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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR/A

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3990

Northwestern Mutual Series Fund, Inc.

(Exact name of registrant as specified in charter)

720 East Wisconsin Avenue,

Milwaukee Wisconsin 53202

(Address of principal executive offices) (Zip code)

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

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2023

Explanatory Note:

The Registrant is filing this amendment (“Amendment”) to its Form N-CSR for the year ended December 31, 2023, originally filed with the Securities and Exchange Commission on March 4, 2024 (Accession Number 0001193125-24-057220) to amend Item 1, “Reports to Stockholders” for Northwestern Mutual Series Fund, Inc. The sole purpose of this amendment is to replace the Report of Independent Registered Public Accounting Firm set forth on pages 254-255. Items 1 (except as noted above) through 13 (a)(1) of the Registrant’s Form N-CSR originally filed on March 4, 2024 are incorporated herein by reference. Other than the aforementioned, no other information or disclosures contained in the original filing are being amended by this Amendment.

REPORT ON FORM N-CSR

RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.

Item 1. Reports to Stockholders

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

Annual Report December 31, 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	8
Large Cap Core Stock Portfolio	11
Large Cap Blend Portfolio	15
Index 500 Stock Portfolio	19
Large Company Value Portfolio	27
Domestic Equity Portfolio	31
Equity Income Portfolio	34
Mid Cap Growth Stock Portfolio	39
Index 400 Stock Portfolio	43
Mid Cap Value Portfolio	50
Small Cap Growth Stock Portfolio	54
Index 600 Stock Portfolio	59
Small Cap Value Portfolio	68
International Growth Portfolio	73
Research International Core Portfolio	78
International Equity Portfolio	84
Emerging Markets Equity Portfolio	90
Government Money Market Portfolio	96
Short-Term Bond Portfolio	101
Select Bond Portfolio	121
Long-Term U.S. Government Bond Portfolio	141
Inflation Protection Portfolio	147
High Yield Bond Portfolio	155
Multi-Sector Bond Portfolio	166
Balanced Portfolio	192
Asset Allocation Portfolio	195
Benchmark Definitions	198
Statements of Assets and Liabilities	201
Statements of Operations	207
Statements of Changes in Net Assets	213
Statement of Cash Flows	222
Financial Highlights	224
Notes to Financial Statements	231
Report of Independent Registered Public Accounting Firm	254
Abbreviations	256
Proxy Voting and Portfolio Holdings	257
Director and Officer Information	258
Approval and Continuance of Investment Advisory and Sub-Advisory Agreements	261

Mason Street Advisors, LLC (“Mason Street Advisors”), adviser to the Northwestern Mutual Series Fund, Inc., is a wholly owned subsidiary of The Northwestern Mutual Life Insurance Company. Mason Street Advisors is the principal investment adviser for all the Portfolios of the Northwestern Mutual Series Fund, Inc., and has engaged and oversees sub-advisers who provide day-to-day management for certain of the Portfolios. Each sub-adviser may be replaced without the approval of shareholders. Please see the Series Fund prospectus for more information.

The views expressed in the portfolio manager commentaries set forth in the following pages reflect those of the portfolio managers only through the end of the period covered by this report and do not necessarily represent the views of any affiliated organization. The views expressed are not guarantees of future performance or economic results and involve certain risks, uncertainties and assumptions that could cause actual outcomes and results to differ materially from the views expressed herein. These views are subject to change at any time based upon market conditions or other events and should not be relied upon as investment advice. Mason Street Advisors disclaims any responsibility to update these views.

Expense Examples (unaudited)

EXAMPLE

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2023 to December 31, 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 July 1, 2023		Ending Account Value December 31, 2023		Expenses Paid During Period July 1, 2023 to December 31, 2023*		Annualized Expense Ratio
Growth Stock Portfolio
Actual		$1,000.00		$1,111.26		$2.29		0.43	%
Hypothetical (5% return before expenses)		1,000.00		1,023.04		2.19		0.43
Focused Appreciation Portfolio
Actual		1,000.00		1,099.05		3.28		0.62
Hypothetical (5% return before expenses)		1,000.00		1,022.08		3.16		0.62
Large Cap Core Stock Portfolio
Actual		1,000.00		1,086.76		2.31		0.44
Hypothetical (5% return before expenses)		1,000.00		1,022.99		2.24		0.44
Large Cap Blend Portfolio
Actual		1,000.00		1,101.16		4.03		0.76
Hypothetical (5% return before expenses)		1,000.00		1,021.37		3.87		0.76
Index 500 Stock Portfolio
Actual		1,000.00		1,079.42		1.05		0.20
Hypothetical (5% return before expenses)		1,000.00		1,024.20		1.02		0.20

1

Expense Examples (unaudited)

	Beginning Account Value July 1, 2023		Ending Account Value December 31, 2023		Expenses Paid During Period July 1, 2023 to December 31, 2023*		Annualized Expense Ratio
Large Company Value Portfolio
Actual		$1,000.00		$1,029.07		$3.89		0.76	%
Hypothetical (5% return before expenses)		1,000.00		1,021.37		3.87		0.76
Domestic Equity Portfolio
Actual		1,000.00		1,039.70		2.57		0.50
Hypothetical (5% return before expenses)		1,000.00		1,022.68		2.55		0.50
Equity Income Portfolio
Actual		1,000.00		1,070.25		2.97		0.57
Hypothetical (5% return before expenses)		1,000.00		1,022.33		2.91		0.57
Mid Cap Growth Stock Portfolio
Actual		1,000.00		1,056.09		2.80		0.54
Hypothetical (5% return before expenses)		1,000.00		1,022.48		2.75		0.54
Index 400 Stock Portfolio
Actual		1,000.00		1,068.36		1.30		0.25
Hypothetical (5% return before expenses)		1,000.00		1,023.95		1.28		0.25
Mid Cap Value Portfolio
Actual		1,000.00		1,034.24		3.69		0.72
Hypothetical (5% return before expenses)		1,000.00		1,021.58		3.67		0.72
Small Cap Growth Stock Portfolio
Actual		1,000.00		1,046.04		2.89		0.56
Hypothetical (5% return before expenses)		1,000.00		1,022.38		2.85		0.56
Index 600 Stock Portfolio
Actual		1,000.00		1,093.13		1.48		0.28
Hypothetical (5% return before expenses)		1,000.00		1,023.79		1.43		0.28
Small Cap Value Portfolio
Actual		1,000.00		1,096.72		4.60		0.87
Hypothetical (5% return before expenses)		1,000.00		1,020.82		4.43		0.87
International Growth Portfolio
Actual		1,000.00		1,051.77		3.21		0.62
Hypothetical (5% return before expenses)		1,000.00		1,022.08		3.16		0.62
Research International Core Portfolio
Actual		1,000.00		1,028.13		3.83		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.42		3.82		0.75
International Equity Portfolio
Actual		1,000.00		1,052.70		3.52		0.68
Hypothetical (5% return before expenses)		1,000.00		1,021.78		3.47		0.68
Emerging Markets Equity Portfolio
Actual		1,000.00		1,016.77		4.63		0.91
Hypothetical (5% return before expenses)		1,000.00		1,020.62		4.63		0.91

2

Expense Examples (unaudited)

	Beginning Account Value July 1, 2023		Ending Account Value December 31, 2023		Expenses Paid During Period July 1, 2023 to December 31, 2023*		Annualized Expense Ratio
Government Money Market Portfolio
Actual		$1,000.00		$1,025.64		$1.68		0.33	%
Hypothetical (5% return before expenses)		1,000.00		1,023.54		1.68		0.33
Short-Term Bond Portfolio
Actual		1,000.00		1,036.90		2.00		0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.24		1.99		0.39
Select Bond Portfolio
Actual		1,000.00		1,034.76		1.59		0.31
Hypothetical (5% return before expenses)		1,000.00		1,023.64		1.58		0.31
Long-Term U.S. Government Bond Portfolio
Actual		1,000.00		989.13		12.08		2.41
Hypothetical (5% return before expenses)		1,000.00		1,013.06		12.23		2.41
Inflation Protection Portfolio
Actual		1,000.00		1,016.68		2.54		0.50
Hypothetical (5% return before expenses)		1,000.00		1,022.68		2.55		0.50
High Yield Bond Portfolio
Actual		1,000.00		1,075.79		2.35		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.94		2.29		0.45
Multi-Sector Bond Portfolio
Actual		1,000.00		1,063.23		3.85		0.74
Hypothetical (5% return before expenses)		1,000.00		1,021.48		3.77		0.74
Balanced Portfolio
Actual		1,000.00		1,053.98		0.31		0.06
Hypothetical (5% return before expenses)		1,000.00		1,024.90		0.31		0.06
Asset Allocation Portfolio
Actual		1,000.00		1,058.41		0.52		0.10
Hypothetical (5% return before expenses)		1,000.00		1,024.70		0.51		0.10

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

3

Growth Stock Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Current income is a secondary objective.	Invest in equity securities of medium and large capitalization companies exhibiting the potential for earnings growth or share price appreciation.	$1.1 billion

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

U.S. equities posted strong gains in 2023, driven by generally favorable corporate earnings, a resilient economy and increased investor interest in artificial intelligence. The market overcame bearish factors such as regional bank turmoil in March; uncertainty about the debt ceiling; geopolitical concerns stemming from the ongoing Russian invasion of Ukraine and from Israel’s response to deadly Hamas attacks in early October; and a sluggish Chinese economic recovery. Arguably, the most significant factor affecting the U.S. economy throughout the year was rising interest rates in response to elevated inflation. The U.S. Federal Reserve (the “Fed”) raised short-term interest rates four times through the end of July, lifting the fed funds target rate to a range of 5.25% – 5.50%. Equities rallied through year-end as Fed officials projected at their mid-December policy meeting that there could be three, quarter-point interest rate cuts in 2024. Generally, growth stocks strongly outperformed value stocks across all market capitalizations, especially among large-capitalization stocks.

PORTFOLIO RESULTS

The Portfolio returned 49.69% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell 1000^® Growth Index (the “Index”), returned 42.68%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Overall, security selection and sector allocation contributed to the Portfolio’s relative return for the reporting period. More specifically, an overweight allocation and stock selection in the Communication Services sector contributed to relative performance. Shares of Meta Platforms advanced strongly for the year, driven by the company’s continued focus on cost discipline, a rebound in digital advertising spending and improving monetization trends within short-form videos.

An underweight allocation and favorable stock picks in the Industrials sector also contributed to the Portfolio’s relative return. For this sector, the Portfolio focuses on areas of secular, rather than cyclical, growth. As such, the Portfolio continued to emphasize unique, company-specific opportunities believed to drive meaningful growth regardless of the economic backdrop.

The Information Technology sector also contributed, due to favorable stock choices, although this was partially offset by an underweight allocation to the sector. Shares of NVIDIA Corporation advanced sharply amid expectations of elevated future demand for advanced graphics processing units (“GPUs”) that are critical for the development of artificial intelligence (“AI”) infrastructure.

On the downside, an overweight allocation and stock selection in the Financials sector detracted from the Portfolio’s relative performance. Chubb, a global insurance provider, declined amid an earnings miss driven by losses in its North American agriculture segment due to a drought in corn-producing states.

The Healthcare sector also detracted, driven by an overweight allocation, although this was partially offset by favorable stock selection in the sector. The Portfolio’s overweight allocation to Healthcare emphasized select managed care companies positioned to benefit from industry consolidation and the implementation of cost-effective solutions. Innovative medical device and equipment manufacturers that are focused on meaningfully improving patient outcomes also represented some of the more attractive opportunities in the sector.

4

Growth Stock Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

Continued trends in disinflation, alongside a handful of benign jobs reports, have increased the likelihood of a soft landing for the economy. The Fed’s pivot to less aggressive actions — and implied rate cut cadence — has encouraged an appetite for risk as the probability of a recession continues to decline. We believe equity returns are likely to be more subdued in 2024; the possibility of future increases will likely hinge on the ability of companies to demonstrate meaningful earnings and free cash flow growth. From a positioning standpoint, we continue to refrain from taking a pronounced stance on macroeconomic implications. Instead, we are aiming for a balanced approach of offensive ideas that can thrive if the economy continues to improve and defensive positions that can provide downside support. Similarly, predicting election outcomes and subsequent market impacts is not an area of focus at this stage. However, as political agendas come into focus and the balance of political power crystalizes, actionable idiosyncratic investment opportunities may present themselves.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Growth Stock Portfolio	49.69%	13.38%	10.82%
Russell 1000® Growth Index	42.68%	19.50%	14.86%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of

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

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Microsoft Corp.	10.2%
Amazon.com, Inc.	8.7%
Apple, Inc.	8.6%
Alphabet, Inc., Various	8.0%
NVIDIA Corp.	6.8%
Meta Platforms, Inc. - Class A	5.8%
Visa, Inc. - Class A	3.5%
UnitedHealth Group, Inc.	3.5%
Eli Lilly & Co.	3.2%
Mastercard, Inc. - Class A	2.8%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Information Technology	38.3%
	Communication Services	16.7%
	Consumer Discretionary	16.1%
	Health Care	13.4%
	Financials	10.6%
	Industrials	1.6%
	Consumer Staples	1.4%
	Materials	1.0%
	Utilities	0.5%
	Energy	0.3%
	Short-Term Investments & Other Net Assets	0.1%

Sector Allocation and Top 10 Holdings are subject to change.

5

Growth Stock Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (16.7%)
Alphabet, Inc. - Class A *		90,053		12,579
Alphabet, Inc. - Class C *		518,516		73,074
Meta Platforms, Inc. - Class A *		174,711		61,841
Netflix, Inc. *		35,155		17,116
Sea, Ltd., ADR *		55,676		2,255
T-Mobile US, Inc.		73,808		11,834
Total				178,699
Consumer Discretionary (16.1%)
Amazon.com, Inc. *		607,583		92,316
Booking Holdings, Inc. *		3,089		10,958
Carvana Co. *		55,200		2,922
Chipotle Mexican Grill, Inc. *		4,792		10,959
DoorDash, Inc. *		31,001		3,066
Lululemon Athletica, Inc. *		11,986		6,128
NIKE, Inc. - Class B		32,018		3,476
Ross Stores, Inc.		53,822		7,449
Tesla, Inc. *		115,439		28,684
The TJX Cos., Inc.		56,483		5,299
Total				171,257
Consumer Staples (1.4%)
Colgate-Palmolive Co.		33,100		2,638
Dollar General Corp.		52,899		7,192
Mondelez International, Inc.		41,200		2,984
The Procter & Gamble Co.		17,100		2,506
Total				15,320
Energy (0.3%)
Schlumberger, Ltd.		67,000		3,487
Total				3,487
Financials (10.6%)
Adyen NV *		196,321		2,529
The Charles Schwab Corp.		62,921		4,329
Chubb, Ltd.		52,892		11,954
Fiserv, Inc. *		18,694		2,483
The Goldman Sachs Group, Inc.		8,554		3,300
Marsh & McLennan Cos., Inc.		37,728		7,148
Mastercard, Inc. - Class A		70,709		30,158
Morgan Stanley		59,165		5,517
MSCI, Inc.		2,349		1,329
S&P Global, Inc.		14,409		6,347

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Financials continued
Visa, Inc. - Class A		143,855		37,453
Total				112,547
Health Care (13.4%)
Align Technology, Inc. *		3,197		876
AstraZeneca PLC, ADR		41,203		2,775
Danaher Corp.		30,742		7,112
Elevance Health, Inc.		10,474		4,939
Eli Lilly & Co.		58,677		34,204
Humana, Inc.		15,368		7,036
Intuitive Surgical, Inc. *		51,501		17,374
Stryker Corp.		21,714		6,502
Teleflex, Inc.		6,727		1,677
Thermo Fisher Scientific, Inc.		25,928		13,762
UnitedHealth Group, Inc.		70,989		37,374
Veeva Systems, Inc. - Class A *		12,767		2,458
Zoetis, Inc.		34,933		6,895
Total				142,984
Industrials (1.6%)
Cintas Corp.		4,012		2,418
General Electric Co.		47,734		6,092
Old Dominion Freight
Line, Inc.		10,754		4,359
TransDigm Group, Inc.		2,931		2,965
Veralto Corp.		10,635		875
Total				16,709
Information Technology (38.3%)
Advanced Micro Devices, Inc. *		54,461		8,028
Apple, Inc.		474,049		91,269
ASML Holding NV		17,837		13,501
Atlassian Corp. - Class A *		18,006		4,283
Bill.com Holdings, Inc. *		29,951		2,444
Confluent, Inc. - Class A *		58,611		1,372
CrowdStrike Holdings, Inc. *		10,186		2,601
Datadog, Inc. - Class A *		19,624		2,382
Fortinet, Inc. *		15,057		881
Intuit, Inc.		22,263		13,915
Lam Research Corp.		2,513		1,968
Microsoft Corp.		290,699		109,314
MongoDB, Inc. *		16,589		6,782
Monolithic Power Systems, Inc.		11,119		7,014
NVIDIA Corp.		147,468		73,029
Roper Technologies, Inc.		15,863		8,648

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
ServiceNow, Inc. *		39,609		27,983
Shopify, Inc. *		99,202		7,728
Snowflake, Inc. *		13,106		2,608
Synopsys, Inc. *		27,494		14,157
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		38,883		4,044
TE Connectivity, Ltd.		14,836		2,084
Texas Instruments, Inc.		14,936		2,546
Total				408,581
Materials (1.0%)
Linde PLC		13,332		5,476
The Sherwin-Williams Co.		17,269		5,386
Total				10,862
Utilities (0.5%)
Constellation Energy Corp.		46,600		5,447
Total				5,447
Total Common Stocks
(Cost: $645,913)				1,065,893
Total Investments (99.9%)
(Cost: $645,913)@				1,065,893
Other Assets, Less
Liabilities (0.1%)				1,210
Net Assets (100.0%)				1,067,103

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

6

Growth Stock Portfolio

 

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $654,095 and the net unrealized appreciation of investments based on that cost was $411,798 which is comprised of $439,420 aggregate gross unrealized appreciation and $27,622 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,065,893	$	—	$	—
Total Assets:	$	1,065,893	$	—	$	—

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

7

Focused Appreciation Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest in equity securities selected for their growth potential.	$1.3 billion

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

The U.S. equity market overcame several potential headwinds to post a robust total return in 2023. The interest-rate outlook was a key driver of volatility throughout the year, as the U.S Federal Reserve (the “Fed”) continued to raise rates — albeit at a slower pace than in 2022 — to combat inflation. This issue became more prominent in late summer and early autumn, when rising energy prices fueled concerns that persistent inflation could compel the Fed to keep rates higher for longer than anticipated. The backdrop changed considerably in the fourth quarter after a series of lower-than-expected inflation reports. In addition, Fed Chairman Jerome Powell surprised the markets in December by indicating that the central bank was likely finished raising rates and possibly on track to begin enacting rate cuts in 2024. Not least, it appeared that Gross Domestic Product growth would remain in positive territory and potentially allow the Fed to achieve the ideal outcome of a soft landing for the economy. Stocks rose in response, bringing most major large-cap indices to near all-time highs by year-end.

The late rally was broad-based, with strong participation from market segments — including the value style, small-caps and mid-caps — that had underperformed for most of 2023. Despite this shift, growth stocks were the key source of market leadership over the full year. Mega-cap technology-related companies produced particularly large gains that were fueled, in part, by excitement about the long-term prospects for artificial intelligence. On the other hand, the more traditionally defensive segments of the market lagged.

PORTFOLIO RESULTS

The Portfolio returned 50.99% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell 1000^® Growth Index (the “Index”), returned 42.68%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Stock selection in the Information Technology, Communication Services, Healthcare, Industrials and Consumer Staples sectors, as well as the allocations in the Communication Services and Consumer Staples sectors contributed positively to the Portfolio’s relative performance. Nvidia Corporation, Meta Platforms and Amazon.com were among the top contributors to the Portfolio’s performance.

Stock selection in the Financials and Consumer Discretionary sectors, as well as the allocations in the Information Technology, Financials, Healthcare and Industrials sectors detracted from the Portfolio’s relative performance. Illumina, PayPal Holdings and Deere & Company were among the largest detractors from performance.

During the year, a position was initiated in Thermo Fisher Scientific and existing positions were increased in Amazon. com, Block, Illumina, PayPal Holdings, Tesla and The Walt Disney Company as near-term price weaknesses created more attractive reward-to-risk opportunities. Existing positions were trimmed in Roche Holding and Novartis as well as in Meta Platforms and Nvidia Corporation as they reached the Portfolio’s maximum allowable position size of eight percent.

PORTFOLIO MANAGER OUTLOOK

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

We employ a style of equity management that emphasizes companies with sustainable competitive advantages, long-term secular growth drivers, attractive cash flow returns on invested capital and management teams focused on creating long-

8

Focused Appreciation Portfolio (unaudited)

term value for shareholders. We aim to invest in companies when they trade at a significant discount to the estimate of intrinsic value.

Our investment process is characterized by bottom-up fundamental research and a long-term investment time horizon. All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high quality businesses in order to take advantage of meaningful price dislocations if and when they occur. The nature of the process leads to a lower turnover Portfolio where sector positioning is the result of stock selection. As of December 31, 2023, we were overweight in the Communication Services, Financials, Healthcare and Industrials sectors relative to the benchmark. We were underweight in the Information Technology, Consumer Staples and Consumer Discretionary sectors. We held no positions in the Energy, Real Estate, Materials or Utilities sectors.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Focused Appreciation Portfolio	50.99%	17.78%	14.56%
Russell 1000® Growth Index	42.68%	19.50%	14.86%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Meta Platforms, Inc. - Class A	7.7%
NVIDIA Corp.	7.5%
Alphabet, Inc., Various	6.2%
The Boeing Co.	5.7%
Visa, Inc. - Class A	5.5%
Amazon.com, Inc.	5.5%
Tesla, Inc.	5.2%
Microsoft Corp.	5.1%
Netflix, Inc.	4.4%
Oracle Corp.	4.0%

Sector Allocation 12/31/23

Sector	% of Net Assets
Information Technology	28.2%
Communication Services	21.1%
Consumer Discretionary	14.8%
Health Care	13.3%
Financials	10.5%
Industrials	7.9%
Consumer Staples	3.0%
Short-Term Investments & Other Net Assets	1.2%

Sector Allocation and Top 10 Holdings are subject to change.

9

Focused Appreciation Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Communication Services (21.1%)
Alphabet, Inc. - Class A *		368,300		51,448
Alphabet, Inc. - Class C *		198,351		27,953
Meta Platforms, Inc. - Class A *		279,042		98,770
Netflix, Inc. *		114,843		55,915
The Walt Disney Co.		392,504		35,439
Total				269,525
Consumer Discretionary (14.8%)
Alibaba Group Holding, Ltd., ADR		133,950		10,382
Amazon.com, Inc. *		462,936		70,338
Starbucks Corp.		228,296		21,919
Tesla, Inc. *		268,568		66,734
Yum China Holdings, Inc.		130,958		5,557
Yum! Brands, Inc.		111,922		14,624
Total				189,554
Consumer Staples (3.0%)
Monster Beverage Corp. *		674,180		38,839
Total				38,839

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Financials (10.5%)
Block, Inc. - Class A *		205,592		15,903
FactSet Research
Systems, Inc.		42,612		20,328
PayPal Holdings, Inc. *		186,484		11,452
SEI Investments Co.		242,734		15,426
Visa, Inc. - Class A		271,056		70,569
Total				133,678
Health Care (13.3%)
Illumina, Inc. *		120,171		16,733
Intuitive Surgical, Inc. *		49,373		16,656
Novartis AG, ADR		161,734		16,330
Novo Nordisk A/S, ADR		243,125		25,151
Regeneron Pharmaceuticals, Inc. *		31,907		28,024
Roche Holding AG, ADR		367,913		13,330
Sandoz Group AG *		32,347		1,035
Thermo Fisher Scientific, Inc.		33,362		17,708
Vertex Pharmaceuticals, Inc. *		85,794		34,909
Total				169,876

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Industrials (7.9%)
The Boeing Co. *		280,216		73,041
Deere & Co.		19,943		7,975
Expeditors International of Washington, Inc.		161,723		20,571
Total				101,587
Information Technology (28.2%)
Autodesk, Inc. *		163,097		39,711
Microsoft Corp.		174,074		65,459
NVIDIA Corp.		192,387		95,274
Oracle Corp.		490,356		51,698
QUALCOMM, Inc.		156,552		22,642
Salesforce, Inc. *		163,745		43,088
Shopify, Inc. *		340,844		26,552
Workday, Inc. - Class A *		56,827		15,687
Total				360,111
Total Common Stocks  (Cost: $693,361)				1,263,170
Total Investments (98.8%)  (Cost: $693,361)@				1,263,170
Other Assets, Less  Liabilities (1.2%)				15,949
Net Assets (100.0%)				1,279,119

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $697,751 and the net unrealized appreciation of investments based on that cost was $565,419 which is comprised of $615,616 aggregate gross unrealized appreciation and $50,197 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,263,170	$	—	$	—
Total Assets:	$	1,263,170	$	—	$	—

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

10

Large Cap Core Stock Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest primarily in common stocks of large capitalization U.S. companies.	$669 million

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

U.S. equities rose during the twelve months ended December 31, 2023 amid easing inflation, optimism for lower interest rates, strong performances in select mega-capitalization technology companies and steady Gross Domestic Product growth. Early in 2023, the collapse of two U.S. regional banks prompted swift policy actions by federal regulators, which helped stabilize liquidity and stem the potential for broader contagion. The U.S. Federal Reserve (the “Fed”) slowed its pace of policy tightening. Shares of a narrow group of mega-capitalization technology companies surged, helping growth stocks significantly outperform their value counterparts. These companies benefited from investor optimism about earnings potential and growth prospects and exuberance surrounding generative artificial intelligence (“AI”). U.S. equities fell in the third quarter, pressured by rising U.S. Treasury yields amid views that the Fed would keep interest rates elevated for a prolonged period. In the fourth quarter, U.S. equities rallied, registering their largest quarterly return in three years as gains broadened beyond those select mega-capitalization stocks that dominated the stock market’s earlier performance. A rapid descent in inflation prompted the Fed to pivot, with policymakers anticipating 75 bps of interest rate cuts in 2024. Large-capitalization stocks outperformed mid-and small-capitalization stocks.

PORTFOLIO RESULTS

The Portfolio returned 25.78% for the twelve months ended December 31, 2023. By comparison, the S&P 500^® Index (the “Index”) returned 26.29% for the year. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

An underweight allocation to the Information Technology sector and overweight allocation to the Healthcare sector detracted from the Portfolio’s relative performance, while strong stock selection within the Communication Services, Healthcare and Energy sectors contributed.

Top detractors from the Portfolio’s relative performance included underweight positions in Information Technology sector companies NVIDIA Corporation and Apple. NVIDIA Corporation benefited from strong data center demand and the growing need for chips in AI and language learning models. Apple saw its install base grew to 2 billion devices, supporting share prices. Finally, an underweight position in Consumer Discretionary sector company Tesla also weighed on performance. Shares of Tesla rose over the period after reporting strong financial results in 2022. Investors were optimistic that demand would remain strong and outpace production capacity following vehicle price cuts.

Top contributors to the Portfolio’s relative performance included an overweight position in Communication Services sector company Meta Platforms. Meta Platforms advanced amid strong revenues, an increase to their stock buyback authorization, cost-cutting efforts and a rebound in online advertising. In the Consumer Discretionary sector, an overweight position in Amazon.com contributed as shares benefited as cost cutting measures and advancements in AI boosted investor sentiment. Finally, an out-of-benchmark position in Financials sector company Ares Management contributed, benefiting from healthy results with continued fundraising momentum as underlying demand for the firm’s strategies remained strong.

11

Large Cap Core Stock Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

The final quarter of 2023 was marked by a significant market rally in December, closing out a resilient year for global equity markets. The broad rally underscored the adaptability of global equity markets, even as geopolitical tensions and policy uncertainties posed headwinds.

Inflation remains at the forefront of global economic considerations. As 2023 drew to a close, the market observed indications of inflationary pressures beginning to ease in most of the world, including the U.S. However, officials warn that inflation mitigation is an ongoing process, and premature rate cuts could lead to a trend reversal in 2024. While the recent rally is generally pricing in positivity, we acknowledge monetary policy effects typically are felt with a lag and global growth remains at risk. We will continue to closely track these macroeconomic developments.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Large Cap Core Stock Portfolio	25.78%	15.50%	10.57%
S&P 500® Index	26.29%	15.70%	12.03%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Microsoft Corp.	8.8%
Amazon.com, Inc.	5.5%
Apple, Inc.	5.1%
Alphabet, Inc. - Class A	3.3%
Meta Platforms, Inc. - Class A	2.4%
Berkshire Hathaway, Inc. - Class B	2.2%
JPMorgan Chase & Co.	2.2%
Advanced Micro Devices, Inc.	1.7%
Adobe, Inc.	1.7%
Eli Lilly & Co.	1.7%

Sector Allocation 12/31/23

Sector	% of Net Assets
Information Technology	26.6%
Health Care	13.8%
Financials	13.7%
Consumer Discretionary	10.3%
Industrials	9.3%
Communication Services	8.8%
Energy	5.0%
Consumer Staples	4.5%
Utilities	2.6%
Materials	2.5%
Real Estate	2.1%
Short-Term Investments & Other Net Assets	0.7%
Investment Companies	0.1%

Sector Allocation and Top 10 Holdings are subject to change.

12

Large Cap Core Stock Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Communication Services (8.8%)
Alphabet, Inc. - Class A *		157,635		22,020
Meta Platforms, Inc. -Class A *		45,879		16,239
Netflix, Inc. *		10,542		5,133
Omnicom Group, Inc.		46,574		4,029
Spotify Technology SA *		19,531		3,670
T-Mobile US, Inc.		48,561		7,786
Total				58,877
Consumer Discretionary (10.3%)
Amazon.com, Inc. *		241,733		36,729
AutoZone, Inc. *		1,909		4,936
Chipotle Mexican Grill, Inc. *		2,416		5,525
Lennar Corp. - Class A		25,289		3,769
Marriott International, Inc. - Class A		15,084		3,402
Tesla, Inc. *		12,977		3,225
The TJX Cos., Inc.		118,455		11,112
Total				68,698
Consumer Staples (4.5%)
Constellation Brands, Inc. - Class A		25,962		6,276
Haleon PLC		558,873		4,599
Monster Beverage Corp. *		156,217		9,000
Philip Morris International, Inc.		111,860		10,524
Total				30,399
Energy (5.0%)
BP PLC, ADR		228,659		8,094
ConocoPhillips		42,300		4,910
EOG Resources, Inc.		12,787		1,547
EQT Corp.		34,900		1,349
Marathon Petroleum Corp.		31,947		4,740
Schlumberger, Ltd.		39,434		2,052
Shell PLC		129,715		8,535
Targa Resources Corp.		23,188		2,014
Total				33,241
Financials (13.7%)
Arch Capital Group, Ltd. *		29,864		2,218
Ares Management Corp. - Class A		79,605		9,466
Berkshire Hathaway, Inc. - Class B *		41,421		14,773
Block, Inc. - Class A *		64,395		4,981
Chubb, Ltd.		15,598		3,525
Everest Re Group, Ltd.		8,083		2,858

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Financials continued
FLEETCOR Technologies, Inc. *		12,815		3,622
Global Payments, Inc.		38,221		4,854
Intercontinental Exchange, Inc.		33,202		4,264
JPMorgan Chase & Co.		86,319		14,683
KKR & Co., Inc.		57,451		4,760
Marsh & McLennan Cos., Inc.		12,519		2,372
PayPal Holdings, Inc. *		36,888		2,265
The Progressive Corp.		26,455		4,214
S&P Global, Inc.		18,028		7,942
Visa, Inc. - Class A		20,055		5,221
Total				92,018
Health Care (13.8%)
Abbott Laboratories		36,600		4,029
AbbVie, Inc.		11,220		1,739
Agilent Technologies, Inc.		18,922		2,631
Alnylam Pharmaceuticals, Inc. *		3,395		650
AmerisourceBergen Corp.		18,228		3,744
AstraZeneca PLC, ADR		59,488		4,006
Biogen, Inc. *		5,518		1,428
Boston Scientific Corp. *		64,551		3,732
Centene Corp. *		29,861		2,216
Danaher Corp.		23,492		5,435
Dexcom, Inc. *		21,756		2,700
Edwards Lifesciences Corp. *		36,377		2,774
Elevance Health, Inc.		4,918		2,319
Eli Lilly & Co.		19,583		11,415
Gilead Sciences, Inc.		11,872		962
GSK PLC, ADR		49,636		1,839
HCA Healthcare, Inc.		10,006		2,708
Humana, Inc.		5,937		2,718
Illumina, Inc. *		10,195		1,420
Insulet Corp. *		8,227		1,785
Laboratory Corp. of America Holdings		9,940		2,259
Merck & Co., Inc.		66,781		7,280
Moderna, Inc. *		2,685		267
Molina Healthcare, Inc. *		7,234		2,614
Novartis AG, ADR		22,198		2,241
Pfizer, Inc.		68,432		1,970
Regeneron Pharmaceuticals, Inc. *		1,941		1,705
Stryker Corp.		5,513		1,651

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Health Care continued
UnitedHealth Group, Inc.		11,773		6,198
Vertex Pharmaceuticals, Inc. *		6,069		2,469
Zoetis, Inc.		16,957		3,347
Total				92,251
Industrials (9.3%)
AerCap Holdings NV *		15,271		1,135
The Boeing Co. *		10,379		2,705
Builders FirstSource, Inc. *		26,236		4,380
C.H. Robinson Worldwide, Inc.		89,319		7,716
Ceridian HCM Holding, Inc. *		50,869		3,414
Deere & Co.		1,323		529
Delta Air Lines, Inc.		185,964		7,481
Emerson Electric Co.		15,731		1,531
Equifax, Inc.		6,662		1,647
Fortive Corp.		52,953		3,899
General Dynamics Corp.		25,350		6,583
Ingersoll-Rand, Inc.		39,898		3,086
Johnson Controls International PLC		30,273		1,745
Raytheon Technologies Corp.		30,950		2,604
Trane Technologies PLC		9,170		2,237
Uber Technologies, Inc. *		115,785		7,129
Veralto Corp.		7,830		644
Waste Connections, Inc.		18,976		2,833
Westinghouse Air Brake Technologies Corp.		6,799		863
Total				62,161
Information Technology (26.6%)
Adobe, Inc. *		19,175		11,440
Advanced Micro Devices, Inc. *		78,281		11,539
Apple, Inc.		177,669		34,207
First Solar, Inc. *		6,833		1,177
HubSpot, Inc. *		8,706		5,054
Intuit, Inc.		16,096		10,060
KLA Corp.		9,406		5,468
Marvell Technology, Inc.		50,416		3,041
Micron Technology, Inc.		54,457		4,647
Microsoft Corp.		156,153		58,720
NVIDIA Corp.		14,750		7,305

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

13

Large Cap Core Stock Portfolio

 

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
ON Semiconductor
Corp. *		29,091		2,430
ServiceNow, Inc. *		14,099		9,961
Synopsys, Inc. *		9,823		5,058
Texas Instruments, Inc.		45,321		7,725
Total				177,832
Materials (2.5%)
Ball Corp.		17,875		1,028
Celanese Corp. - Class A		23,302		3,621
Crown Holdings, Inc.		13,913		1,281
FMC Corp.		34,673		2,186
Linde PLC		13,257		5,445
PPG Industries, Inc.		19,206		2,872
Total				16,433

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Real Estate (2.1%)
CBRE Group, Inc. - Class A *		41,367		3,851
CoStar Group, Inc. *		15,751		1,376
Extra Space Storage, Inc.		14,349		2,301
Prologis, Inc.		27,463		3,661
Welltower, Inc.		35,433		3,195
Total				14,384
Utilities (2.6%)
Atmos Energy Corp.		24,393		2,827
Edison International		52,872		3,780
Exelon Corp.		72,965		2,619
NextEra Energy, Inc.		57,813		3,512

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Utilities continued
PG&E Corp.		257,784		4,648
Total				17,386
Total Common Stocks  (Cost: $523,741)				663,680
Investment Companies (0.1%)
Investment Companies (0.1%)
SPDR S&P 500 ETF Trust		1,643		781
Total				781
Total Investment Companies  (Cost: $698)				781
Total Investments (99.3%)  (Cost: $524,439)@				664,461
Other Assets, Less  Liabilities (0.7%)				4,435
Net Assets (100.0%)				668,896

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $528,012 and the net unrealized appreciation of investments based on that cost was $136,449 which is comprised of $147,169 aggregate gross unrealized appreciation and $10,720 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	663,680	$	—	$	—
Investment Companies		781		—		—
Total Assets:	$	664,461	$	—	$	—

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

14

Large Cap Blend Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest primarily in equity securities of large-and medium-capitalization U.S. companies listed or traded on U.S. securities exchanges.	$188 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Large Cap Blend Portfolio (the “Portfolio”), has engaged J.P. Morgan Investment Management, Inc. (“JP Morgan”) to act as sub-adviser for the Portfolio. JP Morgan was appointed sub-adviser to the Portfolio effective July 31, 2023. Prior to that time, the Portfolio was sub-advised by Fiduciary Management, Inc. (“FMI”). Normally, the Portfolio invests in equity securities of large-and medium-capitalization U.S. companies listed or traded on U.S. securities exchanges. The Portfolio may also invest up to 20% of its net assets in common stocks of foreign issuers, and may hold American Depositary Receipts (ADRs). The Portfolio focuses on those equity securities that it considers attractively valued and seeks to outperform the benchmark through superior stock selection.

MARKET OVERVIEW

The U.S. equity markets ended the year strong despite witnessing the second largest bank failure in the history of the United States. The U.S. Federal Reserve (the “Fed”) hiked the fed funds target rate to 5.25% - 5.50%, the highest level in more than 22 years to curb record high inflation. The Consumer Price Index was at 6.4% in January 2023 and trended downwards to 3.1% in November 2023. Meanwhile, third quarter Gross Domestic Product (GDP) was a bright spot, with GDP rising at 4.9% annualized; the increase was primarily driven by an increase in consumer spending and inventory investment. The labor market experienced some weakness as the unemployment rate went up from 3.4% in January 2023 to 3.7% in November 2023. Business spending held up better than expected despite tighter lending standards, supported by increased spending on intellectual property with greater emphasis on building and integrating artificial intelligence capabilities. Finally, earnings forecasts for 2024 witnessed an uptick towards the end of the year as recession fears subsided.

PORTFOLIO RESULTS

The Portfolio returned 20.61% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the S&P 500^® Index (the “Index”) returned 26.29%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

As noted above, prior to July 31, 2023, the Portfolio was managed by FMI. With respect to the period prior to July 31, 2023, relative performance was hindered by sector allocation weakness, mainly due to an underweight in Information Technology stocks, which was the top performing Index group and most heavily weighted group in the Index, followed by an overweight in the Financials sector. Financials sector investments detracted from the Portfolio’s relative performance due to holdings Charles Schwab Corp. and Northern Trust’s hangover from the Silicon Valley Bank crisis.

The following performance attribution comments relate to the period July 31, 2023, through December 31, 2023, during which time JP Morgan acted as the Portfolio’s sub-adviser.

The Portfolio saw relative strength during this period, as stock selection in the Industrials, Financials, and Healthcare sectors helped the most. Alternatively, stock selection within Utilities, Consumer Discretionary and Information Technology detracted the most from performance versus the Index.

At the individual stock level, the top contributors were positions in Progressive Corporation, Eaton Corp., Regeneron Pharmaceuticals, Inc. and Microsoft Corp., while top detractors included NextEra Energy, Inc., Bristol-Myers Squibb Company and an underweight position in Eli Lilly and Company.

PORTFOLIO MANAGER OUTLOOK

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

We continue to focus on fundamentals of the economy and company earnings. Our analysts’ estimates for S&P 500^® Index earnings currently project 12% for 2024 and 12% for 2025. While subject to revision, this forecast includes our best analysis of earnings expectations.

15

Large Cap Blend Portfolio (unaudited)

Easing inflation and improved prospects for growth have helped fuel optimism for a soft landing. However, be it the U.S. election, higher policy rates or significant geopolitical tension, risks continue to remain that could push the economy into recession in 2024. Through the volatility, we continue to focus on high conviction stocks and take advantage of market dislocations for compelling stock selection opportunities.

Relative Performance

Average Annual Total Returns
For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Large Cap Blend Portfolio	20.61%	10.94%	9.17%
S&P 500® Index	26.29%	15.70%	12.03%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Microsoft Corp.	9.5%
Apple, Inc.	5.1%
Amazon.com, Inc.	4.7%
NVIDIA Corp.	3.4%
UnitedHealth Group, Inc.	3.2%
Alphabet, Inc. - Class A	3.1%
Meta Platforms, Inc. - Class A	2.9%
AbbVie, Inc.	2.7%
Morgan Stanley	2.5%
NXP Semiconductors NV	2.5%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Information Technology	29.7%
	Health Care	14.1%
	Consumer Discretionary	11.7%
	Financials	11.6%
	Industrials	11.4%
	Communication Services	6.0%
	Energy	5.4%
	Utilities	4.1%
	Materials	2.9%
	Real Estate	2.4%
	Consumer Staples	2.3%
	Short-Term Investments & Other Net Assets	-1.6%

Sector Allocation and Top 10 Holdings are subject to change.

16

Large Cap Blend Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

Common Stocks (101.6%)	Shares/ Par +		Value $ (000’s)
Communication Services (6.0%)
Alphabet, Inc. - Class A *		41,364		5,778
Meta Platforms, Inc. - Class A *		15,502		5,487
Total				11,265
Consumer Discretionary (11.7%)
Amazon.com, Inc. *		58,025		8,816
Lowe’s Companies, Inc.		19,676		4,379
Marriott International, Inc. - Class A		5,153		1,162
McDonald’s Corp.		15,019		4,453
Tesla, Inc. *		5,137		1,277
The TJX Cos., Inc.		19,394		1,819
Total				21,906
Consumer Staples (2.3%)
The Coca-Cola Co.		75,131		4,427
Total				4,427
Energy (5.4%)
Baker Hughes		133,848		4,575
ConocoPhillips		21,663		2,514
Pioneer Natural Resources Co.		13,330		2,998
Total				10,087
Financials (11.6%)
American Express Co.		16,325		3,058
Ameriprise Financial, Inc.		7,127		2,707
FLEETCOR Technologies, Inc. *		3,221		910
Morgan Stanley		51,135		4,768
The Progressive Corp.		10,383		1,654
S&P Global, Inc.		4,326		1,906
U.S. Bancorp		59,138		2,560

Common Stocks (101.6%)	Shares/ Par +		Value $ (000’s)
Financials continued
Wells Fargo & Co.		86,743		4,270
Total				21,833
Health Care (14.1%)
AbbVie, Inc.		33,186		5,143
Biogen, Inc. *		6,144		1,590
Bristol-Myers Squibb Co.		46,707		2,397
Danaher Corp.		9,528		2,204
Eli Lilly & Co.		1,839		1,072
Regeneron Pharmaceuticals, Inc. *		4,112		3,611
Stryker Corp.		9,285		2,780
UnitedHealth Group, Inc.		11,487		6,048
Vertex Pharmaceuticals, Inc. *		4,168		1,696
Total				26,541
Industrials (11.4%)
CSX Corp.		53,782		1,865
Deere & Co.		11,801		4,719
Eaton Corp. PLC		16,014		3,856
Howmet Aerospace, Inc.		19,530		1,057
Norfolk Southern Corp.		11,838		2,798
Northrop Grumman Corp.		7,815		3,658
Trane Technologies PLC		8,850		2,159
Uber Technologies, Inc. *		22,409		1,380
Total				21,492

Common Stocks (101.6%)	Shares/ Par +		Value $ (000’s)
Information Technology (29.7%)
Accenture PLC - Class A		7,427		2,606
Advanced Micro Devices, Inc. *		17,379		2,562
Analog Devices, Inc.		7,131		1,416
Apple, Inc.		49,790		9,586
ASML Holding NV		1,515		1,147
Intuit, Inc.		2,305		1,441
Mastercard, Inc. - Class A		9,753		4,160
Microsoft Corp.		47,316		17,793
NVIDIA Corp.		12,720		6,299
NXP Semiconductors NV		20,664		4,746
Oracle Corp.		27,354		2,884
Seagate Technology Holdings PLC		12,423		1,060
Total				55,700
Materials (2.9%)
Eastman Chemical Co.		11,062		994
PPG Industries, Inc.		12,644		1,891
Vulcan Materials Co.		11,099		2,519
Total				5,404
Real Estate (2.4%)
Prologis, Inc.		33,811		4,507
Total				4,507
Utilities (4.1%)
NextEra Energy, Inc.		69,037		4,193
PG&E Corp.		190,097		3,428
Total				7,621
Total Common Stocks  (Cost: $177,089)				190,783
Total Investments (101.6%)  (Cost: $177,089)@				190,783
Other Assets, Less  Liabilities (-1.6%)				(3,050	)
Net Assets (100.0%)				187,733

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $177,451 and the net unrealized appreciation of investments based on that cost was $13,332 which is comprised of $16,146 aggregate gross unrealized appreciation and $2,814 aggregate gross unrealized depreciation.

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

17

Large Cap Blend Portfolio

 

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	190,783	$	—	$	—
Total Assets:	$	190,783	$	—	$	—

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

18

Index 500 Stock Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P 500® Index.	Invest in stocks that make up the S&P 500® Index, holding each stock in approximately the same proportion as its weighting in the Index.	$5.5 billion

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

The U.S. equity market climbed a wall of worry in 2023 - stock prices jumped double digits despite a year filled with extraordinary events that had the potential to give any investor pause, including the Silicon Valley Bank crisis, U.S. debt default fears, as well as geopolitical tensions in the Middle East. In the end, investors focused on the U.S.’s resilient economic growth, rapidly declining inflation reports, and the widely held expectation late in the year that the U.S. Federal Reserve would prove successful in soft landing the economy in 2024.

In this environment, large-cap stocks, as represented by the S&P 500^® Index, posted a return of 26.29%, outperforming the S&P MidCap 400^® and the S&P SmallCap 600^® Indices, which returned 16.44% and 16.05%, respectively. Meanwhile, the broader bond market, as represented by the Bloomberg^® U.S. Aggregate Index, returned 5.53%, while the Bloomberg^® U.S. Corporate High Yield Index returned 13.45%.

PORTFOLIO RESULTS

The Portfolio returned 26.04% for the twelve months ended December 31, 2023. By comparison, the S&P 500^® Index (the “Index”) returned 26.29%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) Portfolio performance slightly lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with the use of equity index futures contracts.

The Information Technology sector contributed the most to the Portfolio’s return for the reporting period, followed by the Communication Services and Consumer Discretionary sectors. These three sectors benefited from better-than-expected earnings growth, investor enthusiasm for corporate cost-cutting and optimism that artificial intelligence (AI) could lead to strong growth opportunities in technology and technology-related companies.

The Magnificent Seven, a group of large technology companies that includes Apple, Microsoft, Alphabet, Amazon.com, NVIDIA, Meta Platforms and Tesla, generated approximately 62% of the Index’s annual total return.

The Industrials and Financials sectors also contributed to the Portfolio’s return, supported generally by resilient economic growth. The Industrials sector advanced amid steady increases in construction spending, which supported corporate earnings. The Financials sector was buoyed as higher interest rates raised revenues on insurance company holdings and boosted lending revenue for banks.

On the downside, the Consumer Staples, Utilities and Energy sectors detracted from the Portfolio’s return. The Utilities and Consumer Staples sectors are generally seen as more defensive sectors, typically benefiting from lower volatility returns and consistent dividend payments. However, as higher monetary policy rates pushed longer-dated U.S. Treasury yields to 15-year highs, investors favored the higher yields on these government-issued securities. Weakness in the Energy sector was largely due to a decline in oil prices, as global growth slowed, which weighed on energy company earnings. The price of a barrel of West Texas Intermediate (WTI), a benchmark for oil prices, fell over 10% in 2023.

19

Index 500 Stock Portfolio (unaudited)

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Index 500 Stock Portfolio	26.04%	15.45%	11.80%
S&P 500® Index	26.29%	15.70%	12.03%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Apple, Inc.	7.0%
Microsoft Corp.	6.9%
Alphabet, Inc., Various	3.8%
Amazon.com, Inc.	3.4%
NVIDIA Corp.	3.0%
Meta Platforms, Inc. - Class A	1.9%
Tesla, Inc.	1.7%
Berkshire Hathaway, Inc. - Class B	1.6%
JPMorgan Chase & Co.	1.2%
Broadcom, Inc.	1.2%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Information Technology	28.6%
	Financials	12.8%
	Health Care	12.5%
	Consumer Discretionary	10.7%
	Industrials	8.7%
	Communication Services	8.5%
	Consumer Staples	6.1%
	Energy	3.8%
	Real Estate	2.5%
	Materials	2.4%
	Utilities	2.3%
	Short-Term Investments & Other Net Assets	1.1%

Sector Allocation and Top 10 Holdings are subject to change.

20

Index 500 Stock Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (8.5%)
Alphabet, Inc. - Class A *		802,189		112,058
Alphabet, Inc. - Class C *		675,144		95,148
AT&T, Inc.		969,190		16,263
Charter Communications, Inc. - Class A *		13,634		5,299
Comcast Corp. - Class A		544,322		23,868
Electronic Arts, Inc.		33,177		4,539
Fox Corp. - Class A		34,594		1,026
Fox Corp. - Class B		17,886		495
The Interpublic Group of Companies, Inc.		51,916		1,695
Live Nation Entertainment, Inc. *		19,386		1,815
Match Group, Inc. *		36,844		1,345
Meta Platforms, Inc. - Class A *		300,869		106,496
Netflix, Inc. *		59,328		28,886
News Corp. - Class A		51,547		1,265
News Corp. - Class B		16,798		432
Omnicom Group, Inc.		27,256		2,358
Paramount Global - Class B		65,127		963
Take-Two Interactive Software, Inc. *		21,634		3,482
T-Mobile US, Inc.		68,975		11,059
Verizon Communications, Inc.		569,869		21,484
The Walt Disney Co.		248,028		22,394
Warner Bros.
Discovery, Inc. *		299,918		3,413
Total				465,783
Consumer Discretionary (10.7%)
Airbnb, Inc. *		58,141		7,915
Amazon.com, Inc. *		1,232,691		187,295
Aptiv PLC *		36,968		3,317
AutoZone, Inc. *		2,390		6,180
Bath & Body Works, Inc.		31,151		1,344
Best Buy Co., Inc.		26,623		2,084
Booking Holdings, Inc. *		4,729		16,775
BorgWarner, Inc.		32,487		1,165
Caesars Entertainment, Inc. *		28,727		1,347
CarMax, Inc. *		21,680		1,664
Carnival Corp. *		134,683		2,497
Chipotle Mexican Grill, Inc. *		3,720		8,507
D.R. Horton, Inc.		40,850		6,208

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Darden Restaurants, Inc.		16,543		2,718
Domino’s Pizza, Inc.		4,889		2,015
eBay, Inc.		70,351		3,069
Etsy, Inc. *		16,232		1,316
Expedia Group, Inc. *		18,072		2,743
Ford Motor Co.		532,999		6,497
Garmin, Ltd.		20,577		2,645
General Motors Co.		185,634		6,668
Genuine Parts Co.		19,204		2,660
Hasbro, Inc.		17,580		898
Hilton Worldwide Holdings, Inc.		34,761		6,330
The Home Depot, Inc.		135,560		46,978
Las Vegas Sands Corp.		45,538		2,241
Lennar Corp. - Class A		33,908		5,054
LKQ Corp.		35,613		1,702
Lowe’s Companies, Inc.		78,228		17,410
Lululemon Athletica, Inc. *		15,609		7,981
Marriott International, Inc. - Class A		33,440		7,541
McDonald’s Corp.		98,321		29,153
MGM Resorts International *		38,279		1,710
Mohawk Industries, Inc. *		6,980		722
NIKE, Inc. - Class B		165,916		18,014
Norwegian Cruise Line Holdings, Ltd. *		57,774		1,158
NVR, Inc. *		419		2,933
O’Reilly Automotive, Inc. *		8,019		7,619
Pool Corp.		5,243		2,090
PulteGroup, Inc.		29,224		3,017
Ralph Lauren Corp.		5,388		777
Ross Stores, Inc.		45,902		6,352
Royal Caribbean Cruises, Ltd. *		29,997		3,884
Starbucks Corp.		154,880		14,870
Tapestry, Inc.		31,710		1,167
Tesla, Inc. *		374,887		93,152
The TJX Cos., Inc.		155,081		14,548
Tractor Supply Co.		14,838		3,191
Ulta Beauty, Inc. *		6,673		3,270
VF Corp.		44,116		829
Whirlpool Corp.		7,622		928
Wynn Resorts, Ltd.		13,206		1,203
Yum! Brands, Inc.		38,315		5,006
Total				588,357

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Consumer Staples (6.1%)
Altria Group, Inc.		239,741		9,671
Archer-Daniels-Midland Co.		72,300		5,221
Brown-Forman Corp. - Class B		25,179		1,438
Bunge Global SA		19,694		1,988
Campbell Soup Co.		27,937		1,208
Church & Dwight Co., Inc.		33,144		3,134
The Clorox Co.		16,949		2,417
The Coca-Cola Co.		527,438		31,082
Colgate-Palmolive Co.		111,609		8,896
Conagra Brands, Inc.		65,083		1,865
Constellation Brands, Inc. - Class A		22,058		5,333
Costco Wholesale Corp.		60,014		39,614
Dollar General Corp.		29,974		4,075
Dollar Tree, Inc. *		28,331		4,024
The Estee Lauder Cos., Inc. - Class A		31,629		4,626
General Mills, Inc.		78,793		5,133
The Hershey Co.		20,040		3,736
Hormel Foods Corp.		39,922		1,282
The J.M. Smucker Co.		13,924		1,760
Kellogg Co.		35,160		1,966
Kenvue, Inc.		233,621		5,030
Keurig Dr. Pepper, Inc.		137,187		4,571
Kimberly-Clark Corp.		45,951		5,584
The Kraft Heinz Co.		108,684		4,019
The Kroger Co.		88,977		4,067
Lamb Weston Holdings, Inc.		19,529		2,111
McCormick & Co., Inc.		34,058		2,330
Molson Coors Beverage Co. - Class B		25,100		1,536
Mondelez International, Inc.		184,406		13,357
Monster Beverage Corp. *		100,133		5,769
PepsiCo, Inc.		186,364		31,652
Philip Morris International, Inc.		210,430		19,797
The Procter & Gamble Co.		319,478		46,816
Sysco Corp.		68,345		4,998
Target Corp.		62,571		8,911
Tyson Foods, Inc. - Class A		39,540		2,125
Walgreens Boots Alliance, Inc.		97,233		2,539
Walmart, Inc.		193,367		30,484
Total				334,165

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

21

Index 500 Stock Portfolio

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Energy (3.8%)
APA Corp.		42,216		1,515
Baker Hughes		136,396		4,662
Chevron Corp.		237,974		35,496
ConocoPhillips		160,954		18,682
Coterra Energy, Inc.		103,618		2,644
Devon Energy Corp.		87,784		3,976
Diamondback Energy, Inc.		24,385		3,782
EOG Resources, Inc.		79,400		9,603
EQT Corp.		49,277		1,905
Exxon Mobil Corp.		542,972		54,286
Halliburton Co.		121,325		4,386
Hess Corp.		37,763		5,444
Kinder Morgan, Inc.		264,345		4,663
Marathon Oil Corp.		79,331		1,917
Marathon Petroleum Corp.		51,468		7,636
Occidental Petroleum Corp.		89,501		5,344
ONEOK, Inc.		79,277		5,567
Phillips 66		59,636		7,940
Pioneer Natural Resources Co.		31,625		7,112
Schlumberger, Ltd.		193,801		10,085
Targa Resources Corp.		30,225		2,626
Valero Energy Corp.		46,149		5,999
The Williams Cos., Inc.		165,192		5,754
Total				211,024
Financials (12.8%)
Aflac, Inc.		72,084		5,947
The Allstate Corp.		35,472		4,965
American Express Co.		78,038		14,620
American International Group, Inc.		95,163		6,447
Ameriprise Financial, Inc.		13,717		5,210
Aon PLC		27,139		7,898
Arch Capital Group, Ltd. *		50,394		3,743
Arthur J. Gallagher & Co.		28,962		6,513
Assurant, Inc.		7,147		1,204
Bank of America Corp.		933,259		31,423
The Bank of New York Mellon Corp.		104,248		5,426
Berkshire Hathaway, Inc. - Class B *		246,627		87,962
BlackRock, Inc.		18,955		15,388
The Blackstone Group, Inc.		96,785		12,671
Brown & Brown, Inc.		31,816		2,262
Capital One Financial Corp.		51,624		6,769
Cboe Global Markets, Inc.		14,402		2,572
The Charles Schwab Corp.		201,728		13,879
Chubb, Ltd.		55,303		12,499

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Financials continued
Cincinnati Financial Corp.		21,722		2,247
Citigroup, Inc.		259,429		13,345
Citizens Financial Group, Inc.		64,405		2,134
CME Group, Inc.		49,043		10,328
Comerica, Inc.		17,893		999
Discover Financial Services		34,084		3,831
Everest Re Group, Ltd.		5,448		1,926
FactSet Research Systems, Inc.		5,233		2,496
Fidelity National Information Services, Inc.		81,045		4,868
Fifth Third Bancorp		92,312		3,184
Fiserv, Inc. *		81,356		10,807
FLEETCOR Technologies, Inc. *		9,787		2,766
Franklin Resources, Inc.		37,588		1,120
Global Payments, Inc.		35,296		4,483
Globe Life, Inc.		11,610		1,413
The Goldman Sachs Group, Inc.		44,205		17,053
The Hartford Financial Services Group, Inc.		40,770		3,277
Huntington Bancshares, Inc.		195,187		2,483
Intercontinental Exchange, Inc.		76,199		9,786
Invesco, Ltd.		62,069		1,107
Jack Henry & Associates, Inc.		9,805		1,602
JPMorgan Chase & Co.		391,878		66,658
KeyCorp		126,465		1,821
Loews Corp.		24,815		1,727
M&T Bank Corp.		22,691		3,111
MarketAxess Holdings, Inc.		5,237		1,534
Marsh & McLennan Cos., Inc.		66,836		12,663
Mastercard, Inc. - Class A		112,248		47,875
MetLife, Inc.		84,280		5,573
Moody’s Corp.		21,333		8,332
Morgan Stanley		171,310		15,975
MSCI, Inc.		10,785		6,101
Nasdaq, Inc.		46,248		2,689
Northern Trust Corp.		28,020		2,364
PayPal Holdings, Inc. *		146,143		8,975
The PNC Financial Services Group, Inc.		53,995		8,361
Principal Financial Group, Inc.		29,732		2,339
The Progressive Corp.		79,709		12,696
Prudential Financial, Inc.		48,934		5,075

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Financials continued
Raymond James Financial, Inc.		25,631		2,858
Regions Financial Corp.		127,547		2,472
S&P Global, Inc.		43,918		19,347
State Street Corp.		41,829		3,240
Synchrony Financial		56,091		2,142
T. Rowe Price Group, Inc.		30,292		3,262
The Travelers Cos., Inc.		31,220		5,947
Truist Financial Corp.		180,785		6,675
U.S. Bancorp		212,316		9,189
Visa, Inc. - Class A		216,068		56,253
W.R. Berkley Corp.		28,414		2,009
Wells Fargo & Co.		492,271		24,230
Willis Towers Watson PLC		13,997		3,376
Zions Bancorp NA		20,072		881
Total				704,403
Health Care (12.5%)
Abbott Laboratories		235,229		25,892
AbbVie, Inc.		239,320		37,087
Agilent Technologies, Inc.		39,660		5,514
Align Technology, Inc. *		9,735		2,667
AmerisourceBergen Corp.		22,246		4,569
Amgen, Inc.		72,544		20,894
Baxter International, Inc.		69,248		2,677
Becton Dickinson and Co.		38,914		9,488
Biogen, Inc. *		19,641		5,082
Bio-Rad Laboratories, Inc. - Class A *		2,969		959
Bio-Techne Corp.		21,192		1,635
Boston Scientific Corp. *		196,747		11,374
Bristol-Myers Squibb Co.		275,813		14,152
Cardinal Health, Inc.		33,409		3,368
Catalent, Inc. *		24,453		1,099
Centene Corp. *		72,411		5,374
Charles River Laboratories International, Inc. *		6,814		1,611
Cigna Corp.		39,665		11,878
The Cooper Cos., Inc.		6,765		2,560
CVS Health Corp.		174,101		13,747
Danaher Corp.		89,144		20,623
DaVita, Inc. *		7,599		796
DENTSPLY SIRONA, Inc.		30,149		1,073
Dexcom, Inc. *		52,373		6,499
Edwards Lifesciences Corp. *		82,930		6,323
Elevance Health, Inc.		31,849		15,019
Eli Lilly & Co.		108,091		63,008

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

22

Index 500 Stock Portfolio

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Health Care continued
GE HealthCare Technologies, Inc.		50,030		3,868
Gilead Sciences, Inc.		168,902		13,683
HCA Healthcare, Inc.		26,848		7,267
Henry Schein, Inc. *		17,921		1,357
Hologic, Inc. *		33,202		2,372
Humana, Inc.		16,688		7,640
IDEXX Laboratories, Inc. *		11,264		6,252
Illumina, Inc. *		21,436		2,985
Incyte Corp. *		25,678		1,612
Insulet Corp. *		9,534		2,069
Intuitive Surgical, Inc. *		47,934		16,171
IQVIA Holdings, Inc. *		24,972		5,778
Johnson & Johnson		326,308		51,145
Laboratory Corp. of America Holdings		11,508		2,616
McKesson Corp.		18,037		8,351
Medtronic PLC		180,355		14,858
Merck & Co., Inc.		343,489		37,447
Mettler-Toledo International, Inc. *		2,939		3,565
Moderna, Inc. *		44,848		4,460
Molina Healthcare, Inc. *		7,880		2,847
Pfizer, Inc.		765,375		22,035
Quest Diagnostics, Inc.		15,323		2,113
Regeneron Pharmaceuticals, Inc. *		14,556		12,784
ResMed, Inc.		20,038		3,447
Revvity, Inc.		16,728		1,828
STERIS PLC		13,580		2,986
Stryker Corp.		45,831		13,724
Teleflex, Inc.		6,424		1,602
Thermo Fisher Scientific, Inc.		52,373		27,799
UnitedHealth Group, Inc.		125,374		66,006
Universal Health Services, Inc. - Class B		8,609		1,312
Vertex Pharmaceuticals, Inc. *		34,929		14,212
Viatris, Inc.		166,424		1,802
Waters Corp. *		8,069		2,657
West Pharmaceutical Services, Inc.		10,072		3,547
Zimmer Biomet Holdings, Inc.		28,593		3,480
Zoetis, Inc.		62,233		12,283
Total				684,928
Industrials (8.7%)
3M Co.		75,538		8,258
A.O. Smith Corp.		16,649		1,372
Allegion PLC		12,067		1,529
American Airlines Group, Inc. *		88,090		1,210

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Industrials continued
AMETEK, Inc.		31,317		5,164
Automatic Data Processing, Inc.		55,753		12,989
Axon Enterprise, Inc. *		9,316		2,407
The Boeing Co. *		77,085		20,093
Broadridge Financial Solutions, Inc.		15,949		3,281
Builders FirstSource, Inc. *		16,727		2,792
C.H. Robinson Worldwide, Inc.		15,929		1,376
Carrier Global Corp.		114,205		6,561
Caterpillar, Inc.		69,150		20,445
Ceridian HCM Holding, Inc. *		20,884		1,402
Cintas Corp.		11,856		7,145
Copart, Inc. *		116,744		5,720
CSX Corp.		267,866		9,287
Cummins, Inc.		19,166		4,592
Deere & Co.		36,306		14,518
Delta Air Lines, Inc.		87,814		3,533
Dover Corp.		19,074		2,934
Eaton Corp. PLC		54,346		13,088
Emerson Electric Co.		77,277		7,521
Equifax, Inc.		16,887		4,176
Expeditors International of Washington, Inc.		19,708		2,507
Fastenal Co.		78,066		5,056
FedEx Corp.		31,354		7,932
Fortive Corp.		47,637		3,507
Generac Holdings, Inc. *		8,613		1,113
General Dynamics Corp.		30,684		7,968
General Electric Co.		147,531		18,829
Honeywell International, Inc.		89,362		18,740
Howmet Aerospace, Inc.		51,011		2,761
Hubbell, Inc.		7,316		2,406
Huntington Ingalls Industries, Inc.		5,379		1,397
IDEX Corp.		10,443		2,267
Illinois Tool Works, Inc.		37,115		9,722
Ingersoll-Rand, Inc.		55,152		4,265
J.B. Hunt Transport Services, Inc.		11,133		2,224
Jacobs Solutions, Inc.		17,445		2,264
Johnson Controls International PLC		91,842		5,294
L3Harris Technologies, Inc.		25,854		5,445
Leidos Holdings, Inc.		18,535		2,006
Lockheed Martin Corp.		29,931		13,566
Masco Corp.		30,771		2,061
Nordson Corp.		7,294		1,927
Norfolk Southern Corp.		30,653		7,246
Northrop Grumman Corp.		19,214		8,995

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Old Dominion Freight Line, Inc.		12,128		4,916
Otis Worldwide Corp.		55,475		4,963
PACCAR, Inc.		71,355		6,968
Parker Hannifin Corp.		17,516		8,070
Paychex, Inc.		43,577		5,190
Paycom Software, Inc.		6,632		1,371
Pentair PLC		22,165		1,612
Quanta Services, Inc.		19,515		4,211
Raytheon Technologies Corp.		194,909		16,400
Republic Services, Inc.		27,722		4,572
Robert Half International, Inc.		14,354		1,262
Rockwell Automation, Inc.		15,544		4,826
Rollins, Inc.		35,876		1,567
Snap-on, Inc.		7,239		2,091
Southwest Airlines Co.		80,951		2,338
Stanley Black & Decker, Inc.		20,474		2,008
Textron, Inc.		26,569		2,137
Trane Technologies PLC		30,960		7,551
TransDigm Group, Inc.		7,525		7,612
Uber Technologies, Inc. *		278,944		17,175
Union Pacific Corp.		82,631		20,296
United Continental Holdings, Inc. *		44,908		1,853
United Parcel Service, Inc. - Class B		98,038		15,414
United Rentals, Inc.		9,188		5,269
Veralto Corp.		29,870		2,457
Verisk Analytics, Inc.		19,659		4,696
W.W. Grainger, Inc.		5,988		4,962
Waste Management, Inc.		49,683		8,898
Westinghouse Air Brake Technologies Corp.		24,285		3,082
Xylem, Inc.		32,508		3,718
Total				478,376
Information Technology (28.6%)
Accenture PLC - Class A		85,073		29,853
Adobe, Inc. *		61,716		36,820
Advanced Micro Devices, Inc. *		219,005		32,283
Akamai Technologies, Inc. *		20,821		2,464
Amphenol Corp. - Class A		81,162		8,046
Analog Devices, Inc.		67,547		13,412
ANSYS, Inc. *		11,847		4,299
Apple, Inc.		1,981,695		381,536
Applied Materials, Inc.		113,393		18,378
Arista Networks, Inc. *		34,120		8,036
Autodesk, Inc. *		28,976		7,055

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

23

Index 500 Stock Portfolio

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Broadcom, Inc.		59,499		66,416
Cadence Design Systems, Inc. *		36,878		10,044
CDW Corp.		18,280		4,155
Cisco Systems, Inc.		549,054		27,738
Cognizant Technology Solutions Corp. - Class A		67,967		5,134
Corning, Inc.		103,095		3,139
Enphase Energy, Inc. *		18,483		2,442
EPAM Systems, Inc. *		7,827		2,327
F5, Inc. *		8,201		1,468
Fair Isaac Corp. *		3,350		3,899
First Solar, Inc. *		13,619		2,346
Fortinet, Inc. *		86,395		5,057
Gartner, Inc. *		10,566		4,766
Hewlett Packard Enterprise Co.		173,893		2,953
HP, Inc.		118,591		3,568
Intel Corp.		570,586		28,672
International Business Machines Corp.		124,194		20,312
Intuit, Inc.		37,989		23,744
Jabil, Inc.		17,343		2,209
Juniper Networks, Inc.		44,995		1,326
Keysight Technologies, Inc. *		24,070		3,829
KLA Corp.		18,426		10,711
Lam Research Corp.		17,864		13,992
Microchip Technology, Inc.		73,339		6,614
Micron Technology, Inc.		148,839		12,702
Microsoft Corp.		1,007,448		378,841
Monolithic Power Systems, Inc.		6,065		3,826
Motorola Solutions, Inc.		22,497		7,044
NetApp, Inc.		28,302		2,495
NortonLifeLock, Inc.		76,734		1,751
NVIDIA Corp.		334,810		165,805
NXP Semiconductors NV		35,559		8,167
ON Semiconductor Corp. *		58,929		4,922
Oracle Corp.		214,676		22,633
Palo Alto Networks, Inc. *		41,396		12,207
PTC, Inc. *		16,108		2,818
Qorvo, Inc. *		13,352		1,504
QUALCOMM, Inc.		150,868		21,820
Roper Technologies, Inc.		14,478		7,893
Salesforce, Inc. *		131,891		34,706
Seagate Technology Holdings PLC		25,994		2,219
ServiceNow, Inc. *		27,871		19,691
Skyworks Solutions, Inc.		22,141		2,489
Synopsys, Inc. *		20,615		10,615
TE Connectivity, Ltd.		42,126		5,919

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Teledyne Technologies, Inc. *		6,386		2,850
Teradyne, Inc.		21,347		2,317
Texas Instruments, Inc.		123,108		20,985
Trimble, Inc. *		34,306		1,825
Tyler Technologies, Inc. *		5,685		2,377
VeriSign, Inc. *		12,041		2,480
Western Digital Corp. *		44,019		2,305
Zebra Technologies Corp. - Class A *		7,122		1,947
Total				1,566,196
Materials (2.4%)
Air Products and Chemicals, Inc.		30,112		8,245
Albemarle Corp.		15,981		2,309
Amcor PLC		195,917		1,889
Avery Dennison Corp.		11,082		2,240
Ball Corp.		43,463		2,500
Celanese Corp.		13,601		2,113
CF Industries Holdings, Inc.		26,311		2,092
Corteva, Inc.		95,527		4,578
Dow, Inc.		95,075		5,214
DuPont de Nemours, Inc.		58,292		4,484
Eastman Chemical Co.		16,071		1,443
Ecolab, Inc.		33,833		6,711
FMC Corp.		17,080		1,077
Freeport-McMoRan, Inc.		195,117		8,306
International Flavors & Fragrances, Inc.		35,022		2,836
International Paper Co.		47,477		1,716
Linde PLC		65,727		26,995
LyondellBasell Industries NV - Class A		34,717		3,301
Martin Marietta Materials, Inc.		8,458		4,220
The Mosaic Co.		45,432		1,623
Newmont Corp.		157,091		6,502
Nucor Corp.		33,324		5,800
Packaging Corp. of America		12,303		2,004
PPG Industries, Inc.		32,034		4,791
The Sherwin-Williams Co.		31,921		9,956
Steel Dynamics, Inc.		20,618		2,435
Vulcan Materials Co.		18,022		4,091
WestRock Co.		34,564		1,435
Total				130,906
Real Estate (2.5%)
Alexandria Real Estate Equities, Inc.		21,200		2,688
American Tower Corp.		63,189		13,641
AvalonBay Communities, Inc.		19,230		3,600

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Boston Properties, Inc.		19,540		1,371
Camden Property Trust		14,560		1,446
CBRE Group, Inc. - Class A *		41,315		3,846
CoStar Group, Inc. *		55,237		4,827
Crown Castle International Corp.		58,829		6,777
Digital Realty Trust, Inc.		39,637		5,334
Equinix, Inc.		12,711		10,237
Equity Residential		46,410		2,838
Essex Property Trust, Inc.		8,700		2,157
Extra Space Storage, Inc.		29,111		4,667
Federal Realty Investment Trust		9,945		1,025
Healthpeak Properties, Inc.		74,265		1,470
Host Hotels & Resorts, Inc.		97,298		1,894
Invitation Homes, Inc.		79,117		2,699
Iron Mountain, Inc.		39,752		2,782
Kimco Realty Corp.		84,389		1,798
Mid-America Apartment Communities, Inc.		15,777		2,121
Prologis, Inc.		125,245		16,695
Public Storage		21,557		6,575
Realty Income Corp.		98,128		5,635
Regency Centers Corp.		21,039		1,410
SBA Communications Corp.		14,831		3,762
Simon Property Group, Inc.		44,222		6,308
UDR, Inc.		41,020		1,571
Ventas, Inc.		55,187		2,751
VICI Properties, Inc.		138,359		4,411
Welltower, Inc.		72,651		6,551
Weyerhaeuser Co.		98,953		3,441
Total				136,328
Utilities (2.3%)
The AES Corp.		91,753		1,766
Alliant Energy Corp.		34,454		1,767
Ameren Corp.		35,531		2,570
American Electric Power Co., Inc.		70,100		5,694
American Water Works Co., Inc.		26,600		3,511
Atmos Energy Corp.		19,735		2,287
CenterPoint Energy, Inc.		86,516		2,472
CMS Energy Corp.		40,251		2,337
Consolidated Edison, Inc.		46,795		4,257
Constellation Energy Corp.		43,854		5,126
Dominion Energy, Inc.		113,591		5,339
DTE Energy Co.		26,492		2,921
Duke Energy Corp.		104,471		10,138

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

24

Index 500 Stock Portfolio

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Edison International		52,691		3,767
Entergy Corp.		27,973		2,831
Evergy, Inc.		31,291		1,633
Eversource Energy		47,845		2,953
Exelon Corp.		136,504		4,900
FirstEnergy Corp.		70,368		2,580
NextEra Energy, Inc.		275,965		16,762
NiSource, Inc.		55,036		1,461
NRG Energy, Inc.		30,602		1,582
PG&E Corp.		285,173		5,142
Pinnacle West Capital Corp.		15,533		1,116
PPL Corp.		100,820		2,732
Public Service Enterprise Group, Inc.		67,547		4,131
Sempra Energy		85,826		6,414
The Southern Co.		147,834		10,366
WEC Energy Group, Inc.		43,219		3,638
Xcel Energy, Inc.		75,438		4,670
Total				126,863
Total Common Stocks  (Cost: $1,810,073)				5,427,329
Total Investments (98.9%)  (Cost: $1,810,073)@				5,427,329
Other Assets, Less  Liabilities (1.1%)				57,752
Net Assets (100.0%)				5,485,081

 

 

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		239		3/24	$	57,599	$	1,234	$	(145)
													$	1,234	$	(145)

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

$

–

$

–

$

–

$

–

$

(145

)

$

(145

)

$

–

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,813,646 and the net unrealized appreciation of investments based on that cost was $3,614,917 which is comprised of $3,700,124 aggregate gross unrealized appreciation and $85,207 aggregate gross unrealized depreciation.

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

25

Index 500 Stock Portfolio

 

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	5,427,329	$	—	$	—
Other Financial Instruments^
Futures		1,234		—		—
Total Assets:	$	5,428,563	$	—	$	—

^ 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.

26

Large Company Value Portfolio (unaudited)

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

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

Broad U.S. equity markets rallied in 2023, aided by a surge in the fourth quarter as bond yields dropped substantially. Inflation moderated and optimism increased that the U.S. Federal Reserve may soon begin cutting interest rates while the U.S. economy negotiates a soft landing. Against this backdrop, growth stocks outperformed value stocks for the year, and cyclical sectors generally outperformed defensive sectors.

PORTFOLIO RESULTS

The Portfolio returned 3.80% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned 11.46%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses.)

Security selection and an underweight in the Communication Services sector detracted from relative results. Notably, lack of exposure to Meta Platforms weighed on the Portfolio’s performance. Shares of this technology conglomerate benefited from Meta Platforms’ cost-cutting efforts and its investments in artificial intelligence. The Portfolio did not own the stock because the Portfolio’s managers felt its risk/reward profile was less attractive relative to other stocks.

The Industrials sector also detracted from the Portfolio’s relative returns, driven by aerospace and defense company RTX. RTX shares were pressured after the company noted a problem with the powdered metal used in airplane engine manufacturing. In turn, RTX made the decision to compensate its airline customers as aircrafts are grounded while RTX replaces the contaminated parts.

Another notable detractor during the period was Conagra Brands, in the Consumer Staples sector. An investor shift toward less defensive sectors pressured shares of this packaged food producer. Additionally, investors became concerned about consumers shifting to store brands to save money and about pushback on future price increases.

On the upside, security selection and an underweight in the Energy sector relative to the benchmark contributed to the Portfolio’s performance. The Portfolio’s underweight position in Chevron was particularly beneficial, as Chevron’s shares underperformed after the company announced operational issues with two of its largest assets. Chevron also announced the expensive acquisition of Hess, another energy company.

Stock selection in the Materials sector also contributed, led by Packaging Corporation of America. This packaging and logistics company reported strong financial results with improved year-over-year shipments of containerboard. The market’s expectations of a bottoming in demand for containerboard also buoyed company shares.

In the Industrials sector, nVent Electric was a key contributor. This electrical equipment supplier delivered solid financial results, primarily driven by its strong pricing power. Furthermore, the company’s acquisition of ECM Industries and the potential for the company to benefit from the infrastructure bill buoyed investor sentiment.

PORTFOLIO MANAGER OUTLOOK

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

27

Large Company Value Portfolio (unaudited)

Our research has led us to several stocks in the Healthcare sector that we think offer compelling valuations and risk/ reward profiles, leading to a notable overweight in the sector. We consider Healthcare less cyclical because the economy’s performance tends to have less impact on demand. We also believe health care utilization rates will continue to normalize after the COVID-19 pandemic caused patients to delay services and procedures. Additionally, we think shares of companies affected by sell-offs from drugs related to weight-loss will continue to recover.

Conversely, we maintained our underweight in Real Estate due to valuations that we believe are elevated throughout the sector. Additionally, life science real estate continues to be challenged by slowing leasing activities and elevated new supply coming online in 2024. Our bottom-up approach also resulted in an underweight in the Consumer Discretionary sector, a sector where we find it difficult to identify companies with durable business models. Furthermore, we expect a decline in overall consumer spending due to economic pressures like inflation and evaporating personal savings.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Large Company Value Portfolio	3.80%	10.57%	7.80%
Russell 1000® Value Index	11.46%	10.91%	8.40%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Johnson & Johnson	4.8%
Medtronic PLC	4.6%
Zimmer Biomet Holdings, Inc.	3.7%
Berkshire Hathaway, Inc. - Class B	3.0%
JPMorgan Chase & Co.	2.6%
Raytheon Technologies Corp.	2.3%
Duke Energy Corp.	2.3%
Colgate-Palmolive Co.	2.3%
Exxon Mobil Corp.	2.3%
The Allstate Corp.	2.2%

Sector Allocation 12/31/23

Sector	% of Net Assets
Health Care	23.5%
Financials	19.6%
Consumer Staples	16.0%
Industrials	9.8%
Energy	7.6%
Information Technology	7.1%
Utilities	6.5%
Materials	3.2%
Communication Services	3.2%
Short-Term Investments & Other Net Assets	2.3%
Consumer Discretionary	0.7%
Real Estate	0.5%

Sector Allocation and Top 10 Holdings are subject to change.

28

Large Company Value Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Communication Services (3.2%)
BCE, Inc.		22,919		902
Verizon
Communications, Inc.		62,822		2,369
The Walt Disney Co.		16,870		1,523
Total				4,794
Consumer Discretionary (0.7%)
General Motors Co.		28,332		1,018
Total				1,018
Consumer Staples (16.0%)
Colgate-Palmolive Co.		42,858		3,416
Conagra Brands, Inc.		81,997		2,350
Dollar Tree, Inc. *		17,760		2,523
General Mills, Inc.		11,406		743
Heineken Holding NV		10,824		917
Kenvue, Inc.		76,463		1,646
Kimberly-Clark Corp.		24,598		2,989
Koninklijke Ahold Delhaize NV		34,644		995
Mondelez International, Inc.		32,752		2,372
PepsiCo, Inc.		4,215		716
The Procter & Gamble Co.		6,119		897
Unilever PLC, ADR		61,028		2,959
Walmart, Inc.		11,063		1,744
Total				24,267
Energy (7.6%)
Baker Hughes		45,576		1,558
Chevron Corp.		5,598		835
ConocoPhillips		6,500		754
Enterprise Products Partners LP		56,553		1,490
Exxon Mobil Corp.		34,141		3,413
Shell PLC		39,004		1,267
TotalEnergies SE, ADR		33,073		2,229
Total				11,546
Financials (19.6%)
The Allstate Corp.		24,098		3,373
The Bank of New York Mellon Corp.		63,533		3,307
Berkshire Hathaway, Inc. - Class B *		12,926		4,610
BlackRock, Inc.		3,399		2,759
The Charles Schwab Corp.		39,240		2,700
Chubb, Ltd.		5,176		1,170
JPMorgan Chase & Co.		23,073		3,925
MetLife, Inc.		11,870		785
Northern Trust Corp.		12,419		1,048
Truist Financial Corp.		69,349		2,560
U.S. Bancorp		59,303		2,567

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Financials continued
Willis Towers Watson PLC		4,351		1,049
Total				29,853
Health Care (23.5%)
Becton Dickinson and Co.		7,314		1,783
CVS Health Corp.		21,632		1,708
Henry Schein, Inc. *		34,055		2,578
Johnson & Johnson		46,905		7,352
Medtronic PLC		85,344		7,031
Merck & Co., Inc.		12,524		1,365
Pfizer, Inc.		38,986		1,123
Quest Diagnostics, Inc.		21,908		3,021
Roche Holding AG		5,664		1,642
Universal Health Services, Inc. - Class B		16,159		2,463
Zimmer Biomet Holdings, Inc.		46,287		5,633
Total				35,699
Industrials (9.8%)
Emerson Electric Co.		14,002		1,363
Johnson Controls International PLC		15,661		903
Norfolk Southern Corp.		12,678		2,997
Oshkosh Corp.		11,077		1,201
Raytheon Technologies Corp.		41,624		3,502
Siemens AG		4,577		858
Southwest Airlines Co.		41,582		1,201
United Parcel Service, Inc. - Class B		18,363		2,887
Total				14,912
Information Technology (7.1%)
Automatic Data Processing, Inc.		5,727		1,334
Cisco Systems, Inc.		42,466		2,145
F5, Inc. *		14,514		2,598
Juniper Networks, Inc.		34,786		1,026
TE Connectivity, Ltd.		12,498		1,756
Texas Instruments, Inc.		11,260		1,919
Total				10,778
Materials (3.2%)
Akzo Nobel NV		10,899		901
Packaging Corp. of America		11,304		1,841
Sonoco Products Co.		37,813		2,113
Total				4,855

Common Stocks (97.7%)	Shares/ Par +		Value $ (000’s)
Real Estate (0.5%)
American Tower Corp.		3,848		831
Total				831
Utilities (6.5%)
Duke Energy Corp.		35,383		3,434
Edison International		23,673		1,692
Eversource Energy		27,720		1,711
Pinnacle West Capital Corp.		9,244		664
Xcel Energy, Inc.		39,269		2,431
Total				9,932
Total Common Stocks (Cost: $144,538)				148,485
Total Investments (97.7%) (Cost: $144,538)@				148,485
Other Assets, Less Liabilities (2.3%)				3,513
Net Assets (100.0%)				151,998

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

29

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	Bank of America NA	CAD		1,009		762	3/28/24	$	—	$	(8)	$	(8	)
Sell	Morgan Stanley Capital Services LLC	CHF		1,184		1,420	3/28/24		—		(42)		(42	)
Buy	Bank of America NA	EUR		120		133	3/28/24		1		—		1
Sell	Bank of America NA	EUR		4,637		5,136	3/28/24		—		(51)		(51	)
Sell	Goldman Sachs International	GBP		2,796		3,566	3/28/24		—		(20)		(20	)
								$	1	$	(121)	$	(120	)

	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		—	$	1	$	(121)		—		—	$	(121)

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $145,607 and the net unrealized appreciation of investments based on that cost was $2,758 which is comprised of $10,315 aggregate gross unrealized appreciation and $7,557 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	22,355	$	1,912	$	—
Energy		10,279		1,267		—
Health Care		34,057		1,642		—
Industrials		14,054		858		—
Materials		3,954		901		—
All Others		57,206		—		—
Other Financial Instruments^
Forward Foreign Currency Contracts		—		1		—
Total Assets:	$	141,905	$	6,581	$	—
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		—		(121)		—
Total Liabilities:	$	—	$	(121)	$	—

^ 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.

30

Domestic Equity Portfolio (unaudited)

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

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

U.S. stocks were broadly higher for the year ended December 31, 2023, led by stocks of the largest companies, particularly those of technology-related businesses. By the end of the period, the 10 largest stocks in the broad market S&P 500^® Index accounted for approximately 30% of the Index’s market capitalization, a historically high level of concentration. Early in the year, the high-profile failures of several regional banks added to an already volatile period. The failures caused a sell-off of bank stocks, especially smaller and mid-sized institutions, which helped drive investor flight to large cap growth stocks. Falling inflation, exuberance for companies involved in artificial intelligence (“AI”) and a growing belief that the U.S. Federal Reserve could engineer a soft landing for the economy helped push the major indices higher during the year.

PORTFOLIO RESULTS

The Portfolio returned 3.71% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned 11.46%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

In general, stock selection detracted from the Portfolio’s relative performance while sector allocation was a contributor. The three largest detractors from a sector perspective were Consumer Staples, Industrials and Communication Services. Stock selection was the primary driver of underperformance for these three sectors. The three largest contributors at the sector level were Information Technology, Utilities and Energy. An overweight allocation drove positive attribution in the Information Technology sector. Stock selection and underweight allocations supported contribution in the Utilities and Energy sectors.

At the stock level, discount retailer Dollar General was a leading detractor from the Portfolio’s relative performance. The company’s shares came under significant pressure during the period, owing to weaker-than-expected results, lowered full-year guidance and missteps around inventory management. Packaged food maker Conagra Brands was another leading detractor, as the industry was pressured by investors’ concerns around pricing power, consumer demand and the potential effects of GLP-1 drugs (used to treat diabetes and obesity) on dietary habits. Grain processor and agricultural services provider Archer-Daniels-Midland Company was another notable detractor. Results in the company’s nutrition segment were weaker than expected, and it lowered its operating profit target for that business.

Broadcom, a provider of semiconductor and enterprise software solutions, was a leading contributor to the Portfolio’s relative return (note that the Portfolio’s position in Broadcom was sold during the year). The company’s offerings include products that support artificial intelligence (AI) technology, and strong investor enthusiasm for companies exposed to AI supported the stock. Cloud services provider Oracle was also a leading contributor. Oracle’s autonomous database business is a beneficiary of generative AI, and the company has indicated that demand for its AI processing exceeds capacity. Information Technology (IT) services and consulting provider Cognizant Technology Solutions was another notable contributor. Despite a generally challenging environment for IT services in 2023, the company raised its full-year earnings-per-share (EPS) guidance while reaffirming guidance for revenue and operating margin.

PORTFOLIO MANAGER OUTLOOK

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

31

Domestic Equity Portfolio (unaudited)

While relative performance in 2023 was disappointing, we think the Portfolio’s positioning is especially strong right now. Valuation is attractive with the Portfolio’s price-to-earnings (P/E) ratio below that of the benchmark. From a quality factor perspective, the Portfolio’s exposure to earnings quality and profitability are at the high ends of their historical ranges. In addition, the Portfolio’s net debt to earnings before interest, taxes, depreciation and amortization (EBITDA) ratio, a measure of debt relative to earnings, is lower than the benchmark’s. Overall, we think investors have already priced in a soft landing, as evidenced by the market’s lofty valuation multiples. In this environment, which includes an extended period of above-average market returns, we think a discounted portfolio of companies with higher quality attributes represents a compelling offering with the potential for downside protection and attractive long-term total returns.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Domestic Equity Portfolio	3.71%	8.48%	8.07%
Russell 1000® Value Index	11.46%	10.91%	8.40%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
American International Group, Inc.	3.4%
Honeywell International, Inc.	3.4%
U.S. Bancorp	3.4%
CVS Health Corp.	3.3%
The TJX Cos., Inc.	3.3%
The Allstate Corp.	3.3%
Dollar Tree, Inc.	3.2%
Motorola Solutions, Inc.	3.2%
Dover Corp.	3.1%
Cognizant Technology Solutions Corp. - Class A	3.1%

Sector Allocation 12/31/23

Sector	% of Net Assets
Financials	18.6%
Health Care	17.9%
Information Technology	14.7%
Industrials	12.3%
Consumer Staples	11.2%
Consumer Discretionary	6.4%
Communication Services	5.8%
Materials	3.1%
Energy	3.0%
Utilities	3.0%
Real Estate	2.6%
Short-Term Investments & Other Net Assets	1.4%

Sector Allocation and Top 10 Holdings are subject to change.

32

Domestic Equity Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (98.6%)	Shares/ Par +		Value $ (000’s)
Communication Services (5.8%)
Comcast Corp. - Class A		105,356		4,620
Verizon Communications, Inc.		797,600		30,070
The Walt Disney Co.		299,436		27,036
Total				61,726
Consumer Discretionary (6.4%)
Lowe’s Companies, Inc.		145,900		32,470
The TJX Cos., Inc.		371,700		34,869
Total				67,339
Consumer Staples (11.2%)
Archer-Daniels-Midland Co.		358,400		25,884
Conagra Brands, Inc.		945,833		27,107
Dollar General Corp.		233,040		31,682
Dollar Tree, Inc. *		240,500		34,163
Total				118,836
Energy (3.0%)
ConocoPhillips		277,500		32,209
Total				32,209

Common Stocks (98.6%)	Shares/ Par +		Value $ (000’s)
Financials (18.6%)
The Allstate Corp.		245,405		34,352
American International Group, Inc.		530,600		35,948
Fidelity National Information Services, Inc.		537,427		32,283
The Travelers Cos., Inc.		145,498		27,716
Truist Financial Corp.		831,200		30,688
U.S. Bancorp		828,600		35,862
Total				196,849
Health Care (17.9%)
Baxter International, Inc.		838,200		32,405
Cigna Corp.		94,003		28,149
CVS Health Corp.		444,100		35,066
Hologic, Inc. *		423,488		30,258
Johnson & Johnson		198,000		31,035
Merck & Co., Inc.		298,000		32,488
Total				189,401
Industrials (12.3%)
Dover Corp.		214,342		32,968
Honeywell International, Inc.		171,060		35,873
Northrop Grumman Corp.		68,300		31,974
Raytheon Technologies Corp.		342,979		28,858
Total				129,673

Common Stocks (98.6%)	Shares/ Par +		Value $ (000’s)
Information Technology (14.7%)
Cisco Systems, Inc.		543,500		27,458
Cognizant Technology Solutions Corp. - Class A		434,718		32,834
Motorola Solutions, Inc.		106,300		33,282
Oracle Corp.		272,800		28,761
Teledyne Technologies, Inc. *		72,818		32,498
Total				154,833
Materials (3.1%)
DuPont de Nemours, Inc.		423,384		32,571
Total				32,571
Real Estate (2.6%)
Equity Residential		446,995		27,338
Total				27,338
Utilities (3.0%)
Duke Energy Corp.		328,300		31,858
Total				31,858
Total Common Stocks (Cost: $899,773)				1,042,633
Total Investments (98.6%) (Cost: $899,773)@				1,042,633
Other Assets, Less Liabilities (1.4%)				14,433
Net Assets (100.0%)				1,057,066

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $899,851 and the net unrealized appreciation of investments based on that cost was $142,782 which is comprised of $216,126 aggregate gross unrealized appreciation and $73,344 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,042,633	$	—	$	—
Total Assets:	$	1,042,633	$	—	$	—

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

33

Equity Income Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest in common stocks with a focus on larger capitalization stocks with a strong track record of paying dividends, or that are believed to be undervalued.	$718 million

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

U.S. equities posted strong gains in 2023, driven by generally favorable corporate earnings, a resilient economy and increased investor interest in artificial intelligence. The market overcame bearish factors such as regional bank turmoil in March; uncertainty about the debt ceiling; geopolitical concerns stemming from the ongoing Russian invasion of Ukraine and from Israel’s response to deadly Hamas attacks in early October; and a sluggish Chinese economic recovery. Arguably the most significant factor affecting the U.S. economy throughout the year was rising interest rates in response to elevated inflation. The U.S. Federal Reserve (the “Fed”) raised short-term interest rates four times through the end of July, lifting the fed funds target rate to a range of 5.25% – 5.50%. Equities rallied through year-end as Fed officials projected at their mid-December policy meeting that there could be three, quarter-point interest rate cuts in 2024.

PORTFOLIO RESULTS

The Portfolio returned 9.68% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned 11.46%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Overall, sector allocation was responsible for the Portfolio’s relative underperformance, but this was partially offset by security selection.

The Materials sector weighed on the Portfolio’s relative performance, due to unfavorable stock choices. CF Industries Holdings, the largest nitrogen fertilizer producer in North America, faced volatile fertilizer demand and pricing throughout the year. Early in 2023, weak fertilizer demand weighed on the company. This trend later reversed amid improved sentiment around the fertilizer cycle at the midpoint of the year but again fell to weaker levels during the last quarter of 2023.

The Consumer Discretionary sector also weighed on relative performance, owing to unfavorable stock choices. Early in 2023, Porsche AG benefited from increased delivery, management focusing on pricing and optimism around the company’s upcoming electric vehicle launches. Later in the year, shares were impacted as the company reported declining vehicle deliveries in China and leaned on volume instead of pricing to drive revenue growth.

The Communication Services sector detracted notably from the Portfolio’s relative performance, due to an underweight exposure and stock selection. The Communication Services sector contains several types of companies, including diversified telecommunication services, entertainment and media names.

On the upside, stock selection in the Industrials sector significantly contributed to relative performance. General Electric Company (“GE”) is a global industrial company operating in three segments: aviation, power and renewables. Over the year, GE trended upward as it made progress toward streamlining the business and benefited from a better-than-expected recovery in the aviation industry, improvement in renewables and a successful spinoff of its healthcare business.

34

Equity Income Portfolio (unaudited)

Stock choices in the Energy sector also contributed. Shares of TotalEnergies advanced over the period, as shares benefited from the company’s continued strong execution and focus on low cost production and shareholder-friendly capital allocation policies.

PORTFOLIO MANAGER OUTLOOK

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

The market was data point driven throughout 2023, and the most recent quarter was no exception, as the market rallied sharply on favorable inflation and employment news. While all eyes continue to be on the direction of monetary policy, we believe the Fed is also being heavily influenced by new data. We therefore expect the market to continue to be volatile, switching between optimism and pessimism depending on the next data point.

This backdrop creates a wide range of potential outcomes, and the likelihood of a recession versus a “soft landing” is largely unknown. For that reason, we aim to maintain a portfolio that is balanced for a variety of markets, focusing on taking advantage of attractive opportunities as they are presented to us. Ultimately, we believe stock picking will be critical, and our valuation discipline and long-term investment horizon will help serve clients well.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Equity Income Portfolio	9.68%	11.32%	7.96%
Russell 1000® Value Index	11.46%	10.91%	8.40%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude

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

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Wells Fargo & Co.	3.0%
TotalEnergies SE, ADR	2.9%
QUALCOMM, Inc.	2.9%
The Southern Co.	2.6%
American International Group, Inc.	2.6%
General Electric Co.	2.4%
Elevance Health, Inc.	2.3%
News Corp., Various	2.2%
Chubb, Ltd.	2.2%
CF Industries Holdings, Inc.	1.8%

35

Equity Income Portfolio (unaudited)

Sector Allocation 12/31/23

Sector	% of Net Assets
Financials	21.7%
Health Care	15.8%
Industrials	12.7%
Information Technology	9.9%
Energy	8.5%
Consumer Staples	8.0%
Utilities	6.4%
Communication Services	4.6%
Real Estate	4.2%
Consumer Discretionary	3.9%
Materials	3.2%
Short-Term Investments & Other Net Assets	1.1%

Sector Allocation and Top 10 Holdings are subject to change.

36

Equity Income Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (98.7%)	Shares/ Par +		Value $ (000’s)
Communication Services (4.6%)
AT&T, Inc.		61,563		1,033
Comcast Corp. - Class A		55,144		2,418
Meta Platforms, Inc. - Class A *		3,402		1,204
News Corp. - Class A		585,877		14,384
News Corp. - Class B		59,602		1,533
Verizon Communications, Inc.		123,925		4,672
The Walt Disney Co.		89,968		8,123
Total				33,367
Consumer Discretionary (3.9%)
Best Buy Co., Inc.		32,589		2,551
Dr. Ing. h.c. F. Porsche AG - Preference Shares		48,030		4,236
Kohl’s Corp.		120,347		3,451
Las Vegas Sands Corp.		147,615		7,264
Mattel, Inc. *		198,959		3,756
The TJX Cos., Inc.		23,481		2,203
Volkswagen AG, ADR		384,765		4,721
Total				28,182
Consumer Staples (8.0%)
Colgate-Palmolive Co.		56,500		4,504
Conagra Brands, Inc.		296,809		8,506
Constellation Brands, Inc. - Class A		8,000		1,934
Dollar General Corp.		12,900		1,754
Kenvue, Inc.		320,887		6,909
Kimberly-Clark Corp.		59,911		7,280
Mondelez International, Inc.		13,400		970
Philip Morris International, Inc.		128,126		12,054
Tyson Foods, Inc. - Class A		112,238		6,033
Walmart, Inc.		47,612		7,506
Total				57,450
Energy (8.5%)
Chevron Corp.		9,199		1,372
ConocoPhillips		13,500		1,567
Enbridge, Inc.		118,135		4,255
EOG Resources, Inc.		47,523		5,748
EQT Corp.		71,900		2,780
Exxon Mobil Corp.		94,935		9,492
Hess Corp.		41,400		5,968
Suncor Energy, Inc.		105,700		3,387
TC Energy Corp.		75,493		2,951
TotalEnergies SE, ADR		309,680		20,866
The Williams Cos., Inc.		67,800		2,361
Total				60,747

Common Stocks (98.7%)	Shares/ Par +		Value $ (000’s)
Financials (21.7%)
American International Group, Inc.		269,784		18,278
Apollo Global Management, Inc.		20,264		1,889
Bank of America Corp.		109,899		3,700
The Bank of New York Mellon Corp.		28,900		1,504
The Carlyle Group, Inc.		14,700		598
The Charles Schwab Corp.		163,127		11,223
Chubb, Ltd.		69,798		15,774
Citigroup, Inc.		78,611		4,044
Equitable Holdings, Inc.		359,636		11,976
Fifth Third Bancorp		275,073		9,487
The Goldman Sachs Group, Inc.		6,480		2,500
The Hartford Financial Services Group, Inc.		93,964		7,553
Huntington Bancshares, Inc.		573,971		7,301
JPMorgan Chase & Co.		46,859		7,971
Loews Corp.		106,520		7,413
MetLife, Inc.		159,472		10,546
Morgan Stanley		32,858		3,064
U.S. Bancorp		224,355		9,710
Wells Fargo & Co.		434,401		21,381
Total				155,912
Health Care (15.8%)
AbbVie, Inc.		31,784		4,926
AstraZeneca PLC, ADR		69,761		4,698
Becton Dickinson and Co.		53,026		12,929
Biogen, Inc. *		9,603		2,485
Cardinal Health, Inc.		11,975		1,207
Centene Corp. *		23,849		1,770
Cigna Corp.		25,681		7,690
CVS Health Corp.		110,711		8,742
Elevance Health, Inc.		34,908		16,461
GE HealthCare Technologies, Inc.		47,432		3,667
Humana, Inc.		1,600		733
Johnson & Johnson		52,968		8,302
Medtronic PLC		72,360		5,961
Merck & Co., Inc.		58,805		6,411
Pfizer, Inc.		249,692		7,189
Sanofi		105,209		5,232
Viatris, Inc.		464,900		5,035
Zimmer Biomet
Holdings, Inc.		79,153		9,633
Total				113,071

Common Stocks (98.7%)	Shares/ Par +		Value $ (000’s)
Industrials (12.7%)
3M Co.		14,516		1,587
The Boeing Co. *		47,437		12,365
Cummins, Inc.		9,467		2,268
Flowserve Corp.		15,375		634
General Electric Co.		132,196		16,872
Honeywell International, Inc.		4,600		965
L3Harris Technologies, Inc.		61,072		12,863
Norfolk Southern Corp.		22,400		5,295
Siemens AG, ADR		97,485		9,119
Southwest Airlines Co.		214,600		6,197
Stanley Black & Decker, Inc.		92,406		9,065
Stericycle, Inc. *		69,813		3,460
Union Pacific Corp.		14,500		3,561
United Parcel Service, Inc. - Class B		45,276		7,119
Total				91,370
Information Technology (9.9%)
Accenture PLC - Class A		11,100		3,895
Advanced Micro Devices, Inc. *		3,700		545
Applied Materials, Inc.		51,571		8,358
Cisco Systems, Inc.		26,019		1,315
Fiserv, Inc. *		60,847		8,083
Intel Corp.		15,300		769
Microsoft Corp.		31,862		11,981
QUALCOMM, Inc.		142,240		20,572
Samsung Electronics Co., Ltd.		101,195		6,155
TE Connectivity, Ltd.		24,973		3,509
Texas Instruments, Inc.		36,216		6,173
Total				71,355
Materials (3.2%)
CF Industries Holdings, Inc.		163,321		12,984
International Flavors & Fragrances, Inc.		20,048		1,623
International Paper Co.		222,879		8,057
Total				22,664
Real Estate (4.2%)
Equity Residential		159,672		9,766
Rayonier, Inc.		183,920		6,145
Vornado Realty Trust		11,300		319
Welltower, Inc.		15,750		1,420
Weyerhaeuser Co.		356,520		12,396
Total				30,046

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

37

Equity Income Portfolio

 

Common Stocks (98.7%)	Shares/ Par +		Value $ (000’s)
Utilities (6.2%)
Ameren Corp.		40,118		2,902
Dominion Energy, Inc.		203,125		9,547
NextEra Energy, Inc.		83,409		5,066
NiSource, Inc.		51,985		1,380
PG&E Corp.		59,424		1,071
Sempra Energy		74,990		5,604
The Southern Co.		266,592		18,694
Total				44,264
Total Common Stocks (Cost: $553,308)				708,428

Convertible Preferred Stocks (0.2%)	Shares/ Par +		Value $ (000’s)
Utilities (0.2%)
NextEra Energy, Inc., 6.926%, 8/28/25		28,779		1,097
Total				1,097
Total Convertible Preferred Stocks (Cost: $1,403)				1,097
Total Investments (98.9%) (Cost: $554,711)@				709,525
Other Assets, Less Liabilities (1.1%)				7,966
Net Assets (100.0%)				717,491

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $555,969 and the net unrealized appreciation of investments based on that cost was $153,556 which is comprised of $178,169 aggregate gross unrealized appreciation and $24,613 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	23,946	$	4,236	$	—
Information Technology		65,200		6,155		—
All Others		608,891		—		—
Convertible Preferred Stocks		1,097		—		—
Total Assets:	$	699,134	$	10,391	$	—

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

38

Mid Cap Growth Stock Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks of mid cap domestic companies selected on the basis of their potential for capital appreciation.	$1.1 billion

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

U.S. equities rose during the twelve months ended December 31, 2023 amid easing inflation, optimism for lower interest rates, strong performances in select mega-capitalization technology companies and steady Gross Domestic Product growth. Early in 2023, the collapse of two U.S. regional banks prompted swift policy actions by federal regulators, which helped stabilize liquidity and stem the potential for broader contagion. The U.S. Federal Reserve (the “Fed”) slowed its pace of policy tightening. Shares of a narrow group of mega-capitalization technology companies surged, helping growth stocks significantly outperform their value counterparts. These companies benefited from investor optimism about earnings potential and growth prospects and exuberance surrounding generative artificial intelligence. U.S. equities fell in the third quarter, pressured by rising U.S. Treasury yields amid views that the Fed would keep interest rates elevated for a prolonged period. In the fourth quarter, U.S. equities rallied, registering their largest quarterly return in three years as gains broadened beyond those select mega-capitalization stocks that dominated the stock market’s earlier performance. A rapid descent in inflation prompted the Fed to pivot, with policymakers anticipating 75 bps of interest rate cuts in 2024.

PORTFOLIO RESULTS

The Portfolio returned 14.96% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell Midcap^® Growth Index (the “Index”), returned 25.87%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Weak stock selection within the Financials, Healthcare and Consumer Discretionary sectors drove the Portfolio’s relative underperformance during the period. Sector allocation, a residual of the Portfolio’s bottom-up stock selection process, also underperformed, mainly due to an underweight in the Information Technology sector and overweight to the Healthcare and Materials sectors.

The top detractors included out-of-benchmark positions in Consumer Discretionary sector company, Chewy, Financials sector company, First Republic Bank and Healthcare sector company, United Therapeutics. Shares of online pet retailer Chewy, Inc. declined as customers switched to lower priced pet food amid high inflation and the company reported a modest decrease in active customers year-over-year. Shares of First Republic Bank fell sharply during the first quarter on fears a wave of banking failures could hit the regional lender, especially as officials considered providing additional support to allow the bank more time for balance sheet adjustments. The share price has bottomed out and not recovered. Shares of biotechnology company United Therapeutics declined after reporting fourth quarter 2022 and first quarter 2023 earnings missed consensus estimates.

Strong selection in the Energy sector, an underweight to the Consumer Staples sector and overweight to the Industrials sector contributed to the Portfolio’s relative performance. The top contributors included an overweight to Healthcare sector company, Apellis Pharmaceuticals, which advanced as the company reported strong third quarter 2023 revenue results for a new eye medication, Syfovre. Out-of-benchmark positions in Industrials sector companies, Builders FirstSource and Lennox International also contributed to relative performance. Builders FirstSource benefited as the homebuilder reported consecutive earnings above consensus estimates. The company has seen better-than-expected results in their manufactured products and windows, doors and millwork segments. Lennox International, an HVAC systems provider,

39

Mid Cap Growth Stock Portfolio (unaudited)

advanced after surpassing consensus earnings-per-share estimates over the last four quarters and raising full-year guidance.

PORTFOLIO MANAGER OUTLOOK

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

Our belief that business fundamentals will drive stock prices moving forward remains unchanged. While rate expectations have continued to drive market sentiment in the short-term, the valuation paradigm of negative real interest rates has changed dramatically. We are finding more opportunities in stable growth software companies. While growth will be harder to come by with higher costs of capital, the pace of technological change will continue to move forward and accelerate. In that context, we remain focused on finding businesses that can benefit from this change. We remain sensitive to cyclical demand risks for the companies we invest in, choosing to focus on those that have more control over their own destiny.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Mid Cap Growth Stock Portfolio	14.96%	10.00%	7.05%
Russell MidCap® Growth Index	25.87%	13.81%	10.57%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
NVR, Inc.	2.2%
Datadog, Inc. - Class A	2.1%
HubSpot, Inc.	2.1%
Fair Isaac Corp.	2.0%
Apellis Pharmaceuticals, Inc.	1.9%
WEX, Inc.	1.9%
Lennox International, Inc.	1.9%
MongoDB, Inc.	1.8%
Dynatrace, Inc.	1.8%
Inari Medical, Inc.	1.8%

Sector Allocation 12/31/23

Sector	% of Net Assets
Information Technology	22.0%
Health Care	21.5%
Industrials	20.4%
Consumer Discretionary	12.4%
Financials	11.6%
Energy	4.3%
Materials	2.4%
Communication Services	1.7%
Consumer Staples	1.5%
Real Estate	1.3%
Utilities	0.8%
Short-Term Investments & Other Net Assets	0.1%

Sector Allocation and Top 10 Holdings are subject to change.

40

Mid Cap Growth Stock Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (1.7%)
Cable One, Inc.		13,211		7,353
Pinterest, Inc. *		182,721		6,768
Roku, Inc. *		48,937		4,486
Total				18,607
Consumer Discretionary (12.4%)
BorgWarner, Inc.		114,944		4,121
CarMax, Inc. *		167,686		12,868
Chewy, Inc. *		244,852		5,786
Choice Hotels International, Inc.		90,914		10,301
Deckers Outdoor Corp. *		23,007		15,379
DraftKings, Inc. *		500,905		17,657
Floor & Decor Holdings, Inc. *		69,755		7,782
Hyatt Hotels Corp. - Class A		90,875		11,851
NVR, Inc. *		3,384		23,689
Valvoline, Inc. *		342,534		12,872
Visteon Corp. *		94,652		11,822
Total				134,128
Consumer Staples (1.5%)
BJ’s Wholesale Club
Holdings, Inc. *		107,191		7,145
Post Holdings, Inc. *		98,093		8,638
Total				15,783
Energy (4.3%)
Coterra Energy, Inc.		348,861		8,903
Marathon Oil Corp.		434,425		10,496
Ovintiv, Inc.		217,872		9,569
Targa Resources Corp.		207,196		17,999
Total				46,967
Financials (11.6%)
Credit Acceptance Corp. *		33,851		18,033
Hamilton Lane, Inc.		74,731		8,477
M&T Bank Corp.		36,927		5,062
Markel Corp. *		12,231		17,367
Morningstar, Inc.		5,359		1,534
Nuvei Corp.		529,635		13,908
Shift4 Payments, Inc. *		243,403		18,095
Tradeweb Markets, Inc.		151,493		13,768
W.R. Berkley Corp.		70,316		4,973
WEX, Inc. *		107,437		20,902
White Mountains Insurance Group, Ltd.		2,483		3,737
Total				125,856

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Health Care (21.5%)
Acadia Healthcare Co., Inc. *		112,919		8,781
Agilon Health, Inc. *		785,281		9,855
Alnylam Pharmaceuticals, Inc. *		50,992		9,760
Apellis Pharmaceuticals, Inc. *		351,632		21,049
Bio-Techne Corp.		145,752		11,246
Exact Sciences Corp. *		239,866		17,745
ICON PLC *		44,791		12,679
Inari Medical, Inc. *		291,850		18,947
Jazz Pharmaceuticals PLC *		88,633		10,902
Mettler-Toledo International, Inc. *		3,383		4,103
Molina Healthcare, Inc. *		33,933		12,260
Neurocrine Biosciences, Inc. *		103,550		13,644
PTC Therapeutics, Inc. *		374,066		10,309
Repligen Corp. *		49,670		8,931
Sarepta Therapeutics, Inc. *		105,067		10,132
Shockwave Medical, Inc. *		62,783		11,964
Ultragenyx Pharmaceutical, Inc. *		225,920		10,803
United Therapeutics Corp. *		64,762		14,241
Veeva Systems, Inc. - Class A *		77,238		14,870
Total				232,221
Industrials (20.4%)
Acuity Brands, Inc.		8,519		1,745
AMERCO		216,526		15,252
Axon Enterprise, Inc. *		70,622		18,244
Builders FirstSource, Inc. *		52,437		8,754
Ceridian HCM Holding, Inc. *		171,925		11,540
Expeditors International of Washington, Inc.		128,799		16,383
Fortive Corp.		154,778		11,396
Genpact, Ltd.		352,797		12,245
Graco, Inc.		159,092		13,803
IDEX Corp.		55,649		12,082
Ingersoll-Rand, Inc.		139,349		10,777
J.B. Hunt Transport Services, Inc.		62,630		12,510

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Knight-Swift Transportation Holdings, Inc.		147,662		8,513
Lennox International, Inc.		44,979		20,129
Lincoln Electric Holdings, Inc.		43,915		9,550
Robert Half International, Inc.		78,705		6,920
TransUnion		41,747		2,868
Watsco, Inc.		30,464		13,053
Westinghouse Air Brake Technologies Corp.		117,577		14,920
Total				220,684
Information Technology (22.0%)
ANSYS, Inc. *		37,295		13,534
CDW Corp.		38,454		8,741
CyberArk Software, Ltd. *		48,387		10,599
Datadog, Inc. - Class A *		186,451		22,631
Dynatrace, Inc. *		352,497		19,278
F5, Inc. *		31,701		5,674
Fair Isaac Corp. *		18,962		22,072
First Solar, Inc. *		31,637		5,450
Flex, Ltd. *		177,483		5,406
HubSpot, Inc. *		38,167		22,157
Informatica, Inc. *		559,159		15,875
Lattice Semiconductor Corp. *		47,647		3,287
MKS Instruments, Inc.		98,193		10,101
MongoDB, Inc. *		47,511		19,425
Monolithic Power Systems, Inc.		23,443		14,787
Onto Innovation, Inc. *		34,189		5,228
PTC, Inc. *		50,261		8,794
Rambus, Inc. *		98,224		6,704
Silicon Laboratories, Inc. *		21,518		2,846
Unity Software, Inc. *		87,060		3,560
VeriSign, Inc. *		57,952		11,936
Total				238,085
Materials (2.4%)
Ball Corp.		86,050		4,949
Celanese Corp.		34,383		5,342
Element Solutions, Inc.		229,375		5,308
Graphic Packaging Holding Co.		215,083		5,302
Silgan Holdings, Inc.		116,821		5,286
Total				26,187

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

41

Mid Cap Growth Stock Portfolio

 

Common Stocks (99.9%)	Shares/ Par +		Value $ (000’s)
Real Estate (1.3%)
Lamar Advertising Co. - Class A		87,757		9,327
Rexford Industrial Realty, Inc.		81,585		4,577
Total				13,904
Utilities (0.8%)
Atmos Energy Corp.		40,374		4,679
NiSource, Inc.		161,101		4,277
Total				8,956
Total Common Stocks (Cost: $906,899)				1,081,378
Total Investments (99.9%) (Cost: $906,899)@				1,081,378
Other Assets, Less Liabilities (0.1%)				596
Net Assets (100.0%)				1,081,974

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $911,837 and the net unrealized appreciation of investments based on that cost was $169,541 which is comprised of $223,079 aggregate gross unrealized appreciation and $53,538 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,081,378	$	—	$	—
Total Assets:	$	1,081,378	$	—	$	—

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

42

Index 400 Stock Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P MidCap 400® Index.	Invest in stocks that make up the S&P MidCap 400® Index, holding each stock in approximately the same proportion as its weighting in the Index.	$1.3 billion

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

The U.S. equity market climbed a wall of worry in 2023 - stock prices jumped double digits despite a year filled with extraordinary events that had the potential to give any investor pause, including the Silicon Valley Bank crisis, U.S. debt default fears, as well as geopolitical tensions in the Middle East. In the end, investors focused on the U.S.’s resilient economic growth, rapidly declining inflation reports, and the widely held expectation late in the year that the U.S. Federal Reserve would prove successful in soft landing the economy in 2024.

In this environment, large-cap stocks, as represented by the S&P 500^® Index, posted a return of 26.29%, outperforming the S&P MidCap 400^® and the S&P SmallCap 600^® Indices, which returned 16.44% and 16.05%, respectively. Meanwhile, the broader bond market, as represented by the Bloomberg^® U.S. Aggregate Index, returned 5.53%, while the Bloomberg^® U.S. Corporate High Yield Index returned 13.45%.

PORTFOLIO RESULTS

The Portfolio delivered a total return of 16.15% for the twelve months ended December 31, 2023, trailing the S&P MidCap 400^® Index (the “Index”), which returned 16.44%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) Portfolio performance slightly lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with the use of stock index futures contracts.

The Industrials sector contributed the most to the Portfolio’s return. Strength in the Industrials sector was driven by the machinery industry, which benefited from the incorporation of major advances in technology to improve productivity, leading to lower operating costs. The building products industry contributed as rising home prices increased the need for new construction. The construction surge also supported the Consumer Discretionary sector as companies in the specialty retail industry provided materials for new home construction.

The Information Technology sector also contributed meaningfully, benefiting from better-than-expected earnings growth, investor enthusiasm for corporate cost-cutting and optimism that artificial intelligence (AI) could lead to strong growth opportunities in technology and technology-related companies. The Materials sector also advanced, driven by the metals and mining industry as the shift to renewable energy increased demand for metals used in the transition, particularly those needed for electric batteries.

On the downside, the Utilities and Healthcare sectors detracted modestly from the Portfolio’s return for the reporting period. The Utilities sector is generally seen as a more defensive sector, typically benefiting from lower volatility returns and consistent dividend payments. However, as higher monetary policy rates pushed longer-dated U.S. Treasury yields to 15-year highs, investors favored the higher yields on these government issued securities. Weakness in the Healthcare sector was driven by falling share prices in the biotechnology industry, largely due to rising interest rates weakening these companies’ ability to borrow capital.

43

Index 400 Stock Portfolio (unaudited)

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Index 400 Stock Portfolio	16.15%	12.34%	8.99%
S&P MidCap 400® Index	16.44%	12.63%	9.27%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Deckers Outdoor Corp.	0.7%
Reliance Steel & Aluminum Co.	0.6%
Carlisle Cos., Inc.	0.6%
GoDaddy, Inc.	0.6%
Graco, Inc.	0.6%
Watsco, Inc.	0.6%
RPM International, Inc.	0.6%
Lennox International, Inc.	0.6%
WP Carey, Inc.	0.6%
Manhattan Associates, Inc.	0.5%

Sector Allocation 12/31/23

Sector	% of Net Assets
Industrials	21.0%
Financials	15.8%
Consumer Discretionary	15.7%
Information Technology	9.7%
Real Estate	7.9%
Health Care	7.7%
Materials	7.1%
Energy	5.0%
Consumer Staples	4.1%
Utilities	3.2%
Communication Services	1.7%
Short-Term Investments & Other Net Assets	1.0%
Governments	0.1%

Sector Allocation and Top 10 Holdings are subject to change.

44

Index 400 Stock Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (1.7%)
Cable One, Inc.		2,321		1,292
Frontier Communications Parent, Inc. *		112,520		2,851
Iridium Communications, Inc.		62,772		2,584
The New York Times Co. - Class A		83,035		4,068
Nexstar Media Group, Inc.		16,341		2,561
TEGNA, Inc.		99,930		1,529
TKO Group Holdings, Inc.		30,433		2,483
Ziff Davis, Inc. *		23,293		1,565
ZoomInfo Technologies, Inc. *		150,203		2,777
Total				21,710
Consumer Discretionary (15.7%)
Adient PLC *		47,277		1,719
Aramark		132,542		3,724
Autoliv, Inc.		37,994		4,187
AutoNation, Inc. *		13,168		1,978
Boyd Gaming Corp.		35,261		2,208
Brunswick Corp.		34,927		3,379
Burlington Stores, Inc. *		32,921		6,403
Capri Holdings, Ltd. *		59,009		2,965
Carter’s, Inc.		18,659		1,397
Choice Hotels International, Inc.		12,650		1,433
Churchill Downs, Inc.		34,451		4,649
Columbia Sportswear Co.		17,516		1,393
Crocs, Inc. *		30,727		2,870
Deckers Outdoor Corp. *		13,059		8,729
Dick’s Sporting Goods, Inc.		31,188		4,583
Five Below, Inc. *		28,257		6,023
Floor & Decor Holdings, Inc. *		54,059		6,031
Fox Factory Holding Corp. *		21,592		1,457
GameStop Corp. - Class A *		136,468		2,392
The Gap, Inc.		108,846		2,276
Gentex Corp.		118,522		3,871
The Goodyear Tire & Rubber Co. *		144,417		2,068
Graham Holdings Co. - Class B		1,819		1,267
Grand Canyon Education, Inc. *		14,978		1,978
H&R Block, Inc.		73,056		3,534
Harley-Davidson, Inc.		64,193		2,365

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Helen of Troy, Ltd. *		12,042		1,455
Hilton Grand Vacations, Inc. *		36,132		1,452
Hyatt Hotels Corp. - Class A		22,447		2,927
KB Home		38,816		2,424
Lear Corp.		29,550		4,173
Leggett & Platt, Inc.		67,853		1,776
Lithia Motors, Inc. - Class A		13,936		4,589
Macy’s, Inc.		138,800		2,793
Marriott Vacations Worldwide Corp.		16,723		1,420
Mattel, Inc. *		179,033		3,380
Murphy USA, Inc.		9,834		3,506
Nordstrom, Inc.		49,289		909
Ollie’s Bargain Outlet Holdings, Inc. *		31,246		2,371
Penn National Gaming, Inc. *		76,866		2,000
Penske Automotive Group, Inc.		9,846		1,580
Planet Fitness, Inc. *		43,344		3,164
Polaris, Inc.		26,911		2,550
PVH Corp.		30,667		3,745
RH *		7,867		2,293
Scientific Games Corp. - Class A *		45,676		3,750
Service Corp. International		74,962		5,131
Skechers USA, Inc. - Class A *		67,719		4,222
Taylor Morrison Home Corp. *		54,520		2,909
Tempur Sealy International, Inc.		87,379		4,454
Texas Roadhouse, Inc.		33,940		4,149
Thor Industries, Inc.		27,081		3,202
Toll Brothers, Inc.		54,569		5,609
TopBuild Corp. *		16,120		6,033
Travel + Leisure Co.		36,716		1,435
Under Armour, Inc. - Class A *		96,260		846
Under Armour, Inc. - Class C *		97,315		813
Vail Resorts, Inc.		19,330		4,126
Valvoline, Inc. *		70,581		2,652
Visteon Corp. *		14,079		1,758
The Wendy’s Co.		84,649		1,649
Williams-Sonoma, Inc.		32,568		6,572
Wingstop, Inc.		14,926		3,830
Wyndham Hotels & Resorts, Inc.		42,113		3,386

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
YETI Holdings, Inc. *		44,162		2,287
Total				202,199
Consumer Staples (4.1%)
BellRing Brands, Inc. *		66,586		3,691
BJ’s Wholesale Club Holdings, Inc. *		67,931		4,528
The Boston Beer Co., Inc. - Class A *		4,774		1,650
Casey’s General Stores, Inc.		18,917		5,197
Celsius Holdings, Inc. *		75,210		4,100
Coca-Cola Consolidated, Inc.		2,386		2,215
Coty, Inc. - Class A *		189,898		2,358
Darling Ingredients, Inc. *		80,937		4,034
Flowers Foods, Inc.		97,738		2,200
Grocery Outlet Holding Corp. *		50,343		1,357
Ingredion, Inc.		33,131		3,596
Lancaster Colony Corp.		10,289		1,712
Performance Food Group Co. *		78,954		5,460
Pilgrim’s Pride Corp. *		20,484		567
Post Holdings, Inc. *		25,703		2,263
Sprouts Farmers Market, Inc. *		51,561		2,481
US Foods Holding Corp. *		114,833		5,215
Total				52,624
Energy (5.0%)
Antero Midstream Corp.		173,331		2,172
Antero Resources Corp. *		143,556		3,256
ChampionX Corp.		98,561		2,879
Chesapeake Energy Corp.		56,503		4,347
Civitas Resources, Inc.		43,401		2,968
CNX Resources Corp. *		80,354		1,607
DT Midstream, Inc.		49,279		2,701
Equitrans Midstream Corp.		220,661		2,246
HF Sinclair Corp.		79,458		4,416
Matador Resources Co.		56,339		3,203
Murphy Oil Corp.		74,262		3,168
NOV, Inc.		199,897		4,054
Oasis Petroleum, Inc.		20,929		3,479
Ovintiv, Inc.		128,749		5,655
PBF Energy, Inc.		55,172		2,425
Permian Resources Corp.		210,915		2,868

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

45

Index 400 Stock Portfolio

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Energy continued
Range Resources Corp.		122,666		3,734
Southwestern Energy Co. *		559,748		3,666
Valaris, Ltd. *		31,750		2,177
Weatherford International PLC *		36,676		3,588
Total				64,609
Financials (15.8%)
Affiliated Managers Group, Inc.		17,163		2,599
Ally Financial, Inc.		137,793		4,812
American Financial Group, Inc.		33,149		3,941
Annaly Capital Management, Inc.		253,544		4,911
Associated Banc-Corp.		74,983		1,604
Bank OZK		53,233		2,653
Brighthouse Financial, Inc. *		32,424		1,716
Cadence Bank		92,924		2,750
The Carlyle Group, Inc.		110,028		4,477
CNO Financial Group, Inc.		56,971		1,589
Columbia Banking System, Inc.		105,985		2,828
Commerce Bancshares, Inc.		60,208		3,216
Cullen/Frost Bankers, Inc.		32,553		3,532
East West Bancorp, Inc.		71,570		5,149
Equitable Holdings, Inc.		161,367		5,373
Erie Indemnity Co.		12,666		4,242
Essent Group, Ltd.		54,131		2,855
Euronet Worldwide, Inc. *		22,218		2,255
Evercore, Inc. - Class A		17,559		3,003
F.N.B. Corp.		182,077		2,507
Federated Hermes, Inc.		43,692		1,479
First American Financial Corp.		52,385		3,376
First Financial Bankshares, Inc.		65,389		1,981
First Horizon Corp.		283,677		4,017
FirstCash Holdings, Inc.		18,715		2,028
FNF Group		131,317		6,700
Glacier Bancorp, Inc.		56,416		2,331
Hancock Whitney Corp.		43,801		2,128
The Hanover Insurance Group, Inc.		18,169		2,206
Home BancShares, Inc.		95,217		2,412
Houlihan Lokey, Inc.		26,188		3,140
Interactive Brokers Group, Inc. - Class A		54,320		4,503
International Bancshares Corp.		27,199		1,477

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Financials continued
Janus Henderson Group PLC		66,963		2,019
Jefferies Financial Group, Inc.		85,333		3,448
Kemper Corp.		30,687		1,494
Kinsale Capital Group, Inc.		11,177		3,743
MGIC Investment Corp.		140,513		2,710
Morningstar, Inc.		13,221		3,784
New York Community Bancorp, Inc.		367,026		3,755
Old National Bancorp		148,754		2,512
Old Republic International Corp.		132,467		3,895
Pinnacle Financial Partners, Inc.		39,001		3,402
Primerica, Inc.		17,773		3,657
Prosperity Bancshares, Inc.		47,632		3,226
Reinsurance Group of America, Inc.		33,414		5,406
RenaissanceRe Holdings, Ltd.		26,641		5,222
RLI Corp.		20,320		2,705
SEI Investments Co.		50,670		3,220
Selective Insurance Group, Inc.		30,796		3,064
SLM Corp.		115,063		2,200
South State Corp.		38,635		3,263
Starwood Property Trust, Inc.		151,280		3,180
Stifel Financial Corp.		51,699		3,575
Synovus Financial Corp.		74,159		2,792
Texas Capital Bancshares, Inc. *		24,466		1,581
UMB Financial Corp.		22,055		1,843
United Bankshares, Inc.		68,256		2,563
Unum Group		93,002		4,206
Valley National Bancorp		216,945		2,356
Voya Financial, Inc.		53,043		3,870
Webster Financial Corp.		87,129		4,423
WEX, Inc. *		21,718		4,225
Wintrust Financial Corp.		31,106		2,885
Total				204,014
Health Care (7.7%)
Acadia Healthcare Co., Inc. *		46,757		3,636
Amedisys, Inc. *		16,630		1,581
Arrowhead Pharmaceuticals, Inc. *		54,629		1,672
Azenta, Inc. *		30,393		1,980
Bruker Corp.		46,979		3,452
Chemed Corp.		7,650		4,473

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Doximity, Inc. *		59,889		1,679
Encompass Health Corp.		50,831		3,391
Enovis Corp. *		25,338		1,419
Envista Holdings Corp. *		86,693		2,086
Exelixis, Inc. *		157,715		3,784
Globus Medical, Inc. - Class A *		58,425		3,113
Haemonetics Corp. *		25,798		2,206
Halozyme Therapeutics, Inc. *		67,083		2,479
HealthEquity, Inc. *		43,453		2,881
Inari Medical, Inc. *		26,013		1,689
Integra LifeSciences Holdings Corp. *		34,391		1,498
Jazz Pharmaceuticals PLC *		32,016		3,938
Lantheus Holdings, Inc. *		34,806		2,158
LivaNova PLC *		27,462		1,421
Masimo Corp. *		22,565		2,645
Medpace Holdings, Inc. *		11,832		3,627
Neogen Corp. *		100,226		2,015
Neurocrine Biosciences, Inc. *		49,840		6,567
Option Care Health, Inc. *		89,760		3,024
Patterson Cos., Inc.		43,369		1,234
Penumbra, Inc. *		19,573		4,923
Perrigo Co. PLC		68,903		2,217
Progyny, Inc. *		42,299		1,573
QuidelOrtho Corp. *		25,169		1,855
R1 RCM, Inc. *		100,353		1,061
Repligen Corp. *		26,335		4,735
Shockwave Medical, Inc. *		18,713		3,566
Sotera Health Co. *		50,319		848
Tenet Healthcare Corp. *		51,550		3,896
United Therapeutics Corp. *		23,815		5,237
Total				99,559
Industrials (21.0%)
Acuity Brands, Inc.		15,688		3,213
Advanced Drainage Systems, Inc.		34,777		4,891
AECOM		70,399		6,507
AGCO Corp.		31,556		3,831
ASGN, Inc. *		23,932		2,302
Avis Budget Group, Inc.		9,366		1,660
The Brink’s Co.		22,855		2,010
BWX Technologies, Inc.		46,322		3,554
CACI International, Inc. - Class A *		11,307		3,662
Carlisle Cos., Inc.		24,704		7,718
Chart Industries, Inc. *		21,354		2,911

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

46

Index 400 Stock Portfolio

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Clean Harbors, Inc. *		25,574		4,463
Comfort Systems USA, Inc.		18,120		3,727
Concentrix Corp.		23,983		2,355
Core & Main, Inc. - Class A *		69,348		2,802
Crane NXT Co.		24,841		2,935
Curtiss-Wright Corp.		19,387		4,319
Donaldson Co., Inc.		61,315		4,007
EMCOR Group, Inc.		23,860		5,140
EnerSys		20,482		2,068
ESAB Corp.		28,675		2,484
ExlService Holdings, Inc. *		83,756		2,584
Exponent, Inc.		25,688		2,262
Flowserve Corp.		66,691		2,749
Fluor Corp. *		86,405		3,384
Fortune Brands Home & Security, Inc.		63,975		4,871
FTI Consulting, Inc. *		18,023		3,589
GATX Corp.		18,011		2,165
Genpact, Ltd.		84,712		2,940
Graco, Inc.		85,695		7,435
GXO Logistics, Inc. *		60,399		3,694
Hertz Global Holdings, Inc. *		66,387		690
Hexcel Corp.		42,693		3,149
Insperity, Inc.		17,965		2,106
ITT, Inc.		41,686		4,974
KBR, Inc.		68,517		3,796
Kirby Corp. *		30,063		2,359
Knight-Swift Transportation Holdings, Inc.		81,851		4,719
Landstar System, Inc.		18,278		3,540
Lennox International, Inc.		16,231		7,264
Lincoln Electric Holdings, Inc.		29,066		6,321
ManpowerGroup, Inc.		24,759		1,968
MasTec, Inc. *		30,752		2,329
MAXIMUS, Inc.		30,772		2,581
MDU Resources Group, Inc.		103,000		2,039
The Middleby Corp. *		27,158		3,997
MSA Safety, Inc.		18,786		3,172
MSC Industrial Direct Co., Inc. - Class A		23,544		2,384
nVent Electric PLC		84,150		4,972
Oshkosh Corp.		33,177		3,597
Owens Corning, Inc.		45,096		6,685
Paylocity Holding Corp. *		21,942		3,617
RBC Bearings, Inc. *		14,753		4,203
Regal Rexnord Corp.		33,658		4,982
Ryder System, Inc.		22,501		2,589
Saia, Inc. *		13,467		5,901
Science Applications International Corp.		26,871		3,341

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Sensata Technologies Holding PLC		76,934		2,890
Simpson Manufacturing Co., Inc.		21,685		4,293
Stericycle, Inc. *		47,065		2,333
Sunrun, Inc. *		110,478		2,169
Terex Corp.		34,043		1,956
Tetra Tech, Inc.		27,036		4,513
The Timken Co.		33,033		2,648
The Toro Co.		52,729		5,061
Trex Co., Inc. *		55,128		4,564
UFP Industries, Inc.		31,314		3,931
Valmont Industries, Inc.		10,611		2,478
Watsco, Inc.		17,189		7,365
Watts Water Technologies, Inc. - Class A		13,863		2,888
Werner Enterprises, Inc.		32,300		1,369
WESCO International, Inc.		22,264		3,871
Woodward, Inc.		30,677		4,176
XPO Logistics, Inc. *		58,865		5,156
Total				271,168
Information Technology (9.7%)
Allegro Microsystems, Inc. *		36,206		1,096
Amkor Technology, Inc.		52,633		1,751
Arrow Electronics, Inc. *		27,504		3,362
Aspen Technology, Inc. *		14,220		3,131
Avnet, Inc.		45,820		2,309
Belden, Inc.		21,136		1,633
Blackbaud, Inc. *		21,931		1,902
Calix, Inc. *		29,707		1,298
Ciena Corp. *		75,040		3,378
Cirrus Logic, Inc. *		27,338		2,274
Cognex Corp.		87,342		3,646
Coherent Corp. *		66,848		2,910
CommVault Systems, Inc. *		22,137		1,768
Crane Holdings Co.		24,607		1,399
Dolby Laboratories, Inc.		30,141		2,598
Dropbox, Inc. *		130,002		3,833
Dynatrace, Inc. *		120,952		6,615
GoDaddy, Inc. *		71,459		7,586
IPG Photonics Corp. *		14,983		1,626
Kyndryl Holdings, Inc. *		116,601		2,423
Lattice Semiconductor Corp. *		70,027		4,831
Littelfuse, Inc.		12,637		3,381
Lumentum Holdings, Inc. *		33,960		1,780
MACOM Technology Solutions Holdings, Inc. *		27,449		2,551

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Manhattan Associates, Inc. *		31,277		6,735
MKS Instruments, Inc.		31,925		3,284
Novanta, Inc. *		18,201		3,065
Onto Innovation, Inc. *		24,922		3,811
Power Integrations, Inc.		28,756		2,361
Qualys, Inc. *		18,669		3,664
Rambus, Inc. *		54,550		3,723
Silicon Laboratories, Inc. *		16,102		2,130
Super Micro Computer, Inc. *		23,538		6,691
Synaptics, Inc. *		19,970		2,278
TD SYNNEX Corp.		26,003		2,798
Teradata Corp. *		49,583		2,157
Universal Display Corp.		22,111		4,229
Vishay Intertechnology, Inc.		64,007		1,534
Vontier Corp.		78,299		2,705
The Western Union Co.		184,875		2,204
Wolfspeed, Inc. *		63,528		2,764
Total				125,214
Materials (7.1%)
Alcoa Corp.		90,685		3,083
AptarGroup, Inc.		33,389		4,128
Ashland Global Holdings, Inc.		25,966		2,189
Avient Corp.		46,413		1,929
Axalta Coating Systems, Ltd. *		111,613		3,791
Berry Global Group, Inc.		60,009		4,044
Cabot Corp.		28,002		2,338
The Chemours Co.		75,277		2,374
Cleveland-Cliffs, Inc. *		256,012		5,228
Commercial Metals Co.		59,374		2,971
Crown Holdings, Inc.		61,234		5,639
Eagle Materials, Inc.		17,696		3,589
Graphic Packaging Holding Co.		155,465		3,832
Greif, Inc. - Class A		12,954		850
Knife River Corp. *		28,808		1,907
Livent Corp. *		91,093		1,638
Louisiana-Pacific Corp.		32,441		2,298
MP Materials Corp. *		73,329		1,456
NewMarket Corp.		3,518		1,920
Olin Corp.		62,136		3,352
Reliance Steel & Aluminum Co.		29,160		8,155
Royal Gold, Inc.		33,356		4,035
RPM International, Inc.		65,436		7,305
The Scotts Miracle-Gro Co.		21,141		1,348
Silgan Holdings, Inc.		41,061		1,858
Sonoco Products Co.		49,560		2,769
United States Steel Corp.		113,219		5,508

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

47

Index 400 Stock Portfolio

 

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Materials continued
Westlake Corp.		16,262		2,276
Total				91,810
Real Estate (7.9%)
Agree Realty Corp.		50,894		3,204
Apartment Income REIT Corp.		74,624		2,592
Brixmor Property Group, Inc.		152,467		3,548
Corporate Office Properties Trust		57,334		1,470
Cousins Properties, Inc.		76,662		1,867
CubeSmart LP		114,066		5,287
EastGroup Properties, Inc.		23,495		4,312
EPR Properties		38,342		1,858
Equity LifeStyle Properties, Inc.		94,596		6,673
First Industrial Realty Trust, Inc.		67,123		3,535
Gaming and Leisure Properties, Inc.		135,380		6,681
Healthcare Realty Trust, Inc.		193,061		3,326
Independence Realty Trust, Inc.		114,328		1,749
Jones Lang LaSalle, Inc. *		24,113		4,554
Kilroy Realty Corp.		54,145		2,157
Kite Realty Group Trust		111,472		2,548
Lamar Advertising Co. - Class A		44,434		4,722
Medical Properties Trust, Inc.		304,944		1,497
National Retail Properties, Inc.		92,526		3,988
National Storage Affiliates Trust		39,106		1,622
Omega Healthcare Investors, Inc.		124,323		3,812
Park Hotels & Resorts, Inc.		106,372		1,628
Physicians Realty Trust		121,484		1,617
PotlatchDeltic Corp.		40,386		1,983
Rayonier, Inc.		69,419		2,319
Rexford Industrial Realty, Inc.		107,024		6,004
Sabra Health Care REIT, Inc.		117,791		1,681
Spirit Realty Capital, Inc.		71,810		3,137
STAG Industrial, Inc.		92,101		3,616
Vornado Realty Trust		81,428		2,300
WP Carey, Inc.		110,922		7,189
Total				102,476

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Utilities (3.2%)
ALLETE, Inc.		29,254		1,789
Black Hills Corp.		34,590		1,866
Essential Utilities, Inc.		127,610		4,766
IDACORP, Inc.		25,626		2,520
National Fuel Gas Co.		46,460		2,331
New Jersey Resources Corp.		49,367		2,201
NorthWestern Corp.		31,245		1,590
OGE Energy Corp.		101,589		3,548
ONE Gas, Inc.		28,007		1,785
Ormat Technologies, Inc.		27,323		2,071
PNM Resources, Inc.		43,387		1,805
Portland General Electric Co.		51,164		2,217
Southwest Gas Holdings, Inc.		30,354		1,923
Spire, Inc.		26,798		1,671
UGI Corp.		106,434		2,618
Vistra Corp.		170,643		6,573
Total				41,274
Total Common Stocks
(Cost: $938,141)				1,276,657
Short-Term
Investments (0.1%)
Governments (0.1%)
US Treasury 0.000%, 4/11/24 ß		865,000		852
Total				852
Total Short-Term Investments  (Cost: $852)				852
Total Investments (99.0%)
(Cost: $938,993)@				1,277,509
Other Assets, Less
Liabilities (1.0%)				13,305
Net Assets (100.0%)				1,290,814

  

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

48

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		5		52	3/24	$	14,609	$	465	$	(173)
										$	465	$	(173)

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

$

–

$

–

$

–

$

–

$

(173

)

$

(173

)

$

–

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

* Non income producing

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

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $940,257 and the net unrealized appreciation of investments based on that cost was $337,717 which is comprised of $396,525 aggregate gross unrealized appreciation and $58,808 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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		$	1,276,657	$	—	$	—
Short-Term Investments			—		852		—
Other Financial Instruments^
Futures			465		—		—
Total Assets:		$	1,277,122	$	852	$	—

^ 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.

49

Mid Cap Value Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term capital growth. Current income is a secondary objective.	Invest primarily in equity securities of mid-sized companies that are determined to be undervalued.	$666 million

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

U.S. equity markets ended the year higher. Stocks rose in the first half of 2023 as economic growth remained relatively resilient despite higher interest rates, and investors hoped the U.S. Federal Reserve (the “Fed”) would slow or pause its rate-hike campaign. Stocks retreated in the third quarter, however, as stubbornly high inflation raised expectations for interest rates to remain higher for longer than previously expected. Stocks rallied in the fourth quarter as moderating inflation spurred renewed hopes that the Fed would stop increasing rates. Economic growth and corporate earnings also remained relatively resilient. Mid-cap stocks lagged large-cap stocks but outperformed small-cap stocks, as measured by the Russell Indices. Value stocks underperformed growth for the twelve-month period.

PORTFOLIO RESULTS

The Portfolio returned 6.26% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell MidCap^® Value Index (the “Index”), returned 12.71%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Security selection and an underweight in the Consumer Discretionary sector detracted from the Portfolio’s relative return. The Portfolio did not own several benchmark stocks in the specialty retail industry, which weighed on the Portfolio’s performance. A position in automotive replacement parts retailer Advance Auto Parts underperformed due to a recent quarterly earnings miss and guidance reduction. The company has been forced to raise prices less than product cost inflation in its commercial channel as competitors have become more promotional.

In the Financials sector, stock selection in the capital markets industry hindered the Portfolio’s performance due in part to a lack of exposure to stocks that were strong performers for the market. Conversely, lack of exposure to First Republic Bank supported performance. In general, bank stocks underperformed amid the failure of two mid-cap banks in the first quarter. First Republic Bank was also pressured by near-term liquidity fears associated with large unrealized losses in its relatively longer-duration assets.

In the Consumer Staples sector, shares of packaged food producer Conagra Brands were pressured as investors shifted toward less defensive sectors. Additionally, investors became concerned about consumers shifting to store brands to save money and about pushback on future price increases.

On the upside, selection in the Materials sector contributed to the Portfolio’s performance, particularly due to not owning several benchmark companies in the chemicals industry. Stock selection and an underweight in the Energy sector also contributed to relative performance.

Stock selection in the building products industry also contributed, notably Cie de Saint-Gobain, a global diversified building products manufacturer with notable exposure to Europe. Its shares outperformed early in the period as fears of an energy crisis in Europe eased due to a much warmer-than-expected winter. The improved global economic outlook later in the year also buoyed the stock.

PORTFOLIO MANAGER OUTLOOK

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

50

Mid Cap Value Portfolio (unaudited)

We seek to invest in companies where we believe the valuation does not reflect the quality and normal earnings power of the company. Our process is based on individual security selection, but broad themes have emerged: higher quality stocks, attractive valuations in the Healthcare sector and limited opportunities in the Consumer Discretionary sector. We continue to focus on companies that we view as higher quality with stable revenues and profits, low indebtedness, stable cash flows and predictable business models that are less sensitive to economic conditions.

Our research has led us to several Healthcare sector stocks that we think offer compelling valuations and risk/reward profiles. We consider Healthcare to be less cyclical because the economy’s performance tends to have less impact on demand.

Finally, we have identified few high quality companies in the Consumer Discretionary sector with durable business models. Additionally, with consumers facing economic pressures like inflation and diminishing personal savings, we expect a decline in discretionary spending.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Mid Cap Value Portfolio	6.26%	11.21%	8.93%
Russell MidCap® Value Index	12.71%	11.16%	8.26%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Zimmer Biomet Holdings, Inc.	3.1%
Conagra Brands, Inc.	2.4%
The Allstate Corp.	2.3%
Henry Schein, Inc.	2.3%
Northern Trust Corp.	2.2%
The Bank of New York Mellon Corp.	2.2%
Quest Diagnostics, Inc.	1.9%
Enterprise Products Partners LP	1.9%
Norfolk Southern Corp.	1.8%
Koninklijke Ahold Delhaize NV	1.8%

Sector Allocation 12/31/23

Sector	% of Net Assets
Industrials	15.8%
Financials	15.6%
Health Care	14.9%
Utilities	11.3%
Consumer Staples	10.5%
Real Estate	7.6%
Information Technology	6.7%
Energy	5.0%
Materials	4.3%
Consumer Discretionary	3.6%
Communication Services	2.6%
Short-Term Investments & Other Net Assets	2.1%

Sector Allocation and Top 10 Holdings are subject to change.

51

Mid Cap Value Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (97.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.6%)
BCE, Inc.		140,428		5,529
Fox Corp. - Class B		262,130		7,248
Omnicom Group, Inc.		51,609		4,465
Total				17,242
Consumer Discretionary (3.6%)
Aptiv PLC *		57,241		5,136
BorgWarner, Inc.		194,619		6,977
Compagnie Generale des Etablissements Michelin		116,741		4,195
The Interpublic Group of Companies, Inc.		234,977		7,669
Total				23,977
Consumer Staples (10.5%)
Conagra Brands, Inc.		552,091		15,823
Dollar Tree, Inc. *		81,988		11,646
General Mills, Inc.		105,741		6,888
Heineken NV		26,755		2,722
Henkel AG & Co. KGaA - Preference Shares		66,358		5,337
Kenvue, Inc.		149,393		3,217
Kimberly-Clark Corp.		97,902		11,896
Koninklijke Ahold Delhaize NV		416,670		11,964
Total				69,493
Energy (5.0%)
Baker Hughes		138,330		4,728
Diamondback Energy, Inc.		30,653		4,754
Enterprise Products Partners LP		474,870		12,513
EQT Corp.		120,023		4,640
Occidental Petroleum Corp.		115,181		6,877
Total				33,512
Financials (15.6%)
Aflac, Inc.		45,691		3,770
The Allstate Corp.		108,386		15,172
The Bank of New York Mellon Corp.		274,503		14,288
Commerce Bancshares, Inc.		73,812		3,942
First Hawaiian, Inc.		161,883		3,701
The Hanover Insurance Group, Inc.		39,970		4,853
Northern Trust Corp.		170,435		14,381
Prosperity Bancshares, Inc.		42,262		2,862
Reinsurance Group of America, Inc.		60,163		9,733
T. Rowe Price Group, Inc.		83,939		9,039

Common Stocks (97.9%)	Shares/ Par +		Value $ (000’s)
Financials continued
Truist Financial Corp.		220,158		8,128
U.S. Bancorp		66,787		2,891
Westamerica Bancorporation		56,972		3,214
Willis Towers Watson PLC		32,447		7,826
Total				103,800
Health Care (14.9%)
AmerisourceBergen Corp.		5,938		1,219
Becton Dickinson and Co.		15,326		3,737
Cardinal Health, Inc.		66,913		6,745
Centene Corp. *		61,706		4,579
DENTSPLY SIRONA, Inc.		122,951		4,376
Envista Holdings Corp. *		189,678		4,564
Henry Schein, Inc. *		198,263		15,010
Hologic, Inc. *		72,847		5,205
Laboratory Corp. of America Holdings		38,311		8,708
Quest Diagnostics, Inc.		92,784		12,793
Universal Health Services, Inc. - Class B		76,018		11,588
Zimmer Biomet Holdings, Inc.		169,670		20,649
Total				99,173
Industrials (15.8%)
Beacon Roofing
Supply, Inc. *		78,579		6,838
Bunzl PLC		201,369		8,174
Cie de Saint-Gobain		82,572		6,106
Cummins, Inc.		16,780		4,020
Emerson Electric Co.		113,782		11,074
General Dynamics Corp.		13,071		3,394
Heartland Express, Inc.		279,335		3,983
Huntington Ingalls Industries, Inc.		35,537		9,227
IMI PLC		122,262		2,617
Johnson Controls International PLC		80,146		4,620
MSC Industrial Direct Co., Inc. - Class A		56,091		5,680
Norfolk Southern Corp.		51,411		12,152
Oshkosh Corp.		63,026		6,833
Republic Services, Inc.		20,910		3,448
Southwest Airlines Co.		331,355		9,570
VINCI SA		60,806		7,637
Total				105,373

Common Stocks (97.9%)	Shares/ Par +		Value $ (000’s)
Information Technology (6.7%)
Amdocs, Ltd.		96,316		8,465
Corning, Inc.		74,319		2,263
Electronic Arts, Inc.		19,605		2,682
F5, Inc. *		47,104		8,431
HP, Inc.		216,266		6,508
Juniper Networks, Inc.		183,350		5,405
TE Connectivity, Ltd.		52,558		7,384
Teradyne, Inc.		29,297		3,179
Total				44,317
Materials (4.3%)
Akzo Nobel NV		100,236		8,282
Amcor PLC		917,408		8,844
Packaging Corp. of America		44,635		7,272
Sonoco Products Co.		78,975		4,412
Total				28,810
Real Estate (7.6%)
Essex Property Trust, Inc.		33,430		8,289
Healthpeak Properties, Inc.		410,678		8,131
Public Storage		26,254		8,007
Realty Income Corp.		186,964		10,736
Regency Centers Corp.		125,523		8,410
VICI Properties, Inc.		137,201		4,374
WP Carey, Inc.		37,895		2,456
Total				50,403
Utilities (11.3%)
Atmos Energy Corp.		13,581		1,574
CMS Energy Corp.		101,022		5,866
Duke Energy Corp.		97,661		9,477
Edison International		130,864		9,355
Evergy, Inc.		136,118		7,105
Eversource Energy		104,658		6,460
NorthWestern Corp.		207,862		10,578
ONE Gas, Inc.		53,605		3,416
Pinnacle West Capital Corp.		73,188		5,258
Spire, Inc.		171,737		10,706
WEC Energy Group, Inc.		66,875		5,629
Total				75,424
Total Common Stocks (Cost: $645,869)				651,524
Total Investments (97.9%) (Cost: $645,869)@				651,524
Other Assets, Less Liabilities (2.1%)				14,019
Net Assets (100.0%)				665,543

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

52

Mid Cap 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	Bank of America NA	CAD		6,141		4,640		3/28/24	$	—	$	(49)	$	(49)
Sell	Bank of America NA	EUR		35,928		39,798		3/28/24		—		(389)		(389)
Sell	Goldman Sachs International	GBP		7,366		9,393		3/28/24		—		(56)		(56)
									$	—	$	(494)	$	(494)

	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	—		—		—	$	(494)		—		—	$	(494)

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $648,196 and the net unrealized appreciation of investments based on that cost was $2,834 which is comprised of $41,425 aggregate gross unrealized appreciation and $38,591 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	19,782	$	4,195		$	—
Consumer Staples		49,470		20,023			—
Industrials		80,839		24,534			—
Materials		20,528		8,282			—
All Others		423,871		—			—
Total Assets:	$	594,490	$	57,034		$	—
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		—		(494	)		—
Total Liabilities:	$	—	$	(494	)	$	—

^ 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.

53

Small Cap Growth Stock Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks of small capitalization companies.	$687 million

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

U.S. equities rose during the twelve months ended December 31, 2023 amid easing inflation, optimism for lower interest rates, strong performances in select mega-capitalization technology companies and steady Gross Domestic Product growth. Early in 2023, the collapse of two U.S. regional banks prompted swift policy actions by federal regulators, which helped stabilize liquidity and stem the potential for broader contagion. The U.S. Federal Reserve (the “Fed”) slowed its pace of policy tightening. Shares of a narrow group of mega-capitalization technology companies surged, helping growth stocks significantly outperform their value counterparts. These companies benefited from investor optimism about earnings potential and growth prospects and exuberance surrounding generative artificial intelligence (“AI”). U.S. equities fell in the third quarter, pressured by rising U.S. Treasury yields amid views that the Fed would keep interest rates elevated for a prolonged period. In the fourth quarter, U.S. equities rallied, registering their largest quarterly return in three years as gains broadened beyond those select mega-capitalization stocks that dominated the stock market’s earlier performance. A rapid descent in inflation prompted the Fed to pivot, with policymakers anticipating 75 bps of interest rate cuts in 2024.

PORTFOLIO RESULTS

The Portfolio returned 18.36% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell 2000^® Growth Index (the “Index”) returned 18.66%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Security selection detracted from the Portfolio’s relative return, driven by weak selection in the Healthcare, Industrials and Communication Services sectors. The top relative detractors included overweight positions in Healthcare sector companies, Ventyx Biosciences and Aclaris Therapeutics. Shares of Ventyx Biosciences, a clinical-stage biopharmaceutical company, declined after the company announced a decision to halt further development of a new psoriasis treatment following disappointing results for its phase-two trial. Aclaris Therapeutics fell, as the company announced disappointing top-line results from its Phase 2b study of a treatment for rheumatoid arthritis and noting the trial will be discontinued. An out-of-benchmark position in Financials sector company, Western Alliance Bancorporation also weighed on relative performance. The company came under pressure after the failure of Silicon Valley Bank caused concerns that other banks would need to sell long-term assets at steep losses to meet liquidity needs.

Strong sector allocation, particularly a lack of exposure to the Utilities sector, an underweight allocation to the Healthcare sector and an overweight allocation to the Industrials sector contributed to the Portfolio’s relative performance. Top contributors to relative performance were overweight positions in Healthcare sector company ImmunoGen, Consumer Discretionary sector company Wingstop and Consumer Staples sector company Sovos Brands. ImmunoGen advanced as the company reported strong topline results from a Phase 3 study of their ovarian cancer drug, Elahere. Wingstop contributed as the company reported third-quarter results that beat expectations. Shares of Sovos Brands, a packaged-food company, rallied after Campbell Soup Company announced it would be acquiring the company for $2.7 billion in cash.

PORTFOLIO MANAGER OUTLOOK

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

With increasingly dovish commentary and the Fed indicating it will cut rates several times in 2024, we believe the U.S. market has now fully accepted that the dramatic rate cycle which began in March 2022 has come to an end. There has been constructive evidence that inflationary trends are in fact moving downward toward the Fed’s stated goal of 2%, yet what remains to be seen is the precise onset, cadence and true depth of how interest rate cuts will be enacted.

54

Small Cap Growth Stock Portfolio (unaudited)

An easing in the cost of capital for companies and consumers alike should be constructive for the U.S. economy and could lead to an improved housing market, increased mergers and acquisitions and increasing levels of investment. This should benefit more rate-sensitive sectors, including Financials. Furthermore, robust and continued innovation within the Information Technology sector promises to provide opportunities increased productivity within the U.S. workforce as companies continue to explore the burgeoning capabilities promised by AI-based technology.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Small Cap Growth Stock Portfolio	18.36%	9.80%	7.68%
Russell 2000® Growth Index	18.66%	9.22%	7.16%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
e.l.f. Beauty, Inc.	1.5%
Fabrinet	1.4%
iShares Russell 2000 Growth ETF	1.4%
Applied Industrial Technologies, Inc.	1.4%
Ensign Group, Inc.	1.4%
Verra Mobility Corp.	1.3%
Cabot Corp.	1.3%
Visteon Corp.	1.3%
FTAI Aviation, Ltd.	1.2%
Blackbaud, Inc.	1.2%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Information Technology	23.2%
	Health Care	22.1%
	Industrials	19.9%
	Consumer Discretionary	12.1%
	Financials	6.1%
	Energy	4.4%
	Materials	4.2%
	Consumer Staples	3.0%
	Real Estate	1.6%
	Communication Services	1.5%
	Investment Companies	1.4%
	Short-Term Investments & Other Net Assets	0.5%

Sector Allocation and Top 10 Holdings are subject to change.

55

Small Cap Growth Stock Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Communication Services (1.5%)
Bumble, Inc. *		118,645		1,749
Eventbrite, Inc. *		397,813		3,326
ZoomInfo Technologies, Inc. *		290,628		5,373
Total				10,448
Consumer Discretionary (12.1%)
Boot Barn Holdings, Inc. *		58,460		4,487
Burlington Stores, Inc. *		21,044		4,093
Century Communities, Inc.		60,014		5,470
Chewy, Inc. *		169,845		4,013
Crocs, Inc. *		29,674		2,772
Duolingo, Inc. *		23,731		5,383
Etsy, Inc. *		57,131		4,631
European Wax Center, Inc. *		278,961		3,791
Patrick Industries, Inc.		24,462		2,455
PVH Corp.		19,340		2,362
SharkNinja, Inc.		111,010		5,680
Texas Roadhouse, Inc.		47,653		5,825
VF Corp.		237,188		4,459
Visteon Corp. *		69,602		8,693
Wingstop, Inc.		21,763		5,584
Wyndham Hotels & Resorts, Inc.		91,884		7,388
YETI Holdings, Inc. *		110,795		5,737
Total				82,823
Consumer Staples (3.0%)
The Boston Beer Co., Inc. - Class A *		11,381		3,933
e.l.f. Beauty, Inc. *		72,134		10,412
Freshpet, Inc. *		73,205		6,351
Total				20,696
Energy (4.4%)
Cactus, Inc.		79,857		3,625
Gulfport Energy Corp. *		27,767		3,699
Helmerich & Payne, Inc.		112,439		4,073
Magnolia Oil & Gas Corp.		231,741		4,934
Oasis Petroleum, Inc.		27,384		4,552
SM Energy Co.		112,063		4,339
Weatherford International PLC *		47,502		4,647
Total				29,869
Financials (6.1%)
MGIC Investment Corp.		318,463		6,143
Remitly Global, Inc. *		216,802		4,210
Selective Insurance Group, Inc.		37,932		3,774
Shift4 Payments, Inc. *		25,335		1,884

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Financials continued
StepStone Group, Inc.		158,442		5,043
Stifel Financial Corp.		94,812		6,556
Synovus Financial Corp.		97,219		3,660
Triumph Financial, Inc. *		56,929		4,565
WEX, Inc. *		29,811		5,800
Total				41,635
Health Care (22.1%)
Akero Therapeutics, Inc. *		77,552		1,811
Alkermes PLC *		210,875		5,850
Amicus Therapeutics, Inc. *		234,763		3,331
Apogee Therapeutics, Inc. *		44,960		1,256
AtriCure, Inc. *		95,882		3,422
Blueprint Medicines Corp. *		64,923		5,989
BridgeBio Pharma, Inc. *		65,004		2,624
Celldex Therapeutics, Inc. *		87,279		3,462
Crinetics Pharmaceuticals, Inc. *		112,973		4,020
Cytek Biosciences, Inc. *		261,366		2,384
Cytokinetics, Inc. *		82,929		6,924
Denali Therapeutics, Inc. *		113,301		2,431
Encompass Health Corp.		108,392		7,232
Ensign Group, Inc.		83,034		9,317
Geron Corp. *		773,961		1,633
Haemonetics Corp. *		78,412		6,705
HealthEquity, Inc. *		88,853		5,891
Inari Medical, Inc. *		71,134		4,618
Inspire Medical Systems, Inc. *		20,073		4,083
Intellia Therapeutics, Inc. *		36,435		1,111
Intra-Cellular Therapies, Inc. *		91,134		6,527
Ionis Pharmaceuticals, Inc. *		53,632		2,713
iRhythm Technologies, Inc. *		47,852		5,122
Kymera Therapeutics, Inc. *		58,834		1,498
Lantheus Holdings, Inc. *		53,152		3,295
MoonLake		25,748		1,555
Morphic Holding, Inc. *		60,863		1,758

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Nuvalent, Inc. - Class A *		43,917		3,232
Option Care Health, Inc. *		191,189		6,441
Owens & Minor, Inc. *		88,010		1,696
Prothena Corp. PLC *		45,380		1,649
QuidelOrtho Corp. *		41,026		3,024
RadNet, Inc. *		149,064		5,183
RayzeBio, Inc. *		55,342		3,441
Revolution Medicines, Inc. *		155,232		4,452
Rocket Pharmaceuticals, Inc. *		110,486		3,311
Sage Therapeutics, Inc. *		49,583		1,074
Structure Therapeutics, Inc., ADR *		32,489		1,324
Ultragenyx Pharmaceutical, Inc. *		48,114		2,301
Vaxcyte, Inc. *		91,197		5,727
Veracyte, Inc. *		92,778		2,552
Total				151,969
Industrials (19.9%)
Applied Industrial Technologies, Inc.		56,438		9,746
The AZEK Co., Inc. *		160,102		6,124
Boise Cascade Co.		40,991		5,303
CACI International, Inc. - Class A *		15,473		5,011
Casella Waste Systems, Inc. - Class A *		48,959		4,184
Ceridian HCM Holding, Inc. *		45,989		3,087
Chart Industries, Inc. *		50,183		6,841
Clean Harbors, Inc. *		30,735		5,364
Comfort Systems USA, Inc.		29,740		6,117
Curtiss-Wright Corp.		23,854		5,314
ExlService Holdings, Inc. *		115,850		3,574
Fluor Corp. *		184,881		7,242
FTAI Aviation, Ltd.		179,703		8,338
Herc Holdings, Inc.		12,654		1,884
Hillman Solutions Corp. *		649,684		5,984
Insperity, Inc.		22,158		2,597
ITT, Inc.		31,006		3,700
John Bean Technologies Corp.		66,304		6,594
KBR, Inc.		50,875		2,819
Rush Enterprises, Inc.		120,142		6,043

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

56

Small Cap Growth Stock Portfolio

 

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Shoals Technologies Group, Inc. *		276,855		4,302
SPX Technologies, Inc. *		73,134		7,387
TriNet Group, Inc. *		23,349		2,777
Verra Mobility Corp. *		395,267		9,103
WillScot Mobile Mini Holdings Corp. *		70,507		3,138
Zurn Water Solutions Corp.		146,688		4,314
Total				136,887
Information Technology (23.2%)
Agilysys, Inc. *		56,740		4,813
Alarm.com Holdings, Inc. *		80,285		5,188
Altair Engineering, Inc. - Class A *		74,805		6,295
AppFolio, Inc. *		23,422		4,058
Axcelis Technologies, Inc. *		26,163		3,393
Blackbaud, Inc. *		94,198		8,167
Braze, Inc. *		75,831		4,029
CCC Intelligent Solutions Holdings, Inc. *		256,862		2,926
Cirrus Logic, Inc. *		44,364		3,691
Credo Technology Group Holding, Ltd. *		154,728		3,012
DoubleVerify Holdings, Inc. *		95,238		3,503
Fabrinet *		51,408		9,784
Five9, Inc. *		42,963		3,381
FormFactor, Inc. *		68,871		2,873
Grid Dynamics Holdings, Inc. *		271,461		3,619
Guidewire Software, Inc. *		46,074		5,024
Insight Enterprises, Inc. *		44,019		7,800
Intapp, Inc. *		115,866		4,405
Littelfuse, Inc.		11,123		2,976
MKS Instruments, Inc.		48,921		5,032
Novanta, Inc. *		35,860		6,039
Onto Innovation, Inc. *		39,491		6,038
Perficient, Inc. *		67,425		4,438
Power Integrations, Inc.		72,298		5,936
PowerSchool Holdings, Inc. *		197,160		4,645
Rambus, Inc. *		75,008		5,119
Rapid7, Inc. *		36,687		2,095
Sprinklr, Inc. *		185,577		2,234
Sprout Social, Inc. *		88,913		5,463
SPS Commerce, Inc. *		28,583		5,540
Squarespace, Inc. *		184,040		6,075
Super Micro Computer, Inc. *		12,748		3,624
Varonis Systems, Inc. *		99,995		4,528

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Workiva, Inc. *		34,284		3,481
Total				159,224
Materials (4.2%)
Axalta Coating Systems, Ltd. *		178,735		6,072
Cabot Corp.		107,989		9,017
FMC Corp.		43,020		2,712
Livent Corp. *		323,737		5,821
Louisiana-Pacific Corp.		77,981		5,523
Total				29,145
Real Estate (1.6%)
Phillips Edison & Co., Inc.		167,831		6,122
Ryman Hospitality
Properties, Inc.		43,590		4,798
Total				10,920
Total Common Stocks (Cost: $561,475)				673,616
Investment Companies (1.4%)
Investment Companies (1.4%)
iShares Russell 2000 Growth ETF		38,666		9,752
Total				9,752
Total Investment Companies (Cost: $8,710)				9,752
Total Investments (99.5%) (Cost: $570,185)@				683,368
Other Assets, Less Liabilities (0.5%)				3,301
Net Assets (100.0%)				686,669

  

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

57

Small Cap Growth Stock Portfolio

 

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $574,567 and the net unrealized appreciation of investments based on that cost was $108,801 which is comprised of $133,025 aggregate gross unrealized appreciation and $24,224 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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		$	673,616	$	—	$	—
Investment Companies			9,752		—		—
Total Assets:		$	683,368	$	—	$	—

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

58

Index 600 Stock Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P SmallCap 600® Index.	Invest in stocks that make up the S&P SmallCap 600® Index, holding each stock in approximately the same proportion as its weighting in the Index.	$438 million

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

The U.S. equity market climbed a wall of worry in 2023 - stock prices jumped double digits despite a year filled with extraordinary events that had the potential to give any investor pause, including the Silicon Valley Bank crisis, U.S. debt default fears, as well as geopolitical tensions in the Middle East. In the end, investors focused on the U.S.’s resilient economic growth, rapidly declining inflation reports, and the widely held expectation late in the year that the U.S. Federal Reserve would prove successful in soft landing the economy in 2024.

In this environment, large-cap stocks, as represented by the S&P 500^® Index, posted a return of 26.29%, outperforming the S&P MidCap 400^® and the S&P SmallCap 600^® Indices, which returned 16.44% and 16.05%, respectively. Meanwhile, the broader bond market, as represented by the Bloomberg^® U.S. Aggregate Index, returned 5.53%, while the Bloomberg^® U.S. Corporate High Yield Index returned 13.45%.

PORTFOLIO RESULTS

The Portfolio delivered a total return of 15.76% for the twelve months ending December 31, 2023, trailing the S&P 600^® Index (the “Index”), which posted a return of 16.05%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) Portfolio performance lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with stock index futures contracts.

The Industrials, Consumer Discretionary and Information Technology sectors were significant contributors to the Portfolio’s return over the reporting period. Strength in the Industrials sector was driven by the machinery industry, which benefited from the incorporation of major advances in technology to improve productivity gains leading to lower operating costs. The building products industry contributed as rising home prices increased the need for new construction. Similarly, the Consumer Discretionary sector advanced, driven by homebuilding stocks. Construction of new homes continued at a brisk pace despite slower home sales and higher interest rates, reflecting the ongoing shortage of new homes in the U.S. real estate market. The Information Technology sector also contributed meaningfully, benefiting from better-than-expected earnings growth, investor enthusiasm for corporate cost-cutting and optimism that artificial intelligence (AI) could lead to strong growth opportunities in technology and technology-related companies.

The Real Estate, Materials and Financials sectors also contributed meaningfully to the Portfolio’s return. Real Estate was buoyed by increasing expectations for monetary policy easing as lower financing costs provide support to real estate prices. The Materials sector was supported by the mineral and mining industry which benefited as the shift to renewable energy increased demand for metals used in the transition, particularly those needed for electric batteries. The Financials sector benefited from performance in the insurance industry as higher interest rates raised revenues on their bond holdings.

The Utilities sector detracted modestly from the Portfolio’s return for the reporting period. The Utilities sector is generally seen as a more defensive sector, typically benefiting from lower volatility returns and consistent dividend payments. However, as higher monetary policy rates pushed longer-dated U.S. Treasury yields to 15-year highs, investors favored the higher yields of these government-issued securities.

59

Index 600 Stock Portfolio (unaudited)

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Index 600 Stock Portfolio	15.76%	10.66%	8.29%
S&P SmallCap 600® Index	16.05%	11.04%	8.66%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Cytokinetics, Inc.	0.7%
e.l.f. Beauty, Inc.	0.7%
SPS Commerce, Inc.	0.6%
Fabrinet	0.6%
Applied Industrial Technologies, Inc.	0.6%
Meritage Homes Corp.	0.6%
Ensign Group, Inc.	0.6%
Allegheny Technologies, Inc.	0.5%
Mueller Industries, Inc.	0.5%
SolarEdge Technologies, Inc.	0.5%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Financials	18.3%
	Industrials	17.4%
	Consumer Discretionary	14.8%
	Information Technology	12.3%
	Health Care	10.4%
	Real Estate	7.5%
	Materials	5.6%
	Consumer Staples	4.4%
	Energy	4.2%
	Communication Services	2.8%
	Utilities	2.0%
	Short-Term Investments & Other Net Assets	0.3%
	Governments	0.0%

Sector Allocation and Top 10 Holdings are subject to change.

60

Index 600 Stock Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.8%)
AMC Networks, Inc. - Class A *		11,440		215
ATN International, Inc.		3,966		154
CarGurus, Inc. *		32,482		785
Cars.com, Inc. *		23,348		443
Cinemark Holdings, Inc. *		40,209		566
Cogent Communications Holdings, Inc.		16,403		1,248
Consolidated Communications Holdings, Inc. *		28,248		123
DISH Network Corp. - Class A *		94,222		544
The E.W. Scripps Co. - Class A *		22,495		180
EchoStar Corp. *		12,555		208
Gogo, Inc. *		23,652		239
John Wiley & Sons, Inc. - Class A		16,101		511
Lumen Technologies, Inc. *		382,380		700
Madison Square Garden Sports Corp. *		6,325		1,150
The Marcus Corp.		9,308		136
QuinStreet, Inc. *		19,631		252
Scholastic Corp.		10,347		390
Shenandoah Telecommunications Co.		19,045		412
Shutterstock, Inc.		9,070		438
TechTarget, Inc. *		9,793		341
Telephone and Data Systems, Inc.		37,488		688
Thryv Holdings, Inc. *		11,663		237
TripAdvisor, Inc. *		40,981		882
Yelp, Inc. *		25,957		1,229
Total				12,071
Consumer Discretionary (14.8%)
Abercrombie & Fitch Co. - Class A *		19,087		1,684
Academy Sports & Outdoors, Inc.		28,251		1,865
Adtalem Global Education, Inc. *		15,095		890
Advance Auto Parts, Inc.		22,541		1,376
American Axle & Manufacturing Holdings, Inc. *		44,360		391
American Eagle Outfitters, Inc.		70,362		1,489

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
America’s Car-Mart, Inc. *		2,202		167
Asbury Automotive Group, Inc. *		7,800		1,755
BJ’s Restaurants, Inc. *		8,806		317
Bloomin’ Brands, Inc.		32,904		926
Boot Barn Holdings, Inc. *		11,484		881
Brinker International, Inc. *		16,747		723
The Buckle, Inc.		11,275		536
Caleres, Inc.		12,659		389
Callaway Golf Co. *		53,853		772
Cavco Industries, Inc. *		2,935		1,017
Century Communities, Inc.		10,714		976
The Cheesecake Factory, Inc.		17,701		620
Chico’s FAS, Inc. *		46,792		355
Chuy’s Holdings, Inc. *		6,574		251
Cracker Barrel Old Country Store, Inc.		8,398		647
Dana Holding Corp.		48,690		711
Dave & Buster’s Entertainment, Inc. *		13,023		701
Designer Brands, Inc.		16,616		147
Dine Brands Global, Inc.		5,893		293
Dorman Products, Inc. *		10,741		896
Ethan Allen Interiors, Inc.		8,740		279
Foot Locker, Inc.		31,049		967
Frontdoor, Inc. *		30,181		1,063
Gentherm, Inc. *		12,430		651
G-III Apparel Group, Ltd. *		15,423		524
Golden Entertainment, Inc.		8,132		325
Green Brick Partners, Inc. *		9,632		500
Group 1 Automotive, Inc.		5,240		1,597
Guess?, Inc.		10,454		241
Hanesbrands, Inc. *		132,668		592
Haverty Furniture Cos., Inc.		5,144		183
Hibbett, Inc.		4,697		338
Installed Building Products, Inc.		8,938		1,634
iRobot Corp. *		10,566		409
Jack in the Box, Inc.		7,622		622
Kohl’s Corp.		41,953		1,203
Kontoor Brands, Inc.		18,951		1,183
La-Z-Boy, Inc.		16,312		602

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
LCI Industries		9,598		1,207
Leslie’s, Inc. *		69,744		482
LGI Homes, Inc. *		7,771		1,035
M.D.C. Holdings, Inc.		22,638		1,251
M/I Homes, Inc. *		10,557		1,454
MarineMax, Inc. *		7,633		297
Meritage Homes Corp.		13,937		2,428
Mister Car Wash, Inc. *		34,695		300
Monarch Casino & Resort, Inc.		5,056		350
Monro, Inc.		11,913		349
Movado Group, Inc.		5,947		179
National Vision Holdings, Inc. *		29,657		621
Newell Brands, Inc.		144,426		1,254
The ODP Corp. *		12,604		710
Oxford Industries, Inc.		5,564		556
Papa John’s International, Inc.		12,417		946
Patrick Industries, Inc.		7,881		791
Perdoceo Education Corp.		24,895		437
PHINIA Inc.		17,696		536
Rent-A-Center, Inc.		16,874		573
Sabre Corp. *		143,848		633
Sally Beauty Holdings, Inc. *		40,842		542
Shake Shack, Inc. - Class A *		14,213		1,053
Shoe Carnival, Inc.		6,915		209
Signet Jewelers, Ltd.		17,013		1,825
Six Flags Entertainment Corp. *		27,233		683
Sonic Automotive, Inc. - Class A		5,633		317
Sonos, Inc. *		48,613		833
Standard Motor Products, Inc.		7,077		282
Steven Madden, Ltd.		26,579		1,116
Strategic Education, Inc.		8,328		769
Stride, Inc. *		15,065		894
Sturm, Ruger & Co., Inc.		6,712		305
TRI Pointe Homes, Inc. *		36,780		1,302
Urban Outfitters, Inc. *		21,451		766
Victoria’s Secret & Co. *		29,289		777
Vista Outdoor, Inc. *		22,008		651
Winnebago Industries, Inc.		11,331		826
Wolverine World Wide, Inc.		30,448		271

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

61

Index 600 Stock Portfolio

 

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Worthington Enterprises, Inc.		11,553		665
XPEL, Inc. *		8,064		434
Total				64,597
Consumer Staples (4.4%)
The Andersons, Inc.		12,001		691
B&G Foods, Inc.		29,792		313
Calavo Growers, Inc.		6,810		200
Cal-Maine Foods, Inc.		15,402		884
Central Garden & Pet Co. *		3,651		183
Central Garden & Pet Co. - Class A *		15,485		682
The Chefs’ Warehouse, Inc. *		13,381		394
e.l.f. Beauty, Inc. *		20,923		3,020
Edgewell Personal Care Co.		19,243		705
Energizer Holdings, Inc.		25,193		798
Fresh Del Monte Produce, Inc.		12,899		339
The Hain Celestial Group, Inc. *		34,250		375
Inter Parfums, Inc.		6,788		978
J & J Snack Foods Corp.		5,848		978
John B. Sanfilippo & Son, Inc.		3,430		353
Medifast, Inc.		4,127		277
MGP Ingredients, Inc.		5,924		584
National Beverage Corp. *		8,848		440
Nu Skin Enterprises, Inc.		18,714		363
PriceSmart, Inc.		9,487		719
The Simply Good Foods Co. *		34,354		1,360
SpartanNash Co.		13,107		301
Tootsie Roll Industries, Inc.		6,540		217
TreeHouse Foods, Inc. *		19,067		790
United Natural Foods, Inc. *		22,439		364
Universal Corp.		9,304		626
USANA Health Sciences, Inc. *		4,202		225
Vector Group, Ltd.		50,219		567
WD-40 Co.		5,138		1,228
WK Kellogg Co.		25,232		332
Total				19,286
Energy (4.2%)
Archrock, Inc.		52,037		801
Bristow Group, Inc. *		9,169		259
California Resources Corp.		24,453		1,337
Callon Petroleum Co. *		21,071		683

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Energy continued
Comstock Resources, Inc.		35,189		311
CONSOL Energy, Inc.		10,580		1,064
Core Laboratories, Inc.		17,873		316
CVR Energy, Inc.		11,053		335
Dorian LPG, Ltd.		12,913		567
Dril-Quip, Inc. *		13,087		305
Green Plains, Inc. *		22,559		569
Helix Energy Solutions Group, Inc. *		53,674		552
Helmerich & Payne, Inc.		37,674		1,365
Liberty Energy, Inc.		58,149		1,055
Nabors Industries, Ltd. *		3,371		275
Northern Oil and Gas, Inc.		34,594		1,282
Oceaneering International, Inc. *		38,168		812
Oil States International, Inc. *		24,473		166
Par Pacific Holdings, Inc. *		21,098		767
Patterson-UTI Energy, Inc.		121,779		1,315
ProPetro Holding Corp. *		32,132		269
REX American Resources Corp. *		5,793		274
RPC, Inc.		32,600		237
SM Energy Co.		44,099		1,708
Talos Energy, Inc. *		38,106		542
US Silica Holdings, Inc. *		29,231		331
Vital Energy, Inc. *		9,396		427
World Fuel Services Corp.		22,816		520
Total				18,444
Financials (18.3%)
Ambac Financial Group, Inc. *		17,126		282
American Equity Investment Life Holding Co. *		23,685		1,322
Ameris Bancorp		24,602		1,305
AMERISAFE, Inc.		7,267		340
Apollo Commercial Real Estate Finance, Inc.		49,264		578
Arbor Realty Trust, Inc.		71,418		1,084
ARMOUR Residential REIT, Inc.		18,573		359
Artisan Partners Asset Management, Inc.		25,952		1,147
Assured Guaranty, Ltd.		20,606		1,542
Atlantic Union Bankshares Corp.		28,428		1,039
Axos Financial, Inc. *		19,474		1,063
B. Riley Financial, Inc.		6,388		134

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Financials continued
Banc of California, Inc.		49,553		666
BancFirst Corp.		5,490		534
The Bancorp, Inc. *		20,337		784
Bank of Hawaii Corp.		15,066		1,092
BankUnited, Inc.		28,201		915
Banner Corp.		13,009		697
Berkshire Hills Bancorp, Inc.		16,236		403
Blackstone Mortgage Trust, Inc.		65,320		1,389
Brightsphere Investment Group, Inc.		12,400		238
Brookline Bancorp, Inc.		33,646		367
Capitol Federal Financial, Inc.		47,883		309
Cathay General Bancorp		27,523		1,227
Central Pacific Financial Corp.		10,356		204
City Holding Co.		5,616		619
Community Bank System, Inc.		20,231		1,054
Customers Bancorp, Inc. *		10,716		617
CVB Financial Corp.	��	50,168		1,013
Dime Community Bancshares, Inc.		13,234		356
Donnelley Financial Solutions, Inc. *		9,376		585
Eagle Bancorp, Inc.		11,452		345
Ellington Financial, Inc.		29,742		378
Employers Holdings, Inc.		9,743		384
Encore Capital Group, Inc. *		8,992		456
Enova International, Inc. *		11,320		627
EVERTEC, Inc.		24,944		1,021
EZCORP, Inc. - Class A *		19,947		174
FB Financial Corp.		13,309		530
First Bancorp		80,949		1,652
First Commonwealth Financial Corp.		38,670		597
First Financial Bancorp		36,033		856
First Hawaiian, Inc.		48,348		1,105
Franklin BSP Realty Trust, Inc.		31,103		420
Fulton Financial Corp.		62,215		1,024
Genworth Financial, Inc. - Class A *		170,949		1,142
Goosehead Insurance, Inc. *		9,269		703
Green Dot Corp. - Class A *		17,234		171
Hanmi Financial Corp.		11,673		226

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

62

Index 600 Stock Portfolio

 

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Financials continued
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		42,139		1,162
HCI Group, Inc.		2,302		201
Heritage Financial Corp.		13,423		287
Hilltop Holdings, Inc.		17,529		617
Hope Bancorp, Inc.		45,469		549
Horace Mann Educators Corp.		15,473		506
Independent Bank Corp.		16,620		1,094
Independent Bank Group, Inc.		13,610		693
Jackson Financial, Inc.		26,820		1,373
KKR Real Estate Finance Trust, Inc.		22,237		294
Lakeland Financial Corp.		9,637		628
Lincoln National Corp.		64,317		1,735
Mercury General Corp.		10,074		376
Meta Financial Group, Inc.		9,922		525
Moelis & Co.		25,266		1,418
Mr. Cooper Group, Inc. *		24,962		1,626
National Bank Holding Corp. - Class A		14,304		532
Navient Corp.		32,066		597
NBT Bancorp, Inc.		17,839		748
NCR Atleos Corp. *		25,362		616
New York Mortgage Trust, Inc.		34,363		293
NMI Holdings, Inc. - Class A *		30,736		912
Northfield Bancorp, Inc.		15,167		191
Northwest Bancshares, Inc.		48,101		600
OFG Bancorp		17,823		668
Pacific Premier Bancorp, Inc.		36,339		1,058
Palomar Holdings, Inc. *		9,376		520
Park National Corp.		5,434		722
Payoneer Global, Inc. *		99,021		516
PennyMac Mortgage Investment Trust		32,885		492
Piper Sandler Cos.		5,701		997
PJT Partners, Inc. - Class A		8,452		861
PRA Group, Inc. *		15,026		394
Preferred Bank		4,731		346
ProAssurance Corp.		19,319		266
PROG Holdings, Inc. *		16,950		524
Provident Financial Services, Inc.		28,590		516
Radian Group, Inc.		58,050		1,657
Ready Capital Corp.		60,012		615

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Financials continued
Redwood Trust, Inc.		44,968		333
Renasant Corp.		21,267		716
S&T Bancorp, Inc.		14,475		484
Safety Insurance Group, Inc.		5,605		426
Seacoast Banking Corp. of Florida		32,275		919
ServisFirst Bancshares, Inc.		18,570		1,237
Simmons First National Corp. - Class A		47,422		941
SiriusPoint, Ltd. *		34,412		399
Southside Bancshares, Inc.		10,862		340
Stellar Bancorp, Inc.		17,764		495
Stewart Information Services Corp.		10,371		609
StoneX Group, Inc. *		10,167		751
Tompkins Financial Corp.		4,787		288
Triumph Financial, Inc. *		8,210		658
Trupanion, Inc. *		13,622		416
TrustCo Bank Corp.		7,290		226
Trustmark Corp.		23,138		645
Two Harbors Investment Corp.		36,447		508
United Community Banks, Inc.		45,100		1,320
United Fire Group, Inc.		8,115		163
Veritex Holdings, Inc.		20,772		483
Virtus Investment Partners, Inc.		2,559		619
Walker & Dunlop, Inc.		12,678		1,407
Washington Federal, Inc.		24,524		808
Westamerica Bancorporation		10,093		569
WisdomTree Investments, Inc.		41,820		290
World Acceptance Corp. *		1,295		169
WSFS Financial Corp.		23,012		1,057
Total				80,076
Health Care (10.4%)
AdaptHealth LLC *		31,269		228
Addus HomeCare Corp. *		6,146		571
Agiliti, Inc. *		13,407		106
Alkermes PLC *		63,246		1,754
Allscripts Healthcare Solutions, Inc. *		41,402		434
AMN Healthcare Services, Inc. *		14,324		1,073
Amphastar Pharmaceuticals, Inc. *		14,164		876
ANI Pharmaceuticals, Inc. *		5,713		315

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Apollo Medical Holdings, Inc. *		15,749		603
Arcus Biosciences, Inc. *		20,536		392
Artivion, Inc. *		14,929		267
Avanos Medical, Inc. *		17,736		398
BioLife Solutions, Inc. *		13,154		214
Catalyst Pharmaceuticals, Inc. *		37,980		638
Certara, Inc. *		40,597		714
Collegium Pharmaceutical, Inc. *		12,357		380
CONMED Corp.		11,658		1,277
Corcept Therapeutics, Inc. *		34,203		1,111
CorVel Corp. *		3,437		850
Cross Country Healthcare, Inc. *		12,525		284
Cytek Biosciences, Inc. *		37,508		342
Cytokinetics, Inc. *		37,164		3,103
Dynavax Technologies Corp. *		48,978		685
Embecta Corp.		21,756		412
Enhabit, Inc. *		19,183		199
Ensign Group, Inc.		21,401		2,401
Fortrea Holdings, Inc. *		33,656		1,175
Fulgent Genetics, Inc. *		7,637		221
Glaukos Corp. *		18,468		1,468
Harmony Biosciences Holdings, Inc. *		12,432		402
HealthStream, Inc.		9,069		245
ICU Medical, Inc. *		7,686		767
Innoviva, Inc. *		21,349		342
Integer Holdings Corp. *		12,633		1,252
Ironwood Pharmaceuticals, Inc. *		52,038		595
LeMaitre Vascular, Inc.		7,510		426
Ligand Pharmaceuticals, Inc. - Class B *		6,248		446
MEDNAX, Inc. *		31,359		292
Merit Medical Systems, Inc. *		21,891		1,663
Mesa Laboratories, Inc.		1,949		204
ModivCare, Inc. *		4,723		208
Myriad Genetics, Inc. *		33,603		643
National HealthCare Corp.		5,110		472
NeoGenomics, Inc. *		48,315		782
OmniAb, Inc. - 12.50 Earnout Consideration *,Æ		2,585		2

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

63

Index 600 Stock Portfolio

 

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Health Care continued
OmniAb, Inc. - 15.00 Earnout Consideration *,Æ		2,585		2
Omnicell, Inc. *		17,313		651
OraSure Technologies, Inc. *		27,852		228
Organon & Co.		96,872		1,397
Owens & Minor, Inc. *		28,997		559
Pacira Biosciences, Inc. *		17,597		594
Phibro Animal Health Corp. - Class A		7,553		87
Premier, Inc. - Class A		45,355		1,014
Prestige Consumer Healthcare, Inc. *		18,802		1,151
Privia Health Group, Inc. *		38,937		897
RadNet, Inc. *		22,906		796
REGENXBIO, Inc. *		15,334		275
Schrodinger, Inc. *		20,734		742
Select Medical Holdings Corp.		39,793		935
Simulations Plus, Inc.		6,029		270
STAAR Surgical Co. *		18,571		580
Supernus Pharmaceuticals, Inc. *		20,694		599
Tandem Diabetes Care, Inc. *		24,668		730
UFP Technologies, Inc. *		2,664		458
US Physical Therapy, Inc.		5,681		529
Varex Imaging Corp. *		15,473		317
Vericel Corp. *		18,084		644
Vir Biotechnology, Inc. *		32,890		331
Xencor, Inc. *		23,199		492
Total				45,510
Industrials (17.4%)
3D Systems Corp. *		50,575		321
AAON, Inc.		25,561		1,888
AAR Corp. *		12,724		794
ABM Industries, Inc.		24,842		1,114
Aerovironment, Inc. *		9,965		1,256
Alamo Group, Inc.		3,914		823
Alaska Air Group, Inc. *		48,541		1,897
Albany International Corp. - Class A		11,821		1,161
Allegiant Travel Co.		5,719		472
American Woodmark Corp. *		6,223		578
Apogee Enterprises, Inc.		8,356		446
Applied Industrial Technologies, Inc.		14,692		2,537
ArcBest Corp.		8,969		1,078
Arcosa, Inc.		18,481		1,527
Armstrong World Industries, Inc.		16,745		1,646

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Astec Industries, Inc.		8,706		324
AZZ, Inc.		9,504		552
Barnes Group, Inc.		19,206		627
Boise Cascade Co.		15,006		1,941
Brady Corp. - Class A		16,994		997
CoreCivic, Inc. *		43,062		626
CSG Systems International, Inc.		10,766		573
Deluxe Corp.		16,701		358
DXP Enterprises, Inc. *		5,025		169
Dycom Industries, Inc. *		11,118		1,280
Encore Wire Corp.		5,979		1,277
Enerpac Tool Group Corp.		20,591		640
EnPro Industries, Inc.		7,923		1,242
ESCO Technologies, Inc.		9,770		1,143
Federal Signal Corp.		23,093		1,772
Forrester Research, Inc. *		4,413		118
Forward Air Corp.		9,727		612
Franklin Electric Co., Inc.		15,035		1,453
The GEO Group, Inc. *		46,258		501
Gibraltar Industries, Inc. *		11,533		911
GMS, Inc. *		15,385		1,268
Granite Construction, Inc.		16,649		847
The Greenbrier Cos., Inc.		11,826		523
Griffon Corp.		15,522		946
Harsco Corp. *		30,538		275
Hayward Holdings, Inc. *		47,785		650
Healthcare Services Group, Inc. *		27,987		290
Heartland Express, Inc.		17,331		247
Heidrick & Struggles International, Inc.		7,555		223
Hillenbrand, Inc.		26,498		1,268
HNI Corp.		17,658		739
Hub Group, Inc. - Class A *		11,823		1,087
Insteel Industries, Inc.		7,355		282
Interface, Inc.		22,252		281
JetBlue Airways Corp. *		126,342		701
John Bean Technologies Corp.		12,068		1,200
Kaman Corp.		10,671		256
KAR Auction Services, Inc. *		40,937		606
Kelly Services, Inc. - Class A		12,111		262
Kennametal, Inc.		30,143		777
Korn Ferry		19,982		1,186
Lindsay Corp.		4,172		539

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Liquidity Services, Inc. *		8,584		148
Marten Transport, Ltd.		21,877		459
Masterbrand, Inc. *		48,042		713
Matson, Inc.		13,242		1,451
Matthews International Corp. - Class A		11,551		423
Mercury Systems, Inc. *		19,771		723
MillerKnoll, Inc.		27,854		743
Moog, Inc. - Class A		10,899		1,578
Mueller Industries, Inc.		43,032		2,029
MYR Group, Inc. *		6,333		916
National Presto Industries, Inc.		2,011		161
NOW, Inc. *		40,287		456
NV5 Global, Inc. *		4,819		536
PGT Innovations, Inc. *		21,621		880
Pitney Bowes, Inc.		58,655		258
Powell Industries, Inc.		3,497		309
Proto Labs, Inc. *		9,773		381
Quanex Building Products Corp.		12,618		386
Resideo Technologies, Inc. *		55,333		1,041
Resources Connection, Inc.		12,042		171
Rush Enterprises, Inc.		23,350		1,175
RXO, Inc. *		44,348		1,032
SkyWest, Inc. *		15,519		810
SPX Technologies, Inc. *		17,302		1,748
Standex International Corp.		4,537		719
Sun Country Airlines Holdings, Inc. *		14,774		232
SunPower Corp. *		32,871		159
Tennant Co.		7,116		660
Titan International, Inc. *		19,172		285
Trinity Industries, Inc.		31,023		825
Triumph Group, Inc. *		29,375		487
TrueBlue, Inc. *		11,874		182
TTEC Holdings, Inc.		7,265		157
UniFirst Corp.		5,727		1,048
Verra Mobility Corp. *		63,049		1,452
Vestis Corp.		49,555		1,048
Viad Corp. *		7,907		286
Vicor Corp. *		8,591		386
Wabash National Corp.		17,462		447
Total				76,007
Information Technology (12.3%)
A10 Networks, Inc.		26,419		348
ACI Worldwide, Inc. *		41,213		1,261
Adeia, Inc.		40,880		506
Adtran Holdings, Inc.		27,101		199
Advanced Energy
Industries, Inc.		14,132		1,539

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

64

Index 600 Stock Portfolio

 

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Agilysys, Inc. *		7,694		653
Alarm.com Holdings, Inc. *		18,951		1,225
Alliance Data Systems Corp.		18,697		616
Alpha & Omega Semiconductor, Ltd. *		8,578		224
Arlo Technologies, Inc. *		36,014		343
Axcelis Technologies, Inc. *		12,412		1,610
Badger Meter, Inc.		11,124		1,717
Benchmark Electronics, Inc.		13,506		373
Cerence, Inc. *		15,447		304
CEVA, Inc. *		9,050		206
Cohu, Inc. *		17,986		637
Consensus Cloud Solutions, Inc. *		6,753		177
Corsair Gaming, Inc. *		16,318		230
CTS Corp.		11,804		516
Digi International, Inc. *		13,631		354
Digital Turbine, Inc. *		34,643		238
Diodes, Inc. *		17,407		1,402
DoubleVerify Holdings, Inc. *		52,841		1,943
DXC Technology Co. *		73,400		1,679
Envestnet, Inc. *		18,854		934
ePlus, Inc. *		10,209		815
Extreme Networks, Inc. *		49,128		867
Fabrinet *		13,771		2,621
FormFactor, Inc. *		29,500		1,230
Harmonic, Inc. *		42,520		554
Ichor Holdings, Ltd. *		11,201		377
Insight Enterprises, Inc. *		10,495		1,860
InterDigital, Inc.		9,742		1,057
Itron, Inc. *		17,243		1,302
Knowles Corp. *		34,192		612
Kulicke and Soffa Industries, Inc.		21,394		1,171
LiveRamp Holdings, Inc. *		24,834		941
MaxLinear, Inc. - Class A *		28,230		671
Methode Electronics, Inc. - Class A		13,646		310
N-able, Inc. *		26,348		349
NCR Voyix Corp. *		50,678		857
NetScout Systems, Inc. *		26,909		591
OSI Systems, Inc. *		5,923		764
PC Connection, Inc.		4,326		291
PDF Solutions, Inc. *		11,679		375
Perficient, Inc. *		13,181		868
Photronics, Inc. *		23,694		743
Plexus Corp. *		10,415		1,126

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Progress Software Corp.		16,518		897
Rogers Corp. *		6,350		839
Sanmina Corp. *		21,688		1,114
ScanSource, Inc. *		9,539		378
Semtech Corp. *		24,322		533
SiTime Corp. *		6,548		799
SMART Global Holdings, Inc. *		19,676		372
SolarEdge Technologies, Inc. *		21,533		2,015
SPS Commerce, Inc. *		13,913		2,697
TTM Technologies, Inc. *		38,731		612
Ultra Clean Holdings, Inc. *		17,116		584
Veeco Instruments, Inc. *		21,342		662
ViaSat, Inc. *		28,317		791
Viavi Solutions, Inc. *		84,277		849
Xerox Holdings Corp.		42,838		785
Xperi, Inc. *		16,580		183
Total				53,696
Materials (5.6%)
AdvanSix, Inc.		10,207		306
Allegheny Technologies, Inc. *		48,362		2,199
Alpha Metallurgical Resources, Inc.		4,482		1,519
Balchem Corp.		12,221		1,818
Carpenter Technology Corp.		18,691		1,323
Century Aluminum Co. *		19,804		240
Clearwater Paper Corp. *		6,277		227
Compass Minerals International, Inc.		12,788		324
H.B. Fuller Co.		20,477		1,667
Hawkins, Inc.		7,169		505
Haynes International, Inc.		4,873		278
Ingevity Corp. *		12,771		603
Innospec, Inc.		9,423		1,161
Kaiser Aluminum Corp.		6,131		436
Koppers Holdings, Inc.		7,889		404
Materion Corp.		7,821		1,018
Mercer International, Inc.		16,814		159
Minerals Technologies, Inc.		12,333		879
Myers Industries, Inc.		14,094		276
O-I Glass, Inc. *		58,774		963
Olympic Steel, Inc.		3,713		248
Quaker Chemical Corp.		5,249		1,120
Schweitzer-Mauduit International, Inc.		20,540		315
Sealed Air Corp.		54,752		2,000

Common Stocks (99.7%)	Shares/ Par +			Value $ (000’s)
Materials continued
Sensient Technologies Corp.		16,013			1,057
Stepan Co.		8,053			761
SunCoke Energy, Inc.		31,743			341
Sylvamo Corp.		13,387			657
TimkenSteel Corp. *		14,556			341
Warrior Met Coal, Inc.		19,718			1,202
Worthington Steel, Inc. *		11,547			325
Total					24,672
Real Estate (7.5%)
Acadia Realty Trust		36,131			614
Alexander & Baldwin, Inc.		27,466			522
American Assets Trust, Inc.		18,412			414
Apple Hospitality REIT, Inc.		80,673			1,340
Armada Hoffler Properties, Inc.		25,550			316
Brandywine Realty Trust		65,905			356
CareTrust REIT, Inc.		45,155			1,011
Centerspace		5,725			333
Chatham Lodging Trust		18,414			197
Community Healthcare Trust, Inc.		9,612			256
Cushman & Wakefield PLC *		63,751			689
DiamondRock Hospitality Co.		79,472			746
Douglas Emmett, Inc.		63,198			916
Easterly Government Properties, Inc.		35,780	��		481
Elme Communities Real Estate Investment Trust		33,279			486
Essential Properties Realty Trust, Inc.		59,163			1,512
eXp World Holdings, Inc.		29,151			452
Four Corners Property Trust, Inc.		34,335			869
Getty Realty Corp.		18,178			531
Global Net Lease, Inc.		74,076			737
Highwoods Properties, Inc.		40,059			920
Hudson Pacific Properties, Inc.		48,079			448
Innovative Industrial Properties, Inc.		10,629			1,072
iStar, Inc.		16,970			397
JBG SMITH Properties		33,003			561
Kennedy-Wilson Holdings, Inc.		44,907			556
LTC Properties, Inc.		15,689			504
LXP Industrial Trust		110,912			1,100
The Macerich Co.		81,669			1,260

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

65

Index 600 Stock Portfolio

 

Common Stocks (99.7%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Marcus & Millichap, Inc.		9,130		399
NexPoint Residential Trust, Inc.		8,658		298
OUTFRONT Media, Inc.		55,057		769
Pebblebrook Hotel Trust		45,684		730
Phillips Edison & Co., Inc.		45,340		1,654
Realogy Holdings Corp. *		42,306		343
Retail Opportunity Investments Corp.		47,763		670
Saul Centers, Inc.		4,952		194
Service Properties Trust		62,838		537
SITE Centers Corp.		68,242		930
SL Green Realty Corp.		24,416		1,103
The St. Joe Co.		13,500		812
Summit Hotel Properties, Inc.		40,725		274
Sunstone Hotel Investors, Inc.		77,871		836
Tanger Factory Outlet Centers, Inc.		39,940		1,107
Uniti Group, Inc.		90,474		523
Universal Health Realty Income Trust		4,799		208
Urban Edge Properties		44,590		816
Veris Residential, Inc.		30,411		478
Whitestone REIT		17,591		216
Xenia Hotels & Resorts, Inc.		40,200		548
Total				33,041
Utilities (2.0%)
American States Water Co.		14,010		1,127
Avista Corp.		29,294		1,047
California Water Service Group		21,866		1,134
Chesapeake Utilities Corp.		8,204		867
Clearway Energy, Inc.		44,469		1,195
Middlesex Water Co.		6,793		446
Northwest Natural Holding Co.		13,913		542
Otter Trail Corp.		15,808		1,343
SJW Group		11,004		719
Unitil Corp.		6,153		323
Total				8,743
Total Common Stocks
(Cost: $360,458)				436,143

Short-Term Investments (0.0%)	Shares/ Par +		Value $ (000’s)
Governments (0.0%)
US Treasury 0.000%, 4/11/24 ß		140,000		138
Total				138
Total Short-Term Investments
(Cost: $138)				138
Total Investments (99.7%)
(Cost: $360,596)@				436,281
Other Assets, Less
Liabilities (0.3%)				1,265
Net Assets (100.0%)				437,546

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

66

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		11		3/24	$	1,126	$	52		$	(45)
E-Mini S&P MidCap 400 Future	Long	USD		–π		1		3/24		281		(3	)		(36)
											$	49		$	(81)

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

$

–

$

–

$

–

$

–

$

(81

)

$

(81

)

$

–

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

* Non income producing

Æ Security valued using significant unobservable inputs.

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

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $361,602 and the net unrealized appreciation of investments based on that cost was $74,728 which is comprised of $114,897 aggregate gross unrealized appreciation and $40,169 aggregate gross unrealized depreciation.

π Amount is less than one thousand.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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
Health Care		$	45,506		$	—		$	4
All Others			390,633			—			—
Other Financial Instruments^
Futures			52			—			—
Short-Term Investments			—			138			—
Total Assets:		$	436,191		$	138		$	4
Liabilities:
Other Financial Instruments^
Futures			(3)			—			—
Total Liabilities:		$	(3)		$	—		$	—

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

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2023.

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

67

Small Cap Value Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks of small-sized companies believed to be undervalued.	$576 million

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

U.S. equities posted strong gains in 2023, driven by generally favorable corporate earnings, a resilient economy and increased investor interest in artificial intelligence. The market overcame bearish factors such as regional bank turmoil in March; uncertainty about the debt ceiling; geopolitical concerns stemming from the ongoing Russian invasion of Ukraine and from Israel’s response to deadly Hamas attacks in early October; and a sluggish Chinese economic recovery. Arguably the most significant factor affecting the U.S. economy throughout the year was rising interest rates in response to elevated inflation. The U.S. Federal Reserve (the “Fed”) raised short-term interest rates four times through the end of July, lifting the fed funds target rate to a range of 5.25% – 5.50%. Equities rallied through year-end as Fed officials projected at their mid-December policy meeting that there could be three, quarter-point interest rate cuts in 2024.

PORTFOLIO RESULTS

The Portfolio returned 13.85% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Russell 2000^® Value Index (the “Index”), returned 14.65%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

The Consumer Discretionary sector was a significant detractor from the Portfolio’s relative return for the reporting period, driven by adverse stock choices. Marriott Vacations Worldwide Corporation is a large, U.S.-based vacation ownership and timeshare exchange company with an attractive property portfolio across multiple countries and brands. Shares fell in summer 2023 after a disappointing quarter, reflecting challenges in rolling out new initiatives and with some brand conversions. Later in the year, shares were pressured again as default rates in the loan portfolio were higher than expected, raising concerns about whether this was a guidance issue or a warning sign for the consumer. Stock selection in the Energy and Industrials sectors and the business services industry also weighed on relative performance.

On the upside, the Healthcare sector contributed significantly to the Portfolio’s relative performance, due to strong stock choices. Karuna Therapeutics, a clinical-stage biopharmaceutical company, advanced late in the period following an announcement that Bristol Myers Squibb Company is expected to acquire the company.

Favorable stock selection in the Materials sector also boosted the Portfolio’s relative performance. Constellium, a manufacturer of refined, downstream aluminum products, rose on the year as the management team began executing a structural shift toward higher margin products while emphasizing deleveraging and capital discipline in the process. The company has benefited from easing inflationary pressures as well as strengthening demand across multiple end markets.

PORTFOLIO MANAGER OUTLOOK

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

At the end of 2023, the market reacted quickly and violently to signs inflation was cooling and the Fed telegraphing that it would likely begin reducing rates in 2024. December brought one of the Index’s best months ever and the market has now priced in much of that positive news. We are cautious following the market’s strong year-end move, seeing both the green shoots that drove strong upside, but also areas that could cause the Fed to move more slowly than the market anticipates. We also head into what will likely be a highly contentious election year in the U.S., while geopolitical tensions run high across most of the world. Regardless of what lies ahead, we remain confident in our bottom-up stock selection process and continue to approach our opportunity set with a focus on long-term investment horizons and best-in-class businesses that are trading at attractive valuations.

68

Small Cap Value Portfolio (unaudited)

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Small Cap Value Portfolio	13.85%	9.43%	6.73%
Russell 2000® Value Index	14.65%	10.00%	6.76%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Pinnacle Financial Partners, Inc.	1.7%
PennyMac Financial Services, Inc.	1.6%
Matador Resources Co.	1.6%
BankUnited, Inc.	1.2%
Strategic Education, Inc.	1.2%
Popular, Inc.	1.1%
Meritage Homes Corp.	1.1%
Terreno Realty Corp.	1.1%
Houlihan Lokey, Inc.	1.1%
UFP Industries, Inc.	1.1%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Financials	27.7%
	Industrials	13.6%
	Consumer Discretionary	10.9%
	Real Estate	9.6%
	Health Care	8.9%
	Energy	8.1%
	Information Technology	6.2%
	Materials	4.4%
	Utilities	3.8%
	Short-Term Investments & Other Net Assets	3.4%
	Consumer Staples	2.1%
	Communication Services	1.3%

Sector Allocation and Top 10 Holdings are subject to change.

69

Small Cap Value Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (96.6%)	Shares/ Par +		Value $ (000’s)
Communication Services (1.3%)
Advantage Solutions, Inc. *		347,714		1,259
Frontier Communications Parent, Inc. *		54,300		1,376
The New York Times Co. - Class A		100,600		4,928
Total				7,563
Consumer Discretionary (10.9%)
Abercrombie & Fitch Co. - Class A *		6,900		609
Asbury Automotive Group, Inc. *		16,000		3,600
BJ’s Restaurants, Inc. *		51,620		1,859
Caleres, Inc.		56,700		1,742
Carvana Co. *		20,987		1,111
CAVA Group, Inc. *		104,758		4,502
Chewy, Inc. *		59,600		1,408
Dorman Products, Inc. *		36,720		3,063
Dutch Bros, Inc. *		41,746		1,322
FIGS, Inc. *		314,870		2,188
Floor & Decor Holdings, Inc. *		18,022		2,011
Kohl’s Corp.		38,900		1,116
LCI Industries		23,341		2,934
Marriott Vacations Worldwide Corp.		26,146		2,220
Meritage Homes Corp.		36,794		6,409
Modine Manufacturing Co. *		12,000		716
Monro, Inc.		81,218		2,383
Oxford Industries, Inc.		7,900		790
Papa John’s International, Inc.		52,923		4,034
Peloton Interactive, Inc. *		155,318		946
Pool Corp.		3,409		1,359
Savers Value Village, Inc. *		28,307		492
Skyline Champion Corp. *		18,000		1,337
Steven Madden, Ltd.		109,762		4,610
Strategic Education, Inc.		75,024		6,930
Visteon Corp. *		13,367		1,670
Wyndham Hotels & Resorts, Inc.		19,000		1,528
Total				62,889

Common Stocks (96.6%)	Shares/ Par +		Value $ (000’s)
Consumer Staples (2.1%)
Coca-Cola Consolidated, Inc.		2,382		2,211
Nomad Foods, Ltd. *		262,615		4,451
Post Holdings, Inc. *		30,111		2,652
The Simply Good Foods Co. *		68,442		2,710
Total				12,024
Energy (8.1%)
Cactus, Inc.		82,154		3,730
ChampionX Corp.		182,450		5,329
Enerflex, Ltd.		403,900		1,886
Frank’s International NV *		143,200		2,280
Liberty Energy, Inc.		143,592		2,605
Magnolia Oil & Gas Corp.		138,961		2,958
Matador Resources Co.		157,958		8,982
Permian Resources Corp.		203,933		2,773
Range Resources Corp.		163,800		4,986
SM Energy Co.		55,400		2,145
Southwestern Energy Co. *		637,800		4,178
TechnipFMC PLC		226,300		4,558
Total				46,410
Financials (27.7%)
BankUnited, Inc.		215,790		6,998
Cathay General Bancorp		77,300		3,445
Columbia Banking System, Inc.		233,849		6,239
CrossFirst Bankshares, Inc. *		177,654		2,413
Eastern Bankshares, Inc.		401,897		5,707
FB Financial Corp.		131,543		5,242
First American Financial Corp.		43,033		2,773
Green Dot Corp. - Class A *		140,955		1,395
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		164,703		4,543
HarborOne Bancorp, Inc.		219,642		2,631
Home BancShares, Inc.		236,716		5,996
Houlihan Lokey, Inc.		53,423		6,406
James River Group
Holdings, Ltd.		101,026		933

Common Stocks (96.6%)	Shares/ Par +		Value $ (000’s)
Financials continued
Live Oak Bancshares, Inc.		132,320		6,021
National Bank Holding Corp. - Class A		124,221		4,620
NerdWallet, Inc. *		88,619		1,304
Origin Bancorp, Inc.		86,002		3,059
PennyMac Financial Services, Inc.		102,147		9,027
PennyMac Mortgage Investment Trust		209,976		3,139
Pinnacle Financial Partners, Inc.		111,322		9,710
Popular, Inc.		79,553		6,529
PRA Group, Inc. *		53,259		1,395
ProAssurance Corp.		163,968		2,261
Prosperity Bancshares, Inc.		9,800		664
Radian Group, Inc.		146,434		4,181
Ryan Specialty Group Holdings, Inc. *		85,315		3,670
Sandy Spring Bancorp, Inc.		105,300		2,868
Selective Insurance Group, Inc.		13,700		1,363
South State Corp.		72,418		6,116
Southern First Bancshares, Inc. *		62,415		2,316
StepStone Group, Inc.		39,850		1,268
Texas Capital Bancshares, Inc. *		70,154		4,534
Towne Bank		159,291		4,740
Veritex Holdings, Inc.		95,997		2,234
Virtus Investment Partners, Inc.		18,015		4,355
Voya Financial, Inc.		25,200		1,839
Walker & Dunlop, Inc.		44,424		4,932
Webster Financial Corp.		76,660		3,891
Western Alliance Bancorp		58,810		3,869
WSFS Financial Corp.		103,328		4,746
Total				159,372
Health Care (8.9%)
Agiliti, Inc. *		163,723		1,297
Alignment Healthcare, Inc. *		197,600		1,701
Apellis Pharmaceuticals, Inc. *		27,255		1,631
Ascendis Pharma A/S *		18,500		2,330
Atrion Corp.		4,717		1,787
Avanos Medical, Inc. *		61,000		1,368
Black Diamond Therapeutics, Inc. *		201,600		567

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

70

Small Cap Value Portfolio

 

Common Stocks (96.6%)	Shares/ Par +			Value $ (000’s)
Health Care continued
Blueprint Medicines Corp. *		20,650	��		1,905
Crinetics Pharmaceuticals, Inc. *		24,400			868
CRISPR Therapeutics AG *		20,900			1,308
Cytokinetics, Inc. *		23,300			1,945
Elanco Animal Health, Inc. *		64,339			959
Ensign Group, Inc.		37,358			4,192
Insmed, Inc. *		71,892			2,228
Ionis Pharmaceuticals, Inc. *		56,900			2,879
Karuna Therapeutics, Inc. *		12,805			4,053
Kymera Therapeutics, Inc. *		30,938			788
Lantheus Holdings, Inc. *		36,800			2,282
MacroGenics, Inc. *		124,000			1,193
MoonLake		8,198			495
MultiPlan Corp. *		784,941			1,130
The Pennant Group, Inc. *		94,704			1,318
Phreesia, Inc. *		63,190			1,463
QuidelOrtho Corp. *		43,016			3,170
Select Medical Holdings Corp.		204,783			4,812
Syndax Pharmaceuticals, Inc. *		54,215			1,172
Verve Therapeutics, Inc. *		58,453			815
Xencor, Inc. *		44,296			940
Zentalis Pharmaceuticals, Inc. *		42,509			644
Total					51,240
Industrials (13.6%)
Alamo Group, Inc.		16,735			3,517
Allegiant Travel Co.		34,590			2,857
Arcosa, Inc.		11,086			916
ASGN, Inc. *		11,500			1,106
Beacon Roofing Supply, Inc. *		66,782			5,811
Brady Corp. - Class A		69,025			4,051
Casella Waste Systems, Inc. - Class A *		24,700			2,111
Conduent, Inc. *		371,600			1,356
Crane NXT Co.		16,900			1,997
ESAB Corp.		44,996			3,898
ESCO Technologies, Inc.		22,432			2,625
FTI Consulting, Inc. *		11,439			2,278
Herc Holdings, Inc.		16,800			2,501
John Bean
Technologies Corp.		16,200			1,611

Common Stocks (96.6%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Landstar System, Inc.		26,666		5,164
Leonardo DRS, Inc. *		66,966		1,342
McGrath RentCorp		15,571		1,863
Moog, Inc. - Class A		22,600		3,272
MSA Safety, Inc.		12,080		2,039
Parsons Corp. *		57,441		3,602
Paycor HCM, Inc. *		135,008		2,915
RBC Bearings, Inc. *		13,109		3,735
SPX Technologies, Inc. *		20,212		2,042
Stericycle, Inc. *		21,063		1,044
UFP Industries, Inc.		50,049		6,284
UniFirst Corp.		9,000		1,646
Valmont Industries, Inc.		9,467		2,211
WillScot Mobile Mini Holdings Corp. *		21,143		941
Zurn Water Solutions Corp.		119,822		3,524
Total				78,259
Information Technology (6.2%)
Altair Engineering, Inc. - Class A *		7,900		665
Amplitude, Inc. - Class A *		48,100		612
Diodes, Inc. *		15,600		1,256
DoubleVerify Holdings, Inc. *		65,100		2,394
Endava PLC *		17,100		1,331
Entegris, Inc.		7,449		892
Intapp, Inc. *		14,653		557
JFrog, Ltd. *		18,600		644
Lattice Semiconductor Corp. *		19,100		1,318
Littelfuse, Inc.		21,927		5,867
MACOM Technology
Solutions Holdings, Inc. *		38,600		3,588
Mirion Technologies, Inc. *		237,525		2,435
nCino, Inc. *		59,716		2,008
Onto Innovation, Inc. *		22,093		3,378
PAR Technology Corp. *		20,670		900
Viavi Solutions, Inc. *		199,200		2,006
Vishay Intertechnology, Inc.		70,500		1,690
Vontier Corp.		75,700		2,615
Workiva, Inc. *		13,969		1,418
Total				35,574
Materials (4.4%)
Carpenter Technology Corp.		32,736		2,318
Clearwater Paper Corp. *		43,543		1,573
Constellium SE *		247,878		4,948
Element Solutions, Inc.		195,574		4,525
Myers Industries, Inc.		36,017		704

Common Stocks (96.6%)	Shares/ Par +		Value $ (000’s)
Materials continued
Orion Engineered Carbons SA		108,017		2,995
Quaker Chemical Corp.		11,212		2,393
Reliance Steel & Aluminum Co.		17,166		4,801
West Fraser Timber Co., Ltd.		15,950		1,365
Total				25,622
Real Estate (9.6%)
Apple Hospitality REIT, Inc.		377,595		6,272
CubeSmart LP		88,500		4,102
EastGroup Properties, Inc.		27,201		4,992
Essential Properties Realty Trust, Inc.		129,115		3,300
FirstService Corp.		22,131		3,587
Independence Realty Trust, Inc.		194,861		2,981
iStar, Inc.		86,142		2,016
NETSTREIT Corp.		159,936		2,855
NexPoint Residential Trust, Inc.		47,707		1,643
PotlatchDeltic Corp.		73,697		3,618
Saul Centers, Inc.		90,854		3,568
The St. Joe Co.		73,244		4,408
Terreno Realty Corp.		102,260		6,409
Tricon Residential, Inc.		397,294		3,615
UMH Properties, Inc.		125,300		1,920
Total				55,286
Utilities (3.8%)
Artesian Resources Corp.		24,751		1,026
California Water
Service Group		58,336		3,026
Chesapeake Utilities Corp.		22,738		2,402
IDACORP, Inc.		62,717		6,166
MGE Energy, Inc.		52,034		3,763
OGE Energy Corp.		72,100		2,518
ONE Gas, Inc.		48,746		3,106
Total				22,007
Total Common Stocks  (Cost: $433,998)				556,246

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

71

Small Cap Value Portfolio

 

Warrants (0.0%)	Shares/ Par +		Value $ (000’s)
Communication Services (0.0%)
Advantage Solutions, Inc. *		19,088		2
Total				2
Total Warrants (Cost: $25)				2
Total Investments (96.6%) (Cost: $434,023)@				556,248
Other Assets, Less Liabilities (3.4%)				19,601
Net Assets (100.0%)				575,849

 

 

 

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $435,714 and the net unrealized appreciation of investments based on that cost was $120,534 which is comprised of $153,315 aggregate gross unrealized appreciation and $32,781 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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		$	556,246		$	—		$	—
Warrants			2			—			—
Total Assets:		$	556,248		$	—		$	—

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

72

International Growth Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest in securities of issuers from countries outside the U.S. that have above average growth potential.	$1.0 billion

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

International equities largely advanced in the fourth quarter of 2023. U.S. stocks finished 2023 with a powerful rally driven by the U.S. Federal Reserve signaling that disinflationary trends were sufficient to project a shift to monetary easing in 2024. This news, along with resilient late-cycle expansion of the U.S. economy and a sharp decline in U.S. Treasury yields, provided a favorable environment for higher risk assets. Well known, large-cap growth stocks advanced the most, as fourth quarter corporate earnings announcements were much better than expected.

Developed market international stocks trailed U.S. stocks by a sizeable margin for 2023. Within developed markets, value stocks outperformed growth stocks modestly, despite a sharp rally in growth stocks during the fourth quarter. Emerging markets stocks also advanced but lagged their developed market counterparts. Performance was challenged by a lackluster post-Coronavirus pandemic recovery in China.

PORTFOLIO RESULTS

The Portfolio returned 20.77% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the MSCI EAFE^® Growth Index (the “Index”), returned 17.58%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

From a geographic standpoint (geographic positioning was an output of bottom-up stock selection), stock selection in Europe and an underweighting in Asia Pacific, excluding Japan, were the largest contributors to the Portfolio’s relative return. On the downside, out-of-benchmark exposure in Canada and stock selection in Asia Pacific, excluding Japan, detracted the most.

On a sector basis, stock selection in the Financials sector contributed the most to the Portfolio’s relative return. Out-of-benchmark positions in global bond rating firms Moody’s Investors Service and S&P Global helped drive contribution, as the outlook for bond issuance recovered in the fourth quarter of 2023.

The combined impact of stock selection and a sizeable underweighting in the Healthcare sector was the second largest contributor to the Portfolio’s relative returns. A long-held overweighting in Japanese opto-electronics maker Hoya Corporation benefited from share gains and premium product positioning in its high growth semiconductor and hard disk drive division, as well as steady demand in its eyeglass business.

A significant underweighting in the Consumer Staples sector also contributed. In particular, not holding British beverage company Diageo, which struggled with excess inventory as the initial post-pandemic travel and leisure enthusiasm subsided, benefitted the Portfolio’s relative performance in the sector. In the Materials sector, an overweighting in Ireland-based building materials supplier CRH was the single largest individual contributor. The company beat and raised earnings estimates due to strong pricing power in concrete and aggregates.

On the downside, stock selection in the Information Technology and Industrials sectors, two historically strong sectors for the Portfolio, detracted from the Portfolio’s relative return. Specifically, an underweighting in German information technology firm SAP was a major detractor. Within Industrials, an overweighting in Japanese machinery maker Misumi

73

International Growth Portfolio (unaudited)

Group detracted from performance as the company was challenged by intensifying Chinese competition. The single largest detractor was an out-of-benchmark position in healthcare equipment company ResMed, which declined amid an equipment recall.

PORTFOLIO MANAGER OUTLOOK

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

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

Over the past year, we have been looking for companies outside the U.S. that may benefit from artificial intelligence in ways that are not well appreciated by the market. We always look for companies with improving competitive positions that can potentially generate better cycle-to-cycle earnings-per-share, even if short-term prospects are challenging.

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

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
International Growth Portfolio	20.77%	11.33%	5.99%
MSCI EAFE® Growth Index (Net)	17.58%	8.81%	5.15%
MSCI® All Country World (ex-US)
Growth Index (Net)	14.03%	7.49%	4.55%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
ASML Holding NV	5.8%
Novo Nordisk A/S - Class B	4.8%
LVMH Moet Hennessy Louis Vuitton SE	4.7%
Nestle SA	4.3%
Linde PLC	3.7%
Safran SA	3.5%
Atlas Copco AB - Class A	3.3%
Keyence Corp.	3.1%
CRH PLC	2.7%
Airbus SE	2.4%

74

International Growth Portfolio (unaudited)

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Industrials	28.7%
	Information Technology	22.1%
	Financials	14.7%
	Consumer Discretionary	10.4%
	Materials	8.8%
	Health Care	7.1%
	Consumer Staples	4.5%
	Short-Term Investments & Other Net Assets	2.4%
	Energy	1.0%
	Communication Services	0.3%

Sector Allocation and Top 10 Holdings are subject to change.

 

75

International Growth Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (97.6%)	Country		Shares/ Par +		Value $ (000’s)
Communication Services (0.3%)
Rightmove PLC		United Kingdom		462,957		3,383
Total						3,383
Consumer Discretionary (10.4%)
Autoliv, Inc.		Sweden		77,700		8,562
Compass Group PLC		United Kingdom		811,000		22,161
InterContinental Hotels Group PLC, ADR		United Kingdom		178,384		16,265
LVMH Moet Hennessy Louis Vuitton SE		France		59,300		48,100
PRADA SpA		Italy		1,084,500		6,188
USS Co., Ltd.		Japan		205,400		4,123
Total						105,399
Consumer Staples (4.5%)
Nestle SA		United States		380,159		43,998
PriceSmart, Inc.		United States		24,900		1,887
Total						45,885
Energy (1.0%)
NOV, Inc.		United States		252,000		5,111
Reliance Industries, Ltd.		India		75,000		2,327
Reliance Industries, Ltd., GDR		India		37,400		2,338
Total						9,776
Financials (14.7%)
AIA Group, Ltd.		Hong Kong		769,088		6,680
Deutsche Borse AG		Germany		56,900		11,715
HDFC Bank, Ltd.		India		570,729		11,708
Jio Financial Services, Ltd. *		India		75,000		210
Kotak Mahindra Bank, Ltd.		India		201,700		4,621
Marsh & McLennan Cos., Inc.		United States		122,923		23,290
Mastercard, Inc. - Class A		United States		42,350		18,063
Moody’s Corp.		United States		44,000		17,185
MSCI, Inc.		United States		19,400		10,974
S&P Global, Inc.		United States		38,600		17,004
UBS Group AG		Switzerland		356,300		11,066
Visa, Inc. - Class A		United States		68,025		17,710
Total						150,226
Health Care (7.1%)
Hoya Corp.		Japan		136,100		16,927
Novo Nordisk A/S - Class B		Denmark		468,000		48,407
ResMed, Inc.		United States		41,600		7,156
Total						72,490
Industrials (28.7%)
Aalberts NV		Netherlands		47,200		2,054
Airbus SE		France		161,400		24,914
Assa Abloy AB - Class B		Sweden		462,100		13,313
Atlas Copco AB - Class A		Sweden		1,961,600		33,778
Azelis Group NV		Belgium		168,307		4,126
BAE Systems PLC		United Kingdom		943,600		13,350

Common Stocks (97.6%)	Country	Shares/Par +		Value $ (000’s)
Industrials continued
CAE, Inc. *	Canada		277,900		5,998
Canadian Pacific Kansas City, Ltd.	Canada		250,300		19,804
Edenred	France		234,866		14,102
Epiroc AB	Sweden		669,645		13,436
Experian PLC	United States		481,100		19,606
IMCD NV	Netherlands		48,700		8,497
Interpump Group SpA	Italy		122,400		6,341
KONE Oyj	Finland		102,600		5,134
Legrand SA	France		143,800		14,978
MISUMI Group, Inc.	Japan		494,700		8,343
OSG Corp.	Japan		152,700		2,183
Otis Worldwide Corp.	United States		68,300		6,111
Recruit Holdings Co., Ltd.	Japan		462,900		19,763
Safran SA	France		201,900		35,616
Schindler Holding AG	Switzerland		26,608		6,581
SHO-BOND Holdings Co., Ltd.	Japan		156,061		6,926
Vestas Wind Systems A/S *	Denmark		222,200		7,064
Total					292,018
Information Technology (22.1%)
Amadeus IT Group SA	Spain		271,100		19,443
ASML Holding NV	Netherlands		78,100		58,967
Azbil Corp.	Japan		342,300		11,281
BE Semiconductor Industries N.V.	Netherlands		37,350		5,628
Keyence Corp.	Japan		71,600		31,385
Lagercrantz Group AB	Sweden		111,200		1,497
Lasertec Corp.	Japan		48,700		12,728
Lectra	France		75,400		2,608
Microsoft Corp.	United States		21,500		8,085
NICE, Ltd., ADR *	Israel		26,200		5,227
The Sage Group PLC	United Kingdom		395,000		5,892
SAP SE	Germany		160,000		24,612
Spectris PLC	United Kingdom		222,600		10,683
Synopsys, Inc. *	United States		12,500		6,436
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		1,094,000		21,055
Total					225,527
Materials (8.8%)
CRH PLC	United States		403,500		27,806
Franco-Nevada Corp.	Canada		59,000		6,535
Linde PLC	United States		91,755		37,685

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

76

International Growth Portfolio

 

Common Stocks (97.6%)	Country	Shares/Par +		Value $ (000’s)
Materials continued
The Sherwin-Williams Co.	United States		55,200		17,217
Total					89,243
Total Common Stocks (Cost: $742,022)					993,947
Total Investments (97.6%) (Cost: $742,022)@					993,947
Other Assets, Less Liabilities (2.4%)					24,925
Net Assets (100.0%)					1,018,872

  

Investments by Country of Risk as a Percentage of Net Assets:
United States	28.0%
France	13.9%
Japan	11.1%
Netherlands	7.4%
United Kingdom	7.0%
Sweden	6.9%
Denmark	5.4%
Other	17.9%
Total	97.6%

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $743,501 and the net unrealized appreciation of investments based on that cost was $250,446 which is comprised of $265,423 aggregate gross unrealized appreciation and $14,977 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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
Communication Services		$	—	$	3,383	$	—
Consumer Discretionary			24,827		80,572		—
Consumer Staples			1,887		43,998		—
Energy			7,324		2,452		—
Financials			104,226		46,000		—
Health Care			7,156		65,334		—
Industrials			31,913		260,105		—
Information Technology			19,748		205,779		—
Materials			61,437		27,806		—
Total Assets:		$	258,518	$	735,429	$	—

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

77

Research International Core Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Capital appreciation.	Invest primarily in foreign equity securities, including emerging markets.	$829 million

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

International equities largely advanced during the reporting period. At the start of 2023, countries faced the strongest inflationary pressures in four decades, fueled by the global fiscal response to the Coronavirus pandemic, disrupted supply chains and the dislocations to energy markets stemming from the war in Ukraine. Central banks focused on controlling price pressures while also confronting increasing financial stability concerns. As inflationary pressures eased toward the end of 2023, financial conditions loosened in anticipation of easier monetary policy, boosting the market’s appetite for risk. Normalizing supply chains, low levels of unemployment across developed markets and signs that inflation levels had peaked contributed to a rally in international equities in the fourth quarter. Rapid advancements in artificial intelligence were a focus for investors.

China’s abandonment of its Zero-COVID policy in early 2023 ushered in a brief increase in economic activity in the world’s second-largest economy, although its momentum soon stalled as the focus turned to the country’s highly indebted property development sector.

PORTFOLIO RESULTS

The Portfolio returned 12.95% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s primary and secondary benchmarks, the MSCI^® All Country World (ex-U.S.) Index (the “Index”) and the MSCI EAFE^® Index, returned 15.62% and 18.24%, respectively. (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.)

Stock selection in the Financials sector was the primary detractor from the Portfolio’s relative performance, driven by the Portfolio’s overweight positions in insurance company AIA Group and international banking and financial services provider NatWest Group. The Portfolio’s out-of-benchmark holding of insurance provider Beazley further weighed on relative performance.

An underweight allocation to the Information Technology sector and security selection in the Consumer Staples sector also detracted from the Portfolio’s relative return. While there were no individual stocks within Information Technology among the Portfolio’s top relative detractors over the reporting period, in Consumer Staples, detraction was driven by overweight positions in U.K.-based drinks distributor Diageo and tobacco distributor British American Tobacco.

Overweight positioning in the Healthcare and Industrials sectors also detracted, particularly in Healthcare companies Kyowa Kirin, Roche Holding, QIAGEN and Merck KGaA. In the Industrials sector, an overweight in U.K. specialty chemical products maker Croda International drove detraction.

On the upside, a combination of security selection and an overweight position in the Industrials sector contributed to the Portfolio’s relative returns, led by overweight holdings of Schneider Electric and Japanese multinational conglomerate Hitachi. Security selection in the Communication Services sector also supported relative returns.

Individual stocks that contributed to the Portfolio’s relative performance include, overweight positions in pharmaceutical company Novo Nordisk, enterprise software solutions Constellation Software and investment management and banking firm UBS. The Portfolio’s holdings of out-of-benchmark industrial gas supplier Linde and integrated circuits and electronic

78

Research International Core Portfolio (unaudited)

devices developer Cadence Design Systems further contributed. Additionally, not owning shares of e-commerce platform manager Meituan bolstered relative performance.

During the reporting period, the Portfolio’s relative currency exposure, resulting primarily from differences between the Portfolio’s and the Index’s exposures to holdings of securities denominated in foreign currencies, benefited relative performance.

PORTFOLIO MANAGER OUTLOOK

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

Regardless of changing economic and market conditions, we will continue to adhere to our investment process, building a portfolio of fundamentally sound companies. The Portfolio is a sector-neutral portfolio that emphasizes bottom-up fundamental research. Because of this approach, the Portfolio’s sector weightings vary only modestly from those of the broader foreign market. Instead, we attempt to outperform the Index by holding what we believe to be the most attractive opportunities among growth and value companies within each sector of the market without regard to market capitalization.

Relative Performance  

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Research International Core Portfolio	12.95%	8.82%	4.42%
MSCI® All Country World (ex-US) Index (Net)	15.62%	7.08%	3.83%
MSCI EAFE® Index (Net)	18.24%	8.16%	4.28%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee

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

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Schneider Electric SE	3.1%
Linde PLC	3.1%
Novo Nordisk A/S - Class B	3.0%
Roche Holding AG	2.7%
Nestle SA	2.7%
LVMH Moet Hennessy Louis Vuitton SE	2.5%
Hitachi, Ltd.	1.9%
TotalEnergies SE	1.8%
London Stock Exchange Group PLC	1.6%
BNP Paribas SA	1.6%

79

Research International Core Portfolio (unaudited)

Sector Allocation 12/31/23

Sector	% of Net Assets
Financials	19.1%
Industrials	17.2%
Health Care	12.3%
Consumer Discretionary	10.4%
Information Technology	9.9%
Materials	9.8%
Consumer Staples	7.8%
Energy	5.1%
Utilities	2.8%
Communication Services	2.7%
Short-Term Investments & Other Net Assets	1.6%
Real Estate	1.3%

Sector Allocation and Top 10 Holdings are subject to change.

  

80

Research International Core Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (98.4%)	Country	Shares/ Par +		Value $ (000’s)
Communication Services (2.7%)
Advanced Info Service PCL - Foreign Shares	Thailand		737,000		4,685
carsales.com, Ltd.	Australia		127,584		2,701
Hellenic Telecommunications Organization SA	Greece		190,748		2,715
KDDI Corp.	Japan		205,500		6,524
SEEK, Ltd.	Australia		122,624		2,225
SoftBank Group Corp.	Japan		86,500		3,822
Total					22,672
Consumer Discretionary (10.4%)
Aristocrat Leisure, Ltd.	Australia		201,172		5,578
Bridgestone Corp.	Japan		128,300		5,299
Burberry Group PLC	United Kingdom		99,859		1,814
Cie Financiere Richemont SA	Switzerland		65,593		9,047
Compagnie Generale des Etablissements Michelin	France		162,886		5,853
Denso Corp.	Japan		460,200		6,902
Flutter Entertainment PLC *	Australia		15,090		2,673
Koito Manufacturing Co., Ltd.	Japan		269,800		4,192
LVMH Moet Hennessy Louis Vuitton SE	France		25,512		20,693
NIKE, Inc. - Class B	United States		29,484		3,201
Sands China, Ltd. *	Macau		960,400		2,803
Techtronic Industries Co., Ltd.	Hong Kong		607,000		7,260
Whitbread PLC	United Kingdom		81,108		3,768
Yamaha Corp.	Japan		80,500		1,856
Yum China Holdings, Inc.	China		66,259		2,811
ZOZO, Inc.	Japan		105,100		2,361
Total					86,111
Consumer Staples (7.8%)
British American Tobacco PLC	United Kingdom		296,862		8,663
Diageo PLC	United Kingdom		337,846		12,269
Heineken NV	Netherlands		68,342		6,953
Kao Corp.	Japan		155,000		6,370
Kirin Holdings Co., Ltd.	Japan		344,400		5,042
Nestle SA	United States		191,018		22,108
Seven & i Holdings Co., Ltd.	Japan		82,700		3,275
Total					64,680
Energy (5.1%)
Eni SpA	Italy		505,237		8,576
Galp Energia SGPS SA	Portugal		579,843		8,529
Reliance Industries, Ltd.	India		136,355		4,232
TotalEnergies SE	France		223,018		15,149
Woodside Energy Group, Ltd.	Australia		290,254		6,149
Total					42,635
Financials (19.1%)
AIA Group, Ltd.	Hong Kong		1,081,800		9,396
Aon PLC	United States		33,642		9,791
Bank of Ireland Group PLC	Ireland		393,764		3,569
Beazley PLC	United Kingdom		958,682		6,364

Common Stocks (98.4%)	Country	Shares/ Par +		Value $ (000’s)
Financials continued
BNP Paribas SA	France		193,574		13,412
DBS Group Holdings, Ltd.	Singapore		229,500		5,798
Euronext NV	Netherlands		146,782		12,745
HDFC Bank, Ltd.	India		317,285		6,509
Hiscox, Ltd.	United Kingdom		332,818		4,464
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		167,600		5,735
Julius Baer Group, Ltd.	Switzerland		162,935		9,155
London Stock Exchange Group PLC	United Kingdom		113,951		13,471
Macquarie Group, Ltd.	Australia		56,081		6,989
Mitsubishi UFJ Financial Group, Inc.	Japan		919,100		7,910
NatWest Group PLC	United Kingdom		3,508,539		9,792
UBS Group AG	Switzerland		328,380		10,199
Visa, Inc. - Class A	United States		34,367		8,948
Willis Towers Watson PLC	United States		16,214		3,911
Zurich Insurance Group AG	Switzerland		18,734		9,794
Total					157,952
Health Care (12.3%)
Bayer AG	Germany		113,161		4,201
ConvaTec Group PLC	United Kingdom		1,742,923		5,422
CSL, Ltd.	Australia		40,732		7,941
Kyowa Kirin Co., Ltd.	Japan		355,500		5,979
Merck KGaA	Germany		48,947		7,785
Novo Nordisk A/S - Class B	Denmark		236,919		24,506
Olympus Corp.	Japan		183,700		2,651
Qiagen NV *	United States		192,468		8,374
Roche Holding AG	United States		77,217		22,380
Sanofi	United States		59,109		5,860
Santen Pharmaceutical Co., Ltd.	Japan		324,400		3,227
Terumo Corp.	Japan		108,100		3,528
Total					101,854
Industrials (17.2%)
Cellnex Telecom SA	Spain		134,394		5,310
Daikin Industries, Ltd.	Japan		58,700		9,535
GEA Group AG	Germany		209,508		8,720
Hitachi, Ltd.	Japan		213,900		15,459
Legrand SA	France		97,277		10,132
Mitsubishi Electric Corp.	Japan		574,000		8,103
Mitsui & Co., Ltd.	Japan		114,500		4,266
MTU Aero Engines AG	Germany		32,240		6,949
Persol Holdings Co., Ltd.	Japan		1,336,000		2,286
RB Global, Inc.	Canada		70,917		4,746
Ryanair Holdings PLC *	Ireland		36,956		4,929
Schneider Electric SE	United States		129,272		26,029
Secom Co., Ltd.	Japan		32,700		2,351
SMC Corp.	Japan		20,400		10,909
Thales SA	France		33,296		4,924
Toyota Industries Corp.	Japan		79,800		6,479
Weir Group PLC	United Kingdom		192,303		4,617

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

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Common Stocks (98.4%)	Country		Shares/Par +		Value $ (000’s)
Industrials continued
Wolters Kluwer NV		Netherlands		47,165		6,702
Total						142,446
Information Technology (9.9%)
Amadeus IT Group SA		Spain		141,228		10,129
ASML Holding NV		Netherlands		6,807		5,139
Cadence Design Systems, Inc. *		United States		30,785		8,385
Constellation Software, Inc.		Canada		3,798		9,417
Fujitsu, Ltd.		Japan		68,300		10,311
Kyocera Corp.		Japan		399,600		5,808
Nomura Research Institute, Ltd.		Japan		219,900		6,372
NXP Semiconductors NV		China		23,756		5,456
Rohm Co., Ltd.		Japan		167,200		3,203
Samsung Electronics Co., Ltd.		South Korea		164,519		10,006
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		396,189		7,625
Total						81,851
Materials (9.8%)
Akzo Nobel NV		Netherlands		90,455		7,474
Croda International PLC		United Kingdom		101,348		6,513
Glencore PLC		Australia		1,848,057		11,087
Kansai Paint Co., Ltd.		Japan		167,300		2,848
Linde PLC		United States		63,005		25,877
Nitto Denko Corp.		Japan		94,100		7,016
Novozymes A/S - Class B		Denmark		82,944		4,567
Sika AG		Switzerland		27,862		9,103

Common Stocks (98.4%)	Country			Shares/Par +		Value $ (000’s)
Materials continued
Symrise AG		Germany			65,553		7,210
Total							81,695
Real Estate (1.3%)
LEG Immobilien SE *		Germany	��		119,310		10,448
Total							10,448
Utilities (2.8%)
APA Group		Australia			418,642		2,431
China Resources Gas Group, Ltd.		China			740,400		2,424
CLP Holdings, Ltd.		Hong Kong			438,000		3,610
E.ON SE		Germany			362,399		4,862
Iberdrola SA		Spain			730,747		9,557
Total							22,884
Total Common Stocks (Cost: $675,492)							815,228
Warrants (–%)
Information Technology (–%)
Constellation Software, Inc. *,Æ		Canada			5,207		–
Total							–
Total Warrants (Cost: $–)							–
Total Investments (98.4%) (Cost: $675,492)@							815,228
Other Assets, Less Liabilities (1.6%)							13,423
Net Assets (100.0%)							828,651

Investments by Country of Risk as a Percentage of Net Assets:
Japan	19.8%
United States	17.5%
United Kingdom	9.4%
France	8.4%
Germany	6.1%
Australia	5.9%
Switzerland	5.7%
Other	25.6%
Total	98.4%

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

* Non income producing

Æ Security valued using significant unobservable inputs.

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $678,393 and the net unrealized appreciation of investments based on that cost was $136,835 which is comprised of $172,380 aggregate gross unrealized appreciation and $35,545 aggregate gross unrealized depreciation.

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

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The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	6,012	$	80,099		$	—
Financials		22,650		135,302			—
Industrials		9,675		132,771			—
Information Technology		23,258		58,593			—
Materials		25,877		55,818			—
All Others		—		265,173			—
Warrants		—		—			—
Total Assets:	$	87,472	$	727,756		$	—

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2023.

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

83

International Equity Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Any income realized will be incidental.	Invests primarily in equity securities of issuers outside of the U.S. with favorable long-term potential relative to current market values.	$1.9 billion

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

Global equity markets surged in the fourth quarter of 2023 as inflation decelerated and investors became increasingly convinced the U.S. Federal Reserve would lower U.S. interest rates in 2024. As a result, most developed and emerging markets posted strong returns for the full year with both the MSCI^® ACWI ex USA Value Index and the MSCI^® ACWI ex USA Index advancing significantly. However, the MSCI^® China Index declined due to growing macroeconomic concerns and heightened geopolitical tensions. As a result, the overall MSCI^® Emerging Markets Index (which includes China) trailed developed market returns.

PORTFOLIO RESULTS

The Portfolio returned 16.09% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the MSCI^® All Country World (ex-US) Value Index (the “Index”), returned 17.30%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Despite the U.S. regional banking crisis and concerns about global financial contagion in the first half of 2023, the Financials sector contributed the most to the Portfolio’s relative return. In the eye of the financial storm, the portfolio management team added to select holdings, including BNP Paribas and Banco Santander, that later significantly outperformed, as their balance sheets proved resilient, and their earnings benefited from a combination of rising interest rates and contained credit losses. Brazilian holdings XP and Itaú Unibanco also advanced strongly. On strength, the portfolio managers trimmed several holdings, including UBS Group and sold Mitsubishi UFJ Financial Group, redeploying the proceeds into other areas of the Portfolio. Despite these reductions, the Portfolio remained overweight in Financials. The portfolio managers believed holdings in the Financials sector have attractive risk/reward profiles due to their resilient balance sheets, improved profitability, attractive capital return and inexpensive valuations.

Consumer-related companies also contributed to the Portfolio’s relative return. This is an area of the market where the portfolio managers had previously not found much value due to relatively expensive valuations. However, a handful of companies that the portfolio managers have been monitoring finally became compelling. For example, in the Chemicals sector, the portfolio managers started a position in International Flavors and Fragrances (IFF), a global leader in selling flavors, scents and other key ingredients to food, beverage and consumer products companies. IFF operates in an attractive, consolidated and resilient market. Other consumer-related new purchases included the German apparel and footwear manufacturer Adidas, multinational food products company Danone and fast-food restaurant operator Yum China Holdings.

During the year, the Health Care sector had the largest negative impact on relative performance. The underperformance can be attributed to an overweight position relative to the Index and stock selection. Additionally, stock selection in other sectors, such as Consumer Discretionary, Industrials, Energy, and Information Technology also contributed to underperformance relative to the Index.

PORTFOLIO MANAGER OUTLOOK

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

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International Equity Portfolio (unaudited)

Overall, we continue to be enthusiastic about the Portfolio, which is diversified by sector, geography and investment thesis. The opportunity set of attractive companies has broadened amongst the market volatility of the past two years. Our experienced investment team’s deep institutional knowledge of companies and industry dynamics enables us to unearth new opportunities and adjust the Portfolio’s positioning. The valuation gap between value stocks and growth stocks remains wide, international stocks are inexpensive relative to U.S. stocks and the valuation spread between stocks benefiting from, and those hindered by, low interest rates remains significant. We focus on finding individual companies with strong business fundamentals and attractive valuations. This combination provides a compelling foundation for long term returns.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
International Equity Portfolio	16.09%	4.47%	1.68%
MSCI® All Country World (ex-US) Value Index (Net)	17.30%	6.34%	2.92%
MSCI® All Country World (ex-US) Index (Net)	15.62%	7.08%	3.83%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
BNP Paribas SA	3.5%
UBS Group AG	3.3%
Sanofi	3.3%
Banco Santander SA	3.2%
Novartis AG	3.2%
TotalEnergies SE	2.9%
GSK PLC	2.9%
Holcim, Ltd.	2.7%
Itau Unibanco Holding SA	2.6%
Axis Bank, Ltd.	2.4%

Sector Allocation 12/31/23

Sector	% of Net Assets
Financials	25.9%
Health Care	14.4%
Materials	12.0%
Consumer Discretionary	11.5%
Energy	8.1%
Consumer Staples	7.7%
Industrials	6.6%
Information Technology	6.5%
Communication Services	3.3%
Short-Term Investments & Other Net Assets	1.9%
Real Estate	1.6%
Utilities	0.5%

Sector Allocation and Top 10 Holdings are subject to change.

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International Equity Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (94.4%)	Country	Shares/Par +		Value $ (000’s)
Communication Services (3.3%)
Baidu, Inc., ADR *	China		88,000		10,480
Deutsche Telekom AG	Germany		1,050,000		25,215
Grupo Televisa SAB, ADR	Mexico		1,850,000		6,179
Liberty Global, Ltd. - Class A *	Belgium		155,000		2,754
Liberty Global, Ltd. - Class C *	Belgium		327,000		6,095
Millicom International Cellular SA, SDR *	Guatemala		360,000		6,452
NetEase, Inc., ADR	China		60,000		5,590
Total					62,765
Consumer Discretionary (11.5%)
adidas AG	Germany		54,100		11,001
Alibaba Group Holding, Ltd., ADR	China		460,000		35,655
Booking Holdings, Inc. *	United States		7,000		24,831
Entain PLC	United Kingdom		1,950,337		24,635
Flutter Entertainment PLC *	Australia		20,000		3,522
Honda Motor Co., Ltd.	Japan		1,975,100		20,416
JD.com, Inc., ADR	China		665,000		19,212
Prosus NV	China		1,490,000		44,427
Stellantis NV	United States		1,225,000		28,688
Yum China Holdings, Inc.	China		96,051		4,075
Total					216,462
Consumer Staples (7.7%)
Anheuser-Busch InBev SA/NV	Belgium		545,000		35,210
Beiersdorf AG	Germany		95,000		14,234
Danone SA	France		270,000		17,513
Haleon PLC	United States		6,500,000		26,612
Imperial Brands PLC	United Kingdom		1,625,000		37,342
Seven & i Holdings Co., Ltd.	Japan		355,000		14,060
Total					144,971
Energy (8.1%)
Equinor ASA	Norway		530,000		16,790
Ovintiv, Inc.	United States		595,000		26,133
Suncor Energy, Inc.	Canada		1,135,000		36,365
TC Energy Corp.	Canada		475,000		18,568
TotalEnergies SE	France		810,000		55,022
Total					152,878
Financials (23.4%)
Aegon, Ltd.	Netherlands		2,150,000		12,463
Aviva PLC	United Kingdom		4,301,600		23,793
Axis Bank, Ltd.	India		3,359,299		44,435
Banco Santander SA	Spain		14,550,000		60,738
Barclays PLC	United Kingdom		22,350,000		43,533
BNP Paribas SA	France		945,000		65,476
Credicorp, Ltd.	Peru		140,000		20,990
HDFC Bank, Ltd.	India		438,000		8,985
ICICI Bank, Ltd.	India		1,553,822		18,583
Prudential PLC	Hong Kong		1,905,000		21,445
Standard Chartered PLC	United Kingdom		4,411,996		37,321
UBS Group AG	Switzerland		1,983,312		61,599

Common Stocks (94.4%)	Country		Shares/Par +		Value $ (000’s)
Financials continued
XP, Inc. - Class A		Brazil		730,000		19,031
Total						438,392
Health Care (14.4%)
Bayer AG		Germany		562,680		20,889
Fresenius Medical Care AG		Germany		515,200		21,544
GSK PLC		United States		2,920,000		53,936
Novartis AG		Switzerland		585,000		59,067
Olympus Corp.		Japan		835,000		12,050
Roche Holding AG		United States		141,500		41,011
Sanofi		United States		620,000		61,468
Total						269,965
Industrials (6.6%)
Johnson Controls International PLC		United States		770,000		44,383
Mitsubishi Electric Corp.		Japan		2,675,000		37,762
Nidec Corp.		Japan		160,000		6,520
Schneider Electric SE		United States		85,000		17,115
Smiths Group PLC		United Kingdom		790,000		17,727
Total						123,507
Information Technology (5.3%)
Brother Industries, Ltd.		Japan		385,000		6,129
Infineon Technologies AG		Germany		140,000		5,839
Kyocera Corp.		Japan		1,020,000		14,826
Murata Manufacturing Co., Ltd.		Japan		855,000		18,057
Samsung Electronics Co., Ltd.		South Korea		40,000		2,433
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		1,550,000		29,830
TE Connectivity, Ltd.		United States		155,000		21,778
Total						98,892
Materials (12.0%)
Akzo Nobel NV		Netherlands		460,000		38,008
Glencore PLC		Australia		4,800,000		28,796
Holcim, Ltd. *		United States		640,000		50,258
International Flavors & Fragrances, Inc.		United States		205,000		16,599
Linde PLC		United States		49,000		20,125
Mitsubishi Chemical Group Corp.		Japan		4,700,000		28,720
Nutrien, Ltd.		Canada		325,000		18,307
Teck Resources, Ltd. - Class B		Canada		560,000		23,671
Total						224,484

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

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International Equity Portfolio

 

Common Stocks (94.4%)	Country		Shares/Par +		Value $ (000’s)
Real Estate (1.6%)
CK Asset Holdings, Ltd.		Hong Kong		2,435,500		12,179
Daito Trust Construction Co., Ltd.		Japan		110,000		12,733
Hang Lung Group, Ltd.		Hong Kong		3,500,000		4,774
Total						29,686
Utilities (0.5%)
Engie SA *		France		525,000		9,232
Total						9,232
Total Common Stocks (Cost: $1,762,635)						1,771,234

Preferred Stocks (3.7%)	Country		Shares/Par +		Value $ (000’s)
Financials (2.5%)
Itau Unibanco Holding SA		Brazil		6,870,000		47,771
Total						47,771
Information Technology (1.2%)
Samsung Electronics Co., Ltd.South Korea				460,000		22,182
Total						22,182
Total Preferred Stocks (Cost: $54,133)						69,953
Total Investments (98.1%) (Cost: $1,816,768)@						1,841,187
Other Assets, Less Liabilities (1.9%)						36,088
Net Assets (100.0%)						1,877,275

Investments by Country of Risk as a Percentage of Net Assets:
United States	23.2%
United Kingdom	9.8%
Japan	9.1%
France	7.8%
China	6.4%
Switzerland	6.4%
Germany	5.3%
Canada	5.2%
Other	24.9%
Total	98.1%

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	CNH		18,654		2,619	1/10/24	$	162	$	—		$	162
Sell	HSBC Bank USA	CNH		37,299		5,238	1/10/24		334		—			334
Sell	JP Morgan Chase Bank NA	CNH		55,947		7,856	1/10/24		497		—			497
Sell	Bank of America NA	CNH		1,325		186	2/7/24		13		—			13
Sell	Goldman Sachs Bank USA	CNH		1,325		186	2/7/24		13		—			13
Sell	HSBC Bank USA	CNH		12,011		1,689	2/7/24		15		—			15
Sell	JP Morgan Chase Bank NA	CNH		1,325		186	2/7/24		13		—			13
Sell	Barclays Bank PLC	CNH		3,663		517	3/13/24		6		—			6
Sell	HSBC Bank USA	CNH		106,490		15,017	3/13/24		70		—			70
Sell	UBS AG	CNH		14,385		2,029	3/13/24		9		—			9
Sell	Citibank NA	CNH		10,735		1,518	4/17/24		14		—			14
Sell	HSBC Bank USA	CNH		4,539		642	4/17/24		34		—			34
Sell	JP Morgan Chase Bank NA	CNH		65,626		9,277	4/17/24		38		—			38
Sell	UBS AG	CNH		21,470		3,036	4/17/24		29		—			29
Sell	Bank of America NA	CNH		11,718		1,660	5/22/24		10		—			10
Sell	Barclays Bank PLC	CNH		11,718		1,660	5/22/24		11		—			11
Sell	Citibank NA	CNH		11,718		1,660	5/22/24		14		—			14
Sell	JP Morgan Chase Bank NA	CNH		11,718		1,660	5/22/24		12		—			12
Sell	UBS AG	CNH		7,700		1,091	5/22/24		—		(21	)		(21)
Sell	Bank of America NA	CNH		51,413		7,293	6/5/24		33		—			33
Sell	HSBC Bank USA	CNH		7,768		1,102	6/5/24		—		(19	)		(19)
Sell	UBS AG	CNH		9,090		1,295	8/14/24		—		(10	)		(10)
Sell	Bank of America NA	CNH		8,151		1,163	9/12/24		—		(21	)		(21)
Sell	HSBC Bank USA	CNH		24,454		3,489	9/12/24		—		(63	)		(63)

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

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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	JP Morgan Chase Bank NA		CNH		9,090		1,297		9/12/24	$	—	$	(9	)	$	(9)
Sell	HSBC Bank USA		CNH		18,325		2,621		10/17/24		—		(32	)		(32)
Sell	UBS AG		CNH		9,235		1,321		10/17/24		—		(23	)		(23)
Sell	HSBC Bank USA		CNH		33,638		4,816		11/7/24		—		(74	)		(74)
Sell	UBS AG		CNH		21,772		3,117		11/7/24		—		(47	)		(47)
Sell	HSBC Bank USA		CNH		24,260		3,478		12/5/24		7		—			7
Sell	JP Morgan Chase Bank NA		CNH		12,130		1,739		12/5/24		4		—			4
Sell	UBS AG		CNH		24,260		3,478		12/5/24		7		—			7
Sell	State Street Bank And Trust Company		CNY		6,354		916		8/14/24		—		(27	)		(27)
										$	1,345	$	(346	)	$	999

	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	$	1,345		—	$	1,345	$	(346)		—		—	$	(346)

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

* Non income producing

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,826,909 and the net unrealized appreciation of investments based on that cost was $15,277 which is comprised of $214,884 aggregate gross unrealized appreciation and $199,607 aggregate gross unrealized depreciation.

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

88

International Equity Portfolio

 

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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		$	—	$	69,953		$	—
Common Stocks
Communication Services			31,098		31,667			—
Consumer Discretionary			83,773		132,689			—
Energy			81,066		71,812			—
Financials			40,021		398,371			—
Industrials			44,383		79,124			—
Information Technology			21,778		77,114			—
Materials			78,702		145,782			—
All Others			—		453,854			—
Other Financial Instruments^
Forward Foreign Currency Contracts			—		1,345			—
Total Assets:		$	380,821	$	1,461,711		$	—
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts			—		(346	)		—
Total Liabilities:		$	—	$	(346	)	$	—

^ 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.

89

Emerging Markets Equity Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Capital Appreciation.	Invest in equity securities of issuers that are tied economically to emerging market countries.	$922 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Emerging Markets Equity Portfolio (“the Portfolio”), has engaged abrdn Investments Limited (“abrdn”) to act as sub-adviser for the Portfolio. The Portfolio normally invests in equity securities of issuers that are tied economically to emerging market countries. Emerging market countries include countries determined by the Portfolio’s portfolio managers to have emerging market economies, taking into account a number of factors, such as the country’s credit rating, its political and economic stability and the development of its financial and capital markets. The Portfolio may invest in companies of any size. The Portfolio employs a fundamental “bottom up” equity investment style, which is characterized by intensive, first-hand research and disciplined company evaluation. Investments are identified for their long-term, fundamental value.

MARKET OVERVIEW

Emerging markets advanced for 2023 despite an extremely challenging year, although they lagged developed markets. Sentiment was driven largely by interest rate expectations and China’s economic outlook. Successive interest rate hikes from the U.S. Federal Reserve (the “Fed”) to tame U.S. inflation initially led to recession fears. However, as the year progressed, markets turned hopeful that interest rates might be nearing a peak, and the U.S. economy was on track for a soft landing.

Meanwhile, optimism surrounding China’s post-Coronavirus pandemic reopening weakened as economic data missed the market’s high expectations. Chinese authorities enacted proactive policies to help the economy, particularly the troubled property sector. However, despite suggestions of a prolonged economic recovery, which emerged as the measures began to affect the economy, investors continue to wait for a more sustainable and meaningful rebound. Chinese stocks ended the year as notable laggards, even as all other major emerging markets advanced.

PORTFOLIO RESULTS

The Portfolio returned 6.91% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the MSCI^® Emerging Markets Index (the “Index”) returned 9.83%. (This Index is unmanaged, cannot be invested in directly and does not incur expenses.)

The major detractor from the Portfolio’s relative returns was China, including the off-benchmark position in Hong Kong. The Portfolio’s domestic consumption-focused companies declined despite solid fundamentals, as investors rotated into large state-owned enterprises and value oriented companies. Sluggish sales in Hainan weighed on China Tourism Group Duty Free, while luxury car dealer Zhongsheng Group faced pressure from weak consumer sentiment and lackluster car sales. WuXi Biologics shares declined toward the end of 2023, as the company lowered its guidance due to soft biotechnology funding prospects and project delays. The Portfolio’s Hong Kong-listed holdings also detracted despite posting resilient quarterly earnings, as weak investor sentiment carried over from the general Chinese market.

South African miner Anglo American Platinum also detracted from the Portfolio’s relative performance due to the decline in spot prices for the platinum group of metals it produces. However, its share price rebounded in the fourth quarter of 2023 on improving sentiment for precious metals, in particular platinum and palladium.

On the upside, stock selection in Brazil and Mexico contributed to the Portfolio’s relative performance, as holdings there were supported by positive market sentiment on the back of encouraging economic indicators and domestic consumption strength, as well as growing expectations that global interest rates were nearing their peak. Mexico further benefitted from nearshoring trends due to a global effort by companies to diversify their supply chains and reduce reliance on China. Mexican conglomerate Fomento Economico Mexicano (FEMSA) and lender Grupo Financiero Banorte rallied, while Latin American e-commerce company MercadoLibre advanced on strong domestic consumption trends and competitive strength.

Semiconductor-related holdings in ASM, ASML Holding and Taiwan Semiconductor Manufacturing Company also contributed, advancing amid an artificial intelligence-driven tech rally and expectations of a broader technology recovery as the year progressed, particularly in the memory sector.

90

Emerging Markets Equity Portfolio (unaudited)

Other major stock contributors included India’s UltraTech Cement, which was buoyed by the ongoing public sector push for infrastructure development, and Power Grid Corporation of India, which outperformed on positive market sentiment.

PORTFOLIO MANAGER OUTLOOK

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

The outlook for emerging markets remains encouraging. With inflation near target levels in many parts of emerging markets, we are at the early stages of a monetary easing cycle — ahead of the Fed, which is widely expected to start cutting rates in 2024. China’s gradual consumption recovery is still underway, and the government remains committed to supporting growth through widespread policy support. Meanwhile, India continues to be an emerging star, underpinned by a robust domestic economy.

Emerging market valuations remain undemanding, both relative to history and versus the U.S. Our companies are, on the whole, delivering results, which we believe will be rewarded by the market. We expect our more domestic oriented positions in China, which weighed on performance in 2023, to do better as the economy stabilises and recovers. We remain focused on businesses with quality characteristics, including sustainable free cash flow generation and earnings growth, pricing power and low debt levels.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Emerging Markets Equity Portfolio	6.91%	3.13%	1.44%
MSCI® Emerging Markets Index (Net)	9.83%	3.68%	2.66%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude

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

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Taiwan Semiconductor Manufacturing Co., Ltd.	9.4%
Samsung Electronics Co., Ltd., Various	7.1%
Tencent Holdings, Ltd.	5.5%
HDFC Bank, Ltd.	4.0%
Alibaba Group Holding, Ltd.	4.0%
SBI Life Insurance Co., Ltd.	2.6%
AIA Group, Ltd.	2.2%
Power Grid Corp. of India, Ltd.	2.2%
Fomento Economico Mexicano SAB de CV, ADR	1.9%
TotalEnergies SE	1.9%

91

Emerging Markets Equity Portfolio (unaudited)

Sector Allocation 12/31/23

Sector	% of Net Assets
Information Technology	26.4%
Financials	24.4%
Consumer Discretionary	11.2%
Consumer Staples	7.9%
Materials	6.9%
Communication Services	6.5%
Industrials	6.1%
Energy	3.6%
Health Care	2.3%
Utilities	2.2%
Short-Term Investments & Other Net Assets	1.3%
Real Estate	1.2%

Sector Allocation and Top 10 Holdings are subject to change.

92

Emerging Markets Equity Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (93.6%)	Country	Shares/ Par +		Value $ (000’s)
Communication Services (6.5%)
Telkom Indonesia Persero Tbk PT	Indonesia		36,276,100		9,311
Tencent Holdings, Ltd.	China		1,337,100		50,517
Total					59,828
Consumer Discretionary (11.2%)
Alibaba Group Holding, Ltd.	China		3,807,500		36,797
Americana Restaurants International PLC	United Arab Emirates		7,774,929		6,652
ANTA Sports Products, Ltd.	China		515,600		5,025
China Tourism Group Duty Free Corp., Ltd. - Class H	China		383,100		3,755
China Tourism Group Duty Free Corp., Ltd. - Class A	China		317,586		3,739
Li Auto, Inc. - Class A *	China		477,600		8,947
Maruti Suzuki India, Ltd.	India		81,998		10,144
MercadoLibre, Inc. *	Brazil		6,664		10,473
Midea Group Co., Ltd. - Class A	China		1,758,866		13,543
Zhongsheng Group Holdings, Ltd.	China		1,814,000		4,375
Total					103,450
Consumer Staples (7.9%)
Budweiser Brewing Co. APAC, Ltd.	China		3,315,500		6,190
Fomento Economico Mexicano SAB de CV, ADR	Mexico		135,521		17,665
Hindustan Unilever, Ltd.	India		479,301		15,333
Kweichow Moutai Co., Ltd. - Class A	China		70,673		17,167
Raia Drogasil SA	Brazil		2,711,651		16,367
Total					72,722
Energy (3.6%)
LUKOIL PJSC *,Æ	Russia		225,143		–
NovaTek PJSC *,Æ	Russia		795,201		–
PRIO SA	Brazil		855,203		8,079
Saudi Arabian Oil Co.	Saudi Arabia		871,178		7,679
TotalEnergies SE	France		259,493		17,627
Total					33,385
Financials (24.4%)
AIA Group, Ltd.	Hong Kong		2,356,600		20,468
Al Rajhi Bank	Saudi Arabia		654,593		15,177
B3 SA - Brasil, Bolsa, Balcao	Brazil		4,349,566		12,935
Bank Negara Indonesia Persero Tbk PT	Indonesia		27,331,700		9,525
Bank Rakyat Indonesia Persero Tbk PT	Indonesia		46,581,356		17,270
Cholamandalam Investment and Finance Co., Ltd.	India		265,162		4,009
Credicorp, Ltd.	Peru		38,913		5,834
Grupo Financiero Banorte SAB de CV	Mexico		1,624,351		16,334

Common Stocks (93.6%)	Country	Shares/ Par +		Value $ (000’s)
Financials continued
HDFC Bank, Ltd.	India		1,798,676		36,899
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		251,492		8,605
Itausa SA - Preference Shares	Brazil		6,852,808		14,567
Kaspi.KZ Joint Stock Co.	Kazakhstan		139,880		12,869
Kotak Mahindra Bank, Ltd.	India		645,745		14,796
Sanlam, Ltd.	South Africa		2,866,116		11,413
Sberbank of Russia PJSC *,Æ	Russia		1,471,064		–
SBI Life Insurance Co., Ltd.	India		1,391,054		23,938
Total					224,639
Health Care (2.3%)
Shenzhen Mindray Bio- Medical Electronics Co., Ltd.	China		350,215		14,372
Wuxi Biologics Cayman, Inc. *	China		1,793,500		6,775
Total					21,147
Industrials (6.1%)
Grupo Aeroportuario del Sureste SAB de CV - Class B	Mexico		318,330		9,325
HD Korea Shipbuilding & Offshore Engineering Co., Ltd. *	South Korea		102,970		9,637
NARI Technology Co., Ltd. - Class A	China		3,297,898		10,403
Samsung Engineering Co., Ltd. *	South Korea		592,172		13,282
Sociedad Quimica y Minera de Chile SA	Chile		78,669		4,737
Sungrow Power Supply Co., Ltd. - Class A	China		731,000		9,013
Total					56,397
Information Technology (21.3%)
Accton Technology Corp.	Taiwan		623,000		10,556
ASM International NV	Netherlands		23,927		12,460
ASML Holding NV	Netherlands		11,763		8,881
Delta Electronics, Inc.	Taiwan		927,000		9,441
Globant SA *	United States		43,141		10,267
Hon Hai Precision Industry Co., Ltd.	Taiwan		2,686,000		9,136
MediaTek, Inc.	Taiwan		506,000		16,665
Samsung Electronics Co., Ltd.	South Korea		304,844		18,541
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		4,503,290		86,668
Tata Consultancy Services, Ltd.	India		307,320		13,993
Total					196,608
Materials (6.9%)
Anglo American Platinum, Ltd.	South Africa		156,276		8,216
LG Chem, Ltd. *	South Korea		39,028		15,033
Mondi PLC	Austria		454,850		9,028

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

93

Emerging Markets Equity Portfolio

 

Common Stocks (93.6%)	Country	Shares/ Par +			Value $ (000’s)
Materials continued
Southern Copper Corp.	Mexico		177,916			15,313
UltraTech Cement, Ltd.	India		129,963			16,392
Total						63,982
				��
Real Estate (1.2%)
China Resources Land, Ltd.	China		2,934,000			10,585
Total						10,585
Utilities (2.2%)
Power Grid Corp. of India, Ltd.	India		7,083,013			20,164
Total						20,164
Total Common Stocks (Cost: $835,274)						862,907

Preferred Stocks (5.1%)	Country	Shares/ Par +		Value $ (000’s)
Information Technology (5.1%)
Samsung Electronics Co., Ltd.	South Korea		977,245		47,125
Total					47,125
Total Preferred Stocks (Cost: $39,073)					47,125
Total Investments (98.7%) (Cost: $874,347)@					910,032
Other Assets, Less Liabilities (1.3%)					11,785
Net Assets (100.0%)					921,817

Investments by Country of Risk as a Percentage of Net Assets:
China	21.9%
India	16.9%
Taiwan	14.3%
South Korea	11.2%
Brazil	6.8%
Mexico	6.3%
Other	21.3%
Total	98.7%

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

* Non income producing

Æ Security valued using significant unobservable inputs.

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $882,867 and the net unrealized appreciation of investments based on that cost was $27,165 which is comprised of $173,524 aggregate gross unrealized appreciation and $146,359 aggregate gross unrealized depreciation.

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

94

Emerging Markets Equity Portfolio

 

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	—	$	47,125	$	—
Common Stocks
Consumer Discretionary		10,473		92,977		—
Consumer Staples		17,665		55,057		—
Energy		—		33,385		—
Financials		35,037		189,602		—
Industrials		14,062		42,335		—
Information Technology		10,267		186,341		—
Materials		15,313		48,669		—
All Others		—		111,724		—
Total Assets:	$	102,817	$	807,215	$	—

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2023.

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

95

Government Money Market Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Maximum current income to the extent consistent with liquidity and stability of capital.	Invest in short-term fixed income obligations issued or guaranteed by the U.S. Government, its agencies or instrumentalities.	$526 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Government Money Market Portfolio (the “Portfolio”), has engaged BlackRock Advisors, LLC (“BlackRock”) to act as sub-adviser for the Portfolio. The Portfolio invests at least 99.5% of its total assets in cash, U.S. Treasury bills, notes and other obligations issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities and repurchase agreements secured by such obligations or cash. The Portfolio invests in a portfolio of securities maturing in 397 days or less (with certain exceptions) that will have a dollar-weighted average maturity of 60 days or less and a dollar-weighted average life of 120 days or less. The Portfolio seeks to maintain a net asset value of $1.00 per share.

MARKET OVERVIEW

At the onset of 2023, the U.S. Federal Reserve (the “Fed”) slowly continued to reduce fiscal accommodation, remaining highly attentive to inflation risks and anticipating the possible necessity of additional policy firming to reduce inflation to its 2% objective. As the year progressed, the Fed shifted focus from the amount of tightening to how long the restrictive stance should be maintained and the importance of minimizing the risk of elevated inflation with a slowing economy. At its December 2023 meeting, the Fed kept its benchmark interest rate unchanged for the third consecutive time, leaving it within the range of 5.25% to 5.50%. Additionally, the Fed signaled ending its rate-hiking campaign altogether in 2024.

Issuance of U.S. Treasurys increased in 2023. Following a mid-year debt ceiling impasse, President Biden signed the Fiscal Responsibility Act in June 2023, permitting the U.S. Treasury to again issue all necessary debt to cover expenditures. The U.S. Treasury issued over $1.6 trillion net new bills through the end of the year. Investors absorbed this new supply by reducing their use of the New York Federal Reserve (RRP) facility. Facility use fell from a 2023 calendar-year high of $2.375 trillion to a low of $683 billion by mid-December 2023.

PORTFOLIO RESULTS

The Portfolio returned 4.83% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the ICE BofA^® US 3-Month Treasury Bill Index (the “Index”), returned 5.01%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

The Fed’s shifting narrative altered the investment strategy of the Portfolio throughout 2023. During the first half of the year, a shorter duration profile was maintained as a majority of Portfolio investments were targeted in overnight Repurchase Agreements and in short-dated U.S. Treasury and Agency debt. As of June 30, 2023, the weighted average maturity (“WAM”) and weighted average life (“WAL”) of the Portfolio were 15 days and 53 days, respectively. Additionally, approximately 61% of the Portfolio was allocated into overnight Repurchase Agreements, 6% in U.S. Treasury debt and 33% in U.S. Agency debt. The Portfolio’s relative performance benefited from this posture as the Fed continued to move its benchmark rate higher.

Concerns regarding the debt ceiling also impacted investment decisions. The Treasury General Account (“TGA”) cash balance fell to a low of approximately $45 billion prior to the debt ceiling resolution, significantly diminishing U.S. Treasury bill supply. To rebuild the TGA, the U.S. Treasury largely increased supply to replenish extraordinary measures and fund chronic budget deficits.

During the second half of 2023, with a shift in focus from the Fed and the debt ceiling resolved, the Portfolio’s investment bias moved toward a longer duration profile. Targeted investments in longer-tenor, fixed rate securities, specifically 6 to 12-month issuance, were executed to lock-in yields at current market levels. As of December 29, 2023, the WAM and WAL of the Portfolio were 37 days and 90 days, respectively. A longer duration profile is expected to benefit the Portfolio’s relative performance as the tightening cycle concludes and the Fed signals it will begin lowering interest rates.

PORTFOLIO MANAGER OUTLOOK

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

96

Government Money Market Portfolio (unaudited)

The Summary of Economic Projections (SEP) was updated at the Fed’s December 2023 meeting, and the median federal funds rate forecast for the end of 2024 was revised from 5.10% to 4.60%. At the end of 2023, markets were pricing in 75 bps in additional rate cuts by the Fed by the end of 2024. We believe this is slightly overdone and are looking for pockets of opportunity in the 6-month space and potentially out to 1-year to continue to lock in higher long-term rates. Our assessment of the timing and magnitude of any future downward adjustments in the Fed’s key policy rate will continue to affect our investment strategy.

Net new U.S. Treasury bill supply is expected to increase in the first quarter of 2024. Demand, in our view, will be driven by investor’s assessment of future monetary policy actions and prevailing valuations.

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.

97

Government Money Market Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Money Market Investments (99.9%)	Shares/Par +		Value $ (000’s)
Repurchase Agreements (44.8%)
Tri-Party Bank of Montreal, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $20,011,844, collateralized by US Treasury Bill, 0.000%, due 5/9/2024, par and fair value of $20,792,500 and $20,400,083, respectively)		20,000,000		20,000
Tri-Party Bank of Nova Scotia, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $20,011,844, collateralized by various US Treasury obligations, 0.000% to 5.000%, due from 12/26/2024 to 11/15/2053, aggregate par and fair value of $20,471,993 and $20,412,127, respectively)		20,000,000		20,000
Tri-Party BNP Paribas, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $15,008,900, collateralized by various US Treasury obligations, 0.000% to 5.000%, due from 1/15/2024 to 11/15/2050, aggregate par and fair value of $26,749,934 and $15,300,000, respectively)		15,000,000		15,000
Tri-Party BNP Paribas, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $5,002,972, collateralized by US government sponsored agency and various US government sponsored agency obligations, 2.000% to 7.000%, due from 1/15/2026 to 12/20/2063, aggregate par and fair value of $5,224,449 and $5,100,001, respectively)		5,000,000		5,000
Tri-Party Citigroup Global Markets, Inc., 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $10,005,944, collateralized by various US government sponsored agency obligations, 5.500% to 6.500%, due from 6/20/2053 to 6/20/2053, aggregate par and fair value of $10,137,989 and $10,200,951, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, Inc., 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $10,005,922, collateralized by various US Treasury obligations, 4.250% to 4.625%, due from 2/28/2025 to 5/31/2025, aggregate par and fair value of $10,220,835 and $10,200,058, respectively)		10,000,000		10,000

Money Market Investments (99.9%)	Shares/Par +		Value $ (000’s)
Repurchase Agreements continued
Tri-Party Goldman Sachs Group LP, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $30,017,833, collateralized by various US government sponsored agency obligations, 2.000% to 5.500%, due from 3/20/2025 to 3/20/2051, aggregate par and fair value of $35,290,815 and $30,600,000, respectively)		30,000,000		30,000
Tri-Party Mitsubishi UFJ, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $30,017,833, collateralized by various US government sponsored agency obligations, 2.500% to 6.500%, due from 3/20/2029 to 9/20/2053, aggregate par and fair value of $30,593,687 and $30,600,000, respectively)		30,000,000		30,000
Tri-Party Mizuho Securities, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $30,017,833, collateralized by US Treasury Bond, 3.875%, due 8/15/2040, par and fair value of $31,229,451 and $30,600,021, respectively)		30,000,000		30,000
Tri-Party Morgan Stanley, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $30,017,767, collateralized by various US Treasury obligations, 0.000% to 3.625%, due from 3/31/2030 to 8/15/2042, aggregate par and fair value of $43,825,322 and $30,600,055, respectively)		30,000,000		30,000
Tri-Party Natixis S.A., 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $20,011,844, collateralized by various US Treasury obligations, 0.000% to 4.750%, due from 3/31/2026 to 11/15/2053, aggregate par and fair value of $22,643,940 and $20,400,000, respectively)		20,000,000		20,000
Tri-Party TD Securities, 0.000%, 1/2/24 (Purchased on 12/29/23, to be repurchased at $16,009,511, collateralized by various US government sponsored agency obligations, 6.000% to 8.000%, due from 3/20/2053 to 12/20/2053, aggregate par and fair value of $15,658,536 and $16,320,000, respectively)		16,000,000		16,000
Total				236,000

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

98

Government Money Market Portfolio

 

Money Market Investments (99.9%)	Shares/Par +		Value $ (000’s)
US Government & Agencies (55.1%)
Federal Farm Credit Bank, 0.000%, 9/19/24		1,290,000		1,241
Federal Farm Credit Bank, 5.125%, 12/4/24		785,000		785
Federal Farm Credit Bank, 5.445%, (US SOFR plus 0.045%), 2/20/24		4,010,000		4,010
Federal Farm Credit Bank, 5.450%, (US SOFR plus 0.050%), 5/9/24		2,425,000		2,425
Federal Farm Credit Bank, 5.455%, (US SOFR plus 0.055%), 1/10/24		505,000		505
Federal Farm Credit Bank, 5.485%, (US SOFR plus 0.085%), 9/23/24		1,720,000		1,720
Federal Farm Credit Bank, 5.490%, (US SOFR plus 0.090%), 8/26/24		4,540,000		4,540
Federal Farm Credit Bank, 5.500%, (US SOFR plus 0.100%), 8/1/24		1,095,000		1,095
Federal Farm Credit Bank, 5.540%, (US SOFR plus 0.140%), 11/7/24		3,100,000		3,100
Federal Farm Credit Bank, 5.540%, (US SOFR plus 0.140%), 5/27/25		3,225,000		3,225
Federal Farm Credit Bank, 5.570%, (US SOFR plus 0.170%), 1/23/25		2,685,000		2,685
Federal Home Loan Bank, 0.000%, 2/5/24		292,000		291
Federal Home Loan Bank, 0.000%, 6/17/24		500,000		488
Federal Home Loan Bank, 0.000%, 2/9/24		7,580,000		7,539
Federal Home Loan Bank, 0.000%, 2/2/24		1,810,000		1,803
Federal Home Loan Bank, 0.000%, 2/15/24		1,645,000		1,634
Federal Home Loan Bank, 0.000%, 3/1/24		990,000		981
Federal Home Loan Bank, 0.000%, 6/10/24		9,650,000		9,423
Federal Home Loan Bank, 0.000%, 4/15/24		1,815,000		1,787
Federal Home Loan Bank, 0.000%, 11/1/24		5,148,000		4,929
Federal Home Loan Bank, 0.000%, 11/4/24		1,194,000		1,144
Federal Home Loan Bank, 0.000%, 8/2/24		1,425,000		1,382
Federal Home Loan Bank, 0.000%, 9/3/24		593,000		573
Federal Home Loan Bank, 0.000%, 1/4/24		3,160,000		3,159
Federal Home Loan Bank, 4.900%, 4/15/24		3,595,000		3,588
Federal Home Loan Bank, 5.430%, (US SOFR plus 0.030%), 1/4/24		7,800,000		7,800
Federal Home Loan Bank, 5.435%, (US SOFR plus 0.035%), 1/19/24		3,420,000		3,420
Federal Home Loan Bank, 5.435%, (US SOFR plus 0.035%), 1/26/24		7,550,000		7,550
Federal Home Loan Bank, 5.435%, (US SOFR plus 0.035%), 2/5/24		2,100,000		2,100
Federal Home Loan Bank, 5.440%, (US SOFR plus 0.040%), 1/23/24		3,180,000		3,180
Federal Home Loan Bank, 5.440%, (US SOFR plus 0.040%), 1/29/24		2,400,000		2,400
Federal Home Loan Bank, 5.440%, (US SOFR plus 0.040%), 2/20/24		13,760,000		13,760
Federal Home Loan Bank, 5.450%, (US SOFR plus 0.050%), 3/25/24		4,240,000		4,240
Federal Home Loan Bank, 5.470%, (US SOFR plus 0.070%), 7/12/24		780,000		780
Federal Home Loan Bank, 5.480%, (US SOFR plus 0.080%), 1/24/24		8,000,000		8,000
Federal Home Loan Bank, 5.505%, (US SOFR plus 0.105%), 10/28/24		2,300,000		2,300
Federal Home Loan Bank, 5.530%, 1/8/25		2,155,000		2,155
Federal Home Loan Bank, 5.560%, (US SOFR plus 0.160%), 7/21/25		4,330,000		4,330
Federal Home Loan Bank, 5.600%, (US SOFR plus 0.200%), 11/13/25		3,270,000		3,270

Money Market Investments (99.9%)	Shares/Par +		Value $ (000’s)
US Government & Agencies continued
US Treasury, 0.000%, 1/11/24		5,135,000		5,127
US Treasury, 0.000%, 9/5/24		1,840,000		1,775
US Treasury, 0.000%, 1/18/24		25,090,000		25,027
US Treasury, 0.000%, 4/4/24		5,815,000		5,734
US Treasury, 0.000%, 2/6/24		3,135,000		3,118
US Treasury, 0.000%, 2/13/24		7,956,000		7,905
US Treasury, 0.000%, 4/18/24		3,525,000		3,469
US Treasury, 0.000%, 1/2/24		1,314,000		1,314
US Treasury, 0.000%, 1/4/24		3,650,000		3,648
US Treasury, 0.000%, 2/22/24		969,000		962
US Treasury, 0.000%, 2/29/24		2,075,100		2,057
US Treasury, 0.000%, 6/13/24		3,251,000		3,177
US Treasury, 0.000%, 5/16/24		12,060,000		11,820
US Treasury, 0.000%, 10/31/24		912,000		873
US Treasury, 0.000%, 5/9/24		9,995,000		9,807
US Treasury, 0.000%, 5/23/24		14,635,000		14,331
US Treasury, 0.000%, 3/5/24		1,090,000		1,080
US Treasury, 0.000%, 3/12/24		3,448,000		3,412
US Treasury, 0.000%, 3/19/24		12,910,000		12,763
US Treasury, 0.000%, 6/20/24		8,102,400		7,905
US Treasury, 0.000%, 2/8/24		626,000		622
US Treasury, 0.000%, 1/30/24		1,120,000		1,115
US Treasury, 0.000%, 4/16/24		1,464,000		1,441
US Treasury, 5.256%, (US Treasury 3 Month Bill Money Market Yield less 0.075%), 4/30/24		5,315,000		5,314
US Treasury, 5.456%, (US Treasury 3 Month Bill Money Market Yield plus 0.125%), 7/31/25		10,740,000		10,738
US Treasury, 5.471%, (US Treasury 3 Month Bill Money Market Yield plus 0.140%), 10/31/24		4,025,000		4,028
US Treasury, 5.501%, (US Treasury 3 Month Bill Money Market Yield plus 0.170%), 10/31/25		7,131,000		7,129
US Treasury, 5.531%, (US Treasury 3 Month Bill Money Market Yield plus 0.200%), 1/31/25		5,000,000		5,000
Total				290,028
Total Money Market Investments (Cost: $526,028)				526,028
Total Investments (99.9%) (Cost: $526,028)				526,028
Other Assets, Less Liabilities (0.1%)				356
Net Assets (100.0%)				526,384

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

99

Government Money Market Portfolio

 

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

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	—	$	526,028	$	—
Total Assets:	$	—	$	526,028	$	—

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

100

Short-Term Bond Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Provide as high a level of current income as is consistent with prudent investment risk.	Invest in a diversified portfolio of investment grade debt securities.	$385 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Short-Term Bond Portfolio (the “Portfolio”), has engaged T. Rowe Price Associates, Inc. (“T. Rowe Price”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of investment grade debt securities. Also, the Portfolio may invest up to 20% of net assets in foreign securities. Debt securities may be of any maturity, but under normal market conditions, the Portfolio’s effective dollar-weighted average maturity will not exceed three years. The Portfolio primarily invests in corporate, government and mortgage- and asset-backed securities. The Portfolio uses both a “top-down” and “bottom-up” investment approach to construct the portfolio of investments. The top-down investment approach involves an evaluation of the overall macroeconomic environment and its potential impact on the level and direction of interest rates. The bottom-up investment approach focuses on fundamental research of individual issuers.

MARKET OVERVIEW

Shifts in market expectations for monetary policy contributed to notable volatility in U.S. Treasury yields across 2023. The two-year U.S. Treasury note yield began the period at 4.41% and reached 5.19% by October before ending the period at 4.23% as the U.S. Federal Reserve (the “Fed”) signaled the end of its most aggressive rate hike campaign since the 1980s.

U.S. Treasury yields fell sharply in the final two months of 2023 and ended the period lower across most key rates, despite the Fed electing to keep the fed funds target rate unchanged at its November and December 2023 meetings. Intermediate- and long-term U.S. Treasury yields declined more significantly as inflation continued to show signs of waning.

Yields on investment grade corporate bonds and securitized credits followed U.S. Treasury yields lower late in the period, bringing total returns across spread sectors into positive territory. Risk sentiment improved during the rally, and corporate bonds and securitized sectors outpaced U.S. Treasuries on a total return basis for the year. Among spread sectors, corporate bonds were notable outperformers in terms of total and excess return as yields fell and credit spreads tightened. Securitized sectors — asset-backed securities (“ABS”), commercial mortgage-backed securities and residential mortgage-backed securities (“RMBS”) — also generated positive total and excess returns.

PORTFOLIO RESULTS

The Portfolio returned 5.26% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Bloomberg^® 1–3 Year U.S. Government/Credit Index (the “Index”), returned 4.61%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Sector allocation contributed to the Portfolio’s relative performance for the reporting period. An out-of-benchmark allocation to RMBS contributed, as the interest rate-sensitive sector benefited from the rally in U.S. Treasury yields seen in late 2023. An out-of-benchmark allocation to ABS also contributed, as the shorter-duration sector performed well during periods of rising U.S. Treasury yields.

An overweight to investment grade corporate bonds and a corresponding underweight to U.S. Treasurys also contributed to the Portfolio’s relative return amid periods of limited new supply, encouraging corporate earnings reports and a late 2023 improvement in risk sentiment. Security selection within investment grade corporate bonds also contributed. In addition, specific positioning across the yield curve aided relative performance as the Portfolio’s preference to hold longer maturities was beneficial in a period that realized greater volatility in front-end rates.

On the downside, interest rate management detracted in aggregate, declining due to average duration positioning. While the Portfolio’s duration ended the period slightly lower than where it began, duration ticked upward through the first half of 2023. As a result of this upward trend, the Portfolio’s profile was slightly long relative to the benchmark, which weighed on relative performance, as U.S. Treasury yields rose during much of the trailing one-year period.

PORTFOLIO MANAGER OUTLOOK

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

101

Short-Term Bond Portfolio (unaudited)

As the Fed’s preferred measure of inflation continued to decelerate while U.S. growth simultaneously remained resilient, market sentiment began to price in the possibility of the Fed orchestrating a soft landing. With this in mind, front-end rates have likely seen a peak for this cycle, but we are well positioned to capitalize on elevated yield opportunities with rate inversion still persistent across the yield curve, in our view.

While rate and spread volatility could oscillate and persist as additional economic data adjusts the forecast and timing for interest rate cuts, we agree that cuts are the most logical next step for the Fed should macroeconomic data continue to cool. However, we acknowledge that the path to sustainable lower inflation could get bumpier if the trend of economic data deviates from current market expectations.

In the current environment, active management can play an even more instrumental role in achieving investor objectives. Our continued goal is to provide high quality, consistent yield and income appropriate for a short-term bond strategy with modest credit and duration risk. Using the breadth and depth of our global research platform, we will look to selectively add to high conviction positions as volatility creates attractive entry points.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Short-Term Bond Portfolio	5.26%	1.80%	1.44%
Bloomberg® 1-3 Year U.S. Government/ Credit Bond Index	4.61%	1.51%	1.27%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account

fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
US Treasury, Various	17.6%
Federal National Mortgage Association, Various	2.9%
Government National Mortgage Association, Various	1.1%
Federal Home Loan Mortgage Corp., Various	0.8%
AbbVie, Inc., Various	0.8%
The Goldman Sachs Group, Inc., Various	0.8%
Vistra Operations Co. LLC, Various	0.8%
Bank of America Corp., Various	0.7%
Bank of Montreal, Various	0.7%
JPMorgan Chase & Co., Various	0.7%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Corporate Bonds	49.4%
	Structured Products	29.2%
	Governments	18.8%
	Short-Term Investments & Other Net Assets	2.5%
	Municipal Bonds	0.1%

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.

102

Short-Term Bond Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Basic Materials (1.2%)
ArcelorMittal 3.600%, 7/16/24		225,000			222
Celanese US Holdings LLC 6.050%, 3/15/25		334,000			336
Celulosa Arauco y Constitucion SA 4.500%, 8/1/24		365,000			361
Ecolab, Inc. 1.650%, 2/1/27		215,000			197
5.250%, 1/15/28		625,000			645
LYB International Finance III, LLC 1.250%, 10/1/25		373,000			348
Nucor Corp. 2.000%, 6/1/25		155,000			149
3.950%, 5/23/25		275,000			271
Nutrien, Ltd. 4.900%, 3/27/28		240,000			242
POSCO 4.375%, 8/4/25 §		1,000,000			985
The Sherwin-Williams Co. 4.050%, 8/8/24		155,000			154
4.250%, 8/8/25		230,000			228
Steel Dynamics, Inc. 2.800%, 12/15/24		200,000			195
Westlake Chemical Corp. 0.875%, 8/15/24		435,000			422
Total					4,755
Communications (2.9%)
AT&T, Inc. 4.100%, 2/15/28		205,000			200
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 4.908%, 7/23/25		2,090,000			2,070
6.150%, 11/10/26		255,000			261
Cox Communications, Inc. 3.150%, 8/15/24 144A		1,023,000			1,006
3.500%, 8/15/27 144A		215,000			204
Crown Castle Towers LLC 4.241%, 7/15/48 144A		175,000			166
KT Corp. 4.000%, 8/8/25 144A		1,020,000			1,003
Meta Platforms, Inc. 4.600%, 5/15/28		400,000			406
NBN Co., Ltd. 1.450%, 5/5/26 144A		1,000,000			923
NTT Finance Corp. 0.583%, 3/1/24 144A		265,000			263
4.142%, 7/26/24 144A		200,000			199
4.239%, 7/25/25 144A		200,000			198
Rogers Communications, Inc. 2.950%, 3/15/25		930,000			902
3.200%, 3/15/27		690,000			659
T-Mobile USA, Inc. 2.250%, 2/15/26		470,000			445
3.500%, 4/15/25		595,000			582

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Communications continued
Verizon Communications, Inc. 0.850%, 11/20/25		500,000			465
1.450%, 3/20/26		650,000			605
2.625%, 8/15/26		845,000			805
Total					11,362
Consumer, Cyclical (5.8%)
7-Eleven, Inc. 0.800%, 2/10/24 144A		325,000			323
Advance Auto Parts, Inc. 5.900%, 3/9/26		475,000			473
American Airlines Pass Through Trust, Series 2017-2, Class B 3.700%, 4/15/27		170,908			161
Aptiv PLC / Aptiv Corp. 2.396%, 2/18/25		130,000			126
AutoZone, Inc. 3.125%, 4/18/24		515,000			511
3.625%, 4/15/25		235,000			231
6.250%, 11/1/28		370,000			393
Brunswick Corp. 0.850%, 8/18/24		685,000			663
Daimler Finance North America LLC 1.625%, 12/13/24 144A		580,000			559
5.150%, 1/16/26 144A		165,000			165
5.200%, 1/17/25 144A		215,000			215
Dollar General Corp. 4.625%, 11/1/27		145,000			144
5.200%, 7/5/28		347,000			352
Ford Motor Credit Co. LLC 5.125%, 6/16/25		605,000			597
6.798%, 11/7/28		315,000			330
General Motors Financial Co., Inc. 2.900%, 2/26/25		965,000			936
5.400%, 4/6/26		300,000			302
Genuine Parts Co. 1.750%, 2/1/25		220,000			211
Hasbro, Inc. 3.000%, 11/19/24		1,030,000			1,005
Hyundai Capital America 0.800%, 1/8/24 144A		390,000			390
0.875%, 6/14/24 144A		510,000			498
1.000%, 9/17/24 144A		255,000			247
5.500%, 3/30/26 144A		270,000			271
5.600%, 3/30/28 144A		350,000			355
6.250%, 11/3/25 144A		260,000			264
Hyundai Motor Co. 2.125%, 4/24/25 144A		200,000			192
Lowe’s Companies, Inc. 3.350%, 4/1/27		175,000			169
4.400%, 9/8/25		660,000			655
4.800%, 4/1/26		385,000			385
Marriott International, Inc. 3.600%, 4/15/24		1,160,000			1,154
3.750%, 3/15/25		110,000			108
4.900%, 4/15/29		120,000			121

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

103

Short-Term Bond Portfolio

 

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Consumer, Cyclical continued
5.450%, 9/15/26		195,000			198
5.750%, 5/1/25		120,000			121
Mattel, Inc. 3.375%, 4/1/26 144A		445,000			423
5.875%, 12/15/27 144A		485,000			484
Mercedes-Benz Finance North America LLC 4.800%, 3/30/26 144A		410,000			410
Nordstrom, Inc. 2.300%, 4/8/24		85,000			84
O’Reilly Automotive, Inc. 5.750%, 11/20/26		380,000			389
Ross Stores, Inc. 0.875%, 4/15/26		625,000			573
3.375%, 9/15/24		135,000			133
4.600%, 4/15/25		1,355,000			1,344
Starbucks Corp. 4.750%, 2/15/26		465,000			467
Stellantis Finance US, Inc. 1.711%, 1/29/27 144A		260,000			236
Tapestry, Inc. 7.000%, 11/27/26		95,000			99
7.050%, 11/27/25		80,000			82
Toyota Motor Credit Corp. 3.050%, 3/22/27		325,000			311
VF Corp. 2.400%, 4/23/25		881,000			842
2.800%, 4/23/27		455,000			418
Volkswagen Group of America Finance LLC 3.950%, 6/6/25 144A		390,000			382
5.700%, 9/12/26 144A		335,000			340
5.800%, 9/12/25 144A		395,000			398
6.000%, 11/16/26 144A		380,000			389
WarnerMedia Holdings, Inc. 3.755%, 3/15/27		1,545,000			1,480
6.412%, 3/15/26		275,000			275
Total					22,384
Consumer, Non-cyclical (8.8%)
AbbVie, Inc. 2.600%, 11/21/24		1,935,000			1,890
2.950%, 11/21/26		1,120,000			1,074
3.200%, 5/14/26		100,000			97
Amgen, Inc. 5.250%, 3/2/25		215,000			215
AstraZeneca Finance LLC 1.200%, 5/28/26		805,000			745
BAT International Finance PLC 1.668%, 3/25/26		475,000			441
4.448%, 3/16/28		1,010,000			993
Becton Dickinson and Co. 3.363%, 6/6/24		690,000			683
3.734%, 12/15/24		170,000			167
4.693%, 2/13/28		805,000			808
Cardinal Health, Inc. 3.079%, 6/15/24		310,000			306
3.500%, 11/15/24		525,000			516
Coca-Cola European Partners PLC 0.800%, 5/3/24 144A		1,335,000			1,310
1.500%, 1/15/27 144A		200,000			181

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Consumer, Non-cyclical continued
Constellation Brands, Inc. 3.600%, 5/9/24		485,000			481
CSL Finance PLC 3.850%, 4/27/27 144A		200,000			195
CVS Health Corp. 1.300%, 8/21/27		945,000			839
2.875%, 6/1/26		265,000			253
3.000%, 8/15/26		220,000			210
5.000%, 2/20/26		560,000			563
Elevance Health, Inc. 5.350%, 10/15/25		180,000			181
ERAC USA Finance LLC 4.600%, 5/1/28 144A		735,000			730
HCA, Inc. 3.125%, 3/15/27		580,000			550
5.375%, 2/1/25		350,000			350
5.875%, 2/15/26		390,000			393
Health Care Service Corp. 1.500%, 6/1/25 144A		780,000			740
HPHT Finance 19, Ltd. 2.875%, 11/5/24 §		1,200,000			1,175
Humana, Inc. 1.350%, 2/3/27		75,000			68
3.850%, 10/1/24		545,000			538
4.500%, 4/1/25		565,000			560
5.750%, 3/1/28		140,000			146
Imperial Brands Finance PLC 3.125%, 7/26/24 144A		1,055,000			1,038
4.250%, 7/21/25 144A		710,000			697
IQVIA, Inc. 6.250%, 2/1/29 144A		255,000			266
JDE Peet’s NV 0.800%, 9/24/24 144A		295,000			284
Kenvue, Inc. 5.350%, 3/22/26		250,000			254
Mars, Inc. 2.700%, 4/1/25 144A		370,000			360
4.550%, 4/20/28 144A		770,000			774
Mondelez International, Inc. 2.125%, 3/17/24		410,000			407
2.625%, 3/17/27		415,000			391
4.250%, 9/15/25 144A		305,000			301
Moody’s Corp. 3.750%, 3/24/25		505,000			497
Mylan NV 3.950%, 6/15/26		935,000			904
PeaceHealth Obligated Group 1.375%, 11/15/25		105,000			98
Pelabuhan Indonesia Persero PT 4.875%, 10/1/24		950,000			942
Perrigo Finance Unlimited Co. 3.900%, 12/15/24		372,000			361
Pfizer Investment Enterprises Pte., Ltd. 4.450%, 5/19/26		985,000			982
4.450%, 5/19/28		590,000			590
Philip Morris International, Inc. 4.875%, 2/13/26		490,000			492
5.000%, 11/17/25		295,000			296
5.125%, 11/15/24		585,000			584

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

104

Short-Term Bond Portfolio

 

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Consumer, Non-cyclical continued
Revvity, Inc. 0.850%, 9/15/24		745,000			719
S&P Global, Inc. 2.450%, 3/1/27		1,120,000			1,056
UnitedHealth Group, Inc. 3.700%, 5/15/27		605,000			593
4.250%, 1/15/29		507,000			506
5.150%, 10/15/25		535,000			541
5.250%, 2/15/28		380,000			393
Viatris, Inc. 1.650%, 6/22/25		800,000			758
2.300%, 6/22/27		429,000			389
Viterra Finance BV 4.900%, 4/21/27 144A		600,000			595
Zoetis, Inc. 5.400%, 11/14/25		575,000			580
Total					34,046
Energy (3.3%)
Aker BP ASA 2.000%, 7/15/26 144A		246,000			227
Canadian Natural Resources, Ltd. 2.050%, 7/15/25		760,000			724
Cheniere Corpus Christi Holdings LLC 5.875%, 3/31/25		910,000			912
Columbia Pipelines Holding Co. LLC 6.055%, 8/15/26 144A		90,000			92
DCP Midstream Operating LP 5.375%, 7/15/25		1,040,000			1,041
Enbridge, Inc. 2.150%, 2/16/24		275,000			274
2.500%, 1/15/25		640,000			621
2.500%, 2/14/25		330,000			320
5.900%, 11/15/26		230,000			236
6.000%, 11/15/28		190,000			199
Energy Transfer LP 2.900%, 5/15/25		115,000			111
4.250%, 4/1/24		35,000			35
4.900%, 2/1/24		425,000			424
5.875%, 1/15/24		1,054,000			1,054
6.050%, 12/1/26		875,000			900
Equinor ASA 2.875%, 4/6/25		880,000			858
Gray Oak Pipeline LLC 2.600%, 10/15/25 144A		205,000			194
ONEOK, Inc. 5.550%, 11/1/26		410,000			417
Ovintiv, Inc. 5.650%, 5/15/25		465,000			467
Pioneer Natural Resources Co. 5.100%, 3/29/26		505,000			509
Sabine Pass Liquefaction LLC 5.625%, 3/1/25		700,000			701
5.750%, 5/15/24		103,000			103
Schlumberger Finance Canada, Ltd. 1.400%, 9/17/25		155,000			147
TransCanada PipeLines, Ltd. 6.203%, 3/9/26		910,000			910
The Williams Cos., Inc. 5.400%, 3/2/26		985,000			995

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Energy continued
Williams Partners LP 4.300%, 3/4/24		145,000			145
Total					12,616
Financial (19.0%)
ABN AMRO Bank NV 6.339%, (US Treasury Yield Curve Rate
T Note Constant Maturity 1 Year plus 1.650%), 9/18/27 144A α		400,000			409
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.650%, 10/29/24		331,000			319
4.875%, 1/16/24		550,000			550
6.100%, 1/15/27		420,000			429
6.450%, 4/15/27		842,000			872
American Express Co. 2.250%, 3/4/25		975,000			943
American Tower Corp. 1.600%, 4/15/26		931,000			861
2.400%, 3/15/25		360,000			348
3.550%, 7/15/27		379,000			363
5.000%, 2/15/24		225,000			225
Athene Global Funding 1.716%, 1/7/25 144A		930,000			891
2.514%, 3/8/24 144A		1,165,000			1,157
Avolon Holdings Funding, Ltd. 2.125%, 2/21/26 144A		610,000			565
2.875%, 2/15/25 144A		435,000			420
3.950%, 7/1/24 144A		130,000			128
6.375%, 5/4/28 144A		185,000			189
Banco del Estado de Chile 2.704%, 1/9/25 144A		260,000			251
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico 5.375%, 4/17/25 §		800,000			799
Banco Santander SA 3.496%, 3/24/25		600,000			587
5.770%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24 α		600,000			600
Bank Mandiri Persero Tbk PT 5.500%, 4/4/26 §		670,000			671
Bank of America Corp. 0.976%, (US SOFR plus 0.690%), 4/22/25 α		605,000			595
1.734%, (US SOFR plus 0.960%), 7/22/27 α		450,000			412
1.843%, (US SOFR plus 0.670%), 2/5/25 α		460,000			458
3.384%, (US SOFR plus 1.330%), 4/2/26 α		580,000			564
3.841%, (US SOFR plus 1.110%), 4/25/25 α		415,000			412
5.080%, (US SOFR plus 1.290%), 1/20/27 α		395,000			394
Bank of Montreal 3.700%, 6/7/25		775,000			759
4.250%, 9/14/24		390,000			386
5.300%, 6/5/26		455,000			459
5.920%, 9/25/25		1,100,000			1,117
The Bank of New York Mellon Corp. 4.414%, (US SOFR plus 1.345%), 7/24/26 α		515,000			509
4.947%, (US SOFR plus 1.026%), 4/26/27 α		560,000			560
5.148%, (US SOFR plus 1.067%), 5/22/26 α		410,000			410

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

105

Short-Term Bond Portfolio

 

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Financial continued
Banque Federative du Credit Mutuel SA 0.650%, 2/27/24 144A		505,000			501
0.998%, 2/4/25 144A		665,000			634
4.935%, 1/26/26 144A		400,000			399
Barclays PLC
5.304%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/9/26 α		385,000			383
7.325%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.050%), 11/2/26 α		390,000			403
Brighthouse Financial Global Funding 1.000%, 4/12/24 144A		495,000			488
1.550%, 5/24/26 144A		145,000			133
Brixmor Operating Partnership LP 3.650%, 6/15/24		440,000			434
CaixaBank SA
6.208%, (US SOFR plus 2.700%), 1/18/29 144A α		590,000			602
6.684%, (US SOFR plus 2.080%), 9/13/27 144A α		615,000			630
Capital One Financial Corp. 2.636%, (US SOFR plus 1.290%), 3/3/26 α		585,000			561
4.250%, 4/30/25		120,000			118
4.985%, (US SOFR plus 2.160%), 7/24/26 α		460,000			455
6.312%, (US SOFR plus 2.640%), 6/8/29 α		255,000			262
7.149%, (US SOFR plus 2.440%), 10/29/27 α		240,000			249
The Charles Schwab Corp. 2.450%, 3/3/27		1,316,000			1,225
4.200%, 3/24/25		525,000			519
Citigroup, Inc. 0.981%, (US SOFR plus 0.669%), 5/1/25 α		500,000			491
3.106%, (US SOFR plus 2.842%), 4/8/26 α		650,000			632
4.140%, (US SOFR plus 1.372%), 5/24/25 α		555,000			552
4.400%, 6/10/25		250,000			247
CNO Global Funding 1.650%, 1/6/25 144A		685,000			654
1.750%, 10/7/26 144A		830,000			750
Cooperatieve Rabobank UA 3.875%, 8/22/24		355,000			351
Corebridge Financial, Inc. 3.500%, 4/4/25		455,000			444
Credit Suisse AG 0.495%, 2/2/24		485,000			483
Creditcorp, Ltd. 2.750%, 6/17/25 144A		200,000			191
Crown Castle International Corp. 1.050%, 7/15/26		615,000			555
2.900%, 3/15/27		580,000			542
4.450%, 2/15/26		570,000			561
5.000%, 1/11/28		185,000			184
Crown Castle, Inc. 5.600%, 6/1/29		295,000			302
Danske Bank A/S
3.773%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.450%), 3/28/25 144A α		405,000			403
5.375%, 1/12/24 144A		455,000			455

Corporate Bonds (49.4%)		Shares/ Par +			Value $ (000’s)
Financial continued
6.259%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.180%), 9/22/26 144A α			265,000			270
Discover Bank 2.450%, 9/12/24			580,000			566
Equitable Financial Life Global Funding 1.000%, 1/9/26 144A			210,000			192
1.100%, 11/12/24 144A			530,000			510
1.400%, 7/7/25 144A			75,000			71
1.700%, 11/12/26 144A			305,000			275
Essex Portfolio LP 3.875%, 5/1/24			600,000			596
Fifth Third Bancorp 6.339%, (US SOFR plus 2.340%), 7/27/29 α			210,000			219
Fifth Third Bank NA 2.250%, 2/1/27			250,000			231
5.852%, (US SOFR Index plus 1.230%), 10/27/25 α			1,235,000			1,232
First American Financial Corp. 4.600%, 11/15/24			195,000			193
The Goldman Sachs Group, Inc. 1.757%, (US SOFR plus 0.730%), 1/24/25 α			565,000			563
3.500%, 4/1/25			490,000			479
4.482%, (US SOFR plus 1.725%), 8/23/28 α			465,000			457
5.700%, 11/1/24			230,000			231
5.798%, (US SOFR plus 1.075%), 8/10/26 α			625,000			631
5.824%, (US SOFR plus 0.505%), 9/10/24			335,000			334
5.828%, (US SOFR plus 0.486%), 10/21/24			315,000			315
HSBC Holdings PLC 1.645%, (US SOFR plus 1.538%), 4/18/26 α			910,000			865
Huntington National Bank 5.699%, (US SOFR plus 1.215%), 11/18/25 α			270,000			267
ING Groep NV 6.083%, (US SOFR plus 1.560%), 9/11/27 α			360,000			367
Jackson National Life Global Funding 1.750%, 1/12/25 144A	��		620,000			594
JPMorgan Chase & Co.
0.824%, (US SOFR 3 Month plus 0.540%), 6/1/25 α			560,000			548
2.083%, (US SOFR plus 1.850%), 4/22/26 α			890,000			852
4.080%, (US SOFR plus 1.320%), 4/26/26 α			865,000			851
6.234%, (US SOFR plus 0.885%), 4/22/27			350,000			349
Kilroy Realty LP 4.375%, 10/1/25			180,000			175
LeasePlan Corp. NV 2.875%, 10/24/24 144A			1,005,000			982
LPL Financial Holdings, Inc. 6.750%, 11/17/28			190,000			203
LSEGA Financing PLC 0.650%, 4/6/24 144A			1,105,000			1,089
Marsh & McLennan Cos., Inc. 3.750%, 3/14/26			105,000			103
3.875%, 3/15/24			345,000			344
Metropolitan Life Global Funding I 0.400%, 1/7/24 144A			430,000			430
Mitsubishi UFJ Financial Group, Inc.
0.953%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.550%), 7/19/25 α			785,000			765

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

106

Short-Term Bond Portfolio

 

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Financial continued
Morgan Stanley
1.164%, (US SOFR plus 0.560%), 10/21/25 α		445,000			428
2.630%, (US SOFR plus 0.940%), 2/18/26 α		545,000			527
3.620%, (US SOFR plus 1.160%), 4/17/25 α		390,000			388
5.050%, (US SOFR plus 1.295%), 1/28/27 α		225,000			225
6.138%, (US SOFR plus 1.770%), 10/16/26 α		525,000			534
Morgan Stanley Bank NA 4.754%, 4/21/26		475,000			475
Nasdaq, Inc. 5.650%, 6/28/25		95,000			96
NatWest Markets PLC 0.800%, 8/12/24 144A		390,000			378
Northern Trust Corp. 3.950%, 10/30/25		330,000			324
Park Aerospace Holdings, Ltd. 5.500%, 2/15/24 144A		245,000			245
The PNC Financial Services Group, Inc.
4.758%, (US SOFR Index plus 1.085%), 1/26/27 α		575,000			570
5.671%, (US SOFR Index plus 1.090%), 10/28/25 α		760,000			760
5.812%, (US SOFR plus 1.322%), 6/12/26 α		215,000			216
Principal Life Global Funding II 0.750%, 4/12/24 144A		530,000			522
Public Storage 5.125%, 1/15/29		205,000			212
5.819%, (US SOFR plus 0.470%), 4/23/24		280,000			280
QNB Finance, Ltd. 3.500%, 3/28/24 §		880,000			875
Realty Income Corp. 5.050%, 1/13/26		140,000			140
Santander Holdings USA, Inc. 2.490%, (US SOFR plus 1.249%), 1/6/28 α		410,000			375
SBA Tower Trust 1.631%, 5/15/51 144A		280,000			250
1.884%, 1/15/26 144A		160,000			148
2.836%, 1/15/50 144A		770,000			744
3.869%, 10/15/49 144A		120,000			118
6.599%, 11/15/52 144A		325,000			334
Simon Property Group LP 2.000%, 9/13/24		225,000			220
3.375%, 10/1/24		450,000			443
Standard Chartered PLC
0.991%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.780%), 1/12/25 144A α		220,000			220
1.822%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 11/23/25 144A α		255,000			246
State Street Corp. 4.857%, (US SOFR plus 0.604%), 1/26/26 α		245,000			244
5.104%, (US SOFR plus 1.130%), 5/18/26 α		385,000			385
5.272%, 8/3/26		685,000			695
Svenska Handelsbanken AB 0.550%, 6/11/24 144A		420,000			410
Synchrony Financial 4.250%, 8/15/24		1,130,000			1,118

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Financial continued
The Toronto-Dominion Bank 4.285%, 9/13/24		985,000			977
5.532%, 7/17/26		970,000			988
Truist Financial Corp. 5.729%, (US SOFR plus 0.400%), 6/9/25		410,000			404
UBS AG 0.700%, 8/9/24 144A		280,000			272
UBS Group AG
1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A α		215,000			194
4.488%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.550%), 5/12/26 144A α		200,000			197
4.490%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 8/5/25 144A α		565,000			561
6.327%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 12/22/27 144A α		425,000			438
US Bancorp 4.548%, (US SOFR plus 1.660%), 7/22/28 α		1,080,000			1,064
5.727%, (US SOFR plus 1.430%), 10/21/26 α		320,000			322
Wells Fargo & Co. 2.188%, (US SOFR plus 2.000%), 4/30/26 α		400,000			383
3.526%, (US SOFR plus 1.510%), 3/24/28 α		375,000			358
3.908%, (US SOFR plus 1.320%), 4/25/26 α		610,000			598
4.540%, (US SOFR plus 1.560%), 8/15/26 α		590,000			584
The Western Union Co. 2.850%, 1/10/25		1,225,000			1,190
WP Carey, Inc. 4.600%, 4/1/24		805,000			802
Total					73,031
Industrial (2.7%)
Amcor Flexibles North America, Inc. 4.000%, 5/17/25		450,000			442
Amphenol Corp. 2.050%, 3/1/25		405,000			391
4.750%, 3/30/26		205,000			205
Canadian Pacific Railway Co. 1.350%, 12/2/24		725,000			699
1.750%, 12/2/26		315,000			291
Carrier Global Corp. 2.242%, 2/15/25		117,000			113
DAE Funding LLC 1.550%, 8/1/24 144A		265,000			258
Deere & Co. 2.750%, 4/15/25		195,000			190
GATX Corp. 3.250%, 3/30/25		870,000			847
3.250%, 9/15/26		360,000			343
3.850%, 3/30/27		164,000			157
4.350%, 2/15/24		772,000			770
Mohawk Industries, Inc. 5.850%, 9/18/28		310,000			321
Otis Worldwide Corp. 2.056%, 4/5/25		485,000			466

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

107

Short-Term Bond Portfolio

 

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Industrial continued
Owens Corning, Inc. 3.400%, 8/15/26		66,000			64
Parker Hannifin Corp. 3.650%, 6/15/24		875,000			867
Penske Truck Leasing Co. LP / PTL Finance Corp. 2.700%, 11/1/24 144A		497,000			483
3.450%, 7/1/24 144A		200,000			198
3.900%, 2/1/24 144A		620,000			619
5.750%, 5/24/26 144A		495,000			499
Regal Rexnord Corp. 6.050%, 2/15/26 144A		370,000			374
Republic Services, Inc. 0.875%, 11/15/25		120,000			111
2.500%, 8/15/24		495,000			486
4.875%, 4/1/29		170,000			173
SMBC Aviation Capital Finance DAC 3.550%, 4/15/24 144A		400,000			397
Tyco Electronics Group SA 4.500%, 2/13/26		530,000			528
Total					10,292
Technology (2.7%)
Analog Devices, Inc.
5.603%, (US SOFR Index 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			307
4.500%, 7/15/25		305,000			302
Fiserv, Inc. 2.750%, 7/1/24		800,000			788
Fortinet, Inc. 1.000%, 3/15/26		380,000			348
Intuit, Inc. 5.250%, 9/15/26		965,000			984
Microchip Technology, Inc. 0.972%, 2/15/24		685,000			681
0.983%, 9/1/24		560,000			543
Micron Technology, Inc. 4.185%, 2/15/27		95,000			93
4.975%, 2/6/26		100,000			100
5.375%, 4/15/28		575,000			585
NXP BV / NXP Funding LLC 4.875%, 3/1/24		520,000			519
NXP BV / NXP Funding LLC / NXP USA, Inc. 2.700%, 5/1/25		445,000			429
3.150%, 5/1/27		40,000			38
3.875%, 6/18/26		340,000			331
4.400%, 6/1/27		80,000			79
Oracle Corp. 2.500%, 4/1/25		1,250,000			1,208
Qorvo, Inc. 1.750%, 12/15/24		275,000			264
Roper Technologies, Inc. 1.000%, 9/15/25		115,000			108
2.350%, 9/15/24		165,000			161
Take-Two Interactive Software, Inc. 3.300%, 3/28/24		19,000			19

Corporate Bonds (49.4%)	Shares/ Par +			Value $ (000’s)
Technology continued
3.550%, 4/14/25		295,000			289
5.000%, 3/28/26		585,000			588
Western Digital Corp. 4.750%, 2/15/26		990,000			971
Workday, Inc. 3.500%, 4/1/27		265,000			256
Total					10,340
Utilities (3.0%)
The AES Corp. 3.300%, 7/15/25 144A		365,000			352
American Electric Power Co., Inc. 5.200%, 1/15/29		675,000			684
APT Pipelines, Ltd. 4.200%, 3/23/25 144A		1,335,000			1,315
Constellation Energy Generation, LLC 5.600%, 3/1/28		315,000			324
DTE Energy Co. 4.220%, 11/1/24		550,000			544
Enel Finance International NV 1.375%, 7/12/26 144A		645,000			587
2.650%, 9/10/24 144A		1,000,000			976
6.800%, 10/14/25 144A		200,000			205
NextEra Energy Capital Holdings, Inc. 1.875%, 1/15/27		685,000			630
4.450%, 6/20/25		540,000			535
5.749%, 9/1/25		280,000			283
6.051%, 3/1/25		255,000			257
NiSource, Inc. 5.250%, 3/30/28		130,000			133
NRG Energy, Inc. 3.750%, 6/15/24 144A		270,000			267
Pacific Gas & Electric Co. 3.500%, 6/15/25		555,000			538
Sempra Energy 3.300%, 4/1/25		385,000			376
5.400%, 8/1/26		270,000			273
Southern California Gas Co. 2.950%, 4/15/27		410,000			389
Vistra Operations Co. LLC 3.550%, 7/15/24 144A		2,390,000			2,356
5.125%, 5/13/25 144A		610,000			604
Total					11,628
Total Corporate Bonds (Cost: $192,945)					190,454
Governments (18.8%)
Governments (18.8%)
Federal Home Loan Bank 5.000%, 2/28/25		1,390,000			1,395
Korea Electric Power Corp. 5.375%, 4/6/26 144A		1,000,000			1,010
Korea Housing Finance Corp. 4.625%, 2/24/28 144A		960,000			958
Korea Hydro & Nuclear Power Co., Ltd. 1.250%, 4/27/26 144A		795,000			730
4.250%, 7/27/27 144A		220,000			216
5.000%, 7/18/28 144A		250,000			252

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

108

Short-Term Bond Portfolio

 

Governments (18.8%)	Shares/ Par +			Value $ (000’s)
Governments continued
US Treasury 3.500%, 9/15/25		8,965,000			8,833
4.000%, 12/15/25		1,025,000			1,020
4.500%, 11/15/25		10,210,000			10,244
4.875%, 11/30/25		2,635,000			2,662
5.000%, 8/31/25		4,845,000			4,890
5.000%, 9/30/25 b		20,630,000			20,840
5.000%, 10/31/25		19,090,000			19,308
Total					72,358
Total Governments (Cost: $71,813)					72,358
Municipal Bonds (0.1%)
Municipal Bonds (0.1%)
Golden State Tobacco Securitization Corp. 1.711%, 6/1/24 RB		435,000			428
Total Municipal Bonds (Cost: $435)					428
Structured Products (29.2%)
Asset Backed Securities (14.5%)
Ally Auto Receivables Trust, Series 2023-A, Class B 6.010%, 1/17/34 144A		89,190			89
Ally Auto Receivables Trust, Series 2023-A, Class C 6.080%, 1/17/34 144A		165,680			167
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C 1.590%, 10/20/25		118,558			118
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D 1.800%, 12/18/25		315,000			308
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C 1.060%, 8/18/26		245,000			236
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C 0.890%, 10/19/26		430,000			411
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D 1.210%, 12/18/26		270,000			252
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class D 1.290%, 6/18/27		575,000			531
AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C 5.800%, 12/18/28		380,000			383
Auxilior Term Funding LLC, Series 2023-1A, Class A2 6.180%, 12/15/28 144A		575,000			577
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class C 4.950%, 3/20/25 144A		97,500			97
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A 3.350%, 9/22/25 144A		340,000			336

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A		250,000			239
AXIS Equipment Finance Receivables LLC, Series 2021-1A, Class D 2.300%, 11/22/27 144A		280,000			269
Ballyrock, Ltd.
6.715%, (US SOFR 3 Month plus 1.322%), 4/15/34 144A		250,000			249
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280%, 9/26/33 144A		117,756			112
CarMax Auto Owner Trust, Series 2020-1, Class B 2.210%, 9/15/25		430,000			427
CarMax Auto Owner Trust, Series 2020-1, Class C 2.340%, 11/17/25		190,000			189
CarMax Auto Owner Trust, Series 2020-4, Class D 1.750%, 4/15/27		300,000			288
CarMax Auto Owner Trust, Series 2023-2, Class C 5.570%, 11/15/28		585,000			583
CarMax Auto Owner Trust, Series 2023-2, Class D 6.550%, 10/15/29		390,000			389
CarMax Auto Owner Trust, Series 2023-3, Class B 5.470%, 2/15/29		225,000			226
CarMax Auto Owner Trust, Series 2023-3, Class C 5.610%, 2/15/29		655,000			657
CarMax Auto Owner Trust, Series 2023-3, Class D 6.440%, 12/16/30		210,000			211
Cedar Funding, Ltd., Series 2018-7A, Class A1
6.677%, (US SOFR 3 Month plus 1.262%), 1/20/31 144A		282,890			282
Cedar Funding, Ltd., Series 2021-14A, Class A
6.755%, (US SOFR 3 Month plus 1.362%), 7/15/33 144A		695,000			694
CIFC Funding, Ltd., Series 2014-2RA, Class A1
6.710%, (US SOFR 3 Month plus 1.312%), 4/24/30 144A		729,417			729
CIFC Funding, Ltd., Series 2021-4A, Class A
6.705%, (US SOFR 3 Month plus 1.312%), 7/15/33 144A		905,000			905
Dell International LLC 6.750%, 10/22/29 144A		100,000			102
DLLAA LLC, Series 2023-1A, Class A3 5.640%, 2/22/28 144A		395,000			401
Driven Brands Funding LLC, Series 2018-1A, Class A2 4.739%, 4/20/48 144A		193,725			189
Dryden Senior Loan Fund, Series 2020-86A, Class A1R
6.764%, (US SOFR 3 Month plus 1.362%), 7/17/34 144A		610,000			609

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

109

Short-Term Bond Portfolio

 

Structured Products (29.2%)		Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Elara HGV Timeshare Issuer LLC, Series 2017-A, Class A 2.690%, 3/25/30 144A			21,618			21
Elara HGV Timeshare Issuer LLC, Series 2019-A, Class A 2.610%, 1/25/34 144A			117,100			112
Elara HGV Timeshare Issuer LLC, Series 2023-A, Class A 6.160%, 2/25/38 144A			283,159			289
Elara HGV Timeshare Issuer LLC, Series 2023-A, Class C 7.300%, 2/25/38 144A			246,023			252
Enterprise Fleet Financing LLC, Series 2023- 2, Class A2 5.560%, 4/22/30 144A			625,000			627
Enterprise Fleet Financing LLC, Series 2023- 3, Class A2 6.400%, 3/20/30 144A			630,000			644
Exeter Automobile Receivables Trust, Series 2022-2A, Class C 3.850%, 7/17/28			655,000			642
Exeter Automobile Receivables Trust, Series 2022-3A, Class C 5.300%, 9/15/27			190,000			189
Exeter Automobile Receivables Trust, Series 2022-4A, Class D 5.980%, 12/15/28			305,000			302
Exeter Automobile Receivables Trust, Series 2022-5A, Class C 6.510%, 12/15/27			965,000			972
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			81
Finance of America HECM Buyout, Series 2022-HB2, Class A1A 4.000%, (AFC), 8/1/32 144A	��		466,784			457
FirstKey Homes Trust, Series 2020-SFR1, Class D 2.241%, 8/17/37 144A			1,080,000			1,009
FirstKey Homes Trust, Series 2020-SFR2, Class D 1.968%, 10/19/37 144A			655,000			607
Ford Credit Auto Lease Trust, Series 2023-B, Class B 6.200%, 2/15/27			150,000			152
Ford Credit Auto Lease Trust, Series 2023-B, Class C 6.430%, 4/15/27			285,000			290
Ford Credit Auto Owner Trust, Series 2020-1, Class B 2.290%, 8/15/31 144A			445,000			428
Ford Credit Auto Owner Trust, Series 2020-2, Class C 1.740%, 4/15/33 144A			310,000			288
Ford Credit Auto Owner Trust, Series 2022-A, Class C 4.180%, 10/15/25			1,020,000			1,005

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Ford Credit Auto Owner Trust, Series 2023-A, Class B 5.070%, 1/15/29		905,000			900
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class C 5.750%, 5/15/28 144A		245,000			244
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class D 6.620%, 5/15/28 144A		295,000			294
GM Financial Automobile Leasing Trust, Series 2022-3, Class C 5.130%, 8/20/26		585,000			581
GM Financial Automobile Leasing Trust, Series 2023-1, Class B 5.030%, 9/18/28		155,000			154
GM Financial Automobile Leasing Trust, Series 2023-1, Class C 5.760%, 1/20/27		970,000			971
GM Financial Consumer Automobile Receivables Trust, Series 2020-4, Class C 1.050%, 5/18/26		225,000			218
Hardee’s Funding LLC, Series 2018-1A, Class A23 5.710%, 6/20/48 144A		236,875			220
Hardee’s Funding LLC, Series 2018-1A, Class A21I 4.959%, 6/20/48 144A		667,988			640
Hardee’s Funding LLC, Series 2020-1A, Class A2 3.981%, 12/20/50 144A		625,650			550
Hilton Grand Vacations Trust, Series 2020-AA, Class A 2.740%, 2/25/39 144A		181,510			172
Hilton Grand Vacations Trust, Series 2022-1D, Class A 3.610%, 6/20/34 144A		136,802			132
Hilton Grand Vacations Trust, Series 2023-1A, Class B 6.110%, 1/25/38 144A		747,133			756
Hilton Grand Vacations Trust, Series 2023-1A, Class C 6.940%, 1/25/38 144A		139,525			141
Home Partners of America Trust, Series 2022- 1, Class A 3.930%, 4/17/39 144A		282,029			270
HPEFS Equipment Trust, Series 2021-2A, Class D 1.290%, 3/20/29 144A		340,000			330
HPEFS Equipment Trust, Series 2023-1A, Class C 5.910%, 4/20/28 144A		355,000			356
HPEFS Equipment Trust, Series 2023-2A, Class C 6.480%, 1/21/31 144A		125,000			127
HPEFS Equipment Trust, Series 2023-2A, Class D 6.970%, 7/21/31 144A		125,000			128
JPMorgan Chase Bank NA, Series 2021-2, Class D 1.138%, 12/26/28 144A		63,990			63

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

110

Short-Term Bond Portfolio

 

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
KKR Financial CLO, Ltd., Series 2021-29A, Class A
6.855%, (US SOFR 3 Month plus 1.462%), 1/15/32 144A		1,000,000			998
Madison Park Funding, Ltd., Series 2017-23A, Class AR
6.619%, (US SOFR 3 Month plus 1.232%), 7/27/31 144A		693,809			693
Madison Park Funding, Ltd., Series 2017-23A, Class BR
7.199%, (US SOFR 3 Month plus 1.812%), 7/27/31 144A		710,000			706
Madison Park Funding, Ltd., Series 2019-37A, Class AR
6.725%, (US SOFR 3 Month plus 1.332%), 7/15/33 144A		450,000			449
Madison Park Funding, Ltd., Series 2022-33A, Class AR
6.684%, (US SOFR 3 Month plus 1.290%), 10/15/32 144A		1,025,000			1,022
Magnetite CLO, Ltd., Series 2020-25A, Class A
6.840%, (US SOFR 3 Month plus 1.462%), 1/25/32 144A		965,000			965
MidOcean Credit CLO XI, Ltd.
7.096%, (US SOFR 3 Month plus 1.730%), 10/18/33 144A		305,000			304
8.016%, (US SOFR 3 Month plus 2.650%), 10/18/33 144A		455,000			455
MVW Owner Trust, Series 2019-2A, Class A 2.440%, 10/20/38 144A		52,269			49
MVW Owner Trust, Series 2020-1A, Class A 1.740%, 10/20/37 144A		259,264			243
MVW Owner Trust, Series 2020-1A, Class B 2.730%, 10/20/37 144A		144,642			137
MVW Owner Trust, Series 2021-1WA, Class B 1.440%, 1/22/41 144A		46,922			43
MVW Owner Trust, Series 2021-1WA, Class C 1.940%, 1/22/41 144A		69,444			64
MVW Owner Trust, Series 2023-1A, Class A 4.930%, 10/20/40 144A		703,447			699
MVW Owner Trust, Series 2023-2A, Class A 6.180%, 11/20/40 144A		507,009			518
MVW Owner Trust, Series 2023-2A, Class B 6.330%, 11/20/40 144A		108,293			111
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A		128,904			125
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A		164,570			155
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A 2.640%, 5/15/68 144A		224,509			213
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A 2.460%, 11/15/68 144A		222,912			209
Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A 2.150%, 11/15/68 144A		825,728			765

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A		154,279			140
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A		97,067			87
Navient Student Loan Trust, Series 2019-GA, Class A 2.400%, 10/15/68 144A		341,578			320
Navient Student Loan Trust, Series 2020-HA, Class A 1.310%, 1/15/69 144A		48,364			44
Navistar Financial Dealer Note Master Trust, Series 2023-1, Class A 6.180%, 8/25/28 144A		360,000			363
Nelnet Student Loan Trust, Series 2020-1A, Class A 6.210%, (US SOFR 1 Month plus 0.855%), 3/26/68 144A		92,041			91
Nelnet Student Loan Trust, Series 2021-CA, Class AFX 1.320%, 4/20/62 144A		567,086			509
Nelnet Student Loan Trust, Series 2021-DA, Class AFX 1.630%, 4/20/62 144A		199,379			182
Neuberger Berman CLO, Ltd., Series 2017-26A, Class BR 7.057%, (US SOFR 3 Month plus 1.662%), 10/18/30 144A		500,000			494
Neuberger Berman CLO, Ltd., Series 2019-32A, Class AR
6.648%, (US SOFR 3 Month plus 1.252%), 1/20/32 144A		250,000			249
Neuberger Berman CLO, Ltd., Series 2021-40A, Class A
6.715%, (US SOFR 3 Month plus 1.322%), 4/16/33 144A		270,000			270
Oaktree CLO, Ltd., Series 2022-2A, Class A1R
6.925%, (US SOFR 3 Month plus 1.550%), 7/15/33 144A		700,000			700
OCP CLO, Ltd., Series 2017-13A, Class A2R
7.205%, (US SOFR 3 Month plus 1.812%), 7/15/30 144A		760,000			756
Octane Receivables Trust, Series 2021-2A, Class A 1.210%, 9/20/28 144A		111,736			109
Octane Receivables Trust, Series 2022-1A, Class B 4.900%, 5/22/28 144A		395,000			388
Octane Receivables Trust, Series 2023-1A, Class A 5.870%, 5/21/29 144A		95,352			96
Octane Receivables Trust, Series 2023-1A, Class B 5.960%, 7/20/29 144A		225,000			226
Octane Receivables Trust, Series 2023-3A, Class B 6.480%, 7/20/29 144A		135,000			138
Octane Receivables Trust, Series 2023-3A, Class C 6.740%, 8/20/29 144A		100,000			102

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

111

Short-Term Bond Portfolio

 

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Octane Receivables Trust, Series 2023-3A, Class D 7.580%, 9/20/29 144A		100,000			102
Planet Fitness Master Issuer LLC, Series 2018-A1, Class A2II 4.666%, 9/5/48 144A		805,375			786
Progress Residential Trust, Series 2020-SFR2, Class A 2.078%, 6/18/37 144A		154,644			147
Progress Residential Trust, Series 2022-SFR6, Class A 4.451%, 7/20/39 144A		524,238			505
Santander Bank Auto Credit-Linked Notes, Series 2021-1A, Class B 1.833%, 12/15/31 144A		53,866			52
Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class C 5.916%, 8/16/32 144A		110,634			110
Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class B 6.451%, 12/15/32 144A		515,804			516
Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class A2 5.644%, 12/15/33 144A		250,000			251
Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D 6.663%, 12/15/33 144A		280,000			280
Santander Consumer Auto Receivables Trust, Series 2020-BA, Class C 1.290%, 4/15/26 144A		414,867			412
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class D 1.570%, 1/15/27 144A		450,000			421
Santander Drive Auto Receivables Trust, Series 2020-3, Class D 1.640%, 11/16/26		190,144			187
Santander Drive Auto Receivables Trust, Series 2021-4, Class D 1.670%, 10/15/27		450,000			425
Santander Drive Auto Receivables Trust, Series 2023-1, Class C 5.090%, 5/15/30		260,000			258
Santander Retail Auto Lease Trust, Series 2021-A, Class C 1.140%, 3/20/26 144A		1,030,000			1,021
Santander Retail Auto Lease Trust, Series 2021-B, Class D 1.410%, 11/20/25 144A		440,000			431
Santander Retail Auto Lease Trust, Series 2021-C, Class C 1.110%, 3/20/26 144A		365,000			357
Santander Retail Auto Lease Trust, Series 2022-B, Class B 3.850%, 3/22/27 144A		150,000			147
SCF Equipment Leasing Trust, Series 2023-1A, Class A2 6.560%, 1/22/30 144A		225,000			227
SCF Equipment Leasing Trust, Series 2023-1A, Class A3 6.170%, 5/20/32 144A		470,000			481

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Sierra Receivables Funding Co. LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A		28,083			28
Sierra Receivables Funding Co. LLC, Series 2019-2A, Class A 2.590%, 5/20/36 144A		94,484			93
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class A 2.340%, 7/15/38 144A		228,157			219
Sierra Receivables Funding Co. LLC, Series 2020-2A, Class C 3.510%, 7/20/37 144A		79,921			77
Sierra Receivables Funding Co. LLC, Series 2021-2A, Class B 1.800%, 9/20/38 144A		126,910			119
Sierra Receivables Funding Co. LLC, Series 2021-2A, Class C 1.950%, 9/20/38 144A		265,101			246
SMB Private Education Loan Trust, Series 2014-A, Class A3
6.976%, (US SOFR 1 Month plus 1.615%), 4/15/32 144A		67,771			68
SMB Private Education Loan Trust, Series 2016-C, Class A2B
6.576%, (US SOFR 1 Month plus 1.215%), 9/15/34 144A		78,364			78
SMB Private Education Loan Trust, Series 2018-B, Class A2A 3.600%, 1/15/37 144A		88,784			86
SMB Private Education Loan Trust, Series 2018-B, Class A2B
6.196%, (US SOFR 1 Month plus 0.835%), 1/15/37 144A		212,447			210
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A		100,846			91
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A		725,658			658
SMB Private Education Loan Trust, Series 2021-B, Class A 1.310%, 7/17/51 144A		483,996			437
Symphony CLO I, Ltd., Series 2021-1A, Class B
7.090%, (US SOFR 3 Month plus 1.712%), 10/25/29 144A		815,000			794
Symphony CLO XXIII, Ltd., Series 2021-23A, Class AR
6.675%, (US SOFR 3 Month plus 1.282%), 1/15/34 144A		1,045,000			1,043
Symphony CLO XXVI, Ltd., Series 2021-26A, Class AR
6.757%, (US SOFR 3 Month plus 1.342%), 4/20/33 144A		285,000			284
U.S. Bank NA, Series 2023-1, Class B 6.789%, 8/25/32 144A		250,000			251
Verdant Receivables LLC, Series 2023-1A, Class A2 6.240%, 1/13/31 144A		565,000			568

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

112

Short-Term Bond Portfolio

 

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Wheels Fleet Lease Funding, Series 2023-2A, Class A 6.460%, 8/18/38 144A		775,000			784
World Omni Auto Receivables Trust, Series 2020-A, Class C 1.640%, 8/17/26		225,000			223
World Omni Auto Receivables Trust, Series 2022-A, Class C 2.550%, 9/15/28		325,000			306
World Omni Select Auto Trust, Series 2020-A, Class B 0.840%, 6/15/26		90,017			90
World Omni Select Auto Trust, Series 2020-A, Class C 1.250%, 10/15/26		310,000			304
World Omni Select Auto Trust, Series 2021-A, Class D 1.440%, 11/15/27		180,000			167
World Omni Select Auto Trust, Series 2023-A, Class B 5.870%, 8/15/28		445,000			449
Total					55,945
Mortgage Securities (14.7%)
Angel Oak Mortgage Trust, Series 2020-3, Class A3 2.872%, (AFC), 4/25/65 144A		46,588			44
Angel Oak Mortgage Trust, Series 2021-1, Class A1 0.909%, (AFC), 1/25/66 144A		270,200			229
Angel Oak Mortgage Trust, Series 2021-1, Class A2 1.115%, (AFC), 1/25/66 144A		79,048			66
Angel Oak Mortgage Trust, Series 2021-2, Class A1 0.985%, (AFC), 4/25/66 144A		255,073			215
Angel Oak Mortgage Trust, Series 2021-2, Class A2 1.190%, (AFC), 4/25/66 144A		80,446			67
Angel Oak Mortgage Trust, Series 2021-3, Class A1 1.068%, (AFC), 5/25/66 144A		189,453			158
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A 6.509%, (US SOFR 1 Month plus 1.147%),  9/15/34 144A		935,000			930
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C 7.476%, (US SOFR 1 Month plus 2.115%),  9/15/38 144A		435,000			370
BANK, Series 2019-BNK24, Class A1 2.056%, 11/15/62		22,631			22
Bayview MSR Opportunity Master Fund Trust, Series 2021-2, Class A5 2.500%, (AFC), 6/25/51 144A		437,467			381
Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A5 2.500%, (AFC), 11/25/51 144A		324,888			282

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Bayview MSR Opportunity Master Fund Trust, Series 2022-1, Class A5 2.500%, (AFC), 12/25/51 144A		410,827			356
BCP Trust, Series 2021-330N, Class A
6.275%, (US SOFR 1 Month plus 0.914%), 6/15/38 144A		290,000			260
BINOM Securitization Trust, Series 2021-INV1, Class A3 2.625%, (AFC), 6/25/56 144A		174,922			150
BPR Trust, Series 2021-TY, Class B
6.626%, (US SOFR 1 Month plus 1.265%), 9/25/38 144A		450,000			429
BRAVO Residential Funding Trust, Series 2021-NQM3, Class A1 1.699%, (AFC), 4/26/60 144A		272,691			244
BSREP Commercial Mortgage Trust, Series 2021-DC, Class D
7.376%, (US SOFR 1 Month plus 2.015%), 8/15/38 144A		189,541			141
BX Commercial Mortgage Trust, Series 2019-IMC, Class A
6.408%, (US SOFR 1 Month plus 1.046%), 4/15/34 144A		100,000			99
BX Commercial Mortgage Trust, Series 2019-XL, Class A
6.396%, (US SOFR 1 Month plus 1.035%), 10/15/36 144A		114,236			114
BX Commercial Mortgage Trust, Series 2019-XL, Class B
6.556%, (US SOFR 1 Month plus 1.195%), 10/15/36 144A		318,750			317
BX Commercial Mortgage Trust, Series 2022-CSMO, Class B
8.503%, (US SOFR 1 Month plus 3.141%), 6/15/27 144A		570,000			570
BX Commerical Mortgage Trust, Series 2019-IMC, Class B
6.708%, (US SOFR 1 Month plus 1.346%), 4/15/34 144A		355,000			352
BX Trust, Series 2021-ARIA, Class C
7.122%, (US SOFR 1 Month plus 1.761%), 10/15/36 144A		330,000			319
BX Trust, Series 2021-VIEW, Class A
6.756%, (US SOFR 1 Month plus 1.395%), 6/15/36 144A		255,000			244
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class D
7.126%, (US SOFR 1 Month plus 1.765%), 11/15/36 144A		308,300			281
CIM Trust, Series 2020-INV1, Class A2 2.500%, (AFC), 4/25/50 144A		275,028			226
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B 3.518%, (CSTR), 5/10/35 144A		435,000			401
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C 3.518%, (CSTR), 5/10/35 144A		255,000			232
Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A3 2.500%, 8/25/50 144A		267,101			224

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

113

Short-Term Bond Portfolio

 

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A4 2.500%, (AFC), 8/25/50 144A		370,973			305
Cold Storage Trust, Series 2020-ICE5, Class B
6.772%, (US SOFR 1 Month plus 1.415%), 11/15/37 144A		953,501			943
COLT Mortgage Loan Trust, Series 2020-3, Class A1 1.506%, (AFC), 4/27/65 144A		25,498			24
COLT Mortgage Loan Trust, Series 2021-1, Class A2 1.167%, (AFC), 6/25/66 144A		250,851			204
COMM Mortgage Trust, Series 2014-CR15, Class B 4.509%, (CSTR), 2/10/47		435,000			413
COMM Mortgage Trust, Series 2014-CR19, Class AM 4.080%, 8/10/47		495,000			478
COMM Mortgage Trust, Series 2014-CR19, Class D 4.629%, (CSTR), 8/10/47 144A		185,000			157
COMM Mortgage Trust, Series 2014-UBS2, Class B 4.701%, 3/10/47		480,000			454
COMM Mortgage Trust, Series 2014-UBS5, Class A4 3.838%, 9/10/47		630,000			618
COMM Mortgage Trust, Series 2015-CR22, Class B 3.926%, (AFC), 3/10/48		235,000			218
COMM Mortgage Trust, Series 2015-CR22, Class C 4.067%, (CSTR), 3/10/48		440,000			396
Commercial Mortgage Pass Through Certificates, Series 2017-PANW, Class D 3.935%, (CSTR, AFC), 10/10/29 144A		195,000			165
Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1
6.337%, (US 30 Day Average SOFR plus 1.000%), 12/25/41 144A		220,745			220
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class C
6.839%, (US SOFR 1 Month plus 1.477%), 5/15/36 144A		513,722			512
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class D
7.009%, (US SOFR 1 Month plus 1.647%), 5/15/36 144A		403,995			403
Credit Suisse Mortgage Trust, Series 2020-NET, Class A 2.256%, 8/15/37 144A		196,421			182
Credit Suisse Mortgage Trust, Series 2020-NET, Class D 3.704%, (CSTR), 8/15/37 144A		445,000			393
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4 3.718%, 8/15/48		305,000			294
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class A1 2.360%, 6/15/52		42,083			42

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Deephaven Residential Mortgage Trust, Series 2021-1, Class A3 1.128%, (AFC), 5/25/65 144A		60,006			55
Deephaven Residential Mortgage Trust, Series 2021-2, Class A3 1.260%, (AFC), 4/25/66 144A		113,522			97
Ellington Financial Mortgage Trust, Series 2019-2, Class A3 3.046%, (AFC), 11/25/59 144A		42,186			39
Ellington Financial Mortgage Trust, Series 2021-1, Class A1 0.797%, (AFC), 2/25/66 144A		58,946			50
Ellington Financial Mortgage Trust, Series 2021-1, Class A3 1.106%, (AFC), 2/25/66 144A		48,882			41
Ellington Financial Mortgage Trust, Series 2021-2, Class A1 0.931%, (AFC), 6/25/66 144A		508,505			405
Ellington Financial Mortgage Trust, Series 2021-2, Class A3 1.291%, (AFC), 6/25/66 144A		150,240			119
Ellington Financial Mortgage Trust, Series 2021-3, Class A3 1.550%, (AFC), 9/25/66 144A		158,037			124
Extended Stay America Trust, Series 2021- ESH, Class C
7.176%, (US SOFR 1 Month plus 1.815%), 7/15/38 144A		448,051			441
Federal Home Loan Mortgage Corp. 1.500%, 2/1/36		637,134			557
2.500%, 1/1/52		557,266			478
2.500%, 4/1/52		301,877			259
3.000%, 11/1/34		31,301			30
3.500%, 3/1/46		30,973			29
3.500%, 12/1/47		277,368			259
4.000%, 12/1/49		85,965			82
4.500%, 4/1/38		369,360			367
4.500%, 5/1/50		50,120			49
5.000%, 12/1/41		107,203			109
5.500%, 8/1/53		543,768			546
6.000%, 9/1/34		963			1
6.000%, 2/1/35		18,500			19
6.000%, 9/1/35		6,148			6
6.000%, 2/1/53		303,410			313
7.000%, 3/1/39		36,197			38
7.500%, 6/1/38		30,952			32
Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1
9.452%, (US 30 Day Average SOFR plus 4.115%), 8/25/24		44,492			45
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1 3.866%, (CSTR), 5/25/47 144A		19,730			19
Federal Home Loan Mortgage Corp., Series 3713, Class PA 2.000%, 2/15/40		35,408			34
Federal Home Loan Mortgage Corp., Series 4092, Class CL 1.250%, 6/15/27		97,134			94

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

114

Short-Term Bond Portfolio

 

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series K753, Class A1 4.600%, 6/25/30		334,332			337
Federal National Mortgage Association 2.000%, 10/1/50		209,598			172
2.500%, 1/1/52		777,570			666
3.000%, 4/1/24		1,083			1
3.000%, 9/1/28		127,822			124
3.000%, 12/1/34		73,045			69
3.000%, 3/1/35		31,052			30
3.000%, 6/1/52		1,122,381			993
3.500%, 5/1/27		118,017			115
3.500%, 4/1/46		189,501			177
3.500%, 2/1/48		331,267			309
3.500%, 1/1/52		127,167			117
4.000%, 1/1/47		51,508			50
4.000%, 2/1/49		10,812			10
4.000%, 11/1/49		30,426			29
4.000%, 12/1/49		10,156			10
4.000%, 8/1/52		190,156			180
4.000%, 9/1/52		967,700			915
4.500%, 5/1/40		40,673			41
4.500%, 9/1/40		35,360			35
4.500%, 5/1/41		69,889			70
4.500%, 8/1/48		20,587			20
4.500%, 9/1/48		19,403			19
4.500%, 10/1/48		138,744			137
4.500%, 11/1/48		27,918			27
4.500%, 12/1/48		147,304			145
4.500%, 5/1/49		83,034			82
4.500%, 1/1/50		18,023			18
4.500%, 7/1/52		1,193,161			1,157
4.500%, 8/1/52		732,872			711
5.000%, 10/1/33		58,655			60
5.000%, 6/1/40		35,020			36
5.000%, 7/1/45		51,762			53
5.000%, 9/1/48		51,603			52
5.000%, 2/1/49		22,438			22
5.000%, 8/1/49		18,142			18
5.000%, 10/1/52		368,252			365
5.000%, 9/1/53		314,350			311
5.500%, 8/1/37		35,014			36
5.500%, 2/1/38		133,272			137
5.500%, 10/1/53		351,553			353
6.000%, 3/1/34		30,309			31
6.000%, 8/1/34		82,352			86
6.000%, 11/1/34		3,010			3
6.000%, 12/1/34		1,121			1
6.000%, 4/1/35		1,944			2
6.000%, 5/1/38		1,319			1
6.000%, 10/1/40		66,437			69
6.000%, 2/1/49		274,982			291
6.000%, 7/1/53		315,445			321
6.000%, 8/1/53		2,320,211			2,361
6.500%, 7/1/32		9,448			10
6.500%, 12/1/32		8,915			9
Federal National Mortgage Association, Series 2011-113, Class AG 2.500%, 11/25/26		16,396			16

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2017-90, Class KA 3.000%, 11/25/47		164,087			152
Federal National Mortgage Association, Series 2017-C05, Class 1ED3
6.652%, (US 30 Day Average SOFR plus 1.315%), 1/25/30		3,379			3
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
6.302%, (US 30 Day Average SOFR plus 0.965%), 10/25/30		157,171			157
Flagstar Mortgage Trust, Series 2020-1INV, Class A11
6.000%, (US SOFR 1 Month plus 0.965%), 3/25/50 144A		98,350			92
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A 3.144%, 12/10/36 144A		300,000			291
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class B 3.447%, 12/10/36 144A		605,000			586
Galton Funding Mortgage Trust, Series 2018-1, Class A33 3.500%, (AFC), 11/25/57 144A		24,953			23
Galton Funding Mortgage Trust, Series 2019-1, Class A21 4.500%, (AFC), 2/25/59 144A		31,029			30
Galton Funding Mortgage Trust, Series 2019-1, Class A32 4.000%, (AFC), 2/25/59 144A		13,499			13
Galton Funding Mortgage Trust, Series 2019-H1, Class M1 3.339%, (AFC), 10/25/59 144A		260,000			242
Galton Funding Mortgage Trust, Series 2020-H1, Class M1 2.832%, (AFC), 1/25/60 144A		285,000			221
Government National Mortgage Association 3.000%, 9/20/47		458,854			420
3.500%, 12/20/42		2,993			3
3.500%, 9/20/43		40,661			39
3.500%, 8/20/44		77,831			74
3.500%, 10/20/46		513			–π
3.500%, 11/20/46		31,002			29
3.500%, 1/20/47		33,898			32
3.500%, 7/20/52		1,050,521			978
4.000%, 3/20/48		61,688			59
4.000%, 4/20/50		239,913			230
4.000%, 10/20/50		147,942			143
4.000%, 9/20/52		192,970			184
4.500%, 7/20/41		166,954			167
4.500%, 10/20/52		1,148,745			1,121
5.000%, 3/20/34		173,307			177
5.000%, 1/20/48		26,879			27
5.000%, 2/20/48		128,800			131
5.500%, 6/20/37		39,562			41
5.500%, 9/15/45		115,020			116
5.500%, 3/20/48		18,925			20
5.500%, 12/20/48		11,041			11
5.500%, 2/20/49		142,946			146

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

115

Short-Term Bond Portfolio

 

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Government National Mortgage Association TBA 6.500%, 1/22/54		455,000			466
Great Wolf Trust, Series 2019-WOLF, Class A
6.710%, (US SOFR 1 Month plus 1.149%), 12/15/36 144A		390,000			389
Great Wolf Trust, Series 2019-WOLF, Class B
7.010%, (US SOFR 1 Month plus 1.449%), 12/15/36 144A		85,000			84
Great Wolf Trust, Series 2019-WOLF, Class C
7.309%, (US SOFR 1 Month plus 1.748%), 12/15/36 144A		270,000			268
GS Mortgage Backed Securities Trust, Series 2014-EB1A, Class 2A1 4.459%, (CSTR), 7/25/44 144A		2,848			3
GS Mortgage Backed Securities Trust, Series 2021-GR2, Class A6 2.500%, (AFC), 2/25/52 144A		317,350			276
GS Mortgage Backed Securities Trust, Series 2022-GR1, Class A5 2.500%, (AFC), 6/25/52 144A		868,680			750
GS Mortgage Securities Trust, Series 2021-ROSS, Class B
7.076%, (US SOFR 1 Month plus 1.715%), 5/15/26 144A		390,000			303
Imperial Fund Mortgage Trust, Series 2021-NQM2, Class A3 1.516%, (AFC), 9/25/56 144A		240,177			189
Imperial Fund Mortgage Trust, Series 2022-NQM4, Class A1 4.767%, (AFC), 6/25/67 144A S		721,594			704
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C
7.576%, (US SOFR 1 Month plus 2.215%), 9/15/29 144A		250,000			191
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B
7.496%, (US SOFR 1 Month plus 2.135%), 10/15/33 144A		540,000			483
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class C
7.896%, (US SOFR 1 Month plus 2.535%), 10/15/33 144A		440,000			363
JP Morgan Mortgage Trust, Series 2020-INV1, Class A11
6.000%, (US SOFR 1 Month plus 0.945%), (AFC), 8/25/50 144A		42,114			40
JP Morgan Mortgage Trust, Series 2020-INV1, Class A15 3.500%, (AFC), 8/25/50 144A		68,557			61
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A5 3.934%, 9/15/47		540,000			531
KIND Trust, Series 2021-KIND, Class C
7.226%, (US SOFR 1 Month plus 1.865%), 8/15/38 144A		575,838			536
LSTAR Commercial Mortgage Trust, Series 2017-5, Class AS 4.021%, 3/10/50 144A		340,000			300

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
MetLife Securitization Trust, Series 2017-1A, Class A 3.000%, (AFC), 4/25/55 144A		69,356			65
MFRA Trust, Series 2021-INV1, Class A1 0.852%, (AFC), 1/25/56 144A		99,158			91
MFRA Trust, Series 2021-NQM2, Class A2 1.317%, (AFC), 11/25/64 144A		112,538			96
Mill City Mortgage Loan Trust, Series 2017-2, Class A1 2.750%, (AFC), 7/25/59 144A		3,016			3
Morgan Stanley Capital I Trust, Series 2014-150E, Class A 3.912%, 9/9/32 144A		610,000			501
Morgan Stanley Capital I Trust, Series 2019-NUGS, Class D
7.276%, (US SOFR 1 Month plus 1.915%), 12/15/36 144A		315,000			112
Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class A4 2.500%, (AFC), 5/25/51 144A		131,789			115
Morgan Stanley Residential Mortgage Loan Trust, Series 2023-NQM1, Class A2 7.530%, (AFC), 9/25/68 144A ∑		147,583			150
New Residential Mortgage Loan Trust, Series 2021-INV1, Class A6 2.500%, (AFC), 6/25/51 144A		277,112			242
New Residential Mortgage Loan Trust, Series 2021-INV2, Class A7 2.500%, (AFC), 9/25/51 144A		786,060			686
NLT Trust, Series 2021-INV2, Class A3 1.520%, (AFC), 8/25/56 144A		210,405			171
OBX Trust, Series 2019-EXP2, Class 2A2 6.444%, (US SOFR 1 Month plus 1.315%), 7/25/59 144A		51,583			50
OBX Trust, Series 2019-EXP3, Class 2A1 6.370%, (US SOFR 1 Month plus 1.015%), (AFC), 10/25/59 144A		58,861			57
OBX Trust, Series 2020-EXP1, Class 1A8 3.500%, 2/25/60 144A		140,956			125
OBX Trust, Series 2020-EXP1, Class 2A1
6.220%, (US SOFR 1 Month plus 0.865%), 2/25/60 144A		131,959			124
OBX Trust, Series 2020-EXP1, Class 2A2 6.420%, (US SOFR 1 Month plus 1.065%), 2/25/60 144A		78,528			71
OBX Trust, Series 2020-EXP2, Class A8 3.000%, (AFC), 5/25/60 144A		175,720			148
OBX Trust, Series 2020-EXP2, Class A9 3.000%, (AFC), 5/25/60 144A		43,930			37
OBX Trust, Series 2020-EXP3, Class 1A8 3.000%, (AFC), 1/25/60 144A		150,581			131
OBX Trust, Series 2020-INV1, Class A5 3.500%, (AFC), 12/25/49 144A		39,543			35
OBX Trust, Series 2023-NQM10, Class A2 7.920%, (AFC), 10/25/63 144A S		99,171			100
ONE Park Mortgage Trust, Series 2021-PARK, Class B
6.426%, (US SOFR 1 Month plus 1.065%), 3/15/36 144A		755,000			704

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

116

Short-Term Bond Portfolio

 

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
ONE Park Mortgage Trust, Series 2021-PARK, Class C
6.576%, (US SOFR 1 Month plus 1.215%), 3/15/36 144A		405,000			372
Onslow Bay Financial LLC, Series 2023-NQM9, Class A2 8.513%, (AFC), 10/25/63 144A S		98,431			101
SCG Mortgage Trust, Series 2023-NASH, Class A
7.752%, (US SOFR 1 Month plus 2.391%), 12/15/40 144A		380,000			380
Sequoia Mortgage Trust, Series 2018-CH2, Class A21 4.000%, (AFC), 6/25/48 144A		20,255			19
Sequoia Mortgage Trust, Series 2018-CH2, Class A3 4.000%, (AFC), 6/25/48 144A		46,720			43
Sequoia Mortgage Trust, Series 2018-CH3, Class A19 4.500%, (AFC), 8/25/48 144A		2,879			3
SG Residential Mortgage Trust, Series 2020-2, Class A1 1.381%, (AFC), 5/25/65 144A		92,993			83
SG Residential Mortgage Trust, Series 2022-1, Class A1 3.166%, (AFC), 3/27/62 144A		552,404			497
STACR Trust, Series 2021-DNA3, Class M2
7.437%, (US 30 Day Average SOFR plus 2.100%), 10/25/33 144A		395,000			396
STACR Trust, Series 2021-DNA5, Class M2
6.987%, (US 30 Day Average SOFR plus 1.650%), 1/25/34 144A		162,246			163
STACR Trust, Series 2021-DNA7, Class M1
6.187%, (US 30 Day Average SOFR plus 0.850%), 11/25/41 144A		167,643			167
STACR Trust, Series 2021-DNA7, Class M2
7.137%, (US 30 Day Average SOFR plus 1.800%), 11/25/41 144A		375,000			370
STACR Trust, Series 2022-DNA5, Class M1A
8.287%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A		511,005			525
STACR Trust, Series 2023-HQA3, Class A1
7.187%, (US 30 Day Average SOFR plus 1.850%), 11/25/43 144A		168,672			170
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3 2.916%, (AFC), 9/27/49 144A		178,579			172
Starwood Mortgage Residential Trust, Series 2020-1, Class A2 2.408%, (AFC), 2/25/50 144A		157,008			147
Starwood Mortgage Residential Trust, Series 2021-2, Class A1 0.943%, (AFC), 5/25/65 144A		131,503			119
Starwood Mortgage Residential Trust, Series 2021-4, Class A1 1.162%, (AFC), 8/25/56 144A		586,096			490
Toorak Mortgage Corp., Series 2021-INV1, Class A2 1.409%, (AFC), 12/31/99 144A		109,073			94

Structured Products (29.2%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Towd Point Mortgage Trust, Series 2015-1, Class A1 3.000%, (AFC), 1/28/58 144A		38,781			38
Towd Point Mortgage Trust, Series 2017-1, Class A1 2.750%, (AFC), 10/25/56 144A		6,550			6
Towd Point Mortgage Trust, Series 2017-3, Class A1 2.750%, (AFC), 7/25/57 144A		43,915			43
Towd Point Mortgage Trust, Series 2022-4, Class A1 3.750%, (AFC), 9/25/62 144A		836,343			782
Uniform Mortgage Backed Security TBA 6.000%, 1/16/54		625,000			635
United Wholsale Mortgage LLC, Series 2021-INV2, Class A4 2.500%, (AFC), 9/25/51 144A		147,075			128
United Wholsale Mortgage LLC, Series 2021-INV5, Class B 2.500%, (AFC), 1/25/52 144A		173,314			150
Verus Securitization Trust, Series 2019-INV2, Class A1 3.913%, (AFC), 7/25/59 144A		59,902			57
Verus Securitization Trust, Series 2019-INV2, Class A2 4.117%, (AFC), 7/25/59 144A		80,360			77
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A		57,416			56
Verus Securitization Trust, Series 2020-5, Class A3 1.733%, (AFC), 5/25/65 144A S		63,456			59
Verus Securitization Trust, Series 2020-INV1, Class A1 1.977%, (AFC), 4/25/60 144A		15,124			15
Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A		81,446			70
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		66,490			57
Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A		155,536			134
Verus Securitization Trust, Series 2021-2, Class A2 1.052%, (AFC), 1/25/66 144A		113,033			97
Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A		199,586			164
Verus Securitization Trust, Series 2021-7, Class A1 1.829%, (AFC), 10/25/66 144A		775,950			674
Verus Securitization Trust, Series 2021-R1, Class A2 1.057%, (AFC), 10/25/63 144A		47,989			44
Verus Securitization Trust, Series 2021-R2, Class A1 0.918%, (AFC), 2/25/64 144A		161,952			142

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

117

Short-Term Bond Portfolio

 

Structured Products (29.2%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Verus Securitization Trust, Series 2022-1, Class A3 3.288%, (AFC), 1/25/67 144A		851,409		739
Verus Securitization Trust, Series 2022-6, Class A1 4.910%, (AFC), 6/25/67 144A S		216,412		212
Verus Securitization Trust, Series 2023-6, Class A2 6.939%, (AFC), 9/25/68 144A S		263,409		266
Verus Securitization Trust, Series 2023-7, Class A2 7.272%, (AFC), 10/25/68 144A S		324,171		330
Verus Securitization Trust, Series 2023-8, Class A2 6.664%, (AFC), 12/25/68 144A S		215,000		216
Verus Securitization Trust, Series 2023-INV3, Class A2 7.330%, (AFC), 11/25/68 144A		552,614		561
Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A		41,066		38
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2 3.020%, 7/15/58		34,481		33
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17 3.000%, (AFC), 5/25/50 144A		33,014		28
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3 2.500%, (AFC), 12/25/50 144A		573,506		504
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5 4.045%, 3/15/47		20,002		20
Total				56,686
Total Structured Products (Cost: $117,689)				112,631
Short-Term Investments (0.8%)
Commercial Paper (0.6%)
Harley-Davidson, Inc. 0.000%, 1/5/24		1,005,000		1,004
Western Midstream Operating LP 0.000%, 1/26/24		1,015,000		1,010
Total				2,014
Financial (0.2%)
Ally Financial, Inc.
3.875%, 5/21/24		840,000		833
Total				833
Total Short-Term Investments (Cost: $2,847)				2,847
Total Investments (98.3%) (Cost: $385,729)@				378,718
Other Assets, Less Liabilities (1.7%)				6,514
Net Assets (100.0%)				385,232

 

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

118

Short-Term Bond 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)
Five-Year US Treasury Note Future		Short		USD		1,400		14		3/24	$	1,523	$	(38	)	$	(1)
Ten-Year US Treasury Note Future		Short		USD		6,500		65		3/24		7,338		(232	)		–
Two-Year US Treasury Note Future		Long		USD		91,200		456		3/24		93,897		847			57
Ultra Long Term US Treasury Bond Future		Short		USD		1,400		14		3/24		1,870		(181	)		7
Ultra Ten-Year US Treasury Note Future		Short		USD		7,000		70		3/24		8,261		(359	)		7
													$	37		$	70

	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	$	–	$	71	$	71	$	–	$	(1	)	$	(1	)	$	–

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

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At December 31, 2023, the aggregate value of these securities was $4,505 (in thousands), representing 1.2% of net assets.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023 the value of these securities (in thousands) was $125,302 representing 32.5% of the net assets.

α Rate shown is the rate as of the period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future.

b 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 December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $385,765 and the net unrealized depreciation of investments based on that cost was $7,010 which is comprised of $2,895 aggregate gross unrealized appreciation and $9,905 aggregate gross unrealized depreciation.

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

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The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	—		$	428	$	—
Corporate Bonds		—			190,454		—
Governments		—			72,358		—
Structured Products		—			112,631		—
Short-Term Investments		—			2,847		—
Other Financial Instruments^
Futures		847			—		—
Total Assets:	$	847		$	378,718	$	—
Liabilities:
Other Financial Instruments^
Futures		(810	)		—		—
Total Liabilities:	$	(810	)	$	—	$	—

^ 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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Objective:	Portfolio Strategy:	Net Assets:
Provide as high a level of total return as is consistent with prudent investment risk. A secondary objective is to seek preservation of shareholders’ capital.	Invest in a diversified portfolio of investment grade debt securities with maturities exceeding one year.	$2.9 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Select Bond Portfolio (the “Portfolio”), has engaged Allspring Global Investments, LLC (“Allspring”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of investment grade debt securities with maturities exceeding one year. The Portfolio may also invest up to 20% of net assets in foreign securities. Debt securities may be of any maturity or duration, but under normal market conditions, the Portfolio attempts to maintain an overall dollar-weighted average effective duration (a measure of the sensitivity of the price of the Portfolio’s fixed income securities to changes in interest rates) that is within 10% of the Bloomberg^® U.S. Aggregate Index. The Portfolio uses a fundamental, relative value investment approach to construct the portfolio of investments. The Portfolio invests in debt securities that it believes offer competitive returns and are undervalued, offering additional income and/or price appreciation potential relative to other debt securities of similar credit quality and interest rate sensitivity. The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives.

MARKET OVERVIEW

Fixed income returns for 2023 were more in line with historical returns than they were with the more unusual returns of the last few years. Nevertheless, they remained substantially nonlinear, as rate volatility persisted through the year. Spread performance exhibited a tightening trend despite periods of widening, such as when regional banks came under pressure early in 2023.

Credit spreads and measures of implied volatility for equities fell to some of the lowest levels in the post-Coronavirus pandemic era, and yields on the 10-year U.S. Treasury fell to under 4%, a level consistent with a normalized environment of stable growth and inflation over time. Toward the end of 2023, the U.S. Federal Reserve’s aggressive rate-hike campaign, a response to pandemic- and geopolitical-related inflation, showed signs of slowing as inflation declined, leaving investors with optimism about the possibility of loosening monetary policy in 2024.

PORTFOLIO RESULTS

The Portfolio returned 6.19% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Bloomberg^® U.S. Aggregate Index (the “Index”), returned 5.53%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

All sectors within the Portfolio contributed to the Portfolio’s relative return, led strongly by the credit sector. In credit, issuer positioning across U.S. banks, non-U.S. banks and communications subsectors led contributions to the Portfolio’s relative performance, with a significant majority of subsectors making positive contributions to overall security selection. U.S. banks contributed due to active trading in Bank of America, Morgan Stanley & Company and Citigroup and an underweight to SVB Financial Group. Contributions from non-U.S. banks were due to active trading in UBS Group, Barclays, Sumitomo Mitsui Financial Group and Deutsche Bank. In the communications subsector, an active overweight in Warner Bros. Discovery and active trading in T-Mobile and AT&T contributed. In addition, active trading in technology company Intel Corporation and Mexican sovereign bonds made notable contributions.

In agency mortgages, active sector positioning amid elevated spread volatility was a significant contributor to the Portfolio’s relative performance. Security selection and positioning in passthroughs also meaningfully contributed, given the multitude of coupons and underlying stories available to trade and the contrasting performance among them. Specifically, overweights to 20-year 2.0s and seasoned 30-year 3.0s were the largest contributors, as the portfolio managers built significant positions at attractive prices in both cohorts throughout the year. Underweights to 15-year mortgage-backed securities (MBS) and 30-year lower- and mid-stack coupons also contributed. Conversely, overweights to floating rate collateralized mortgage obligations (CMOs) and hybrid adjustable-rate mortgages (ARMs) detracted modestly from the Portfolio’s relative performance, as spreads did not recover as quickly as with fixed rate cash flows. Positioning in select higher coupon 30-year MBS detracted materially as well.

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In structured products, a sector overweight to the asset-backed security (ABS) sector contributed as spreads compressed. Security selection in the ABS sector across sub-sectors, including private credit student loan ABS, auto ABS, FFELP student loan ABS, rental car ABS, credit card ABS and auto dealer floorplan ABS contributed. Within commercial mortgage-backed securities (CMBS), front last cash flows (LCFs) and single-asset/single-borrower positions were small contributors, while the small sector underweight detracted.

PORTFOLIO MANAGER OUTLOOK

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

Measures of inflation finally seem to be normalizing. Policymakers appear to have taken an optimistic view of recent developments, such as decelerating inflation, resilient growth and the lack of re-emergence of financial stability risks from earlier in 2023. With inflation decreasing, policymakers have indicated that further deceleration of inflation could lead to rate cuts sometime in 2024, as a means of avoiding incremental policy restriction in the form of higher short-term real rates.

We believe volatility will continue to provide for fertile security selection across sectors of the most liquid parts of the U.S. investment grade, fixed income markets, our preferred habitat for selection and rotation. Consistent with our bottom-up process, we maintain a neutral duration, with a pure focus on security selection. We remain nimble and agile, and we stand ready to take advantage of security selection opportunities where they arise.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Select Bond Portfolio	6.19%	1.41%	1.94%
Bloomberg® U.S. Aggregate Index	5.53%	1.10%	1.81%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers,

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

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
US Treasury, Various	26.8%
Federal National Mortgage Association, Various	19.2%
Federal Home Loan Mortgage Corp., Various	4.8%
Uniform Mortgage Backed Security TBA, Various	2.7%
Government National Mortgage Association, Various	1.5%
Bank of America Corp., Various	1.3%
Government National Mortgage Association TBA, 6.5%, 1/22/54	1.0%
Wells Fargo & Co., Various	0.7%
T-Mobile USA, Inc., Various	0.6%
Energy Transfer LP, Various	0.5%

Sector Allocation 12/31/23

Sector	% of Net Assets
Structured Products	50.8%
Governments	28.4%
Corporate Bonds	22.1%
Municipal Bonds	0.3%
Short-Term Investments & Other Net Assets	-1.6%

Sector Allocation and Top 10 Holdings are subject to change.

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Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.

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SCHEDULE OF INVESTMENTS

December 31, 2023

 

Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Basic Materials (0.3%)
Anglo American Capital PLC 4.750%, 3/16/52 144A		3,036,000			2,604
Celanese US Holdings LLC 6.700%, 11/15/33		2,142,000			2,323
Glencore Finance Canada, Ltd. 5.300%, 10/25/42 144A		483,000			468
6.000%, 11/15/41 144A		392,000			399
6.900%, 11/15/37 144A		1,109,000			1,222
Glencore Funding LLC 6.500%, 10/6/33 144A		2,133,000			2,325
Total					9,341
Communications (1.6%)
AT&T, Inc. 3.500%, 6/1/41		1,032,000			819
3.500%, 9/15/53		1,601,000			1,162
3.550%, 9/15/55		1,597,000			1,148
3.650%, 9/15/59		1,010,000			724
3.800%, 12/1/57		2,905,000			2,159
5.400%, 2/15/34		5,536,000			5,709
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 3.500%, 6/1/41		555,000			392
3.500%, 3/1/42		3,499,000			2,434
6.150%, 11/10/26		2,232,000			2,282
Comcast Corp. 2.987%, 11/1/63		1,207,000			778
4.049%, 11/1/52		1,041,000			878
5.350%, 11/15/27		2,121,000			2,192
Discovery Communications LLC 4.000%, 9/15/55		1,129,000			803
Meta Platforms, Inc. 5.600%, 5/15/53		2,035,000			2,206
5.750%, 5/15/63		2,035,000			2,227
T-Mobile USA, Inc. 1.500%, 2/15/26		723,000			673
2.250%, 2/15/26		2,254,000			2,136
2.550%, 2/15/31		1,613,000			1,389
3.750%, 4/15/27		3,431,000			3,328
4.800%, 7/15/28		2,143,000			2,161
4.950%, 3/15/28		2,141,000			2,170
5.050%, 7/15/33		2,679,000			2,700
5.750%, 1/15/34		2,138,000			2,268
Verizon Communications, Inc. 2.355%, 3/15/32		3,236,000			2,692
2.650%, 11/20/40		1,352,000			974
ViacomCBS, Inc. 4.950%, 5/19/50		1,303,000			1,056
Total					47,460

Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Consumer, Cyclical (1.7%)
Delta Air Lines, Inc./SkyMiles IP, Ltd. 4.750%, 10/20/28 144A		3,541,000			3,483
Ford Motor Credit Co. LLC 2.900%, 2/10/29		4,413,000			3,865
General Motors Financial Co., Inc. 5.800%, 1/7/29		3,192,000			3,267
6.100%, 1/7/34		1,065,000			1,097
Harley-Davidson Financial Services, Inc. 6.500%, 3/10/28 144A		1,611,000			1,672
Hyundai Capital America 0.800%, 1/8/24 144A		849,000			848
1.300%, 1/8/26 144A		2,035,000			1,879
5.500%, 3/30/26 144A		1,102,000			1,108
5.600%, 3/30/28 144A		3,357,000			3,407
5.700%, 6/26/30 144A		1,065,000			1,090
5.950%, 9/21/26 144A		2,996,000			3,047
6.500%, 1/16/29 144A		2,468,000			2,605
Lowe’s Companies, Inc. 4.250%, 4/1/52		2,024,000			1,714
5.625%, 4/15/53		3,717,000			3,897
5.750%, 7/1/53		1,077,000			1,141
5.850%, 4/1/63		538,000			563
McDonald’s Corp. 4.700%, 12/9/35		745,000			736
4.800%, 8/14/28		2,138,000			2,175
5.450%, 8/14/53		1,001,000			1,065
O’Reilly Automotive, Inc. 5.750%, 11/20/26		798,000			817
Tapestry, Inc. 7.350%, 11/27/28		533,000			559
7.700%, 11/27/30		2,141,000			2,254
Walmart, Inc. 4.100%, 4/15/33		2,692,000			2,666
4.500%, 4/15/53		1,065,000			1,035
WarnerMedia Holdings, Inc. 5.050%, 3/15/42		1,045,000			921
5.141%, 3/15/52		981,000			842
5.391%, 3/15/62		1,015,000			869
Total					48,622
Consumer, Non-cyclical (3.4%)
Abbott Laboratories 1.400%, 6/30/30		2,415,000			2,043
4.750%, 11/30/36		1,072,000			1,098
AbbVie, Inc. 3.200%, 11/21/29		3,999,000			3,738
4.050%, 11/21/39		1,140,000			1,029
4.250%, 11/21/49		2,770,000			2,469
4.500%, 5/14/35		2,353,000			2,301
4.550%, 3/15/35		2,686,000			2,634
Adani International Container Terminal Private, Ltd. 3.000%, 2/16/31 144A		818,275			670
Altria Group, Inc. 6.875%, 11/1/33		3,019,000			3,323

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

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Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Consumer, Non-cyclical continued
Amgen, Inc. 5.250%, 3/2/25		3,211,000			3,218
5.650%, 3/2/53		7,454,000			7,842
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 4.700%, 2/1/36		3,287,000			3,276
Anheuser-Busch InBev Worldwide, Inc. 4.375%, 4/15/38		1,394,000			1,322
5.800%, 1/23/59		804,000			901
Bunge, Ltd. Finance Corp. 1.630%, 8/17/25		1,107,000			1,047
Constellation Brands, Inc. 5.250%, 11/15/48		2,242,000			2,219
CVS Health Corp. 5.875%,��6/1/53		746,000			785
DH Europe Finance II SARL 2.200%, 11/15/24		2,640,000			2,571
Gilead Sciences, Inc. 2.600%, 10/1/40		1,670,000			1,230
HCA, Inc. 3.625%, 3/15/32		2,195,000			1,963
4.625%, 3/15/52		1,029,000			875
5.500%, 6/1/33		1,100,000			1,117
5.900%, 6/1/53		4,337,000			4,446
The J.M. Smucker Co. 6.500%, 11/15/43		532,000			593
JBS USA LUX SA / JBS USA Food Co / JBS Luxembourg SARL 6.750%, 3/15/34 144A		1,065,000			1,122
7.250%, 11/15/53 144A		1,183,000			1,286
Kenvue, Inc. 5.050%, 3/22/28		2,147,000			2,200
5.050%, 3/22/53		1,390,000			1,438
Keurig Dr. Pepper, Inc. 4.500%, 4/15/52		2,029,000			1,855
Merck & Co., Inc. 5.000%, 5/17/53		1,086,000			1,117
5.150%, 5/17/63		815,000			850
PepsiCo, Inc. 5.125%, 11/10/26		4,179,000			4,267
Pfizer Investment Enterprises Pte., Ltd. 4.750%, 5/19/33		4,184,000			4,193
5.300%, 5/19/53		3,837,000			3,917
5.340%, 5/19/63		2,152,000			2,173
Philip Morris International, Inc. 4.875%, 2/15/28		4,653,000			4,703
5.000%, 11/17/25		2,278,000			2,287
5.125%, 11/17/27		290,000			295
5.250%, 9/7/28		2,320,000			2,386
5.375%, 2/15/33		1,766,000			1,811
5.500%, 9/7/30		1,513,000			1,568
5.625%, 9/7/33		910,000			950
5.750%, 11/17/32		547,000			574
Quanta Services, Inc. 0.950%, 10/1/24		1,918,000			1,848
UnitedHealth Group, Inc. 3.050%, 5/15/41		505,000			395
5.200%, 4/15/63		1,109,000			1,132

Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Consumer, Non-cyclical continued
5.875%, 2/15/53		2,011,000			2,278
Total					97,355
Energy (1.8%)
Aker BP ASA 5.600%, 6/13/28 144A		2,805,000			2,859
6.000%, 6/13/33 144A		3,468,000			3,602
BP Capital Markets America, Inc. 3.001%, 3/17/52		1,283,000			900
4.812%, 2/13/33		5,888,000			5,937
Diamondback Energy, Inc. 4.250%, 3/15/52		322,000			260
6.250%, 3/15/33		1,607,000			1,717
6.250%, 3/15/53		2,730,000			2,910
Enbridge, Inc. 6.000%, 11/15/28		1,607,000			1,687
6.200%, 11/15/30		1,607,000			1,720
6.700%, 11/15/53		2,357,000			2,741
Energy Transfer LP 4.400%, 3/15/27		476,000			465
4.950%, 5/15/28		2,034,000			2,024
5.300%, 4/15/47		2,779,000			2,548
5.750%, 2/15/33		3,908,000			4,029
6.100%, 12/1/28		2,561,000			2,695
6.125%, 12/15/45		859,000			865
6.400%, 12/1/30		2,143,000			2,291
Galaxy Pipeline Assets Bidco, Ltd. 2.160%, 3/31/34 144A		1,871,316			1,623
2.625%, 3/31/36 144A		1,480,000			1,222
2.940%, 9/30/40 144A		404,041			333
MPLX LP 4.950%, 3/14/52		1,992,000			1,772
5.000%, 3/1/33		3,230,000			3,164
5.650%, 3/1/53		578,000			571
ONEOK, Inc. 6.625%, 9/1/53		2,782,000			3,114
Petroleos Mexicanos 2.460%, 12/15/25		1,283,800			1,239
Sunoco Logistics Partners Operations LP 5.400%, 10/1/47		816,000			760
Total					53,048
Financial (7.8%)
Agree LP 2.000%, 6/15/28		2,012,000			1,745
2.600%, 6/15/33		458,000			363
4.800%, 10/1/32		1,009,000			953
American Express Co. 5.282%, (US SOFR plus 1.280%), 7/27/29 a		4,286,000			4,375
5.389%, (US SOFR plus 0.970%), 7/28/27 a		3,204,000			3,241
6.489%, (US SOFR plus 1.940%), 10/30/31 a		1,608,000			1,744
American Homes 4 Rent LP 3.625%, 4/15/32		1,852,000			1,659
4.300%, 4/15/52		830,000			668
American Tower Corp. 2.950%, 1/15/51		537,000			358
3.125%, 1/15/27		907,000			857
5.500%, 3/15/28		2,143,000			2,190
5.900%, 11/15/33		3,207,000			3,395

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

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Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Financial continued
Banco Bilbao Vizcaya Argentaria SA
7.883%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.300%), 11/15/34 a		2,200,000			2,394
Banco Santander SA
6.527%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.650%), 11/7/27 a		2,600,000			2,688
6.607%, 11/7/28		2,600,000			2,768
6.938%, 11/7/33		2,200,000			2,442
Bank of America Corp. 1.734%, (US SOFR plus 0.960%), 7/22/27 a		7,367,000			6,749
3.419%, (US SOFR 3 Month plus
1.302%), 12/20/28 a		7,528,000			7,091
5.288%, (US SOFR plus 1.910%), 4/25/34 a		6,087,000			6,101
5.819%, (US SOFR plus 1.570%), 9/15/29 a		8,230,000			8,496
5.872%, (US SOFR plus 1.840%), 9/15/34 a		4,115,000			4,307
5.933%, (US SOFR plus 1.340%), 9/15/27 a		5,879,000			5,998
Barclays PLC 6.224%, (US SOFR plus 2.980%), 5/9/34 a		3,291,000			3,413
6.490%, (US SOFR plus 2.220%), 9/13/29 a		3,201,000			3,333
6.692%, (US SOFR plus 2.620%), 9/13/34 a		3,283,000			3,510
BNP Paribas SA
5.335%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.500%), 6/12/29 144A a		4,256,000			4,317
5.894%, (US SOFR plus 1.866%), 12/5/34 144A a		3,192,000			3,335
BPCE SA
6.612%, (US SOFR plus 1.980%), 10/19/27 144A a		3,266,000			3,361
6.714%, (US SOFR plus 2.270%), 10/19/29 144A a		2,230,000			2,348
7.003%, (US SOFR plus 2.590%), 10/19/34 144A a		1,676,000			1,821
Brixmor Operating Partnership LP 2.500%, 8/16/31		1,771,000			1,485
Canadian Imperial Bank of Commerce 6.092%, 10/3/33		3,210,000			3,425
Capital One Financial Corp. 7.149%, (US SOFR plus 2.440%), 10/29/27 a		2,681,000			2,783
Capitol One Financial Corp. 7.624%, (US SOFR plus 3.070%), 10/30/31 a		2,681,000			2,946
The Charles Schwab Corp. 6.136%, (US SOFR plus 2.010%), 8/24/34 a		2,136,000			2,251
Citibank NA 5.803%, 9/29/28		5,347,000			5,583
Citigroup, Inc. 6.174%, (US SOFR plus 2.661%), 5/25/34 a		2,551,000			2,640
Cooperatieve Rabobank U.A.
5.564%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.400%), 2/28/29 144A a		7,590,000			7,708
Crown Castle International Corp. 1.050%, 7/15/26		2,886,000			2,604
2.100%, 4/1/31		1,810,000			1,474
2.900%, 4/1/41		1,072,000			765
5.000%, 1/11/28		3,606,000			3,592
5.100%, 5/1/33		1,563,000			1,547

Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Financial continued
Crown Castle, Inc. 5.600%, 6/1/29		1,702,000			1,740
5.800%, 3/1/34		3,302,000			3,418
Deutsche Bank AG 3.742%, (US SOFR plus 2.257%), 1/7/33 a		4,166,000			3,420
Essex Portfolio LP 2.550%, 6/15/31		955,000			799
Federal Realty Investment Trust 3.950%, 1/15/24		1,281,000			1,280
HSBC Holdings PLC
3.973%, (US SOFR 3 Month plus 1.610%), 5/22/30 a		2,692,000			2,514
4.583%, (US SOFR 3 Month plus 1.796%), 6/19/29 a		796,000			772
7.399%, (US SOFR plus 3.020%), 11/13/34 a		2,701,000			2,963
ING Groep NV 6.083%, (US SOFR plus 1.560%), 9/11/27 a		3,202,000			3,268
6.114%, (US SOFR plus 2.090%), 9/11/34 a		2,205,000			2,313
Invitation Homes Operating Partnership LP 2.000%, 8/15/31		319,000			254
4.150%, 4/15/32		1,843,000			1,694
KeyBank NA 5.000%, 1/26/33		1,567,000			1,465
M&T Bank Corp.
7.413%, (US SOFR plus 2.800%), 10/30/29 a		2,197,000			2,363
Morgan Stanley
5.123%, (US SOFR plus 1.730%), 2/1/29 a		1,065,000			1,070
5.164%, (US SOFR plus 1.590%), 4/20/29 a		1,065,000			1,071
5.250%, (US SOFR plus 1.870%), 4/21/34 a		3,218,000			3,218
5.449%, (US SOFR plus 1.630%), 7/20/29 a		2,130,000			2,170
6.342%, (US SOFR plus 2.560%), 10/18/33 a		3,667,000			3,954
NNN REIT, Inc. 5.600%, 10/15/33		1,602,000			1,654
Realty Income Corp. 2.200%, 6/15/28		992,000			889
2.850%, 12/15/32		1,340,000			1,138
4.900%, 7/15/33		1,788,000			1,785
5.625%, 10/13/32		1,874,000			1,971
Regency Centers LP 2.950%, 9/15/29		2,537,000			2,275
Santander Holdings USA, Inc. 7.660%, (US SOFR plus 3.280%), 11/9/31 a		2,679,000			2,899
Store Capital Corp. 2.700%, 12/1/31		644,000			488
2.750%, 11/18/30		1,638,000			1,279
4.500%, 3/15/28		1,064,000			978
4.625%, 3/15/29		1,182,000			1,090
Sun Communities Operating LP 4.200%, 4/15/32		1,852,000			1,689
Truist Financial Corp.
7.161%, (US SOFR plus 2.446%), 10/30/29 a		3,751,000			4,051
Trust Fibra Uno 6.390%, 1/15/50 144A		1,215,000			980
UBS AG 5.650%, 9/11/28		2,480,000			2,572

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

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Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Financial continued
UBS Group AG
4.194%, (US SOFR plus 3.730%), 4/1/31 144A a		1,682,000			1,566
4.282%, 1/9/28 144A		2,436,000			2,359
6.301%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.000%), 9/22/34 144A a		1,666,000			1,764
Wells Fargo & Co.
4.611%, (US SOFR plus 2.130%), 4/25/53 a		1,065,000			957
4.897%, (US SOFR plus 2.100%), 7/25/33 a		7,502,000			7,308
5.574%, (US SOFR plus 1.740%), 7/25/29 a		1,071,000			1,094
6.303%, (US SOFR plus 1.790%), 10/23/29 a		3,747,000			3,949
6.491%, (US SOFR plus 2.060%), 10/23/34 a		5,894,000			6,412
Total					225,716
Industrial (1.4%)
The Boeing Co. 2.196%, 2/4/26		3,649,000			3,448
3.250%, 2/1/35		1,182,000			997
3.750%, 2/1/50		2,108,000			1,636
5.805%, 5/1/50		4,824,000			4,995
Burlington Northern Santa Fe LLC 4.450%, 1/15/53		430,000			405
Canadian Pacific Railway Co. 1.350%, 12/2/24		2,390,000			2,304
1.750%, 12/2/26		462,000			426
Carrier Global Corp. 5.900%, 3/15/34 144A		2,141,000			2,316
6.200%, 3/15/54 144A		749,000			866
Crowley Conro LLC 4.181%, 8/15/43		1,220,528			1,179
John Deere Capital Corp. 4.150%, 9/15/27		2,130,000			2,116
4.950%, 7/14/28		854,000			876
5.150%, 9/8/26		3,735,000			3,802
Northrop Grumman Corp. 4.400%, 5/1/30		1,235,000			1,228
Republic Services, Inc. 5.000%, 4/1/34		1,613,000			1,652
RTX Corp. 6.100%, 3/15/34		2,764,000			3,000
6.400%, 3/15/54		2,211,000			2,560
Union Pacific Corp. 2.375%, 5/20/31		1,023,000			889
2.800%, 2/14/32		1,388,000			1,231
3.375%, 2/14/42		1,154,000			942
Veralto Corp. 5.500%, 9/18/26 144A		1,002,000			1,015
Waste Management, Inc. 4.875%, 2/15/34		2,118,000			2,160
Total					40,043
Technology (2.0%)
Apple, Inc. 2.375%, 2/8/41		782,000			572
2.650%, 5/11/50		854,000			588
2.650%, 2/8/51		658,000			450
3.950%, 8/8/52		1,510,000			1,322

Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Technology continued
4.850%, 5/10/53		546,000			556
Broadcom, Inc. 2.450%, 2/15/31 144A		1,682,000			1,438
3.150%, 11/15/25		1,260,000			1,220
3.469%, 4/15/34 144A		1,079,000			939
4.926%, 5/15/37 144A		1,537,000			1,487
Fiserv, Inc. 5.375%, 8/21/28		3,201,000			3,293
5.600%, 3/2/33		549,000			573
5.625%, 8/21/33		3,201,000			3,353
Intel Corp. 2.800%, 8/12/41		923,000			691
5.625%, 2/10/43		617,000			660
5.700%, 2/10/53		2,141,000			2,315
5.900%, 2/10/63		1,499,000			1,671
Intuit, Inc. 5.125%, 9/15/28		2,124,000			2,195
5.200%, 9/15/33		2,124,000			2,224
5.250%, 9/15/26		2,658,000			2,710
5.500%, 9/15/53		2,138,000			2,338
KLA-Tencor Corp. 3.300%, 3/1/50		881,000			672
Marvell Technology, Inc. 5.750%, 2/15/29		1,603,000			1,656
5.950%, 9/15/33		1,603,000			1,700
Micron Technology, Inc. 3.477%, 11/1/51		526,000			381
5.375%, 4/15/28		5,386,000			5,481
5.875%, 2/9/33		632,000			657
NXP BV / NXP Funding LLC / NXP USA, Inc. 2.500%, 5/11/31		1,071,000			910
3.250%, 5/11/41		1,054,000			803
Oracle Corp. 4.000%, 7/15/46		1,867,000			1,496
4.375%, 5/15/55		648,000			537
5.550%, 2/6/53		657,000			657
QUALCOMM, Inc. 6.000%, 5/20/53		2,423,000			2,788
Texas Instruments, Inc. 5.000%, 3/14/53		2,363,000			2,419
VMware, Inc. 1.000%, 8/15/24		3,343,000			3,247
1.400%, 8/15/26		3,127,000			2,860
4.700%, 5/15/30		1,932,000			1,906
Total					58,765
Utilities (2.1%)
American Transmission Systems, Inc. 2.650%, 1/15/32 144A		669,000			566
Baltimore Gas & Electric Co. 2.250%, 6/15/31		1,435,000			1,222
5.400%, 6/1/53		1,607,000			1,658
CenterPoint Energy Houston Electric LLC 3.600%, 3/1/52		1,060,000			841
5.200%, 10/1/28		1,607,000			1,658
Consolidated Edison Co. of New York, Inc. 3.200%, 12/1/51		319,000			225
5.200%, 3/1/33		569,000			588
5.500%, 3/15/34		2,672,000			2,802
5.900%, 11/15/53		1,069,000			1,175

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

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Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Utilities continued
Consumers Energy Co. 2.500%, 5/1/60		873,000			533
DTE Electric Co. 2.950%, 3/1/50		1,675,000			1,169
3.650%, 3/1/52		767,000			605
Duke Energy Carolinas LLC 2.550%, 4/15/31		976,000			846
2.850%, 3/15/32		1,782,000			1,553
3.550%, 3/15/52		1,298,000			994
4.950%, 1/15/33		1,597,000			1,627
5.350%, 1/15/53		2,151,000			2,202
Duke Energy Corp. 2.550%, 6/15/31		1,596,000			1,362
3.500%, 6/15/51		297,000			218
5.750%, 9/15/33		857,000			906
Duke Energy Florida LLC 2.400%, 12/15/31		1,431,000			1,207
Duke Energy Progress LLC 2.500%, 8/15/50		1,448,000			910
5.250%, 3/15/33		1,066,000			1,099
Entergy Arkansas LLC 2.650%, 6/15/51		1,292,000			812
5.150%, 1/15/33		2,152,000			2,194
Israel Electric Corp., Ltd. 3.750%, 2/22/32 144A §		960,000			812
Jersey Central Power & Light Co. 2.750%, 3/1/32 144A		1,576,000			1,330
Metropolitan Edison Co. 4.300%, 1/15/29 144A		1,687,000			1,633
5.200%, 4/1/28 144A		1,614,000			1,626
MidAmerican Energy Co. 2.700%, 8/1/52		1,244,000			803
Mississippi Power Co. 3.100%, 7/30/51		1,720,000			1,154
4.250%, 3/15/42		731,000			622
NSTAR Electric Co. 3.100%, 6/1/51		885,000			621
Pacific Gas & Electric Co.
2.100%, 8/1/27		768,000			692
3.950%, 12/1/47		3,311,000			2,421
4.200%, 6/1/41		833,000			665
4.500%, 7/1/40		494,000			418
4.750%, 2/15/44		483,000			403
4.950%, 7/1/50		4,587,000			3,918
PacifiCorp 5.500%, 5/15/54		479,000			470
PECO Energy Co. 2.850%, 9/15/51		1,731,000			1,164
Pennsylvania Electric Co.
3.250%, 3/15/28 144A		1,398,000			1,303
5.150%, 3/30/26 144A		1,077,000			1,075
Public Service Company of Oklahoma 3.150%, 8/15/51		971,000			663
Public Service Electric & Gas Co.
1.900%, 8/15/31		2,467,000			2,024
2.050%, 8/1/50		398,000			230
2.700%, 5/1/50		669,000			458
Public Service Enterprise Group, Inc.
5.875%, 10/15/28		3,216,000			3,370
6.125%, 10/15/33		1,286,000			1,382

Corporate Bonds (22.1%)	Shares/ Par +			Value $ (000’s)
Utilities continued
Southern California Edison Co. 4.125%, 3/1/48		1,081,000			907
Virginia Electric & Power Co. 2.950%, 11/15/51		1,435,000			976
Total					60,112
Total Corporate Bonds (Cost: $641,406)					640,462
Governments (28.4%)
Governments (28.4%)
Bermuda Government International Bond 5.000%, 7/15/32 144A		1,186,000			1,177
Export Finance & Insurance Corp. 4.625%, 10/26/27 144A		3,690,000			3,753
Federal Home Loan Bank 1.250%, 9/30/31 Σ		5,185,000			4,474
Federal Home Loan Mortgage Corp. 0.000%, 12/14/29 PO		4,007,000			3,139
Federal National Mortgage Association 0.000%, 11/15/30 PO		11,778,000			8,811
1.520%, 8/21/35		5,256,000			3,865
1.900%, 1/25/36		4,686,000			3,570
Panama Government International Bond 6.853%, 3/28/54		3,002,000			2,805
Republic of Paraguay 5.400%, 3/30/50 144A		1,658,000			1,472
5.850%, 8/21/33 144A		1,341,000			1,362
State of Israel 3.875%, 7/3/50		775,000			598
4.500%, 1/17/33		2,417,000			2,294
United Mexican States 2.659%, 5/24/31		1,776,000			1,501
3.250%, 4/16/30		826,000			747
3.500%, 2/12/34		3,210,000			2,716
3.750%, 4/19/71		1,253,000			835
3.771%, 5/24/61		595,000			403
6.050%, 1/11/40		682,000			688
US Treasury 0.375%, 7/31/27		20,972,000			18,498
0.750%, 5/31/26		1,756,000			1,621
0.750%, 1/31/28		6,703,000			5,910
1.000%, 7/31/28		10,687,000			9,400
1.125%, 5/15/40		3,189,000			2,055
1.125%, 8/15/40		85,136,000			54,341
1.125%, 8/31/28		2,229,000			1,968
1.375%, 11/15/40		92,283,000			61,228
1.500%, 8/15/26		9,178,000			8,590
1.625%, 11/15/50		10,967,000			6,534
1.750%, 8/15/41		62,635,000			43,561
2.000%, 11/15/41		45,173,000			32,675
2.000%, 8/15/51		10,041,000			6,557
2.000%, 11/15/26		838,000			792
2.375%, 2/15/42		7,768,000			5,960
2.375%, 3/31/29		18,481,000			17,158
2.625%, 7/31/29		5,197,000			4,867
2.750%, 7/31/27		11,543,000			11,080
2.875%, 5/15/52		6,847,000			5,451
2.875%, 8/15/28		7,739,000			7,406
3.000%, 8/15/52		13,245,000			10,831

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

128

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Governments (28.4%)	Shares/ Par +			Value $ (000’s)
Governments continued
3.125%, 11/15/28		5,486,000			5,300
3.250%, 6/30/29		37,498,000			36,292
3.500%, 9/15/25		15,303,000			15,078
3.625%, 2/15/53		23,891,000			22,062
3.625%, 5/15/53		3,965,000			3,666
3.750%, 12/31/28		37,488,000			37,315
3.875%, 5/15/43		10,464,000			9,975
3.875%, 4/30/25		8,751,000			8,672
3.875%, 11/30/27		6,424,000			6,410
4.000%, 2/28/30		13,394,000			13,457
4.000%, 2/15/26		307,000			306
4.125%, 8/15/53		19,005,000			19,210
4.125%, 1/31/25		1,831,000			1,820
4.250%, 5/31/25		36,744,000			36,609
4.375%, 11/30/30		8,408,000			8,646
4.375%, 8/15/43		4,699,000			4,797
4.375%, 10/31/24		665,000			662
4.375%, 8/15/26		2,093,000			2,107
4.375%, 12/15/26		28,773,000			29,054
4.375%, 11/30/28		22,951,000			23,485
4.500%, 11/15/33		27,240,000			28,598
4.500%, 11/30/24		149,000			148
4.625%, 11/15/26		21,290,000			21,626
4.750%, 11/15/43		1,745,000			1,872
4.750%, 11/15/53		7,779,000			8,723
4.875%, 11/30/25		19,485,000			19,687
4.875%, 10/31/28		44,469,000			46,418
5.000%, 8/31/25		15,260,000			15,401
5.000%, 9/30/25		34,647,000			35,000
Total					823,089
Total Governments (Cost: $854,330)					823,089
Municipal Bonds (0.3%)
Municipal Bonds (0.3%)
County of Clark Department of Aviation 6.820%, 7/1/45 RB		1,780,000			2,179
North Texas Tollway Authority, Series 2009-B 6.718%, 1/1/49 RB		1,950,000			2,406
The Ohio State University 4.800%, 6/1/11 RB		1,070,000			1,017
Port Authority of New York & New Jersey 4.458%, 10/1/62 RB		3,110,000			2,837
The University of Texas System 2.439%, 8/15/49 RB		925,000			618
Total Municipal Bonds (Cost: $10,454)					9,057
Structured Products (50.8%)
Asset Backed Securities (7.0%)
Ally Auto Receivables Trust, Series 2022-3, Class A3 5.070%, 6/15/31		1,172,000			1,176
American Express Credit Account Master Trust, Series 2023-1, Class A 4.870%, 5/15/28		1,560,000			1,571
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3 4.380%, 4/18/28		2,236,000			2,214

Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
AmeriCredit Automobile Receivables Trust, Series 2023-1, Class A3 5.620%, 11/18/27		1,070,000			1,076
AmeriCredit Automobile Receivables Trust, Series 2023-2, Class A3 5.810%, 5/18/28		2,140,000			2,165
BA Credit Card Trust, Series 2023-A2, Class A2 4.980%, 11/15/28		9,049,000			9,154
BMW Vehicle Lease Trust, Series 2023-1, Class A4 5.070%, 6/25/26		1,628,000			1,628
Capital One Prime Auto Receivables Trust, Series 2023-1, Class A3 4.870%, 2/15/28		3,871,000			3,872
Chase Auto Owner Trust, Series 2022-AA, Class A4 3.990%, 3/27/28 144A		1,504,000			1,474
Citibank Credit Card Issuance Trust, Series 2023-A1, Class A1 5.230%, 12/8/27		4,239,000			4,271
College Avenue Student Loans LLC, Series 2017-A, Class A1 7.120%, (US SOFR 1 Month plus 1.765%),  11/26/46 144A		632,315			635
College Avenue Student Loans LLC, Series 2018-A, Class A2 4.130%, 12/26/47 144A		577,659			554
College Avenue Student Loans LLC, Series 2019-A, Class A2 3.280%, 12/28/48 144A		1,143,705			1,054
Discover Card Execution Note Trust, Series 2022-A3, Class A3 3.560%, 7/15/27		537,000			526
Discover Card Execution Note Trust, Series 2023-A1, Class A 4.310%, 3/15/28		4,147,000			4,118
Discover Card Execution Note Trust, Series 2023-A2, Class A 4.930%, 6/15/28		9,524,000			9,597
Ford Credit Auto Owner Trust, Series 2022-1, Class A 3.880%, 11/15/34 144A		3,386,000			3,294
Ford Credit Auto Owner Trust, Series 2022-D, Class A4 5.300%, 3/15/28		1,060,000			1,071
Ford Credit Auto Owner Trust, Series 2023-A, Class A3 4.650%, 2/15/28		4,627,000			4,610
GM Financial Automobile Leasing Trust, Series 2023-2, Class A4 5.090%, 5/20/27		1,491,000			1,490
GM Financial Automobile Leasing Trust, Series 2023-3, Class A4 5.440%, 8/20/27		955,000			963
GM Financial Consumer Automobile Receivables Trust, Series 2022-4, Class A3 4.820%, 8/16/27		1,841,000			1,834
Hertz Vehicle Financing III LLC, Series 2023- 4A, Class A 6.150%, 3/25/30 144A		530,000			549

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

129

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Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Hertz Vehicle Financing LLC, Series 2022-4A, Class A 3.730%, 9/25/26 144A		1,905,000			1,855
Hyundai Auto Lease Securitization Trust, Series 2023-B, Class A4 5.170%, 4/15/27 144A		2,377,000			2,378
Hyundai Auto Lease Securitization Trust, Series 2023-C, Class A4 5.840%, 9/15/27 144A		1,597,000			1,624
Hyundai Auto Receivables Trust, Series 2021- C, Class A4 1.030%, 12/15/27		1,869,000			1,759
Hyundai Auto Receivables Trust, Series 2022- A, Class A3 2.220%, 10/15/26		3,405,622			3,328
Hyundai Auto Receivables Trust, Series 2022- A, Class A4 2.350%, 4/17/28		1,194,000			1,138
Hyundai Auto Receivables Trust, Series 2023- A, Class A4 4.480%, 7/17/28		2,148,000			2,130
Hyundai Auto Receivables Trust, Series 2023- B, Class A3 5.480%, 4/17/28		1,222,000			1,243
Mercedes-Benz Auto Receivables Trust, Series 2022-1, Class A4 5.250%, 2/15/29		2,454,000			2,482
Mercedes-Benz Auto Receivables Trust, Series 2023-1, Class A4 4.310%, 4/16/29		1,914,000			1,892
Navient Private Education Refi Loan Trust, Series 2014-AA, Class A3
7.076%, (US SOFR 1 Month plus 1.715%), 10/15/31 144A		830,525			832
Navient Private Education Refi Loan Trust, Series 2018-C, Class A2 3.520%, 6/16/42 144A		41,345			41
Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A 4.000%, 12/15/59 144A		1,538,237			1,484
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A		1,200,262			1,164
Navient Private Education Refi Loan Trust, Series 2019-C, Class A2 3.130%, 2/15/68 144A		1,011,758			971
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A		2,850,152			2,678
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A		1,837,018			1,644
Navient Private Education Refi Loan Trust, Series 2021-FA, Class A 1.110%, 2/18/70 144A		2,718,135			2,315
Navient Private Education Refi Loan Trust, Series 2022-A, Class A 2.230%, 7/15/70 144A		6,691,971			5,899

Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Navient Student Loan Trust, Series 2016-AA, Class A2B
7.626%, (US SOFR 1 Month plus 2.265%), 12/15/45 144A		403,059			405
Navient Student Loan Trust, Series 2019-FA, Class A2 2.600%, 8/15/68 144A		1,687,765			1,571
Navient Student Loan Trust, Series 2020-EA, Class A 1.690%, 5/15/69 144A		98,374			89
Navient Student Loan Trust, Series 2021-3A, Class A1A 1.770%, 8/25/70 144A		2,922,934			2,570
Navient Student Loan Trust, Series 2021-BA, Class A 0.940%, 7/15/69 144A		773,745			673
Navient Student Loan Trust, Series 2021-CA, Class A 1.060%, 10/15/69 144A		3,043,383			2,638
Navient Student Loan Trust, Series 2021-EA, Class A 0.970%, 12/16/69 144A		4,373,651			3,769
Navient Student Loan Trust, Series 2021-GA, Class A 1.580%, 4/15/70 144A		692,282			600
Nelnet Student Loan Trust, Series 2004-3, Class A5
5.776%, (US 90 Day Average SOFR plus 0.442%), 10/27/36		292,033			287
Nelnet Student Loan Trust, Series 2004-4, Class A5
5.756%, (US 90 Day Average SOFR plus 0.422%), 1/25/37		1,945,834			1,923
Nelnet Student Loan Trust, Series 2005-1, Class A5
5.706%, (US 90 Day Average SOFR plus 0.372%), 10/25/33		4,514,365			4,433
Nelnet Student Loan Trust, Series 2005-2, Class A5
5.714%, (US 90 Day Average SOFR plus 0.362%), 3/23/37		4,195,915			4,119
Nelnet Student Loan Trust, Series 2005-3, Class A5
5.734%, (US 90 Day Average SOFR plus 0.382%), 12/24/35		3,240,472			3,187
Nelnet Student Loan Trust, Series 2005-4, Class A4
5.794%, (US 90 Day Average SOFR plus 0.442%), 3/22/32		593,846			565
Nissan Auto Lease Trust, Series 2023-B, Class A4 5.610%, 11/15/27		2,116,000			2,137
Nissan Auto Receivables Owner Trust, Series 2022-B, Class A4 4.450%, 11/15/29		1,459,000			1,446
PenFed Auto Receivables Owner Trust, Series 2022-A, Class A3 3.960%, 4/15/26 144A		2,179,526			2,161
PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4 4.180%, 12/15/28 144A		1,093,000			1,078

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

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Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Santander Drive Auto Receivables Trust, Series 2022-2, Class A3 2.980%, 10/15/26		1,873,511			1,863
Santander Drive Auto Receivables Trust, Series 2022-3, Class A3 3.400%, 12/15/26		1,073,251			1,065
Santander Drive Auto Receivables Trust, Series 2022-4, Class A3 4.140%, 2/16/27		2,262,309			2,247
Santander Drive Auto Receivables Trust, Series 2022-5, Class A3 4.110%, 8/17/26		1,497,522			1,491
Santander Drive Auto Receivables Trust, Series 2022-6, Class A3 4.490%, 11/16/26		4,125,532			4,107
Santander Drive Auto Receivables Trust, Series 2022-7, Class A3 5.750%, 4/15/27		1,242,000			1,242
SMB Private Education Loan Trust, Series 2016-B, Class A2A 2.430%, 2/17/32 144A		306,642			299
SMB Private Education Loan Trust, Series 2016-C, Class A2B
6.576%, (US SOFR 1 Month plus 1.215%), 9/15/34 144A		307,420			308
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A		1,046,514			944
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A		6,014,516			5,456
SMB Private Education Loan Trust, Series 2021-A, Class APT1 1.070%, 1/15/53 144A		3,955,660			3,462
SMB Private Education Loan Trust, Series 2021-B, Class A 1.310%, 7/17/51 144A		1,331,709			1,202
SMB Private Education Loan Trust, Series 2021-E, Class A1A 1.680%, 2/15/51 144A		2,540,803			2,298
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX 2.650%, 9/25/40 144A		41,322			40
SoFi Professional Loan Program LLC, Series 2020-C, Class AFX 1.950%, 2/15/46 144A		260,760			237
SoFi Professional Loan Program LLC, Series 2021-B, Class AFX 1.140%, 2/15/47 144A		2,120,322			1,783
Synchrony Card Funding LLC, Series 2023- A1, Class A 5.540%, 7/15/29		6,734,000			6,859
T-Mobile U.S. Trust, Series 2022-1A, Class A 4.910%, 5/22/28 144A		2,281,000			2,276
Toyota Auto Receivables Owner Trust, Series 2022-D, Class A4 5.430%, 4/17/28		1,337,000			1,364
Toyota Auto Receivables Owner Trust, Series 2023-A, Class A4 4.420%, 8/15/28		1,801,000			1,784

Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Asset Backed Securities continued
Toyota Auto Receivables Owner Trust, Series 2023-B, Class A3 4.710%, 2/15/28		2,775,000			2,771
Toyota Auto Receivables Owner Trust, Series 2023-C, Class A3 5.160%, 4/17/28		4,418,000			4,449
Verizon Master Trust, Series 2022-2, Class A 1.530%, 7/20/28		2,007,000			1,933
Verizon Master Trust, Series 2022-4, Class A 3.400%, 11/20/28		3,688,000			3,606
Verizon Master Trust, Series 2022-6, Class A 3.670%, 1/22/29		2,765,000			2,711
Verizon Master Trust, Series 2023-1, Class A 4.490%, 1/22/29		4,180,000			4,158
Verizon Master Trust, Series 2023-2, Class A 4.890%, 4/20/28		1,546,000			1,541
Verizon Master Trust, Series 2023-4, Class A1A 5.160%, 6/20/29		7,176,000			7,261
Volkswagen Auto Loan Enhanced Trust, Series 2023-1, Class A3 5.020%, 6/20/28		3,085,000			3,102
World Omni Select Auto Trust, Series 2023-A, Class A2A 5.920%, 3/15/27		2,070,413			2,071
Total					203,334
Mortgage Securities (43.8%)
Angel Oak Mortgage Trust, Series 2020-2, Class A1A 2.531%, (AFC), 1/26/65 144A		776,416			715
Angel Oak Mortgage Trust, Series 2020-5, Class A1 1.373%, (AFC), 5/25/65 144A		229,488			206
Angel Oak Mortgage Trust, Series 2021-6, Class A1 1.458%, (AFC), 9/25/66 144A		1,561,603			1,256
Barclays Commercial Mortgage Securities LLC, Series 2018-C2, Class ASB 4.236%, 12/15/51		665,538			649
Bunker Hill Loan Depositary Trust, Series 2019-2, Class A1 2.879%, (AFC), 7/25/49 144A Σ		984,821			934
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1 2.724%, (AFC), 11/25/59 144A Σ		409,041			397
BX Commercial Mortgage Trust, Series 2021- VOLT, Class A
6.176%, (US SOFR 1 Month plus 0.815%), 9/15/36 144A		6,842,000			6,666
BX Trust, Series 2021-XL2, Class A
6.165%, (US SOFR 1 Month plus 0.803%), 10/15/38 144A		2,499,049			2,452
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB 3.367%, 6/15/50		660,192			639
Citigroup Mortgage Loan Trust, Series 2005-1, Class 3A1 6.500%, 4/25/35		61,357			60

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

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Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
COLT Mortgage Loan Trust, Series 2021-2, Class A1 0.924%, (AFC), 8/25/66 144A		2,074,405			1,659
COLT Mortgage Loan Trust, Series 2021-4, Class A1 1.397%, (AFC), 10/25/66 144A		2,198,798			1,759
COMM Mortgage Trust, Series 2014-UBS4, Class A4 3.420%, 8/10/47		2,226,131			2,193
COMM Mortgage Trust, Series 2015-LC23, Class A3 3.521%, 10/10/48		1,180,282			1,150
EQUS Mortgage Trust, Series 2021-EQAZ, Class A
6.231%, (US SOFR 1 Month plus 0.869%), 10/15/38 144A		2,683,946			2,630
Federal Home Loan Mortgage Corp. 2.000%, 7/1/32		842,794			788
2.000%, 6/1/40		6,427,391			5,541
2.000%, 7/1/40		6,625,966			5,703
2.000%, 8/1/40		6,877,658			5,920
2.000%, 11/1/40		8,556,555			7,365
2.000%, 12/1/40		1,966,249			1,692
2.000%, 1/1/41		1,483,214			1,277
2.000%, 2/1/41		1,606,413			1,383
2.000%, 4/1/41		2,800,039			2,405
2.000%, 7/1/41		2,646,115			2,266
2.000%, 11/1/41		3,026,489			2,599
2.000%, 1/1/42		1,809,178			1,544
2.000%, 2/1/42		14,160,886			12,091
2.000%, 8/1/42		2,861,100			2,462
2.000%, 2/1/47		1,102,473			909
2.000%, 12/1/51		851,293			702
2.500%, 4/1/42		972,923			865
2.500%, 5/1/42		3,863,163			3,431
2.500%, 6/1/42		1,330,985			1,182
2.500%, 8/1/43		3,173,137			2,845
2.500%, 6/1/46		3,658,932			3,280
2.500%, 9/1/51		6,486,465			5,597
2.500%, 2/1/52		687,388			590
2.500%, 3/1/52		2,266,928			1,939
2.983%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.642%), 5/1/49		855,826			851
3.000%, 9/1/33		1,108,919			1,047
3.000%, 4/1/40		1,762,221			1,631
3.000%, 4/1/43		4,964,808			4,563
3.000%, 8/1/43		3,165,775			2,910
3.000%, 4/1/45		4,638,739			4,263
3.000%, 5/1/45		2,391,628			2,186
3.000%, 9/1/46		2,890,645			2,633
3.000%, 1/1/47		2,428,589			2,203
3.000%, 2/1/47		2,233,511			2,026
3.067%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.633%), 2/1/50		2,039,487			1,999
3.130%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.640%), 11/1/48		1,537,530			1,504
3.913%, (US 30 Day Average SOFR plus 2.130%), 7/1/52		1,365,549			1,307

Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
3.970%, (US 30 Day Average SOFR plus 2.140%), 8/1/52		1,812,276			1,719
4.000%, 7/1/49		3,767,335			3,650
4.000%, 3/1/50		6,491,630			6,298
4.123%, (US 30 Day Average SOFR plus 2.380%), 9/1/52		931,312			897
4.186%, (US 30 Day Average SOFR plus 2.304%), 5/1/53		5,278,351			5,145
4.299%, (US 30 Day Average SOFR plus 2.130%), 7/1/52		1,613,130			1,564
4.500%, 6/1/39		82,176			81
4.500%, 7/1/39		108,114			107
5.129%, (US 30 Day Average SOFR plus 2.215%), 8/1/53		1,100,531			1,097
5.197%, (US 30 Day Average SOFR plus 2.301%), 6/1/53		1,028,706			1,027
5.218%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.638%), 3/1/49		1,143,896			1,157
5.712%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.637%), 4/1/48		2,739,138			2,778
5.942%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.730%), 1/1/44		459,721			470
6.263%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.679%), 9/1/47		1,253,069			1,266
6.809%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.642%), 8/1/43		210,689			215
6.840%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.637%), 9/1/45		1,905,010			1,943
6.881%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.635%), 7/1/43		132,581			135
7.036%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.645%), 10/1/43		228,807			234
7.043%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.650%), 3/1/43		208,638			213
7.171%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.603%), 9/1/43		118,321			121
7.188%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.629%), 11/1/43		170,321			174
7.345%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.674%), 2/1/43		319,167			327
7.431%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.609%), 10/1/43		223,327			228
7.461%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.770%), 9/1/42		192,747			198
Federal Home Loan Mortgage Corp., Series 1582, Class M 2.500%, 5/25/49		1,650,833			1,444

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

132

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Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 2012-264, Class 30 3.000%, 7/15/42		2,581,379		2,373
Federal Home Loan Mortgage Corp., Series 2012-272, Class F1
5.953%, (US 30 Day Average SOFR plus 0.615%), 8/15/42		1,575,674		1,541
Federal Home Loan Mortgage Corp., Series 2012-280, Class F1
5.953%, (US 30 Day Average SOFR plus 0.615%), 9/15/42		1,586,475		1,552
Federal Home Loan Mortgage Corp., Series 2439, Class LH 6.000%, 4/15/32		128,518		132
Federal Home Loan Mortgage Corp., Series 271, Class F5
5.953%, (US 30 Day Average SOFR plus 0.615%), 8/15/42		987,609		966
Federal Home Loan Mortgage Corp., Series 3924, Class NC 4.000%, 9/15/41		1,555,694		1,506
Federal Home Loan Mortgage Corp., Series 4047, Class CX 3.500%, 5/15/42		2,934,000		2,691
Federal Home Loan Mortgage Corp., Series 4091, Class BX 3.250%, 10/15/41		1,598,458		1,484
Federal Home Loan Mortgage Corp., Series 4091, Class EX 3.375%, 7/15/42		1,002,466		933
Federal Home Loan Mortgage Corp., Series 4091, Class MX 3.250%, 2/15/42		1,295,304		1,197
Federal Home Loan Mortgage Corp., Series 4122, Class FP
5.853%, (US 30 Day Average SOFR plus 0.515%), 10/15/42		764,305		745
Federal Home Loan Mortgage Corp., Series 4177, Class HB 2.500%, 10/15/42		1,010,000		873
Federal Home Loan Mortgage Corp., Series 4205, Class PA 1.750%, 5/15/43		883,988		750
Federal Home Loan Mortgage Corp., Series 4240, Class FA
5.953%, (US 30 Day Average SOFR plus 0.615%), 8/15/43		2,918,753		2,851
Federal Home Loan Mortgage Corp., Series 4248, Class FT
5.953%, (US 30 Day Average SOFR plus 0.615%), 9/15/43		1,013,960		994
Federal Home Loan Mortgage Corp., Series 4286, Class VF
5.903%, (US 30 Day Average SOFR plus 0.565%), 12/15/43		2,155,650		2,107
Federal Home Loan Mortgage Corp., Series 4446, Class CP 2.250%, 3/15/45		1,370,149		1,200
Federal Home Loan Mortgage Corp., Series 4582, Class HA 3.000%, 9/15/45		5,039,486		4,682

Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4614, Class FG
5.953%, (US 30 Day Average SOFR plus 0.615%), 9/15/46		1,167,180		1,137
Federal Home Loan Mortgage Corp., Series 4628, Class KF
5.953%, (US 30 Day Average SOFR plus 0.615%), 1/15/55		1,451,231		1,406
Federal Home Loan Mortgage Corp., Series 4631, Class FA
5.953%, (US 30 Day Average SOFR plus 0.615%), 11/15/46		1,936,901		1,889
Federal Home Loan Mortgage Corp., Series 4719, Class LA 3.500%, 9/15/47		1,445,472		1,330
Federal Home Loan Mortgage Corp., Series 4719, Class LM 3.000%, 9/15/47		1,134,114		1,013
Federal Home Loan Mortgage Corp., Series 4742, Class PA 3.000%, 10/15/47		1,932,918		1,756
Federal Home Loan Mortgage Corp., Series 4793, Class FD
5.753%, (US 30 Day Average SOFR plus 0.415%), 6/15/48		439,558		424
Federal Home Loan Mortgage Corp., Series 4826, Class KF
5.753%, (US 30 Day Average SOFR plus 0.415%), 9/15/48		925,305		896
Federal Home Loan Mortgage Corp., Series 4857, Class JA 3.350%, 1/15/49		4,590,566		4,364
Federal Home Loan Mortgage Corp., Series 4880, Class DA 3.000%, 5/15/50		1,785,731		1,625
Federal Home Loan Mortgage Corp., Series 4903, Class NF
5.852%, (US 30 Day Average SOFR plus 0.515%), 8/25/49		892,461		870
Federal Home Loan Mortgage Corp., Series 4927, Class BG 3.000%, 11/25/49		1,979,447		1,785
Federal Home Loan Mortgage Corp., Series 4937, Class MD 2.500%, 10/25/49		1,972,025		1,730
Federal Home Loan Mortgage Corp., Series 4941, Class GA 2.000%, 12/15/47		1,126,242		945
Federal Home Loan Mortgage Corp., Series 4957, Class MY 3.000%, 2/25/50		1,143,000		954
Federal Home Loan Mortgage Corp., Series 4979, Class UC 1.500%, 6/25/50		3,606,674		2,920
Federal Home Loan Mortgage Corp., Series 4990, Class FN
5.802%, (US 30 Day Average SOFR plus 0.465%), 5/25/50		2,504,929		2,418

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

133

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Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4993, Class KF
5.902%, (US 30 Day Average SOFR plus 0.565%), 7/25/50		8,223,588			7,972
Federal Home Loan Mortgage Corp., Series 5004, Class FM
5.802%, (US 30 Day Average SOFR plus 0.465%), 8/25/50		1,739,688			1,675
Federal Home Loan Mortgage Corp., Series 5020, Class ET 3.500%, 10/25/50		1,624,099			1,482
Federal Home Loan Mortgage Corp., Series 5058, Class BC 5.000%, 11/25/50		1,183,245			1,187
Federal Home Loan Mortgage Corp., Series 5091, Class AB 1.500%, 3/25/51		3,132,303			2,537
Federal Home Loan Mortgage Corp., Series 5092, Class HE 2.000%, 2/25/51		1,969,884			1,648
Federal Home Loan Mortgage Corp., Series 5116, Class PB 2.250%, 2/25/51		2,043,362			1,740
Federal Home Loan Mortgage Corp., Series 5118, Class CA 1.500%, 10/15/33		1,715,000			1,507
Federal Home Loan Mortgage Corp., Series 5119, Class AB 1.500%, 8/25/49		1,674,894			1,338
Federal Home Loan Mortgage Corp., Series 5119, Class QF
5.537%, (US 30 Day Average SOFR plus 0.200%), 6/25/51		2,464,373			2,332
Federal Home Loan Mortgage Corp., Series 5143, Class GA 2.000%, 6/25/49		1,230,510			1,014
Federal Home Loan Mortgage Corp., Series 5156, Class DC 2.000%, 9/25/51		2,214,167			1,888
Federal Home Loan Mortgage Corp., Series 5159, Class UA 2.500%, 12/25/48		2,162,948			1,896
Federal Home Loan Mortgage Corp., Series 5178, Class TP 2.500%, 4/25/49		2,711,739			2,360
Federal Home Loan Mortgage Corp., Series 5182, Class D 2.500%, 11/25/43		8,373,006			7,639
Federal Home Loan Mortgage Corp., Series 5184, Class AB 2.500%, 5/25/48		1,232,227			1,087
Federal Home Loan Mortgage Corp., Series 5194, Class G 2.500%, 1/25/51		2,446,394			2,018
Federal Home Loan Mortgage Corp., Series 5201, Class CA 2.500%, 7/25/48		2,426,857			2,160
Federal Home Loan Mortgage Corp., Series 5202, Class BH 2.000%, 12/25/47		1,336,876			1,204

Structured Products (50.8%)	Shares/ Par +			Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 5202, Class LA 2.500%, 5/25/49		2,472,458			2,166
Federal Home Loan Mortgage Corp., Series 5202, Class MB 3.000%, 11/25/48		3,192,190			2,887
Federal Home Loan Mortgage Corp., Series 5202, Class TA 2.500%, 12/25/48		3,841,526			3,480
Federal Home Loan Mortgage Corp., Series 5203, Class G 2.500%, 11/25/48		1,101,653			972
Federal Home Loan Mortgage Corp., Series 5206, Class CD 3.500%, 5/25/49		2,484,230			2,271
Federal Home Loan Mortgage Corp., Series 5207, Class PA 3.000%, 6/25/51		2,634,955			2,367
Federal Home Loan Mortgage Corp., Series 5209, Class EA 3.000%, 8/25/50		2,041,581			1,858
Federal Home Loan Mortgage Corp., Series 5209, Class EJ 3.000%, 8/25/50		2,041,581			1,858
Federal Home Loan Mortgage Corp., Series 5210, Class DC 3.000%, 9/25/51		1,922,093			1,776
Federal Home Loan Mortgage Corp., Series 5217, Class CD 2.500%, 7/25/49		2,003,602			1,837
Federal Home Loan Mortgage Corp., Series 5220, Class QK 3.500%, 9/25/50		3,894,951			3,693
Federal Home Loan Mortgage Corp., Series 5228, Class TN 3.500%, 7/25/39		1,592,596			1,520
Federal Home Loan Mortgage Corp., Series 5300, Class C 2.000%, 9/25/47		3,359,560			3,093
Federal Home Loan Mortgage Corp., Series 5335, Class FB
6.153%, (US 30 Day Average SOFR plus 0.815%), 10/15/39		3,358,600			3,371
Federal Home Loan Mortgage Corp., Series 5338, Class FH
5.753%, (US 30 Day Average SOFR plus 0.415%), 4/15/45		3,231,920			3,134
Federal National Mortgage Association 1.500%, 11/1/41		11,667,916			9,670
1.500%, 7/1/51		9,561,332			7,462
2.000%, 3/1/28		978,229			931
2.000%, 2/1/31		2,054,174			1,925
2.000%, 6/1/40		1,952,054			1,695
2.000%, 7/1/40		6,531,324			5,623
2.000%, 9/1/40		7,333,411			6,313
2.000%, 10/1/40		9,493,633			8,173
2.000%, 11/1/40		6,654,767			5,729
2.000%, 12/1/40		34,457,706			29,707
2.000%, 1/1/41		11,928,233			10,269
2.000%, 2/1/41		102,557			88
2.000%, 4/1/41		1,333,759			1,144

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

134

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Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
2.000%, 5/1/41		12,994,588		11,174
2.000%, 6/1/41		1,037,383		889
2.000%, 7/1/41		11,899,106		10,192
2.000%, 10/1/41		4,366,733		3,769
2.000%, 11/1/41		3,686,690		3,164
2.000%, 1/1/42		2,819,116		2,409
2.000%, 2/1/42		30,823,539		26,348
2.000%, 4/1/42		2,257,139		1,945
2.000%, 11/1/42		1,133,268		976
2.000%, 4/1/46		6,817,158		5,646
2.000%, 1/1/47		1,269,985		1,049
2.000%, 3/1/47		9,023,886		7,452
2.500%, 12/1/40		4,088,920		3,644
2.500%, 5/1/41		4,205,037		3,752
2.500%, 8/1/41		2,091,731		1,862
2.500%, 2/1/42		2,410,776		2,151
2.500%, 4/1/42		5,177,244		4,568
2.500%, 5/1/42		3,162,087		2,812
2.500%, 6/1/42		2,831,081		2,533
2.500%, 5/1/46		997,997		865
2.500%, 12/1/47		5,742,522		5,184
2.500%, 10/1/50		3,752,312		3,251
2.500%, 3/1/52		2,647,141		2,270
2.778%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.606%), 6/1/50		1,385,659		1,292
3.000%, 11/1/39		1,398,347		1,312
3.000%, 5/1/40		4,105,202		3,784
3.000%, 11/1/42		2,072,857		1,905
3.000%, 1/1/43		2,075,136		1,949
3.000%, 2/1/43		12,292,356		11,116
3.000%, 7/1/43		1,662,075		1,528
3.000%, 8/1/43		2,277,064		2,093
3.000%, 9/1/43		1,856,830		1,707
3.000%, 12/1/43		2,175,287		1,999
3.000%, 2/1/44		2,186,397		2,010
3.000%, 10/1/44		11,451,241		10,525
3.000%, 2/1/45		3,595,491		3,305
3.000%, 10/1/46		8,788,718		8,030
3.000%, 11/1/46		6,133,571		5,571
3.000%, 12/1/46		8,903,720		8,081
3.000%, 1/1/47		6,237,887		5,657
3.000%, 2/1/47		10,670,414		9,769
3.000%, 3/1/47		1,249,852		1,125
3.000%, 9/1/47		1,015,642		924
3.000%, 1/1/48		3,147,246		2,845
3.000%, 2/1/48		1,549,909		1,410
3.000%, 4/1/48		8,812,943		8,101
3.000%, 8/1/48		1,842,172		1,693
3.000%, 12/1/48		3,880,607		3,514
3.000%, 1/1/49		852,599		784
3.000%, 2/1/49		3,698,435		3,357
3.000%, 10/1/49		26,911,824		24,736
3.000%, 2/1/50		36,842,540		33,504
3.000%, 5/1/50		8,411,330		7,533
3.000%, 7/1/50		10,864,418		9,860
3.000%, 7/1/52		1,649,479		1,472
3.000%, 2/1/55		1,213,914		1,089
3.000%, 7/1/60		14,694,923		12,740

Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
3.044%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.603%), 3/1/50		3,232,385		3,209
3.500%, 5/1/37		3,325,785		3,196
3.500%, 6/1/41		1,760,575		1,724
3.500%, 3/1/42		1,430,350		1,354
3.500%, 4/1/42		3,036,162		2,872
3.500%, 5/1/42		794,749		774
3.500%, 6/1/42		1,450,346		1,409
3.500%, 11/1/42		1,156,035		1,092
3.500%, 8/1/43		9,891,631		9,366
3.500%, 12/1/43		5,516,519		5,223
3.500%, 1/1/44		801,704		781
3.500%, 7/1/47		14,201,061		13,418
3.500%, 6/1/49		4,743,583		4,427
3.500%, 1/1/50		3,255,008		3,031
3.500%, 2/1/50		1,611,819		1,510
3.500%, 4/1/50		7,706,898		7,216
3.677%, (US 30 Day Average SOFR plus 2.370%), 8/1/52		1,947,634		1,856
3.962%, (US 30 Day Average SOFR plus 2.120%), 8/1/52		777,047		739
4.000%, 9/1/33		662,731		655
4.000%, 3/1/35		9,293,811		9,167
4.000%, 10/1/37		4,246,965		4,187
4.000%, 6/1/38		1,050,622		1,031
4.000%, 4/1/45		14,640,613		14,115
4.000%, 9/1/45		438,513		426
4.000%, 1/1/46		2,204,498		2,142
4.000%, 1/1/47		1,147,924		1,112
4.000%, 2/1/47		936,914		908
4.000%, 4/1/47		541,778		524
4.000%, 10/1/47		407,071		395
4.000%, 7/1/48		6,965,812		6,724
4.000%, 12/1/48		1,110,783		1,080
4.000%, 5/1/49		1,109,944		1,074
4.122%, (US 30 Day Average SOFR plus 2.120%), 9/1/52		2,699,536		2,639
4.132%, (US 30 Day Average SOFR plus 2.120%), 7/1/52		2,760,399		2,638
4.147%, (US 30 Day Average SOFR plus 2.132%), 10/1/52		6,418,005		6,276
4.213%, (US 30 Day Average SOFR plus 2.370%), 9/1/52		880,908		854
4.222%, (US 30 Day Average SOFR plus 2.127%), 11/1/52		2,253,468		2,209
4.295%, (US 30 Day Average SOFR plus 2.126%), 8/1/52		3,524,978		3,427
4.355%, (US 30 Day Average SOFR plus 2.125%), 7/1/52		3,306,486		3,221
4.500%, 6/1/41		87,271		87
4.500%, 3/1/43		1,098,460		1,097
4.500%, 10/1/45		1,748,199		1,735
4.500%, 2/1/46		66,162		66
4.500%, 7/1/48		1,823,918		1,803
4.500%, 11/1/48		813,558		808
4.616%, (US 30 Day Average SOFR plus 2.125%), 8/1/52		3,839,090		3,771
4.630%, (US 30 Day Average SOFR plus 2.123%), 8/1/52		2,937,509		2,860

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

135

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Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
4.649%, (US 30 Day Average SOFR plus 2.130%), 8/1/52		3,028,831		2,978
4.793%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.582%), 1/1/46		1,842,575		1,877
5.391%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.578%), 6/1/45		732,590		746
6.723%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.560%), 6/1/43		146,865		150
6.952%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.560%), 3/1/43		34,171		34
7.138%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.582%), 10/1/43		479,403		491
7.357%, (FTSE USD IBOR Consumer Cash Fallbacks Term 1 Year plus 1.664%), 1/1/43		137,387		141
Federal National Mortgage Association Stripped, Series 414, Class A35 3.500%, 10/25/42		2,189,890		2,046
Federal National Mortgage Association, Series 2012-111, Class FC
5.852%, (US 30 Day Average SOFR plus 0.515%), 10/25/42		1,252,163		1,228
Federal National Mortgage Association, Series 2012-133, Class JF
5.802%, (US 30 Day Average SOFR plus 0.465%), 12/25/42		1,329,831		1,293
Federal National Mortgage Association, Series 2012-151, Class NX 1.500%, 1/25/43		918,028		773
Federal National Mortgage Association, Series 2013-11, Class AP 1.500%, 1/25/43		2,976,357		2,659
Federal National Mortgage Association, Series 2013-15, Class FA
5.802%, (US 30 Day Average SOFR plus 0.465%), 3/25/43		1,596,125		1,552
Federal National Mortgage Association, Series 2013-43, Class BP 1.750%, 5/25/43		1,094,552		931
Federal National Mortgage Association, Series 2014-17, Class DY 3.500%, 4/25/44		1,915,000		1,744
Federal National Mortgage Association, Series 2014-25, Class EL 3.000%, 5/25/44		1,487,241		1,339
Federal National Mortgage Association, Series 2014-74, Class PC 2.500%, 6/25/44		1,206,393		1,116
Federal National Mortgage Association, Series 2015-20, Class EF
5.802%, (US 30 Day Average SOFR plus 0.465%), 4/25/45		3,742,077		3,632
Federal National Mortgage Association, Series 2015-26, Class GF
5.752%, (US 30 Day Average SOFR plus 0.415%), 5/25/45		2,324,962		2,257

Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2015-32, Class FA
5.752%, (US 30 Day Average SOFR plus 0.415%), 5/25/45		1,421,058		1,375
Federal National Mortgage Association, Series 2015-48, Class FB
5.752%, (US 30 Day Average SOFR plus 0.415%), 7/25/45		1,734,461		1,680
Federal National Mortgage Association, Series 2015-8, Class AP 2.000%, 3/25/45		2,714,403		2,370
Federal National Mortgage Association, Series 2015-84, Class PA 1.700%, 8/25/33		3,455,866		3,156
Federal National Mortgage Association, Series 2016-19, Class FD
5.852%, (US 30 Day Average SOFR plus 0.515%), 4/25/46		5,066,126		4,991
Federal National Mortgage Association, Series 2016-48, Class MA 2.000%, 6/25/38		3,520,085		3,218
Federal National Mortgage Association, Series 2016-57, Class PC 1.750%, 6/25/46		7,287,776		6,073
Federal National Mortgage Association, Series 2017-13, Class PA 3.000%, 8/25/46		1,168,103		1,071
Federal National Mortgage Association, Series 2017-30, Class FA
5.802%, (US 30 Day Average SOFR plus 0.465%), 5/25/47		876,285		851
Federal National Mortgage Association, Series 2017-78, Class FC
5.802%, (US 30 Day Average SOFR plus 0.465%), 10/25/47		1,688,692		1,637
Federal National Mortgage Association, Series 2018-14, Class KC 3.000%, 3/25/48		2,198,605		2,065
Federal National Mortgage Association, Series 2018-38, Class MA 3.300%, 6/25/48		2,249,610		2,127
Federal National Mortgage Association, Series 2018-45, Class TM 3.000%, 6/25/48		1,771,012		1,596
Federal National Mortgage Association, Series 2018-55, Class GA 3.375%, 8/25/48		1,722,455		1,628
Federal National Mortgage Association, Series 2018-64, Class A 3.000%, 9/25/48		1,500,632		1,324
Federal National Mortgage Association, Series 2018-8, Class KL 2.500%, 3/25/47		1,184,605		1,064
Federal National Mortgage Association, Series 2018-85, Class EA 3.500%, 12/25/48		1,238,100		1,176
Federal National Mortgage Association, Series 2019-15, Class FA
5.952%, (US 30 Day Average SOFR plus 0.615%), 4/25/49		884,644		863

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

136

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Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2019-25, Class PA 3.000%, 5/25/48		2,379,179		2,183
Federal National Mortgage Association, Series 2019-41, Class FG
5.952%, (US 30 Day Average SOFR plus 0.615%), 8/25/59		2,137,425		2,079
Federal National Mortgage Association, Series 2019-43, Class FC
5.852%, (US 30 Day Average SOFR plus 0.515%), 8/25/49		1,750,876		1,704
Federal National Mortgage Association, Series 2019-67, Class FB
5.902%, (US 30 Day Average SOFR plus 0.565%), 11/25/49		883,546		860
Federal National Mortgage Association, Series 2020-34, Class F
5.902%, (US 30 Day Average SOFR plus 0.565%), 6/25/50		1,209,548		1,175
Federal National Mortgage Association, Series 2020-37, Class DA 1.500%, 6/25/50		1,272,208		1,109
Federal National Mortgage Association, Series 2020-45, Class JL 3.000%, 7/25/40		2,843,497		2,578
Federal National Mortgage Association, Series 2020-48, Class AB 2.000%, 7/25/50		1,288,954		1,071
Federal National Mortgage Association, Series 2020-48, Class DA 2.000%, 7/25/50		3,879,325		3,273
Federal National Mortgage Association, Series 2020-59, Class NC 3.000%, 8/25/40		1,854,786		1,696
Federal National Mortgage Association, Series 2021-22, Class MN 2.750%, 10/25/50		2,077,279		1,815
Federal National Mortgage Association, Series 2021-26, Class BD 1.750%, 5/25/51		1,148,231		1,000
Federal National Mortgage Association, Series 2021-27, Class EC 1.500%, 5/25/51		5,512,963		4,471
Federal National Mortgage Association, Series 2021-33, Class AV 2.500%, 3/25/48		838,962		635
Federal National Mortgage Association, Series 2021-42, Class AC 2.000%, 2/25/51		1,657,049		1,394
Federal National Mortgage Association, Series 2021-42, Class DC 2.000%, 11/25/50		3,991,115		3,370
Federal National Mortgage Association, Series 2021-73, Class A 2.500%, 11/25/49		2,160,463		1,872
Federal National Mortgage Association, Series 2021-73, Class DJ 2.000%, 3/25/49		2,240,805		1,824
Federal National Mortgage Association, Series 2021-76, Class KB 1.250%, 11/25/51		995,846		816

Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2021-78, Class ND 1.500%, 11/25/51		3,115,611		2,546
Federal National Mortgage Association, Series 2021-78, Class PA 2.500%, 11/25/51		1,902,759		1,649
Federal National Mortgage Association, Series 2021-86, Class MA 2.500%, 11/25/47		3,552,438		3,180
Federal National Mortgage Association, Series 2021-91, Class AB 2.500%, 9/25/49		2,095,756		1,824
Federal National Mortgage Association, Series 2021-95, Class MA 2.500%, 4/25/50		2,609,629		2,248
Federal National Mortgage Association, Series 2021-96, Class AH 2.500%, 3/25/49		2,332,165		2,021
Federal National Mortgage Association, Series 2022-11, Class A 2.500%, 7/25/47		5,264,607		4,746
Federal National Mortgage Association, Series 2022-11, Class D 3.000%, 1/25/50		2,297,678		2,079
Federal National Mortgage Association, Series 2022-18, Class DL 3.250%, 7/25/46		2,981,882		2,768
Federal National Mortgage Association, Series 2022-28, Class CA 2.000%, 1/25/48		2,043,654		1,835
Federal National Mortgage Association, Series 2022-3, Class N 2.000%, 10/25/47		6,130,928		5,308
Federal National Mortgage Association, Series 2022-4, Class MH 3.000%, 9/25/48		2,419,744		2,218
Federal National Mortgage Association, Series 2022-89, Class AY 3.000%, 2/25/48		2,263,000		1,924
Federal National Mortgage Association, Series 2022-9, Class DJ 3.250%, 3/25/49		1,643,371		1,497
Federal National Mortgage Association, Series 2023-37, Class FG
5.752%, (US 30 Day Average SOFR plus 0.415%), 8/25/50		5,746,159		5,554
Federal National Mortgage Association, Series 2023-37, Class FH
5.852%, (US 30 Day Average SOFR plus 0.515%), 1/25/50		3,565,619		3,474
Federal National Mortgage Association, Series 2023-38, Class FC
6.002%, (US 30 Day Average SOFR plus 0.665%), 6/25/40		2,295,794		2,278
Government National Mortgage Association
2.500%, 12/20/37		2,536,460		2,325
2.500%, 6/20/38		4,748,306		4,345
3.000%, 6/20/43		2,197,707		2,003
3.000%, 8/20/43		719,595		656
3.000%, 10/20/46		375,693		342
3.000%, 12/20/46		1,831,051		1,669

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

137

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Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
3.000%, 1/20/47		632,471		577
3.000%, 3/20/47		1,409,998		1,285
3.000%, 4/20/47		1,966,132		1,792
3.000%, 7/20/47		674,785		615
3.000%, 8/20/47		895,616		816
3.000%, 9/20/47		457,707		417
3.000%, 11/15/47		6,517,925		5,952
3.000%, 11/20/47		1,501,156		1,368
3.000%, 12/20/47		147,151		133
3.000%, 1/20/48		859,388		781
3.000%, 2/20/48		570,035		519
3.000%, 3/20/48		225,358		205
3.000%, 10/20/50		5,602,584		5,083
3.500%, 1/20/48		1,157,878		1,089
4.000%, 3/20/48		336,790		323
4.000%, 4/20/48		1,073,993		1,030
4.500%, 8/15/47		206,128		204
4.500%, 2/20/49		1,379,239		1,329
6.000%, 1/20/53		9,347,510		9,567
Government National Mortgage Association TBA 6.500%, 1/22/54		27,900,000		28,559
Government National Mortgage Association, Series 2010-163, Class NC 4.000%, 12/20/40		1,836,251		1,806
Government National Mortgage Association, Series 2012-141, Class WA 4.513%, 11/16/41		398,525		389
Government National Mortgage Association, Series 2013-152, Class HA 2.500%, 6/20/43		1,951,056		1,775
Government National Mortgage Association, Series 2014-181, Class L 3.000%, 12/20/44		1,211,000		1,083
Government National Mortgage Association, Series 2015-144, Class CA 2.500%, 10/20/45		2,030,062		1,777
Government National Mortgage Association, Series 2015-161, Class GF
5.772%, (US SOFR 1 Month plus 0.415%), 11/20/45		1,096,589		1,063
Government National Mortgage Association, Series 2016-93, Class AB 1.750%, 7/20/44		2,207,422		1,775
Government National Mortgage Association, Series 2017-139, Class GA 3.000%, 9/20/47		4,583,149		4,158
Government National Mortgage Association, Series 2017-167, Class BQ 2.500%, 8/20/44		1,166,189		1,067
Government National Mortgage Association, Series 2018-65, Class DC 3.500%, 5/20/48		1,482,000		1,350
Government National Mortgage Association, Series 2020-133, Class GA 1.000%, 9/20/50		2,405,681		2,031
Government National Mortgage Association, Series 2020-138, Class LE 1.500%, 9/20/50		5,450,775		4,352

Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Government National Mortgage Association, Series 2021-215, Class GA 2.000%, 12/20/51		1,246,356		1,066
Government National Mortgage Association, Series 2021-227, Class E 2.500%, 7/20/50		8,710,483		7,590
Government National Mortgage Association, Series 2021-27, Class BD 5.000%, 2/20/51		1,523,731		1,521
Government National Mortgage Association, Series 2021-27, Class CW 5.001%, 2/20/51		2,226,715		2,191
Government National Mortgage Association, Series 2021-27, Class NT 5.000%, 2/20/51		1,729,698		1,672
Government National Mortgage Association, Series 2021-27, Class Q 5.000%, 2/20/51		1,524,639		1,478
Government National Mortgage Association, Series 2021-8, Class CY 5.000%, 1/20/51		1,551,372		1,561
Government National Mortgage Association, Series 2022-107, Class C 2.500%, 6/20/51		7,162,381		5,969
Government National Mortgage Association, Series 2022-153, Class KA 4.000%, 12/20/49		2,040,719		1,983
Government National Mortgage Association, Series 2022-191, Class B 4.000%, 6/20/41		8,606,000		8,086
Government National Mortgage Association, Series 2022-191, Class BY 4.000%, 8/20/41		9,389,000		8,827
Government National Mortgage Association, Series 2022-197, Class LF
6.038%, (US 30 Day Average SOFR plus 0.700%), 11/20/52		6,569,210		6,508
Government National Mortgage Association, Series 2022-205, Class A 2.000%, 9/20/51		2,616,048		2,099
Government National Mortgage Association, Series 2022-31, Class GH 2.500%, 12/20/49		4,614,173		4,085
Government National Mortgage Association, Series 2022-34, Class DN 3.500%, 9/20/41		3,816,272		3,569
Government National Mortgage Association, Series 2022-5, Class BA 2.000%, 10/20/49		9,097,407		7,790
Government National Mortgage Association, Series 2022-50, Class DC 2.500%, 8/20/51		2,141,730		1,874
Government National Mortgage Association, Series 2022-66, Class CG 3.500%, 4/20/52		4,229,944		4,003
Government National Mortgage Association, Series 2022-84, Class A 2.500%, 1/20/52		13,578,824		11,397
GS Mortgage Securities Trust, Series 2015- GC32, Class A3 3.498%, 7/10/48		1,068,355		1,034

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

138

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Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
GS Mortgage Securities Trust, Series 2020- GSA2, Class A4 1.721%, 12/12/53		3,499,000		2,805
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010-1, Class A1 5.314%, 1/25/51 144A		1,094,353		1,074
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A3 3.392%, 12/15/49		674,000		637
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4 3.669%, 9/15/47		735,697		726
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3 2.912%, 10/15/48		3,340,808		3,258
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A5 3.821%, 7/15/48		1,895,000		1,812
MED Trust, Series 2021-MDLN, Class A
6.426%, (US SOFR 1 Month plus 1.065%), 11/15/38 144A		4,312,304		4,228
MFRA Trust, Series 2021-NQM2, Class A1 1.029%, (AFC), 11/25/64 144A		855,435		722
Morgan Stanley Capital I Trust, Series 2020- HR8, Class A3 1.790%, 7/15/53		1,911,000		1,574
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1 2.492%, (AFC), 9/25/59 144A		363,395		334
NewRez Warehouse Securitization Trust, Series 2021-1, Class A
6.220%, (US SOFR 1 Month plus 0.865%), 5/25/55 144A		3,041,133		3,037
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		536,456		481
Starwood Mortgage Residential Trust, Series 2020-1, Class A1 2.275%, (AFC), 2/25/50 144A		132,314		124
Starwood Mortgage Residential Trust, Series 2020-3, Class A1 1.486%, (AFC), 4/25/65 144A		594,015		552
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		709,041		627
Starwood Mortgage Residential Trust, Series 2021-4, Class A1 1.162%, (AFC), 8/25/56 144A		2,000,017		1,672

Structured Products (50.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Uniform Mortgage Backed Security TBA
6.000%, 1/16/54		15,000,000		15,230
6.500%, 1/16/54		28,600,000		29,307
7.000%, 1/16/54		24,600,000		25,374
7.000%, 2/13/54		7,000,000		7,214
Verus Securitization Trust, Series 2019-4, Class A1 3.642%, (AFC), 11/25/59 144A Σ		597,413		579
Verus Securitization Trust, Series 2019-INV3, Class A1 3.692%, (AFC), 11/25/59 144A		243,896		237
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A		296,502		290
Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A		921,172		787
Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A		1,809,397		1,562
Verus Securitization Trust, Series 2021-3, Class A1 1.046%, (AFC), 6/25/66 144A		1,403,451		1,167
Verus Securitization Trust, Series 2021-4, Class A1 0.938%, (AFC), 7/25/66 144A		1,816,594		1,442
Verus Securitization Trust, Series 2021-5, Class A1 1.013%, (AFC), 9/25/66 144A		4,591,115		3,767
Verus Securitization Trust, Series 2021-7, Class A1 1.829%, (AFC), 10/25/66 144A		2,025,638		1,759
Verus Securitization Trust, Series 2021-8, Class A1 1.824%, (AFC), 11/25/66 144A		2,005,237		1,734
Verus Securitization Trust, Series 2021-R1, Class A1 0.820%, (AFC), 10/25/63 144A		748,670		678
Verus Securitization Trust, Series 2021-R3, Class A1 1.020%, (AFC), 5/25/64 144A		849,189		755
Visio Trust, Series 2020-1R, Class A1 1.312%, 11/25/55 144A		564,338		507
Total				1,272,832
Total Structured Products (Cost: $1,499,045)				1,476,166
Total Investments (101.6%) (Cost: $3,005,235)@				2,948,774
Other Assets, Less Liabilities (-1.6%)				(45,077	)
Net Assets (100.0%)				2,903,697

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023 the value of these securities (in thousands) was $203,696 representing 7.0% of the net assets.

α Rate shown is the rate as of the period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future.

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

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§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At December 31, 2023, the aggregate value of these securities was $812 (in thousands), representing 0.0% of net assets.

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

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,014,232 and the net unrealized depreciation of investments based on that cost was $65,458 which is comprised of $45,367 aggregate gross unrealized appreciation and $110,825 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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		$	—		$	9,057		$	—
Corporate Bonds			—			640,462			—
Governments			—			823,089			—
Structured Products			—			1,476,166			—
Total Assets:		$	—		$	2,948,774		$	—

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

140

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

Objective:	Portfolio Strategy:	Net Assets:
Maximum total return, consistent with preservation of capital and prudent investment management.	Invest in a diversified portfolio of fixed income securities that are issued or guaranteed by the U.S. Government, its agencies or government sponsored enterprises, and in derivatives designed to replicate such securities.	$121 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Long-Term U.S. Government Bond Portfolio (the “Portfolio”), has engaged Pacific Investment Management Company LLC (“PIMCO”) to act as sub-adviser for the Portfolio. The Portfolio primarily invests in a diversified portfolio of fixed income securities that are issued or guaranteed by the U.S. Government, its agencies or government sponsored enterprises (“U.S. Government Securities”), which may be represented by forwards or derivatives such as options, futures contracts or interest rate swap agreements. Assets not invested in U.S. Government Securities may be invested in other types of investment grade fixed income instruments, such as corporate debt securities of U.S. issuers and mortgage- and asset-backed securities, or in preferred stocks. The Portfolio will normally have minimum average portfolio duration (a measure of the sensitivity of the Portfolio’s fixed income portfolio securities to changes in interest rates) of eight years and, for point of reference, the dollar-weighted average maturity of the Portfolio, under normal circumstances, is expected to be more than ten years. The Portfolio’s investments in fixed income securities are limited to investment grade U.S. dollar denominated securities of U.S. issuers that are rated at least A by Moody’s or equivalently rated by S&P or Fitch, or, if unrated, determined by the Portfolio to be of comparable quality.

MARKET OVERVIEW

Despite the collapse of Silicon Valley Bank and financial sector concerns, risk assets rose in early 2023. Bond yields fell, the yield curve inverted further, and market volatility increased due to instability in Credit Suisse Group and its takeover by UBS Group. Fears of financial contagion led to a drop in global stock indices and a rally in bond yields.

In the second quarter of 2023, risk assets improved despite banking sector stress and potential U.S. debt default fears. Bond yields rose due to resilient growth and persistent inflation, and central banks resumed hawkish guidance. Despite U.S. debt default concerns, market optimism continued due to positive debt ceiling negotiations, leading the S&P 500^® Index to a 9-month high. The U.S. Federal Reserve (the “Fed”) signaled two additional rate hikes due to resilient growth and a swift banking sector stress resolution.

The third quarter saw a decline in risk sentiment due to economic data surprises and fears of prolonged high rates. Bond yields rose due to resilient growth and sticky inflation, and central banks maintained hawkish guidance. 10-year U.S. Treasury real yields increased to an approximately 15-year high, while U.S. core inflation cooled.

Signs of slowing inflation and a cooling labor market in the fourth quarter led to an accelerated path of rate cuts for 2024, prompting a global bond market rally. Risk sentiment rebounded, with the MSCI World^® Index rising sizably, while the U.S. dollar weakened. In December 2023, the Fed paused rate hikes for the third consecutive time, while signaling the potential for 75 bps of cuts in 2024. Global developed central banks maintained hawkish stances, with both the European Central Bank and the Bank of England signaling that rates would remain restrictive for longer. The Bank of Japan maintained its negative interest rate policy and left its dovish guidance unchanged.

PORTFOLIO RESULTS

The Portfolio returned 3.33% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Bloomberg^® Long-Term U.S. Treasury Index (the “Index”), returned 3.06%. (This Index is unmanaged, cannot be invested in directly and does not incur expenses.) Tactical U.S. interest rate positioning contributed to the Portfolio’s relative performance for the reporting period. The Portfolio’s duration positioning was partially implemented through the use of futures, interest rate swaps and options. Within spread sectors, exposure to out-of-benchmark agency securities and agency mortgage-backed securities detracted from performance.

PORTFOLIO MANAGER OUTLOOK

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

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

After major economies showed surprising resilience in 2023, we anticipate a downshift toward stagnation or mild contraction in 2024. The standout strength of the U.S. is likely to fade over our six- to twelve-month cyclical horizon, and countries with more rate-sensitive markets will likely slow more markedly. With inflation easing, developed market central banks have likely reached the end of their hiking cycles. This has shifted attention toward the timing and pace of eventual rate cuts. We believe the Fed and other central banks have scope to cut rates aggressively if growth slows. However, there are also scenarios in which the recent market-based easing of financial conditions has done much of the work for central banks. That easing, alongside continued consumer and corporate sector strength could potentially prompt inflation to rise again.

We expect fiscal concerns will continue, both in the U.S. and globally. We see potential for further bouts of long-end curve weakness amid anxiety about elevated supply, stemming from the increased bond issuance needed to fund large fiscal deficits. We therefore expect to have a curve-steepening bias in our portfolios, with overweight positions in the 5- to 10-year part of the curve globally and underweights in the 30-year area. At current valuations, we continue to find bonds attractive relative to equities, while fixed income offers correlation and diversification benefits in portfolios. Furthermore, bond returns tend to be less dependent on a positive economic outcome.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Long-Term U.S. Government Bond Portfolio	3.33%	-1.76%	1.81%
Bloomberg® Long-Term Treasury Index	3.06%	-1.24%	2.28%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account

fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
US Treasury, Various	108.9%
Uniform Mortgage Backed Security TBA, Various	9.3%
US Treasury Inflation Index Bond, Various	3.6%
Resolution Funding Corp. Stripped, Various	3.3%
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3%, 8/15/32	1.7%
Federal Home Loan Mortgage Corp., Series 4387, Class AZ, 4%, 9/15/44	1.7%
Federal Home Loan Mortgage Corp., Series 4398, Class ZX, 4%, 9/15/54	0.6%
US Treasury Stripped, Various	0.6%
Government National Mortgage Association TBA, 4%, 2/20/54	0.6%
Federal National Mortgage Association, Series 2016-61, Class ML, 3%, 9/25/46	0.6%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Governments	116.9%
	Structured Products	19.0%
	Corporate Bonds	0.3%
	Short-Term Investments & Other Net Assets	-36.2%

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio’s stated parameters, no more than 10% of the Portfolio is invested in securities rated A by Moody’s or S&P and no more than 25% of the Portfolio is invested in securities rated Aa by Moody’s or AA by S&P.

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SCHEDULE OF INVESTMENTS

December 31, 2023

 

Corporate Bonds (0.3%)	Shares/ Par +		Value $ (000’s)
Industrial (0.3%)
Vessel Management Services, Inc. 3.432%, 8/15/36		361,000		338
Total				338
Total Corporate Bonds (Cost: $361)				338
Governments (116.9%)
Governments (116.9%)
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		3,655
0.000%, 4/15/28 IO		400,000		335
Tennessee Valley Authority Stripped 0.000%, 5/1/30 PO		500,000		380
US Treasury 1.125%, 5/15/40		6,790,000		4,376
1.125%, 8/15/40		45,990,000		29,355
1.375%, 11/15/40		11,200,000		7,431
1.375%, 8/15/50		1,080,000		602
1.625%, 11/15/50		400,000		238
1.875%, 2/15/41		1,900,000		1,366
2.000%, 2/15/50		12,920,000		8,501
2.250%, 8/15/49		300,000		209
2.375%, 5/15/51		2,300,000		1,641
2.500%, 2/15/45		1,440,000		1,090
2.500%, 2/15/46		850,000		638
2.875%, 5/15/49		1,750,000		1,391
3.000%, 11/15/44		1,620,000		1,341
3.000%, 5/15/45		1,410,000		1,163
3.000%, 11/15/45		370,000		304
3.000%, 2/15/48		330,000		269
3.000%, 8/15/48 b		700,000		570
3.000%, 2/15/49		10,470,000		8,520
3.000%, 8/15/52		4,500,000		3,680
3.125%, 8/15/44		1,620,000		1,372
3.125%, 5/15/48		2,430,000		2,024
3.375%, 8/15/42		6,500,000		5,796
3.625%, 2/15/53		2,900,000		2,678
3.625%, 5/15/53		1,700,000		1,572
3.875%, 2/15/43		900,000		858
3.875%, 5/15/43		3,100,000		2,955
4.000%, 11/15/42		2,800,000		2,721
4.000%, 11/15/52		15,830,000		15,619
4.375%, 5/15/41		16,080,000		16,575
4.375%, 8/15/43		6,800,000		6,941
US Treasury Inflation Index Bond 0.125%, 1/15/32		887,944		780
0.625%, 7/15/32		1,694,100		1,547
1.125%, 1/15/33		2,210,406		2,091
US Treasury Stripped 0.000%, 8/15/34 IO		850,000		553
0.000%, 5/15/41 IO		40,000		19
0.000%, 8/15/41 IO		50,000		23
0.000%, 11/15/41 IO		80,000		37

Governments (116.9%)	Shares/ Par +		Value $ (000’s)
Governments continued
0.000%, 5/15/42 IO		70,000		31
0.000%, 8/15/42 IO		220,000		97
0.000%, 11/15/42 IO		50,000		22
Total				141,472
Total Governments (Cost: $160,144)				141,472
Structured Products (19.0%)
Asset Backed Securities (0.3%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A
6.202%, (US 30 Day Average SOFR plus 0.865%), 2/27/68 144A		46,837		46
Hertz Vehicle Financing LLC, Series 2022-2A, Class A 2.330%, 6/26/28 144A		300,000		273
Massachusetts Educational Financing Authority, Series 2008-1, Class A1
6.590%, (US 90 Day Average SOFR plus 1.212%), 4/25/38		16,556		16
Total				335
Mortgage Securities (18.7%)
Benchmark Mortgage Trust, Series 2019-B9, Class A5 4.015%, 3/15/52		600,000		560
BWAY Mortgage Trust, Series 2013-1515, Class A2 3.454%, 3/10/33 144A		300,000		282
COMM Mortgage Trust, Series 2018-HOME, Class A 3.815%, (CSTR, AFC), 4/10/33 144A		200,000		184
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 4.858%, (CSTR), 7/25/33		149		–π
Extended Stay America Trust, Series 2021- ESH, Class A
6.556%, (US SOFR 1 Month plus 1.195%), 7/15/38 144A		373,376		370
Federal Home Loan Mortgage Corp., Series 2752, Class EZ 5.500%, 2/15/34		96,338		97
Federal Home Loan Mortgage Corp., Series 3759, Class FB
5.953%, (US 30 Day Average SOFR plus 0.615%), 11/15/40		17,535		17
Federal Home Loan Mortgage Corp., Series 4092, Class AY 3.000%, 8/15/32		2,200,000		2,064
Federal Home Loan Mortgage Corp., Series 4387, Class AZ 4.000%, 9/15/44		2,170,900		2,056
Federal Home Loan Mortgage Corp., Series 4398, Class ZX 4.000%, 9/15/54		865,222		782

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

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Structured Products (19.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4830, Class ZG 3.000%, 4/15/53		621,775		507
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1
6.412%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.400%), 7/25/44		3,894		4
Federal National Mortgage Association 3.600%, 2/1/40		539,929		506
5.000%, 6/1/35		19,322		20
5.000%, 2/1/36		29,762		30
5.500%, 5/1/49		24,705		25
Federal National Mortgage Association, Series 2007-39, Class NZ 4.250%, 5/25/37		40,991		40
Federal National Mortgage Association, Series 2012-101, Class FC
5.952%, (US 30 Day Average SOFR plus 0.615%), 9/25/42		24,371		24
Federal National Mortgage Association, Series 2016-61, Class ML 3.000%, 9/25/46		900,000		746
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2 4.312%, (CSTR), 10/25/52 144A		555,396		535
Government National Mortgage Association TBA 4.000%, 2/20/54		800,000		764
Government National Mortgage Association, Series 2010-26, Class OW 0.000%, 2/20/40 PO		267,725		208
Government National Mortgage Association, Series 2010-75, Class OA 0.000%, 9/20/35 PO		170,454		134
GS Mortgage Securities Trust, Series 2015- 590M, Class B 3.805%, (CSTR), 10/10/35 144A		300,000		271

Structured Products (19.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Hilton USA Trust, Series 2016-HHV, Class A 3.719%, 11/5/38 144A		600,000		569
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A 4.970%, (CSTR, AFC), 5/25/33		547		–π
Morgan Stanley Capital I Trust, Series 2021- 230P, Class A 6.645%, (US SOFR 1 Month plus  1.284%), 12/15/38 144A		200,000		186
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 2.750%, (AFC), 11/25/59 144A		88,646		83
Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class A
6.987%, (US 30 Day Average SOFR plus 1.650%), 1/25/37 144A		168,235		168
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1 6.130%, (US SOFR 1 Month plus 0.775%),  (AFC), 10/19/34		1,459		1
Towd Point Mortgage Trust, Series 2020-1, Class A2A 3.100%, (AFC), 1/25/60 144A		200,000		173
Uniform Mortgage Backed Security TBA 3.000%, 3/13/54		300,000		266
4.500%, 2/12/50		4,000,000		3,880
5.500%, 1/14/49		1,000,000		1,004
5.500%, 2/13/54		1,700,000		1,708
6.000%, 1/16/54		3,100,000		3,147
6.500%, 1/16/54		1,200,000		1,230
Worldwide Plaza Trust, Series 2017-WWP, Class A 3.526%, 11/10/36 144A		100,000		76
Total				22,717
Total Structured Products (Cost: $24,084)				23,052
Total Investments (136.2%) (Cost: $184,589)@				164,862
Other Assets, Less Liabilities (-36.2%)				(43,813	)
Net Assets (100.0%)				121,049

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		17,900		179		3/24	$	19,470	$	(478	)	$	(15)
Ten-Year US Treasury Note Future		Long		USD		3,700		37		3/24		4,177		136			–
Two-Year US Treasury Note Future		Short		USD		1,600		8		3/24		1,647		(17	)		(1)
Ultra Long Term US Treasury Bond Future		Long		USD		2,100		21		3/24		2,806		15			(11)
Ultra Ten-Year US Treasury Note Future		Short		USD		22,900		229		3/24		27,026		(1,238	)		21
US Treasury Long Bond Future		Short		USD		5,700		57		3/24		7,121		(527	)		11
													$	(2,109	)	$	5

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

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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	$	(7	)	$	151	$	144	$	1
1-Day USD-SOFR Compounded-OIS		0.750%		3/31		1,000		USD		15			175		190		–π
1-Day USD-SOFR Compounded-OIS		1.250%		6/41		3,110		USD		97			923		1,020		5
									$	105		$	1,249	$	1,354	$	6

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	$	13	$	(777	)	$	(764	)	$	4
1-Day USD-SOFR Compounded-OIS		1.000%		12/25		3,170		USD		30		(230	)		(200	)		2
									$	43	$	(1,007	)	$	(964	)	$	6

	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	$	12	$	32	$	44	$	–	$	(27)	$	(27)	$	–

Over the Counter Derivatives

Written Options

Description	Counterparty		Currency		Notional Par (000’s)		Exercise Price		Expiration Date		Number of Contracts		Value (000’s)
Call - OTC Uniform Mortgage		J.P. Morgan Securities LLC		USD		1,300	$	101.227		2/24		1,300,000	$	(9	)
Backed Security TBA
Put - OTC Uniform Mortgage		J.P. Morgan Securities LLC		USD		1,300		99.227		2/24		1,300,000		(1	)
Backed Security TBA
(Premiums Received $12)													$	(10	)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Foreign Currency						Forward Foreign Currency
	Contracts		Swaps		Total		Contracts		Options		Swaps		Total
Total Over the Counter Derivatives		—		—		—		—	$	(10)		—	$	(10)

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

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023 the value of these securities (in thousands) was $3,216 representing 2.6% of the net assets.

π Amount is less than one thousand.

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $212,077 and the net unrealized depreciation of investments based on that cost was $48,944 which is comprised of $5,048 aggregate gross unrealized appreciation and $53,992 aggregate gross unrealized depreciation.

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

145

Long-Term U.S. Government Bond Portfolio

 

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	—	$	338	$	—
Governments		—		141,472		—
Structured Products		—		23,052		—
Other Financial Instruments^
Futures		151		—		—
Interest Rate Swaps		—		1,354		—
Total Assets:	$	151	$	166,216	$	—
Liabilities:
Other Financial Instruments^
Futures		(2,260)		—		—
Written Options		—		(10)		—
Interest Rate Swaps		—		(964)		—
Total Liabilities:	$	(2,260)	$	(974)	$	—

^ 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.

146

Inflation Protection Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Total return using a strategy that seeks to protect against U.S. inflation.	Invest substantially all assets in investment grade debt securities, with a majority in inflation-indexed debt securities.	$417 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Inflation Protection Portfolio (the “Portfolio”), has engaged American Century Investment Management, Inc. (“American Century”) to act as sub-adviser for the Portfolio. The Portfolio invests substantially all of its assets in investment grade debt securities. To help protect against U.S. inflation, under normal conditions, the Portfolio will invest over 50% of its net assets in inflation-indexed debt securities. These securities include inflation-indexed U.S. Treasury Securities (“TIPS”), inflation-indexed securities issued by U.S. government agencies and instrumentalities other than the U.S. Treasury, and inflation-indexed securities issued by domestic and foreign corporations and governments and may include those located in emerging markets. The Portfolio also may invest in fixed income securities that are not inflation-indexed. Such investments may include other investment grade debt securities, including collateralized mortgage obligations, mortgage-backed securities, and asset-backed securities, including collateralized loan obligations, whether issued by the U.S. government, its agencies or instrumentalities, corporations or other non-governmental issuers, or foreign governments. Due to Internal Revenue Code (“IRC”) provisions and regulations governing insurance product funds, no more than 55% of the Portfolio’s assets may be invested in securities issued by the same entity.

MARKET OVERVIEW

Fixed income investors navigated another volatile market in 2023. But unlike 2022, broad indices ended the twelve-month period with solid gains, largely due to early and late-year rallies.

Bonds broadly advanced early in 2023, when high-profile bank failures sparked a flight to quality. However, sentiment quickly shifted, and U.S. Treasury yields reversed course and generally surged through October, when they reached multi-year highs. Amid moderating inflation and expectations for a Fed policy pivot, yields reversed course again and dropped sharply by year-end. Similarly, market-based inflation expectations declined.

The U.S. Federal Reserve’s (the “Fed”) tightening campaign helped fuel a steady slowdown in consumer prices during the year. The Fed increased interest rates at its first three policy meetings of the year before pausing in June. Policymakers lifted rates again in July, to a range of 5.25% to 5.5%, where they remained through year-end. By December, the Fed adopted a more dovish tone and penciled in three rate cuts for 2024.

The late-year rally helped restore twelve-month gains for the broad U.S. bond market and all its sectors. With inflation expectations easing, TIPS underperformed nominal U.S. Treasurys, corporate securities and MBS.

PORTFOLIO RESULTS

The Portfolio returned 3.90% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Bloomberg^® U.S. TIPS Index (the “Index”), returned 3.90%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

The Portfolio was fully invested in TIPS as allowed by IRC portfolio diversification regulations for insurance products (a maximum of 55%). The remainder of the Portfolio was invested mainly in securitized and investment grade corporate securities, which generally contributed to the Portfolio’s performance versus the all-TIPS Index.

To maximize inflation exposure while adhering to the IRC’s TIPS limit, the portfolio managers used inflation swaps to create an inflation overlay for the corporate and securitized securities. This strategy combined with the portfolio managers’ preference for the short end of the inflation curve contributed to the Portfolio’s relative performance for the year.

Meanwhile, the Portfolio maintained a slightly longer-than-Index duration position throughout the year. With real yields rising overall for the year and nominal yields rising through much of the period, this strategy modestly weighed on the Portfolio’s performance.

147

Inflation Protection Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

We believe structural forces from the labor and housing markets will keep the annual inflation rate higher than pre-pandemic levels. We expect the year-over-year Consumer Price Index to settle in a range of approximately 2.5% to 3%. However, if the Fed cuts rates too soon or too fast, inflation could head higher.

Given the magnitude of Fed tightening and the cumulative effects of inflation, we continue to expect the economy to slow down in 2024. However, a recession seems less likely due to the U.S. economy’s surprising resilience. Accordingly, we’ve reduced our duration overweight and still prefer higher quality securitized and corporate securities.

     Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Inflation Protection Portfolio	3.90%	2.86%	2.06%
Bloomberg® U.S. Treasury Inflation Protected Securities (TIPS) Index	3.90%	3.15%	2.42%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
US Treasury Inflation Index Bond, Various	53.9%
Federal National Mortgage Association, Various	8.6%
Federal Home Loan Mortgage Corp., Various	5.9%
Canadian Government Real Return Bond, 3.5%, 3/1/28	4.9%
Caterpillar Financial Services Corp., Various	3.3%
Chariot Funding LLC, 0.00%, 1/3/24	2.0%
Tennessee Valley Authority, Various	1.6%
Thunder Bay Funding LLC, 0.00%, 1/5/24	1.4%
Bank of America Corp., Various	0.6%
JPMorgan Chase & Co., Various	0.6%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Governments	68.7%
	Structured Products	17.5%
	Short-Term Investments & Other Net Assets	7.8%
	Corporate Bonds	5.6%
	Municipal Bonds	0.4%

Sector Allocation and Top 10 Holdings are subject to change.

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

148

Inflation Protection Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Corporate Bonds (5.6%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical (0.9%)
Honda Motor Co., Ltd. 2.271%, 3/10/25		1,550,000		1,502
Toyota Motor Credit Corp. 2.500%, 3/22/24		2,218,000		2,204
Total				3,706
Consumer, Non-cyclical (1.2%)
AbbVie, Inc. 2.950%, 11/21/26		800,000		767
Roche Holdings, Inc. 2.314%, 3/10/27 144A		1,270,000		1,195
Stryker Corp. 4.850%, 12/8/28		800,000		809
Thermo Fisher Scientific, Inc. 1.215%, 10/18/24		2,570,000		2,488
Total				5,259
Energy (0.6%)
Exxon Mobil Corp. 2.709%, 3/6/25		2,560,000		2,500
Total				2,500
Financial (2.3%)
Bank of America Corp.
2.884%, (US SOFR 3 Month plus 1.452%), 10/22/30 α		512,000		454
3.458%, (US SOFR 3 Month plus 1.232%), 3/15/25 α		2,210,000		2,199
Bank of Montreal 5.266%, 12/11/26		261,000		265
BOC Aviation USA Corp. 1.625%, 4/29/24 144A		696,000		687
Citigroup, Inc.
3.520%, (US SOFR 3 Month plus 1.413%), 10/27/28 α		100,000		95
3.980%, (US SOFR 3 Month plus 1.600%), 3/20/30 α		152,000		144
The Goldman Sachs Group, Inc. 1.757%, (US SOFR plus 0.730%), 1/24/25 α		441,000		439
JPMorgan Chase & Co.
2.522%, (US SOFR plus 2.040%), 4/22/31 α		358,000		309
4.005%, (US SOFR 3 Month plus 1.382%), 4/23/29 α		360,000		346
5.299%, (US SOFR plus 1.450%), 7/24/29 α		760,000		771
5.546%, (US SOFR plus 1.070%), 12/15/25 α		918,000		919
6.087%, (US SOFR plus 1.570%), 10/23/29 α		285,000		300
JPMorgan Chase Bank NA 5.110%, 12/8/26		563,000		568
The Toronto-Dominion Bank 5.264%, 12/11/26		217,000		221
Wells Fargo & Co.
4.897%, (US SOFR plus 2.100%), 7/25/33 α		325,000		317
5.389%, (US SOFR plus 2.020%), 4/24/34 α		215,000		216

Corporate Bonds (5.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
5.574%, (US SOFR plus 1.740%), 7/25/29 α		280,000		286
Wells Fargo Bank NA 5.254%, 12/11/26		1,050,000		1,063
Total				9,599
Industrial (0.5%)
Caterpillar Financial Services Corp. 3.650%, 8/12/25		1,970,000		1,938
Total				1,938
Utilities (0.1%)
Sempra Energy 3.300%, 4/1/25		507,000		495
Total				495
Total Corporate Bonds (Cost: $23,727)				23,497
Governments (68.7%)
Governments (68.7%)
Canadian Government Real Return Bond 3.500%, 3/1/28 CAD ∞		27,000,000		20,588
Federal Home Loan Banks 5.500%, 7/15/36		1,000,000		1,130
Federal Home Loan Mortgage Corp. 6.250%, 7/15/32		14,850,000		17,217
Federal National Mortgage Association 6.625%, 11/15/30		13,650,000		15,711
Tennessee Valley Authority
1.500%, 9/15/31		1,500,000		1,242
3.875%, 3/15/28		1,750,000		1,742
5.880%, 4/1/36		3,250,000		3,711
US Treasury Inflation Index Bond
0.125%, 1/15/30 b		18,834,795		17,069
0.125%, 7/15/30		11,220,196		10,135
0.125%, 1/15/31		14,277,714		12,742
0.125%, 7/15/31		6,313,725		5,612
0.125%, 1/15/32		12,653,202		11,111
0.125%, 2/15/51		8,863,275		5,480
0.125%, 4/15/26		4,575,519		4,355
0.125%, 7/15/26		5,840,289		5,565
0.125%, 10/15/26 b		3,580,521		3,400
0.250%, 2/15/50		6,606,005		4,302
0.375%, 1/15/27		13,246,480		12,587
0.375%, 7/15/27		10,376,603		9,859
0.500%, 1/15/28		9,355,050		8,852
0.625%, 7/15/32		9,689,393		8,851
0.625%, 2/15/43		8,899,230		6,947
0.625%, 1/15/26		5,684,479		5,484
0.750%, 2/15/42		10,613,906		8,598
0.750%, 2/15/45		17,795,620		13,903
0.750%, 7/15/28		1,838,580		1,759
0.875%, 2/15/47		5,735,610		4,516
0.875%, 1/15/29		10,966,500		10,494
1.000%, 2/15/46		3,830,605		3,131

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

149

Inflation Protection Portfolio

 

Governments (68.7%)	Shares/ Par +		Value $ (000’s)
Governments continued
1.000%, 2/15/48		1,434,844		1,157
1.000%, 2/15/49		2,994,392		2,408
1.125%, 1/15/33		5,164,500		4,885
1.250%, 4/15/28		8,718,960		8,491
1.375%, 7/15/33		8,945,320		8,672
1.375%, 2/15/44		10,138,829		9,056
1.750%, 1/15/28		506,681		504
2.125%, 2/15/41		3,612,178		3,708
2.375%, 1/15/27		877,266		885
2.500%, 1/15/29		3,317,511		3,429
3.625%, 4/15/28		2,853,420		3,057
3.875%, 4/15/29		3,743,160		4,126
Total				286,471
Total Governments (Cost: $324,392)				286,471
Municipal Bonds (0.4%)
Municipal Bonds (0.4%)
Golden State Tobacco Securitization Corp. 2.746%, 6/1/34 RB		740,000		623
University of California 1.316%, 5/15/27 RB		1,105,000		1,000
Total Municipal Bonds (Cost: $1,752)				1,623
Structured Products (17.5%)
Asset Backed Securities (5.6%)
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B 2.482%, 8/15/46 144A		2,350,000		2,054
Bean Creek CLO, Ltd., Series 2018-1A, Class AR
6.697%, (US SOFR 3 Month plus 1.282%), 4/20/31 144A		1,209,434		1,208
Blackbird Capital Aircraft, Series 2021-1A, Class A 2.443%, 7/15/46 144A		765,915		661
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A 2.940%, 5/25/29 144A		69,013		67
Cologix Canadian Issuer LP, Series 2022- 1CAN, Class A2 4.940%, 1/25/52 144A CAD ∞		1,950,000		1,371
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2 3.093%, 4/20/34 144A		2,000,000		1,764
FirstKey Homes Trust, Series 2020-SFR2, Class D 1.968%, 10/19/37 144A		1,000,000		927
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR
6.797%, (US SOFR 3 Month plus 1.382%), 7/20/31 144A		1,125,000		1,125
Goodgreen Trust, Series 2020-1A, Class A 2.630%, 4/15/55 144A		554,720		437
Goodgreen Trust, Series 2021-1A, Class A 2.660%, 10/20/56 144A		383,552		303

Structured Products (17.5%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Greenwood Park CLO, Ltd., Series 2018-1A, Class A1
6.685%, (US SOFR 3 Month plus 1.292%), 4/15/31 144A		492,779		492
Hilton Grand Vacations Trust, Series 2019-AA, Class B 2.540%, 7/25/33 144A		442,536		419
J.G. Wentworth XLI LLC, Series 2018-1A, Class B 4.700%, 10/15/74 144A		363,259		301
KKR Financial CLO, Ltd., Series 2018-22A, Class A
6.827%, (US SOFR 3 Month plus 1.412%), 7/20/31 144A		1,474,058		1,473
KKR Financial CLO, Ltd., Series 2022-1A, Class B
8.016%, (US SOFR 3 Month plus 2.600%), 7/20/31 144A		1,400,000		1,400
KKR Financial CLO, Ltd., Series 2022-1A, Class BR
1.000%, (US SOFR 3 Month plus 2.000%), 7/20/31 144A		1,425,000		1,425
Magnetite CLO, Ltd., Series 2021-29A, Class B
7.055%, (US SOFR 3 Month plus 1.662%), 1/15/34 144A		1,650,000		1,633
Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2
6.794%, (US SOFR 3 Month plus 1.392%), 1/17/31 144A		1,135,615		1,136
Rockford Tower CLO, Ltd., Series 2020-1A, Class B
7.477%, (US SOFR 3 Month plus 2.062%), 1/20/32 144A		1,350,000		1,346
Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A
7.652%, (US SOFR 1 Month plus 2.296%), 6/17/37 144A		1,207,129		1,207
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B 2.750%, 7/15/38 144A		497,434		477
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B 1.340%, 11/20/37 144A		898,155		847
Wellfleet CLO, Ltd., Series 2022-1A, Class B2 4.775%, 4/15/34 144A		1,250,000		1,204
Total				23,277
Mortgage Securities (11.9%)
Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A		391,675		348
Angel Oak Mortgage Trust, Series 2019-6, Class A3 2.927%, (AFC), 11/25/59 144A		177,864		171
Arroyo Mortgage Trust, Series 2021-1R, Class A2 1.483%, (CSTR, AFC), 10/25/48 144A		297,286		245
Arroyo Mortgage Trust, Series 2021-1R, Class A3 1.637%, (CSTR, AFC), 10/25/48 144A		228,682		188

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

150

Inflation Protection Portfolio

Structured Products (17.5%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Bellemeade Re, Ltd., Series 2019-3A, Class M1C
7.420%, (US SOFR 1 Month plus 2.065%), 7/25/29 144A		894,107		896
Bellemeade Re, Ltd., Series 2021-3A, Class M1A
6.337%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A		429,675		429
BX Commercial Mortgage Trust, Series 2021- VOLT, Class E
7.476%, (US SOFR 1 Month plus 2.115%), 9/15/36 144A		745,455		713
BX Commercial Mortgage Trust, Series 2021- VOLT, Class F
7.876%, (US SOFR 1 Month plus 2.515%), 9/15/36 144A		1,400,000		1,334
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1
7.437%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		522,311		528
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10 3.500%, (AFC), 12/25/44 144A		44,635		41
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class B
6.639%, (US SOFR 1 Month plus 1.277%), 5/15/36 144A		872,829		871
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class D
7.009%, (US SOFR 1 Month plus 1.647%), 5/15/36 144A		2,149,652		2,143
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3 1.538%, (AFC), 2/25/66 144A		265,411		223
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3 2.856%, 5/25/65 144A		1,449,456		1,418
Extended Stay America Trust, Series 2021- ESH, Class E
8.326%, (US SOFR 1 Month plus 2.965%), 7/15/38 144A		1,605,517		1,575
Federal Home Loan Mortgage Corp. 2.500%, 10/1/51		2,027,096		1,737
3.500%, 8/1/52		2,006,820		1,841
4.500%, 10/1/52		1,860,510		1,804
6.000%, 1/1/53		2,042,596		2,078
Federal National Mortgage Association 2.500%, 1/1/52		7,933,777		6,789
4.000%, 9/1/52		9,847,600		9,320
5.500%, 1/1/53		3,964,139		3,981
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
8.052%, (US 30 Day Average SOFR plus 2.715%), 5/25/24		189,542		191
Government National Mortgage Association 5.500%, 12/20/52		1,790,564		1,805
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A 4.128%, 7/5/31 144A		2,020,000		1,808

Structured Products (17.5%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.749%, (AFC), 10/25/29 144A		245,510		234
JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A		557,883		493
JP Morgan Mortgage Trust, Series 2017-1, Class A2 3.450%, (AFC), 1/25/47 144A		267,229		236
Onslow Bay Financial LLC, Series 2023- NQM9, Class A2 7.513%, (AFC), 10/25/63 144A Σ		935,093		956
Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A		995,412		877
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E 3.000%, (AFC), 4/25/60 144A		2,503,000		2,263
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		716,418		633
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		631,654		542
Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A		998,596		820
Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A		266,927		246
Total				49,777
Total Structured Products (Cost: $76,405)				73,054
Short-Term Investments (6.3%)
Commercial Paper (6.3%)
Caterpillar Financial Services Corp. 0.000%, 1/16/24		12,000,000		11,968
Chariot Funding LLC 0.000%, 1/3/24		8,500,000		8,494
Thunder Bay Funding LLC 0.000%, 1/5/24		5,800,000		5,797
Total				26,259
Total Short-Term Investments (Cost: $26,268)				26,259
Total Investments (98.5%) (Cost: $452,544)@				410,904
Other Assets, Less Liabilities (1.5%)				6,385
Net Assets (100.0%)				417,289

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

151

Inflation Protection 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)
Five-Year US Treasury Note Future	Long	USD		9,600		96	3/24	$	10,442	$	203	$	8
Ten-Year US Treasury Note Future	Long	USD		10,700		107	3/24		12,079		337		(79)
Two-Year US Treasury Note Future	Long	USD		1,600		8	3/24		1,647		16		1
Ultra Ten-Year US Treasury Note Future	Long	USD		5,300		53	3/24		6,255		260		(5)
										$	816	$	(75)

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	$	–		$	1,370		$	1,370		$	3
CPURNSA	1.715%	6/24		7,400	USD		–			931			931			–	π
CPURNSA	1.860%	7/24		7,500	USD		–			870			870			2
CPURNSA	1.858%	8/24		12,700	USD		–			1,477			1,477			3
CPURNSA	2.073%	8/27		3,500	USD		–			424			424			–	π
CPURNSA	2.145%	11/27		5,000	USD		(1	)		556			555			1
CPURNSA	1.800%	10/29		3,700	USD		–			545			545			1
CPURNSA	1.884%	11/29		2,000	USD		–			280			280			–	π
CPURNSA	2.243%	1/26		6,000	USD		–			625			625			(2	)
CPURNSA	1.078%	6/25		3,000	USD		–			490			490			1
CPURNSA	2.503%	8/26		7,000	USD		–			(36	)		(36	)		–	π
CPURNSA	2.415%	2/28		2,500	USD		–			5			5			–	π
CPURNSA	2.565%	4/28		1,500	USD		–			(9	)		(9	)		1
CPURNSA	2.438%	2/30		9,500	USD		1			28			29			–	π
CPURNSA	1.291%	5/30		2,000	USD		–			395			395			1
CPURNSA	1.629%	6/30		2,000	USD		–			356			356			–	π
CPURNSA	2.663%	8/30		1,200	USD		1			(18	)		(17	)		–	π
CPURNSA	2.498%	9/31		7,000	USD		–			434			434			2
CPURNSA	2.619%	3/33		5,500	USD		1			(52	)		(51	)		1
CPURNSA	2.495%	5/33		3,500	USD		1			(10	)		(9	)		2
CPURNSA	2.650%	8/33		8,500	USD		1			(145	)		(144	)		5
						$	4		$	8,516		$	8,520		$	21

	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	$	23	$	9	$	32	$	(2)	$	(84)	$	(86)	$	–

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	Goldman Sachs International	CAD		28,470		21,507	3/15/24	$	—	$	(517)	$	(517)
								$	—	$	(517)	$	(517)

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

152

Inflation Protection Portfolio

 

Total Return Swaps

Reference Entity	Counterparty	Payment made by the Fund		Expiration Date		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
CPURNSA	Bank of America NA		2.528%		8/24		2,750	$	72		$	72
CPURNSA	Bank of America NA		2.140%		7/25		2,900		293			293
CPURNSA	Bank of America NA		1.790%		8/25		1,500		202			202
CPURNSA	Bank of America NA		2.240%		4/27		3,500		334			334
CPURNSA	Bank of America NA		2.218%		4/27		2,000		196			196
CPURNSA	Bank of America NA		2.235%		4/27		2,000		193			193
CPURNSA	Bank of America NA		2.235%		5/27		5,000		485			485
CPURNSA	Barclays Bank PLC		2.589%		7/24		1,400		25			25
CPURNSA	Barclays Bank PLC		2.385%		9/24		4,000		180			180
CPURNSA	Barclays Bank PLC		2.363%		9/24		3,500		169			169
CPURNSA	Barclays Bank PLC		2.895%		12/27		1,700		(235	)		(235	)
CPURNSA	Barclays Bank PLC		2.784%		7/44		1,400		(115	)		(115	)
CPURNSA	Goldman Sachs International		1.870%		5/26		8,500		1,223			1,223
CPURNSA	Goldman Sachs International		1.920%		5/26		7,000		962			962
CPURNSA	Goldman Sachs International		1.770%		6/26		6,000		917			917
CPURNSA	Goldman Sachs International		2.245%		11/26		3,000		297			297
CPURNSA	Goldman Sachs International		2.280%		11/26		3,000		286			286
CPURNSA	Goldman Sachs International		2.280%		11/26		4,000		380			380
								$	5,864		$	5,864

	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		—	$	6,214	$	6,214	$	(517)		—	$	(350)	$	(867)

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023 the value of these securities (in thousands) was $45,390 representing 10.9% of the net assets.

α Rate shown is the rate as of the period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future.

∞ Foreign Bond — par value is foreign denominated.

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

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

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $452,995 and the net unrealized depreciation of investments based on that cost was $27,408 which is comprised of $16,801 aggregate gross unrealized appreciation and $44,209 aggregate gross unrealized depreciation.

π Amount is less than one thousand.

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

153

Inflation Protection Portfolio

 

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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		$	—	$	1,623	$	—
Corporate Bonds			—		23,497		—
Governments			—		286,471		—
Structured Products			—		73,054		—
Short-Term Investments			—		26,259		—
Other Financial Instruments^
Futures			816		—		—
Total Return Swaps			—		15,000		—
Total Assets:		$	816	$	425,904	$	—
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts			—		(517)		—
Total Return Swaps			—		(616)		—
Total Liabilities:		$	—	$	(1,133)	$	—

^ 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.

154

High Yield Bond Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
High current income and capital appreciation.	Invest in non-investment grade debt securities.	$744 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the High Yield Bond Portfolio (the “Portfolio”), has engaged Federated Investment Management Company (“Federated”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in non-investment grade debt securities, which are generally securities rated below investment grade by major credit rating agencies, or if unrated, determined to be of comparable quality. The Portfolio may invest up to 30% of net assets in non-investment grade foreign securities. The securities in which the Portfolio primarily invests are considered speculative and are sometimes known as “junk bonds.” These securities tend to offer higher yields than higher rated securities of comparable maturities primarily because of the market’s greater uncertainty about the issuer’s ability to make all required interest and principal payments, and therefore about the returns that will in fact be realized by the Portfolio. The Portfolio invests in securities believed to have attractive investment characteristics and seeks to minimize default risk and other risks through careful security selection and diversification. The Portfolio’s security selection process consists of a credit-intensive, fundamental analysis of the issuer. The Portfolio does not limit the investments to securities of a particular maturity range and does not target an average effective maturity or duration.

MARKET OVERVIEW

The major factors influencing markets during 2023 were the economy and the trajectory of interest rates. From the start of the year, the economy proved resilient despite several indicators signaling potential weakness on the horizon. Corporate earnings, while off their peak, proved stronger than expected. Early in 2023, the U.S. Federal Reserve (the “Fed”) addressed high inflation by continuing to push short-term rates higher. However, late in 2023, as inflation declined by more than half, the Fed signaled that its rate-hiking cycle may be coming to an end. Interest rates peaked in October and declined significantly in November and December. For example, the 5-year U.S. Treasury’s yield began the year at 3.9%, peaked near 5% in late October and declined back to 3.85% at year-end. With no recession in 2023 and the market betting on a soft landing in 2024, risk assets rallied, and spreads ended the year tighter. The overall impact of these factors can be illustrated by the change in credit spreads between the Credit Suisse High Yield Bond Index and U.S. Treasury securities with similar maturities which began the period at 499 basis points and ended the fiscal year at 363 basis points.

From a quality perspective, the CCC-rated sector led the way with a total return of 19.84% followed by the B-rated sector at 13.78%. The BB-rated sector lagged with a return of 11.56%.

PORTFOLIO RESULTS

The Portfolio returned 13.24% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Bloomberg^® U.S. Corporate High Yield 2% Issuer Capped Index (the “Index”), returned 13.44%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.)

Within the high yield market, industries that detracted substantially from the Portfolio’s relative performance during the reporting period included wirelines, pharmaceuticals, aerospace and defense, airlines and electric utilities. Industries that contributed substantially included leisure, retailing, finance companies and building materials.

Sector allocation detracted from the Portfolio’s relative return, driven by the Portfolio’s underweight to the strong performing leisure and retail industry. Given the strong absolute returns for the period, the Portfolio’s cash position also detracted. Security selection in the media and entertainment, electric utilities and cable and satellite industries also weighed on relative performance. Specific high yield issuers held by the Portfolio that detracted from the Portfolio’s relative performance included Enviva, iHeartCommunications, ARD Finance, Rackspace Technology and Audacy Capital.

An overweight to the strong-performing building materials industry and an underweight to the poor-performing wireline telecommunications and airline industries contributed to the Portfolio’s relative return. Security selection in the Information Technology and Healthcare sectors and in the consumer cyclical services, chemicals, building materials, diversified manufacturing and property and casualty insurance industries also contributed. Specific high yield issuers held by the Portfolio that contributed to relative performance included NFP, Diamond (BC) B.V., Madison IAQ, Minerva Merger Sub and Dornoch Debt Merger Sub.

155

High Yield Bond Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

The U.S. economy continues to surprise to the upside with the consensus now leaning toward a soft landing in 2024. Credit spreads largely reflect this outlook as they have moved close to cycle lows. Over the past few years, the economy has benefited from significant monetary and fiscal policy stimulus, but those policies have mostly come to an end. Meanwhile, many historically accurate economic indicators are signaling caution. We do not believe the all clear has been sounded just yet, and with spreads close to historical lows, we see no reason to move to an overweight on high yield at this time. However, we are closely monitoring high yield issuer’s earnings and free cash flow as well as overall economic conditions to ascertain whether a continued cautious outlook is warranted.

Relative Performance

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
High Yield Bond Portfolio	13.24%	5.33%	4.42%
Bloomberg® U.S. Corporate High Yield 2% Issuer Capped Index	13.44%	5.35%	4.59%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Ford Motor Credit Co. LLC, Various	2.5%
CCO Holdings LLC / CCO Holdings Capital Corp., Various	1.9%
HUB International, Ltd., Various	1.8%
CSC Holdings LLC, Various	1.6%
TransDigm, Inc., Various	1.6%
Tenet Healthcare Corp., Various	1.2%
NFP Corp., Various	1.2%
Allied Universal Holdco LLC, Various	1.1%
Mozart Debt Merger Sub, Inc., Various	1.1%
EQM Midstream Partners LP, Various	1.1%

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Consumer, Cyclical	19.0%
	Communications	14.4%
	Industrial	12.8%
	Consumer, Non-Cyclical	12.4%
	Energy	11.9%
	Financial	9.8%
	Technology	9.1%
	Short-Term Investments & Other Net Assets	5.2%
	Basic Materials	2.9%
	Utilities	2.3%
	Diversified	0.2%
	Communication Services	0.0%

Sector Allocation and Top 10 Holdings are subject to change.

156

High Yield Bond Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (0.3%)	Shares/ Par +		Value $ (000’s)
Communication Services (0.0%)
iHeartMedia, Inc. *		22,266		60
Total				60
Energy (0.3%)
Superior Energy Services, Inc. *		28,873		2,223
Total				2,223
Total Common Stocks (Cost: $1,027)				2,283
Corporate Bonds (94.5%)
Basic Materials (2.9%)
Ashland LLC 3.375%, 9/1/31 144A		825,000		711
Axalta Coating Systems Dutch Holding BV 7.250%, 2/15/31 144A		425,000		446
Axalta Coating Systems LLC 3.375%, 2/15/29 144A		875,000		785
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding 4.750%, 6/15/27 144A		600,000		583
Cheever Escrow Issuer LLC 7.125%, 10/1/27 144A		875,000		876
Cleveland-Cliffs, Inc. 4.625%, 3/1/29 144A		1,525,000		1,409
4.875%, 3/1/31 144A		425,000		384
6.750%, 4/15/30 144A		375,000		380
Coeur Mining, Inc. 5.125%, 2/15/29 144A		1,750,000		1,610
Element Solutions, Inc. 3.875%, 9/1/28 144A		1,650,000		1,519
H.B. Fuller Co. 4.250%, 10/15/28		525,000		491
Herens Holdco SARL 4.750%, 5/15/28 144A		3,775,000		3,097
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. 9.000%, 7/1/28 144A		725,000		693
Olympus Water US Holding Corp. 4.250%, 10/1/28 144A		1,500,000		1,350
6.250%, 10/1/29 144A		1,975,000		1,754
9.750%, 11/15/28 144A		2,125,000		2,256
Polar US Borrower LLC 6.750%, 5/15/26 144A		1,725,000		552
SPCM SA 3.375%, 3/15/30 144A		425,000		365
WR Grace Holdings LLC 4.875%, 6/15/27 144A		675,000		650
5.625%, 8/15/29 144A		1,200,000		1,056
7.375%, 3/1/31 144A		325,000		325
Total				21,292

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Communications (14.4%)
Audacy Capital Corp. 6.500%, 5/1/27 144A j		2,250,000		39
6.750%, 3/31/29 144A j		1,650,000		25
Cars.com, Inc. 6.375%, 11/1/28 144A		2,125,000		2,049
CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%, 2/1/31 144A		325,000		284
4.250%, 1/15/34 144A		1,200,000		975
4.500%, 8/15/30 144A		1,500,000		1,352
4.500%, 5/1/32		1,050,000		899
4.500%, 6/1/33 144A		1,175,000		994
4.750%, 3/1/30 144A		3,400,000		3,107
4.750%, 2/1/32 144A		450,000		397
5.000%, 2/1/28 144A		2,000,000		1,914
5.125%, 5/1/27 144A		2,975,000		2,874
5.375%, 6/1/29 144A		1,350,000		1,272
5.500%, 5/1/26 144A		275,000		273
Ciena Corp. 4.000%, 1/31/30 144A		325,000		296
CSC Holdings LLC 3.375%, 2/15/31 144A		825,000		602
4.125%, 12/1/30 144A		950,000		723
4.500%, 11/15/31 144A		2,750,000		2,079
4.625%, 12/1/30 144A		1,375,000		828
5.250%, 6/1/24		700,000		685
5.500%, 4/15/27 144A		2,275,000		2,103
5.750%, 1/15/30 144A		4,200,000		2,615
6.500%, 2/1/29 144A		1,100,000		971
7.500%, 4/1/28 144A		1,925,000		1,440
Cumulus Media New Holdings, Inc. 6.750%, 7/1/26 144A		750,000		505
Diamond Sports Group LLC / Diamond Sports Finance Co. 5.375%, 8/15/26 144A j		675,000		34
6.625%, 8/15/27 144A j		1,900,000		95
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 5.875%, 8/15/27 144A		1,175,000		1,104
DISH DBS Corp. 5.125%, 6/1/29		2,950,000		1,520
5.750%, 12/1/28 144A		1,100,000		877
7.375%, 7/1/28		750,000		448
7.750%, 7/1/26		1,350,000		940
DISH Network Corp. 11.750%, 11/15/27 144A		1,600,000		1,670
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.250%, 12/1/27 144A		1,625,000		1,592
Gray Escrow II, Inc. 5.375%, 11/15/31 144A		975,000		736
Gray Television, Inc. 5.875%, 7/15/26 144A		2,575,000		2,505
7.000%, 5/15/27 144A		1,050,000		998
iHeartCommunications, Inc. 4.750%, 1/15/28 144A		425,000		327

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

157

High Yield Bond Portfolio

 

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Communications continued
5.250%, 8/15/27 144A		1,075,000		854
6.375%, 5/1/26		375,901		320
8.375%, 5/1/27		4,928,194		3,199
Lamar Media Corp. 3.625%, 1/15/31		425,000		378
4.000%, 2/15/30		100,000		92
4.875%, 1/15/29		675,000		652
Logan Merger Sub, Inc. 5.500%, 9/1/27 144A		2,875,000		1,391
Match Group, Inc. 4.125%, 8/1/30 144A		2,175,000		1,974
4.625%, 6/1/28 144A		1,450,000		1,388
5.000%, 12/15/27 144A		525,000		513
Midas OpCo Holdings LLC 5.625%, 8/15/29 144A		5,975,000		5,496
Millennium Escrow Corp. 6.625%, 8/1/26 144A		1,425,000		1,012
Nexstar Broadcasting, Inc. 4.750%, 11/1/28 144A		1,700,000		1,567
5.625%, 7/15/27 144A		2,500,000		2,417
Outfront Media Capital LLC / Outfront Media Capital Corp. 4.250%, 1/15/29 144A		1,150,000		1,038
4.625%, 3/15/30 144A		1,100,000		981
7.375%, 2/15/31 144A		150,000		158
Scripps Escrow II, Inc. 5.375%, 1/15/31 144A		300,000		220
Scripps Escrow, Inc. 5.875%, 7/15/27 144A		1,425,000		1,266
Sinclair Television Group, Inc. 4.125%, 12/1/30 144A		150,000		106
5.125%, 2/15/27 144A		1,900,000		1,696
5.500%, 3/1/30 144A		1,175,000		881
Sirius XM Radio, Inc. 3.125%, 9/1/26 144A		1,075,000		1,010
3.875%, 9/1/31 144A		3,025,000		2,588
4.000%, 7/15/28 144A		725,000		671
4.125%, 7/1/30 144A		1,775,000		1,582
5.500%, 7/1/29 144A		925,000		894
Sprint Corp. 7.625%, 2/15/25		700,000		712
TEGNA, Inc. 4.625%, 3/15/28		450,000		420
5.000%, 9/15/29		2,325,000		2,130
Telenet Finance Luxembourg Notes SARL 5.500%, 3/1/28 144A		4,400,000		4,114
Terrier Media Buyer, Inc. 8.875%, 12/15/27 144A		3,700,000		2,935
Univision Communications, Inc. 4.500%, 5/1/29 144A		1,400,000		1,249
7.375%, 6/30/30 144A		1,025,000		1,022
8.000%, 8/15/28 144A		925,000		954
UPC Broadband Finco BV 4.875%, 7/15/31 144A		3,450,000		3,036
Urban One, Inc. 7.375%, 2/1/28 144A		2,175,000		1,849
Viavi Solutions, Inc. 3.750%, 10/1/29 144A		350,000		306
Virgin Media Finance PLC 5.000%, 7/15/30 144A		2,700,000		2,380

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Communications continued
Virgin Media Secured Finance PLC 5.500%, 5/15/29 144A		475,000		459
Virgin Media Vendor Financing Notes IV 5.000%, 7/15/28 144A		2,050,000		1,925
VMED O2 UK Financing I PLC 4.250%, 1/31/31 144A		600,000		524
4.750%, 7/15/31 144A		1,475,000		1,317
VZ Secured Financing BV 5.000%, 1/15/32 144A		1,225,000		1,046
Ziggo Bond Co. BV 5.125%, 2/28/30 144A		1,125,000		941
6.000%, 1/15/27 144A		3,050,000		2,968
Ziggo BV 4.875%, 1/15/30 144A		200,000		178
Total				106,956
Consumer, Cyclical (19.0%)
1011778 BC ULC / New Red Finance, Inc. 3.500%, 2/15/29 144A		525,000		484
3.875%, 1/15/28 144A		1,125,000		1,063
4.000%, 10/15/30 144A		5,775,000		5,180
4.375%, 1/15/28 144A		1,175,000		1,122
Academy, Ltd. 6.000%, 11/15/27 144A		1,850,000		1,817
Acushnet Co. 7.375%, 10/15/28 144A		300,000		313
Adient Global Holdings, Ltd. 4.875%, 8/15/26 144A		3,300,000		3,227
7.000%, 4/15/28 144A		350,000		362
8.250%, 4/15/31 144A		350,000		371
Affinity Gaming 6.875%, 12/15/27 144A		2,375,000		2,117
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd. 5.500%, 4/20/26 144A		1,375,000		1,365
5.750%, 4/20/29 144A		200,000		195
American Builders & Contractors Supply Co., Inc. 3.875%, 11/15/29 144A		275,000		245
4.000%, 1/15/28 144A		2,050,000		1,940
Aramark Services, Inc. 5.000%, 2/1/28 144A		225,000		218
Asbury Automotive Group, Inc. 4.625%, 11/15/29 144A		1,850,000		1,712
5.000%, 2/15/32 144A		450,000		409
BCPE Empire Holdings, Inc. 7.625%, 5/1/27 144A		5,000,000		4,821
Beacon Roofing Supply, Inc. 6.500%, 8/1/30 144A		425,000		435
Boyd Gaming Corp. 4.750%, 12/1/27		1,650,000		1,587
4.750%, 6/15/31 144A		575,000		528
Caesars Entertainment, Inc. 4.625%, 10/15/29 144A		825,000		744
5.750%, 7/1/25 144A		1,750,000		1,750
6.250%, 7/1/25 144A		2,175,000		2,181
7.000%, 2/15/30 144A		275,000		282
8.125%, 7/1/27 144A		2,325,000		2,383
Carnival Corp. 7.000%, 8/15/29 144A		375,000		392

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

158

High Yield Bond Portfolio

 

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
CCM Merger, Inc. 6.375%, 5/1/26 144A		425,000		414
Churchill Downs, Inc. 5.500%, 4/1/27 144A		225,000		223
6.750%, 5/1/31 144A		1,575,000		1,599
Clarios Global LP 6.750%, 5/15/25 144A		135,000		136
6.750%, 5/15/28 144A		625,000		638
Clarios Global LP / Clarios US Finance Co. 6.250%, 5/15/26 144A		270,000		270
8.500%, 5/15/27 144A		7,550,000		7,576
Dana Financing Luxembourg SARL 5.750%, 4/15/25 144A		325,000		323
Dana, Inc. 4.500%, 2/15/32		675,000		587
5.375%, 11/15/27		150,000		149
5.625%, 6/15/28		175,000		173
Dornoch Debt Merger Sub, Inc. 6.625%, 10/15/29 144A		3,450,000		3,110
Ford Motor Credit Co. LLC 2.700%, 8/10/26		725,000		671
3.375%, 11/13/25		3,250,000		3,110
4.000%, 11/13/30		1,975,000		1,772
4.063%, 11/1/24		1,700,000		1,670
4.125%, 8/17/27		1,350,000		1,278
4.271%, 1/9/27		1,675,000		1,606
4.389%, 1/8/26		2,725,000		2,650
5.113%, 5/3/29		2,950,000		2,869
5.125%, 6/16/25		2,250,000		2,220
6.800%, 5/12/28		700,000		731
Foundation Building Materials, Inc. 6.000%, 3/1/29 144A		3,375,000		3,035
The Gap, Inc. 3.625%, 10/1/29 144A		1,475,000		1,261
3.875%, 10/1/31 144A		475,000		391
GYP Holdings III Corp. 4.625%, 5/1/29 144A		2,475,000		2,259
H&E Equipment Services, Inc. 3.875%, 12/15/28 144A		2,775,000		2,523
Hilton Domestic Operating Co., Inc. 3.625%, 2/15/32 144A		700,000		611
3.750%, 5/1/29 144A		1,150,000		1,066
4.875%, 1/15/30		500,000		485
5.750%, 5/1/28 144A		800,000		800
IHO Verwaltungs GmbH 4.750%, 9/15/26 144A		2,375,000		2,274
6.000%, 5/15/27 144A		1,650,000		1,608
6.375%, 5/15/29 144A		2,350,000		2,306
Interface, Inc. 5.500%, 12/1/28 144A		1,350,000		1,248
JB Poindexter & Co., Inc. 8.750%, 12/15/31 144A		975,000		994
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.750%, 6/1/27 144A		550,000		542
Kontoor Brands, Inc. 4.125%, 11/15/29 144A		575,000		519
LCM Investments Holdings II LLC 8.250%, 8/1/31 144A		1,500,000		1,566

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
Light and Wonder International, Inc. 7.500%, 9/1/31 144A		725,000		756
Midwest Gaming Borrower LLC 4.875%, 5/1/29 144A		1,275,000		1,186
Mohegan Gaming & Entertainment 8.000%, 2/1/26 144A		3,800,000		3,586
NCL Corp., Ltd. 5.875%, 3/15/26 144A		1,450,000		1,417
7.750%, 2/15/29 144A		250,000		251
8.125%, 1/15/29 144A		575,000		601
NCL Finance, Ltd. 6.125%, 3/15/28 144A		750,000		718
Ontario Gaming GTA LP 8.000%, 8/1/30 144A		2,025,000		2,088
Penn National Gaming, Inc. 4.125%, 7/1/29 144A		1,975,000		1,689
5.625%, 1/15/27 144A		250,000		242
Raptor Acquisition Corp. / Raptor Co-Issuer LLC 4.875%, 11/1/26 144A		575,000		548
Real Hero Merger Sub 2, Inc. 6.250%, 2/1/29 144A		3,375,000		2,910
Ritchie Bros Auctioneers, Inc. 6.750%, 3/15/28 144A		325,000		335
Royal Caribbean Cruises, Ltd. 5.375%, 7/15/27 144A		750,000		742
5.500%, 8/31/26 144A		750,000		743
Scientific Games Holdings LP / Scientific Games US FinCo, Inc. 6.625%, 3/1/30 144A		1,875,000		1,773
Scientific Games International, Inc. 7.250%, 11/15/29 144A		1,250,000		1,280
SeaWorld Parks & Entertainment, Inc. 5.250%, 8/15/29 144A		2,675,000		2,501
Six Flags Entertainment Corp. 5.500%, 4/15/27 144A		475,000		464
7.250%, 5/15/31 144A		1,250,000		1,254
SRS Distribution, Inc. 6.000%, 12/1/29 144A		2,925,000		2,727
6.125%, 7/1/29 144A		3,350,000		3,176
Station Casinos LLC 4.500%, 2/15/28 144A		2,000,000		1,886
4.625%, 12/1/31 144A		1,300,000		1,172
Suburban Propane Partners LP / Suburban Energy Finance Corp. 5.000%, 6/1/31 144A		2,525,000		2,289
5.875%, 3/1/27		900,000		895
White Cap Buyer LLC 6.875%, 10/15/28 144A		1,825,000		1,767
White Cap Parent LLC 8.250%, 3/15/26 144A		1,650,000		1,642
The William Carter Co. 5.625%, 3/15/27 144A		800,000		790
WMG Acquisition Corp. 3.750%, 12/1/29 144A		800,000		728
3.875%, 7/15/30 144A		325,000		294
Yum! Brands, Inc. 4.625%, 1/31/32		1,625,000		1,520
4.750%, 1/15/30 144A		725,000		703
5.375%, 4/1/32		625,000		614

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

159

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Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
ZF North America Capital, Inc. 6.875%, 4/14/28 144A		1,000,000		1,036
7.125%, 4/14/30 144A		550,000		586
Total				141,415
Consumer, Non-cyclical (12.4%)
AHP Health Partners, Inc. 5.750%, 7/15/29 144A		1,025,000		892
Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC 3.250%, 3/15/26 144A		350,000		330
3.500%, 3/15/29 144A		1,650,000		1,498
5.875%, 2/15/28 144A		700,000		700
6.500%, 2/15/28 144A		1,200,000		1,214
7.500%, 3/15/26 144A		625,000		637
Allied Universal Holdco LLC 6.000%, 6/1/29 144A		2,225,000		1,814
6.625%, 7/15/26 144A		1,425,000		1,418
9.750%, 7/15/27 144A		5,050,000		4,948
Avantor Funding, Inc. 3.875%, 11/1/29 144A		1,825,000		1,657
4.625%, 7/15/28 144A		2,350,000		2,271
Bausch Health Cos., Inc. 4.875%, 6/1/28 144A		350,000		211
5.000%, 1/30/28 144A		425,000		193
5.000%, 2/15/29 144A		625,000		269
5.250%, 1/30/30 144A		1,900,000		876
5.250%, 2/15/31 144A		300,000		129
5.750%, 8/15/27 144A		775,000		500
6.125%, 2/1/27 144A		300,000		203
6.250%, 2/15/29 144A		1,450,000		642
7.250%, 5/30/29 144A		1,700,000		775
8.500%, 1/31/27 144A		1,450,000		796
Bellring Brands, Inc. 7.000%, 3/15/30 144A		2,050,000		2,122
Centene Corp. 4.250%, 12/15/27		1,900,000		1,831
4.625%, 12/15/29		2,425,000		2,325
CHS / Community Health Systems, Inc. 5.250%, 5/15/30 144A		1,000,000		836
5.625%, 3/15/27 144A		750,000		697
6.000%, 1/15/29 144A		550,000		495
6.125%, 4/1/30 144A		1,275,000		825
6.875%, 4/15/29 144A		2,825,000		1,823
8.000%, 3/15/26 144A		556,000		554
Edgewell Personal Care Co. 4.125%, 4/1/29 144A		1,000,000		910
5.500%, 6/1/28 144A		875,000		859
Embecta Corp. 5.000%, 2/15/30 144A		525,000		445
6.750%, 2/15/30 144A		1,850,000		1,610
Garda World Security Corp. 4.625%, 2/15/27 144A		875,000		844
6.000%, 6/1/29 144A		2,375,000		2,129
7.750%, 2/15/28 144A		600,000		621
Garden Spinco Corp. 8.625%, 7/20/30 144A		675,000		721
Gartner, Inc. 4.500%, 7/1/28 144A		250,000		237

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Grifols Escrow Issuer SA 4.750%, 10/15/28 144A		3,775,000		3,423
GTCR W-2 Merger Sub LLC 7.500%, 1/15/31 144A		1,600,000		1,691
GW B-CR Security Corp. 9.500%, 11/1/27 144A		4,969,000		5,010
HCA, Inc. 5.375%, 2/1/25		1,250,000		1,248
5.875%, 2/15/26		825,000		832
HealthEquity, Inc. 4.500%, 10/1/29 144A		2,225,000		2,066
IQVIA, Inc. 5.000%, 10/15/26 144A		1,375,000		1,362
5.000%, 5/15/27 144A		750,000		736
6.500%, 5/15/30 144A		200,000		205
Jazz Securities DAC 4.375%, 1/15/29 144A		1,825,000		1,700
LifePoint Health, Inc. 4.375%, 2/15/27 144A		625,000		577
Mozart Debt Merger Sub, Inc. 3.875%, 4/1/29 144A		1,625,000		1,469
5.250%, 10/1/29 144A		7,000,000		6,598
MPH Acquisition Holdings LLC 5.750%, 11/1/28 144A		500,000		406
Organon Finance 1 LLC 4.125%, 4/30/28 144A		425,000		391
5.125%, 4/30/31 144A		1,800,000		1,539
Performance Food Group, Inc. 4.250%, 8/1/29 144A		1,425,000		1,307
5.500%, 10/15/27 144A		725,000		714
Post Holdings, Inc. 5.500%, 12/15/29 144A		900,000		867
5.625%, 1/15/28 144A		975,000		966
5.750%, 3/1/27 144A		1,405,000		1,394
Prestige Brands, Inc. 3.750%, 4/1/31 144A		650,000		568
Teleflex, Inc. 4.250%, 6/1/28 144A		250,000		237
4.625%, 11/15/27		450,000		437
Tenet Healthcare Corp. 4.250%, 6/1/29		225,000		209
4.625%, 6/15/28		125,000		119
4.875%, 1/1/26		1,525,000		1,508
5.125%, 11/1/27		1,800,000		1,760
6.125%, 10/1/28		2,450,000		2,443
6.125%, 6/15/30		775,000		784
6.250%, 2/1/27		1,125,000		1,131
6.750%, 5/15/31 144A		775,000		792
United Rentals North America, Inc. 4.875%, 1/15/28		1,225,000		1,196
5.250%, 1/15/30		425,000		418
5.500%, 5/15/27		400,000		401
6.000%, 12/15/29 144A		375,000		381
US Foods, Inc. 4.625%, 6/1/30 144A		700,000		652
4.750%, 2/15/29 144A		1,500,000		1,425
6.875%, 9/15/28 144A		775,000		798

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

160

High Yield Bond Portfolio

 

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
ZipRecruiter, Inc. 5.000%, 1/15/30 144A		975,000		851
Total				92,468
Diversified (0.2%)
Stena International SA 6.125%, 2/1/25 144A		1,325,000		1,317
Total				1,317
Energy (11.6%)
Antero Midstream Partners LP / Antero Midstream Finance Corp. 5.375%, 6/15/29 144A		1,975,000		1,899
5.750%, 3/1/27 144A		2,375,000		2,357
5.750%, 1/15/28 144A		2,600,000		2,574
7.875%, 5/15/26 144A		1,000,000		1,024
Antero Resources Corp. 5.375%, 3/1/30 144A		925,000		887
7.625%, 2/1/29 144A		244,000		250
Archrock Partners LP 6.250%, 4/1/28 144A		1,975,000		1,945
6.875%, 4/1/27 144A		3,275,000		3,283
Ascent Resources Utica Holdings LLC / ARU Finance Corp. 5.875%, 6/30/29 144A		600,000		558
7.000%, 11/1/26 144A		1,375,000		1,384
8.250%, 12/31/28 144A		575,000		578
9.000%, 11/1/27 144A		400,000		504
Berry Petroleum Co. LLC 7.000%, 2/15/26 144A		875,000		847
Callon Petroleum Co. 6.375%, 7/1/26		900,000		896
7.500%, 6/15/30 144A		450,000		454
Centennial Resource Production LLC 5.375%, 1/15/26 144A		825,000		814
6.875%, 4/1/27 144A		1,725,000		1,724
Cheniere Energy Partners LP 4.000%, 3/1/31		1,250,000		1,136
4.500%, 10/1/29		1,150,000		1,100
Cheniere Energy, Inc. 4.625%, 10/15/28		975,000		952
Chesapeake Energy Corp. 5.875%, 2/1/29 144A		225,000		220
Chesapeake Energy Corp. Escrow 7.000%, 10/1/24 *		1,000,000		19
Civitas Resources, Inc. 8.375%, 7/1/28 144A		1,375,000		1,435
8.625%, 11/1/30 144A		575,000		610
8.750%, 7/1/31 144A		300,000		319
CNX Midstream Partners LP 4.750%, 4/15/30 144A		2,250,000		2,020
Comstock Resources, Inc. 5.875%, 1/15/30 144A		475,000		412
6.750%, 3/1/29 144A		2,400,000		2,195
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. 7.375%, 2/1/31 144A		750,000		788
8.000%, 4/1/29 144A		1,825,000		1,899
CrownRock LP / CrownRock Finance, Inc. 5.625%, 10/15/25 144A		3,025,000		3,021

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Energy continued
DT Midstream, Inc. 4.375%, 6/15/31 144A		1,450,000		1,308
Endeavor Energy Resources LP / EER Finance, Inc. 5.750%, 1/30/28 144A		850,000		851
Enviva Partners LP / Enviva Partners Finance Corp. 6.500%, 1/15/26 144A		2,235,000		1,101
EQM Midstream Partners LP 4.500%, 1/15/29 144A		1,050,000		992
4.750%, 1/15/31 144A		1,325,000		1,233
5.500%, 7/15/28		1,925,000		1,907
6.000%, 7/1/25 144A		331,000		331
6.500%, 7/1/27 144A		1,825,000		1,858
6.500%, 7/15/48		375,000		384
7.500%, 6/1/27 144A		975,000		1,005
7.500%, 6/1/30 144A		175,000		188
Hess Midstream Operations LP 4.250%, 2/15/30 144A		625,000		575
5.500%, 10/15/30 144A		475,000		460
Hess Midstream Partners LP 5.125%, 6/15/28 144A		1,300,000		1,254
HF Sinclair Corp. 5.000%, 2/1/28 144A		1,725,000		1,673
6.375%, 4/15/27 144A		425,000		428
Nabors Industries, Ltd. 7.250%, 1/15/26 144A		1,200,000		1,153
7.375%, 5/15/27 144A		225,000		220
7.500%, 1/15/28 144A		800,000		692
9.125%, 1/31/30 144A		100,000		100
Oasis Petroleum, Inc. 6.375%, 6/1/26 144A		525,000		525
Occidental Petroleum Corp. 5.875%, 9/1/25		1,000,000		1,006
6.375%, 9/1/28		125,000		131
8.875%, 7/15/30		1,100,000		1,287
PDC Energy, Inc. 5.750%, 5/15/26		1,175,000		1,173
Precision Drilling Corp. 6.875%, 1/15/29 144A		375,000		362
7.125%, 1/15/26 144A		1,507,000		1,500
Range Resources Corp. 4.750%, 2/15/30 144A		475,000		439
4.875%, 5/15/25		350,000		346
8.250%, 1/15/29		875,000		906
Rockcliff Energy II LLC 5.500%, 10/15/29 144A		1,025,000		969
Sitio Royalties Operating Partnership LP / Sitio Finance Corp. 7.875%, 11/1/28 144A		600,000		622
SM Energy Co. 5.625%, 6/1/25		1,000,000		988
6.500%, 7/15/28		200,000		200
6.625%, 1/15/27		250,000		249
6.750%, 9/15/26		1,100,000		1,097
Southwestern Energy Co. 4.750%, 2/1/32		725,000		671
5.375%, 3/15/30		300,000		293
8.375%, 9/15/28		1,100,000		1,138

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

161

High Yield Bond Portfolio

 

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Energy continued
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.000%, 1/15/28		1,675,000		1,654
5.500%, 3/1/30		2,250,000		2,250
6.500%, 7/15/27		300,000		304
TerraForm Power Operating LLC 4.750%, 1/15/30 144A		1,725,000		1,604
5.000%, 1/31/28 144A		1,775,000		1,724
TransMontaigne Partners LP / TLP Finance Corp. 6.125%, 2/15/26		1,175,000		1,060
USA Compression Finance Corp. 6.875%, 4/1/26		3,550,000		3,535
USA Compression Partners LP / USA Compression Finance Corp. 6.875%, 9/1/27		1,475,000		1,458
Western Midstream Operating LP 4.050%, 2/1/30		325,000		304
4.500%, 3/1/28		1,100,000		1,064
4.650%, 7/1/26		175,000		172
5.300%, 3/1/48		1,775,000		1,545
Total				86,393
Financial (9.8%)
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7.000%, 1/15/31 144A		575,000		607
Ally Financial, Inc. 5.750%, 11/20/25		1,475,000		1,466
AmWINS Group, Inc. 4.875%, 6/30/29 144A		2,575,000		2,352
Ardonagh Midco 2 PLC 11.500%, 1/15/27 144A		3,483,937		3,430
AssuredPartners, Inc. 5.625%, 1/15/29 144A		1,500,000		1,400
7.000%, 8/15/25 144A		3,375,000		3,381
BroadStreet Partners, Inc. 5.875%, 4/15/29 144A		6,075,000		5,671
GTCR AP Finance, Inc. 8.000%, 5/15/27 144A		1,925,000		1,944
HUB International, Ltd. 5.625%, 12/1/29 144A		3,075,000		2,933
7.000%, 5/1/26 144A		9,300,000		9,336
7.250%, 6/15/30 144A		1,100,000		1,162
Iron Mountain, Inc. 7.000%, 2/15/29 144A		3,125,000		3,212
Jones Deslauriers Insurance Management, Inc. 8.500%, 3/15/30 144A		1,800,000		1,890
10.500%, 12/15/30 144A		1,750,000		1,844
Navient Corp. 5.000%, 3/15/27		675,000		652
5.500%, 3/15/29		1,650,000		1,522
6.750%, 6/25/25		1,300,000		1,315
6.750%, 6/15/26		1,250,000		1,271
NFP Corp. 6.875%, 8/15/28 144A		7,125,000		7,243
7.500%, 10/1/30 144A		1,300,000		1,384
RHP Hotel Properties LP / RHP Finance Corp. 7.250%, 7/15/28 144A		600,000		624

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Financial continued
Rocket Mortgage LLC / Rocket Mortgage Co- Issuer, Inc. 2.875%, 10/15/26 144A		1,800,000		1,660
3.625%, 3/1/29 144A		1,475,000		1,335
3.875%, 3/1/31 144A		1,525,000		1,341
4.000%, 10/15/33 144A		1,200,000		1,019
Ryan Specialty Group LLC 4.375%, 2/1/30 144A		800,000		742
United Shore Financial Services LLC 5.500%, 11/15/25 144A		3,450,000		3,428
United Wholesale Mortgage LLC 5.500%, 4/15/29 144A		1,725,000		1,633
5.750%, 6/15/27 144A		1,250,000		1,225
USI, Inc. 7.500%, 1/15/32 144A		2,725,000		2,790
VICI Properties LP / VICI Note Co., Inc. 3.500%, 2/15/25 144A		125,000		122
3.875%, 2/15/29 144A		200,000		184
4.250%, 12/1/26 144A		1,125,000		1,083
4.500%, 9/1/26 144A		450,000		436
4.625%, 6/15/25 144A		400,000		393
4.625%, 12/1/29 144A		600,000		565
5.625%, 5/1/24 144A		475,000		473
5.750%, 2/1/27 144A		225,000		226
Total				73,294
Industrial (12.8%)
ARD Finance SA 6.500%, 6/30/27 144A		3,357,214		1,568
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. 4.000%, 9/1/29 144A		2,250,000		1,905
5.250%, 8/15/27 144A		6,825,000		5,302
Ball Corp. 2.875%, 8/15/30		1,575,000		1,351
3.125%, 9/15/31		300,000		259
6.000%, 6/15/29		750,000		766
6.875%, 3/15/28		675,000		701
Berry Global Escrow Corp. 4.875%, 7/15/26 144A		1,125,000		1,106
5.625%, 7/15/27 144A		1,150,000		1,141
Camelot Return Merger Sub, Inc. 8.750%, 8/1/28 144A		1,575,000		1,599
Clearwater Paper Corp. 4.750%, 8/15/28 144A		150,000		139
Clydesdale Acquisition Holdings, Inc. 8.750%, 4/15/30 144A		7,350,000		6,853
Cornerstone Building Brands, Inc. 6.125%, 1/15/29 144A		900,000		738
CP Atlas Buyer, Inc. 7.000%, 12/1/28 144A		3,500,000		3,047
Crown Americas LLC 5.250%, 4/1/30		400,000		394
Crown Americas LLC / Crown Americas Capital Corp. VI 4.750%, 2/1/26		1,175,000		1,164
Emerald Debt Merger Sub LLC 6.625%, 12/15/30 144A		3,375,000		3,447
Energizer Holdings, Inc. 4.375%, 3/31/29 144A		2,525,000		2,260

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

162

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Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Industrial continued
4.750%, 6/15/28 144A		1,400,000		1,294
6.500%, 12/31/27 144A		1,650,000		1,650
Gates Global LLC / Gates Global Co. 6.250%, 1/15/26 144A		5,050,000		5,025
Graphic Packaging International LLC 3.500%, 3/15/28 144A		425,000		394
3.500%, 3/1/29 144A		450,000		405
3.750%, 2/1/30 144A		175,000		158
4.750%, 7/15/27 144A		500,000		485
II-VI, Inc. 5.000%, 12/15/29 144A		2,425,000		2,303
Madison IAQ LLC 4.125%, 6/30/28 144A		250,000		227
5.875%, 6/30/29 144A		4,800,000		4,229
Mauser Packaging Solutions Holding Co. 7.875%, 8/15/26 144A		1,425,000		1,450
9.250%, 4/15/27 144A		1,500,000		1,472
MIWD Holdco II LLC / MIWD Finance Corp. 5.500%, 2/1/30 144A		875,000		774
OI European Group BV 4.750%, 2/15/30 144A		450,000		421
Owens-Brockway Glass Container, Inc. 6.375%, 8/15/25 144A		1,125,000		1,128
6.625%, 5/13/27 144A		1,425,000		1,425
7.250%, 5/15/31 144A		1,475,000		1,495
Redwood Star Merger Sub, Inc. 8.750%, 4/1/30 144A		2,325,000		2,325
Sealed Air Corp. 5.000%, 4/15/29 144A		550,000		532
6.125%, 2/1/28 144A		550,000		555
7.250%, 2/15/31 144A		575,000		610
Sensata Technologies BV 5.875%, 9/1/30 144A		1,700,000		1,689
Sensata Technologies, Inc. 3.750%, 2/15/31 144A		225,000		198
Standard Industries, Inc. 3.375%, 1/15/31 144A		725,000		624
4.375%, 7/15/30 144A		1,200,000		1,102
4.750%, 1/15/28 144A		1,325,000		1,276
5.000%, 2/15/27 144A		3,000,000		2,925
TK Elevator Holdco GmbH 7.625%, 7/15/28 144A		800,000		786
TK Elevator US Newco, Inc. 5.250%, 7/15/27 144A		1,800,000		1,768
TransDigm, Inc. 4.625%, 1/15/29		1,950,000		1,831
4.875%, 5/1/29		275,000		257
5.500%, 11/15/27		1,250,000		1,225
6.250%, 3/15/26 144A		3,025,000		3,020
6.750%, 8/15/28 144A		1,000,000		1,023
6.875%, 12/15/30 144A		3,850,000		3,965
7.500%, 3/15/27		675,000		678
Trivium Packaging Finance BV 5.500%, 8/15/26 144A		525,000		515
8.500%, 8/15/27 144A		4,775,000		4,682
TTM Technologies, Inc. 4.000%, 3/1/29 144A		1,675,000		1,522
Watco Cos. LLC / Watco Finance Corp. 6.500%, 6/15/27 144A		2,150,000		2,150

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Industrial continued
WESCO Distribution, Inc. 7.125%, 6/15/25 144A		975,000		982
7.250%, 6/15/28 144A		1,075,000		1,105
Total				95,420
Technology (9.1%)
ams-OSRAM AG 12.250%, 3/30/29 144A		925,000		1,029
Black Knight InfoServ LLC 3.625%, 9/1/28 144A		850,000		804
Boxer Parent Co., Inc. 9.125%, 3/1/26 144A		2,100,000		2,095
Capstone Borrower, Inc. 8.000%, 6/15/30 144A		1,825,000		1,899
Central Parent LLC / CDK Global II LLC / CDK Financing Co., Inc. 8.000%, 6/15/29 144A		775,000		809
Central Parent, Inc. / Central Merger Sub, Inc. 7.250%, 6/15/29 144A		3,050,000		3,111
Clarivate Science Holdings Corp. 3.875%, 7/1/28 144A		350,000		330
4.875%, 7/1/29 144A		3,100,000		2,909
Cloud Software Group, Inc. 9.000%, 9/30/29 144A		2,200,000		2,091
Condor Merger Sub, Inc. 7.375%, 2/15/30 144A		6,600,000		6,028
Consensus Cloud Solutions, Inc. 6.000%, 10/15/26 144A		1,550,000		1,474
6.500%, 10/15/28 144A		2,225,000		2,018
The Dun & Bradstreet Corp. 5.000%, 12/15/29 144A		2,375,000		2,215
Elastic NV 4.125%, 7/15/29 144A		2,500,000		2,296
Entegris Escrow Corp. 4.750%, 4/15/29 144A		850,000		819
5.950%, 6/15/30 144A		2,300,000		2,286
Entegris, Inc. 3.625%, 5/1/29 144A		725,000		655
Fair Isaac Corp. 4.000%, 6/15/28 144A		625,000		592
Helios Software Holdings, Inc. 4.625%, 5/1/28 144A		2,300,000		2,098
Minerva Merger Sub, Inc. 6.500%, 2/15/30 144A		6,875,000		6,237
NCR Atleos Escrow Corp. 9.500%, 4/1/29 144A		1,500,000		1,594
NCR Corp. 5.000%, 10/1/28 144A		1,375,000		1,300
5.125%, 4/15/29 144A		1,475,000		1,402
5.250%, 10/1/30 144A		1,425,000		1,309
Open Text Corp. 3.875%, 2/15/28 144A		1,675,000		1,556
3.875%, 12/1/29 144A		125,000		112
4.125%, 2/15/30 144A		1,250,000		1,131
4.125%, 12/1/31 144A		300,000		265
6.900%, 12/1/27 144A		450,000		468
Picard Midco, Inc. 6.500%, 3/31/29 144A		3,125,000		2,976
Rackspace Technology Global, Inc. 3.500%, 2/15/28 144A		1,825,000		733

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

163

High Yield Bond Portfolio

 

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Technology continued
Roblox Corp. 3.875%, 5/1/30 144A		1,650,000		1,471
Rocket Software, Inc. 6.500%, 2/15/29 144A		3,675,000		3,197
Science Applications International Corp. 4.875%, 4/1/28 144A		500,000		476
Seagate HDD Cayman 8.250%, 12/15/29 144A		75,000		81
8.500%, 7/15/31 144A		700,000		760
9.625%, 12/1/32		2,477,125		2,833
SS&C Technologies, Inc. 5.500%, 9/30/27 144A		3,850,000		3,795
Synaptics, Inc. 4.000%, 6/15/29 144A		725,000		650
Total				67,904
Utilities (2.3%)
AmeriGas Partners LP / AmeriGas Finance Corp. 5.500%, 5/20/25		300,000		296
5.750%, 5/20/27		550,000		535
5.875%, 8/20/26		2,525,000		2,500
Calpine Corp. 3.750%, 3/1/31 144A		1,250,000		1,096
4.500%, 2/15/28 144A		1,575,000		1,498
4.625%, 2/1/29 144A		350,000		325
5.000%, 2/1/31 144A		200,000		183
5.125%, 3/15/28 144A		1,075,000		1,031
5.250%, 6/1/26 144A		299,000		295
NextEra Energy Operating Partners LP 7.250%, 1/15/29 144A		975,000		1,021
NRG Energy, Inc. 3.875%, 2/15/32 144A		207,000		177
5.250%, 6/15/29 144A		775,000		751
5.750%, 1/15/28		400,000		399
6.625%, 1/15/27		625,000		626
Solaris Midstream Holdings LLC 7.625%, 4/1/26 144A		775,000		785
TransAlta Corp. 7.750%, 11/15/29		350,000		372
Vistra Operations Co. LLC 5.000%, 7/31/27 144A		1,100,000		1,071

Corporate Bonds (94.5%)	Shares/ Par +		Value $ (000’s)
Utilities continued
5.500%, 9/1/26 144A		1,400,000		1,382
5.625%, 2/15/27 144A		1,925,000		1,899
7.750%, 10/15/31 144A		750,000		779
Total				17,021
Total Corporate Bonds (Cost: $753,956)				703,480
Total Investments (94.8%) (Cost: $754,983)@				705,763
Other Assets, Less Liabilities (5.2%)				38,581
Net Assets (100.0%)				744,344

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

* Non income producing

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023 the value of these securities (in thousands) was $597,727 representing 80.3% of the net assets.

f Defaulted Security

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $754,537 and the net unrealized depreciation of investments based on that cost was $48,774 which is comprised of $7,963 aggregate gross unrealized appreciation and $56,737 aggregate gross unrealized depreciation.

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

164

High Yield Bond Portfolio

 

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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
Communication Services	$	60	$	—	$	—
Energy		—		2,223		—
Corporate Bonds		—		703,480		—
Total Assets:	$	60	$	705,703	$	—

For the period ended December 31, 2023, there was a transfer from Level 3 to Level 2 in the amount of $2,223 (in thousands). This transfer was the result of an increase in the quantity of observable inputs for the security that was previously not priced by a third party vendor.

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

165

Multi-Sector Bond Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Maximum total return, consistent with prudent investment management.	Invest in a diversified portfolio of fixed income instruments of varying maturities and quality, and in derivatives designed to replicate such securities.	$1.2 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Multi-Sector Bond Portfolio (the “Portfolio”), has engaged Pacific Investment Management Company LLC (“PIMCO”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of fixed income instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts or swap agreements. The average portfolio duration (a measure of the sensitivity of the Portfolio’s fixed income portfolio securities to changes in interest rates) of the Portfolio normally varies from three to eight years, based on the Portfolio’s forecast for interest rates. The Portfolio may invest all of its assets in high yield securities subject to a maximum of 10% of its total assets in securities rated below B by Moody’s or equivalently rated by S&P or Fitch or, if unrated, determined to be of comparable quality (so called “junk bonds”). The Portfolio may invest, without limitation, in securities denominated in foreign currencies and U.S. dollar denominated securities of foreign issuers. In addition, the Portfolio may invest without limit in fixed income securities of issuers that are economically tied to emerging securities markets.

MARKET OVERVIEW

Despite the collapse of Silicon Valley Bank and financial sector concerns, risk assets rose in early 2023. Bond yields fell, the yield curve inverted further, and market volatility increased due to instability in Credit Suisse Group and its takeover by UBS Group. Fears of financial contagion led to a drop in global stock indices and a rally in bond yields.

In the second quarter of 2023, risk assets improved despite banking sector stress and potential U.S. debt default fears. Bond yields rose due to resilient growth and persistent inflation, and central banks resumed hawkish guidance. Despite U.S. debt default concerns, market optimism continued due to positive debt ceiling negotiations, leading the S&P 500^® Index to a 9-month high. The U.S. Federal Reserve (the “Fed”) signaled two additional rate hikes due to resilient growth and swift banking sector stress resolution.

The third quarter saw a decline in risk sentiment due to economic data surprises and fears of prolonged high rates. Bond yields rose due to resilient growth and sticky inflation, and central banks maintained hawkish guidance. 10-year U.S. Treasury real yields increased to an approximately 15-year high, while U.S. core inflation cooled.

Signs of slowing inflation and a cooling labor market in the fourth quarter led to an accelerated path of rate cuts for 2024, prompting a global bond market rally. Risk sentiment rebounded, with the MSCI World^® Index rising sizably, while the U.S. dollar weakened. In December 2023, the Fed paused rate hikes for the third consecutive time, while signally the potential for 75 bps of cuts in 2024. Global developed central banks maintained hawkish stances, with both the European Central Bank and the Bank of England signaling that rates would remain restrictive for longer. The Bank of Japan maintained its negative interest rate policy and left its dovish guidance unchanged.

PORTFOLIO RESULTS

The Portfolio returned 9.71% for the twelve months ended December 31, 2023. By comparison, the Portfolio’s benchmark, the Bloomberg^® Global Credit Hedged USD Index returned 9.36%. The Portfolio’s custom benchmark, comprised of 1/3 each: Bloomberg^® Global Aggregate - Credit Component ex Emerging Markets, Hedged USD; ICE BofA^® Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; J.P. Morgan^® EMBI Global, returned 10.84%. (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.)

The largest contributor to the Portfolio’s relative performance was an overweight exposure to high yield credit, particularly via credit default indices. Positioning within investment grade and high yield financials also contributed. Within duration strategies, positioning within U.S. and Canadian interest rates supported the Portfolio’s relative return.

The primary detractor from the Portfolio’s relative performance was positioning within emerging markets debt, particularly exposure to Chinese property developers, which continued to face headwinds. Additionally, exposure to investment grade and high yield Industrials detracted.

166

Multi-Sector Bond Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

After major economies showed surprising resilience in 2023, we anticipate a downshift toward stagnation or mild contraction in 2024. The standout strength of the U.S. is likely to fade over our six- to twelve-month cyclical horizon, and countries with more rate-sensitive markets will likely slow more markedly. With inflation easing, developed market central banks have likely reached the end of their hiking cycles. This has shifted attention toward the timing and pace of eventual rate cuts. We believe the Fed and other central banks have scope to cut rates aggressively if growth slows. However, there are also scenarios in which the recent market-based easing of financial conditions has done much of the work for central banks. That easing, alongside continued consumer and corporate sector strength could potentially prompt inflation to rise again.

We expect fiscal concerns will continue, both in the U.S. and globally. We see potential for further bouts of long-end curve weakness amid anxiety about elevated supply, stemming from the increased bond issuance needed to fund large fiscal deficits. We therefore expect to have a curve-steepening bias in our portfolios, with overweight positions in the 5- to 10-year part of the curve globally and underweights in the 30-year area. At current valuations, we continue to find bonds attractive relative to equities, while fixed income offers correlation and diversification benefits in portfolios. Furthermore, bond returns tend to be less dependent on a positive economic outcome.

Relative Performance  

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Multi-Sector Bond Portfolio	9.71%	2.34%	3.02%
Bloomberg® Global Credit Hedged USD Index	9.36%	2.51%	3.11%
1/3 each: Bloomberg® Global Aggregate — Credit Component ex Emerging Markets, Hedged USD; ICE BofA® Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; JP Morgan® EMBI Global	10.84%	3.19%	3.60%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Uniform Mortgage Backed Security TBA, Various	7.5%
US Treasury, Various	6.0%
Federal Home Loan Mortgage Corp., Various	3.4%
Petroleos Mexicanos, Various	1.6%
Republic of Indonesia, Various	1.2%
Deutsche Bank AG, Various	0.9%
Colombia Government International Bond, Various	0.8%
Oman Government International Bond, Various	0.7%
Ford Motor Credit Co. LLC, Various	0.7%
Saudi International Bond, 4.5%, 10/26/46	0.7%

167

Multi-Sector Bond Portfolio (unaudited)

Sector Allocation 12/31/23

	Sector	% of Net Assets
	Corporate Bonds	42.7%
	Structured Products	22.6%
	Governments	17.7%
	Short-Term Investments & Other Net Assets	13.7%
	Bank Loan Obligations	2.4%
	Municipal Bonds	0.6%
	Convertible Corporate Bonds	0.1%
	Financials	0.1%
	Real Estate	0.1%
	Health Care	0.0%
	Telecommunications	0.0%
	Energy	0.0%

Sector Allocation and Top 10 Holdings are subject to change.

168

Multi-Sector Bond Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Common Stocks (0.2%)	Shares/ Par +		Value $ (000’s)
Energy (0.0%)
Constellation Oil - Class B *,Æ,d		112,235	12
Total			12
Financials (0.1%)
DrillCo Holding Lux SA - Class B *,Æ,d		2,686	67
DrillCo Holding Lux SA - Class C *,Æ,d		24,180	600
Total			667
Health Care (0.0%)
AmSurg Corp. *,Æ,d		9,484	486
Total			486
Real Estate (0.1%)
ADLER Group SA *,Æ		19,539	11
ADLER Group SA *		43,265	25
Corestate Capital Holding SA *,Æ,d		421,967	–π
Sunac Services Holdings, Ltd.		2,015,508	483
Total			519
Telecommunications (0.0%)
Intelsat Emergence SA *,Æ		9,447	269
Total			269
Total Common Stocks (Cost: $5,239)			1,953
Corporate Bonds (42.7%)
Basic Materials (0.8%)
ALROSA Finance SA 3.100%, 6/25/27 144A j,Æ		8,500,000	425
4.650%, 4/9/24 144A j,Æ		500,000	25
Georgia-Pacific LLC 8.875%, 5/15/31		200,000	249
INEOS Styrolution Group GmbH 2.250%, 1/16/27 EUR §,∞		3,400,000	3,450
MMK International Capital DAC 4.375%, 6/13/24 144A j,Æ		1,400,000	70
Sasol Financing USA LLC 6.500%, 9/27/28		2,000,000	1,905
Syngenta Finance NV 4.892%, 4/24/25 144A		3,209,000	3,165
Total			9,289
Communications (4.7%)
Altice Financing SA 3.000%, 1/15/28 EUR §,∞		200,000	196
5.750%, 8/15/29 144A		3,600,000	3,195
Altice France Holding SA 6.000%, 2/15/28 144A		1,700,000	816
8.000%, 5/15/27 EUR §,∞		1,000,000	626
Altice France SA 4.000%, 7/15/29 EUR §,∞		3,250,000	2,785
4.250%, 10/15/29 EUR §,∞		400,000	350
5.500%, 10/15/29 144A		800,000	627

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Communications continued
8.125%, 2/1/27 144A		3,200,000		2,950
AT&T, Inc. 3.500%, 9/15/53		237,000		172
3.650%, 9/15/59		6,663,000		4,775
3.800%, 12/1/57		115,000		85
CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%, 2/1/31 144A		2,500,000		2,185
4.500%, 6/1/33 144A		800,000		677
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 3.700%, 4/1/51		300,000		195
4.200%, 3/15/28		1,700,000		1,633
5.125%, 7/1/49		3,300,000		2,680
5.375%, 4/1/38		100,000		90
CommScope, Inc. 4.750%, 9/1/29 144A		1,100,000		739
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A		1,800,000		1,789
Deutsche Telekom International Finance 8.750%, 6/15/30		475,000		572
DISH DBS Corp. 5.750%, 12/1/28 144A		1,200,000		957
Intelsat Jackson Holdings SA 6.500%, 3/15/30 144A		703,000		670
Lumen Technologies, Inc. 4.000%, 2/15/27 144A		100,000		65
Prosus NV 3.257%, 1/19/27 144A		500,000		462
Sirius XM Radio, Inc. 3.125%, 9/1/26 144A		1,100,000		1,034
Sprint Corp. 7.125%, 6/15/24		100,000		100
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A		1,105,000		1,100
Telecom Italia SpA 7.875%, 7/31/28 EUR §,∞		1,400,000		1,714
Time Warner Cable LLC 5.875%, 11/15/40		300,000		272
6.750%, 6/15/39		200,000		198
T-Mobile USA, Inc. 5.050%, 7/15/33		750,000		756
5.650%, 1/15/53		1,000,000		1,041
United Group BV 5.250%, 2/1/30 EUR §,∞		1,000,000		1,043
UPC Broadband Finco BV 4.875%, 7/15/31 144A		4,800,000		4,225
Verizon Communications, Inc. 2.355%, 3/15/32		3,500,000		2,911
Virgin Media Secured Finance PLC 4.125%, 8/15/30 GBP §,∞		1,200,000		1,310
4.250%, 1/15/30 GBP §,∞		3,200,000		3,555
VMED O2 UK Financing I PLC 3.250%, 1/31/31 EUR §,∞		1,200,000		1,215

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

169

Multi-Sector Bond Portfolio

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Communications continued
4.000%, 1/31/29 GBP §,∞		3,100,000		3,492
4.500%, 7/15/31 GBP §,∞		400,000		440
4.750%, 7/15/31 144A		1,100,000		982
Vodafone Group PLC 7.000%, (USD 5 Year Swap Rate plus
4.873%), 4/4/79 α		1,700,000		1,753
Total				56,432
Consumer, Cyclical (6.4%)
Adient Global Holdings, Ltd. 3.500%, 8/15/24 EUR §,∞		59,781		65
Air Canada Pass-Through Trust, Series 2020-2, Class A 5.250%, 10/1/30 144A		622,890		610
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A 4.800%, 2/15/29 144A		152,967		149
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700%, 4/1/28		158,444		147
American Airlines Pass-Through Trust, Series 2015-1, Class A 3.375%, 11/1/28		287,631		263
American Airlines Pass-Through Trust, Series 2016-1, Class AA 3.575%, 7/15/29		733,581		684
American Airlines Pass-Through Trust, Series 2017-2, Class AA 3.350%, 4/15/31		140,466		127
British Airways Pass-Through Trust, Series 2020-1, Class A 2.900%, 9/15/36 144A		369,943		316
4.250%, 5/15/34 144A		100,043		93
Caesars Entertainment, Inc. 5.750%, 7/1/25 144A		7,300,000		7,299
Carnival Corp. 4.000%, 8/1/28 144A		2,300,000		2,138
Ford Motor Co. 5.291%, 12/8/46		50,000		44
Ford Motor Credit Co. LLC 1.744%, 7/19/24 EUR ∞		200,000		218
2.330%, 11/25/25 EUR ∞		100,000		107
2.386%, 2/17/26 EUR ∞		100,000		107
2.748%, 6/14/24 GBP ∞		700,000		879
3.021%, 3/6/24 EUR ∞		900,000		990
3.250%, 9/15/25 EUR ∞		300,000		327
3.625%, 6/17/31		2,900,000		2,500
3.815%, 11/2/27		300,000		280
4.134%, 8/4/25		200,000		194
4.389%, 1/8/26		800,000		778
4.535%, 3/6/25 GBP ∞		100,000		126
4.675%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR ∞		1,300,000		1,436
5.584%, 3/18/24		250,000		250
7.200%, 6/10/30		25,000		27
7.350%, 11/4/27		50,000		53
7.350%, 3/6/30		25,000		27
General Motors Financial Co., Inc. 5.100%, 1/17/24		1,200,000		1,200

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
IHO Verwaltungs GmbH 3.750%, 9/15/26 EUR §,∞		3,250,000		3,533
Jaguar Land Rover Automotive PLC 4.500%, 7/15/28 EUR §,∞		200,000		215
JetBlue Airways Corp. 4.000%, 5/15/34		723,320		662
John Lewis PLC 4.250%, 12/18/34 GBP §,∞		1,000,000		916
Las Vegas Sands Corp. 3.900%, 8/8/29		100,000		92
Marks & Spencer PLC 4.500%, 7/10/27 GBP §,∞		300,000		369
6.000%, 6/12/25 GBP §,∞		1,000,000		1,280
Mattel, Inc. 3.375%, 4/1/26 144A		100,000		95
Melco Resorts Finance, Ltd. 4.875%, 6/6/25 144A		5,700,000		5,529
5.375%, 12/4/29 144A		700,000		616
Mitchells & Butlers Finance PLC 5.134%, (SONIO plus 0.569%), 12/15/30 GBP §,∞		784,630		911
6.040%, (US SOFR plus 0.712%), 12/15/30 §		142,660		131
6.469%, 9/15/32 GBP §,∞		200,000		231
NCL Corp., Ltd. 8.125%, 1/15/29 144A		1,200,000		1,254
Nissan Motor Acceptance Corp. 2.000%, 3/9/26 144A		400,000		368
Nissan Motor Co., Ltd. 3.201%, 9/17/28 EUR §,∞		500,000		530
4.345%, 9/17/27 144A		3,500,000		3,348
Pinnacle Bidco PLC 1.000%, 10/11/28 144A GBP ∞		1,500,000		1,983
Renault SA 2.375%, 5/25/26 EUR §,∞		3,900,000		4,163
Ritchie Bros Auctioneers, Inc. 7.750%, 3/15/31 144A		1,500,000		1,599
Royal Caribbean Cruises, Ltd. 7.250%, 1/15/30 144A		1,000,000		1,044
Sands China, Ltd. 2.800%, 3/8/27		400,000		364
3.750%, 8/8/31		1,100,000		921
4.300%, 1/8/26		1,700,000		1,632
5.650%, 8/8/28		3,200,000		3,173
Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd. 8.000%, 9/20/25 144A		775,000		557
United Airlines Pass-Through Trust, Series 2014-1, Class A 4.000%, 10/11/27		535,056		511
United Airlines Pass-Through Trust, Series 2019-2, Class A 2.900%, 11/1/29		82,768		72
United Airlines Pass-Through Trust, Series 2020-1, Class A 5.875%, 4/15/29		1,876,252		1,900
United Airlines, Inc. 5.800%, 7/15/37		3,700,000		3,752

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

170

Multi-Sector Bond Portfolio

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
US Airways Pass-Through Trust, Series 2012- 1, Class A 5.900%, 4/1/26		509,794		510
Viking Cruises, Ltd. 9.125%, 7/15/31 144A		425,000		453
Walgreens Boots Alliance, Inc. 3.600%, 11/20/25 GBP ∞		900,000		1,093
Wynn Macau, Ltd. 5.500%, 1/15/26 144A		200,000		195
5.500%, 1/15/26 §		500,000		488
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125%, 10/1/29 144A		800,000		755
7.125%, 2/15/31 144A		1,000,000		1,041
ZF Europe Finance BV 2.000%, 2/23/26 EUR §,∞		2,000,000		2,103
ZF Finance GmbH 2.750%, 5/25/27 EUR §,∞		4,300,000		4,510
3.750%, 9/21/28 EUR §,∞		2,000,000		2,127
Total				76,460
Consumer, Non-cyclical (4.8%)
Abertis Infraestructuras SA 1.625%, 7/15/29 EUR §,∞		500,000		501
1.875%, 3/26/32 EUR §,∞		600,000		574
3.000%, 3/27/31 EUR §,∞		600,000		631
3.375%, 11/27/26 GBP §,∞		2,100,000		2,553
Albion Financing 1 SARL / Aggreko Holdings, Inc. 5.250%, 10/15/26 EUR §,∞		1,600,000		1,762
6.125%, 10/15/26 144A		300,000		297
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 SARL 3.625%, 6/1/28 EUR §,∞		1,400,000		1,354
Amgen, Inc. 5.650%, 3/2/53		1,000,000		1,052
Bacardi, Ltd. 4.700%, 5/15/28 144A		2,900,000		2,841
BAT Capital Corp. 3.222%, 8/15/24		58,000		57
3.557%, 8/15/27		132,000		126
Bausch & Lomb Escrow Corp. 8.375%, 10/1/28 144A		700,000		738
Bellis Acquisition Co. PLC 3.250%, 2/16/26 GBP §,∞		3,400,000		4,013
Boels Topholding BV 6.250%, 2/15/29 144A EUR ∞		1,200,000		1,381
Centene Corp. 4.250%, 12/15/27		200,000		193
4.625%, 12/15/29		500,000		479
Cheplapharm Arzneimittel GmbH 7.500%, 5/15/30 144A EUR ∞		1,000,000		1,174
CHS / Community Health Systems, Inc. 6.000%, 1/15/29 144A		700,000		630
8.000%, 3/15/26 144A		346,000		345
Constellation Brands, Inc. 3.700%, 12/6/26		200,000		195
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC 6.625%, 7/15/30 144A		2,300,000		2,363

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
CVS Pass-Through Trust 4.704%, 1/10/36 144A		336,127		312
5.926%, 1/10/34 144A		555,099		562
7.507%, 1/10/32 144A		54,531		57
Elevance Health, Inc. 4.750%, 2/15/33		900,000		900
Fortrea Holdings, Inc. 7.500%, 7/1/30 144A		900,000		924
GTCR W-2 Merger Sub LLC 7.500%, 1/15/31 144A		2,000,000		2,113
HCA, Inc. 5.200%, 6/1/28		2,000,000		2,021
Imperial Brands Finance PLC 3.500%, 7/26/26 144A		200,000		191
6.125%, 7/27/27 144A		2,200,000		2,259
IQVIA, Inc. 5.700%, 5/15/28 144A		1,700,000		1,732
LifePoint Health, Inc. 11.000%, 10/15/30 144A		1,600,000		1,685
Loxam SAS 2.875%, 4/15/26 EUR §,∞		100,000		107
Market Bidco Finco PLC 4.750%, 11/4/27 EUR §,∞		1,898,000		1,868
Mundys SpA 1.625%, 2/3/25 EUR §,∞		1,200,000		1,285
1.875%, 7/13/27 EUR §,∞		400,000		412
1.875%, 2/12/28 EUR §,∞		5,500,000		5,556
Nexi SpA 2.125%, 4/30/29 EUR §,∞		3,700,000		3,597
Organon & Co. / Organon Foreign Debt Co- Issuer BV 2.875%, 4/30/28 EUR §,∞		3,900,000		3,949
Organon Finance 1 LLC 4.125%, 4/30/28 144A		1,100,000		1,013
Perrigo Finance Unlimited Co. 4.650%, 6/15/30		200,000		182
Star Parent, Inc. 9.000%, 10/1/30 144A		1,300,000		1,370
Teva Pharmaceutical Finance Netherlands II BV 4.375%, 5/9/30 EUR ∞		2,000,000		2,068
4.500%, 3/1/25 EUR ∞		137,000		151
Total				57,573
Diversified (0.0%)
Stena International SA 6.125%, 2/1/25 144A		400,000		397
Total				397
Energy (7.6%)
Aker BP ASA 3.750%, 1/15/30 144A		400,000		367
Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.625%, 7/15/26 144A		100,000		99
7.625%, 12/15/25 144A		1,500,000		1,519
Boardwalk Pipelines LP 3.400%, 2/15/31		200,000		179
CGG SA 8.750%, 4/1/27 144A		300,000		273

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

171

Multi-Sector Bond Portfolio

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Energy continued
Cheniere Corpus Christi Holdings LLC 5.125%, 6/30/27		100,000		100
Cheniere Energy Partners LP 4.000%, 3/1/31		1,400,000		1,273
Continental Resources, Inc. 4.375%, 1/15/28		1,400,000		1,356
El Paso Natural Gas Co. LLC 8.375%, 6/15/32		200,000		233
Enbridge, Inc. 5.700%, 3/8/33		900,000		935
Energy Transfer LP 2.900%, 5/15/25		100,000		97
3.750%, 5/15/30		200,000		186
4.950%, 5/15/28		1,200,000		1,194
5.000%, 5/15/50		200,000		178
5.250%, 4/15/29		100,000		101
6.050%, 6/1/41		100,000		101
6.500%, 2/1/42		300,000		317
6.625%, 10/15/36		500,000		538
7.500%, 7/1/38		1,700,000		1,966
EQM Midstream Partners LP 4.500%, 1/15/29 144A		1,500,000		1,417
EQT Corp. 6.625%, 2/1/25		3,044,000		3,058
Genesis Energy LP / Genesis Energy Finance Corp. 8.250%, 1/15/29		800,000		823
Gray Oak Pipeline LLC 3.450%, 10/15/27 144A		500,000		465
Howard Midstream Energy Partners LLC 8.875%, 7/15/28 144A		1,800,000		1,889
KazMunayGas National Co. JSC 5.375%, 4/24/30 §		600,000		594
5.750%, 4/19/47 §		1,200,000		1,049
Kinder Morgan Energy Partners LP 6.550%, 9/15/40		2,382,000		2,512
Kinder Morgan, Inc. 7.750%, 1/15/32		1,216,000		1,382
Midwest Connector Capital Co. LLC 3.900%, 4/1/24 144A		200,000		199
MPLX LP 4.250%, 12/1/27		100,000		98
NGPL PipeCo LLC 7.768%, 12/15/37 144A		3,900,000		4,337
Noble Finance II LLC 8.000%, 4/15/30 144A		1,400,000		1,457
NuStar Logistics LP 5.625%, 4/28/27		1,400,000		1,394
6.000%, 6/1/26		200,000		200
Occidental Petroleum Corp. 5.875%, 9/1/25		700,000		704
Odebrecht Oil & Gas Finance, Ltd. 0.000%, 2/16/24 §,µ PO		782,000		26
Permian Resources Operating LLC 7.000%, 1/15/32 144A		1,300,000		1,341
Pertamina Persero PT 6.500%, 11/7/48 144A		3,800,000		4,238
Petroleos de Venezuela SA 5.375%, 4/12/27 §,j		6,500,000		692
5.500%, 4/12/37 §,j		4,300,000		462

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Energy continued
Petroleos Mexicanos 2.750%, 4/21/27 EUR §,∞		1,100,000		1,020
4.750%, 2/26/29 EUR §,∞		3,000,000		2,722
5.625%, 1/23/46		378,000		229
5.950%, 1/28/31		4,300,000		3,434
6.350%, 2/12/48		1,700,000		1,079
6.625%, 6/15/35		4,200,000		3,221
6.625%, 6/15/38		2,000,000		1,411
6.700%, 2/16/32		2,836,000		2,353
6.750%, 9/21/47		2,900,000		1,898
7.690%, 1/23/50		2,580,000		1,835
Petrorio Luxembourg SARL 6.125%, 6/9/26 144A		200,000		196
Plains All American Pipeline LP / PAA Finance Corp. 4.900%, 2/15/45		1,100,000		948
6.650%, 1/15/37		277,000		296
Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.838%, 9/30/27 144A		1,590,220		1,616
Rio Oil Finance Trust 9.750%, 1/6/27 §		240,221		249
Sabine Pass Liquefaction LLC 4.500%, 5/15/30		700,000		684
5.625%, 3/1/25		4,900,000		4,909
5.750%, 5/15/24		131,000		131
5.875%, 6/30/26		400,000		407
Santos Finance, Ltd. 3.649%, 4/29/31 144A		700,000		610
Seadrill Finance, Ltd. 8.375%, 8/1/30 144A		1,500,000		1,565
Sitio Royalties Operating Partnership LP / Sitio Finance Corp. 7.875%, 11/1/28 144A		1,100,000		1,140
Southwestern Energy Co. 5.375%, 2/1/29		100,000		98
Tallgrass Energy Partners LP 5.500%, 1/15/28 144A		7,400,000		6,993
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.500%, 3/1/30		1,200,000		1,200
TMS Issuer SARL 5.780%, 8/23/32 144A		3,400,000		3,544
Transocean Aquila, Ltd. 8.000%, 9/30/28 144A		1,100,000		1,116
Valaris, Ltd. 8.375%, 4/30/30 144A		1,000,000		1,025
Venture Global Calcasieu Pass LLC 3.875%, 8/15/29 144A		2,100,000		1,905
Venture Global LNG, Inc. 8.375%, 6/1/31 144A		2,700,000		2,699
Western Midstream Operating, LP 3.350%, 2/1/25		1,200,000		1,168
Total				91,050
Financial (12.2%)
ADLER Group SA 4.625%, 1/14/26 EUR §,∞		3,000,000		1,144
5.500%, 11/13/26 EUR §,∞		5,100,000		1,942

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

172

Multi-Sector Bond Portfolio

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Financial continued
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.150%, 2/15/24		3,600,000		3,586
3.650%, 7/21/27		500,000		475
4.450%, 4/3/26		900,000		884
4.625%, 10/15/27		500,000		490
4.875%, 1/16/24		1,200,000		1,199
Aircastle, Ltd. 2.850%, 1/26/28 144A		600,000		535
4.250%, 6/15/26		300,000		290
5.250%, 8/11/25 144A		2,400,000		2,366
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7.000%, 1/15/31 144A		1,200,000		1,266
Ally Financial, Inc. 6.848%, (US SOFR plus 2.820%), 1/3/30 α		1,000,000		1,027
8.000%, 11/1/31		1,371,000		1,502
American Tower Corp. 5.900%, 11/15/33		2,500,000		2,647
Antares Holdings LP 2.750%, 1/15/27 144A		250,000		221
Athora Netherlands NV 2.375%, 5/17/24 EUR §,∞		700,000		758
7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,∞,α,Y		200,000		215
Aviation Capital Group LLC 5.500%, 12/15/24 144A		1,000,000		994
Avolon Holdings Funding, Ltd. 2.528%, 11/18/27 144A		2,173,000		1,925
Banca Monte dei Paschi di Siena SpA 1.875%, 1/9/26 EUR §,∞		300,000		314
2.625%, 4/28/25 EUR §,∞		1,600,000		1,720
5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,∞,α		3,800,000		4,175
8.000%, (5 Year EUR Annual Swap Rate plus 8.149%), 1/22/30 EUR §,∞,α		500,000		553
8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,∞,α		800,000		884
Banco Bilbao Vizcaya Argentaria SA
6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,∞,α,Y		1,600,000		1,761
6.138%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.700%), 9/14/28 α		2,300,000		2,362
Banco BTG Pactual SA 4.500%, 1/10/25 144A		500,000		491
Banco de Sabadell SA 1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,∞,α		200,000		209
Banco do Brasil SA 8.500%, 7/29/26 MXN §,∞		22,000,000		1,216
Banco Votorantim SA 4.500%, 9/24/24 §		200,000		197
Bank of America Corp. 3.419%, (US SOFR 3 Month plus 1.302%), 12/20/28 α		973,000		916
5.875%, (US SOFR 3 Month plus 3.193%), 3/15/28 µ,α		3,700,000		3,542

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Financial continued
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 α		600,000		606
7.500%, (5 Year EUR Annual Swap Rate plus 7.924%), 5/19/25 EUR §,µ,∞,α,Y		1,700,000		1,900
Barclays PLC 5.501%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 8/9/28 ∞		3,000,000		3,014
6.125%, (US Treasury Yield Curve Rate
T Note Constant Maturity 5 year plus 5.867%), 12/15/25 µ,α,Y		500,000		478
7.437%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.500%), 11/2/33 α		500,000		560
BNP Paribas SA 1.904%, (US SOFR plus 1.609%), 9/30/28 144A α		1,700,000		1,510
CaixaBank SA 6.750%, (5 Year EUR Annual Swap Rate plus 6.498%), 6/13/24 EUR §,µ,∞,α,Y		200,000		221
Cantor Fitzgerald LP 4.875%, 5/1/24 144A		100,000		99
7.200%, 12/12/28 144A		1,200,000		1,230
Chubb INA Holdings, Inc. 0.875%, 6/15/27 EUR ∞		200,000		206
Citigroup, Inc. 3.400%, 5/1/26		400,000		386
Corestate Capital Holding SA 8.000%, 12/31/26 EUR §,∞,Þ		151,239		83
10.000%, 12/31/26 EUR ∞,Æ,Þ		200,000		221
CPI Property Group SA 1.625%, 4/23/27 EUR §,∞		700,000		565
Credicorp Capital Sociedad Titulizadora SA 10.100%, 12/15/43 144A PEN §,∞,Æ		11,300,000		3,082
Credit Acceptance Corp. 9.250%, 12/15/28 144A		1,200,000		1,279
Crown Castle International Corp. 2.100%, 4/1/31		1,700,000		1,385
5.000%, 1/11/28		1,700,000		1,693
DAE Sukuk DIFC, Ltd. 3.750%, 2/15/26 144A		1,000,000		960
Deutsche Bank AG 1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,∞,α		2,500,000		2,265
1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,∞,α		3,700,000		3,547
3.035%, (US SOFR plus 1.718%), 5/28/32 α		200,000		167
3.547%, (US SOFR plus 3.043%), 9/18/31 α		1,300,000		1,141
3.729%, (US SOFR plus 2.757%), 1/14/32 α		3,300,000		2,766
3.742%, (US SOFR plus 2.257%), 1/7/33 α		700,000		575
5.882%, (US SOFR plus 5.438%), 7/8/31 α		400,000		388
DrillCo Holding Lux SA 7.500%, 6/15/30 §		277,407		256
Fairfax Financial Holdings, Ltd. 2.750%, 3/29/28 EUR §,∞		1,700,000		1,788
Fidelity National Financial, Inc. 3.400%, 6/15/30		200,000		178
Freedom Mortgage Corp. 6.625%, 1/15/27 144A		500,000		477

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

173

Multi-Sector Bond Portfolio

Corporate Bonds (42.7%)	Shares/Par +		Value $ (000’s)
Financial continued
7.625%, 5/1/26 144A		2,100,000		2,073
12.000%, 10/1/28 144A		1,000,000		1,092
G City Europe, Ltd. 4.250%, 9/11/25 EUR §,∞		3,039,000		3,064
GLP Capital LP / GLP Financing II, Inc. 3.350%, 9/1/24		100,000		99
5.750%, 6/1/28		400,000		404
goeasy, Ltd. 9.250%, 12/1/28 144A		1,100,000		1,175
The Goldman Sachs Group, Inc. 3.375%, 3/27/25 EUR §,∞		200,000		220
6.484%, (US SOFR plus 1.770%), 10/24/29 α		1,500,000		1,592
HAT Holdings I LLC / HAT Holdings II LLC 8.000%, 6/15/27 144A		1,250,000		1,302
HSBC Holdings PLC 1.645%, (US SOFR plus 1.538%), 4/18/26 α		200,000		190
2.099%, (US SOFR plus 1.929%), 6/4/26 α		200,000		190
2.804%, (US SOFR plus 1.187%), 5/24/32 α		3,300,000		2,755
3.973%, (US SOFR 3 Month plus 1.872%), 5/22/30 α		4,900,000		4,577
ING Groep NV 5.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 4.342%), 11/16/26 µ,α,y		1,800,000		1,680
6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ,α,y		900,000		894
Intesa Sanpaolo SpA 3.250%, 9/23/24 144A		300,000		295
4.000%, 9/23/29 144A		200,000		182
5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,∞,α,y		2,025,000		2,068
5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,∞,α,y		450,000		447
Jefferies Finance LLC / JFIN Co-Issuer Corp. 5.000%, 8/15/28 144A		1,500,000		1,343
Kaisa Group Holdings, Ltd. 9.375%, 6/30/24 §,j		400,000		13
9.750%, 9/28/23 §,j		600,000		20
10.500%, 1/15/25 §,j		1,100,000		36
10.875%, 7/23/23 §,j		400,000		11
11.250%, 4/16/25 §,j		3,500,000		101
11.650%, 6/1/26 §,j		1,000,000		29
Kennedy Wilson, Inc. 4.750%, 2/1/30		1,800,000		1,459
LeasePlan Corp. NV 2.875%, 10/24/24 144A		300,000		293
Liberty Mutual Finance Europe DAC 1.750%, 3/27/24 EUR §,∞		100,000		110
Lloyds Banking Group PLC 4.976%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/11/33 α		200,000		195
Logicor Financing SARL 3.250%, 11/13/28 EUR §,∞		600,000		629
Marsh & McLennan Cos., Inc. 1.349%, 9/21/26 EUR ∞		100,000		106
NatWest Group PLC 4.800%, 4/5/26		2,800,000		2,774
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 α		3,700,000		3,632

Corporate Bonds (42.7%)	Shares/Par +		Value $ (000’s)
Financial continued
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.625%), 12/29/25 µ,α,y		500,000		483
NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,µ,∞,α		2,600,000		2,856
OMEGA Healthcare Investors, Inc. 4.500%, 1/15/25		100,000		98
4.950%, 4/1/24		100,000		100
OneMain Finance Corp. 3.500%, 1/15/27		1,100,000		1,018
4.000%, 9/15/30		700,000		599
6.875%, 3/15/25		1,900,000		1,923
7.125%, 3/15/26		1,400,000		1,426
Pacific Life Global Funding II 1.200%, 6/24/25 144A		200,000		190
Park Aerospace Holdings, Ltd. 5.500%, 2/15/24 144A		112,000		112
PennyMac Financial Services, Inc. 7.875%, 12/15/29 144A		1,800,000		1,853
PRA Group, Inc. 8.375%, 2/1/28 144A		1,300,000		1,252
RLJ Lodging Trust LP 3.750%, 7/1/26 144A		200,000		189
Santander UK Group Holdings PLC 2.896%, (US SOFR plus 1.475%), 3/15/32 α		800,000		683
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 α		4,000,000		3,758
6.750%, (GBP Swap Semi-Annual 5 Year plus 6.069%), 6/24/24 GBP §,µ,∞,α,y		1,390,000		1,766
Sberbank of Russia Via SB Capital SA 5.250%, 5/23/23 §,j,y,Æ		4,500,000		225
Sunac China Holdings, Ltd. 6.000%, 9/30/26 144A		249,801		29
6.250%, 9/30/26 144A		249,801		22
6.500%, 9/30/27 144A		499,604		45
6.750%, 9/30/28 144A		749,407		43
7.000%, 9/30/29 144A		749,407		50
7.250%, 9/30/30 144A		352,037		18
Tesco Property Finance 3 PLC 5.744%, 4/13/40 GBP §,∞		90,046		116
Tesco Property Finance 6 PLC 5.411%, 7/13/44 GBP §,∞		2,506,778		3,095
Trust Fibra Uno 6.390%, 1/15/50 144A		100,000		81
UBS Group AG 4.703%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.050%), 8/5/27 144A α		400,000		394
6.327%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 12/22/27 144A α		3,000,000		3,092
UniCredit SpA 7.296%, (USD 5 Year Swap Rate plus 4.914%), 4/2/34 144A α		5,700,000		5,860
The Unique Pub Finance Co. PLC 7.395%, 3/28/24 GBP §,∞		36,800		47
Virgin Money UK PLC 3.125%, (SONIA Interest Rate Benchmark plus 2.569%), 6/22/25 GBP §,∞,α		100,000		125

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

174

Multi-Sector Bond Portfolio

Corporate Bonds (42.7%)	Shares/Par +		Value $ (000’s)
Financial continued
3.375%, (1 Year GBP Swap Rate plus 2.145%), 4/24/26 GBP §,∞,α		100,000		122
4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,∞,α		500,000		612
4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27 GBP §,∞,α		200,000		242
Wells Fargo & Co. 1.000%, 2/2/27 EUR §,∞		1,500,000		1,537
4.808%, (US SOFR plus 1.980%), 7/25/28 α		200,000		199
5.574%, (US SOFR plus 1.740%), 7/25/29 α		1,500,000		1,532
Weyerhaeuser Co. 7.375%, 3/15/32		424,000		492
Yango Justice International, Ltd. 7.500%, 4/15/24 §,j		4,200,000		2
7.875%, 9/4/24 §,j		600,000		–	π
Total				146,168
Industrial (2.7%)
Berry Global, Inc. 1.570%, 1/15/26		100,000		93
The Boeing Co. 3.950%, 8/1/59		2,000,000		1,530
Constellation Oil Services Holding SA 3.000%, 12/31/26 Þ		103,110		75
DAE Funding LLC 1.550%, 8/1/24 144A		1,700,000		1,656
1.625%, 2/15/24 144A		1,000,000		995
2.625%, 3/20/25 144A		500,000		479
3.375%, 3/20/28 144A		700,000		644
3.375%, 3/20/28 §		200,000		184
Empresa de Transporte de Pasajeros Metro SA 4.700%, 5/7/50 §		1,400,000		1,155
Flex, Ltd. 3.750%, 2/1/26		700,000		677
Fortress Transportation & Infrastructure 5.500%, 5/1/28 144A		400,000		385
6.500%, 10/1/25 144A		4,818,000		4,803
Forward Air Corp. 9.500%, 10/15/31 144A		1,200,000		1,171
GE Capital UK Funding Unlimited Co. 5.875%, 1/18/33 GBP ∞		800,000		1,093
General Electric Co. 4.125%, 9/19/35 EUR §,∞		500,000		590
Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A		266,544		263
The Manitowoc Co., Inc. 9.000%, 4/1/26 144A		6,200,000		6,218
Rolls-Royce PLC 4.625%, 2/16/26 EUR §,∞		1,600,000		1,794
5.750%, 10/15/27 144A		200,000		200
5.750%, 10/15/27 GBP §,∞		100,000		128
SMBC Aviation Capital Finance DAC 2.300%, 6/15/28 144A		200,000		176
Spirit Aerosystems, Inc. 9.375%, 11/30/29 144A		100,000		109
9.750%, 11/15/30 144A		1,500,000		1,612
Standard Industries, Inc. 2.250%, 11/21/26 EUR §,∞		2,600,000		2,705

Corporate Bonds (42.7%)	Shares/Par +		Value $ (000’s)
Industrial continued
TransDigm, Inc. 7.125%, 12/1/31 144A		1,600,000		1,677
XPO, Inc. 6.250%, 6/1/28 144A		1,200,000		1,214
7.125%, 2/1/32 144A		1,300,000		1,342
Total				32,968
Technology (1.5%)
Booz Allen Hamilton, Inc. 3.875%, 9/1/28 144A		1,200,000		1,130
Broadcom, Inc. 2.450%, 2/15/31 144A		700,000		599
3.137%, 11/15/35 144A		1,500,000		1,231
Dell International LLC / EMC Corp. 5.300%, 10/1/29		4,300,000		4,428
6.020%, 6/15/26		209,000		214
8.100%, 7/15/36		162,000		199
Marvell Technology, Inc. 5.750%, 2/15/29		1,300,000		1,343
NCR Atleos Escrow Corp. 9.500%, 4/1/29 144A		1,600,000		1,700
NXP BV / NXP Funding LLC 4.875%, 3/1/24		1,700,000		1,697
5.350%, 3/1/26		1,600,000		1,608
Seagate HDD Cayman 4.125%, 1/15/31		650,000		581
9.625%, 12/1/32		920,000		1,052
Ubisoft Entertainment SA 0.878%, 11/24/27 EUR §,∞		800,000		742
VMware, Inc. 4.500%, 5/15/25		300,000		297
4.650%, 5/15/27		1,400,000		1,388
4.700%, 5/15/30		100,000		99
Total				18,308
Utilities (2.0%)
American Electric Power Co., Inc. 5.625%, 3/1/33		1,000,000		1,042
Centrais Eletricas Brasileiras SA 4.625%, 2/4/30 144A		300,000		273
Chile Electricity Lux MPC SARL 6.010%, 1/20/33 144A		1,100,000		1,127
Constellation Energy Generation, LLC 6.500%, 10/1/53		1,000,000		1,128
Edison International 5.750%, 6/15/27		100,000		102
Electricite de France SA 4.500%, 9/21/28 144A		900,000		887
6.250%, 5/23/33 144A		1,200,000		1,299
9.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.411%), 3/15/33 144A µ,α		1,500,000		1,675
FEL Energy VI SARL 5.750%, 12/1/40 §		2,985,409		2,694
Monongahela Power Co. 5.850%, 2/15/34 144A		900,000		944
Nakilat, Inc. 6.067%, 12/31/33 §		862,690		888
6.267%, 12/31/33 144A		435,792		454

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

175

Multi-Sector Bond Portfolio

Corporate Bonds (42.7%)	Shares/ Par +		Value $ (000’s)
Utilities continued
National Fuel Gas Co. 5.200%, 7/15/25		300,000		298
NextEra Energy Operating Partners LP 7.250%, 1/15/29 144A		1,000,000		1,047
NPC Ukrenergo 6.875%, 11/9/28 §,j		800,000		210
Pacific Gas & Electric Co. 2.100%, 8/1/27		100,000		90
2.500%, 2/1/31		100,000		82
2.950%, 3/1/26		100,000		95
3.150%, 1/1/26		1,600,000		1,535
3.300%, 3/15/27		200,000		187
3.300%, 12/1/27		500,000		467
3.300%, 8/1/40		2,700,000		1,976
3.450%, 7/1/25		300,000		290
3.500%, 6/15/25		1,500,000		1,453
3.750%, 7/1/28		100,000		94
4.200%, 6/1/41		100,000		80
4.250%, 3/15/46		100,000		77
4.450%, 4/15/42		300,000		242
4.550%, 7/1/30		500,000		476
Perusahaan Listrik Negara PT 3.000%, 6/30/30 144A		1,500,000		1,337
Southern California Edison Co. 5.650%, 10/1/28		1,250,000		1,303
Total				23,852
Total Corporate Bonds (Cost: $580,179)				512,497
Convertible Corporate Bonds (0.1%)
Financial (0.1%)
Corestate Capital Holding SA 8.000%, 12/31/26 EUR §,∞,Þ		1,231,517		676
Sunac China Holdings, Ltd. 1.000%, 9/30/32 144A		752,116		57
Total				733
Total Convertible Corporate Bonds (Cost: $6,584)				733
Governments (17.7%)
Governments (17.7%)
Abu Dhabi Government International Bond 2.700%, 9/2/70 144A		3,700,000		2,339
2.700%, 9/2/70 §		900,000		569
3.875%, 4/16/50 §		1,500,000		1,256
Albania Government International Bond 3.500%, 6/16/27 144A EUR ∞		1,400,000		1,491
Angolan Government International Bond 9.125%, 11/26/49 §		1,600,000		1,304
Arab Republic of Egypt 7.500%, 2/16/61 144A		1,900,000		1,106
Argentine Republic Government International Bond 0.750%, 7/9/30		800,857		320
1.000%, 7/9/29		405,455		161
3.500%, 7/9/41		13,493,196		4,571
3.625%, 7/9/35		5,922,164		2,005
Australian Government 4.250%, 4/21/26 AUD §,∞		2,400,000		1,657

Governments (17.7%)	Shares/ Par +		Value $ (000’s)
Governments continued
Banque Ouest Africaine de Developpement 2.750%, 1/22/33 144A EUR ∞		500,000		421
Brazilian Government International Bond 5.000%, 1/27/45		1,000,000		815
Colombia Government International Bond 4.500%, 3/15/29		3,800,000		3,557
5.000%, 6/15/45		6,000,000		4,650
5.200%, 5/15/49		200,000		156
8.000%, 11/14/35		1,000,000		1,093
Costa Rica Government International Bond 7.300%, 11/13/54 144A		800,000		868
Dominican Republic International Bond 4.875%, 9/23/32 144A		550,000		500
4.875%, 9/23/32 §		1,700,000		1,546
6.500%, 2/15/48 144A		2,800,000		2,670
6.500%, 2/15/48 §		2,800,000		2,670
6.875%, 1/29/26 §		500,000		508
Ecuador Government International Bond 0.000%, 7/31/30 144A PO		323,958		92
2.500%, 7/31/40 144A		1,225,800		386
3.500%, 7/31/35 144A		2,674,620		948
3.500%, 7/31/35 §		2,961,000		1,052
6.000%, 7/31/30 §		4,500,000		2,083
Egypt Government International Bond 6.375%, 4/11/31 EUR §,∞		6,550,000		4,625
7.500%, 2/16/61 §		800,000		466
Federal Republic of Nigeria 7.625%, 11/28/47 §		700,000		554
7.696%, 2/23/38 §		600,000		491
7.875%, 2/16/32 §		2,800,000		2,513
Ghana Government International Bond 8.125%, 3/26/32 §,j		400,000		173
8.950%, 3/26/51 §,j		800,000		343
Guatemala Government Bond 6.600%, 6/13/36 144A		1,700,000		1,749
Hungary Government International Bond 5.375%, 9/12/33 EUR §,∞		3,100,000		3,654
6.125%, 5/22/28 144A		1,200,000		1,246
Ivory Coast Government International Bond 5.250%, 3/22/30 EUR §,∞		500,000		494
5.875%, 10/17/31 144A EUR		300,000		296
6.625%, 3/22/48 144A EUR ∞		900,000		790
6.625%, 3/22/48 EUR §,∞		800,000		702
6.875%, 10/17/40 144A EUR		400,000		369
6.875%, 10/17/40 EUR §,∞		100,000		92
Kingdom of Jordan 4.950%, 7/7/25 144A		300,000		293
5.850%, 7/7/30 144A		400,000		372
7.500%, 1/13/29 144A		800,000		809
Morocco Government International Bond 4.000%, 12/15/50 144A		500,000		360
5.500%, 12/11/42 §		800,000		726
North Macedonia 3.675%, 6/3/26 144A EUR ∞		500,000		535
Oman Government International Bond 6.000%, 8/1/29 §		900,000		932
6.250%, 1/25/31 144A		2,300,000		2,418
6.500%, 3/8/47 §		500,000		509
6.750%, 1/17/48 §		4,800,000		5,017

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

176

Multi-Sector Bond Portfolio

Governments (17.7%)	Shares/ Par +		Value $ (000’s)
Governments continued
Panama Government International Bond 6.700%, 1/26/36		1,900,000		1,879
6.853%, 3/28/54		2,600,000		2,429
8.125%, 4/28/34		100,000		105
Provincia de Buenos Aires 37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,∞		740,000		1
Republic of Angola 8.000%, 11/26/29 §		1,200,000		1,064
Republic of Indonesia 0.900%, 2/14/27 EUR ∞		1,700,000		1,720
1.400%, 10/30/31 EUR ∞		1,900,000		1,775
1.450%, 9/18/26 EUR ∞		700,000		727
3.375%, 7/30/25 144A EUR ∞		800,000		877
3.750%, 6/14/28 144A EUR ∞		1,900,000		2,110
3.750%, 6/14/28 EUR §,∞		2,200,000		2,443
4.625%, 4/15/43 §		2,700,000		2,632
5.125%, 1/15/45 §		1,800,000		1,856
Republic of Paraguay 5.600%, 3/13/48 §		600,000		546
6.100%, 8/11/44 §		300,000		294
Republic of Peru 3.300%, 3/11/41		2,700,000		2,097
Republic of Serbia 1.650%, 3/3/33 144A EUR ∞		700,000		570
6.500%, 9/26/33 §		1,500,000		1,537
Republic of South Africa Government International Bond 4.850%, 9/30/29		1,200,000		1,124
4.875%, 4/14/26		600,000		592
5.000%, 10/12/46		500,000		369
5.750%, 9/30/49		4,500,000		3,587
Romanian Government International Bond 2.000%, 4/14/33 144A EUR ∞		1,400,000		1,153
2.875%, 4/13/42 144A EUR ∞		500,000		372
4.125%, 3/11/39 EUR §,∞		1,500,000		1,377
6.375%, 9/18/33 144A EUR ∞		2,500,000		2,911
Russian Federation 5.250%, 6/23/47 144A j		200,000		66
5.250%, 6/23/47 §,j		200,000		66
Saudi International Bond 4.500%, 10/26/46 §		9,300,000		8,221
Serbia International Bond 1.500%, 6/26/29 EUR §,∞		2,000,000		1,860
Sri Lanka Government International Bond 7.550%, 3/28/30 §,j		1,600,000		798
7.850%, 3/14/29 §,j		500,000		249
State Agency of Roads of Ukraine 6.250%, 6/24/30 §,j		600,000		150
State of Minas Gerais 5.333%, 2/15/28 §		100,000		98
State of Qatar 4.400%, 4/16/50 144A		1,200,000		1,104
4.400%, 4/16/50 §		2,400,000		2,208
4.817%, 3/14/49 §		800,000		778
5.103%, 4/23/48 §		1,200,000		1,214
Turkey Government International Bond 4.875%, 4/16/43		2,800,000		2,039
5.750%, 5/11/47		4,400,000		3,441

Governments (17.7%)	Shares/ Par +		Value $ (000’s)
Governments continued
Ukraine Government International Bond 4.375%, 1/27/32 144A EUR ∞,j		1,600,000		355
4.375%, 1/27/32 EUR §,∞,j		1,700,000		377
6.750%, 6/20/28 144A EUR ∞,j		600,000		156
6.876%, 5/21/31 144A j		900,000		204
7.375%, 9/25/34 §,j		300,000		70
8.994%, 2/1/26 144A j		1,000,000		293
United Mexican States 2.125%, 10/25/51 EUR ∞		1,000,000		666
3.771%, 5/24/61		5,400,000		3,658
4.500%, 1/31/50		2,300,000		1,877
6.350%, 2/9/35		1,700,000		1,781
US Treasury 1.875%, 8/31/24 b		7,310,000		7,160
2.125%, 3/31/24 b		3,970,000		3,938
2.125%, 11/30/24 b		3,400,000		3,317
2.250%, 11/15/24		15,910,000		15,554
2.375%, 8/15/24 b		3,700,000		3,640
2.500%, 1/31/24		10,590,000		10,566
2.750%, 2/15/24 b		8,700,000		8,673
4.000%, 11/15/42		19,800,000		19,242
Venezuela Government International Bond 6.000%, 12/9/49 §,j		32,000		4
7.000%, 3/31/38 §,j		204,000		30
7.650%, 4/21/25 §,j		1,955,000		293
8.250%, 10/13/24 §,j		356,000		53
9.000%, 5/7/23 §,j		32,000		5
9.250%, 5/7/28 §,j		1,241,000		207
9.375%, 1/13/34 j		1,400,000		242
Total				212,122
Total Governments (Cost: $245,308)				212,122
Municipal Bonds (0.6%)
Municipal Bonds (0.6%)
American Municipal Power, Inc. 7.834%, 2/15/41 RB		100,000		125
Bay Area Toll Authority, California, Series 2010 6.918%, 4/1/40 RB		200,000		233
City of Riverside California Electric Revenue 7.605%, 10/1/40 RB		200,000		250
Golden State Tobacco Securitization Corp. 3.850%, 6/1/50 RB		2,695,000		2,493
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		247
Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB		100,000		111
Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB		95,000		108
New York City Transitional Finance Authority 5.508%, 8/1/37 RB		300,000		309
New York State Urban Development Corp. 5.770%, 3/15/39 RB		100,000		103

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

177

Multi-Sector Bond Portfolio

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		1,173
Port Authority of New York & New Jersey, Series 168 4.926%, 10/1/51 RB		200,000		201
State of Illinois 6.630%, 2/1/35 GO		226,154		237
6.725%, 4/1/35 GO		87,692		92
7.350%, 7/1/35 GO		171,429		186
Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB		800,000		836
Total Municipal Bonds (Cost: $6,529)				6,818
Structured Products (22.6%)
Asset Backed Securities (8.1%)
ABFC Trust, Series 2007-WMC1, Class A1A 6.720%, (US SOFR 1 Month plus 1.365%), 6/25/37		7,895,418		5,520
Accredited Mortgage Loan Trust, Series 2005- 3, Class M3 6.190%, (US SOFR 1 Month plus 0.835%), 9/25/35		13,501		13
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1 6.370%, (US SOFR 1 Month plus 1.015%), 12/25/34		151,534		137
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2 6.265%, (US SOFR 1 Month plus 0.910%), 1/25/35		34,379		32
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C 5.770%, (US SOFR 1 Month plus 0.415%), 7/25/36		7,004,994		1,602
ACHV ABS Trust, Series 2023-4CP, Class A 6.810%, 11/25/30 144A		1,689,863		1,692
ACHV ABS Trust, Series 2023-4CP, Class B 7.240%, 11/25/30 144A		1,600,000		1,615
ACHV ABS Trust, Series 2023-4CP, Class C 7.710%, 11/25/30 144A		700,000		712
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2 6.470%, (US SOFR 1 Month plus 1.115%), (AFC), 3/25/35		59,474		55
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1 6.340%, (US SOFR 1 Month plus 0.985%), 7/25/34		6,763		7
Ares European CLO VI DAC, Series 2013-6A, Class ARR 4.575%, (Euribor 3 Month ACT/360 plus 0.610%), 4/15/30 144A EUR ∞		479,338		524
Ares European CLO, Series 10A, Class AR 4.745%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		1,085,718		1,186

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4 6.370%, (US SOFR 1 Month plus 1.015%), 6/25/35		77,804		75
Aurium CLO I DAC, Series 2019-1A, Class ARR 4.966%, (Euribor 3 Month ACT/360 plus 1.050%), 3/23/32 144A EUR ∞		250,000		274
Babson CLO, Ltd., Series 2018-1A, Class A1 6.605%, (US SOFR 3 Month plus 1.212%), 4/15/31 144A		4,777,336		4,767
Bain Capital Euro CLO, Series 2018-2A, Class AR 4.733%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ∞		295,112		321
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1 6.720%, (US SOFR 1 Month plus 1.365%), 8/25/37		33,606		33
Cairn CLO BV, Series 2014-A4, Class ARRR 4.552%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ∞		283,891		309
Cairn CLO X BV, Series 2018-10A, Class AR 4.745%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		699,537		758
Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R 4.665%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ∞		892,452		973
Carrington Mortgage Loan Trust, Series 2005- FRE1, Class M3 6.235%, (US SOFR 1 Month plus 0.880%), 12/25/35		8,016,000		5,919
Citigroup Mortgage Loan Trust, Series 2007- AHL1, Class A2C 5.890%, (US SOFR 1 Month plus 0.535%), 12/25/36		80,333		78
Countrywide Alternative Loan Trust, Series 2006-5, Class M1 5.995%, (US SOFR 1 Month plus 0.640%), 8/25/36		1,401,008		1,349
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4 7.045%, (US SOFR 1 Month plus 1.690%), 11/25/34		58,645		58
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4 6.170%, (US SOFR 1 Month plus 0.815%), 3/25/36		67,913		59
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5 4.512%, (AFC), 7/25/36 Σ		78,450		70
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A 5.610%, (US SOFR 1 Month plus 0.255%), 6/25/37		339,257		311
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2 5.950%, (US SOFR 1 Month plus 0.595%), 2/25/37		900,000		812

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

178

Multi-Sector Bond Portfolio

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3 5.610%, (US SOFR 1 Month plus 0.255%), 7/25/37		4,907		5
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A 6.310%, (US SOFR 1 Month plus 0.955%), 10/25/47		1,016,561		968
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A 5.670%, (US SOFR 1 Month plus 0.315%), 6/25/47		706,264		628
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1 6.570%, (US SOFR 1 Month plus 1.215%), (AFC), 5/25/47 144A		949,642		742
CRB Securitization Trust, Series 2023-1, Class A 6.960%, 10/20/33 144A		1,417,367		1,434
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1 5.077%, (US SOFR 1 Month plus 0.735%), 1/25/32		1,916		2
CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR 4.615%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ∞		798,273		869
Ellington Loan Acquisition Trust, Series 2007- 2, Class A1 6.520%, (US SOFR 1 Month plus 1.165%), 5/25/37 144A		177,119		172
Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR 4.589%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ∞		299,690		324
Ford Auto Securitization Trust, Series 2023- BA, Class A1 5.889%, 5/15/26 144A CAD ∞,Æ		2,442,546		1,856
Fremont Home Loan Trust, Series 2005-2, Class M4 6.400%, (US SOFR 1 Month plus 1.045%), 6/25/35		300,000		258
GLS Auto Select Receivables Trust, Series 2023-2A, Class B 6.670%, 12/17/29 144A		2,000,000		2,054
GSAA Home Equity Trust, Series 2006-17, Class A1 5.590%, (US SOFR 1 Month plus 0.235%), 11/25/36		45,625		10
GSAMP Trust, Series 2004-WF, Class M2 7.120%, (US SOFR 1 Month plus 1.765%), 10/25/34		12,172		12
GSAMP Trust, Series 2007-FM2, Class A2B 5.560%, (US SOFR 1 Month plus 0.205%), 1/25/37		146,155		83
GSAMP Trust, Series 2007-NC1, Class A2A 5.520%, (US SOFR 1 Month plus 0.165%), 12/25/46		11,839		6

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Harvest CLO XX DAC, Series 2020-A, Class AR 4.673%, (Euribor 3 Month ACT/360 plus 0.680%), 10/20/31 144A EUR ∞		590,343		640
Hertz Vehicle Financing III LLC, Series 2022- 1A, Class A 1.990%, 6/25/26 144A		1,350,000		1,290
Hertz Vehicle Financing III LLC, Series 2023- 1A, Class A 5.490%, 6/25/27 144A		2,600,000		2,609
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4 5.810%, (US SOFR 1 Month plus 0.455%), 4/25/37		500,000		414
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4 6.250%, (US SOFR 1 Month plus 0.895%), 11/25/35		122,997		112
IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2 5.630%, (US SOFR 1 Month plus 0.275%), 7/25/37		308,412		164
Invesco Euro CLO III DAC, Series 3A, Class A 4.885%, (Euribor 3 Month ACT/360 plus 0.920%), 7/15/32 144A EUR ∞		500,000		543
JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class M1 5.770%, (US SOFR 1 Month plus 0.415%), 3/25/37		400,000		366
KKR Financial CLO, Ltd., Series 9, Class AR2 6.605%, (US SOFR 3 Month plus 1.212%), 7/15/30 144A		1,492,643		1,489
Laurelin DAC, Series 2016-1A, Class ARR 4.713%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ∞		380,024		414
LCM XV LP, Series 2015-A, Class AR2 6.677%, (US SOFR 3 Month plus 1.262%), 7/20/30 144A		1,047,779		1,045
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4 6.070%, (US SOFR 1 Month plus 0.715%), 2/25/36		51,739		41
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4 6.010%, (US SOFR 1 Month plus 0.655%), 5/25/46		275,450		81
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A 5.770%, (US SOFR 1 Month plus 0.415%), 5/25/36		984,334		522
Madison Park Euro Funding XIV DAC, Series 14A, Class A1R 4.765%, (Euribor 3 Month ACT/360 plus 0.800%), 7/15/32 144A EUR ∞		300,000		326
Man GLG EURO CLO DAC, Series 2021-3A, Class AR 4.645%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ∞		204,269		224

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

179

Multi-Sector Bond Portfolio

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Man GLG EURO CLO DAC, Series 2022-6A, Class AR 4.775%, (Euribor 3 Month ACT/360 plus 0.810%), 10/15/32 144A EUR ∞		286,451		312
Marathon CLO, Ltd., Series 2017-9A, Class A1AR 6.805%, (US SOFR 3 Month plus 1.412%), 4/15/29 144A		504,942		505
Marble Point CLO X, Ltd., Series 2017-1A, Class AR 6.695%, (US SOFR 3 Month plus 1.302%), 10/15/30 144A		3,610,029		3,608
MASTR Asset Backed Securities Trust, Series 2004-OPT1, Class M1 6.250%, (US SOFR 1 Month plus 0.895%), 2/25/34		652,364		656
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1 6.370%, (US SOFR 1 Month plus 1.015%), 4/25/34		68,785		65
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1 5.770%, (US SOFR 1 Month plus 0.415%), 3/25/36		8,340,100		7,494
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2 5.670%, (US SOFR 1 Month plus 0.315%), 8/25/36		1,950,805		589
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5 5.620%, (US SOFR 1 Month plus 0.265%), 10/25/36		823,790		267
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1 6.370%, (US SOFR 1 Month plus 1.015%), 2/25/47		680,735		396
MF1, Series 2022-FL8, Class A 6.706%, (US SOFR 1 Month plus 1.350%), 2/19/37 144A		1,000,000		983
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4 6.340%, (US SOFR 1 Month plus 0.985%), 9/25/35		6,045,709		4,882
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ 6.050%, (US SOFR 1 Month plus 0.695%), 1/25/35		784,058		781
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2 6.175%, (US SOFR 1 Month plus 0.820%), 1/25/35		162,120		156
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5 6.460%, (US SOFR 1 Month plus 1.105%), 6/25/35		91,609		89
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C 5.790%, (US SOFR 1 Month plus 0.435%), 9/25/36		58,064		24

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C 5.610%, (US SOFR 1 Month plus 0.255%), 10/25/36		52,419		22
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C 5.720%, (US SOFR 1 Month plus 0.365%), 3/25/37		52,731		22
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1 7.032%, (US SOFR 1 Month plus 1.690%), 11/25/32		56		–π
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1 6.820%, (US SOFR 1 Month plus 1.465%), 2/25/33		13,176		13
Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3 5.700%, (US SOFR 1 Month plus 0.345%), 4/25/37		2,818,499		1,444
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B 5.630%, (US SOFR 1 Month plus 0.275%), (AFC), 9/25/37		90,318		89
Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR 4.733%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ∞		1,196,899		1,303
Popular Mortgage Pass-Through Trust, Series 2006-A, Class M1 6.055%, (US SOFR 1 Month plus 0.700%), (AFC), 2/25/36		15,365		15
RAAC Series, Series 2007-RP4, Class A 6.170%, (US SOFR 1 Month plus 0.465%), (AFC), 11/25/46 144A		151,946		142
Renaissance Home Equity Loan Trust, Series 2006-4, Class AF6 5.340%, 1/25/37 Σ		1,514,158		502
Residential Asset Securities Corp., Series 2007-KS3, Class AI4 5.810%, (US SOFR 1 Month plus 0.455%), (AFC), 4/25/37		1,162,314		1,094
Santander Drive Auto Receivables Trust, Series 2023-5, Class B 6.160%, 12/17/29		1,400,000		1,431
Santander Drive Auto Receivables Trust, Series 2023-5, Class C 6.430%, 2/18/31		1,600,000		1,640
Santander Drive Auto Receivables Trust, Series 2023-6, Class A3 5.930%, 7/17/28		975,000		993
Santander Drive Auto Receivables Trust, Series 2023-6, Class B 5.980%, 4/16/29		812,500		827
Santander Drive Auto Receivables Trust, Series 2023-6, Class C 6.400%, 3/17/31		812,500		834
Saranac CLO, Ltd., Series 2018-6A, Class A1R 6.781%, (US SOFR 3 Month plus 1.402%), 8/13/31 144A		2,759,794		2,757

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

180

Multi-Sector Bond Portfolio

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Saxon Asset Securities Trust, Series 2006-1, Class M1 5.935%, (US SOFR 1 Month plus 0.580%), (AFC), 3/25/36		162,748		155
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2 6.430%, (US SOFR 1 Month plus 1.075%), 1/25/36		29,681		27
Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR 6.620%, (US SOFR 3 Month plus 1.242%), 7/25/30 144A		2,981,654		2,974
Soundview Home Loan Trust, Series 2006-2, Class M2 5.995%, (US SOFR 1 Month plus 0.640%), 3/25/36		99,159		98
Soundview Home Loan Trust, Series 2006- OPT2, Class A4 6.030%, (US SOFR 1 Month plus 0.675%), 5/25/36		94,813		91
Soundview Home Loan Trust, Series 2006- OPT3, Class M1 5.935%, (US SOFR 1 Month plus 0.580%), 6/25/36		6,672,609		5,521
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 6.445%, (US SOFR 1 Month plus 1.090%), 12/25/35		71,232		70
Structured Asset Investment Loan Trust, Series 2005-7, Class M2 6.235%, (US SOFR 1 Month plus 0.880%), 8/25/35		226,274		216
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3 5.620%, (US SOFR 1 Month plus 0.265%), 9/25/36		4,066		4
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4 5.810%, (US SOFR 1 Month plus 0.455%), 12/25/36		106,039		101
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6 5.890%, (US SOFR 1 Month plus 0.535%), 2/25/37		41,457		40
Toro European CLO DAC, Series 6A, Class AR 4.908%, (Euribor 3 Month ACT/360 plus 0.920%), 1/12/32 144A EUR ∞		500,000		546
Toro European CLO DAC, Series 7A , Class ARE 4.812%, (Euribor 3 Month ACT/360 plus 0.810%), 2/15/34 144A EUR ∞		250,000		272
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A 5.730%, (US SOFR 1 Month plus 0.375%), 3/25/36 144A		234,554		232
Venture CDO, Ltd., Series 2018-33A, Class A1LR 6.715%, (US SOFR 3 Month plus 1.322%), 7/15/31 144A		984,750		984

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Venture XIV CLO, Ltd., Series 2013-14A, Class ARR 6.678%, (US SOFR 3 Month plus 1.292%), 8/28/29 144A		705,330		705
Venture XXV CLO, Ltd., Series 2016-25A, Class ARR 6.697%, (US SOFR 3 Month plus 1.282%), 4/20/29 144A		620,011		620
Venture XXVIII CLO, Ltd., Series 2017-28A, Class A1R 6.667%, (US SOFR 3 Month plus 1.252%), 7/20/30 144A		174,629		174
Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R 6.717%, (US SOFR 3 Month plus 1.302%), 9/15/30 144A		176,371		176
WaMu Asset-Backed Certificates, Series 2007- HE1, Class 1A 5.620%, (US SOFR 1 Month plus 0.265%), 1/25/37		99,229		83
Wellfleet CLO, Ltd., Series 2015-1A, Class AR4 6.567%, (US SOFR 3 Month plus 1.152%), 7/20/29 144A		480,046		479
Wellfleet CLO, Ltd., Series 2017-1, Class 1A 6.567%, (US SOFR 3 Month plus 1.152%), 4/20/29 144A		650,134		650
Total				97,117
Mortgage Securities (14.5%)
BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC, Class A 2.627%, 1/15/32 144A		2,350,000		1,822
Banc of America Funding Trust, Series 2005- H, Class 5A1 6.245%, (CSTR), 11/20/35		69,687		62
Banc of America Funding Trust, Series 2006-J, Class 4A1 5.061%, (CSTR), 1/20/47		25,755		22
Banc of America Funding Trust, Series 2007-6, Class A1 6.050%, (US SOFR 1 Month plus 0.695%), 7/25/37		36,189		34
BCAP LLC Trust, Series 2009-RR14, Class 2A2 3.586%, (CSTR), 7/26/36 144A		15,358		13
BCAP LLC Trust, Series 2009-RR5, Class 3A3 6.250%, (CSTR), 8/26/36 144A		2,053,363		889
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A 5.099%, (CSTR), 7/25/34		786		1
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 4.196%, (CSTR), 11/25/36		115,179		51
Bear Stearns ARM Trust, Series 2007-4, Class 22A1 4.067%, (CSTR), 6/25/47		50,048		45
Chase Home Lending Mortgage Trust, Series 2023-RPL3, Class A1 3.250%, (AFC), 9/25/63 144A		6,917,949		6,055

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

181

Multi-Sector Bond Portfolio

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37		1,264		1
Citigroup Mortgage Loan Trust, Series 2007- 10, Class 22AA 4.523%, (CSTR), 9/25/37		5,996		5
Citigroup Mortgage Loan Trust, Series 2007- 10, Class 2A3A 4.783%, (CSTR), 9/25/37		10,123		9
Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A 3.840%, (CSTR), 3/25/37		245,372		210
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 5.750%, 1/25/35		8,702		8
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1 6.000%, 3/25/35		257,298		119
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 6.132%, (US SOFR 1 Month plus 0.775%), 11/20/35		3,560		3
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 6.492%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		9,938		9
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36		102,400		59
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8 5.500%, 2/25/35		84,695		78
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 6.500%, 8/25/32		727		1
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13 5.500%, 11/25/35		148,842		86
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37		103,871		41
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1 5.970%, (US SOFR 1 Month plus 0.615%), 4/25/36		336,791		135
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 4.295%, (CSTR), 5/25/36		5,406		5
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B 5.662%, (US SOFR 1 Month plus 0.305%), 9/20/46		5,414		5
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A 5.667%, (US SOFR 1 Month plus 0.310%), 12/20/46		19,459		17
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1 5.892%, (US SOFR 1 Month plus 0.535%), 5/20/46		262,747		220

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A 5.682%, (US SOFR 1 Month plus 0.325%), 7/20/46		5,889		5
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 6.000%, 5/25/37		216,700		100
Countrywide Alternative Loan Trust, Series 2007-AL1, Class A1 5.720%, (US SOFR 1 Month plus 0.365%), 6/25/37		3,193,822		2,537
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1 5.750%, (US SOFR 1 Month plus 0.395%), 4/25/47		22,824		20
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2005-22, Class 3A1 4.301%, (CSTR), 10/25/35		8,640		7
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2005-HYB8, Class 1A1 4.488%, (CSTR), 12/20/35		1,229		1
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-16, Class 2A1 6.500%, 11/25/36		13,764		5
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-9, Class A1 6.000%, 5/25/36		95,900		43
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-OA4, Class A1 5.972%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		33,963		10
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-OA4, Class A2 6.010%, (US SOFR 1 Month plus 0.655%), 4/25/46		900,007		256
Countrywide Home Loan Mortgage Pass- Through Trust, Series 2007-HYB1, Class 3A1 4.377%, (CSTR), 3/25/37		4,833		4
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 6.500%, 4/25/33		241		–π
Credit Suisse Mortgage Trust, Series 2014-6R, Class 3A2 4.817%, (CSTR), 9/27/35 144A		151,982		127
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 5.500%, 12/25/35		272,503		225
EMF-NL BV, Series 2008-APRX, Class A2 4.785%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,∞		54,149		57
Eurosail-NL BV, Series 2007-NL2X, Class A 5.485%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,∞		3,758		4
Federal Home Loan Mortgage Corp. 5.000%, 11/1/52		20,576,717		20,383
5.500%, 12/1/52		19,844,333		19,964

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

182

Multi-Sector Bond Portfolio

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2003-W6, Class F 5.802%, (US 30 Day Average SOFR plus 0.465%), 9/25/42		12,717		13
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 5.750%, 5/25/37		160,894		71
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A 3.144%, 12/10/36 144A		1,000,000		969
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 5.778%, (CSTR), 9/25/35		680		1
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 6.000%, 2/25/36		69,920		32
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 4.630%, (CSTR), 1/25/36		823		1
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 4.285%, (CSTR), 3/25/47		6,426		4
HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A 6.090%, (US SOFR 1 Month plus 0.735%), (AFC), 11/19/35		3,343		2
HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A 5.950%, (US SOFR 1 Month plus 0.595%), (AFC), 6/19/35		7,805		7
HomeBanc Mortgage Trust, Series 2005-1, Class A1 5.970%, (US SOFR 1 Month plus 0.615%), 3/25/35		2,692		2
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A 5.910%, (US SOFR 1 Month plus 0.555%), 11/25/35		737,909		696
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1 4.995%, (CSTR), 10/25/34		13,494		13
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A 5.950%, (US SOFR 1 Month plus 0.595%), (AFC), 7/25/35		1,077		1
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A 6.070%, (US SOFR 1 Month plus 0.715%), 7/25/35		7,632		6
JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1 4.852%, (CSTR), 10/25/35		5,559		4
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 4.642%, (CSTR), 7/25/35		3,094		3
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 4.354%, (CSTR), 6/25/37		28,871		22

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Luminent Mortgage Trust, Series 2006-6, Class A1 5.870%, (US SOFR 1 Month plus 0.515%), 10/25/46		638,022		557
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A 4.015%, (CSTR), 2/25/36		427		–π
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 4.347%, (CSTR), 5/25/36		5,691		5
Mill City Mortgage Loan Trust, Series 2018-1, Class A1 3.250%, (AFC), 5/25/62 144A		551,619		538
New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A3 1.198%, (AFC), 7/25/55 144A		700,046		601
New Residential Mortgage Loan Trust, Series 2023-NQM1, Class A1A 6.864%, (AFC), 10/25/63 144A Σ		3,861,624		3,918
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1 5.470%, (CSTR), 8/25/35		835		1
OBX Trust, Series 2023-NQM8, Class A1 7.045%, (AFC), 9/25/63 144A Σ		2,604,587		2,657
Onslow Bay Financial LLC, Series 2023- NQM9, Class A1 7.159%, (AFC), 10/25/63 144A Σ		5,046,162		5,170
OPEN Trust, Series 2023-AIR, Class A 8.451%, (US SOFR 1 Month plus 3.089%), 10/15/28 144A		3,555,081		3,562
Preston Ridge Partners Mortgage Trust, Series 2023-NQM2, Class A1 6.250%, (AFC), 8/25/68 144A Σ		2,974,741		2,982
Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1 5.850%, (US SOFR 1 Month plus 0.495%), 8/25/36		3,573		4
Residential Accredit Loans, Inc., Series 2006- QA8, Class A1 5.850%, (US SOFR 1 Month plus 0.495%), 9/25/36		10,976		11
Residential Accredit Loans, Inc., Series 2007- QA1, Class A1 5.750%, (US SOFR 1 Month plus 0.395%), 1/25/37		1,788		2
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37		3,309,576		879
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 5.790%, (US SOFR 1 Month plus 0.435%), 10/25/35		30,737		28
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		210,270		176
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1 5.830%, (US SOFR 1 Month plus 0.475%), (AFC), 7/25/46		129,874		107

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

183

Multi-Sector Bond Portfolio

Structured Products (22.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Suntrust Alternative Loan Trust, Series 2005- 1F, Class 1A1 5.750%, (US SOFR 1 Month plus 0.765%), 12/25/35		4,420		4
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1 6.358%, (SONIO/N plus 1.144%), 10/20/51 144A GBP ∞		855,296		1,091
Towd Point Mortgage Trust, Series 2017-2, Class M1 3.750%, (AFC), 4/25/57 144A		2,500,000		2,393
Uniform Mortgage Backed Security TBA 5.000%, 1/16/54		15,000,000		14,839
5.500%, 2/13/54		18,700,000		18,783
6.000%, 2/13/54		22,200,000		22,541
6.500%, 2/13/54		32,800,000		33,608
Verus Securitization Trust, Series 2023-4, Class A1 5.811%, (AFC), 5/25/68 144A Σ		1,027,053		1,026
Verus Securitization Trust, Series 2023-7, Class A1 7.070%, (AFC), 10/25/68 144A Σ		2,947,009		3,002
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 4.745%, (CSTR, AFC), 2/25/33		458		–	π
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.972%, (CSTR), 10/25/36		13,371		12
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 3.864%, (CSTR), 3/25/36		90,742		82
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 4.485%, (CSTR), 8/25/36		5,630		5
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 3.704%, (CSTR), 2/25/37		2,228		2
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2 5.712%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		225,178		173
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 5.332%, (CSTR), 7/25/37		21,362		19
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 4.674%, (CSTR), 4/25/36		21,543		20
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 5.924%, (CSTR), 11/25/37		17,290		15
Total				174,413
Total Structured Products (Cost: $275,028)				271,530

Bank Loan Obligations (2.4%)	Shares/ Par +		Value $ (000’s)
Bank Loan Obligations (2.4%)
Albion Financing 3 SARL, 9.252%, (Euribor3 Month ACT/360 plus 5.250%), 8/17/26 EUR∞		1,400,000		1,548
Altice Financing SA, 8.406%, (US SOFR 3 Month plus 2.750%), 1/31/26		1,148,092		1,132
Altice France SA, 10.894%, (CME Term SOFR 1 Month plus 5.500%), 8/15/28		190,898		171
AmSurg Corp. First Out, 10.110%, (US SOFR 3 Month plus 4.750%), 11/3/26Æ		281,436		281
AmSurg Corp. Last Out, 13.258%, (US SOFR 3 Month plus 7.880%), 9/15/28Æ		986,556		987
Avolon TLB Borrower 1 LLC, 7.707%, (US SOFR 1 Month plus 2.250%), 12/1/27		1,167,000		1,167
Charter Communications Operating LLC, 7.133%, (US SOFR 1 Month plus 1.750%), 2/1/27		3,311,992		3,310
CommScope, Inc., 8.720%, (US SOFR 1 Month plus 3.250%), 4/6/26		478,750		427
Connect Finco SARL, 8.856%, (US SOFR 1 Month plus 3.500%), 12/11/26		1,158,000		1,157
Grifols SA, 6.223%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR∞		1,846,008		2,010
INEOS Quattro Holdings UK, Ltd., 6.593%, (Euribor 3 Month ACT/360 plus 2.750%), 1/29/26 EUR∞		1,100,000		1,215
INEOS US Petrochem LLC, 8.220%, (US SOFR 1 Month plus 2.750%), 1/29/26		2,131,578		2,131
Lumen Technologies, Inc., 7.720%, (US SOFR 1 Month plus 2.250%), 3/15/27		2,976,032		2,034
Setanta Aircraft Leasing DAC, 7.610%, (US SOFR 3 Month plus 2.000%), 11/5/28		4,000,000		4,010
SOCAR Turkey Energy, Inc., 7.387%, (Euribor 3 Month ACT/360 plus 3.450%), 8/11/26 EUR∞		5,800,000		6,291
Standard Industries, Inc., 7.721%, (US SOFR 1 Month plus 2.500%), 9/22/28		1,178,475		1,180
Total Bank Loan Obligations (Cost: $30,402)				29,051
Short-Term Investments (35.0%)
Financial (0.4%)
National Bank of Hungary 0.000%, 1/4/24 HUF∞ PO		1,911,000,000		5,509
Total				5,509
Governments (0.0%)
Argentina Treasury Bond BONCER 3.750%, 5/20/24 ARS∞		3,858,000		10
US Treasury 0.000%, 3/28/24b PO		61,000		60
Total				70

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

184

Multi-Sector Bond Portfolio

Short-Term Investments (35.0%)	Shares/ Par +		Value $ (000’s)
Repurchase Agreements (34.6%)
BNP Paribas SA repurchase (Purchased on 12/28/23, to be repurchased at $193,120,089, collateralized by US Treasury Note, 1.875%, due 2/15/32, par and fair value of $226,637,300 and $194,961,196,respectively) 5.600%, 1/2/24		193,000,000		193,000
Citigroup Global Markets, Inc. repurchase (Purchased on 12/29/23, to be repurchased at $193,529,455, collateralized by US Treasury Note, 0.375%, due 7/15/24,par and fair value of $202,326,000 and $197,342,932, respectively) 5.480%, 1/3/24		193,500,000		193,500

Short-Term Investments (35.0%)	Shares/ Par +		Value $ (000’s)
Repurchase Agreements continued
Citigroup Global Markets, Inc. repurchase (Purchased on 12/29/23, to be repurchased at $27,916,740, collateralized by US Treasury Note, 1.125%, due 10/31/26,par and fair value of $30,815,000 and $28,442,486, respectively) 5.400%, 1/2/24		27,900,000		27,900
JP Morgan Securities LLC repurchase (Purchased on 12/29/23, to be repurchased at $100,015, collateralized by US Treasury Note, 0.75%, due 5/31/26, par and fair value of $111,000 and $102,510, respectively) 5.490%, 1/3/24		100,000		100
Total				414,500
Total Short-Term Investments (Cost: $420,107)				420,079
Total Investments (121.3%) (Cost: $1,569,376)@				1,454,783
Other Assets, Less Liabilities (-21.3%)				(255,104	)
Net Assets (100.0%)				1,199,679

Reverse Repurchase Agreements

Reference Entity	Counterparty	Interest Rate		Borrowing Date		Maturity Date		Currency		Amount Borrowed (000’s)			Payable for Reverse Repurchase Agreements (000s)
INEOS Styrolution Group GmbH	BNP Paribas SA		2.900%		9/26/23		Open		EUR		(175	)	$	(193	)
Nexi SpA	Barclays Bank PLC		2.500%		9/20/23		Open		EUR		(846	)		(934	)
Nexi SpA	JP Morgan Securities PLC		2.750%		8/22/23		Open		EUR		(513	)		(566	)
Republic of Indonesia	Morgan Stanley & Co.		4.650%		10/25/23		Open		USD		(1,595	)		(1,595	)
	International PLC
Ubisoft Entertainment	Barclays Bank PLC		3.250%		11/29/23		Open		EUR		(326	)		(360	)
													$	(3,648	)

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		5,400		54		3/24	$	8,180	$	247		$	(66	)
Five-Year US Treasury Note Future		Long		USD		76,200		762		3/24		82,885		2,032			66
Long Gilt Future		Short		GBP		1,700		17		3/24		2,224		(151	)		16
Ten-Year US Treasury Note Future		Long		USD		60,200		602		3/24		67,960		2,296			–
Two-Year US Treasury Note Future		Long		USD		46,400		232		3/24		47,772		498			29
Ultra Long Term US Treasury Bond Future		Long		USD		21,000		210		3/24		28,055		2,405			(112	)
Ultra Ten-Year US Treasury Note Future		Long		USD		11,200		112		3/24		13,218		626			(10	)
													$	7,953		$	(77	)

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

185

Multi-Sector 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 JPY - MUTKCALM Compounded-OIS		0.400%		6/32		1,460,000		JPY	$	118		$	183		$	301		$	23
1-Day JPY - MUTKCALM Compounded-OIS		0.850%		9/33		370,000		JPY		10			(14	)		(4	)		7
6-Month Euribor		2.750%		3/54		6,900		EUR		(749	)		32			(717	)		111
									$	(621	)	$	201		$	(420	)	$	141

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		4.500%		3/34		2,900		GBP	$	75		$	312		$	387		$	(14	)
1-Day GBP-SONIO Compounded-OIS		4.250%		3/54		1,100		GBP		54			184			238			(11	)
3-Month Canada Bankers Acceptances		0.880%		3/24		12,600		CAD		–			(78	)		(78	)		1
3-Month Canada Bankers Acceptances		2.500%		6/29		8,000		CAD		96			(371	)		(275	)		11
6-Month AUD-BBR-BBSW		4.750%		12/33		23,300		AUD		(198	)		356			158			(7	)
6-Month Euribor		3.500%		3/26		4,500		EUR		5			83			88			(4	)
6-Month Euribor		3.250%		3/29		2,200		EUR		14			87			101			(6	)
6-Month Euribor		3.000%		3/34		38,300		EUR		778			1,244			2,022			(267	)
Canadian Overnight Repo Rate Average		3.750%		12/25		29,100		CAD		(411	)		365			(46	)		16
									$	413		$	2,182		$	2,595		$	(281	)

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	2.072%		5,336	USD	$	(95	)	$	(11	)	$	(106	)	$	(2	)
Markit CDX Emerging Markets Index, Series 36	1.000%	12/26	1.230%		35,236	USD		(1,193	)		970			(223	)		(23	)
Markit CDX Emerging Markets Index, Series 37	1.000%	6/27	1.441%		490	USD		(29	)		22			(7	)		–	π
Markit CDX Emerging Markets Index, Series 38	1.000%	12/27	1.447%		4,200	USD		(268	)		201			(67	)		(2	)
Markit CDX Emerging Markets Index, Series 39	1.000%	6/28	1.506%		2,100	USD		(122	)		80			(42	)		(1	)
Markit CDX Emerging Markets Index, Series 40	1.000%	12/28	1.667%		20,800	USD		(979	)		377			(602	)		(12	)
Markit CDX North America High Yield Index, Series 38	5.000%	6/27	2.793%		582	USD		(12	)		51			39			–	π

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

186

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 High Yield Index, Series 40		5.000%		6/28		3.362%		594		USD	$	1		$	35	$	36	$	–	π
Markit CDX North America High Yield Index, Series 41		5.000%		12/28		3.562%		90,090		USD		1,067			4,188		5,255		(42	)
Markit CDX North America Investment Grade Index, Series 36		1.000%		6/26		0.305%		800		USD		10			3		13		–	π
Markit CDX North America Investment Grade Index, Series 37		1.000%		12/26		0.378%		900		USD		8			8		16		–	π
Markit CDX North America Investment Grade Index, Series 38		1.000%		6/27		0.405%		300		USD		2			4		6		–	π
Markit CDX North America Investment Grade Index, Series 39		1.000%		12/27		0.478%		100		USD		1			1		2		–	π
Markit CDX North America Investment Grade Index, Series 40		1.000%		6/28		0.508%		800		USD		11			5		16		–	π
Markit CDX North America Investment Grade Index, Series 41		1.000%		12/28		0.567%		67,200		USD		805			498		1,303		(18	)
											$	(793	)	$	6,432	$	5,639	$	(100	)

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		0.400%		200		USD	$	–		$	1		$	1		$	–	π
AT&T, Inc.		1.000%		6/25		0.535%		100		USD		(1	)		2			1			–	π
AT&T, Inc.		1.000%		6/26		0.608%		100		USD		1			–			1			–	π
Carnival Corp.		1.000%		12/28		3.543%		600		USD		(132	)		70			(62	)		(1	)
Ford Motor Co.		5.000%		6/25		0.846%		200		USD		4			8			12			–	π
Ford Motor Co.		5.000%		12/25		0.967%		400		USD		8			22			30			–	π
Ford Motor Co.		5.000%		6/26		1.145%		1,000		USD		26			64			90			–	π
Ford Motor Co.		5.000%		6/27		1.562%		300		USD		20			13			33			–	π
Ford Motor Co.		5.000%		6/27		1.460%		900		USD		44			57			101			–	π
General Electric Co.		1.000%		6/24		0.145%		900		USD		(1	)		5			4			–	π
General Electric Co.		1.000%		12/26		0.313%		400		USD		3			5			8			–	π
General Electric Co.		1.000%		6/26		0.286%		3,800		USD		21			43			64			–	π
Glencore Finance Europe, Ltd.		5.000%		12/25		0.550%		2,700		EUR		280			(25	)		255			1
Glencore Finance Europe, Ltd.		5.000%		12/27		1.049%		1,600		EUR		281			(20	)		261			–	π
Glencore Finance Europe, Ltd.		5.000%		12/26		0.714%		700		EUR		94			–			94			–	π
Marks & Spencer PLC		1.000%		12/24		0.209%		2,900		EUR		(27	)		52			25			–	π
Marks & Spencer PLC		1.000%		6/27		0.670%		100		EUR		(5	)		6			1			–	π
Marks & Spencer PLC		1.000%		12/28		0.982%		500		EUR		(27	)		28			1			–	π
Volkswagen International Finance NV		1.000%		12/26		0.635%		3,100		EUR		39			(4	)		35			–	π
											$	628		$	327		$	955		$	–	π

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

187

Multi-Sector Bond Portfolio

 

	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	$	170	$	111	$	281	$		(410)	$		(188)	$		(598)	$	–

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	BNP Paribas SA		AUD		246		168		1/9/24	$	—	$	(5)	$	(5)
Sell	HSBC Bank PLC		AUD		1,222		833		1/9/24		—		(23)		(23)
Sell	UBS AG		AUD		988		673		1/9/24		—		(18)		(18)
Sell	Goldman Sachs Bank USA		CAD		2,481		1,873		1/9/24		—		(39)		(39)
Sell	JP Morgan Chase Bank NA		CNH		587		83		3/26/24		—		(1)		(1)
Buy	Bank of America NA		EUR		3,694		4,079		1/9/24		41		—		41
Buy	BNP Paribas SA		EUR		858		947		1/9/24		9		—		9
Buy	Goldman Sachs Bank USA		EUR		4,751		5,246		1/9/24		32		—		32
Sell	Barclays Bank PLC		EUR		42,152		46,544		1/9/24		—		(187)		(187)
Sell	BNP Paribas SA		EUR		5,529		6,105		1/9/24		—		(70)		(70)
Sell	UBS AG		EUR		103,501		114,287		1/9/24		—		(439)		(439)
Sell	Bank of America NA		GBP		899		1,146		1/9/24		—		(4)		(4)
Sell	Barclays Bank PLC		GBP		1,512		1,928		1/9/24		—		(9)		(9)
Sell	BNP Paribas SA		GBP		3,427		4,368		1/9/24		—		(21)		(21)
Sell	UBS AG		GBP		18,617		23,730		1/9/24		—		(171)		(171)
Buy	BNP Paribas SA		HUF		459		1		1/4/24		—		—π		—π
Sell	BNP Paribas SA		HUF		368,243		1,061		1/4/24		—		(13)		(13)
Sell	HSBC Bank PLC		HUF		419,560		1,209		1/4/24		—		(17)		(17)
Sell	JP Morgan Chase Bank NA		HUF		1,117,117		3,219		1/4/24		—		(38)		(38)
Sell	Goldman Sachs Bank USA		JPY		41,500		294		1/9/24		—		(13)		(13)
Sell	Goldman Sachs Bank USA		MXN		21,308		1,249		1/31/24		—		(35)		(35)
Sell	Royal Bank of Canada		MXN		31		2		4/19/24		—		—π		—π
Sell	Bank of America NA		PEN		10,817		2,922		1/22/24		—		(7)		(7)
Sell	BNP Paribas SA		PEN		521		141		1/22/24		—		(1)		(1)
Buy	Barclays Bank PLC		TRY		37,232		1,136		4/24/24		—		(14)		(14)
										$	82	$	(1,125)	$	(1,043)

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)
Intrum AB	Barclays Bank PLC	5.000%	12/24	6.009%	EUR		100	$	2	$	(3	)	$	(1	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.009%	EUR		200		4		(6	)		(2	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.009%	EUR		200		3		(5	)		(2	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.009%	EUR		200		3		(5	)		(2	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.009%	EUR		300		6		(9	)		(3	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.009%	EUR		300		7		(10	)		(3	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.009%	EUR		400		9		(13	)		(4	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.009%	EUR		400		9		(13	)		(4	)

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

188

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		6.009%		EUR		500	$	8		$	(13	)	$	(5	)
Intrum AB	Goldman Sachs International		5.000%		12/24		6.009%		EUR		600		13			(19	)		(6	)
Intrum AB	Goldman Sachs International		5.000%		12/24		6.009%		EUR		600		10			(16	)		(6	)
Intrum AB	JP Morgan Chase Bank NA		5.000%		12/24		6.009%		EUR		800		12			(20	)		(8	)
Intrum AB	Morgan Stanley Capital Services LLC		5.000%		12/24		6.009%		EUR		100		2			(3	)		(1	)
Intrum AB	Morgan Stanley Capital Services LLC		5.000%		12/24		6.009%		EUR		100		2			(3	)		(1	)
Intrum AB	Morgan Stanley Capital Services LLC		5.000%		12/24		6.009%		EUR		200		4			(6	)		(2	)
Republic of Indonesia	Barclays Bank PLC		1.000%		6/31		1.046%		USD		5,700		(180	)		163			(17	)
Republic of Turkey	Morgan Stanley Capital Services LLC		1.000%		12/28		2.796%		USD		3,000		(230	)		(1	)		(231	)
United Mexican States	Morgan Stanley Capital Services LLC		1.000%		12/26		0.438%		USD		300		–	π		5			5
United Mexican States	Morgan Stanley Capital Services LLC		1.000%		6/27		0.563%		USD		100		–	π		1			1
United Mexican States	Morgan Stanley Capital Services LLC		1.000%		6/28		0.783%		USD		100		(2	)		3			1
United Mexican States	Morgan Stanley Capital Services LLC		1.000%		12/28		0.883%		USD		300		(3	)		5			2
												$	(321	)	$	32		$	(289	)

	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	$	82	$	9	$	91	$	(1,125	)		—	$	(298	)	$	(1,423	)

Restricted Securities

Description	Acquisition Date	Cost (000’s)		Value (000’s)			Value as a Percentage of Net Assets
Corestate Capital Holding SA	8/22/23	$	–	$	–	π		–	%π
AmSurg Corp.	11/2/23		396		486			0.04	%
Constellation Oil - Class B	6/10/22		12		12			–	%π
DrillCo Holding Lux SA - Class B	6/8/23		54		67			0.01	%
DrillCo Holding Lux SA - Class C	6/8/23		484		600			0.05	%

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

* Non income producing

Æ Security valued using significant unobservable inputs.

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

189

Multi-Sector Bond Portfolio

d Restricted security – see accompanying table for additional details

π Amount is less than one thousand.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023 the value of these securities (in thousands) was $306,861 representing 25.5% of the net assets.

f Defaulted Security

∞ 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 December 31, 2023, the aggregate value of these securities was $198,100 (in thousands), representing 16.6% of net assets.

α Rate shown is the rate as of the period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future.

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 is 4.00%, Corestate Capital Holding SA with Par of 1,231,517 and 151,239 is 9.00%, and Corestate Capital Holding SA with Par of 200,000 is 11.00%.

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

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

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,566,256 and the net unrealized depreciation of investments based on that cost was $99,731 which is comprised of $33,141 aggregate gross unrealized appreciation and $132,872 aggregate gross unrealized depreciation.

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

190

Multi-Sector Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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
Bank Loan Obligations		$	—		$	27,783		$	1,268
Common Stocks
Real Estate			508			—			11
All Others			—			—			1,434
Convertible Corporate Bonds			—			733			—
Municipal Bonds			—			6,818			—
Corporate Bonds
Basic Materials			—			8,769			520
Financial			—			142,640			3,528
All Others			—			357,040			—
Governments			—			212,122			—
Structured Products
Asset Backed Securities			—			95,261			1,856
Mortgage Securities			—			174,413			—
Short-Term Investments			—			420,079			—
Other Financial Instruments^
Futures			8,104			—			—
Forward Foreign Currency Contracts			—			82			—
Interest Rate Swaps			—			3,295			—
Credit Default Swaps			—			7,712			—
Total Assets:		$	8,612		$	1,456,747		$	8,617
Liabilities:
Other Financial Instruments^
Futures			(151	)		—			—
Forward Foreign Currency Contracts			—			(1,125	)		—
Interest Rate Swaps			—			(1,120	)		—
Credit Default Swaps			—			(1,407	)		—
Reverse Repurchase Agreements			—			(3,648	)		—
Total Liabilities:		$	(151	)	$	(7,300	)	$	—

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

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended December 31, 2023.

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

191

Balanced Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Realize as high a level of total return as is consistent with prudent investment risk, through income and capital appreciation.	Invest in equity, fixed income and cash asset classes, attempting to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions.	$2.0 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC is the investment adviser for the Balanced Portfolio (the “Portfolio”). The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy for allocating assets across the equity, fixed income and cash asset classes. The Portfolio operates primarily as a “fund of funds” to gain the Portfolio’s equity, fixed income and cash asset class exposure. The Portfolio may invest in the underlying portfolios of Northwestern Mutual Series Fund, Inc. (each an “Underlying Portfolio”) and exchange-traded funds (“ETFs”) which are not portfolios of Northwestern Mutual Series Fund, Inc. The adviser allocates the Portfolio’s assets among the Underlying Portfolios and ETFs based on the adviser’s economic and market outlook and the investment objectives and strategies of the Underlying Portfolios and ETFs. Under normal market conditions, the Portfolio will typically hold between 35-55% of assets in equity investments, 40-60% of assets in fixed income investments, and 0-20% of assets in cash equivalent investments.

MARKET OVERVIEW

The U.S. equity market climbed a wall of worry in 2023 - stock prices jumped double digits despite a year filled with extraordinary events that had the potential to give any investor pause, including the Silicon Valley Bank crisis, U.S. debt default fears, as well as geopolitical tensions in the Middle East. In the end, investors focused on the U.S.’s resilient economic growth, rapidly declining inflation reports, and the widely held expectation late in the year that the U.S. Federal Reserve (the “Fed”) would prove successful in soft landing the economy in 2024.

In this environment, large-cap stocks, as represented by the S&P 500^® Index, posted a return of 26.29%, outperforming the S&P MidCap 400^® and the S&P SmallCap 600^® Indices, which returned 16.44% and 16.05%, respectively. Meanwhile, the broader bond market, as represented by the Bloomberg^® U.S. Aggregate Index, returned 5.53%, while the Bloomberg^® U.S. Corporate High Yield Index returned 13.45%.

PORTFOLIO RESULTS

The Portfolio returned 13.07% for the twelve months ended December 31, 2023, trailing the 26.29% return of the broad stock market, as measured by the S&P 500^® Index, but outpacing the Bloomberg^® U.S. Aggregate Index return of 5.53%. The Portfolio underperformed the Balanced Portfolio Blended Composite Benchmark return of 13.98% (the “Blended Benchmark”). (The benchmark weights are detailed in the “Benchmark Definitions” section of this annual report.) (These indices are unmanaged, cannot be invested in directly and do not incur expenses.)

Security selection within the Underlying Portfolios was the largest detractor to the Portfolio, driving underperformance relative to the Blended Benchmark. In particular, style differences and stock selection weighed on the Large Cap Blend Portfolio, the Domestic Equity Portfolio, the Mid Cap Growth Stock Portfolio and the Mid Cap Value Portfolio. On the upside, the Focused Appreciation Portfolio and the Select Bond Portfolio outperformed their respective benchmarks.

Tactical asset allocation relative to the Blended Benchmark was a modest detractor. Overweights to small and mid capitalization U.S. equities, and the resulting underweight to large cap U.S. equities, proved detrimental in a year where a few of the largest companies in the market had an outsized contribution to overall market results.

PORTFOLIO MANAGER OUTLOOK

Although economic events are incredibly difficult to time with precision even during “normal economic times”, the many twists and turns that have buffeted the economy during the four years since COVID-19 first appeared added another degree of difficulty for forecasting.

While the U.S. economy’s resilience in the face of an aggressive Fed tightening cycle has led many investors to position for a soft landing, we believe the U.S. economy is in the late stages of an economic cycle and history suggests that a recession will arrive in the near term. We believe that at the end of a business cycle, investors should pay greater heed to risk.

192

Balanced Portfolio (unaudited)

In contrast to the prior ten years that were characterized by low bond yields, we believe today’s higher yields, especially high-quality investment grade yields, offer an attractive alternative to equity market risk. We believe fixed income has once again returned to its historic role as an income-generation vehicle that can provide risk mitigation against falling equity prices.

Elsewhere, we favor U.S. small caps and mid caps given their historically significant valuation discounts. Within international markets, we favor neutral positioning in developed international but an underweight in emerging markets given currency and geopolitical risks.

Relative Performance   

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Balanced Portfolio	13.07%	6.73%	5.34%
S&P 500® Index	26.29%	15.70%	12.03%
Bloomberg® U.S. Aggregate Bond Index	5.53%	1.10%	1.81%
Balanced Portfolio Blended Composite Benchmark	13.98%	7.43%	5.92%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio	33.4%
iShares Core S&P 500 ETF	12.1%
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio	5.7%
iShares Core U.S. Aggregate Bond ETF	5.2%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio	4.3%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio	4.3%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio	4.3%
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio	4.2%
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio	4.2%
Northwestern Mutual Series Fund, Inc., International Growth Portfolio	3.6%

Sector Allocation 12/31/23

Sector	% of Net Assets
Fixed Income	48.3%
Domestic Equity	37.4%
Foreign Equity	10.1%
Short-Term Investments & Other Net Assets	4.2%

Sector Allocation and Top 10 Holdings are subject to change.

193

Balanced Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Investment Companies (95.8%)	Shares/ Par +		Value $ (000’s)
Domestic Equity (37.4%)
iShares Core S&P 500 ETF		497,300		237,525
iShares Core S&P Mid-Cap ETF		59,350		16,449
iShares Core S&P Small-Cap ETF		174,500		18,890
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		53,558,467		84,676
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		21,744,497		84,064
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		71,069,969		84,360
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		26,322,018		81,861
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		55,824,014		82,620
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		8,956,771		20,072
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		12,364,188		23,628
Total				734,145
Fixed Income (48.3%)
iShares Core U.S. Aggregate Bond ETF		1,036,500		102,873
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		78,594,240		52,658
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		114,291,071		111,320
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		594,369,954		656,184

Investment Companies (95.8%)	Shares/ Par +		Value $ (000’s)
Fixed Income continued
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		23,532,136		24,026
Total				947,061
Foreign Equity (10.1%)
iShares Core MSCI EAFE ETF		744,800		52,397
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		6,063,015		5,669
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		44,391,265		70,049
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		37,014,430		70,476
Total				198,591
Total Investment Companies (Cost: $1,937,360)				1,879,797
Short-Term Investments (2.3%)
Investment Companies (2.3%)
JPMorgan Ultra-Short Income ETF		452,950		22,752
PIMCO Enhanced Short Maturity Active ETF		225,400		22,492
Total				45,244
Total Short-Term Investments (Cost: $45,999)				45,244
Total Investments (98.1%) (Cost: $1,983,359)@				1,925,041
Other Assets, Less Liabilities (1.9%)				37,401
Net Assets (100.0%)				1,962,442

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

£ Affiliated Company

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,988,520 and the net unrealized depreciation of investments based on that cost was $63,479 which is comprised of $78,459 aggregate gross unrealized appreciation and $141,938 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,879,797	$	—	$	—
Short-Term Investments		45,244		—		—
Total Assets:	$	1,925,041	$	—	$	—

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

194

Asset Allocation Portfolio (unaudited)

Objective:	Portfolio Strategy:	Net Assets:
Realize as high a level of total return as is consistent with reasonable investment risk.	Invest in equity, fixed income and cash asset classes, attempting to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions.	$274 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC is the investment adviser for the Asset Allocation Portfolio (the “Portfolio”). The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy for allocating assets across the equity, fixed income and cash asset classes. The Portfolio operates primarily as a “fund of funds” to gain the Portfolio’s equity, fixed income and cash asset exposure. The Portfolio may invest in underlying portfolios of Northwestern Mutual Series Fund, Inc. (each, an “Underlying Portfolio”) and exchange-traded funds (“ETFs”) which are not portfolios of Northwestern Mutual Series Fund, Inc. The adviser allocates the Portfolio’s assets among the Underlying Portfolios and ETFs based on the adviser’s economic and market outlook and the investment objectives and strategies of the Underlying Portfolios and ETFs. Under normal market conditions, the Portfolio will typically hold between 55-75% of assets in equity investments, 25-45% of assets in fixed income investments, and 0-15% of assets in cash equivalent investments.

MARKET OVERVIEW

The U.S. equity market climbed a wall of worry in 2023 - stock prices jumped double digits despite a year filled with extraordinary events that had the potential to give any investor pause, including the Silicon Valley Bank crisis, U.S. debt default fears, as well as geopolitical tensions in the Middle East. In the end, investors focused on the U.S.’s resilient economic growth, rapidly declining inflation reports, and the widely held expectation late in the year that the U.S. Federal Reserve (the “Fed”) would prove successful in soft landing the economy in 2024.

In this environment, large-cap stocks, as represented by the S&P 500^® Index, posted a return of 26.29%, outperforming the S&P MidCap 400^® and the S&P SmallCap 600^® Indices, which returned 16.44% and 16.05%, respectively. Meanwhile, the broader bond market, as represented by the Bloomberg^® U.S. Aggregate Index, returned 5.53%, while the Bloomberg^® U.S. Corporate High Yield Index returned 13.45%.

PORTFOLIO RESULTS

The Portfolio returned 15.24% for the twelve months ended December 31, 2023, trailing the 26.29% return of the broad stock market, as measured by the S&P 500^® Index, but outpacing the Bloomberg^® U.S. Aggregate Index return of 5.53%. The Portfolio underperformed the Asset Allocation Portfolio Blended Composite Benchmark return of 16.69% (the “Blended Benchmark”). (The benchmark weights are detailed in the “Benchmark Definitions” section of this annual report.) (These indices are unmanaged, cannot be invested in directly and do not incur expenses.)

Security selection within the Underlying Portfolios was the largest detractor to the Portfolio, driving underperformance relative to the Blended Benchmark. In particular, style differences and stock selection weighed on the Large Cap Blend Portfolio, the Domestic Equity Portfolio, the Mid Cap Growth Stock Portfolio and the Mid Cap Value Portfolio. On the upside, the Focused Appreciation Portfolio and the Select Bond Portfolio outperformed their respective benchmarks.

Tactical asset allocation relative to the Blended Benchmark was a modest detractor. Overweights to small and mid capitalization U.S. equities, and the resulting underweight to large cap U.S. equities, proved detrimental in a year where a few of the largest companies in the market had an outsized contribution to overall market results.

PORTFOLIO MANAGER OUTLOOK

Although economic events are incredibly difficult to time with precision even during “normal economic times”, the many twists and turns that have buffeted the economy during the four years since COVID-19 first appeared added another degree of difficulty for forecasting.

While the U.S. economy’s resilience in the face of an aggressive Fed tightening cycle has led many investors to position for a soft landing, we believe the U.S. economy is in the late stages of an economic cycle and history suggests that a recession will arrive in the near term. We believe that at the end of a business cycle, investors should pay greater heed to risk.

195

Asset Allocation Portfolio (unaudited)

In contrast to the prior ten years that were characterized by low bond yields, we believe today’s higher yields, especially high-quality investment grade yields, offer an attractive alternative to equity market risk. We believe fixed income has once again returned to its historic role as an income-generation vehicle that can provide risk mitigation against falling equity prices.

Elsewhere, we favor U.S. small caps and mid caps given their historically significant valuation discounts. Within international markets, we favor neutral positioning in developed international but an underweight in emerging markets given currency and geopolitical risks.

Relative Performance   

Average Annual Total Returns For Periods Ended December 31, 2023
	1 Year	5 Years	10 Years
Asset Allocation Portfolio	15.24%	8.28%	6.26%
S&P 500® Index	26.29%	15.70%	12.03%
Bloomberg® U.S. Aggregate Bond Index	5.53%	1.10%	1.81%
Asset Allocation Portfolio Blended Composite Benchmark	16.69%	9.25%	7.06%

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

This chart assumes an initial investment of $10,000 made on 12/31/13. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/23

Security Description	% of Net Assets
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio	16.6%
iShares Core S&P 500 ETF	14.1%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio	6.0%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio	6.0%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio	5.9%
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio	5.4%
iShares Core U.S. Aggregate Bond ETF	5.4%
Northwestern Mutual Series Fund, Inc., International Growth Portfolio	5.3%
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio	5.2%
Northwestern Mutual Series Fund, Inc., International Equity Portfolio	5.2%

Sector Allocation 12/31/23

Sector	% of Net Assets
Domestic Equity	48.4%
Fixed Income	33.3%
Foreign Equity	15.1%
Short-Term Investments & Other Net Assets	3.2%

Sector Allocation and Top 10 Holdings are subject to change.

196

Asset Allocation Portfolio

 

SCHEDULE OF INVESTMENTS

December 31, 2023

 

Investment Companies (96.8%)	Shares/ Par +		Value $ (000’s)
Domestic Equity (48.4%)
iShares Core S&P 500 ETF		80,850		38,616
iShares Core S&P Mid-Cap ETF		7,750		2,148
iShares Core S&P Small-Cap ETF		18,700		2,024
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		10,450,209		16,522
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		4,255,773		16,453
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		13,555,613		16,091
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		4,583,686		14,255
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		9,679,091		14,325
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		2,656,345		5,953
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		3,286,023		6,280
Total				132,667
Fixed Income (33.3%)
iShares Core U.S. Aggregate Bond ETF		148,000		14,689
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		19,151,403		12,832
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		15,285,762		14,888
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		41,173,283		45,455

Investment Companies (96.8%)	Shares/ Par +		Value $ (000’s)
Fixed Income continued
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		3,216,199		3,284
Total				91,148
Foreign Equity (15.1%)
iShares Core MSCI EAFE ETF		139,600		9,821
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		2,939,849		2,749
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		9,036,199		14,259
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		7,554,455		14,383
Total				41,212
Total Investment Companies (Cost: $266,266)				265,027
Short-Term Investments (1.5%)
Investment Companies (1.5%)
JPMorgan Ultra-Short Income ETF		40,300		2,024
PIMCO Enhanced Short Maturity Active ETF		20,100		2,006
Total				4,030
Total Short-Term Investments (Cost: $4,097)				4,030
Total Investments (98.3%) (Cost: $270,363)@				269,057
Other Assets, Less Liabilities (1.7%)				4,766
Net Assets (100.0%)				273,823

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

£ Affiliated Company

@ At December 31, 2023, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $271,119 and the net unrealized depreciation of investments based on that cost was $2,062 which is comprised of $12,737 aggregate gross unrealized appreciation and $14,799 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	265,027	$	—	$	—
Short-Term Investments		4,030		—		—
Total Assets:	$	269,057	$	—	$	—

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

197

Benchmark Definitions (unaudited)

 

The following indices are used to illustrate investment market, sector or style performance or to serve as Portfolio performance comparisons. Unlike the Portfolios, the indices are not professionally managed and do not incur fees or expenses. It is not possible to invest directly in an index.

1/3 each: Bloomberg^® Global Aggregate — Credit Component ex Emerging Markets, Hedged USD; ICE BofA^® Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; JPMorgan^® EMBI Global — The Bloomberg^® Global Aggregate - Credit Component ex Emerging Markets, Hedged USD provides a broad-based measure of the global developed markets investment grade fixed income markets. The ICE BofA Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD tracks the performance of below investment grade bonds of corporate issuers domiciled in developed market countries rated BB1 through B3, based on an average of Moody’s, S&P and Fitch. Qualifying bonds are capitalization weighted provided the total allocation to an individual issuer (defined by Bloomberg tickers) does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face value of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. The index is rebalanced on the last calendar day of the month. The JPMorgan EMBI Global tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, Brady bonds, loans, Eurobonds and local market instruments. It is not possible to invest in an unmanaged index.

Asset Allocation Portfolio Blended Composite Benchmark — The Asset Allocation Portfolio Blended Composite Benchmark is an unmanaged, hypothetical combination of unmanaged indices that correspond to the Asset Allocation Portfolio’s model allocation and consists of the Russell 1000^® Index (33%), the Russell MidCap Index (11%), the Russell 2000^® Index (5%), the MSCI EAFE^® (Europe-Australasia-Far-East) Index (13%), the MSCI^® Emerging Markets Index (3%), the Bloomberg^® U.S. Aggregate Bond Index (24%), the Bloomberg^® U.S. Corporate High Yield 2% Issuer Capped Bond Index (8%), and the ICE BofA^® US 3-Month Treasury Bill Index (3%).

Balanced Portfolio Blended Composite Benchmark — The Balanced Portfolio Blended Composite Benchmark is an unmanaged, hypothetical combination of unmanaged indices that correspond to the Balanced Portfolio’s model allocation and consists of the Russell 1000^® Index (26%), the Russell^® MidCap Index (9%), the Russell 2000^® Index (3%), the MSCI EAFE^® (Europe-Australasia-Far-East) Index (9%), the MSCI^® Emerging Markets Index (2%), the Bloomberg^® U.S. Aggregate Bond Index (41%), the Bloomberg^® U.S. Corporate High Yield 2% Issuer Capped Bond Index (6%), and the ICE BofA^® US 3-Month Treasury Bill Index (4%).

Bloomberg^® 1-3 Year U.S. Government/Credit Bond Index — The Bloomberg^® 1-3 Year U.S. Government/Credit Bond Index is an unmanaged index of publicly issued medium and larger issues of U.S. Government, investment-grade corporate and investment-grade international dollar denominated bonds that have maturities of between one and three years.

Bloomberg^® U.S. Aggregate Bond Index — The Bloomberg^® U.S. Aggregate Index is an unmanaged index of publicly issued investment-grade fixed-rate debt securities including corporate, U.S. Treasury and government agency securities, mortgage pass-through and asset-backed securities with remaining maturities of at least one year regardless of call features.

Bloomberg^® U.S. Corporate High Yield 2% Issuer Capped Bond Index — The Bloomberg^® U. S. Corporate High Yield 2% Issuer Capped Index is an unmanaged index of U.S. Dollar-denominated, non-convertible, fixed-rate, noninvestment-grade debt. Issuers are capped at 2% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.

Bloomberg^® Global Credit Hedged USD Index — The Bloomberg^® Global Credit Hedged USD Index is an unmanaged index composed of investment-grade and high yield credit securities from the Multiverse represented in U.S. dollars on a hedged basis (Multiverse is the merger of two groups: the Global Aggregate and the Global High Yield).

Bloomberg^® Long-Term U.S. Treasury Index — The Bloomberg^® Long-Term U.S. Treasury Index is an unmanaged index comprised of fixed-income securities with various maturities greater than 10 years.

198

Benchmark Definitions (unaudited)

 

Bloomberg^® U.S. Treasury Inflation Protected Securities (TIPS) Index — The Bloomberg^® U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged index of inflation-protected public obligations of the U.S. Treasury. The index is market capitalization weighted and includes all publicly-issued U.S. Treasury Inflation-Protected Securities that have at least one year remaining to maturity and have $250 million or more of outstanding face value.

ICE BofA^® US 3-Month Treasury Bill Index — The ICE BofA^® US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.

MSCI^® All Country World (ex-US) Index — The MSCI^® All Country World (ex-US) Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S.

MSCI^® All Country World (ex-US) Growth Index — The MSCI^® All Country World (ex-US) Growth Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S., with higher historical and forecasted growth characteristics.

MSCI^® All Country World (ex-US) Value Index — The MSCI^® All Country World (ex-US) Value Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S., which captures large and mid cap securities exhibiting overall value style characteristics.

MSCI EAFE^® (Europe-Australasia-Far-East) Index — The MSCI EAFE^® (“Europe-Australasia-Far East”) Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity performance of companies in the developed markets, excluding the U.S. & Canada.

MSCI EAFE^® (Europe-Australasia-Far-East) Growth Index — The MSCI EAFE^® (“Europe-Australasia-Far East”) Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity performance of companies in the developed markets, excluding the U.S. & Canada, with higher historical and forecasted growth characteristics.

MSCI^® Emerging Markets Index — The MSCI^® Emerging Markets Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity market performance in the global emerging markets.

Russell 1000^® Index — The Russell 1000^® Index is an unmanaged, market capitalization-weighted, large cap index that measures the performance of the 1000 largest companies in the Russell 3000^® Index.

Russell 1000^® Growth Index — The Russell 1000^® Growth Index is an unmanaged index that measures the performance of those companies in the Russell 1000^® Index with higher price-to-book ratios and higher forecasted growth values.

Russell 1000^® Value Index — The Russell 1000^® Value Index is an unmanaged index that measures the performance of those companies in the Russell 1000^® Index with lower price-to-book ratios and lower forecasted growth values.

Russell 2000^® Index — The Russell 2000^® Index is an unmanaged, market capitalization-weighted index that measures the performance of the 2000 companies in the Russell 3000^® Index and represents approximately 10% of the total market capitalization of the Russell 3000^® Index.

Russell 2000^® Growth Index — The Russell 2000^® Growth Index is an unmanaged index that measures the performance of those companies in the Russell 2000^® Index with higher price-to-book ratios and higher forecasted growth values.

Russell 2000^® Value Index — The Russell 2000^® Value Index is an unmanaged index measures the performance of those companies in the Russell 2000^® Index with lower price-to-book ratios and lower forecasted growth values.

Russell 3000^® Index — The Russell 3000^® Index measures the performance of the 3000 largest U.S. companies representing approximately 98% of the investable U.S. equity market.

199

Benchmark Definitions (unaudited)

 

Russell MidCap^® Index — The Russell MidCap^® Index is an unmanaged index that measures the performance of the 800 smallest companies in the Russell 1000^® Index, which represents approximately 25% of the total market capitalization of the Russell 1000^® Index.

Russell MidCap^® Growth Index — The Russell MidCap^® Growth Index is an unmanaged index that measures the performance of the Russell MidCap^® companies with higher price-to-book ratios and higher forecasted growth values.

Russell MidCap^® Value Index — The Russell MidCap^® Value Index is an unmanaged index that measures the performance of the Russell MidCap^® companies with lower price-to-book and lower forecasted growth values.

S&P 500^® Index — The S&P 500^® Composite Stock Price Index is an unmanaged, capitalization-weighted index of 500 selected common stocks designed to measure the performance of the broad domestic economy.

S&P MidCap 400^® Index — The S&P MidCap 400^® Index is an unmanaged, capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market.

S&P SmallCap 600^® Index — The S&P SmallCap 600^® Index is an unmanaged index of 600 selected common stocks of U.S.-based companies with small market capitalizations.

200

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2023 (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)	$	1,065,893	$	1,263,170	$	664,461	$	190,783	$	5,427,329
Cash		1,613		18,849		4,690		1,048		51,298
Collateral with Counterparty		—		—		—		—		2,848
Receivable for Portfolio Shares Sold		20		336		41		17		884
Receivable for Investment Securities Sold		—		—		1,413		909		—
Prepaid Expenses and Other Assets		8		9		5		1		50
Dividends and Interest Receivable		173		720		444		142		5,059
Total Assets		1,067,707		1,283,084		671,054		192,900		5,487,468
Liabilities
Payable for Portfolio Shares Redeemed		202		3,294		44		3,763		1,323
Payable for Investment Securities Purchased		—		—		1,853		1,260		—
Variation Margin Payable		—		—		—		—		145
Investment Advisory Fees Payable		370		642		232		119		858
Compliance Fees Payable		3		3		3		2		6
Accrued Expenses		29		26		26		23		55
Total Liabilities		604		3,965		2,158		5,167		2,387
Net Assets	$	1,067,103	$	1,279,119	$	668,896	$	187,733	$	5,485,081
Represented By:
Aggregate Paid in Capital (10) (11)	$	688,742	$	594,358	$	492,575	$	134,558	$	1,691,270
Total Distributable Earnings (Loss)		378,361		684,761		176,321		53,175		3,793,811
Net Assets for Shares Outstanding (10) (11)	$	1,067,103	$	1,279,119	$	668,896	$	187,733	$	5,485,081
Net Asset Value, Offering and Redemption Price per Share	$	3.06	$	3.87	$	1.66	$	1.19	$	7.88
(1) Unaffiliated Investments, at Cost	$	645,913	$	693,361	$	524,439	$	177,089	$	1,810,073
(10) Shares Outstanding		349,044		330,808		403,771		158,083		695,921
(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.

201

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2023 (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)	$	148,485	$	1,042,633	$	709,525	$	1,081,378	$	1,277,509
Cash		3,406		13,089		6,165		863		12,826
Collateral with Counterparty		12		—		—		—		30
Receivable for Portfolio Shares Sold		20		289		412		125		317
Receivable for Investment Securities Sold		169		5,164		8		5,610		1,152
Receivable for Foreign Currency		1		—		—		—		—
Prepaid Expenses and Other Assets		1		8		5		8		27
Dividends and Interest Receivable		388		1,586		1,843		216		1,671
Total Assets		152,482		1,062,769		717,958		1,088,200		1,293,532
Liabilities
Payable for Portfolio Shares Redeemed		35		696		105		5,725		606
Payable for Investment Securities Purchased		212		4,551		—		—		1,638
Variation Margin Payable		—		—		—		—		173
Payable for Foreign Currency		121		—		—		—		—
Investment Advisory Fees Payable		83		426		329		468		235
Compliance Fees Payable		3		3		3		3		3
Accrued Expenses		30		27		30		30		63
Total Liabilities		484		5,703		467		6,226		2,718
Net Assets	$	151,998	$	1,057,066	$	717,491	$	1,081,974	$	1,290,814
Represented By:
Aggregate Paid in Capital (10) (11)	$	140,383	$	812,103	$	522,221	$	951,016	$	890,821
Total Distributable Earnings (Loss)		11,615		244,963		195,270		130,958		399,993
Net Assets for Shares Outstanding (10) (11)	$	151,998	$	1,057,066	$	717,491	$	1,081,974	$	1,290,814
Net Asset Value, Offering and Redemption Price per Share	$	0.80	$	1.58	$	1.66	$	3.11	$	2.17
(1) Unaffiliated Investments, at Cost	$	144,538	$	899,773	$	554,711	$	906,899	$	938,993
(10) Shares Outstanding		189,484		668,734		433,422		347,884		595,919
(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.

202

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2023 (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)	$	651,524	$	683,368	$	436,281	$	556,248	$	993,947
Cash		15,031		3,835		1,447		20,140		19,856
Collateral with Counterparty		430		—		53		—		—
Receivable for Portfolio Shares Sold		237		112		106		32		263
Receivable for Investment Securities Sold		3,310		808		1,608		98		3,939
Receivable for Foreign Currency		2		—		—		—		1
Prepaid Expenses and Other Assets		5		5		8		4		8
Dividends and Interest Receivable		1,527		159		559		617		2,028
Total Assets		672,066		688,287		440,062		577,139		1,020,042
Liabilities
Payable for Portfolio Shares Redeemed		3,498		173		73		581		307
Payable for Investment Securities Purchased		2,100		1,114		2,239		276		—
Accrued Foreign Capital Gains Tax		—		—		—		—		304
Variation Margin Payable		—		—		81		—		—
Payable for Foreign Currency		494		—		—		—		—
Investment Advisory Fees Payable		385		301		80		402		494
Compliance Fees Payable		3		3		3		3		3
Accrued Expenses		43		27		40		28		62
Total Liabilities		6,523		1,618		2,516		1,290		1,170
Net Assets	$	665,543	$	686,669	$	437,546	$	575,849	$	1,018,872
Represented By:
Aggregate Paid in Capital (10) (11)	$	629,855	$	615,734	$	347,187	$	430,718	$	733,882
Total Distributable Earnings (Loss)		35,688		70,935		90,359		145,131		284,990
Net Assets for Shares Outstanding (10) (11)	$	665,543	$	686,669	$	437,546	$	575,849	$	1,018,872
Net Asset Value, Offering and Redemption Price per Share	$	1.48	$	2.24	$	1.53	$	1.91	$	1.90
(1) Unaffiliated Investments, at Cost	$	645,869	$	570,185	$	360,596	$	434,023	$	742,022
(10) Shares Outstanding		449,599		306,371		286,743		301,356		534,992
(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.

203

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2023 (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)	$	815,228	$	1,841,187	$	910,032		$	290,028	$	378,718
Investments in Repurchase Agreements, at Value (3)		—		—		—			236,000		—
Cash		13,190		26,590		15,937			299		7,242
Foreign Currency, at Value (4)		—		5,085		378			—		—
Receivable for Portfolio Shares Sold		323		353		483			639		72
Receivable for Investment Securities Sold		—		5,172		165			—		1
Variation Margin Receivable		—		—		—			—		71
Receivable for Foreign Currency		2		1,345		—			—		—
Prepaid Expenses and Other Assets		6		14		7			4		3
Dividends and Interest Receivable		2,417		5,988		1,266			1,174		3,080
Total Assets		831,166		1,885,734		928,268			528,144		389,187
Liabilities
Payable for Portfolio Shares Redeemed		289		390		138			480		70
Payable for Investment Securities Purchased		1,380		3,093		—			1,115		3,727
Accrued Foreign Capital Gains Tax		298		2,150		5,566			—		—
Variation Margin Payable		—		—		—			—		1
Payable for Foreign Currency		—		350		—			—		—
Collateral from Counterparty		—		1,360		—			—		—
Investment Advisory Fees Payable		488		1,023		645			134		106
Compliance Fees Payable		3		4		3			3		3
Accrued Expenses		57		89		99			28		48
Total Liabilities		2,515		8,459		6,451			1,760		3,955
Net Assets	$	828,651	$	1,877,275	$	921,817		$	526,384	$	385,232
Represented By:
Aggregate Paid in Capital (10) (11)	$	672,727	$	1,827,424	$	936,358		$	526,382	$	391,987
Total Distributable Earnings (Loss)		155,924		49,851		(14,541	)		2		(6,755	)
Net Assets for Shares Outstanding (10) (11)	$	828,651	$	1,877,275	$	921,817		$	526,384	$	385,232
Net Asset Value, Offering and Redemption Price per Share	$	1.07	$	1.58	$	0.93		$	1.00	$	1.02
(1) Unaffiliated Investments, at Cost	$	675,492	$	1,816,768	$	874,347		$	290,028	$	385,729
(3) Investments in Repurchase Agreements, at Cost		—		—		—			236,000		—
(4) Foreign Currency, at Cost		—		4,804		591			—		—
(10) Shares Outstanding		773,317		1,189,053		986,173			526,380		377,351
(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.

204

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2023 (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)	$	2,948,774		$	164,862		$	410,904		$	705,763		$	1,040,283
Investments in Repurchase Agreements, at Value (3)		—			—			—			—			414,500
Cash		44,684			1,229			9,742			26,162			5,918
Foreign Currency, at Value (4)		—			—			—			—			1,772
Collateral with Counterparty		—			1,137			9,586			—			11,744
Receivable for Portfolio Shares Sold		618			47			132			190			376
Receivable for Investment Securities Sold		109,120			6,838			108			—			76,985
Receivable for Financing Transactions		—			142,759			—			—			—
Variation Margin Receivable		—			44			32			—			281
Outstanding Swap Contracts, at Value (8)		—			—			6,214			—			9
Receivable for Foreign Currency		—			—			—			—			87
Deferred Expense for Financing Transactions		—			53			—			—			—
Prepaid Expenses and Other Assets		23			2			10			5			10
Dividends and Interest Receivable		17,948			1,190			2,061			12,623			12,898
Total Assets		3,121,167			318,161			438,789			744,743			1,564,863
Liabilities
Payable for Portfolio Shares Redeemed		317			29			58			95			135
Payable for Investment Securities Purchased		215,890			18,659			7,222			—			357,447
Payable for Financing Transactions		—			176,261			—			—			—
Variation Margin Payable		—			27			86			—			598
Outstanding Options Written, at Value (6)		—			10			—			—			—
Payable for Reverse Repurchase Agreements		—			—			—			—			3,648
Outstanding Swap Contracts, at Value (9)		—			—			350			—			298
Payable for Foreign Currency		—			—			517			—			1,125
Collateral from Counterparty		450			2,041			13,087			—			1,165
Investment Advisory Fees Payable		716			52			140			262			681
Compliance Fees Payable		4			2			3			3			3
Accrued Expenses		93			31			37			39			84
Total Liabilities		217,470			197,112			21,500			399			365,184
Net Assets	$	2,903,697		$	121,049		$	417,289		$	744,344		$	1,199,679
Represented By:
Aggregate Paid in Capital (10) (11)	$	3,281,619		$	183,354		$	453,188		$	773,902		$	1,325,381
Total Distributable Earnings (Loss)		(377,922	)		(62,305	)		(35,899	)		(29,558	)		(125,702	)
Net Assets for Shares Outstanding (10) (11)	$	2,903,697		$	121,049		$	417,289		$	744,344		$	1,199,679
Net Asset Value, Offering and Redemption Price per Share	$	1.10		$	0.66		$	1.04		$	0.67		$	0.97
(1) Unaffiliated Investments, at Cost	$	3,005,235		$	184,589		$	452,544		$	754,983		$	1,154,876
(3) Investments in Repurchase Agreements, at Cost		—			—			—			—			414,500
(4) Foreign Currency, at Cost		—			—			—			—			1,794
(6) Premiums Received on Options Written		—			12			—			—			—
(8) Premiums Paid on Swap Contracts		—			155			5			—			3,970
(9) Premiums Received from Swap Contracts		—			7			1			—			4,664
(10) Shares Outstanding		2,630,454			184,782			402,912			1,111,056			1,231,187
(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.

205

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2023 (in thousands)

	Balanced Portfolio		Asset Allocation Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	473,378	$	71,328
Affiliated Investments, at Value (2)		1,451,663		197,729
Cash		15,180		2,114
Receivable for Portfolio Shares Sold		106		11
Receivable for Investment Securities Sold		22,538		3,230
Prepaid Expenses and Other Assets		15		2
Dividends and Interest Receivable		211		18
Total Assets		1,963,091		274,432
Liabilities
Payable for Portfolio Shares Redeemed		533		175
Payable for Investment Securities Purchased		—		397
Investment Advisory Fees Payable		82		11
Compliance Fees Payable		4		3
Accrued Expenses		30		23
Total Liabilities		649		609
Net Assets	$	1,962,442	$	273,823
Represented By:
Aggregate Paid in Capital (10) (11)	$	1,944,742	$	262,179
Total Distributable Earnings (Loss)		17,700		11,644
Net Assets for Shares Outstanding (10) (11)	$	1,962,442	$	273,823
Net Asset Value, Offering and Redemption Price per Share	$	1.29	$	1.08
(1) Unaffiliated Investments, at Cost	$	418,615	$	62,918
(2) Affiliated Investments, at Cost		1,564,744		207,445
(10) Shares Outstanding		1,524,855		254,643
(11) Shares Authorized, $.01 Par Value		4,000,000		2,000,000

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

206

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2023 (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)	$	129		$	723		$	194		$	263		$	2,295
Unaffiliated Dividends (1)		5,142			5,319			7,545			2,548			80,803
Total Income		5,271			6,042			7,739			2,811			83,098
Expenses
Investment Advisory Fees		3,867			8,424			2,611			1,414			9,934
Custodian Fees		11			5			12			5			12
Shareholder Reporting Fees		26			28			25			26			42
Audit Fees		29			27			31			26			36
Valuation Services		1			—			2			1			6
Compliance Fees		12			13			11			10			24
Directors Fees		38			41			36			32			77
Professional Fees		13			17			12			16			23
Trade Name Fees		—			—			—			—			119
Other Expenses		15			17			11			5			73
Total Expenses		4,012			8,572			2,751			1,535			10,346
Less Waived Fees:
Paid by Affiliate		(1	)		(1,409	)		(34	)		(124	)		(593	)
Net Expenses		4,011			7,163			2,717			1,411			9,753
Net Investment Income (Loss)		1,260			(1,121	)		5,022			1,400			73,345
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		19,895			117,334			42,459			38,892			97,736
Futures Contracts		—			—			—			—			5,101
Net Realized Gain (Loss) on Investments		19,895			117,334			42,459			38,892			102,837
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		344,106			350,354			93,947			(4,799	)		972,011
Futures Contracts		—			—			—			—			2,763
Net Change in Unrealized Appreciation (Depreciation) of Investments		344,106			350,354			93,947			(4,799	)		974,774
Net Gain (Loss) on Investments		364,001			467,688			136,406			34,093			1,077,611
Net Increase (Decrease) in Net Assets Resulting from Operations	$	365,261		$	466,567		$	141,428		$	35,493		$	1,150,956
(1) Net of Foreign Witholding Tax	$	34		$	425		$	5		$	28		$	22

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

207

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2023 (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)	$	181		$	647		$	355		$	58		$	640
Unaffiliated Dividends (1)		4,042			25,261			19,049			6,436			19,162
Total Income		4,223			25,908			19,404			6,494			19,802
Expenses
Investment Advisory Fees		1,053			5,332			4,383			5,394			2,971
Custodian Fees		21			3			20			19			23
Shareholder Reporting Fees		24			32			27			27			36
Audit Fees		30			27			28			30			32
Valuation Services		8			1			1			1			5
Compliance Fees		10			12			11			12			13
Directors Fees		32			41			37			41			42
Professional Fees		11			14			13			13			14
Trade Name Fees		—			—			—			—			115
Other Expenses		13			16			12			17			26
Total Expenses		1,202			5,478			4,532			5,554			3,277
Less Waived Fees:
Paid by Affiliate		(75	)		(371	)		(582	)		(4	)		(344	)
Net Expenses		1,127			5,107			3,950			5,550			2,933
Net Investment Income (Loss)		3,096			20,801			15,454			944			16,869
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		6,077			81,380			26,664			(24,840	)		43,433
Futures Contracts		—			—			—			—			1,146
Foreign Currency Transactions		(169	)		—			(22	)		—			—
Net Realized Gain (Loss) on Investments		5,908			81,380			26,642			(24,840	)		44,579
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(3,448	)		(64,424	)		22,318			169,115			119,782
Futures Contracts		—			—			—			—			697
Foreign Currency Transactions		(64	)		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) of Investments		(3,512	)		(64,424	)		22,318			169,115			120,479
Net Gain (Loss) on Investments		2,396			16,956			48,960			144,275			165,058
Net Increase (Decrease) in Net Assets Resulting from Operations	$	5,492		$	37,757		$	64,414		$	145,219		$	181,927
(1) Net of Foreign Witholding Tax	$	76		$	—		$	506		$	18		$	—

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

208

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2023 (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)	$	731		$	398	$	111		$	752		$	940
Unaffiliated Dividends (1)		17,895			4,191		6,625			8,426			14,363
Total Income		18,626			4,589		6,736			9,178			15,303
Expenses
Investment Advisory Fees		5,466			3,393		880			4,596			5,586
Custodian Fees		48			11		44			19			126
Shareholder Reporting Fees		34			33		31			30			36
Audit Fees		31			28		31			27			32
Valuation Services		9			2		7			2			13
Compliance Fees		11			11		10			11			12
Directors Fees		37			37		34			36			40
Professional Fees		13			12		7			12			22
Trade Name Fees		—			—		31			—			—
Other Expenses		19			11		16			10			15
Total Expenses		5,668			3,538		1,091			4,743			5,882
Less Waived Fees:
Paid by Affiliate		(1,021	)		—		—			(21	)		—
Net Expenses		4,647			3,538		1,091			4,722			5,882
Net Investment Income (Loss)		13,979			1,051		5,645			4,456			9,421
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		20,117			33,134		9,389			21,102			27,433
Futures Contracts		—			—		(86	)		—			—
Foreign Currency Transactions		(489	)		—		—			—			(34	)
Net Realized Gain (Loss) on Investments		19,628			33,134		9,303			21,102			27,399
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		6,910			74,030		44,706			46,170			144,323
Futures Contracts		—			—		112			—			—
Foreign Currency Transactions		(188	)		—		—			—			118
Net Change in Unrealized Appreciation (Depreciation) of Investments		6,722			74,030		44,818			46,170			144,441
Net Gain (Loss) on Investments		26,350			107,164		54,121			67,272			171,840
Net Increase (Decrease) in Net Assets Resulting from Operations	$	40,329		$	108,215	$	59,766		$	71,728		$	181,261
(1) Net of Foreign Witholding Tax	$	275		$	—	$	6		$	43		$	176

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

209

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2023 (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)	$	472		$	667		$	804		$	26,901		$	14,488
Unaffiliated Dividends (1)		20,073			59,299			23,921			—			—
Total Income		20,545			59,966			24,725			26,901			14,488
Expenses
Investment Advisory Fees		5,981			11,825			9,236			1,599			1,250
Custodian Fees		107			214			283			42			34
Shareholder Reporting Fees		34			42			36			10			32
Audit Fees		32			33			32			29			36
Valuation Services		19			13			13			4			55
Compliance Fees		11			15			12			11			10
Directors Fees		38			48			39			36			34
Professional Fees		19			6			19			10			11
Other Expenses		13			33			14			7			17
Total Expenses		6,254			12,229			9,684			1,748			1,479
Less Waived Fees:
Paid by Affiliate		(392	)		—			(1,665	)		(4	)		—
Net Expenses		5,862			12,229			8,019			1,744			1,479
Net Investment Income (Loss)		14,683			47,737			16,706			25,157			13,009
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		5,750			(15,117	)		(24,003	)		6			(4,186	)
Futures Contracts		—			—			—			—			(1,274	)
Swap Contracts		—			—			—			—			11
Foreign Currency Transactions		(105	)		8,889			(772	)		—			—
Net Realized Gain (Loss) on Investments		5,645			(6,228	)		(24,775	)		6			(5,449	)
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		75,747			229,626			66,796			—			11,894
Futures Contracts		—			—			—			—			(43	)
Foreign Currency Transactions		306			(952	)		298			—			—
Net Change in Unrealized Appreciation (Depreciation) of Investments		76,053			228,674			67,094			—			11,851
Net Gain (Loss) on Investments		81,698			222,446			42,319			6			6,402
Net Increase (Decrease) in Net Assets Resulting from Operations	$	96,381		$	270,183		$	59,025		$	25,163		$	19,411
(1) Net of Foreign Witholding Tax	$	831		$	1,633		$	1,512		$	—		$	—

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

210

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2023 (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)	$	117,288		$	5,404		$	15,079		$	46,890		$	59,869
Total Income		117,288			5,404			15,079			46,890			59,869
Expenses
Investment Advisory Fees		8,444			616			2,241			3,005			8,802
Custodian Fees		101			17			17			4			116
Shareholder Reporting Fees		40			24			33			37			40
Audit Fees		42			41			41			41			52
Valuation Services		64			13			17			37			86
Compliance Fees		18			9			10			11			12
Directors Fees		58			31			34			37			42
Professional Fees		18			10			11			13			15
Interest Expense		—			1,694			—			—			226
Other Expenses		52			16			28			14			24
Total Expenses		8,837			2,471			2,432			3,199			9,415
Less Waived Fees:
Paid by Affiliate		(163	)		(50	)		(224	)		—			(1,066	)
Net Expenses		8,674			2,421			2,208			3,199			8,349
Net Investment Income (Loss)		108,614			2,983			12,871			43,691			51,520
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(135,060	)		(28,110	)		(9,159	)		(15,561	)		(19,211	)
Futures Contracts		—			2,921			(1,948	)		—			(16,313	)
Options Written		—			82			—			—			—
Short Sales		—			(66	)		—			—			—
Swap Contracts		—			(167	)		2,525			—			7,779
Foreign Currency Transactions		—			—			363			—			(6,268	)
Reverse Repurchase Agreements		—			—			—			—			(18	)
Net Realized Gain (Loss) on Investments		(135,060	)		(25,340	)		(8,219	)		(15,561	)		(34,031	)
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		197,145			28,570			12,845			60,484			68,054
Futures Contracts		—			(2,135	)		816			—			9,893
Options Written		—			7			—			—			—
Short Sales		—			(30	)		—			—			—
Swap Contracts		—			145			(2,071	)		—			9,185
Foreign Currency Transactions		—			—			(505	)		—			2,798
Reverse Repurchase Agreements		—			—			—			—			(15	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		197,145			26,557			11,085			60,484			89,915
Net Gain (Loss) on Investments		62,085			1,217			2,866			44,923			55,884
Net Increase (Decrease) in Net Assets Resulting from Operations	$	170,699		$	4,200		$	15,737		$	88,614		$	107,404
(1) Net of Foreign Witholding Tax	$	1		$	—		$	—		$	—		$	—

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

211

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2023 (in thousands)

	Balanced Portfolio			Asset Allocation Portfolio
Investment Income
Income
Interest (1)	$	1,159		$	138
Unaffiliated Dividends (1)		10,792			1,520
Affiliated Dividends		30,140			3,755
Total Income		42,091			5,413
Expenses
Investment Advisory Fees		5,726			1,409
Custodian Fees		2			2
Shareholder Reporting Fees		26			23
Audit Fees		36			34
Valuation Services		1			—
Compliance Fees		15			10
Directors Fees		49			33
Professional Fees		15			12
Other Expenses		28			6
Total Expenses		5,898			1,529
Less Waived Fees:
Paid by Affiliate		(4,772	)		(1,277	)
Net Expenses		1,126			252
Net Investment Income (Loss)		40,965			5,161
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		4,816			(8	)
Affiliated Investment Securities		6,813			2,954
Distributions of Realized Gains by Affiliated Investment Companies		28,468			5,471
Net Realized Gain (Loss) on Investments		40,097			8,417
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		54,119			9,103
Affiliated Investment Securities		100,074			14,925
Net Change in Unrealized Appreciation (Depreciation) of Investments		154,193			24,028
Net Gain (Loss) on Investments		194,290			32,445
Net Increase (Decrease) in Net Assets Resulting from Operations	$	235,255		$	37,606

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

212

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 Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)		$	1,260		$	392		$	(1,121	)	$	(270	)	$	5,022		$	6,282
Net Realized Gain (Loss) on Investments			19,895			(61,676	)		117,334			75,764			42,459			39,905
Net Change in Unrealized Appreciation (Depreciation) of Investments			344,106			(462,439	)		350,354			(439,271	)		93,947			(202,614	)
Net Increase (Decrease) in Net Assets Resulting from Operations			365,261			(523,723	)		466,567			(363,777	)		141,428			(156,427	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments			(392	)		(151,353	)		(73,702	)		(127,992	)		(55,199	)		(115,717	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders			(392	)		(151,353	)		(73,702	)		(127,992	)		(55,199	)		(115,717	)
Capital Transactions:
Shares Sold			31,596			33,413			45,950			96,235			15,414			16,142
Reinvestment of Distributions Paid			392			151,353			73,702			127,992			55,199			115,717
Shares Redeemed			(80,457	)		(148,886	)		(197,327	)		(95,890	)		(54,141	)		(136,326	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions			(48,469	)		35,880			(77,675	)		128,337			16,472			(4,467	)
Total Increase (Decrease) in Net Assets			316,400			(639,196	)		315,190			(363,432	)		102,701			(276,611	)
Net Assets
Beginning of Period	��		750,703			1,389,899			963,929			1,327,361			566,195			842,806
End of Period		$	1,067,103		$	750,703		$	1,279,119		$	963,929		$	668,896		$	566,195
Portfolio Share Transactions:
Shares Sold			12,321			12,510			13,468			30,292			9,820			8,975
Reinvestment of Distributions Paid			138			65,014			20,337			45,052			35,681			77,924
Shares Redeemed			(30,806	)		(53,936	)		(56,929	)		(28,735	)		(34,495	)		(75,581	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions			(18,347	)		23,588			(23,124	)		46,609			11,006			11,318

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

213

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 Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,400		$	1,511		$	73,345		$	67,102		$	3,096		$	3,460
Net Realized Gain (Loss) on Investments		38,892			14,078			102,837			38,550			5,908			21,152
Net Change in Unrealized Appreciation (Depreciation) of Investments		(4,799	)		(42,548	)		974,774			(1,107,970	)		(3,512	)		(29,517	)
Net Increase (Decrease) in Net Assets Resulting from Operations		35,493			(26,959	)		1,150,956			(1,002,318	)		5,492			(4,905	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(16,333	)		(19,367	)		(102,966	)		(208,620	)		(24,155	)		(32,410	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(16,333	)		(19,367	)		(102,966	)		(208,620	)		(24,155	)		(32,410	)
Capital Transactions:
Shares Sold		4,962			41,532			307,603			306,887			15,882			22,204
Reinvestment of Distributions Paid		16,333			19,367			102,966			208,620			24,155			32,410
Shares Redeemed		(48,649	)		(21,772	)		(439,392	)		(343,625	)		(21,790	)		(92,445	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(27,354	)		39,127			(28,823	)		171,882			18,247			(37,831	)
Total Increase (Decrease) in Net Assets		(8,194	)		(7,199	)		1,019,167			(1,039,057	)		(416	)		(75,146	)
Net Assets
Beginning of Period		195,927			203,126			4,465,914			5,504,971			152,414			227,560
End of Period	$	187,733		$	195,927		$	5,485,081		$	4,465,914		$	151,998		$	152,414
Portfolio Share Transactions:
Shares Sold		4,348			35,594			43,380			44,050			17,828			20,292
Reinvestment of Distributions Paid		14,688			18,515			13,944			31,701			31,617			37,082
Shares Redeemed		(42,245	)		(19,365	)		(61,421	)		(48,998	)		(25,066	)		(83,073	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(23,209	)		34,744			(4,097	)		26,753			24,379			(25,699	)

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

214

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 Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	20,801		$	19,196		$	15,454		$	16,735		$	944		$	2,534
Net Realized Gain (Loss) on Investments		81,380			47,213			26,642			56,377			(24,840	)		(13,699	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		(64,424	)		(95,306	)		22,318			(103,767	)		169,115			(311,849	)
Net Increase (Decrease) in Net Assets Resulting from Operations		37,757			(28,897	)		64,414			(30,655	)		145,219			(323,014	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(65,750	)		(136,599	)		(73,266	)		(94,476	)		(2,522	)		(100,047	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(65,750	)		(136,599	)		(73,266	)		(94,476	)		(2,522	)		(100,047	)
Capital Transactions:
Shares Sold		79,014			132,917			24,796			29,320			19,633			28,886
Reinvestment of Distributions Paid		65,750			136,599			73,266			94,476			2,522			100,047
Shares Redeemed		(119,824	)		(140,578	)		(74,095	)		(164,225	)		(91,652	)		(72,666	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		24,940			128,938			23,967			(40,429	)		(69,497	)		56,267
Total Increase (Decrease) in Net Assets		(3,053	)		(36,558	)		15,115			(165,560	)		73,200			(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	$	1,057,066		$	1,060,119		$	717,491		$	702,376		$	1,081,974		$	1,008,774
Portfolio Share Transactions:
Shares Sold		50,536			75,132			14,994			15,597			6,883			9,486
Reinvestment of Distributions Paid		44,098			87,228			47,699			56,708			869			36,079
Shares Redeemed		(75,951	)		(79,436	)		(44,900	)		(87,588	)		(31,776	)		(23,199	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		18,683			82,924			17,793			(15,283	)		(24,024	)		22,366

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

215

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 Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	16,869		$	15,756		$	13,979		$	14,003		$	1,051		$	331
Net Realized Gain (Loss) on Investments		44,579			50,041			19,628			84,236			33,134			(75,603	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		120,479			(242,957	)		6,722			(107,181	)		74,030			(161,243	)
Net Increase (Decrease) in Net Assets Resulting from Operations		181,927			(177,160	)		40,329			(8,942	)		108,215			(236,515	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(65,023	)		(133,498	)		(94,795	)		(109,209	)		(192	)		(110,736	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(65,023	)		(133,498	)		(94,795	)		(109,209	)		(192	)		(110,736	)
Capital Transactions:
Shares Sold		78,609			75,177			48,106			41,682			35,093			46,128
Reinvestment of Distributions Paid		65,023			133,498			94,795			109,209			192			110,736
Shares Redeemed		(107,432	)		(96,244	)		(73,856	)		(86,631	)		(51,516	)		(44,750	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		36,200			112,431			69,045			64,260			(16,231	)		112,114
Total Increase (Decrease) in Net Assets		153,104			(198,227	)		14,579			(53,891	)		91,792			(235,137	)
Net Assets
Beginning of Period		1,137,710			1,335,937			650,964			704,855			594,877			830,014
End of Period	$	1,290,814		$	1,137,710		$	665,543		$	650,964		$	686,669		$	594,877
Portfolio Share Transactions:
Shares Sold		38,677			34,219			30,757			22,814			17,413			19,429
Reinvestment of Distributions Paid		32,560			68,007			68,444			69,076			92			56,182
Shares Redeemed		(52,277	)		(44,442	)		(46,611	)		(47,794	)		(25,232	)		(19,130	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		18,960			57,784			52,590			44,096			(7,727	)		56,481

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

216

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 Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	5,645		$	4,348		$	4,456		$	2,893		$	9,421		$	7,520
Net Realized Gain (Loss) on Investments		9,303			15,997			21,102			36,712			27,399			19,007
Net Change in Unrealized Appreciation (Depreciation) of Investments		44,818			(92,090	)		46,170			(165,134	)		144,441			(273,775	)
Net Increase (Decrease) in Net Assets Resulting from Operations		59,766			(71,745	)		71,728			(125,529	)		181,261			(247,248	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(20,110	)		(37,396	)		(39,232	)		(77,602	)		(28,510	)		(101,272	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(20,110	)		(37,396	)		(39,232	)		(77,602	)		(28,510	)		(101,272	)
Capital Transactions:
Shares Sold		49,586			44,672			23,020			23,597			68,224			138,892
Reinvestment of Distributions Paid		20,110			37,396			39,232			77,602			28,510			101,272
Shares Redeemed		(43,358	)		(35,801	)		(54,517	)		(47,754	)		(123,661	)		(66,828	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		26,338			46,267			7,735			53,445			(26,927	)		173,336
Total Increase (Decrease) in Net Assets		65,994			(62,874	)		40,231			(149,686	)		125,824			(175,184	)
Net Assets
Beginning of Period		371,552			434,426			535,618			685,304			893,048			1,068,232
End of Period	$	437,546		$	371,552		$	575,849		$	535,618		$	1,018,872		$	893,048
Portfolio Share Transactions:
Shares Sold		35,240			28,438			12,711			11,049			38,455			76,043
Reinvestment of Distributions Paid		14,733			26,826			22,599			41,521			16,414			64,959
Shares Redeemed		(30,488	)		(23,153	)		(29,716	)		(22,515	)		(69,164	)		(36,768	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		19,485			32,111			5,594			30,055			(14,295	)		104,234

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

217

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 Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	14,683		$	14,428		$	47,737		$	46,675		$	16,706		$	11,102
Net Realized Gain (Loss) on Investments		5,645			14,900			(6,228	)		4,035			(24,775	)		(27,311	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		76,053			(197,850	)		228,674			(174,257	)		67,094			(242,918	)
Net Increase (Decrease) in Net Assets Resulting from Operations		96,381			(168,522	)		270,183			(123,547	)		59,025			(259,127	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(28,569	)		(54,639	)		(54,274	)		(88,599	)		(19,064	)		(78,273	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(28,569	)		(54,639	)		(54,274	)		(88,599	)		(19,064	)		(78,273	)
Capital Transactions:
Shares Sold		75,096			110,188			80,865			127,200			100,737			188,456
Reinvestment of Distributions Paid		28,569			54,639			54,274			88,599			19,064			78,273
Shares Redeemed		(86,899	)		(160,696	)		(199,969	)		(142,665	)		(92,183	)		(68,584	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		16,766			4,131			(64,830	)		73,134			27,618			198,145
Total Increase (Decrease) in Net Assets		84,578			(219,030	)		151,079			(139,012	)		67,579			(139,255	)
Net Assets
Beginning of Period		744,073			963,103			1,726,196			1,865,208			854,238			993,493
End of Period	$	828,651		$	744,073		$	1,877,275		$	1,726,196		$	921,817		$	854,238
Portfolio Share Transactions:
Shares Sold		72,218			104,902			53,847			88,308			109,838			183,940
Reinvestment of Distributions Paid		28,008			58,940			36,038			67,325			21,229			88,544
Shares Redeemed		(83,330	)		(154,216	)		(133,003	)		(96,849	)		(100,009	)		(68,782	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		16,896			9,626			(43,118	)		58,784			31,058			203,702

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

218

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 Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	25,157		$	7,236		$	13,009		$	7,535		$	108,614		$	69,568
Net Realized Gain (Loss) on Investments		6			7			(5,449	)		(6,684	)		(135,060	)		(279,626	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		—			—			11,851			(19,193	)		197,145			(241,265	)
Net Increase (Decrease) in Net Assets Resulting from Operations		25,163			7,243			19,411			(18,342	)		170,699			(451,323	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(25,161	)		(7,243	)		(7,807	)		(6,405	)		(73,967	)		(55,391	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(25,161	)		(7,243	)		(7,807	)		(6,405	)		(73,967	)		(55,391	)
Capital Transactions:
Shares Sold		243,145			341,118			38,609			50,070			187,783			167,116
Reinvestment of Distributions Paid		25,161			7,243			7,807			6,405			73,967			55,391
Shares Redeemed		(284,441	)		(294,702	)		(55,526	)		(61,274	)		(241,401	)��		(357,593	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(16,135	)		53,659			(9,110	)		(4,799	)		20,349			(135,086	)
Total Increase (Decrease) in Net Assets		(16,133	)		53,659			2,494			(29,546	)		117,081			(641,800	)
Net Assets
Beginning of Period		542,517			488,858			382,738			412,284			2,786,616			3,428,416
End of Period	$	526,384		$	542,517		$	385,232		$	382,738		$	2,903,697		$	2,786,616
Portfolio Share Transactions:
Shares Sold		243,145			341,119			38,413			49,323			173,529			146,687
Reinvestment of Distributions Paid		25,161			7,243			7,862			6,418			70,445			50,817
Shares Redeemed		(284,441	)		(294,703	)		(55,337	)		(60,598	)		(223,248	)		(318,256	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(16,135	)		53,659			(9,062	)		(4,857	)		20,726			(120,752	)

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

219

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 Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,983		$	2,816		$	12,871		$	20,661		$	43,691		$	40,826
Net Realized Gain (Loss) on Investments		(25,340	)		(2,039	)		(8,219	)		(11,350	)		(15,561	)		(3,804	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		26,557			(41,935	)		11,085			(74,754	)		60,484			(129,365	)
Net Increase (Decrease) in Net Assets Resulting from Operations		4,200			(41,158	)		15,737			(65,443	)		88,614			(92,343	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(2,679	)		(1,876	)		(20,508	)		(25,627	)		(40,679	)		(40,651	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(2,679	)		(1,876	)		(20,508	)		(25,627	)		(40,679	)		(40,651	)
Capital Transactions:
Shares Sold		32,371			18,929			33,814			41,715			49,592			44,090
Reinvestment of Distributions Paid		2,679			1,876			20,508			25,627			40,679			40,651
Shares Redeemed		(15,679	)		(16,483	)		(55,810	)		(66,655	)		(83,267	)		(104,674	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		19,371			4,322			(1,488	)		687			7,004			(19,933	)
Total Increase (Decrease) in Net Assets		20,892			(38,712	)		(6,259	)		(90,383	)		54,939			(152,927	)
Net Assets
Beginning of Period		100,157			138,869			423,548			513,931			689,405			842,332
End of Period	$	121,049		$	100,157		$	417,289		$	423,548		$	744,344		$	689,405
Portfolio Share Transactions:
Shares Sold		50,464			25,388			32,100			35,489			76,343			65,171
Reinvestment of Distributions Paid		4,349			2,679			20,406			23,383			64,163			64,731
Shares Redeemed		(24,015	)		(21,977	)		(53,249	)		(57,454	)		(128,893	)		(154,215	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		30,798			6,090			(743	)		1,418			11,613			(24,313	)

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

220

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
	For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022			For the Year Ended December 31, 2023			For the Year Ended December 31, 2022
Change in Net Assets
Operations
Net Investment Income (Loss)	$	51,520		$	40,263		$	40,965		$	31,413		$	5,161		$	4,021
Net Realized Gain (Loss) on Investments		(34,031	)		(58,886	)		40,097			75,927			8,417			16,723
Net Change in Unrealized Appreciation (Depreciation) of Investments		89,915			(185,968	)		154,193			(438,806	)		24,028			(67,978	)
Net Increase (Decrease) in Net Assets Resulting from Operations		107,404			(204,591	)		235,255			(331,466	)		37,606			(47,234	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(29,062	)		(47,671	)		(111,419	)		(204,366	)		(21,214	)		(27,192	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(29,062	)		(47,671	)		(111,419	)		(204,366	)		(21,214	)		(27,192	)
Capital Transactions:
Shares Sold		94,136			98,697			60,580			64,833			12,637			13,330
Reinvestment of Distributions Paid		29,062			47,671			111,419			204,366			21,214			27,192
Shares Redeemed		(114,440	)		(98,178	)		(216,520	)		(231,813	)		(34,119	)		(29,134	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		8,758			48,190			(44,521	)		37,386			(268	)		11,388
Total Increase (Decrease) in Net Assets		87,100			(204,072	)		79,315			(498,446	)		16,124			(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	$	1,199,679		$	1,112,579		$	1,962,442		$	1,883,127		$	273,823		$	257,699
Portfolio Share Transactions:
Shares Sold		100,853			100,385			48,196			47,449			11,941			11,640
Reinvestment of Distributions Paid		31,692			52,850			91,778			169,037			20,984			26,949
Shares Redeemed		(122,889	)		(101,784	)		(173,156	)		(171,879	)		(32,410	)		(25,974	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		9,656			51,451			(33,182	)		44,607			515			12,615

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

221

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2023 (in thousands)

			Long-Term U.S.
	Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations			$	4,200
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities
Purchase of Investment Securities				(220,484)
Proceeds from Disposition of Investment Securities				185,314
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps				766
Proceeds from Securities Sold Short				5,450
Cash Paid for Terminated Options Written				(34)
Premiums Received for Options Written				86
Amortization (Accretion) of Premium/Discount, net				(1,071)
(Increase) Decrease in:
Receivable for Investment Securities Sold				2,041
Dividends and Interest Receivable				(321)
Increase (Decrease) in:
Directors Fees Payable				(3)
Compliance Fees Payable				(1)
Collateral from Counterparty				2,041
Investment Advisory Fees Payable				10
Accrued Expenses				(3)
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities				(28,570)
Futures Contracts				2,135
Options Written				(7)
Short Sales				30
Swap Contracts				(145)
Net Realized (Gain) Loss from:
Investment Securities				28,110
Futures Contracts				(2,921)
Options Written				(82)
Short Sales				66
Swap Contracts				167
Total Adjustments				(27,426)
Net Cash (Used in) Provided by Operating Activities				(23,226)
Cash Flows from Financing Activities
Cash Received from Financing Transactions				1,426,055
Cash (Used for) Financing Transactions				(1,419,046)
Proceeds from Reverse Repurchase Agreements				1,700
Payments on Reverse Repurchase Agreements				(1,700)
Proceeds from Portfolio Shares Sold				32,361
Payment on Portfolio Shares Redeemed				(15,662)
Net Cash (Used in) Provided by Financing Activities				23,708
Net Increase (Decrease) in Cash and Cash Equivalents				482
Cash and Restricted Cash, Beginning of Period				1,884
Cash and Restricted Cash, End of Period			$	2,366

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

222

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2023 (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:

Non-cash financing activities not included herein consist of reinvestment of dividends and distributions of $2,679.

Interest paid was $1,728 for the period ended December 31, 2023.

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

223

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	‡	$	1.02		$	1.02		$	(0.00	)‡	$	—		$	(0.00	)‡	$	3.06		49.69	%	$	1,067,103		0.43	%		0.43	%		0.14	%		9	%
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
Focused Appreciation Portfolio
2023	$	2.72	$	0.00	‡	$	1.38		$	1.38		$	—		$	(0.23	)	$	(0.23	)	$	3.87		50.99	%	$	1,279,119		0.74	%		0.62	%		(0.10	)%		7	%
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
Large Cap Core Stock Portfolio
2023	$	1.44	$	0.01		$	0.36		$	0.37		$	(0.02	)	$	(0.13	)	$	(0.15	)	$	1.66		25.78	%	$	668,896		0.45	%		0.44	%		0.82	%		63	%
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
Large Cap Blend Portfolio
2023	$	1.08	$	0.01		$	0.21		$	0.22		$	(0.01	)	$	(0.10	)	$	(0.11	)	$	1.19		20.61	%	$	187,733		0.82	%		0.75	%		0.75	%		119	%
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

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

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

^‡  Amount is less than $0.005.

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

224

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	$	0.11	$	1.54		$	1.65		$	(0.10	)	$	(0.05	)	$	(0.15	)	$	7.88		26.04	%	$	5,485,081		0.21	%		0.20	%		1.48	%		2	%
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
Large Company Value Portfolio
2023	$	0.92	$	0.02	$	0.01		$	0.03		$	(0.03	)	$	(0.12	)	$	(0.15	)	$	0.80		3.80	%	$	151,998		0.80	%		0.75	%		2.07	%		36	%
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
Domestic Equity Portfolio
2023	$	1.63	$	0.03	$	0.02		$	0.05		$	(0.03	)	$	(0.07	)	$	(0.10	)	$	1.58		3.71	%	$	1,057,066		0.54	%		0.50	%		2.04	%		23	%
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
Equity Income Portfolio
2023	$	1.69	$	0.04	$	0.11		$	0.15		$	(0.04	)	$	(0.14	)	$	(0.18	)	$	1.66		9.68	%	$	717,491		0.66	%		0.57	%		2.24	%		18	%
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

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

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

^‡  Amount is less than $0.005.

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

225

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	‡	$	0.41		$	0.41		$	(0.01	)	$	—		$	(0.01	)	$	3.11		14.96	%	$	1,081,974		0.54	%		0.54	%		0.09	%		39	%
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
Index 400 Stock Portfolio
2023	$	1.97	$	0.03		$	0.29		$	0.32		$	(0.03	)	$	(0.09	)	$	(0.12	)	$	2.17		16.15	%	$	1,290,814		0.28	%		0.25	%		1.42	%		19	%
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
Mid Cap Value Portfolio
2023	$	1.64	$	0.03		$	0.06		$	0.09		$	(0.04	)	$	(0.21	)	$	(0.25	)	$	1.48		6.26	%	$	665,543		0.88	%		0.72	%		2.17	%		50	%
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
Small Cap Growth Stock Portfolio
2023	$	1.89	$	0.00	‡	$	0.35		$	0.35		$	(0.00	)‡	$	—		$	(0.00	)‡	$	2.24		18.36	%	$	686,669		0.56	%		0.56	%		0.17	%		64	%
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

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

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

^‡  Amount is less than $0.005.

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

226

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	$	0.02	$	0.20		$	0.22		$	(0.02	)	$	(0.06	)	$	(0.08	)	$	1.53		15.76	%	$	437,546		0.28	%		0.28	%		1.45	%		25	%
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
Small Cap Value Portfolio
2023	$	1.81	$	0.02	$	0.22		$	0.24		$	(0.01	)	$	(0.13	)	$	(0.14	)	$	1.91		13.85	%	$	575,849		0.88	%		0.87	%		0.82	%		29	%
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
International Growth Portfolio
2023	$	1.63	$	0.02	$	0.31		$	0.33		$	(0.02	)	$	(0.04	)	$	(0.06	)	$	1.90		20.77	%	$	1,018,872		0.62	%		0.62	%		0.99	%		21	%
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
Research International Core Portfolio
2023	$	0.98	$	0.02	$	0.11		$	0.13		$	(0.02	)	$	(0.02	)	$	(0.04	)	$	1.07		12.95	%	$	828,651		0.80	%		0.75	%		1.87	%		15	%
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

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

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

^‡  Amount is less than $0.005.

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

227

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	$	0.04		$	0.19		$	0.23		$	(0.05	)	$	—		$	(0.05	)	$	1.58		16.09	%	$	1,877,275		0.68	%		0.68	%		2.65	%		14	%
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
Emerging Markets Equity Portfolio
2023	$	0.89	$	0.02		$	0.04		$	0.06		$	(0.02	)	$	—		$	(0.02	)	$	0.93		6.91	%	$	921,817		1.10	%		0.91	%		1.89	%		24	%
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
Government Money Market Portfolio
2023	$	1.00	$	0.05		$	—		$	0.05		$	(0.05	)	$	(0.00	)‡	$	(0.05	)	$	1.00		4.83	%	$	526,384		0.33	%		0.33	%		4.72	%		—	%
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			—
Short-Term Bond Portfolio
2023	$	0.99	$	0.03		$	0.02		$	0.05		$	(0.02	)	$	—		$	(0.02	)	$	1.02		5.26	%	$	385,232		0.38	%		0.38	%		3.38	%		56	%§
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	§

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

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

^‡  Amount is less than $0.005.

^**  During the years ended December 31, 2022, 2021 and 2020, MSA voluntarily agreed to waive a portion of its advisory fee to maintain a positive yield in the Government Money Market Portfolio. The Government Money Market Portfolio’s net expense ratio would increase by an amount of 0.04%, 0.25% and 0.08%, respectively, if such voluntary waiver were excluded for the years ended December 31, 2022, 2021 and 2020. See Note 7 - Investment Advisory, Sub-Advisory and Compliance Fees for more information.

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

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

228

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	$	0.04	$	0.02		$	0.06		$	(0.03	)	$	—		$	(0.03	)	$	1.10		6.19	%	$	2,903,697		0.31	%		0.31	%		3.86	%		248	%§
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	§
Long-Term U.S. Government Bond Portfolio
2023	$	0.65	$	0.02	$	0.01		$	0.03		$	(0.02	)	$	—		$	(0.02	)	$	0.66		3.33	%	$	121,049		2.21	%**		2.16	%**		2.67	%		32	%§
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	§
Inflation Protection Portfolio
2023	$	1.05	$	0.03	$	0.01		$	0.04		$	(0.05	)	$	—		$	(0.05	)	$	1.04		3.90	%	$	417,289		0.58	%		0.52	%		3.06	%		41	%§
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
High Yield Bond Portfolio
2023	$	0.63	$	0.04	$	0.04		$	0.08		$	(0.04	)	$	—		$	(0.04	)	$	0.67		13.24	%	$	744,344		0.45	%		0.45	%		6.12	%		17	%
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

^* 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.

^§ 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 0.69% and 0.65% respectively for the period ended December 31, 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 and 0.67% and 0.65% respectively in 2019.

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

229

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	$	0.04	$	0.04		$	0.08		$	(0.02	)	$	—		$	(0.02	)	$	0.97		9.71	%	$	1,199,679		0.83	%**		0.73	%**		4.53	%		26	%§
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	§
Balanced Portfolio
2023	$	1.21	$	0.03	$	0.13		$	0.16		$	(0.03	)	$	(0.05	)	$	(0.08	)	$	1.29		13.07	%	$	1,962,442		0.31	%		0.06	%		2.15	%		9	%
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
Asset Allocation Portfolio
2023	$	1.01	$	0.02	$	0.14		$	0.16		$	(0.02	)	$	(0.07	)	$	(0.09	)	$	1.08		15.24	%	$	273,823		0.58	%		0.10	%		1.95	%		11	%
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

^*  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.

^**  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 0.83% and 0.73% for the period ended December 31, 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, and 0.82% and 0.73% respectively in 2019.

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

^‡  Amount is less than $0.005.

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

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Notes to Financial Statements

NOTE 1. ORGANIZATION

Northwestern Mutual Series Fund, Inc. (the “Series Fund”) is registered as an open-end management investment company under the Investment Company Act of 1940, 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 (2020 to 2023) for major jurisdictions and concluded there was no material impact to the Portfolios’ net assets or results of operations. There is no material tax liability relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

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

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

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Notes to Financial Statements

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 have been discontinued. The ASUs are effective 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. Management does not anticipate the effect of this guidance will have a material impact on financial statements of the Series Fund.

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 ASU also requires 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 will have a material impact on financial statements of the Series Fund.

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

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Notes to Financial Statements

adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Additionally, for foreign securities, fair value procedures are used if a significant event occurs between the close of the foreign market and the U.S. market close. The fair value price is reflected as Level 2 in the fair value hierarchy when such fair value procedures are applied.

● 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 December 31, 2023 included, but were not limited to, broker quotes, liquidity, prepayment speed, duration, geopolitical events and recoverability.

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Notes to Financial Statements

A table summarizing each Portfolio’s investments under this hierarchy is included following each Portfolio’s Schedule of Investments. Transfers between investment levels may occur as markets fluctuate and/or the availability of data used in investments’ valuation changes. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. Additionally, U.S GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets categorized as Level 3 in the fair value hierarchy. In accordance with the requirements, a Level 3 reconciliation and details of significant unobservable inputs have been included in the notes to the Schedule of Investments for Portfolios that have a material amount of Level 3 investments. As of December 31, 2023, there were no Portfolios that owned a material amount of Level 3 securities.

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. Securities for which market quotations are readily available are priced at market value and all other securities and assets are valued at fair value as determined in good faith by the Board of Directors (the “Board”) of the Series Fund. The Board has designated MSA, the Portfolios’ investment adviser, as “valuation designee” under Rule 2a-5 of the 1940 Act to perform fair value determinations for the Portfolios’ investments that do not have readily available market quotations, subject to the Board’s oversight. MSA has adopted Valuation Policies and Procedures that govern MSA’s responsibilities for executing the fair valuation process. While the Board has designated MSA as valuation designee, the Board oversees MSA in its role as valuation designee.

NOTE 4. SECURITIES AND OTHER INVESTMENTS

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

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

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

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

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

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Notes to Financial Statements

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

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

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

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

H. Financing Transactions — Certain Portfolios may enter into financing transactions. In a financing transaction, the Portfolio transfers a security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. For U.S. GAAP purposes, a financing transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, the Portfolio is entitled to the interest on the security. The difference between the sale price and repurchase price is included in net investment income with the cost of the secured borrowing transaction being recorded in interest expense over the term of the borrowing. The Portfolio will benefit from the transaction if the income earned on the investment purchased with the cash received in the financing transaction exceeds the interest expense incurred by the Portfolio. If the interest expense exceeds the income earned, the Portfolio’s net investment income and dividends to shareholders may be adversely impacted. Financing transactions involve the risk that the market value of the securities that the Portfolio is required to repurchase may decline below the agreed upon repurchase price of those securities. For the year ended December 31, 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

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Notes to Financial Statements

of the borrower and lender that is selling the loan agreement. When the Portfolios purchase assignments from lenders they acquire direct rights against the borrower of the loan.

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

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

NOTE 5. DERIVATIVE INSTRUMENTS

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

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

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

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

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

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Notes to Financial Statements

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

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

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

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

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

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.

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Notes to Financial Statements

Credit Default Swaps — Credit default swap agreements involve one party making a series of payments to another party in exchange for the right to receive a cash payment equal to the notional value of the swap in the event of a default by a third party, typically corporate issues or sovereign issues of an emerging market country. A Portfolio may use credit default swaps to provide a measure of protection against defaults of the issuers where the Portfolio owns or has exposure to the corporate or sovereign issue or to take an active long or short position on the likelihood of a particular issuer’s default.

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

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

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

E. Derivative Disclosures — Derivative positions held by the Portfolios by contract type and primary risk exposure, including location on the Statement of Assets and Liabilities and value as of December 31, 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)	$	-		Payables –Variation Margin (Futures)	$	145
Large Company Value Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency		1		Payables – Foreign Currency		121
Index 400 Stock Portfolio
Equity contracts	Receivables – Variation Margin (Futures)		-		Payables – Variation Margin (Futures)		173
Mid Cap Value Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency		2		Payables – Foreign Currency		494
Index 600 Portfolio
Equity contracts	Receivables – Variation Margin (Futures)		-		Payables – Variation Margin (Futures)		81

238

Notes to Financial Statements

	Asset Derivatives					Liability Derivatives
Portfolio	Statement of Assets and Liabilities Location		Value			Statement of Assets and Liabilities Location	Value
International Growth Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency		$	1		Payables – Foreign Currency	$	-
Research International Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency			2		Payables – Foreign Currency		-
International Equity Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency			1,345		Payables – Foreign Currency		350
Short-Term Bond Portfolio
Interest rate contracts	Receivables – Variation Margin (Futures)			71		Payables – Variation Margin (Futures)		1
Long-Term U.S. Government Bond Portfolio
Interest rate contracts	Receivables – Variation Margin (Futures)			32		Payables – Variation Margin (Futures)		27
Interest rate contracts	Receivables – Variation Margin (Cleared Swap)			12		Payables – Variation Margin (Cleared Swap)		-
Interest rate contracts	Receivables – Outstanding Options Written, at Value			-		Payables – Outstanding Options Written, at Value		10
Inflation Protection Portfolio
Forward foreign currency contracts	Receivables – Foreign Currency			-		Payables – Foreign Currency		517
Interest rate contracts	Receivables – Variation Margin (Futures)			9		Payables – Variation Margin (Futures)		84
Inflation contracts	Receivables –Variation Margin (Cleared Swap)			23		Payables – Variation Margin (Cleared Swap)		2
Inflation contracts	Receivables – Outstanding Swaps Contracts, at Value			6,214		Payables – Outstanding Swaps Contracts, at Value		350
Multi-Sector Bond Portfolio
Credit contracts	Receivables – Outstanding Swaps Contracts, at Value			9		Payables – Outstanding Swaps Contracts, at Value		298
Credit contracts	Receivables – Variation Margin (Cleared Swap)			1		Payables – Variation Margin (Cleared Swap)		101
Forward foreign currency contracts	Receivables – Foreign Currency			87		Payables – Foreign Currency		1,125
Interest rate contracts	Receivables – Variation Margin (Futures)			111		Payables – Variation Margin (Futures)		188
Interest rate contracts	Receivables – Variation Margin (Cleared Swap)			169		Payables – Variation Margin (Cleared Swap)		309

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the year ended December 31, 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	$	–	$	5,101		$    –	$	–		$ 5,101
Large Company Value Portfolio
Forward foreign currency contracts		–		–		(169)		–		(169)
Equity Income Portfolio
Forward foreign currency contracts		–		–		(22)		–		(22)
Index 400 Stock Portfolio
Equity contracts		–		1,146		–		–		1,146
Mid Cap Value Portfolio
Forward foreign currency contracts		–		–		(489)		–		(489)

239

Notes to Financial Statements

	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options   Written		Futures		Forward  Foreign  Currency  Contracts		Swaps		Total
Index 600 Stock Portfolio
Equity contracts		$     –		$   (86)		$     –		$     –		$     (86)
International Growth Portfolio
Forward foreign currency contracts		–		–		(34)		–		(34)
Research International Core Portfolio
Forward foreign currency contracts		–		–		(105)		–		(105)
International Equity Portfolio
Forward foreign currency contracts		–		–		8,889		–		8,889
Emerging Markets Equity Portfolio
Forward foreign currency contracts		–		–		(772)		–		(772)
Short-Term Bond Portfolio
Credit contracts		–		–		–		11		11
Interest rate contracts		–		(1,274)		–		–		(1,274)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		82		2,921		–		(167)		2,836
Inflation Protection Portfolio
Forward foreign currency contracts		–		–		363		–		363
Interest rate contracts		–		(1,948)		–		–		(1,948)
Inflation contracts		–		–		–		2,525		2,525
Multi-Sector Bond Portfolio
Credit contracts		–		–		–		10,460		10,460
Forward foreign currency contracts		–		–		(6,268)		–		(6,268)
Interest rate contracts		–		(16,313)		–		(2,681)		(18,994)

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the year ended December 31, 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		$    –		$ 2,763		$     –		$     –		$  2,763
Large Company Value Portfolio
Forward foreign currency contracts		–		–		(64)		–		(64)
Equity Income Portfolio
Forward foreign currency contracts		–		–		–		–		–
Index 400 Stock Portfolio
Equity contracts		–		697		–		–		697
Mid Cap Value Portfolio
Forward foreign currency contracts		–		–		(188)		–		(188)
Index 600 Stock Portfolio
Equity Contracts		–		112		–		–		112
International Growth Portfolio
Forward foreign currency contracts		–		–		118		–		118
Research International Core Portfolio
Forward foreign currency contracts		–		–		306		–		306
International Equity Portfolio
Forward foreign currency contracts		–		–		(952)		–		(952)
Emerging Markets Equity Portfolio
Forward foreign currency contracts		–		–		298		–		298
Short-Term Bond Portfolio
Interest rate contracts		–		(43)		–		–		(43)

240

Notes to Financial Statements

	Change in Unrealized Appreciation (Depreciation) on  Derivative Instruments
Portfolio	Options Written		Futures		Forward  Foreign  Currency  Contracts		Swaps		Total
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		$    7		$ (2,135)		$     –		$    145		$ (1,983)
Inflation Protection Portfolio
Forward foreign currency contracts		–		–		(505)		–		(505)
Interest rate contracts		–		816		–		–		816
Inflation contracts		–		–		–		(2,071)		(2,071)
Multi-Sector Bond Portfolio
Credit contracts		–		–		–		5,150		5,150
Forward foreign currency contracts		–		–		2,798		–		2,798
Interest rate contracts		–		9,893		–		4,035		13,928

Volumes on derivative instruments by contract type and primary risk exposure, for the year ended December 31, 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		–		226		–		–		–
Large Company Value Portfolio
Forward foreign currency contracts		–		–		12,529		–		–
Equity Income Portfolio
Forward foreign currency contracts		–		–		–		–		–
Index 400 Stock Portfolio
Equity contracts		–		51		–		–		–
Mid Cap Value Portfolio
Forward foreign currency contracts		–		–		56,053		–		–
Index 600 Stock Portfolio
Equity contracts		–		24		–		–		–
International Growth Portfolio
Forward foreign currency contracts		–		–		–		–		–
Research International Core Portfolio
Forward foreign currency contracts		–		–		–		–		–
International Equity Portfolio
Forward foreign currency contracts		–		–		140,720		–		–
Emerging Markets Equity Portfolio
Forward foreign currency contracts		–		–		7		–		–
Short-Term Bond Portfolio
Credit contracts		–		–		–		159		–
Interest rate contracts		–		590		–		–		–
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		14		476		–		22,674		1,400
Inflation Protection Portfolio
Forward foreign currency contracts		–		–		12,720		–		–
Interest rate contracts		–		294		–		–		–
Inflation contracts		–		–		–		179,008		–
Multi-Sector Bond Portfolio
Credit contracts		–		–		–		270,832		–
Forward foreign currency contracts		–		–		585,285		–		–
Interest rate contracts		–		2,369		–		1,631,440		–

241

Notes to Financial Statements

NOTE 6. PORTFOLIO RISK

In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Portfolios’ income. Similar to credit risk, the Portfolios may be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Portfolios’ investments may be illiquid and the Portfolios may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Portfolio is required to liquidate all or a portion of its investments quickly, the Portfolio may realize significantly less than the value at which it previously recorded those investments.

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 certain Portfolios of the Series Fund invests may, pursuant to their original terms, 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. The maintenance of LIBOR reference rates, including rates for all U.S. dollar LIBOR settings, was discontinued in 2023. (U.S. dollar LIBOR 1-, 3- and 6-month settings continue to be published under an unrepresentative synthetic methodology until September 30, 2024, following which date the publication of all U. S. dollar settings will cease permanently.) Replacement reference rates for all LIBOR currencies have been established and are being employed with respect to new issuances. In cases where existing instruments held in the Portfolios rely upon LIBOR interest rates, such instruments may contain an explicit designation of an alternative “fall-back” reference rate or procedures for the determination of a replacement rate, in the event of the discontinuation of LIBOR. In instances where such instruments do not provide for the determination of a replacement reference rate, uncertainty may exist as the designation of an applicable rate will be contingent upon the agreement of the parties to the instrument.

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-

242

Notes to Financial Statements

buyback financing transactions. Master Securities Forward Transaction Agreements are in place that govern the settlement of certain forward settling transactions including to-be-announced securities, delayed-delivery or sale-buyback financing transactions. Customer Account Agreements and related addenda are in place that govern certain cleared derivative transactions including futures and cleared OTC derivatives. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA agreements”) are in place that governs certain OTC financial derivative transactions. ISDA agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA agreement. The terms of Master Agreements may reduce counterparty risk with respect to transactions governed by the Master Agreement under certain circumstances. Certain Portfolios have agreements with counterparties that contain provisions, or contingency features, that allow net settlement in the event of contract termination and permit termination by either party prior to maturity upon the occurrence of certain stated events, such as failure to pay or bankruptcy. In addition, certain agreements specify other events, the occurrence of which would allow one of the parties to terminate. For example, a downgrade in credit rating of a counterparty would allow the Portfolio to terminate while a decline in the Portfolio’s net assets of more than a certain percentage would allow the counterparty to terminate. In such a situation, the counterparty involved would have the option to waive the triggering event or liquidate the affected positions pursuant to the terms of the related agreement. The aggregate amount of derivatives in a liability position is disclosed in Note 5.

Offsetting Assets and Liabilities

Certain Portfolios are parties to enforceable master netting or similar agreements which provide for the right of offset under certain circumstances. The Portfolios have made an accounting policy election not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities. As such, all financial and derivative instruments are presented on a gross basis on the Statements of Assets and Liabilities. The impacts of netting arrangements that provide the right to offset are detailed below (amounts in thousands). The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing transactions such as repurchase agreements and certain forward settling transactions can only be netted across transactions governed under the same Master Agreement with the same legal entity. For certain Portfolios, derivative amounts do not reconcile to the Statements of Assets and Liabilities due to the Statements of Assets and Liabilities including derivatives that are not covered under master netting or similar agreements. The amount of collateral, for the year ended December 31, 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 Contracts		Swaps		Total Assets		Forward Foreign Currency Contracts			Swaps		Total Liabilities			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Bank of America NA	$	1	$	–	$	1	$	(59	)	$	–	$	(59	)	$	(58	)	$	–	$	(58)
Goldman Sachs International		–		–		–		(20	)		–		(20	)		(20	)		10		(10)
Morgan Stanley Capital Services  LLC		–		–		–		(42	)		–		(42	)		(42	)		–		(42)
Total	$	1	$	–	$	1	$	(121	)	$	–	$	(121	)	$	(120	)	$	10	$	(110)
Mid Cap Value Portfolio
	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts		Swaps		Total Assets		Forward Foreign Currency Contracts			Swaps		Total Liabilities			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Bank of America NA	$	2	$	–	$	2	$	(438	)	$	–	$	(438	)	$	(436	)	$	436	$	–
Goldman Sachs International		–		–		–		(56	)		–		(56	)		(56	)		56		–
Total	$	2	$	–	$	2	$	(494	)	$	–	$	(494	)	$	(492	)	$	492	$	–

243

Notes to Financial Statements

International Equity Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts		Swaps		Total Assets		Forward Foreign Currency Contracts		Swaps			Total Liabilities		Net Market Value		Collateral Pledged/ (Received)		Net Exposure
Bank of America NA	$	218	$	–	$	218	$	(21)	$	–		$	(21)	$	197	$	(180)	$	17
Barclays Bank PLC		17		–		17		(1)		–			(1)		16		–		16
Citibank NA		28		–		28		–		–			–		28		–		28
Goldman Sachs Bank USA		13		–		13		–		–			–		13		(13)		–
HSBC Bank USA		460		–		460		(188)		–			(188)		272		(260)		12
JP Morgan Chase Bank NA		564		–		564		(9)		–			(9)		555		(555)		–
State Street Bank And Trust
Company		–		–		–		(30)		–			(30)		(30)		–		(30)
UBS AG		45		–		45		(101)		–			(101		(56)		–		(56)
Total	$	1,345	$	–	$	1,345	$	(350)	$	–		$	(350)	$	995	$	(1,008)	$	(13)
Long–Term Government Bond Portfolio
	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts		Purchased Options		Total Assets		Forward Foreign Currency Contracts		Written Options			Total Liabilities		Net Market Value		Collateral Pledged/ (Received)		Net Exposure
JP Morgan Chase Bank NA	$	–	$	–	$	–	$	–	$	(10	)	$	(10)	$	(10)	$	–	$	(10)
Total	$	–	$	–	$	–	$	–	$	(10	)	$	(10)	$	(10)	$	–	$	(10)
Inflation Protection Portfolio
	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts		Swaps		Total Assets		Forward Foreign Currency Contracts		Swaps			Total Liabilities		Net Market Value		Collateral Pledged/ (Received)		Net Exposure
Bank of America NA	$	–	$	1,775	$	1,775	$	–	$	–		$	–	$	1,775	$	(1,775)	$	–
Barclays Bank PLC		–		374		374		–		(350	)		(350)		24		–		24
Goldman Sachs International		–		4,065		4,065		(517)		–			(517)		3,548		(3,548)		–
Total	$	–	$	6,214	$	6,214	$	(517)	$	(350	)	$	(867)	$	5,347	$	(5,323)	$	24
Multi–Sector Bond Portfolio
	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts		Swaps		Total Assets		Forward Foreign Currency Contracts		Swaps			Total Liabilities		Net Market Value		Collateral Pledged/ (Received)		Net Exposure
Bank of America NA	$	41	$	–	$	41	$	(11)	$	–		$	(11)	$	30	$	–	$	30
Barclays Bank PLC		–		–		–		(210)		(18	)		(228)		(228)		228		–
BNP Paribas SA		9		–		9		(110)		–			(110)		(101)		–		(101)
Goldman Sachs International		–		–		–		–		(37	)		(37)		(37)		–		(37)
Goldman Sachs Bank USA		32		–		32		(87)		–			(87)		(55)		–		(55)
HSBC Bank USA NA		–		–		–		(40)		–			(40)		(40)		40		–
JP Morgan Chase Bank NA		–		–		–		(39)		(8	)		(47)		(47)		47		–
Morgan Stanley Capital Services  LLC		5		9		14		–		(235	)		(235)		(221)		–		(221)
Royal Bank of Canada		–		–		–		–π		–			–π		–π		–		–π
UBS AG		–		–		–		(628)		–			(628)		(628)		628		–
Total	$	87	$	9	$	96	$	(1,125)	$	(298	)	$	(1,423)	$	(1,327)	$	943	$	(384)

244

Notes to Financial Statements

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

Government Money Market Portfolio

Counterparty	Investment in Repurchase Agreements		Payable for Reverse Repurchase Agreements		Payable for Financing Transactions		Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Bank of Montreal	$	20,000	$	-	$	-	$	20,000		$	(20,000)	$	-
Bank of Nova Scotia		20,000		-		-		20,000			(20,000)		-
BNP Paribas		20,000		-		-		20,000			(20,000)		-
Citigroup Global Markets, Inc.		20,000		-		-		20,000			(20,000)		-
Goldman Sachs Group LP		30,000		-		-		30,000			(30,000)		-
Mitsubishi UFJ		30,000		-		-		30,000			(30,000)		-
Mizuho Securities		30,000		-		-		30,000			(30,000)		-
Morgan Stanley		30,000		-		-		30,000			(30,000)		-
Natixis S.A.		20,000		-		-		20,000			(20,000)		-
TD Securities		16,000		-		-		16,000			(16,000)		-
Total	$	236,000	$	-	$	-	$	236,000		$	(236,000)	$	-
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.	$	-	$	-	$	(21,488)	$	(21,488	)	$	21,322	$	(166)
Goldman Sachs International		-		-		(82,091)		(82,091	)		82,071		(20)
Morgan Stanley Capital
Services		-		-		(72,682)		(72,682	)		72,639		(43)
Total	$	-	$	-		$(176,261)	$	(176,261	)	$	176,032	$	(229)

The Long-Term U.S. Government Bond Portfolio average amount of borrowings outstanding during the year ended December 31, 2023 was $47,877 (amount in thousands) at a weighted average interest rate of 5.046%. Average borrowings include reverse repurchase agreements and sale-buyback 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	$	-	$	(1,294)	$	-	$	(1,294)		$	1,294	$	-
BNP Paribas SA		193,000		(193)		-		192,807			(192,807)		-
Citigroup Global Markets, Inc.		221,400		-		-		221,400			(221,400)		-
JP Morgan Securities LLC		100		-		-		100			(100)		-
JP Morgan Securities PLC		-		(566)		-		(566)			566		-
Morgan Stanley & Co.
International PLC		-		(1,595)		-		(1,595	)		1,595		-
Total	$	414,500	$	(3,648)	$	-	$	410,852		$	(410,852)	$	-

The Multi- Sector Bond Portfolio average amount of borrowings outstanding during the year ended December 31, 2023 was $2,601 (amount in thousands) at a weighted average interest rate of 2.652%. 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.

245

Notes to Financial Statements

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%
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%

246

Notes to Financial Statements

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 antitrust claim filing services and such non-recurring and extraordinary expenses as they may arise) will not exceed the following 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

247

Notes to Financial Statements

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 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%

248

Notes to Financial Statements

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 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 – For the period from January 1, 2023 through October 31, 2023, MSA agreed to waive a portion of its management fee such that the management fee was 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. Effective November 1, 2023, MSA has agreed to waive a portion of its management fee such that its management fee is 0.42% on the Portfolio’s first $100 million of average net assets, 0.40% on the next $150 million, and 0.38% 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.

249

Notes to Financial Statements

A summary of the Portfolios’ capital loss carryovers as of December 31, 2023 is provided below:

	Short- Term Loss Carryover		Long- Term Loss Carryover		Losses Utilized
	(Amounts in thousands)
Growth Stock Portfolio	$	31,267	$	3,430	$	19,875
Mid Cap Growth Stock Portfolio		8,931		30,596		6,916
Small Cap Growth Stock Portfolio		34,846		5,658		34,731
International Equity Portfolio		847		14,870		181
Emerging Markets Equity Portfolio		41,440		10,165		–
Short-Term Bond Portfolio		6,934		5,911		–
Select Bond Portfolio		253,310		169,562		–
Long-Term U.S. Government Bond Portfolio		–		16,860		–
Inflation Protection Portfolio		10,133		11,292		–
High Yield Bond Portfolio		1,229		23,390		–
Multi-Sector Bond Portfolio		45,944		45,169		–

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

When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the years ended December 31, 2023 and 2022 was as follows:

	2023 Distributions Paid From:				2022 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain		Ordinary Income		Long-term Capital Gain
			(Amounts in thousands)
Growth Stock Portfolio	$	392	$	—	$	8,528	$	142,825
Focused Appreciation Portfolio		2,059		71,643		2,197		125,795
Large Cap Core Stock Portfolio		6,286		48,913		34,391		81,325
Large Cap Blend Portfolio		1,503		14,830		1,337		18,030
Index 500 Stock Portfolio		67,110		35,856		64,069		144,551
Large Company Value Portfolio		5,077		19,079		12,442		19,968
Domestic Equity Portfolio		19,196		46,554		30,154		106,445
Equity Income Portfolio		18,100		55,166		22,774		71,701
Mid Cap Growth Stock Portfolio		2,521		—		1,611		98,437
Index 400 Stock Portfolio		15,588		49,435		31,873		101,625
Mid Cap Value Portfolio		22,489		72,306		44,485		64,725
Small Cap Growth Stock Portfolio		192		—		3,020		107,716
Index 600 Stock Portfolio		4,166		15,944		11,797		25,599
Small Cap Value Portfolio		2,800		36,433		12,120		65,482
International Growth Portfolio		8,162		20,348		8,194		93,077
Research International Core Portfolio		13,421		15,148		20,345		34,292
International Equity Portfolio		54,274		—		41,796		46,803
Emerging Markets Equity Portfolio		19,064		—		19,997		58,276
Government Money Market Portfolio		25,157		5		7,243		—
Short-Term Bond Portfolio		7,807		—		6,234		172
Select Bond Portfolio		73,967		—		51,441		3,949
Long-Term U.S. Government Bond Portfolio		2,679		—		1,876		—
Inflation Protection Portfolio		20,508		—		16,642		8,985
High Yield Bond Portfolio		40,679		—		40,651		—
Multi-Sector Bond Portfolio		29,062		—		47,671		—
Balanced Portfolio		38,818		72,601		82,626		121,740
Asset Allocation Portfolio		5,321		15,893		9,305		17,887

250

Notes to Financial Statements

As of December 31, 2023, 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	$	1,260	$	–	$	(34,697	)	$	411,798
Focused Appreciation Portfolio		–		121,060		–			565,419
Large Cap Core Stock Portfolio		5,581		34,308		–			136,449
Large Cap Blend Portfolio		6,985		32,889		–			13,332
Index 500 Stock Portfolio		76,400		102,494		–			3,614,917
Large Company Value Portfolio		3,951		4,950		–			2,758
Domestic Equity Portfolio		21,990		80,191		–			142,782
Equity Income Portfolio		18,569		23,224		–			153,556
Mid Cap Growth Stock Portfolio		944		–		(39,527	)		169,541
Index 400 Stock Portfolio		18,319		44,002		–			337,717
Mid Cap Value Portfolio		19,072		13,789		–			2,834
Small Cap Growth Stock Portfolio		2,635		–		(40,505	)		108,801
Index 600 Stock Portfolio		5,645		9,994		–			74,728
Small Cap Value Portfolio		5,076		19,521		–			120,534
International Growth Portfolio		9,209		26,315		–			250,446
Research International Core Portfolio		15,799		5,020		–			136,835
International Equity Portfolio		55,095		–		(15,718	)		15,277
Emerging Markets Equity Portfolio		15,666		–		(51,606	)		27,165
Government Money Market Portfolio		1		–		–			–
Short-Term Bond Portfolio		13,119		–		(12,845	)		(7,010	)
Select Bond Portfolio		110,410		–		(422,872	)		(65,458	)
Long-Term U.S. Government Bond Portfolio		3,761		–		(16,860	)		(48,944	)
Inflation Protection Portfolio		12,928		–		(21,425	)		(27,408	)
High Yield Bond Portfolio		43,835		–		(24,619	)		(48,774	)
Multi-Sector Bond Portfolio		65,432		–		(91,113	)		(99,731	)
Balanced Portfolio		42,536		38,644		–			(63,479	)
Asset Allocation Portfolio		5,504		8,203		–			(2,062	)

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, included in Unaffiliated Dividends on the Statements of Operations, are recorded when foreign dividend taxes are accrued.

Voluntary reimbursements for the year ended December 31, 2023 are summarized below (amounts in thousands):

Portfolio	2023  Reimbursements
International Growth Portfolio	$	1,034
International Equity Portfolio		4,182
Research International Core Portfolio		1,262
Emerging Markets Equity Portfolio		1,412

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.

251

Notes to Financial Statements

NOTE 11. INVESTMENT INCOME AND SECURITIES TRANSACTIONS

For the year ended December 31, 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	$	86,319	$	—	$	130,892	$	—
Focused Appreciation Portfolio		78,987		—		243,391		—
Large Cap Core Stock Portfolio		387,954		—		421,742		—
Large Cap Blend Portfolio		216,007		—		246,274		—
Index 500 Stock Portfolio		106,360		—		161,450		—
Large Company Value Portfolio		52,777		—		57,679		—
Domestic Equity Portfolio		228,267		—		250,278		—
Equity Income Portfolio		124,611		—		155,031		—
Mid Cap Growth Stock Portfolio		406,980		—		477,478		—
Index 400 Stock Portfolio		224,626		—		231,299		—
Mid Cap Value Portfolio		316,545		—		330,087		—
Small Cap Growth Stock Portfolio		401,691		—		416,509		—
Index 600 Stock Portfolio		111,035		—		96,722		—
Small Cap Value Portfolio		154,109		—		181,230		—
International Growth Portfolio		200,106		—		253,990		—
Research International Core Portfolio		116,977		—		114,620		—
International Equity Portfolio		253,168		—		329,373		—
Emerging Markets Equity Portfolio		238,604		—		212,496		—
Short-Term Bond Portfolio		114,517		99,597		108,195		101,684
Select Bond Portfolio		2,285,937		4,758,037		2,104,687		4,777,961
Long-Term U.S. Government Bond Portfolio		575		72,555		3,659		41,410
Inflation Protection Portfolio		116,638		41,329		135,144		38,196
High Yield Bond Portfolio		117,713		—		119,968		—
Multi-Sector Bond Portfolio		240,088		—		228,999		4,230
Balanced Portfolio		172,894		—		273,252		—
Asset Allocation Portfolio		27,608		—		40,298		—

Transactions with Affiliated Companies

An affiliated company is a company in which a Portfolio has ownership of at least 5% of the voting securities or which the Portfolio controls, is controlled by or with which the Portfolio is under common control. Transactions with affiliated companies during the year ended December 31, 2023 are as follows:

Balanced Portfolio

Portfolio	Value at 12/31/2022		Purchases		Sales		Value at 12/31/2023		Change in Unrealized Appreciation/ (Depreciation)			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 12/31/2023
	(amount in thousands)
Domestic Equity	$	107,539	$	5,220	$	25,890	$	84,676	$	(3,413	)	$	1,220		$	1,524	$	3,696		8.0	%
Emerging Markets		13,059		118		8,000		5,669		3,473			(2,981	)		118		–		0.6	%
Focused Appreciation		95,215		4,860		50,210		84,064		24,652			9,547			–		4,860		6.6	%
High Yield Bond		54,560		3,036		8,500		52,658		4,659			(1,097	)		3,036		–		7.1	%
International Equity		81,108		2,063		22,550		70,049		14,599			(5,171	)		2,063		–		3.7	%
International Growth		75,895		2,020		19,660		70,476		6,444			5,777			578		1,441		6.9	%
Large Cap Blend		100,037		7,577		32,610		84,360		5,022			4,334			697		6,880		45.0	%
Mid Cap Growth Stock		81,889		197		11,920		81,861		12,494			(799	)		197		–		7.6	%
Mid Cap Value		91,365		12,071		14,190		82,620		(7,199	)		573			1,939		10,133		12.4	%
Multi-Sector Bond		101,469		2,667		–		111,320		7,184			–			2,667		–		9.3	%

252

Notes to Financial Statements

Portfolio	Value at 12/31/2022		Purchases		Sales		Value at 12/31/2023		Change in Unrealized Appreciation/ (Depreciation)			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 12/31/2023
	(amount in thousands)
Select Bond	$	643,027	$	16,731	$	25,770	$	656,184	$	26,129		$	(3,933	)	$	16,730	$	–		22.6	%
Short-Term Bond		22,825		473		–		24,026		728			–			473		–		6.2	%
Small Cap Growth Stock		16,959		6		–		20,072		3,107			–			6		–		2.9	%
Small Cap Value		22,920		1,570		2,400		23,628		2,195			(657	)		112		1,458		4.1	%
	$	1,507,867	$	58,609	$	221,700	$	1,451,663	$	100,074		$	6,813		$	30,140	$	28,468
Asset Allocation Portfolio
Portfolio	Value at 12/31/2022		Purchases		Sales		Value at 12/31/2023		Change in Unrealized Appreciation/ (Depreciation)			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 12/31/2023
	(amount in thousands)
Domestic Equity	$	19,880	$	1,089	$	3,960	$	16,522	$	(1,122	)	$	635		$	318	$	771		1.6	%
Emerging Markets		2,959		57		400		2,749		217			(84	)		57		–		0.3	%
Focused Appreciation		18,098		1,016		9,240		16,453		4,637			1,942			–		1,016		1.3	%
High Yield Bond		12,776		739		1,520		12,832		1,022			(185	)		739		–		1.7	%
International Equity		15,799		428		3,820		14,259		2,591			(739	)		428		–		0.8	%
International Growth		15,020		411		3,490		14,383		1,436			1,006			118		293		1.4	%
Large Cap Blend		18,947		1,350		5,970		16,091		940			824			124		1,226		8.6	%
Mid Cap Growth Stock		13,540		34		1,280		14,255		2,013			(52	)		34		–		1.3	%
Mid Cap Value		14,985		2,087		1,570		14,325		(1,158	)		(19	)		335		1,752		2.2	%
Multi-Sector Bond		13,571		357		–		14,888		960			–			357		–		1.2	%
Select Bond		44,162		1,147		1,400		45,455		1,707			(161	)		1,147		–		1.6	%
Short-Term Bond		3,120		65		–		3,284		99			–			64		–		0.9	%
Small Cap Growth Stock		5,312		2		330		5,953		998			(29	)		2		–		0.9	%
Small Cap Value		6,174		445		740		6,280		585			(184	)		32		413		1.1	%
	$	204,343	$	9,227	$	33,720	$	197,729	$	14,925		$	2,954		$	3,755	$	5,471

The Series Fund and its Portfolios are permitted to purchase securities from, and sell securities to (so called “cross-trades”), (i) other Portfolios, (ii) any registered investment company which is an affiliate, or an affiliate of an affiliate, or (iii) any person which is an affiliate, or an affiliate of an affiliate, of the Series Fund or the Portfolio solely by reason of having a common investment adviser or sub-adviser (or affiliated investment advisers) or common directors and/or officers, pursuant to procedures adopted by the Board under Rule 17a-7 of the 1940 Act (“Procedures”). These Procedures have been designed to ensure that any cross-trade of securities by a Portfolio complies with Rule 17a-7 of the 1940 Act. Each cross-trade is effected at the current market price as defined under the Procedures. Pursuant to the Procedures, for the year ended December 31, 2023, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):

Portfolio	Cross Trade Purchases
International Growth Portfolio		$6,642
Mid Cap Value Portfolio		102
Small Cap Growth Stock Portfolio		937

	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gain (Loss) on Sales
International Growth Portfolio		$2,431		$831
Mid Cap Value Portfolio		99		20

253

Report of Independent Registered Public Accounting Firm

To the Board of Directors of Northwestern Mutual Series Fund, Inc. and Shareholders of Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (constituting Northwestern Mutual Series Fund, Inc., hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, and for Long-Term U.S. Government Bond Portfolio the statement of cash flows for the year ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023, for Long-Term U.S. Government Bond Portfolio, the results of its cash flows for the year then ended, and each of the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

254

Report of Independent Registered Public Accounting Firm

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

Milwaukee, WI

February 16, 2024

We have served as the auditor of one or more investment companies in Northwestern Mutual Series Fund, Inc. since 1984.

255

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.
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
IBOR	Interbank Offered Rate
LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate
ICE	Intercontinental Exchange
SONIA	Sterling Overnight Index Average Rate
SONIO	Sterling Overnight Interbank Average Rate
MUTKCALM	Bank of Japan Unsecured Overnight Call Rate
DAC	Designated Activity Company
TBA	To Be Announced
CMT	Constant Maturity Treasury
OIS	Overnight Index Swaps
BBR	Bank Bill Rate
BBSW	Bank Bill Swap Reference Rate
BONCER	National Treasury Bond in Pesos with Adjustment for CER
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
HUF	Hungarian Forint
IDR	Indonesian Rupiah
INR	Indian Rupee
JPY	Japanese Yen
KRW	South Korean Won
MXN	Mexican New Peso
NOK	Norwegian Krone
PEN	Peruvian Sol
RUB	Russian Ruble
SAR	Saudi Riyal
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
TRY	Turkish Lira
TWD	Taiwan Dollar
USD	United States Dollar
ZAR	South African Rand

256

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.

257

Director and Officer Information (unaudited)

Northwestern Mutual Series Fund, Inc.

The name, address and year of birth of the directors, as well as their affiliations, positions held with the Series Fund, principal occupations during the past five years and the number of portfolios overseen in the Northwestern Mutual fund complex, are shown below as of December 31, 2023, except as otherwise noted. Each director (whenever elected) shall hold office until the next annual meeting of shareholders and until his or her successor is elected and qualifies or until his or her earlier death, resignation or removal. A director shall retire at the end of the calendar year in which the first of the two events occurs: (i) he or she attains the age of seventy-three (73), or (ii) he or she has served a term or successive terms totaling fifteen (15) years, commencing on the date of his or her election or appointment to the Board. The statement of additional information contains additional information about Series Fund directors and is available without charge, upon request, by calling 1-888-455-2232.

Independent Directors

Name, Address, and Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held1
Gail L. Hanson	Director	Since 2012	27	Director of Artisan Partner
720 East Wisconsin Avenue				Funds (17 portfolios)
Milwaukee, WI 53202
1955

Principal Occupation During Past 5 Years: Retired. From February 2011 to April 2018, Chief Financial Officer, Aurora Health Care. Prior thereto, Deputy Executive Director, State of Wisconsin Investment Board.

Christy L. Brown	Director	Since 2012	27	None
720 East Wisconsin Avenue
Milwaukee, WI 53202
1965

Principal Occupation During Past 5 Years: Since July 2023, President of Alverno College (Milwaukee, Wisconsin). From 2012 to 2023, Chief Executive Officer, Girl Scouts of Wisconsin Southeast. From 2007 to 2012, Vice Chancellor, Finance and Administrative Affairs, University of

Wisconsin, Milwaukee.

William J. Gerber	Director	Since 2017	27	Director of Ballantyne
720 East Wisconsin Avenue				Strong, Inc., a developer of
Milwaukee, WI 53202 1958				technology solutions for digital applications (2015 to present)

Principal Occupation During Past 5 Years: Retired. From 2006 to 2015, Chief Financial Officer, and from 2007 to 2015, Executive Vice President, of TD Ameritrade Holdings Corporation.

David Ribbens	Director	Since 2017	27	None
720 East Wisconsin Avenue
Milwaukee, WI 53202
1961

Principal Occupation During Past 5 Years: Since March of 2018, Member and Partner of DOMO Capital Management, LLC, a Wisconsin registered investment adviser. Founder and President of Distribution Team Alpha LLC, founded in 2016. From 2015 to 2016, President, Managing Partner, and Director of Heartland Advisors, Inc. From 2008 to 2015, Executive Vice President and Head of Distribution, Managing Partner, and Director of Heartland Advisors, Inc.

Donald M. Ullmann	Director	Since 2017	27	None
720 East Wisconsin Avenue
Milwaukee, WI 53202
1957

Principal Occupation During Past 5 Years: Since 2015, Principal of DMU Financial Consulting, LLC. From 2013 to 2015, Managing Director, Head of Product Development, Fixed Income at Guggenheim Securities. From 2012 to 2013, Executive Managing Director, Co-head, MBS and Rates Division at Gleacher & Co. From 2009 to 2011, Executive Vice President, Head of Fixed Income Trading and Co-Head of Fixed Income Sales at Keefe, Bruyette and Woods, Inc.

258

Director and Officer Information (unaudited)

^1. This column includes only directorships of companies required to report to the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934, as amended (i.e., “public companies”) or other investment companies registered under the Investment Company Act of 1940, as amended.

Other Directors

Name, Address, and Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held
Michael G. Carter2	Chairman of the	Since 2023	27	None
720 East Wisconsin Avenue	Board
Milwaukee, WI 53202
1961

Principal Occupation During Past 5 Years: Since January 2023, Executive Vice President and Chief of Staff to the Chief Executive Officer. From 2019, Executive Vice President, Chief Financial Officer and Chief Risk Officer of The Northwestern Mutual Life Insurance Company. From 2008 through 2019, Executive Vice President and Chief Financial Officer of The Northwestern Mutual Life Insurance Company.

Rosanne L. Kropp3	Chairman of the	Since 2024	27	None
720 East Wisconsin Avenue	Board
Milwaukee, WI 53202
1973

Principal Occupation During Past 5 Years: Since January 2022, Vice President and Head of Public Investments, The Northwestern Mutual Life Insurance Company. From November 2019 to December 2021, Vice President and Head of Investment Strategy Department at The Northwestern Mutual Life Insurance Company. From April 2016 to October 2019, Managing Director, Head of Investment Strategy at Allianz Investment Management.

^2. Michael G. Carter served as a director and Chairman of the Board of Directors of the Series Fund during 2023. He resigned as a director and Chairman of the board with the Series Fund, effective January 31, 2024.

^3. Rosanne L. Kropp was elected to serve as a director and Chairman of the Board of Directors of the Series Fund by resolution of the Board, effective February 1, 2024.

Northwestern Mutual Series Fund, Inc.

Executive Officers

Name, Address, and Year of Birth	Position	Length of Time Served
Paul A. Mikelson	President	Since 2022
720 East Wisconsin Avenue
Milwaukee, WI 53202
1970

Principal Occupation During Past 5 Years: Since January 2022, Vice President – Product and Administration of Mason Street Advisors. From 2013 - December 31, 2021, Vice President, Multi-Manager Investment Solutions at Columbia Threadneedle Investments, an Ameriprise Financial affiliate.

Matthew P. Sullivan	Vice President;	Since 2023
720 East Wisconsin Avenue	Chief Financial Officer & Treasurer
Milwaukee, WI 53202
1979

Since October 2023, Vice President Financial Planning and Analysis of Northwestern Mutual. From January 2023 to October 2023, Vice President and Controller of Northwestern Mutual. From June 2019 to December 2022, Vice President – Planning Experience Readiness & Adoption and from May 2016 to May 2019 Vice President of Product Finance, Northwestern Mutual and Treasurer of Northwestern Mutual Wealth Management Company.

259

Director and Officer Information (unaudited)

 

Name, Address, and Year of Birth	Position	Length of Time Served
Phil J. Rinzel	Controller &	Since 2021
720 East Wisconsin Avenue	Chief Accounting Officer
Milwaukee, WI 53202
1979

Principal Occupation During Past 5 Years: Since 2016, Senior Director – Investment Accounting of Northwestern Mutual.

Michael J. Conmey	Chief Compliance Officer	Since 2020
720 East Wisconsin Avenue
Milwaukee, WI 53202
1980

Principal Occupation During Past 5 Years: Vice President – Managed Investments Compliance of Northwestern Mutual and Chief Compliance Officer of Mason Street Advisors and Northwestern Mutual Investment Management Company since June 2020. Assistant General Counsel and Assistant Secretary of Northwestern Mutual from 2011 - 2020.

David B. Kennedy	Secretary	Since 2023
720 East Wisconsin Avenue
Milwaukee, WI 53202
1959

Principal Occupation During Past 5 Years: Assistant General Counsel and Assistant Secretary of Northwestern Mutual since 2016. Secretary of Mason Street Advisors since 2020.

James E. Fleming	Vice President - Investments	Since 2020
720 East Wisconsin Avenue
Milwaukee, WI 53202
1975

Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015.

Rodney A. Schmucker	Vice President - Investments	Since 2020
720 East Wisconsin Avenue
Milwaukee, WI 53202
1966

Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015.

Brent G. Schutte	Vice President - Investments	Since 2022
720 East Wisconsin Avenue
Milwaukee, WI 53202
1973

Principal Occupation During Past 5 Years: Since 2015, Chief Investment Officer of Northwestern Mutual Wealth Management Company

Garrett D. Aird	Vice President - Investments	Since 2022
720 East Wisconsin Avenue
Milwaukee, WI 53202
1978

Principal Occupation During Past 5 Years: Since November 2021, Vice President – Investment Management & Research of Northwestern Mutual Wealth Management Company (NMWMC). From 2017 to November 2021, Senior Director – Research at NMWMC. Prior thereto, Assistant Director – Investments at NMWMC.

260

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 sub-advisory agreements between Mason Street Advisors, LLC (“Mason Street Advisors”) and each of the sub-advisers of those portfolios of the Series Fund (each, a “Portfolio” and collectively, the “Portfolios”) for which Mason Street Advisors and the Board have appointed a sub-adviser. In order to afford the Board the opportunity to focus on a smaller number of relationships at any one meeting, the Board considers the annual continuation of the sub-advisory agreements on a staggered basis during the course of the year.

Board Approvals During the Six-Month Period Ended December 31, 2023

At its September 7, 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” or “Directors”), unanimously approved the following Investment Sub-Advisory Agreements: (1) a Fourth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and American Century Investment Management, Inc. (“American Century”), relating to the Series Fund’s Mid Cap Value, Large Company Value and Inflation Protection Portfolios, (2) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust (“Delaware”) relating to the Series Fund’s Domestic Equity Portfolio, (3) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Federated Investment Management Company (“Federated”) relating to the Series Fund’s High Yield Bond Portfolio, and (4) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Loomis, Sayles & Company, L.P. (“Loomis Sayles”) relating to the Series Fund’s Focused Appreciation Portfolio. Each of the foregoing Investment Sub-Advisory Agreements approved by the Board at its September 7, 2023 meeting continued the existing sub-advisory contract relationship with the named sub-advisers. The existing Investment Sub-Advisory Agreements were amended and restated to reflect modifications to incorporate certain updated terms and conditions.

At its November 30, 2023 meeting, the Board, including the Independent Directors, unanimously approved the continuance of: (1) the Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and T. Rowe Price Investment Management, Inc. (“TRPIM”) dated November 30, 2022, relating to the Small Cap Value Portfolio; (2) the Sixth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and T. Rowe Price Associates, Inc. (“TRPA”) dated November 30, 2022, relating to the Equity Income, Growth Stock and Short-Term Bond Portfolios; (3) the Fourth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Pacific Investment Management Company LLC (“PIMCO”) dated November 30, 2022, relating to the Long-Term U.S. Government Bond and Multi-Sector Bond Portfolios, together with an amendment thereto incorporating a sub-advisory fee reduction with respect to the Multi-Sector Bond Portfolio; (4) the Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and BlackRock Advisors, LLC (“BlackRock”), dated November 30, 2022, relating to the Government Money Market Portfolio (together with an amendment thereto incorporating a sub-advisory fee reduction with respect to the Government Money Market Portfolio) and the Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and BlackRock, dated November 30, 2022 related to the Index 500 Stock Portfolio; and (5) the Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Allspring Global Investments, LLC (“Allspring”) dated November 30, 2022, relating to the Select Bond Portfolio (together with an amendment thereto incorporating a fee reduction related to the Select Bond Portfolio).

261

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

American Century, Delaware, Federated, Loomis Sayles, TRPIM, TRPA, PIMCO, BlackRock and Allspring are sometimes collectively referred to hereinafter as the “Sub-Advisers,” and their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios.” The respective Investment Sub-Advisory Agreements with the Sub-Advisers are collectively referred to herein as the “Sub-Advisory Agreements.”

In determining whether to approve the Sub-Advisory Agreements on behalf of the Series Fund, the Board requested and received detailed information from Mason Street Advisors and the Sub-Advisers in advance of each of the foregoing meetings to assist them in their evaluation, including information compiled by certain independent providers of evaluative data. With respect to the approval and continuation of the Sub-Advisory Agreements, while particular focus was given to an evaluation of the services, performance, fees, costs, and certain other relevant information under such Agreements at the meeting at which their approval was formally considered, the evaluation process with respect to the Sub-Advisers and the nature, extent and quality of the services they provide to the Sub-Advised Portfolios pursuant to the terms of the Sub-Advisory Agreements is an ongoing one. As a result, the Board’s consideration of such services, and the performance, fees, costs and other relevant factors was informed by information provided and deliberations that occurred at other meetings throughout the year.

The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the consideration of continuance and approval of the Sub-Advisory Agreements and summarizing the legal standards governing the review and approval of these Agreements. The Independent Directors reviewed these standards with their counsel during the course of the meetings, including how these standards should be applied to the review of information relating to the Sub-Advisers under the Series Fund’s manager of managers structure. During the course of their deliberations, the Independent Directors had the opportunity to meet privately without representatives of Mason Street Advisors or the Sub-Advisers present, and were represented throughout the process by legal counsel.

Approval and Continuation of the Sub-Advisory Agreements between Mason Street Advisors and Certain Sub-Advisors

At its September 7, 2023 and November 30, 2023 meetings, the Board, including the Independent Directors, unanimously approved the Sub-Advisory Agreements. In connection with those meetings, the Directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about the Sub-Advisers during the course of those meetings, the Directors also had available for consideration each Sub-Adviser’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from the Sub-Advisers designed to assist the Directors in fulfilling their responsibilities when considering the approval of the Sub-Advisory Agreements. The Directors also had available Mason Street Advisors’ Executive Summary and Overview regarding each of the Sub-Advisers, and other materials prepared by Mason Street Advisors. The materials contained detailed information on performance over multiple time periods, expenses, brokerage commissions, portfolio turnover, style consistency, key portfolio statistics and metrics, and other factors with respect to each of the Sub-Advised Portfolios. The materials also contained an analysis of the Sub-Advisers’ responses to the compliance questions contained in the Section 15(c) Report and the observations of the Series Fund’s Chief Compliance Officer regarding the compliance structure and practices of each of the Sub-Advisers. The Directors also considered their experience with and knowledge of the nature and quality of the services provided by the Sub-Advisers and their ongoing discussions with representatives of Mason Street Advisors, its affiliates and each Sub-Adviser.

The material factors and conclusions that formed the basis for the Board’s approval of each of the Sub-Advisory Agreements include those discussed below. No one particular factor was identified as determinative, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the Board. Further, different Directors may have placed greater weight on certain factors than did other Directors.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of each Sub-Adviser’s services the Directors reviewed each Sub-Adviser’s financial strength, assets under management, and overall reputation. The Directors evaluated the investment strategies employed by each Sub-Adviser, as well as the personnel providing such services with respect to each Sub-Advised Portfolio. With respect to TRPIM, the Directors considered the additions to the investment team, including a therapeutics sector analyst and a technology analyst. With respect to the Short-Term Bond Portfolio

262

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

managed by TRPA, the Directors considered the addition of a co-portfolio manager with a strong background in securitized products. With respect to the Multi-Sector Bond Portfolio managed by PIMCO, the Directors cited favorably the replacement of the portfolio manager, the changes made in the positioning of the Portfolio as well as the addition of investment team members. With respect to BlackRock, the Directors noted that the firm benefitted from its substantial resources and top class technology. The Directors considered informational updates given by the portfolio managers associated with each Sub-Adviser, which included reports regarding 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 certain of the Sub-Advisers.

The Directors also considered and expressed satisfaction with each Sub-Adviser’s investment philosophy and process and the scope of services provided by the Sub-Advisers. Consideration was also given to the Sub-Advisers’ respective reputations and experience in providing investment management services and the performance of each Sub-Advised Portfolio. Based on their review of these factors, their discussions with the Sub-Advisers, and their experience with the services provided by the Sub-Advisers for their respective Sub-Advised Portfolios, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory Agreements, that they were satisfied with the nature, extent and quality of services, and the resources committed by each Sub-Adviser in providing those services, and were satisfied with the experience and capabilities of the Sub-Advisers and the personnel associated with the Sub-Advised Portfolios.

Investment Performance. The Directors reviewed the investment performance of each of the Sub-Advised Portfolios over a variety of time periods. In addition to reviewing the performance of each Sub-Advised Portfolio for both short-term and long-term periods, the Directors considered (i) a comparison of each Sub-Advised Portfolio’s one-, three- and five-year (as applicable) performance to the returns of appropriate benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio’s respective Morningstar and Lipper peer groups for the same periods, (ii) the Morningstar overall star rating and Lipper quintile rating for each Sub-Advised Portfolio and (iii) the Morningstar and the Lipper performance rankings for one-, three- and five-year time periods (as applicable). The Directors evaluated each Sub-Advised Portfolio’s performance against these peer groups and industry benchmarks and indices, and viewed this information as providing an objective comparative benchmark against which they could assess the performance of the Sub-Advised Portfolios. The Directors further considered the performance of accounts managed in a similar manner by each of the Sub-Advisers and information from the Sub-Advisers regarding any significant differences in the performance of those accounts from that of the Sub-Advised Portfolios.

With respect to American Century, the Directors considered that the Large Company Value and the Mid Cap Value Portfolios had experienced near-term performance challenges, arising in part through stock selection. The Directors observed that the portfolio managers for these Portfolios had provided thoughtful answers to the questions posed by Board members during their presentations and that in each case the American Century investment team had been disciplined in consistently adhering to the investment style applicable to Portfolio’s investment strategy. The Directors affirmed that on a long-term basis American Century had delivered solid performance for these Portfolios. With respect to the Inflation Protection Portfolio, the Directors were satisfied with the Portfolio’s performance, expressed a high level of confidence in the portfolio manager for the Portfolio, and cited no concerns.

With respect to Federated, the Directors commented on the very positive long-term performance record and observed favorably that the portfolio manager had been consistent in adhering to the firm’s investment strategy applied to the High Yield Portfolio. With respect to Loomis Sayles, the Directors noted that performance returns for the Focused Appreciation Portfolio had been strong in the near-term and affirmed there were no current concerns with respect to performance of the Portfolio.

With respect to Delaware and the Domestic Equity Portfolio, the Directors expressed concerns regarding multiple periods of challenged performance returns. The Directors also expressed concerns with regard to the portfolio manager’s security selection, but noted that the portfolio manager from Delaware provided cogent and well-reasoned responses with respect to inquiries made by the Directors regarding individual stock decisions made for the Domestic Equity Portfolio. Additionally, the Directors also commented that Delaware had been experiencing asset outflows from the firm’s domestic equity strategy.

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

With respect to the Small Cap Value Portfolio managed by TRPIM, the Directors considered the Small Cap Value Portfolio’s performance in light of the investment team’s fundamentally-driven strategy, noting that the firm’s analytical work and research process was very robust. With regard to the Growth Stock Portfolio, the Directors considered that the portfolio managers demonstrated a thoughtful understanding of risk factors and noted that recently-implemented risk management tools showed positive initial results. With respect to the Multi-Sector Bond Portfolio managed by PIMCO, the Directors considered enhancements made to its process around credit analysis and cited positively the firm’s research capabilities. With respect to the Government Money Market Portfolio managed by BlackRock, the Directors expressed high confidence that the firm would correctly implement the new money market fund reforms. With respect to the Select Bond Portfolio managed by Allspring, the Directors expressed satisfaction with the investment performance, noting that results were very solid and that the firm excelled in finding value within sectors.

The Directors observed that the portfolio managers for each of the Sub-Advised Portfolios had provided thoughtful answers to the questions posed by the Directors and that in each case the Sub-Advisers firm had been disciplined in consistently adhering to the investment style applicable to the individual Portfolio.

In addition to performance information presented at the meeting, the Directors considered the performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically throughout the year. Generally speaking, while attentive to the short-term performance results because of the trend that such performance might signal, the Directors placed greater weight on longer-term performance. For the reasons summarized above, the Board concluded that, considering the investment performance within the context of its overall determinations regarding the Sub-Advisory Agreements, it was satisfied with the relative investment performance of the Sub-Advised Portfolios.

Management Fees and Other Expenses. The Directors evaluated the reasonableness of the management fees and total expenses paid by the Sub-Advised Portfolios under the Sub-Advisory Agreements. The Directors considered the actual and contractual fees paid by each Sub-Advised Portfolio. The Directors also considered the sub-advisory fees paid by Mason Street Advisors out of its management fee, including a comparison of those fees with fees charged by the respective Sub-Advisers for similarly managed accounts. In considering the level of management fees, the Directors also considered the size of the Sub-Advised Portfolios, expenses assumed by Mason Street Advisors, and the applicable expense limitation and/or fee waiver arrangements agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio.

As part of their evaluation, the Directors received and reviewed an independent analysis prepared by Broadridge of comparative expense data for each Sub-Advised Portfolio. Broadridge provided data as of December 31, 2022 comparing each Sub-Advised Portfolio’s net and total expenses with those in a category of funds underlying variable insurance products. Categories were selected by Broadridge based upon having similar investment classifications, objectives, and asset allocations. The Directors considered the comparative data as a guide to help assess the reasonableness of each Sub-Advised Portfolio’s net and total expense ratios. The Directors considered that the Broadridge expense rankings of the Mid Cap Value Portfolio sub-advised by American Century, the Domestic Equity Portfolio sub-advised by Delaware, the High Yield Bond Portfolio sub-advised by Federated, the Focused Appreciation Portfolio sub-advised by Loomis Sayles, the Short-Term Bond, Equity Income and Growth Stock Portfolios sub-advised by TRPA, the Select Bond Portfolio sub-advised by Allspring, and the Index 500 Stock Portfolio sub-advised by BlackRock, were in the top Broadridge quartile (meaning lowest net expenses) of their respective categories. The Directors considered that the expense rankings of the Large Company Value and Inflation Protection Portfolios sub-advised by American Century, the Small Cap Value Portfolio sub-advised by TRPIM, the Long-Term U.S. Government Bond and Multi-Sector Bond Portfolios sub-advised by PIMCO, and the Government Money Market Portfolio sub-advised by BlackRock were within the second quartile of their respective categories. The Directors also considered that reduced sub-advisory fee schedules would be put into place for: (i) the Mid Cap Value, Large Company Value and Inflation Protection Portfolios in connection with the approval of the amended and restated Sub-Advisory Agreement with American Century; (ii) the Domestic Equity Portfolio in connection with the approval of the amended and restated Sub-Advisory Agreement with Delaware; (iii) the Multi-Sector Bond Portfolio in connection with the renewal of the Sub-Advisory Agreement with PIMCO; (iv) the Government Money Market Portfolio in connection with the renewal of the Sub-Advisory Agreement with BlackRock; and (v) the Select Bond Portfolio in connection with the renewal of the Sub-Advisory Agreement with Allspring.

264

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

Based on their review of the above information and other factors deemed relevant by the Directors, the Board concluded that the management fees and total operating expenses of each of the Sub-Advised Portfolios were reasonable in relation to the nature, scope and quality of services provided and the performance of the Sub-Advised Portfolios over time and the expense limitation and fee waivers that are in place.

Costs and Profitability. The Directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors from the Sub-Advised Portfolios. The Directors considered Mason Street Advisors’ fee and expense analysis regarding fees, expenses and profit margins related to the Sub-Advised Portfolios on a per Portfolio basis, and Mason Street Advisors’ allocation methodology with respect to expenses. The profitability information presented for the Directors’ consideration was supplemented by the aforementioned information regarding the expense-based ranking of each Sub-Advised Portfolio within the Portfolio’s respective Broadridge peer group category. The Directors recognized that the sub-advisory fees were the result of arm’s-length negotiations between Mason Street Advisors and such Sub-Advisers. The Directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as the Sub-Advisers, and that it is difficult to make comparisons of profitability among investment advisers because comparative information is not generally publicly available and, when available, such information may have been developed using a variety of assumptions and other factors. The Directors concluded that they had received sufficient information to evaluate the issues related to costs and profitability.

The Directors considered certain fall-out benefits that may be realized by Mason Street Advisors and its affiliates due to their relationship with the Sub-Advised Portfolios, including the participation of mutual fund families advised by certain Sub-Advisers to the Sub-Advised Portfolios on the brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in mutual fund partner programs offered by such brokerage affiliate, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors. The Directors reviewed information concerning certain of the Sub-Advisers’ soft dollar arrangements and any other benefits to the Sub-Advisers arising from their relationships with the Sub-Advised Portfolios. Based on their review, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory Agreements, that they were satisfied that the fees paid by each of the Sub-Advised Portfolios, and the profits realized by Mason Street Advisors and the Sub-Advisers due to their relationship with the Sub-Advised Portfolios, were not excessive.

Economies of Scale. The Directors considered whether each Sub-Advised Portfolio’s expense structure permitted economies of scale to be shared with the Sub-Advised Portfolio’s investors. The Directors considered the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios, as applicable, and the extent to which each Sub-Advised Portfolio may benefit from economies of scale through those breakpoints. The Directors took into account the expense limitation arrangements in place for the Mid Cap Value, Large Company Value, Inflation Protection, Domestic Equity, Focused Appreciation, Short-Term Bond, Small Cap Value, Equity Income, Long-Term U.S. Government Bond and Multi-Sector Bond Portfolios, and the fee waiver arrangements in place with respect to the Mid Cap Value, Large Company Value, Inflation Protection, Domestic Equity, High Yield Bond, Focused Appreciation, Short-Term Bond, Small Cap Value, Equity Income, Growth Stock, Select Bond, Long-Term U.S. Government Bond, Multi-Sector Bond, Government Money Market, and Index 500 Stock Portfolios. The Directors also considered the total assets and expense ratio of each Sub-Advised Portfolio. Based on this information, the Board concluded, within the context of its overall determinations regarding the Sub-Advisory Agreements, that each Sub-Advised Portfolio’s fee structure reflected appropriate economies of scale for the benefit of such Portfolio’s investors.

Other Information. The Directors were presented with other information intended to assist them in their consideration of the continuation of the Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Sub-Advised Portfolios and information regarding Mason Street Advisors’ and the Sub-Advisers’ brokerage practices and commissions. The Directors took into consideration reports from Mason Street Advisors on its review of the respective compliance programs of the Sub-Advisers, including any recent compliance exceptions noted and the applicable Sub-Adviser’s response. Also considered were key affiliations and business relationships between the Sub-Advisers and their affiliates and Mason Street Advisors’ parent company and affiliates. Their review further included information relating to each

265

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

Sub-Adviser’s risk management infrastructure, pending or recent litigation or regulatory actions to which an Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser’s responses to those actions. The Directors also considered information regarding each Sub-Adviser’s code of ethics, approach to portfolio manager compensation, succession planning, as well as information supplied by the Sub-Advisers related to their cybersecurity programs and business continuity plans, and other matters they deemed relevant.

Conclusions of the Directors. Based on a consideration of all information deemed relevant in its totality, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of their reasonable business judgment concluded that the terms of the Sub-Advisory Agreements were fair and reasonable and approved each Sub-Advisory Agreement as being in the best interests of each Portfolio.

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(b) Not applicable.

Item 13. Exhibits

(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:	March 14, 2024

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:	March 14, 2024
By:	/s/ Matthew P. Sullivan
	Matthew P. Sullivan, Vice President,
	Chief Financial Officer and Treasurer
Date:	March 14, 2024