Northwestern Mutual Series Fund NPORT-P Inflation Protection Portfolio (Mar 2024 report)

Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2024 (unaudited)

Corporate Bonds (6.4%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical (0.4%)
Honda Motor Co., Ltd. 2.271%, 3/10/25		1,550,000		1,507
Total				1,507
Consumer, Non-cyclical (1.7%)
AbbVie, Inc. 2.950%, 11/21/26		800,000		762
Amgen, Inc. 5.250%, 3/2/33		830,000		837
Bristol-Myers Squibb Co. 5.200%, 2/22/34		197,000		200
Eli Lilly & Co. 4.700%, 2/9/34		880,000		875
Roche Holdings, Inc. 2.314%, 3/10/27 144A		1,270,000		1,187
Stryker Corp. 4.850%, 12/8/28		800,000		800
Thermo Fisher Scientific, Inc. 1.215%, 10/18/24		2,570,000		2,510
Total				7,171
Energy (0.6%)
Exxon Mobil Corp. 2.709%, 3/6/25		2,560,000		2,503
Total				2,503
Financial (2.8%)
Bank of America Corp.
5.468%, (US SOFR plus 1.650%), 1/23/35 α		510,000		513
5.933%, (US SOFR plus 1.340%), 9/15/27 α		2,210,000		2,239
BOC Aviation USA Corp. 1.625%, 4/29/24 144A		696,000		694
Chubb INA Holdings, Inc. 5.000%, 3/15/34		1,070,000		1,074
Citigroup, Inc.
3.668%, (US SOFR 3 Month plus 1.652%), 7/24/28 α		100,000		95
6.270%, (US SOFR plus 2.338%), 11/17/33 α		140,000		148
Fifth Third Bancorp 6.339%, (US SOFR plus 2.340%), 7/27/29 α		1,620,000		1,670
JPMorgan Chase & Co.
4.005%, (US SOFR 3 Month plus 1.382%), 4/23/29 α		360,000		345
5.299%, (US SOFR plus 1.450%), 7/24/29 α		760,000		766
6.087%, (US SOFR plus 1.570%), 10/23/29 α		1,610,000		1,674
Truist Financial Corp. 5.711%, (US SOFR plus 1.922%), 1/24/35 α		1,477,000		1,483
Wells Fargo & Co.
4.897%, (US SOFR plus 2.100%), 7/25/33 α		325,000		313
5.389%, (US SOFR plus 2.020%), 4/24/34 α		215,000		214

Corporate Bonds (6.4%)	Shares/ Par +		Value $ (000’s)
Financial continued
6.303%, (US SOFR plus 1.790%), 10/23/29 α		280,000		292
Total				11,520
Industrial (0.5%)
Caterpillar Financial Services Corp. 3.650%, 8/12/25		1,970,000		1,931
Total				1,931
Utilities (0.4%)
Duke Energy Florida LLC 5.875%, 11/15/33		460,000		486
PPL Electric Utilities Corp. 4.850%, 2/15/34		850,000		836
Sempra 3.300%, 4/1/25		507,000		496
Total				1,818
Total Corporate Bonds (Cost: $26,681)				26,450
Governments (69.4%)
Governments (69.4%)
Canadian Government Bond 3.500%, 3/1/28 CAD ∞		27,000,000		19,866
Federal Home Loan Banks 5.500%, 7/15/36		1,000,000		1,099
Federal Home Loan Mortgage Corp. 6.250%, 7/15/32		14,850,000		16,879
Federal National Mortgage Association 6.625%, 11/15/30		13,650,000		15,406
Tennessee Valley Authority
1.500%, 9/15/31		1,500,000		1,237
3.875%, 3/15/28		1,750,000		1,719
5.880%, 4/1/36		3,250,000		3,619
US Treasury Inflation Index Bond
0.125%, 1/15/30 ß		18,866,925		17,078
0.125%, 7/15/30		10,578,216		9,529
0.125%, 1/15/31		16,279,313		14,482
0.125%, 7/15/31		12,166,154		10,763
0.125%, 1/15/32		12,674,862		11,072
0.125%, 2/15/51		8,878,425		5,305
0.125%, 7/15/26		3,985,887		3,820
0.125%, 10/15/26 ß		3,586,658		3,421
0.250%, 2/15/50		6,617,266		4,176
0.375%, 1/15/27		13,269,152		12,656
0.375%, 7/15/27		10,394,423		9,890
0.500%, 1/15/28		9,371,025		8,867
0.625%, 7/15/32		9,493,802		8,609
0.625%, 2/15/43		8,646,354		6,636
0.750%, 2/15/42		10,632,068		8,481
0.750%, 2/15/45		17,825,992		13,673
0.875%, 2/15/47		5,745,420		4,428
0.875%, 1/15/29		10,985,310		10,471
1.000%, 2/15/46		3,837,154		3,071

1

Inflation Protection Portfolio

Governments (69.4%)	Shares/ Par +		Value $ (000’s)
Governments continued
1.000%, 2/15/48		1,437,293		1,131
1.000%, 2/15/49		2,999,511		2,349
1.125%, 1/15/33		5,173,300		4,852
1.250%, 4/15/28		8,733,835		8,484
1.375%, 7/15/33		15,424,808		14,803
1.375%, 2/15/44		10,817,396		9,484
1.750%, 1/15/34		2,507,860		2,476
1.750%, 1/15/28		507,547		503
2.125%, 2/15/41		3,547,980		3,593
2.375%, 1/15/27		878,767		886
2.500%, 1/15/29		3,323,183		3,414
3.625%, 4/15/28		2,858,310		3,039
3.875%, 4/15/29		3,749,560		4,099
Total				285,366
Total Governments (Cost: $324,356)				285,366
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		1,001
Total Municipal Bonds (Cost: $1,758)				1,624
Structured Products (18.0%)
Asset Backed Securities (4.2%)
Bean Creek CLO, Ltd., Series 2018-1A, Class AR
6.599%, (US SOFR 3 Month plus 1.282%), 4/20/31 144A		1,039,854		1,040
Bellemeade Re, Ltd., Series 2021-3A, Class M1A
6.320%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A		232,696		233
Blackbird Capital Aircraft, Series 2021-1A, Class A 2.443%, 7/15/46 144A		747,032		657
Cologix Canadian Issuer LP, Series 2022-1CAN, Class A2 4.940%, 1/25/52 144A CAD ∞		1,950,000		1,336
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2 3.093%, 4/20/34 144A		2,000,000		1,756
FirstKey Homes Trust, Series 2020-SFR2, Class D 1.968%, 10/19/37 144A		1,000,000		933
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR
6.699%, (US SOFR 3 Month plus 1.382%), 7/20/31 144A		975,012		974
Goodgreen Trust, Series 2020-1A, Class A 2.630%, 4/15/55 144A		547,677		450
Goodgreen Trust, Series 2021-1A, Class A 2.660%, 10/20/56 144A		251,844		207

Structured Products (18.0%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Greenwood Park CLO, Ltd., Series 2018-1A, Class A1
6.606%, (US SOFR 3 Month plus 1.292%), 4/15/31 144A		405,446		406
Hilton Grand Vacations Trust, Series 2019-AA, Class B 2.540%, 7/25/33 144A		401,505		384
KKR Financial CLO, Ltd., Series 2018-22A, Class A
6.729%, (US SOFR 3 Month plus 1.412%), 7/20/31 144A		1,426,542		1,427
KKR Financial CLO, Ltd., Series 2022-1A, Class BR
7.318%, (US SOFR 3 Month plus 2.000%), 7/20/31 144A		1,425,000		1,419
Magnetite CLO, Ltd., Series 2021-29A, Class B
6.976%, (US SOFR 3 Month plus 1.662%), 1/15/34 144A		1,650,000		1,647
Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2
6.708%, (US SOFR 3 Month plus 1.392%), 1/17/31 144A		1,113,932		1,113
Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A
7.622%, (US SOFR 1 Month plus 2.296%), 6/17/37 144A		1,140,245		1,139
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B 2.750%, 7/15/38 144A		441,959		435
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B 1.340%, 11/20/37 144A		805,433		762
Wellfleet CLO, Ltd., Series 2022-1A, Class B2 4.775%, 4/15/34 144A		1,250,000		1,201
Total				17,519
Mortgage Securities (13.8%)
Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A		387,814		345
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B 2.482%, 8/15/46 144A		1,100,000		983
Angel Oak Mortgage Trust, Series 2019-6, Class A3 2.927%, (AFC), 11/25/59 144A		163,211		158
Arroyo Mortgage Trust, Series 2021-1R, Class A2 1.483%, (CSTR, AFC), 10/25/48 144A		283,220		247
Arroyo Mortgage Trust, Series 2021-1R, Class A3 1.637%, (CSTR, AFC), 10/25/48 144A		217,862		189
Bellemeade Re, Ltd., Series 2019-3A, Class M1C
7.394%, (US SOFR 1 Month plus 2.065%), 7/25/29 144A		640,668		641
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1
7.420%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		495,362		503

2

Inflation Protection Portfolio

Structured Products (18.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10 3.500%, (AFC), 12/25/44 144A		44,210		40
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class B
6.603%, (US SOFR 1 Month plus 1.277%), 5/15/36 144A		872,829		872
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class D
6.973%, (US SOFR 1 Month plus 1.647%), 5/15/36 144A		2,149,652		2,149
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3 1.538%, (AFC), 2/25/66 144A		260,627		225
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3 2.856%, 5/25/65 144A		1,217,749		1,194
Federal Home Loan Mortgage Corp.
2.500%, 10/1/51		1,939,900		1,620
3.500%, 8/1/52		1,988,517		1,780
4.500%, 10/1/52		1,838,110		1,750
6.000%, 1/1/53		2,004,939		2,029
Federal National Mortgage Association
2.500%, 1/1/52		7,838,749		6,533
4.000%, 9/1/52		9,721,792		9,017
5.500%, 1/1/53		3,898,363		3,881
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
8.035%, (US 30 Day Average SOFR plus 2.715%), 5/25/24		179,051		179
Government National Mortgage Association
3.000%, 9/20/51		3,657,721		3,229
3.000%, 11/20/51		3,655,908		3,224
5.000%, 8/20/53		6,347,243		6,237
5.500%, 12/20/52		1,727,997		1,728
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A 4.128%, 7/5/31 144A		2,020,000		1,869
JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.739%, (AFC), 10/25/29 144A		221,583		211
JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A		552,821		489
Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A		987,330		872

Structured Products (18.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E 3.000%, (AFC), 4/25/60 144A		2,503,000		2,292
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		690,481		602
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		592,977		519
Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A		970,352		804
Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A		263,460		243
Total				56,654
Total Structured Products (Cost: $77,424)				74,173
Short-Term Investments (5.3%)
Commercial Paper (5.3%)
Apple, Inc. 0.000%, 4/2/24		3,000,000		2,998
Barton Capital Corp. 0.000%, 4/1/24		10,000,000		9,994
Chariot Funding LLC 0.000%, 4/9/24		4,000,000		3,993
LMA SA / LMA Americas LLC 0.000%, 4/4/24		5,000,000		4,995
Total				21,980
Total Short-Term Investments (Cost: $21,993)				21,980
Total Investments (99.5%) (Cost: $452,212)@				409,593
Other Assets, Less Liabilities (0.5%)				1,860
Net Assets (100.0%)				411,453

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)
Ten-Year US Treasury Note Future		Long		USD		6,500		65		6/24	$	7,202	$	41		$	(5)
Two-Year US Treasury Note Future		Long		USD		2,400		12		6/24		2,454		(5	)		(3)
													$	36		$	(8)

3

Inflation Protection Portfolio

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	$	–		$	1,463		$	1,463		$	2
CPURNSA		1.715	%		6/24		7,400		USD		–			998			998			(1	)
CPURNSA		1.858	%		8/24		12,700		USD		–			1,605			1,605			(5	)
CPURNSA		2.073	%		8/27		3,500		USD		–			449			449			1
CPURNSA		2.145	%		11/27		5,000		USD		(1	)		591			590			1
CPURNSA		1.800	%		10/29		3,700		USD		–			565			565			1
CPURNSA		1.884	%		11/29		2,000		USD		–			291			291			–	π
CPURNSA		2.243	%		1/26		6,000		USD		–			667			667			(2	)
CPURNSA		1.078	%		6/25		3,000		USD		–			511			511			–	π
CPURNSA		2.503	%		8/26		7,000		USD		–			10			10			3
CPURNSA		2.415	%		2/28		2,500		USD		–			21			21			–	π
CPURNSA		2.565	%		4/28		1,500		USD		–			1			1			1
CPURNSA		2.370	%		2/29		13,400		USD		1			69			70			5
CPURNSA		2.438	%		2/30		9,500		USD		1			91			92			3
CPURNSA		1.291	%		5/30		2,000		USD		–			405			405			1
CPURNSA		1.629	%		6/30		2,000		USD		–			366			366			–	π
CPURNSA		2.663	%		8/30		1,200		USD		–			(9	)		(9	)		1
CPURNSA		2.498	%		9/31		7,000		USD		–			486			486			4
CPURNSA		2.619	%		3/33		5,500		USD		1			1			2			(1	)
CPURNSA		2.495	%		5/33		3,500		USD		1			23			24			4
CPURNSA		2.650	%		8/33		8,500		USD		1			(60	)		(59	)		8
CPURNSA		2.485	%		2/34		3,400		USD		1			16			17			2
										$	5		$	8,560		$	8,565		$	28

	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	$	37	$	–	$	37	$	(9	)	$	(8	)	$	(17	)	$	–

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		28,254		20,883		6/20/24	$	111	$	—	$	111
										$	111	$	—	$	111

4

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	$	98		$	98
CPURNSA	Bank of America NA		2.140%		7/25		2,900		314			314
CPURNSA	Bank of America NA		1.790%		8/25		1,500		213			213
CPURNSA	Bank of America NA		2.240%		4/27		3,500		361			361
CPURNSA	Bank of America NA		2.218%		4/27		2,000		211			211
CPURNSA	Bank of America NA		2.235%		4/27		2,000		208			208
CPURNSA	Bank of America NA		2.235%		5/27		5,000		523			523
CPURNSA	Barclays Bank PLC		2.589%		7/24		1,400		38			38
CPURNSA	Barclays Bank PLC		2.895%		12/27		1,700		(217	)		(217	)
CPURNSA	Barclays Bank PLC		2.784%		7/44		1,400		(79	)		(79	)
CPURNSA	Goldman Sachs International		1.870%		5/26		8,500		1,290			1,290
CPURNSA	Goldman Sachs International		1.920%		5/26		7,000		1,018			1,018
CPURNSA	Goldman Sachs International		1.770%		6/26		6,000		964			964
CPURNSA	Goldman Sachs International		2.245%		11/26		3,000		321			321
CPURNSA	Goldman Sachs International		2.280%		11/26		3,000		309			309
CPURNSA	Goldman Sachs International		2.280%		11/26		4,000		412			412
								$	5,984		$	5,984

	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	$	111	$	6,280	$	6,391		—		—	$	(296)	$	(296)

+ 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 March 31, 2024 the value of these securities (in thousands) was $34,847 representing 8.5% 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.

∞ Foreign Bond — par value is foreign denominated.

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

@ At March 31, 2024, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $452,217 and the net unrealized depreciation of investments based on that cost was $27,928 which is comprised of $15,280 aggregate gross unrealized appreciation and $43,208 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

π Amount is less than one thousand.

5

Inflation Protection 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 March 31, 2024.

	Valuation Inputs
Description		Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant  Unobservable  Inputs
		(Amounts in thousands)
Assets:
Municipal Bonds		$	—		$	1,624		$	—
Corporate Bonds			—			26,450			—
Governments			—			285,366			—
Structured Products			—			74,173			—
Short-Term Investments			—			21,980			—
Other Financial Instruments^
Futures			41			—			—
Forward Foreign Currency Contracts			—			111			—
Total Return Swaps			—			14,913			—
Total Assets:		$	41		$	424,617		$	—
Liabilities:
Other Financial Instruments^
Futures			(5	)		—			—
Total Return Swaps			—			(364	)		—
Total Liabilities:		$	(5	)	$	(364	)	$	—

^ 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.

6

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
FTSE	Financial Times Stock 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
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

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