Northwestern Mutual Series Fund N-CSRS Certified semi-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)

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

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2023

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.

REPORT ON FORM N-CSR

RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.

Item 1. Reports to Stockholders

(a) The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

Semi-Annual Report June 30, 2023

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering 27 Portfolios

● Growth Stock Portfolio	● International Growth Portfolio
● Focused Appreciation Portfolio	● Research International Core Portfolio
● Large Cap Core Stock Portfolio	● International Equity Portfolio
● Large Cap Blend Portfolio	● Emerging Markets Equity Portfolio
● Index 500 Stock Portfolio	● Government Money Market Portfolio
● Large Company Value Portfolio	● Short-Term Bond Portfolio
● Domestic Equity Portfolio	● Select Bond Portfolio
● Equity Income Portfolio	● Long-Term U.S. Government Bond Portfolio
● Mid Cap Growth Stock Portfolio	● Inflation Protection Portfolio
● Index 400 Stock Portfolio	● High Yield Bond Portfolio
● Mid Cap Value Portfolio	● Multi-Sector Bond Portfolio
● Small Cap Growth Stock Portfolio	● Balanced Portfolio
● Index 600 Stock Portfolio	● Asset Allocation Portfolio
● Small Cap Value Portfolio

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

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

Northwestern Mutual Series Fund, Inc.

Table of Contents

Expense Examples	1
Series Fund Overviews and Schedules of Investments:
Growth Stock Portfolio	4
Focused Appreciation Portfolio	7
Large Cap Core Stock Portfolio	9
Large Cap Blend Portfolio	13
Index 500 Stock Portfolio	15
Large Company Value Portfolio	22
Domestic Equity Portfolio	26
Equity Income Portfolio	28
Mid Cap Growth Stock Portfolio	31
Index 400 Stock Portfolio	34
Mid Cap Value Portfolio	40
Small Cap Growth Stock Portfolio	44
Index 600 Stock Portfolio	48
Small Cap Value Portfolio	56
International Growth Portfolio	60
Research International Core Portfolio	63
International Equity Portfolio	67
Emerging Markets Equity Portfolio	72
Government Money Market Portfolio	76
Short-Term Bond Portfolio	80
Select Bond Portfolio	98
Long-Term U.S. Government Bond Portfolio	115
Inflation Protection Portfolio	120
High Yield Bond Portfolio	127
Multi-Sector Bond Portfolio	137
Balanced Portfolio	159
Asset Allocation Portfolio	162
Statements of Assets and Liabilities	165
Statements of Operations	171
Statements of Changes in Net Assets	177
Statement of Cash Flows	186
Financial Highlights	188
Notes to Financial Statements	195
Abbreviations	218
Proxy Voting and Portfolio Holdings	219
Statement Regarding Liquidity Risk Management Program	220
Approval and Continuance of Investment Advisory and Sub-Advisory Agreements	222

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 (January 1, 2023 to June 30, 2023).

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 January 1, 2023		Ending Account Value June 30, 2023		Expenses Paid During Period January 1, 2023 to June 30, 2023*		Annualized Expense Ratio
Growth Stock Portfolio
Actual		$1,000.00		$1,347.04		$2.50		0.43	%
Hypothetical (5% return before expenses)		1,000.00		1,022.66		2.16		0.43
Focused Appreciation Portfolio
Actual		1,000.00		1,373.85		3.65		0.62
Hypothetical (5% return before expenses)		1,000.00		1,021.72		3.11		0.62
Large Cap Core Stock Portfolio
Actual		1,000.00		1,157.42		2.35		0.44
Hypothetical (5% return before expenses)		1,000.00		1,022.61		2.21		0.44
Large Cap Blend Portfolio
Actual		1,000.00		1,095.28		3.90		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.08		3.76		0.75
Index 500 Stock Portfolio
Actual		1,000.00		1,167.71		1.07		0.20
Hypothetical (5% return before expenses)		1,000.00		1,023.80		1.00		0.20

1

Expense Examples (unaudited)

	Beginning Account Value January 1, 2023		Ending Account Value June 30, 2023		Expenses Paid During Period January 1, 2023 to June 30, 2023*		Annualized Expense Ratio
Large Company Value Portfolio
Actual		$1,000.00		$1,008.67		$3.74		0.75	%
Hypothetical (5% return before expenses)		1,000.00		1,021.08		3.76		0.75
Domestic Equity Portfolio
Actual		1,000.00		997.55		2.48		0.50
Hypothetical (5% return before expenses)		1,000.00		1,022.32		2.51		0.50
Equity Income Portfolio
Actual		1,000.00		1,024.85		2.86		0.57
Hypothetical (5% return before expenses)		1,000.00		1,021.97		2.86		0.57
Mid Cap Growth Stock Portfolio
Actual		1,000.00		1,088.50		2.80		0.54
Hypothetical (5% return before expenses)		1,000.00		1,022.12		2.71		0.54
Index 400 Stock Portfolio
Actual		1,000.00		1,087.22		1.29		0.25
Hypothetical (5% return before expenses)		1,000.00		1,023.55		1.25		0.25
Mid Cap Value Portfolio
Actual		1,000.00		1,027.44		3.62		0.72
Hypothetical (5% return before expenses)		1,000.00		1,021.22		3.61		0.72
Small Cap Growth Stock Portfolio
Actual		1,000.00		1,131.47		2.96		0.56
Hypothetical (5% return before expenses)		1,000.00		1,022.02		2.81		0.56
Index 600 Stock Portfolio
Actual		1,000.00		1,058.99		1.43		0.28
Hypothetical (5% return before expenses)		1,000.00		1,023.41		1.40		0.28
Small Cap Value Portfolio
Actual		1,000.00		1,038.10		4.40		0.87
Hypothetical (5% return before expenses)		1,000.00		1,020.48		4.36		0.87
International Growth Portfolio
Actual		1,000.00		1,148.22		3.30		0.62
Hypothetical (5% return before expenses)		1,000.00		1,021.72		3.11		0.62
Research International Core Portfolio
Actual		1,000.00		1,098.58		3.90		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.08		3.76		0.75
International Equity Portfolio
Actual		1,000.00		1,102.78		3.55		0.68
Hypothetical (5% return before expenses)		1,000.00		1,021.42		3.41		0.68
Emerging Markets Equity Portfolio
Actual		1,000.00		1,051.45		4.63		0.91
Hypothetical (5% return before expenses)		1,000.00		1,020.28		4.56		0.91

2

Expense Examples (unaudited)

	Beginning Account Value January 1, 2023		Ending Account Value June 30, 2023		Expenses Paid During Period January 1, 2023 to June 30, 2023*		Annualized Expense Ratio
Government Money Market Portfolio
Actual		$1,000.00		$1,022.14		$1.65		0.33	%
Hypothetical (5% return before expenses)		1,000.00		1,023.16		1.66		0.33
Short-Term Bond Portfolio
Actual		1,000.00		1,015.15		1.90		0.38
Hypothetical (5% return before expenses)		1,000.00		1,022.91		1.91		0.38
Select Bond Portfolio
Actual		1,000.00		1,026.22		1.56		0.31
Hypothetical (5% return before expenses)		1,000.00		1,023.26		1.56		0.31
Long-Term U.S. Government Bond Portfolio
Actual		1,000.00		1,044.62		9.78		1.93
Hypothetical (5% return before expenses)		1,000.00		1,015.22		9.64		1.93
Inflation Protection Portfolio
Actual		1,000.00		1,021.93		2.76		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.07		2.76		0.55
High Yield Bond Portfolio
Actual		1,000.00		1,052.63		2.29		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.56		2.26		0.45
Multi-Sector Bond Portfolio
Actual		1,000.00		1,031.83		3.68		0.73
Hypothetical (5% return before expenses)		1,000.00		1,021.17		3.66		0.73
Balanced Portfolio
Actual		1,000.00		1,072.79		0.31		0.06
Hypothetical (5% return before expenses)		1,000.00		1,024.50		0.30		0.06
Asset Allocation Portfolio
Actual		1,000.00		1,088.76		0.47		0.09
Hypothetical (5% return before expenses)		1,000.00		1,024.35		0.45		0.09

* Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the direct expenses of the Portfolio and do not include the effect of the underlying Portfolios’ expenses which are disclosed in the Fee and Expense table and described more fully in a footnote to that table in the Prospectus.

3

Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Information Technology	39.6%
Consumer Discretionary	15.7%
Communication Services	15.5%
Health Care	14.1%
Financials	11.3%
Industrials	1.6%
Materials	1.1%
Consumer Staples	0.7%
Utilities	0.2%
Short-Term Investments & Other Net Assets	0.2%

Sector Allocation is subject to change.

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

4

Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (99.8%)	Shares/ Par +		Value $ (000’s)
Communication Services (15.5%)
Alphabet, Inc. - Class A *		90,053		10,779
Alphabet, Inc. - Class C *		518,516		62,725
Meta Platforms, Inc. - Class A *		174,711		50,139
Netflix, Inc. *		36,684		16,159
Sea, Ltd., ADR *		55,676		3,231
T-Mobile US, Inc. *		76,924		10,685
Total				153,718
Consumer Discretionary (15.7%)
Amazon.com, Inc. *		607,583		79,204
Booking Holdings, Inc. *		3,265		8,817
Chipotle Mexican Grill, Inc. *		5,323		11,386
DoorDash, Inc. *		34,134		2,609
Lululemon Athletica, Inc. *		14,148		5,355
NIKE, Inc. - Class B		36,118		3,986
Ross Stores, Inc.		60,272		6,758
Tesla, Inc. *		124,070		32,478
The TJX Cos., Inc.		59,018		5,004
Total				155,597
Consumer Staples (0.7%)
Dollar General Corp.		40,441		6,866
Total				6,866
Financials (11.3%)
Adyen NV *		196,321		3,394
Affirm Holdings, Inc. *		45,136		692
Block, Inc. *		26,569		1,769
The Charles Schwab Corp.		59,633		3,380
Chubb, Ltd.		55,457		10,679
Fiserv, Inc. *		20,799		2,624
The Goldman Sachs Group, Inc.		9,454		3,049
Marsh & McLennan Cos., Inc.		39,086		7,351
Mastercard, Inc. - Class A		75,679		29,764
Morgan Stanley		59,165		5,053
MSCI, Inc.		3,149		1,478
S&P Global, Inc.		15,575		6,244
Visa, Inc. - Class A		153,046		36,345
Total				111,822
Health Care (14.1%)
Align Technology, Inc. *		4,597		1,626
AstraZeneca PLC, ADR		44,316		3,172
Danaher Corp.		32,968		7,912
Elevance Health, Inc.		9,499		4,220
Eli Lilly & Co.		62,279		29,208

Common Stocks (99.8%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Humana, Inc.		16,996		7,599
Intuitive Surgical, Inc. *		54,230		18,543
Stryker Corp.		22,472		6,856
Teleflex, Inc.		6,727		1,628
Thermo Fisher Scientific, Inc.		27,457		14,326
UnitedHealth Group, Inc.		74,596		35,854
Veeva Systems, Inc. - Class A *		13,957		2,760
Zoetis, Inc.		34,933		6,016
Total				139,720
Industrials (1.6%)
Cintas Corp.		4,012		1,994
General Electric Co.		50,177		5,512
Old Dominion Freight Line, Inc.		11,308		4,181
Paycom Software, Inc.		3,415		1,097
TransDigm Group, Inc.		3,214		2,874
Total				15,658
Information Technology (39.6%)
Advanced Micro Devices, Inc. *		85,052		9,688
Apple, Inc.		474,049		91,951
ASML Holding NV		20,698		15,001
Atlassian Corp. - Class A *		23,085		3,874
Bill.com Holdings, Inc. *		32,342		3,779
Confluent, Inc. - Class A *		46,611		1,646
CrowdStrike Holdings, Inc. *		11,103		1,631
Datadog, Inc. *		21,147		2,081
Fortinet, Inc. *		18,457		1,395
Intuit, Inc.		29,370		13,457
Lam Research Corp.		3,376		2,170
Marvell Technology, Inc.		56,018		3,349
Microsoft Corp.		290,699		98,995
MongoDB, Inc. *		17,324		7,120
Monolithic Power Systems, Inc.		11,719		6,331
NVIDIA Corp.		151,824		64,225
Roper Technologies, Inc.		16,810		8,082
ServiceNow, Inc. *		43,745		24,583
Shopify, Inc. *		107,153		6,922
Snowflake, Inc. *		14,056		2,474
Synopsys, Inc. *		29,321		12,767
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		38,883		3,924
TE Connectivity, Ltd.		14,836		2,079

Common Stocks (99.8%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Texas Instruments, Inc.		22,027		3,965
Total				391,489
Materials (1.1%)
Linde PLC		14,038		5,350
The Sherwin-Williams Co.		19,111		5,074
Total				10,424
Utilities (0.2%)
Constellation Energy Corp.		25,510		2,335
Total				2,335
Total Common Stocks
(Cost: $669,217)				987,629
Total Investments (99.8%)
(Cost: $669,217)@				987,629
Other Assets, Less
Liabilities (0.2%)				1,609
Net Assets (100.0%)				989,238

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

5

Growth Stock Portfolio

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $669,217 and the net unrealized appreciation of investments based on that cost was $318,412 which is comprised of $355,345 aggregate gross unrealized appreciation and $36,933 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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	$	987,629	$	—	$	—
Total Assets:	$	987,629	$	—	$	—

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

6

Focused Appreciation Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Information Technology	28.3%
Communication Services	20.6%
Consumer Discretionary	16.3%
Health Care	12.0%
Financials	10.6%
Industrials	7.5%
Consumer Staples	3.4%
Short-Term Investments & Other Net Assets	1.3%

Sector Allocation is subject to change.

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

7

Focused Appreciation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (98.7%)	Shares/ Par +		Value $ (000’s)
Communication Services (20.6%)
Alphabet, Inc. - Class A *		368,300		44,085
Alphabet, Inc. - Class C *		234,550		28,374
Meta Platforms, Inc. - Class A *		339,726		97,495
Netflix, Inc. *		122,236		53,844
The Walt Disney Co. *		327,659		29,253
Total				253,051
Consumer Discretionary (16.3%)
Alibaba Group Holding, Ltd., ADR *		142,606		11,886
Amazon.com, Inc. *		492,728		64,232
Starbucks Corp.		242,991		24,071
Tesla, Inc. *		285,788		74,811
Yum China Holdings, Inc.		139,387		7,875
Yum! Brands, Inc.		119,126		16,505
Total				199,380

Common Stocks (98.7%)	Shares/ Par +		Value $ (000’s)
Consumer Staples (3.4%)
Monster Beverage Corp. *		717,576		41,218
Total				41,218
Financials (10.6%)
Block, Inc. - Class A *		218,826		14,567
FactSet Research Systems, Inc.		45,355		18,172
PayPal Holdings, Inc. *		198,486		13,245
SEI Investments Co.		258,359		15,403
Visa, Inc. - Class A		288,504		68,514
Total				129,901
Health Care (12.0%)
Illumina, Inc. *		103,224		19,354
Intuitive Surgical, Inc. *		52,539		17,965
Novartis AG, ADR		172,145		17,371
Novo Nordisk A/S, ADR		129,388		20,939
Regeneron Pharmaceuticals, Inc. *		33,961		24,402
Roche Holding AG, ADR		391,596		14,959
Vertex Pharmaceuticals, Inc. *		91,316		32,135
Total				147,125

Common Stocks (98.7%)	Shares/ Par +		Value $ (000’s)
Industrials (7.5%)
The Boeing Co. *		298,253		62,979
Deere & Co.		21,227		8,601
Expeditors International of Washington, Inc.		172,133		20,850
Total				92,430
Information Technology (28.3%)
Autodesk, Inc. *		173,596		35,519
Microsoft Corp.		175,089		59,625
NVIDIA Corp.		228,908		96,833
Oracle Corp.		521,920		62,155
QUALCOMM, Inc.		166,629		19,836
Salesforce, Inc. *		174,318		36,826
Shopify, Inc. *		362,756		23,434
Workday, Inc. - Class A *		60,489		13,664
Total				347,892
Total Common Stocks
(Cost: $708,256)				1,210,997
Total Investments (98.7%)
(Cost: $708,256)@				1,210,997
Other Assets, Less
Liabilities (1.3%)				16,497
Net Assets (100.0%)				1,227,494

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $708,256 and the net unrealized appreciation of investments based on that cost was $502,741 which is comprised of $549,892 aggregate gross unrealized appreciation and $47,151 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,210,997	$	—	$	—
Total Assets:	$	1,210,997	$	—	$	—

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

8

Large Cap Core Stock Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Information Technology	21.4%
Health Care	15.0%
Financials	12.3%
Communication Services	12.2%
Consumer Discretionary	11.5%
Industrials	8.9%
Consumer Staples	5.5%
Energy	4.8%
Utilities	3.1%
Materials	2.5%
Real Estate	2.0%
Short-Term Investments & Other Net Assets	0.8%
Investment Companies	0.0%

Sector Allocation is subject to change.

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

9

Large Cap Core Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Communication Services (12.2%)
Activision Blizzard, Inc. *		27,895		2,352
Alphabet, Inc. - Class A *		290,453		34,767
Meta Platforms, Inc. - Class A *		79,094		22,698
Omnicom Group, Inc.		44,306		4,216
Spotify Technology SA *		19,187		3,080
T-Mobile US, Inc. *		39,776		5,525
The Walt Disney Co. *		59,944		5,352
Total				77,990
Consumer Discretionary (11.5%)
Airbnb, Inc. *		47,096		6,036
Amazon.com, Inc. *		257,578		33,578
AutoZone, Inc. *		1,429		3,563
Chipotle Mexican Grill, Inc. *		1,214		2,597
D.R. Horton, Inc.		8,201		998
Etsy, Inc. *		33,914		2,869
Ford Motor Co.		53,319		807
Lennar Corp. - Class A		16,534		2,072
Marriott International, Inc. - Class A		22,016		4,044
NIKE, Inc. - Class B		29,528		3,259
Tesla, Inc. *		7,591		1,987
The TJX Cos., Inc.		134,874		11,436
Total				73,246
Consumer Staples (5.5%)
Constellation Brands, Inc. - Class A		14,063		3,461
The Estee Lauder Cos., Inc. - Class A		11,252		2,210
The Hershey Co.		14,401		3,596
Lamb Weston Holdings, Inc.		36,141		4,154
Monster Beverage Corp. *		140,176		8,052
Philip Morris International, Inc.		98,906		9,655
Sysco Corp.		52,958		3,930
Total				35,058
Energy (4.8%)
BP PLC, ADR		239,026		8,435
ConocoPhillips		55,959		5,798
Diamondback Energy, Inc.		6,300		828
EOG Resources, Inc.		12,787		1,463
Marathon Petroleum Corp.		33,359		3,890
Schlumberger, Ltd.		39,434		1,937

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Energy continued
Shell PLC		135,597		8,187
Total				30,538
Financials (12.3%)
American Express Co.		37,050		6,454
Arch Capital Group, Ltd. *		41,077		3,074
Ares Management Corp. - Class A		101,523		9,782
Berkshire Hathaway, Inc. - Class B *		5,983		2,040
Block, Inc. - Class A *		62,438		4,156
Chubb, Ltd.		18,799		3,620
Equitable Holdings, Inc.		44,543		1,210
Everest Re Group, Ltd.		3,334		1,140
FLEETCOR Technologies, Inc. *		12,569		3,156
Global Payments, Inc.		38,221		3,765
JPMorgan Chase & Co.		81,290		11,823
Marsh & McLennan Cos., Inc.		28,556		5,371
MetLife, Inc.		35,411		2,002
Morgan Stanley		35,621		3,042
PayPal Holdings, Inc. *		41,988		2,802
The Progressive Corp.		23,767		3,146
S&P Global, Inc.		16,962		6,800
Visa, Inc. - Class A		20,055		4,763
Total				78,146
Health Care (15.0%)
Abbott Laboratories		36,600		3,990
Agilent Technologies, Inc.		23,296		2,801
Alnylam Pharmaceuticals, Inc. *		3,502		665
AmerisourceBergen Corp.		16,456		3,167
AstraZeneca PLC, ADR		61,048		4,369
Biogen, Inc. *		5,823		1,659
Boston Scientific Corp. *		76,648		4,146
Centene Corp. *		45,970		3,101
Danaher Corp.		21,848		5,244
Dexcom, Inc. *		18,490		2,376
Edwards Lifesciences Corp. *		29,678		2,800
Elevance Health, Inc.		4,918		2,185
Eli Lilly & Co.		24,185		11,342
Gilead Sciences, Inc.		11,872		915
GSK PLC, ADR		39,729		1,416
HCA Healthcare, Inc.		8,897		2,700
Humana, Inc.		6,833		3,055
Illumina, Inc. *		10,195		1,911
Insulet Corp. *		6,702		1,932

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Laboratory Corp. of America Holdings		5,364		1,294
Merck & Co., Inc.		69,809		8,055
Moderna, Inc. *		3,170		385
Molina Healthcare, Inc. *		9,127		2,749
Novartis AG, ADR		18,566		1,874
Pfizer, Inc.		162,992		5,979
Regeneron Pharmaceuticals, Inc. *		2,115		1,520
Seagen, Inc. *		4,209		810
Stryker Corp.		8,491		2,591
UnitedHealth Group, Inc.		10,549		5,070
Vertex Pharmaceuticals, Inc. *		7,578		2,667
Zoetis, Inc.		16,957		2,920
Total				95,688
Industrials (8.9%)
AMETEK, Inc.		17,949		2,906
The Boeing Co. *		9,719		2,052
Builders FirstSource, Inc. *		25,098		3,413
C.H. Robinson Worldwide, Inc.		38,700		3,651
Caterpillar, Inc.		5,600		1,378
Ceridian HCM Holding, Inc. *		50,869		3,407
Deere & Co.		1,804		731
Delta Air Lines, Inc. *		87,938		4,181
Emerson Electric Co.		11,804		1,067
Equifax, Inc.		6,662		1,568
Fortive Corp.		44,248		3,308
General Dynamics Corp.		16,310		3,509
Honeywell International, Inc.		9,572		1,986
Ingersoll-Rand, Inc.		28,613		1,870
Johnson Controls International PLC		31,035		2,115
Lockheed Martin Corp.		7,365		3,391
PACCAR, Inc.		48,366		4,046
Raytheon Technologies Corp.		43,503		4,262
Southwest Airlines Co.		28,202		1,021
Trane Technologies PLC		5,000		956
United Rentals, Inc.		400		178
Waste Connections, Inc.		12,009		1,716

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

10

Large Cap Core Stock Portfolio

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Westinghouse Air Brake Technologies Corp.		39,821		4,367
Total				57,079
Information Technology (21.4%)
Advanced Micro Devices, Inc. *		81,830		9,321
Apple, Inc.		134,140		26,019
GoDaddy, Inc. *		48,543		3,647
HubSpot, Inc. *		2,684		1,428
KLA Corp.		10,608		5,145
Marvell Technology, Inc.		24,239		1,449
Micron Technology, Inc.		54,457		3,437
Microsoft Corp.		131,484		44,776
NVIDIA Corp.		15,282		6,465
Okta, Inc. *		4,151		288
ON Semiconductor Corp. *		33,268		3,147
Palo Alto Networks, Inc. *		6,885		1,759
Salesforce, Inc. *		22,278		4,706
ServiceNow, Inc. *		6,788		3,815
Snowflake, Inc. *		5,331		938
Teradyne, Inc.		31,877		3,549
Texas Instruments, Inc.		47,376		8,529
VeriSign, Inc. *		24,970		5,642
Workday, Inc. - Class A *		9,315		2,104
Total				136,164
Materials (2.5%)
Ball Corp.		17,875		1,040
Celanese Corp. - Class A		24,344		2,819
Crown Holdings, Inc.		13,913		1,209
FMC Corp.		30,316		3,163
Linde PLC		13,429		5,118
PPG Industries, Inc.		19,206		2,848
Total				16,197
Real Estate (2.0%)
CBRE Group, Inc. - Class A *		34,954		2,821
CoStar Group, Inc. *		15,751		1,402
Prologis, Inc.		24,973		3,062
Public Storage		6,871		2,006
Welltower, Inc.		39,800		3,219
Total				12,510
Utilities (3.1%)
Atmos Energy Corp.		22,463		2,613
Edison International		42,121		2,925
Exelon Corp.		79,369		3,233
NextEra Energy, Inc.		43,664		3,240
PG&E Corp. *		257,784		4,455

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Utilities continued
The Southern Co.		46,357		3,257
Total				19,723
Total Common Stocks
(Cost: $509,197)				632,339
Investment Companies
(0.0%)
Investment Companies (0.0%)
SPDR S&P 500 ETF
Trust		348		154
Total				154
Total Investment Companies
(Cost: $142)				154
Total Investments (99.2%)
(Cost: $509,339)@				632,493
Other Assets, Less
Liabilities (0.8%)				4,985
Net Assets (100.0%)				637,478

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

11

Large Cap Core Stock Portfolio

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $509,339 and the net unrealized appreciation of investments based on that cost was $123,154 which is comprised of $136,405 aggregate gross unrealized appreciation and $13,251 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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	$	632,339	$	—	$	—
Investment Companies		154		—		—
Total Assets:	$	632,493	$	—	$	—

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

12

Large Cap Blend Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Financials	18.4%
Industrials	17.5%
Consumer Discretionary	13.7%
Health Care	12.1%
Information Technology	11.1%
Consumer Staples	9.2%
Communication Services	8.2%
Materials	4.1%
Short-Term Investments & Other Net Assets	3.9%
Energy	1.8%

Sector Allocation is subject to change.

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

13

Large Cap Blend Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (96.1%)	Shares/ Par +		Value $ (000’s)
Communication Services (8.2%)
Alphabet, Inc. - Class A *		71,932		8,610
Omnicom Group, Inc.		62,408		5,938
Total				14,548
Consumer Discretionary (13.7%)
Booking Holdings, Inc. *		2,417		6,527
CarMax, Inc. *		76,616		6,413
Sony Group Corp., ADR		93,784		8,444
The TJX Cos., Inc.		35,249		2,989
Total				24,373
Consumer Staples (9.2%)
Dollar General Corp.		32,201		5,467
Dollar Tree, Inc. *		40,210		5,770
Unilever PLC, ADR		99,686		5,197
Total				16,434
Energy (1.8%)
Schlumberger, Ltd.		63,704		3,129
Total				3,129

Common Stocks (96.1%)	Shares/ Par +		Value $ (000’s)
Financials (18.4%)
Arch Capital Group, Ltd. *		52,539		3,933
Berkshire Hathaway, Inc. - Class B *		25,101		8,559
BlackRock, Inc.		5,128		3,544
The Charles Schwab Corp.		134,642		7,632
Northern Trust Corp.		65,139		4,829
The Progressive Corp.		32,827		4,345
Total				32,842
Health Care (12.1%)
Fresenius Medical Care AG & Co. KGaA, ADR		170,062		4,070
Koninklijke Philips NV *		226,382		4,910
Smith & Nephew PLC, ADR		150,889		4,866
UnitedHealth Group, Inc.		16,222		7,797
Total				21,643

Common Stocks (96.1%)	Shares/ Par +		Value $ (000’s)
Industrials (17.5%)
Carlisle Cos., Inc.		21,441		5,500
Carrier Global Corp.		119,037		5,917
Eaton Corp. PLC		20,973		4,218
Ferguson PLC		55,418		8,718
Masco Corp.		120,153		6,895
Total				31,248
Information Technology (11.1%)
CDW Corp.		33,962		6,232
Micron Technology, Inc.		105,888		6,683
SAP SE, ADR		49,480		6,769
Total				19,684
Materials (4.1%)
Avery Dennison Corp.		42,155		7,242
Total				7,242
Total Common Stocks
(Cost: $147,625)				171,143
Total Investments (96.1%)
(Cost: $147,625)@				171,143
Other Assets, Less
Liabilities (3.9%)				6,997
Net Assets (100.0%)				178,140

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $147,625 and the net unrealized appreciation of investments based on that cost was $23,518 which is comprised of $28,839 aggregate gross unrealized appreciation and $5,321 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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	$	171,143	$	—	$	—
Total Assets:	$	171,143	$	—	$	—

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

14

Index 500 Stock Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Information Technology	28.0%
Health Care	13.3%
Financials	12.3%
Consumer Discretionary	10.5%
Industrials	8.4%
Communication Services	8.3%
Consumer Staples	6.6%
Energy	4.1%
Utilities	2.5%
Materials	2.5%
Real Estate	2.5%
Short-Term Investments & Other Net Assets	1.0%

Sector Allocation is subject to change.

15

Index 500 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Communication Services (8.3%)
Activision Blizzard, Inc. *		97,136		8,188
Alphabet, Inc. - Class A *		820,471		98,210
Alphabet, Inc. - Class C *		704,621		85,238
AT&T, Inc.		978,988		15,615
Charter Communications, Inc. - Class A *		14,325		5,263
Comcast Corp. - Class A		573,497		23,829
Electronic Arts, Inc.		36,041		4,674
Fox Corp. - Class A		42,670		1,451
Fox Corp. - Class B		19,610		625
The Interpublic Group of Companies, Inc.		53,804		2,076
Live Nation Entertainment, Inc. *		19,386		1,766
Match Group, Inc. *		38,733		1,621
Meta Platforms, Inc. - Class A *		305,013		87,533
Netflix, Inc. *		61,391		27,042
News Corp. - Class A		53,931		1,052
News Corp. - Class B		16,798		331
Omnicom Group, Inc.		27,902		2,655
Paramount Global - Class B		68,901		1,096
Take-Two Interactive Software, Inc. *		21,634		3,184
T-Mobile US, Inc. *		79,412		11,030
Verizon Communications, Inc.		576,901		21,455
The Walt Disney Co. *		251,825		22,483
Warner Bros.
Discovery, Inc. *		299,918		3,761
Total				430,178
Consumer Discretionary (10.5%)
Advance Auto Parts, Inc.		8,285		582
Amazon.com, Inc. *		1,228,949		160,206
Aptiv PLC *		36,968		3,774
AutoZone, Inc. *		2,537		6,326
Bath & Body Works, Inc.		31,151		1,168
Best Buy Co., Inc.		27,460		2,250
Booking Holdings, Inc. *		5,092		13,750
BorgWarner, Inc.		32,487		1,589
Caesars Entertainment, Inc. *		28,727		1,464
CarMax, Inc. *		21,680		1,815
Carnival Corp. *		134,683		2,536

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Chipotle Mexican Grill, Inc. *		3,777		8,079
D.R. Horton, Inc.		43,442		5,286
Darden Restaurants, Inc.		16,917		2,827
Domino’s Pizza, Inc.		4,889		1,648
eBay, Inc.		75,928		3,393
Etsy, Inc. *		17,231		1,458
Expedia Group, Inc. *		20,744		2,269
Ford Motor Co.		538,876		8,153
Garmin, Ltd.		20,577		2,146
General Motors Co.		192,251		7,413
Genuine Parts Co.		19,204		3,250
Hasbro, Inc.		17,580		1,139
Hilton Worldwide Holdings, Inc.		37,748		5,494
The Home Depot, Inc.		139,627		43,374
Las Vegas Sands Corp. *		45,538		2,641
Lennar Corp. - Class A		34,697		4,348
LKQ Corp.		35,613		2,075
Lowe’s Companies, Inc.		82,226		18,558
Marriott International, Inc. - Class A		35,553		6,531
McDonald’s Corp.		100,965		30,129
MGM Resorts International		44,519		1,955
Mohawk Industries, Inc. *		6,980		720
Newell Brands, Inc.		49,793		433
NIKE, Inc. - Class B		169,881		18,750
Norwegian Cruise Line Holdings, Ltd. *		57,774		1,258
NVR, Inc. *		419		2,661
O’Reilly Automotive, Inc. *		8,394		8,019
Pool Corp.		5,435		2,036
PulteGroup, Inc.		32,228		2,503
Ralph Lauren Corp.		5,853		722
Ross Stores, Inc.		47,835		5,364
Royal Caribbean Cruises, Ltd. *		29,997		3,112
Starbucks Corp.		157,679		15,620
Tapestry, Inc.		34,111		1,460
Tesla, Inc. *		370,746		97,050
The TJX Cos., Inc.		159,981		13,565
Tractor Supply Co.		15,233		3,368
Ulta Beauty, Inc. *		7,083		3,333
VF Corp.		44,116		842
Whirlpool Corp.		7,622		1,134
Wynn Resorts, Ltd.		14,416		1,522
Yum! Brands, Inc.		39,039		5,409
Total				546,507

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Consumer Staples (6.6%)
Altria Group, Inc.		245,555		11,124
Archer-Daniels-Midland Co.		76,577		5,786
Brown-Forman Corp. - Class B		25,179		1,681
Bunge, Ltd.		20,558		1,940
Campbell Soup Co.		27,937		1,277
Church & Dwight Co., Inc.		33,144		3,322
The Clorox Co.		16,949		2,696
The Coca-Cola Co.		536,521		32,309
Colgate-Palmolive Co.		114,728		8,839
Conagra Brands, Inc.		65,083		2,195
Constellation Brands, Inc. - Class A		22,298		5,488
Costco Wholesale Corp.		61,168		32,932
Dollar General Corp.		31,029		5,268
Dollar Tree, Inc. *		28,801		4,133
The Estee Lauder Cos., Inc. - Class A		31,629		6,211
General Mills, Inc.		81,282		6,234
The Hershey Co.		20,040		5,004
Hormel Foods Corp.		39,922		1,606
The J.M. Smucker Co.		14,454		2,134
Kellogg Co.		35,160		2,370
Keurig Dr. Pepper, Inc.		115,930		3,625
Kimberly-Clark Corp.		45,951		6,344
The Kraft Heinz Co.		108,684		3,858
The Kroger Co.		88,977		4,182
Lamb Weston Holdings, Inc.		19,529		2,245
McCormick & Co., Inc.		34,058		2,971
Molson Coors Beverage Co. - Class B		25,954		1,709
Mondelez International, Inc.		187,693		13,690
Monster Beverage Corp. *		104,962		6,029
PepsiCo, Inc.		189,247		35,052
Philip Morris International, Inc.		212,941		20,787
The Procter & Gamble Co.		326,044		49,474
Sysco Corp.		69,516		5,158
Target Corp.		63,269		8,345
Tyson Foods, Inc. - Class A		39,540		2,018
Walgreens Boots Alliance, Inc.		97,233		2,770
Walmart, Inc.		194,489		30,570
Total				341,376

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

16

Index 500 Stock Portfolio

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Energy (4.1%)
APA Corp.		44,554		1,522
Baker Hughes		138,049		4,364
Chevron Corp.		240,281		37,808
ConocoPhillips		166,843		17,287
Coterra Energy, Inc.		109,286		2,765
Devon Energy Corp.		89,345		4,319
Diamondback Energy, Inc.		25,334		3,328
EOG Resources, Inc.		79,963		9,151
EQT Corp.		50,442		2,075
Exxon Mobil Corp.		557,451		59,787
Halliburton Co.		123,748		4,082
Hess Corp.		38,081		5,177
Kinder Morgan, Inc.		270,523		4,658
Marathon Oil Corp.		92,453		2,128
Marathon Petroleum Corp.		58,500		6,821
Occidental Petroleum Corp.		101,678		5,979
ONEOK, Inc.		60,900		3,759
Phillips 66		63,268		6,034
Pioneer Natural Resources Co.		32,565		6,747
Schlumberger, Ltd.		194,781		9,568
Targa Resources Corp.		30,908		2,352
Valero Energy Corp.		49,847		5,847
The Williams Cos., Inc.		165,192		5,390
Total				210,948
Financials (12.3%)
Aflac, Inc.		75,813		5,292
The Allstate Corp.		36,881		4,021
American Express Co.		81,840		14,257
American International Group, Inc.		99,792		5,742
Ameriprise Financial, Inc.		14,759		4,902
Aon PLC		28,804		9,943
Arch Capital Group, Ltd. *		50,394		3,772
Arthur J. Gallagher & Co.		28,962		6,359
Assurant, Inc.		7,147		898
Bank of America Corp.		962,126		27,603
The Bank of New York Mellon Corp.		100,792		4,487
Berkshire Hathaway, Inc. - Class B *		245,881		83,845
BlackRock, Inc.		20,571		14,217
Brown & Brown, Inc.		31,816		2,190
Capital One Financial Corp.		52,370		5,728
Cboe Global Markets, Inc.		14,402		1,988
The Charles Schwab Corp.		204,901		11,614
Chubb, Ltd.		56,985		10,973
Cincinnati Financial Corp.		21,722		2,114

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Financials continued
Citigroup, Inc.		266,052		12,249
Citizens Financial Group, Inc.		67,739		1,767
CME Group, Inc.		49,043		9,087
Comerica, Inc.		17,893		758
Discover Financial Services		35,014		4,091
Everest Re Group, Ltd.		5,448		1,862
FactSet Research Systems, Inc.		5,233		2,097
Fidelity National Information Services, Inc.		82,835		4,531
Fifth Third Bancorp		94,118		2,467
Fiserv, Inc. *		85,115		10,737
FLEETCOR Technologies, Inc. *		10,235		2,570
Franklin Resources, Inc.		37,588		1,004
Global Payments, Inc.		37,818		3,726
Globe Life, Inc.		12,303		1,349
The Goldman Sachs Group, Inc.		45,838		14,785
The Hartford Financial Services Group, Inc.		44,091		3,175
Huntington Bancshares, Inc.		195,187		2,104
Intercontinental Exchange, Inc.		76,199		8,617
Invesco, Ltd.		62,069		1,043
Jack Henry & Associates, Inc.		9,805		1,641
JPMorgan Chase & Co.		402,926		58,602
KeyCorp		126,465		1,169
Lincoln National Corp.		21,136		544
Loews Corp.		27,287		1,620
M&T Bank Corp.		23,962		2,966
MarketAxess Holdings, Inc.		5,237		1,369
Marsh & McLennan Cos., Inc.		67,981		12,786
Mastercard, Inc. - Class A		115,373		45,376
MetLife, Inc.		91,418		5,168
Moody’s Corp.		21,532		7,487
Morgan Stanley		180,101		15,381
MSCI, Inc.		11,002		5,163
Nasdaq, Inc.		46,248		2,305
Northern Trust Corp.		28,671		2,126
PayPal Holdings, Inc. *		153,835		10,265
The PNC Financial Services Group, Inc.		56,092		7,065
Principal Financial Group, Inc.		31,872		2,417
The Progressive Corp.		80,628		10,673
Prudential Financial, Inc.		50,859		4,487
Raymond James Financial, Inc.		26,365		2,736

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Financials continued
Regions Financial Corp.		127,547		2,273
S&P Global, Inc.		45,742		18,337
State Street Corp.		46,088		3,373
Synchrony Financial		65,734		2,230
T. Rowe Price Group, Inc.		30,827		3,453
The Travelers Cos., Inc.		32,544		5,652
Truist Financial Corp.		180,785		5,487
U.S. Bancorp		192,054		6,345
Visa, Inc. - Class A		223,121		52,987
W.R. Berkley Corp.		28,414		1,692
Wells Fargo & Co.		517,358		22,081
Willis Towers Watson PLC		15,120		3,561
Zions Bancorp NA		20,072		539
Total				637,320
Health Care (13.3%)
Abbott Laboratories		240,352		26,203
AbbVie, Inc.		243,785		32,845
Agilent Technologies, Inc.		40,703		4,895
Align Technology, Inc. *		9,937		3,514
AmerisourceBergen Corp.		22,246		4,281
Amgen, Inc.		73,294		16,273
Baxter International, Inc.		69,248		3,155
Becton Dickinson and Co.		38,914		10,274
Biogen, Inc. *		19,862		5,658
Bio-Rad Laboratories, Inc. - Class A *		2,969		1,126
Bio-Techne Corp.		21,192		1,730
Boston Scientific Corp. *		196,747		10,642
Bristol-Myers Squibb Co.		293,091		18,743
Cardinal Health, Inc.		35,775		3,383
Catalent, Inc. *		24,453		1,060
Centene Corp. *		77,990		5,260
Charles River Laboratories International, Inc. *		6,814		1,433
Cigna Corp.		40,795		11,447
The Cooper Cos., Inc.		6,765		2,594
CVS Health Corp.		177,015		12,237
Danaher Corp.		91,568		21,976
DaVita, Inc. *		7,599		764
DENTSPLY SIRONA, Inc.		30,149		1,207
Dexcom, Inc. *		53,233		6,841
Edwards Lifesciences Corp. *		84,512		7,972
Elevance Health, Inc.		32,776		14,562
Eli Lilly & Co.		108,715		50,985
GE HealthCare Technologies, Inc.		50,030		4,064

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

17

Index 500 Stock Portfolio

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Gilead Sciences, Inc.		172,287		13,278
HCA Healthcare, Inc.		28,447		8,633
Henry Schein, Inc. *		18,723		1,518
Hologic, Inc. *		34,293		2,777
Humana, Inc.		17,268		7,721
IDEXX Laboratories, Inc. *		11,391		5,721
Illumina, Inc. *		21,436		4,019
Incyte Corp. *		25,678		1,599
Insulet Corp. *		9,534		2,749
Intuitive Surgical, Inc. *		48,666		16,641
IQVIA Holdings, Inc. *		25,448		5,720
Johnson & Johnson		358,315		59,308
Laboratory Corp. of America Holdings		12,378		2,987
McKesson Corp.		18,877		8,066
Medtronic PLC		182,577		16,085
Merck & Co., Inc.		349,504		40,329
Mettler-Toledo International, Inc. *		3,076		4,035
Moderna, Inc. *		45,905		5,578
Molina Healthcare, Inc. *		7,880		2,374
Organon & Co.		34,671		722
PerkinElmer, Inc.		17,351		2,061
Pfizer, Inc.		773,795		28,383
Quest Diagnostics, Inc.		15,918		2,237
Regeneron Pharmaceuticals, Inc. *		14,820		10,649
ResMed, Inc.		20,038		4,378
STERIS PLC		13,580		3,055
Stryker Corp.		46,264		14,115
Teleflex, Inc.		6,424		1,555
Thermo Fisher Scientific, Inc.		53,183		27,748
UnitedHealth Group, Inc.		128,371		61,700
Universal Health Services, Inc. - Class B		9,104		1,436
Vertex Pharmaceuticals, Inc. *		35,260		12,408
Viatris, Inc.		166,424		1,661
Waters Corp. *		8,069		2,151
West Pharmaceutical Services, Inc.		10,205		3,903
Zimmer Biomet Holdings, Inc.		28,593		4,163
Zoetis, Inc.		63,912		11,006
Total				687,593
Industrials (8.4%)
3M Co.		75,538		7,561
A.O. Smith Corp.		17,636		1,283
Alaska Air Group, Inc. *		17,059		907
Allegion PLC		12,067		1,448

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Industrials continued
American Airlines Group, Inc. *		88,090		1,580
AMETEK, Inc.		31,317		5,070
Automatic Data Processing, Inc.		56,982		12,524
Axon Enterprise, Inc. *		9,316		1,818
The Boeing Co. *		77,519		16,369
Broadridge Financial Solutions, Inc.		15,949		2,642
C.H. Robinson Worldwide, Inc.		16,903		1,595
Carrier Global Corp.		115,143		5,724
Caterpillar, Inc.		71,058		17,484
Ceridian HCM Holding, Inc. *		20,884		1,399
Cintas Corp.		11,856		5,893
Copart, Inc. *		58,372		5,324
CSX Corp.		280,318		9,559
Cummins, Inc.		19,166		4,699
Deere & Co.		37,276		15,104
Delta Air Lines, Inc. *		87,814		4,175
Dover Corp.		19,552		2,887
Eaton Corp. PLC		54,346		10,929
Emerson Electric Co.		80,561		7,282
Equifax, Inc.		16,887		3,973
Expeditors International of Washington, Inc.		21,067		2,552
Fastenal Co.		78,066		4,605
FedEx Corp.		32,618		8,086
Fortive Corp.		48,784		3,648
Generac Holdings, Inc. *		8,613		1,284
General Dynamics Corp.		30,684		6,602
General Electric Co.		150,092		16,488
Honeywell International, Inc.		91,922		19,074
Howmet Aerospace, Inc.		51,011		2,528
Huntington Ingalls Industries, Inc.		5,379		1,224
IDEX Corp.		10,443		2,248
Illinois Tool Works, Inc.		38,438		9,616
Ingersoll-Rand, Inc.		55,152		3,605
J.B. Hunt Transport Services, Inc.		11,517		2,085
Jacobs Solutions, Inc.		17,445		2,074
Johnson Controls International PLC		94,349		6,429
L3Harris Technologies, Inc.		26,158		5,121
Leidos Holdings, Inc.		18,535		1,640
Lockheed Martin Corp.		31,321		14,419
Masco Corp.		30,771		1,766
Nordson Corp.		7,294		1,810
Norfolk Southern Corp.		32,226		7,308
Northrop Grumman Corp.		19,817		9,033

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Old Dominion Freight Line, Inc.		12,453		4,604
Otis Worldwide Corp.		57,341		5,104
PACCAR, Inc.		71,958		6,019
Parker Hannifin Corp.		17,516		6,832
Paychex, Inc.		43,577		4,875
Paycom Software, Inc.		6,632		2,130
Pentair PLC		22,947		1,482
Quanta Services, Inc.		19,515		3,834
Raytheon Technologies Corp.		201,464		19,735
Republic Services, Inc.		28,276		4,331
Robert Half International, Inc.		14,988		1,127
Rockwell Automation, Inc.		15,768		5,195
Rollins, Inc.		30,518		1,307
Snap-on, Inc.		7,239		2,086
Southwest Airlines Co.		80,951		2,931
Stanley Black & Decker, Inc.		20,474		1,919
Textron, Inc.		29,542		1,998
Trane Technologies PLC		31,717		6,066
TransDigm Group, Inc.		7,150		6,393
Union Pacific Corp.		84,065		17,201
United Continental Holdings, Inc. *		44,908		2,464
United Parcel Service,
Inc. - Class B		100,606		18,034
United Rentals, Inc.		9,549		4,253
Verisk Analytics, Inc.		19,964		4,512
W.W. Grainger, Inc.		6,178		4,872
Waste Management, Inc.		51,322		8,900
Westinghouse Air Brake Technologies Corp.		24,771		2,717
Xylem, Inc.		32,508		3,661
Total				435,056
Information Technology (28.0%)
Accenture PLC - Class A		86,810		26,788
Adobe, Inc. *		63,108		30,859
Advanced Micro Devices, Inc. *		222,263		25,318
Akamai Technologies, Inc. *		21,741		1,954
Amphenol Corp. - Class A		81,162		6,895
Analog Devices, Inc.		71,019		13,835
ANSYS, Inc. *		11,847		3,913
Apple, Inc.		2,038,559		395,419
Applied Materials, Inc.		116,218		16,798
Arista Networks, Inc. *		34,120		5,529
Autodesk, Inc. *		29,502		6,036
Broadcom, Inc.		57,606		49,969
Cadence Design Systems, Inc. *		37,814		8,868

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

18

Index 500 Stock Portfolio

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
CDW Corp.		18,598		3,413
Cisco Systems, Inc.		565,016		29,234
Cognizant Technology Solutions Corp. - Class A		70,684		4,614
Corning, Inc.		103,095		3,612
DXC Technology Co. *		31,366		838
Enphase Energy, Inc. *		18,483		3,096
EPAM Systems, Inc. *		7,827		1,759
F5, Inc. *		8,201		1,199
Fair Isaac Corp. *		3,468		2,806
First Solar, Inc. *		13,619		2,589
Fortinet, Inc. *		89,300		6,750
Gartner, Inc. *		10,923		3,826
Hewlett Packard Enterprise Co.		177,540		2,983
HP, Inc.		124,171		3,813
Intel Corp.		575,099		19,231
International Business Machines Corp.		124,194		16,618
Intuit, Inc.		38,719		17,741
Juniper Networks, Inc.		44,995		1,410
Keysight Technologies, Inc. *		24,680		4,133
KLA Corp.		19,349		9,385
Lam Research Corp.		18,690		12,015
Microchip Technology, Inc.		75,655		6,778
Micron Technology, Inc.		150,519		9,499
Microsoft Corp.		1,025,208		349,124
Monolithic Power Systems, Inc.		6,065		3,276
Motorola Solutions, Inc.		22,707		6,660
NetApp, Inc.		29,982		2,291
NortonLifeLock, Inc.		80,787		1,499
NVIDIA Corp.		340,996		144,248
NXP Semiconductors NV		35,888		7,346
ON Semiconductor Corp. *		58,929		5,574
Oracle Corp.		211,857		25,230
Palo Alto Networks, Inc. *		41,724		10,661
PTC, Inc. *		14,404		2,050
Qorvo, Inc. *		14,082		1,437
QUALCOMM, Inc.		153,984		18,330
Roper Technologies, Inc.		14,478		6,961
Salesforce, Inc. *		134,988		28,518
Seagate Technology Holdings PLC		26,807		1,659
ServiceNow, Inc. *		27,984		15,726
Skyworks Solutions, Inc.		22,141		2,451
SolarEdge Technologies, Inc. *		7,678		2,066
Synopsys, Inc. *		21,011		9,148
TE Connectivity, Ltd.		43,695		6,124

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Teledyne Technologies, Inc. *		6,386		2,625
Teradyne, Inc.		21,347		2,377
Texas Instruments, Inc.		124,671		22,443
Trimble, Inc. *		34,306		1,816
Tyler Technologies, Inc. *		5,685		2,368
VeriSign, Inc. *		12,923		2,920
Western Digital Corp. *		44,019		1,670
Zebra Technologies Corp. - Class A *		7,122		2,107
Total				1,448,228
Materials (2.5%)
Air Products and Chemicals, Inc.		30,614		9,170
Albemarle Corp.		15,981		3,565
Amcor PLC		203,784		2,034
Avery Dennison Corp.		11,082		1,904
Ball Corp.		43,463		2,530
Celanese Corp. - Class A		13,601		1,575
CF Industries Holdings, Inc.		27,188		1,887
Corteva, Inc.		98,151		5,624
Dow, Inc.		98,748		5,259
DuPont de Nemours, Inc.		63,152		4,512
Eastman Chemical Co.		16,757		1,403
Ecolab, Inc.		33,833		6,316
FMC Corp.		17,080		1,782
Freeport-McMoRan, Inc.		195,117		7,805
International Flavors & Fragrances, Inc.		35,022		2,787
International Paper Co.		50,266		1,599
Linde PLC		68,000		25,913
LyondellBasell Industries NV - Class A		34,717		3,188
Martin Marietta Materials, Inc.		8,458		3,905
The Mosaic Co.		47,110		1,649
Newmont Corp.		108,025		4,608
Nucor Corp.		35,719		5,857
Packaging Corp. of America		12,708		1,680
PPG Industries, Inc.		32,034		4,751
Sealed Air Corp.		19,812		792
The Sherwin-Williams Co.		32,182		8,545
Steel Dynamics, Inc.		22,911		2,496
Vulcan Materials Co.		18,022		4,063
WestRock Co.		34,564		1,005
Total				128,204

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Real Estate (2.5%)
Alexandria Real Estate Equities, Inc.		21,713		2,464
American Tower Corp.		63,957		12,404
AvalonBay Communities, Inc.		19,230		3,640
Boston Properties, Inc.		19,540		1,125
Camden Property Trust		15,182		1,653
CBRE Group, Inc. - Class A *		44,330		3,578
CoStar Group, Inc. *		55,864		4,972
Crown Castle International Corp.		59,689		6,801
Digital Realty Trust, Inc.		39,637		4,513
Equinix, Inc.		12,711		9,965
Equity Residential		46,410		3,062
Essex Property Trust, Inc.		8,971		2,102
Extra Space Storage, Inc.		18,499		2,754
Federal Realty Investment Trust		9,945		962
Healthpeak Properties, Inc.		74,265		1,493
Host Hotels & Resorts, Inc.		97,298		1,637
Invitation Homes, Inc.		79,117		2,722
Iron Mountain, Inc.		39,752		2,259
Kimco Realty Corp.		84,389		1,664
Mid-America Apartment Communities, Inc.		15,777		2,396
Prologis, Inc.		127,246		15,604
Public Storage		21,557		6,292
Realty Income Corp.		92,824		5,550
Regency Centers Corp.		21,039		1,300
SBA Communications Corp.		14,831		3,437
Simon Property Group, Inc.		45,069		5,204
UDR, Inc.		42,786		1,838
Ventas, Inc.		55,187		2,609
VICI Properties, Inc.		138,359		4,349
Welltower, Inc.		68,531		5,543
Weyerhaeuser Co.		100,972		3,383
Total				127,275
Utilities (2.5%)
The AES Corp.		91,753		1,902
Alliant Energy Corp.		34,454		1,808
Ameren Corp.		35,531		2,902
American Electric Power Co., Inc.		70,100		5,902
American Water Works Co., Inc.		26,600		3,797
Atmos Energy Corp.		19,735		2,296
CenterPoint Energy, Inc.		86,516		2,522
CMS Energy Corp.		40,251		2,365
Consolidated Edison, Inc.		48,514		4,386

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

19

Index 500 Stock Portfolio

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Constellation Energy Corp.		44,597		4,083
Dominion Energy, Inc.		113,591		5,883
DTE Energy Co.		26,492		2,915
Duke Energy Corp.		105,778		9,493
Edison International		52,691		3,659
Entergy Corp.		27,973		2,724
Evergy, Inc.		31,291		1,828
Eversource Energy		47,845		3,393
Exelon Corp.		136,504		5,561
FirstEnergy Corp.		74,066		2,880

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Utilities continued
NextEra Energy, Inc.		278,990		20,701
NiSource, Inc.		55,036		1,505
NRG Energy, Inc.		32,181		1,203
PG&E Corp. *		219,626		3,795
Pinnacle West Capital Corp.		15,533		1,265
PPL Corp.		100,820		2,668
Public Service Enterprise Group, Inc.		68,537		4,291
Sempra Energy		42,913		6,248
The Southern Co.		149,544		10,505

Common Stocks (99.0%)	Shares/ Par +		Value $ (000’s)
Utilities continued
WEC Energy Group, Inc.		43,219		3,814
Xcel Energy, Inc.		75,438		4,690
Total				130,984
Total Common Stocks
(Cost: $1,780,612)				5,123,669
Total Investments (99.0%)
(Cost: $1,780,612)@				5,123,669
Other Assets, Less
Liabilities (1.0%)				52,440
Net Assets (100.0%)				5,176,109

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Variation Margin (000’s)
E-Mini S&P 500 Future		Long		USD		12		232		9/23	$	52,063	$	1,479	$	609
													$	1,479	$	609

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Variation Margin (000’s)

Market Value (000’s) Options

Swaps

Futures

Total

Swaps

Futures

Total

Total Exchange-Traded or Centrally Cleared Derivatives

$

–

$

609

$

609

$

–

$

–

$

–

$

–

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,780,612 and the net unrealized appreciation of investments based on that cost was $3,344,536 which is comprised of $3,434,586 aggregate gross unrealized appreciation and $90,050 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

20

Index 500 Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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	$	5,123,669	$	—	$	—
Other Financial Instruments^
Futures		1,479		—		—
Total Assets:	$	5,125,148	$	—	$	—

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

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

21

Large Company Value Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Health Care	23.6%
Financials	18.4%
Consumer Staples	16.1%
Industrials	9.9%
Energy	7.6%
Information Technology	6.9%
Utilities	6.4%
Materials	3.3%
Communication Services	3.3%
Short-Term Investments & Other Net Assets	3.0%
Investment Companies	0.8%
Consumer Discretionary	0.7%

Sector Allocation is subject to change.

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

22

Large Company Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (96.2%)	Shares/ Par +		Value $ (000’s)
Communication Services (3.3%)
Verizon Communications, Inc.		84,194		3,131
The Walt Disney Co. *		21,868		1,953
Total				5,084
Consumer Discretionary (0.7%)
General Motors Co.		28,332		1,092
Total				1,092
Consumer Staples (16.1%)
Anheuser-Busch InBev SA/NV		13,437		761
Colgate-Palmolive Co.		40,338		3,108
Conagra Brands, Inc.		79,740		2,689
Dollar Tree, Inc. *		17,019		2,442
Henkel AG & Co. KGaA - Preference Shares		7,427		594
Kenvue, Inc. *		23,805		629
Kimberly-Clark Corp.		19,902		2,748
Koninklijke Ahold Delhaize NV		56,062		1,912
Mondelez International, Inc.		27,928		2,037
PepsiCo, Inc.		6,239		1,155
The Procter & Gamble Co.		10,447		1,585
Unilever PLC, ADR		56,493		2,945
Walmart, Inc.		13,138		2,065
Total				24,670
Energy (7.6%)
Baker Hughes		56,252		1,778
Chevron Corp.		7,904		1,244
ConocoPhillips		13,030		1,350
Exxon Mobil Corp.		39,139		4,197
Shell PLC		25,582		762
TotalEnergies SE, ADR		39,868		2,298
Total				11,629
Financials (18.4%)
The Allstate Corp.		29,939		3,265
Ameriprise Financial, Inc.		2,738		909
The Bank of New York Mellon Corp.		64,933		2,891
Berkshire Hathaway, Inc. - Class B *		20,063		6,842
BlackRock, Inc.		3,229		2,232
The Charles Schwab Corp.		29,853		1,692
Chubb, Ltd.		5,181		998
JPMorgan Chase & Co.		23,481		3,415
MetLife, Inc.		12,611		713
Northern Trust Corp.		13,789		1,022
Truist Financial Corp.		70,851		2,150

Common Stocks (96.2%)	Shares/ Par +		Value $ (000’s)
Financials continued
U.S. Bancorp		66,993		2,213
Total				28,342
Health Care (23.6%)
Becton Dickinson and Co.		6,965		1,839
Cigna Corp.		6,225		1,747
CVS Health Corp.		21,816		1,508
Henry Schein, Inc. *		30,399		2,465
Johnson & Johnson		47,552		7,871
Medtronic PLC		70,530		6,214
Merck & Co., Inc.		11,787		1,360
Pfizer, Inc.		34,982		1,283
Quest Diagnostics, Inc.		20,950		2,945
Roche Holding AG		5,479		1,674
Universal Health Services, Inc. - Class B		15,091		2,381
Zimmer Biomet Holdings, Inc.		34,421		5,012
Total				36,299
Industrials (9.9%)
Emerson Electric Co.		11,266		1,018
Norfolk Southern Corp.		6,381		1,447
nVent Electric PLC		38,138		1,971
Oshkosh Corp.		23,700		2,052
Raytheon Technologies Corp.		45,477		4,455
Siemens AG		6,896		1,148
Southwest Airlines Co.		53,139		1,924
United Parcel Service, Inc. - Class B		6,491		1,163
Total				15,178
Information Technology (6.9%)
Automatic Data Processing, Inc.		7,380		1,622
Cisco Systems, Inc.		49,645		2,568
F5, Inc. *		13,620		1,992
Juniper Networks, Inc.		34,019		1,066
TE Connectivity, Ltd.		12,576		1,763
Texas Instruments, Inc.		8,836		1,591
Total				10,602
Materials (3.3%)
Akzo Nobel NV		14,045		1,148
Packaging Corp. of America		15,157		2,003
Sonoco Products Co.		33,531		1,979
Total				5,130
Utilities (6.4%)
Duke Energy Corp.		30,002		2,692
Edison International		22,998		1,597
Eversource Energy		21,671		1,537

Common Stocks (96.2%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Pinnacle West Capital Corp.		18,370		1,497
Xcel Energy, Inc.		41,582		2,585
Total				9,908
Total Common Stocks     (Cost: $143,047)				147,934
Investment Companies (0.8%)
Investment Companies (0.8%)
iShares Russell 1000 Value ETF		7,260		1,146
Total				1,146
Total Investment Companies (Cost: $1,097)				1,146
Total Investments (97.0%) (Cost: $144,144)@				149,080
Other Assets, Less Liabilities (3.0%)				4,636
Net Assets (100.0%)				153,716

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

23

Large Company Value Portfolio

Over the Counter Derivatives

Forward Foreign Currency Contracts

Type	Counterparty	Currency		Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services LLC		CHF		1,280		1,443		9/29/23	$	1	$	—	$	1
Buy	Bank of America NA		EUR		209		230		9/29/23		—		(1)		(1)
Buy	Morgan Stanley Capital Services LLC		EUR		177		194		9/29/23		—		—π		—π
Sell	Morgan Stanley Capital Services LLC		EUR		6,443		7,061		9/29/23		—		(10)		(10)
Sell	Bank of America NA		GBP		2,460		3,125		9/29/23		3		—		3
										$	4	$	(11)	$	(7)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts		Swaps		Total		Forward Foreign Currency Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	$	4		—	$	4	$	(11)		—		—	$	(11)

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $144,144 and the net unrealized appreciation of investments based on that cost was $4,929 which is comprised of $13,132 aggregate gross unrealized appreciation and $8,203 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

π Amount is less than one thousand.

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

24

Large Company Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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
Consumer Staples	$	21,403	$	3,267	$	—
Energy		10,867		762		—
Health Care		34,625		1,674		—
Industrials		14,030		1,148		—
Materials		3,982		1,148		—
All Others		55,028		—		—
Investment Companies		1,146		—		—
Other Financial Instruments^
Forward Foreign Currency Contracts		—		4		—
Total Assets:	$	141,081	$	8,003	$	—
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		—		(11)		—
Total Liabilities:	$	—	$	(11)	$	—

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

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

25

Domestic Equity Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Health Care	18.7%
Information Technology	15.3%
Financials	14.1%
Industrials	12.6%
Consumer Staples	11.5%
Communication Services	8.4%
Consumer Discretionary	6.7%
Materials	3.2%
Real Estate	2.8%
Energy	2.8%
Utilities	2.7%
Short-Term Investments & Other Net Assets	1.2%

Sector Allocation is subject to change.

26

Domestic Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Communication Services (8.4%)
Comcast Corp. - Class A		808,411		33,589
Verizon Communications, Inc.		723,000		26,888
The Walt Disney Co. *		299,436		26,734
Total				87,211
Consumer Discretionary (6.7%)
Lowe’s Companies, Inc.		152,400		34,397
The TJX Cos., Inc.		408,400		34,628
Total				69,025
Consumer Staples (11.5%)
Archer-Daniels-Midland Co.		358,400		27,081
Conagra Brands, Inc.		894,233		30,153
Dollar General Corp.		190,440		32,333
Dollar Tree, Inc. *		210,300		30,178
Total				119,745
Energy (2.8%)
ConocoPhillips		277,500		28,752
Total				28,752

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Financials (14.1%)
The Allstate Corp.		282,005		30,750
American International Group, Inc.		578,000		33,258
Fidelity National Information Services, Inc.		537,427		29,397
Truist Financial Corp.		831,200		25,227
U.S. Bancorp		828,600		27,377
Total				146,009
Health Care (18.7%)
Baxter International, Inc.		729,500		33,236
Cigna Corp.		102,403		28,734
CVS Health Corp.		444,100		30,701
Hologic, Inc. *		423,488		34,290
Johnson & Johnson		198,000		32,773
Merck & Co., Inc.		298,000		34,386
Total				194,120
Industrials (12.6%)
Dover Corp.		214,342		31,648
Honeywell International, Inc.		172,660		35,827
Northrop Grumman Corp.		64,900		29,581
Raytheon Technologies Corp.		342,979		33,598
Total				130,654

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Information Technology (15.3%)
Broadcom, Inc.		36,200		31,401
Cisco Systems, Inc.		639,400		33,082
Cognizant Technology Solutions Corp. - Class A		434,718		28,378
Motorola Solutions, Inc.		114,900		33,698
Oracle Corp.		272,800		32,488
Total				159,047
Materials (3.2%)
DuPont de Nemours, Inc.		464,484		33,183
Total				33,183
Real Estate (2.8%)
Equity Residential		443,695		29,271
Total				29,271
Utilities (2.7%)
Edison International		407,100		28,273
Total				28,273
Total Common Stocks   (Cost: $875,872)				1,025,290
Total Investments (98.8%)   (Cost: $875,872)@				1,025,290
Other Assets, Less   Liabilities (1.2%)				12,685
Net Assets (100.0%)				1,037,975

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $875,872 and the net unrealized appreciation of investments based on that cost was $149,418 which is comprised of $231,050 aggregate gross unrealized appreciation and $81,632 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,025,290	$	—	$	—
Total Assets:	$	1,025,290	$	—	$	—

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

27

Equity Income Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Financials	19.5%
Health Care	17.5%
Industrials	11.8%
Information Technology	9.2%
Energy	8.1%
Consumer Staples	7.6%
Utilities	7.3%
Consumer Discretionary	5.2%
Communication Services	4.6%
Real Estate	4.1%
Materials	3.5%
Short-Term Investments & Other Net Assets	1.6%

Sector Allocation is subject to change.

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

28

Equity Income Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (97.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (4.6%)
AT&T, Inc.		61,563		982
Comcast Corp. - Class A		80,844		3,359
Meta Platforms, Inc. - Class A *		6,802		1,952
News Corp. - Class A		578,160		11,274
News Corp. - Class B		62,702		1,237
Paramount Global - Class B		18,800		299
Verizon Communications, Inc.		123,925		4,609
The Walt Disney Co. *		91,168		8,139
Total				31,851
Consumer Discretionary (5.2%)
Best Buy Co., Inc.		39,489		3,236
Kohl’s Corp.		133,647		3,081
Las Vegas Sands Corp. *		122,399		7,099
Mattel, Inc. *		254,759		4,978
Target Corp.		7,000		923
The TJX Cos., Inc.		49,581		4,204
Volkswagen AG, ADR		967,901		12,980
Total				36,501
Consumer Staples (7.6%)
Colgate-Palmolive Co.		42,400		3,267
Conagra Brands, Inc.		270,709		9,128
Constellation Brands, Inc. - Class A		17,200		4,233
Kenvue, Inc. *		53,754		1,420
Kimberly-Clark Corp.		60,711		8,382
Mondelez International, Inc.		13,400		977
Philip Morris International, Inc.		128,516		12,546
Tyson Foods, Inc. - Class A		112,238		5,729
Walmart, Inc.		45,412		7,138
Total				52,820
Energy (8.1%)
Chevron Corp.		14,699		2,313
Enbridge, Inc.		49,519		1,840
EOG Resources, Inc.		55,323		6,331
EQT Corp.		37,300		1,534
Exxon Mobil Corp.		94,935		10,182
Hess Corp.		43,700		5,941
Suncor Energy, Inc.		30,900		906
TC Energy Corp.		149,793		6,053
TotalEnergies SE, ADR		337,259		19,439
The Williams Cos., Inc.		62,800		2,049
Total				56,588

Common Stocks (97.9%)	Shares/ Par +		Value $ (000’s)
Financials (19.5%)
American International Group, Inc.		269,784		15,523
Apollo Global Management, Inc.		23,864		1,833
Bank of America Corp.		115,999		3,328
The Carlyle Group, Inc.		75,200		2,403
The Charles Schwab Corp.		58,927		3,340
Chubb, Ltd.		67,398		12,978
Citigroup, Inc.		68,611		3,159
Equitable Holdings, Inc.		405,236		11,006
Fifth Third Bancorp		275,073		7,210
Franklin Resources, Inc.		23,486		627
The Goldman Sachs Group, Inc.		6,480		2,090
The Hartford Financial Services Group, Inc.		92,264		6,645
Huntington Bancshares, Inc.		596,471		6,430
JPMorgan Chase & Co.		45,859		6,670
Loews Corp.		117,120		6,955
MetLife, Inc.		159,472		9,015
Morgan Stanley		53,158		4,540
The PNC Financial Services Group, Inc.		11,357		1,430
Raymond James Financial, Inc.		20,073		2,083
State Street Corp.		23,069		1,688
U.S. Bancorp		196,155		6,481
Wells Fargo & Co.		478,701		20,431
Total				135,865
Health Care (17.5%)
AbbVie, Inc.		47,584		6,411
AstraZeneca PLC, ADR		61,461		4,399
Becton Dickinson and Co.		56,026		14,791
Biogen, Inc. *		7,703		2,194
Cardinal Health, Inc.		29,075		2,750
Centene Corp. *		25,649		1,730
Cigna Corp.		25,281		7,094
CVS Health Corp.		104,811		7,246
Elevance Health, Inc.		34,708		15,420
GE HealthCare Technologies, Inc.		56,132		4,560
Humana, Inc.		1,100		492
Johnson & Johnson		87,636		14,506
Medtronic PLC		79,760		7,027
Merck & Co., Inc.		58,805		6,785
Pfizer, Inc.		191,992		7,042
Sanofi		108,609		5,854
Viatris, Inc.		408,800		4,080

Common Stocks (97.9%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Zimmer Biomet Holdings, Inc.		64,453		9,384
Total				121,765
Industrials (11.8%)
3M Co.		13,416		1,343
The Boeing Co. *		40,837		8,623
Cummins, Inc.		8,267		2,027
Flowserve Corp.		15,375		571
General Electric Co.		156,396		17,180
L3Harris Technologies, Inc.		60,172		11,780
Norfolk Southern Corp.		8,400		1,905
Siemens AG, ADR		94,514		7,883
Southwest Airlines Co.		180,600		6,540
Stanley Black & Decker, Inc.		84,706		7,938
Stericycle, Inc. *		79,613		3,697
Union Pacific Corp.		15,700		3,213
United Parcel Service, Inc. - Class B		54,976		9,854
Total				82,554
Information Technology (9.2%)
Accenture PLC - Class A		11,100		3,425
Applied Materials, Inc.		51,571		7,454
Cisco Systems, Inc.		30,519		1,579
Fiserv, Inc. *		64,047		8,079
Microsoft Corp.		36,062		12,281
QUALCOMM, Inc.		140,840		16,766
Samsung Electronics Co., Ltd.		93,550		5,156
TE Connectivity, Ltd.		20,173		2,827
Texas Instruments, Inc.		35,416		6,376
Total				63,943
Materials (3.5%)
CF Industries Holdings, Inc.		162,921		11,310
DuPont de Nemours, Inc.		4,985		356
International Flavors & Fragrances, Inc.		35,748		2,845
International Paper Co.		250,979		7,984
RPM International, Inc.		21,425		1,922
Total				24,417
Real Estate (4.1%)
Equity Residential		153,972		10,157
Rayonier, Inc.		175,020		5,496
Vornado Realty Trust		11,300		205
Welltower, Inc.		13,350		1,080
Weyerhaeuser Co.		353,320		11,840
Total				28,778

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

29

Equity Income Portfolio

Common Stocks (97.9%)	Shares/ Par +		Value $ (000’s)
Utilities (6.8%)
Ameren Corp.		49,818		4,069
Dominion Energy, Inc.		191,125		9,898
NextEra Energy, Inc.		30,809		2,286
NiSource, Inc.		61,846		1,691
PG&E Corp. *		59,424		1,027
Sempra Energy		49,095		7,148
The Southern Co.		302,140		21,225
Total				47,344
Total Common Stocks   (Cost: $558,655)				682,426
Convertible Preferred Stocks (0.5%)
Utilities (0.5%)
NextEra Energy, Inc., 6.926%, 8/28/25		28,779		1,303
NiSource, Inc., 7.750%, 2/29/24		21,078		2,145
Total				3,448
Total Convertible Preferred   Stocks (Cost: $3,511)				3,448
Total Investments (98.4%)   (Cost: $562,166)@				685,874
Other Assets, Less   Liabilities (1.6%)				11,216
Net Assets (100.0%)				697,090

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

* Non income producing

@ June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $562,166 and the net unrealized appreciation of investments based on that cost was $123,708 which is comprised of $152,115 aggregate gross unrealized appreciation and $28,407 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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
Information Technology	$	58,787	$	5,156	$	—
All Others		618,483		—		—
Convertible Preferred Stocks		3,448		—		—
Total Assets:	$	680,718	$	5,156	$	—

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

30

Mid Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Industrials	22.1%
Health Care	22.0%
Information Technology	18.3%
Financials	12.0%
Consumer Discretionary	11.5%
Energy	5.3%
Materials	4.2%
Communication Services	2.0%
Consumer Staples	1.2%
Utilities	0.9%
Real Estate	0.4%
Short-Term Investments & Other Net Assets	0.1%

Sector Allocation is subject to change.

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

31

Mid Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.0%)
Cable One, Inc.		13,221		8,687
CarGurus, Inc. *		232,752		5,267
Roku, Inc. *		108,440		6,936
Total				20,890
Consumer Discretionary (11.5%)
BorgWarner, Inc.		83,465		4,082
CarMax, Inc. *		172,127		14,407
Chewy, Inc. *		483,626		19,089
Choice Hotels International, Inc.		120,700		14,185
Deckers Outdoor Corp. *		15,904		8,392
Etsy, Inc. *		86,990		7,360
Hyatt Hotels Corp. - Class A		81,429		9,330
NVR, Inc. *		3,729		23,681
Visteon Corp. *		88,076		12,649
Vizio Holding Corp. *		616,852		4,164
YETI Holdings, Inc. *		128,793		5,002
Total				122,341
Consumer Staples (1.2%)
BJ’s Wholesale Club Holdings, Inc. *		89,241		5,623
Post Holdings, Inc. *		87,000		7,539
Total				13,162
Energy (5.3%)
Coterra Energy, Inc.		421,636		10,667
Marathon Oil Corp.		622,282		14,325
Ovintiv, Inc.		340,875		12,977
Targa Resources Corp.		236,829		18,023
Total				55,992
Financials (12.0%)
Credit Acceptance Corp. *		36,440		18,509
Hamilton Lane, Inc.		75,328		6,025
Host Hotels & Resorts, Inc.		323,699		5,448
M&T Bank Corp.		40,767		5,045
Markel Corp. *		13,404		18,540
Nuvei Corp. *		446,371		13,195
Shift4 Payments, Inc. *		318,383		21,621
Tradeweb Markets, Inc.		134,337		9,199
W.R. Berkley Corp.		83,567		4,977
WEX, Inc. *		119,249		21,712
White Mountains Insurance Group, Ltd.		2,712		3,767
Total				128,038

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Health Care (22.0%)
Acadia Healthcare Co., Inc. *		99,926		7,958
Agilon Health, Inc. *		486,878		8,442
Alnylam Pharmaceuticals, Inc. *		44,028		8,363
Apellis Pharmaceuticals, Inc. *		82,900		7,552
Bio-Techne Corp.		183,554		14,984
Exact Sciences Corp. *		231,873		21,773
ICON PLC *		46,852		11,722
Inari Medical, Inc. *		309,272		17,981
Insulet Corp. *		72,624		20,940
Jazz Pharmaceuticals PLC *		110,810		13,737
Molina Healthcare, Inc. *		15,701		4,730
Neurocrine Biosciences, Inc. *		107,955		10,180
PTC Therapeutics, Inc. *		232,966		9,475
Repligen Corp. *		78,699		11,133
Sage Therapeutics, Inc. *		140,217		6,593
Sarepta Therapeutics, Inc. *		83,414		9,553
Shockwave Medical, Inc. *		39,248		11,202
Ultragenyx Pharmaceutical, Inc. *		202,566		9,344
United Therapeutics Corp. *		75,263		16,614
Veeva Systems, Inc. - Class A *		63,181		12,493
Total				234,769
Industrials (22.1%)
AMERCO		221,144		11,205
Axon Enterprise, Inc. *		95,277		18,590
Builders FirstSource, Inc. *		83,802		11,397
Ceridian HCM Holding, Inc. *		77,941		5,220
Expeditors International of Washington, Inc.		108,863		13,187
Fortive Corp.		124,506		9,309
Genpact, Ltd.		450,406		16,922
GFL Environmental, Inc.		135,303		5,250
Graco, Inc.		153,003		13,212
IDEX Corp.		63,635		13,698
Ingersoll-Rand, Inc.		247,953		16,206

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Industrials continued
J.B. Hunt Transport Services, Inc.		70,151		12,699
Knight-Swift Transportation Holdings, Inc.		212,367		11,799
Lennox International, Inc.		57,061		18,606
Lincoln Electric Holdings, Inc.		56,369		11,197
The Middleby Corp. *		43,065		6,366
Robert Half International, Inc.		72,077		5,422
TransUnion		76,913		6,025
Watsco, Inc.		32,933		12,563
Westinghouse Air Brake Technologies Corp.		155,460		17,049
Total				235,922
Information Technology (18.3%)
ANSYS, Inc. *		18,663		6,164
CDW Corp.		46,678		8,565
Datadog, Inc. - Class A *		195,663		19,249
Dynatrace, Inc. *		394,089		20,284
F5, Inc. *		34,069		4,983
Fair Isaac Corp. *		20,885		16,900
First Solar, Inc. *		61,249		11,643
Flex, Ltd. *		196,127		5,421
HubSpot, Inc. *		27,505		14,635
Informatica, Inc. *		569,612		10,538
Lumentum Holdings, Inc. *		54,605		3,098
MKS Instruments, Inc.		98,977		10,700
MongoDB, Inc. *		52,464		21,562
Monolithic Power Systems, Inc.		20,971		11,329
Olo, Inc. *		363,891		2,351
Onto Innovation, Inc. *		22,124		2,577
Q2 Holdings, Inc. *		13,479		417
Silicon Laboratories, Inc. *		57,685		9,099
Super Micro Computer, Inc. *		15,596		3,887
VeriSign, Inc. *		53,154		12,011
Total				195,413
Materials (4.2%)
Ball Corp.		86,115		5,013
Celanese Corp. - Class A		49,323		5,712
Element Solutions, Inc.		557,055		10,695
FMC Corp.		76,359		7,967
Graphic Packaging Holding Co.		203,339		4,886

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

32

Mid Cap Growth Stock Portfolio

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Materials continued
Silgan Holdings, Inc.		221,649		10,393
Total				44,666
Real Estate (0.4%)
Rexford Industrial Realty, Inc.		86,896		4,538
Total				4,538
Utilities (0.9%)
Atmos Energy Corp.		41,325		4,808
NiSource, Inc.		163,861		4,481
Total				9,289
Total Common Stocks   (Cost: $954,668)				1,065,020
Total Investments (99.9%)   (Cost: $954,668)@				1,065,020
Other Assets, Less   Liabilities (0.1%)				1,471
Net Assets (100.0%)				1,066,491

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $954,668 and the net unrealized appreciation of investments based on that cost was $110,352 which is comprised of $186,400 aggregate gross unrealized appreciation and $76,048 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,065,020	$	—	$	—
Total Assets:	$	1,065,020	$	—	$	—

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

33

Index 400 Stock Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Industrials	22.6%
Consumer Discretionary	14.7%
Financials	13.1%
Information Technology	10.4%
Health Care	9.3%
Real Estate	7.3%
Materials	7.2%
Consumer Staples	4.3%
Energy	4.1%
Utilities	3.3%
Communication Services	2.1%
Short-Term Investments & Other Net Assets	1.6%

Sector Allocation is subject to change.

34

Index 400 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.1%)
Cable One, Inc.		2,491		1,637
Frontier Communications Parent, Inc. *		117,969		2,199
Iridium Communications, Inc.		66,534		4,133
The New York Times Co. - Class A		86,574		3,409
Nexstar Media Group, Inc.		18,946		3,156
TEGNA, Inc.		118,897		1,931
TripAdvisor, Inc. *		56,509		932
World Wrestling Entertainment, Inc.- Class A		22,932		2,487
Ziff Davis, Inc. *		24,983		1,750
ZoomInfo Technologies, Inc. *		142,426		3,616
Total				25,250
Consumer Discretionary (14.7%)
Adient PLC *		50,037		1,917
Aramark		137,697		5,928
Autoliv, Inc.		40,815		3,471
AutoNation, Inc. *		16,627		2,737
Boyd Gaming Corp.		40,568		2,814
Brunswick Corp.		37,362		3,237
Callaway Golf Co. *		73,550		1,460
Capri Holdings, Ltd. *		66,421		2,384
Carter’s, Inc.		19,913		1,446
Choice Hotels International, Inc.		14,010		1,646
Churchill Downs, Inc.		34,811		4,845
Columbia Sportswear Co.		18,684		1,443
Crocs, Inc. *		32,772		3,685
Deckers Outdoor Corp. *		13,927		7,349
Dick’s Sporting Goods, Inc.		32,490		4,295
Five Below, Inc. *		29,410		5,780
Foot Locker, Inc.		41,960		1,138
Fox Factory Holding Corp. *		22,351		2,425
GameStop Corp. - Class A *		133,631		3,241
The Gap, Inc.		112,722		1,007
Gentex Corp.		123,480		3,613
The Goodyear Tire & Rubber Co. *		149,753		2,049
Graham Holdings Co. - Class B		1,997		1,141
Grand Canyon Education, Inc. *		16,235		1,676
H&R Block, Inc.		80,461		2,564

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Harley-Davidson, Inc.		69,121		2,434
Helen of Troy, Ltd. *		12,701		1,372
Hilton Grand Vacations, Inc. *		40,615		1,846
KB Home		42,415		2,193
Kohl’s Corp.		58,514		1,349
Lear Corp.		31,186		4,477
Leggett & Platt, Inc.		70,332		2,083
Lithia Motors, Inc. - Class A		14,545		4,423
Macy’s, Inc.		143,888		2,309
Marriott Vacations Worldwide Corp.		19,449		2,387
Mattel, Inc. *		187,018		3,654
Murphy USA, Inc.		10,589		3,294
Nordstrom, Inc.		59,703		1,222
Ollie’s Bargain Outlet Holdings, Inc. *		30,415		1,762
Papa John’s International, Inc.		15,701		1,159
Penn National Gaming, Inc. *		81,429		1,957
Planet Fitness, Inc. *		44,889		3,027
Polaris, Inc.		28,264		3,418
PVH Corp.		33,175		2,819
RH *		9,435		3,110
Scientific Games Corp. - Class A *		48,144		3,310
Service Corp. International		79,873		5,159
Skechers USA, Inc. - Class A *		70,944		3,736
Taylor Morrison Home Corp. *		57,651		2,812
Tempur Sealy International, Inc.		90,916		3,643
Texas Roadhouse, Inc.		35,400		3,975
Thor Industries, Inc.		28,278		2,927
Toll Brothers, Inc.		54,412		4,302
TopBuild Corp. *		16,775		4,462
Travel + Leisure Co.		40,316		1,626
Under Armour, Inc. - Class A *		99,704		720
Under Armour, Inc. - Class C *		100,164		672
Valvoline, Inc.		73,399		2,753
Visteon Corp. *		14,979		2,151
The Wendy’s Co.		89,077		1,937
Williams-Sonoma, Inc.		34,694		4,342
Wingstop, Inc.		15,835		3,170
Wyndham Hotels & Resorts, Inc.		45,367		3,111
YETI Holdings, Inc. *		45,782		1,778
Total				180,172

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Consumer Staples (4.3%)
BellRing Brands, Inc. *		70,168		2,568
BJ’s Wholesale Club Holdings, Inc. *		71,006		4,474
The Boston Beer Co., Inc. - Class A *		4,960		1,530
Casey’s General Stores, Inc.		19,688		4,801
Celsius Holdings, Inc. *		21,503		3,208
Coca-Cola Consolidated, Inc.		2,432		1,547
Coty, Inc. - Class A *		193,753		2,381
Darling Ingredients, Inc. *		84,308		5,378
Energizer Holdings, Inc.		35,122		1,179
Flowers Foods, Inc.		101,849		2,534
Grocery Outlet Holding Corp. *		47,257		1,447
Ingredion, Inc.		34,881		3,696
Lancaster Colony Corp.		10,470		2,105
Performance Food Group Co. *		82,502		4,970
Pilgrim’s Pride Corp. *		23,765		511
Post Holdings, Inc. *		28,289		2,451
Sprouts Farmers Market, Inc. *		54,447		2,000
US Foods Holding Corp. *		119,743		5,269
Total				52,049
Energy (4.1%)
Antero Midstream Corp.		177,403		2,058
Antero Resources Corp. *		145,894		3,360
ChampionX Corp.		104,602		3,247
CNX Resources Corp. *		87,484		1,550
DT Midstream, Inc.		51,193		2,538
Equitrans Midstream Corp.		228,878		2,188
HF Sinclair Corp.		68,077		3,037
Matador Resources Co.		59,824		3,130
Murphy Oil Corp.		77,528		2,969
NOV, Inc.		208,030		3,337
Oasis Petroleum, Inc.		21,954		3,376
Ovintiv, Inc.		129,198		4,919
PBF Energy, Inc.		57,964		2,373
PDC Energy, Inc.		46,209		3,287
Range Resources Corp.		127,487		3,748
Southwestern Energy Co. *		581,871		3,497

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

35

Index 400 Stock Portfolio

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Energy continued
Valaris, Ltd. *		31,778		2,000
Total				50,614
Financials (13.1%)
Affiliated Managers Group, Inc.		19,075		2,859
American Financial Group, Inc.		36,905		4,382
Annaly Capital Management, Inc.		260,949		5,222
Associated Banc-Corp.		79,725		1,294
Bank OZK		56,954		2,287
Brighthouse Financial, Inc. *		35,327		1,673
Cadence Bank		96,532		1,896
Cathay General Bancorp		38,325		1,234
CNO Financial Group, Inc.		60,526		1,433
Columbia Banking System, Inc.		110,142		2,234
Commerce Bancshares, Inc.		59,966		2,920
Cullen/Frost Bankers, Inc.		34,026		3,659
East West Bancorp, Inc.		74,742		3,946
Essent Group, Ltd.		56,672		2,652
Euronet Worldwide, Inc. *		24,910		2,924
Evercore, Inc. - Class A		18,640		2,304
F.N.B. Corp.		190,774		2,182
Federated Hermes, Inc.		44,929		1,611
First American Financial Corp.		54,535		3,110
First Financial Bankshares, Inc.		68,627		1,955
First Horizon Corp.		284,160		3,202
FirstCash Holdings, Inc.		19,460		1,816
Glacier Bancorp, Inc.		58,580		1,826
Hancock Whitney Corp.		45,480		1,746
The Hanover Insurance Group, Inc.		18,876		2,134
Home BancShares, Inc.		99,651		2,272
Interactive Brokers Group, Inc. - Class A		54,418		4,521
International Bancshares Corp.		27,896		1,233
Janus Henderson Group PLC		70,022		1,908
Jefferies Financial Group, Inc.		98,658		3,272
Kemper Corp.		33,811		1,632
Kinsale Capital Group, Inc.		11,500		4,303
MGIC Investment Corp.		151,439		2,391
New York Community Bancorp, Inc.		381,546		4,289

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Financials continued
Old National Bancorp		154,599		2,155
Old Republic International Corp.		143,861		3,621
Pinnacle Financial Partners, Inc.		40,548		2,297
Primerica, Inc.		19,141		3,785
Prosperity Bancshares, Inc.		49,814		2,813
Reinsurance Group of America, Inc.		35,158		4,876
RenaissanceRe Holdings, Ltd.		26,541		4,950
RLI Corp.		21,422		2,923
SEI Investments Co.		53,530		3,191
Selective Insurance Group, Inc.		31,962		3,067
SLM Corp.		128,064		2,090
South State Corp.		40,115		2,640
Starwood Property Trust, Inc.		164,897		3,199
Stifel Financial Corp.		56,076		3,346
Synovus Financial Corp.		77,203		2,335
Texas Capital Bancshares, Inc. *		25,293		1,303
UMB Financial Corp.		23,067		1,405
United Bankshares, Inc.		71,110		2,110
Unum Group		97,877		4,669
Valley National Bancorp		222,725		1,726
Voya Financial, Inc.		51,922		3,723
Webster Financial Corp.		92,329		3,485
WEX, Inc. *		22,636		4,121
Wintrust Financial Corp.		32,332		2,348
Total				160,500
Health Care (9.3%)
Acadia Healthcare Co., Inc. *		48,628		3,873
Amedisys, Inc. *		17,217		1,574
Arrowhead Pharmaceuticals, Inc. *		56,482		2,014
Azenta, Inc. *		34,432		1,607
Bruker Corp.		52,717		3,897
Chemed Corp.		7,936		4,299
Doximity, Inc. *		62,719		2,134
Encompass Health Corp.		52,961		3,586
Enovis Corp. *		25,338		1,625
Envista Holdings Corp. *		86,494		2,927
Exelixis, Inc. *		172,055		3,288
Globus Medical, Inc. - Class A *		42,218		2,514
Haemonetics Corp. *		26,655		2,269

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Halozyme Therapeutics, Inc. *		69,575		2,510
HealthEquity, Inc. *		45,159		2,851
ICU Medical, Inc. *		10,680		1,903
Inari Medical, Inc. *		27,187		1,581
Integra LifeSciences Holdings Corp. *		37,649		1,549
Jazz Pharmaceuticals PLC *		33,818		4,192
Lantheus Holdings, Inc. *		36,105		3,030
LivaNova PLC *		28,409		1,461
Masimo Corp. *		25,656		4,222
Medpace Holdings, Inc. *		13,053		3,135
Neogen Corp. *		114,243		2,485
Neurocrine Biosciences, Inc. *		51,555		4,862
Omnicell, Inc. *		23,819		1,755
Option Care Health, Inc. *		87,382		2,839
Patterson Cos., Inc.		45,947		1,528
Penumbra, Inc. *		20,212		6,954
Perrigo Co. PLC		71,501		2,427
Progyny, Inc. *		40,634		1,599
QuidelOrtho Corp. *		28,517		2,363
R1 RCM, Inc. *		72,918		1,345
Repligen Corp. *		27,360		3,870
Shockwave Medical, Inc. *		19,352		5,523
Sotera Health Co. *		52,245		984
STAAR Surgical Co. *		25,537		1,342
Syneos Health, Inc. *		54,770		2,308
Tenet Healthcare Corp. *		53,859		4,383
United Therapeutics Corp. *		24,752		5,464
Total				114,072
Industrials (22.6%)
Acuity Brands, Inc.		16,801		2,740
Advanced Drainage Systems, Inc.		33,049		3,760
AECOM		73,442		6,220
AGCO Corp.		32,831		4,315
ASGN, Inc. *		26,048		1,970
Avis Budget Group, Inc. *		12,605		2,882
The Brink’s Co.		24,529		1,664
Builders FirstSource, Inc. *		67,720		9,210
BWX Technologies, Inc.		48,318		3,458
CACI International, Inc. - Class A *		12,043		4,105
Carlisle Cos., Inc.		26,930		6,908
Chart Industries, Inc. *		22,174		3,543
Clean Harbors, Inc. *		26,586		4,372
Concentrix Corp.		22,556		1,821
Crane Holdings Co.		25,478		1,438

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

36

Index 400 Stock Portfolio

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Crane NXT Co.		25,478		2,271
Curtiss-Wright Corp.		20,259		3,721
Donaldson Co., Inc.		64,078		4,006
EMCOR Group, Inc.		25,122		4,642
EnerSys		21,584		2,342
ESAB Corp.		27,364		1,821
ExlService Holdings, Inc. *		17,567		2,654
Exponent, Inc.		26,859		2,506
Flowserve Corp.		69,294		2,574
Fluor Corp. *		75,681		2,240
Fortune Brands Home & Security, Inc.		66,949		4,817
FTI Consulting, Inc. *		17,954		3,415
GATX Corp.		18,651		2,401
Genpact, Ltd.		89,515		3,363
Graco, Inc.		88,945		7,680
GXO Logistics, Inc. *		62,837		3,947
Hertz Global Holdings, Inc. *		83,281		1,532
Hexcel Corp.		44,579		3,389
Hubbell, Inc.		28,315		9,388
Insperity, Inc.		18,980		2,258
ITT, Inc.		43,537		4,058
JetBlue Airways Corp. *		173,251		1,535
KBR, Inc.		71,711		4,666
Kirby Corp. *		31,702		2,439
Knight-Swift Transportation Holdings, Inc.		85,083		4,727
Landstar System, Inc.		18,986		3,656
Lennox International, Inc.		17,070		5,566
Lincoln Electric Holdings, Inc.		30,420		6,042
ManpowerGroup, Inc.		26,643		2,115
MasTec, Inc. *		31,523		3,719
MAXIMUS, Inc.		32,116		2,714
MDU Resources Group, Inc.		107,595		2,253
Mercury Systems, Inc. *		30,746		1,064
The Middleby Corp. *		28,275		4,180
MSA Safety, Inc.		19,502		3,393
MSC Industrial Direct Co., Inc. - Class A		24,969		2,379
nVent Electric PLC		87,533		4,523
Oshkosh Corp.		34,510		2,988
Owens Corning, Inc.		47,610		6,213
Paylocity Holding Corp. *		21,823		4,027
Regal Rexnord Corp.		35,019		5,389
Ryder System, Inc.		24,565		2,083
Saia, Inc. *		14,019		4,800
Science Applications International Corp.		28,527		3,209
Simpson Manufacturing Co., Inc.		22,545		3,122
Stericycle, Inc. *		48,845		2,268

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Sunrun, Inc. *		113,922		2,035
Terex Corp.		35,823		2,143
Tetra Tech, Inc.		28,124		4,605
The Timken Co.		34,808		3,186
The Toro Co.		55,100		5,601
Trex Co., Inc. *		57,488		3,769
UFP Industries, Inc.		32,809		3,184
Univar Solutions, Inc. *		83,347		2,987
Valmont Industries, Inc.		11,125		3,238
Vicor Corp. *		11,838		639
Watsco, Inc.		17,659		6,736
Watts Water Technologies, Inc. - Class A		14,481		2,661
Werner Enterprises, Inc.		31,142		1,376
WESCO International, Inc.		23,839		4,269
Woodward, Inc.		31,720		3,772
XPO Logistics, Inc. *		61,215		3,612
Total				276,314
Information Technology (10.4%)
ACI Worldwide, Inc. *		57,233		1,326
Allegro Microsystems, Inc. *		34,447		1,555
Amkor Technology, Inc.		53,213		1,583
Arrow Electronics, Inc. *		29,846		4,275
Aspen Technology, Inc. *		15,424		2,585
Avnet, Inc.		48,292		2,436
Belden, Inc.		22,482		2,150
Blackbaud, Inc. *		23,906		1,702
Calix, Inc. *		30,451		1,520
Ciena Corp. *		78,811		3,349
Cirrus Logic, Inc. *		29,196		2,365
Cognex Corp.		91,196		5,109
Coherent Corp. *		73,642		3,754
CommVault Systems, Inc. *		23,234		1,687
Dropbox, Inc. *		143,695		3,832
Dynatrace, Inc. *		114,544		5,896
Envestnet, Inc. *		28,745		1,706
IPG Photonics Corp. *		16,497		2,241
Jabil, Inc.		70,106		7,567
Kyndryl Holdings, Inc. *		108,185		1,437
Lattice Semiconductor Corp. *		72,729		6,987
Littelfuse, Inc.		13,120		3,822
Lumentum Holdings, Inc. *		36,299		2,059
MACOM Technology Solutions Holdings, Inc. *		27,340		1,792
Manhattan Associates, Inc. *		32,773		6,551
MKS Instruments, Inc.		30,338		3,279

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
National Instruments Corp.		69,479		3,988
NCR Corp. *		74,446		1,876
Novanta, Inc. *		18,919		3,483
Power Integrations, Inc.		30,302		2,869
Qualys, Inc. *		17,740		2,291
Silicon Laboratories, Inc. *		16,906		2,667
Super Micro Computer, Inc. *		24,128		6,014
Synaptics, Inc. *		20,883		1,783
TD SYNNEX Corp.		21,936		2,062
Teradata Corp. *		53,418		2,853
Universal Display Corp.		23,009		3,316
Vishay Intertechnology, Inc.		67,411		1,982
Vontier Corp.		82,224		2,648
The Western Union Co.		197,856		2,321
Wolfspeed, Inc. *		65,768		3,656
Xerox Holdings Corp.		59,710		889
Total				127,263
Materials (7.2%)
Alcoa Corp.		94,261		3,198
AptarGroup, Inc.		34,619		4,011
Ashland Global Holdings, Inc.		25,666		2,231
Avient Corp.		45,232		1,850
Axalta Coating Systems, Ltd. *		117,050		3,840
Berry Global Group, Inc.		62,981		4,052
Cabot Corp.		29,666		1,984
The Chemours Co.		78,809		2,907
Cleveland-Cliffs, Inc. *		272,149		4,561
Commercial Metals Co.		61,880		3,259
Crown Holdings, Inc.		63,457		5,513
Eagle Materials, Inc.		19,049		3,551
Graphic Packaging Holding Co.		162,282		3,900
Greif, Inc. - Class A		13,747		947
Knife River Corp. *		26,899		1,170
Louisiana-Pacific Corp.		38,065		2,854
MP Materials Corp. *		48,801		1,117
NewMarket Corp.		3,509		1,411
Olin Corp.		63,523		3,264
Reliance Steel & Aluminum Co.		31,064		8,437
Royal Gold, Inc.		34,702		3,983
RPM International, Inc.		68,113		6,112
The Scotts Miracle-Gro Co.		21,627		1,356
Sensient Technologies Corp.		22,320		1,588
Silgan Holdings, Inc.		44,272		2,076
Sonoco Products Co.		51,756		3,055
United States Steel Corp.		119,651		2,992
Westlake Corp.		18,209		2,175

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

37

Index 400 Stock Portfolio

Common Stocks (98.4%)		Shares/ Par +		Value $ (000’s)
Materials continued
Worthington Industries, Inc.			16,036		1,114
	��
Total					88,508
Real Estate (7.3%)
Agree Realty Corp.			49,243		3,220
Apartment Income REIT Corp.			78,832		2,845
Brixmor Property Group, Inc.			158,799		3,494
Corporate Office Properties Trust			59,448		1,412
Cousins Properties, Inc.			80,150		1,827
CubeSmart LP			118,711		5,302
EastGroup Properties, Inc.			23,465		4,073
EPR Properties			39,775		1,861
First Industrial Realty Trust, Inc.			69,872		3,678
Healthcare Realty Trust, Inc.			201,210		3,795
Highwoods Properties, Inc.			55,720		1,332
Independence Realty Trust, Inc.			118,520		2,159
Jones Lang LaSalle, Inc. *			25,237		3,932
Kilroy Realty Corp.			55,694		1,676
Kite Realty Group Trust			115,884		2,589
Lamar Advertising Co. - Class A			46,225		4,588
Life Storage, Inc.			44,959		5,978
Medical Properties Trust, Inc.			316,120		2,927
National Retail Properties, Inc.			96,208		4,117
National Storage Affiliates Trust			43,390		1,511
Omega Healthcare Investors, Inc.			123,824		3,800
Park Hotels & Resorts, Inc.			113,931		1,461
Physicians Realty Trust			125,962		1,762
PotlatchDeltic Corp.			42,225		2,232
Rayonier, Inc.			78,315		2,459
Rexford Industrial Realty, Inc.			106,176		5,544
Sabra Health Care REIT, Inc.			122,155		1,438
Spirit Realty Capital, Inc.			74,656		2,940
STAG Industrial, Inc.			94,776		3,401
Vornado Realty Trust			85,162		1,545
Total					88,898
Utilities (3.3%)
ALLETE, Inc.			30,284		1,756
Black Hills Corp.			35,153		2,118
Essential Utilities, Inc.			127,117		5,073

Common Stocks (98.4%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Hawaiian Electric Industries, Inc.		57,894		2,096
IDACORP, Inc.		26,739		2,744
National Fuel Gas Co.		48,506		2,491
New Jersey Resources Corp.		51,232		2,418
NorthWestern Corp.		31,594		1,793
OGE Energy Corp.		105,825		3,800
ONE Gas, Inc.		29,244		2,246
Ormat Technologies, Inc.		27,761		2,234
PNM Resources, Inc.		45,352		2,045
Portland General Electric Co.		51,051		2,391
Southwest Gas Holdings, Inc.		34,676		2,207
Spire, Inc.		27,790		1,763
UGI Corp.		110,601		2,983
Total				40,158
Total Common Stocks (Cost: $906,366)				1,203,798
Short-Term Investments (0.1%)
Governments (0.1%)
US Treasury 0.000%, 10/26/23 b		1,130,000		1,111
Total				1,111
Total Short-Term Investments (Cost: $1,112)				1,111
Total Investments (98.5%) (Cost: $907,478)@				1,204,909
Other Assets, Less Liabilities (1.5%)				18,592
Net Assets (100.0%)				1,223,501

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

38

Index 400 Stock Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Variation Margin (000’s)
E-Mini S&P MidCap 400 Future		Long		USD		8		75		09/23	$	19,831	$	501	$	131
													$	501	$	131

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Variation Margin (000’s)

Market Value (000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$

–

$

131

$

131

$

–

$

–

$

–

$

–

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

* Non income producing

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

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $907,478 and the net unrealized appreciation of investments based on that cost was $297,932 which is comprised of $374,302 aggregate gross unrealized appreciation and $76,370 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,203,798	$	—	$	—
Short-Term Investments		—		1,111		—
Other Financial Instruments^
Futures		501		—		—
Total Assets:	$	1,204,299	$	1,111	$	—

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

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

39

Mid Cap Value Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Financials	17.6%
Industrials	16.4%
Health Care	14.5%
Utilities	9.7%
Consumer Staples	8.9%
Real Estate	7.4%
Information Technology	6.7%
Energy	5.2%
Materials	5.2%
Consumer Discretionary	3.3%
Communication Services	2.0%
Short-Term Investments & Other Net Assets	1.8%
Investment Companies	1.3%

Sector Allocation is subject to change.

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

40

Mid Cap Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (96.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.0%)
BCE Inc.		36,244		1,652
Fox Corp. - Class B		258,137		8,232
Omnicom Group, Inc.		34,206		3,255
Total				13,139
Consumer Discretionary (3.3%)
Aptiv PLC *		22,009		2,247
BorgWarner, Inc.		140,706		6,882
Compagnie Generaledes Etablissements Michelin		152,886		4,519
The Interpublic Group of Companies, Inc.		159,042		6,136
Sodexo SA		15,371		1,693
Total				21,477
Consumer Staples (8.9%)
Conagra Brands, Inc.		419,969		14,161
Dollar Tree, Inc. *		75,002		10,763
Henkel AG & Co. KGaA - Preference Shares		75,469		6,033
The J.M. Smucker Co.		32,069		4,735
Kimberly-Clark Corp.		68,295		9,429
Koninklijke Ahold Delhaize NV		387,662		13,223
Total				58,344
Energy (5.2%)
Baker Hughes		229,683		7,260
Devon Energy Corp.		98,006		4,738
Diamondback Energy, Inc.		37,980		4,989
Enterprise Products Partners LP		407,956		10,750
EQT Corp.		146,477		6,024
Total				33,761
Financials (17.6%)
Aflac, Inc.		106,359		7,424
The Allstate Corp.		134,242		14,638
The Bank of New York Mellon Corp.		309,034		13,758
Capitol Federal Financial, Inc.		296,117		1,827
The Charles Schwab Corp.		93,418		5,295
Comerica, Inc.		7,421		314
First Hawaiian, Inc.		350,345		6,310
The Hanover Insurance Group, Inc.		46,989		5,311
Northern Trust Corp.		198,819		14,740
Prosperity Bancshares, Inc.		65,976		3,726
Reinsurance Group of America, Inc.		61,605		8,544

Common Stocks (96.9%)	Shares/ Par +		Value $ (000’s)
Financials continued
T. Rowe Price Group, Inc.		83,161		9,316
Truist Financial Corp.		236,307		7,172
U.S. Bancorp		126,744		4,188
Westamerica Bancorporation		48,373		1,853
Willis Towers Watson PLC		44,193		10,407
Total				114,823
Health Care (14.5%)
AmerisourceBergen Corp.		34,680		6,673
Becton Dickinson and Co.		12,934		3,415
Cardinal Health, Inc.		67,506		6,384
Centene Corp. *		75,561		5,097
DENTSPLY SIRONA, Inc.		102,044		4,084
Embecta Corp.		157,677		3,406
Envista Holdings Corp. *		147,069		4,977
Henry Schein, Inc. *		155,918		12,645
Hologic, Inc. *		25,937		2,100
Laboratory Corp. of America Holdings		35,625		8,597
Quest Diagnostics, Inc.		74,275		10,440
Smith & Nephew PLC, ADR		23,104		745
Universal Health Services, Inc. - Class B		61,885		9,764
Zimmer Biomet Holdings, Inc.		115,661		16,840
Total				95,167
Industrials (16.4%)
Beacon Roofing Supply, Inc. *		59,637		4,949
Bunzl PLC		86,128		3,279
Cie de Saint-Gobain		137,333		8,366
Cummins, Inc.		18,581		4,555
Emerson Electric Co.		138,601		12,528
General Dynamics Corp.		10,788		2,321
Heartland Express, Inc.		282,822		4,641
Huntington Ingalls Industries, Inc.		44,106		10,039
IMI PLC		153,437		3,206
Legrand SA		26,947		2,673
MSC Industrial Direct Co., Inc. - Class A		103,235		9,836
nVent Electric PLC		128,983		6,665
Oshkosh Corp.		145,613		12,609
Republic Services, Inc.		20,987		3,215

Common Stocks (96.9%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Southwest Airlines Co.		307,984		11,152
VINCI SA		64,008		7,439
Total				107,473
Information Technology (6.7%)
Amdocs, Ltd.		86,055		8,507
Corning, Inc.		85,069		2,981
Electronic Arts, Inc.		28,431		3,687
F5, Inc. *		51,376		7,514
HP, Inc.		206,119		6,330
Juniper Networks, Inc.		166,894		5,229
TE Connectivity, Ltd.		49,727		6,970
Teradyne, Inc.		21,452		2,388
Total				43,606
Materials (5.2%)
Akzo Nobel NV		113,270		9,255
Amcor PLC		798,316		7,967
Axalta Coating Systems, Ltd. *		73,874		2,424
Packaging Corp. of America		84,102		11,115
Sonoco Products Co.		50,761		2,996
Total				33,757
Real Estate (7.4%)
Equinix, Inc.		1,665		1,305
Essex Property Trust, Inc.		32,586		7,635
Healthpeak Properties, Inc.		382,238		7,683
Public Storage		22,439		6,550
Realty Income Corp.		160,545		9,599
Regency Centers Corp.		135,920		8,396
VICI Properties, Inc.		52,788		1,659
Weyerhaeuser Co.		57,110		1,914
WP Carey, Inc.		52,449		3,543
Total				48,284
Utilities (9.7%)
Atmos Energy Corp.		30,089		3,501
Duke Energy Corp.		97,049		8,709
Edison International		208,378		14,472
Evergy, Inc.		96,106		5,615
Eversource Energy		67,922		4,817
NorthWestern Corp.		180,575		10,249
Pinnacle West Capital Corp.		64,968		5,292
Spire, Inc.		174,212		11,052
Total				63,707
Total Common Stocks (Cost: $633,563)				633,538

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

41

Mid Cap Value Portfolio

Investment Companies (1.3%)	Shares/ Par +		Value $ (000’s)
Investment Companies (1.3%)
iShares Russell Mid- Cap Value ETF		78,734		8,648
Total				8,648
Total Investment Companies (Cost: $8,621)				8,648
Total Investments (98.2%) (Cost: $642,184)@				642,186
Other Assets, Less Liabilities (1.8%)				11,891
Net Assets (100.0%)				654,077

Over the Counter Derivatives

Forward Foreign Currency Contracts

Type	Counterparty	Currency		Foreign Principal Amount Covered by Contract (000’s)		USD Principal Amount Covered by Contract (000’s)		Settlement Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Goldman Sachs International		CAD		1,352		1,022		9/29/23	$	—π	$	—π	$	—π
Sell	Morgan Stanley Capital Services LLC		EUR		40,621		44,515		9/29/23		—		(61)		(61)
Sell	Bank of America NA		GBP		4,720		5,995		9/29/23		2		(4)		(2)
										$	2	$	(65)	$	(63)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts		Swaps		Total		Forward Foreign Currency Contracts		Options		Swaps		Total
Total Over the Counter Derivatives		$            2		—		$                2		$            (65)		—		—		$            (65)

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $642,184 and the net unrealized depreciation of investments based on that cost was $61 which is comprised of $43,249 aggregate gross unrealized appreciation and $43,310 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

π Amount is less than one thousand.

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

42

Mid Cap Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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
Consumer Discretionary	$	15,265	$	6,212		$	—
Consumer Staples		39,088		19,256			—
Industrials		82,510		24,963			—
Materials		24,502		9,255			—
All Others		412,487		—			—
Investment Companies		8,648		—			—
Other Financial Instruments^
Forward Foreign Currency Contracts		—		2			—
Total Assets:	$	582,500	$	59,688		$	—
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		—		(65	)		—
Total Liabilities:	$	—	$	(65	)	$	—

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

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

43

Small Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Industrials	21.4%
Health Care	21.3%
Information Technology	20.7%
Consumer Discretionary	10.4%
Materials	4.7%
Financials	4.5%
Consumer Staples	4.5%
Energy	4.1%
Investment Companies	3.0%
Communication Services	2.0%
Real Estate	2.0%
Short-Term Investments & Other Net Assets	1.4%

Sector Allocation is subject to change.

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

44

Small Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (95.6%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.0%)
Bumble, Inc. *		157,989		2,651
Eventbrite, Inc. *		108,093		1,032
Ziff Davis, Inc. *		43,872		3,074
ZoomInfo Technologies, Inc. *		267,789		6,799
Total				13,556
Consumer Discretionary (10.4%)
Century Communities, Inc.		55,389		4,244
Crocs, Inc. *		65,733		7,391
Duolingo, Inc. *		27,421		3,919
European Wax Center, Inc. *		161,632		3,011
Fox Factory Holding Corp. *		71,631		7,773
Leslie’s, Inc. *		343,748		3,228
Patrick Industries, Inc.		34,412		2,753
Texas Roadhouse, Inc.		67,167		7,541
Visteon Corp. *		58,872		8,455
Wingstop, Inc.		40,487		8,104
Wyndham Hotels & Resorts, Inc.		92,381		6,335
YETI Holdings, Inc. *		175,063		6,799
Total				69,553
Consumer Staples (4.5%)
The Beauty Health Co. *		310,918		2,602
The Boston Beer Co., Inc. - Class A *		9,015		2,780
Celsius Holdings, Inc. *		27,567		4,113
Freshpet, Inc. *		76,078		5,007
Lancaster Colony Corp.		27,714		5,573
Performance Food Group Co. *		43,890		2,644
Sovos Brands, Inc. *		372,434		7,285
Total				30,004
Energy (4.1%)
Cactus, Inc.		62,827		2,659
Helmerich & Payne, Inc.		128,487		4,555
Magnolia Oil & Gas Corp.		329,951		6,896
Oasis Petroleum, Inc.		51,430		7,910
SM Energy Co.		173,067		5,474
Total				27,494
Financials (4.5%)
James River Group Holdings, Ltd.		4,297		78
MGIC Investment Corp.		409,916		6,473
Selective Insurance Group, Inc.		31,979		3,068
Shift4 Payments, Inc. *		46,749		3,175

Common Stocks (95.6%)	Shares/ Par +		Value $ (000’s)
Financials continued
Stifel Financial Corp.		93,695		5,591
Synovus Financial Corp.		97,219		2,941
Triumph Financial, Inc.		56,929		3,457
WEX, Inc. *		29,187		5,314
Total				30,097
Health Care (21.3%)
Aclaris Therapeutics, Inc. *		232,146		2,407
Alkermes PLC *		179,008		5,603
AtriCure, Inc. *		95,882		4,733
Blueprint Medicines Corp. *		78,888		4,986
Celldex Therapeutics, Inc. *		75,969		2,578
Crinetics Pharmaceuticals, Inc. *		112,973		2,036
Cytek Biosciences, Inc. *		226,876		1,938
Cytokinetics, Inc. *		88,992		2,903
Denali Therapeutics, Inc. *		113,301		3,343
Encompass Health Corp.		116,998		7,922
Ensign Group, Inc.		53,755		5,131
Geron Corp. *		773,961		2,484
Glaukos Corp. *		55,282		3,937
Haemonetics Corp. *		69,973		5,957
HealthEquity, Inc. *		92,327		5,830
ImmunoGen, Inc. *		221,783		4,185
Inari Medical, Inc. *		67,735		3,938
Inspire Medical Systems, Inc. *		16,295		5,290
Integra LifeSciences Holdings Corp. *		47,623		1,959
Intellia Therapeutics, Inc. *		47,844		1,951
Intra-Cellular Therapies, Inc. *		91,134		5,771
Karuna Therapeutics, Inc. *		10,367		2,248
Kymera Therapeutics, Inc. *		58,834		1,353
Lantheus Holdings, Inc. *		45,062		3,782
Morphic Holding, Inc. *		54,197		3,107
Novocure, Ltd. *		15,961		662
Nuvalent, Inc. - Class A *		55,500		2,340
Omnicell, Inc. *		78,841		5,808
Owens & Minor, Inc. *		144,534		2,752
Prothena Corp. PLC *		45,380		3,099

Common Stocks (95.6%)	Shares/ Par +		Value $ (000’s)
Health Care continued
PTC Therapeutics, Inc. *		49,344		2,007
QuidelOrtho Corp. *		35,295		2,925
Revance Therapeutics, Inc. *		120,051		3,038
Revolution Medicines, Inc. *		117,269		3,137
Sage Therapeutics, Inc. *		49,583		2,331
Shockwave Medical, Inc. *		8,432		2,407
Syndax Pharmaceuticals, Inc. *		104,534		2,188
Ultragenyx Pharmaceutical, Inc. *		39,666		1,830
Vaxcyte, Inc. *		91,197		4,554
Ventyx Biosciences, Inc. *		108,726		3,566
Veracyte, Inc. *		92,778		2,363
Zentalis Pharmaceuticals, Inc. *		61,727		1,741
Total				142,120
Industrials (21.4%)
Ameresco, Inc. *		54,254		2,638
Applied Industrial Technologies, Inc.		57,187		8,282
The AZEK Co., Inc. *		160,102		4,849
Boise Cascade Co.		38,284		3,459
CACI International, Inc. - Class A *		17,817		6,073
Casella Waste Systems, Inc. - Class A *		48,959		4,428
Ceridian HCM Holding, Inc. *		37,877		2,537
Chart Industries, Inc. *		43,245		6,910
Clean Harbors, Inc. *		20,892		3,435
Comfort Systems USA, Inc.		21,086		3,462
Curtiss-Wright Corp.		34,606		6,356
ExlService Holdings, Inc. *		27,563		4,164
Exponent, Inc.		16,105		1,503
Fluor Corp. *		151,562		4,486
Herc Holdings, Inc.		25,395		3,475
Hillman Solutions Corp. *		488,098		4,398
Insperity, Inc.		51,031		6,071
ITT, Inc.		61,143		5,699
John Bean Technologies Corp.		65,523		7,948

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

45

Small Cap Growth Stock Portfolio

Common Stocks (95.6%)	Shares/ Par +		Value $ (000’s)
Industrials continued
KBR, Inc.		98,437		6,404
Rush Enterprises, Inc.		54,354		3,301
Shoals Technologies Group, Inc. *		214,381		5,480
SPX Technologies, Inc. *		72,272		6,141
Tetra Tech, Inc.		16,811		2,753
TriNet Group, Inc. *		31,109		2,954
Verra Mobility Corp. *		454,184		8,957
Vicor Corp. *		48,219		2,604
WillScot Mobile Mini Holdings Corp. *		144,906		6,925
Zurn Water Solutions Corp.		284,180		7,642
Total				143,334
Information Technology (20.7%)
Alarm.com Holdings, Inc. *		95,283		4,924
Axcelis Technologies, Inc. *		35,457		6,500
Blackbaud, Inc. *		75,615		5,382
Braze, Inc. *		82,927		3,631
Cirrus Logic, Inc. *		47,380		3,838
DigitalOcean Holdings, Inc. *		96,924		3,891
EngageSmart, Inc. *		267,295		5,103
Fabrinet *		61,912		8,041
Five9, Inc. *		35,470		2,925
Grid Dynamics Holdings, Inc. *		108,735		1,006
Guidewire Software, Inc. *		59,713		4,543
Insight Enterprises, Inc. *		46,369		6,786
Intapp, Inc. *		79,552		3,334
Littelfuse, Inc.		13,852		4,035
Manhattan Associates, Inc. *		18,865		3,771
MKS Instruments, Inc.		42,823		4,629
Novanta, Inc. *		41,187		7,583
Onto Innovation, Inc. *		42,106		4,904
Perficient, Inc. *		51,547		4,295
Power Integrations, Inc.		79,556		7,532
PowerSchool Holdings, Inc. *		265,224		5,076
Rambus, Inc. *		73,017		4,686
Rapid7, Inc. *		24,867		1,126
Silicon Laboratories, Inc. *		31,578		4,981
Sprinklr, Inc. *		207,189		2,865
Sprout Social, Inc. *		99,815		4,607
Squarespace, Inc. *		154,410		4,870
Super Micro Computer, Inc. *		32,694		8,149
Workiva, Inc. *		50,794		5,164
Total				138,177

Common Stocks (95.6%)	Shares/ Par +		Value $ (000’s)
Materials (4.7%)
Axalta Coating Systems, Ltd. *		200,114		6,566
Cabot Corp.		106,717		7,138
Ingevity Corp. *		55,508		3,228
Livent Corp. *		319,923		8,776
Louisiana-Pacific Corp.		77,981		5,847
Total				31,555
Real Estate (2.0%)
Agree Realty Corp.		47,251		3,090
Phillips Edison & Co., Inc.		176,526		6,016
Ryman Hospitality Properties, Inc.		43,590		4,050
Total				13,156
Total Common Stocks (Cost: $556,992)				639,046
Investment Companies (3.0%)
Investment Companies (3.0%)
iShares Russell 2000 Growth ETF		83,780		20,330
Total				20,330
Total Investment Companies (Cost: $18,816)				20,330
Total Investments (98.6%) (Cost: $575,808)@				659,376
Other Assets, Less Liabilities (1.4%)				9,259
Net Assets (100.0%)				668,635

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

46

Small Cap Growth Stock Portfolio

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $575,808 and the net unrealized appreciation of investments based on that cost was $83,568 which is comprised of $113,578 aggregate gross unrealized appreciation and $30,010 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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	$	639,046	$	—	$	—
Investment Companies		20,330		—		—
Total Assets:	$	659,376	$	—	$	—

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

47

Index 600 Stock Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Industrials	17.8%
Financials	15.9%
Information Technology	14.2%
Consumer Discretionary	13.5%
Health Care	10.8%
Real Estate	7.6%
Materials	5.7%
Consumer Staples	4.9%
Energy	4.6%
Communication Services	2.5%
Utilities	2.1%
Short-Term Investments & Other Net Assets	0.4%

Sector Allocation is subject to change.

48

Index 600 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.5%)
AMC Networks, Inc. - Class A *		11,861		142
ATN International, Inc.		4,305		158
CarGurus, Inc. *		36,216		820
Cars.com, Inc. *		25,154		498
Cinemark Holdings, Inc. *		43,859		724
Cogent Communications Holdings, Inc.		17,427		1,173
Consolidated Communications Holdings, Inc. *		30,545		117
DISH Network Corp. - Class A *		102,554		676
The E.W. Scripps Co. - Class A *		23,716		217
Gogo, Inc. *		26,587		452
John Wiley & Sons, Inc. - Class A		17,310		589
Lumen Technologies, Inc.		374,521		846
The Marcus Corp.		9,992		148
QuinStreet, Inc. *		20,995		185
Scholastic Corp.		11,833		460
Shenandoah Telecommunications Co.		20,371		396
Shutterstock, Inc.		9,791		476
TechTarget, Inc. *		10,472		326
Telephone and Data Systems, Inc.		40,059		330
Thryv Holdings, Inc. *		12,564		309
Yelp, Inc. *		27,902		1,016
Total				10,058
Consumer Discretionary (13.5%)
The Aaron’s Co., Inc.		12,656		179
Abercrombie & Fitch Co. - Class A *		20,290		765
Academy Sports & Outdoors, Inc.		31,248		1,689
Adtalem Global Education, Inc. *		17,680		607
American Axle & Manufacturing Holdings, Inc. *		47,776		395
American Eagle Outfitters, Inc.		74,398		878
America’s Car-Mart, Inc. *		2,350		234
Asbury Automotive Group, Inc. *		8,729		2,099
BJ’s Restaurants, Inc. *		9,549		304
Bloomin’ Brands, Inc.		35,388		952

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Boot Barn Holdings, Inc. *		12,086		1,024
Brinker International, Inc. *		17,959		657
The Buckle, Inc.		12,071		418
Caleres, Inc.		14,857		356
Cavco Industries, Inc. *		3,277		967
Century Communities, Inc.		11,557		885
The Cheesecake Factory, Inc.		19,362		670
Chico’s FAS, Inc. *		50,045		268
Chuy’s Holdings, Inc. *		7,349		300
Cracker Barrel Old Country Store, Inc.		8,979		837
Dana Holding Corp.		52,059		885
Dave & Buster’s Entertainment, Inc. *		16,235		723
Designer Brands, Inc.		20,673		209
Dine Brands Global, Inc.		6,356		369
Dorman Products, Inc. *		11,478		905
El Pollo Loco Holdings, Inc.		7,588		67
Ethan Allen Interiors, Inc.		9,251		262
Frontdoor, Inc. *		33,131		1,057
Gentherm, Inc. *		13,427		759
G-III Apparel Group, Ltd. *		16,634		321
Golden Entertainment, Inc. *		8,976		375
Green Brick Partners, Inc. *		10,883		618
Group 1 Automotive, Inc.		5,733		1,480
Guess?, Inc.		12,144		236
Hanesbrands, Inc.		141,686		643
Haverty Furniture Cos., Inc.		5,571		168
Hibbett, Inc.		5,169		188
Installed Building Products, Inc.		9,441		1,323
iRobot Corp. *		11,039		499
Jack in the Box, Inc.		8,351		814
Kontoor Brands, Inc.		20,231		852
La-Z-Boy, Inc.		17,488		501
LCI Industries		10,252		1,295
Leslie’s, Inc. *		60,379		567
LGI Homes, Inc. *		8,395		1,132
M.D.C. Holdings, Inc.		23,706		1,109
M/I Homes, Inc. *		11,284		984
MarineMax, Inc. *		8,838		302
Meritage Homes Corp.		14,901		2,120

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Mister Car Wash, Inc. *		32,251		311
Monarch Casino & Resort, Inc.		5,412		381
Monro, Inc.		12,730		517
Movado Group, Inc.		6,499		174
National Vision Holdings, Inc. *		31,652		769
The ODP Corp. *		13,771		645
Oxford Industries, Inc.		6,013		592
Patrick Industries, Inc.		8,596		688
Perdoceo Education Corp. *		27,358		336
Rent-A-Center, Inc.		20,405		635
Sabre Corp. *		134,616		429
Sally Beauty Holdings, Inc. *		43,606		539
Shake Shack, Inc. - Class A *		15,176		1,179
Shoe Carnival, Inc.		6,915		162
Signet Jewelers, Ltd.		18,291		1,194
Six Flags Entertainment Corp. *		30,053		781
Sleep Number Corp. *		8,956		244
Sonic Automotive, Inc. - Class A		6,449		307
Sonos, Inc. *		52,015		849
Standard Motor Products, Inc.		7,638		287
Steven Madden, Ltd.		28,963		947
Strategic Education, Inc.		9,073		615
Stride, Inc. *		16,574		617
Sturm, Ruger & Co., Inc.		7,179		380
TRI Pointe Homes, Inc. *		40,576		1,333
Urban Outfitters, Inc. *		24,395		808
Victoria’s Secret & Co. *		31,752		553
Vista Outdoor, Inc. *		23,143		640
Winnebago Industries, Inc.		12,386		826
Wolverine World Wide, Inc.		32,199		473
XPEL, Inc. *		7,947		669
Total				54,127
Consumer Staples (4.9%)
The Andersons, Inc.		12,756		589
B&G Foods, Inc.		29,271		407
Calavo Growers, Inc.		7,193		209
Cal-Maine Foods, Inc.		15,401		693
Central Garden & Pet Co. *		3,901		151

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

49

Index 600 Stock Portfolio

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Consumer Staples continued
Central Garden & Pet Co. - Class A *		16,743		610
The Chefs’ Warehouse, Inc. *		14,266		510
e.l.f. Beauty, Inc. *		20,522		2,344
Edgewell Personal Care Co.		20,743		857
Fresh Del Monte Produce, Inc.		12,449		320
The Hain Celestial Group, Inc. *		36,262		454
Hostess Brands, Inc. *		53,847		1,363
Inter Parfums, Inc.		7,266		983
J & J Snack Foods Corp.		6,087		964
John B. Sanfilippo & Son, Inc.		3,630		426
Medifast, Inc.		4,413		407
MGP Ingredients, Inc.		6,246		664
National Beverage Corp. *		9,459		457
Nu Skin Enterprises, Inc.		20,231		672
PriceSmart, Inc.		10,180		754
Seneca Foods Corp. - Class A *		2,125		69
The Simply Good Foods Co. *		34,287		1,255
SpartanNash Co.		14,238		320
Tootsie Roll Industries, Inc.		7,290		258
TreeHouse Foods, Inc. *		20,542		1,035
United Natural Foods, Inc. *		24,078		471
Universal Corp.		9,952		497
USANA Health Sciences, Inc. *		4,539		286
Vector Group, Ltd.		53,744		688
WD-40 Co.		5,502		1,038
Total				19,751
Energy (4.6%)
Archrock, Inc.		54,644		560
Baytex Energy Corp. *		2,903		9
Bristow Group, Inc. *		9,545		274
California Resources Corp.		28,593		1,295
Callon Petroleum Co. *		20,818		730
Civitas Resources, Inc.		19,886		1,379
Comstock Resources, Inc.		37,124		431
CONSOL Energy, Inc.		12,923		876
Core Laboratories, Inc.		18,919		440
CVR Energy, Inc.		11,817		354
Dorian LPG, Ltd.		12,909		331
Dril-Quip, Inc. *		13,813		321
Green Plains, Inc. *		24,125		778
Helix Energy Solutions Group, Inc. *		57,746		426

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Energy continued
Helmerich & Payne, Inc.		41,594		1,475
Laredo Petroleum, Inc. *		7,539		340
Nabors Industries, Ltd. *		3,664		341
NexTier Oilfield Solutions, Inc. *		60,746		543
Northern Oil and Gas, Inc.		32,818		1,126
Oceaneering International, Inc. *		40,859		764
Oil States International, Inc. *		25,935		194
Par Pacific Holdings, Inc. *		22,764		606
Patterson-UTI Energy, Inc.		84,433		1,011
ProPetro Holding Corp. *		39,274		324
REX American Resources Corp. *		6,167		215
RPC, Inc.		33,674		241
SM Energy Co.		48,854		1,545
Talos Energy, Inc. *		43,771		607
US Silica Holdings, Inc. *		31,554		383
World Fuel Services Corp.		25,184		521
Total				18,440
Financials (15.9%)
Ambac Financial Group, Inc. *		18,370		262
American Equity Investment Life Holding Co.		25,593		1,334
Ameris Bancorp		26,436		904
AMERISAFE, Inc.		7,764		414
Apollo Commercial Real Estate Finance, Inc.		52,710		597
Arbor Realty Trust, Inc.		73,552		1,090
ARMOUR Residential REIT, Inc.		79,245		422
Artisan Partners Asset Management, Inc.		27,747		1,091
Assured Guaranty, Ltd.		24,038		1,341
Atlantic Union Bankshares Corp.		30,397		789
Axos Financial, Inc. *		21,326		841
B. Riley Financial, Inc.		6,388		294
Banc of California, Inc.		21,734		252
BancFirst Corp.		7,068		650
The Bancorp, Inc. *		22,169		724
Bank of Hawaii Corp.		16,071		663
BankUnited, Inc.		30,163		650
Banner Corp.		13,919		608
Berkshire Hills Bancorp, Inc.		17,949		372

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Financials continued
Blucora, Inc. *		15,644		350
Brightsphere Investment Group, Inc.		13,121		275
Brookline Bancorp, Inc.		35,589		311
Capitol Federal Financial, Inc.		51,336		317
Central Pacific Financial Corp.		10,954		172
City Holding Co.		6,107		550
Community Bank System, Inc.		21,777		1,021
Customers Bancorp, Inc. *		11,909		360
CVB Financial Corp.		53,075		705
Dime Community Bancshares, Inc.		13,223		233
Donnelley Financial Solutions, Inc. *		10,259		467
Eagle Bancorp, Inc.		12,454		264
Ellington Financial, Inc.		25,856		357
Employers Holdings, Inc.		10,894		408
Encore Capital Group, Inc. *		9,520		463
Enova International, Inc. *		12,654		672
EVERTEC, Inc.		26,377		971
EZCORP, Inc. - Class A *		21,263		178
FB Financial Corp.		14,232		399
First Bancorp		89,492		1,385
First Commonwealth Financial Corp.		41,704		528
First Financial Bancorp		38,569		788
First Hawaiian, Inc.		51,720		931
Franklin BSP Realty Trust, Inc.		33,347		472
Fulton Financial Corp.		67,076		800
Genworth Financial, Inc. - Class A *		193,751		969
Green Dot Corp. - Class A *		18,779		352
Hanmi Financial Corp.		12,169		182
HCI Group, Inc.		2,792		172
Heritage Financial Corp.		14,218		230
Hilltop Holdings, Inc.		18,714		589
Hope Bancorp, Inc.		48,634		409
Horace Mann Educators Corp.		16,555		491
Independent Bank Corp.		17,886		796
Independent Bank Group, Inc.		14,394		497
Invesco Mortgage Capital, Inc.		16,884		194
James River Group Holdings, Ltd.		15,234		278

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

50

Index 600 Stock Portfolio

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Financials continued
KKR Real Estate Finance Trust, Inc.		23,531		286
Lakeland Financial Corp.		10,309		500
Mercury General Corp.		10,772		326
Meta Financial Group, Inc.		10,910		506
Moelis & Co.		26,981		1,223
Mr. Cooper Group, Inc. *		27,585		1,397
National Bank Holding Corp. - Class A		15,287		444
Navient Corp.		39,985		743
NBT Bancorp, Inc.		17,389		554
New York Mortgage Trust, Inc.		36,960		367
NMI Holdings, Inc. - Class A *		33,762		872
Northfield Bancorp, Inc.		16,578		182
Northwest Bancshares, Inc.		51,497		546
OFG Bancorp		19,265		502
Pacific Premier Bancorp, Inc.		38,843		803
PacWest Bancorp		47,845		390
Palomar Holdings, Inc. *		10,077		585
Park National Corp.		5,836		597
Payoneer Global, Inc. *		83,533		402
PennyMac Mortgage Investment Trust		35,482		478
Piper Sandler Cos.		5,981		773
PRA Group, Inc. *		15,874		363
Preferred Bank		5,357		295
ProAssurance Corp.		21,903		331
PROG Holdings, Inc. *		18,949		609
Provident Financial Services, Inc.		30,596		500
Radian Group, Inc.		63,373		1,602
Ready Capital Corp.		65,404		738
Redwood Trust, Inc.		46,220		294
Renasant Corp.		22,736		594
S&T Bancorp, Inc.		15,795		429
Safety Insurance Group, Inc.		6,026		432
Seacoast Banking Corp. of Florida		33,956		750
ServisFirst Bancshares, Inc.		19,804		810
Simmons First National Corp. - Class A		51,612		890
SiriusPoint, Ltd. *		34,634		313
Southside Bancshares, Inc.		11,911		312
Stellar Bancorp, Inc.		18,365		420
Stewart Information Services Corp.		11,045		454
StoneX Group, Inc. *		7,147		594

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Financials continued
Tompkins Financial Corp.		5,100		284
Triumph Financial, Inc.		8,906		541
Trupanion, Inc. *		14,355		282
TrustCo Bank Corp.		7,710		221
Trustmark Corp.		24,753		523
Two Harbors Investment Corp.		39,194		544
United Community Banks, Inc.		46,675		1,166
United Fire Group, Inc.		8,799		199
Universal Insurance Holdings, Inc.		11,460		177
Veritex Holdings, Inc.		22,000		394
Virtus Investment Partners, Inc.		2,777		548
Walker & Dunlop, Inc.		12,569		994
Washington Federal, Inc.		26,666		707
Westamerica Bancorporation		10,802		414
WisdomTree Investments, Inc.		45,987		315
World Acceptance Corp. *		1,400		188
WSFS Financial Corp.		24,910		940
Total				63,477
Health Care (10.8%)
AdaptHealth LLC *		31,001		377
Addus HomeCare Corp. *		6,568		609
Agiliti, Inc. *		13,592		224
Allscripts Healthcare Solutions, Inc. *		44,294		558
AMN Healthcare Services, Inc. *		16,069		1,753
Amphastar Pharmaceuticals, Inc. *		15,260		877
AngioDynamics, Inc. *		16,363		171
ANI Pharmaceuticals, Inc. *		5,643		304
Anika Therapeutics, Inc. *		5,913		154
Apollo Medical Holdings, Inc. *		16,329		516
Arcus Biosciences, Inc. *		21,339		433
Artivion, Inc. *		16,510		284
Avanos Medical, Inc. *		18,916		483
Avid Bioservices, Inc. *		25,354		354
BioLife Solutions, Inc. *		14,093		311
Catalyst Pharmaceuticals, Inc. *		39,520		531
Certara, Inc. *		42,759		779
Coherus Biosciences, Inc. *		26,548		113

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Collegium Pharmaceutical, Inc. *		14,182		305
Community Health Systems, Inc. *		53,100		234
Computer Programs and Systems, Inc. *		5,844		144
CONMED Corp.		12,393		1,684
Corcept Therapeutics, Inc. *		36,639		815
CorVel Corp. *		3,686		713
Cross Country Healthcare, Inc. *		13,836		389
Cytek Biosciences, Inc. *		33,057		282
Cytokinetics, Inc. *		38,768		1,265
Dynavax Technologies Corp. *		48,443		626
Embecta Corp.		23,224		502
Emergent BioSolutions, Inc. *		18,250		134
Enanta Pharmaceuticals, Inc. *		8,187		175
Enhabit, Inc. *		20,309		234
Ensign Group, Inc.		22,691		2,166
Fulgent Genetics, Inc. *		8,068		299
Glaukos Corp. *		19,541		1,391
Harmony Biosciences Holdings, Inc. *		12,150		428
HealthStream, Inc.		9,827		241
Innoviva, Inc. *		23,896		304
Integer Holdings Corp. *		13,487		1,195
Ironwood Pharmaceuticals, Inc. *		54,797		583
iTeos Therapeutics, Inc. *		10,378		137
LeMaitre Vascular, Inc.		7,903		532
Ligand Pharmaceuticals, Inc. - Class B *		6,650		479
MEDNAX, Inc. *		33,474		476
Merit Medical Systems, Inc. *		23,303		1,949
Mesa Laboratories, Inc.		2,037		262
ModivCare, Inc. *		5,147		233
Myriad Genetics, Inc. *		33,058		766
NeoGenomics, Inc. *		51,712		831
NextGen Healthcare, Inc. *		21,684		352
NuVasive, Inc. *		21,261		884
OmniAb, Inc. - 12.50 Earnout Consideration *,Æ		2,585		–
OmniAb, Inc. - 15.00 Earnout Consideration *,Æ		2,585		–

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

51

Index 600 Stock Portfolio

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Health Care continued
OraSure Technologies, Inc. *		29,845		150
Orthofix Medical, Inc. *		14,209		257
Owens & Minor, Inc. *		30,889		588
Pacira Biosciences, Inc. *		18,640		747
Phibro Animal Health Corp. - Class A		8,351		114
Prestige Consumer
Healthcare, Inc. *		20,137		1,197
Privia Health Group, Inc. *		37,976		992
RadNet, Inc. *		23,248		758
REGENXBIO, Inc. *		15,335		307
Schrodinger, Inc. *		21,741		1,085
Select Medical Holdings Corp.		42,253		1,346
Simulations Plus, Inc.		6,405		278
Supernus Pharmaceuticals, Inc. *		22,085		664
Tandem Diabetes Care, Inc. *		26,195		643
UFP Technologies, Inc. *		2,808		544
uniQure NV *		16,976		195
US Physical Therapy, Inc.		5,971		725
Vanda Pharmaceuticals, Inc. *		23,337		154
Varex Imaging Corp. *		16,376		386
Vericel Corp. *		19,284		724
Vir Biotechnology, Inc. *		30,957		759
Xencor, Inc. *		24,483		611
Zynex, Inc. *		9,180		88
Total				43,153
Industrials (17.8%)
3D Systems Corp. *		53,186		528
AAON, Inc.		17,372		1,647
AAR Corp. *		13,362		772
ABM Industries, Inc.		26,789		1,143
Aerojet Rocketdyne Holdings, Inc. *		30,764		1,688
Aerovironment, Inc. *		10,240		1,047
Alamo Group, Inc.		4,183		769
Albany International Corp. - Class A		12,635		1,179
Allegiant Travel Co. *		6,351		802
American Woodmark Corp. *		6,743		515
Apogee Enterprises, Inc.		9,034		429
Applied Industrial Technologies, Inc.		15,667		2,269
ArcBest Corp.		9,708		959
Arcosa, Inc.		19,633		1,488
Astec Industries, Inc.		9,209		418
AZZ, Inc.		10,096		439

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Barnes Group, Inc.		20,516		866
Boise Cascade Co.		16,047		1,450
Brady Corp. - Class A		18,689		889
CIRCOR International, Inc. *		8,265		467
Comfort Systems USA, Inc.		14,497		2,380
CoreCivic, Inc. *		46,071		433
CSG Systems International, Inc.		12,320		650
Deluxe Corp.		17,618		308
DXP Enterprises, Inc. *		5,912		215
Dycom Industries, Inc. *		11,898		1,352
Encore Wire Corp.		7,281		1,354
Enerpac Tool Group Corp.		23,179		626
EnPro Industries, Inc.		8,463		1,130
ESCO Technologies, Inc.		10,442		1,082
Federal Signal Corp.		24,678		1,580
Forrester Research, Inc. *		4,629		135
Forward Air Corp.		10,520		1,116
Franklin Electric Co., Inc.		15,727		1,618
The GEO Group, Inc. *		51,083		366
Gibraltar Industries, Inc. *		12,328		776
GMS, Inc. *		16,742		1,159
Granite Construction, Inc.		17,786		707
The Greenbrier Cos., Inc.		12,940		558
Griffon Corp.		19,245		776
Harsco Corp. *		32,320		319
Hawaiian Holdings, Inc. *		20,804		224
Healthcare Services Group, Inc.		30,070		449
Heartland Express, Inc.		18,886		310
Heidrick & Struggles International, Inc.		8,244		218
Hillenbrand, Inc.		28,199		1,446
HNI Corp.		18,813		530
Hub Group, Inc. - Class A *		13,282		1,067
Insteel Industries, Inc.		7,882		245
Interface, Inc.		23,539		207
John Bean Technologies Corp.		12,898		1,564
Kaman Corp.		11,419		278
KAR Auction Services, Inc. *		44,265		674
Kelly Services, Inc. - Class A		13,275		234
Kennametal, Inc.		32,540		924
Korn Ferry		21,242		1,052
Lindsay Corp.		4,462		532

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Liquidity Services, Inc. *		9,383		155
Marten Transport, Ltd.		23,371		502
Masterbrand, Inc. *		52,091		606
Matson, Inc.		14,533		1,130
Matthews International Corp. - Class A		12,344		526
MillerKnoll, Inc.		30,656		453
Moog, Inc. - Class A		11,638		1,262
Mueller Industries, Inc.		23,100		2,016
MYR Group, Inc. *		6,772		937
National Presto Industries, Inc.		2,092		153
NOW, Inc. *		43,365		449
NV5 Global, Inc. *		5,095		564
PGT Innovations, Inc. *		23,804		694
Pitney Bowes, Inc.		67,522		239
Powell Industries, Inc.		3,778		229
Proto Labs, Inc. *		10,622		371
Quanex Building Products Corp.		13,474		362
Resideo Technologies, Inc. *		59,634		1,053
Resources Connection, Inc.		12,942		203
RXO, Inc. *		47,391		1,074
SkyWest, Inc. *		18,013		733
SPX Technologies, Inc. *		18,442		1,567
Standex International Corp.		4,825		683
Sun Country Airlines Holdings, Inc. *		14,827		333
SunPower Corp. *		34,755		341
Tennant Co.		7,503		609
Titan International, Inc. *		20,727		238
Trinity Industries, Inc.		32,894		846
Triumph Group, Inc. *		26,356		326
TrueBlue, Inc. *		12,575		223
TTEC Holdings, Inc.		7,632		258
UniFirst Corp.		6,121		949
Veritiv Corp.		5,491		690
Verra Mobility Corp. *		56,692		1,118
Viad Corp. *		8,671		233
Wabash National Corp.		19,245		493
Total				70,976
Information Technology (14.2%)
8x8, Inc. *		47,232		200
A10 Networks, Inc.		26,088		381
Adeia, Inc.		43,102		475
Adtran Holdings, Inc.		29,434		310
Advanced Energy Industries, Inc.		15,214		1,696
Agilysys, Inc. *		8,072		554
Alarm.com Holdings, Inc. *		20,204		1,044

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

52

Index 600 Stock Portfolio

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Alliance Data Systems Corp.		20,319		638
Alpha & Omega Semiconductor, Ltd. *		9,031		296
Arlo Technologies, Inc. *		37,286		407
Avid Technology, Inc. *		13,499		344
Axcelis Technologies, Inc. *		13,258		2,431
Badger Meter, Inc.		11,882		1,753
Benchmark Electronics, Inc.		14,355		371
Cerence, Inc. *		16,341		478
CEVA, Inc. *		9,497		243
Clearfield, Inc. *		5,132		243
Cohu, Inc. *		19,271		801
Consensus Cloud Solutions, Inc. *		7,094		220
Corsair Gaming, Inc. *		16,783		298
CTS Corp.		12,786		545
Digi International, Inc. *		14,539		573
Digital Turbine, Inc. *		36,595		340
Diodes, Inc. *		18,531		1,714
DoubleVerify Holdings, Inc. *		35,722		1,390
Ebix, Inc.		9,521		240
ePlus, Inc. *		10,907		614
Extreme Networks, Inc. *		52,284		1,362
Fabrinet *		14,712		1,911
FormFactor, Inc. *		31,270		1,070
Harmonic, Inc. *		45,134		730
Ichor Holdings, Ltd. *		11,782		442
Insight Enterprises, Inc. *		11,731		1,717
InterDigital, Inc.		10,839		1,046
Itron, Inc. *		18,411		1,327
Knowles Corp. *		37,058		669
Kulicke and Soffa Industries, Inc.		22,933		1,363
LiveRamp Holdings, Inc. *		26,235		749
MaxLinear, Inc. - Class A *		29,828		941
Methode Electronics, Inc. - Class A		14,589		489
N-able, Inc. *		27,303		393
NETGEAR, Inc. *		11,890		168
NetScout Systems, Inc. *		27,326		846
OneSpan, Inc. *		14,712		218
Onto Innovation, Inc. *		19,838		2,311
OSI Systems, Inc. *		6,306		743
PC Connection, Inc.		4,535		204
PDF Solutions, Inc. *		12,123		547
Perficient, Inc. *		14,122		1,177
Photronics, Inc. *		25,324		653
Plexus Corp. *		11,207		1,101

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Progress Software Corp.		17,553		1,020
Rambus, Inc. *		44,119		2,831
Rogers Corp. *		7,543		1,221
Sanmina Corp. *		23,652		1,425
ScanSource, Inc. *		10,111		299
Semtech Corp. *		25,927		660
SiTime Corp. *		6,674		787
SMART Global Holdings, Inc. *		19,897		577
SPS Commerce, Inc. *		14,807		2,844
TTM Technologies, Inc. *		41,583		578
Ultra Clean Holdings, Inc. *		18,119		697
Veeco Instruments, Inc. *		20,957		538
ViaSat, Inc. *		30,955		1,277
Viavi Solutions, Inc. *		90,166		1,022
Xperi, Inc. *		17,559		231
Total				56,783
Materials (5.7%)
AdvanSix, Inc.		11,176		391
Allegheny
Technologies, Inc. *		52,101		2,304
American Vanguard Corp.		11,131		199
Arconic Corp. *		40,636		1,202
Balchem Corp.		13,063		1,761
Carpenter Technology Corp.		19,678		1,105
Century Aluminum Co. *		20,884		182
Clearwater Paper Corp. *		6,859		215
Compass Minerals International, Inc.		13,849		471
FutureFuel Corp.		10,628		94
H.B. Fuller Co.		21,819		1,560
Hawkins, Inc.		7,680		366
Haynes International, Inc.		5,134		261
Ingevity Corp. *		13,843		805
Innospec, Inc.		10,079		1,012
Kaiser Aluminum Corp.		6,479		464
Koppers Holdings, Inc.		8,448		288
Livent Corp. *		72,833		1,998
Materion Corp.		8,355		954
Mercer International, Inc.		16,223		131
Minerals Technologies, Inc.		13,192		761
Myers Industries, Inc.		14,896		289
O-I Glass, Inc. *		62,939		1,343
Olympic Steel, Inc.		3,962		194
Quaker Chemical Corp.		5,539		1,080
Schweitzer-Mauduit International, Inc.		22,230		336

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Materials continued
Stepan Co.		8,603		822
SunCoke Energy, Inc.		33,937		267
Sylvamo Corp.		12,941		524
TimkenSteel Corp. *		15,830		341
Trinseo PLC		14,250		181
Warrior Met Coal, Inc.		21,071		821
Total				22,722
Real Estate (7.6%)
Acadia Realty Trust		38,595		555
Alexander & Baldwin, Inc.		29,416		547
American Assets Trust, Inc.		21,164		406
Armada Hoffler Properties, Inc.		27,528		322
Brandywine Realty Trust		69,699		324
CareTrust REIT, Inc.		40,315		801
Centerspace		6,062		372
Chatham Lodging Trust		19,808		185
Community Healthcare Trust, Inc.		9,823		324
Cushman & Wakefield PLC *		66,269		542
DiamondRock Hospitality Co.		85,046		681
Douglas Emmett, Inc.		68,828		865
Easterly Government Properties, Inc.		38,025		551
Essential Properties Realty Trust, Inc.		60,321		1,420
eXp World Holdings, Inc.		29,854		605
Four Corners Property Trust, Inc.		35,331		897
Getty Realty Corp.		18,249		617
Global Net Lease, Inc.		42,083		433
Hudson Pacific Properties, Inc.		51,972		219
Innovative Industrial Properties, Inc.		11,364		830
iStar, Inc.		16,331		388
JBG SMITH Properties		39,298		591
Kennedy-Wilson Holdings, Inc.		48,022		784
LTC Properties, Inc.		16,773		554
LXP Industrial Trust		118,575		1,156
The Macerich Co.		87,186		983
Marcus & Millichap, Inc.		9,823		310
NexPoint Residential Trust, Inc.		9,257		421
Office Properties
Income Trust		19,953		154
Orion Office REIT, Inc.		23,329		154
OUTFRONT Media, Inc.		59,514		936
Pebblebrook Hotel Trust		49,905		696

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

53

Index 600 Stock Portfolio

Common Stocks (99.6%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Phillips Edison & Co., Inc.		47,535		1,620
RE/MAX Holdings, Inc. - Class A		7,292		140
Realogy Holdings Corp. *		44,735		299
Retail Opportunity Investments Corp.		51,080		690
RPT Realty		35,137		367
Saul Centers, Inc.		5,143		189
Service Properties Trust		67,060		583
SITE Centers Corp.		73,782		975
SL Green Realty Corp.		26,094		784
The St. Joe Co.		13,723		663
Summit Hotel Properties, Inc.		43,567		284
Sunstone Hotel Investors, Inc.		83,938		850
Tanger Factory Outlet Centers, Inc.		42,631		941
Uniti Group, Inc.		96,708		447
Universal Health Realty Income Trust		5,148		245
Urban Edge Properties		47,653		735
Urstadt Biddle Properties, Inc. - Class A		11,739		250
Veris Residential, Inc. *		32,328		519
Washington Real Estate Investment Trust		35,561		585
Whitestone REIT		19,100		185
Xenia Hotels &
Resorts, Inc.		44,382		546
Total				30,520
Utilities (2.1%)
American States Water Co.		14,982		1,304
Avista Corp.		30,691		1,205
California Water Service Group		22,684		1,171
Chesapeake Utilities Corp.		7,208		858
Middlesex Water Co.		7,165		578
Northwest Natural Holding Co.		14,566		627
Otter Trail Corp.		16,904		1,335
SJW Group		11,256		789
Unitil Corp.		6,514		330
Total				8,197
Total Common Stocks (Cost: $349,538)				398,204

Short-Term Investments (0.0%)	Shares/ Par +		Value $ (000’s)
Governments (0.0%)
US Treasury 0.000%, 10/26/23 b		90,000		89
Total				89
Total Short-Term Investments (Cost: $89)				89
Total Investments (99.6%) (Cost: $349,627)@				398,293
Other Assets, Less Liabilities (0.4%)				1,433
Net Assets (100.0%)				399,726

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

54

Index 600 Stock Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Variation Margin (000’s)
E-mini Russell 2000 Index Futures		Long		USD		1		15		9/23	$	1,428	$	9	$	7
													$	9	$	7

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Variation Margin (000’s)

Market Value (000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$

–

$

7

$

7

$

–

$

–

$

–

$

–

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

* Non income producing

Æ Security valued using significant unobservable inputs.

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

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $349,627 and the net unrealized appreciation of investments based on that cost was $48,675 which is comprised of $97,719 aggregate gross unrealized appreciation and $49,044 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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	$	398,204	$	—	$	—
Short-Term Investments		—		89		—
Other Financial Instruments^
Futures		9		—		—
Total Assets:	$	398,213	$	89	$	—

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

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2023.

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

55

Small Cap Value Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Financials	24.7%
Industrials	14.2%
Consumer Discretionary	11.5%
Health Care	10.4%
Real Estate	9.9%
Energy	7.0%
Information Technology	6.3%
Utilities	5.3%
Materials	4.7%
Consumer Staples	2.7%
Short-Term Investments & Other Net Assets	2.3%
Communication Services	1.0%

Sector Allocation is subject to change.

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

56

Small Cap Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Communication Services (1.0%)
Advantage Solutions, Inc. *		347,714		814
Boston Omaha Corp. *		42,164		794
Frontier Communications Parent, Inc. *		38,700		721
The New York Times Co. - Class A		71,100		2,800
Nexstar Media Group, Inc.		2,500		416
Total				5,545
Consumer Discretionary (11.5%)
Academy Sports & Outdoors, Inc.		24,300		1,313
Asbury Automotive Group, Inc. *		16,000		3,847
BJ’s Restaurants, Inc. *		58,920		1,874
Caleres, Inc.		56,700		1,357
Canada Goose Holdings, Inc. *		21,700		386
CAVA Group, Inc. *		176,258		7,218
Cavco Industries, Inc. *		4,781		1,410
The Children’s Place, Inc. *		28,400		659
Dorman Products, Inc. *		38,485		3,034
Farfetch, Ltd. *		174,000		1,051
FIGS, Inc. *		279,787		2,314
Floor & Decor Holdings, Inc. *		13,200		1,372
Hibbett, Inc.		26,354		956
Kohl’s Corp.		38,900		897
LCI Industries		24,793		3,133
Marriott Vacations Worldwide Corp.		24,207		2,971
Meritage Homes Corp.		38,588		5,490
Monro, Inc.		79,418		3,227
Papa John’s International, Inc.		54,852		4,050
Peloton Interactive, Inc. *		103,500		796
Petco Health & Wellness Co., Inc. *		176,783		1,573
Pool Corp.		3,409		1,277
Savers Value Village, Inc. *		21,307		505
Steven Madden, Ltd.		114,849		3,754
Strategic Education, Inc.		79,338		5,382
Visteon Corp. *		13,367		1,920
Wyndham Hotels & Resorts, Inc.		19,000		1,303
Total				63,069

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Consumer Staples (2.7%)
Coca-Cola Consolidated, Inc.		5,943		3,780
Nomad Foods, Ltd. *		271,646		4,759
Post Holdings, Inc. *		31,499		2,729
The Simply Good Foods Co. *		69,398		2,539
Sprouts Farmers Market, Inc. *		20,000		735
Total				14,542
Energy (7.0%)
Cactus, Inc.		110,958		4,696
ChampionX Corp.		223,633		6,942
Enerflex, Ltd.		383,300		2,614
Frank’s International NV *		124,200		2,201
International Seaways, Inc.		15,772		603
Liberty Energy, Inc.		219,992		2,941
Magnolia Oil & Gas Corp.		276,501		5,779
Matador Resources Co.		159,746		8,358
Range Resources Corp.		75,800		2,228
TechnipFMC PLC *		127,600		2,121
Total				38,483
Financials (24.7%)
BankUnited, Inc.		229,190		4,939
BRP Group, Inc. *		66,088		1,638
Cathay General Bancorp		67,300		2,166
Columbia Banking System, Inc.		243,549		4,939
CrossFirst Bankshares, Inc. *		177,654		1,777
Eastern Bankshares, Inc.		417,797		5,126
FB Financial Corp.		133,687		3,750
First American Financial Corp.		8,700		496
Green Dot Corp. - Class A *		140,955		2,642
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		173,403		4,335
HarborOne Bancorp, Inc.		219,642		1,907
Home BancShares, Inc.		261,816		5,969
Houlihan Lokey, Inc.		56,708		5,575
Independent Bank Corp.		27,598		1,228

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Financials continued
James River Group Holdings, Ltd.		134,353		2,453
Live Oak Bancshares, Inc.		135,403		3,562
National Bank Holding Corp. - Class A		132,817		3,857
NerdWallet, Inc. *		88,619		834
Origin Bancorp, Inc.		88,891		2,605
Palomar Holdings, Inc. *		11,513		668
PennyMac Financial Services, Inc.		105,308		7,404
PennyMac Mortgage Investment Trust		209,976		2,831
Pinnacle Financial Partners, Inc.		113,108		6,408
Popular, Inc.		90,496		5,477
PRA Group, Inc. *		51,459		1,176
ProAssurance Corp.		169,668		2,560
PROG Holdings, Inc. *		83,717		2,689
Radian Group, Inc.		237,134		5,995
Ryan Specialty Group Holdings, Inc. *		75,615		3,394
Sandy Spring Bancorp, Inc.		99,700		2,261
South State Corp.		76,500		5,034
Southern First Bancshares, Inc. *		63,265		1,566
StepStone Group, Inc.		42,850		1,063
Texas Capital Bancshares, Inc. *		72,500		3,734
Towne Bank		164,318		3,819
Veritex Holdings, Inc.		95,997		1,721
Virtus Investment Partners, Inc.		19,554		3,861
Voya Financial, Inc.		19,200		1,377
Walker & Dunlop, Inc.		46,463		3,675
Webster Financial Corp.		80,356		3,033
Western Alliance Bancorp		61,876		2,257
WSFS Financial Corp.		109,528		4,131
Total				135,932
Health Care (10.4%)
Agiliti, Inc. *		98,401		1,624
Alignment Healthcare, Inc. *		178,800		1,028
Apellis Pharmaceuticals, Inc. *		36,024		3,282
Ascendis Pharma A/S *		21,200		1,892
Atrion Corp.		4,717		2,668
Avanos Medical, Inc. *		54,200		1,385

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

57

Small Cap Value Portfolio

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Blueprint Medicines Corp. *		35,450		2,240
CRISPR Therapeutics AG *		24,100		1,353
Embecta Corp.		71,819		1,551
Ensign Group, Inc.		39,132		3,736
Icosavax, Inc. *		92,053		914
Insmed, Inc. *		132,492		2,796
Ionis Pharmaceuticals, Inc. *		58,800		2,413
Karuna Therapeutics, Inc. *		14,305		3,102
Kymera Therapeutics, Inc. *		41,038		944
Lantheus Holdings, Inc. *		23,900		2,006
MacroGenics, Inc. *		124,000		663
MoonLake		8,198		418
MultiPlan Corp. *		930,041		1,962
Option Care Health, Inc. *		46,550		1,512
The Pennant Group, Inc. *		83,004		1,019
Phreesia, Inc. *		64,198		1,991
QuidelOrtho Corp. *		45,370		3,759
Select Medical Holdings Corp.		225,574		7,187
Structure Therapeutics, Inc., ADR *		8,123		338
Syndax Pharmaceuticals, Inc. *		54,215		1,135
Ventyx Biosciences, Inc. *		17,900		587
Verve Therapeutics, Inc. *		33,100		621
Xencor, Inc. *		81,696		2,040
Zentalis Pharmaceuticals, Inc. *		36,309		1,024
Total				57,190
Industrials (14.2%)
Alamo Group, Inc.		14,235		2,618
Allegiant Travel Co. *		33,590		4,242
Aris Water Solutions, Inc.		136,687		1,411
Beacon Roofing Supply, Inc. *		74,459		6,179
Brady Corp. - Class A		71,504		3,401
Conduent, Inc. *		371,600		1,263
ESAB Corp.		47,268		3,145
ESCO Technologies, Inc.		36,164		3,748
FTI Consulting, Inc. *		12,157		2,312
Helios Technologies, Inc.		70,485		4,658
Herc Holdings, Inc.		13,100		1,793
John Bean Technologies Corp.		5,600		679

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Landstar System, Inc.		28,201		5,430
McGrath RentCorp		37,371		3,456
MSA Safety, Inc.		16,480		2,867
Parsons Corp. *		57,441		2,765
Paycor HCM, Inc. *		106,708		2,526
RBC Bearings, Inc. *		12,909		2,807
The Shyft Group, Inc.		61,900		1,366
SPX Technologies, Inc. *		36,636		3,113
Triumph Group, Inc. *		135,516		1,676
UFP Industries, Inc.		102,803		9,977
UniFirst Corp.		8,300		1,287
Valmont Industries, Inc.		9,467		2,755
Zurn Water Solutions Corp.		89,822		2,415
Total				77,889
Information Technology (6.3%)
Belden, Inc.		36,819		3,522
DoubleVerify Holdings, Inc. *		65,100		2,534
Entegris, Inc.		7,449		825
Envestnet, Inc. *		11,800		700
Knowles Corp. *		95,949		1,733
Lattice Semiconductor Corp. *		22,000		2,113
Littelfuse, Inc.		24,962		7,272
MACOM Technology Solutions Holdings, Inc. *		30,200		1,979
Mirion Technologies, Inc. *		226,025		1,910
nCino, Inc. *		59,716		1,799
Onto Innovation, Inc. *		23,793		2,771
Viavi Solutions, Inc. *		163,300		1,850
Vontier Corp.		132,100		4,255
Workiva, Inc. *		13,969		1,420
Total				34,683
Materials (4.7%)
Carpenter Technology Corp.		43,236		2,427
Clearwater Paper Corp. *		82,143		2,573
Constellium SE *		256,357		4,409
Element Solutions, Inc.		192,057		3,688
Myers Industries, Inc.		118,291		2,298
Orion Engineered Carbons SA		109,917		2,332
Quaker Chemical Corp.		16,612		3,238
Reliance Steel & Aluminum Co.		17,634		4,789
Total				25,754
Real Estate (9.9%)
Apple Hospitality REIT, Inc.		377,595		5,706
CubeSmart LP		88,500		3,953
EastGroup Properties, Inc.		28,079		4,875

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Essential Properties Realty Trust, Inc.		129,115		3,039
FirstService Corp.		21,857		3,368
Independence Realty Trust, Inc.		126,600		2,307
iStar, Inc.		86,142		2,044
NETSTREIT Corp.		118,536		2,118
NexPoint Residential Trust, Inc.		41,300		1,878
Opendoor Technologies, Inc. *		398,800		1,603
PotlatchDeltic Corp.		86,207		4,556
Saul Centers, Inc.		93,591		3,447
The St. Joe Co.		122,721		5,932
Terreno Realty Corp.		104,360		6,272
Tricon Residential, Inc.		397,294		3,500
Total				54,598
Utilities (5.3%)
Artesian Resources Corp.		22,951		1,084
California Water Service Group		62,236		3,213
Chesapeake Utilities Corp.		16,240		1,933
IDACORP, Inc.		82,510		8,465
MGE Energy, Inc.		94,999		7,515
NorthWestern Corp.		62,930		3,572
ONE Gas, Inc.		43,300		3,326
Total				29,108
Total Common Stocks (Cost: $443,726)				536,793
Warrants (0.0%)
Communication Services (0.0%)
Advantage Solutions, Inc. *		19,088		2
Total				2
Total Warrants (Cost: $25)				2
Total Investments (97.7%) (Cost: $443,751)@				536,795
Other Assets, Less Liabilities (2.3%)				12,557
Net Assets (100.0%)				549,352

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

58

Small Cap Value Portfolio

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $443,751 and the net unrealized appreciation of investments based on that cost was $93,044 which is comprised of $139,871 aggregate gross unrealized appreciation and $46,827 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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	$	536,793	$	—	$	—
Warrants		2		—		—
Total Assets:	$	536,795	$	—	$	—

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

59

International Growth Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Industrials	28.5%
Information Technology	19.5%
Financials	16.0%
Consumer Discretionary	11.6%
Health Care	8.4%
Materials	8.2%
Consumer Staples	4.9%
Communication Services	1.2%
Short-Term Investments & Other Net Assets	0.9%
Energy	0.8%

Sector Allocation is subject to change.

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

60

International Growth Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (99.1%)	Country	Shares/ Par +		Value $ (000’s)
Communication Services (1.2%)
Adevinta ASA - Class B *	France		312,257		2,048
Rightmove PLC	United Kingdom		572,957		3,806
Safaricom PLC	Kenya		18,883,300		2,354
Schibsted ASA - Class B	Norway		183,299		3,042
Total					11,250
Consumer Discretionary (11.6%)
Autoliv, Inc.	Sweden		90,700		7,713
Compass Group PLC	United Kingdom		794,000		22,211
InterContinental Hotels Group PLC, ADR	United Kingdom		164,384		11,581
LVMH Moet Hennessy Louis Vuitton SE	France		63,500		59,927
PRADA SpA	Italy		1,134,500		7,602
USS Co., Ltd.	Japan		276,200		4,577
Total					113,611
Consumer Staples (4.9%)
Nestle SA	United States		376,159		45,261
PriceSmart, Inc.	United States		29,900		2,215
Total					47,476
Energy (0.8%)
NOV, Inc.	United States		225,000		3,609
Reliance Industries, Ltd.	India		75,000		2,339
Reliance Industries, Ltd., GDR	India		37,400		2,330
Total					8,278
Financials (16.0%)
AIA Group, Ltd.	Hong Kong		2,384,088		24,325
Deutsche Borse AG	Germany		60,000		11,081
Housing Development Finance Corp., Ltd.	India		321,863		11,089
Kotak Mahindra Bank, Ltd.	India		201,700		4,542
Marsh & McLennan Cos., Inc.	United States		139,923		26,317
Mastercard, Inc. - Class A	United States		40,650		15,987
Moody’s Corp.	United States		43,500		15,126
MSCI, Inc.	United States		30,900		14,501
S&P Global, Inc.	United States		35,600		14,272
UBS Group AG	Switzerland		190,000		3,866
Visa, Inc. - Class A	United States		65,025		15,442
Total					156,548
Health Care (8.4%)
Hoya Corp.	Japan		129,100		15,400
Novo Nordisk A/S - Class B	Denmark		186,000		30,042
ResMed, Inc.	United States		90,600		19,796
Roche Holding AG	United States		56,652		17,313
Total					82,551

Common Stocks (99.1%)	Country	Shares/ Par +		Value $ (000’s)
Industrials (28.5%)
Aalberts NV	Netherlands		47,200		1,987
Airbus SE	France		182,400		26,367
Assa Abloy AB - Class B	Sweden		567,100		13,613
Atlas Copco AB - Class A	Sweden		1,961,600		28,291
Azelis Group NV	Belgium		167,207		3,820
BAE Systems PLC	United Kingdom		793,600		9,364
CAE, Inc. *	Canada		277,900		6,220
Canadian Pacific Kansas City, Ltd.	Canada		223,300		18,036
Edenred	France		219,766		14,716
Epiroc AB	Sweden		744,332		14,099
Experian PLC	United States		462,026		17,754
FANUC Corp.	Japan		204,500		7,190
IMCD NV	Netherlands		48,700		7,005
Interpump Group SpA	Italy		122,400		6,808
KONE Oyj	Finland		102,600		5,359
Legrand SA	France		168,800		16,745
MISUMI Group, Inc.	Japan		477,212		9,551
OSG Corp.	Japan		152,700		2,197
Otis Worldwide Corp.	United States		68,300		6,079
Recruit Holdings Co., Ltd.	Japan		422,900		13,496
Safran SA	France		192,900		30,307
Schindler Holding AG	Switzerland		26,608		6,182
SHO-BOND Holdings Co., Ltd.	Japan		156,061		6,213
Vestas Wind Systems A/S *	Denmark		287,200		7,631
Total					279,030
Information Technology (19.5%)
Amadeus IT Group SA *	Spain		323,100		24,634
ASML Holding NV	Netherlands		87,600		63,411
Azbil Corp.	Japan		358,500		11,344
Keyence Corp.	Japan		69,200		32,726
Lagercrantz Group AB	Sweden		111,200		1,434
Lam Research Corp.	United States		10,800		6,943
Lasertec Corp.	Japan		59,700		9,023
Lectra	France		75,400		2,246
NICE, Ltd., ADR *	Israel		42,300		8,735
Spectris PLC	United Kingdom		222,600		10,163
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		1,079,000		20,107
Total					190,766
Materials (8.2%)
CRH PLC, ADR	Ireland		367,500		20,481
Franco-Nevada Corp.	Canada		58,000		8,266
Linde PLC	United States		100,755		38,396

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

61

International Growth Portfolio

Common Stocks (99.1%)	Country	Shares/ Par +		Value $ (000’s)
Materials continued
The Sherwin-Williams Co.	United States		49,700		13,196
Total					80,339
Total Common Stocks (Cost: $748,086)					969,849
Total Investments (99.1%) (Cost: $748,086)@					969,849
Other Assets, Less Liabilities (0.9%)					8,837
Net Assets (100.0%)					978,686

Investments by Country of Risk as a Percentage of Net Assets:
United States	27.8%
France	15.5%
Japan	11.3%
Netherlands	7.4%
Sweden	6.7%
United Kingdom	5.9%
Other	24.5%
Total	99.1%

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $748,086 and the net unrealized appreciation of investments based on that cost was $221,763 which is comprised of $249,212 aggregate gross unrealized appreciation and $27,449 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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
Consumer Discretionary	$	19,294	$	94,317	$	—
Consumer Staples		2,215		45,261		—
Energy		5,814		2,464		—
Financials		101,645		54,903		—
Health Care		19,796		62,755		—
Industrials		30,335		248,695		—
Information Technology		15,678		175,088		—
All Others		80,339		11,250		—
Total Assets:	$	275,116	$	694,733	$	—

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

62

Research International Core Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Financials	18.5%
Industrials	16.4%
Health Care	12.4%
Consumer Discretionary	11.3%
Information Technology	10.3%
Materials	9.1%
Consumer Staples	8.8%
Energy	4.7%
Utilities	3.2%
Communication Services	2.9%
Short-Term Investments & Other Net Assets	1.4%
Real Estate	1.0%

Sector Allocation is subject to change.

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

63

Research International Core Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (98.6%)	Country	Shares/Par +		Value $ (000’s)
Communication Services (2.9%)
Advanced Info Service PCL - Foreign Shares	Thailand		737,000		4,448
carsales.com, Ltd.	Australia		187,866		2,999
Hellenic Telecommunications Organization SA	Greece		190,748		3,268
KDDI Corp.	Japan		194,900		6,024
SEEK, Ltd.	Australia		122,624		1,779
SoftBank Group Corp.	Japan		88,600		4,205
Total					22,723
Consumer Discretionary (11.3%)
Aristocrat Leisure, Ltd.	Australia		186,360		4,826
Bridgestone Corp.	Japan		108,700		4,466
Burberry Group PLC	United Kingdom		99,859		2,688
Cie Financiere Richemont SA	Switzerland		60,382		10,245
Compagnie Generale des Etablissements Michelin	France		162,886		4,815
Denso Corp.	Japan		88,700		5,980
Flutter Entertainment PLC *	Australia		15,090		3,031
Koito Manufacturing Co., Ltd.	Japan		269,800		4,897
LVMH Moet Hennessy Louis Vuitton SE	France		25,512		24,076
NIKE, Inc. - Class B	United States		29,484		3,254
Sands China, Ltd. *	Macau		960,400		3,287
Techtronic Industries Co., Ltd.	Hong Kong		569,000		6,226
Whitbread PLC	United Kingdom		81,108		3,490
Yamaha Corp.	Japan		80,500		3,096
Yum China Holdings, Inc.	China		66,259		3,744
ZOZO, Inc.	Japan		105,100		2,175
Total					90,296
Consumer Staples (8.8%)
British American Tobacco PLC	United Kingdom		296,862		9,849
Danone SA	France		84,952		5,206
Diageo PLC	United Kingdom		337,846		14,492
Kao Corp.	Japan		122,800		4,448
Kirin Holdings Co., Ltd.	Japan		328,200		4,793
Nestle SA	United States		185,091		22,271
Reckitt Benckiser Group PLC	United Kingdom		102,773		7,718
Seven & i Holdings Co., Ltd.	Japan		37,200		1,608
Total					70,385
Energy (4.7%)
Eni SpA	Italy		505,237		7,285
Galp Energia SGPS SA	Portugal		579,843		6,780
Reliance Industries, Ltd.	India		130,925		4,082
TotalEnergies SE	France		223,018		12,782
Woodside Energy Group, Ltd.	Australia		290,254		6,722
Total					37,651
Financials (18.5%)
AIA Group, Ltd.	Hong Kong		1,081,800		11,038
Aon PLC	United States		33,642		11,613
Bank of Ireland Group PLC	Ireland		190,073		1,816

Common Stocks (98.6%)	Country		Shares/Par +		Value $ (000’s)
Financials continued
Beazley PLC		United Kingdom		677,734		5,085
BNP Paribas SA		France		193,574		12,228
DBS Group Holdings, Ltd.		Singapore		229,500		5,366
Euronext NV		Netherlands		131,602		8,951
HDFC Bank, Ltd.		India		317,285		6,592
Hiscox, Ltd.		United Kingdom		332,818		4,622
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		167,600		6,374
Julius Baer Group, Ltd.		Switzerland		162,935		10,274
London Stock Exchange Group PLC		United Kingdom		113,951		12,075
Macquarie Group, Ltd.		Australia		56,081		6,683
Mitsubishi UFJ Financial Group, Inc.		Japan		919,100		6,784
NatWest Group PLC		United Kingdom		3,508,539		10,773
UBS Group AG		Switzerland		328,380		6,681
Visa, Inc. - Class A		United States		34,367		8,162
Willis Towers Watson PLC		United States		16,214		3,818
Zurich Insurance Group AG		Switzerland		18,734		8,901
Total						147,836
Health Care (12.4%)
Bayer AG		Germany		97,329		5,381
ConvaTec Group PLC		United Kingdom		1,469,782		3,833
CSL, Ltd.		United States		31,719		5,870
Kyowa Kirin Co., Ltd.		Japan		355,500		6,571
Merck KGaA		Germany		48,947		8,092
Novo Nordisk A/S - Class B		Denmark		132,647		21,424
Qiagen NV *		United States		192,468		8,634
Roche Holding AG		United States		77,217		23,597
Sanofi		United States		59,109		6,337
Santen Pharmaceutical Co., Ltd.		Japan		561,000		4,771
Terumo Corp.		Japan		145,700		4,634
Total						99,144
Industrials (16.4%)
Cellnex Telecom SA		Spain		126,087		5,111
Daikin Industries, Ltd.		Japan		58,700		11,982
GEA Group AG		Germany		209,508		8,756
Hitachi, Ltd.		Japan		268,600		16,624
Legrand SA		France		97,277		9,650
Mitsubishi Electric Corp.		Japan		331,800		4,663
MTU Aero Engines AG		Germany		29,239		7,576
Persol Holdings Co., Ltd.		Japan		133,600		2,418
RB Global, Inc.		Canada		64,159		3,850
Ryanair Holdings PLC *		Ireland		36,956		4,087
Schneider Electric SE		United States		129,272		23,562
Secom Co., Ltd.		Japan		32,700		2,214
SMC Corp.		Japan		19,600		10,894
Thales SA		France		30,624		4,584
Toyota Industries Corp.		Japan		79,800		5,725
Weir Group PLC		United Kingdom		192,303		4,293

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

64

Research International Core Portfolio

Common Stocks (98.6%)	Country	Shares/Par +		Value $ (000’s)
Industrials continued
Wolters Kluwer NV	Netherlands		40,824		5,184
Total					131,173
Information Technology (10.3%)
Amadeus IT Group SA *	Spain		141,228		10,767
ASML Holding NV	Netherlands		6,807		4,927
Cadence Design Systems, Inc. *	United States		30,785		7,220
Constellation Software, Inc.	Canada		5,207		10,788
Fujitsu, Ltd.	Japan		76,000		9,799
Kyocera Corp.	Japan		99,900		5,430
Nomura Research Institute, Ltd.	Japan		297,500		8,205
NXP Semiconductors NV	China		27,478		5,624
Rohm Co., Ltd.	Japan		33,900		3,204
Samsung Electronics Co., Ltd.	South Korea		164,519		9,068
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		396,189		7,383
Total					82,415
Materials (9.1%)
Akzo Nobel NV	Netherlands		90,455		7,391
Croda International PLC	United Kingdom		94,726		6,770
Glencore PLC	Australia		1,703,228		9,662
Kansai Paint Co., Ltd.	Japan		167,300		2,463
Linde PLC	United States		64,927		24,743
Nitto Denko Corp.	Japan		94,100		6,975
Sika AG	Switzerland		27,862		7,969
Symrise AG	Germany		65,553		6,867
Total					72,840
Real Estate (1.0%)
Grand City Properties SA	Germany		217,672		1,707
LEG Immobilien SE *	Germany		108,841		6,251
Total					7,958

Common Stocks (98.6%)	Country		Shares/Par +		Value $ (000’s)
Utilities (3.2%)
APA Group		Australia		389,693		2,521
China Resources Gas Group, Ltd.		China		740,400		2,539
CLP Holdings, Ltd.		Hong Kong		438,000		3,409
E.ON SE		Germany		362,399		4,619
Iberdrola SA		Spain		730,747		9,545
Orsted A/S		Denmark		27,539		2,602
Total						25,235
Total Common Stocks (Cost: $665,317)						787,656
Warrants (0.0%)
Consumer Discretionary (0.0%)
Cie Financiere Richemont SA *		Switzerland		136,342		188
Total						188
Total Warrants (Cost: $–)						188
Short-Term Investments (1.0%)
US Government & Agencies (1.0%)
Federal Home Loan Bank 0.000%, 7/3/23		United States		8,282,000		8,282
Total						8,282
Total Short-Term Investments (Cost: $8,280)						8,282
Total Investments (99.6%) (Cost: $673,597)@						796,126
Other Assets, Less Liabilities (0.4%)						2,851
Net Assets (100.0%)						798,977

Investments by Country of Risk as a Percentage of Net Assets:
United States	19.7%
Japan	19.6%
United Kingdom	10.6%
France	9.1%
Germany	6.2%
Switzerland	5.5%
Other	28.9%
Total	99.6%

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

* Non income producing

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $673,597 and the net unrealized appreciation of investments based on that cost was $122,529 which is comprised of $162,224 aggregate gross unrealized appreciation and $39,695 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

65

Research International Core Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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
Consumer Discretionary	$	6,998	$	83,298	$	—
Financials		23,593		124,243		—
Industrials		7,937		123,236		—
Information Technology		23,632		58,783		—
Materials		24,743		48,097		—
All Others		—		263,096		—
Short-Term Investments		—		8,282		—
Warrants		188		—		—
Total Assets:	$	87,091	$	709,035	$	—

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

66

International Equity Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Financials	27.6%
Health Care	15.9%
Consumer Discretionary	11.2%
Materials	10.9%
Energy	7.8%
Industrials	6.9%
Consumer Staples	6.4%
Information Technology	6.2%
Communication Services	3.0%
Real Estate	1.8%
Short-Term Investments & Other Net Assets	1.6%
Utilities	0.7%

Sector Allocation is subject to change.

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

67

International Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (93.9%)	Country	Shares/Par +		Value $ (000’s)
Communication Services (3.0%)
Baidu, Inc., ADR *	China		91,000		12,459
Deutsche Telekom AG	Germany		6,800		148
Grupo Televisa SAB, ADR	Mexico		1,850,000		9,490
Liberty Global PLC - Class A *	United Kingdom		175,000		2,951
Liberty Global PLC - Class C *	United Kingdom		327,000		5,811
Millicom International Cellular SA, SDR *	Guatemala		360,000		5,506
NetEase, Inc., ADR	China		185,000		17,888
Total					54,253
Consumer Discretionary (11.2%)
adidas AG	Germany		50,000		9,698
Alibaba Group Holding, Ltd., ADR *	China		390,000		32,506
Booking Holdings, Inc. *	United States		7,000		18,902
Entain PLC	United Kingdom		1,180,256		19,168
Flutter Entertainment PLC *	Australia		22,088		4,446
Honda Motor Co., Ltd.	Japan		950,300		28,707
JD.com, Inc., ADR	China		495,000		16,894
Prosus NV *	China		705,000		51,590
Stellantis NV	United States		1,295,000		22,796
Total					204,707
Consumer Staples (6.4%)
Anheuser-Busch InBev SA/NV	Belgium		505,000		28,601
Beiersdorf AG	Germany		115,000		15,215
Haleon PLC	United States		5,450,000		22,429
Imperial Brands PLC	United Kingdom		1,625,000		35,937
Magnit PJSC *,Æ	Russia		135,000		—
Seven & i Holdings Co., Ltd.	Japan		355,000		15,349
Total					117,531
Energy (7.8%)
Equinor ASA	Norway		590,000		17,139
Ovintiv, Inc.	United States		655,000		24,936
Suncor Energy, Inc.	Canada		1,210,000		35,477
TC Energy Corp.	Canada		475,000		19,195
TotalEnergies SE	France		810,000		46,423
Total					143,170
Financials (25.3%)
Aegon NV	Netherlands		2,150,000		10,889
Aviva PLC	United Kingdom		4,301,600		21,680
Axis Bank, Ltd.	India		3,965,000		47,848
Banco Santander SA	Spain		16,500,000		61,223
Barclays PLC	United Kingdom		20,500,000		40,044
BNP Paribas SA	France		945,000		59,695
Credicorp, Ltd.	Peru		135,000		19,931
ICICI Bank, Ltd.	India		3,116,715		35,622
Mitsubishi UFJ Financial Group, Inc.	Japan		2,185,000		16,128
Prudential PLC	Hong Kong		1,820,152		25,669
Standard Chartered PLC	United Kingdom		4,304,703		37,542
UBS Group AG	Switzerland		3,235,000		65,818

Common Stocks (93.9%)	Country	Shares/Par +		Value $ (000’s)
Financials continued
XP, Inc. - Class A *	Brazil		876,697		20,567
Total					462,656
Health Care (15.9%)
Bayer AG	Germany		480,000		26,537
Euroapi SASU *	France		30,434		349
Fresenius Medical Care AG & Co. KGaA	Germany		505,000		24,118
GSK PLC	United States		2,920,000		51,581
Novartis AG	Switzerland		633,100		63,897
Olympus Corp.	Japan		820,000		12,980
Roche Holding AG	United States		141,500		43,242
Sanofi	United States		640,000		68,610
Total					291,314
Industrials (6.9%)
Johnson Controls International PLC	United States		585,000		39,862
Mitsubishi Electric Corp.	Japan		3,225,000		45,320
Nidec Corp.	Japan		160,000		8,795
Schneider Electric SE	United States		93,000		16,951
Smiths Group PLC	United Kingdom		765,000		16,006
Total					126,934
Information Technology (4.0%)
Brother Industries, Ltd.	Japan		385,000		5,646
Kyocera Corp.	Japan		255,000		13,861
Murata Manufacturing Co., Ltd.	Japan		285,000		16,353
Samsung Electronics Co., Ltd.	South Korea		40,000		2,205
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		725,000		13,510
TE Connectivity, Ltd.	United States		155,000		21,725
Total					73,300
Materials (10.9%)
Akzo Nobel NV	Netherlands		460,000		37,587
Glencore PLC	Australia		4,750,000		26,945
Holcim, Ltd. *	United States		650,000		43,701
Linde PLC	United States		50,000		19,054
Mitsubishi Chemical Group Corp.	Japan		4,700,000		28,338
Nutrien, Ltd.	Canada		325,000		19,191
Teck Resources, Ltd. - Class B	Canada		570,000		23,997
Total					198,813
Real Estate (1.8%)
CK Asset Holdings, Ltd.	Hong Kong		2,435,500		13,517
Daito Trust Construction Co., Ltd.	Japan		137,000		13,901
Hang Lung Group, Ltd.	Hong Kong		4,000,000		6,078
Total					33,496

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

68

International Equity Portfolio

Common Stocks (93.9%)	Country		Shares/Par +		Value $ (000’s)
Utilities (0.7%)
Engie SA *		France		771,558		12,833
Total						12,833
Total Common Stocks (Cost: $1,769,932)						1,719,007
Preferred Stocks (4.5%)
Financials (2.3%)
Itau Unibanco Holding SA		Brazil		7,150,000		42,438
Total						42,438

Preferred Stocks (4.5%)	Country		Shares/Par +		Value $ (000’s)
Information Technology (2.2%)
Samsung Electronics Co., Ltd.		South Korea		860,000		39,031
Total						39,031
Total Preferred Stocks (Cost: $77,814)						81,469
Total Investments (98.4%) (Cost: $1,847,746)@						1,800,476
Other Assets, Less Liabilities (1.6%)						29,686
Net Assets (100.0%)						1,830,162

Investments by Country of Risk as a Percentage of Net Assets:
United States	21.5%
Japan	11.3%
United Kingdom	9.9%
China	7.2%
Switzerland	7.1%
France	6.5%
Canada	5.4%
Other	29.5%
Total	98.4%

Over the Counter Derivatives

Forward Foreign Currency Contracts

Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Date	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Bank of America NA	CNH		14,125		1,944	7/5/23	$	—	$	(3	)	$	(3)
Buy	Citibank NA	CNH		24,700		3,401	7/19/23		—		(83	)		(83)
Buy	Bank of America NA	CNH		14,125		1,948	8/9/23		—		(2	)		(2)
Sell	Bank of America NA	CNH		14,125		1,943	7/5/23		2		—			2
Sell	Goldman Sachs Bank USA	CNH		12,350		1,701	7/19/23		138		—			138
Sell	JP Morgan Chase Bank NA	CNH		12,350		1,701	7/19/23		140		—			140
Sell	HSBC Bank USA	CNH		219,779		30,314	8/9/23		2,554		—			2,554
Sell	Bank of America NA	CNH		21,563		2,983	9/13/23		90		—			90
Sell	Goldman Sachs Bank USA	CNH		21,563		2,983	9/13/23		91		—			91
Sell	HSBC Bank USA	CNH		21,562		2,983	9/13/23		89		—			89
Sell	JP Morgan Chase Bank NA	CNH		21,563		2,983	9/13/23		93		—			93
Sell	Bank of America NA	CNH		15,126		2,098	10/18/23		116		—			116
Sell	Goldman Sachs Bank USA	CNH		27,010		3,747	10/18/23		224		—			224
Sell	HSBC Bank USA	CNH		50,321		6,981	10/18/23		440		—			440
Sell	JP Morgan Chase Bank NA	CNH		23,309		3,234	10/18/23		219		—			219
Sell	Bank of America NA	CNH		31,411		4,366	11/8/23		190		—			190
Sell	HSBC Bank USA	CNH		23,862		3,316	11/8/23		102		—			102
Sell	JP Morgan Chase Bank NA	CNH		23,683		3,291	11/8/23		100		—			100
Sell	Standard Chartered Bank	CNH		32,989		4,585	11/8/23		180		—			180
Sell	Goldman Sachs Bank USA	CNH		22,803		3,177	12/6/23		171		—			171
Sell	HSBC Bank USA	CNH		24,700		3,442	12/6/23		274		—			274
Sell	JP Morgan Chase Bank NA	CNH		48,766		6,795	12/6/23		369		—			369
Sell	Bank of America NA	CNH		18,654		2,607	1/10/24		174		—			174
Sell	HSBC Bank USA	CNH		37,299		5,213	1/10/24		358		—			358
Sell	JP Morgan Chase Bank NA	CNH		55,947		7,819	1/10/24		534		—			534
Sell	Bank of America NA	CNH		1,325		186	2/7/24		14		—			14
Sell	Goldman Sachs Bank USA	CNH		1,325		186	2/7/24		14		—			14
Sell	HSBC Bank USA	CNH		1,325		186	2/7/24		14		—			14
Sell	JP Morgan Chase Bank NA	CNH		1,325		186	2/7/24		14		—			14

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

69

International Equity Portfolio

Forward Foreign Currency Contracts

(continued)

Type	Counterparty	Currency		Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	HSBC Bank USA		CNH		4,539		640		4/17/24	$	35	$	—	$	35
										$	6,739	$	(88)	$	6,651

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts		Swaps		Total		Forward Foreign Currency Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	$	6,739		—	$	6,739	$	(88)		—		—	$	(88)

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

* Non income producing

Æ Security valued using significant unobservable inputs.

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,847,746 and the net unrealized depreciation of investments based on that cost was $40,619 which is comprised of $141,874 aggregate gross unrealized appreciation and $182,493 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

70

International Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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:
Preferred Stocks
Financials	$	42,438	$	—		$	—
Information Technology		—		39,031			—
Common Stocks
Communication Services		48,599		5,654			—
Consumer Discretionary		68,302		136,405			—
Consumer Staples		—		117,531			—
Energy		79,608		63,562			—
Financials		40,498		422,158			—
Industrials		39,862		87,072			—
Information Technology		21,725		51,575			—
Materials		62,242		136,571			—
All Others		—		337,643			—
Other Financial Instruments^
Forward Foreign Currency Contracts		—		6,739			—
Total Assets:	$	403,274	$	1,403,941		$	—
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		—		(88	)		—
Total Liabilities:	$	—	$	(88	)	$	—

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

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2023.

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

71

Emerging Markets Equity Portfolio (unaudited)

Sector Allocation 6/30/23

Sector	% of Net Assets
Financials	25.5%
Information Technology	24.4%
Consumer Discretionary	13.0%
Consumer Staples	8.5%
Materials	7.2%
Communication Services	6.7%
Industrials	5.2%
Energy	2.9%
Health Care	2.2%
Utilities	1.8%
Short-Term Investments & Other Net Assets	1.4%
Real Estate	1.2%

Sector Allocation is subject to change.

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

72

Emerging Markets Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (94.1%)	Country	Shares/ Par +		Value $ (000’s)
Communication Services (6.7%)
Telkom Indonesia Persero Tbk PT	Indonesia		36,276,100		9,680
Tencent Holdings, Ltd.	China		1,186,900		50,518
Total					60,198
Consumer Discretionary (13.0%)
Alibaba Group Holding, Ltd. *	China		3,401,600		35,377
Americana Restaurants International PLC	United Arab Emirates		10,431,827		11,941
China Tourism Group Duty Free Corp., Ltd. - Class A	China		272,786		4,170
China Tourism Group Duty Free Corp., Ltd. - Class H *	China		258,200		3,506
Li Auto, Inc. *	China		560,800		9,799
Maruti Suzuki India, Ltd.	India		81,998		9,802
Meituan Dianping - Class B *	China		663,510		10,429
MercadoLibre, Inc. *	Brazil		7,782		9,219
Midea Group Co., Ltd. - Class A	China		1,878,166		15,287
Zhongsheng Group Holdings, Ltd.	China		1,814,000		6,970
Total					116,500
Consumer Staples (8.5%)
Budweiser Brewing Co. APAC, Ltd.	China		4,006,400		10,331
Fomento Economico Mexicano SAB de CV, ADR	Mexico		154,958		17,176
Foshan Haitian Flavouring and Food Co., Ltd. - Class A	China		1,155,532		7,452
Hindustan Unilever, Ltd.	India		479,301		15,652
Kweichow Moutai Co., Ltd. - Class A	China		53,573		12,492
Raia Drogasil SA	Brazil		2,039,887		12,610
Total					75,713
Energy (2.9%)
LUKOIL PJSC *,Æ	Russia		225,143		–
NovaTek PJSC *,Æ	Russia		795,201		–
Saudi Arabian Oil Co.	Saudi Arabia		1,021,875		8,793
TotalEnergies SE	France		296,119		16,971
Total					25,764
Financials (25.5%)
AIA Group, Ltd.	Hong Kong		2,062,200		21,041
Al Rajhi Bank	Saudi Arabia		556,424		10,882
B3 SA - Brasil, Bolsa, Balcao	Brazil		4,984,148		15,208
Banco Bradesco SA, ADR	Brazil		3,783,090		13,090
Bank Central Asia Tbk PT	Indonesia		15,634,500		9,638
Bank Rakyat Indonesia (Persero) Tbk PT	Indonesia		46,581,356		16,932
China International Capital Corp., Ltd. *	China		4,010,800		7,066
Credicorp, Ltd.	Peru		38,913		5,745

Common Stocks (94.1%)	Country		Shares/ Par +		Value $ (000’s)
Financials continued
Grupo Financiero Banorte SAB de CV		Mexico		1,935,817		15,970
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		251,492		9,564
Housing Development Finance Corp., Ltd.		India		1,070,641		36,886
Kasikornbank PCL -  Foreign Shares		Thailand		2,577,500		9,474
Kaspi.KZ Joint Stock Co.		Kazakhstan		109,619		8,726
Kotak Mahindra Bank, Ltd.		India		674,991		15,201
Sanlam, Ltd.		South Africa		3,258,823		10,129
Sberbank of Russia PJSC *,Æ		Russia		1,471,064		–
SBI Life Insurance Co., Ltd.		India		1,391,054		22,204
Total						227,756
Health Care (2.2%)
Shenzhen Mindray Bio- Medical Electronics Co., Ltd.		China		287,915		11,882
Wuxi Biologics Cayman, Inc. *		China		1,533,000		7,387
Total						19,269
Industrials (5.2%)
Grupo Aeroportuario del Sureste SAB de CV - Class B		Mexico		311,117		8,674
NARI Technology Co., Ltd. - Class A		China		2,717,798		8,661
Rumo SA		Brazil		1,573,898		7,297
Samsung Engineering Co., Ltd. *		South Korea		684,375		14,778
WEG SA		Brazil		881,093		6,946
Total						46,356
Information Technology (19.9%)
ASM International NV		Netherlands		21,266		9,044
ASML Holding NV		Netherlands		11,763		8,515
Delta Electronics, Inc.		Taiwan		927,000		10,307
Globant SA *		United States		48,604		8,735
Hon Hai Precision Industry Co., Ltd.		Taiwan		3,275,000		11,920
MediaTek, Inc.		Taiwan		506,000		11,232
Samsung Electronics Co., Ltd.		South Korea		304,844		16,802
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		4,444,290		82,821
Tata Consultancy Services, Ltd.		India		312,529		12,610
Yonyou Network Technology Co., Ltd. - Class A		China		1,994,206		5,632
Total						177,618
Materials (7.2%)
Anglo American Platinum, Ltd.		South Africa		156,276		7,066
LG Chem, Ltd.		South Korea		37,429		19,143
Mondi PLC		Austria		504,736		7,742

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

73

Emerging Markets Equity Portfolio

Common Stocks (94.1%)	Country		Shares/Par +		Value $ (000’s)
Materials continued
Sociedad Quimica y Minera de Chile SA		Chile		78,669		5,713
Southern Copper Corp.		United States		167,067		11,985
UltraTech Cement, Ltd.		India		129,963		13,158
Total						64,807
Real Estate (1.2%)
China Resources Land, Ltd.		China		2,452,000		10,442
Total						10,442
Utilities (1.8%)
Power Grid Corp. of India, Ltd.India				5,312,260		16,526
Total						16,526
Total Common Stocks (Cost: $844,537)						840,949

Preferred Stocks (4.5%)	Country	Shares/Par +		Value $ (000’s)
Information Technology (4.5%)
Samsung Electronics Co., Ltd.South Korea			880,216		39,948
Total					39,948
Total Preferred Stocks (Cost: $34,769)					39,948
Total Investments (98.6%) (Cost: $879,306)@					880,897
Other Assets, Less Liabilities (1.4%)					12,949
Net Assets (100.0%)					893,846

Investments by Country of Risk as a Percentage of Net Assets:
China	24.4%
India	15.9%
Taiwan	13.1%
South Korea	10.1%
Brazil	7.2%
Other	27.9%
Total	98.6%

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

* Non income producing

Æ Security valued using significant unobservable inputs.

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $879,306 and the net unrealized appreciation of investments based on that cost was $1,591 which is comprised of $156,381 aggregate gross unrealized appreciation and $154,790 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

74

Emerging Markets Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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:
Preferred Stocks	$	—	$	39,948	$	—
Common Stocks
Consumer Discretionary		9,219		107,281		—
Consumer Staples		29,786		45,927		—
Energy		—		25,764		—
Financials		58,739		169,017		—
Industrials		22,917		23,439		—
Information Technology		8,735		168,883		—
Materials		17,698		47,109		—
All Others		—		106,435		—
Total Assets:	$	147,094	$	733,803	$	—

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2023.

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

75

Government Money Market Portfolio (unaudited)

Not all obligations of the U.S. government, its agencies and instrumentalities are backed by the full faith and credit of the U.S. Treasury. Some obligations are backed only by the credit of the issuing agency or instrumentality, and in some cases there may be some risk of default by the issuer. Any guarantee by the U.S. government or its agencies or instrumentalities of a security held by the Portfolio does not apply to the market value of such security or to shares of the Portfolio itself.

You could lose money investing in the Government Money Market Portfolio. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Portfolio’s sponsor has no legal obligation to provide financial support to the Portfolio, and you should not expect that the sponsor will provide financial support to the Portfolio at any time.

76

Government Money Market Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Money Market Investments (100.2%)	Shares/Par +		Value $ (000’s)
Repurchase Agreements (60.9%)
Tri-Party Bank of Montreal, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $25,010,521, collateralized by various US Treasury obligations, at 0.000%, due from 2/15/2025 to 11/15/2047, aggregate par and fair value of $52,419,114 and $25,500,000, respectively)		25,000,000		25,000
Tri-Party Bank of Nova Scotia, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $20,008,400, collateralized by various US Treasury obligations, 0.000% to 4.625%, due from 9/15/2023 to 11/15/2052, aggregate par and fair value of $23,889,009 and $20,408,596, respectively)		20,000,000		20,000
Tri-Party BNP Paribas, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $10,004,208, collateralized by various US Treasury obligations, 0.000% to 4.000%, due from 5/15/2024 to 6/30/2028, aggregate par and fair value of $10,337,621 and $10,200,001, respectively)		10,000,000		10,000
Tri-Party BNP Paribas, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $10,004,208, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 0.000% to 6.000%, due from 6/30/2026 to 1/20/2053, aggregate par and fair value of $14,377,246 and $10,200,046, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, Inc., 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $12,005,060, collateralized by various US government sponsored agency obligations, 2.500% to 4.000%, due from 10/15/2046 to 10/20/2046, aggregate par and fair value of $13,104,586 and $12,240,122, respectively)		12,000,000		12,000
Tri-Party Citigroup Global Markets, Inc., 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $15,006,313, collateralized by various US Treasury obligations, 0.500% to 3.750%, due from 2/28/2026 to 4/15/2026, aggregate par and fair value of $16,057,254 and $15,300,003, respectively)		15,000,000		15,000

Money Market Investments (100.2%)	Shares/Par +		Value $ (000’s)
Repurchase Agreements continued
Tri-Party Goldman Sachs Group LP, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $35,014,758, collateralized by various US government sponsored agency obligations, 3.000% to 6.000%, due from 6/20/2028 to 1/15/2058, aggregate par and fair value of $36,820,249 and $35,700,000, respectively)		35,000,000		35,000
Tri-Party Mitsubishi UFJ, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $39,016,445, collateralized by various US government sponsored agency obligations, 2.500% to 6.500%, due from 11/20/2031 to 2/20/2053, aggregate par and fair value of $43,967,254 and $39,780,002, respectively)		39,000,000		39,000
Tri-Party Mizuho Securities, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $36,015,180, collateralized by US Treasury Bond, 3.625%, due 5/15/2053, par and fair value of $38,677,927 and $36,720,050, respectively)		36,000,000		36,000
Tri-Party Morgan Stanley, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $35,014,729, collateralized by various US Treasury obligations, 0.000% to 5.500%, due from 6/30/2024 to 11/15/2043, aggregate par and fair value of $43,559,551 and $35,700,041, respectively)		35,000,000		35,000
Tri-Party Natixis S.A., 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $40,016,867, collateralized by various US Treasury obligations, 0.250% to 6.625%, due from 1/31/2025 to 5/15/2050, aggregate par and fair value of $43,615,943 and $40,800,015, respectively)		40,000,000		40,000
Tri-Party TD Securities, 0.000%, 7/3/23 (Purchased on 6/30/23, to be repurchased at $45,018,975, collateralized by various US government sponsored agency obligations, 3.500% to 6.500%, due from 1/1/2043 to 6/1/2053, aggregate par and fair value of $47,050,032 and $46,350,000, respectively)		45,000,000		45,000
Total				322,000
US Government & Agencies (39.3%)
Federal Farm Credit Bank, 0.000%, 11/13/23		390,000		383
Federal Farm Credit Bank, 0.000%, 10/16/23		390,000		385
Federal Farm Credit Bank, 0.000%, 9/11/23		1,375,000		1,361
Federal Farm Credit Bank, 5.090%, (US SOFR plus 0.030%), 7/25/23		1,485,000		1,485

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

77

Government Money Market Portfolio

Money Market Investments (100.2%)	Shares/Par +		Value $ (000’s)
US Government & Agencies continued
Federal Farm Credit Bank, 5.100%, (US SOFR plus 0.035%), 7/12/23		360,000		360
Federal Farm Credit Bank, 5.110%, (US SOFR plus 0.050%), 8/22/23		2,720,000		2,720
Federal Farm Credit Bank, 5.110%, (US SOFR plus 0.050%), 5/9/24		2,425,000		2,425
Federal Farm Credit Bank, 5.110%, (US SOFR plus 0.045%), 2/20/24		4,010,000		4,010
Federal Farm Credit Bank, 5.110%, (US SOFR plus 0.045%), 10/16/23		2,970,000		2,970
Federal Farm Credit Bank, 5.110%, (US SOFR plus 0.050%), 9/28/23		1,830,000		1,830
Federal Farm Credit Bank, 5.120%, (US SOFR plus 0.055%), 1/10/24		505,000		505
Federal Farm Credit Bank, 5.120%, (US SOFR plus 0.060%), 11/22/23		3,350,000		3,350
Federal Farm Credit Bank, 5.150%, (US SOFR plus 0.090%), 8/26/24		4,540,000		4,540
Federal Farm Credit Bank, 5.160%, (US SOFR plus 0.100%), 8/1/24		1,095,000		1,095
Federal Farm Credit Bank, 5.200%, (US SOFR plus 0.140%), 11/7/24		3,100,000		3,100
Federal Farm Credit Bank, 5.230%, (US SOFR plus 0.170%), 1/23/25		2,685,000		2,685
Federal Home Loan Bank, 0.000%, 7/19/23		3,650,000		3,640
Federal Home Loan Bank, 0.000%, 7/25/23		5,215,000		5,198
Federal Home Loan Bank, 0.000%, 8/16/23		2,770,000		2,752
Federal Home Loan Bank, 0.000%, 7/14/23		890,000		888
Federal Home Loan Bank, 0.000%, 8/4/23		1,530,000		1,523
Federal Home Loan Bank, 0.000%, 2/9/24		7,580,000		7,348
Federal Home Loan Bank, 0.000%, 2/2/24		1,810,000		1,759
Federal Home Loan Bank, 0.000%, 9/15/23		10,655,000		10,543
Federal Home Loan Bank, 0.000%, 9/1/23		2,595,000		2,573
Federal Home Loan Bank, 0.000%, 8/29/23		1,655,000		1,642
Federal Home Loan Bank, 3.375%, (US SOFR plus 0.010%), 9/1/23		3,380,000		3,379
Federal Home Loan Bank, 5.060%, (US SOFR plus 0.000%), 8/8/23		10,000,000		10,000
Federal Home Loan Bank, 5.070%, 8/25/23		7,670,000		7,670
Federal Home Loan Bank, 5.075%, (US SOFR plus 0.015%), 9/8/23		6,100,000		6,100
Federal Home Loan Bank, 5.080%, (US SOFR plus 0.015%), 7/13/23		10,700,000		10,700
Federal Home Loan Bank, 5.080%, 9/18/23		11,245,000		11,245
Federal Home Loan Bank, 5.080%, (US SOFR plus 0.020%), 9/19/23		8,000,000		8,000
Federal Home Loan Bank, 5.090%, (US SOFR plus 0.030%), 9/19/23		9,050,000		9,050
Federal Home Loan Bank, 5.100%, (US SOFR plus 0.040%), 9/26/23		7,500,000		7,500
Federal Home Loan Bank, 5.120%, (US SOFR plus 0.060%), 9/5/23		7,750,000		7,750
Federal Home Loan Bank, 5.130%, (US SOFR plus 0.070%), 8/22/23		2,225,000		2,225
Federal Home Loan Bank, 5.130%, (US SOFR plus 0.070%), 9/25/23		1,525,000		1,525
Federal Home Loan Bank, 5.130%, (US SOFR plus 0.070%), 11/30/23		2,560,000		2,560
Federal Home Loan Bank, 5.140%, (US SOFR plus 0.080%), 1/24/24		8,000,000		8,000

Money Market Investments (100.2%)	Shares/Par +		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Bank, 5.150%, (US SOFR plus 0.090%), 9/8/23		2,745,000		2,745
Federal Home Loan Bank, 5.160%, (US SOFR plus 0.095%), 10/6/23		2,145,000		2,145
Federal Home Loan Bank, 5.400%, 3/27/24		4,860,000		4,860
US Treasury, 0.000%, 9/14/23		1,935,000		1,914
US Treasury, 0.000%, 8/1/23		3,105,000		3,093
US Treasury, 0.000%, 8/10/23		14,290,000		14,209
US Treasury, 0.000%, 6/13/24		1,805,000		1,719
US Treasury, 5.174%, (US Treasury 3 Month Bill Money Market Yield less 0.075%), 4/30/24		5,315,000		5,313
US Treasury, 5.449%, (US Treasury 3 Month Bill Money Market Yield plus 0.200%), 1/31/25		5,000,000		5,000
Total				207,772
Total Money Market Investments (Cost: $529,772)				529,772
Total Investments (100.2%) (Cost: $529,772)				529,772
Other Assets, Less Liabilities (-0.2%)				(977)
Net Assets (100.0%)				528,795

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

78

Government Money Market Portfolio

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

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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	$	—	$	529,772	$	—
Total Assets:	$	—	$	529,772	$	—

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

79

Short-Term Bond Portfolio (unaudited)

Sector Allocation 6/30/23
Sector	% of Net Assets
Corporate Bonds	48.6%
Structured Products	29.1%
Governments	20.6%
Short-Term Investments & Other Net Assets	1.6%
Municipal Bonds	0.1%
Sector Allocation is subject to change.

80

Short-Term Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Basic Materials (1.7%)
ArcelorMittal
3.600%, 7/16/24		225,000		219
Celanese US Holdings LLC
5.900%, 7/5/24		1,000,000		998
6.050%, 3/15/25		1,235,000		1,230
Celulosa Arauco y Constitucion SA
4.500%, 8/1/24		365,000		359
Ecolab, Inc.
1.650%, 2/1/27		215,000		193
5.250%, 1/15/28		625,000		635
LYB International Finance III, LLC
1.250%, 10/1/25		373,000		337
Nucor Corp.
2.000%, 6/1/25		155,000		145
3.950%, 5/23/25		275,000		267
Nutrien, Ltd.
4.900%, 3/27/28		240,000		235
POSCO
4.375%, 8/4/25 §		1,000,000		971
The Sherwin-Williams Co.
4.050%, 8/8/24		155,000		152
4.250%, 8/8/25		230,000		225
Steel Dynamics, Inc.
2.800%, 12/15/24		200,000		191
Westlake Chemical Corp.
0.875%, 8/15/24		435,000		411
Total				6,568
Communications (3.0%)
Charter Communications Operating LLC /
Charter Communications Operating Capital Corp.
4.908%, 7/23/25		2,090,000		2,050
Comcast Corp.
3.375%, 8/15/25		400,000		386
5.250%, 11/7/25		225,000		226
Cox Communications, Inc.
3.150%, 8/15/24 144A		1,023,000		988
3.500%, 8/15/27 144A		215,000		200
Crown Castle Towers LLC
4.241%, 7/15/48 144A		175,000		162
KT Corp.
4.000%, 8/8/25 144A		1,020,000		989
Meta Platforms, Inc.
4.600%, 5/15/28		400,000		396
NBN Co., Ltd.
1.450%, 5/5/26 144A		1,000,000		900
NTT Finance Corp.
0.583%, 3/1/24 144A		265,000		256
4.142%, 7/26/24 144A		200,000		197
4.239%, 7/25/25 144A		200,000		195
Rogers Communications, Inc.
2.950%, 3/15/25 144A		930,000		883
3.200%, 3/15/27 144A		690,000		641
T-Mobile USA, Inc.
2.250%, 2/15/26		470,000		432

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Communications continued
3.500%, 4/15/25		595,000		572
Verizon Communications, Inc.
0.850%, 11/20/25		500,000		451
1.450%, 3/20/26		650,000		589
2.625%, 8/15/26		845,000		785
Total				11,298
Consumer, Cyclical (4.8%)
7-Eleven, Inc.
0.800%, 2/10/24 144A		325,000		315
Advance Auto Parts, Inc.
5.900%, 3/9/26		130,000		129
American Airlines Pass Through Trust, Series
2017-2, Class B
3.700%, 4/15/27		190,371		179
Aptiv PLC / Aptiv Corp.
2.396%, 2/18/25		130,000		123
AutoZone, Inc.
3.125%, 4/18/24		515,000		504
3.625%, 4/15/25		235,000		227
Brunswick Corp.
0.850%, 8/18/24		685,000		644
Daimler Finance North America LLC
1.625%, 12/13/24 144A		580,000		546
5.150%, 1/16/26 144A		165,000		164
5.200%, 1/17/25 144A		215,000		213
General Motors Financial Co., Inc.
2.900%, 2/26/25		965,000		916
5.400%, 4/6/26		300,000		297
Genuine Parts Co.
1.750%, 2/1/25		220,000		206
Hasbro, Inc.
3.000%, 11/19/24		1,030,000		990
Hyatt Hotels Corp.
1.300%, 10/1/23		325,000		322
Hyundai Capital America
0.800%, 1/8/24 144A		390,000		380
0.875%, 6/14/24 144A		510,000		486
1.000%, 9/17/24 144A		255,000		240
5.500%, 3/30/26 144A		270,000		268
5.600%, 3/30/28 144A		350,000		348
Hyundai Motor Co.
2.125%, 4/24/25 144A		200,000		187
Lowe’s Companies, Inc.
3.350%, 4/1/27		175,000		165
4.400%, 9/8/25		660,000		647
4.800%, 4/1/26		385,000		381
Marriott International, Inc.
3.600%, 4/15/24		1,160,000		1,140
3.750%, 3/15/25		110,000		107
4.900%, 4/15/29		120,000		117
5.750%, 5/1/25		120,000		120
Mercedes-Benz Finance North America LLC
4.800%, 3/30/26 144A		410,000		406
4.950%, 3/30/25 144A		320,000		317

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

81

Short-Term Bond Portfolio

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
Nissan Motor Acceptance Corp.
3.875%, 9/21/23 144A		235,000		234
Nissan Motor Co., Ltd.
3.043%, 9/15/23 144A		1,100,000		1,092
Nordstrom, Inc.
2.300%, 4/8/24		85,000		82
Ross Stores, Inc.
0.875%, 4/15/26		350,000		309
3.375%, 9/15/24		135,000		131
4.600%, 4/15/25		1,355,000		1,328
Starbucks Corp.
4.750%, 2/15/26		465,000		461
Stellantis Finance US, Inc.
1.711%, 1/29/27 144A		260,000		228
Toyota Motor Credit Corp.
3.050%, 3/22/27		325,000		304
4.800%, 1/10/25		575,000		571
United Airlines Pass Through Trust, Series
2019-2, Class B
3.500%, 11/1/29		117,898		106
Volkswagen Group of America Finance LLC
0.875%, 11/22/23 144A		345,000		339
3.950%, 6/6/25 144A		390,000		379
Warnermedia Holdings, Inc.
3.755%, 3/15/27		1,545,000		1,441
6.412%, 3/15/26		275,000		275
Total				18,364
Consumer, Non-cyclical (9.5%)
AbbVie, Inc.
2.600%, 11/21/24		1,935,000		1,857
2.950%, 11/21/26		1,120,000		1,046
3.200%, 5/14/26		100,000		95
Amgen, Inc.
5.250%, 3/2/25		215,000		214
AstraZeneca Finance LLC
1.200%, 5/28/26		805,000		726
BAT International Finance PLC
1.668%, 3/25/26		475,000		427
4.448%, 3/16/28		1,010,000		953
Bayer US Finance II LLC
3.875%, 12/15/23 144A		505,000		500
Becton Dickinson and Co.
3.363%, 6/6/24		690,000		675
3.734%, 12/15/24		170,000		165
4.693%, 2/13/28		805,000		794
Cardinal Health, Inc.
3.079%, 6/15/24		310,000		302
3.500%, 11/15/24		525,000		508
Coca-Cola European Partners PLC
0.800%, 5/3/24 144A		1,335,000		1,282
Constellation Brands, Inc.
3.600%, 5/9/24		485,000		476
CSL Finance PLC
3.850%, 4/27/27 144A		200,000		191
CVS Health Corp.
2.875%, 6/1/26		265,000		249
3.000%, 8/15/26		220,000		206
5.000%, 2/20/26		560,000		557

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Diageo Capital PLC
1.375%, 9/29/25		300,000		276
5.200%, 10/24/25		360,000		360
Elevance Health, Inc.
5.350%, 10/15/25		180,000		180
ERAC USA Finance LLC
4.600%, 5/1/28 144A		735,000		714
HCA, Inc.
3.125%, 3/15/27 144A		580,000		533
5.375%, 2/1/25		350,000		347
Health Care Service Corp.
1.500%, 6/1/25 144A		780,000		715
HPHT Finance 19, Ltd.
2.875%, 11/5/24 §		1,200,000		1,153
Humana, Inc.
0.650%, 8/3/23		320,000		319
1.350%, 2/3/27		75,000		65
3.850%, 10/1/24		545,000		532
4.500%, 4/1/25		565,000		555
5.750%, 3/1/28		140,000		142
Imperial Brands Finance PLC
3.125%, 7/26/24 144A		1,055,000		1,019
4.250%, 7/21/25 144A		510,000		489
JDE Peet’s NV
0.800%, 9/24/24 144A		295,000		277
Kenvue, Inc.
5.350%, 3/22/26 144A		250,000		252
5.500%, 3/22/25 144A		475,000		476
Mars, Inc.
2.700%, 4/1/25 144A		370,000		353
4.550%, 4/20/28 144A		770,000		758
Mondelez International, Inc.
2.125%, 3/17/24		410,000		400
2.625%, 3/17/27		415,000		383
4.250%, 9/15/25 144A		305,000		297
Moody’s Corp.
3.750%, 3/24/25		505,000		491
Mylan NV
3.950%, 6/15/26		935,000		888
PeaceHealth Obligated Group
1.375%, 11/15/25		105,000		95
PerkinElmer, Inc.
0.550%, 9/15/23		390,000		386
0.850%, 9/15/24		745,000		700
Perrigo Finance Unlimited Co.
3.900%, 12/15/24		1,570,000		1,519
Pfizer Investment Enterprises Pte., Ltd.
4.450%, 5/19/26		985,000		973
4.450%, 5/19/28		590,000		580
Philip Morris International, Inc.
4.875%, 2/13/26		490,000		487
5.000%, 11/17/25		295,000		294
5.125%, 11/15/24		585,000		582
Royalty Pharma PLC
0.750%, 9/2/23		425,000		421
S&P Global, Inc.
2.450%, 3/1/27		1,120,000		1,033
Shire Acquisitions Investments Ireland DAC
2.875%, 9/23/23		397,000		394

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

82

Short-Term Bond Portfolio

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Stryker Corp.
0.600%, 12/1/23		190,000		186
Thermo Fisher Scientific, Inc.
0.797%, 10/18/23		1,050,000		1,036
Triton Container International, Ltd.
0.800%, 8/1/23 144A		780,000		776
UnitedHealth Group, Inc.
3.700%, 5/15/27		605,000		583
4.250%, 1/15/29		775,000		753
5.150%, 10/15/25		535,000		537
5.250%, 2/15/28		380,000		387
Viatris, Inc.
1.650%, 6/22/25		620,000		570
Viterra Finance BV
4.900%, 4/21/27 144A		600,000		577
Zoetis, Inc.
5.400%, 11/14/25		575,000		577
Total				36,643
Energy (3.2%)
Aker BP ASA
2.000%, 7/15/26 144A		246,000		221
Canadian Natural Resources, Ltd.
2.050%, 7/15/25		760,000		708
Cheniere Corpus Christi Holdings LLC
5.875%, 3/31/25		910,000		906
DCP Midstream Operating LP
5.375%, 7/15/25		1,040,000		1,030
Devon Energy Corp.
8.250%, 8/1/23		290,000		290
Enbridge, Inc.
2.150%, 2/16/24		275,000		269
2.500%, 1/15/25		640,000		609
2.500%, 2/14/25		330,000		313
4.000%, 10/1/23		365,000		364
Energy Transfer LP
2.900%, 5/15/25		115,000		109
4.200%, 9/15/23		135,000		134
4.250%, 4/1/24		35,000		34
4.900%, 2/1/24		425,000		422
5.875%, 1/15/24		1,054,000		1,054
Eni SpA
4.000%, 9/12/23 144A		955,000		951
Equinor ASA
2.875%, 4/6/25		880,000		843
Gray Oak Pipeline LLC
2.000%, 9/15/23 144A		295,000		293
2.600%, 10/15/25 144A		205,000		188
Ovintiv, Inc.
5.650%, 5/15/25		465,000		461
Pioneer Natural Resources Co.
5.100%, 3/29/26		360,000		358
Sabine Pass Liquefaction LLC
5.625%, 3/1/25		700,000		697
5.750%, 5/15/24		630,000		629
Schlumberger Finance Canada, Ltd.
1.400%, 9/17/25		155,000		143
TransCanada PipeLines, Ltd.
6.203%, 3/9/26		910,000		911

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Energy continued
The Williams Cos., Inc.
5.400%, 3/2/26		350,000		349
Williams Partners LP
4.300%, 3/4/24		145,000		143
Total				12,429
Financial (18.5%)
AerCap Ireland Capital DAC / AerCap Global
Aviation Trust
1.650%, 10/29/24		1,265,000		1,189
4.500%, 9/15/23		95,000		95
4.875%, 1/16/24		550,000		546
American Express Co.
2.250%, 3/4/25		975,000		923
American International Group, Inc.
2.500%, 6/30/25		433,000		408
American Tower Corp.
2.400%, 3/15/25		360,000		339
5.000%, 2/15/24		225,000		224
Athene Global Funding
1.716%, 1/7/25 144A		930,000		861
2.514%, 3/8/24 144A		1,165,000		1,133
Avolon Holdings Funding, Ltd.
2.125%, 2/21/26 144A		610,000		542
2.875%, 2/15/25 144A		435,000		405
3.950%, 7/1/24 144A		130,000		126
6.375%, 5/4/28 144A		185,000		183
Banco Bilbao Vizcaya Argentaria SA
0.875%, 9/18/23		1,000,000		990
Banco del Estado de Chile
2.704%, 1/9/25 144A		260,000		248
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico
5.375%, 4/17/25 §		800,000		791
Banco Santander SA
0.701%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24		600,000		597
3.496%, 3/24/25		600,000		574
Bank Mandiri Persero Tbk PT
5.500%, 4/4/26		670,000		669
Bank of America Corp.
0.810%, (US SOFR plus 0.730%), 10/24/24		695,000		683
0.976%, (US SOFR plus 0.690%), 4/22/25		605,000		580
1.734%, (US SOFR plus 0.960%), 7/22/27		450,000		402
1.843%, (US SOFR plus 0.670%), 2/5/25		460,000		448
3.384%, (US SOFR plus 1.330%), 4/2/26		580,000		556
3.841%, (US SOFR plus 1.110%), 4/25/25		415,000		407
5.080%, (US SOFR plus 1.290%), 1/20/27		395,000		389
Bank of Ireland Group PLC
4.500%, 11/25/23 144A		1,540,000		1,525
Bank of Montreal
3.700%, 6/7/25		775,000		748
4.250%, 9/14/24		390,000		382
5.300%, 6/5/26		455,000		454
The Bank of New York Mellon Corp.
4.414%, (US SOFR plus 1.345%), 7/24/26		515,000		504
4.947%, (US SOFR plus 1.026%), 4/26/27		560,000		553
5.148%, (US SOFR plus 1.067%), 5/22/26		410,000		407

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

83

Short-Term Bond Portfolio

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
Banque Federative du Credit Mutuel SA
0.650%, 2/27/24 144A		505,000		488
0.998%, 2/4/25 144A		665,000		613
4.935%, 1/26/26 144A		400,000		392
Barclays PLC
1.007%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.800%), 12/10/24		555,000		541
5.304%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/9/26		385,000		376
7.325%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.050%), 11/2/26		390,000		399
BPCE SA
5.700%, 10/22/23 144A		1,680,000		1,673
Brighthouse Financial Global Funding
1.000%, 4/12/24 144A		495,000		476
Brixmor Operating Partnership LP
3.650%, 6/15/24		440,000		425
CaixaBank SA
6.208%, (US SOFR plus 2.700%), 1/18/29 144A		590,000		589
Capital One Financial Corp.
2.636%, (US SOFR plus 1.290%), 3/3/26		585,000		546
3.900%, 1/29/24		240,000		237
4.250%, 4/30/25		120,000		116
4.985%, (US SOFR plus 2.160%), 7/24/26		460,000		446
6.312%, (US SOFR plus 2.640%), 6/8/29		255,000		253
The Charles Schwab Corp.
2.450%, 3/3/27		1,255,000		1,124
4.200%, 3/24/25		525,000		511
Citigroup, Inc.
0.981%, (US SOFR plus 0.669%), 5/1/25		500,000		478
3.106%, (US SOFR plus 2.842%), 4/8/26		650,000		621
4.140%, (US SOFR plus 1.372%), 5/24/25		555,000		545
CNO Global Funding
1.650%, 1/6/25 144A		685,000		636
1.750%, 10/7/26 144A		680,000		600
Cooperatieve Rabobank UA
3.875%, 8/22/24		355,000		348
Corebridge Financial, Inc.
3.500%, 4/4/25		455,000		433
Credit Suisse AG
0.495%, 2/2/24		485,000		467
Creditcorp, Ltd.
2.750%, 6/17/25 144A		200,000		189
Crown Castle International Corp.
1.050%, 7/15/26		615,000		538
2.900%, 3/15/27		485,000		444
3.150%, 7/15/23		430,000		429
5.000%, 1/11/28		185,000		182
Danske Bank A/S
3.773%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.450%), 3/28/25 144A		405,000		396
5.375%, 1/12/24 144A		455,000		452
Equitable Financial Life Global Funding
1.100%, 11/12/24 144A		530,000		496
1.400%, 7/7/25 144A		75,000		68

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
Essex Portfolio LP
3.875%, 5/1/24		600,000		589
Fifth Third Bank NA
2.250%, 2/1/27		250,000		219
5.852%, (US SOFR Index plus 1.230%), 10/27/25		985,000		959
First American Financial Corp.
4.600%, 11/15/24		195,000		190
The Goldman Sachs Group, Inc.
0.657%, (US SOFR plus 0.505%), 9/10/24		335,000		331
0.925%, (US SOFR plus 0.486%), 10/21/24		315,000		310
1.757%, (US SOFR plus 0.730%), 1/24/25		565,000		550
3.500%, 4/1/25		490,000		471
4.482%, (US SOFR plus 1.725%), 8/23/28		465,000		450
5.700%, 11/1/24		230,000		230
HSBC Holdings PLC
1.162%, (US SOFR plus 0.580%), 11/22/24		420,000		411
1.645%, (US SOFR plus 1.538%), 4/18/26		910,000		838
Jackson Financial, Inc.
1.125%, 11/22/23		620,000		609
Jackson National Life Global Funding
1.750%, 1/12/25 144A		620,000		575
JPMorgan Chase & Co.
0.824%, (US SOFR 3 Month plus 0.540%), 6/1/25		560,000		532
2.083%, (US SOFR plus 1.850%), 4/22/26		890,000		833
4.080%, (US SOFR plus 1.320%), 4/26/26		865,000		841
5.914%, (US SOFR plus 0.885%), 4/22/27		350,000		350
Kilroy Realty LP
4.375%, 10/1/25		180,000		169
LeasePlan Corp. NV
2.875%, 10/24/24 144A		1,005,000		957
LSEGA Financing PLC
0.650%, 4/6/24 144A		1,105,000		1,060
Marsh & McLennan Cos., Inc.
3.750%, 3/14/26		105,000		102
3.875%, 3/15/24		345,000		340
Metropolitan Life Global Funding I
0.400%, 1/7/24 144A		430,000		419
Mitsubishi UFJ Financial Group, Inc.
0.953%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.550%), 7/19/25		985,000		931
Morgan Stanley
1.164%, (US SOFR plus 0.560%), 10/21/25		445,000		416
2.630%, (US SOFR plus 0.940%), 2/18/26		545,000		517
3.620%, (US SOFR plus 1.160%), 4/17/25		390,000		382
5.050%, (US SOFR plus 1.295%), 1/28/27		225,000		223
5.502%, (US SOFR plus 0.455%), 1/25/24		450,000		450
5.539%, (US SOFR plus 0.466%), 11/10/23		640,000		640
6.138%, (US SOFR plus 1.770%), 10/16/26		525,000		530
Morgan Stanley Bank NA
4.754%, 4/21/26		475,000		468
Nasdaq, Inc.
5.650%, 6/28/25		95,000		95
NatWest Markets PLC
0.800%, 8/12/24 144A		390,000		367
Northern Trust Corp.
3.950%, 10/30/25		330,000		318

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

84

Short-Term Bond Portfolio

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
Park Aerospace Holdings, Ltd.
5.500%, 2/15/24 144A		245,000		242
The PNC Financial Services Group, Inc.
4.758%, (US SOFR plus 1.085%), 1/26/27		575,000		562
5.671%, (US SOFR Index plus 1.090%), 10/28/25		760,000		754
5.812%, (US SOFR plus 1.322%), 6/12/26		215,000		214
Principal Life Global Funding II
0.750%, 4/12/24 144A		530,000		509
Public Storage
5.499%, (US SOFR plus 0.470%), 4/23/24		280,000		280
QNB Finance, Ltd.
3.500%, 3/28/24 §		880,000		865
Realty Income Corp.
5.050%, 1/13/26		140,000		139
Santander Holdings USA, Inc.
2.490%, (US SOFR plus 1.249%), 1/6/28		410,000		354
SBA Tower Trust
1.631%, 5/15/51 144A		280,000		242
1.884%, 1/15/26 144A		160,000		144
2.836%, 1/15/50 144A		770,000		731
3.869%, 10/15/49 144A		120,000		116
6.599%, 11/15/52 144A		325,000		330
Simon Property Group LP
2.000%, 9/13/24		225,000		215
3.375%, 10/1/24		450,000		436
Standard Chartered PLC
0.991%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.780%), 1/12/25 144A		220,000		213
1.822%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 11/23/25 144A		255,000		238
State Street Corp.
4.857%, (US SOFR plus 0.604%), 1/26/26		245,000		241
5.104%, (US SOFR plus 1.130%), 5/18/26		385,000		382
Svenska Handelsbanken AB
0.550%, 6/11/24 144A		420,000		400
Synchrony Financial
4.250%, 8/15/24		1,130,000		1,089
The Toronto-Dominion Bank
0.550%, 3/4/24		1,015,000		981
4.285%, 9/13/24		985,000		967
Trininty Acquisition PLC
4.625%, 8/15/23		200,000		199
Truist Financial Corp.
5.458%, (US SOFR plus 0.400%), 6/9/25		410,000		397
UBS AG
0.700%, 8/9/24 144A		280,000		264
UBS Group AG
1.008%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.830%), 7/30/24 144A		620,000		617
1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A		215,000		185
4.488%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.550%), 5/12/26 144A		200,000		193

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
4.490%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 8/5/25 144A		565,000		552
US Bancorp
4.548%, (US SOFR plus 1.660%), 7/22/28		1,080,000		1,033
5.727%, (US SOFR plus 1.430%), 10/21/26		320,000		320
Wells Fargo & Co.
2.188%, (US SOFR plus 2.000%), 4/30/26		400,000		375
3.526%, (US SOFR plus 1.510%), 3/24/28		375,000		350
3.908%, (US SOFR plus 1.320%), 4/25/26		610,000		590
4.540%, (US SOFR plus 1.560%), 8/15/26		590,000		576
The Western Union Co.
2.850%, 1/10/25		1,130,000		1,075
WP Carey, Inc.
4.600%, 4/1/24		805,000		794
Total				71,244
Industrial (2.4%)
Amcor Flexibles North America, Inc.
4.000%, 5/17/25		450,000		435
Amphenol Corp.
2.050%, 3/1/25		405,000		382
4.750%, 3/30/26		205,000		203
Canadian Pacific Railway Co.
1.350%, 12/2/24		725,000		681
1.750%, 12/2/26		315,000		283
Carrier Global Corp.
2.242%, 2/15/25		117,000		111
DAE Funding LLC
1.550%, 8/1/24 144A		265,000		252
Deere & Co.
2.750%, 4/15/25		195,000		187
GATX Corp.
3.250%, 3/30/25		525,000		498
4.350%, 2/15/24		772,000		762
Martin Marietta Materials, Inc.
0.650%, 7/15/23		475,000		474
Otis Worldwide Corp.
2.056%, 4/5/25		485,000		457
Parker Hannifin Corp.
3.650%, 6/15/24		875,000		857
Penske Truck Leasing Co. LP / PTL Finance Corp.
3.450%, 7/1/24 144A		200,000		195
3.900%, 2/1/24 144A		620,000		612
5.750%, 5/24/26 144A		495,000		490
Regal Rexnord Corp.
6.050%, 2/15/26 144A		370,000		370
Republic Services, Inc.
0.875%, 11/15/25		120,000		108
2.500%, 8/15/24		495,000		478
4.875%, 4/1/29		170,000		170
SMBC Aviation Capital Finance DAC
3.550%, 4/15/24 144A		400,000		392
4.125%, 7/15/23 144A		200,000		200
Tyco Electronics Group SA
4.500%, 2/13/26		530,000		522
Total				9,119

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

85

Short-Term Bond Portfolio

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Technology (2.6%)
Analog Devices, Inc.
5.241%, (US SOFR plus 0.250%), 10/1/24		170,000		170
CDW LLC / CDW Finance Corp.
5.500%, 12/1/24		180,000		179
Fidelity National Information Services, Inc.
0.600%, 3/1/24		310,000		299
4.500%, 7/15/25		305,000		298
Fiserv, Inc.
2.750%, 7/1/24		800,000		776
3.800%, 10/1/23		470,000		468
Fortinet, Inc.
1.000%, 3/15/26		380,000		339
Intel Corp.
4.875%, 2/10/26		385,000		384
Microchip Technology, Inc.
0.972%, 2/15/24		685,000		664
0.983%, 9/1/24		560,000		529
2.670%, 9/1/23		640,000		637
Micron Technology, Inc.
5.375%, 4/15/28		575,000		569
NXP BV / NXP Funding LLC
4.875%, 3/1/24		520,000		516
NXP BV / NXP Funding LLC / NXP USA, Inc.
2.700%, 5/1/25		445,000		422
3.875%, 6/18/26		340,000		327
4.400%, 6/1/27		80,000		77
Oracle Corp.
2.500%, 4/1/25		1,250,000		1,186
Qorvo, Inc.
1.750%, 12/15/24 144A		275,000		256
Roper Technologies, Inc.
1.000%, 9/15/25		115,000		105
2.350%, 9/15/24		165,000		158
3.650%, 9/15/23		125,000		124
Take-Two Interactive Software, Inc.
3.300%, 3/28/24		19,000		19
3.550%, 4/14/25		295,000		285
5.000%, 3/28/26		585,000		579
Texas Instruments, Inc.
4.600%, 2/15/28		115,000		115
VMware, Inc.
0.600%, 8/15/23		385,000		383
Workday, Inc.
3.500%, 4/1/27		265,000		251
Total				10,115
Utilities (2.9%)
The AES Corp.
3.300%, 7/15/25 144A		365,000		345
Alexander Funding Trust
1.841%, 11/15/23 144A		530,000		518
APT Pipelines, Ltd.
4.200%, 3/23/25 144A		1,335,000		1,294
Constellation Energy Generation, LLC
5.600%, 3/1/28		315,000		317
DTE Energy Co.
4.220%, 11/1/24		550,000		538
Enel Finance International NV
1.375%, 7/12/26 144A		645,000		569
2.650%, 9/10/24 144A		1,000,000		962

Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)
Utilities continued
6.800%, 10/14/25 144A		200,000		204
NextEra Energy Capital Holdings, Inc.
1.875%, 1/15/27		685,000		611
4.450%, 6/20/25		540,000		530
6.051%, 3/1/25		255,000		256
NiSource, Inc.
5.250%, 3/30/28		130,000		130
NRG Energy, Inc.
3.750%, 6/15/24 144A		270,000		261
Pacific Gas & Electric Co.
3.500%, 6/15/25		555,000		525
Sempra Energy
3.300%, 4/1/25		385,000		369
5.400%, 8/1/26		270,000		269
Southern California Gas Co.
2.950%, 4/15/27		410,000		382
Vistra Operations Co. LLC
3.550%, 7/15/24 144A		2,390,000		2,308
5.125%, 5/13/25 144A		610,000		595
Total				10,983
Total Corporate Bonds (Cost: $193,431)				186,763
Governments (20.6%)
Governments (20.6%)
Federal Home Loan Bank
5.000%, 2/28/25		1,390,000		1,386
Korea Electric Power Corp.
5.375%, 4/6/26 144A		1,000,000		996
Korea Housing Finance Corp.
4.625%, 2/24/28 144A		960,000		946
Korea Hydro & Nuclear Power Co., Ltd.
1.250%, 4/27/26 144A		795,000		705
4.250%, 7/27/27 144A		220,000		213
US Treasury
1.750%, 3/15/25		14,570,000		13,782
2.750%, 5/15/25		17,985,000		17,275
3.875%, 3/31/25		5,750,000		5,637
3.875%, 4/30/25		3,780,000		3,706
4.125%, 1/31/25 b		4,850,000		4,774
4.250%, 12/31/24		4,840,000		4,772
4.250%, 5/31/25		4,115,000		4,063
4.500%, 11/30/24		1,535,000		1,519
4.500%, 11/15/25		9,435,000		9,386
4.625%, 2/28/25		7,995,000		7,933
4.625%, 6/30/25		2,065,000		2,056
Total				79,149
Total Governments (Cost: $81,177)				79,149
Municipal Bonds (0.1%)
Municipal Bonds (0.1%)
Golden State Tobacco Securitization Corp.
1.711%, 6/1/24 RB		435,000		419
Total Municipal Bonds (Cost: $435)				419

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

86

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities (12.9%)
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C
1.590%, 10/20/25		290,873		286
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D
1.800%, 12/18/25		315,000		301
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C
1.060%, 8/18/26		245,000		231
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C
0.890%, 10/19/26		430,000		399
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D
1.210%, 12/18/26		270,000		246
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class D
1.290%, 6/18/27		575,000		516
AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C
5.800%, 12/18/28		380,000		376
ARI Fleet Lease Trust, Series 2020-A, Class B
2.060%, 11/15/28 144A		345,000		342
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class C
4.950%, 3/20/25 144A		195,000		193
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A
3.350%, 9/22/25 144A		340,000		330
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A
2.330%, 8/20/26 144A		250,000		232
Blackbird Capital Aircraft, Series 2016-1A, Class A4
2.487%, 12/16/41 144A Σ		150,506		144
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A
3.280%, 9/26/33 144A		98,570		93
CarMax Auto Owner Trust, Series 2019-4, Class A4
2.130%, 7/15/25		345,000		341
CarMax Auto Owner Trust, Series 2020-1, Class B
2.210%, 9/15/25		430,000		419
CarMax Auto Owner Trust, Series 2020-1, Class C
2.340%, 11/17/25		190,000		185
CarMax Auto Owner Trust, Series 2020-4, Class D
1.750%, 4/15/27		300,000		279
CarMax Auto Owner Trust, Series 2023-2, Class C
5.570%, 11/15/28		585,000		576
CarMax Auto Owner Trust, Series 2023-2, Class D
6.550%, 10/15/29		390,000		385
Cedar Funding, Ltd., Series 2018-7A, Class A1
6.250%, (ICE LIBOR USD 3 Month plus 1.000%), 1/20/31 144A		297,735		295

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Cedar Funding, Ltd., Series 2021-14A, Class A
6.360%, (ICE LIBOR USD 3 Month plus 1.100%), 7/15/33 144A		695,000		685
CIFC Funding, Ltd., Series 2014-2RA, Class A1
6.323%, (ICE LIBOR USD 3 Month plus 1.050%), 4/24/30 144A		837,593		832
CIFC Funding, Ltd., Series 2021-4A, Class A
6.310%, (ICE LIBOR USD 3 Month plus 1.050%), 7/15/33 144A		905,000		896
CNH Equipment Trust, Series 2020-A, Class A4
1.510%, 4/15/27		260,000		253
Drive Auto Receivables Trust, Series 2021-2, Class D
1.390%, 3/15/29		445,000		415
Dryden Senior Loan Fund, Series 2020-86A, Class A1R
6.360%, (ICE LIBOR USD 3 Month plus 1.100%), 7/17/34 144A		610,000		598
Elara HGV Timeshare Issuer, Series 2017-A, Class A
2.690%, 3/25/30 144A		27,786		27
Elara HGV Timeshare Issuer, Series 2019-A, Class A
2.610%, 1/25/34 144A		78,514		73
Enterprise Fleet Financing LLC, Series 2023- 2, Class A2
5.560%, 4/22/30 144A		625,000		622
Exeter Automobile Receivables Trust, Series 2021-2A, Class C
0.980%, 6/15/26		221,094		216
Exeter Automobile Receivables Trust, Series 2021-3A, Class D
1.550%, 6/15/27		335,000		307
Exeter Automobile Receivables Trust, Series 2022-2A, Class C
3.850%, 7/17/28		655,000		632
Exeter Automobile Receivables Trust, Series 2022-3A, Class C
5.300%, 9/15/27		190,000		186
Exeter Automobile Receivables Trust, Series 2022-4A, Class D
5.980%, 12/15/28		305,000		299
Exeter Automobile Receivables Trust, Series 2022-5A, Class C
6.510%, 12/15/27		965,000		964
Exeter Automobile Receivables Trust, Series 2022-6A, Class A3
5.700%, 8/17/26		100,000		100
Exeter Automobile Receivables Trust, Series 2023-1A, Class D
6.690%, 6/15/29		80,000		80
Finance of America HECM Buyout, Series 2022-HB2, Class A1A
4.000%, (AFC), 8/1/32 144A		825,429		795
FirstKey Homes Trust, Series 2020-SFR1, Class D
2.241%, 8/17/37 144A		1,080,000		979

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

87

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Ford Credit Auto Owner Trust, Series 2020-2, Class C
1.740%, 4/15/33 144A		310,000		280
Ford Credit Auto Owner Trust, Series 2022-A, Class C
4.180%, 10/15/25		1,020,000		990
Ford Credit Auto Owner Trust, Series 2023-A, Class B
5.070%, 1/15/29		905,000		889
Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class C
1.420%, 9/15/25		440,000		429
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class C
5.750%, 5/15/28 144A		245,000		241
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class D
6.620%, 5/15/28 144A		295,000		290
GM Financial Automobile Leasing Trust, Series 2022-3, Class C
5.130%, 8/20/26		585,000		573
GM Financial Automobile Leasing Trust, Series 2023-1, Class B
5.030%, 9/18/28		155,000		153
GM Financial Automobile Leasing Trust, Series 2023-1, Class C
5.760%, 1/20/27		970,000		958
GM Financial Consumer Automobile Receivables Trust, Series 2020-4, Class C
1.050%, 5/18/26		225,000		212
GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3
1.490%, 12/16/24		14,055		14
Hardee’s Funding LLC, Series 2018-1A, Class A21I
4.959%, 6/20/48 144A		614,363		573
Hilton Grand Vacations Trust, Series 2017-AA, Class A
2.660%, 12/26/28 144A		238,046		235
Hilton Grand Vacations Trust, Series 2017-AA, Class B
2.960%, (EXE), 12/26/28 144A		51,945		51
Hilton Grand Vacations Trust, Series 2020-AA, Class A
2.740%, 2/25/39 144A		214,600		200
Home Partners of America Trust, Series 2022- 1, Class A
3.930%, 4/17/39 144A		389,630		364
HPEFS Equipment Trust, Series 2023-1A, Class C
5.910%, 4/20/28 144A		355,000		349
Hyundai Auto Receivables Trust, Series 2020- A, Class A3
1.410%, 11/15/24		47,702		47
JPMorgan Chase Bank NA, Series 2021-2, Class D
1.138%, 12/26/28 144A		113,718		110
KKR Financial CLO, Ltd., Series 2021-29A, Class A
6.460%, (ICE LIBOR USD 3 Month plus 1.200%), 1/15/32 144A		1,000,000		990

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Madison Park Funding, Ltd., Series 2017-23A, Class AR
6.262%, (ICE LIBOR USD 3 Month plus 0.970%), 7/27/31 144A		702,933		696
Madison Park Funding, Ltd., Series 2017-23A, Class BR
6.842%, (ICE LIBOR USD 3 Month plus 1.550%), 7/27/31 144A		460,000		454
Madison Park Funding, Ltd., Series 2019-37A, Class AR
6.330%, (ICE LIBOR USD 3 Month plus 1.070%), 7/15/33 144A		450,000		445
Madison Park Funding, Ltd., Series 2022-33A, Class AR
6.276%, (US SOFR 3 Month plus 1.290%), 10/15/32 144A		1,025,000		1,009
Magnetite CLO, Ltd., Series 2020-25A, Class A
6.455%, (ICE LIBOR USD 3 Month plus 1.200%), 1/25/32 144A		655,000		650
MVW Owner Trust, Series 2017-1A, Class A
2.420%, 12/20/34 144A		99,107		99
MVW Owner Trust, Series 2017-1A, Class B
2.750%, 12/20/34 144A		10,432		10
MVW Owner Trust, Series 2017-1A, Class C
2.990%, 12/20/34 144A		11,476		11
MVW Owner Trust, Series 2019-2A, Class A
2.440%, 10/20/38 144A		62,351		57
MVW Owner Trust, Series 2020-1A, Class A
1.740%, 10/20/37 144A		101,296		92
MVW Owner Trust, Series 2020-1A, Class B
2.730%, 10/20/37 144A		138,277		128
MVW Owner Trust, Series 2021-1WA, Class C
1.940%, 1/22/41 144A		84,216		76
MVW Owner Trust, Series 2023-1A, Class A
4.930%, 10/20/40 144A		811,316		795
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A
3.420%, 1/15/43 144A		161,605		155
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A
3.010%, 12/15/59 144A		186,685		173
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A
2.640%, 5/15/68 144A		264,580		248
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A
2.460%, 11/15/68 144A		254,487		234
Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A
2.150%, 11/15/68 144A		929,788		847
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A
1.690%, 5/15/69 144A		174,475		157
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A
1.170%, 9/16/69 144A		109,567		97
Navient Student Loan Trust, Series 2019-GA, Class A
2.400%, 10/15/68 144A		391,650		360

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

88

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Navient Student Loan Trust, Series 2020-HA, Class A
1.310%, 1/15/69 144A		56,060		51
Nelnet Student Loan Trust, Series 2020-1A, Class A
5.890%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A		100,143		98
Nelnet Student Loan Trust, Series 2021-CA, Class AFX
1.320%, 4/20/62 144A		638,343		567
Nelnet Student Loan Trust, Series 2021-DA, Class AFX
1.630%, 4/20/62 144A		225,437		202
Neuberger Berman CLO, Ltd., Series 2017- 26A, Class BR
6.662%, (ICE LIBOR USD 3 Month plus 1.400%), 10/18/30 144A		500,000		483
Neuberger Berman CLO, Ltd., Series 2019- 32A, Class AR
6.255%, (ICE LIBOR USD 3 Month plus 0.990%), 1/20/32 144A		955,000		941
Neuberger Berman CLO, Ltd., Series 2021- 40A, Class A
6.320%, (ICE LIBOR USD 3 Month plus 1.060%), 4/16/33 144A		270,000		267
Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3
1.380%, 12/16/24		28,105		28
OCP CLO, Ltd., Series 2017-13A, Class A2R
6.810%, (ICE LIBOR USD 3 Month plus 1.550%), 7/15/30 144A		760,000		740
Octane Receivables Trust, Series 2021-2A, Class A
1.210%, 9/20/28 144A		165,806		159
Octane Receivables Trust, Series 2022-1A, Class B
4.900%, 5/22/28 144A		395,000		383
Octane Receivables Trust, Series 2023-1A, Class A
5.870%, 5/21/29 144A		125,841		125
Octane Receivables Trust, Series 2023-1A, Class B
5.960%, 7/20/29 144A		225,000		222
Palmer Square CLO, Ltd., Series 2020-3A, Class A1AR
6.401%, (ICE LIBOR USD 3 Month plus 1.080%), 11/15/31 144A		1,285,000		1,274
Planet Fitness Master Issuer LLC, Series 2018-A1, Class A2II
4.666%, 9/5/48 144A		809,625		772
Progress Residential Trust, Series 2020-SFR2, Class A
2.078%, 6/18/37 144A		154,809		144
Progress Residential Trust, Series 2022-SFR6, Class A
4.451%, 7/20/39 144A		525,000		498
Santander Bank Auto Credit-Linked Notes, Series 2021-1A, Class B
1.833%, 12/15/31 144A		89,425		86

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class C
5.916%, 8/16/32 144A		179,976		179
Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class B
6.451%, 12/15/32 144A		719,428		718
Santander Consumer Auto Receivables Trust, Series 2020-BA, Class C
1.290%, 4/15/26 144A		650,000		634
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class D
1.570%, 1/15/27 144A		450,000		411
Santander Drive Auto Receivables Trust, Series 2020-3, Class D
1.640%, 11/16/26		328,083		320
Santander Drive Auto Receivables Trust, Series 2020-4, Class C
1.010%, 1/15/26		58,673		58
Santander Drive Auto Receivables Trust, Series 2021-3, Class D
1.330%, 9/15/27		560,000		523
Santander Drive Auto Receivables Trust, Series 2021-4, Class D
1.670%, 10/15/27		450,000		415
Santander Drive Auto Receivables Trust, Series 2022-1, Class C
2.560%, 4/17/28		885,000		845
Santander Drive Auto Receivables Trust, Series 2023-1, Class C
5.090%, 5/15/30		260,000		253
Santander Retail Auto Lease Trust, Series 2021-A, Class C
1.140%, 3/20/26 144A		1,030,000		994
Santander Retail Auto Lease Trust, Series 2021-B, Class D
1.410%, 11/20/25 144A		440,000		420
Santander Retail Auto Lease Trust, Series 2021-C, Class C
1.110%, 3/20/26 144A		365,000		348
Santander Retail Auto Lease Trust, Series 2022-B, Class B
3.850%, 3/22/27 144A		150,000		144
Sierra Receivables Funding Co. LLC, Series 2019-1A, Class A
3.200%, 1/20/36 144A		35,775		34
Sierra Receivables Funding Co. LLC, Series 2019-2A, Class A
2.590%, 5/20/36 144A		121,341		117
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class A
2.340%, 7/15/38 144A		288,398		271
Sierra Receivables Funding Co. LLC, Series 2020-2A, Class C
3.510%, 7/20/37 144A		67,432		64

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

89

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
SMB Private Education Loan Trust, Series 2014-A, Class A3
6.693%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A		162,538		163
SMB Private Education Loan Trust, Series 2016-C, Class A2B
6.293%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		123,586		123
SMB Private Education Loan Trust, Series 2018-B, Class A2A
3.600%, 1/15/37 144A		110,173		105
SMB Private Education Loan Trust, Series 2018-B, Class A2B
5.913%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A		263,627		260
SMB Private Education Loan Trust, Series 2020-BA, Class A1A
1.290%, 7/15/53 144A		114,667		102
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A
1.600%, 9/15/54 144A		826,989		733
SMB Private Education Loan Trust, Series 2021-B, Class A
1.310%, 7/17/51 144A		548,405		483
Symphony CLO I, Ltd., Series 2021-1A, Class B
6.705%, (ICE LIBOR USD 3 Month plus 1.450%), 10/25/29 144A		815,000		791
Symphony CLO XXIII, Ltd., Series 2021-23A, Class AR
6.280%, (ICE LIBOR USD 3 Month plus 1.020%), 1/15/34 144A		1,045,000		1,029
Symphony CLO XXVI, Ltd., Series 2021-26A, Class AR
6.330%, (ICE LIBOR USD 3 Month plus 1.080%), 4/20/33 144A		285,000		279
World Omni Auto Receivables Trust, Series 2019-C, Class C
2.400%, 6/15/26		380,000		376
World Omni Auto Receivables Trust, Series 2020-A, Class C
1.640%, 8/17/26		225,000		218
World Omni Auto Receivables Trust, Series 2022-A, Class C
2.550%, 9/15/28		325,000		298
World Omni Select Auto Trust, Series 2020-A, Class B
0.840%, 6/15/26		247,596		243
World Omni Select Auto Trust, Series 2020-A, Class C
1.250%, 10/15/26		310,000		295
World Omni Select Auto Trust, Series 2021-A, Class D
1.440%, 11/15/27		180,000		160
World Omni Select Auto Trust, Series 2023-A, Class B
5.870%, 8/15/28		445,000		444
Total				49,759

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities (16.2%)
Angel Oak Mortgage Trust, Series 2020-3, Class A3
2.872%, (AFC), 4/25/65 144A		52,172		48
Angel Oak Mortgage Trust, Series 2020-5, Class A2
1.579%, (AFC), 5/25/65 144A		69,232		63
Angel Oak Mortgage Trust, Series 2021-1, Class A1
0.909%, (AFC), 1/25/66 144A		296,674		244
Angel Oak Mortgage Trust, Series 2021-1, Class A2
1.115%, (AFC), 1/25/66 144A		86,793		71
Angel Oak Mortgage Trust, Series 2021-2, Class A1
0.985%, (AFC), 4/25/66 144A		270,023		220
Angel Oak Mortgage Trust, Series 2021-2, Class A2
1.190%, (AFC), 4/25/66 144A		85,161		69
Angel Oak Mortgage Trust, Series 2021-3, Class A1
1.068%, (AFC), 5/25/66 144A		203,647		165
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A
6.044%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A		935,000		929
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C
7.193%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/38 144A		435,000		370
BANK, Series 2019-BNK24, Class A1
2.056%, 11/15/62		50,857		50
Bayview MSR Opportunity Master Fund Trust, Series 2021-2, Class A5
2.500%, (AFC), 6/25/51 144A		457,725		391
Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A5
2.500%, (AFC), 11/25/51 144A		342,233		292
Bayview MSR Opportunity Master Fund Trust, Series 2022-1, Class A5
2.500%, (AFC), 12/25/51 144A		432,854		368
BCP Trust, Series 2021-330N, Class A
5.992%, (ICE LIBOR USD 1 Month plus 0.799%), 6/15/38 144A		290,000		259
BINOM Securitization Trust, Series 2021-INV1, Class A3
2.625%, (AFC), 6/25/56 144A		188,761		158
BPR Trust, Series 2021-TY, Class B
6.343%, (ICE LIBOR USD 1 Month plus 1.150%), 9/25/38 144A		450,000		418
BRAVO Residential Funding Trust, Series 2021-NQM3, Class A1
1.699%, (AFC), 4/26/60 144A		296,657		260
BSREP Commercial Mortgage Trust, Series 2021-DC, Class D
7.094%, (ICE LIBOR USD 1 Month plus 1.900%), 8/15/38 144A		200,000		169
BX Commercial Mortgage Trust, Series 2019- XL, Class A
6.181%, (US SOFR 1 Month plus 1.035%), 10/15/36 144A		248,465		247

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

90

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
BX Commercial Mortgage Trust, Series 2019- XL, Class B
6.341%, (US SOFR 1 Month plus 1.195%), 10/15/36 144A		318,750		316
BX Commercial Mortgage Trust, Series 2021- SOAR, Class D
6.594%, (ICE LIBOR USD 1 Month plus 1.400%), 6/15/38 144A		363,500		349
BX Commercial Mortgage Trust, Series 2022- CSMO, Class B
8.288%, (US SOFR 1 Month plus 3.141%), 6/15/27 144A		570,000		567
BX Trust, Series 2018-GW, Class A
6.243%, (ICE LIBOR USD 1 Month plus 1.050%), 5/15/35 144A		1,095,000		1,082
BX Trust, Series 2021-ARIA, Class C
6.839%, (ICE LIBOR USD 1 Month plus 1.646%), 10/15/36 144A		330,000		317
BX Trust, Series 2021-VIEW, Class A
6.473%, (ICE LIBOR USD 1 Month plus 1.280%), 6/15/36 144A		255,000		242
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class D
6.843%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A		660,000		635
CIM Trust, Series 2020-INV1, Class A2
2.500%, (AFC), 4/25/50 144A		287,667		235
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B
3.635%, (CSTR), 5/10/35 144A		435,000		394
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C
3.635%, (CSTR), 5/10/35 144A		255,000		223
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A3
2.500%, 8/25/50 144A		285,194		236
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A4
2.500%, (AFC), 8/25/50 144A		396,103		322
Cold Storage Trust, Series 2020-ICE5, Class B
6.493%, (ICE LIBOR USD 1 Month plus 1.300%), 11/15/37 144A		953,501		937
COLT Mortgage Loan Trust, Series 2020-3, Class A1
1.506%, (AFC), 4/27/65 144A		30,545		28
COLT Mortgage Loan Trust, Series 2021-1, Class A2
1.167%, (AFC), 6/25/66 144A		263,650		210
COMM Mortgage Trust, Series 2013-300P, Class A1
4.353%, 8/10/30 144A		275,000		251
COMM Mortgage Trust, Series 2014-CR15, Class B
4.763%, (CSTR), 2/10/47		435,000		410
COMM Mortgage Trust, Series 2014-CR19, Class AM
4.080%, 8/10/47		495,000		475
COMM Mortgage Trust, Series 2014-CR19, Class D
4.853%, (CSTR), 8/10/47 144A		185,000		157

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
COMM Mortgage Trust, Series 2014-UBS2, Class B
4.701%, 3/10/47		480,000		465
COMM Mortgage Trust, Series 2014-UBS5, Class A4
3.838%, 9/10/47		630,000		607
COMM Mortgage Trust, Series 2015-CR22, Class B
3.926%, (AFC), 3/10/48		235,000		212
COMM Mortgage Trust, Series 2015-CR22, Class C
4.204%, (CSTR), 3/10/48		440,000		393
COMM Mortgage Trust, Series 2015-LC23, Class A2
3.221%, 10/10/48		4,524		4
Commercial Mortgage Pass Through Certificates, Series 2017-PANW, Class D
4.343%, (CSTR, AFC), 10/10/29 144A		195,000		175
Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1
6.067%, (US 30 Day Average SOFR plus 1.000%), 12/25/41 144A		260,425		258
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1
7.167%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		421,508		423
Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1
7.067%, (US 30 Day Average SOFR plus 2.000%), 3/25/42 144A		272,289		273
Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1
8.017%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A		375,918		385
Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1
7.617%, (US 30 Day Average SOFR plus 2.550%), 7/25/42 144A		203,760		207
Connecticut Avenue Securities Trust, Series 2023-R05, Class 1M1
7.167%, (US 30 Day Average SOFR plus 1.900%), 6/25/43 144A		180,000		180
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class C
6.623%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A		513,722		508
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class D
6.793%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		403,995		399
Credit Suisse Mortgage Trust, Series 2020- NET, Class A
2.256%, 8/15/37 144A		200,350		179
Credit Suisse Mortgage Trust, Series 2020- NET, Class D
3.828%, (CSTR), 8/15/37 144A		445,000		385
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4
3.718%, 8/15/48		305,000		291

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

91

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class A1
2.360%, 6/15/52		77,776		76
Deephaven Residential Mortgage Trust, Series 2021-1, Class A3
1.128%, (AFC), 5/25/65 144A		72,209		65
Deephaven Residential Mortgage Trust, Series 2021-2, Class A1
0.899%, (AFC), 4/25/66 144A		107,561		91
Deephaven Residential Mortgage Trust, Series 2021-2, Class A3
1.260%, (AFC), 4/25/66 144A		120,678		101
Eagle RE, Ltd., Series 2021-2, Class M1A
6.617%, (US 30 Day Average SOFR plus 1.550%), 4/25/34 144A		135,946		136
Ellington Financial Mortgage Trust, Series 2019-2, Class A3
3.046%, (AFC), 11/25/59 144A		49,738		45
Ellington Financial Mortgage Trust, Series 2021-1, Class A1
0.797%, (AFC), 2/25/66 144A		64,879		54
Ellington Financial Mortgage Trust, Series 2021-1, Class A3
1.106%, (AFC), 2/25/66 144A		53,802		44
Ellington Financial Mortgage Trust, Series 2021-2, Class A1
0.931%, (AFC), 6/25/66 144A		526,919		417
Ellington Financial Mortgage Trust, Series 2021-2, Class A3
1.291%, (AFC), 6/25/66 144A		155,681		122
Ellington Financial Mortgage Trust, Series 2021-3, Class A3
1.550%, (AFC), 9/25/66 144A		165,801		126
Extended Stay America Trust, Series 2021- ESH, Class A
6.274%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A		337,308		331
Extended Stay America Trust, Series 2021- ESH, Class C
6.894%, (ICE LIBOR USD 1 Month plus 1.700%), 7/15/38 144A		462,594		450
Federal Home Loan Mortgage Corp.
2.500%, 1/1/52		577,585		494
2.500%, 4/1/52		312,148		267
3.000%, 11/1/34		34,579		32
3.500%, 3/1/46		32,703		30
3.500%, 12/1/47		290,712		269
4.000%, 12/1/49		91,577		87
4.500%, 5/1/50		50,614		49
5.000%, 12/1/41		114,227		114
6.000%, 9/1/34		1,040		1
6.000%, 2/1/35		20,036		21
6.000%, 9/1/35		6,589		7
7.000%, 3/1/39		40,206		42
7.500%, 6/1/38		34,536		36
Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1
9.150%, (ICE LIBOR USD 1 Month plus 4.000%), 8/25/24		50,172		51

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1
3.865%, (CSTR), 5/25/47 144A		21,209		20
Federal Home Loan Mortgage Corp., Series 3713, Class PA
2.000%, 2/15/40		49,652		47
Federal Home Loan Mortgage Corp., Series 4092, Class CL
1.250%, 6/15/27		144,196		138
Federal National Mortgage Association
2.000%, 10/1/50		216,680		178
2.500%, 1/1/52		800,193		680
3.000%, 4/1/24		7,455		7
3.000%, 9/1/28		147,627		141
3.000%, 12/1/34		81,306		76
3.000%, 3/1/35		34,064		32
3.000%, 6/1/52		1,151,335		1,014
3.500%, 5/1/27		143,097		139
3.500%, 4/1/46		196,931		183
3.500%, 2/1/48		347,719		321
3.500%, 1/1/52		134,496		123
4.000%, 1/1/47		54,129		52
4.000%, 2/1/49		11,467		11
4.000%, 11/1/49		31,929		30
4.000%, 12/1/49		11,205		11
4.000%, 8/1/52		195,894		184
4.000%, 9/1/52		997,483		936
4.500%, 5/1/40		42,915		42
4.500%, 9/1/40		37,272		37
4.500%, 5/1/41		74,001		73
4.500%, 8/1/48		21,809		21
4.500%, 9/1/48		20,906		20
4.500%, 10/1/48		146,341		143
4.500%, 11/1/48		30,066		29
4.500%, 12/1/48		156,283		153
4.500%, 5/1/49		87,703		86
4.500%, 1/1/50		18,244		18
4.500%, 7/1/52		1,232,004		1,185
4.500%, 8/1/52		757,672		729
5.000%, 10/1/33		64,142		65
5.000%, 6/1/40		37,910		38
5.000%, 7/1/45		54,924		55
5.000%, 9/1/48		55,056		55
5.000%, 2/1/49		24,631		24
5.000%, 8/1/49		19,161		19
5.000%, 10/1/52		383,536		376
5.500%, 8/1/37		37,681		39
5.500%, 2/1/38		144,931		148
6.000%, 3/1/34		32,910		34
6.000%, 8/1/34		90,072		93
6.000%, 11/1/34		3,318		3
6.000%, 12/1/34		1,227		1
6.000%, 4/1/35		2,111		2
6.000%, 5/1/38		1,411		2
6.000%, 10/1/40		71,188		74
6.000%, 2/1/49		297,704		313
6.500%, 7/1/32		10,510		11
6.500%, 12/1/32		9,958		10

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

92

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2011-113, Class AG
2.500%, 11/25/26		25,511		25
Federal National Mortgage Association, Series 2013-74, Class AD
2.000%, 7/25/23		1		–π
Federal National Mortgage Association, Series 2017-90, Class KA
3.000%, 11/25/47		175,356		161
Federal National Mortgage Association, Series 2017-C05, Class 1ED3
6.350%, (ICE LIBOR USD 1 Month plus 1.200%), 1/25/30		7,455		7
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
6.000%, (ICE LIBOR USD 1 Month plus 0.850%), 10/25/30		253,213		252
Federal National Mortgage Association, Series 2022-R06, Class 1M1
7.817%, (US 30 Day Average SOFR plus 2.750%), 5/25/42 144A		461,059		470
Flagstar Mortgage Trust, Series 2020-1INV, Class A11
5.988%, (ICE LIBOR USD 1 Month plus 0.850%), 3/25/50 144A		102,594		95
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class B
3.447%, 12/10/36 144A		605,000		573
Galton Funding Mortgage Trust, Series 2018-1, Class A33
3.500%, (AFC), 11/25/57 144A		27,802		25
Galton Funding Mortgage Trust, Series 2019-1, Class A21
4.500%, (AFC), 2/25/59 144A		34,320		33
Galton Funding Mortgage Trust, Series 2019-1, Class A32
4.000%, (AFC), 2/25/59 144A		14,931		14
Galton Funding Mortgage Trust, Series 2019-H1, Class M1
3.339%, (AFC), 10/25/59 144A		260,000		234
Galton Funding Mortgage Trust, Series 2020-H1, Class M1
2.832%, (AFC), 1/25/60 144A		285,000		212
Government National Mortgage Association
3.000%, 9/20/47		484,334		438
3.500%, 12/20/42		3,160		3
3.500%, 9/20/43		42,880		40
3.500%, 8/20/44		82,429		77
3.500%, 10/20/46		541		1
3.500%, 11/20/46		32,715		31
3.500%, 1/20/47		35,670		33
3.500%, 10/20/52		1,095,159		1,011
4.000%, 3/20/48		73,289		70
4.000%, 4/20/50		249,856		237
4.000%, 10/20/50		155,566		149
4.000%, 9/20/52		199,530		189
4.500%, 7/20/41		175,561		174
4.500%, 10/20/52		581,632		562
5.000%, 3/20/34		188,845		190
5.000%, 1/20/48		29,045		29
5.000%, 2/20/48		136,763		138

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
5.500%, 6/20/37		41,031		42
5.500%, 9/15/45		123,412		126
5.500%, 3/20/48		21,591		22
5.500%, 12/20/48		12,089		12
5.500%, 2/20/49		151,251		153
Government National Mortgage Association TBA
5.000%, 7/20/53		510,000		501
5.500%, 7/20/53		805,000		801
6.500%, 7/20/53		455,000		463
Great Wolf Trust, Series 2019-WOLF, Class A
6.295%, (US SOFR 1 Month plus 1.149%), 12/15/36 144A		255,000		252
Great Wolf Trust, Series 2019-WOLF, Class C
6.894%, (US SOFR 1 Month plus 1.748%), 12/15/36 144A		270,000		265
GS Mortgage Backed Securities Trust, Series 2014-EB1A, Class 2A1
3.952%, (CSTR), 7/25/44 144A		3,171		3
GS Mortgage Backed Securities Trust, Series 2021-GR2, Class A6
2.500%, (AFC), 2/25/52 144A		330,697		282
GS Mortgage Backed Securities Trust, Series 2022-GR1, Class A5
2.500%, (AFC), 6/25/52 144A		913,856		775
GS Mortgage Securities Trust, Series 2021-ROSS, Class B
6.794%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/26 144A		390,000		335
Imperial Fund Mortgage Trust, Series 2021-NQM2, Class A3
1.516%, (AFC), 9/25/56 144A		260,203		199
Imperial Fund Mortgage Trust, Series 2022-NQM4, Class A1
4.767%, (AFC), 6/25/67 144A Σ		757,175		723
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C
7.043%, (ICE LIBOR USD 1 Month plus 1.850%), 9/15/29 144A		250,000		217
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B
6.964%, (ICE LIBOR USD 1 Month plus 1.770%), 10/15/33 144A		540,000		472
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class C
7.364%, (ICE LIBOR USD 1 Month plus 2.170%), 10/15/33 144A		440,000		371
JP Morgan Mortgage Trust, Series 2020-INV1, Class A11
5.968%, (ICE LIBOR USD 1 Month plus 0.830%), (AFC), 8/25/50 144A		45,240		43
JP Morgan Mortgage Trust, Series 2020-INV1, Class A15
3.500%, (AFC), 8/25/50 144A		73,646		64
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A5
3.934%, 9/15/47		540,000		522
KIND Trust, Series 2021-KIND, Class C
7.011%, (US SOFR 1 Month plus 1.865%), 8/15/38 144A		575,838		540

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

93

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class C
6.261%, (US SOFR 1 Month plus 1.115%), 12/15/37 144A		157,500		152
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class D
6.511%, (US SOFR 1 Month plus 1.365%), 12/15/37 144A		116,250		112
LSTAR Commercial Mortgage Trust, Series 2017-5, Class AS
4.021%, 3/10/50 144A		340,000		302
MetLife Securitization Trust, Series 2017-1A, Class A
3.000%, (AFC), 4/25/55 144A		76,964		70
MFRA Trust, Series 2021-INV1, Class A1
0.852%, (AFC), 1/25/56 144A		122,594		107
MFRA Trust, Series 2021-NQM2, Class A2
1.317%, (AFC), 11/25/64 144A		121,322		100
Mill City Mortgage Loan Trust, Series 2017-2, Class A1
2.750%, (AFC), 7/25/59 144A		17,839		18
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS
4.110%, (AFC), 10/15/47		185,000		177
Morgan Stanley Capital I Trust, Series 2014- 150E, Class A
3.912%, 9/9/32 144A		610,000		491
Morgan Stanley Capital I Trust, Series 2019- MEAD, Class D
3.283%, (CSTR), 11/10/36 144A		480,000		421
Morgan Stanley Capital I Trust, Series 2019- NUGS, Class D
6.993%, (ICE LIBOR USD 1 Month plus 1.800%), 12/15/36 144A		315,000		168
Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class A4
2.500%, (AFC), 5/25/51 144A		139,091		120
New Orleans Hotel Trust, Series 2019-HNLA, Class B
6.482%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A		606,569		584
New Residential Mortgage Loan Trust, Series 2021-INV1, Class A6
2.500%, (AFC), 6/25/51 144A		288,332		248
New Residential Mortgage Loan Trust, Series 2021-INV2, Class A7
2.500%, (AFC), 9/25/51 144A		826,138		706
NLT Trust, Series 2021-INV2, Class A3
1.520%, (AFC), 8/25/56 144A		224,750		175
OBX Trust, Series 2019-EXP2, Class 2A2
5.035%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A		58,401		56
OBX Trust, Series 2019-EXP3, Class 2A1
6.050%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144A		69,594		68
OBX Trust, Series 2020-EXP1, Class 1A8
3.500%, 2/25/60 144A		149,365		131
OBX Trust, Series 2020-EXP1, Class 2A1
5.900%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/60 144A		134,676		124

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
OBX Trust, Series 2020-EXP1, Class 2A2
6.100%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A		80,145		75
OBX Trust, Series 2020-EXP2, Class A8
3.000%, (AFC), 5/25/60 144A		185,186		158
OBX Trust, Series 2020-EXP2, Class A9
3.000%, (AFC), 5/25/60 144A		46,297		39
OBX Trust, Series 2020-EXP3, Class 1A8
3.000%, (AFC), 1/25/60 144A		158,861		136
OBX Trust, Series 2020-INV1, Class A5
3.500%, (AFC), 12/25/49 144A		40,954		36
ONE Park Mortgage Trust, Series 2021-PARK, Class B
6.211%, (US SOFR 1 Month plus 1.065%), 3/15/36 144A		755,000		698
ONE Park Mortgage Trust, Series 2021-PARK, Class C
6.361%, (US SOFR 1 Month plus 1.215%), 3/15/36 144A		405,000		370
Sequoia Mortgage Trust, Series 2018-CH2, Class A21
4.000%, (AFC), 6/25/48 144A		21,912		20
Sequoia Mortgage Trust, Series 2018-CH2, Class A3
4.000%, (AFC), 6/25/48 144A		50,544		47
Sequoia Mortgage Trust, Series 2018-CH3, Class A19
4.500%, (AFC), 8/25/48 144A		3,290		3
Sequoia Mortgage Trust, Series 2018-CH4, Class A2
4.000%, (AFC), 10/25/48 144A		1,040		1
SG Residential Mortgage Trust, Series 2020-2, Class A1
1.381%, (AFC), 5/25/65 144A		106,635		92
SG Residential Mortgage Trust, Series 2022-1, Class A1
3.166%, (AFC), 3/27/62 144A		576,650		506
STACR Trust, Series 2021-DNA3, Class M2
7.167%, (US 30 Day Average SOFR plus 2.100%), 10/25/33 144A		395,000		387
STACR Trust, Series 2021-DNA5, Class M2
6.717%, (US 30 Day Average SOFR plus 1.650%), 1/25/34 144A		189,562		189
STACR Trust, Series 2021-DNA7, Class M1
5.917%, (US 30 Day Average SOFR plus 0.850%), 11/25/41 144A		203,284		201
STACR Trust, Series 2021-DNA7, Class M2
6.867%, (US 30 Day Average SOFR plus 1.800%), 11/25/41 144A		375,000		361
STACR Trust, Series 2022-DNA2, Class M1A
6.367%, (US 30 Day Average SOFR plus 1.300%), 2/25/42 144A		233,526		232
STACR Trust, Series 2022-DNA3, Class M1A
7.067%, (US 30 Day Average SOFR plus 2.000%), 4/25/42 144A		542,225		544
STACR Trust, Series 2022-DNA4, Class M1A
7.267%, (US 30 Day Average SOFR plus 2.200%), 5/25/42 144A		603,292		607
STACR Trust, Series 2022-DNA5, Class M1A
8.017%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A		582,137		593

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

94

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
STACR Trust, Series 2022-DNA6, Class M1A
7.217%, (US 30 Day Average SOFR plus 2.150%), 9/25/42 144A		187,521		189
STACR Trust, Series 2022-HQA1, Class M1A
7.167%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		651,014		652
STACR Trust, Series 2022-HQA3, Class M1A
7.367%, (US 30 Day Average SOFR plus 2.300%), 8/25/42 144A		658,650		663
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3
2.916%, (AFC), 9/27/49 144A		181,793		172
Starwood Mortgage Residential Trust, Series 2020-1, Class A2
2.408%, (AFC), 2/25/50 144A		176,095		162
Starwood Mortgage Residential Trust, Series 2021-2, Class A1
0.943%, (AFC), 5/25/65 144A		149,588		132
Starwood Mortgage Residential Trust, Series 2021-4, Class A1
1.162%, (AFC), 8/25/56 144A		615,209		509
Toorak Mortgage Corp., Series 2021-INV1, Class A2
1.409%, (AFC), 12/31/99 144A		120,157		101
Towd Point Mortgage Trust, Series 2015-1, Class A1
3.000%, (AFC), 1/28/58 144A		47,936		46
Towd Point Mortgage Trust, Series 2017-1, Class A1
2.750%, (AFC), 10/25/56 144A		19,872		20
Towd Point Mortgage Trust, Series 2017-2, Class A1
2.750%, (AFC), 4/25/57 144A		11,417		11
Towd Point Mortgage Trust, Series 2017-3, Class A1
2.750%, (AFC), 7/25/57 144A		62,801		61
Towd Point Mortgage Trust, Series 2017-6, Class A1
2.750%, (AFC), 10/25/57 144A		231,525		219
Towd Point Mortgage Trust, Series 2018-2, Class A1
3.250%, (AFC), 3/25/58 144A		314,344		299
Towd Point Mortgage Trust, Series 2018-5, Class A1A
3.250%, (AFC), 8/25/58 144A		203,861		195
Towd Point Mortgage Trust, Series 2022-4, Class A1
3.750%, (AFC), 9/25/62 144A		893,466		818
Uniform Mortgage Backed Security TBA
4.500%, 7/18/38		390,000		382
5.500%, 7/13/53		500,000		498
6.000%, 7/13/53		880,000		888
United Wholsale Mortgage LLC, Series 2021- INV2, Class A4
2.500%, (AFC), 9/25/51 144A		153,238		131
United Wholsale Mortgage LLC, Series 2021- INV5, Class B
2.500%, (AFC), 1/25/52 144A		179,459		153
Verus Securitization Trust, Series 2019-INV2, Class A1
2.913%, (AFC), 7/25/59 144A		83,236		80

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Verus Securitization Trust, Series 2019-INV2, Class A2
3.117%, (AFC), 7/25/59 144A		111,461		107
Verus Securitization Trust, Series 2020-1, Class A1
2.417%, (AFC), 1/25/60 144A Σ		72,101		67
Verus Securitization Trust, Series 2020-2, Class A1
2.226%, (AFC), 5/25/60 144A		84,342		82
Verus Securitization Trust, Series 2020-5, Class A3
1.733%, (AFC), 5/25/65 144A Σ		71,474		64
Verus Securitization Trust, Series 2020-INV1, Class A1
1.977%, (AFC), 4/25/60 144A		36,054		35
Verus Securitization Trust, Series 2021-1, Class A1
0.815%, (AFC), 1/25/66 144A		89,634		75
Verus Securitization Trust, Series 2021-1, Class A3
1.155%, (AFC), 1/25/66 144A		73,174		61
Verus Securitization Trust, Series 2021-2, Class A1
1.031%, (AFC), 2/25/66 144A		169,299		142
Verus Securitization Trust, Series 2021-2, Class A2
1.052%, (AFC), 1/25/66 144A		124,396		104
Verus Securitization Trust, Series 2021-5, Class A3
1.373%, (AFC), 9/25/66 144A		213,880		166
Verus Securitization Trust, Series 2021-7, Class A1
1.829%, (AFC), 10/25/66 144A		810,326		686
Verus Securitization Trust, Series 2021-R1, Class A2
1.057%, (AFC), 10/25/63 144A		54,758		49
Verus Securitization Trust, Series 2021-R2, Class A1
0.918%, (AFC), 2/25/64 144A		174,595		149
Verus Securitization Trust, Series 2022-1, Class A3
3.288%, (AFC), 1/25/67 144A		892,848		759
Verus Securitization Trust, Series 2022-6, Class A1
4.910%, (AFC), 6/25/67 144A Σ		228,287		220
Vista Point Securitization Trust, Series 2020-2, Class A3
2.496%, (AFC), 4/25/65 144A		48,528		43
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2
3.020%, 7/15/58		45,692		44
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17
3.000%, (AFC), 5/25/50 144A		34,219		29
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3
2.500%, (AFC), 12/25/50 144A		604,570		521
WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5
3.917%, 10/15/57		575,000		553

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

95

Short-Term Bond Portfolio

Structured Products (29.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5
4.045%, 3/15/47		325,000		320
Total				62,238
Total Structured Products (Cost: $119,327)				111,997
Total Investments (98.4%) (Cost: $394,370)@				378,328
Other Assets, Less Liabilities (1.6%)				5,978
Net Assets (100.0%)				384,306

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer		Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin   (000’s)
Five-Year US Treasury Note Future			Short		USD		5,400		54		9/23	$	5,783	$	110		$	–
Ten-Year US Treasury Note Future			Short		USD		4,800		48		9/23		5,389		92			(7)
Two-Year US Treasury Note Future	��		Long		USD		88,400		442		9/23		89,878		(1,239	)		(14)
Ultra Long Term US Treasury Bond Future			Short		USD		200		2		9/23		272		(3	)		(2)
Ultra Ten-Year US Treasury Note Future			Short		USD		4,100		41		9/23		4,856		58			(12)
														$	(982	)	$	(35)

Financial Derivative Assets

Financial Derivative Liabilities

Market Value

Variation Margin (000’s)

Variation Margin (000’s)

(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$

–

$

–

$

–

$

–

$

(35

)

$

(35

)

$

–

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

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At June 30, 2023, the aggregate value of these securities was $3,780 (in thousands), representing 1.0% of net assets.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023 the value of these securities (in thousands) was $128,802 representing 33.6% of the net assets.

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

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

π Amount is less than one thousand.

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $394,370 and the net unrealized depreciation of investments based on that cost was $17,024 which is comprised of $464 aggregate gross unrealized appreciation and $17,488 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

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Short-Term Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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:
Municipal Bonds	$	—		$	419	$	—
Corporate Bonds		—			186,763		—
Governments		—			79,149		—
Structured Products		—			111,997		—
Other Financial Instruments^
Futures		260			—		—
Total Assets:	$	260		$	378,328	$	—
Liabilities:
Other Financial Instruments^
Futures		(1,242	)		—		—
Total Liabilities:	$	(1,242	)	$	—	$	—

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

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

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Sector Allocation 6/30/23
Sector	% of Net Assets
Structured Products	52.1%
Governments	28.3%
Corporate Bonds	23.7%
Municipal Bonds	0.3%
Short-Term Investments & Other Net Assets	-4.4%
Sector Allocation is subject to change.

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SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Basic Materials (0.5%)
Anglo American Capital PLC
4.750%, 3/16/52 144A		2,065,000		1,706
5.500%, 5/2/33 144A		1,585,000		1,549
BHP Billiton Finance USA, Ltd.
4.875%, 2/27/26		5,363,000		5,336
The Dow Chemical Co.
6.900%, 5/15/53		1,008,000		1,138
Glencore Finance Canada, Ltd.
5.300%, 10/25/42 144A		483,000		449
6.000%, 11/15/41 144A		392,000		389
6.900%, 11/15/37 144A		1,109,000		1,187
Glencore Funding LLC
2.625%, 9/23/31 144A		465,000		374
5.700%, 5/8/33 144A		1,540,000		1,528
Rohm and Haas Co.
7.850%, 7/15/29		1,686,000		1,880
Total				15,536
Communications (1.7%)
AT&T, Inc.
3.500%, 6/1/41		1,032,000		792
3.650%, 9/15/59		1,010,000		703
3.800%, 12/1/57		2,905,000		2,103
5.400%, 2/15/34		6,067,000		6,077
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
3.500%, 6/1/41		555,000		375
3.500%, 3/1/42		3,499,000		2,340
Comcast Corp.
2.987%, 11/1/63		1,207,000		765
4.049%, 11/1/52		1,041,000		865
5.350%, 11/15/27		2,121,000		2,159
Discovery Communications LLC
4.000%, 9/15/55		1,129,000		750
Meta Platforms, Inc.
5.600%, 5/15/53		2,035,000		2,090
5.750%, 5/15/63		2,035,000		2,106
T-Mobile USA, Inc.
1.500%, 2/15/26		723,000		653
2.250%, 2/15/26		2,254,000		2,071
2.550%, 2/15/31		1,613,000		1,341
3.750%, 4/15/27		3,431,000		3,248
4.800%, 7/15/28		2,143,000		2,099
4.950%, 3/15/28		2,141,000		2,107
5.050%, 7/15/33		2,679,000		2,631
5.650%, 1/15/53		3,280,000		3,331
Verizon Communications, Inc.
2.355%, 3/15/32		2,680,000		2,156
2.650%, 11/20/40		1,352,000		940
5.050%, 5/9/33		5,873,000		5,808
ViacomCBS, Inc.
4.950%, 5/19/50		1,303,000		978
Total				48,488

Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical (1.4%)
Delta Air Lines, Inc./SkyMiles IP, Ltd.
4.750%, 10/20/28 144A		3,541,000		3,437
Ford Motor Credit Co. LLC
2.900%, 2/10/29		1,780,000		1,473
7.200%, 6/10/30		2,971,000		2,998
General Motors Co.
5.200%, 4/1/45		861,000		735
Harley-Davidson Financial Services, Inc.
6.500%, 3/10/28 144A		1,611,000		1,612
Hyundai Capital America
0.800%, 1/8/24 144A		849,000		827
1.300%, 1/8/26 144A		2,035,000		1,821
5.500%, 3/30/26 144A		2,155,000		2,136
5.600%, 3/30/28 144A		3,357,000		3,340
5.700%, 6/26/30 144A		2,128,000		2,114
Lowe’s Companies, Inc.
4.250%, 4/1/52		2,024,000		1,651
5.150%, 7/1/33		2,959,000		2,958
5.625%, 4/15/53		2,621,000		2,619
5.750%, 7/1/53		1,077,000		1,097
5.850%, 4/1/63		538,000		536
Walmart, Inc.
4.100%, 4/15/33		2,692,000		2,614
4.500%, 4/15/53		1,616,000		1,576
Warnermedia Holdings, Inc.
5.050%, 3/15/42		2,118,000		1,785
5.141%, 3/15/52		3,768,000		3,068
5.391%, 3/15/62		1,336,000		1,089
Total				39,486
Consumer, Non-cyclical (4.3%)
Abbott Laboratories
1.400%, 6/30/30		2,415,000		1,986
4.750%, 11/30/36		1,612,000		1,618
AbbVie, Inc.
4.050%, 11/21/39		1,140,000		993
4.250%, 11/21/49		5,475,000		4,726
4.300%, 5/14/36		698,000		641
4.450%, 5/14/46		710,000		625
4.550%, 3/15/35		1,609,000		1,532
Adani International Container Terminal Private, Ltd.		144A		144A
3.000%, 2/16/31 144A		843,630		661
Amgen, Inc.
5.150%, 3/2/28		3,219,000		3,216
5.250%, 3/2/25		5,359,000		5,331
5.650%, 3/2/53		6,083,000		6,160
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.
4.700%, 2/1/36		5,952,000		5,789
Anheuser-Busch InBev Worldwide, Inc.
4.375%, 4/15/38		2,861,000		2,649
AstraZeneca Finance LLC
4.875%, 3/3/28		2,353,000		2,352
4.900%, 3/3/30		3,215,000		3,221

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

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Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Bunge, Ltd. Finance Corp.
1.630%, 8/17/25		1,107,000		1,018
2.750%, 5/14/31		230,000		193
Cigna Corp.
5.400%, 3/15/33		1,338,000		1,362
Constellation Brands, Inc.
4.900%, 5/1/33		1,555,000		1,528
5.250%, 11/15/48		1,170,000		1,120
CVS Health Corp.
4.875%, 7/20/35		316,000		300
DH Europe Finance II SARL
2.200%, 11/15/24		2,640,000		2,528
Eli Lilly & Co.
4.700%, 2/27/33		1,073,000		1,087
4.875%, 2/27/53		1,609,000		1,653
4.950%, 2/27/63		751,000		766
Gilead Sciences, Inc.
1.650%, 10/1/30		965,000		788
2.600%, 10/1/40		1,670,000		1,209
4.000%, 9/1/36		859,000		775
4.600%, 9/1/35		1,219,000		1,174
HCA, Inc.
4.625%, 3/15/52 144A		1,029,000		846
5.200%, 6/1/28		4,972,000		4,932
5.900%, 6/1/53		3,748,000		3,713
Kenvue, Inc.
4.900%, 3/22/33 144A		4,294,000		4,345
5.050%, 3/22/28 144A		2,147,000		2,164
5.050%, 3/22/53 144A		1,342,000		1,370
5.200%, 3/22/63 144A		537,000		550
Merck & Co., Inc.
4.500%, 5/17/33		545,000		541
5.000%, 5/17/53		1,086,000		1,100
5.150%, 5/17/63		815,000		832
Pfizer Investment Enterprises Pte., Ltd.
4.750%, 5/19/33		8,478,000		8,446
5.300%, 5/19/53		3,514,000		3,653
5.340%, 5/19/63		1,609,000		1,628
Philip Morris International, Inc.
4.875%, 2/13/26		1,740,000		1,728
4.875%, 2/15/28		4,653,000		4,582
5.000%, 11/17/25		2,278,000		2,266
5.125%, 11/17/27		3,417,000		3,427
5.125%, 2/15/30		3,497,000		3,458
5.375%, 2/15/33		2,909,000		2,903
5.750%, 11/17/32		547,000		560
Quanta Services, Inc.
0.950%, 10/1/24		1,918,000		1,802
Roche Holdings, Inc.
2.076%, 12/13/31 144A		1,057,000		871
Shire Acquisitions Investments Ireland DAC
2.875%, 9/23/23		791,000		786
Takeda Pharmaceutical Co., Ltd.
4.400%, 11/26/23		620,000		616
UnitedHealth Group, Inc.
3.050%, 5/15/41		505,000		390
3.250%, 5/15/51		1,594,000		1,189
4.000%, 5/15/29		2,042,000		1,951
5.050%, 4/15/53		1,000,000		994
5.200%, 4/15/63		1,109,000		1,109

Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
5.875%, 2/15/53		2,564,000		2,848
Total				122,601
Energy (1.4%)
Aker BP ASA
5.600%, 6/13/28 144A		3,189,000		3,166
6.000%, 6/13/33 144A		2,666,000		2,667
BP Capital Markets America, Inc.
4.812%, 2/13/33		5,888,000		5,802
Energy Transfer LP
4.400%, 3/15/27		476,000		455
4.950%, 5/15/28		3,554,000		3,439
5.300%, 4/15/47		2,779,000		2,417
5.750%, 2/15/33		3,908,000		3,934
6.125%, 12/15/45		859,000		816
Exxon Mobil Corp.
3.452%, 4/15/51		2,700,000		2,098
4.327%, 3/19/50		3,554,000		3,220
Galaxy Pipeline Assets Bidco, Ltd.
1.750%, 9/30/27 144A		1,723,502		1,588
2.160%, 3/31/34 144A		1,954,281		1,659
2.625%, 3/31/36 144A		1,480,000		1,193
2.940%, 9/30/40 144A		909,006		729
MPLX LP
4.950%, 3/14/52		1,992,000		1,692
5.000%, 3/1/33		3,230,000		3,094
Petroleos Mexicanos
2.460%, 12/15/25		1,604,750		1,535
Sunoco Logistics Partners Operations LP
5.400%, 10/1/47		816,000		719
Total				40,223
Financial (8.8%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
1.150%, 10/29/23		10,870,000		10,696
Agree LP
2.000%, 6/15/28		2,012,000		1,674
2.600%, 6/15/33		458,000		352
4.800%, 10/1/32		1,009,000		937
American Express Co.
5.043%, (US SOFR plus 1.835%), 5/1/34		3,760,000		3,678
American Homes 4 Rent LP
3.625%, 4/15/32		1,852,000		1,601
4.300%, 4/15/52		830,000		646
American Tower Corp.
2.950%, 1/15/51		537,000		339
3.125%, 1/15/27		907,000		835
5.500%, 3/15/28		2,143,000		2,128
5.550%, 7/15/33		2,663,000		2,681
Antares Holdings LP
3.750%, 7/15/27 144A		2,439,000		2,041
Bank of America Corp.
1.734%, (US SOFR plus 0.960%), 7/22/27		5,346,000		4,773
3.419%, (US SOFR 3 Month plus 1.302%), 12/20/28		7,528,000		6,903
5.080%, (US SOFR plus 1.290%), 1/20/27		2,770,000		2,728
5.202%, (US SOFR plus 1.630%), 4/25/29		4,729,000		4,677
5.288%, (US SOFR plus 1.910%), 4/25/34		9,802,000		9,711

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

100

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Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Financial continued
The Bank of New York Mellon Corp.
4.947%, (US SOFR plus 1.026%), 4/26/27		6,436,000		6,357
4.967%, (US SOFR plus 1.606%), 4/26/34		4,863,000		4,749
Bank of Nova Scotia
5.250%, 6/12/28		4,261,000		4,232
Barclays PLC
5.829%, (US SOFR plus 2.210%), 5/9/27		6,375,000		6,288
6.224%, (US SOFR plus 2.980%), 5/9/34		3,291,000		3,278
7.437%, (US Treasury Yield Curve Rate
T Note Constant Maturity 1 Year plus 3.500%), 11/2/33		4,232,000		4,579
BNP Paribas SA
5.335%, (US Treasury Yield Curve Rate
T Note Constant Maturity 1 Year plus 1.500%), 6/12/29 144A		4,256,000		4,197
Boston Properties LP
6.500%, 1/15/34		214,000		215
Brighthouse Financial, Inc.
3.850%, 12/22/51		953,000		602
Brixmor Operating Partnership LP
2.500%, 8/16/31		1,771,000		1,375
Brookfield Capital Finance LLC
6.087%, 6/14/33		2,661,000		2,701
Capital One Financial Corp.
6.312%, (US SOFR plus 2.640%), 6/8/29		4,261,000		4,232
6.377%, (US SOFR plus 2.860%), 6/8/34		3,196,000		3,173
The Charles Schwab Corp.
5.643%, (US SOFR plus 2.210%), 5/19/29		4,343,000		4,338
5.853%, (US SOFR plus 2.500%), 5/19/34		1,064,000		1,080
Citigroup, Inc.
6.174%, (US SOFR plus 2.661%), 5/25/34		6,386,000		6,442
Cooperatieve Rabobank U.A.
5.564%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.400%), 2/28/29 144A		7,590,000		7,489
Credit Suisse Group AG
4.194%, (US SOFR plus 3.730%), 4/1/31 144A		1,682,000		1,497
4.282%, 1/9/28 144A		4,998,000		4,619
6.442%, (US SOFR plus 3.700%), 8/11/28 144A		4,225,000		4,241
Crown Castle International Corp.
1.050%, 7/15/26		2,886,000		2,527
2.900%, 3/15/27		1,550,000		1,418
2.900%, 4/1/41		1,072,000		752
3.800%, 2/15/28		1,060,000		988
4.800%, 9/1/28		1,060,000		1,028
5.000%, 1/11/28		5,593,000		5,489
Deutsche Bank AG
3.742%, (US SOFR plus 2.257%), 1/7/33		4,166,000		3,055
7.079%, (US SOFR plus 3.650%), 2/10/34		388,000		359
Essex Portfolio LP
2.550%, 6/15/31		955,000		772
Federal Realty Investment Trust
3.950%, 1/15/24		1,281,000		1,266
The Goldman Sachs Group, Inc.
1.948%, (US SOFR plus 0.913%), 10/21/27		2,390,000		2,126
HSBC Holdings PLC
6.161%, (US SOFR plus 1.970%), 3/9/29		4,335,000		4,372
6.254%, (US SOFR plus 2.390%), 3/9/34		1,230,000		1,261

Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Financial continued
6.332%, (US SOFR plus 2.650%), 3/9/44		1,809,000		1,875
Invitation Homes Operating Partnership LP
2.000%, 8/15/31		319,000		244
4.150%, 4/15/32		1,843,000		1,651
KeyBank NA
5.000%, 1/26/33		3,374,000		2,920
M&T Bank Corp.
5.053%, (US SOFR plus 1.850%), 1/27/34		1,981,000		1,809
Macquarie Group, Ltd.
5.887%, (US SOFR plus 2.380%), 6/15/34 144A		4,260,000		4,185
Manufacturers & Traders Trust Co.
4.700%, 1/27/28		1,495,000		1,398
Mid-America Apartments LP
4.300%, 10/15/23		949,000		944
Mizuho Financial Group, Inc.
5.748%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.900%), 7/6/34		2,172,000		2,179
Morgan Stanley
5.123%, (US SOFR plus 1.730%), 2/1/29		1,065,000		1,050
5.164%, (US SOFR plus 1.590%), 4/20/29		1,065,000		1,052
5.250%, (US SOFR plus 1.870%), 4/21/34		3,218,000		3,178
6.342%, (US SOFR plus 2.560%), 10/18/33		3,667,000		3,901
National Australia Bank, Ltd.
4.900%, 6/13/28		4,132,000		4,091
Realty Income Corp.
2.200%, 6/15/28		992,000		859
2.850%, 12/15/32		1,340,000		1,090
4.850%, 3/15/30		1,286,000		1,243
4.900%, 7/15/33		1,788,000		1,709
5.625%, 10/13/32		1,874,000		1,894
Regency Centers LP
2.950%, 9/15/29		2,537,000		2,174
Santander Holdings USA, Inc.
6.499%, (US SOFR plus 2.356%), 3/9/29		4,384,000		4,336
6.565%, (US SOFR plus 2.700%), 6/12/29		2,660,000		2,608
SBL Holdings LLC
5.000%, 2/18/31 144A		3,338,000		2,585
Store Capital Corp.
2.700%, 12/1/31		644,000		447
2.750%, 11/18/30		1,638,000		1,184
4.500%, 3/15/28		1,064,000		929
4.625%, 3/15/29		1,182,000		995
Sun Communities Operating LP
4.200%, 4/15/32		1,852,000		1,617
Svenska Handelsbanken AB		144A		144A
5.500%, 6/15/28 144A		6,441,000		6,311
Swedbank AB
5.472%, 6/15/26 144A		6,386,000		6,330
Truist Financial Corp.
5.867%, (US SOFR plus 2.361%), 6/8/34		2,663,000		2,664
6.047%, (US SOFR plus 2.050%), 6/8/27		3,728,000		3,730
Trust Fibra Uno		144A		144A
6.390%, 1/15/50 144A		1,215,000		961
UBS Group AG
5.959%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.200%), 1/12/34 144A		1,170,000		1,164

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

101

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Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Financial continued
US Bancorp
5.775%, (US SOFR plus 2.020%), 6/12/29		5,321,000		5,319
5.836%, (US SOFR plus 2.260%), 6/12/34		2,129,000		2,144
Wells Fargo & Co.
4.897%, (US SOFR plus 2.100%), 7/25/33		8,934,000		8,570
Total				248,837
Industrial (1.5%)
The Boeing Co.
2.196%, 2/4/26		3,649,000		3,349
3.250%, 2/1/35		1,182,000		958
3.750%, 2/1/50		2,108,000		1,583
Burlington Northern Santa Fe LLC
4.450%, 1/15/53		430,000		394
Canadian Pacific Railway Co.
1.350%, 12/2/24		2,390,000		2,246
1.750%, 12/2/26		462,000		415
Crowley Conro LLC
4.181%, 8/15/43		1,251,041		1,211
John Deere Capital Corp.
4.150%, 9/15/27		5,065,000		4,942
4.700%, 6/10/30		6,597,000		6,554
4.850%, 10/11/29		1,213,000		1,212
4.900%, 3/3/28		2,679,000		2,695
Lockheed Martin Corp.
4.750%, 2/15/34		3,844,000		3,835
Northrop Grumman Corp.
4.400%, 5/1/30		1,235,000		1,202
Raytheon Co.
5.150%, 2/27/33		2,788,000		2,826
5.375%, 2/27/53		1,729,000		1,795
Republic Services, Inc.
4.875%, 4/1/29		1,613,000		1,611
5.000%, 4/1/34		1,613,000		1,609
Union Pacific Corp.
2.375%, 5/20/31		1,023,000		865
2.800%, 2/14/32		1,388,000		1,198
3.375%, 2/14/42		1,154,000		922
Total				41,422
Technology (2.1%)
Apple, Inc.
2.375%, 2/8/41		782,000		577
2.650%, 2/8/51		658,000		454
3.950%, 8/8/52		1,510,000		1,331
4.000%, 5/10/28		3,215,000		3,163
4.150%, 5/10/30		1,607,000		1,582
4.850%, 5/10/53		1,393,000		1,427
Broadcom, Inc.
2.450%, 2/15/31 144A		1,682,000		1,368
3.150%, 11/15/25		1,260,000		1,197
3.419%, 4/15/33 144A		1,382,000		1,156
3.469%, 4/15/34 144A		1,079,000		885
4.926%, 5/15/37 144A		1,537,000		1,391
Fiserv, Inc.
5.600%, 3/2/33		549,000		559
Intel Corp.
2.800%, 8/12/41		923,000		657
5.625%, 2/10/43		617,000		626
5.700%, 2/10/53		1,069,000		1,087

Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Technology continued
5.900%, 2/10/63		1,499,000		1,548
KLA-Tencor Corp.
3.300%, 3/1/50		881,000		661
Micron Technology, Inc.
3.477%, 11/1/51		526,000		351
5.375%, 4/15/28		5,386,000		5,334
5.875%, 2/9/33		632,000		629
NXP BV / NXP Funding LLC / NXP USA, Inc.
2.500%, 5/11/31		1,071,000		873
3.250%, 5/11/41		1,054,000		767
4.400%, 6/1/27		1,165,000		1,126
Oracle Corp.
4.000%, 7/15/46		1,867,000		1,435
4.375%, 5/15/55		648,000		518
5.550%, 2/6/53		1,431,000		1,386
6.900%, 11/9/52		2,403,000		2,697
QUALCOMM, Inc.
6.000%, 5/20/53		2,423,000		2,712
Texas Instruments, Inc.
4.900%, 3/14/33		4,294,000		4,400
5.000%, 3/14/53		2,684,000		2,719
5.050%, 5/18/63		1,609,000		1,612
VMware, Inc.
0.600%, 8/15/23		4,708,000		4,680
1.000%, 8/15/24		3,343,000		3,165
1.400%, 8/15/26		3,127,000		2,761
4.700%, 5/15/30		1,932,000		1,844
Total				58,678
Utilities (2.0%)
American Transmission Systems, Inc.
2.650%, 1/15/32 144A		669,000		553
Baltimore Gas & Electric Co.
2.250%, 6/15/31		1,435,000		1,194
5.400%, 6/1/53		1,607,000		1,632
CenterPoint Energy Houston Electric LLC
3.600%, 3/1/52		1,060,000		822
Commonwealth Edison Co.
5.300%, 2/1/53		431,000		438
Consolidated Edison Co. of New York, Inc.
5.200%, 3/1/33		3,003,000		3,035
Consumers Energy Co.
2.500%, 5/1/60		882,000		506
DTE Electric Co.
2.950%, 3/1/50		1,675,000		1,139
3.650%, 3/1/52		767,000		597
Duke Energy Carolinas LLC
2.550%, 4/15/31		976,000		828
2.850%, 3/15/32		1,782,000		1,515
3.550%, 3/15/52		1,298,000		989
4.950%, 1/15/33		1,597,000		1,585
5.350%, 1/15/53		2,151,000		2,179
Duke Energy Corp.
2.550%, 6/15/31		1,051,000		866
3.500%, 6/15/51		297,000		215
Duke Energy Florida LLC
2.400%, 12/15/31		1,431,000		1,175
Duke Energy Progress LLC
2.500%, 8/15/50		1,448,000		899
5.250%, 3/15/33		1,066,000		1,083

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

102

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Corporate Bonds (23.7%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Entergy Arkansas LLC
2.650%, 6/15/51		1,292,000		804
5.150%, 1/15/33		2,152,000		2,157
Eversource Energy
1.650%, 8/15/30		1,630,000		1,292
Exelon Corp.
5.300%, 3/15/33		1,620,000		1,615
5.600%, 3/15/53		922,000		929
Israel Electric Corp., Ltd.
3.750%, 2/22/32 144A §		960,000		819
Jersey Central Power & Light Co.
2.750%, 3/1/32 144A		1,576,000		1,300
Metropolitan Edison Co.
4.300%, 1/15/29 144A		1,687,000		1,595
5.200%, 4/1/28 144A		1,614,000		1,598
MidAmerican Energy Co.
2.700%, 8/1/52		1,244,000		786
Mississippi Power Co.
3.100%, 7/30/51		1,720,000		1,157
4.250%, 3/15/42		660,000		549
NSTAR Electric Co.
3.100%, 6/1/51		885,000		619
Pacific Gas & Electric Co.
2.100%, 8/1/27		768,000		656
3.950%, 12/1/47		3,311,000		2,255
4.200%, 6/1/41		833,000		620
4.500%, 7/1/40		494,000		384
4.750%, 2/15/44		483,000		375
4.950%, 7/1/50		4,587,000		3,603
6.100%, 1/15/29		1,066,000		1,049
PacifiCorp
5.500%, 5/15/54		1,716,000		1,610
PECO Energy Co.
2.850%, 9/15/51		1,731,000		1,140
Pennsylvania Electric Co.
3.250%, 3/15/28 144A		1,398,000		1,267
5.150%, 3/30/26 144A		1,077,000		1,061
Public Service Company of Oklahoma
3.150%, 8/15/51		971,000		642
Public Service Electric & Gas Co.
1.900%, 8/15/31		1,924,000		1,545
2.050%, 8/1/50		398,000		234
2.700%, 5/1/50		669,000		447
Southern California Edison Co.
4.125%, 3/1/48		1,081,000		877
Virginia Electric & Power Co.
2.950%, 11/15/51		1,435,000		960
5.450%, 4/1/53		486,000		486
Total				55,681
Total Corporate Bonds (Cost: $704,216)				670,952
Governments (28.3%)
Governments (28.3%)
Bank Gospodarstwa Krajowego
5.375%, 5/22/33 144A		297,000		295
Bermuda Government International Bond
5.000%, 7/15/32 144A		1,280,000		1,248

Governments (28.3%)	Shares/ Par +		Value $ (000’s)
Governments continued
Export Finance & Insurance Corp.
4.625%, 10/26/27 144A		3,690,000		3,699
Federal Home Loan Bank
1.000%, 9/30/31 Σ		5,185,000		4,306
Federal Home Loan Mortgage Corp.
0.000%, 12/14/29 PO		4,007,000		3,064
Federal National Mortgage Association
0.000%, 11/15/30 PO		11,778,000		8,604
1.520%, 8/21/35		5,256,000		3,731
1.900%, 1/25/36		4,686,000		3,444
Panama Government International Bond
6.853%, 3/28/54		1,087,000		1,130
Province of Saskatchewan
3.250%, 6/8/27		1,462,000		1,383
Republic of Paraguay
5.400%, 3/30/50 144A		888,000		757
5.850%, 8/21/33 144A		2,447,000		2,447
Republic of Poland Government International Bond
5.500%, 4/4/53		1,226,000		1,233
State of Israel
4.500%, 1/17/33		3,834,000		3,760
United Mexican States
3.500%, 2/12/34		4,534,000		3,798
3.750%, 4/19/71		2,264,000		1,507
3.771%, 5/24/61		784,000		532
6.338%, 5/4/53		2,613,000		2,662
US Treasury
0.375%, 7/31/27		25,974,000		22,220
0.750%, 5/31/26		1,756,000		1,577
0.750%, 1/31/28		15,502,000		13,298
1.125%, 5/15/40		3,189,000		2,067
1.125%, 8/15/40		48,786,000		31,368
1.125%, 2/29/28		8,050,000		7,015
1.125%, 8/31/28		5,436,000		4,684
1.250%, 9/30/28		6,026,000		5,216
1.375%, 11/15/40		86,970,000		58,188
1.375%, 10/31/28		13,778,000		11,987
1.500%, 8/15/26		61,516,000		56,227
1.625%, 5/15/26		24,269,000		22,393
1.750%, 8/15/41		96,652,000		67,902
1.750%, 12/31/26		5,491,000		5,029
1.875%, 2/15/41		4,376,000		3,178
1.875%, 2/28/29		14,314,000		12,729
2.000%, 11/15/41		53,276,000		38,998
2.000%, 8/15/51		20,260,000		13,811
2.000%, 11/15/26		838,000		775
2.125%, 5/15/25		9,751,000		9,260
2.250%, 2/15/52		4,263,000		3,081
2.250%, 11/15/25		11,396,000		10,767
2.625%, 2/15/29		18,717,000		17,343
2.625%, 7/31/29		5,197,000		4,801
2.750%, 7/31/27		6,770,000		6,383
2.875%, 5/15/52		6,847,000		5,674
2.875%, 4/30/25		10,294,000		9,913
2.875%, 6/15/25		19,467,000		18,726
2.875%, 8/15/28		7,739,000		7,290
3.000%, 8/15/52		27,397,000		23,294
3.000%, 7/15/25		6,079,000		5,859
3.250%, 6/30/29		18,265,000		17,474

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

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Governments (28.3%)	Shares/ Par +		Value $ (000’s)
Governments continued
3.375%, 5/15/33		16,099,000		15,525
3.375%, 8/15/42		1,422,000		1,291
3.500%, 1/31/28		10,442,000		10,140
3.500%, 4/30/28		11,994,000		11,655
3.625%, 2/15/53		51,776,000		49,689
3.625%, 5/15/53		1,876,000		1,803
3.625%, 5/15/26		225,000		219
3.625%, 3/31/28		5,844,000		5,708
3.625%, 5/31/28		6,129,000		5,995
3.750%, 5/31/30		4,792,000		4,725
3.875%, 2/15/43		563,000		549
3.875%, 5/15/43		20,729,000		20,227
4.000%, 2/15/26		307,000		302
4.000%, 6/30/28		72,673,000		72,276
4.125%, 1/31/25		1,831,000		1,802
4.125%, 6/15/26		6,359,000		6,295
4.250%, 5/31/25		10,706,000		10,571
4.250%, 10/15/25		11,139,000		11,015
4.375%, 10/31/24		665,000		657
4.500%, 11/30/24		149,000		147
5.250%, 11/15/28		1,355,000		1,425
Total				798,143
Total Governments (Cost: $862,565)				798,143
Municipal Bonds (0.3%)
Municipal Bonds (0.3%)
County of Clark Department of Aviation
6.820%, 7/1/45 RB		1,780,000		2,166
North Texas Tollway Authority, Series 2009-B
6.718%, 1/1/49 RB		1,950,000		2,421
The Ohio State University
4.800%, 6/1/11 RB		1,070,000		982
Port Authority of New York & New Jersey
4.458%, 10/1/62 RB		3,110,000		2,841
The University of Texas System
2.439%, 8/15/49 RB		925,000		612
Total Municipal Bonds (Cost: $10,471)				9,022
Structured Products (52.1%)
Asset Backed Securities (11.9%)
Ally Auto Receivables Trust, Series 2022-3, Class A3
5.070%, 6/15/31		1,172,000		1,167
American Express Credit Account Master Trust, Series 2023-1, Class A
4.870%, 5/15/28		4,665,000		4,637
AmeriCredit Automobile Receivables Trust, Series 2022-1, Class A3
2.450%, 11/18/26		906,000		877
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3
4.380%, 4/18/28		2,236,000		2,191
AmeriCredit Automobile Receivables Trust, Series 2023-1, Class A3
5.620%, 11/18/27		3,271,000		3,249

Structured Products (52.1%)		Shares/ Par +
Asset Backed Securities continued
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A
2.360%, 3/20/26 144A	2,229,000		2,105
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A
2.330%, 8/20/26 144A	1,707,000		1,587
Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A
1.660%, 2/20/28 144A	2,049,000		1,772
Avis Budget Rental Car Funding AESOP LLC, Series 2022-4A, Class A
4.770%, 2/20/29 144A	1,155,000		1,105
Avis Budget Rental Car Funding AESOP LLC, Series 2023-1A, Class A
5.250%, 4/20/29 144A	4,236,000		4,129
Avis Budget Rental Car Funding AESOP LLC, Series 2023-2A, Class A
5.200%, 10/20/27 144A	2,709,000		2,648
Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class A
5.490%, 6/20/29 144A	5,707,000		5,614
Avis Budget Rental Car Funding AESOP LLC, Series 2023-6A, Class A
5.810%, 12/20/29 144A	3,240,000		3,234
BA Credit Card Trust, Series 2023-A1, Class A1
4.790%, 5/15/28	5,291,000		5,253
BMW Vehicle Lease Trust, Series 2023-1, Class A4
5.070%, 6/25/26	1,628,000		1,616
Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A
3.490%, 5/15/27	3,199,000		3,092
Capital One Multi-Asset Execution Trust, Series 2023-A1, Class A
4.420%, 5/15/28	2,699,000		2,652
Capital One Prime Auto Receivables Trust, Series 2023-1, Class A3
4.870%, 2/15/28	6,746,000		6,675
Capital One Prime Auto Receivables Trust, Series 2023-1, Class A4 4.760%, 8/15/28	2,249,000		2,221
Chase Auto Owner Trust, Series 2022-AA, Class A4
3.990%, 3/27/28 144A	1,504,000		1,451
College Avenue Student Loans LLC, Series 2017-A, Class A1
6.800%, (ICE LIBOR USD 1 Month plus
1.650%), 11/26/46 144A	710,463		710
College Avenue Student Loans LLC, Series 2018-A, Class A2	144A		144A
4.130%, 12/26/47 144A	632,434		594
College Avenue Student Loans LLC, Series 2019-A, Class A2	144A		144A
3.280%, 12/28/48 144A	1,246,696		1,138
Discover Card Execution Note Trust, Series 2022-A3, Class A3
3.560%, 7/15/27	537,000		519
Discover Card Execution Note Trust, Series 2022-A4, Class A
5.030%, 10/15/27	900,000		895

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

104

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Structured Products (52.1%)		Shares/ Par +
Asset Backed Securities continued
Discover Card Execution Note Trust, Series 2023-A1, Class A
4.310%, 3/15/28	5,372,000		5,254
Discover Card Execution Note Trust, Series 2023-A2, Class A
4.930%, 6/15/28	9,524,000		9,485
Enterprise Fleet Financing LLC, Series 2023- 1, Class A2
5.510%, 1/22/29 144A	3,237,000		3,210
Enterprise Fleet Financing LLC, Series 2023- 1, Class A3
5.420%, 10/22/29 144A	1,996,000		1,986
Ford Credit Auto Lease Trust, Series 2023-A, Class A4
4.830%, 5/15/26	1,728,000		1,702
Ford Credit Auto Owner Trust, Series 2022-1, Class A
3.880%, 11/15/34 144A	7,377,000		6,994
Ford Credit Auto Owner Trust, Series 2022-D, Class A4
5.300%, 3/15/28	1,060,000		1,059
Ford Credit Auto Owner Trust, Series 2023-1, Class A
4.850%, 8/15/35 144A	8,411,000		8,230
Ford Credit Auto Owner Trust, Series 2023-A, Class A3
4.650%, 2/15/28	4,627,000		4,568
Ford Credit Auto Owner Trust, Series 2023-B, Class A3
5.230%, 5/15/28	3,963,000		3,956
Ford Credit Auto Owner Trust, Series 2023-B, Class A4
5.060%, 2/15/29	1,569,000		1,564
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class A1
4.920%, 5/15/28 144A	4,226,000		4,179
GM Financial Automobile Leasing Trust, Series 2023-1, Class A4
5.160%, 1/20/27	2,426,000		2,405
GM Financial Automobile Leasing Trust, Series 2023-2, Class A3
5.050%, 7/20/26	3,268,000		3,241
GM Financial Automobile Leasing Trust, Series 2023-2, Class A4
5.090%, 5/20/27	1,491,000		1,474
GM Financial Consumer Automobile
Receivables Trust, Series 2022-2, Class A3
3.100%, 2/16/27	5,175,000		5,008
GM Financial Consumer Automobile
Receivables Trust, Series 2022-4, Class A3
4.820%, 8/16/27	1,841,000		1,820
GM Financial Revolving Receivables Trust, Series 2022-1, Class A
5.910%, 10/11/35 144A	2,780,000		2,833
GM Financial Revolving Receivables Trust, Series 2023-1, Class A
5.120%, 4/11/35 144A	4,236,000		4,188
GMF Floorplan Owner Revolving Trust, Series 2023-1, Class A1
5.340%, 6/15/28 144A	7,354,000		7,340

Structured Products (52.1%)		Shares/ Par +
Asset Backed Securities continued
Hertz Vehicle Financing III LLC, Series 2021- 2A, Class A
1.680%, 12/27/27 144A	2,671,000		2,327
Hertz Vehicle Financing III LLC, Series 2022- 1A, Class A
1.990%, 6/25/26 144A	4,296,000		3,985
Hertz Vehicle Financing III LLC, Series 2023- 2A, Class 2A
5.570%, 9/25/29 144A	5,397,000		5,309
Hertz Vehicle Financing LLC, Series 2022-4A, Class A
3.730%, 9/25/26 144A	2,594,000		2,473
Honda Auto Receivables Owner Trust, Series 2023-1, Class A3
5.040%, 4/21/27	5,852,000		5,814
Honda Auto Receivables Owner Trust, Series 2023-1, Class A4
4.970%, 6/21/29	2,813,000		2,795
Hyundai Auto Lease Securitization Trust, Series 2023-B, Class A4
5.170%, 4/15/27 144A	2,377,000		2,344
Hyundai Auto Receivables Trust, Series 2021- C, Class A4
1.030%, 12/15/27	1,869,000		1,709
Hyundai Auto Receivables Trust, Series 2022- A, Class A3
2.220%, 10/15/26	3,507,000		3,366
Hyundai Auto Receivables Trust, Series 2022- A, Class A4
2.350%, 4/17/28	1,194,000		1,115
Hyundai Auto Receivables Trust, Series 2023- A, Class A4
4.480%, 7/17/28	2,148,000		2,106
Mercedes-Benz Auto Lease Trust, Series 2023-A, Class A3
4.740%, 1/15/27	3,199,000		3,152
Mercedes-Benz Auto Receivables Trust, Series 2022-1, Class A4
5.250%, 2/15/29	2,454,000		2,464
Mercedes-Benz Auto Receivables Trust, Series 2023-1, Class A4
4.310%, 4/16/29	1,914,000		1,871
Navient Private Education Refi Loan Trust, Series 2014-AA, Class A3
6.793%, (ICE LIBOR USD 1 Month plus 1.600%), 10/15/31 144A	1,179,818		1,178
Navient Private Education Refi Loan Trust, Series 2018-C, Class A2
3.520%, 6/16/42 144A	74,471		73
Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A
4.000%, 12/15/59 144A	1,778,380		1,696
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A
3.420%, 1/15/43 144A	1,504,751		1,446
Navient Private Education Refi Loan Trust, Series 2019-C, Class A2
3.130%, 2/15/68 144A	1,217,874		1,151
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A
3.010%, 12/15/59 144A	3,233,147		2,988

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

105

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Structured Products (52.1%)		Shares/ Par +
Asset Backed Securities continued
Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2
2.120%, 1/15/69 144A	1,145,282		1,038
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A
1.170%, 9/16/69 144A	2,073,585		1,835
Navient Private Education Refi Loan Trust, Series 2021-A, Class A
0.840%, 5/15/69 144A	565,668		491
Navient Private Education Refi Loan Trust, Series 2021-FA, Class A
1.110%, 2/18/70 144A	2,931,861		2,447
Navient Private Education Refi Loan Trust, Series 2022-A, Class A
2.230%, 7/15/70 144A	7,159,957		6,206
Navient Student Loan Trust, Series 2016-AA, Class A2B
7.343%, (ICE LIBOR USD 1 Month plus 2.150%), 12/15/45 144A	516,714		519
Navient Student Loan Trust, Series 2019-BA, Class A2A
3.390%, 12/15/59 144A	2,346,734		2,217
Navient Student Loan Trust, Series 2019-FA, Class A2
2.600%, 8/15/68 144A	1,911,849		1,753
Navient Student Loan Trust, Series 2020-EA, Class A
1.690%, 5/15/69 144A	110,995		99
Navient Student Loan Trust, Series 2020-IA, Class A1A
1.330%, 4/15/69 144A	2,959,729		2,598
Navient Student Loan Trust, Series 2021-3A, Class A1A
1.770%, 8/25/70 144A	3,147,506		2,737
Navient Student Loan Trust, Series 2021-BA, Class A
0.940%, 7/15/69 144A	853,050		737
Navient Student Loan Trust, Series 2021-CA, Class A
1.060%, 10/15/69 144A	3,327,818		2,870
Navient Student Loan Trust, Series 2021-EA, Class A
0.970%, 12/16/69 144A	4,746,825		4,012
Navient Student Loan Trust, Series 2021-GA, Class A
1.580%, 4/15/70 144A	745,568		640
Nelnet Student Loan Trust, Series 2004-3, Class A5
5.435%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36	332,155		324
Nelnet Student Loan Trust, Series 2004-4, Class A5
5.415%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37	2,268,217		2,232
Nelnet Student Loan Trust, Series 2005-1, Class A5
5.365%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33	5,085,104		4,938

Structured Products (52.1%)		Shares/ Par +
Asset Backed Securities continued
Nelnet Student Loan Trust, Series 2005-2, Class A5
5.328%, (US 90 Day Average SOFR plus 0.362%), 3/23/37	4,871,601		4,755
Nelnet Student Loan Trust, Series 2005-3, Class A5
5.348%, (US 90 Day Average SOFR plus 0.382%), 12/24/35	3,782,014		3,698
Nelnet Student Loan Trust, Series 2005-4, Class A4
5.408%, (US 90 Day Average SOFR plus 0.442%), 3/22/32	665,657		642
Nissan Auto Lease Trust, Series 2023-B, Class A3
5.690%, 7/15/26	5,529,000		5,536
Nissan Auto Lease Trust, Series 2023-B, Class A4
5.610%, 11/15/27	2,116,000		2,118
Nissan Auto Receivables Owner Trust, Series 2022-B, Class A4
4.450%, 11/15/29	1,459,000		1,429
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A4
4.850%, 6/17/30	1,115,000		1,106
PenFed Auto Receivables Owner Trust, Series 2022-A, Class A3
3.960%, 4/15/26 144A	2,224,000		2,183
PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4
4.180%, 12/15/28 144A	1,093,000		1,064
Santander Drive Auto Receivables Trust, Series 2022-2, Class A3
2.980%, 10/15/26	4,792,624		4,740
Santander Drive Auto Receivables Trust, Series 2022-3, Class A3
3.400%, 12/15/26	2,097,714		2,070
Santander Drive Auto Receivables Trust, Series 2022-4, Class A3
4.140%, 2/16/27	3,191,000		3,147
Santander Drive Auto Receivables Trust, Series 2022-5, Class A3
4.110%, 8/17/26	2,649,000		2,622
Santander Drive Auto Receivables Trust, Series 2022-6, Class A3
4.490%, 11/16/26	5,498,000		5,430
Santander Drive Auto Receivables Trust, Series 2022-7, Class A3
5.750%, 4/15/27	1,242,000		1,240
SMB Private Education Loan Trust, Series 2016-B, Class A2A
2.430%, 2/17/32 144A	479,268		461
SMB Private Education Loan Trust, Series 2016-B, Class A2B
6.643%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A	449,966		450
SMB Private Education Loan Trust, Series 2016-C, Class A2B
6.293%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A	484,823		483

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

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Structured Products (52.1%)		Shares/ Par +
Asset Backed Securities continued
SMB Private Education Loan Trust, Series 2018-C, Class A2A
3.630%, 11/15/35 144A	916,135		872
SMB Private Education Loan Trust, Series 2020-BA, Class A1A
1.290%, 7/15/53 144A	1,189,936		1,060
SMB Private Education Loan Trust, Series 2020-PTA, Class A2A
1.600%, 9/15/54 144A	2,550,869		2,262
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A
1.600%, 9/15/54 144A	6,854,379		6,076
SMB Private Education Loan Trust, Series 2021-A, Class APT1
1.070%, 1/15/53 144A	4,364,014		3,737
SMB Private Education Loan Trust, Series 2021-B, Class A
1.310%, 7/17/51 144A	1,508,929		1,329
SMB Private Education Loan Trust, Series 2021-D, Class A1A
1.340%, 3/17/53 144A	4,142,417		3,650
SMB Private Education Loan Trust, Series 2021-E, Class A1A
1.680%, 2/15/51 144A	2,981,323		2,654
SMB Private Education Loan Trust, Series 2023-B, Class A1B
1.000%, (US 30 Day Average SOFR plus 1.800%), 10/16/56 144A	2,751,000		2,757
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX
2.650%, 9/25/40 144A	51,616		49
SoFi Professional Loan Program LLC, Series 2020-C, Class AFX
1.950%, 2/15/46 144A	292,756		262
SoFi Professional Loan Program LLC, Series 2021-A, Class AFX
1.030%, 8/17/43 144A	1,000,134		839
SoFi Professional Loan Program LLC, Series 2021-B, Class AFX
1.140%, 2/15/47 144A	2,300,297		1,914
Synchrony Card Funding LLC, Series 2022- A2, Class A
3.860%, 7/17/28	1,669,000		1,619
T-Mobile U.S. Trust, Series 2022-1A, Class A
4.910%, 5/22/28 144A	2,281,000		2,254
Toyota Auto Receivables Owner Trust, Series 2022-D, Class A4
5.430%, 4/17/28	1,337,000		1,352
Toyota Auto Receivables Owner Trust, Series 2023-A, Class A4
4.420%, 8/15/28	1,801,000		1,763
Toyota Auto Receivables Owner Trust, Series 2023-B, Class A3
4.710%, 2/15/28	2,775,000		2,745
Verizon Master Trust, Series 2022-2, Class A
1.530%, 7/20/28	2,007,000		1,884
Verizon Master Trust, Series 2022-4, Class A
3.830%, 11/20/28	4,341,000		4,183
Verizon Master Trust, Series 2022-6, Class A
3.670%, 1/22/29	2,765,000		2,675

Structured Products (52.1%)		Shares/ Par +
Asset Backed Securities continued
Verizon Master Trust, Series 2023-1, Class A
4.490%, 1/22/29	4,180,000		4,106
Verizon Master Trust, Series 2023-2, Class A
4.890%, 4/20/28	1,546,000		1,532
Verizon Master Trust, Series 2023-4, Class A1A
5.160%, 6/20/29	7,176,000		7,152
Volkswagen Auto Loan Enhanced Trust, Series 2023-1, Class A3
5.020%, 6/20/28	3,085,000		3,074
World Omni Select Auto Trust, Series 2023-A, Class A2A
5.920%, 3/15/27	2,726,000		2,721
Total			336,377
Mortgage Securities (40.2%)
Angel Oak Mortgage Trust, Series 2020-2, Class A1A
2.531%, (AFC), 1/26/65 144A	851,639		774
Angel Oak Mortgage Trust, Series 2020-5, Class A1
1.373%, (AFC), 5/25/65 144A	259,426		236
Angel Oak Mortgage Trust, Series 2021-6, Class A1
1.458%, (AFC), 9/25/66 144A	1,633,787		1,294
BANK, Series 2023-5YR1, Class A3
6.260%, (AFC), 4/15/56	1,523,000		1,549
Barclays Commercial Mortgage Securities LLC, Series 2018-C2, Class ASB
4.236%, 12/15/51	721,264		693
BBCMS Mortgage Trust, Series 2023-C20, Class A5
5.576%, (AFC), 7/15/56	989,000		1,017
Benchmark Mortgage Trust, Series 2023-B39, Class A5
5.754%, 7/17/56	1,970,000		2,021
Bunker Hill Loan Depositary Trust, Series 2019-2, Class A1
2.879%, (AFC), 7/25/49 144A ∑	1,124,259		1,044
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1
2.724%, (AFC), 11/25/59 144A ∑	546,049		521
BX Commercial Mortgage Trust, Series 2021- VOLT, Class A
5.893%, (ICE LIBOR USD 1 Month plus 0.700%), 9/15/36 144A	6,842,000		6,620
BX Trust, Series 2021-XL2, Class A
5.882%, (ICE LIBOR USD 1 Month plus 0.689%), 10/15/38 144A	2,961,781		2,874
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB
3.367%, 6/15/50	769,437		734
Citigroup Mortgage Loan Trust, Series 2005-1, Class 3A1
6.500%, 4/25/35	80,293		78
COLT Mortgage Loan Trust, Series 2021-2, Class A1
0.924%, (AFC), 8/25/66 144A	2,162,227		1,654

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

107

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Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
COLT Mortgage Loan Trust, Series 2021-4, Class A1
1.397%, (AFC), 10/25/66 144A		2,329,944		1,829
COMM Mortgage Trust, Series 2013-CR11, Class A4
4.258%, 8/10/50		707,835		707
COMM Mortgage Trust, Series 2013-CR13, Class A4
4.194%, (AFC), 11/10/46		1,087,000		1,075
COMM Mortgage Trust, Series 2014-UBS4, Class A4
3.420%, 8/10/47		2,348,000		2,279
COMM Mortgage Trust, Series 2015-LC23, Class A3
3.521%, 10/10/48		1,230,000		1,182
CSMC Commercial Mortgage Trust, Series 2019-C16, Class A2
3.066%, 6/15/52		1,203,000		1,052
EQUS Mortgage Trust, Series 2021-EQAZ, Class A
5.948%, (ICE LIBOR USD 1 Month plus 0.755%), 10/15/38 144A		2,683,946		2,606
Federal Home Loan Mortgage Corp.
2.000%, 6/1/40		6,741,516		5,803
2.000%, 7/1/40		6,918,568		5,956
2.000%, 8/1/40		7,159,595		6,163
2.000%, 11/1/40		8,923,855		7,661
2.000%, 12/1/40		2,051,000		1,753
2.000%, 1/1/41		1,547,498		1,319
2.000%, 2/1/41		1,675,865		1,435
2.000%, 4/1/41		1,705,516		1,457
2.000%, 7/1/41		2,502,639		2,134
2.000%, 11/1/41		3,118,942		2,650
2.000%, 1/1/42		1,880,046		1,597
2.000%, 2/1/42		14,760,990		12,540
2.000%, 8/1/42		2,978,985		2,539
2.000%, 2/1/47		1,131,807		931
2.000%, 12/1/51		925,756		762
2.407%, (ICE LIBOR USD 12 Month plus 1.635%), 7/1/43		157,614		158
2.500%, 4/1/42		889,936		773
2.500%, 5/1/42		4,024,847		3,468
2.500%, 6/1/42		1,373,794		1,193
2.500%, 9/1/51		6,786,408		5,830
2.500%, 2/1/52		730,610		624
2.500%, 3/1/52		2,354,580		2,010
2.521%, (ICE LIBOR USD 12 Month plus 1.631%), 11/1/43		307,337		307
2.672%, (ICE LIBOR USD 12 Month plus 1.611%), 10/1/43		305,048		307
2.817%, (ICE LIBOR USD 12 Month plus 1.641%), 5/1/49		953,049		931
3.000%, 4/1/40		1,874,053		1,705
3.000%, 4/1/43		5,252,046		4,742
3.000%, 8/1/43		3,318,788		2,996
3.000%, 4/1/45		4,834,345		4,365
3.000%, 9/1/46		3,030,859		2,716
3.000%, 1/1/47		2,538,692		2,274
3.000%, 2/1/47		2,336,066		2,092
3.034%, (ICE LIBOR USD 12 Month plus 1.606%), 9/1/43		150,729		152

Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
3.155%, (ICE LIBOR USD 12 Month plus 1.642%), 8/1/43		254,198		255
3.500%, 6/1/46		1,425,281		1,323
3.500%, 10/1/46		1,179,982		1,097
3.586%, (ICE LIBOR USD 12 Month plus 1.644%), 10/1/43		380,543		384
3.913%, (US 30 Day Average SOFR plus 2.130%), 7/1/52		1,380,608		1,308
3.922%, (ICE LIBOR USD 12 Month plus 1.717%), 1/1/44		568,696		569
3.986%, (US 30 Day Average SOFR plus 2.140%), 8/1/52		1,899,563		1,785
4.000%, 7/1/49		3,995,100		3,840
4.123%, (US 30 Day Average SOFR plus 2.380%), 9/1/52		967,918		922
4.140%, (ICE LIBOR USD 12 Month plus 1.637%), 3/1/49		1,326,486		1,316
4.199%, (US 30 Day Average SOFR plus 2.304%), 5/1/53		5,505,167		5,292
4.299%, (US 30 Day Average SOFR plus 2.130%), 7/1/52		1,630,041		1,563
4.500%, 6/1/39		92,010		90
4.500%, 7/1/39		110,900		109
4.670%, (ICE LIBOR USD 12 Month plus 1.637%), 4/1/48		3,197,077		3,187
5.147%, (ICE LIBOR USD 12 Month plus 1.688%), 9/1/47		1,574,528		1,590
5.403%, (ICE LIBOR USD 12 Month plus 1.638%), 9/1/45		2,496,975		2,521
5.497%, (ICE LIBOR USD 12 Month plus 1.770%), 9/1/42		258,647		263
6.324%, (ICE LIBOR USD 12 Month plus 1.684%), 2/1/43		373,854		377
7.040%, (ICE LIBOR USD 12 Month plus 1.650%), 3/1/43		254,643		255
Federal Home Loan Mortgage Corp., Series 1582, Class M
2.500%, 5/25/49		1,748,776		1,502
Federal Home Loan Mortgage Corp., Series 2012-264, Class 30
3.000%, 7/15/42		2,701,928		2,452
Federal Home Loan Mortgage Corp., Series 2012-272, Class F1
5.693%, (ICE LIBOR USD 1 Month plus 0.500%), 8/15/42		1,640,117		1,604
Federal Home Loan Mortgage Corp., Series 2012-280, Class F1
5.693%, (ICE LIBOR USD 1 Month plus 0.500%), 9/15/42		1,698,650		1,662
Federal Home Loan Mortgage Corp., Series 2439, Class LH
6.000%, 4/15/32		143,929		146
Federal Home Loan Mortgage Corp., Series 271, Class F5
5.693%, (ICE LIBOR USD 1 Month plus 0.500%), 8/15/42		1,050,540		1,024
Federal Home Loan Mortgage Corp., Series 4047, Class CX
3.500%, 5/15/42		2,934,000		2,677

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

108

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Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4122, Class FP
5.593%, (ICE LIBOR USD 1 Month plus 0.400%), 10/15/42		816,838		797
Federal Home Loan Mortgage Corp., Series 4205, Class PA
1.750%, 5/15/43		922,864		780
Federal Home Loan Mortgage Corp., Series 4240, Class FA
5.693%, (ICE LIBOR USD 1 Month plus 0.500%), 8/15/43		3,080,506		3,014
Federal Home Loan Mortgage Corp., Series 4248, Class FT
5.693%, (ICE LIBOR USD 1 Month plus 0.500%), 9/15/43		1,065,413		1,038
Federal Home Loan Mortgage Corp., Series 4446, Class CP
2.250%, 3/15/45		1,446,335		1,258
Federal Home Loan Mortgage Corp., Series 4631, Class FA
5.693%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/46		2,022,511		1,958
Federal Home Loan Mortgage Corp., Series 4719, Class LM
3.000%, 9/15/47		1,191,714		1,070
Federal Home Loan Mortgage Corp., Series 4742, Class PA
3.000%, 10/15/47		2,048,693		1,847
Federal Home Loan Mortgage Corp., Series 4793, Class FD
5.493%, (ICE LIBOR USD 1 Month plus 0.300%), 6/15/48		460,755		442
Federal Home Loan Mortgage Corp., Series 4826, Class KF
5.493%, (ICE LIBOR USD 1 Month plus 0.300%), 9/15/48		954,811		916
Federal Home Loan Mortgage Corp., Series 4880, Class DA
3.000%, 5/15/50		1,892,979		1,711
Federal Home Loan Mortgage Corp., Series 4937, Class MD
2.500%, 10/25/49		2,089,384		1,832
Federal Home Loan Mortgage Corp., Series 4993, Class KF
5.600%, (ICE LIBOR USD 1 Month plus 0.450%), 7/25/50		8,496,421		8,124
Federal Home Loan Mortgage Corp., Series 5004, Class FM
5.500%, (ICE LIBOR USD 1 Month plus 0.350%), 8/25/50		1,804,749		1,724
Federal Home Loan Mortgage Corp., Series 5091, Class AB
1.500%, 3/25/51		3,384,406		2,694
Federal Home Loan Mortgage Corp., Series 5119, Class AB
1.500%, 8/25/49		1,700,993		1,355
Federal Home Loan Mortgage Corp., Series 5119, Class QF
5.267%, (US 30 Day Average SOFR plus 0.200%), 6/25/51		2,534,634		2,410

Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 5143, Class GA
2.000%, 6/25/49		1,268,564		1,023
Federal Home Loan Mortgage Corp., Series 5178, Class TP
2.500%, 4/25/49		2,829,306		2,450
Federal Home Loan Mortgage Corp., Series 5201, Class CA
2.500%, 7/25/48		2,530,171		2,224
Federal Home Loan Mortgage Corp., Series 5202, Class BH
2.000%, 12/25/47		1,470,836		1,305
Federal Home Loan Mortgage Corp., Series 5202, Class LA
2.500%, 5/25/49		2,572,972		2,248
Federal Home Loan Mortgage Corp., Series 5203, Class G
2.500%, 11/25/48		1,147,063		996
Federal Home Loan Mortgage Corp., Series 5217, Class CD
2.500%, 7/25/49		2,169,573		1,943
Federal Home Loan Mortgage Corp., Series 5300, Class C
2.000%, 9/25/47		3,609,967		3,271
Federal National Mortgage Association
1.500%, 10/1/41		8,870,965		7,189
1.500%, 11/1/41		24,451,389		19,805
1.500%, 7/1/51		9,775,568		7,560
2.000%, 6/1/40		2,037,632		1,754
2.000%, 7/1/40		6,835,762		5,884
2.000%, 9/1/40		7,648,455		6,578
2.000%, 10/1/40		8,400,938		7,165
2.000%, 11/1/40		7,200,500		6,180
2.000%, 12/1/40		35,949,428		30,832
2.000%, 1/1/41		12,414,473		10,640
2.000%, 2/1/41		107,339		92
2.000%, 5/1/41		13,288,458		11,345
2.000%, 6/1/41		783,242		667
2.000%, 7/1/41		12,418,205		10,589
2.000%, 8/1/41		898,614		766
2.000%, 10/1/41		4,590,327		3,917
2.000%, 11/1/41		2,378,487		2,021
2.000%, 1/1/42		2,941,630		2,487
2.000%, 2/1/42		32,152,473		27,344
2.000%, 4/1/42		2,361,106		2,007
2.000%, 11/1/42		1,181,522		1,012
2.000%, 4/1/46		7,025,935		5,806
2.000%, 1/1/47		1,305,074		1,076
2.000%, 3/1/47		9,221,222		7,598
2.500%, 12/1/40		4,311,749		3,820
2.500%, 5/1/41		4,380,099		3,843
2.500%, 8/1/41		2,196,634		1,904
2.500%, 2/1/42		2,525,545		2,228
2.500%, 4/1/42		5,026,427		4,365
2.500%, 5/1/42		3,278,531		2,847
2.500%, 6/1/42		2,951,872		2,563
2.500%, 5/1/46		1,029,050		885
2.500%, 12/1/47		6,016,827		5,329
2.500%, 10/1/50		3,935,405		3,386
2.500%, 3/1/52		2,930,639		2,503

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

109

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Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
3.000%, 5/1/40		4,331,406		3,942
3.000%, 11/1/42		2,211,391		1,996
3.000%, 1/1/43		2,282,526		2,063
3.000%, 2/1/43		12,787,510		11,432
3.000%, 7/1/43		1,729,892		1,562
3.000%, 8/1/43		2,390,332		2,158
3.000%, 9/1/43		1,968,442		1,777
3.000%, 12/1/43		2,277,382		2,056
3.000%, 2/1/44		2,289,547		2,067
3.000%, 10/1/44		11,973,435		10,710
3.000%, 2/1/45		3,746,013		3,378
3.000%, 10/1/46		7,541,936		6,784
3.000%, 11/1/46		6,429,601		5,767
3.000%, 12/1/46		9,308,236		8,362
3.000%, 1/1/47		6,526,004		5,838
3.000%, 2/1/47		9,371,419		8,424
3.000%, 3/1/47		1,308,575		1,171
3.000%, 2/1/48		1,635,299		1,464
3.000%, 4/1/48		9,217,615		8,322
3.000%, 1/1/49		893,481		807
3.000%, 2/1/49		3,871,371		3,465
3.000%, 10/1/49		28,159,460		25,423
3.000%, 2/1/50		22,354,360		20,047
3.000%, 5/1/50		9,111,657		8,132
3.000%, 7/1/52		1,763,241		1,576
3.000%, 2/1/55		1,261,861		1,127
3.000%, 7/1/60		15,427,916		13,429
3.014%, (ICE LIBOR USD 12 Month plus 1.603%), 3/1/50		3,492,521		3,383
3.203%, (ICE LIBOR USD 12 Month plus 1.576%), 10/1/43		685,303		692
3.500%, 3/1/42		1,520,270		1,423
3.500%, 4/1/42		3,203,466		2,999
3.500%, 11/1/42		1,202,214		1,126
3.500%, 12/1/43		5,834,314		5,436
3.500%, 2/1/46		2,963,696		2,758
3.500%, 7/1/47		14,877,626		13,930
3.500%, 7/1/48		938,164		865
3.500%, 4/1/50		8,468,932		7,861
3.681%, (US 30 Day Average SOFR plus 2.370%), 8/1/52		2,013,469		1,903
3.965%, (US 30 Day Average SOFR plus 2.120%), 8/1/52		840,478		792
4.000%, 9/1/33		709,025		690
4.000%, 3/1/35		13,332,103		13,011
4.000%, 10/1/37		5,946,104		5,803
4.000%, 6/1/38		1,158,089		1,130
4.000%, 9/1/45		470,075		454
4.000%, 1/1/46		2,349,086		2,271
4.000%, 4/1/47		570,742		547
4.000%, 10/1/47		447,694		432
4.000%, 7/1/48		7,331,749		7,027
4.000%, 12/1/48		1,184,382		1,147
4.000%, 5/1/49		1,188,846		1,140
4.143%, (US 30 Day Average SOFR plus 2.120%), 9/1/52		2,927,581		2,828
4.149%, (US 30 Day Average SOFR plus 2.131%), 10/1/52		6,757,237		6,516
4.169%, (US 30 Day Average SOFR plus 2.120%), 7/1/52		2,982,784		2,839

Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
4.218%, (US 30 Day Average SOFR plus 2.370%), 9/1/52		941,789		903
4.249%, (US 30 Day Average SOFR plus 2.127%), 11/1/52		2,408,125		2,330
4.300%, (ICE LIBOR USD 12 Month plus 1.579%), 6/1/45		785,164		786
4.306%, (US 30 Day Average SOFR plus 2.125%), 8/1/52		3,672,170		3,537
4.355%, (US 30 Day Average SOFR plus 2.124%), 7/1/52		3,525,515		3,401
4.500%, 6/1/41		90,759		90
4.500%, 3/1/43		1,191,202		1,176
4.500%, 10/1/45		1,849,099		1,815
4.500%, 2/1/46		66,994		66
4.500%, 7/1/48		1,905,334		1,869
4.500%, 11/1/48		870,983		866
4.629%, (US 30 Day Average SOFR plus 2.125%), 8/1/52		4,056,189		3,946
4.634%, (US 30 Day Average SOFR plus 2.123%), 8/1/52		3,021,019		2,920
4.653%, (US 30 Day Average SOFR plus 2.130%), 8/1/52		3,135,827		3,053
4.674%, (ICE LIBOR USD 12 Month plus 1.583%), 1/1/46		2,025,707		2,028
5.500%, 9/1/52		2,699,936		2,771
6.000%, 5/1/53		8,264,047		8,336
6.058%, (ICE LIBOR USD 12 Month plus 1.653%), 1/1/43		153,901		155
6.500%, 11/1/52		1,237,395		1,304
6.500%, 12/1/52		833,078		880
6.500%, 2/1/53		598,666		633
6.756%, (ICE LIBOR USD 12 Month plus 1.560%), 6/1/43		194,114		194
6.953%, (ICE LIBOR USD 12 Month plus 1.560%), 3/1/43		35,437		35
7.000%, 2/1/53		2,398,721		2,481
Federal National Mortgage Association Stripped, Series 414, Class A35
3.500%, 10/25/42 PO		2,321,848		2,165
Federal National Mortgage Association, Series 2012-133, Class JF
5.500%, (ICE LIBOR USD 1 Month plus 0.350%), 12/25/42		1,409,489		1,370
Federal National Mortgage Association, Series 2012-151, Class NX
1.500%, 1/25/43		978,882		818
Federal National Mortgage Association, Series 2013-11, Class AP
1.500%, 1/25/43		3,299,688		2,890
Federal National Mortgage Association, Series 2013-15, Class FA
5.500%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/43		1,695,091		1,651
Federal National Mortgage Association, Series 2013-43, Class BP
1.750%, 5/25/43		1,159,732		982
Federal National Mortgage Association, Series 2014-25, Class EL
3.000%, 5/25/44		1,551,855		1,393

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

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Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2014-74, Class PC
2.500%, 6/25/44		1,308,063		1,194
Federal National Mortgage Association, Series 2015-20, Class EF
5.500%, (ICE LIBOR USD 1 Month plus 0.350%), 4/25/45		3,919,138		3,805
Federal National Mortgage Association, Series 2015-26, Class GF
5.450%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/45		2,447,273		2,379
Federal National Mortgage Association, Series 2015-32, Class FA
5.450%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/45		1,494,950		1,446
Federal National Mortgage Association, Series 2015-48, Class FB
5.450%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/45		1,842,162		1,784
Federal National Mortgage Association, Series 2015-8, Class AP
2.000%, 3/25/45		2,880,213		2,487
Federal National Mortgage Association, Series 2015-84, Class PA
1.700%, 8/25/33		3,845,713		3,432
Federal National Mortgage Association, Series 2016-48, Class MA
2.000%, 6/25/38		3,856,417		3,434
Federal National Mortgage Association, Series 2016-57, Class PC
1.750%, 6/25/46		7,791,026		6,465
Federal National Mortgage Association, Series 2017-13, Class PA
3.000%, 8/25/46		1,232,557		1,122
Federal National Mortgage Association, Series 2017-78, Class FC
5.500%, (ICE LIBOR USD 1 Month plus 0.350%), 10/25/47		1,785,152		1,725
Federal National Mortgage Association, Series 2018-14, Class KC
3.000%, 3/25/48		2,366,399		2,179
Federal National Mortgage Association, Series 2018-8, Class KL
2.500%, 3/25/47		1,305,832		1,133
Federal National Mortgage Association, Series 2018-85, Class EA
3.500%, 12/25/48		1,319,982		1,240
Federal National Mortgage Association, Series 2018-85, Class FE
5.450%, (ICE LIBOR USD 1 Month plus
0.300%), 12/25/48		3,961,096		3,836
Federal National Mortgage Association, Series 2019-15, Class FA
5.650%, (ICE LIBOR USD 1 Month plus
0.500%), 4/25/49		942,637		915
Federal National Mortgage Association, Series 2019-25, Class PA
3.000%, 5/25/48		2,559,831		2,307

Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2019-43, Class FC
5.550%, (ICE LIBOR USD 1 Month plus 0.400%), 8/25/49		1,893,280		1,828
Federal National Mortgage Association, Series 2019-67, Class FB
5.600%, (ICE LIBOR USD 1 Month plus 0.450%), 11/25/49		935,192		905
Federal National Mortgage Association, Series 2020-34, Class F
5.600%, (ICE LIBOR USD 1 Month plus 0.450%), 6/25/50		1,281,501		1,236
Federal National Mortgage Association, Series 2020-45, Class JL
3.000%, 7/25/40		2,976,038		2,668
Federal National Mortgage Association, Series 2020-48, Class AB
2.000%, 7/25/50		1,368,507		1,123
Federal National Mortgage Association, Series 2020-48, Class DA
2.000%, 7/25/50		4,135,950		3,428
Federal National Mortgage Association, Series 2021-27, Class EC
1.500%, 5/25/51		5,836,249		4,619
Federal National Mortgage Association, Series 2021-78, Class ND
1.500%, 11/25/51		3,347,051		2,729
Federal National Mortgage Association, Series 2021-78, Class PA
2.500%, 11/25/51		1,970,294		1,686
Federal National Mortgage Association, Series 2022-11, Class A
2.500%, 7/25/47		5,574,994		4,924
Federal National Mortgage Association, Series 2022-28, Class CA
2.000%, 1/25/48		2,097,508		1,852
Federal National Mortgage Association, Series 2022-3, Class E
2.000%, 10/25/47		6,459,669		5,548
Government National Mortgage Association
3.000%, 6/20/43		2,300,704		2,068
3.000%, 8/20/43		734,479		660
3.000%, 10/20/46		382,448		340
3.000%, 12/20/46		1,936,890		1,722
3.000%, 1/20/47		645,958		574
3.000%, 3/20/47		1,496,083		1,329
3.000%, 4/20/47		2,049,317		1,820
3.000%, 7/20/47		697,679		620
3.000%, 8/20/47		909,540		808
3.000%, 9/20/47		482,406		429
3.000%, 11/15/47		6,910,909		6,303
3.000%, 11/20/47		1,526,311		1,356
3.000%, 12/20/47		149,268		133
3.000%, 1/20/48		885,594		787
3.000%, 2/20/48		666,051		592
3.000%, 3/20/48		228,749		203
3.000%, 10/20/50		5,939,284		5,322
3.500%, 1/20/48		1,217,350		1,139
4.000%, 3/20/48		349,245		332
4.000%, 4/20/48		1,180,776		1,122
4.500%, 8/15/47		209,372		207

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

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Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
4.500%, 6/20/48		1,426,158		1,395
4.500%, 2/20/49		1,437,434		1,370
6.000%, 1/20/53		9,728,536		9,947
Government National Mortgage Association TBA
6.000%, 7/20/53		31,200,000		31,407
6.000%, 8/21/53		10,000,000		10,062
6.000%, 9/21/53		25,000,000		25,143
Government National Mortgage Association, Series 2012-141, Class WA
4.517%, 11/16/41		419,815		406
Government National Mortgage Association, Series 2017-167, Class BQ
2.500%, 8/20/44		1,248,439		1,127
Government National Mortgage Association, Series 2021-227, Class E
2.500%, 7/20/50		9,147,835		7,910
Government National Mortgage Association, Series 2021-23, Class MG
1.500%, 2/20/51		3,996,758		3,268
Government National Mortgage Association, Series 2021-27, Class BD
5.000%, 2/20/51		1,571,463		1,571
Government National Mortgage Association, Series 2021-27, Class CW
5.001%, 2/20/51		2,310,525		2,276
Government National Mortgage Association, Series 2021-27, Class NT
5.000%, 2/20/51		1,800,951		1,743
Government National Mortgage Association, Series 2021-27, Class Q
5.000%, 2/20/51		1,575,753		1,529
Government National Mortgage Association, Series 2021-8, Class CY
5.000%, 1/20/51		1,601,752		1,578
Government National Mortgage Association, Series 2022-107, Class C
2.500%, 6/20/51		7,440,752		6,253
Government National Mortgage Association, Series 2022-191, Class B
4.000%, 6/20/41		8,520,000		8,007
Government National Mortgage Association, Series 2022-197, Class LF
5.766%, (US 30 Day Average SOFR plus 0.700%), 11/20/52		6,679,784		6,630
Government National Mortgage Association, Series 2022-205, Class A
2.000%, 9/20/51		2,724,636		2,190
Government National Mortgage Association, Series 2022-31, Class GH
2.500%, 12/20/49		4,899,271		4,281
Government National Mortgage Association, Series 2022-50, Class DC
2.500%, 8/20/51		2,246,099		1,909
Government National Mortgage Association, Series 2022-84, Class A
2.500%, 1/20/52		14,065,519		11,902
GS Mortgage Securities Trust, Series 2013- GC14, Class A5
4.243%, 8/10/46		921,578		920

Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
GS Mortgage Securities Trust, Series 2014- GC18, Class A4
4.074%, 1/10/47		3,116,000		3,072
GS Mortgage Securities Trust, Series 2015- GC32, Class A3
3.498%, 7/10/48		1,117,436		1,062
GS Mortgage Securities Trust, Series 2020- GSA2, Class A4
1.721%, 12/12/53		3,499,000		2,745
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010-1, Class A1
5.314%, 1/25/51 144A		1,560,893		1,510
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4
4.166%, 12/15/46		2,999,000		2,983
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A3
3.392%, 12/15/49		674,000		623
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A4
4.198%, 1/15/47		695,000		687
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4
3.669%, 9/15/47		887,726		861
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3
2.912%, 10/15/48		3,768,816		3,584
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A5
3.821%, 7/15/48		1,895,000		1,787
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1
5.250%, 12/25/24		93		–	π
MED Trust, Series 2021-MDLN, Class A
6.144%, (ICE LIBOR USD 1 Month plus 0.950%), 11/15/38 144A		4,312,304		4,180
MFRA Trust, Series 2021-NQM2, Class A1
1.029%, (AFC), 11/25/64 144A		924,058		764
Morgan Stanley Capital I Trust, Series 2020- HR8, Class A3
1.790%, 7/15/53		1,911,000		1,516
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1
2.492%, (AFC), 9/25/59 144A		407,790		369
NewRez Warehouse Securitization Trust, Series 2021-1, Class A
5.900%, (ICE LIBOR USD 1 Month plus 0.750%), 5/25/55 144A		5,571,800		5,528
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1
4.500%, 10/25/25		2,120		1
Starvest Emerging Markets CBO I, Series 2020-INV1, Class A1
1.027%, (AFC), 11/25/55 144A		605,054		534
Starwood Mortgage Residential Trust, Series 2020-1, Class A1
2.275%, (AFC), 2/25/50 144A		148,399		137
Starwood Mortgage Residential Trust, Series 2020-3, Class A1
1.486%, (AFC), 4/25/65 144A		668,186		612

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

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Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Starwood Mortgage Residential Trust, Series 2021-1, Class A1
1.219%, (AFC), 5/25/65 144A		792,215		675
Starwood Mortgage Residential Trust, Series 2021-4, Class A1
1.162%, (AFC), 8/25/56 144A		2,099,364		1,738
Uniform Mortgage Backed Security TBA
2.000%, 7/13/53		9,400,000		7,665
5.500%, 7/13/53		8,200,000		8,160
6.000%, 7/13/53		14,900,000		15,032
6.000%, 8/14/53		71,600,000		72,215
Verus Securitization Trust, Series 2019-4, Class A1
2.642%, (AFC), 11/25/59 144A Σ		669,942		640
Verus Securitization Trust, Series 2019-INV2, Class A1
2.913%, (AFC), 7/25/59 144A		331,069		319
Verus Securitization Trust, Series 2019-INV3, Class A1
2.692%, (AFC), 11/25/59 144A		277,647		265
Verus Securitization Trust, Series 2020-1, Class A1
2.417%, (AFC), 1/25/60 144A Σ		147,416		138
Verus Securitization Trust, Series 2020-2, Class A1
2.226%, (AFC), 5/25/60 144A		435,554		424
Verus Securitization Trust, Series 2020-5, Class A1
1.218%, (AFC), 5/25/65 144A Σ		280,931		253
Verus Securitization Trust, Series 2021-1, Class A1
0.815%, (AFC), 1/25/66 144A		1,013,776		852
Verus Securitization Trust, Series 2021-2, Class A1
1.031%, (AFC), 2/25/66 144A		1,969,508		1,646
Verus Securitization Trust, Series 2021-3, Class A1
1.046%, (AFC), 6/25/66 144A		1,482,331		1,236
Verus Securitization Trust, Series 2021-4, Class A1
0.938%, (AFC), 7/25/66 144A		1,906,479		1,490
Verus Securitization Trust, Series 2021-5, Class A1
1.013%, (AFC), 9/25/66 144A		6,127,449		4,830
Verus Securitization Trust, Series 2021-7, Class A1
1.829%, (AFC), 10/25/66 144A		2,903,990		2,459
Verus Securitization Trust, Series 2021-8, Class A1
1.824%, (AFC), 11/25/66 144A		2,098,388		1,753

Structured Products (52.1%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Verus Securitization Trust, Series 2021-R1, Class A1
0.820%, (AFC), 10/25/63 144A		854,270		758
Verus Securitization Trust, Series 2021-R3, Class A1
1.020%, (AFC), 5/25/64 144A		920,186		807
Visio Trust, Series 2020-1R, Class A1
1.312%, 11/25/55 144A		647,779		570
Total				1,134,437
Total Structured Products (Cost: $1,528,277)				1,470,814
Total Investments (104.4%) (Cost: $3,105,529)@				2,948,931
Other Assets, Less Liabilities (-4.4%)				(125,177	)
Net Assets (100.0%)				2,823,754

Securities Sold Short

Description	Coupon		Maturity Date		Principal Amount (000’s)			Proceeds (000’s)			Value (000’s)
Uniform Mortgage Backed Security TBA		3.500%		7/14/50	$	(9,600	)	$	(8,791	)	$	(8,747	)
					$	(9,600	)	$	(8,791	)	$	(8,747	)

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

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

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144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023 the value of these securities (in thousands) was $319,848 representing 11.3% of the net assets.

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At June 30, 2023, the aggregate value of these securities was $819 (in thousands), representing 0.0% of net assets.

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

π Amount is less than one thousand.

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,096,738 and the net unrealized depreciation of investments based on that cost was $156,554 which is comprised of $7,372 aggregate gross unrealized appreciation and $163,926 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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:
Municipal Bonds	$	—	$	9,022		$	—
Corporate Bonds		—		670,952			—
Governments		—		798,143			—
Structured Products		—		1,470,814			—
Total Assets:	$	—	$	2,948,931		$	—
Liabilities:
Other Financial Instruments^
Securities Sold Short		—		(8,747	)		—
Total Liabilities:	$	—	$	(8,747	)	$	—

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

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

114

Long-Term U.S. Government Bond Portfolio (unaudited)

Sector Allocation 6/30/23
Sector	% of Net Assets
Governments	114.6%
Structured Products	22.7%
Corporate Bonds	0.3%
Short-Term Investments & Other Net Assets	-37.6%
Sector Allocation is subject to change.

115

Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Corporate Bonds (0.3%)	Shares/ Par +		Value $ (000’s)
Industrial (0.3%)
Vessel Management Services, Inc.
3.432%, 8/15/36		375,000		349
Total				349
Total Corporate Bonds (Cost: $375)				349
Governments (114.6%)
Governments (114.6%)
Federal National Mortgage Association
5.625%, 4/17/28		100,000		106
Resolution Funding Corp. Stripped
0.000%, 4/15/30 PO		4,800,000		3,559
0.000%, 4/15/28 IO		400,000		324
Tennessee Valley Authority Stripped
0.000%, 5/1/30 PO		500,000		373
US Treasury
1.125%, 5/15/40		6,790,000		4,402
1.125%, 8/15/40		45,990,000		29,570
1.375%, 11/15/40		11,200,000		7,493
1.375%, 8/15/50		1,080,000		628
1.625%, 11/15/50		400,000		248
1.875%, 2/15/41		1,900,000		1,380
1.875%, 11/15/51		10,210,000		6,739
2.000%, 2/15/50		12,920,000		8,857
2.250%, 8/15/49		300,000		218
2.375%, 5/15/51		2,300,000		1,710
2.500%, 2/15/45		1,470,000		1,138
2.500%, 2/15/46		940,000		724
2.875%, 5/15/49		1,750,000		1,446
3.000%, 11/15/44		1,620,000		1,371
3.000%, 5/15/45		1,620,000		1,368
3.000%, 11/15/45		370,000		312
3.000%, 2/15/48		330,000		278
3.000%, 8/15/48 b		700,000		591
3.000%, 2/15/49		1,130,000		956
3.000%, 8/15/52		4,500,000		3,826
3.125%, 8/15/44		1,620,000		1,402
3.125%, 5/15/48		2,430,000		2,096
3.375%, 8/15/42		6,500,000		5,900
3.625%, 2/15/53		2,900,000		2,783
3.625%, 5/15/53		1,700,000		1,634
3.875%, 2/15/43		900,000		878
3.875%, 5/15/43		3,100,000		3,025
4.000%, 11/15/42		2,800,000		2,782
4.000%, 11/15/52		15,830,000		16,260
4.375%, 5/15/41		16,080,000		16,922
US Treasury Inflation Index Bond
0.625%, 7/15/32		1,253,436		1,152
US Treasury Stripped
0.000%, 8/15/34 IO		850,000		548
Total				132,999
Total Governments (Cost: $158,180)				132,999

Structured Products (22.7%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities (0.3%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A
5.900%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A		50,117		49
Hertz Vehicle Financing LLC, Series 2022-2A, Class A
2.330%, 6/26/28 144A		300,000		263
Massachusetts Educational Financing Authority, Series 2008-1, Class A1
6.205%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38		18,077		18
Total				330
Mortgage Securities (22.4%)
Benchmark Mortgage Trust, Series 2019-B9, Class A5
4.015%, 3/15/52		600,000		544
BWAY Mortgage Trust, Series 2013-1515, Class A2
3.454%, 3/10/33 144A		300,000		278
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A
2.871%, (CSTR), 11/10/31 144A		600,000		557
COMM Mortgage Trust, Series 2016-667M, Class A
3.140%, 10/10/36 144A		700,000		610
COMM Mortgage Trust, Series 2018-HOME, Class A
3.942%, (CSTR, AFC), 4/10/33 144A		200,000		179
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3
4.260%, (CSTR), 7/25/33		256		–	π
DBWF Mortgage Trust, Series 2016-85T, Class A
3.791%, 12/10/36 144A		800,000		689
Extended Stay America Trust, Series 2021- ESH, Class A
6.274%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A		385,495		378
Federal Home Loan Mortgage Corp., Series 2752, Class EZ
5.500%, 2/15/34		103,974		103
Federal Home Loan Mortgage Corp., Series 3759, Class FB
5.693%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40		19,354		19
Federal Home Loan Mortgage Corp., Series 4092, Class AY
3.000%, 8/15/32		2,200,000		1,997
Federal Home Loan Mortgage Corp., Series 4387, Class AZ
4.000%, 9/15/44		2,282,587		2,148
Federal Home Loan Mortgage Corp., Series 4398, Class ZX
4.000%, 9/15/54		848,118		761

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

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Structured Products (22.7%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4830, Class ZG
3.000%, 4/15/53		621,775		503
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1
5.376%, (Federal Reserve US 12 Month Cumulative Avg 1 year Constant Maturity plus 1.400%), 7/25/44		4,177		4
Federal National Mortgage Association
3.600%, 2/1/40		550,778		514
5.000%, 6/1/35		20,898		21
5.000%, 2/1/36		32,267		32
5.500%, 5/1/49		26,187		26
Federal National Mortgage Association, Series 2007-39, Class NZ
4.250%, 5/25/37		51,439		50
Federal National Mortgage Association, Series 2012-101, Class FC
5.650%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42		25,571		25
Federal National Mortgage Association, Series 2016-61, Class ML
3.000%, 9/25/46		900,000		759
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2
4.315%, (CSTR), 10/25/52 144A		558,815		519
Government National Mortgage Association TBA
4.000%, 8/21/53		800,000		757
Government National Mortgage Association, Series 2010-26, Class OW
0.000%, 2/20/40 PO		286,012		234
Government National Mortgage Association, Series 2010-75, Class OA
0.000%, 9/20/35 PO		181,746		139
GS Mortgage Securities Trust, Series 2015- 590M, Class B
3.932%, (CSTR), 10/10/35 144A		300,000		265
Hilton USA Trust, Series 2016-HHV, Class A
3.719%, 11/5/38 144A		600,000		555
Hilton USA Trust, Series 2016-HHV, Class C
4.333%, (CSTR), 11/5/38 144A		400,000		370

Structured Products (22.7%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A
4.969%, (CSTR, AFC), 5/25/33		570		1
Morgan Stanley Capital I Trust, Series 2021- 230P, Class A
6.362%, (US SOFR 1 Month plus 1.284%), 12/15/38 144A		200,000		188
MSSG Trust, Series 2017-237P, Class A
3.397%, 9/13/39 144A		700,000		590
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1
2.750%, (AFC), 11/25/59 144A		96,403		88
Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class A
6.717%, (US 30 Day Average SOFR plus 1.650%), 1/25/37 144A		190,925		188
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1
5.806%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34		1,546		1
Towd Point Mortgage Trust, Series 2020-1, Class A2A
3.100%, (AFC), 1/25/60 144A		200,000		172
Uniform Mortgage Backed Security TBA
3.000%, 7/13/53		300,000		264
4.500%, 7/13/53		2,600,000		2,500
4.500%, 8/14/53		1,400,000		1,347
5.000%, 8/14/53		1,400,000		1,372
5.500%, 7/13/53		1,000,000		995
6.000%, 8/14/53		1,300,000		1,311
6.500%, 7/13/53		3,100,000		3,165
VNDO Trust, Series 2016-350P, Class A
3.805%, 1/10/35 144A		800,000		735
Worldwide Plaza Trust, Series 2017-WWP, Class A
3.526%, 11/10/36 144A		100,000		84
Total				26,037
Total Structured Products (Cost: $28,206)				26,367
Total Investments (137.6%) (Cost: $186,761)@				159,715
Other Assets, Less Liabilities (-37.6%)				(43,613)
Net Assets (100.0%)				116,102

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Five-Year US Treasury Note Future		Short		USD		17,400		174		9/23	$	18,634	$	368		$	–
Ten-Year US Treasury Note Future		Long		USD		2,600		26		9/23		2,919		(33	)		4
Two-Year US Treasury Note Future		Short		USD		1,600		8		9/23		1,627		15			–	π
Ultra Ten-Year US Treasury Note Future		Short		USD		15,700		157		9/23		18,595		194			(47	)
US Treasury Long Bond Future		Short		USD		8,900		89		9/23		11,295		26			(67	)
													$	570		$	(110	)

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

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Long-Term U.S. Government Bond Portfolio

Centrally Cleared Interest Rate Swaps - Receive Floating Rate

Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
1-Day USD-SOFR Compounded-OIS		1.750%		10/53		500		USD	$	(8	)	$	136		$	128		$	(4)
1-Day USD-SOFR Compounded-OIS		0.750%		3/31		1,000		USD		16			195			211			(1)
1-Day USD-SOFR Compounded-OIS		1.250%		6/41		3,110		USD		99			920			1,019			(13)
3-Month USD-LIBOR		0.000%		9/23		3,110		USD		–			34			34			–	π
3-Month USD-LIBOR		0.000%		9/23		1,000		USD		–			14			14			–	π
									$	107		$	1,299		$	1,406		$	(18)
Centrally Cleared Interest Rate Swaps - Pay Floating Rate
Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
1-Day USD-SOFR Compounded-OIS		1.600%		10/28		9,000		USD	$	14		$	(873	)	$	(859	)	$	(2)
1-Day USD-SOFR Compounded-OIS		1.000%		12/25		3,170		USD		38			(287	)		(249	)		–π
1-Day USD-SOFR Compounded-OIS		0.000%		9/23		3,110		USD		(21	)		(13	)		(34	)		–π
1-Day USD-SOFR Compounded-OIS		0.000%		9/23		1,000		USD		(5	)		(9	)		(14	)		–π
3-Month USD-LIBOR		1.250%		9/23		1,400		USD		–			(13	)		(13	)		–π
3-Month USD-LIBOR		1.000%		9/23		3,170		USD		–			(31	)		(31	)		–π
									$	26		$	(1,226	)	$	(1,200	)	$	(2)

Written Options

Description	Currency		Notional Par (000’s)		Exercise Price		Expiration Date		Number of Contracts		Value (000’s)
Call - Ten-Year US Treasury Note Future		USD		18	$	115.500		7/23		18	$	(1)
Put - Ten-Year US Treasury Note Future		USD		18		111.500		7/23		18		(7)
(Premiums Received $14)											$	(8)

	Financial Derivative Assets							Financial Derivative Liabilities
	Variation Margin (000’s)							Variation Margin (000’s)								Market Value (000’s)
	Swaps			Futures		Total		Swaps			Futures		Total			Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	–	π	$	4	$	4	$	(20	)	$	(114)	$	(134	)	$	(8	)

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

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023 the value of these securities (in thousands) was $6,757 representing 5.8% of the net assets.

π Amount is less than one thousand.

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $164,144 and the net unrealized depreciation of investments based on that cost was $3,661 which is comprised of $2,007 aggregate gross unrealized appreciation and $5,668 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

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Long-Term U.S. Government Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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:
Corporate Bonds	$	—	$	349	$	—
Governments		—		132,999		—
Structured Products		—		26,367		—
Other Financial Instruments^
Futures		603		—		—
Interest Rate Swaps		—		1,406		—
Total Assets:	$	603	$	161,121	$	—
Liabilities:
Other Financial Instruments^
Futures		(33)		—		—
Written Options		(8)		—		—
Interest Rate Swaps		—		(1,200)		—
Total Liabilities:	$	(41)	$	(1,200)	$	—

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

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

119

Inflation Protection Portfolio (unaudited)

Sector Allocation 6/30/23
Sector	% of Net Assets
Governments	68.0%
Structured Products	23.4%
Corporate Bonds	6.1%
Short-Term Investments & Other Net Assets	2.1%
Municipal Bonds	0.4%
Sector Allocation is subject to change.

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Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Corporate Bonds (6.1%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical (0.9%)
Honda Motor Co., Ltd.
2.271%, 3/10/25		1,550,000		1,474
Toyota Motor Credit Corp.
2.500%, 3/22/24		2,218,000		2,171
Total				3,645
Consumer, Non-cyclical (1.0%)
AbbVie, Inc.
2.950%, 11/21/26		800,000		748
Roche Holdings, Inc.
2.314%, 3/10/27 144A		1,270,000		1,167
Thermo Fisher Scientific, Inc.
1.215%, 10/18/24		2,570,000		2,430
Total				4,345
Energy (0.6%)
Exxon Mobil Corp.
2.709%, 3/6/25		2,560,000		2,457
Total				2,457
Financial (3.0%)
Bank of America Corp.
2.884%, (ICE LIBOR USD 3 Month plus 1.452%), 10/22/30		512,000		441
3.458%, (ICE LIBOR USD 3 Month plus 1.232%), 3/15/25		2,210,000		2,166
BOC Aviation USA Corp.
1.625%, 4/29/24 144A		696,000		672
Citigroup, Inc.
3.520%, (ICE LIBOR USD 3 Month plus 1.413%), 10/27/28		289,000		268
Discover Bank
4.682%, (USD 5 Year Swap Rate plus 1.730%), 8/9/28		1,705,000		1,559
The Goldman Sachs Group, Inc.
1.431%, (US SOFR plus 0.798%), 3/9/27		355,000		317
1.757%, (US SOFR plus 0.730%), 1/24/25		441,000		429
3.814%, (ICE LIBOR USD 3 Month plus 1.420%), 4/23/29		119,000		110
HSBC Holdings PLC
0.732%, (US SOFR plus 0.534%), 8/17/24		670,000		665
1.162%, (US SOFR plus 0.580%), 11/22/24		1,253,000		1,226
JPMorgan Chase & Co.
1.561%, (US SOFR plus 0.605%), 12/10/25		552,000		517
1.578%, (US SOFR plus 0.885%), 4/22/27		360,000		323
2.069%, (US SOFR plus 1.015%), 6/1/29		1,094,000		938
2.522%, (US SOFR plus 2.040%), 4/22/31		358,000		303
5.546%, (US SOFR plus 1.070%), 12/15/25		918,000		914
Morgan Stanley
0.790%, (US SOFR plus 0.525%), 5/30/25		490,000		466
UBS Group AG
1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A		901,000		774

Corporate Bonds (6.1%)	Shares/ Par +		Value $ (000’s)
Financial continued
Wells Fargo & Co.
3.196%, (US SOFR 3 Month plus 1.432%), 6/17/27		280,000		263
4.897%, (US SOFR plus 2.100%), 7/25/33		325,000		312
5.389%, (US SOFR plus 2.020%), 4/24/34		215,000		214
Total				12,877
Industrial (0.5%)
Caterpillar Financial Services Corp.
3.650%, 8/12/25		1,970,000		1,912
DAE Funding LLC
1.550%, 8/1/24 144A		116,000		110
Total				2,022
Utilities (0.1%)
Sempra Energy
3.300%, 4/1/25		507,000		486
Total				486
Total Corporate Bonds (Cost: $26,774)				25,832
Governments (68.0%)
Governments (68.0%)
Canadian Government Real Return Bond
3.500%, 3/1/28 CAD ∞		27,000,000		20,223
Federal Home Loan Banks
5.500%, 7/15/36		1,000,000		1,128
Federal Home Loan Mortgage Corp.
6.250%, 7/15/32		14,850,000		17,251
Federal National Mortgage Association
6.625%, 11/15/30		13,650,000		15,838
Tennessee Valley Authority
1.500%, 9/15/31		1,500,000		1,212
3.875%, 3/15/28		1,750,000		1,722
5.880%, 4/1/36		3,250,000		3,688
US Treasury Inflation Index Bond
0.125%, 1/15/30		18,567,675		16,652
0.125%, 7/15/30		12,953,850		11,614
0.125%, 1/15/31		14,681,142		13,044
0.125%, 7/15/31		6,620,270		5,869
0.125%, 1/15/32		12,583,185		11,074
0.125%, 2/15/51		9,028,828		6,016
0.125%, 2/15/52		54,479		36
0.125%, 4/15/26		4,510,623		4,229
0.125%, 7/15/26		5,757,479		5,408
0.125%, 10/15/26 b		6,049,410		5,655
0.250%, 2/15/50		6,512,330		4,549
0.375%, 1/15/27		13,058,656		12,252
0.375%, 7/15/27		10,229,505		9,588
0.500%, 1/15/28		9,222,375		8,625
0.625%, 7/15/32		9,551,960		8,777
0.625%, 2/15/43		8,773,079		7,191
0.625%, 1/15/26		14,233,087		13,571
0.750%, 2/15/42		10,463,384		8,884

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

121

Inflation Protection Portfolio

Governments (68.0%)	Shares/ Par +		Value $ (000’s)
Governments continued
0.750%, 2/15/45		17,543,241		14,485
0.750%, 7/15/28		1,812,495		1,717
0.875%, 2/15/47		5,654,295		4,739
0.875%, 1/15/29		10,810,980		10,232
1.000%, 2/15/46		3,776,295		3,273
1.000%, 2/15/48		1,414,489		1,215
1.000%, 2/15/49		2,951,927		2,536
1.125%, 1/15/33		4,225,738		4,048
1.250%, 4/15/28		1,516,815		1,468
1.375%, 2/15/44		9,995,059		9,407
1.750%, 1/15/28		499,494		494
2.000%, 1/15/26		3,744,066		3,694
2.125%, 2/15/41		3,560,938		3,819
2.375%, 1/15/27		864,823		869
2.500%, 1/15/29		3,270,470		3,368
3.625%, 4/15/28		2,812,965		3,019
3.875%, 4/15/29		3,690,080		4,076
Total				286,555
Total Governments (Cost: $324,898)				286,555
Municipal Bonds (0.4%)
Municipal Bonds (0.4%)
Golden State Tobacco Securitization Corp.
2.746%, 6/1/34 RB		740,000		602
Santa Clara Valley Transportation Authority
5.876%, 4/1/32 RB		45,000		47
University of California
1.316%, 5/15/27 RB		1,105,000		980
Total Municipal Bonds (Cost: $1,790)				1,629
Structured Products (23.4%)
Asset Backed Securities (6.0%)
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B
2.482%, 8/15/46 144A		2,350,000		2,014
Ares XXXIX CLO, Ltd., Series 2016-39A, Class BR2
6.862%, (ICE LIBOR USD 3 Month plus 1.600%), 4/18/31 144A		500,000		485
Bean Creek CLO, Ltd., Series 2018-1A, Class AR
6.270%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A		1,500,000		1,478
Blackbird Capital Aircraft, Series 2021-1A, Class A
2.443%, 7/15/46 144A		799,127		688
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A
2.940%, 5/25/29 144A		90,312		88
Cologix Canadian Issuer LP, Series 2022- 1CAN, Class A2
4.940%, 1/25/52 144A CAD ∞		1,950,000		1,332
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2
3.093%, 4/20/34 144A		2,000,000		1,650

Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
FirstKey Homes Trust, Series 2020-SFR2, Class D
1.968%, 10/19/37 144A		1,000,000		895
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR
6.370%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A		1,125,000		1,118
Goodgreen Trust, Series 2020-1A, Class A
2.630%, 4/15/55 144A		609,780		504
Goodgreen Trust, Series 2021-1A, Class A
2.660%, 10/20/56 144A		425,008		348
Greenwood Park CLO, Ltd., Series 2018-1A, Class A1
6.290%, (ICE LIBOR USD 3 Month plus 1.030%), 4/15/31 144A		500,000		495
Hilton Grand Vacations Trust, Series 2017-AA, Class A
2.660%, 12/26/28 144A		271,020		268
Hilton Grand Vacations Trust, Series 2019-AA, Class B
2.540%, 7/25/33 144A		534,845		496
J.G. Wentworth XLI LLC, Series 2018-1A, Class B
4.700%, 10/15/74 144A		374,009		314
KKR Financial CLO, Ltd., Series 2018-22A, Class A
6.400%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A		1,500,000		1,481
KKR Financial CLO, Ltd., Series 2022-1A, Class B
7.648%, (US SOFR 3 Month plus 2.600%), 7/20/31 144A		1,400,000		1,400
Magnetite CLO, Ltd., Series 2021-29A, Class B
6.660%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A		1,650,000		1,610
Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2
6.390%, (ICE LIBOR USD 3 Month plus 1.130%), 1/17/31 144A		1,568,883		1,557
Progress Residential Trust, Series 2021-SFR1, Class D
1.805%, 4/17/38 144A		1,000,000		871
Rockford Tower CLO, Ltd., Series 2020-1A, Class B
7.050%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A		1,350,000		1,308
ServiceMaster Brands, Series 2020-1, Class A2I
2.841%, 1/30/51 144A		1,191,200		987
Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A
7.372%, (US SOFR 1 Month plus 2.296%), 6/19/37 144A		1,272,000		1,255
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B
2.750%, 7/15/38 144A		628,774		590
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B
1.340%, 11/20/37 144A		1,130,284		1,040

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

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Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Wellfleet CLO, Ltd., Series 2022-1A, Class B2
4.775%, 4/15/34 144A		1,250,000		1,148
Total				25,420
Mortgage Securities (17.4%)
Agate Bay Mortgage Trust, Series 2015-7, Class A3
3.500%, (AFC), 10/25/45 144A		156,698		139
Agate Bay Mortgage Trust, Series 2016-1, Class A3
3.500%, (AFC), 12/25/45 144A		94,157		84
Angel Oak Mortgage Trust, Series 2019-6, Class A3
2.927%, (AFC), 11/25/59 144A		204,738		194
Arroyo Mortgage Trust, Series 2021-1R, Class A2
1.483%, (CSTR, AFC), 10/25/48 144A		327,512		263
Arroyo Mortgage Trust, Series 2021-1R, Class A3
1.637%, (CSTR, AFC), 10/25/48 144A		251,932		203
Bellemeade Re, Ltd., Series 2019-3A, Class M1C
7.100%, (ICE LIBOR USD 1 Month plus 1.950%), 7/25/29 144A		1,443,836		1,447
Bellemeade Re, Ltd., Series 2021-2A, Class M1C
6.917%, (US 30 Day Average SOFR plus 1.850%), 6/25/31 144A		2,108,000		2,065
Bellemeade Re, Ltd., Series 2021-3A, Class M1A
6.067%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A		965,358		959
BX Commercial Mortgage Trust, Series 2021- VOLT, Class E
7.193%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/36 144A		1,200,000		1,132
BX Commercial Mortgage Trust, Series 2021- VOLT, Class F
7.593%, (ICE LIBOR USD 1 Month plus 2.400%), 9/15/36 144A		1,400,000		1,305
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1
7.167%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		581,391		584
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10
3.500%, (AFC), 12/25/44 144A		45,491		41
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class B
6.423%, (ICE LIBOR USD 1 Month plus 1.230%), 5/15/36 144A		872,829		867
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class D
6.793%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		2,149,652		2,124
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3
1.538%, (AFC), 2/25/66 144A		282,945		230
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3
2.856%, 5/25/65 144A		1,474,000		1,423

Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Extended Stay America Trust, Series 2021- ESH, Class E
8.044%, (ICE LIBOR USD 1 Month plus 2.850%), 7/15/38 144A		1,657,629		1,607
Federal Home Loan Mortgage Corp.
2.500%, 10/1/51		2,106,049		1,790
3.500%, 8/1/52		2,042,470		1,862
4.500%, 10/1/52		1,907,260		1,834
Federal National Mortgage Association
2.500%, 1/1/52		8,217,472		7,014
4.000%, 9/1/52		10,082,039		9,476
5.500%, 1/1/53		4,121,832		4,102
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
7.750%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24		221,056		223
Government National Mortgage Association
2.500%, 8/20/51		15,034,413		13,036
4.000%, 4/20/53		8,939,952		8,458
5.500%, 12/20/52		1,867,361		1,860
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A
4.128%, 7/5/31 144A		2,020,000		1,835
JP Morgan Mortgage Trust, Series 2014-5, Class A1
2.766%, (AFC), 10/25/29 144A		284,437		267
JP Morgan Mortgage Trust, Series 2016-1, Class A7
3.500%, 5/25/46 144A		578,024		513
JP Morgan Mortgage Trust, Series 2017-1, Class A2
3.450%, (AFC), 1/25/47 144A		283,802		250
Sequoia Mortgage Trust, Series 2017-7, Class A7
3.500%, (AFC), 10/25/47 144A		1,047,282		936
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E
3.000%, (AFC), 4/25/60 144A		2,503,000		2,220
Starwood Mortgage Residential Trust, Series 2021-1, Class A1
1.219%, (AFC), 5/25/65 144A		800,458		682
Verus Securitization Trust, Series 2020-1, Class A3
2.724%, (AFC), 1/25/60 144A Σ		809,647		753
Verus Securitization Trust, Series 2021-1, Class A3
1.155%, (AFC), 1/25/66 144A		695,152		582
Verus Securitization Trust, Series 2021-5, Class A3
1.373%, (AFC), 9/25/66 144A		891,166		692

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

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Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Vista Point Securitization Trust, Series 2020-2, Class A3
2.496%, (AFC), 4/25/65 144A		315,429		279
Total				73,331
Total Structured Products (Cost: $103,752)				98,751
Total Investments (97.9%) (Cost: $457,214)@				412,767
Other Assets, Less Liabilities (2.1%)				8,840
Net Assets (100.0%)				421,607

Exchange Traded or Centrally Cleared Derivatives

Total Return Swaps - Receive Floating Rate

Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation   Margin(000’s)
CPURNSA		1.777%		6/24		11,000		USD	$	–		$	1,334		$	1,334		$	7
CPURNSA		1.715%		6/24		7,400		USD		–			911			911			5
CPURNSA		1.860%		7/24		7,500		USD		–			858			858			4
CPURNSA		1.858%		8/24		12,700		USD		–			1,455			1,455			7
CPURNSA		2.073%		8/27		3,500		USD		–			423			423			3
CPURNSA		2.145%		11/27		5,000		USD		(1	)		557			556			3
CPURNSA		1.800%		10/29		3,700		USD		–			546			546			3
CPURNSA		1.884%		11/29		2,000		USD		–			281			281			1
CPURNSA		2.900%		10/23		9,350		USD		–			36			36			1
CPURNSA		2.695%		8/26		10,000		USD		–			565			565			9
CPURNSA		2.415%		2/28		2,500		USD		–			13			13			–π
CPURNSA		2.565%		4/28		1,500		USD		1			(5	)		(4	)		1
CPURNSA		2.438%		2/30		9,500		USD		1			67			68			2
CPURNSA		2.498%		9/31		7,000		USD		–			467			467			8
CPURNSA		2.619%		3/33		5,500		USD		1			(14	)		(13	)		5
CPURNSA		2.495%		5/33		3,500		USD		1			14			15			4
CPURNSA		2.243%		1/26		6,000		USD		–			622			622			2
CPURNSA		1.078%		6/25		3,000		USD		–			481			481			4
CPURNSA		1.291%		5/30		2,000		USD		–			394			394			4
CPURNSA		1.629%		6/30		2,000		USD		–			357			357			4
									$	3		$	9,362		$	9,365		$	77

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Variation Margin (000’s)

Market Value   (000’s)   Options

Swaps

Futures

Total

Swaps

Futures

Total

Total Exchange-Traded or Centrally Cleared Derivatives

$

77

$

–

$

77

$

–

$

–

$

–

$

–

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

124

Inflation Protection Portfolio

Over the Counter Derivatives

Forward Foreign Currency Contracts

Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services LLC	CAD		28,185		21,300		9/15/23	$	—	$	(182)	$	(182)
									$	—	$	(182)	$	(182)

Total Return Swaps

Reference Entity	Counterparty	Payment made by the Fund	Expiration Date		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Market Value   (000’s)
CPURNSA	Bank of America NA	2.528%		8/24		2,750	$	73		$	73
CPURNSA	Bank of America NA	2.140%		7/25		2,900		289			289
CPURNSA	Bank of America NA	1.790%		8/25		1,500		199			199
CPURNSA	Bank of America NA	2.240%		4/27		3,500		337			337
CPURNSA	Bank of America NA	2.218%		4/27		2,000		197			197
CPURNSA	Bank of America NA	2.235%		4/27		2,000		195			195
CPURNSA	Bank of America NA	2.235%		5/27		5,000		488			488
CPURNSA	Barclays Bank PLC	2.589%		7/24		1,400		27			27
CPURNSA	Barclays Bank PLC	2.385%		9/24		4,000		178			178
CPURNSA	Barclays Bank PLC	2.363%		9/24		3,500		167			167
CPURNSA	Barclays Bank PLC	2.310%		9/24		1,400		75			75
CPURNSA	Barclays Bank PLC	2.895%		12/27		1,700		(216	)		(216)
CPURNSA	Barclays Bank PLC	2.784%		7/44		1,400		(96	)		(96)
CPURNSA	Goldman Sachs International	1.870%		5/26		8,500		1,208			1,208
CPURNSA	Goldman Sachs International	1.920%		5/26		7,000		958			958
CPURNSA	Goldman Sachs International	1.770%		6/26		6,000		909			909
CPURNSA	Goldman Sachs International	2.245%		11/26		3,000		302			302
CPURNSA	Goldman Sachs International	2.280%		11/26		3,000		291			291
CPURNSA	Goldman Sachs International	2.280%		11/26		4,000		387			387
							$	5,968		$	5,968

	Financial Derivative Assets (000’s)									Financial Derivative Liabilities (000’s)
	Forward   Foreign   Currency   Contracts		Swaps		Total		Forward Foreign Currency Contracts			Options		Swaps		Total
Total Over the Counter Derivatives		—	$	6,280	$	6,280	$	(182	)		—	$	(312)	$	(494)

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023 the value of these securities (in thousands) was $51,819 representing 12.3% of the net assets.

∞ Foreign Bond — par value is foreign denominated.

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

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

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $457,217 and the net unrealized depreciation of investments based on that cost was $29,299 which is comprised of $15,917 aggregate gross unrealized appreciation and $45,216 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

π Amount is less than one thousand.

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

125

Inflation Protection Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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:
Municipal Bonds	$	—	$	1,629		$	—
Corporate Bonds		—		25,832			—
Governments		—		286,555			—
Structured Products		—		98,751			—
Other Financial Instruments^
Total Return Swaps		—		15,662			—
Total Assets:	$	—	$	428,429		$	—
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		—		(182	)		—
Total Return Swaps		—		(329	)		—
Total Liabilities:	$	—	$	(511	)	$	—

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

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

126

High Yield Bond Portfolio (unaudited)

Sector Allocation 6/30/23
Sector	% of Net Assets
Consumer, Cyclical	17.8%
Communications	14.7%
Consumer, Non-Cyclical	13.4%
Industrial	13.2%
Energy	13.1%
Financial	9.7%
Technology	8.4%
Short-Term Investments & Other Net Assets	4.1%
Basic Materials	3.2%
Utilities	2.2%
Diversified	0.2%
Communication Services	0.0%
Sector Allocation is subject to change.

127

High Yield Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (0.4%)	Shares/ Par +		Value $ (000’s)
Communication Services (0.0%)
iHeartMedia, Inc. *		22,266		81
Total				81
Energy (0.4%)
Superior Energy Services, Inc. *,Æ		35,182		2,375
Total				2,375
Total Common Stocks (Cost: $1,131)				2,456
Corporate Bonds (95.5%)
Basic Materials (3.2%)
Ashland LLC
3.375%, 9/1/31 144A		825,000		659
Axalta Coating Systems LLC
3.375%, 2/15/29 144A		875,000		745
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding
4.750%, 6/15/27 144A		600,000		566
Cheever Escrow Issuer LLC
7.125%, 10/1/27 144A		875,000		789
Cleveland-Cliffs, Inc.
4.625%, 3/1/29 144A		1,525,000		1,373
4.875%, 3/1/31 144A		425,000		373
6.750%, 4/15/30 144A		375,000		361
Coeur Mining, Inc.
5.125%, 2/15/29 144A		1,750,000		1,444
Diamond BC BV
4.625%, 10/1/29 144A		3,825,000		3,858
Element Solutions, Inc.
3.875%, 9/1/28 144A		1,650,000		1,439
H.B. Fuller Co.
4.250%, 10/15/28		525,000		467
Herens Holdco SARL
4.750%, 5/15/28 144A		3,775,000		2,926
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.
9.000%, 7/1/28 144A		725,000		632
Olympus Water US Holding Corp.
4.250%, 10/1/28 144A		1,500,000		1,186
6.250%, 10/1/29 144A		1,800,000		1,302
9.750%, 11/15/28 144A		1,625,000		1,585
Polar US Borrower LLC
6.750%, 5/15/26 144A		1,725,000		1,018
SPCM SA
3.375%, 3/15/30 144A		425,000		354
WR Grace Holdings LLC
4.875%, 6/15/27 144A		675,000		626
5.625%, 8/15/29 144A		1,200,000		983
7.375%, 3/1/31 144A		325,000		318
Total				23,004

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Communications (14.7%)
Audacy Capital Corp.
6.500%, 5/1/27 144A		2,250,000		34
6.750%, 3/31/29 144A		1,650,000		37
Cars.com, Inc.
6.375%, 11/1/28 144A		2,125,000		1,957
CCO Holdings LLC / CCO Holdings Capital Corp.
4.250%, 2/1/31 144A		325,000		263
4.250%, 1/15/34 144A		1,200,000		907
4.500%, 8/15/30 144A		1,500,000		1,249
4.500%, 5/1/32		1,050,000		838
4.500%, 6/1/33 144A		1,175,000		923
4.750%, 3/1/30 144A		3,400,000		2,907
4.750%, 2/1/32 144A		450,000		367
5.000%, 2/1/28 144A		2,000,000		1,822
5.125%, 5/1/27 144A		2,975,000		2,770
5.375%, 6/1/29 144A		1,350,000		1,221
5.500%, 5/1/26 144A		275,000		268
Ciena Corp.
4.000%, 1/31/30 144A		325,000		283
CSC Holdings LLC
3.375%, 2/15/31 144A		825,000		558
4.125%, 12/1/30 144A		950,000		665
4.500%, 11/15/31 144A		2,750,000		1,917
4.625%, 12/1/30 144A		1,650,000		734
5.250%, 6/1/24		700,000		651
5.500%, 4/15/27 144A		2,275,000		1,893
5.750%, 1/15/30 144A		4,200,000		1,983
6.500%, 2/1/29 144A		1,450,000		1,172
7.500%, 4/1/28 144A		1,925,000		1,097
Cumulus Media New Holdings, Inc.
6.750%, 7/1/26 144A		975,000		670
Diamond Sports Group LLC / Diamond Sports Finance Co.
5.375%, 8/15/26 144A j		675,000		23
6.625%, 8/15/27 144A j		1,900,000		48
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc.
5.875%, 8/15/27 144A		1,500,000		1,358
DISH DBS Corp.
5.125%, 6/1/29		2,950,000		1,370
5.750%, 12/1/28 144A		1,100,000		818
7.375%, 7/1/28		750,000		401
7.750%, 7/1/26		1,350,000		828
DISH Network Corp.
11.750%, 11/15/27 144A		1,600,000		1,561
Go Daddy Operating Co. LLC / GD Finance Co., Inc.
5.250%, 12/1/27 144A		1,625,000		1,544
Gray Escrow II, Inc.
5.375%, 11/15/31 144A		1,175,000		779
Gray Television, Inc.
4.750%, 10/15/30 144A		525,000		356
5.875%, 7/15/26 144A		2,575,000		2,309
7.000%, 5/15/27 144A		1,050,000		896

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

128

High Yield Bond Portfolio

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Communications continued
iHeartCommunications, Inc.
4.750%, 1/15/28 144A		425,000		320
5.250%, 8/15/27 144A		1,075,000		822
6.375%, 5/1/26		375,901		316
8.375%, 5/1/27		4,978,194		3,316
Intelsat Jackson Holdings SA - Series B - Contingent Value Rights *,Æ		2,774		13
Intelsat Jackson Holdings SA Escrow
5.500%, 8/1/23 *,Æ		1,525,000		–
8.500%, 10/15/24 *,Æ		800,000		–
9.750%, 7/15/25 *,Æ		475,000		–
Lamar Media Corp.
3.625%, 1/15/31		425,000		358
4.000%, 2/15/30		100,000		88
4.875%, 1/15/29		675,000		628
Logan Merger Sub, Inc.
5.500%, 9/1/27 144A		2,875,000		1,582
Match Group, Inc.
4.125%, 8/1/30 144A		2,175,000		1,863
4.625%, 6/1/28 144A		1,450,000		1,332
5.000%, 12/15/27 144A		525,000		487
Midas OpCo Holdings LLC
5.625%, 8/15/29 144A		5,975,000		5,113
Millennium Escrow Corp.
6.625%, 8/1/26 144A		1,425,000		1,049
Nexstar Broadcasting, Inc.
4.750%, 11/1/28 144A		1,850,000		1,605
5.625%, 7/15/27 144A		3,225,000		3,006
Outfront Media Capital LLC / Outfront Media Capital Corp.
4.250%, 1/15/29 144A		1,150,000		966
4.625%, 3/15/30 144A		1,100,000		916
Scripps Escrow II, Inc.
3.875%, 1/15/29 144A		350,000		283
5.375%, 1/15/31 144A		750,000		529
Scripps Escrow, Inc.
5.875%, 7/15/27 144A		1,425,000		1,154
Sinclair Television Group, Inc.
4.125%, 12/1/30 144A		150,000		98
5.125%, 2/15/27 144A		2,625,000		2,224
5.500%, 3/1/30 144A		1,175,000		677
Sirius XM Radio, Inc.
3.125%, 9/1/26 144A		1,075,000		962
3.875%, 9/1/31 144A		3,025,000		2,339
4.000%, 7/15/28 144A		725,000		630
4.125%, 7/1/30 144A		1,775,000		1,449
5.500%, 7/1/29 144A		925,000		834
Sprint Corp.
7.625%, 2/15/25		700,000		715
TEGNA, Inc.
4.625%, 3/15/28		600,000		530
5.000%, 9/15/29		2,975,000		2,567
Telenet Finance Luxembourg Notes SARL
5.500%, 3/1/28 144A		4,400,000		4,035
Terrier Media Buyer, Inc.
8.875%, 12/15/27 144A		5,025,000		3,522
T-Mobile USA, Inc.
2.250%, 2/15/26		1,500,000		1,378
Univision Communications, Inc.
4.500%, 5/1/29 144A		1,400,000		1,203

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Communications continued
7.375%, 6/30/30 144A		1,025,000		976
UPC Broadband Finco BV
4.875%, 7/15/31 144A		3,450,000		2,840
Urban One, Inc.
7.375%, 2/1/28 144A		2,175,000		1,895
Viavi Solutions, Inc.
3.750%, 10/1/29 144A		350,000		297
Virgin Media Finance PLC
5.000%, 7/15/30 144A		2,700,000		2,149
Virgin Media Secured Finance PLC
5.500%, 5/15/29 144A		475,000		430
Virgin Media Vendor Financing Notes IV
5.000%, 7/15/28 144A		2,050,000		1,793
VMED O2 UK Financing I PLC
4.250%, 1/31/31 144A		600,000		485
4.750%, 7/15/31 144A		1,475,000		1,226
VZ Secured Financing BV
5.000%, 1/15/32 144A		1,225,000		987
Ziggo Bond Co. BV
5.125%, 2/28/30 144A		575,000		435
6.000%, 1/15/27 144A		3,050,000		2,799
Ziggo BV
4.875%, 1/15/30 144A		200,000		166
Total				104,864
Consumer, Cyclical (17.8%)
1011778 BC ULC / New Red Finance, Inc.
3.500%, 2/15/29 144A		525,000		460
3.875%, 1/15/28 144A		1,125,000		1,028
4.000%, 10/15/30 144A		5,775,000		4,942
4.375%, 1/15/28 144A		1,175,000		1,085
Academy, Ltd.
6.000%, 11/15/27 144A		1,500,000		1,440
Adient Global Holdings, Ltd.
4.875%, 8/15/26 144A		3,300,000		3,135
7.000%, 4/15/28 144A		350,000		354
8.250%, 4/15/31 144A		350,000		355
Affinity Gaming
6.875%, 12/15/27 144A		2,450,000		2,156
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.
5.500%, 4/20/26 144A		950,000		941
5.750%, 4/20/29 144A		200,000		194
American Builders & Contractors Supply Co., Inc.
3.875%, 11/15/29 144A		275,000		235
4.000%, 1/15/28 144A		2,050,000		1,868
Aramark Services, Inc.
5.000%, 2/1/28 144A		225,000		212
6.375%, 5/1/25 144A		2,525,000		2,523
Asbury Automotive Group, Inc.
4.625%, 11/15/29 144A		1,850,000		1,642
5.000%, 2/15/32 144A		450,000		392
BCPE Empire Holdings, Inc.
7.625%, 5/1/27 144A		4,850,000		4,511
Boyd Gaming Corp.
4.750%, 12/1/27		1,650,000		1,563
4.750%, 6/15/31 144A		575,000		514
Caesars Entertainment, Inc.
4.625%, 10/15/29 144A		825,000		720

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

129

High Yield Bond Portfolio

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
5.750%, 7/1/25 144A		1,750,000		1,771
6.250%, 7/1/25 144A		2,175,000		2,165
7.000%, 2/15/30 144A		275,000		276
8.125%, 7/1/27 144A		2,325,000		2,380
CCM Merger, Inc.
6.375%, 5/1/26 144A		425,000		412
Churchill Downs, Inc.
6.750%, 5/1/31 144A		1,350,000		1,335
Clarios Global LP
6.750%, 5/15/25 144A		135,000		135
6.750%, 5/15/28 144A		625,000		623
Clarios Global LP / Clarios US Finance Co.
6.250%, 5/15/26 144A		270,000		268
8.500%, 5/15/27 144A		7,550,000		7,562
Dana Financing Luxembourg SARL
5.750%, 4/15/25 144A		325,000		320
Dana, Inc.
4.500%, 2/15/32		675,000		560
5.375%, 11/15/27		150,000		142
5.625%, 6/15/28		175,000		165
Dornoch Debt Merger Sub, Inc.
6.625%, 10/15/29 144A		3,625,000		2,957
Ford Motor Credit Co. LLC
2.700%, 8/10/26		725,000		647
3.375%, 11/13/25		3,250,000		3,022
4.000%, 11/13/30		1,975,000		1,688
4.063%, 11/1/24		1,700,000		1,645
4.125%, 8/17/27		1,350,000		1,233
4.271%, 1/9/27		1,675,000		1,551
4.389%, 1/8/26		2,725,000		2,579
5.113%, 5/3/29		2,950,000		2,736
5.125%, 6/16/25		2,250,000		2,188
6.800%, 5/12/28		700,000		701
Foundation Building Materials, Inc.
6.000%, 3/1/29 144A		3,375,000		2,818
The Gap, Inc.
3.625%, 10/1/29 144A		1,475,000		1,042
3.875%, 10/1/31 144A		475,000		325
GYP Holdings III Corp.
4.625%, 5/1/29 144A		2,475,000		2,178
H&E Equipment Services, Inc.
3.875%, 12/15/28 144A		2,775,000		2,403
Hilton Domestic Operating Co., Inc.
3.625%, 2/15/32 144A		700,000		584
3.750%, 5/1/29 144A		1,150,000		1,021
4.875%, 1/15/30		500,000		466
5.750%, 5/1/28 144A		800,000		788
IHO Verwaltungs GmbH
4.750%, 9/15/26 144A		2,375,000		2,191
6.000%, 5/15/27 144A		1,650,000		1,552
6.375%, 5/15/29 144A		1,825,000		1,691
Interface, Inc.
5.500%, 12/1/28 144A		1,000,000		811
KAR Auction Services, Inc.
5.125%, 6/1/25 144A		284,000		278
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC
4.750%, 6/1/27 144A		550,000		531
Kontoor Brands, Inc.
4.125%, 11/15/29 144A		575,000		480

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
Midwest Gaming Borrower LLC
4.875%, 5/1/29 144A		1,275,000		1,126
Mohegan Gaming & Entertainment
8.000%, 2/1/26 144A		3,800,000		3,629
Penn National Gaming, Inc.
4.125%, 7/1/29 144A		1,500,000		1,231
5.625%, 1/15/27 144A		250,000		234
Raptor Acquisition Corp. / Raptor Co-Issuer LLC
4.875%, 11/1/26 144A		575,000		542
Real Hero Merger Sub 2, Inc.
6.250%, 2/1/29 144A		3,375,000		2,768
Ritchie Bros Auctioneers, Inc.
6.750%, 3/15/28 144A		400,000		403
7.750%, 3/15/31 144A		400,000		415
Scientific Games Holdings LP / Scientific Games US FinCo, Inc.
6.625%, 3/1/30 144A		1,875,000		1,650
Scientific Games International, Inc.
7.250%, 11/15/29 144A		1,250,000		1,252
8.625%, 7/1/25 144A		1,925,000		1,966
SeaWorld Parks & Entertainment, Inc.
5.250%, 8/15/29 144A		2,675,000		2,394
Six Flags Entertainment Corp.
5.500%, 4/15/27 144A		475,000		447
7.250%, 5/15/31 144A		1,250,000		1,217
SRS Distribution, Inc.
6.000%, 12/1/29 144A		2,675,000		2,309
6.125%, 7/1/29 144A		3,350,000		2,893
Station Casinos LLC
4.500%, 2/15/28 144A		2,000,000		1,795
4.625%, 12/1/31 144A		1,300,000		1,095
Suburban Propane Partners LP / Suburban Energy Finance Corp.
5.000%, 6/1/31 144A		2,525,000		2,114
5.875%, 3/1/27		900,000		870
White Cap Buyer LLC
6.875%, 10/15/28 144A		1,825,000		1,654
White Cap Parent LLC
8.250%, 3/15/26 144A		1,650,000		1,581
The William Carter Co.
5.625%, 3/15/27 144A		400,000		388
WMG Acquisition Corp.
3.750%, 12/1/29 144A		800,000		692
3.875%, 7/15/30 144A		325,000		280
Yum! Brands, Inc.
4.625%, 1/31/32		1,625,000		1,468
4.750%, 1/15/30 144A		725,000		679
5.375%, 4/1/32		625,000		594
ZF North America Capital, Inc.
6.875%, 4/14/28 144A		500,000		506
7.125%, 4/14/30 144A		550,000		559
Total				127,241
Consumer, Non-cyclical (13.4%)
AdaptHealth LLC
4.625%, 8/1/29 144A		1,175,000		938
5.125%, 3/1/30 144A		1,825,000		1,478
AHP Health Partners, Inc.
5.750%, 7/15/29 144A		1,025,000		884

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

130

High Yield Bond Portfolio

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC
3.250%, 3/15/26 144A		350,000		323
3.500%, 3/15/29 144A		2,050,000		1,775
5.875%, 2/15/28 144A		700,000		680
6.500%, 2/15/28 144A		1,200,000		1,202
7.500%, 3/15/26 144A		625,000		636
Allied Universal Holdco LLC
6.000%, 6/1/29 144A		2,225,000		1,642
6.625%, 7/15/26 144A		1,425,000		1,352
9.750%, 7/15/27 144A		5,050,000		4,464
Avantor Funding, Inc.
3.875%, 11/1/29 144A		1,825,000		1,598
4.625%, 7/15/28 144A		2,350,000		2,178
Bausch Health Cos., Inc.
4.875%, 6/1/28 144A		350,000		208
5.000%, 1/30/28 144A		1,200,000		510
5.000%, 2/15/29 144A		625,000		258
5.250%, 1/30/30 144A		1,900,000		788
5.250%, 2/15/31 144A		625,000		261
5.750%, 8/15/27 144A		775,000		475
6.125%, 2/1/27 144A		300,000		192
6.250%, 2/15/29 144A		1,775,000		754
7.250%, 5/30/29 144A		2,200,000		935
8.500%, 1/31/27 144A		1,450,000		794
Bellring Brands, Inc.
7.000%, 3/15/30 144A		1,850,000		1,862
Centene Corp.
3.375%, 2/15/30		625,000		537
4.250%, 12/15/27		1,900,000		1,776
4.625%, 12/15/29		2,425,000		2,232
CHS / Community Health Systems, Inc.
5.250%, 5/15/30 144A		1,000,000		788
5.625%, 3/15/27 144A		750,000		661
6.000%, 1/15/29 144A		225,000		189
6.125%, 4/1/30 144A		1,275,000		760
6.875%, 4/15/29 144A		2,825,000		1,764
8.000%, 3/15/26 144A		1,125,000		1,096
Edgewell Personal Care Co.
4.125%, 4/1/29 144A		1,000,000		872
5.500%, 6/1/28 144A		875,000		827
Embecta Corp.
5.000%, 2/15/30 144A		525,000		436
6.750%, 2/15/30 144A		1,850,000		1,658
Garda World Security Corp.
4.625%, 2/15/27 144A		875,000		801
6.000%, 6/1/29 144A		2,375,000		1,946
7.750%, 2/15/28 144A		600,000		596
Garden Spinco Corp.
8.625%, 7/20/30 144A		675,000		725
Gartner, Inc.
4.500%, 7/1/28 144A		250,000		234
Global Medical Response, Inc.
6.500%, 10/1/25 144A		1,700,000		935
Grifols Escrow Issuer SA
4.750%, 10/15/28 144A		3,575,000		3,103
GW B-CR Security Corp.
9.500%, 11/1/27 144A		4,969,000		4,801
HCA, Inc.
5.375%, 2/1/25		1,250,000		1,239

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
5.875%, 2/15/26		1,050,000		1,051
HealthEquity, Inc.
4.500%, 10/1/29 144A		2,175,000		1,917
IQVIA, Inc.
5.000%, 10/15/26 144A		1,375,000		1,328
5.000%, 5/15/27 144A		750,000		721
6.500%, 5/15/30 144A		200,000		202
Jazz Securities DAC
4.375%, 1/15/29 144A		1,825,000		1,628
LifePoint Health, Inc.
4.375%, 2/15/27 144A		625,000		484
5.375%, 1/15/29 144A		150,000		89
6.750%, 4/15/25 144A		825,000		766
MEDNAX, Inc.
5.375%, 2/15/30 144A		750,000		690
Mozart Debt Merger Sub, Inc.
3.875%, 4/1/29 144A		1,625,000		1,412
5.250%, 10/1/29 144A		7,000,000		6,074
MPH Acquisition Holdings LLC
5.500%, 9/1/28 144A		725,000		618
5.750%, 11/1/28 144A		950,000		715
Organon Finance 1 LLC
4.125%, 4/30/28 144A		425,000		377
5.125%, 4/30/31 144A		1,800,000		1,485
Performance Food Group, Inc.
4.250%, 8/1/29 144A		1,425,000		1,269
5.500%, 10/15/27 144A		725,000		699
Post Holdings, Inc.
5.500%, 12/15/29 144A		900,000		830
5.625%, 1/15/28 144A		975,000		937
5.750%, 3/1/27 144A		1,405,000		1,371
Prestige Brands, Inc.
3.750%, 4/1/31 144A		650,000		538
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc.
9.750%, 12/1/26 144A		1,025,000		860
Signal Parent, Inc.
6.125%, 4/1/29 144A		1,000,000		557
Syneos Health, Inc.
3.625%, 1/15/29 144A		850,000		831
Teleflex, Inc.
4.250%, 6/1/28 144A		250,000		228
4.625%, 11/15/27		450,000		424
Tenet Healthcare Corp.
4.250%, 6/1/29		225,000		203
4.625%, 6/15/28		125,000		117
4.875%, 1/1/26		1,525,000		1,485
5.125%, 11/1/27		1,800,000		1,718
6.125%, 10/1/28		2,450,000		2,359
6.125%, 6/15/30		775,000		764
6.250%, 2/1/27		1,125,000		1,113
6.750%, 5/15/31 144A		775,000		777
United Rentals North America, Inc.
4.875%, 1/15/28		1,225,000		1,166
5.250%, 1/15/30		425,000		406
5.500%, 5/15/27		400,000		394
US Foods, Inc.
4.625%, 6/1/30 144A		700,000		627
4.750%, 2/15/29 144A		1,500,000		1,373
6.250%, 4/15/25 144A		225,000		225

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

131

High Yield Bond Portfolio

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
ZipRecruiter, Inc.
5.000%, 1/15/30 144A		975,000		830
Total				95,821
Diversified (0.2%)
Stena International SA
6.125%, 2/1/25 144A		1,325,000		1,291
Total				1,291
Energy (12.7%)
Antero Midstream Partners LP / Antero Midstream Finance Corp.
5.375%, 6/15/29 144A		2,200,000		2,044
5.750%, 3/1/27 144A		2,375,000		2,291
5.750%, 1/15/28 144A		2,600,000		2,479
7.875%, 5/15/26 144A		1,000,000		1,014
Antero Resources Corp.
5.375%, 3/1/30 144A		925,000		856
7.625%, 2/1/29 144A		244,000		248
Archrock Partners LP
6.250%, 4/1/28 144A		1,975,000		1,854
6.875%, 4/1/27 144A		3,275,000		3,144
Ascent Resources Utica Holdings LLC / ARU Finance Corp.
5.875%, 6/30/29 144A		600,000		535
7.000%, 11/1/26 144A		1,375,000		1,331
8.250%, 12/31/28 144A		575,000		565
9.000%, 11/1/27 144A		400,000		497
Berry Petroleum Co. LLC
7.000%, 2/15/26 144A		875,000		809
Callon Petroleum Co.
6.375%, 7/1/26		900,000		876
7.500%, 6/15/30 144A		450,000		425
8.250%, 7/15/25		425,000		422
Centennial Resource Production LLC
5.375%, 1/15/26 144A		825,000		784
6.875%, 4/1/27 144A		1,725,000		1,699
Cheniere Energy Partners LP
3.250%, 1/31/32		550,000		452
4.000%, 3/1/31		1,500,000		1,321
4.500%, 10/1/29		1,150,000		1,055
Cheniere Energy, Inc.
4.625%, 10/15/28		975,000		910
Chesapeake Energy Corp.
5.875%, 2/1/29 144A		225,000		214
Chesapeake Energy Corp. Escrow
7.000%, 10/1/24 *		1,000,000		20
Civitas Resources, Inc.
8.375%, 7/1/28 144A		600,000		607
8.750%, 7/1/31 144A		300,000		304
CNX Midstream Partners LP
4.750%, 4/15/30 144A		1,525,000		1,294
Comstock Resources, Inc.
5.875%, 1/15/30 144A		475,000		412
6.750%, 3/1/29 144A		2,400,000		2,196
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.
7.375%, 2/1/31 144A		750,000		739
8.000%, 4/1/29 144A		1,825,000		1,848

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Energy continued
CrownRock LP / CrownRock Finance, Inc.
5.000%, 5/1/29 144A		325,000		304
5.625%, 10/15/25 144A		3,025,000		2,980
DT Midstream, Inc.
4.375%, 6/15/31 144A		1,450,000		1,249
Endeavor Energy Resources LP / EER Finance, Inc.
5.750%, 1/30/28 144A		850,000		831
Enviva Partners LP / Enviva Partners Finance Corp.
6.500%, 1/15/26 144A		4,200,000		3,308
EQM Midstream Partners LP
4.500%, 1/15/29 144A		1,050,000		937
4.750%, 1/15/31 144A		1,325,000		1,161
5.500%, 7/15/28		1,925,000		1,822
6.000%, 7/1/25 144A		331,000		327
6.500%, 7/1/27 144A		1,825,000		1,800
6.500%, 7/15/48		1,025,000		927
7.500%, 6/1/27 144A		975,000		984
Hess Midstream Operations LP
4.250%, 2/15/30 144A		625,000		545
5.500%, 10/15/30 144A		475,000		439
Hess Midstream Partners LP
5.125%, 6/15/28 144A		1,300,000		1,217
Holly Energy Partners LP / Holly Energy Finance Corp.
5.000%, 2/1/28 144A		1,725,000		1,591
6.375%, 4/15/27 144A		425,000		420
Nabors Industries, Ltd.
7.250%, 1/15/26 144A		1,200,000		1,120
7.375%, 5/15/27 144A		225,000		214
7.500%, 1/15/28 144A		800,000		700
NuStar Logistics LP
5.625%, 4/28/27		1,050,000		1,009
Oasis Petroleum, Inc.
6.375%, 6/1/26 144A		525,000		521
Occidental Petroleum Corp.
5.875%, 9/1/25		1,225,000		1,217
6.375%, 9/1/28		125,000		127
6.450%, 9/15/36		350,000		359
6.625%, 9/1/30		450,000		468
8.875%, 7/15/30		1,100,000		1,264
PDC Energy, Inc.
5.750%, 5/15/26		1,525,000		1,519
6.125%, 9/15/24		213,000		213
Precision Drilling Corp.
6.875%, 1/15/29 144A		375,000		339
7.125%, 1/15/26 144A		1,650,000		1,629
Range Resources Corp.
4.750%, 2/15/30 144A		475,000		426
4.875%, 5/15/25		350,000		343
8.250%, 1/15/29		875,000		911
Rockcliff Energy II LLC
5.500%, 10/15/29 144A		1,025,000		946
SM Energy Co.
5.625%, 6/1/25		1,000,000		977
6.500%, 7/15/28		200,000		192
6.625%, 1/15/27		250,000		243
6.750%, 9/15/26		1,100,000		1,072

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

132

High Yield Bond Portfolio

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Energy continued
Southwestern Energy Co.
4.750%, 2/1/32		725,000		639
5.375%, 3/15/30		300,000		280
8.375%, 9/15/28		1,100,000		1,145
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
5.750%, 4/15/25		1,350,000		1,226
Tap Rock Resources LLC
7.000%, 10/1/26 144A		1,375,000		1,416
Targa Resources Partners LP / Targa Resources Partners Finance Corp.
5.000%, 1/15/28		1,675,000		1,599
5.500%, 3/1/30		2,250,000		2,165
6.500%, 7/15/27		300,000		298
TerraForm Power Operating LLC
4.750%, 1/15/30 144A		1,725,000		1,522
5.000%, 1/31/28 144A		1,775,000		1,634
TransMontaigne Partners LP / TLP Finance Corp.
6.125%, 2/15/26		1,175,000		1,016
Ultra Resources, Inc.
Contingent Value Rights *,Æ		1,380		–
USA Compression Finance Corp.
6.875%, 4/1/26		3,550,000		3,478
USA Compression Partners LP / USA Compression Finance Corp.
6.875%, 9/1/27		1,475,000		1,409
Western Midstream Operating LP
4.300%, 2/1/30		325,000		292
4.500%, 3/1/28		1,100,000		1,037
4.650%, 7/1/26		175,000		168
5.300%, 3/1/48		2,300,000		1,920
Total				91,140
Financial (9.7%)
Ally Financial, Inc.
5.750%, 11/20/25		500,000		482
AmWINS Group, Inc.
4.875%, 6/30/29 144A		2,575,000		2,325
Ardonagh Midco 2 PLC
11.500%, 1/15/27 144A Þ		3,483,937		3,205
AssuredPartners, Inc.
5.625%, 1/15/29 144A		1,500,000		1,298
7.000%, 8/15/25 144A		3,375,000		3,333
BroadStreet Partners, Inc.
5.875%, 4/15/29 144A		6,075,000		5,270
GTCR AP Finance, Inc.
8.000%, 5/15/27 144A		1,925,000		1,887
HUB International, Ltd.
5.625%, 12/1/29 144A		3,075,000		2,759
7.000%, 5/1/26 144A		9,650,000		9,624
7.250%, 6/15/30 144A		1,100,000		1,136
Iron Mountain, Inc.
7.000%, 2/15/29 144A		1,725,000		1,728
Jones Deslauriers Insurance Management, Inc.
8.500%, 3/15/30 144A		1,800,000		1,836
10.500%, 12/15/30 144A		1,750,000		1,755
Navient Corp.
5.000%, 3/15/27		675,000		604

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Financial continued
5.500%, 3/15/29		1,650,000		1,407
6.750%, 6/25/25		1,300,000		1,278
6.750%, 6/15/26		1,250,000		1,205
NFP Corp.
6.875%, 8/15/28 144A		7,125,000		6,185
7.500%, 10/1/30 144A		1,300,000		1,259
RHP Hotel Properties LP / RHP Finance Corp.
7.250%, 7/15/28 144A		400,000		404
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc.
2.875%, 10/15/26 144A		1,800,000		1,593
3.625%, 3/1/29 144A		1,475,000		1,240
3.875%, 3/1/31 144A		1,525,000		1,237
4.000%, 10/15/33 144A		1,200,000		939
Ryan Specialty Group LLC
4.375%, 2/1/30 144A		800,000		708
United Shore Financial Services LLC
5.500%, 11/15/25 144A		3,450,000		3,283
United Wholesale Mortgage LLC
5.500%, 4/15/29 144A		1,725,000		1,479
5.750%, 6/15/27 144A		1,250,000		1,141
USIS Merger Sub, Inc.
6.875%, 5/1/25 144A		5,250,000		5,211
VICI Properties LP / VICI Note Co., Inc.
3.500%, 2/15/25 144A		125,000		119
3.875%, 2/15/29 144A		200,000		176
4.250%, 12/1/26 144A		1,125,000		1,052
4.500%, 9/1/26 144A		450,000		425
4.625%, 6/15/25 144A		400,000		386
4.625%, 12/1/29 144A		600,000		545
5.625%, 5/1/24 144A		475,000		472
5.750%, 2/1/27 144A		225,000		220
Total				69,206
Industrial (13.2%)
ARD Finance SA
6.500%, 6/30/27 144A		3,357,214		2,720
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
4.000%, 9/1/29 144A		2,250,000		1,782
5.250%, 8/15/27 144A		6,825,000		5,781
Ball Corp.
2.875%, 8/15/30		1,575,000		1,308
3.125%, 9/15/31		300,000		247
6.000%, 6/15/29		750,000		744
6.875%, 3/15/28		675,000		688
Berry Global Escrow Corp.
4.875%, 7/15/26 144A		1,125,000		1,081
5.625%, 7/15/27 144A		1,150,000		1,126
Camelot Return Merger Sub, Inc.
8.750%, 8/1/28 144A		1,575,000		1,488
Clearwater Paper Corp.
4.750%, 8/15/28 144A		150,000		132
5.375%, 2/1/25 144A		2,250,000		2,194
Clydesdale Acquisition Holdings, Inc.
8.750%, 4/15/30 144A		7,050,000		6,223
Cornerstone Building Brands, Inc.
6.125%, 1/15/29 144A		900,000		711
CP Atlas Buyer, Inc.
7.000%, 12/1/28 144A		3,500,000		2,748

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

133

High Yield Bond Portfolio

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Industrial continued
Crown Americas LLC
5.250%, 4/1/30		400,000		380
Crown Americas LLC / Crown Americas Capital Corp. VI
4.750%, 2/1/26		1,175,000		1,139
Emerald Debt Merger Sub LLC
6.625%, 12/15/30 144A		2,925,000		2,899
Energizer Holdings, Inc.
4.375%, 3/31/29 144A		2,400,000		2,068
4.750%, 6/15/28 144A		1,150,000		1,025
6.500%, 12/31/27 144A		1,650,000		1,586
Gates Global LLC / Gates Global Co.
6.250%, 1/15/26 144A		5,050,000		4,969
Graphic Packaging International LLC
3.500%, 3/15/28 144A		425,000		380
3.500%, 3/1/29 144A		450,000		394
3.750%, 2/1/30 144A		175,000		151
4.750%, 7/15/27 144A		500,000		475
II-VI, Inc.
5.000%, 12/15/29 144A		2,425,000		2,189
Madison IAQ LLC
4.125%, 6/30/28 144A		250,000		220
5.875%, 6/30/29 144A		4,800,000		3,888
Mauser Packaging Solutions Holding Co.
7.875%, 8/15/26 144A		1,800,000		1,788
9.250%, 4/15/27 144A		1,550,000		1,431
MIWD Holdco II LLC / MIWD Finance Corp.
5.500%, 2/1/30 144A		375,000		309
OI European Group BV
4.750%, 2/15/30 144A		450,000		406
Owens-Brockway Glass Container, Inc.
6.375%, 8/15/25 144A		1,125,000		1,127
6.625%, 5/13/27 144A		1,425,000		1,411
7.250%, 5/15/31 144A		1,475,000		1,493
Redwood Star Merger Sub, Inc.
8.750%, 4/1/30 144A		2,450,000		2,205
Sealed Air Corp.
5.000%, 4/15/29 144A		550,000		512
6.125%, 2/1/28 144A		550,000		546
Sensata Technologies BV
5.875%, 9/1/30 144A		1,175,000		1,142
Sensata Technologies, Inc.
3.750%, 2/15/31 144A		225,000		193
Standard Industries, Inc.
3.375%, 1/15/31 144A		725,000		584
4.375%, 7/15/30 144A		1,200,000		1,039
4.750%, 1/15/28 144A		1,325,000		1,234
5.000%, 2/15/27 144A		3,375,000		3,217
TK Elevator Holdco GmbH
7.625%, 7/15/28 144A		1,000,000		907
TK Elevator US Newco, Inc.
5.250%, 7/15/27 144A		1,800,000		1,663
TransDigm UK Holdings PLC
6.875%, 5/15/26		1,775,000		1,759
TransDigm, Inc.
4.625%, 1/15/29		1,950,000		1,735
4.875%, 5/1/29		550,000		491
5.500%, 11/15/27		1,250,000		1,179
6.250%, 3/15/26 144A		3,025,000		3,010
6.375%, 6/15/26		1,850,000		1,826

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Industrial continued
6.750%, 8/15/28 144A		1,000,000		1,004
7.500%, 3/15/27		675,000		676
Trivium Packaging Finance BV
5.500%, 8/15/26 144A		525,000		504
8.500%, 8/15/27 144A		4,775,000		4,597
TTM Technologies, Inc.
4.000%, 3/1/29 144A		1,675,000		1,424
Watco Cos. LLC / Watco Finance Corp.
6.500%, 6/15/27 144A		2,150,000		2,043
WESCO Distribution, Inc.
7.125%, 6/15/25 144A		975,000		985
7.250%, 6/15/28 144A		1,075,000		1,097
Total				94,273
Technology (8.4%)
AMG AG
7.000%, 7/31/25 144A		1,050,000		927
Black Knight InfoServ LLC
3.625%, 9/1/28 144A		1,225,000		1,096
Booz Allen Hamilton, Inc.
3.875%, 9/1/28 144A		400,000		362
Boxer Parent Co., Inc.
9.125%, 3/1/26 144A		2,100,000		2,089
Capstone Borrower, Inc.
8.000%, 6/15/30 144A		1,825,000		1,802
Central Parent, Inc. / Central Merger Sub, Inc.
7.250%, 6/15/29 144A		2,175,000		2,151
Clarivate Science Holdings Corp.
3.875%, 7/1/28 144A		350,000		310
4.875%, 7/1/29 144A		2,075,000		1,841
Cloud Software Group, Inc.
9.000%, 9/30/29 144A		1,875,000		1,638
Condor Merger Sub, Inc.
7.375%, 2/15/30 144A		6,325,000		5,500
Consensus Cloud Solutions, Inc.
6.000%, 10/15/26 144A		1,250,000		1,134
6.500%, 10/15/28 144A		2,225,000		1,902
The Dun & Bradstreet Corp.
5.000%, 12/15/29 144A		1,175,000		1,036
Elastic NV
4.125%, 7/15/29 144A		2,500,000		2,157
Entegris Escrow Corp.
5.950%, 6/15/30 144A		1,750,000		1,678
Entegris, Inc.
3.625%, 5/1/29 144A		725,000		625
Fair Isaac Corp.
4.000%, 6/15/28 144A		625,000		573
Helios Software Holdings, Inc.
4.625%, 5/1/28 144A		1,800,000		1,530
Minerva Merger Sub, Inc.
6.500%, 2/15/30 144A		6,025,000		5,071
NCR Corp.
5.000%, 10/1/28 144A		1,375,000		1,227
5.125%, 4/15/29 144A		1,475,000		1,306
5.250%, 10/1/30 144A		1,425,000		1,239
5.750%, 9/1/27 144A		1,025,000		1,025
6.125%, 9/1/29 144A		650,000		651
Open Text Corp.
3.875%, 2/15/28 144A		800,000		705
3.875%, 12/1/29 144A		125,000		104

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

134

High Yield Bond Portfolio

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Technology continued
4.125%, 2/15/30 144A		1,250,000		1,059
4.125%, 12/1/31 144A		300,000		246
6.900%, 12/1/27 144A		450,000		458
Picard Midco, Inc.
6.500%, 3/31/29 144A		3,125,000		2,782
Rackspace Technology Global, Inc.
3.500%, 2/15/28 144A		1,825,000		821
5.375%, 12/1/28 144A		2,450,000		761
Roblox Corp.
3.875%, 5/1/30 144A		1,650,000		1,391
Rocket Software, Inc.
6.500%, 2/15/29 144A		3,675,000		3,095
Science Applications International Corp.
4.875%, 4/1/28 144A		500,000		465
Seagate HDD Cayman
8.250%, 12/15/29 144A		75,000		78
8.500%, 7/15/31 144A		700,000		734
9.625%, 12/1/32 144A		2,477,125		2,733
SS&C Technologies, Inc.
5.500%, 9/30/27 144A		3,600,000		3,446
Synaptics, Inc.
4.000%, 6/15/29 144A		725,000		608
Veritas US, Inc. / Veritas Bermuda, Ltd.
7.500%, 9/1/25 144A		2,150,000		1,745
Total				60,101
Utilities (2.2%)
AmeriGas Partners LP / AmeriGas Finance Corp.
5.500%, 5/20/25		300,000		290
5.750%, 5/20/27		550,000		506

Corporate Bonds (95.5%)	Shares/ Par +		Value $ (000’s)
Utilities continued
5.875%, 8/20/26		2,525,000		2,375
Calpine Corp.
3.750%, 3/1/31 144A		1,250,000		1,013
4.500%, 2/15/28 144A		1,575,000		1,426
4.625%, 2/1/29 144A		350,000		295
5.000%, 2/1/31 144A		200,000		165
5.125%, 3/15/28 144A		1,075,000		959
5.250%, 6/1/26 144A		299,000		289
NRG Energy, Inc.
3.875%, 2/15/32 144A		2,300,000		1,772
5.250%, 6/15/29 144A		775,000		693
5.750%, 1/15/28		400,000		379
6.625%, 1/15/27		625,000		620
Solaris Midstream Holdings LLC
7.625%, 4/1/26 144A		775,000		750
TransAlta Corp.
7.750%, 11/15/29		350,000		360
Vistra Operations Co. LLC
5.000%, 7/31/27 144A		1,100,000		1,030
5.500%, 9/1/26 144A		1,400,000		1,347
5.625%, 2/15/27 144A		1,925,000		1,845
Total				16,114
Total Corporate Bonds (Cost: $770,881)				683,055
Total Investments (95.9%) (Cost: $772,012)@				685,511
Other Assets, Less Liabilities (4.1%)				29,413
Net Assets (100.0%)				714,924

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

* Non income producing

Æ Security valued using significant unobservable inputs.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023 the value of these securities (in thousands) was $571,720 representing 80.0% of the net assets.

f Defaulted Security

Þ PIK - Payment In Kind. PIK rate of Ardonagh Midco 2 PLC 12.75%.

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $772,012 and the net unrealized depreciation of investments based on that cost was $86,501 which is comprised of $3,953 aggregate gross unrealized appreciation and $90,454 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

135

High Yield Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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
Energy		$	—	$	—	$	2,375
All Others			81		—		—
Corporate Bonds
Communications			—		104,851		13
Energy			—		91,140		—
All Others			—		487,051		—
Total Assets:		$	81	$	683,042	$	2,388

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2023.

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

136

Multi-Sector Bond Portfolio (unaudited)

Sector Allocation 6/30/23
Sector	% of Net Assets
Corporate Bonds	42.3%
Short-Term Investments & Other Net Assets	22.8%
Governments	16.4%
Structured Products	14.5%
Bank Loan Obligations	3.2%
Municipal Bonds	0.6%
Convertible Corporate Bonds	0.1%
Financials	0.1%
Telecommunications	0.0%
Real Estate	0.0%
Energy	0.0%
Sector Allocation is subject to change.

137

Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Common Stocks (0.1%)	Shares/ Par +		Value $ (000’s)
Energy (0.0%)
Constellation Oil - Class B *,Æ,ð		112,235		12
Total				12
Financials (0.1%)
DrillCo Holding Lux SA - Class B *,Æ,ð		2,686		52
DrillCo Holding Lux SA - Class C *,Æ,ð		24,180		464
Total				516
Real Estate (0.0%)
ADLER Group SA *,Æ		19,539		10
ADLER Group SA *		43,265		26
Total				36
Telecommunications (0.0%)
Intelsat Emergence SA *,Æ		9,427		217
Total				217
Total Common Stocks (Cost: $1,400)				781
Corporate Bonds (42.3%)
Basic Materials (0.8%)
ALROSA Finance SA
3.100%, 6/25/27 144A j		8,500,000		425
4.650%, 4/9/24 144A j		500,000		25
Georgia-Pacific LLC
8.875%, 5/15/31		200,000		246
INEOS Styrolution Group GmbH
2.250%, 1/16/27 EUR §,∞		3,400,000		3,168
MMK International Capital DAC
4.375%, 6/13/24 144A j		1,400,000		70
Sasol Financing USA LLC
5.875%, 3/27/24		500,000		493
Syngenta Finance NV
4.892%, 4/24/25 144A		4,709,000		4,609
Total				9,036
Communications (5.9%)
Altice Financing SA
3.000%, 1/15/28 EUR §,∞		200,000		168
5.750%, 8/15/29 144A		5,400,000		4,183
Altice France Holding SA
6.000%, 2/15/28 144A		1,700,000		829
8.000%, 5/15/27 EUR §,∞		1,000,000		632
Altice France SA
4.000%, 7/15/29 EUR §,∞		3,250,000		2,536
4.250%, 10/15/29 EUR §,∞		400,000		313
5.500%, 10/15/29 144A		800,000		572
8.125%, 2/1/27 144A		3,200,000		2,771
AT&T, Inc.
3.500%, 9/15/53		237,000		168
3.650%, 9/15/59		6,663,000		4,639
3.800%, 12/1/57		115,000		83

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Communications continued
CCO Holdings LLC / CCO Holdings Capital Corp.
4.250%, 2/1/31 144A		2,500,000		2,022
4.500%, 6/1/33 144A		800,000		628
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
3.700%, 4/1/51		300,000		190
4.200%, 3/15/28		1,700,000		1,594
5.125%, 7/1/49		3,300,000		2,596
5.375%, 4/1/38		100,000		85
CommScope, Inc.
4.750%, 9/1/29 144A		5,700,000		4,494
Connect Finco SARL / Connect US Finco LLC
6.750%, 10/1/26 144A		1,800,000		1,748
Deutsche Telekom International Finance
8.750%, 6/15/30		475,000		569
DISH DBS Corp.
5.750%, 12/1/28 144A		4,200,000		3,124
Iliad Holding SASU
6.500%, 10/15/26 144A		2,700,000		2,548
Intelsat Jackson Holdings SA
6.500%, 3/15/30 144A		703,000		640
Intelsat Jackson Holdings SA - Series A - Contingent Value Rights *,Æ		986		7
Intelsat Jackson Holdings SA - Series B - Contingent Value Rights *,Æ		986		5
Intelsat Jackson Holdings SA Escrow
5.500%, 8/1/23 *,Æ		700,000		–
8.500%, 10/15/24 *,Æ		200,000		–
9.750%, 7/15/25 *,Æ		100,000		–
Lumen Technologies, Inc.
4.000%, 2/15/27 144A		100,000		75
Prosus NV
3.257%, 1/19/27 144A		500,000		452
Sprint Corp.
7.125%, 6/15/24		100,000		101
7.875%, 9/15/23		6,400,000		6,415
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC
5.152%, 3/20/28 144A		1,235,000		1,222
Summer (BC) Bidco B LLC
5.500%, 10/31/26 144A		400,000		336
Time Warner Cable LLC
5.875%, 11/15/40		300,000		265
6.750%, 6/15/39		200,000		192
T-Mobile USA, Inc.
5.050%, 7/15/33		750,000		736
5.650%, 1/15/53		1,000,000		1,015
United Group BV
5.250%, 2/1/30 EUR §,∞		1,000,000		859
UPC Broadband Finco BV
4.875%, 7/15/31 144A		4,800,000		3,951

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

138

Multi-Sector Bond Portfolio

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Communications continued
Verizon Communications, Inc.
2.355%, 3/15/32		3,500,000		2,815
Virgin Media Secured Finance PLC
4.125%, 8/15/30 GBP §,∞		1,200,000		1,174
4.250%, 1/15/30 GBP §,∞		3,200,000		3,185
VMED O2 UK Financing I PLC
3.250%, 1/31/31 EUR §,∞		1,200,000		1,074
4.000%, 1/31/29 GBP §,∞		3,100,000		3,112
4.500%, 7/15/31 GBP §,∞		400,000		384
4.750%, 7/15/31 144A		1,100,000		915
Vodafone Group PLC
7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79		1,700,000		1,743
Total				67,165
Consumer, Cyclical (6.6%)
Adient Global Holdings, Ltd.
3.500%, 8/15/24 EUR §,∞		54,976		59
Air Canada Pass-Through Trust, Series 2020-2, Class A
5.250%, 10/1/30 144A		685,742		664
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A
4.800%, 2/15/29 144A		160,806		154
American Airlines Pass-Through Trust, Series 2014-1, Class A
3.700%, 4/1/28		165,505		149
American Airlines Pass-Through Trust, Series 2015-1, Class A
3.375%, 11/1/28		300,248		269
American Airlines Pass-Through Trust, Series 2016-1, Class AA
3.575%, 7/15/29		759,698		704
American Airlines Pass-Through Trust, Series 2017-2, Class AA
3.350%, 4/15/31		145,878		130
British Airways Pass-Through Trust, Series 2020-1, Class A
2.900%, 9/15/36 144A		381,904		315
4.250%, 5/15/34 144A		103,742		95
Caesars Entertainment, Inc.
5.750%, 7/1/25 144A		7,300,000		7,386
Ford Motor Credit Co. LLC
1.744%, 7/19/24 EUR ∞		200,000		211
2.330%, 11/25/25 EUR ∞		100,000		102
2.386%, 2/17/26 EUR ∞		100,000		102
2.748%, 6/14/24 GBP ∞		700,000		849
3.021%, 3/6/24 EUR ∞		900,000		968
3.250%, 9/15/25 EUR ∞		300,000		314
3.625%, 6/17/31		2,900,000		2,377
3.815%, 11/2/27		300,000		268
4.053%, (Euribor 3 Month ACT/360 plus 0.730%), 11/15/23 EUR ∞		100,000		109
4.134%, 8/4/25		200,000		190
4.174%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR ∞		1,300,000		1,397
4.389%, 1/8/26		800,000		757
4.535%, 3/6/25 GBP ∞		100,000		120
5.584%, 3/18/24		400,000		397

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
General Motors Financial Co., Inc.
5.100%, 1/17/24		1,200,000		1,196
IHO Verwaltungs GmbH
3.750%, 9/15/26 EUR §,∞		3,250,000		3,302
Jaguar Land Rover Automotive PLC
4.500%, 7/15/28 EUR §,∞		200,000		190
JetBlue Airways Corp.
4.000%, 5/15/34		752,767		686
John Lewis PLC
4.250%, 12/18/34 GBP §,∞		1,000,000		779
Las Vegas Sands Corp.
3.900%, 8/8/29		100,000		89
Marks & Spencer PLC
4.500%, 7/10/27 GBP §,∞		300,000		336
6.000%, 6/12/25 GBP §,∞		1,000,000		1,232
Mattel, Inc.
3.375%, 4/1/26 144A		100,000		92
Melco Resorts Finance, Ltd.
4.875%, 6/6/25 144A		5,700,000		5,430
5.375%, 12/4/29 144A		700,000		578
Mitchells & Butlers Finance PLC
5.134%, (SONIO plus 0.569%), 12/15/30 GBP §,∞		854,458		993
6.002%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §		155,356		142
6.469%, 9/15/32 GBP §,∞		200,000		220
Nissan Motor Acceptance Corp.
2.000%, 3/9/26 144A		400,000		350
Nissan Motor Co., Ltd.
3.201%, 9/17/28 144A EUR ∞		500,000		489
4.345%, 9/17/27 144A		6,400,000		5,821
4.810%, 9/17/30 144A		500,000		439
Pinnacle Bidco PLC
5.500%, 2/15/25 EUR §,∞		100,000		105
6.375%, 2/15/25 GBP §,∞		400,000		483
Renault SA
2.375%, 5/25/26 EUR §,∞		3,900,000		3,930
Ritchie Bros Auctioneers, Inc.
7.750%, 3/15/31 144A		1,500,000		1,556
Royal Caribbean Cruises, Ltd.
7.250%, 1/15/30 144A		1,000,000		1,013
Sands China, Ltd.
2.800%, 3/8/27		400,000		347
3.750%, 8/8/31		1,100,000		894
4.300%, 1/8/26		1,700,000		1,598
5.900%, 8/8/28		3,200,000		3,050
Toll Brothers Finance Corp.
4.350%, 2/15/28		100,000		94
4.875%, 3/15/27		1,200,000		1,162
Travis Perkins PLC
4.500%, 9/7/23 GBP §,∞		1,900,000		2,390
United Airlines Pass-Through Trust, Series 2014-1, Class A
4.000%, 10/11/27		561,809		528
United Airlines Pass-Through Trust, Series 2019-2, Class A
2.900%, 11/1/29		85,328		74
United Airlines Pass-Through Trust, Series 2020-1, Class A
5.875%, 4/15/29		2,084,182		2,066

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

139

Multi-Sector Bond Portfolio

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
United Airlines, Inc.
5.800%, 7/15/37		3,700,000		3,760
US Airways Pass-Through Trust, Series 2012- 1, Class A
5.900%, 4/1/26		551,186		547
Viking Cruises, Ltd.
9.125%, 7/15/31 144A		425,000		429
Wynn Macau, Ltd.
5.500%, 1/15/26 144A		200,000		186
5.500%, 1/15/26 §		500,000		464
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.
5.125%, 10/1/29 144A		800,000		717
7.125%, 2/15/31 144A		1,000,000		994
ZF Europe Finance BV
2.000%, 2/23/26 EUR §,∞		2,000,000		1,983
ZF Finance GmbH
2.750%, 5/25/27 EUR §,∞		4,300,000		4,176
3.750%, 9/21/28 EUR §,∞		2,000,000		1,959
Total				74,955
Consumer, Non-cyclical (4.3%)
AbbVie, Inc.
1.500%, 11/15/23 EUR ∞		400,000		432
Abertis Infraestructuras SA
1.625%, 7/15/29 EUR §,∞		500,000		471
1.875%, 3/26/32 EUR §,∞		600,000		531
3.000%, 3/27/31 EUR §,∞		600,000		591
3.375%, 11/27/26 GBP §,∞		2,100,000		2,369
Albion Financing 1 SARL / Aggreko Holdings, Inc.
5.250%, 10/15/26 EUR §,∞		1,600,000		1,641
6.125%, 10/15/26 144A		300,000		282
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 SARL
3.625%, 6/1/28 EUR §,∞		1,400,000		1,219
Amgen, Inc.
5.650%, 3/2/53		1,000,000		1,013
Atlantia SpA
1.625%, 2/3/25 EUR §,∞		1,200,000		1,246
1.875%, 7/13/27 EUR §,∞		400,000		385
1.875%, 2/12/28 EUR §,∞		5,500,000		5,103
Bacardi, Ltd.
4.700%, 5/15/28 144A		2,900,000		2,804
BAT Capital Corp.
3.222%, 8/15/24		100,000		97
3.557%, 8/15/27		500,000		460
Bellis Acquisition Co. PLC
3.250%, 2/16/26 GBP §,∞		4,000,000		4,242
Centene Corp.
4.250%, 12/15/27		200,000		187
4.625%, 12/15/29		500,000		460
Cheplapharm Arzneimittel GmbH
7.500%, 5/15/30 144A EUR ∞		1,000,000		1,095
CHS / Community Health Systems, Inc.
8.000%, 3/15/26 144A		700,000		682
Constellation Brands, Inc.
3.700%, 12/6/26		200,000		190
CVS Pass-Through Trust
4.704%, 1/10/36 144A		346,341		320

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
5.926%, 1/10/34 144A		574,966		545
7.507%, 1/10/32 144A		57,031		60
DaVita, Inc.
4.625%, 6/1/30 144A		1,900,000		1,631
Elevance Health, Inc.
4.750%, 2/15/33		900,000		874
Fortrea Holdings, Inc.
7.500%, 7/1/30 144A		900,000		922
HCA, Inc.
5.200%, 6/1/28		2,000,000		1,984
Imperial Brands Finance PLC
3.500%, 7/26/26 144A		200,000		186
6.125%, 7/27/27 144A		2,200,000		2,204
IQVIA, Inc.
5.700%, 5/15/28 144A		1,700,000		1,683
Loxam SAS
2.875%, 4/15/26 EUR §,∞		100,000		101
Market Bidco Finco PLC
4.750%, 11/4/27 EUR §,∞		1,898,000		1,657
Nexi SpA
2.125%, 4/30/29 EUR §,��		3,700,000		3,361
Organon & Co. / Organon Foreign Debt Co-Issuer BV
2.875%, 4/30/28 EUR §,∞		3,900,000		3,691
Organon Finance 1 LLC
4.125%, 4/30/28 144A		1,100,000		976
Perrigo Finance Unlimited Co.
4.400%, 6/15/30		200,000		177
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc.
9.750%, 12/1/26 144A		500,000		419
Teva Pharmaceutical Finance Netherlands II BV
4.375%, 5/9/30 EUR ∞		2,000,000		1,859
4.500%, 3/1/25 EUR ∞		137,000		148
Total				48,298
Diversified (0.0%)
Stena International SA
6.125%, 2/1/25 144A		400,000		390
Total				390
Energy (6.6%)
Aker BP ASA
3.750%, 1/15/30 144A		400,000		355
Blue Racer Midstream LLC / Blue Racer Finance Corp.
6.625%, 7/15/26 144A		100,000		99
Boardwalk Pipelines LP
3.400%, 2/15/31		200,000		172
CGG SA
8.750%, 4/1/27 144A		700,000		586
Cheniere Corpus Christi Holdings LLC
5.125%, 6/30/27		100,000		98
Cheniere Energy Partners LP
4.000%, 3/1/31		1,400,000		1,233
Continental Resources, Inc.
4.375%, 1/15/28		1,400,000		1,315
El Paso Natural Gas Co. LLC
8.375%, 6/15/32		200,000		229

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

140

Multi-Sector Bond Portfolio

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Energy continued
Enbridge, Inc.
5.700%, 3/8/33		900,000		912
Energy Transfer LP
2.900%, 5/15/25		100,000		95
3.750%, 5/15/30		200,000		180
4.950%, 5/15/28		1,200,000		1,161
5.000%, 5/15/50		200,000		169
5.250%, 4/15/29		100,000		98
6.050%, 6/1/41		100,000		96
6.500%, 2/1/42		300,000		304
6.625%, 10/15/36		500,000		511
7.500%, 7/1/38		1,700,000		1,864
EQM Midstream Partners LP
4.500%, 1/15/29 144A		1,500,000		1,338
EQT Corp.
6.625%, 2/1/25		3,044,000		3,027
Gray Oak Pipeline LLC
3.450%, 10/15/27 144A		500,000		447
Howard Midstream Energy Partners LLC
8.875%, 7/15/28 144A		1,800,000		1,809
Kinder Morgan Energy Partners LP
6.550%, 9/15/40		2,382,000		2,418
Kinder Morgan, Inc.
7.750%, 1/15/32		1,216,000		1,373
Midwest Connector Capital Co. LLC
3.900%, 4/1/24 144A		200,000		196
MPLX LP
4.250%, 12/1/27		100,000		95
NGPL PipeCo LLC
7.768%, 12/15/37 144A		3,900,000		4,157
Noble Finance II LLC
8.000%, 4/15/30 144A		1,400,000		1,423
NuStar Logistics LP
5.625%, 4/28/27		1,400,000		1,345
6.000%, 6/1/26		200,000		195
Occidental Petroleum Corp.
5.875%, 9/1/25		700,000		695
Odebrecht Oil & Gas Finance, Ltd.
0.000%, 5/22/23 §,µ		782,000		2
Pertamina Persero PT
6.500%, 11/7/48 144A		3,800,000		3,926
Petroleos de Venezuela SA
5.375%, 4/12/27 §,j		6,500,000		197
5.500%, 4/12/37 §,j		4,300,000		150
Petroleos Mexicanos
2.750%, 4/21/27 EUR §,∞		1,100,000		951
4.750%, 2/26/29 EUR §,∞		3,000,000		2,562
5.625%, 1/23/46		378,000		217
5.950%, 1/28/31		4,300,000		3,141
6.350%, 2/12/48		1,700,000		1,028
6.625%, 6/15/35		4,200,000		2,929
6.625%, 6/15/38		2,000,000		1,335
6.700%, 2/16/32		4,536,000		3,449
6.750%, 9/21/47		2,900,000		1,821
7.690%, 1/23/50		2,580,000		1,749
Petrorio Luxembourg SARL
6.125%, 6/9/26 144A		200,000		192
Plains All American Pipeline LP / PAA Finance Corp.
4.900%, 2/15/45		1,100,000		885

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Energy continued
6.650%, 1/15/37		277,000		278
Ras Laffan Liquefied Natural Gas Co., Ltd. III
5.838%, 9/30/27 144A		1,737,420		1,758
Regency Energy Partners LP / Regency Energy Finance Corp.
4.500%, 11/1/23		300,000		299
Rio Oil Finance Trust
9.250%, 7/6/24 144A		445,951		449
9.250%, 7/6/24 §		390,207		393
9.750%, 1/6/27 §		270,888		279
Sabine Pass Liquefaction LLC
4.500%, 5/15/30		700,000		665
5.625%, 3/1/25		4,900,000		4,881
5.750%, 5/15/24		800,000		799
5.875%, 6/30/26		400,000		403
Santos Finance, Ltd.
3.649%, 4/29/31 144A		700,000		581
Southwestern Energy Co.
5.375%, 2/1/29		100,000		94
Tallgrass Energy Partners LP
5.500%, 1/15/28 144A		8,400,000		7,677
Targa Resources Partners LP / Targa Resources Partners Finance Corp.
5.500%, 3/1/30		1,200,000		1,155
Venture Global LNG, Inc.
8.375%, 6/1/31 144A		1,200,000		1,210
Western Midstream Operating, LP
3.350%, 2/1/25		1,200,000		1,147
Total				74,597
Financial (13.1%)
ADLER Group SA
4.625%, 1/14/26 EUR §,∞		3,000,000		1,259
5.500%, 11/13/26 EUR §,∞		5,100,000		2,115
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.150%, 2/15/24		3,600,000		3,532
3.650%, 7/21/27		500,000		458
4.450%, 4/3/26		900,000		859
4.625%, 10/15/27		500,000		474
4.875%, 1/16/24		1,200,000		1,192
Aircastle, Ltd.
2.850%, 1/26/28 144A		600,000		510
4.250%, 6/15/26		300,000		283
5.250%, 8/11/25 144A		2,400,000		2,319
Ally Financial, Inc.
8.000%, 11/1/31		1,371,000		1,423
Antares Holdings LP
2.750%, 1/15/27 144A		250,000		205
Athora Netherlands NV
2.375%, 5/17/24 EUR §,∞		700,000		740
7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,∞,y		200,000		205
Atrium European Real Estate, Ltd.
4.250%, 9/11/25 EUR §,∞		3,439,000		3,254
Aviation Capital Group LLC
5.500%, 12/15/24 144A		1,000,000		979
Avolon Holdings Funding, Ltd.
2.528%, 11/18/27 144A		2,173,000		1,832

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

141

Multi-Sector Bond Portfolio

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
Banca Monte dei Paschi di Siena SpA
1.875%, 1/9/26 EUR §,∞		300,000		290
2.625%, 4/28/25 EUR §,∞		1,600,000		1,633
5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,∞		7,100,000		6,479
8.000%, (5 Year EUR Annual Swap Rate plus 8.149%), 1/22/30 EUR §,∞		500,000		487
8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,∞		800,000		783
Banco Bilbao Vizcaya Argentaria SA
6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,∞,y		1,600,000		1,688
6.138%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.700%), 9/14/28		2,300,000		2,305
Banco BTG Pactual SA
4.500%, 1/10/25 144A		500,000		483
Banco de Sabadell SA
1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,∞		200,000		198
1.750%, 5/10/24 EUR §,∞		900,000		958
Banco Votorantim SA
4.500%, 9/24/24 §		200,000		195
Bank of America Corp.
3.419%, (US SOFR 3 Month plus 1.302%), 12/20/28		973,000		892
5.875%, (US SOFR 3 Month plus 3.193%), 3/15/28 µ		3,700,000		3,390
Bank of Ireland Group PLC
6.253%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 9/16/26 144A		600,000		595
7.500%, (5 Year EUR Annual Swap Rate plus 7.924%), 5/19/25 EUR §,µ,∞,y		1,700,000		1,816
Barclays PLC
5.501%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 8/9/28		3,000,000		2,926
6.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.867%), 12/15/25 µ,y		500,000		438
7.437%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.500%), 11/2/33		500,000		541
BNP Paribas SA
1.904%, (US SOFR plus 1.609%), 9/30/28 144A		1,700,000		1,448
CaixaBank SA
6.750%, (5 Year EUR Annual Swap Rate plus 6.498%), 6/13/24 EUR §,µ,∞,y		200,000		211
Cantor Fitzgerald LP
4.875%, 5/1/24 144A		100,000		98
Chubb INA Holdings, Inc.
0.875%, 6/15/27 EUR ∞		200,000		193
Citigroup, Inc.
3.400%, 5/1/26		400,000		380
Corestate Capital Holding SA
3.500%, 7/31/23 EUR §,∞,j		700,000		107
CPI Property Group SA
1.625%, 4/23/27 EUR §,∞		700,000		554

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
Credit Suisse AG
6.500%, 8/8/23 144A y		7,400,000		7,347
6.500%, 8/8/23 §,y		1,700,000		1,688
Crown Castle International Corp.
2.100%, 4/1/31		1,700,000		1,360
5.000%, 1/11/28		1,700,000		1,668
DAE Sukuk DIFC, Ltd.
3.750%, 2/15/26 144A		1,000,000		948
Deutsche Bank AG
1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,∞		2,500,000		2,015
1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,∞		3,700,000		3,185
3.035%, (US SOFR plus 1.718%), 5/28/32		200,000		157
3.547%, (US SOFR plus 3.043%), 9/18/31		1,300,000		1,080
3.729%, (US SOFR plus 2.757%), 1/14/32		3,300,000		2,495
3.742%, (US SOFR plus 2.257%), 1/7/33		700,000		513
5.882%, (US SOFR plus 5.438%), 7/8/31		400,000		350
DrillCo Holding Lux SA
7.500%, 6/15/30 §,Æ		277,407		243
Fairfax Financial Holdings, Ltd.
2.750%, 3/29/28 EUR §,∞		1,700,000		1,667
Fidelity National Financial, Inc.
3.400%, 6/15/30		200,000		175
Freedom Mortgage Corp.
6.625%, 1/15/27 144A		500,000		433
7.625%, 5/1/26 144A		2,100,000		1,933
8.125%, 11/15/24 144A		3,560,000		3,527
8.250%, 4/15/25 144A		782,000		762
Globalworth Real Estate Investments, Ltd.
3.000%, 3/29/25 EUR §,∞		3,900,000		3,490
GLP Capital LP / GLP Financing II, Inc.
3.350%, 9/1/24		100,000		97
5.750%, 6/1/28		400,000		391
The Goldman Sachs Group, Inc.
3.375%, 3/27/25 EUR §,∞		200,000		215
HSBC Holdings PLC
1.645%, (US SOFR plus 1.538%), 4/18/26		200,000		184
2.099%, (US SOFR plus 1.929%), 6/4/26		200,000		185
2.804%, (US SOFR plus 1.187%), 5/24/32		3,300,000		2,669
3.973%, (US SOFR 3 Month plus 1.872%), 5/22/30		4,900,000		4,400
Huarong Finance 2019 Co., Ltd.
2.125%, 9/30/23 §		900,000		887
ING Groep NV
5.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 4.342%), 11/16/26 µ,y		1,800,000		1,590
6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ,y		900,000		857
Intesa Sanpaolo SpA
3.250%, 9/23/24 144A		300,000		288
4.000%, 9/23/29 144A		200,000		174
5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,∞,y		2,025,000		1,842
5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,∞,y		450,000		389
Jefferies Finance LLC / JFIN Co-Issuer Corp.
5.000%, 8/15/28 144A		1,500,000		1,230

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

142

Multi-Sector Bond Portfolio

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
Kaisa Group Holdings, Ltd.
9.375%, 6/30/24 §,j		400,000		25
9.750%, 9/28/23 §,j		600,000		37
10.500%, 1/15/25 §,j		1,100,000		68
10.875%, 7/23/23 §,j		400,000		23
11.250%, 4/16/25 §,j		3,500,000		217
11.650%, 6/1/26 §,j		1,000,000		62
Kennedy Wilson, Inc.
4.750%, 2/1/30		1,800,000		1,357
LeasePlan Corp. NV
2.875%, 10/24/24 144A		300,000		286
Liberty Mutual Finance Europe DAC
1.750%, 3/27/24 EUR §,∞		100,000		107
Lloyds Banking Group PLC
4.976%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/11/33		200,000		187
Logicor Financing SARL
3.250%, 11/13/28 EUR §,∞		600,000		558
Marsh & McLennan Cos., Inc.
1.349%, 9/21/26 EUR ∞		100,000		100
NatWest Group PLC
4.800%, 4/5/26		2,800,000		2,718
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29		3,700,000		3,520
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.625%), 12/29/25 µ,∞		500,000		463
New Metro Global, Ltd.
4.500%, 5/2/26 §		1,700,000		701
NN Group NV
4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,µ,∞		2,600,000		2,739
OMEGA Healthcare Investors, Inc.
4.500%, 1/15/25		100,000		96
4.950%, 4/1/24		100,000		99
OneMain Finance Corp.
3.500%, 1/15/27		1,100,000		944
4.000%, 9/15/30		700,000		539
6.125%, 3/15/24		2,500,000		2,491
6.875%, 3/15/25		1,900,000		1,881
7.125%, 3/15/26		1,400,000		1,375
Pacific Life Global Funding II
1.200%, 6/24/25 144A		200,000		182
Park Aerospace Holdings, Ltd.
5.500%, 2/15/24 144A		112,000		111
PRA Group, Inc.
8.375%, 2/1/28 144A		1,300,000		1,178
RLJ Lodging Trust LP
3.750%, 7/1/26 144A		200,000		184
Santander UK Group Holdings PLC
2.896%, (US SOFR plus 1.475%), 3/15/32		800,000		647
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28		4,000,000		3,600
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 6/24/24 GBP §,µ,∞,y		1,390,000		1,646
Sberbank of Russia Via SB Capital SA
5.250%, 5/23/23 §,j,y		4,500,000		225
Seazen Group, Ltd.
6.000%, 8/12/24 §		200,000		142

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Financial continued
Service Properties Trust
4.350%, 10/1/24		200,000		192
Societe Generale SA
7.375%, (USD 5 Year Swap Rate plus 4.302%), 10/4/23 144A µ,y		300,000		292
7.875%, (USD 5 Year Swap Rate plus 4.979%), 12/29/49 144A µ,y		200,000		196
Sunac China Holdings, Ltd.
5.950%, 4/26/24 §,j		2,000,000		285
6.650%, 8/3/24 §,j		600,000		86
7.250%, 6/14/22 §,j		2,600,000		374
8.350%, 4/19/23 §,j		1,600,000		229
Tesco Property Finance 3 PLC
5.744%, 4/13/40 GBP §,∞		91,077		107
Tesco Property Finance 6 PLC
5.411%, 7/13/44 GBP §,∞		2,536,002		2,866
Trust Fibra Uno
6.390%, 1/15/50 144A		200,000		158
UBS Group AG
4.703%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.050%), 8/5/27 144A		400,000		382
UniCredit SpA
7.296%, (USD 5 Year Swap Rate plus 4.914%), 4/2/34 144A		5,700,000		5,371
7.830%, 12/4/23 144A		5,650,000		5,669
The Unique Pub Finance Co. PLC
7.395%, 3/28/24 GBP §,∞		108,480		137
Virgin Money UK PLC
3.125%, (SONIA Interest Rate Benchmark plus 2.569%), 6/22/25 GBP §,∞		100,000		120
3.375%, (1 Year GBP Swap Rate plus 2.145%), 4/24/26 GBP §,∞		100,000		115
4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,∞		500,000		573
4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27 GBP §,∞		200,000		222
Vonovia Finance BV
5.000%, 10/2/23 144A		300,000		298
Wells Fargo & Co.
1.000%, 2/2/27 EUR §,∞		1,500,000		1,447
4.808%, (US SOFR plus 1.980%), 7/25/28		200,000		195
Weyerhaeuser Co.
7.375%, 3/15/32		424,000		473
Yango Justice International, Ltd.
7.500%, 4/15/24 §,j		4,200,000		67
7.875%, 9/4/24 §,j		600,000		6
Total				149,529
Industrial (2.3%)
Berry Global, Inc.
1.570%, 1/15/26		100,000		90
The Boeing Co.
3.950%, 8/1/59		2,000,000		1,477
Constellation Oil Services Holding SA
3.000%, 12/31/26 Þ		103,110		61
DAE Funding LLC
1.550%, 8/1/24 144A		1,700,000		1,614
1.625%, 2/15/24 144A		1,000,000		964
2.625%, 3/20/25 144A		500,000		469

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

143

Multi-Sector Bond Portfolio

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Industrial continued
3.375%, 3/20/28 144A		700,000		629
3.375%, 3/20/28 §		200,000		180
Empresa de Transporte de Pasajeros Metro SA
4.700%, 5/7/50 §		1,400,000		1,158
Flex, Ltd.
3.750%, 2/1/26		700,000		665
Fortress Transportation & Infrastructure
5.500%, 5/1/28 144A		400,000		366
6.500%, 10/1/25 144A		4,818,000		4,746
GE Capital UK Funding Unlimited Co.
5.875%, 1/18/33 GBP ∞		800,000		981
General Electric Co.
4.125%, 9/19/35 EUR §,∞		500,000		541
Lima Metro Line 2 Finance, Ltd.
5.875%, 7/5/34 144A		275,330		268
The Manitowoc Co., Inc.
9.000%, 4/1/26 144A		6,200,000		6,169
Rolls-Royce PLC
4.625%, 2/16/26 EUR §,∞		1,600,000		1,715
5.750%, 10/15/27 144A		200,000		195
5.750%, 10/15/27 GBP §,∞		100,000		118
SMBC Aviation Capital Finance DAC
2.300%, 6/15/28 144A		200,000		170
Spirit Aerosystems, Inc.
9.375%, 11/30/29 144A		100,000		107
Standard Industries, Inc.
2.250%, 11/21/26 EUR §,∞		2,600,000		2,515
XPO, Inc.
6.250%, 6/1/28 144A		1,200,000		1,180
Total				26,378
Technology (1.2%)
Broadcom, Inc.
2.450%, 2/15/31 144A		700,000		569
3.137%, 11/15/35 144A		1,500,000		1,151
Dell International LLC / EMC Corp.
5.300%, 10/1/29		4,300,000		4,269
6.020%, 6/15/26		400,000		407
8.100%, 7/15/36		162,000		190
NXP BV / NXP Funding LLC
4.875%, 3/1/24		1,700,000		1,688
5.350%, 3/1/26		1,600,000		1,589
Seagate HDD Cayman
4.125%, 1/15/31		650,000		532
9.625%, 12/1/32 144A		920,000		1,015
Ubisoft Entertainment SA
0.878%, 11/24/27 EUR §,∞		800,000		664
VMware, Inc.
4.500%, 5/15/25		300,000		294
4.650%, 5/15/27		1,400,000		1,360
4.700%, 5/15/30		100,000		95
Total				13,823
Utilities (1.5%)
American Electric Power Co., Inc.
5.625%, 3/1/33		1,000,000		1,017
Centrais Eletricas Brasileiras SA
4.625%, 2/4/30 144A		300,000		260

Corporate Bonds (42.3%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Edison International
5.750%, 6/15/27		100,000		100
Electricite de France SA
4.500%, 9/21/28 144A		900,000		859
6.250%, 5/23/33 144A		1,200,000		1,220
9.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.411%), 3/15/33 144A		1,000,000		1,025
FEL Energy VI SARL
5.750%, 12/1/40 §		3,016,089		2,580
Nakilat, Inc.
6.067%, 12/31/33 §		862,694		903
6.267%, 12/31/33 144A		435,782		460
National Fuel Gas Co.
5.200%, 7/15/25		300,000		294
NPC Ukrenergo
6.875%, 11/9/28 §,j		800,000		165
Pacific Gas & Electric Co.
2.100%, 8/1/27		100,000		85
2.500%, 2/1/31		100,000		78
2.950%, 3/1/26		100,000		92
3.150%, 1/1/26		1,600,000		1,485
3.300%, 3/15/27		200,000		181
3.300%, 12/1/27		500,000		438
3.300%, 8/1/40		2,700,000		1,819
3.450%, 7/1/25		300,000		283
3.500%, 6/15/25		1,500,000		1,420
3.750%, 7/1/28		100,000		90
4.200%, 6/1/41		100,000		74
4.250%, 8/1/23		200,000		200
4.250%, 3/15/46		100,000		71
4.450%, 4/15/42		300,000		226
4.550%, 7/1/30		500,000		453
Perusahaan Listrik Negara PT
3.000%, 6/30/30 144A		1,500,000		1,280
Total				17,158
Total Corporate Bonds (Cost: $585,272)				481,329
Convertible Corporate Bonds (0.1%)
Financial (0.1%)
Corestate Capital Holding SA
1.375%, 7/31/23 EUR §,∞,j		5,700,000		812
Total				812
Total Convertible Corporate Bonds (Cost: $6,644)				812
Governments (16.4%)
Governments (16.4%)
Abu Dhabi Government International Bond
2.700%, 9/2/70 144A		3,700,000		2,254
2.700%, 9/2/70 §		900,000		548
3.875%, 4/16/50 §		1,500,000		1,260
Albania Government International Bond
3.500%, 6/16/27 144A EUR ∞		1,400,000		1,405
Arab Republic of Egypt
5.625%, 4/16/30 144A EUR ∞		1,550,000		934
5.625%, 4/16/30 EUR §,∞		1,700,000		1,025
7.500%, 2/16/61 144A		1,900,000		949

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

144

Multi-Sector Bond Portfolio

Governments (16.4%)	Shares/ Par +		Value $ (000’s)
Governments continued
Argentine Republic Government International Bond
1.000%, 7/9/29		405,455		132
1.750%, 7/9/30		866,857		288
4.875%, 7/9/41		13,420,196		4,292
5.000%, 7/9/35		5,922,164		1,774
Australian Government
4.250%, 4/21/26 AUD §,∞		2,400,000		1,607
Banque Ouest Africaine de Developpement
2.750%, 1/22/33 144A EUR ∞		500,000		396
Brazilian Government International Bond
5.000%, 1/27/45		1,000,000		778
Colombia Government International Bond
5.000%, 6/15/45		6,000,000		4,166
5.200%, 5/15/49		200,000		137
Dominican Republic International Bond
4.875%, 9/23/32 144A		550,000		467
4.875%, 9/23/32 §		1,700,000		1,445
6.500%, 2/15/48 144A		2,800,000		2,412
6.500%, 2/15/48 §		2,800,000		2,412
6.875%, 1/29/26 §		500,000		503
Ecuador Government International Bond
0.000%, 7/31/30 144A		323,958		93
6.900%, 7/31/30 §		1,500,000		722
6.900%, 7/31/35 144A		2,674,620		924
6.900%, 7/31/40 144A		1,225,800		379
Egypt Government International Bond
6.375%, 4/11/31 EUR §,∞		3,300,000		1,981
7.500%, 2/16/61 §		800,000		399
Export-Import Bank of India
3.375%, 8/5/26 §		600,000		564
Federal Republic of Nigeria
7.625%, 11/28/47 §		700,000		495
7.696%, 2/23/38 §		600,000		449
7.875%, 2/16/32 §		2,800,000		2,344
Ghana Government International Bond
8.125%, 3/26/32 §,j		400,000		170
8.950%, 3/26/51 §,j		800,000		330
Guatemala Government Bond
6.600%, 6/13/36 144A		1,700,000		1,709
Ivory Coast Government International Bond
5.250%, 3/22/30 EUR §,∞		500,000		460
5.875%, 10/17/31 144A EUR ∞		300,000		273
6.625%, 3/22/48 144A EUR ∞		900,000		694
6.625%, 3/22/48 EUR §,∞		800,000		617
6.875%, 10/17/40 144A EUR ∞		400,000		330
6.875%, 10/17/40 EUR §,∞		100,000		83
Kingdom of Jordan
4.950%, 7/7/25 144A		300,000		290
5.850%, 7/7/30 144A		400,000		366
7.500%, 1/13/29 144A		800,000		799
Morocco Government International Bond
4.000%, 12/15/50 144A		500,000		336
5.500%, 12/11/42 §		800,000		688
North Macedonia
3.675%, 6/3/26 144A EUR ∞		500,000		509
Oman Government International Bond
6.000%, 8/1/29 §		900,000		899
6.250%, 1/25/31 144A		2,300,000		2,330
6.500%, 3/8/47 §		500,000		465

Governments (16.4%)	Shares/ Par +		Value $ (000’s)
Governments continued
6.750%, 1/17/48 §		4,800,000		4,604
Panama Government International Bond
6.700%, 1/26/36		1,900,000		2,031
8.125%, 4/28/34		100,000		118
Provincia de Buenos Aires
37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,∞		740,000		2
Republic of Indonesia
0.900%, 2/14/27 EUR ∞		1,700,000		1,654
1.400%, 10/30/31 EUR ∞		1,900,000		1,640
1.450%, 9/18/26 EUR ∞		700,000		702
3.375%, 7/30/25 144A EUR ∞		800,000		860
3.750%, 6/14/28 144A EUR ∞		1,900,000		2,054
3.750%, 6/14/28 EUR §,∞		2,200,000		2,379
4.625%, 4/15/43 §		2,700,000		2,556
5.125%, 1/15/45 §		1,800,000		1,787
Republic of Paraguay
5.600%, 3/13/48 §		600,000		525
6.100%, 8/11/44 §		300,000		283
Republic of Peru
3.300%, 3/11/41		2,700,000		2,078
Republic of Poland Government International Bond
5.500%, 4/4/53		1,200,000		1,207
Republic of Serbia
1.650%, 3/3/33 144A EUR ∞		700,000		508
6.500%, 9/26/33 §		1,500,000		1,470
Republic of South Africa Government International Bond
4.850%, 9/30/29		1,200,000		1,054
4.875%, 4/14/26		600,000		574
5.000%, 10/12/46		500,000		332
5.750%, 9/30/49		4,500,000		3,176
Romanian Government International Bond
2.000%, 4/14/33 144A EUR ∞		1,400,000		1,076
2.875%, 4/13/42 144A EUR ∞		500,000		334
4.125%, 3/11/39 EUR §,∞		1,500,000		1,272
Russian Federation
4.250%, 6/23/27 144A j		200,000		84
4.250%, 6/23/27 §,j		1,000,000		410
5.250%, 6/23/47 144A j		200,000		84
5.250%, 6/23/47 §,j		2,400,000		120
Saudi International Bond
4.500%, 10/26/46 §		9,300,000		8,134
Sri Lanka Government International Bond
7.550%, 3/28/30 §,j		1,600,000		721
7.850%, 3/14/29 §,j		500,000		225
State Agency of Roads of Ukraine
6.250%, 6/24/30 §,j		600,000		126
State of Minas Gerais
5.333%, 2/15/28 §		100,000		98
State of Qatar
4.400%, 4/16/50 144A		1,200,000		1,091
4.400%, 4/16/50 §		2,400,000		2,181
4.817%, 3/14/49 §		800,000		768
5.103%, 4/23/48 §		1,200,000		1,195
Turkey Government International Bond
4.875%, 4/16/43		2,800,000		1,793
5.750%, 5/11/47		4,400,000		2,996

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

145

Multi-Sector Bond Portfolio

Governments (16.4%)	Shares/ Par +		Value $ (000’s)
Governments continued
Ukraine Government International Bond
4.375%, 1/27/32 144A EUR ∞,j		1,600,000		372
4.375%, 1/27/32 EUR §,∞,j		1,700,000		395
6.750%, 6/20/28 144A EUR ∞,j		600,000		136
6.876%, 5/21/31 144A j		900,000		203
7.375%, 9/25/34 §,j		300,000		69
8.994%, 2/1/26 144A j		1,000,000		248
United Mexican States
2.125%, 10/25/51 EUR ∞		1,000,000		621
3.771%, 5/24/61		5,400,000		3,665
6.350%, 2/9/35		1,700,000		1,787
US Treasury
1.875%, 8/31/24 b		7,310,000		7,023
2.125%, 3/31/24 b		3,970,000		3,875
2.125%, 11/30/24 b		3,400,000		3,256
2.250%, 11/15/24		15,910,000		15,279
2.375%, 8/15/24 b		3,700,000		3,581
2.500%, 1/31/24		10,590,000		10,414
2.750%, 2/15/24 b		8,700,000		8,557
2.875%, 11/30/23 b		4,230,000		4,187
4.000%, 11/15/42 b		19,800,000		19,673
Venezuela Government International Bond
6.000%, 12/9/49 §,j		32,000		2
7.000%, 3/31/38 §,j		204,000		17
7.650%, 4/21/25 §,j		1,955,000		161
8.250%, 10/13/24 §,j		356,000		30
9.000%, 5/7/23 §,j		32,000		3
9.250%, 5/7/28 §,j		1,241,000		106
9.375%, 1/13/34 j		1,400,000		119
Total				186,963
Total Governments (Cost: $231,487)				186,963
Municipal Bonds (0.6%)
Municipal Bonds (0.6%)
American Municipal Power, Inc.
7.834%, 2/15/41 RB		100,000		126
Bay Area Toll Authority, California, Series 2010
6.918%, 4/1/40 RB		200,000		236
City of Riverside California Electric Revenue
7.605%, 10/1/40 RB		200,000		252
Golden State Tobacco Securitization Corp.
3.850%, 6/1/50 RB		2,735,000		2,478
Irvine Ranch California Water District
6.622%, 5/1/40 RB		100,000		114
Los Angeles County California Public Works Financing Authority
7.618%, 8/1/40 RB		200,000		251
Metropolitan Government of Nashville & Davidson County Tennessee
6.568%, 7/1/37 RB		100,000		114
Municipal Electric Authority of Georgia
6.655%, 4/1/57 RB		95,000		109
New York City Transitional Finance Authority
5.508%, 8/1/37 RB		300,000		312
New York State Urban Development Corp.
5.770%, 3/15/39 RB		100,000		105

Municipal Bonds (0.6%)	Shares/ Par +		Value $ (000’s)
Municipal Bonds continued
Port Authority of New York & New Jersey, Series 165
5.647%, 11/1/40 RB		1,100,000		1,181
Port Authority of New York & New Jersey, Series 168
4.926%, 10/1/51 RB		200,000		200
State of Illinois
6.630%, 2/1/35 GO		226,154		236
6.725%, 4/1/35 GO		87,692		92
7.350%, 7/1/35 GO		185,714		200
Triborough Bridge & Tunnel Authority
5.550%, 11/15/40 RB		800,000		838
Total Municipal Bonds (Cost: $6,581)				6,844
Structured Products (14.5%)
Asset Backed Securities (7.6%)
ABFC Trust, Series 2007-WMC1, Class A1A
6.400%, (ICE LIBOR USD 1 Month plus 1.250%), 6/25/37		8,150,064		5,615
Accredited Mortgage Loan Trust, Series 2005-3, Class M3
5.870%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35		63,324		62
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1
6.050%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34		52,639		47
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2
5.945%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35		35,506		32
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4
6.125%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35		1,451		1
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C
5.450%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/36		7,060,705		1,921
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2
6.150%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35		63,863		59
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1
6.020%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34		8,329		8
Ares European CLO VI DAC, Series 2013-6A, Class ARR
3.787%, (Euribor 3 Month ACT/360 plus 0.610%), 4/15/30 144A EUR ∞		491,781		525
Ares European CLO, Series 10A, Class AR
3.957%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		1,100,000		1,177
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4
6.050%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35		86,802		84

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

146

Multi-Sector Bond Portfolio

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Aurium CLO I DAC, Series 2019-1A, Class ARR
4.618%, (Euribor 3 Month ACT/360 plus 1.050%), 3/23/32 144A EUR ∞		250,000		268
Bain Capital Euro CLO, Series 2018-2A, Class AR
3.940%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ∞		298,250		317
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1
6.400%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37		48,008		47
Cairn CLO BV, Series 2014-A4, Class ARRR
3.842%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ∞		295,678		315
Cairn CLO X BV, Series 2018-10A, Class AR
3.957%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		700,000		747
Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R
3.877%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ∞		895,989		955
Carrington Mortgage Loan Trust, Series 2005-FRE1, Class M3
5.915%, (ICE LIBOR USD 1 Month plus 0.765%), 12/25/35		8,016,000		6,125
Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C
5.570%, (ICE LIBOR USD 1 Month plus 0.420%), 12/25/36		85,947		84
Countrywide Alternative Loan Trust, Series 2006-5, Class M1
5.675%, (ICE LIBOR USD 1 Month plus 0.525%), 8/25/36		1,500,000		1,423
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4
6.725%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34		66,373		65
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6
4.740%, (AFC), 10/25/35		3		–	π
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4
5.850%, (ICE LIBOR USD 1 Month plus 0.700%), 3/25/36		72,928		63
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5
4.473%, (AFC), 7/25/36 Σ		80,878		72
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A
5.290%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37		355,322		326
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2
5.630%, (ICE LIBOR USD 1 Month plus 0.480%), 2/25/37		900,000		797
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3
5.290%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37		6,496		6

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A
5.990%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47		1,075,219		1,017
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A
5.350%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47		735,914		633
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1
6.250%, (ICE LIBOR USD 1 Month plus 1.100%), (AFC), 5/25/47 144A		1,020,433		768
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1
4.599%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32		1,979		2
CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR
3.827%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ∞		800,000		854
Ellington Loan Acquisition Trust, Series 2007-2, Class A1
6.200%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A		184,609		173
Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR
3.831%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ∞		300,000		318
Fremont Home Loan Trust, Series 2005-2, Class M4
6.080%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35		300,000		264
GSAA Home Equity Trust, Series 2006-17, Class A1
5.270%, (ICE LIBOR USD 1 Month plus 0.120%), 11/25/36		45,987		11
GSAMP Trust, Series 2004-WF, Class M2
6.800%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34		12,971		13
GSAMP Trust, Series 2007-FM2, Class A2B
5.240%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37		150,163		87
GSAMP Trust, Series 2007-NC1, Class A2A
5.200%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46		12,062		6
Harvest CLO XX DAC, Series 2020-A, Class AR
3.880%, (Euribor 3 Month ACT/360 plus 0.680%), 10/20/31 144A EUR ∞		600,000		638
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4
5.490%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37		500,000		410
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4
5.930%, (ICE LIBOR USD 1 Month plus 0.780%), 11/25/35		140,833		127
IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2
5.310%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37		314,288		166

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

147

Multi-Sector Bond Portfolio

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Invesco Euro CLO III DAC, Series 3A, Class A
4.097%, (Euribor 3 Month ACT/360 plus 0.920%), 7/15/32 144A EUR ∞		500,000		531
JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class M1
5.450%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/37		400,000		357
KKR Financial CLO, Ltd., Series 9, Class AR2
6.210%, (ICE LIBOR USD 3 Month plus 0.950%), 7/15/30 144A		1,766,064		1,750
Laurelin DAC, Series 2016-1A, Class ARR
3.920%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ∞		400,000		427
LCM XV LP, Series 2015-A, Class AR2
6.250%, (ICE LIBOR USD 3 Month plus 1.000%), 7/20/30 144A		1,502,778		1,491
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4
5.750%, (ICE LIBOR USD 1 Month plus 0.600%), 2/25/36		52,616		43
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4
5.690%, (ICE LIBOR USD 1 Month plus 0.540%), 5/25/46		277,103		87
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A
5.450%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/36		1,006,183		577
Madison Park Euro Funding XIV DAC, Series 14A, Class A1R
3.977%, (Euribor 3 Month ACT/360 plus 0.800%), 7/15/32 144A EUR ∞		300,000		318
Man GLG EURO CLO DAC, Series 2021-3A, Class AR
3.857%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ∞		293,096		313
Man GLG EURO CLO DAC, Series 2022-6A, Class AR
3.987%, (Euribor 3 Month ACT/360 plus 0.810%), 10/15/32 144A EUR ∞		299,664		319
Marathon CLO, Ltd., Series 2017-9A, Class A1AR
6.410%, (ICE LIBOR USD 3 Month plus 1.150%), 4/15/29 144A		996,360		994
Marble Point CLO X, Ltd., Series 2017-1A, Class AR
6.300%, (ICE LIBOR USD 3 Month plus 1.040%), 10/15/30 144A		4,434,518		4,399
MASTR Asset Backed Securities Trust, Series 2004-OPT1, Class M1
5.930%, (ICE LIBOR USD 1 Month plus 0.780%), 2/25/34		679,342		652
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1
6.050%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34		76,493		74
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1
5.450%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/36		8,718,005		7,733

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2
5.350%, (ICE LIBOR USD 1 Month plus 0.200%), 8/25/36		1,977,427		613
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5
5.300%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36		837,796		269
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1
6.050%, (ICE LIBOR USD 1 Month plus 0.900%), 2/25/47		691,905		402
MF1, Series 2022-FL8, Class A
6.417%, (US 30 Day Average SOFR plus 1.350%), 2/19/37 144A		1,000,000		974
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4
6.020%, (ICE LIBOR USD 1 Month plus 0.870%), 9/25/35		5,993,963		4,873
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ
5.730%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35		784,058		777
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2
5.855%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35		162,120		152
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5
6.140%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35		105,574		103
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C
5.470%, (ICE LIBOR USD 1 Month plus 0.320%), 9/25/36		58,669		26
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C
5.290%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36		53,542		23
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C
5.400%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37		53,553		23
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1
6.725%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32		3,502		3
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1
6.500%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33		14,634		14
Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3
5.380%, (ICE LIBOR USD 1 Month plus 0.230%), 4/25/37		2,909,590		1,503
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B
5.310%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37		120,124		119

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

148

Multi-Sector Bond Portfolio

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR
3.940%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ∞		1,200,000		1,268
Popular Mortgage Pass-Through Trust, Series 2006-A, Class M1
5.735%, (ICE LIBOR USD 1 Month plus 0.585%), (AFC), 2/25/36		31,453		31
RAAC Series, Series 2007-RP4, Class A
5.850%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A		158,595		147
Renaissance Home Equity Loan Trust, Series 2006-4, Class AF6
5.340%, 1/25/37 Σ		1,514,158		521
Residential Asset Securities Corp., Series 2007-KS3, Class AI4
5.490%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37		1,252,843		1,159
Saranac CLO, Ltd., Series 2018-6A, Class A1R
6.684%, (ICE LIBOR USD 3 Month plus 1.140%), 8/13/31 144A		2,900,000		2,858
Saxon Asset Securities Trust, Series 2006-1, Class M1
5.615%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36		173,292		164
Sculptor CLO XXV, Ltd., Series 25A, Class A1
6.530%, (ICE LIBOR USD 3 Month plus 1.270%), 1/15/31 144A		2,100,000		2,066
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2
6.110%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36		31,870		28
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR2
6.263%, (ICE LIBOR USD 3 Month plus 0.990%), 1/23/29 144A		77,234		77
Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR
6.235%, (ICE LIBOR USD 3 Month plus 0.980%), 7/25/30 144A		4,679,128		4,620
Soundview Home Loan Trust, Series 2006-2, Class M2
5.675%, (ICE LIBOR USD 1 Month plus 0.525%), 3/25/36		134,286		133
Soundview Home Loan Trust, Series 2006- OPT2, Class A4
5.710%, (ICE LIBOR USD 1 Month plus 0.560%), 5/25/36		105,163		100
Soundview Home Loan Trust, Series 2006- OPT3, Class M1
5.615%, (ICE LIBOR USD 1 Month plus 0.465%), 6/25/36		6,664,462		5,437
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3
6.125%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35		78,184		76
Structured Asset Investment Loan Trust, Series 2005-7, Class M2
5.915%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35		245,024		231

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3
5.300%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36		4,950		5
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4
5.490%, (ICE LIBOR USD 1 Month plus 0.340%), 12/25/36		119,947		115
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6
5.570%, (ICE LIBOR USD 1 Month plus 0.420%), 2/25/37		47,573		46
Toro European CLO DAC, Series 6A, Class AR
3.995%, (Euribor 3 Month ACT/360 plus 0.920%), 1/12/32 144A EUR ∞		500,000		534
Toro European CLO DAC, Series 7A , Class ARE
4.133%, (Euribor 3 Month ACT/360 plus 0.810%), 2/15/34 144A EUR ∞		250,000		265
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A
5.410%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A		292,294		289
Venture CDO, Ltd., Series 2018-33A, Class A1LR
6.320%, (ICE LIBOR USD 3 Month plus 1.060%), 7/15/31 144A		1,000,000		986
Venture XIV CLO, Ltd., Series 2013-14A, Class ARR
6.493%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A		3,295,018		3,274
Venture XXV CLO, Ltd., Series 2016-25A, Class ARR
6.270%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/29 144A		1,452,533		1,449
Venture XXVIII CLO, Ltd., Series 2017-28A, Class A1R
6.240%, (ICE LIBOR USD 3 Month plus 0.990%), 7/20/30 144A		188,665		186
Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R
6.290%, (ICE LIBOR USD 3 Month plus 1.040%), 9/15/30 144A		250,890		248
WaMu Asset-Backed Certificates, Series 2007- HE1, Class 1A
5.300%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37		102,594		84
Wellfleet CLO, Ltd., Series 2015-1A, Class AR4
6.140%, (ICE LIBOR USD 3 Month plus 0.890%), 7/20/29 144A		870,404		860
Wellfleet CLO, Ltd., Series 2017-1, Class 1A
6.140%, (ICE LIBOR USD 3 Month plus 0.890%), 4/20/29 144A		1,903,974		1,900
Total				85,724

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

149

Multi-Sector Bond Portfolio

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities (6.9%)
BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC, Class A
2.627%, 1/15/32 144A		2,500,000		2,005
Banc of America Funding Trust, Series 2005-H, Class 5A1
4.245%, (CSTR), 11/20/35		71,799		64
Banc of America Funding Trust, Series 2006-J, Class 4A1
4.416%, (CSTR), 1/20/47		26,250		24
Banc of America Funding Trust, Series 2007-6, Class A1
5.730%, (ICE LIBOR USD 1 Month plus 0.580%), 7/25/37		38,516		35
BCAP LLC Trust, Series 2009-RR14, Class 2A2
3.605%, (CSTR), 7/26/36 144A		15,616		13
BCAP LLC Trust, Series 2009-RR5, Class 3A3
6.250%, (CSTR), 8/26/36 144A		2,056,815		938
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A
5.137%, (CSTR), 7/25/34		825		1
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1
3.731%, (CSTR), 11/25/36		123,159		58
Bear Stearns ARM Trust, Series 2007-4, Class 22A1
4.060%, (CSTR), 6/25/47		51,186		46
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3
6.000%, 9/25/37		1,682		2
Citigroup Mortgage Loan Trust, Series 2007- 10, Class 22AA
3.974%, (CSTR), 9/25/37		6,272		6
Citigroup Mortgage Loan Trust, Series 2007- 10, Class 2A3A
3.904%, (CSTR), 9/25/37		10,303		9
Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A
3.857%, (CSTR), 3/25/37		286,879		247
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1
5.750%, 1/25/35		9,163		9
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1
6.000%, 3/25/35		259,581		124
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1
4.048%, (ICE LIBOR USD 1 Month plus 0.660%), 11/20/35		3,680		3
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1
5.456%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		10,421		10
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3
5.500%, 1/25/36		106,909		64
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8
5.500%, 2/25/35		91,815		84

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1
6.500%, 8/25/32		756		1
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13
5.500%, 11/25/35		149,921		89
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13
6.000%, 2/25/37		104,238		43
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1
5.650%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36		348,263		129
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1
4.295%, (CSTR), 5/25/36		5,740		5
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B
5.347%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46		6,380		6
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A
5.352%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46		20,611		17
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1
5.577%, (ICE LIBOR USD 1 Month plus 0.420%), 5/20/46		272,378		230
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A
5.367%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46		6,269		5
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2
6.000%, 5/25/37		217,004		104
Countrywide Alternative Loan Trust, Series 2007-AL1, Class A1
5.400%, (ICE LIBOR USD 1 Month plus 0.250%), 6/25/37		3,331,924		2,781
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1
5.430%, (ICE LIBOR USD 1 Month plus 0.280%), 4/25/47		23,542		21
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2005-22, Class 3A1
3.367%, (CSTR), 10/25/35		8,839		7
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2005-HYB8, Class 1A1
4.006%, (CSTR), 12/20/35		1,268		1
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-16, Class 2A1
6.500%, 11/25/36		14,220		5
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-9, Class A1
6.000%, 5/25/36		98,450		47
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-OA4, Class A1
4.936%, (Federal Reserve US 12 Month
Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		33,963		11

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

150

Multi-Sector Bond Portfolio

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-OA4, Class A2
5.690%, (ICE LIBOR USD 1 Month plus 0.540%), 4/25/46		900,007		257
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2007-HYB1, Class 3A1
4.085%, (CSTR), 3/25/37		5,046		4
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1
6.500%, 4/25/33		256		–	π
Credit Suisse Mortgage Trust, Series 2014-6R, Class 3A2
3.616%, (CSTR), 9/27/35 144A		162,730		137
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3
5.500%, 12/25/35		295,062		245
EMF-NL BV, Series 2008-APRX, Class A2
3.977%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,∞		62,311		65
Eurosail-NL BV, Series 2007-NL2X, Class A
4.677%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,∞		17,173		19
Federal Home Loan Mortgage Corp.
5.000%, 11/1/52		21,241,451		20,826
5.500%, 12/1/52		20,603,128		20,523
Federal National Mortgage Association, Series 2003-W6, Class F
5.500%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42		13,495		13
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5
5.750%, 5/25/37		161,236		73
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A
3.144%, 12/10/36 144A		1,000,000		946
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1
4.662%, (CSTR), 9/25/35		799		1
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6
6.000%, 2/25/36		71,241		36
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1
3.935%, (CSTR), 1/25/36		952		1
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1
3.575%, (CSTR), 3/25/47		6,481		4
HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A
5.777%, (ICE LIBOR USD 1 Month plus 0.620%), (AFC), 11/19/35		3,422		2
HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A
5.637%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35		8,205		8
HomeBanc Mortgage Trust, Series 2005-1, Class A1
5.650%, (ICE LIBOR USD 1 Month plus 0.500%), 3/25/35		2,843		2

Structured Products (14.5%)		Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A
5.590%, (ICE LIBOR USD 1 Month plus 0.440%), 11/25/35			768,477		715
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1
4.009%, (CSTR), 10/25/34			13,847		13
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A
5.630%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35			1,115		1
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A
5.750%, (ICE LIBOR USD 1 Month plus 0.600%), 7/25/35			7,877		6
JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1
4.078%, (CSTR), 10/25/35			5,862		5
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1
4.366%, (CSTR), 7/25/35			3,478		3
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1
4.289%, (CSTR), 6/25/37			30,494		23
Luminent Mortgage Trust, Series 2006-6, Class A1
5.550%, (ICE LIBOR USD 1 Month plus 0.400%), 10/25/46			675,379		600
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A
3.612%, (CSTR), 2/25/36			665		1
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1
4.459%, (CSTR), 5/25/36	��		5,867		5
New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A3
1.198%, (AFC), 7/25/55 144A			754,089		632
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1
4.937%, (CSTR), 8/25/35			1,069		1
Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1
5.530%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/36			3,833		4
Residential Accredit Loans, Inc., Series 2006- QA8, Class A1
5.530%, (ICE LIBOR USD 1 Month plus 0.380%), 9/25/36			11,953		11
Residential Accredit Loans, Inc., Series 2007- QA1, Class A1
5.430%, (ICE LIBOR USD 1 Month plus 0.280%), 1/25/37			3,110		3
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2
6.500%, 4/25/37			3,306,714		938
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1
5.470%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35			32,405		30

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

151

Multi-Sector Bond Portfolio

Structured Products (14.5%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2
3.907%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36		222,015		191
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1
5.510%, (ICE LIBOR USD 1 Month plus 0.360%), (AFC), 7/25/46		139,044		115
Suntrust Alternative Loan Trust, Series 2005- 1F, Class 1A1
5.750%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35		5,509		5
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1
5.531%, (SONIO/N plus 1.144%), 10/20/51 144A GBP ∞		1,043,381		1,327
Uniform Mortgage Backed Security TBA
6.000%, 7/13/53		9,300,000		9,382
6.500%, 7/13/53		1,900,000		1,940
6.500%, 8/14/53		11,900,000		12,143
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6
4.195%, (CSTR, AFC), 2/25/33		521		1
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3
3.712%, (CSTR), 10/25/36		14,761		13
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1
3.883%, (CSTR), 3/25/36		95,948		87
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1
3.672%, (CSTR), 8/25/36		5,744		5
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1
3.704%, (CSTR), 2/25/37		2,380		2
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2
4.676%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		233,595		183
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1
5.134%, (CSTR), 7/25/37		23,550		21
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1
4.678%, (CSTR), 4/25/36		23,826		22
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1
4.417%, (CSTR), 11/25/37		18,549		16
Total				78,850
Total Structured Products (Cost: $169,715)				164,574

Bank Loan Obligations (3.2%)	Shares/ Par +		Value $ (000’s)
Bank Loan Obligations (3.2%)
Albion Acquisitions, Ltd., 5.211%, (Euribor 3 Month ACT/360 plus 5.250%), 8/17/26 EUR∞		1,400,000		1,520
Altice Financing SA, 8.222%, (ICE LIBOR USD 3 Month plus 2.750%), 1/31/26		1,154,198		1,133
Altice France SA, 10.972%, (CME Term SOFR 1 Month plus 5.500%), 8/31/28		191,857		170
AmSurg Corp., 9.972%, (CME Term SOFR 1 Month plus 4.500%), 4/30/28Æ j		342,740		253
AmSurg, LLC Gtd. Senior Secured, 13.347%, (US SOFR 1 Month plus 7.875%), 4/29/27j		815,618		962
AmSurg, LLC Senior Secured, 9.222%, (US SOFR 3 Month plus 3.750%), 7/20/26j		244,841		230
Avolon TLB Borrower 1 LLC, 7.722%, (ICE LIBOR USD 1 Month plus 2.250%), 12/1/27		1,170,000		1,168
Charter Communications Operating LLC, 7.222%, (US SOFR 3 Month plus 1.750%), 2/1/27		3,329,287		3,307
CommScope, Inc., 8.722%, (ICE LIBOR USD 1 Month plus 3.250%), 4/6/26		481,250		460
Connect Finco SARL, 8.972%, (ICE LIBOR USD 1 Month plus 3.500%), 12/11/26		1,161,000		1,159
Grifols SA, 2.211%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR∞		1,850,815		1,959
INEOS Quattro Holdings UK, Ltd., 2.711%, (Euribor 3 Month ACT/360 plus 2.750%), 1/29/26 EUR∞		1,100,000		1,155
INEOS US Petrochem LLC, 8.222%, (US SOFR 1 Month plus 2.750%), 1/29/26		2,147,113		2,140
Intelsat Jackson Holdings SA, 9.722%, (CME Term SOFR 6 Month plus 4.250%), 2/1/29		173,648		173
Lumen Technologies, Inc., 7.722%, (US SOFR 1 Month plus 2.250%), 3/15/27		5,195,155		3,987
Setanta Aircraft Leasing DAC, 7.472%, (ICE LIBOR USD 3 Month plus 2.000%), 11/5/28		4,000,000		3,996
SOCAR Turkey Energy, Inc., 3.411%, (Euribor 3 Month ACT/360 plus 3.450%), 8/17/26 EUR∞		5,800,000		6,076
Standard Industries, Inc., 7.972%, (US SOFR 1 Month plus 2.500%), 9/22/28		1,187,975		1,186
Summer BC Holdco B SARL, 9.972%, (ICE LIBOR USD 1 Month plus 4.500%), 12/4/26		982,500		920
WP/AP Telecom Holdings IV BV, 3.861%, (Euribor 3 Month ACT/360 plus 3.900%), 3/30/29 EUR∞		4,500,000		4,837
Total Bank Loan Obligations (Cost: $39,366)				36,791
Short-Term Investments (39.9%)
Financial (0.0%)
Corestate Capital Holding SA 15.000%, 7/31/23 EUR∞,Æ,f		200,000		220
Total				220
Governments (2.0%)
Federal Home Loan Bank
5.170%, (US SOFR plus 0.080%), 11/29/23		22,600,000		22,609
US Treasury
0.000%, 8/10/23b		162,000		161
0.000%, 8/24/23b		224,000		222

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

152

Multi-Sector Bond Portfolio

Short-Term Investments (39.9%)	Shares/ Par +		Value $ (000’s)
Governments continued
0.000%, 9/14/23b		122,000		121
0.000%, 9/12/23b		123,000		122
Total				23,235
Repurchase Agreements (37.9%)
Barclays Bank PLC repurchase (Purchased on 6/30/23, to be repurchased at $201,057,397, collateralized by US Treasury Bond, 4.75%, due 2/15/41, par and fair value of $182,850,000 and $201,492,129, respectively)
5.140%, 7/5/2023		201,000,000		201,000
BNP Paribas SA repurchase (Purchased on 6/29/23, to be repurchased at $202,686,105, collateralized by US Treasury Inflation Protection Bond, 0.125%, due 1/15/30, par and fair value of $227,806,746 and $204,082,809, respectively)

Short-Term Investments (39.9%)	Shares/Par +		Value $ (000’s)
Repurchase Agreements continued
5.100%, 7/3/23		202,600,000		202,600
BNP Paribas SA repurchase (Purchased on 6/30/23, to be repurchased at $27,311,739, collateralized by US Treasury Inflation Protection Bond, 0.125%, due 7/15/31, par and fair value of $31,525,044 and $27,910,747, respectively)
5.160%, 7/3/23		27,300,000		27,300
Total				430,900
Total Short-Term Investments (Cost: $454,335)				454,355
Total Investments (117.1%) (Cost: $1,494,800)@				1,332,449
Other Assets, Less Liabilities (-17.1%)				(194,994	)
Net Assets (100.0%)				1,137,455

Reverse Repurchase Agreements

Reference Entity	Counterparty	Interest Rate		Borrowing Date		Maturity Date		Currency		Amount Borrowed (000’s)			Payable for Reverse Repurchase Agreements (000s)
Republic of Indonesia	Barclays Bank PLC		3.000%		5/4/23		Open		USD		(2,583	)	$	(2,583	)
Nexi SpA	JP Morgan Securities PLC		2.250%		6/2/23		Open		EUR		(421	)		(460	)
													$	(3,043	)

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Euro-Bund Future		Long		EUR		4,900		49		9/23	$	7,151		$	(68	)	$	5
Five-Year US Treasury Note Future		Long		USD		84,000		840		9/23		89,959			(1,558	)		–
Long Gilt Future		Short		GBP		3,400		34		9/23		4,115			38			15
Ten-Year US Treasury Note Future		Long		USD		90,500		905		9/23		101,600			(1,612	)		127
Two-Year US Treasury Note Future		Long		USD		46,400		232		9/23		47,176			(673	)		(7	)
Ultra Long Term US Treasury Bond Future		Long		USD		25,000		250		9/23		34,055			312			313
Ultra Ten-Year US Treasury Note Future		Long		USD		25,500		255		9/23		30,201	��		(332	)		76
														$	(3,893	)	$	529

Centrally Cleared Interest Rate Swaps - Receive Floating Rate

Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)		Variation Margin (000’s)
1-Day JPY - MUTKCALM Compounded-OIS		0.400%		6/32		1,460,000		JPY	$	125	$	(16	)	$	109	$	–	π
									$	125	$	(16	)	$	109	$	–	π

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

153

Multi-Sector Bond Portfolio

Centrally Cleared Interest Rate Swaps - Pay Floating Rate

Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
1-Day GBP-SONIO Compounded-OIS		3.500%		9/33		2,900		GBP	$	(24	)	$	(210	)	$	(234	)	$	(3	)
1-Day GBP-SONIO Compounded-OIS		3.250%		9/53		1,200		GBP		(36	)		(108	)		(144	)		3
3-Month Canada Bankers Acceptances		2.050%		11/23		33,800		CAD		(3	)		(311	)		(314	)		2
3-Month Canada Bankers Acceptances		0.880%		3/24		12,600		CAD		–			(286	)		(286	)		3
3-Month Canada Bankers Acceptances		2.500%		6/29		8,000		CAD		105			(569	)		(464	)		35
6-Month Euribor		3.500%		9/25		4,400		EUR		(27	)		(1	)		(28	)		1
6-Month Euribor		3.000%		9/28		2,200		EUR		(27	)		5			(22	)		3
6-Month Euribor		3.000%		9/33		18,700		EUR		(127	)		153			26			49
									$	(139	)	$	(1,327	)	$	(1,466	)	$	93

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	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value(000’s)			Variation Margin(000’s)
Markit CDX Emerging Markets Index, Series 34	1.000%	12/25	2.487%		5,336	USD	$	(120	)	$	(59	)	$	(179	)	$	13
Markit CDX Emerging Markets Index, Series 35	1.000%	6/26	1.676%		184	USD		(4	)		1			(3	)		–	π
Markit CDX Emerging Markets Index, Series 36	1.000%	12/26	1.769%		47,196	USD		(1,706	)		577			(1,129	)		114
Markit CDX Emerging Markets Index, Series 37	1.000%	6/27	2.044%		490	USD		(34	)		16			(18	)		1
Markit CDX Emerging Markets Index, Series 38	1.000%	12/27	2.071%		6,600	USD		(474	)		201			(273	)		14
Markit CDX Emerging Markets Index, Series 39	1.000%	6/28	2.131%		13,000	USD		(909	)		288			(621	)		29
Markit CDX North America High Yield Index, Series 38	5.000%	6/27	3.791%		588	USD		(13	)		36			23			4
Markit CDX North America High Yield Index, Series 39	5.000%	12/27	4.119%		10,296	USD		288			40			328			74
Markit CDX North America High Yield Index, Series 40	5.000%	6/28	4.286%		78,000	USD		103			2,076			2,179			573
Markit CDX North America Investment Grade Index, Series 36	1.000%	6/26	0.462%		800	USD		12			–			12			1
Markit CDX North America Investment Grade Index, Series 37	1.000%	12/26	0.526%		900	USD		9			5			14			1

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

154

Multi-Sector Bond Portfolio

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection (continued)

Reference Entity	Receive Fixed Rate		Expiration Date		Implied Credit Spread		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)		Market Value(000’s)		Variation Margin(000’s)
Markit CDX North America Investment Grade Index, Series 38		1.000%		6/27		0.561%		300		USD	$	2		$	3	$	5	$	–	π
Markit CDX North America Investment Grade Index, Series 39		1.000%		12/27		0.636%		9,500		USD		102			37		139		12
Markit CDX North America Investment Grade Index, Series 40		1.000%		6/28		0.660%		65,300		USD		518			459		977		89
											$	(2,226	)	$	3,680	$	1,454	$	925

Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection

Reference Entity	Receive Fixed Rate		Expiration Date		Implied Credit Spread		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value(000’s)			Variation Margin(000’s)
AT&T, Inc.		1.000%		6/24		0.553%		200		USD	$	–		$	1		$	1		$	–	π
AT&T, Inc.		1.000%		6/25		0.649%		100		USD		(2	)		3			1			–	π
AT&T, Inc.		1.000%		6/26		0.744%		100		USD		1			–			1			–	π
Ford Motor Co.		5.000%		6/25		1.344%		200		USD		5			9			14			–	π
Ford Motor Co.		5.000%		12/25		1.577%		400		USD		11			20			31			–	π
Ford Motor Co.		5.000%		6/26		1.729%		1,000		USD		32			56			88			–	π
Ford Motor Co.		5.000%		6/27		2.230%		900		USD		51			36			87			1
Ford Motor Co.		5.000%		12/23		0.933%		200		USD		3			1			4			–	π
Ford Motor Co.		5.000%		12/23		0.933%		700		USD		10			3			13			–	π
Ford Motor Co.		5.000%		6/27		2.375%		300		USD		23			4			27			–	π
General Electric Co.		1.000%		12/26		0.648%		400		USD		3			1			4			–	π
General Electric Co.		1.000%		6/24		0.348%		900		USD		(2	)		8			6			–	π
General Electric Co.		1.000%		6/26		0.577%		3,800		USD		25			19			44			–	π
Glencore Finance Europe, Ltd.		5.000%		12/25		0.911%		2,700		EUR		336			(51	)		285			5
Glencore Finance Europe, Ltd.		5.000%		12/27		1.518%		1,600		EUR		311			(65	)		246			5
Glencore Finance Europe, Ltd.		5.000%		12/26		1.189%		700		EUR		108			(14	)		94			2
Marks & Spencer PLC		1.000%		12/24		0.727%		2,900		EUR		(41	)		54			13			1
Marks & Spencer PLC		1.000%		6/27		1.628%		100		EUR		(6	)		3			(3	)		–	π
Marks & Spencer PLC		1.000%		12/28		2.156%		500		EUR		(30	)		–			(30	)		2
Volkswagen International Finance NV		1.000%		12/26		0.849%		3,100		EUR		45			(28	)		17			3
											$	883		$	60		$	943		$	19

	Financial Derivative Assets						Financial Derivative Liabilities
	Variation Margin (000’s)						Variation Margin (000’s)							Market Value (000’s)
	Swaps		Futures		Total		Swaps			Futures		Total		Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	1,040	$	536	$	1,576	$	(3	)	$	(7)	$	(10)	$	–

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

155

Multi-Sector Bond Portfolio

Over the Counter Derivatives

Forward Foreign Currency Contracts

Type	Counterparty	Currency		Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Bank of America NA		AUD		2,490		1,661		8/16/23	$	22	$	—	$	22
Sell	HSBC Bank PLC		CAD		252		190		8/16/23		—		(3)		(3)
Sell	UBS AG		CAD		123		93		8/16/23		—		(2)		(2)
Sell	Barclays Bank PLC		CNH		121		17		8/16/23		1		—		1
Sell	HSBC Bank PLC		CNH		471		65		8/16/23		4		—		4
Buy	BNP Paribas SA		EUR		159,897		174,480		7/5/23		—		(720)		(720)
Buy	BNP Paribas SA		EUR		1,165		1,274		8/16/23		12		—		12
Buy	HSBC Bank PLC		EUR		13,379		14,629		8/16/23		—		(134)		(134)
Buy	JP Morgan Chase Bank NA		EUR		603		659		8/16/23		3		—		3
Buy	Royal Bank of Canada		EUR		529		579		8/16/23		5		—		5
Buy	UBS AG		EUR		2,591		2,833		8/16/23		44		—		44
Sell	BNP Paribas SA		EUR		159,897		174,480		7/5/23		—		(2,589)		(2,589)
Sell	BNP Paribas SA		EUR		159,897		174,719		8/2/23		726		—		726
Sell	JP Morgan Chase Bank NA		EUR		1,614		1,765		8/16/23		—		(29)		(29)
Sell	UBS AG		EUR		385		421		8/16/23		—		(8)		(8)
Buy	Barclays Bank PLC		GBP		109		139		8/16/23		2		—		2
Buy	JP Morgan Chase Bank NA		GBP		1,205		1,531		8/16/23		4		—		4
Buy	Royal Bank of Canada		GBP		233		296		8/16/23		2		—		2
Buy	UBS AG		GBP		1,056		1,341		8/16/23		7		—		7
Sell	JP Morgan Chase Bank NA		GBP		28,019		35,593		8/16/23		—		(648)		(648)
Sell	Barclays Bank PLC		JPY		51,912		362		8/16/23		30		—		30
Sell	Royal Bank of Canada		JPY		22,900		160		8/16/23		9		—		9
Buy	Royal Bank of Canada		MXN		22		1		7/14/23		—π		—		—π
Buy	Bank of America NA		MXN		141,745		8,260		7/18/23		561		—		561
Sell	Royal Bank of Canada		MXN		813		47		8/16/23		—		—π		—π
Sell	JP Morgan Chase Bank NA		MXN		145,003		8,309		10/16/23		—		(51)		(51)
Buy	HSBC Bank PLC		ZAR		1,719		91		9/19/23		—		(7)		(7)
										$	1,432	$	(4,191)	$	(2,759)

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection

Reference Entity	Counterparty	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Currency	Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/26	1.051%	EUR		1,000	$	163	$	(23	)	$	140
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/26	1.051%	EUR		1,800		298		(46	)		252
Intrum AB	Barclays Bank PLC	5.000%	12/24	9.928%	EUR		100		2		(9	)		(7	)
Intrum AB	Goldman Sachs International	5.000%	12/24	9.928%	EUR		200		6		(20	)		(14	)
Intrum AB	Goldman Sachs International	5.000%	12/24	9.928%	EUR		200		5		(19	)		(14	)
Intrum AB	Goldman Sachs International	5.000%	12/24	9.928%	EUR		200		5		(19	)		(14	)
Intrum AB	Goldman Sachs International	5.000%	12/24	9.928%	EUR		300		10		(31	)		(21	)
Intrum AB	Goldman Sachs International	5.000%	12/24	9.928%	EUR		300		10		(31	)		(21	)
Intrum AB	Goldman Sachs International	5.000%	12/24	9.928%	EUR		400		13		(41	)		(28	)

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

156

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		Currency		Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Intrum AB	Goldman Sachs International		5.000%		12/24		9.928%		EUR		400	$	13		$	(41	)	$	(28	)
Intrum AB	Goldman Sachs International		5.000%		12/24		9.928%		EUR		500		12			(47	)		(35	)
Intrum AB	Goldman Sachs International		5.000%		12/24		9.928%		EUR		600		20			(63	)		(43	)
Intrum AB	Goldman Sachs International		5.000%		12/24		9.928%		EUR		600		16			(59	)		(43	)
Intrum AB	JP Morgan Chase Bank NA		5.000%		12/24		9.928%		EUR		800		19			(76	)		(57	)
Intrum AB	Morgan Stanley Capital Services LLC		5.000%		12/24		9.928%		EUR		100		3			(10	)		(7	)
Intrum AB	Morgan Stanley Capital Services LLC		5.000%		12/24		9.928%		EUR		100		3			(10	)		(7	)
Intrum AB	Morgan Stanley Capital Services LLC		5.000%		12/24		9.928%		EUR		200		6			(20	)		(14	)
Republic of Indonesia	Barclays Bank PLC		1.000%		6/31		1.322%		USD		5,700		(192	)		72			(120	)
United Mexican States	Morgan Stanley Capital Services LLC		1.000%		12/26		0.662%		USD		300		–	π		3			3
United Mexican States	Morgan Stanley Capital Services LLC		1.000%		6/27		0.769%		USD		100		–	π		1			1
United Mexican States	Morgan Stanley Capital Services LLC		1.000%		6/28		1.029%		USD		400		(9	)		8			(1	)
												$	403		$	(481	)	$	(78	)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts		Swaps		Total		Forward Foreign Currency Contracts			Options		Swaps			Total
Total Over the Counter Derivatives	$	1,432	$	396	$	1,828	$	(4,191	)		—	$	(474	)	$	(4,665	)

Restricted Securities

Description	Coupon	Maturity Date	Acquisition Date	Cost (000’s)		Value (000’s)		Value as a Percentage of Net Assets
Constellation Oil - Class B			6/10/22	$	12	$	12		–	%π
Corestate Capital Holding SA	15.00	7/31/23	12/6/22		209		220		0.02	%
DrillCo Holding Lux SA Class B			6/8/23		54		52		0.01	%
DrillCo Holding Lux SA Class C			6/8/23		484		464		0.04	%

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

* Non income producing

Æ Security valued using significant unobservable inputs.

d Restricted security – see accompanying table for additional details

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023 the value of these securities (in thousands) was $237,406 representing 20.9% of the net assets.

f Defaulted Security

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

157

Multi-Sector Bond Portfolio

∞ Foreign Bond — par value is foreign denominated.

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At June 30, 2023, the aggregate value of these securities was $183,664 (in thousands), representing 16.1% of net assets.

µ Perpetual maturity, date shown, if applicable, represents next contractual call date.

y Contingent convertible security

Þ PIK - Payment In Kind. PIK rate of Constellation Oil Services Holding SA 4.000%.

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

π Amount is less than one thousand.

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

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,490,809 and the net unrealized depreciation of investments based on that cost was $167,094 which is comprised of $11,520 aggregate gross unrealized appreciation and $178,614 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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		$	—		$	36,538		$	253
Common Stocks
Real Estate			26			—			10
All Others			—			—			745
Convertible Corporate Bonds			—			812			—
Municipal Bonds			—			6,844			—
Corporate Bonds
Communications			—			67,153			12
Financial			—			149,286			243
All Others			—			264,635			—
Governments			—			186,963			—
Structured Products			—			164,574			—
Short-Term Investments
Financial			—			—			220
All Others			—			454,135			—
Other Financial Instruments^
Futures			350			—			—
Forward Foreign Currency Contracts			—			1,432			—
Interest Rate Swaps			—			135			—
Credit Default Swaps			—			5,049			—
Total Assets:		$	376		$	1,337,556		$	1,483
Liabilities:
Other Financial Instruments^
Futures			(4,243	)		—			—
Forward Foreign Currency Contracts			—			(4,191	)		—
Interest Rate Swaps			—			(1,492	)		—
Credit Default Swaps			—			(2,730	)		—
Reverse Repurchase Agreements			—			(3,043	)		—
Total Liabilities:		$	(4,243	)	$	(11,456	)	$	—

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

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2023.

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

158

Balanced Portfolio (unaudited)

Sector Allocation 6/30/23
Sector	% of Net Assets
Fixed Income	46.8%
Domestic Equity	38.3%
Foreign Equity	10.8%
Short-Term Investments & Other Net Assets	4.1%
Sector Allocation is subject to change.

159

Balanced Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Investment Companies (95.9%)	Shares/ Par +		Value $ (000’s)
Domestic Equity (38.3%)
iShares Core S&P 500 ETF		514,300		229,229
iShares Core S&P Mid-Cap ETF		76,450		19,990
iShares Core S&P Small-Cap ETF		174,500		17,389
iShares Russell 2000 ETF		40,700		7,622
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		54,196,368		88,177
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		23,074,348		86,321
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		69,261,874		82,006
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		28,619,610		84,485
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		50,494,797		85,084
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		8,954,100		19,189
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		12,656,070		23,793
Total				743,285
Fixed Income (46.8%)
iShares Core U.S. Aggregate Bond ETF		851,000		83,356
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		87,017,064		57,431
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		111,382,309		104,699
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		584,502,491		640,615

Investment Companies (95.9%)	Shares/ Par +		Value $ (000’s)
Fixed Income continued
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		23,056,020		23,171
Total				909,272
Foreign Equity (10.8%)
iShares Core MSCI EAFE ETF		974,700		65,792
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		5,931,272		5,575
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		44,641,885		68,972
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		37,112,202		69,289
Total				209,628
Total Investment Companies (Cost: $1,952,651)				1,862,185
Short-Term Investments (2.3%)
Investment Companies (2.3%)
JPMorgan Ultra-Short Income ETF		452,950		22,711
PIMCO Enhanced Short Maturity Active ETF		225,400		22,486
Total				45,197
Total Short-Term Investments (Cost: $45,999)				45,197
Total Investments (98.2%) (Cost: $1,998,650)@				1,907,382
Other Assets, Less Liabilities (1.8%)				33,980
Net Assets (100.0%)				1,941,362

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

£ Affiliated Company

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,998,650 and the net unrealized depreciation of investments based on that cost was $91,268 which is comprised of $60,048 aggregate gross unrealized appreciation and $151,316 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

160

Balanced Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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		$	1,862,185	$	—	$	—
Short-Term Investments			45,197		—		—
Total Assets:		$	1,907,382	$	—	$	—

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

161

Asset Allocation Portfolio (unaudited)

Sector Allocation 6/30/23
Sector	% of Net Assets
Domestic Equity	49.4%
Fixed Income	31.8%
Foreign Equity	15.7%
Short-Term Investments & Other Net Assets	3.1%
Sector Allocation is subject to change.

162

Asset Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2023 (unaudited)

Investment Companies (96.9%)	Shares/ Par +		Value $ (000’s)
Domestic Equity (49.4%)
iShares Core S&P 500 ETF		80,850		36,036
iShares Core S&P Mid-Cap ETF		10,750		2,811
iShares Core S&P Small-Cap ETF		27,200		2,711
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		11,169,147		18,172
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		4,791,053		17,923
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		12,341,454		14,612
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		4,875,469		14,392
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		8,681,288		14,628
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		2,804,874		6,011
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		3,408,985		6,409
Total				133,705
Fixed Income (31.8%)
iShares Core U.S. Aggregate Bond ETF		118,400		11,597
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		20,375,749		13,448
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		14,896,732		14,003
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		40,080,666		43,928

Investment Companies (96.9%)	Shares/ Par +		Value $ (000’s)
Fixed Income continued
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		3,151,127		3,167
Total				86,143
Foreign Equity (15.7%)
iShares Core MSCI EAFE ETF		170,400		11,502
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		2,875,969		2,703
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		9,252,755		14,296
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		7,552,100		14,100
Total				42,601
Total Investment Companies (Cost: $268,872)				262,449
Short-Term Investments (1.5%)
Investment Companies (1.5%)
JPMorgan Ultra-Short Income ETF		40,300		2,021
PIMCO Enhanced Short Maturity Active ETF		20,100		2,005
Total				4,026
Total Short-Term Investments (Cost: $4,097)				4,026
Total Investments (98.4%) (Cost: $272,969)@				266,475
Other Assets, Less Liabilities (1.6%)				4,216
Net Assets (100.0%)				270,691

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

£ Affiliated Company

@ At June 30, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $272,969 and the net unrealized depreciation of investments based on that cost was $6,494 which is comprised of $9,400 aggregate gross unrealized appreciation and $15,894 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

163

Asset Allocation Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2023. 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		$	262,449	$	—	$	—
Short-Term Investments			4,026		—		—
Total Assets:		$	266,475	$	—	$	—

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

164

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2023 (unaudited) (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)	$	987,629	$	1,210,997	$	632,493	$	171,143	$	5,123,669
Cash		2,812		24,120		8,764		6,884		47,007
Collateral with Counterparty		—		—		—		—		2,625
Receivable for Portfolio Shares Sold		17		58		33		—		532
Receivable for Investment Securities Sold		204		4,448		5,797		—		—
Variation Margin Receivable		—		—		—		—		609
Prepaid Expenses and Other Assets		11		12		10		8		28
Dividends and Interest Receivable		148		348		399		237		3,312
Total Assets		990,821		1,239,983		647,496		178,272		5,177,782
Liabilities
Payable for Portfolio Shares Redeemed		361		11,326		185		6		838
Payable for Investment Securities Purchased		858		520		9,584		—		—
Investment Advisory Fees Payable		329		606		215		106		780
Compliance Fees Payable		4		4		4		3		8
Accrued Expenses		31		33		30		17		47
Total Liabilities		1,583		12,489		10,018		132		1,673
Net Assets	$	989,238	$	1,227,494	$	637,478	$	178,140	$	5,176,109
Represented By:
Aggregate Paid in Capital (10) (11)	$	718,014	$	585,706	$	459,469	$	126,404	$	1,683,589
Total Distributable Earnings (Loss)		271,224		641,788		178,009		51,736		3,492,520
Net Assets for Shares Outstanding (10) (11)	$	989,238	$	1,227,494	$	637,478	$	178,140	$	5,176,109
Net Asset Value, Offering and Redemption Price per Share	$	2.75	$	3.74	$	1.67	$	1.18	$	7.45
(1) Unaffiliated Investments, at Cost	$	669,217	$	708,256	$	509,339	$	147,625	$	1,780,612
(10) Shares Outstanding		359,391		328,071		382,011		150,397		694,800
(11) Shares Authorized, $.01 Par Value		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000

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

165

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2023 (unaudited) (in thousands)

	Large Company Value Portfolio		Domestic Equity Portfolio		Equity Income Portfolio		Mid Cap Growth Stock Portfolio		Index 400 Stock Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	149,080	$	1,025,290	$	685,874	$	1,065,020	$	1,204,909
Cash		3,806		12,232		9,930		1,476		17,489
Foreign Currency, at Value (4)		4		—		—		—		—
Collateral with Counterparty		2		—		—		—		—
Receivable for Portfolio Shares Sold		46		169		81		25		106
Receivable for Investment Securities Sold		1,466		7,098		208		1,422		—
Variation Margin Receivable		—		—		—		—		131
Receivable for Foreign Currency		4		—		—		—		—
Prepaid Expenses and Other Assets		9		12		11		12		13
Dividends and Interest Receivable		349		1,618		1,831		349		1,360
Total Assets		154,766		1,046,419		697,935		1,068,304		1,224,008
Liabilities
Payable for Portfolio Shares Redeemed		54		8,002		107		276		214
Payable for Investment Securities Purchased		865		—		390		1,051		—
Payable for Foreign Currency		11		—		—		—		—
Collateral from Counterparty		—		—		—		—		7
Investment Advisory Fees Payable		81		408		311		448		215
Compliance Fees Payable		3		4		4		4		4
Accrued Expenses		36		30		33		34		67
Total Liabilities		1,050		8,444		845		1,813		507
Net Assets	$	153,716	$	1,037,975	$	697,090	$	1,066,491	$	1,223,501
Represented By:
Aggregate Paid in Capital (10) (11)	$	122,221	$	767,465	$	475,822	$	989,993	$	841,580
Total Distributable Earnings (Loss)		31,495		270,510		221,268		76,498		381,921
Net Assets for Shares Outstanding (10) (11)	$	153,716	$	1,037,975	$	697,090	$	1,066,491	$	1,223,501
Net Asset Value, Offering and Redemption Price per Share	$	0.93	$	1.63	$	1.73	$	2.95	$	2.14
(1) Unaffiliated Investments, at Cost	$	144,144	$	875,872	$	562,166	$	954,668	$	907,478
(4) Foreign Currency, at Cost		4		—		—		—		—
(10) Shares Outstanding		165,166		638,057		402,542		361,276		570,723
(11) Shares Authorized, $.01 Par Value		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000

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

166

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2023 (unaudited) (in thousands)

	Mid Cap Value Portfolio		Small Cap Growth Stock Portfolio		Index 600 Stock Portfolio		Small Cap Value Portfolio		International Growth Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	642,186	$	659,376	$	398,293	$	536,795	$	969,849
Cash		18,544		14,461		1,091		14,162		10,506
Foreign Currency, at Value (4)		560		—		—		—		220
Collateral with Counterparty		620		—		—		—		—
Receivable for Portfolio Shares Sold		148		94		68		83		124
Receivable for Investment Securities Sold		3,638		745		—		1,226		570
Variation Margin Receivable		—		—		7		—		—
Receivable for Foreign Currency		2		—		—		—		1
Prepaid Expenses and Other Assets		11		10		21		10		11
Dividends and Interest Receivable		1,260		166		435		398		2,080
Total Assets		666,969		674,852		399,915		552,674		983,361
Liabilities
Payable for Portfolio Shares Redeemed		4,866		115		65		92		237
Payable for Investment Securities Purchased		5,980		5,780		—		2,820		3,666
Accrued Foreign Capital Gains Tax		—		—		—		—		232
Payable for Foreign Currency		65		—		—		—		—
Collateral from Counterparty		1,560		—		3		—		—
Investment Advisory Fees Payable		366		287		72		375		466
Compliance Fees Payable		4		4		3		4		4
Accrued Expenses		51		31		46		31		70
Total Liabilities		12,892		6,217		189		3,322		4,675
Net Assets	$	654,077	$	668,635	$	399,726	$	549,352	$	978,686
Represented By:
Aggregate Paid in Capital (10) (11)	$	545,650	$	627,632	$	326,624	$	415,953	$	715,630
Total Distributable Earnings (Loss)		108,427		41,003		73,102		133,399		263,056
Net Assets for Shares Outstanding (10) (11)	$	654,077	$	668,635	$	399,726	$	549,352	$	978,686
Net Asset Value, Offering and Redemption Price per Share	$	1.69	$	2.14	$	1.47	$	1.88	$	1.87
(1) Unaffiliated Investments, at Cost	$	642,184	$	575,808	$	349,627	$	443,751	$	748,086
(4) Foreign Currency, at Cost		561		—		—		—		220
(10) Shares Outstanding		388,053		312,055		271,493		292,100		524,199
(11) Shares Authorized, $.01 Par Value		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000

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

167

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2023 (unaudited) (in thousands)

	Research International Core Portfolio		International Equity Portfolio		Emerging Markets Equity Portfolio			Government Money Market Portfolio		Short-Term Bond Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	796,126	$	1,800,476	$	880,897		$	207,772	$	378,328
Investments in Repurchase Agreements, at Value (3)		—		—		—			322,000		—
Cash		599		19,120		15,093			402		6,056
Foreign Currency, at Value (4)		269		1,479		519			—		—
Receivable for Portfolio Shares Sold		186		160		190			1,462		259
Receivable for Investment Securities Sold		946		5,955		—			—		1,041
Receivable for Foreign Currency		2		6,739		—			—		—
Prepaid Expenses and Other Assets		11		15		11			11		10
Dividends and Interest Receivable		2,793		6,074		3,620			939		2,694
Total Assets		800,932		1,840,018		900,330			532,586		388,388
Liabilities
Payable for Portfolio Shares Redeemed		270		448		213			525		151
Payable for Investment Securities Purchased		924		—		1,499			3,093		3,732
Accrued Foreign Capital Gains Tax		223		1,859		4,037			—		—
Variation Margin Payable		—		—		—			—		35
Payable for Foreign Currency		—		93		—			—		—
Collateral from Counterparty		—		6,360		—			—		—
Investment Advisory Fees Payable		464		970		628			132		103
Compliance Fees Payable		4		5		4			4		4
Accrued Expenses		70		121		103			37		57
Total Liabilities		1,955		9,856		6,484			3,791		4,082
Net Assets	$	798,977	$	1,830,162	$	893,846		$	528,795	$	384,306
Represented By:
Aggregate Paid in Capital (10) (11)	$	637,902	$	1,820,337	$	904,113		$	528,790	$	397,036
Total Distributable Earnings (Loss)		161,075		9,825		(10,267	)		5		(12,730	)
Net Assets for Shares Outstanding (10) (11)	$	798,977	$	1,830,162	$	893,846		$	528,795	$	384,306
Net Asset Value, Offering and Redemption Price per Share	$	1.08	$	1.55	$	0.94		$	1.00	$	1.01
(1) Unaffiliated Investments, at Cost	$	673,597	$	1,847,746	$	879,306		$	207,772	$	394,370
(3) Investments in Repurchase Agreements, at Cost		—		—		—			322,000		—
(4) Foreign Currency, at Cost		269		1,150		1,183			—		—
(10) Shares Outstanding		739,255		1,184,252		950,398			528,788		382,370
(11) Shares Authorized, $.01 Par Value		2,000,000		3,000,000		2,000,000			2,000,000		2,000,000

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

168

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2023 (unaudited) (in thousands)

	Select Bond Portfolio			Long-Term U.S. Government Bond Portfolio			Inflation Protection Portfolio			High Yield Bond Portfolio			Multi-Sector Bond Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	2,948,931		$	159,715		$	412,767		$	685,511		$	901,549
Investments in Repurchase Agreements, at Value (3)		—			—			—			—			430,900
Cash		56,876			703			4,988			17,798			5,737
Foreign Currency, at Value (4)		—			—			—			—			2,033
Collateral with Counterparty		—			1,196			9,287			—			15,601
Receivable for Portfolio Shares Sold		563			207			83			73			207
Receivable for Investment Securities Sold		160,459			4,787			104			—			14,371
Receivable for Financing Transactions		—			132,817			—			—			—
Variation Margin Receivable		—			4			77			—			1,576
Outstanding Swap Contracts, at Value (8)		—			—			6,280			—			396
Receivable for Foreign Currency		—			—			—			—			1,432
Deferred Expense for Financing Transactions		—			22			—			—			—
Prepaid Expenses and Other Assets		18			7			10			10			13
Dividends and Interest Receivable		16,084			963			2,113			12,314			11,548
Total Assets		3,182,931			300,421			435,709			715,706			1,385,363
Liabilities
Payable for Portfolio Shares Redeemed		522			30			125			189			310
Payable for Investment Securities Purchased		349,092			16,597			—			296			238,533
Payable for Financing Transactions		—			167,132			—			—			—
Variation Margin Payable		—			134			—			—			10
Outstanding Options Written, at Value (6)		—			8			—			—			—
Securities Sold Short, at Value (7)		8,747			—			—			—			—
Payable for Reverse Repurchase Agreements		—			—			—			—			3,043
Outstanding Swap Contracts, at Value (9)		—			—			312			—			474
Payable for Foreign Currency		—			—			182			—			4,191
Collateral from Counterparty		40			330			13,238			—			610
Investment Advisory Fees Payable		683			47			172			246			634
Compliance Fees Payable		6			3			4			4			4
Accrued Expenses		87			38			69			47			99
Total Liabilities		359,177			184,319			14,102			782			247,908
Net Assets	$	2,823,754		$	116,102		$	421,607		$	714,924		$	1,137,455
Represented By:
Aggregate Paid in Capital (10) (11)	$	3,225,561		$	175,473		$	443,495		$	756,320		$	1,305,572
Total Distributable Earnings (Loss)		(401,807	)		(59,371	)		(21,888	)		(41,396	)		(168,117	)
Net Assets for Shares Outstanding (10) (11)	$	2,823,754		$	116,102		$	421,607		$	714,924		$	1,137,455
Net Asset Value, Offering and Redemption Price per Share	$	1.10		$	0.68		$	1.07		$	0.66		$	0.94
(1) Unaffiliated Investments, at Cost	$	3,105,529		$	186,761		$	457,214		$	772,012		$	1,063,900
(3) Investments in Repurchase Agreements, at Cost		—			—			—			—			430,900
(4) Foreign Currency, at Cost		—			—			—			—			1,797
(6) Premiums Received on Options Written		—			14			—			—			—
(7) Proceeds Received from Short Sales		8,791			—			—			—			—
(8) Premiums Paid on Swap Contracts		—			167			4			—			3,784
(9) Premiums Received from Swap Contracts		—			34			1			—			2,832
(10) Shares Outstanding		2,577,401			170,988			393,302			1,083,217			1,209,686
(11) Shares Authorized, $.01 Par Value		6,000,000			2,000,000			2,000,000			3,000,000			2,000,000

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

169

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2023 (unaudited) (in thousands)

	Balanced Portfolio		Asset Allocation Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	468,575	$	68,683
Affiliated Investments, at Value (2)		1,438,807		197,792
Cash		21,388		3,585
Receivable for Portfolio Shares Sold		577		13
Receivable for Investment Securities Sold		26,120		2,449
Prepaid Expenses and Other Assets		15		9
Total Assets		1,955,482		272,531
Liabilities
Payable for Portfolio Shares Redeemed		669		154
Payable for Investment Securities Purchased		13,332		1,647
Investment Advisory Fees Payable		79		11
Compliance Fees Payable		5		3
Accrued Expenses		35		25
Total Liabilities		14,120		1,840
Net Assets	$	1,941,362	$	270,691
Represented By:
Aggregate Paid in Capital (10) (11)	$	1,911,769	$	253,011
Total Distributable Earnings (Loss)		29,593		17,680
Net Assets for Shares Outstanding (10) (11)	$	1,941,362	$	270,691
Net Asset Value, Offering and Redemption Price per Share	$	1.30	$	1.10
(1) Unaffiliated Investments, at Cost	$	432,349	$	63,575
(2) Affiliated Investments, at Cost		1,566,301		209,394
(10) Shares Outstanding		1,496,397		245,237
(11) Shares Authorized, $.01 Par Value		4,000,000		2,000,000

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

170

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2023 (unaudited) (in thousands)

	Growth Stock Portfolio		Focused Appreciation Portfolio			Large Cap Core Stock Portfolio			Large Cap Blend Portfolio			Index 500 Stock Portfolio
Investment Income
Income
Interest (1)	$	64	$	230		$	109		$	200		$	1,185
Unaffiliated Dividends (1)		2,576		2,975			4,234			1,356			39,892
Total Income		2,640		3,205			4,343			1,556			41,077
Expenses
Investment Advisory Fees		1,779		4,008			1,263			724			4,736
Custodian Fees		5		4			7			2			4
Shareholder Reporting Fees		11		12			10			9			16
Audit Fees		15		13			15			12			21
Valuation Services		—		—			1			—			3
Compliance Fees		7		7			6			6			13
Directors Fees		20		22			19			17			41
Professional Fees		6		8			6			5			9
Trade Name Fees		—		—			—			—			58
Other Expenses		7		9			5			3			37
Total Expenses		1,850		4,083			1,332			778			4,938
Less Waived Fees:
Paid by Affiliate		—		(667	)		(15	)		(63	)		(275	)
Net Expenses		1,850		3,416			1,317			715			4,663
Net Investment Income (Loss)		790		(211	)		3,026			841			36,414
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		14,402		66,816			7,852			11,855			5,967
Futures Contracts		—		—			—			—			3,525
Net Realized Gain (Loss) on Investments		14,402		66,816			7,852			11,855			9,492
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		242,540		283,287			77,039			5,025			697,785
Futures Contracts		—		—			—			—			3,008
Net Change in Unrealized Appreciation (Depreciation) of Investments		242,540		283,287			77,039			5,025			700,793
Net Gain (Loss) on Investments		256,942		350,103			84,891			16,880			710,285
Net Increase (Decrease) in Net Assets Resulting from Operations	$	257,732	$	349,892		$	87,917		$	17,721		$	746,699
(1) Net of Foreign Witholding Tax	$	18	$	388		$	19		$	14		$	11

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

171

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2023 (unaudited) (in thousands)

	Large Company Value Portfolio			Domestic Equity Portfolio			Equity Income Portfolio			Mid Cap Growth Stock Portfolio			Index 400 Stock Portfolio
Investment Income
Income
Interest (1)	$	86		$	316		$	189		$	30		$	324
Unaffiliated Dividends (1)		2,014			12,491			10,588			3,477			10,137
Total Income		2,100			12,807			10,777			3,507			10,461
Expenses
Investment Advisory Fees		530			2,674			2,189			2,705			1,459
Custodian Fees		9			1			11			8			13
Shareholder Reporting Fees		10			13			11			11			14
Audit Fees		14			14			14			15			16
Valuation Services		7			—			1			—			2
Compliance Fees		5			7			6			7			7
Directors Fees		17			22			20			22			22
Professional Fees		5			6			6			6			6
Trade Name Fees		—			—			—			—			69
Other Expenses		4			9			6			9			12
Total Expenses		601			2,746			2,264			2,783			1,620
Less Waived Fees:
Paid by Affiliate		(37	)		(189	)		(290	)		(2	)		(168	)
Net Expenses		564			2,557			1,974			2,781			1,452
Net Investment Income (Loss)		1,536			10,250			8,803			726			9,009
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		2,313			45,168			17,141			(17,488	)		9,488
Futures Contracts		—			—			—			—			922
Foreign Currency Transactions		(220	)		—			(11	)		—			—
Net Realized Gain (Loss) on Investments		2,093			45,168			17,130			(17,488	)		10,410
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(2,458	)		(57,864	)		(8,787	)		104,999			78,679
Futures Contracts		—			—			—			—			734
Foreign Currency Transactions		46			—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) of Investments		(2,412	)		(57,864	)		(8,787	)		104,999			79,413
Net Gain (Loss) on Investments		(319	)		(12,696	)		8,343			87,511			89,823
Net Increase (Decrease) in Net Assets Resulting from Operations	$	1,217		$	(2,446	)	$	17,146		$	88,237		$	98,832
(1) Net of Foreign Witholding Tax	$	53		$	—		$	339		$	1		$	—

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

172

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2023 (unaudited) (in thousands)

	Mid Cap Value Portfolio			Small Cap Growth Stock Portfolio		Index 600 Stock Portfolio			Small Cap Value Portfolio			International Growth Portfolio
Investment Income
Income
Interest (1)	$	324		$	259	$	65		$	359		$	359
Unaffiliated Dividends (1)		9,223			2,220		3,606			4,323			10,092
Total Income		9,547			2,479		3,671			4,682			10,451
Expenses
Investment Advisory Fees		2,750			1,672		432			2,297			2,784
Custodian Fees		25			5		18			10			64
Shareholder Reporting Fees		14			13		12			12			14
Audit Fees		15			14		15			13			16
Valuation Services		7			1		3			1			7
Compliance Fees		6			6		6			6			7
Directors Fees		20			19		18			19			21
Professional Fees		6			6		4			6			10
Trade Name Fees		—			—		18			—			—
Other Expenses		8			6		6			5			7
Total Expenses		2,851			1,742		532			2,369			2,930
Less Waived Fees:
Paid by Affiliate		(516	)		—		—			(11	)		—
Net Expenses		2,335			1,742		532			2,358			2,930
Net Investment Income (Loss)		7,212			737		3,139			2,324			7,521
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		10,345			32,834		1,402			1,414			9,074
Futures Contracts		—			—		(79	)		—			—
Foreign Currency Transactions		(780	)		—		—			—			(13	)
Net Realized Gain (Loss) on Investments		9,565			32,834		1,323			1,414			9,061
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		1,257			44,520		17,865			17,026			114,233
Futures Contracts		—			—		72			—			—
Foreign Currency Transactions		239			—		—			—			2
Net Change in Unrealized Appreciation (Depreciation) of Investments		1,496			44,520		17,937			17,026			114,235
Net Gain (Loss) on Investments		11,061			77,354		19,260			18,440			123,296
Net Increase (Decrease) in Net Assets Resulting from Operations	$	18,273		$	78,091	$	22,399		$	20,764		$	130,817
(1) Net of Foreign Witholding Tax	$	201		$	—	$	3		$	21		$	(6	)

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

173

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2023 (unaudited) (in thousands)

	Research International Core Portfolio			International Equity Portfolio			Emerging Markets Equity Portfolio			Government Money Market Portfolio			Short-Term Bond Portfolio
Investment Income
Income
Interest (1)	$	163		$	347		$	407		$	12,654		$	6,735
Unaffiliated Dividends (1)		13,202			40,566			16,800			—			—
Total Income		13,365			40,913			17,207			12,654			6,735
Expenses
Investment Advisory Fees		2,969			5,852			4,609			800			622
Custodian Fees		54			117			130			20			15
Shareholder Reporting Fees		14			17			15			6			12
Audit Fees		16			17			16			14			17
Valuation Services		7			7			7			3			29
Compliance Fees		6			8			7			6			6
Directors Fees		20			25			21			19			18
Professional Fees		8			4			11			6			9
Other Expenses		6			15			6			4			7
Total Expenses		3,100			6,062			4,822			878			735
Less Waived Fees:
Paid by Affiliate		(195	)		—			(818	)		(2	)		—
Net Expenses		2,905			6,062			4,004			876			735
Net Investment Income (Loss)		10,460			34,851			13,203			11,778			6,000
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		3,879			(24,550	)		(2,893	)		5			(1,755	)
Futures Contracts		—			—			—			—			(418	)
Foreign Currency Transactions		(107	)		2,814			(129	)		—			—
Net Realized Gain (Loss) on Investments		3,772			(21,736	)		(3,022	)		5			(2,173	)
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		58,615			158,228			34,232			—			2,863
Futures Contracts		—			—			—			—			(1,061	)
Foreign Currency Transactions		119			4,540			(178	)		—			—
Net Change in Unrealized Appreciation (Depreciation) of Investments		58,734			162,768			34,054			—			1,802
Net Gain (Loss) on Investments		62,506			141,032			31,032			5			(371	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	72,966		$	175,883		$	44,235		$	11,783		$	5,629
(1) Net of Foreign Witholding Tax	$	743		$	1,004		$	935		$	—		$	—

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

174

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2023 (unaudited) (in thousands)

	Select Bond Portfolio			Long- Term U.S. Government Bond Portfolio			Inflation Protection Portfolio			High Yield Bond Portfolio			Multi-Sector Bond Portfolio
Investment Income
Income
Interest (1)	$	54,757		$	2,546		$	7,626		$	23,234		$	28,864
Total Income		54,757			2,546			7,626			23,234			28,864
Expenses
Investment Advisory Fees		4,229			311			1,133			1,484			4,355
Custodian Fees		56			5			8			2			57
Shareholder Reporting Fees		15			10			13			14			14
Audit Fees		22			19			20			20			25
Valuation Services		32			7			12			20			35
Compliance Fees		10			5			6			6			7
Directors Fees		31			17			18			20			22
Professional Fees		8			8			9			6			10
Interest Expense		—			719			—			—			86
Other Expenses		28			7			22			7			13
Total Expenses		4,431			1,108			1,241			1,579			4,624
Less Waived Fees:
Paid by Affiliate		(84	)		(19	)		(79	)		—			(527	)
Net Expenses		4,347			1,089			1,162			1,579			4,097
Net Investment Income (Loss)		50,410			1,457			6,464			21,655			24,767
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(74,614	)		(18,499	)		(6,607	)		(8,762	)		(9,029	)
Futures Contracts		—			(123	)		(1,164	)		—			(1,476	)
Options Written		—			61			—			—			—
Short Sales		—			(76	)		—			—			—
Swap Contracts		—			(115	)		1,826			—			4,221
Foreign Currency Transactions		—			—			(22	)		—			(4,074	)
Reverse Repurchase Agreements		—			—			—			—			(23	)
Net Realized Gain (Loss) on Investments		(74,614	)		(18,752	)		(5,967	)		(8,762	)		(10,381	)
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		97,007			21,251			10,038			23,204			20,285
Futures Contracts		—			543			—			—			(1,953	)
Options Written		—			11			—			—			—
Short Sales		44			(30	)		—			—			—
Swap Contracts		—			(25	)		(1,121	)		—			1,930
Foreign Currency Transactions		—			—			(174	)		—			1,251
Reverse Repurchase Agreements		—			—			—			—			28
Net Change in Unrealized Appreciation (Depreciation) of Investments		97,051			21,750			8,743			23,204			21,541
Net Gain (Loss) on Investments		22,437			2,998			2,776			14,442			11,160
Net Increase (Decrease) in Net Assets Resulting from Operations	$	72,847		$	4,455		$	9,240		$	36,097		$	35,927

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

175

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2023 (unaudited) (in thousands)

	Balanced Portfolio			Asset Allocation Portfolio
Investment Income
Income
Interest (1)	$	541		$	67
Unaffiliated Dividends (1)		4,515			648
Total Income		5,056			715
Expenses
Investment Advisory Fees		2,861			701
Custodian Fees		1			1
Shareholder Reporting Fees		11			9
Audit Fees		19			16
Compliance Fees		9			6
Directors Fees		26			18
Professional Fees		7			5
Other Expenses		16			3
Total Expenses		2,950			759
Less Waived Fees:
Paid by Affiliate		(2,385	)		(635	)
Net Expenses		565			124
Net Investment Income (Loss)		4,491			591
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		835			(221	)
Affiliated Investment Securities		9,158			3,217
Net Realized Gain (Loss) on Investments		9,993			2,996
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		35,582			5,799
Affiliated Investment Securities		85,662			13,042
Net Change in Unrealized Appreciation (Depreciation) of Investments		121,244			18,841
Net Gain (Loss) on Investments		131,237			21,837
Net Increase (Decrease) in Net Assets Resulting from Operations	$	135,728		$	22,428

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

176

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Growth Stock Portfolio						Focused Appreciation Portfolio						Large Cap Core Stock Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	790		$	392		$	(211	)	$	(270	)	$	3,026		$	6,282
Net Realized Gain (Loss) on Investments		14,402			(61,676	)		66,816			75,764			7,852			39,905
Net Change in Unrealized Appreciation (Depreciation) of Investments		242,540			(462,439	)		283,287			(439,271	)		77,039			(202,614	)
Net Increase (Decrease) in Net Assets Resulting from Operations		257,732			(523,723	)		349,892			(363,777	)		87,917			(156,427	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(151,353	)		—			(127,992	)		—			(115,717	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(151,353	)		—			(127,992	)		—			(115,717	)
Capital Transactions:
Shares Sold		15,469			33,413			23,143			96,235			8,515			16,142
Reinvestment of Distributions Paid		—			151,353			—			127,992			—			115,717
Shares Redeemed		(34,666	)		(148,886	)		(109,470	)		(95,890	)		(25,149	)		(136,326	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(19,197	)		35,880			(86,327	)		128,337			(16,634	)		(4,467	)
Total Increase (Decrease) in Net Assets		238,535			(639,196	)		263,565			(363,432	)		71,283			(276,611	)
Net Assets
Beginning of Period		750,703			1,389,899			963,929			1,327,361			566,195			842,806
End of Period	$	989,238		$	750,703		$	1,227,494		$	963,929		$	637,478		$	566,195
Portfolio Share Transactions:
Shares Sold		6,591			12,510			7,206			30,292			5,532			8,975
Reinvestment of Distributions Paid		—			65,014			—			45,052			—			77,924
Shares Redeemed		(14,591	)		(53,936	)		(33,067	)		(28,735	)		(16,286	)		(75,581	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(8,000	)		23,588			(25,861	)		46,609			(10,754	)		11,318

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

177

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Large Cap Blend Portfolio						Index 500 Stock Portfolio						Large Company Value Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	841		$	1,511		$	36,414		$	67,102		$	1,536		$	3,460
Net Realized Gain (Loss) on Investments		11,855			14,078			9,492			38,550			2,093			21,152
Net Change in Unrealized Appreciation (Depreciation) of Investments		5,025			(42,548	)		700,793			(1,107,970	)		(2,412	)		(29,517	)
Net Increase (Decrease) in Net Assets Resulting from Operations		17,721			(26,959	)		746,699			(1,002,318	)		1,217			(4,905	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(19,367	)		—			(208,620	)		—			(32,410	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(19,367	)		—			(208,620	)		—			(32,410	)
Capital Transactions:
Shares Sold		2,203			41,532			158,130			306,887			11,082			22,204
Reinvestment of Distributions Paid		—			19,367			—			208,620			—			32,410
Shares Redeemed		(37,711	)		(21,772	)		(194,634	)		(343,625	)		(10,997	)		(92,445	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(35,508	)		39,127			(36,504	)		171,882			85			(37,831	)
Total Increase (Decrease) in Net Assets		(17,787	)		(7,199	)		710,195			(1,039,057	)		1,302			(75,146	)
Net Assets
Beginning of Period		195,927			203,126			4,465,914			5,504,971			152,414			227,560
End of Period	$	178,140		$	195,927		$	5,176,109		$	4,465,914		$	153,716		$	152,414
Portfolio Share Transactions:
Shares Sold		1,935			35,594			23,173			44,050			12,046			20,292
Reinvestment of Distributions Paid		—			18,515			—			31,701			—			37,082
Shares Redeemed		(32,830	)		(19,365	)		(28,391	)		(48,998	)		(11,985	)		(83,073	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(30,895	)		34,744			(5,218	)		26,753			61			(25,699	)

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

178

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Domestic Equity Portfolio						Equity Income Portfolio						Mid Cap Growth Stock Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	10,250		$	19,196		$	8,803		$	16,735		$	726		$	2,534
Net Realized Gain (Loss) on Investments		45,168			47,213			17,130			56,377			(17,488	)		(13,699	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		(57,864	)		(95,306	)		(8,787	)		(103,767	)		104,999			(311,849	)
Net Increase (Decrease) in Net Assets Resulting from Operations		(2,446	)		(28,897	)		17,146			(30,655	)		88,237			(323,014	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(136,599	)		—			(94,476	)		—			(100,047	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(136,599	)		—			(94,476	)		—			(100,047	)
Capital Transactions:
Shares Sold		44,281			132,917			13,948			29,320			9,793			28,886
Reinvestment of Distributions Paid		—			136,599			—			94,476			—			100,047
Shares Redeemed		(63,979	)		(140,578	)		(36,380	)		(164,225	)		(40,313	)		(72,666	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(19,698	)		128,938			(22,432	)		(40,429	)		(30,520	)		56,267
Total Increase (Decrease) in Net Assets		(22,144	)		(36,558	)		(5,286	)		(165,560	)		57,717			(366,794	)
Net Assets
Beginning of Period		1,060,119			1,096,677			702,376			867,936			1,008,774			1,375,568
End of Period	$	1,037,975		$	1,060,119		$	697,090		$	702,376		$	1,066,491		$	1,008,774
Portfolio Share Transactions:
Shares Sold		27,823			75,132			8,256			15,597			3,435			9,486
Reinvestment of Distributions Paid		—			87,228			—			56,708			—			36,079
Shares Redeemed		(39,817	)		(79,436	)		(21,343	)		(87,588	)		(14,067	)		(23,199	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(11,994	)		82,924			(13,087	)		(15,283	)		(10,632	)		22,366

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

179

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Index 400 Stock Portfolio						Mid Cap Value Portfolio						Small Cap Growth Stock Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	9,009		$	15,756		$	7,212		$	14,003		$	737		$	331
Net Realized Gain (Loss) on Investments		10,410			50,041			9,565			84,236			32,834			(75,603	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		79,413			(242,957	)		1,496			(107,181	)		44,520			(161,243	)
Net Increase (Decrease) in Net Assets Resulting from Operations		98,832			(177,160	)		18,273			(8,942	)		78,091			(236,515	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(133,498	)		—			(109,209	)		—			(110,736	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(133,498	)		—			(109,209	)		—			(110,736	)
Capital Transactions:
Shares Sold		38,173			75,177			24,800			41,682			18,281			46,128
Reinvestment of Distributions Paid		—			133,498			—			109,209			—			110,736
Shares Redeemed		(51,214	)		(96,244	)		(39,960	)		(86,631	)		(22,614	)		(44,750	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(13,041	)		112,431			(15,160	)		64,260			(4,333	)		112,114
Total Increase (Decrease) in Net Assets		85,791			(198,227	)		3,113			(53,891	)		73,758			(235,137	)
Net Assets
Beginning of Period		1,137,710			1,335,937			650,964			704,855			594,877			830,014
End of Period	$	1,223,501		$	1,137,710		$	654,077		$	650,964		$	668,635		$	594,877
Portfolio Share Transactions:
Shares Sold		18,658			34,219			14,945			22,814			9,208			19,429
Reinvestment of Distributions Paid		—			68,007			—			69,076			—			56,182
Shares Redeemed		(24,894	)		(44,442	)		(23,901	)		(47,794	)		(11,251	)		(19,130	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(6,236	)		57,784			(8,956	)		44,096			(2,043	)		56,481

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

180

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Index 600 Stock Portfolio						Small Cap Value Portfolio						International Growth Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	3,139		$	4,348		$	2,324		$	2,893		$	7,521		$	7,520
Net Realized Gain (Loss) on Investments		1,323			15,997			1,414			36,712			9,061			19,007
Net Change in Unrealized Appreciation (Depreciation) of Investments		17,937			(92,090	)		17,026			(165,134	)		114,235			(273,775	)
Net Increase (Decrease) in Net Assets Resulting from Operations		22,399			(71,745	)		20,764			(125,529	)		130,817			(247,248	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(37,396	)		—			(77,602	)		—			(101,272	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(37,396	)		—			(77,602	)		—			(101,272	)
Capital Transactions:
Shares Sold		26,453			44,672			15,033			23,597			32,014			138,892
Reinvestment of Distributions Paid		—			37,396			—			77,602			—			101,272
Shares Redeemed		(20,678	)		(35,801	)		(22,063	)		(47,754	)		(77,193	)		(66,828	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		5,775			46,267			(7,030	)		53,445			(45,179	)		173,336
Total Increase (Decrease) in Net Assets		28,174			(62,874	)		13,734			(149,686	)		85,638			(175,184	)
Net Assets
Beginning of Period		371,552			434,426			535,618			685,304			893,048			1,068,232
End of Period	$	399,726		$	371,552		$	549,352		$	535,618		$	978,686		$	893,048
Portfolio Share Transactions:
Shares Sold		18,599			28,438			8,192			11,049			17,971			76,043
Reinvestment of Distributions Paid		—			26,826			—			41,521			—			64,959
Shares Redeemed		(14,364	)		(23,153	)		(11,854	)		(22,515	)		(43,059	)		(36,768	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		4,235			32,111			(3,662	)		30,055			(25,088	)		104,234

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

181

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Research International Core Portfolio						International Equity Portfolio						Emerging Markets Equity Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	10,460		$	14,428		$	34,851		$	46,675		$	13,203		$	11,102
Net Realized Gain (Loss) on Investments		3,772			14,900			(21,736	)		4,035			(3,022	)		(27,311	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		58,734			(197,850	)		162,768			(174,257	)		34,054			(242,918	)
Net Increase (Decrease) in Net Assets Resulting from Operations		72,966			(168,522	)		175,883			(123,547	)		44,235			(259,127	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(54,639	)		—			(88,599	)		—			(78,273	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(54,639	)		—			(88,599	)		—			(78,273	)
Capital Transactions:
Shares Sold		32,848			110,188			41,948			127,200			47,926			188,456
Reinvestment of Distributions Paid		—			54,639			—			88,599			—			78,273
Shares Redeemed		(50,910	)		(160,696	)		(113,865	)		(142,665	)		(52,553	)		(68,584	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(18,062	)		4,131			(71,917	)		73,134			(4,627	)		198,145
Total Increase (Decrease) in Net Assets		54,904			(219,030	)		103,966			(139,012	)		39,608			(139,255	)
Net Assets
Beginning of Period		744,073			963,103			1,726,196			1,865,208			854,238			993,493
End of Period	$	798,977		$	744,073		$	1,830,162		$	1,726,196		$	893,846		$	854,238
Portfolio Share Transactions:
Shares Sold		31,204			104,902			28,179			88,308			51,432			183,940
Reinvestment of Distributions Paid		—			58,940			—			67,325			—			88,544
Shares Redeemed		(48,370	)		(154,216	)		(76,098	)		(96,849	)		(56,149	)		(68,782	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(17,166	)		9,626			(47,919	)		58,784			(4,717	)		203,702

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

182

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Government Money Market Portfolio						Short-Term Bond Portfolio						Select Bond Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	11,778		$	7,236		$	6,000		$	7,535		$	50,410		$	69,568
Net Realized Gain (Loss) on Investments		5			7			(2,173	)		(6,684	)		(74,614	)		(279,626	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		—			—			1,802			(19,193	)		97,051			(241,265	)
Net Increase (Decrease) in Net Assets Resulting from Operations		11,783			7,243			5,629			(18,342	)		72,847			(451,323	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(11,778	)		(7,243	)		—			(6,405	)		—			(55,391	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(11,778	)		(7,243	)		—			(6,405	)		—			(55,391	)
Capital Transactions:
Shares Sold		125,997			341,118			23,594			50,070			93,984			167,116
Reinvestment of Distributions Paid		11,778			7,243			—			6,405			—			55,391
Shares Redeemed		(151,502	)		(294,702	)		(27,655	)		(61,274	)		(129,693	)		(357,593	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(13,727	)		53,659			(4,061	)		(4,799	)		(35,709	)		(135,086	)
Total Increase (Decrease) in Net Assets		(13,722	)		53,659			1,568			(29,546	)		37,138			(641,800	)
Net Assets
Beginning of Period		542,517			488,858			382,738			412,284			2,786,616			3,428,416
End of Period	$	528,795		$	542,517		$	384,306		$	382,738		$	2,823,754		$	2,786,616
Portfolio Share Transactions:
Shares Sold		125,997			341,119			23,492			49,323			85,778			146,687
Reinvestment of Distributions Paid		11,778			7,243			—			6,418			—			50,817
Shares Redeemed		(151,502	)		(294,703	)		(27,535	)		(60,598	)		(118,105	)		(318,256	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(13,727	)		53,659			(4,043	)		(4,857	)		(32,327	)		(120,752	)

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

183

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Long-Term U.S. Government Bond Portfolio						Inflation Protection Portfolio						High Yield Bond Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,457		$	2,816		$	6,464		$	20,661		$	21,655		$	40,826
Net Realized Gain (Loss) on Investments		(18,752	)		(2,039	)		(5,967	)		(11,350	)		(8,762	)		(3,804	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		21,750			(41,935	)		8,743			(74,754	)		23,204			(129,365	)
Net Increase (Decrease) in Net Assets Resulting from Operations		4,455			(41,158	)		9,240			(65,443	)		36,097			(92,343	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(1,876	)		—			(25,627	)		—			(40,651	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(1,876	)		—			(25,627	)		—			(40,651	)
Capital Transactions:
Shares Sold		18,860			18,929			17,261			41,715			25,640			44,090
Reinvestment of Distributions Paid		—			1,876			—			25,627			—			40,651
Shares Redeemed		(7,370	)		(16,483	)		(28,442	)		(66,655	)		(36,218	)		(104,674	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		11,490			4,322			(11,181	)		687			(10,578	)		(19,933	)
Total Increase (Decrease) in Net Assets		15,945			(38,712	)		(1,941	)		(90,383	)		25,519			(152,927	)
Net Assets
Beginning of Period		100,157			138,869			423,548			513,931			689,405			842,332
End of Period	$	116,102		$	100,157		$	421,607		$	423,548		$	714,924		$	689,405
Portfolio Share Transactions:
Shares Sold		27,822			25,388			16,083			35,489			39,541			65,171
Reinvestment of Distributions Paid		—			2,679			—			23,383			—			64,731
Shares Redeemed		(10,818	)		(21,977	)		(26,436	)		(57,454	)		(55,767	)		(154,215	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		17,004			6,090			(10,353	)		1,418			(16,226	)		(24,313	)

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

184

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
	For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022			For the Six Months Ended June 30, 2023 (unaudited)			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	24,767		$	40,263		$	4,491		$	31,413		$	591		$	4,021
Net Realized Gain (Loss) on Investments		(10,381	)		(58,886	)		9,993			75,927			2,996			16,723
Net Change in Unrealized Appreciation (Depreciation) of Investments		21,541			(185,968	)		121,244			(438,806	)		18,841			(67,978	)
Net Increase (Decrease) in Net Assets Resulting from Operations		35,927			(204,591	)		135,728			(331,466	)		22,428			(47,234	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(47,671	)		—			(204,366	)		—			(27,192	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(47,671	)		—			(204,366	)		—			(27,192	)
Capital Transactions:
Shares Sold		44,817			98,697			33,125			64,833			7,385			13,330
Reinvestment of Distributions Paid		—			47,671			—			204,366			—			27,192
Shares Redeemed		(55,868	)		(98,178	)		(110,618	)		(231,813	)		(16,821	)		(29,134	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(11,051	)		48,190			(77,493	)		37,386			(9,436	)		11,388
Total Increase (Decrease) in Net Assets		24,876			(204,072	)		58,235			(498,446	)		12,992			(63,038	)
Net Assets
Beginning of Period		1,112,579			1,316,651			1,883,127			2,381,573			257,699			320,737
End of Period	$	1,137,455		$	1,112,579		$	1,941,362		$	1,883,127		$	270,691		$	257,699
Portfolio Share Transactions:
Shares Sold		47,895			100,385			26,232			47,449			6,907			11,640
Reinvestment of Distributions Paid		—			52,850			—			169,037			—			26,949
Shares Redeemed		(59,740	)		(101,784	)		(87,872	)		(171,879	)		(15,798	)		(25,974	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(11,845	)		51,451			(61,640	)		44,607			(8,891	)		12,615

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

185

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2023 (unaudited) (in thousands)

		Long-Term U.S.
	Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations		$	4,455
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from
Operations to Net Cash from Operating Activities
Purchase of Investment Securities			(115,089)
Proceeds from Disposition of Investment Securities			85,846
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps			429
Proceeds from Securities Sold Short			4,455
Cash Paid for Terminated Options Written			(27)
Premiums Received on Options Written			60
Amortization (Accretion) of Premium/Discount, net			(637)
(Increase) Decrease in:
Receivable for Investment Securities Sold			4,092
Prepaid Expenses and Other Assets			(5)
Dividends and Interest Receivable			(94)
Increase (Decrease) in:
Directors Fees Payable			(3)
Collateral from counterparty			330
Payable for investment advisory fees			5
Accrued Expenses			4
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities			(21,251)
Futures Contracts			(543)
Options Written			(11)
Short Sales			30
Swap Contracts			25
Net Realized (Gain) Loss from:
Investment Securities			18,499
Futures Contracts			123
Options Written			(61)
Paydowns			1
Short Sales			76
Swap Contracts			115
Total Adjustments			(23,631)
Net Cash (Used in) Provided by Operating Activities			(19,176)
Cash Flows from Financing Activities
Cash Received from Financing Transactions			774,597
Cash (Used for) Financing Transactions			(766,744)
Proceeds from reverse repurchase agreements			1,700
Payments on reverse repurchase agreements			(1,700)
Proceeds from Portfolio Shares Sold			18,690
Payment on Portfolio Shares Redeemed			(7,352)
Net Cash (Used in) Provided by Financing Activities			19,191
Net Increase (Decrease) in Cash and Cash Equivalents			15
Cash and Restricted Cash, Beginning of Period			1,884
Cash and Restricted Cash, End of Period		$	1,899

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

186

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2023 (unaudited) (in thousands)

Cash and Restricted Cash is the sum of Cash and Collateral with Counterparty from the Statement of Assets and Liabilities.

Supplemental disclosure of cash flow information:

Interest paid was $722 for the period ended June 30, 2023.

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

187

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through 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		Total Return*			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
Growth Stock Portfolio
2023@	$	2.04	$	0.00	‡	$	0.71		$	0.71		$	—		$	—		$	—		$	2.75		34.70	%	$	989,238		0.43	%+		0.43	%+		0.19	%+		8	%
2022		4.04		0.00	‡		(1.50	)		(1.50	)		—			(0.50	)		(0.50	)		2.04		(38.70	)		750,703		0.43			0.43			0.04			14
2021		3.60		0.00	‡		0.61			0.61			(0.00	)‡		(0.17	)		(0.17	)		4.04		16.67			1,389,899		0.42			0.42			(0.10	)		36
2020		3.18		0.00	‡		1.04			1.04			(0.02	)		(0.60	)		(0.62	)		3.60		34.97			1,286,403		0.43			0.42			0.00			24
2019		2.75		0.02			0.77			0.79			(0.02	)		(0.34	)		(0.36	)		3.18		29.68			1,083,324		0.43			0.42			0.71			116
2018		3.03		0.02			0.08			0.10			(0.02	)		(0.36	)		(0.38	)		2.75		1.26			898,626		0.43			0.42			0.68			48
Focused Appreciation Portfolio
2023@	$	2.72	$	0.00	‡	$	1.02		$	1.02		$	—		$	—		$	—		$	3.74		37.39	%	$	1,227,494		0.74	%+		0.62	%+		(0.04	)%+		5	%
2022		4.32		0.00	‡		(1.19	)		(1.19	)		(0.00	)‡		(0.41	)		(0.41	)		2.72		(27.83	)		963,929		0.74			0.62			(0.03	)		18
2021		4.02		0.00	‡		0.76			0.76			(0.01	)		(0.45	)		(0.46	)		4.32		18.90			1,327,361		0.74			0.62			(0.01	)		11
2020		3.17		0.01			1.02			1.03			(0.02	)		(0.16	)		(0.18	)		4.02		32.55			1,186,696		0.75			0.62			0.19			21
2019		2.57		0.02			0.78			0.80			(0.02	)		(0.18	)		(0.20	)		3.17		31.97			1,012,624		0.75			0.63			0.58			7
2018		2.71		0.02			(0.07	)		(0.05	)		(0.01	)		(0.08	)		(0.09	)		2.57		(2.34	)		849,169		0.75			0.63			0.65			7
Large Cap Core Stock Portfolio
2023@	$	1.44	$	0.01		$	0.22		$	0.23		$	—		$	—		$	—		$	1.67		15.74	%	$	637,478		0.45	%+		0.44	%+		1.02	%+		34	%
2022		2.21		0.02			(0.43	)		(0.41	)		(0.02	)		(0.34	)		(0.36	)		1.44		(18.88	)		566,195		0.44			0.44			0.94			55
2021		1.91		0.01			0.47			0.48			(0.02	)		(0.16	)		(0.18	)		2.21		25.10			842,806		0.44			0.43			0.70			56
2020		1.62		0.02			0.34			0.36			(0.02	)		(0.05	)		(0.07	)		1.91		22.74			719,977		0.45			0.44			0.98			72
2019		1.31		0.02			0.39			0.41			(0.02	)		(0.08	)		(0.10	)		1.62		31.19			633,208		0.45			0.44			1.19			54
2018		1.96		0.02			(0.05	)		(0.03	)		(0.03	)		(0.59	)		(0.62	)		1.31		(6.04	)		518,971		0.45			0.44			1.23			65
Large Cap Blend Portfolio
2023@	$	1.08	$	0.00	‡	$	0.10		$	0.10		$	—		$	—		$	—		$	1.18		9.53	%	$	178,140		0.81	%+		0.75	%+		0.88	%+		9	%
2022		1.39		0.01			(0.21	)		(0.20	)		(0.01	)		(0.10	)		(0.11	)		1.08		(13.78	)		195,927		0.81			0.76			0.78			38
2021		1.25		0.01			0.22			0.23			(0.01	)		(0.08	)		(0.09	)		1.39		18.46			203,126		0.81			0.78			0.68			19
2020		1.22		0.01			0.10			0.11			(0.06	)		(0.02	)		(0.08	)		1.25		10.05			180,564		0.83			0.80			0.77			28
2019		1.09		0.06			0.20			0.26			(0.01	)		(0.12	)		(0.13	)		1.22		23.97			174,953		0.82			0.82			4.92			24
2018		1.21		0.01			(0.06	)		(0.05	)		(0.01	)		(0.06	)		(0.07	)		1.09		(4.00	)		154,435		0.82			0.82			1.20			25

^*  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^†  Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^@  For the six months ended June 30, 2023. (Unaudited)

^‡  Amount is less than $0.005.

⁺  Computed on an annualized basis.

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

188

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through 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		Total Return*			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
Index 500 Stock Portfolio
2023@	$	6.38	$	0.05	$	1.02		$	1.07		$	—		$	—		$	—		$	7.45		16.77	%	$	5,176,109		0.21	%+		0.20	%+		1.54	%+		1	%
2022		8.18		0.10		(1.59	)		(1.49	)		(0.09	)		(0.22	)		(0.31	)		6.38		(18.28	)		4,465,914		0.21			0.20			1.41			2
2021		6.60		0.09		1.77			1.86			(0.09	)		(0.19	)		(0.28	)		8.18		28.45			5,504,970		0.21			0.19			1.19			3
2020		5.79		0.09		0.94			1.03			(0.10	)		(0.12	)		(0.22	)		6.60		18.18			4,419,729		0.21			0.20			1.63			5
2019		4.59		0.10		1.32			1.42			(0.09	)		(0.13	)		(0.22	)		5.79		31.18			3,867,280		0.21			0.20			1.81			4
2018		4.93		0.09		(0.30	)		(0.21	)		(0.08	)		(0.05	)		(0.13	)		4.59		(4.58	)		3,009,141		0.21			0.20			1.74			4
Large Company Value Portfolio
2023@	$	0.92	$	0.01	$	0.00	‡	$	0.01		$	—		$	—		$	—		$	0.93		0.87	%	$	153,716		0.80	%+		0.75	%+		2.04	%+		20	%
2022		1.19		0.02		(0.03	)		(0.01	)		(0.04	)		(0.22	)		(0.26	)		0.92		(0.34	)		152,414		0.78			0.74			1.87			37
2021		1.00		0.02		0.19			0.21			(0.01	)		(0.01	)		(0.02	)		1.19		21.92			227,560		0.76			0.74			1.63			40
2020		1.03		0.02		0.00	‡		0.02			(0.02	)		(0.03	)		(0.05	)		1.00		2.64			211,998		0.78			0.76			2.02			84
2019		0.89		0.02		0.21			0.23			(0.02	)		(0.07	)		(0.09	)		1.03		27.66			205,550		0.77			0.75			1.86			62
2018		1.06		0.02		(0.09	)		(0.07	)		(0.02	)		(0.08	)		(0.10	)		0.89		(7.92	)		173,350		0.76			0.74			1.89			61
Domestic Equity Portfolio
2023@	$	1.63	$	0.02	$	(0.02	)	$	0.00	‡	$	—		$	—		$	—		$	1.63		(0.25	)%	$	1,037,975		0.54	%+		0.50	%+		2.00	%+		12	%
2022		1.93		0.03		(0.10	)		(0.07	)		(0.03	)		(0.20	)		(0.23	)		1.63		(2.99	)		1,060,119		0.53			0.50			1.84			12
2021		1.64		0.03		0.33			0.36			(0.03	)		(0.04	)		(0.07	)		1.93		22.71			1,096,677		0.53			0.50			1.77			29
2020		1.75		0.03		(0.04	)		(0.01	)		(0.03	)		(0.07	)		(0.10	)		1.64		0.73			946,072		0.55			0.53			2.25			33
2019		1.55		0.03		0.28			0.31			(0.03	)		(0.08	)		(0.11	)		1.75		20.77			920,776		0.54			0.53			2.08			12
2018		1.68		0.03		(0.07	)		(0.04	)		(0.03	)		(0.06	)		(0.09	)		1.55		(2.81	)		772,465		0.54			0.53			1.92			14
Equity Income Portfolio
2023@	$	1.69	$	0.02	$	0.02		$	0.04		$	—		$	—		$	—		$	1.73		2.49	%	$	697,090		0.66	%+		0.57	%+		2.56	%+		10	%
2022		2.01		0.04		(0.10	)		(0.06	)		(0.04	)		(0.22	)		(0.26	)		1.69		(3.22	)		702,376		0.65			0.57			2.17			15
2021		1.63		0.03		0.39			0.42			(0.04	)		—			(0.04	)		2.01		25.70			867,936		0.65			0.57			1.74			18
2020		1.78		0.04		(0.05	)		(0.01	)		(0.07	)		(0.07	)		(0.14	)		1.63		1.20			787,521		0.66			0.59			2.48			30
2019		1.53		0.07		0.33			0.40			(0.04	)		(0.11	)		(0.15	)		1.78		26.61			814,252		0.65			0.61			4.21			18
2018		1.86		0.04		(0.19	)		(0.15	)		(0.04	)		(0.14	)		(0.18	)		1.53		(9.35	)		704,674		0.65			0.61			2.25			17

^*  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^†  Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^@  For the six months ended June 30, 2023. (Unaudited)

^‡  Amount is less than $0.005.

⁺  Computed on an annualized basis.

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

189

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through 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		Total Return*			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
Mid Cap Growth Stock Portfolio
2023@	$	2.71	$	0.00	‡	$	0.24		$	0.24		$	—		$	—		$	—		$	2.95		8.85	%	$	1,066,491		0.54	%+		0.54	%+		0.14	%+		20	%
2022		3.94		0.01			(0.95	)		(0.94	)		(0.00	)‡		(0.29	)		(0.29	)		2.71		(23.77	)		1,008,774		0.53			0.53			0.23			46
2021		4.09		0.01			0.41			0.42			(0.01	)		(0.56	)		(0.57	)		3.94		10.18			1,375,568		0.53			0.52			0.13			30
2020		3.42		0.01			0.82			0.83			(0.01	)		(0.15	)		(0.16	)		4.09		25.41			1,344,564		0.54			0.54			0.18			47
2019		2.69		0.01			0.87			0.88			(0.01	)		(0.14	)		(0.15	)		3.42		33.01			1,153,757		0.54			0.54			0.28			30
2018		3.46		0.01			(0.17	)		(0.16	)		(0.00	)‡		(0.61	)		(0.61	)		2.69		(7.38	)		943,370		0.54			0.54			0.19			33
Index 400 Stock Portfolio
2023@	$	1.97	$	0.02		$	0.15		$	0.17		$	—		$	—		$	—		$	2.14		8.72	%	$	1,223,501		0.28	%+		0.25	%+		1.54	%+		8	%
2022		2.57		0.03			(0.38	)		(0.35	)		(0.02	)		(0.23	)		(0.25	)		1.97		(13.26	)		1,137,710		0.28			0.25			1.34			14
2021		2.15		0.03			0.49			0.52			(0.02	)		(0.08	)		(0.10	)		2.57		24.46			1,335,937		0.27			0.24			1.03			20
2020		2.02		0.02			0.23			0.25			(0.03	)		(0.09	)		(0.12	)		2.15		13.37			1,115,469		0.28			0.26			1.31			18
2019		1.74		0.03			0.40			0.43			(0.02	)		(0.13	)		(0.15	)		2.02		25.88			993,290		0.28			0.26			1.38			16
2018		2.11		0.03			(0.24	)		(0.21	)		(0.02	)		(0.14	)		(0.16	)		1.74		(11.33	)		792,780		0.28			0.26			1.29			18
Mid Cap Value Portfolio
2023@	$	1.64	$	0.02		$	0.03		$	0.05		$	—		$	—		$	—		$	1.69		2.74	%	$	654,077		0.88	%+		0.72	%+		2.23	%+		21	%
2022		2.00		0.04			(0.08	)		(0.04	)		(0.04	)		(0.28	)		(0.32	)		1.64		(1.15	)		650,964		0.88			0.72			2.10			74
2021		1.65		0.03			0.35			0.38			(0.02	)		(0.01	)		(0.03	)		2.00		23.27			704,855		0.88			0.72			1.54			54
2020		1.65		0.03			—			0.03			(0.03	)		—			(0.03	)		1.65		1.67			600,403		0.89			0.75			1.79			76
2019		1.43		0.03			0.37			0.40			(0.03	)		(0.15	)		(0.18	)		1.65		29.21			591,514		0.89			0.75			1.74			44
2018		1.83		0.03			(0.23	)		(0.20	)		(0.03	)		(0.17	)		(0.20	)		1.43		(12.85	)		471,943		0.89			0.76			1.50			62
Small Cap Growth Stock Portfolio
2023@	$	1.89	$	0.00	‡	$	0.25		$	0.25		$	—		$	—		$	—		$	2.14		13.15	%	$	668,635		0.56	%+		0.56	%+		0.24	%+		34	%
2022		3.22		0.00	‡		(0.90	)		(0.90	)		—			(0.43	)		(0.43	)		1.89		(28.49	)		594,877		0.56			0.56			0.05			52
2021		3.42		0.00	‡		0.15			0.15			(0.00	)‡		(0.35	)		(0.35	)		3.22		4.11			830,014		0.54			0.54			(0.06	)		43
2020		2.72		0.00	‡		0.86			0.86			(0.00	)‡		(0.16	)		(0.16	)		3.42		33.47			840,446		0.56			0.56			0.10			60
2019		2.35		0.00	‡		0.79			0.79			(0.00	)‡		(0.42	)		(0.42	)		2.72		35.69			671,870		0.56			0.56			0.13			42
2018		2.88		0.00	‡		(0.28	)		(0.28	)		—			(0.25	)		(0.25	)		2.35		(11.71	)		520,622		0.56			0.56			0.10			52

^*  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^†  Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^@  For the six months ended June 30, 2023. (Unaudited)

^‡  Amount is less than $0.005.

⁺  Computed on an annualized basis.

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

190

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through 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		Total Return*			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
Index 600 Stock Portfolio
2023@	$	1.39	$	0.01	$	0.07		$	0.08		$	—		$	—		$	—		$	1.47		5.90	%	$	399,726		0.28	%+		0.28	%+		1.64	%+		12	%
2022		1.85		0.02		(0.32	)		(0.30	)		(0.02	)		(0.14	)		(0.16	)		1.39		(16.37	)		371,552		0.28			0.28			1.12			16
2021		1.50		0.02		0.37			0.39			(0.01	)		(0.03	)		(0.04	)		1.85		26.22			434,426		0.27			0.27			1.28			22
2020		1.43		0.01		0.13			0.14			(0.02	)		(0.05	)		(0.07	)		1.50		10.93			344,102		0.31			0.31			1.10			28
2019		1.26		0.02		0.25			0.27			(0.00	)‡		(0.10	)		(0.10	)		1.43		22.44			290,111		0.31			0.31			1.25			33
2018		1.45		0.02		(0.13	)		(0.11	)		(0.02	)		(0.06	)		(0.08	)		1.26		(8.78	)		221,803		0.31			0.31			1.06			38
Small Cap Value Portfolio
2023@	$	1.81	$	0.01	$	0.06		$	0.07		$	—		$	—		$	—		$	1.88		3.81	%	$	549,352		0.88	%+		0.87	%+		0.86	%+		15	%
2022		2.58		0.01		(0.48	)		(0.47	)		(0.01	)		(0.29	)		(0.30	)		1.81		(18.53	)		535,618		0.88			0.87			0.50			27
2021		2.20		0.01		0.49			0.50			(0.01	)		(0.11	)		(0.12	)		2.58		23.00			685,304		0.87			0.86			0.27			22
2020		2.17		0.01		0.15			0.16			(0.01	)		(0.12	)		(0.13	)		2.20		9.29			615,079		0.88			0.88			0.50			28
2019		2.04		0.01		0.50			0.51			(0.01	)		(0.37	)		(0.38	)		2.17		25.89			605,534		0.88			0.87			0.48			25
2018		2.54		0.01		(0.31	)		(0.30	)		(0.01	)		(0.19	)		(0.20	)		2.04		(12.73	)		530,072		0.88			0.87			0.43			22
International Growth Portfolio
2023@	$	1.63	$	0.01	$	0.23		$	0.24		$	—		$	—		$	—		$	1.87		14.82	%	$	978,686		0.62	%+		0.62	%+		1.59	%+		9	%
2022		2.40		0.02		(0.58	)		(0.56	)		(0.01	)		(0.20	)		(0.21	)		1.63		(23.13	)		893,048		0.62			0.62			0.84			15
2021		2.14		0.01		0.33			0.34			(0.01	)		(0.07	)		(0.08	)		2.40		15.92			1,068,232		0.62			0.61			0.51			25
2020		1.85		0.01		0.32			0.33			(0.03	)		(0.01	)		(0.04	)		2.14		17.91			924,242		0.63			0.63			0.64			21
2019		1.39		0.03		0.46			0.49			(0.02	)		(0.01	)		(0.03	)		1.85		34.80			816,113		0.64			0.64			1.79			21
2018		1.59		0.02		(0.20	)		(0.18	)		(0.02	)		—			(0.02	)		1.39		(11.28	)		626,082		0.65			0.65			1.28			33
Research International Core Portfolio
2023@	$	0.98	$	0.01	$	0.09		$	0.10		$	—		$	—		$	—		$	1.08		9.86	%	$	798,977		0.80	%+		0.75	%+		2.69	%+		10	%
2022		1.29		0.02		(0.25	)		(0.23	)		(0.02	)		(0.06	)		(0.08	)		0.98		(17.16	)		744,073		0.80			0.75			1.83			25
2021		1.18		0.02		0.12			0.14			(0.01	)		(0.02	)		(0.03	)		1.29		12.07			963,103		0.78			0.73			1.37			18
2020		1.08		0.01		0.13			0.14			(0.02	)		(0.02	)		(0.04	)		1.18		13.46			891,001		0.81			0.76			1.36			25
2019		0.88		0.02		0.23			0.25			(0.02	)		(0.03	)		(0.05	)		1.08		28.25			784,885		0.82			0.77			2.32			18
2018		1.04		0.02		(0.16	)		(0.14	)		(0.02	)		—			(0.02	)		0.88		(13.66	)		595,585		0.82			0.77			1.88			24

^*  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^†  Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^@  For the six months ended June 30, 2023. (Unaudited)

⁺  Computed on an annualized basis.

^‡  Amount is less than $0.005.

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

191

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through 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		Total Return*			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
International Equity Portfolio
2023@	$	1.40	$	0.03		$	0.12		$	0.15		$	—		$	—		$	��		$	1.55		10.28	%	$	1,830,162		0.68	%+		0.68	%+		3.91	%+		7	%
2022		1.59		0.04			(0.15	)		(0.11	)		(0.04	)		(0.04	)		(0.08	)		1.40		(6.83	)		1,726,196		0.69			0.63			2.69			13
2021		1.55		0.04			0.04			0.08			(0.04	)		—			(0.04	)		1.59		5.00			1,865,208		0.68			0.51			2.30			118
2020		1.65		0.04			(0.09	)		(0.05	)		(0.05	)		—			(0.05	)		1.55		(2.71	)		1,779,819		0.68			0.54			2.59			65
2019		1.58		0.05			0.14			0.19			(0.04	)		(0.08	)		(0.12	)		1.65		12.60			1,793,034		0.68			0.54			3.33			43
2018		1.91		0.04			(0.32	)		(0.28	)		(0.05	)		—			(0.05	)		1.58		(15.41	)		1,604,068		0.68			0.54			2.36			31
Emerging Markets Equity Portfolio
2023@	$	0.89	$	0.01		$	0.04		$	0.05		$	—		$	—		$	—		$	0.94		5.15	%	$	893,846		1.09	%+		0.91	%+		2.99	%+		12	%
2022		1.32		0.01			(0.35	)		(0.34	)		(0.01	)		(0.08	)		(0.09	)		0.89		(25.28	)		854,238		1.09			0.91			1.29			33
2021		1.39		0.02			(0.08	)		(0.06	)		(0.01	)		—			(0.01	)		1.32		(4.55	)		993,493		1.06			0.91			1.14			33
2020		1.12		0.01			0.28			0.29			(0.02	)		—			(0.02	)		1.39		26.86			1,024,098		1.10			0.95			0.67			31
2019		0.94		0.02			0.17			0.19			(0.01	)		—			(0.01	)		1.12		20.60			834,010		1.11			0.99			2.40			22
2018		1.10		0.01			(0.16	)		(0.15	)		(0.01	)		—			(0.01	)		0.94		(13.75	)		675,350		1.11			1.00			1.27			17
Government Money Market Portfolio
2023@	$	1.00	$	0.02		$	—		$	0.02		$	(0.02	)	$	—		$	(0.02	)	$	1.00		2.21	%	$	528,795		0.33	%+		0.33	%+		4.42	%+		—	%
2022		1.00		0.01			—			0.01			(0.01	)		(0.00	)‡		(0.01	)		1.00		1.36			542,517		0.33			0.28	**		1.40			—
2021		1.00		0.00	‡		—			0.00	‡		(0.00	)‡		(0.00	)‡		(0.00	)‡		1.00		—			488,858		0.33			0.08	**		0.00			—
2020		1.00		0.00	‡		—			0.00	‡		(0.00	)‡		(0.00	)‡		(0.00	)‡		1.00		0.31			582,312		0.33			0.25	**		0.26			—
2019		1.00		0.02			—			0.02			(0.02	)		(0.00	)‡		(0.02	)		1.00		1.94			446,517		0.33			0.33			1.91			—
2018		1.00		0.02			—			0.02			(0.02	)		(0.00	)‡		(0.02	)		1.00		1.54			443,474		0.34			0.34			1.53			—
Short-Term Bond Portfolio
2023@	$	0.99	$	0.02		$	0.00	‡	$	0.02		$	—		$	—		$	—		$	1.01		1.52	%	$	384,306		0.38	%+		0.38	%+		3.13	%+		22	%§
2022		1.05		0.02			(0.07	)		(0.05	)		(0.01	)		(0.00	)‡		(0.01	)		0.99		(4.52	)		382,738		0.38			0.38			1.90			54	§
2021		1.08		0.01			(0.02	)		(0.01	)		(0.02	)		(0.00	)‡		(0.02	)		1.05		(0.10	)		412,284		0.38			0.38			1.27			46	§
2020		1.06		0.02			0.02			0.04			(0.02	)		—			(0.02	)		1.08		4.29			383,608		0.39			0.39			1.96			49	§
2019		1.03		0.03			0.02			0.05			(0.02	)		—			(0.02	)		1.06		4.38			334,574		0.39			0.39			2.47			56	§
2018		1.03		0.02			—			0.02			(0.02	)		—			(0.02	)		1.03		1.36			306,541		0.39			0.39			2.14			41	§

^*  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^†  Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^@  For the six months ended June 30, 2023. (Unaudited)

⁺  Computed on an annualized basis.

^**  During the years ended December 31, 2022, 2021 and 2020, MSA voluntarily agreed to waive a portion of its advisory fee to maintain a positive yield in the Government Money Market Portfolio. The Government Money Market Portfolio’s net expense ratio would increase by an amount of 0.04%, 0.25% and 0.08%, respectively, if such voluntary waiver were excluded for the years ended December 31, 2022, 2021 and 2020.

^‡  Amount is less than $0.005.

^§  Portfolio Turnover Rate excludes the impact of TBA transactions.

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

192

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through 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		Total Return*			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
Select Bond Portfolio
2023@	$	1.07	$	0.02	$	0.01		$	0.03		$	—		$	—		$	—		$	1.10		2.62	%	$	2,823,754		0.31	%+		0.31	%+		3.58	%+		147	%§
2022		1.26		0.03		(0.20	)		(0.17	)		(0.02	)		(0.00	)‡		(0.02	)		1.07		(13.33	)		2,786,616		0.31			0.31			2.30			275	§
2021		1.37		0.02		(0.04	)		(0.02	)		(0.03	)		(0.06	)		(0.09	)		1.26		(1.59	)		3,428,416		0.31			0.30			1.15			272	§
2020		1.30		0.02		0.10			0.12			(0.04	)		(0.01	)		(0.05	)		1.37		8.98			3,404,268		0.31			0.30			1.75			340	§
2019		1.23		0.04		0.07			0.11			(0.04	)		—			(0.04	)		1.30		8.65			3,192,050		0.31			0.30			2.76			403	§
2018		1.26		0.03		(0.03	)		0.00	‡		(0.03	)		—			(0.03	)		1.23		(0.21	)		2,967,993		0.31			0.31			2.74			294	§
Long-Term U.S. Government Bond Portfolio
2023@	$	0.65	$	0.01	$	0.02		$	0.03		$	—		$	—		$	—		$	0.68		4.46	%	$	116,102		1.96	%**,+		1.93	%**,+		2.58	%+		17	%§
2022		0.94		0.02		(0.30	)		(0.28	)		(0.01	)		—			(0.01	)		0.65		(29.53	)		100,157		1.02	**		0.98	**		2.49			27	§
2021		1.21		0.02		(0.08	)		(0.06	)		(0.01	)		(0.20	)		(0.21	)		0.94		(5.37	)		138,869		0.67	**		0.67	**		1.73			28	§
2020		1.12		0.02		0.17			0.19			(0.02	)		(0.08	)		(0.10	)		1.21		17.37			153,933		0.94	**		0.94	**		1.61			157	§
2019		1.01		0.02		0.11			0.13			(0.02	)		—			(0.02	)		1.12		13.17			122,854		1.25	**		1.23	**		2.06			5	§
2018		1.08		0.03		(0.06	)		(0.03	)		(0.02	)		(0.02	)		(0.04	)		1.01		(2.04	)		111,468		0.90	**		0.89	**		2.48			43	§
Inflation Protection Portfolio
2023@	$	1.05	$	0.02	$	0.00	‡	$	0.02		$	—		$	—		$	—		$	1.07		2.19	%	$	421,607		0.58	%+		0.55	%+		3.03	%+		30	%
2022		1.28		0.05		(0.21	)		(0.16	)		(0.04	)		(0.03	)		(0.07	)		1.05		(12.96	)		423,548		0.57			0.54			4.44			51
2021		1.21		0.04		0.04			0.08			(0.01	)		(0.00	)‡		(0.01	)		1.28		6.61			513,931		0.56			0.53			3.17			78
2020		1.13		0.02		0.08			0.10			(0.02	)		—			(0.02	)		1.21		9.57			423,389		0.58			0.55			1.34			56
2019		1.06		0.02		0.08			0.10			(0.03	)		—			(0.03	)		1.13		9.02			381,132		0.59			0.55			2.13			40
2018		1.11		0.03		(0.06	)		(0.03	)		(0.02	)		—			(0.02	)		1.06		(2.61	)		349,571		0.59			0.55			2.55			23
High Yield Bond Portfolio
2023@	$	0.63	$	0.02	$	0.01		$	0.03		$	—		$	—		$	—		$	0.66		5.26	%	$	714,924		0.45	%+		0.45	%+		6.15	%+		8	%
2022		0.75		0.04		(0.12	)		(0.08	)		(0.04	)		—			(0.04	)		0.63		(11.33	)		689,405		0.45			0.45			5.54			19
2021		0.75		0.04		—			0.04			(0.04	)		—			(0.04	)		0.75		5.31			842,332		0.44			0.44			4.87			35
2020		0.75		0.04		—			0.04			(0.04	)		—			(0.04	)		0.75		6.64			825,203		0.45			0.45			5.36			42
2019		0.69		0.04		0.06			0.10			(0.04	)		—			(0.04	)		0.75		14.97			846,127		0.45			0.45			5.73			33
2018		0.75		0.04		(0.06	)		(0.02	)		(0.04	)		—			(0.04	)		0.69		(2.71	)		763,366		0.45			0.45			5.65			23

^*  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^†  Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^@  For the six months ended June 30, 2023. (Unaudited)

⁺  Computed on an annualized basis.

^§  Portfolio Turnover Rate excludes the impact of TBA transactions.

^‡  Amount is less than $0.005.

^**  The ratios of gross expenses to average net assets and net expenses to average net assets include interest expense. Excluding interest expense, the ratios would be 0.68% and 0.66% respectively for the period ended June 30, 2023, 0.68% and 0.65% respectively in 2022, 0.65% and 0.65% respectively in 2021, 0.64% and 0.64% respectively in 2020, 0.67% and 0.65% respectively in 2019, 0.67% and 0.65% respectively in 2018.

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

193

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through 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		Total Return*			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
Multi-Sector Bond Portfolio
2023@	$	0.91	$	0.02		$	0.01		$	0.03		$	—		$	—		$	—		$	0.94		3.18	%	$	1,137,455		0.82	%**,+		0.73	%**,+		4.40	%+		7	%
2022		1.13		0.03			(0.21	)		(0.18	)		(0.04	)		(0.00	)‡		(0.04	)		0.91		(15.39	)		1,112,579		0.81	**		0.72	**		3.48			18
2021		1.16		0.03			(0.03	)		0.00	‡		(0.02	)		(0.01	)		(0.03	)		1.13		(0.08	)		1,316,651		0.81	**		0.71	**		2.90			21
2020		1.14		0.04			0.03			0.07			(0.05	)		(0.00	)‡		(0.05	)		1.16		6.13			1,148,511		0.82	**		0.73	**		3.23			30	§
2019		1.05		0.04			0.10			0.14			(0.05	)		—			(0.05	)		1.14		14.04			1,021,824		0.83	**		0.74	**		3.53			30	§
2018		1.09		0.04			(0.05	)		(0.01	)		(0.03	)		—			(0.03	)		1.05		(1.30	)		874,943		0.82	**		0.75	**		3.67			37	§
Balanced Portfolio
2023@	$	1.21	$	0.00	‡	$	0.09		$	0.09		$	—		$	—		$	—		$	1.30		7.28	%	$	1,941,362		0.31	%+		0.06	%+		0.47	%+		5	%
2022		1.57		0.02			(0.24	)		(0.22	)		(0.05	)		(0.09	)		(0.14	)		1.21		(14.14	)		1,883,127		0.31			0.06			1.54			30
2021		1.57		0.02			0.10			0.12			(0.04	)		(0.08	)		(0.12	)		1.57		7.56			2,381,573		0.31			0.06			1.51			20
2020		1.49		0.04			0.13			0.17			(0.04	)		(0.05	)		(0.09	)		1.57		12.49			2,367,387		0.31			0.06			2.40			28
2019		1.36		0.03			0.21			0.24			(0.04	)		(0.08	)		(0.11	)		1.49		17.92			2,254,235		0.31			0.06			2.14			17
2018		1.47		0.03			(0.07	)		(0.04	)		(0.04	)		(0.03	)		(0.07	)		1.36		(3.45	)		2,065,353		0.31			0.06			2.25			27
Asset Allocation Portfolio
2023@	$	1.01	$	0.00	‡	$	0.09		$	0.09		$	—		$	—		$	—		$	1.10		8.88	%	$	270,691		0.58	%+		0.09	%+		0.45	%+		6	%
2022		1.33		0.02			(0.23	)		(0.21	)		(0.03	)		(0.08	)		(0.11	)		1.01		(14.83	)		257,699		0.57			0.09			1.46			35
2021		1.29		0.02			0.12			0.14			(0.03	)		(0.07	)		(0.10	)		1.33		10.45			320,737		0.55			0.09			1.37			18
2020		1.22		0.03			0.12			0.15			(0.03	)		(0.05	)		(0.08	)		1.29		13.43			306,692		0.57			0.09			2.32			29
2019		1.10		0.02			0.20			0.22			(0.03	)		(0.08	)		(0.10	)		1.22		21.08			287,738		0.57			0.09			1.96			15
2018		1.21		0.03			(0.09	)		(0.06	)		(0.02	)		(0.03	)		(0.05	)		1.10		(4.88	)		249,511		0.57			0.09			2.24			32

^*  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^†  Expense ratios are based upon the direct and allocated expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^@  For the six months ended June 30, 2023. (Unaudited)

⁺  Computed on an annualized basis.

^**  The ratios of gross expenses to average net assets and net expenses to average net assets include interest expense. Excluding interest expense, the ratios would be 0.82% and 0.73% for the period ended June 30, 2023, 0.81% and 0.71% respectively in 2022, 0.80% and 0.71% respectively in 2021, 0.81% and 0.72% respectively in 2020, 0.82% and 0.73% respectively in 2019, 0.81% and 0.74% respectively in 2018.

^‡  Amount is less than $0.005.

^§  Portfolio Turnover Rate excludes the impact of TBA transactions.

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

194

Notes to Financial Statements (unaudited)

NOTE 1. ORGANIZATION

Northwestern Mutual Series Fund, Inc. (the “Series Fund”) is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is also considered an investment company following the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Series Fund consists of the Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (each, a “Portfolio” or collectively, the “Portfolios”). All of the outstanding shares of each Portfolio are held by an affiliate, The Northwestern Mutual Life Insurance Company (“Northwestern Mutual”), for its segregated asset accounts (either directly or indirectly through one or more underlying Portfolios operating as affiliated fund of funds). The Government Money Market Portfolio is a government money market fund under Rule 2a-7 of the 1940 Act.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Series Fund in the preparation of its financial statements.

A. Use of Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

B. Foreign Income and Capital Gains Taxes — The Portfolios may be subject to income taxes imposed by certain countries in which they invest. Foreign withholding taxes on dividends and interest are netted against income and separately disclosed in the Statements of Operations.

Some of the Portfolios may be subject to capital gains taxes imposed by certain countries in which they invest. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

C. Federal Income Taxes — The Portfolios’ policy is to continue to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute all of their taxable income to their respective shareholders. The Portfolios also intend to distribute sufficient net investment income and net capital gains, if any, so that they will not be subject to excise tax, as applicable, on distributable income and gains.

In accordance with the authoritative guidance for uncertainty in income taxes, management of the Series Fund has reviewed all open tax years (2019 to 2022) for major jurisdictions and concluded there was no material impact to the Portfolios’ net assets or results of operations. There is no material tax liability relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

D. Distributions — Dividends from net investment income and net realized capital gains are declared and paid each business day for the Government Money Market Portfolio and at least annually for the remaining Portfolios, when applicable.

E. Other — The Portfolios record security transactions on trade date. The basis for determining cost on sale of securities is identified cost. Interest income is recorded daily on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as information from issuers is available. Where applicable, dividends are recorded net of foreign withholding tax. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method. Expenses directly attributable to a Portfolio are incurred by the respective Portfolio. Expenses that are not directly attributable to one

195

Notes to Financial Statements (unaudited)

or more Portfolios are allocated among applicable Portfolios on an equitable and consistent basis considering such things as the nature and type of expenses and the relative net assets of the Portfolios. The Portfolios consider highly liquid temporary cash investments purchased with an original maturity of less than three months to be cash equivalents. Cash equivalents are included in the short-term investments on the Schedule of Investments as well as in investments on the Statements of Assets and Liabilities. Temporary cash overdrafts are reported as a payable to custodian.

F. New Accounting Pronouncements — In March 2020, the FASB issued Accounting Standards Update (“ASU”) 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” In January 2021 and December 2022, the FASB issued ASU 2021-01 and ASU 2022-06, respectively. ASU 2021-01 and 2022-06 provide further amendments to Topic 848. Collectively, these ASUs provide optional guidance to ease the potential accounting burden associated with transitioning away from the London Interbank Offered Rate (“LIBOR”) and other reference rates that are to be discontinued. The ASUs are effective immediately upon release of the update on March 12, 2020 through December 31, 2024. Management evaluated this guidance in connection with the preparation of the financial statements in light of investments by the Portfolios in securities relying on LIBOR reference rates.

In June 2022, the FASB issued ASU 2022-03, “Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions.” The ASU clarifies that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, is not considered in measuring the fair value. The amendments also require additional disclosures related to equity securities subject to contractual sale restrictions. The ASU is effective for fiscal years beginning after December 15, 2023 and interim periods within those fiscal years. Management does not anticipate the effect of this guidance to have a material impact on future financial statements.

NOTE 3. SECURITY VALUATION

For purposes of calculating a net asset value, Portfolio securities and other assets are valued as of the close of trading on the New York Stock Exchange (“Exchange”) on each day during which the Exchange is open for trading.

The Fair Value Measurements and Disclosures Topic of the Financial Accounting Standards Codification defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

● 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) and exchange traded funds (“ETFs”) for which market quotations are readily available are valued at the last sale or, when available, official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are generally valued at the last quoted bid price. Equity securities traded only in the over-the-counter market and not on a securities exchange are valued at the last sale price or closing bid price, if no sales have occurred. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Additionally, for foreign

196

Notes to Financial Statements (unaudited)

securities, fair value procedures are used if a significant event occurs between the close of the foreign market and the U.S. market close. The fair value price is reflected as Level 2 in the fair value hierarchy when such fair value procedures are applied.

● Fixed income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, and non-U.S. bonds are generally valued on the basis of service provider prices that use broker dealer quotations or valuation estimates from internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, call features, maturities, credit risks/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

● 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 and excluding ETFs) are valued at the mutual fund’s closing net asset value per share and are categorized as Level 1 in the fair value hierarchy.

● Short-term investments, other than in the Government Money Market Portfolio, are generally valued by a pricing service. All securities in the Government Money Market Portfolio are valued using amortized cost, unless the current market value differs substantially from the amortized cost, at which time the securities are marked to market. Because the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2 in the fair value hierarchy.

● 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 and over-the-counter financial derivatives, such as foreign currency contracts, options contracts, or swap agreements derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These derivatives are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Depending on the product and the terms of the transaction, the value of the derivatives can be estimated using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

The following is a description of the valuation techniques and significant inputs used in determining the value the Portfolios’ investments classified as Level 3 in the fair value hierarchy:

● Securities and other assets for which market quotes are not readily available are valued at fair market value as determined in good faith in accordance with procedures adopted by the Series Fund’s Board of Directors (“Board”). Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g. trade information or broker quotes). The factors considered in reaching these values at June 30, 2023 included, but were not limited to, broker quotes, liquidity, prepayment speed, duration, geopolitical events and recoverability.

A table summarizing each Portfolio’s investments under this hierarchy is included following each Portfolio’s Schedule of

197

Notes to Financial Statements (unaudited)

Investments. Transfers between investment levels may occur as markets fluctuate and/or the availability of data used in investments’ valuation changes. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. Additionally, U.S GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets categorized as Level 3 in the fair value hierarchy. In accordance with the requirements, a Level 3 reconciliation and details of significant unobservable inputs have been included in the notes to the Schedule of Investments for Portfolios that have a material amount of Level 3 investments. As of June 30, 2023, there were no Portfolios that owned a material amount of Level 3 securities.

The Series Fund and Mason Street Advisors, LLC (“MSA”), the Portfolios’ investment adviser, have adopted joint policies and procedures (“Pricing Procedures”) which govern the pricing of Portfolio securities and other investments. The Board has approved the Pricing Procedures and designated MSA as the Board’s valuation designee under Rule 2a-5 of the 1940 Act to be responsible for the execution of the valuation process for the securities and other assets held by each Portfolio. The day-to-day responsibility for pricing Portfolio securities and other investments has been delegated to State Street Bank and Trust Company in its capacity as fund accountant, subject to the oversight of MSA. MSA has formed a cross-functional group comprised of representatives from Northwestern Mutual and Series Fund officers to assist it with its responsibilities as valuation designee. While the Board has designated MSA to perform these responsibilities, it oversees MSA in its role as valuation designee.

NOTE 4. SECURITIES AND OTHER INVESTMENTS

A. Delayed Delivery Transactions and When-Issued Securities — Certain Portfolios may engage in securities transactions on a when-issued or delayed delivery basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment, with payment and delivery scheduled for a future date. During this period, the securities are subject to market fluctuations, and the Portfolios post collateral to meet margin requirements. A Portfolio may dispose of or renegotiate a delayed delivery transaction, which may result in a capital gain or loss.

B. Repurchase Agreements — Certain Portfolios may engage in repurchase transactions. Under the terms of a typical repurchase agreement, a Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and a Portfolio to resell, the obligation at an agreed upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Portfolio’s custodian or designated sub-custodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed at all times the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. If the counterparty should default, a Portfolio will seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

C. Restricted Securities — Certain Portfolios may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from registration before being sold to the public. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.

D. Foreign Currency Transactions — Certain Portfolios may have securities and other assets and liabilities denominated in foreign currencies which are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. When the Portfolios purchase or sell a foreign security they may enter into a foreign currency exchange contract to minimize exchange rate risk from the trade date to the settlement date of such transaction. Such foreign currency exchange contracts are marked to market daily.

The Portfolios do not separately report the results of operations due to fluctuations in foreign exchange rates on investments from the changes arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

198

Notes to Financial Statements (unaudited)

Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, and the differences between the amounts of income and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent of the amounts actually received or paid.

E. Mortgage Backed and Asset Backed Securities — Certain Portfolios may invest in mortgage backed securities, including collateralized mortgage obligations, and asset backed securities. Mortgage backed securities are interests in pools of residential or commercial mortgage loans and asset backed securities are interests in pools of other assets, including various types of loans and credit card receivables. These securities provide a monthly payment, consisting of both a principal and interest component. Interest payments may be based on either fixed rates or adjustable rates. Receipt of principal payment reduces the outstanding par amount of the security and may generate realized gains or losses. Yields on mortgage backed securities are affected by interest and prepayment rates, which, in turn, are influenced by a variety of economic, geographical, social and other factors. Maturities on mortgage backed securities represent stated maturity dates. Actual maturity dates may differ based on prepayment rates. Unlike mortgage backed securities issued or guaranteed by the U.S. government or one of its sponsored entities, mortgage backed securities and asset backed securities issued by private issuers do not have a government or government sponsored entity guarantee. These issuers may provide credit enhancements through external entities such as financial institutions or through the structuring of the transaction itself. There is no guarantee that credit enhancements, if any, will be sufficient to prevent losses.

F. Inflation-Indexed Bonds — Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income in the applicable Portfolio’s Statements of Operations even though investors do not receive their principal until maturity.

G. Short Sales — Certain Portfolios may enter into short sale transactions. A short sale is a transaction in which a Portfolio sells a security it does not own in anticipation of a decline in the market price of the security. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Portfolio is obligated to deliver the security at the market price at the time the short position is closed. The risk of loss on a short sale transaction is theoretically unlimited, because there is no limit to the cost of replacing the security sold short, whereas losses from purchase transactions cannot exceed the total amount invested.

H. Financing Transactions — Certain Portfolios may enter into financing transactions. In a financing transaction, the Portfolio transfers a security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. For U.S. GAAP purposes, a financing transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, the Portfolio is entitled to the interest on the security. The difference between the sale price and repurchase price is included in net investment income with the cost of the secured borrowing transaction being recorded in interest expense over the term of the borrowing. The Portfolio will benefit from the transaction if the income earned on the investment purchased with the cash received in the financing transaction exceeds the interest expense incurred by the Portfolio. If the interest expense exceeds the income earned, the Portfolio’s net investment income and dividends to shareholders may be adversely impacted. Financing transactions involve the risk that the market value of the securities that the Portfolio is required to repurchase may decline below the agreed upon repurchase price of those securities. For the period ended June 30, 2023, the Long-Term U.S. Government Bond Portfolio entered into financing transactions utilizing various U.S. Treasury bonds.

I. Loan Participation and Assignments — Certain Portfolios may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Portfolios’ investments in a loan may be in the form of either actual participation in loans or assignments of all or part of the loans from third parties. A loan is often administered by a bank or other financial institution that acts as an agent for all holders. The agent administers the terms of the loan which are specified in the loan agreement. The Portfolios may invest in multiple series or tranches of a loan, each of which can have different terms and associated risks. The Portfolios generally do not have a right 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

199

Notes to Financial Statements (unaudited)

acquire direct rights against the borrower of the loan. The Portfolios may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments can include lines of credit, which may require the Portfolios to grant additional cash to the borrower upon demand from the borrower. These unfunded loan commitments are in fact a future obligation in full, although a percentage of the loan amount may not be utilized by the borrower. When investing in a loan, the Portfolios have the right to receive principal, interest and any fees from the lender selling the loan agreement and only when the payments are received by the lender from the borrower. There may also be a commitment fee due to the Portfolios based on the unused portion of the line of credit of the floating rate loan. In certain cases, the Portfolios may be entitled to a penalty fee if there was a prepayment of a floating rate loan by the borrower. Fees that are earned or paid will be reflected as interest income or interest expense on the Statements of Operations. Unfunded loan commitments are reflected as a liability on the Statements of Assets and Liabilities.

J. Reverse Repurchase Agreements — Certain Portfolios may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Portfolio delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Portfolio is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Portfolio to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. When effecting reverse repurchase transactions, the Portfolio will hold securities of a dollar amount equal in value to the securities subject to the reverse repurchase agreement in a segregated account.

NOTE 5. DERIVATIVE INSTRUMENTS

The Portfolios may use derivative instruments for various purposes, including as a cash management strategy, to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the Portfolio, to hedge exposure to a foreign currency, or as an alternative to direct investments. Because the Portfolios are required to account for derivative instruments at fair value and recognize changes in fair value through the Statements of Operations, the Portfolios’ derivatives do not qualify for hedge accounting treatment.

Certain Portfolios segregate cash to cover margin requirements for derivative positions. These amounts are denoted as “Cash Collateral for Derivative Positions” on the Statements of Assets and Liabilities.

A. Futures Contracts — Certain Portfolios invest in futures contracts as an alternative to investing in individual securities and could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are marked to market daily based upon quoted settlement prices. The Portfolios receive from or pay to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the “variation margin,” are recorded by the Portfolios as unrealized gains or losses. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

B. Forward Foreign Currency Contracts — The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies or as part of an investment strategy. Contracts are valued at the contractual forward rate and are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is recorded. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counterparties to meet the terms of their contracts.

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

200

Notes to Financial Statements (unaudited)

security. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying future, swap, security or currency may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.

Certain Portfolios may also purchase call and put options on futures, swaps, securities or currencies they own or in which they may invest. Purchasing call options tends to increase a Portfolio’s exposure to the underlying instrument. Purchasing put options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio pays a premium on the purchase of a put option but receives the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio purchases a call option, it is exposed to a decline in the price of the underlying security. Premiums paid are reflected in the Statements of Assets and Liabilities as an investment and are subsequently marked to market to reflect the current value of the option. Premiums paid from purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying future, swap, security or currency transaction to determine realized gain or loss. The risk associated with a Portfolio purchasing call or put options is limited to the premium paid.

D. Swap Agreements — The Portfolios may enter into swap agreements on interest rate, total return and credit default to manage their exposure to interest rates, foreign currencies, investment style risk and credit risk or as an alternative to direct investing. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).

Swaps are marked to market daily based upon quotations from market makers or values from third party vendors, which may include a registered commodities exchange, and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Daily changes in the valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. OTC swap payments received or made at the beginning of the measurement period of the swap are reflected on the Statements of Assets and Liabilities. Upfront payments are amortized to realized gain or loss. Upon termination of the swap, unamortized upfront payments are recorded as realized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments received by the Portfolios are included as part of realized gain (loss) on the Statements of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in interest rates.

Interest Rate Swaps — Interest rate swap agreements involve the exchange by a Portfolio with another party to pay or receive a set of cash flows, e.g., an exchange of floating rate payments for fixed rate payments based on a notional amount of principal.

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

201

Notes to Financial Statements (unaudited)

party, typically corporate issues or sovereign issues of an emerging market country. A Portfolio may use credit default swaps to provide a measure of protection against defaults of the issuers where the Portfolio owns or has exposure to the corporate or sovereign issue or to take an active long or short position on the likelihood of a particular issuer’s default.

As a seller of protection, the Portfolio generally receives an upfront payment and/or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Portfolio adds leverage to its investments because the Portfolio has investment exposure on the notional amount of the swap. As a buyer of protection, the Portfolio generally makes an upfront payment or pays a fixed rate of interest throughout the term of the swap provided that there is no credit event. The Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging market country serve as an indicator of the current status of the payment/performance risk and represent the likelihood of a credit event occurring. The implied credit spread of a particular referenced entity reflects the cost of selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and indicate a greater likelihood a credit event could occur as defined under the terms of the agreement. Open credit default swaps on corporate or sovereign issues and credit indices are disclosed in the Schedules of Investments.

If the Portfolio is a seller of protection and a credit event occurs, the Portfolio will either pay to the buyer of the protection an amount equal to the notional value of the swap and may take delivery of the obligation or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the agreement. Notional amounts and fair market value of all credit default swap agreements outstanding for each Portfolio are disclosed in the Schedules of Investments. These maximum potential amounts would be partially offset by any recovery values of the referenced obligations, upfront payments received upon entering into the agreement, or net amounts received by the Portfolio from the settlement of credit default swap agreements purchasing protection for the same referenced obligation.

E. Derivative Disclosures — Derivative positions held by the Portfolios by contract type and primary risk exposure, including location on the Statement of Assets and Liabilities and value as of June 30, 2023, are (amounts in thousands):

	Asset Derivatives			Liability Derivatives
Portfolio	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Index 500 Stock Portfolio
Equity contracts	Receivables – Variation Margin (Futures)	$	609	Payables – Variation Margin (Futures)	$	-
Large Company Value Portfolio
Forward foreign	Receivables – Foreign Currency		4	Payables – Foreign Currency		11
currency contracts
Index 400 Stock Portfolio
Equity contracts	Receivables – Variation Margin (Futures)		131	Payables – Variation Margin (Futures)		-
Mid Cap Value Portfolio
Forward foreign	Receivables – Foreign Currency		2	Payables – Foreign Currency		65
currency contracts
Index 600 Portfolio
Equity contracts	Receivables – Variation Margin (Futures)		7	Payables – Variation Margin (Futures)		-
International Growth Portfolio
Forward foreign	Receivables – Foreign Currency		1	Payables – Foreign Currency		-
currency contracts

202

Notes to Financial Statements (unaudited)

	Asset Derivatives			Liability Derivatives
Portfolio	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Research International Core Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency	$	2	Payables – Foreign Currency	$	-
International Equity Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency		6,739	Payables – Foreign Currency		93
Short-Term Bond Portfolio
Interest rate contracts	Receivables – Variation Margin (Futures)		-	Payables – Variation Margin (Futures)		35
Long-Term U.S. Government Bond Portfolio
Interest rate contracts	Receivables – Variation Margin (Futures)		4	Payables – Variation Margin (Futures)		114
Interest rate contracts	Receivables – Variation Margin (Cleared Swap)		-	Payables – Variation Margin (Cleared Swap)		20
Interest rate contracts	Receivables – Outstanding Options Written, at Value		-	Payables – Outstanding Options Written, at Value		8
Inflation Protection Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency		-	Payables – Foreign Currency		182
Inflation contracts	Receivables – Variation Margin (Cleared Swap)		77	Payables – Variation Margin (Cleared Swap)		-
Inflation contracts	Receivables – Outstanding Swaps Contracts, at Value		6,280	Payables – Outstanding Swaps Contracts, at Value		312
Multi-Sector Bond Portfolio
Credit contracts	Receivables – Outstanding Swaps Contracts, at Value		396	Payables – Outstanding Swaps Contracts, at Value		474
Credit contracts	Receivables – Variation Margin (Cleared Swap)		944	Payables – Variation Margin (Cleared Swap)		-
Forward foreign currency contracts	Receivables – Foreign Currency		1,432	Payables – Foreign Currency		4,191
Interest rate contracts	Receivables – Variation Margin (Futures)		536	Payables – Variation Margin (Futures)		7
Interest rate contracts	Receivables – Variation Margin (Cleared Swap)		96	Payables – Variation Margin (Cleared Swap)		3

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended June 30, 2023 are (amounts in thousands):

	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options     Written		Futures			Forward   Foreign   Currency   Contracts		Swaps		Total
Index 500 Stock Portfolio
Equity contracts	$	–	$	3,525			$              –	$	–		$      3,525
Large Company Value Portfolio
Forward foreign currency contracts		–		–			(220)		–		(220)
Equity Income Portfolio
Forward foreign currency contracts		–		–			(11)		–		(11)
Index 400 Stock Portfolio
Equity contracts		–		922			–		–		922
Mid Cap Value Portfolio
Forward foreign currency contracts		–		–			(780)		–		(780)
Index 600 Stock Portfolio
Equity contracts		–		(79	)		–		–		(79)
International Growth Portfolio
Forward foreign currency contracts		–		–			(13)		–		(13)

203

Notes to Financial Statements (unaudited)

	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options       Written		Futures		Forward   Foreign   Currency   Contracts		Swaps		Total
Research International Core Portfolio
Forward foreign currency contracts		$                    –		$                    –		$            (107)		$                    –		$      (107)
International Equity Portfolio
Forward foreign currency contracts		–		–		2,814		–		2,814
Emerging Markets Equity Portfolio
Forward foreign currency contracts		–		–		(129)		–		(129)
Short-Term Bond Portfolio
Interest rate contracts		–		(418)		–		–		(418)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		61		(123)		–		(115)		(177)
Inflation Protection Portfolio
Forward foreign currency contracts		–		–		(22)		–		(22)
Interest rate contracts		–		(1,164)		–		–		(1,164)
Inflation contracts		–		–		–		1,826		1,826
Multi-Sector Bond Portfolio
Credit contracts		–		–		–		6,437		6,437
Forward foreign currency contracts		–		–		(4,074)		–		(4,074)
Interest rate contracts		–		(1,476)		–		(2,216)		(3,692)

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the period ended June 30, 2023 are (amounts in thousands):

	Change in Unrealized Appreciation (Depreciation) on  Derivative Instruments
Portfolio	Options Written		Futures		Forward   Foreign   Currency   Contracts		Swaps		Total
Index 500 Stock Portfolio
Equity contracts		$                –		$    3,008		$                –		$                –		$    3,008
Large Company Value Portfolio
Forward foreign currency contracts		–		–		46		–		46
Index 400 Stock Portfolio
Equity contracts		–		734		–		–		734
Mid Cap Value Portfolio
Forward foreign currency contracts		–		–		239		–		239
Index 600 Stock Portfolio
Equity Contracts		–		72		–		–		72
International Growth Portfolio
Forward foreign currency contracts		–		–		2		–		2
Research International Core Portfolio
Forward foreign currency contracts		–		–		119		–		119
International Equity Portfolio
Forward foreign currency contracts		–		–		4,540		–		4,540
Emerging Markets Equity Portfolio
Forward foreign currency contracts		–		–		(178)		–		(178)
Short-Term Bond Portfolio
Interest rate contracts		–		(1,061)		–		–		(1,061)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		11		543		–		(25)		529
Inflation Protection Portfolio
Forward foreign currency contracts		–		–		(174)		–		(174)
Inflation contracts		–		–		–		(1,121)		(1,121)

204

Notes to Financial Statements (unaudited)

	Change in Unrealized Appreciation (Depreciation) on  Derivative Instruments
Portfolio	Options Written		Futures		Forward   Foreign   Currency   Contracts		Swaps		Total
Multi-Sector Bond Portfolio
Credit contracts		$                –		$  –		$                    –		$      1,620		$      1,620
Forward foreign currency contracts		–		–		1,251		–		1,251
Interest rate contracts		–		(1,953)		–		310		(1,643)

Volumes on derivative instruments by contract type and primary risk exposure, for the period ended June 30, 2023 are:

	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
Portfolio	Exchange Traded Options		Futures		Forward Foreign Currency Contracts		Swaps		Over the     Counter     Options
Index 500 Stock Portfolio
Equity contracts		–		267		–		–		–
Large Company Value Portfolio
Forward foreign currency contracts		–		–		12,915		–		–
Equity Income Portfolio
Forward foreign currency contracts		–		–		–		–		–
Index 400 Stock Portfolio
Equity contracts		–		56		–		–		–
Mid Cap Value Portfolio
Forward foreign currency contracts		–		–		56,060		–		–
Index 600 Stock Portfolio
Equity contracts		–		27		–		–		–
International Growth Portfolio
Forward foreign currency contracts		–		–		–		–		–
Research International Core Portfolio
Forward foreign currency contracts		–		–		–		–		–
International Equity Portfolio
Forward foreign currency contracts		–		–		165,605		–		–
Emerging Markets Equity Portfolio
Forward foreign currency contracts		–		–		–		–		–
Short-Term Bond Portfolio
Interest rate contracts		–		581		–		–		–
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		20		468		–		23,972		1,857
Inflation Protection Portfolio
Forward foreign currency contracts		–		–		4,553		–		–
Interest rate contracts		–		408		–		–		–
Inflation contracts		–		–		–		179,017		–
Multi-Sector Bond Portfolio
Credit contracts		–		–		–		276,975		–
Forward foreign currency contracts		–		–		631,161		–		–
Interest rate contracts		–		2,629		–		1,544,367		–

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

205

Notes to Financial Statements (unaudited)

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.

The value of a Portfolio’s investments may decline because of economic changes or other events, such as inflation (or expectations for inflation), deflation (or expectations for deflation), interest rates, global demand for particular products or resources, market instability, debt crises and downgrades, embargoes, tariffs, sanctions and other trade barriers, regulatory events, other governmental trade or market control programs and related geopolitical events. The global economies and financial markets are becoming increasingly interconnected, which increases the possibility that conditions in one country or region might adversely impact issuers in a different country or region. Local and global markets and normal market operations can be adversely affected by significant market disruptions. Market disruptions can be caused by local, regional or global events such as war, military conflict, political instability, acts of terrorism, social unrest, environmental disasters, natural disasters or events, trade disputes, supply chain disruptions, spread of infectious diseases or other public health issues, climate change, recessions, or other events. Climate change, the outbreak of infectious diseases or other public health issues may exacerbate other pre-existing political, social, economic, market and financial risks. Certain illnesses spread rapidly and have the potential to significantly and adversely affect the global economy. The impact of infectious diseases in developing or emerging market countries may be greater due to less established health care systems. The impact of any such events could negatively affect the global economy as well as the economies of individual countries, the financial performance of individual companies, sectors and industries, and the markets in general in significant and unforeseen ways. Such events may affect certain sectors, industries, businesses, geographic regions or countries more significantly than others. In addition, any of such circumstances could result in disruptions in the trading markets and could result in increased market volatility. Such events could adversely affect the prices and liquidity of a Portfolio’s securities and could have a materially negative impact on the value of a Portfolio. Such events also could impact the ability of the Fund to process transactions or perform other operational activities. The Fund cannot predict the effects of geopolitical or other events in the future on the U.S. and other economies, the securities markets, or the Portfolios.

LIBOR

Instruments in which the Fund invests may pay interest at floating rates based on the London Interbank Offered Rate (“LIBOR”) or may be subject to interest caps or floors based on LIBOR. In 2017, the head of the United Kingdom’s Financial Conduct Authority (“FCA”) announced a desire to phase out the use of LIBOR by the end of 2021. In March 2021, the FCA and LIBOR’s administrator, ICE Benchmarks Administration announced that LIBOR would no longer be provided (i) for all sterling euro, Swiss franc and Japanese yen settings, and the one-week and two-month U.S. dollar LIBOR settings after December 31, 2021 and (ii) for the remaining U.S. dollar LIBOR settings after June 30, 2023. Various financial industry groups have been planning for the transition away from LIBOR to a new reference rate such as the Secured Overnight Financing Rate (“SOFR”), which is intended to replace the U.S. dollar LIBOR but there may be challenges to converting certain existing securities and transactions to a new reference rate. Although the transition process away from the use of LIBOR has become increasingly well-defined and replacement reference rates have been established for all LIBOR currencies, the potential effects of the transition on any existing financial instruments in which the Fund invests which reference LIBOR may be difficult to ascertain. Changes accompanying the transition to a new reference rate may have an adverse impact on a Fund’s investments, performance or financial condition.

Master Netting Arrangements

The Portfolios are subject to various Master Agreements that govern the terms of certain transactions. Master Repurchase Agreements and Global Master Repurchase Agreements are in place that governs repurchase, reverse repurchase, and sale-buyback financing transactions. Master Securities Forward Transaction Agreements are in place that govern the settlement of certain forward settling transactions including to-be-announced securities, delayed-delivery or sale-buyback financing transactions. Customer Account Agreements and related addenda are in place that govern certain cleared derivative transactions including futures and cleared OTC derivatives. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA agreements”) are in place that governs certain OTC financial derivative transactions. ISDA agreements maintain provisions for general obligations, representations, agreements, collateral and events

206

Notes to Financial Statements (unaudited)

of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA agreement. The terms of Master Agreements may reduce counterparty risk with respect to transactions governed by the Master Agreement under certain circumstances. Certain Portfolios have agreements with counterparties that contain provisions, or contingency features, that allow net settlement in the event of contract termination and permit termination by either party prior to maturity upon the occurrence of certain stated events, such as failure to pay or bankruptcy. In addition, certain agreements specify other events, the occurrence of which would allow one of the parties to terminate. For example, a downgrade in credit rating of a counterparty would allow the Portfolio to terminate while a decline in the Portfolio’s net assets of more than a certain percentage would allow the counterparty to terminate. In such a situation, the counterparty involved would have the option to waive the triggering event or liquidate the affected positions pursuant to the terms of the related agreement. The aggregate amount of derivatives in a liability position is disclosed in Note 5.

Offsetting Assets and Liabilities

Certain Portfolios are parties to enforceable master netting or similar agreements which provide for the right of offset under certain circumstances. The Portfolios have made an accounting policy election not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities. As such, all financial and derivative instruments are presented on a gross basis on the Statements of Assets and Liabilities. The impacts of netting arrangements that provide the right to offset are detailed below (amounts in thousands). The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing transactions such as repurchase agreements and certain forward settling transactions can only be netted across transactions governed under the same Master Agreement with the same legal entity. For certain Portfolios, derivative amounts do not reconcile to the Statements of Assets and Liabilities due to the Statements of Assets and Liabilities including derivatives that are not covered under master netting or similar agreements. The amount of collateral, for the period ended June 30, 2023, has been limited such that the net amount cannot be less than zero.

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral as of period end:

Large Company Value Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contacts		Swaps		Total Assets		Forward Foreign Currency Contacts		Swaps		Total Liabilities		Net Market Value		Collateral Pledged/ (Received)		Net Exposure
Bank of America NA		$              3		$              -		$              3		$              (1)		$             -		$            (1)		$            2		$            -		$            2
Morgan Stanley Capital Services LLC		1		-		1		(10)		-		(10)		(9)		-		(9)
Total		$              4		$              -		$              4		$              (11)		$             -		$          (11)		$          (7)		$            -		$         (7)
Mid Cap Value Portfolio
	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contacts		Swaps		Total Assets		Forward Foreign Currency Contacts		Swaps		Total Liabilities		Net Market Value		Collateral Pledged/ (Received)		Net Exposure
Bank of America NA		$            2		$              -		$            2		$            (4)		$            -		$            (4)		$            (2)		$               -		$              (2)
Morgan Stanley Capital Services LLC		-		-		-		(61)		-		(61)		(61)		61		-
Total		$            2		$              -		$            2		$          (65)		$            -		$          (65)		$          (63)		$           61		$              (2)

207

Notes to Financial Statements (unaudited)

International Equity Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contacts		Swaps		Total Assets		Forward Foreign Currency Contacts		Swaps		Total Liabilities		Net Market Value		Collateral Pledged/ (Received)		Net Exposure
Bank of America NA		$        586		$            -		$        586		$        (5)		$            -		$           (5)		$     581		$          (530)		$           51
Citibank NA		-		-		-		(83)		-		(83)		(83)		-		(83)
Goldman Sachs Bank USA		638		-		638		(4)		-		(4)		634		(590)		44
HSBC Bank USA NA		3,866		-		3,866		-		-		-		3,866		(3,800)		66
Income Repatriation Boston IBS		-		-		-		(1)		-		(1)		(1)		-		(1)
JP Morgan Chase Bank NA		1,469		-		1,469		-		-		-		1,469		(1,440)		29
Standard Chartered Bank		180		-		180		-		-		-		180		-		180
Total		$    6,739		$            -		$    6,739		$     (93)		$            -		$        (93)		$    6,646		$    (6,360)		$        286
Inflation Protection Portfolio
	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contacts		Swaps		Total   Assets		Forward Foreign Currency Contacts		Swaps		Total Liabilities		Net Market Value		Collateral Pledged/ (Received)		Net Exposure
Bank of America NA		$            -		$    1,778		$    1,778		$                  -		$            -		$            -		$    1,778		$    (1,773)		$            5
Barclays Bank PLC		-		447		447		-		(312)		(312)		135		-		135
Goldman Sachs International		-		4,055		4,055		-		-		-		4,055		(4,048)		7
Morgan Stanley Capital Services LLC		-		-		-		(182)		-		(182)		(182)		-		(182)
Total		$            -		$    6,280		$    6,280		$      (182)		$    (312)		$    (494)		$    5,786		$  (5,821)		$        (35)

Multi-Sector Bond Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contacts		Swaps		Total Assets		Forward Foreign Currency Contacts			Written Options		Swaps			Total Liabilities			Net Market Value		Collateral Pledged/ (Received)			Net Exposure
Bank of America NA	$	583	$	-	$	583	$	-		$	-	$	-		$	-		$	583	$	(550	)	$	33
Barclays Bank PLC		33		-		33		-			-		(127)			(127)			(94)		94			-
BNP Paribas SA		738		-		738		(3,309)			-		-			(3,309)			(2,571)		2,571			-
Goldman Sachs International		-		-		-		-			-		(261)			(261)			(261)		261			-
HSBC Bank USA NA		4		-		4		(144)			-		-			(144)			(140)		140			-
JP Morgan Chase Bank NA		7		392		399		(728)			-		(57)			(785)			(386)		386			-
Morgan Stanley Capital Services LLC		-		4		4		-			-		(29)			(29)			(25)		-			(25)
Royal Bank of Canada		16		-		16		-			-		-			-			16		-			16
UBS AG		51		-		51		(10)			-		-			(10)			41		(41)			-
Total	$	1,432	$	396	$	1,828	$	(4,191	)	$	-	$	(474	)	$	(4,665	)	$	(2,837)	$	2,861		$	24

208

Notes to Financial Statements (unaudited)

The following is a summary by counterparty of the market value of repurchase agreements, financing transactions, collateral and net exposure as of period end:

Government Money Market Portfolio

Counterparty	Investment in Repurchase Agreements		Payable for Reverse Repurchase Agreements		Payable for Financing Transactions		Net Market Value		Collateral Pledged/ (Received)			Net Exposure
Bank of Montreal	$	25,000	$	-	$	-	$	25,000	$	(25,000	)	$	-
Bank of Nova Scotia		20,000		-		-		20,000		(20,000	)		-
BNP Paribas		20,000		-		-		20,000		(20,000	)		-
Citigroup Global Markets, Inc.		27,000		-		-		27,000		(27,000	)		-
Goldman Sachs Group LP		35,000		-		-		35,000		(35,000	)		-
Mitsubishi UFJ		39,000		-		-		39,000		(39,000	)		-
Mizuho Securities		36,000		-		-		36,000		(36,000	)		-
Morgan Stanley		35,000		-		-		35,000		(35,000	)		-
Natixis S.A.		40,000		-		-		40,000		(40,000	)		-
TD Securities		45,000		-		-		45,000		(45,000	)		-
Total	$	322,000	$	-	$	-	$	322,000	$	(322,000	)	$	-

Long-Term U.S. Government Bond Portfolio
Counterparty	Investment in Repurchase Agreements		Payable for Short Sales		Payable for Financing Transactions			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Barclays Capital, Inc.	$	-	$	-	$	(1,071	)	$	(1,071	)	$	1,068	$	(3	)
Goldman Sachs International		-		-		(1,764	)		(1,764	)		1,762		(2	)
Morgan Stanley Capital Services		-		-		(164,297	)		(164,297	)		164,191		(106	)
Total	$	-	$	-	$	(167,132	)	$	(167,132	)	$	167,021	$	(111	)

The Long-Term U.S. Government Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2023 was $45,226 (amount in thousands) at a weighted average interest rate of 4.847%. Average borrowings include reverse repurchase agreements and financing transactions, if held during the period.

Multi-Sector Bond Portfolio

Counterparty	Investment in Repurchase Agreements		Payable for Reverse Repurchase Agreements			Payable for Financing Transactions		Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Barclays Bank PLC	$	201,000	$	(2,583	)	$	-	$	198,417		$	(198,417	)	$	-
BNP Paribas SA		229,900		-			-		229,900			(229,900	)		-
JP Morgan Securities PLC		-		(460	)		-		(460	)		453			(7)
Total	$	430,900	$	(3,043	)	$	-	$	427,857		$	(427,864	)	$	(7)

The Multi-Sector Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2023 was $2,520 (amount in thousands) at a weighted average interest rate of 1.918%. Average borrowings include reverse repurchase agreements, if held during the period.

NOTE 7. INVESTMENT ADVISORY, SUB-ADVISORY, AND COMPLIANCE FEES

The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services to MSA, an affiliate and wholly-owned subsidiary of Northwestern Mutual. Certain Portfolios, listed below, pay a fixed annual rate based on the average daily net asset values of the Portfolio.

Portfolio	Fee
Index 500 Stock Portfolio	0.20%
Index 400 Stock Portfolio	0.25%
Mid Cap Value Portfolio	0.85%
Small Cap Value Portfolio	0.85%

209

Notes to Financial Statements (unaudited)

Portfolio	Fee
Government Money Market Portfolio	0.30%
Select Bond Portfolio	0.30%
Balanced Portfolio	0.30%

For the other Portfolios, the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:

Portfolio	First $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%
Portfolio	First $100 Million	Next $150 Million	Excess Over $250 Million
Large Company Value Portfolio	0.72%	0.67%	0.62%
Domestic Equity Portfolio	0.65%	0.55%	0.50%
International Growth Portfolio	0.75%	0.65%	0.55%
Short-Term Bond Portfolio	0.35%	0.33%	0.30%
Long-Term U.S. Government Bond Portfolio	0.555%	0.515%	0.495%
Inflation Protection Portfolio	0.58%	0.55%	0.49%
Multi-Sector Bond Portfolio	0.79%	0.78%	0.77%
Asset Allocation Portfolio	0.60%	0.50%	0.40%
Portfolio	First $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%

For certain Portfolios, MSA contractually agreed to waive the management fee and absorb certain other operating expenses to the extent necessary so that Total Operating Expenses (excluding taxes, brokerage, other investment-related costs, interest and dividend expenses and charges, acquired fund fees, fees for class actions, other passive securities litigation and anti-trust claim filing services and such non-recurring and extraordinary expenses as they may arise) will not exceed the following

210

Notes to Financial Statements (unaudited)

amounts:

Portfolio			Expiration
Focused Appreciation Portfolio	0.90	%		April 30, 2024
Large Cap Blend Portfolio	0.85	%		April 30, 2024
Large Company Value Portfolio	0.80	%		April 30, 2024
Domestic Equity Portfolio	0.75	%		April 30, 2024
Equity Income Portfolio	0.75	%		April 30, 2024
Mid Cap Value Portfolio	1.00	%		April 30, 2024
Index 600 Stock Portfolio	0.35	%		April 30, 2024
Small Cap Value Portfolio	1.00	%		April 30, 2024
International Growth Portfolio	1.10	%		April 30, 2024
Research International Core Portfolio	1.15	%		April 30, 2024
Emerging Markets Equity Portfolio	1.50	%		April 30, 2024
Short-Term Bond Portfolio	0.45	%		April 30, 2024
Long-Term U.S. Government Bond Portfolio	0.65	%		April 30, 2024
Inflation Protection Portfolio	0.65	%		April 30, 2024
Multi-Sector Bond Portfolio	0.90	%		April 30, 2024
Asset Allocation Portfolio	0.75	%		April 30, 2024

Growth Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.38% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Focused Appreciation Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.66% on the Portfolio’s first $100 million of average net assets, 0.61% on the next $400 million, 0.60% on the next $500 million, and 0.57% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Large Cap Core Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $400 million, and 0.37% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Large Cap Blend Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.70% on the Portfolio’s first $150 million of average net assets, 0.65% on the next $150 million, 0.62% on the next $200 million, and 0.56% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Index 500 Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.20% on the Portfolio’s first $2 billion of average net assets, and 0.18% on average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Large Company Value Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.67% on the Portfolio’s first $100 million of average net assets, 0.62% on the next $150 million, 0.59% on the next $250 million, and 0.57% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Domestic Equity Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.65% on the Portfolio’s first $100 million of average net assets, 0.55% on the next $150 million, 0.50% on the next $250 million, 0.43% on the next $500 million, and 0.41% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Equity Income Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.56% on the Portfolio’s first $500 million of average net assets, 0.53% on the next $1 billion, and 0.52% on the average net assets

211

Notes to Financial Statements (unaudited)

in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Mid Cap Growth Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.80% on the Portfolio’s first $50 million, 0.65% on the next $50 million, 0.50% on the next $900 million, and 0.49% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Index 400 Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.25% on the Portfolio’s first $500 million and 0.20% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Mid Cap Value Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.79% on the Portfolio’s first $150 million of average net assets, 0.67% on the next $350 million, and 0.64% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Small Cap Value Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.85% on the Portfolio’s first $500 million of average net assets, and 0.80% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

International Growth Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.75% on the Portfolio’s first $100 million of average net assets, 0.65% on the next $150 million, 0.55% on the next $750 million, and 0.54% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Research International Core Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.83% on the Portfolio’s first $150 million of average net assets, 0.77% on the next $150 million, 0.70% on the next $200 million, and 0.63% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

International Equity Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.85% on the Portfolio’s first $50 million of average net assets, 0.65% on the next $1,950 million, and 0.63% on the average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Emerging Markets Equity Portfolio – For the period from January 1, 2023 through April 30, 2023, MSA agreed to waive a portion of its management fee such that its management fee was 0.95% on the Portfolio’s first $250 million of average net assets, 0.87% on the next $250 million, 0.80% on the next $500 million, and 0.75% on average net assets in excess of $1 billion. Effective May 1, 2023, MSA has agreed to waive a portion of its management fee such that its management fee is 0.95% on the Portfolio’s first $250 million of average net assets, 0.87% on the next $250 million, 0.78% on the next $500 million, and 0.75% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Government Money Market Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.30% on the Portfolio’s first $500 million of average net assets, 0.29% on the next $500 million, and 0.28% in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Short-Term Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.35% on the Portfolio’s first $100 million of average net assets, 0.33% on the next $150 million, 0.30% on the next $250 million, and 0.28% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Select Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.30% on the Portfolio’s first $2 billion of average net assets, and 0.28% on average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Long-Term U.S. Government Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the

212

Notes to Financial Statements (unaudited)

management fee is 0.555% on the Portfolio’s first $100 million of average net assets, 0.515% on the next $150 million, 0.495% of the next $250 million, and 0.445% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Inflation Protection Portfolio – MSA agreed to waive a portion of its management fee such that the management fee is 0.55% on the Portfolio’s first $100 million of average net assets, 0.50% on the next $150 million, and 0.46% on average net assets in excess of $250 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

High Yield Bond Portfolio – MSA agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.30% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Multi-Sector Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $100 million of average net assets, 0.73% on the next $150 million, 0.70% on the next $250 million, and 0.65% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Balanced Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.05% on all average net assets. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Asset Allocation Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.05% on all average net assets. MSA may terminate this fee waiver agreement at any time after April 30, 2024.

Waivers are not recoupable in future periods.

With respect to certain Portfolios, MSA has engaged and oversees unaffiliated sub-advisers who manage the day-to-day investment operations of such Portfolios. MSA pays each sub-adviser a fee based on the average daily net assets of each such Portfolio out of its investment management fee.

Compliance fees are paid to Northwestern Mutual, an affiliate of the Series Fund. The compliance fees paid are for the compensation, benefits and expenses of the Chief Compliance Officer and compliance staff. The amounts paid relate only to the Chief Compliance Officer and compliance staffs’ duties and functions performed for the Series Fund.

NOTE 8. FEDERAL INCOME TAX MATTERS

Taxable distributions from net investment income and realized capital gains in the Portfolios may differ from book amounts earned during the period due to differences in the timing of capital gains recognition and due to the reclassification of certain gains or losses between capital and income. The differences between cost amounts for book purposes and tax purposes are primarily due to the tax treatment of deferred losses, passive foreign investment companies, and financing transactions.

It is the policy of the Portfolios to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the Statements of Assets and Liabilities. Permanent differences primarily relate to character differences with respect to income on swaps, foreign currency transactions, foreign bond sales, passive foreign investment companies and paydowns on structured product investments.

A summary of the Portfolios’ capital loss carryovers as of December 31, 2022 is provided below:

	Short- Term Loss Carryover		Long- Term Loss Carryover		Losses Utilized
	(Amounts in thousands)
Growth Stock Portfolio	$	31,225	$	23,305	$	–
Mid Cap Growth Stock Portfolio		15,848		–		–
Small Cap Growth Stock Portfolio		40,983		34,286		–

213

Notes to Financial Statements (unaudited)

	Short- Term Loss Carryover		Long- Term Loss Carryover		Losses Utilized
International Equity Portfolio	$	1,028	$	–	$	–
Emerging Markets Equity Portfolio		27,287		–		–
Short-Term Bond Portfolio		4,226		3,010		–
Select Bond Portfolio		184,255		93,379		–
Long-Term U.S. Government Bond Portfolio		–		10,002		146
Inflation Protection Portfolio		8,738		4,886		–
High Yield Bond Portfolio		328		8,568		–
Multi-Sector Bond Portfolio		27,781		44,723		–

Capital losses are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the first day of the next fiscal year.

When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the year ended December 31, 2022 was as follows:

	2022 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain
	(Amounts in thousands)
Growth Stock Portfolio	$	8,528	$	142,825
Focused Appreciation Portfolio		2,197		125,795
Large Cap Core Stock Portfolio		34,391		81,325
Large Cap Blend Portfolio		1,337		18,030
Index 500 Stock Portfolio		64,069		144,551
Large Company Value Portfolio		12,442		19,968
Domestic Equity Portfolio		30,154		106,445
Equity Income Portfolio		22,774		71,701
Mid Cap Growth Stock Portfolio		1,611		98,437
Index 400 Stock Portfolio		31,873		101,625
Mid Cap Value Portfolio		44,485		64,725
Small Cap Growth Stock Portfolio		3,020		107,716
Index 600 Stock Portfolio		11,797		25,599
Small Cap Value Portfolio		12,120		65,482
International Growth Portfolio		8,194		93,077
Research International Core Portfolio		20,345		34,292
International Equity Portfolio		41,796		46,803
Emerging Markets Equity Portfolio		19,997		58,276
Government Money Market Portfolio		7,243		—
Short-Term Bond Portfolio		6,234		172
Select Bond Portfolio		51,441		3,949
Long-Term U.S. Government Bond Portfolio		1,876		—
Inflation Protection Portfolio		16,642		8,985
High Yield Bond Portfolio		40,651		—
Multi-Sector Bond Portfolio		47,671		—
Balanced Portfolio		82,626		121,740
Asset Allocation Portfolio		9,305		17,887

As of December 31, 2022, 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	$	392	$	–	$	(54,530	)	$	67,630
Focused Appreciation Portfolio		2,059		71,643		–			218,790
Large Cap Core Stock Portfolio		6,286		48,862		–			34,968
Large Cap Blend Portfolio		1,503		14,830		–			17,725
Index 500 Stock Portfolio		67,102		35,831		–			2,642,888
Large Company Value Portfolio		5,077		19,079		–			6,150
Domestic Equity Portfolio		19,196		46,554		–			207,206
Equity Income Portfolio		18,100		55,166		–			130,870

214

Notes to Financial Statements (unaudited)

Portfolio	Undistributed Ordinary Income		Undistributed Long-Term Gains		Accumulated Losses			Unrealized Appreciation (Depreciation)
	(Amounts in thousands)
Mid Cap Growth Stock Portfolio	$	2,534	$	–	$	(15,848	)	$	1,574
Index 400 Stock Portfolio		15,756		49,250		–			218,173
Mid Cap Value Portfolio		24,111		71,737		–			(5,687	)
Small Cap Growth Stock Portfolio		331		–		(75,269	)		37,846
Index 600 Stock Portfolio		4,348		15,940		–			30,423
Small Cap Value Portfolio		2,893		36,376		–			73,367
International Growth Portfolio		8,162		20,348		–			104,917
Research International Core Portfolio		13,540		15,029		–			61,020
International Equity Portfolio		54,272		–		(1,028	)		(214,640	)
Emerging Markets Equity Portfolio		19,013		–		(27,287	)		(42,276	)
Government Money Market Portfolio		–		–		–			–
Short-Term Bond Portfolio		7,807		–		(7,236	)		(18,905	)
Select Bond Portfolio		73,967		–		(277,634	)		(270,985	)
Long-Term U.S. Government Bond Portfolio		2,679		–		(10,002	)		(56,465	)
Inflation Protection Portfolio		20,508		–		(13,624	)		(38,012	)
High Yield Bond Portfolio		40,679		–		(8,896	)		(109,277	)
Multi-Sector Bond Portfolio		28,568		–		(72,504	)		(160,243	)
Balanced Portfolio		38,818		72,601		–			(217,555	)
Asset Allocation Portfolio		5,321		15,893		–			(25,962	)

NOTE 9. VOLUNTARY REIMBURSEMENTS

Northwestern Mutual voluntarily reimburses foreign equity portfolios for the benefit Northwestern Mutual receives from foreign dividend taxes charged against the Portfolios. The amounts reimbursed represent approximately 79% of the foreign dividend taxes withheld attributable to the portion of the Portfolio owned by Northwestern Mutual. Reimbursements are recorded when foreign dividend taxes are accrued.

Voluntary reimbursements for the period ended June 30, 2023 are summarized below (amounts in thousands):

Portfolio	2023   Reimbursements
International Growth Portfolio	$	823
International Equity Portfolio		3,255
Research International Core Portfolio		1,017
Emerging Markets Equity Portfolio		982

NOTE 10. GUARANTEES

In the normal course of business, the Portfolios enter into contracts that contain a variety of representations which provide general indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, the Portfolios expect the risk of material loss to be remote.

NOTE 11. INVESTMENT INCOME AND SECURITIES TRANSACTIONS

For the period ended June 30, 2023, 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	$	66,148	$	—	$	81,925	$	—
Focused Appreciation Portfolio		49,635		—		148,628		—
Large Cap Core Stock Portfolio		203,177		—		217,700		—

215

Notes to Financial Statements (unaudited)

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)
Large Cap Blend Portfolio	$	17,243	$	—	$	49,938	$	—
Index 500 Stock Portfolio		32,772		—		26,709		—
Large Company Value Portfolio		29,654		—		31,197		—
Domestic Equity Portfolio		121,294		—		131,189		—
Equity Income Portfolio		70,825		—		85,486		—
Mid Cap Growth Stock Portfolio		210,684		—		240,891		—
Index 400 Stock Portfolio		92,152		—		98,148		—
Mid Cap Value Portfolio		134,982		—		142,779		—
Small Cap Growth Stock Portfolio		212,177		—		221,303		—
Index 600 Stock Portfolio		54,728		—		44,429		—
Small Cap Value Portfolio		81,795		—		80,149		—
International Growth Portfolio		87,170		—		116,787		—
Research International Core Portfolio		73,545		—		79,472		—
International Equity Portfolio		115,351		—		150,706		—
Emerging Markets Equity Portfolio		113,396		—		103,455		—
Short-Term Bond Portfolio		52,182		34,877		54,506		28,365
Select Bond Portfolio		1,423,484		2,750,848		1,321,391		2,798,353
Long-Term U.S. Government Bond Portfolio		575		44,769		14		24,270
Inflation Protection Portfolio		105,988		24,746		88,142		31,293
High Yield Bond Portfolio		65,156		—		57,037		—
Multi-Sector Bond Portfolio		66,092		—		124,574		—
Balanced Portfolio		96,331		—		179,764		—
Asset Allocation Portfolio		15,507		—		25,643		—

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 June 30, 2023 are as follows:

Portfolio	Value at 12/31/2022		Purchases		Sales		Value at 6/30/2023		Change in Unrealized Appreciation/ Depreciation		Realized Gain (Loss)		Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2023
	(Amounts in thousands)
Balanced Portfolio:
Focused Appreciation	$	95,215	$	-	$	39,800	$	86,321	$	21,384	$	9,522		$        -		$        -		7.0	%
Large Cap Blend		100,037		-		26,770		82,006		4,945		3,794		-		-		46.1	%
Domestic Equity		107,539		-		19,000		88,177		(1,397)		1,035		-		-		8.5	%
Mid Cap Growth Stock		81,889		-		4,600		84,485		7,741		(545)		-		-		7.9	%
Mid Cap Value		91,365		-		8,840		85,084		1,793		766		-		-		13.0	%
Small Cap Growth Stock		16,959		-		-		19,189		2,230		-		-		-		2.9	%
Small Cap Value		22,920		-		-		23,793		873				-		-		4.3	%
International Growth		75,895		-		17,400		69,289		5,615		5,179		-		-		7.1	%
International Equity		81,108		-		20,100		68,972		12,862		(4,898)		-		-		3.8	%
Emerging Markets Equity		13,059		-		8,000		5,575		3,497		(2,981)		-		-		0.6	%
Short-Term Bond		22,825		-		-		23,171		346		-		-		-		6.0	%
Select Bond		643,027		-		19,370		640,615		19,672		(2,714)		-		-		22.7	%
High Yield Bond		54,560		-		-		57,431		2,871		-		-		-		8.0	%
Multi-Sector Bond		101,469		-		-		104,699		3,230		-		-		-		9.2	%
	$	1,507,867	$	-	$	163,880	$	1,438,807	$	85,662	$	9,158		$        -		$        -

216

Notes to Financial Statements (unaudited)

Portfolio	Value at 12/31/2022		Purchases		Sales		Value at 6/30/2023			Change in Unrealized Appreciation/ Depreciation		Realized Gain (Loss)		Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2023
	(Amounts in thousands)
Asset Allocation Portfolio:
Focused Appreciation	$	18,098	$	-	$	6,140	$	17,923		$	4,083	$	1,882		$        -		$        -		1.5	%
Large Cap Blend		18,947		-		5,970		14,612			811		824		-		-		8.2	%
Domestic Equity		19,880		-		1,650		18,172			(526)		468		-		-		1.8	%
Mid Cap Growth Stock		13,540		-		340		14,392			1,223		(31)		-		-		1.3	%
Mid Cap Value		14,985		-		770		14,628			401		12		-		-		2.2	%
Small Cap Growth Stock		5,312		-		-		6,011			699		-		-		-		0.9	%
Small Cap Value		6,174		-		-		6,409			235		-		-		-		1.2	%
International Growth		15,020		-		3,070		14,100			1,255		895		-		-		1.4	%
International Equity		15,799		-		3,070		14,296	��		2,155		(588)		-		-		0.8	%
Emerging Markets Equity		2,959		-		400		2,703			228		(84)		-		-		0.3	%
Short-Term Bond		3,120		-		-		3,167			47		-		-		-		0.8	%
Select Bond		44,162		-		1,400		43,928			1,327		(161)		-		-		1.6	%
High Yield Bond		12,776		-		-		13,448			672		-		-		-		1.9	%
Multi-Sector Bond		13,571		-		-		14,003			432		-		-		-		1.2	%
	$	204,343	$	-	$	22,810	$	197,792		$	13,042	$	3,217		$        -		$        -

The Series Fund and its Portfolios are permitted to purchase securities from, and sell securities to (so called “cross-trades”), (i) other Portfolios, (ii) any registered investment company which is an affiliate, or an affiliate of an affiliate, or (iii) any person which is an affiliate, or an affiliate of an affiliate, of the Series Fund or the Portfolio solely by reason of having a common investment adviser or sub-adviser (or affiliated investment advisers) or common directors and/or officers, pursuant to procedures adopted by the Board under Rule 17a-7 of the 1940 Act (“Procedures”). These Procedures have been designed to ensure that any cross-trade of securities by a Portfolio complies with Rule 17a-7 of the 1940 Act. Each cross-trade is effected at the current market price as defined under the Procedures. Pursuant to the Procedures, for the period ended June 30, 2023, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):

Portfolio	Cross Trade Purchases
Mid Cap Value Portfolio	$	102
International Growth Portfolio		1,747

	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gain (Loss) on Sales
Mid Cap Value Portfolio	$	99		20
International Growth Portfolio		420		119

NOTE 12. SUBSEQUENT EVENT

On July 31, 2023, J.P. Morgan Investment Management, Inc. began serving as the sub-adviser for the Large Cap Blend Portfolio.

217

Abbreviations (unaudited)

Abbreviations that may be used in the preceding statements

ADR	American Depositary Receipt
AFC	Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the
	underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR	Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
EXE	Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all
	bonds in the deal.
IO	Interest Only Security
PO	Principal Only Security
GDR	Global Depositary Receipt
GO	General Obligation
RB	Revenue Bond
CPURNSA	U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted
LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate
ICE	Intercontinental Exchange
SONIO	Sterling Overnight Interbank Average Rate
DAC	Designated Activity Company
TBA	To Be Announced
OIS	Overnight Index Swaps
DIFC	Dubai International Financial Centre
EURIBOR	Euro Interbank Offered Rate
SDR	Swedish Depository Receipt
ETF	Exchange Traded Fund
Currency Abbreviations
ARS	Argentine Peso
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
CNH	Chinese Yuan Renminbi - Offshore
CNY	Chinese Yuan Renminbi
DKK	Danish Krone
EUR	Euro
GBP	British Pound
HKD	Hong Kong Dollar
IDR	Indonesian Rupiah
INR	Indian Rupee
JPY	Japanese Yen
KES	Kenyan Shilling
KRW	South Korean Won
MXN	Mexican New Peso
NOK	Norwegian Krone
RUB	Russian Ruble
SAR	SAR
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
TWD	Taiwan Dollar
USD	United States Dollar
ZAR	South African Rand

218

Proxy Voting and Portfolio Holdings (unaudited)

Proxy Voting Guidelines

A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at 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, other than the Government Money Market Portfolio, files its complete schedule of portfolio holdings on a monthly basis with the Securities and Exchange Commission (SEC) as an exhibit to its reports on Form N-PORT. Each Portfolio’s holdings reported on Form N-PORT for the first and third quarters of the fiscal year are available on the SEC’s website at http://www.sec.gov. Portfolios that file their holdings on Form N-PORT also make their complete schedule of portfolio holdings for the most recent quarter of their fiscal year available on the Internet at www.northwesternmutual.com.

The Government Money Market Portfolio files its complete schedule of portfolio holdings on a monthly basis with the SEC on Form N-MFP. Form N-MFP is available on the SEC’s website at http://www.sec.gov. The Government Money Market Portfolio also makes its complete schedule of portfolio holdings for the most recent month available on the Internet at www.northwesternmutual.com.

219

Statement Regarding Liquidity Risk Management Program (unaudited)

Each series/portfolio of Northwestern Mutual Series Fund, Inc. (“Series Fund”) other than the Government Money Market Portfolio (each, a “Portfolio”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Portfolio’s liquidity risk (which is defined as the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) the assessment, management and periodic review of liquidity risk; (ii) the classification of portfolio holdings; (iii) the establishment of a highly liquid investment minimum, as applicable; (iv) limitations on illiquid investments; and (v) related reporting, disclosure and recordkeeping.

The Board of Directors of the Series Fund (“Board”) has designated a multi-disciplinary committee to act as administrator of the Program (“Program Administrator” or “Committee”). The Committee’s membership includes representatives of the Series Fund’s investment adviser, Mason Street Advisors, LLC (“MSA”) as well as the Mutual Fund Administration and Managed Investments Compliance divisions of The Northwestern Mutual Life Insurance Company. Under the Program, the Program Administrator assesses, manages and periodically reviews each Portfolio’s liquidity risk and classifies each investment held by each Portfolio as a “highly liquid investment,” “moderately liquid investment,” “less liquid investment” or “illiquid investment.” The classification is based on a determination of the number of days it is reasonably expected to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the market value of the investment. The liquidity of a Portfolio’s investments is determined based on the varying levels at which the Portfolio expects to trade in a particular investment or asset class (the reasonably anticipated trading size) and other relevant market, trading and investment-specific considerations under the Program. In addition to the foregoing, the Program Administrator determines the need for, and if applicable, establishes highly liquid investment minimums (“HLIM”) (a minimum percentage of net assets that must be invested in highly liquid investments that are assets), oversees the preparation of reports to the Board and the Securities and Exchange Commission required by the Liquidity Rule, and prepares required written annual reports on the operation and adequacy of the Program.

Pursuant to the Liquidity Rule, no Portfolio may acquire any illiquid investment if, after the acquisition, the Portfolio would have invested more than 15% of its net assets in illiquid investments that are assets (i.e., investments with positive values). In addition, the Liquidity Rule requires funds that do not primarily hold assets that are highly liquid investments to adopt an HLIM. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirements, as applicable. The Program contemplates the use of a third-party liquidity classification tool to aid the Program Administrator in assigning liquidity classifications and monitoring the Portfolios’ level of investments in each liquidity category.

During the twelve months ended June 30, 2023, the Board received and reviewed the annual written report of the Program Administrator (the “Report”), concerning the operation of the Program for the period from April 1, 2022 through March 31, 2023 (the “Reporting Period”). The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in reviewing the adequacy and effectiveness of the Program’s implementation with respect to each Portfolio during the Reporting Period. Such information and factors included, among other things:

● Each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Portfolio’s investment strategy was appropriate for an open-end fund; (ii) the extent to which the Portfolio’s strategy involves a relatively concentrated portfolio or large

220

Statement Regarding Liquidity Risk Management Program (unaudited)

positions in particular issuers, countries or geographic regions; (iii) whether the Portfolio’s strategy involves holdings that are particularly sensitive to stressed market conditions; and (iv) the Portfolio’s use of derivatives;

● The liquidity experience of each Portfolio during the Reporting Period;

● Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and

● Holdings of cash and cash equivalents, as well as other sources of liquidity.

In addition, the Program Administrator sought and considered the input of MSA and the sub-advisers as to whether any Portfolio had been impacted by market or sector-wide developments, changes in operations or other Portfolio specific circumstances that did, or could, materially impact the Portfolio’s liquidity risk profile. The Report also discussed notable events during the Reporting Period affecting Portfolio liquidity and/or overall market liquidity, such as the impacts of extended market holidays and the imposition of capital controls in certain countries in response to the Russia/Ukraine conflict. No significant liquidity events impacting the Portfolios were noted in the Report. During the Reporting Period, each of the Portfolios continued to qualify as a fund that primarily holds assets that are highly liquid investments, and, therefore, no Portfolio was required to establish or comply with an HLIM as set forth in the Program.

Based on the information considered, the Report concluded that (i) the Program was reasonably designed to assess and manage liquidity risk; (ii) the Program was adequately and effectively implemented during the Reporting Period; (iii) each Portfolio’s investment strategy continues to be appropriate for an open-end fund; (iv) an HLIM continued to not be required or warranted for any of the Portfolios, and (v) each Portfolio was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Portfolio during the Reporting Period. There were no material changes to the Program during the Reporting Period.

There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to the Series Fund’s prospectus for more information regarding each Portfolio’s exposure to illiquidity risk and other risks to which it may be subject.

221

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

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 advisory agreement between Mason Street Advisors, LLC (“Mason Street Advisors”) and the Series Fund with respect to the portfolios of the Series Fund (each, a “Portfolio” and collectively, the “Portfolios”), as well as the investment sub-advisory agreements between Mason Street Advisors and each of the sub-advisers of those Portfolios for which Mason Street Advisors and the Board have appointed a sub-adviser. In order to afford the Board the opportunity to focus on a smaller number of relationships at any one meeting, the Board considers the annual continuation of the sub-advisory agreements on a staggered basis during the course of the year.

Board Approvals During the Six-Month Period Ended June 30, 2023

At its February 28, 2023 meeting, the Board, including the directors who are not “interested persons” (as that term is defined in the 1940 Act) of the Series Fund or Mason Street Advisors (the “Independent Directors”), unanimously approved the continuance of the Amended and Restated Advisory Agreement between the Series Fund and Mason Street Advisors with respect to each of the Series Fund’s Portfolios (the “Advisory Agreement”).

Also at its February 28, 2023 meeting, the Board, including the Independent Directors, unanimously approved the continuance of (1) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Wellington Management Company LLP (“Wellington”) relating to the Series Fund’s Small Cap Growth Stock, Large Cap Core Stock and Mid Cap Growth Stock Portfolios and (2) an Amended and Restated Investment Sub-Advisory Agreements between Mason Street Advisors and Northern Trust Investments, Inc. (“Northern Trust”) relating to the Series Fund’s Index 400 Stock Portfolio and Index 600 Stock Portfolio.

At its May 31, 2023 meeting, the Board, including the Independent Directors, unanimously approved the continuance of (1) a Fourth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Massachusetts Financial Services Company (“MFS”), along with an amendment thereto, relating to the Series Fund’s Research International Core Portfolio, (2) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and FIAM LLC (“FIAM”) relating to the Series Fund’s International Growth Portfolio, (3) a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Fiduciary Management, Inc. (“Fiduciary”) relating to the Series Fund’s Large Cap Blend Portfolio, and (4) a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and abrdn Asset Managers Limited (“abrdn”) relating to the Series Fund’s Emerging Markets Equity Portfolio.

Also at its May 31, 2023 meeting, the Board, including the Independent Directors, unanimously approved an Investment Sub-Advisory Agreement between Mason Street Advisors and J.P. Morgan Investment Management, Inc. (“JPMIM”), relating to the Series Fund’s Large Cap Blend Portfolio. The foregoing Investment Sub-Advisory Agreement will sometimes be referred to herein as the “New Sub-Advisory Agreement.”

Wellington, Northern Trust, MFS, FIAM, Fiduciary, JPMIM and abrdn are sometimes collectively referred to herein as the “Sub-Advisers,” and their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios.” The Investment Sub-Advisory Agreements with Wellington, Northern Trust, MFS, FIAM, Fiduciary and abrdn are collectively referred to herein as the “Existing Sub-Advisory Agreements.”

222

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

In determining whether to approve the continuance of the Existing Sub-Advisory Agreements and the New Sub-Advisory Agreement on behalf of the Series Fund, the Board requested and received detailed information from Mason Street Advisors and the Sub-Advisers in advance of each 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 Agreements at the meeting at which their continuation is formally considered, the evaluation process with respect to Mason Street Advisors and the Sub-Advisers and the nature, extent and quality of the services they provide to the Portfolios pursuant to the terms of the Existing Sub-Advisory Agreements is an ongoing one. As a result, the Board’s consideration of such services, and the performance, fees, costs and other relevant factors was also based upon information provided and deliberations that occurred at other meetings throughout the year.

The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the review and approval of the Existing Sub-Advisory Agreements and the New Sub-Advisory Agreement, 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 Sub-Advisers, and were represented throughout the process by legal counsel.

Continuation of the Advisory Agreement between the Series Fund and Mason Street Advisors

At its February 28, 2023 meeting, the Board, including the Independent Directors, unanimously approved the continuance of the Advisory Agreement with respect to each Series Fund Portfolio. In addition to the information presented by and about Mason Street Advisors during the course of that meeting, the materials provided to the directors in advance of the meeting included Mason Street Advisor’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from Mason Street Advisors designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Advisory Agreement. Those materials also included an independent report prepared by Broadridge (“Broadridge Report”) for each of the Portfolios. The Broadridge Report provided details regarding the fees, expenses, and performance returns captured over a variety of measurement periods, as well as comparative information associated with a peer group for each Portfolio as selected by Broadridge based on the Portfolio’s investment style, characteristics and asset levels, and further customized to filter out funds with different share class characteristics and fund structures. (The Broadridge Report utilizes Morningstar fund classifications and data.) The Broadridge Report included an executive summary of the performance and expense information compiled by Broadridge to facilitate the directors’ review. The materials provided to the Independent Directors included a summary from the Mason Street Advisors’ Chief Compliance Officer (“CCO”) of Mason Street Advisors’ compliance program, as well as the CCO’s Annual Compliance Report summarizing the results of his review and assessment of the adequacy of Mason Street Advisors’ compliance program. In addition to the information presented at the February 28, 2023 meeting, the directors’ considerations were informed by the information regularly provided to them throughout the year regarding the Portfolios and Mason Street Advisors, their experience with and knowledge of the nature and quality of services provided by Mason Street Advisors to the Portfolios and their interactions with representatives of Mason Street Advisors and its affiliates.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of the Advisory Agreement include those discussed below. The directors evaluated the 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. Further, different directors may have placed greater weight on certain factors than did other directors.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of Mason Street Advisors’ services, factors considered by the directors included Mason Street Advisors’ overall business, organization and management structure, and the tenure and experience of Mason Street Advisors’ investment personnel. The directors considered the performance

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of each Portfolio over various time periods as presented at the February 28, 2023 meeting and at each of the quarterly meetings prior thereto.

Included as part of their review were the presentations and information provided by Mason Street Advisors regarding the services provided by Mason Street Advisors to the Portfolios. These services include the investment management services rendered by Mason Street Advisors’ portfolio managers in providing day-to-day portfolio management services for the Asset Allocation Portfolio and Balanced Portfolio. The directors considered the effectiveness of Mason Street Advisors’ portfolio managers in providing day-to-day portfolio management services for the foregoing Portfolios. The directors also considered the investment management, administrative and supervisory services related to Mason Street Advisors’ oversight, evaluation and ongoing monitoring of the various sub-advisers appointed to manage the majority of the Series Fund’s Portfolios. The directors considered the effectiveness and coverage of Mason Street Advisors supervisory oversight of the appointed sub-advisors, including its monitoring and assessment of sub-advisory investment performance, sub-advisory organizational and personnel developments, sub-advisory investment strategies and execution as well as Mason Street Advisors’ overall level of engagement with the sub-advisory investment teams.

The directors received and considered information about the functional realignment of MSA under Northwestern Mutual’s retail investment function that occurred in 2021 (the “Reorganization”), and the ongoing impacts of the Reorganization to MSA’s operations and personnel through 2021 and 2022. The directors also considered changes to senior leadership at MSA and the Series Fund that had resulted from the Reorganization as well as related changes to the MSA and Series Fund committee and oversight structure. The directors evaluated the impact of the Reorganization to the investment advisory services provided by MSA. The directors considered MSA’s use of certain dual officers shared with a retail investment affiliate, including one individual serving as MSA’s Chief Investment Officer and another individual serving in an investment officer capacity for MSA. The directors appreciated that the Reorganization had not changed the scope of administrative services provided by Northwestern Mutual for the Series Fund.

The directors recognized that in addition to the investment advisory services provided, Mason Street Advisors and its affiliates provided administrative services critical to the operation of the Portfolios and the servicing of the Series Fund’s investors. The risk management infrastructure implemented by Mason Street Advisors, the Series Fund’s compliance program and compliance infrastructure, and its various compliance policies and procedures, oversight of brokerage and trading, and succession planning were also considered by the directors.

Based on their review of these factors, and reflecting upon their experience with Mason Street Advisors’ services provided to the Portfolios, the Board concluded, as part of their overall evaluation of the Advisory Agreement, that they were satisfied with the nature, extent and quality of services provided by Mason Street Advisors with respect to each Portfolio, including the resources committed by Mason Street Advisors and its affiliates in providing those services, and the experience and capabilities of the personnel rendering such services.

Investment Performance. The directors considered the investment performance of each of the Portfolios over a variety of periods. The Broadridge Report assisted the Board in its evaluation of the performance of the Portfolios. In addition to considering performance for each Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Portfolio’s one-, three-, and five-year performance to the returns of appropriate index benchmarks, and to the performance averages of each Portfolio’s respective Broadridge and Lipper fund group categories for the same periods; (ii) the Broadridge overall star rating and Lipper rating for each Portfolio; and (iii) the Broadridge and Lipper performance rankings for each Portfolio for the one-, three- and five-year time periods. The directors evaluated each Portfolio’s performance against these peer categories, industry benchmarks and indices. They viewed this information as providing an objective comparative measure against which they could assess the performance of the Portfolios. The directors were also presented with information from Mason Street Advisors regarding the relevant market conditions and other factors affecting the performance of each Portfolio. The directors evaluated a chart provided by Broadridge regarding each Portfolio’s net returns relative to net expenses for the five-year period ended December 31, 2022, which permitted the identification of those Portfolios scoring in the bottom half for performance returns on a comparative basis. The directors considered MSA’s views

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with respect to performance challenges and expectations for the portfolios in the bottom half of the chart. The directors observed that the performance of a number of such underperforming Portfolios had recently improved.

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. The directors gave weight to their ongoing discussions with senior management at Mason Street Advisors concerning Portfolio performance, as well as discussions among the Board, the Sub-Advisers and the portfolio managers of the Portfolios regarding investment strategies and Portfolio performance that occurred at meetings from time to time. While attentive to short-term performance and what it might indicate in the context of current developments in the economy and financial markets, the directors generally placed greater emphasis on longer-term performance.

In particular, the directors noted the longer-term performance returns of the Portfolios as reported by Broadridge, which indicated that 16 of the 27 Portfolios were ranked in the first or second quartile of their respective Broadridge category peer groups for the three- and five-year periods ended December 31, 2022.

Based on the Board’s review of investment performance over various periods, an analysis of the factors resulting in the performance of certain of the Portfolios, the Board concluded that, considering investment performance within the context of its overall determinations regarding the Advisory Agreement, it was satisfied with the relative investment performance of each Portfolio over time.

Management Fees and Other Expenses. The Broadridge Report assisted the Board in the evaluation of the relative expenses of the Portfolios. The directors reviewed a comparison of the management fees of the Portfolios and those of an independently selected peer group of mutual funds for each of the Portfolios. The directors further considered the expenses of each Portfolio and a comparison of those expenses with each Portfolio’s respective peer group and fund category group as a guide to help assess the reasonableness of each Portfolio’s advisory fees and net and total expense ratios. The Broadridge Report also included additional comparative information relating to other fee components, including costs relating to custodial services, shareholder reporting, audit expenses and advisory fees. The directors used the comparative data to help assess the reasonableness of each Portfolio’s advisory fee, although they acknowledged that it was difficult to make precise comparisons with other funds because of the differing manner in which service providers bundle the services they provide and the fees they charge.

In evaluating the level of management fees paid by each Portfolio, the directors considered the structure and size of the Portfolios, the fees paid by each Portfolio under the Advisory Agreement, the expense cap and fee waiver agreements in place for certain Portfolios, and the amounts waived or reimbursed by Mason Street Advisors under such agreements. In considering Mason Street Advisors’ management fees on a stand-alone basis, the directors took into consideration that the management fees compensated Mason Street Advisors for a broader range of services (both investment management and administrative services) than may be included under a typical investment management contract, and concluded that as a result of these additional services, viewing Mason Street Advisors’ management fees in light of Broadridge-reported averages might not provide the most accurate frame of reference for comparative purposes.

The directors also evaluated each Portfolio’s total operating expenses over various periods. The directors observed favorably that all of the Portfolios were ranked in Broadridge’s first or second quartile (meaning lowest expenses) for net total expenses within their respective category groups at December 31, 2022, with 22 of the Portfolios ranking in the first quartile.

Based on their review of the management fees and other expenses, the comparative data, the performance of each Portfolio, and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Portfolios (as modified by the applicable expense waivers and fee caps) were reasonable in relation to the nature, scope and quality of advisory services provided by Mason Street Advisors and the performance of the Portfolios.

Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors based upon its relationship with the Portfolios. The directors considered Mason Street

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Advisors’ pricing methodology for its services as investment adviser. The directors considered Mason Street Advisors’ presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to the Portfolios on an aggregate and a per Portfolio basis, and reviewed Mason Street Advisors’ allocation methodology with respect to its revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by information regarding the range of expenses in each Portfolio’s respective Broadridge peer group and fund group category and the ranking of each Portfolio within the applicable peer group and fund group category. In connection with its review of the profitability of Mason Street Advisors’ services to the Portfolios, the directors considered services provided by affiliates of Mason Street Advisors.

The directors considered the allocation of fees as between Mason Street Advisors and each sub-adviser as well as applicable asset levels, breakpoints, total expenses and management fee waivers that are in place for those Portfolios. As part of the allocation of fees, the Board considered Mason Street Advisors’ increase in the advisory fee waiver for the Large Cap Blend Portfolio during 2022 and its decision for the upcoming year to increase the existing advisory fee waiver with respect to the Emerging Markets Equity Portfolio. The directors noted further MSA’s decision to retain all other existing advisory fee waivers and expense caps for an additional one year period.

The directors also received information on soft dollar arrangements and any other benefits to Mason Street Advisors or its affiliates arising from its relationship with the Portfolios, including (as applicable) the participation of fund families advised by certain sub-advisers to the Portfolios on the retail brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in a mutual fund partner program offered by such brokerage affiliate of Mason Street Advisors, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors.

The directors received information about MSA’s ongoing reliance on Rule 12d1-4 under the Investment Company Act of 1940, as amended, to operate each of the Asset Allocation and Balanced Portfolios as fund of funds on a going forward basis. The directors considered the full scope of services provided by MSA to the Asset Allocation and Balanced Portfolios (the “Allocation Portfolios”), and MSA’s view that the fees it received under the Advisory Agreement relating to the Allocation Portfolios were based on services that were in addition to and not duplicative of the services provided by any funds acquired by the Allocation Portfolios in reliance on Rule 12d1-4 (“acquired funds”). The directors considered that MSA has in place an advisory fee waiver agreement with respect to each of the Allocation Portfolios that results in an advisory fee that compensates MSA appropriately for the services provided to the Portfolios. Moreover, the directors were apprised that MSA had evaluated the complexity of the structure and fees and expenses associated with the Allocation Portfolios’ investments in acquired funds, and had found that the Allocation Portfolios’ fees and expenses did not duplicate the fees and expenses of any acquired fund, as required by Rule 12d1-4.

The directors recognized the difficulty in obtaining reliable comparative data about mutual fund managers’ profitability, since such information generally is not publicly available and may be impacted by numerous factors specific to the investment adviser and its method of allocating revenues and expenses. Based on their review of the profitability provided for each Portfolio, the Board concluded that they were satisfied that Mason Street Advisors’ level of profitability arising from each Portfolio was not excessive.

Economies of Scale. The directors also considered whether each Portfolio’s expense structure permitted economies of scale to be shared with Portfolio investors. The directors considered that breakpoints are contained in the advisory fee schedules for 20 of the 27 Portfolios and further considered the extent to which the Portfolios may benefit from economies of scale through those breakpoints. The directors also considered Mason Street Advisors’ explanation of why breakpoints for the remaining Portfolios had not been established, including that those Portfolios were ranked the lowest or close to the lowest in terms of total expenses of each Portfolio’s respective peer group as determined by Broadridge or benefited from advisory fee waivers and/or expense limitation agreements put in place by Mason Street Advisors. Also considered was Mason Street Advisors’ commitment to continue to regularly work with the Board to evaluate the need for additional breakpoints or fee waivers as each Portfolio’s assets grow over time. Based on this information, the Board concluded that, within the context of

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

its overall determinations regarding the Advisory Agreement, each Portfolio’s fee structure reflected appropriate economies of scale for the benefit of Portfolio investors.

Continuation of the Sub-Advisory Agreements between Mason Street Advisors and Certain Sub-Advisers

At its February 28, 2023 and May 31, 2023 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the Existing Sub-Advisory Agreements with respect to the related Sub-Advised Portfolios. At those meetings, the directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about such Sub-Advisers during the course of those meetings, the directors also had each Sub-Adviser’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from the Sub-Advisers designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Existing Sub-Advisory Agreements. The directors also had Mason Street Advisors’ Executive Summary and Overview of each Sub-Adviser and other materials prepared by Mason Street Advisors. The materials contained detailed information on organizational and management structures, client base, performance over multiple time periods, expenses, brokerage commissions, portfolio turnover, style consistency, key portfolio statistics and metrics, and other factors with respect to each of the Sub-Advised Portfolios. The materials also contained an analysis of the Sub-Advisers’ responses to the compliance questions contained in the Section 15(c) Report and the observations of the Series Fund’s Chief Compliance Officer regarding the compliance structure and practices of each Sub-Adviser. The directors also considered their experience with and knowledge of the nature and quality of the services provided by the Sub-Advisers and their ongoing discussions with representatives of Mason Street Advisors, its affiliates and each Sub-Adviser.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of each of the Existing Sub-Advisory Agreements 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 Board. Further, different directors may have placed greater weight on certain factors than did other directors.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of each Sub-Adviser’s services, the directors reviewed each Sub-Adviser’s financial strength and stability, assets under management and overall reputation. The directors evaluated the investment strategies employed by each Sub-Adviser, as well as the personnel providing such services with respect to the Sub-Advised Portfolio. In particular, the directors considered presentations given by the portfolio managers and how the Sub-Advised Portfolios were being positioned in the current market environment. The directors also considered Mason Street Advisors’ reports on due diligence visits and conference calls that had been conducted with the Sub-Advisers.

With respect to the Existing Sub-Advisory Agreements reviewed in February, the directors expressed continued confidence in Wellington’s ability as a sub-adviser. The directors noted that the Mid Cap Growth and Small Cap Growth Portfolios’ performance had improved. The directors additionally noted that Wellington was a strong, high-quality investment firm and had performed well over time. With respect to Northern Trust, the directors were satisfied with the performance of Northern Trust as sub-adviser for the Index 400 Stock and Index 600 Stock Portfolios. The directors expressed no concerns with either Sub-Adviser’s financial stability, financial strength or other firm level matters.

With respect to the Existing Sub-Advisory Agreements considered for continuance in May, the directors noted no concerns with overall financial strength or stability of any of the Sub-Advisers. The directors considered organizational changes that had occurred at abrdn with respect to the addition of a new Chief Investment Officer, a position that had previously been eliminated, and its impact on the Emerging Markets Equity Portfolio. The directors considered information from MFS concerning various personnel changes at the firm, including certain retirements and the transition to a regional Chief Investment Officer structure, and any impact those changes might cause to the management of the Research International Core Portfolio. With respect to Fiduciary, the directors considered the ongoing transition of firm leadership and portfolio management responsibilities.

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

The directors also considered each Sub-Adviser’s investment philosophy and process and the scope of services provided by the Sub-Advisers. With respect to abrdn and FIAM, the directors considered the role that ESG factors played in the respective investment processes for the Emerging Markets Equity and International Growth Portfolios. Consideration was also given to the Sub-Advisers’ respective reputations and experience in providing investment management services and the performance of each Sub-Advised Portfolio. Based on their review of these factors, their discussions with the Sub-Advisers, and their experience with the services provided by the Sub-Advisers for the respective Sub-Advised Portfolios, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory Agreements, that they were satisfied with the nature, extent and quality of services, and the resources committed by each Sub-Adviser in providing those services, and were satisfied with the experience and capabilities of the Sub-Advisers and the personnel associated with the Sub-Advised Portfolios.

Investment Performance. The directors reviewed the investment performance of each of the Sub-Advised Portfolios over multiple time periods. In addition to considering performance for each Sub-Advised Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Sub-Advised Portfolio’s one-, three-, and five-year (as applicable) performance to the returns of appropriate industry benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio’s respective Broadridge and Lipper fund group categories for the same periods; (ii) the Broadridge overall star rating and Lipper rating for each Sub-Advised Portfolio; and (iii) the Broadridge and Lipper performance rankings for each Sub-Advised Portfolio for the one-, three- and five-year time periods (as applicable). The directors evaluated each Sub-Advised Portfolio’s performance against these peer groups and industry benchmarks and indices and viewed this information as providing an objective comparative measure against which they could assess the performance of the Sub-Advised Portfolios. The directors also considered the performance of accounts managed in a similar manner by each of the Sub-Advisers and information from the Sub-Advisers regarding any significant differences in the performance of those accounts from that of the Sub-Advised Portfolios.

With respect to the Portfolios managed by Wellington, the directors considered information provided by Wellington about performance issues encountered in the health care sector. In that regard, the directors considered that Wellington had added two new analysts to the team covering healthcare stocks. The directors discussed the recent positive performance of the Small Cap Growth Stock, Mid Cap Growth Stock and Large Cap Core Stock Portfolios, noting that historically the Portfolios had performed well over a market cycle. With respect to Northern Trust, the directors noted that the initial performance achieved by Northern Trust for the Index 400 Stock and Index 600 Stock Portfolios had been strong.

The directors identified no concerns with respect to the overall performance of Portfolios sub-advised by abrdn, MFS or FIAM. The directors considered abrdn’s explanation of the impact of certain Russian and Chinese holdings on the 2021 calendar year and first quarter 2022 performance of the Emerging Markets Equity Portfolio. The directors additionally considered the recent performance improvement of the Portfolio in the latter half of 2022 and in the first quarter of 2023, and expressed optimism that the trend would continue. With respect to the Large Cap Blend Portfolio managed by Fiduciary, the directors discussed the positive performance in the short-term, while noting that its longer-term performance was not as positive.

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. While attentive to short term performance and what it might indicate, the directors generally placed greater emphasis on longer-term performance. For the reasons set forth above, the Board concluded that, considering investment performance within the context of its overall determinations regarding the Sub-Advisory Agreements, it was satisfied with the relative investment performance of the Sub-Advised Portfolios.

Management Fees and Other Expenses. The directors evaluated the reasonableness of the management fees and total expenses paid by the Sub-Advised Portfolios under the Existing Sub-Advisory Agreements. The directors considered the fees paid by each Sub-Advised Portfolio. The directors also considered the sub-advisory fees paid by Mason Street Advisors out of its management fee, including a comparison of those fees with fees charged by the respective Sub-Advisers for similarly-managed accounts. In considering the level of management fees, the directors evaluated the size of the Sub-Advised

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Portfolios, expenses assumed by Mason Street Advisors, and the existing expense limitation and/or fee waiver arrangements agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio (as applicable).

As part of their evaluation, the directors reviewed an independent analysis prepared by Broadridge of comparative expense data for each Sub-Advised Portfolio. Broadridge provided data as of December 31, 2022 comparing each Sub-Advised Portfolio’s net and total expenses with those of a peer group of funds utilized in connection with variable insurance products sharing a similar investment classification, objective and asset allocation, each as selected by Broadridge. The directors considered the comparative data as a guide to help assess the reasonableness of each Sub-Advised Portfolio’s net and total expense ratios. The directors considered that 8 of the 9 Sub-Advised Portfolios whose sub-advisory agreements were approved for renewal at the February and May meetings were ranked in Broadridge’s first quartile for total expenses for the period ended December 31, 2022. The directors considered that the remaining Sub-Advised Portfolio, the Large Cap Blend Portfolio, was in the second quartile for net total expenses, and that its sub-adviser, Fiduciary, would be replaced after a transitional period necessary for JPMIM to prepare take over as sub-adviser of the Portfolio.

The directors also reviewed the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios. The directors took into consideration the advisory fee waiver and/or expense limitation agreements that were in place with respect to each of the Sub-Advised Portfolios whose sub-advisory agreement was approved for renewal, except for the Small Cap Growth Stock Portfolio, which ranked in the first quartile of its peer group for both net and total expenses (meaning lowest expenses).

Based on their review of the above information and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Sub-Advised Portfolios were reasonable in relation to the nature, scope and quality of services provided and the performance of the Sub-Advised Portfolios.

Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors from the Sub-Advised Portfolios. The directors considered Mason Street Advisors’ presentations 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 revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by the aforementioned information regarding the expense-based rankings of each Sub-Advised Portfolio within the Portfolio’s respective Broadridge peer group category. The directors also considered the profitability information related to certain of the Sub-Advised Portfolios where such information had been provided. The directors recognized that sub-advisory fees were the result of arm’s-length negotiations between Mason Street Advisors and each Sub-Adviser. The directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as the Sub-Advisers, and that it is difficult to make comparisons of profitability among investment advisers because comparative information is not generally publicly available and, when available, such information is developed using a variety of assumptions and factors. The directors concluded that they had received sufficient information to evaluate the Sub-Advisers’ costs and profitability.

The directors considered certain fall-out benefits that may be realized by Mason Street Advisors and its affiliates due to their relationship with the Sub-Advised Portfolios, including (as applicable) the participation of fund families advised by certain Sub-Advisers to the Sub-Advised Portfolios on the retail brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in a certain mutual fund partner program offered by such brokerage affiliate, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors. The directors also reviewed information concerning certain of the Sub-Advisers’ soft dollar arrangements and any other benefits to the Sub-Advisers arising from their relationships with the Sub-Advised Portfolios. Based on their review, the Board concluded, within the context of their overall determinations regarding the Existing Sub-Advisory Agreements, that they were satisfied that the fees paid by each of the Sub-Advised Portfolios, and the profits realized by Mason Street Advisors and the Sub-Advisers due to their relationship with the Sub-Advised Portfolios, were not excessive.

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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 the advisory fee schedules for the Sub-Advised Portfolios and the extent to which the Sub-Advised Portfolios may benefit from economies of scale through those breakpoints. The directors also took into account the expense limitation arrangements in place for the International Growth, Research International Core, Emerging Markets Equity and Index 600 Stock Portfolios, and the fee waiver arrangements in place with respect to the Large Cap Core Stock, Mid Cap Growth Stock, International Growth, Research International Core, Emerging Markets Equity and Index 400 Stock Portfolios. The directors also considered the total assets and expense ratio of each Sub-Advised Portfolio. Based on this information, the Board concluded, within the context of its overall determinations regarding the Sub-Advisory Agreements, that each Sub-Advised Portfolio’s fee structure reflected appropriate economies of scale for the benefit of such Portfolio’s investors.

Other Information. The directors were presented with other information to assist them in their consideration of the continuation of the Advisory Agreement and the Existing Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Portfolios and information regarding Mason Street Advisors’ and the Sub-Advisers’ brokerage practices and commissions. The directors took into consideration reports from Mason Street Advisors on its review of the respective compliance programs of the Sub-Advisers, including any recent compliance exceptions noted and the applicable Sub-Adviser’s response. Also considered were key affiliations and business relationships between the Sub-Advisers and their affiliates and Mason Street Advisors’ parent company and affiliates. Their review further included information relating to each Sub-Adviser’s risk management infrastructure, pending or recent litigation or regulatory actions to which a Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser’s responses to those actions. The directors also considered information regarding each Sub-Adviser’s code of ethics, approach to portfolio manager compensation, and succession planning, as well as information supplied by the Sub-Advisers related to their cybersecurity programs and business continuity plans, and other matters they deemed relevant.

Conclusions of the Directors. Based on a consideration of the foregoing, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of their reasonable business judgment, concluded that the terms of the Advisory Agreement and the Existing Sub-Advisory Agreements were fair and reasonable and approved the continuation of each Agreement for another year as being in the best interests of each Portfolio.

Approval of New Sub-Advisory Agreement

At the May 31, 2023 meeting, the Board, including the Independent Directors, unanimously approved the New Sub-Advisory Agreement between Mason Street Advisors and JPMIM, pursuant to which JPMIM was appointed to serve as sub-adviser to the Large Cap Blend Portfolio, effective on or about July 31, 2023. (The Large Cap Blend Portfolio is hereinafter referred to as the “Portfolio.”)

The Board’s decision to hire JPMIM as sub-adviser for the Portfolio was reached after extensive research and qualitative and quantitative analysis of numerous candidate firms and their respective organizational structure, investment processes and long-term performance records.

The material factors and conclusions that formed the basis for the Board’s determination to approve the New Sub-Advisory Agreement includes those discussed below. In addition to the information provided to them in anticipation of and at the May 2023 Board meeting, the directors considered the in-person presentation of JPMIM related to the Portfolio at a meeting of the Investment Oversight Committee of the Board held on May 31, 2023, and JPMIM’s responses to the directors’ questions during its presentation session at the Investment Oversight Committee meeting.

The process that culminated with the directors determining to engage JPMIM as the replacement investment sub-adviser for the Portfolio had been initiated by the Board of Directors several months earlier. At its February 2023 meeting, the Board was presented with a list of qualifying sub-advisory firms for the mandate, along with a detailed review of the assessment criteria and comparative information regarding each of the candidates. The directors evaluated a compilation of information with respect to each of the candidates for the Portfolio mandate, including historical performance returns over multiple periods

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

compared with applicable benchmark returns and peer group performance returns for similar periods. The directors also reviewed performance characteristics (including excess return, information ratio, beta and standard deviation data), portfolio characteristics (including cash levels, holdings, market cap and portfolio turnover data), a summary of the investment strategy, philosophy and process, and portfolio management team credentials and experience, and the strengths and key points of differentiation for each firm in the candidate pool. Based upon a review of the list of qualified sub-advisers, and an evaluation and assessment of the comparative information provided regarding the candidates, the directors narrowed down the list of candidates to two final candidates for the Portfolio mandate.

With respect to the final candidates for the Portfolio mandate that were reviewed and considered at the Board’s May 2023 meeting, background information and assessment data used to evaluate, compare and contrast the potential candidates for the mandate was extensive. The information compiled for purposes of facilitating the Board’s review of the candidates was a combination of independent assessment data developed by Mason Street Advisors as well as data provided by the candidates, which was formatted in a manner to permit the Board to effectively conduct its due diligence review of the information and engage in a thorough comparative analysis. 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, processes and strategies, proposed sub-advisory fees and breakpoints, the impact on Mason Street Advisors’ profitability, and other operational and enterprise issues.

Also considered were reports received from Mason Street Advisors regarding its due diligence visits with each candidate for the Portfolio, including JPMIM. The due diligence reports were based on the candidates’ responses to the requests for proposals as well as interviews with compliance and/or legal representatives of each candidate. The reports included information about each candidate’s compliance structure, compliance policies and procedures, brokerage practices and use of soft dollars, trading policies and procedures, codes of ethics and proxy voting procedures, recent SEC exams, pricing practices, 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 sections of the requests for proposals. In addition to the written materials that were provided, 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 and the background and experience of each candidate’s key investment personnel. 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 Board.

Nature, Extent and Quality of Services. The directors evaluated the nature, scope, extent and quality of services to be provided by JPMIM with respect to the Portfolio. The directors considered information developed from the extensive process utilized to identify qualified sub-advisers for the Portfolio, as well as the analysis and assessment provided by Mason Street Advisors with respect to the sub-advisory candidates. The directors also considered the depth of experience of JPMIM in managing accounts, including particularly its well-established business in serving as a sub-adviser to accounts for third-party mutual funds, using investment strategies similar to those employed for the Portfolio. The directors’ consideration included information about JPMIM’s organization and ownership structure, and the tenure, experience and performance of the firm’s investment management team, including particularly the qualifications and experience of the investment personnel who would be providing services to the Portfolio.

The directors considered Mason Street Advisors’ positive assessment of JPMIM, based upon the strength of the investment processes in place at the firm. The directors considered the substantial resources in place at JPMIM and the size and breadth of its investment business. The directors noted favorably the well-developed compliance structure that was operating at JPMIM. JPMIM was also noted as being a recognized brand with a positive reputation which would be well received by the Northwestern Mutual field force.

The directors cited favorably the clarity of the firm’s investment strategy and the portfolio management model employed by JPMIM. The directors also cited favorably the significant experience of the members of the firm’s investment analyst team. The directors cited JPMIM’s positive longer-term performance record, and favorable comparative performance figures versus

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peers. The directors also considered Masons Street Advisors’ positive assessment of the firm’s investment team and the substantial experience of the portfolio managers.

The directors considered the different investment approaches utilized by each of the candidates, and the positive and negative considerations of each. The directors also took into consideration the suitability of each candidate’s respective investment mandate with respect to Northwestern Mutual’s variable products. Finally, the directors took into consideration JPMIM’s general reputation and the strength of the investment-related resources available to be committed in managing the Portfolio. Based on their review of these factors and other factors deemed relevant, the Board concluded that they were satisfied with the nature, extent and quality of the services to be provided by JPMIM with respect to the Portfolio, and the resources to be committed by JPMIM in providing such services.

Investment Performance. As a newly appointed sub-adviser, the directors could not consider JPMIM’s investment performance in managing the Portfolio as a factor in evaluating the New Sub-Advisory Agreement, but did consider JPMIM’s performance record for a composite of other accounts, including mutual fund accounts, with investment objectives, investment policies and strategies substantially similar to the Portfolio. The directors considered performance returns (including performance analytics reports evaluating, 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 regarding the composition of portfolio managed by the candidates in a mandate similar to the Portfolio, including (as applicable) sector and industry weightings, number of holdings, portfolio turnover, total firm ownership, and top ten holdings percentage, among other things.

Management Fees and Other Expenses. In evaluating the management fees paid by the Portfolio, the directors considered the contractual fees and applicable breakpoints paid by the Portfolio under the Advisory Agreement between Mason Street Advisors and the Series Fund with respect to the Portfolio. The directors also considered the sub-advisory fees and applicable breakpoints to be paid by Mason Street Advisors to JPMIM for services provided to the Portfolio out of its management fee. The directors also separately considered the proposed allocation between Mason Street Advisors and JPMIM of the Portfolio’s investment advisory fee (i.e., the amount of the advisory fee retained by Mason Street Advisors relative to that paid to JPMIM as a sub-advisory fee). They determined that the allocation in each case 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 JPMIM. In evaluating JPMIM’s proposed fees relative to the Portfolio, the directors considered information relating to amounts JPMIM charged under other advisory contracts involving similar investment mandates.

The directors considered the existing structure, size, and total operating expenses of the Portfolio. They also considered existing expense limitation agreements in place for the Portfolio as well as the advisory fee waiver arrangements that were in place.

Based on their review of the management and other expenses, comparative data and other factors deemed relevant by the directors, the Board concluded that the management fees, proposed sub-advisory fees and total operating expenses of the Portfolio were reasonable in relation to the nature, scope and quality of the services to be provided and the experience of JPMIM.

Costs and Profitability. The directors considered Mason Street Advisors’ pricing methodology for its services as investment adviser for the products of which the Portfolios are 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 Portfolio in general as well as in light of the sub-advisory fees negotiated with JPMIM for the Portfolio. Mason Street Advisors provided comparative information regarding the proposed sub-advisory fees of each of the candidates, and projections regarding Mason Street Advisors’ advisory fee spread. Mason Street Advisors also provided a profitability analysis for the Portfolio based on certain assumptions and metrics. In connection with its review of the profitability of Mason Street Advisors’ services to the Portfolio, the directors also considered services provided by affiliates of Mason Street Advisors.

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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 of the Portfolio, the Board concluded that they were satisfied that Mason Street Advisors’ level of profitability from its relationship with the Portfolio was not excessive.

Economies of Scale. The directors considered whether the expense structure of the Portfolio permitted economies of scale to be shared with investors in the Portfolio. They also took into consideration the total assets and expense ratios of the Portfolio. The directors considered the breakpoints contained in the management fee schedules applicable to the Portfolio, as well as the breakpoints contained in the proposed sub-advisory fee schedules negotiated with the final candidates for the Portfolio, and the extent to which the Portfolio may benefit from economies of scale through those breakpoints. The directors also considered the expense limitation and fee waiver agreements in place for the Portfolio. Based on this information, the Board concluded that the fee structure for the Portfolio 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 Agreement, including information regarding JPMIM’s risk management structure, any pending or recent litigation or regulatory actions to which JPMIM or its affiliates may have been a party, and responses to those actions. The directors also received information regarding JPMIM’s cybersecurity program and business continuity plan, as well as information regarding portfolio manager compensation practices as they may apply to those portfolio managers proposed to provide services to the Portfolio.

Conclusions of the Directors. Based on a consideration of all information deemed relevant in its totality, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of its business judgment concluded that it was in the best interest of the Portfolio to approve the New Sub-Advisory Agreement between Mason Street Advisors and JPMIM.

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(b) Not applicable.

Item 2. Code of Ethics

Not applicable to semi-annual reports.

Item 3. Audit Committee Financial Expert

Not applicable to semi-annual reports.

Item 4. Principal Accountant Fees and Services

Not applicable to semi-annual reports.

Item 5. Audit Committee of Listed Registrants

Not applicable to semi-annual reports.

Item 6. 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. 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. Exhibits

(a)(1) Not applicable.

(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.

(a)(3) Not applicable.

(a)(4) Not applicable.

(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/ Paul A. Mikelson
	Paul A. Mikelson, President
Date:	August 17, 2023

Pursuant to the requirements of the Securities and Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Paul A. Mikelson
	Paul A. Mikelson, President
Date:	August 17, 2023
By:	/s/ Matthew P. Sullivan
	Matthew P. Sullivan, Vice President,
	Chief Financial Officer and Treasurer
Date:	August 17, 2023