Asset Allocation Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2022 (unaudited)
Investment Companies (97.5%) | Shares/Par + | Value $ (000’s) | ||||
Domestic Equity (49.8%) | ||||||
iShares Core S&P 500 ETF | 68,550 | 24,585 | ||||
iShares Core S&P Mid-Cap ETF | 7,350 | 1,612 | ||||
iShares Core S&P Small-Cap ETF | 26,800 | 2,337 | ||||
iShares Russell 2000 ETF | 300 | 50 | ||||
Northwestern Mutual Series Fund, Inc., | 13,013,634 | 18,649 | ||||
Northwestern Mutual Series Fund, Inc., | 6,785,437 | 17,445 | ||||
Northwestern Mutual Series Fund, Inc., | 18,656,863 | 18,004 | ||||
Northwestern Mutual Series Fund, Inc., | 4,992,508 | 12,421 | ||||
Northwestern Mutual Series Fund, Inc., | 9,748,168 | 14,057 | ||||
Northwestern Mutual Series Fund, Inc., | 2,804,874 | 5,082 | ||||
Northwestern Mutual Series Fund, Inc., | 3,812,382 | 6,500 | ||||
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Total | 120,742 | |||||
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Fixed Income (31.1%) | ||||||
iShares Core U.S. Aggregate Bond ETF | 22,300 | 2,149 | ||||
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £ | 20,375,749 | 12,266 | ||||
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £ | 14,896,732 | 12,871 | ||||
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £ | 43,035,324 | 45,144 | ||||
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £ | 3,151,127 | 3,091 | ||||
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Total | 75,521 | |||||
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Investment Companies (97.5%) | Shares/Par + | Value $ (000‘s) | ||||
Foreign Equity (16.6%) | ||||||
iShares Core MSCI EAFE ETF | 172,200 | 9,070 | ||||
iShares Core MSCI Emerging Markets ETF | 23,600 | 1,014 | ||||
Northwestern Mutual Series Fund, Inc., | 4,163,467 | 3,381 | ||||
Northwestern Mutual Series Fund, Inc., | 11,276,660 | 13,645 | ||||
Northwestern Mutual Series Fund, Inc., | 9,237,350 | 13,024 | ||||
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Total | 40,134 | |||||
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Total Investment Companies (Cost: $281,537) |
| 236,397 | ||||
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Short-Term Investments (2.2%) | ||||||
Investment Companies (1.7%) | ||||||
JPMorgan Ultra-Short Income ETF | 40,300 | 2,021 | ||||
PIMCO Enhanced Short Maturity Active ETF | 20,100 | 1,987 | ||||
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Total | 4,008 | |||||
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Money Market Funds (0.5%) | ||||||
State Street Institutional U.S. Government | 1,307,864 | 1,308 | ||||
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Total | 1,308 | |||||
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Total Short-Term Investments (Cost: $5,405) |
| 5,316 | ||||
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Total Investments (99.7%) (Cost: $286,942)@ |
| 241,713 | ||||
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Other Assets, Less Liabilities (0.3%) | 729 | |||||
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Net Assets (100.0%) | 242,442 | |||||
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+ | All par is stated in U.S. Dollar unless otherwise noted. |
£ | Affiliated Company |
# | 7-Day yield as of 9/30/2022. |
@ | At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $286,942 and the net unrealized depreciation of investments based on that cost was $45,229 which is comprised of $– aggregate gross unrealized appreciation and $45,229 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
Asset Allocation Portfolio
The Fair Value Measurements and Disclosures Topic of the FASB 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
Level 3 - fair value is determined by significant unobservable inputs
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 Portfolio’s perceived risk of that instrument.
The following is a summary of the inputs used in valuing the Portfolio’s Investments at September 30, 2022.
Valuation Inputs |
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Description |
| Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | ||||||||||||||||
(Amounts in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Investment Companies | $ | 236,397 | $ | — | $ | — | ||||||||||||||
Short-Term Investments | 5,316 | — | — | |||||||||||||||||
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Total Assets: | $ | 241,713 | $ | — | $ | — | ||||||||||||||
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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 nine months ended September 30, 2022 are as follows:
Portfolio | Value at 12/31/2021 | Purchases | Sales | Value at 9/30/2022 | Change in Unrealized Appreciation / (Depreciation) | Realized Gain (Loss) | Income Dividends | Capital Gain Distributions | % Ownership, 9/30/2022 | |||||||||||||||||||||||||||
(amount in thousands) | ||||||||||||||||||||||||||||||||||||
Growth Stock | $ | 18,697 | $ | - | $ | 12,595 | $ | - | $ | (3,730 | ) | $ | (2,372 | ) | $ | - | $ | - | 0.0% | |||||||||||||||||
Focused Appreciation | 18,738 | 8,038 | 740 | 17,445 | (8,854 | ) | 263 | 3 | 2,435 | 1.9% | ||||||||||||||||||||||||||
Large Cap Core Stock | 15,479 | - | 12,664 | - | (4,232 | ) | 1,417 | - | - | 0.0% | ||||||||||||||||||||||||||
Large Cap Blend | 15,764 | 8,263 | - | 18,004 | (6,023 | ) | - | 128 | 1,734 | 9.6% | ||||||||||||||||||||||||||
Large Company Value | 11,445 | - | 10,771 | - | (1,995 | ) | 1,321 | - | - | 0.0% | ||||||||||||||||||||||||||
Domestic Equity | 11,541 | 13,064 | 1,000 | 18,649 | (5,364 | ) | 408 | 354 | 2,310 | 2.0% | ||||||||||||||||||||||||||
Equity Income | 11,503 | - | 10,685 | - | (2,395 | ) | 1,577 | - | - | 0.0% | ||||||||||||||||||||||||||
Mid Cap Growth Stock | 16,404 | 2,328 | - | 12,421 | (6,311 | ) | - | 21 | 1,307 | 1.3% | ||||||||||||||||||||||||||
Mid Cap Value | 17,260 | 2,608 | 1,000 | 14,057 | (4,952 | ) | 141 | 300 | 2,308 | 2.4% | ||||||||||||||||||||||||||
Small Cap Growth Stock | 7,429 | 984 | - | 5,082 | (3,331 | ) | - | - | 984 | 0.9% | ||||||||||||||||||||||||||
Small Cap Value | 8,475 | 984 | - | 6,500 | (2,959 | ) | - | 19 | 964 | 1.3% | ||||||||||||||||||||||||||
International Growth | 12,159 | 7,208 | - | 13,024 | (6,343 | ) | - | 87 | 1,621 | 1.7% | ||||||||||||||||||||||||||
Research International Core | 20,899 | - | 16,775 | - | (5,805 | ) | 1,681 | - | - | 0.0% | ||||||||||||||||||||||||||
International Equity | 12,358 | 4,905 | - | 13,645 | (3,618 | ) | - | 380 | 425 | 0.9% | ||||||||||||||||||||||||||
Emerging Markets Equity | 3,559 | 1,450 | - | 3,381 | (1,628 | ) | - | 48 | 302 | 0.4% | ||||||||||||||||||||||||||
Short-Term Bond | 3,267 | 51 | - | 3,091 | (227 | ) | - | 45 | 7 | 0.8% | ||||||||||||||||||||||||||
Select Bond | 61,927 | 2,280 | 9,400 | 45,144 | (8,510 | ) | (1,153 | ) | 883 | 68 | 1.6% | |||||||||||||||||||||||||
High Yield Bond | 17,650 | 752 | 3,080 | 12,266 | (2,883 | ) | (173 | ) | 752 | - | 1.8% | |||||||||||||||||||||||||
Multi-Sector Bond | 16,039 | 577 | - | 12,871 | (3,745 | ) | - | 571 | 5 | 1.2% | ||||||||||||||||||||||||||
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$ | 300,593 | $ | 53,492 | $ | 78,710 | $ | 195,580 | $ | (82,905 | ) | $ | 3,110 | $ | 3,591 | $ | 14,470 | ||||||||||||||||||||
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Abbreviations
Abbreviations that may be used in the preceding statements
ADR | American Depositary Receipt | |
AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | |
CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
EXE | Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all | |
bonds in the deal. | ||
IO | Interest Only Security | |
PO | Principal Only Security | |
GDR | Global Depositary Receipt | |
GO | General Obligation | |
RB | Revenue Bond | |
CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
LIBOR | London Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
ICE | Intercontinental Exchange | |
SONIO | Sterling Overnight Interbank Average Rate | |
DAC | Designated Activity Company | |
TBA | To Be Announced | |
OIS | Overnight Index Swaps | |
DIFC | Dubai International Financial Centre | |
EURIBOR | Euro Interbank Offered Rate | |
SDR | Swedish Depository Receipt | |
ETF | Exchange Traded Fund | |
Currency Abbreviations | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Yuan Renminbi - Offshore | |
CNY | Chinese Yuan Renminbi | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KES | Kenyan Shilling | |
KRW | South Korean Won | |
MXN | Mexican New Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
THB | Thai Baht | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |