best interest of the Money Market Portfolio to approve the New Sub-Advisory Agreement between Mason Street Advisors and BlackRock.


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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

	2013		2014
	$	661,770	$	688,000

(b) Audit Related Fees

Audit-Related Fees and Expenses of Registrant

	2013		2014
	$	0	$	0

(c) Tax Fees

	2013		2014
	$	82,965	$	75,955

Review of dividend declarations
Review of excise tax calculations
Non-U.S. tax compliance

(d) All Other Fees

	2013		2014
	$	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

	2013		2014
	$	193,305	$	145,105

(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/ Kate M. Fleming
		Kate M. Fleming, President

Date: February 17, 2015



By:		/s/ John C. Kelly
		John C. Kelly, Vice-President,
		Chief Financial Officer and
		Treasurer

Date: February 17, 2015

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