Northwestern Mutual Series Fund NPORT-P Long-Term US Government Bond Portfolio (Mar 2024 report)

Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2024 (unaudited)

Corporate Bonds (0.2%)	Shares/ Par +		Value $ (000’s)
Industrial (0.2%)
Vessel Management Services, Inc. 3.432%, 8/15/36		347,000		310
Total				310
Total Corporate Bonds (Cost: $347)				310
Governments (123.8%)
Governments (123.8%)
Federal National Mortgage Association 5.625%, 4/17/28		100,000		105
Resolution Funding Corp. Stripped
0.000%, 4/15/30 PO		4,800,000		3,633
0.000%, 4/15/28 IO		400,000		334
Tennessee Valley Authority Stripped 0.000%, 5/1/30 PO		500,000		378
US Treasury
1.125%, 5/15/40		1,650,000		1,031
1.125%, 8/15/40		44,690,000		27,664
1.375%, 11/15/40		9,800,000		6,302
1.375%, 8/15/50		1,080,000		570
1.625%, 11/15/50		400,000		226
1.875%, 2/15/41		1,900,000		1,325
2.000%, 2/15/50		12,920,000		8,092
2.250%, 8/15/49		300,000		200
2.375%, 5/15/51		2,300,000		1,561
2.500%, 2/15/45		1,440,000		1,053
2.500%, 2/15/46		850,000		615
2.875%, 5/15/49		1,750,000		1,331
3.000%, 11/15/44		1,620,000		1,297
3.000%, 5/15/45		1,410,000		1,124
3.000%, 11/15/45		370,000		294
3.000%, 2/15/48		330,000		258
3.000%, 8/15/48  b		700,000		546
3.000%, 2/15/49		10,470,000		8,163
3.000%, 8/15/52		4,500,000		3,495
3.125%, 8/15/44		1,620,000		1,327
3.125%, 5/15/48		2,430,000		1,943
3.375%, 8/15/42		6,500,000		5,614
3.625%, 3/31/30		200,000		194
3.625%, 2/15/53		2,900,000		2,547
3.625%, 5/15/53		1,700,000		1,494
3.750%, 5/31/30		200,000		195
3.750%, 6/30/30		400,000		389
3.875%, 2/15/43		900,000		832
3.875%, 5/15/43		3,100,000		2,861
4.000%, 2/28/30		200,000		198
4.000%, 11/15/42		2,800,000		2,637
4.000%, 11/15/52		15,830,000		14,883
4.125%, 8/31/30		200,000		199
4.250%, 2/28/29		4,300,000		4,306
4.375%, 11/30/30		600,000		605
4.375%, 5/15/41		16,080,000		16,049
4.375%, 8/15/43		6,800,000		6,719
4.500%, 2/15/44		200,000		201
4.625%, 9/30/30		300,000		307

Governments (123.8%)	Shares/ Par +		Value $ (000’s)
Governments continued
4.750%, 11/15/43		3,390,000		3,517
4.875%, 10/31/30		200,000		207
US Treasury Inflation Index Bond
0.125%, 1/15/32		889,464		777
0.625%, 7/15/32		1,697,216		1,539
1.125%, 1/15/33		2,214,172		2,077
1.250%, 4/15/28		1,849,518		1,797
1.750%, 1/15/34		2,306,072		2,277
2.375%, 10/15/28		606,774		621
US Treasury Stripped
0.000%, 8/15/34 IO		850,000		544
0.000%, 5/15/41 IO		40,000		18
0.000%, 8/15/41 IO		50,000		22
0.000%, 11/15/41 IO		80,000		35
0.000%, 5/15/42 IO		70,000		30
0.000%, 8/15/42 IO		220,000		94
0.000%, 11/15/42 IO		50,000		21
Total				146,673
Total Governments (Cost: $166,952)				146,673
Structured Products (22.4%)
Asset Backed Securities (0.3%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A
6.185%, (US 30 Day Average SOFR plus 0.865%), 2/27/68 144A		44,234		44
Hertz Vehicle Financing LLC, Series 2022-2A, Class A 2.330%, 6/26/28 144A		300,000		275
Massachusetts Educational Financing Authority, Series 2008-1, Class A1
6.573%, (US 90 Day Average SOFR plus 1.212%), 4/25/38		15,565		15
Total				334
Mortgage Securities (22.1%)
Benchmark Mortgage Trust, Series 2019-B9, Class A5 4.015%, 3/15/52		600,000		561
Benchmark Mortgage Trust, Series 2024-V6, Class A3 5.925%, 3/15/29		200,000		207
BWAY Mortgage Trust, Series 2013-1515, Class A2 3.454%, 3/10/33 144A		300,000		285
COMM Mortgage Trust, Series 2018-HOME, Class A 3.815%, (CSTR, AFC), 4/10/33 144A		200,000		186
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 4.737%, (CSTR), 7/25/33		80		–	π

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Long-Term U.S. Government Bond Portfolio

Structured Products (22.4%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Extended Stay America Trust, Series 2021- ESH, Class A
6.519%, (US SOFR 1 Month plus 1.195%), 7/15/38 144A		365,702		366
Federal Home Loan Mortgage Corp., Series 2752, Class EZ 5.500%, 2/15/34		92,758		92
Federal Home Loan Mortgage Corp., Series 3759, Class FB
5.933%, (US 30 Day Average SOFR plus 0.615%), 11/15/40		17,054		17
Federal Home Loan Mortgage Corp., Series 4092, Class AY 3.000%, 8/15/32		2,200,000		2,041
Federal Home Loan Mortgage Corp., Series 4387, Class AZ 4.000%, 9/15/44		2,131,119		2,029
Federal Home Loan Mortgage Corp., Series 4398, Class ZX 4.000%, 9/15/54		873,903		766
Federal Home Loan Mortgage Corp., Series 4830, Class ZG 3.000%, 4/15/53		621,775		492
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1
6.489%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.400%), 7/25/44		3,801		3
Federal National Mortgage Association
3.600%, 2/1/40		534,379		493
5.000%, 6/1/35		18,571		19
5.000%, 2/1/36		28,736		29
5.500%, 5/1/49		24,551		25
Federal National Mortgage Association, Series 2007-39, Class NZ 4.250%, 5/25/37		36,570		35
Federal National Mortgage Association, Series 2012-101, Class FC
5.935%, (US 30 Day Average SOFR plus 0.615%), 9/25/42		23,994		24
Federal National Mortgage Association, Series 2016-61, Class ML 3.000%, 9/25/46		900,000		726
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2 4.311%, (CSTR), 10/25/52 144A		553,825		487
Government National Mortgage Association TBA 4.000%, 4/18/54 USD		800,000		749
Government National Mortgage Association, Series 2010-26, Class OW 0.000%, 2/20/40 PO		260,313		199
Government National Mortgage Association, Series 2010-75, Class OA 0.000%, 9/20/35 PO		164,819		129

Structured Products (22.4%)	Shares/  Par +		Value $ (000’s)
Mortgage Securities continued
GS Mortgage Securities Trust, Series 2015-590M, Class B 3.805%, (CSTR), 10/10/35 144A		300,000		275
Hilton USA Trust, Series 2016-HHV, Class A 3.719%, 11/5/38 144A		600,000		571
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A 4.970%, (CSTR, AFC), 5/25/33		535		–	π
Morgan Stanley Capital I Trust, Series 2021-230P, Class A
6.609%, (US SOFR 1 Month plus 1.284%), 12/15/38 144A		200,000		189
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 2.750%, (AFC), 11/25/59 144A		85,345		79
Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class A
6.971%, (US 30 Day Average SOFR plus 1.650%), 1/25/37 144A		162,956		162
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1
6.101%, (US SOFR 1 Month plus 0.775%), (AFC), 10/19/34		1,277		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%, 4/11/54		300,000		258
4.500%, 4/11/54		5,800,000		5,523
5.000%, 4/11/54		2,000,000		1,951
5.500%, 4/11/54		2,700,000		2,687
6.000%, 4/11/54		3,100,000		3,128
6.500%, 5/15/54		1,200,000		1,225
Total				26,182
Total Structured Products (Cost: $27,664)				26,516
Short-Term Investments (9.0%)
Repurchase Agreements (9.0%)
Citigroup Global Markets, Inc. repurchase (Purchased on 3/28/24, to be repurchased at $10,601,605, collateralized by US Treasury Note, 0.75%, due 4/30/26, par and fair value of $11,691,000 and $10,804,585, respectively) 5.450%, 4/1/24		10,600,000		10,600
Total				10,600
Total Short-Term Investments (Cost: $10,600)				10,600
Total Investments (155.4%) (Cost: $205,563)@				184,099
Other Assets, Less Liabilities (-55.4%)				(65,665)
Net Assets (100.0%)				118,434

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Long-Term U.S. Government 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		17,800		178	6/24	$	19,049	$	(41)	$	21
Ten-Year US Treasury Note Future	Long	USD		1,600		16	6/24		1,773		11		(1)
Two-Year US Treasury Note Future	Short	USD		1,600		8	6/24		1,636		1		2
Ultra Long Term US Treasury Bond Future	Long	USD		2,100		21	6/24		2,709		27		10
Ultra Ten-Year US Treasury Note Future	Short	USD		24,200		242	6/24		27,735		(238)		(4)
US Treasury Long Bond Future	Short	USD		7,100		71	6/24		8,551		(145)		(18)
										$	(385)	$	10

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		1.750	%		10/53		500		USD	$	(7	)	$	173	$	166	$	–π
Compounded-OIS
1-Day USD-SOFR		0.750	%		3/31		1,000		USD		15			192		207		1
Compounded-OIS
1-Day USD-SOFR		1.250	%		6/41		3,110		USD		95			1,015		1,110		–π
Compounded-OIS
										$	103		$	1,380	$	1,483	$	1

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		1.600	%	10/28		9,000		USD	$	12	$	(914	)	$	(902	)	$	(12	)
Compounded-OIS
1-Day USD-SOFR		1.000	%	12/25		3,170		USD		26		(231	)		(205	)		(2	)
Compounded-OIS
									$	38	$	(1,145	)	$	(1,107	)	$	(14	)

Written Options

Description	Currency	Notional Par (000’s)		Exercise Price		Expiration Date		Number of Contracts		Value (000’s)
Call - Ten-Year US Treasury Note Future	USD		13	$	113.000		4/24		13	$	(1)
Put - Ten-Year US Treasury Note Future	USD		13		109.000		4/24		13		(2)
(Premiums Received $11)										$	(3)

	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	$	1	$	33	$	34	$	(14	)	$	(23	)	$	(37	)	$	(3)

+ 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 March 31, 2024 the value of these securities (in thousands) was $3,092 representing 2.6% of the net assets.

π Amount is less than one thousand.

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Long-Term U.S. Government Bond Portfolio

@ At March 31, 2024, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $205,693 and the net unrealized depreciation of investments based on that cost was $21,606 which is comprised of $2,077 aggregate gross unrealized appreciation and $23,683 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The 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:
Corporate Bonds		$	—	$	310		$	—
Governments			—		146,673			—
Structured Products			—		26,516			—
Short-Term Investments			—		10,600			—
Other Financial Instruments^
Futures			39		—			—
Interest Rate Swaps			—		1,483			—
Total Assets:		$	39	$	185,582		$	—
Liabilities:
Other Financial Instruments^
Futures			(424)		—			—
Written Options			(3)		—			—
Interest Rate Swaps			—		(1,107	)		—
Total Liabilities:		$	(427)	$	(1,107	)	$	—

^ 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.

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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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