Northwestern Mutual Series Fund NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3990

Northwestern Mutual Series Fund, Inc.

(Exact name of registrant as specified in charter)

720 East Wisconsin Avenue,

Milwaukee Wisconsin 53202

(Address of principal executive offices) (Zip code)

Barbara E. Courtney, 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, 2019

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1.

Reports to Stockholders

Annual Report December 31, 2019

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering 27 Portfolios

•

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

•

Asset Allocation Portfolio

Beginning on or after January 1, 2021 as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports like this one will no longer be sent by mail unless you specifically request paper copies of the reports from us at (888)455-2232, free of charge. 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 shareholder reports (and other communications) electronically by signing up for eDelivery at NorthwesternMutal.com/Paperless.

You may elect to receive all future reports in paper free of charge. You can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by contacting us at (888)455-2232. Your election to receive reports in paper will apply to all future shareholder reports.

Letter to Contract Holders

December 31, 2019

The decade of the 2010’s ended on a high note for investors, as nearly every asset class delivered strong returns in 2019. This represented a notable turnaround from late 2018, when many analysts and pundits saw a looming recession coming for the U.S. Not only did a feared recession fail to materialize, but the U.S. officially registered its longest economic expansion on record and a new bull market for stocks emerged. Bonds also had a standout year, boosted by lower interest rates and solid corporate cash flows.

Looking at U.S. equities, large capitalization stocks, as represented by the S&P 500^® Index¹, were the top performers, while the S&P MidCap 400^® and S&P SmallCap 600^® Indices also posted strong returns amid optimism about the resilience of the U.S. economy. While global economic growth slowed, international stocks nearly matched U.S. equity returns. Emerging market equities trailed developed economies somewhat, but still showed strength in rebounding from a difficult 2018.

Also helping to drive performance for the period was a wave of central bank monetary easing. The U.S. Federal Reserve (the “Fed”) had raised interest rates four times in 2018 and signaled further tightening even as growth began to slow. In January 2019, however, the Fed changed course and indicated a more accommodative stance. Three interest rate cuts followed throughout 2019, which encouraged investors and boosted markets. Other central banks around the globe followed the Fed’s lead and either cut rates or strengthened monetary stimulus programs, supporting equities worldwide.

The bond market, as represented by various Bloomberg Barclays^® Indices, also benefited from lower interest rates, with most bond classes up substantially for the year. This simultaneous bull market for both stocks and bonds is somewhat unusual, as bond returns ordinarily have a slightly negative correlation with equity returns. Sustained low inflation and the Fed’s decision to respond to the early signs of economic weakness with lower interest rates both contributed to this reversal of the usual pattern.

Among bonds, high quality corporate bonds had the highest returns, followed closely by high yield corporate bonds. As interest rates fell, investors hungry for yield moved towards corporate bonds, compressing the spread, or difference in yield, between corporate bonds and U.S. Treasurys. U.S. Treasurys and mortgage-backed securities also continued to deliver solid returns and risk reduction for equity investors.

The U.S. dollar strengthened for much of the year due to comparatively high interest rates, but declined with the Fed’s rate cuts, ending the year nearly flat against most major currencies. While yields on bonds in the U.S. decreased, they remained competitive in comparison to much of the developed world, particularly Europe and Japan.

U.S. economic growth slowed somewhat in 2019, but the economy impressed investors with its resilience and durability. While GDP growth of 2.4% through the third quarter wasn’t high by historical standards, it defied the pessimistic forecasts of late 2018, when many investors were concerned about slowing global growth and a possible recession. Instead, the U.S. economy expanded for its 126th consecutive month as of December 2019, marking the longest period of sustained economic growth in the nation’s history.

The economic expansion continued to lift the labor market, where unemployment hit a50-year low of 3.5% in 2019. Wages also increased, albeit at a moderate pace, as inflation remained tame. Despite a slight uptick in December 2019, inflation remained below the Fed’s inflation target of 2% for most of the year. Persistently low inflation allowed the Fed to extend the business cycle with lower interest rates.

Despite the strong performance of most asset classes, there were a number of concerning developments. The environment for global trade deteriorated in 2019, partially due to the trade dispute between the U.S. and China. While the two countries reached a “phase one” deal at the end of 2019, a number of disagreements remained, and global trade growth stalled. In addition, Middle East tensions flared up, raising tensions between the U.S. and Iran. Although global growth remained positive, economic activity continued to slow in China, a country that has been an engine of growth for the world economy.

For investors looking ahead to the new decade, it’s worth recalling where we were 10 years ago. The 2000s saw very modest equity and bond returns, one of the worst decades on record, and recovery from the financial crisis had only just begun. Some pundits at the time were predicting a period of secular stagnation and persistently low GDP growth and investment returns. Instead, we saw uninterrupted growth and perhaps the most impressive bull market in modern history, with remarkable returns for both bonds and equities.

This is a valuable reminder that as much as we may analyze markets, the future is difficult to predict. Investors who backed away from markets in 2009 missed out on substantial returns. The best way to be positioned for whatever the next decade might bring is with a properly diversified portfolio. As with all financial decisions, we recommend consulting with a financial professional to explore the right mix of securities for your portfolio. We encourage you to work closely with your financial professional to navigate the financial markets so that you will be prepared for the years and decades to come.

LOGO

Kate M. Fleming

President of Northwestern Mutual Series Fund, Inc.

¹ All indices and/or benchmarks referenced are unmanaged and cannot be invested in directly.

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			10

Large Cap Core Stock Portfolio			13

Large Cap Blend Portfolio			19

lndex 500 Stock Portfolio			22

Large Company Value Portfolio			30

Domestic Equity Portfolio			35

Equity Income Portfolio			38

Mid Cap Growth Stock Portfolio			43

Index 400 Stock Portfolio			48

Mid Cap Value Portfolio			55

Small Cap Growth Stock Portfolio			61

lndex 600 Stock Portfolio			67

Small Cap Value Portfolio			77

International Growth Portfolio			83

Research International Core Portfolio			89

International Equity Portfolio			95

Emerging Markets Equity Portfolio			100

Government Money Market Portfolio			106

Short-Term Bond Portfolio			111

Select Bond Portfolio			130

Long-Term U.S. Government Bond Portfolio			147

Inflation Protection Portfolio			155

High Yield Bond Portfolio			166

Multi-Sector Bond Portfolio			176

Balanced Portfolio			199

Asset Allocation Portfolio			204

Benchmark Definitions			209

Statements of Assets and Liabilities			212

Statements of Operations			218

Statements of Changes in Net Assets			224

Statement of Cash Flows			233

Financial Highlights			234

Notes to Financial Statements			242

Report of Independent Registered Public Accounting Firm			265

Abbreviations			267

Proxy Voting and Portfolio Holdings			268

Director and Officer Information			269

Approval and Continuance of Investment Advisory andSub-Advisory Agreements			272

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 overseessub-advisers who provideday-to-day management for certain of the Portfolios. Eachsub-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 $l,000 invested at the beginning of the period and held for the entire period (July 1, 2019 to December 31, 2019).

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, 2019		Ending Account Value December 31, 2019		Expenses Paid During Period July 1, 2019 to December 31, 2019*		Annualized Expense Ratio

Growth Stock Portfolio
Actual		$1,000.00		$1,072.85		$2.19		0.42	%
Hypothetical (5% return before expenses)		1,000.00		1,023.09		2.14		0.42

Focused Appreciation Portfolio
Actual		1,000.00		1,081.30		3.30		0.63
Hypothetical (5% return before expenses)		1,000.00		1,022.03		3.21		0.63

Large Cap Core Stock Portfolio
Actual		1,000.00		1,099.26		2.38		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.94		2.29		0.45

Large Cap Blend Portfolio
Actual		1,000.00		1,063.71		4.27		0.82
Hypothetical (5% return before expenses)		1,000.00		1,021.07		4.18		0.82

Index 500 Stock Portfolio
Actual		1,000.00		1,108.00		1.06		0.20
Hypothetical (5% return before expenses)		1,000.00		1,024.20		1.02		0.20

Expense Examples (unaudited)


	Beginning Account Value July 1, 2019		Ending Account Value December 31, 2019		Expenses Paid During Period July 1, 2019 to December 31, 2019*		Annualized Expense Ratio

Large Company Value Portfolio
Actual		$1,000.00		$1,096.69		$4.02		0.76	%
Hypothetical (5% return before expenses)		1,000.00		1,021.37		3.87		0.76

Domestic Equity Portfolio
Actual		1,000.00		1,085.10		2.79		0.53
Hypothetical (5% return before expenses)		1,000.00		1,022.53		2.70		0.53

Equity Income Portfolio
Actual		1,000.00		1,093.43		3.22		0.61
Hypothetical (5% return before expenses)		1,000.00		1,022.13		3.11		0.61

Mid Cap Growth Stock Portfolio
Actual		1,000.00		1,054.93		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		1,068.02		1.36		0.26
Hypothetical (5% return before expenses)		1,000.00		1,023.89		1.33		0.26

Mid Cap Value Portfolio
Actual		1,000.00		1,101.54		3.97		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.42		3.82		0.75

Small Cap Growth Stock Portfolio
Actual		1,000.00		1,096.57		3.01		0.57
Hypothetical (5% return before expenses)		1,000.00		1,022.33		2.91		0.57

Index 600 Stock Portfolio
Actual		1,000.00		1,078.51		1.62		0.31
Hypothetical (5% return before expenses)		1,000.00		1,023.64		1.58		0.31

Small Cap Value Portfolio
Actual		1,000.00		1,072.17		4.60		0.88
Hypothetical (5% return before expenses)		1,000.00		1,020.77		4.48		0.88

International Growth Portfolio
Actual		1,000.00		1,112.58		3.46		0.65
Hypothetical (5% return before expenses)		1,000.00		1,021.93		3.31		0.65

Research International Core Portfolio
Actual		1,000.00		1,092.94		4.06		0.77
Hypothetical (5% return before expenses)		1,000.00		1,021.32		3.92		0.77

International Equity Portfolio
Actual		1,000.00		1,052.68		2.85		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.43		2.80		0.55

Emerging Markets Equity Portfolio
Actual		1,000.00		1,045.79		5.16		1.00
Hypothetical (5% return before expenses)		1,000.00		1,020.16		5.09		1.00

Expense Examples (unaudited)


	Beginning Account Value July 1, 2019		Ending Account Value December 31, 2019		Expenses Paid During Period July 1, 2019 to December 31, 2019*		Annualized Expense Ratio

Government Money Market Portfolio
Actual		$1,000.00		$1,008.68		$1.72		0.34	%
Hypothetical (5% return before expenses)		1,000.00		1,023.49		1.73		0.34

Short-Term Bond Portfolio
Actual		1,000.00		1,013.38		2.03		0.40
Hypothetical (5% return before expenses)		1,000.00		1,023.19		2.04		0.40

Select Bond Portfolio
Actual		1,000.00		1,023.86		1.58		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		1,029.62		7.37		1.44
Hypothetical (5% return before expenses)		1,000.00		1,017.95		7.32		1.44

Inflation Protection Portfolio
Actual		1,000.00		1,021.92		2.85		0.56
Hypothetical (5% return before expenses)		1,000.00		1,022.38		2.85		0.56

High Yield Bond Portfolio
Actual		1,000.00		1,043.38		2.32		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		1,038.26		3.85		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.42		3.82		0.75

Balanced Portfolio
Actual		1,000.00		1,053.01		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		1,062.49		0.47		0.09
Hypothetical (5% return before expenses)		1,000.00		1,024.75		0.46		0.09

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 theone-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.

Growth Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Current income is a secondary objective.	Invest in the 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 assub-adviser for the Portfolio. T. Rowe Price was appointedsub-adviser to the Portfolio effective November 14, 2019. Prior to that time, the Portfolio wassub-advised by Mellon Investments Corporation (“Mellon”). 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. stocks surged in 2019, with several major indices hittingall-time highs in the second half of the year. The U.S. Federal Reserve’s decision to keep rates steady in the first half of the year and then reduce them three times starting in July was a major driver of market performance. Trade discussions between the U.S. and China also drove market sentiment throughout the year. Speculation arose numerous times during the year that the two countries were “close” to reaching an agreement, although occasional tensions seemed to reduce its likelihood. A preliminary “phase one” trade deal was finally agreed upon in December, supporting investor enthusiasm into the end of the year. As part of the agreement, the U.S. would plan to lower or cancel the scheduled tariff rate on various Chinese goods. The agreement would also require “structural reforms and other changes to China’s economic and trade regime in the areas of intellectual property, technology transfer, agriculture, financial services and currency and foreign exchange”.

The Russell 1000^® Growth Index posted positive returns during the twelve-month period ended December 31, 2019. As measured by various Russell U.S. indices,large-cap shares outperformed their smaller peers. Growth stocks soundly outperformed value across all market capitalizations.

PORTFOLIO RESULTS

The Portfolio returned 29.68% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell 1000^® Growth Index (the “Index”), returned 36.39%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Upper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Large Cap Growth Funds peer group was 33.19%.

As noted above, prior to November 14, 2019, the Portfolio was managed by Mellon. With respect to the period prior to November 14, 2019, the Portfolio’s underperformance was largely attributable to stock selection in the Communication Services sector. Pinterest fell on negative sentiment from slowing advertising demand. Twitter declined due to transitory technical issues, while key metrics such as “daily active users” showed improvement. The Portfolio’s lack of exposure to Facebook, Inc. detracted from relative results as the company reported better-than-expected earnings. Stock selection in the Health Care sector also weighed on relative performance this year. Varian Medical Systems, Inc. moved lower on concerns around margin leverage and slowing Asia Pacificex-China orders. Align Technology, Inc. declined as investors responded negatively to disappointing China growth numbers.

The following performance attribution comments relate to the period November 14, 2019 through December 31, 2019, during which time T. Rowe Price acted as the Portfolio’ssub-adviser.

Stock selection in the Consumer Discretionary sector contributed to strong relative results during the period, led by Alibaba Group Holding. Shares of the company traded higher as continued user growth, particularly in lower-tier cities, fueled better-than-expected topline results in its coree-commerce business. Shares received an additional boost following strong demand for its Hong Kong IPO, with proceeds expected to be deployed strategically to fund cloud and entertainment initiatives, as well as fend off domestice-commerce competitors. The Communication Services sector also aided relative returns, mainly due to stock picks, such as Tencent Holdings.

Growth Stock Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

T. Rowe Price managers believe that the long duration of the current bull market is not a particular concern. Rather than dying of old age, bull markets often succumb to one of four ills: an economic downturn, regulatory or policy uncertainty, Federal Reserve policy errors, or valuation excess. On balance, current signals suggest slightly positive returns for the market in 2020, with a highly accommodative Federal Reserve likely to offset significant volatility caused by the regulatory and political environment. Nevertheless, the possibility of extreme outcomes in either a negative or positive direction appears higher than in recent years.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Growth Stock Portfolio		29.68	%		12.13	%		12.64	%
Russell 1000^® Growth Index		36.39	%		14.63	%		15.22	%
Lipper^® Variable Insurance Products (VIP) Large Cap Growth Funds Average		33.19	%		13.73	%		14.18	%

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 recentmonth-end performance information visitwww.northwesternmutual.com.

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 Equity Holdings 12/31/19


Security Description	% of Net Assets
Amazon.com, Inc.	8.8	%
Alphabet, Inc., Various	6.5	%
Facebook, Inc. - Class A	6.4	%
Microsoft Corp.	5.0	%
Alibaba Group Holding, Ltd., ADR	4.3	%
Visa, Inc. - Class A	3.7	%
Mastercard, Inc. - Class A	3.3	%
Apple, Inc.	2.5	%
Tencent Holdings, Ltd.	2.3	%
The Boeing Co.	2.2	%

Growth Stock Portfolio (unaudited)

Sector Allocation 12/31/19


Sector	% of Net Assets
Information Technology	33.4	%
Consumer Discretionary	22.3	%
Communication Services	16.4	%
Health Care	15.6	%
Industrials	6.2	%
Financials	4.4	%
Materials	0.6	%
Short-Term Investments & Other Net Assets	0.5	%
Energy	0.3	%
Utilities	0.3	%
Consumer Staples	0.0	%
Real Estate	0.0	%

Sector Allocation and Top 10 Holdings are subject to change.

Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (99.5%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (16.4%)
Alphabet, Inc. - Class A*		10,090		13,515
Alphabet, Inc. - Class C*		42,498		56,821
Electronic Arts, Inc.*		23,945		2,574
Facebook, Inc. - Class A*		337,679		69,309
IAC/InterActiveCorp*		27,001		6,726
Match Group, Inc.*		21,328		1,751
Spotify Technology SA*		15,616		2,335
Tencent Holdings, Ltd.		511,400		24,650

Total				177,681


Consumer Discretionary (22.3%)
Alibaba Group Holding, Ltd., ADR*		221,277		46,933
Amazon.com, Inc.*		51,725		95,579
Aptiv PLC		64,804		6,154
Booking Holdings, Inc.*		7,999		16,428
Chipotle Mexican Grill, Inc.*		800		670
Dollar General Corp.		81,367		12,692
Dollar Tree, Inc.*		23,809		2,239
Ferrari NV		6,761		1,119
Hilton Worldwide Holdings, Inc.		52,276		5,798
Lululemon Athletica, Inc.*		20,579		4,768
Marriott International, Inc. - Class A		30,150		4,566
Netflix, Inc.*		48,963		15,843
NIKE, Inc. - Class B		61,801		6,261
Restaurant Brands International, Inc.		28,734		1,832
Ross Stores, Inc.		84,967		9,892
Royal Caribbean Cruises, Ltd.		18,882		2,521
The TJX Cos., Inc.		26,524		1,620
Trip.com Group, Ltd.*		49,500		1,660
VF Corp.		16,280		1,622
Wynn Resorts, Ltd.		18,162		2,522
Yum! Brands, Inc.		9,217		928

Total				241,647


Consumer Staples (0.0%)
Constellation Brands, Inc. - Class A		496		94
Philip Morris International, Inc.		395		34

Total				128


Common Stocks (99.5%)	Shares/ Par⁺		Value $ (000’s)

Energy (0.3%)
Concho Resources, Inc.		13,895		1,217
Pioneer Natural Resources Co.		13,677		2,070

Total				3,287


Financials (4.4%)
American International Group, Inc.		27,654		1,419
The Charles Schwab Corp.		85,385		4,061
Chubb, Ltd.		14,139		2,201
Citigroup, Inc.		4,123		329
The Goldman Sachs Group, Inc.		3,673		845
Intercontinental Exchange, Inc.		66,789		6,181
JPMorgan Chase & Co.		1,604		224
Marsh & McLennan Cos., Inc.		35,460		3,951
Morgan Stanley		79,896		4,084
S&P Global, Inc.		23,273		6,355
State Street Corp.		17,996		1,423
TD Ameritrade Holding Corp.		124,693		6,197
Willis Towers Watson PLC		50,045		10,106

Total				47,376


Health Care(15.6%)
Abbott Laboratories		7,761		674
Agilent Technologies, Inc.		2,436		208
Alexion Pharmaceuticals, Inc.*		36,288		3,925
Amgen, Inc.		347		84
Anthem, Inc.		36,780		11,109
Becton Dickinson and Co.		55,352		15,054
Boston Scientific Corp.*		147		7
Centene Corp.*		75,222		4,729
Cigna Corp.		93,077		19,033
Danaher Corp.		81,825		12,558
Exact Sciences Corp.*		17,561		1,624
HCA Healthcare, Inc.		33,074		4,889
Intuitive Surgical, Inc.*		27,372		16,181
Seattle Genetics, Inc.*		4,971		568
Stryker Corp.		92,114		19,338
Teleflex, Inc.		884		333
Thermo Fisher Scientific, Inc.		39,905		12,964
UnitedHealth Group, Inc.		71,199		20,931
Veeva Systems, Inc. - Class A*		7,993		1,124


Common Stocks (99.5%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Vertex Pharmaceuticals, Inc.*		83,166		18,209
WellCare Health Plans, Inc.*		11,042		3,646
Zoetis, Inc.		12,412		1,643

Total				168,831


Industrials (6.2%)
The Boeing Co.		73,728		24,018
Canadian Pacific Railway, Ltd.		9,874		2,517
Cintas Corp.		4,484		1,207
CoStar Group, Inc.*		7,743		4,633
Equifax, Inc.		13,008		1,823
Fortive Corp.		5,956		455
Honeywell International, Inc.		18,866		3,339
IHS Markit, Ltd.*		17,622		1,328
Kansas City Southern		8,046		1,232
L3Harris Technologies, Inc.		16,869		3,338
Norfolk Southern Corp.		9,128		1,772
Northrop Grumman Corp.		15,713		5,405
Roper Technologies, Inc.		19,768		7,002
Union Pacific Corp.		18,411		3,328
United Continental Holdings, Inc.*		65,726		5,790
United Parcel Service, Inc. - Class B		1,255		147

Total				67,334


Information Technology (33.4%)
Advanced Micro
Devices, Inc.*		68,900		3,160
Apple, Inc.		93,389		27,424
Applied Materials, Inc.		72,720		4,439
Atlassian Corp. PLC*		7,230		870
Automatic Data Processing, Inc.		8,902		1,518
Broadcom, Inc.		871		275
DocuSign, Inc.*		26,953		1,998
Fidelity National Information Services, Inc.		128,834		17,920
Fiserv, Inc.*		152,767		17,664
FleetCor Technologies, Inc.*		19,411		5,585
Global Payments, Inc.		111,447		20,346
Intuit, Inc.		77,430		20,281
KLA-Tencor Corp.		18,118		3,228
Lam Research Corp.		10,256		2,999
Marvell Technology Group, Ltd.		172,107		4,571

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

Growth Stock Portfolio


Common Stocks (99.5%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
Mastercard, Inc. - Class A		119,452		35,667
Maxim Integrated Products, Inc.		19,049		1,172
Microchip Technology, Inc.		6,143		643
Microsoft Corp.		345,923		54,552
Motorola Solutions, Inc.		568		92
NVIDIA Corp.		30,034		7,067
Paycom Software, Inc.*		10,373		2,746
PayPal Holdings, Inc. *		160,182		17,327
QUALCOMM, Inc.		23,690		2,090
salesforce.com, Inc. *		125,154		20,355
ServiceNow, Inc. *		74,031		20,900
Splunk, Inc. *		56,705		8,493
Synopsys, Inc. *		7,726		1,076
Texas Instruments, Inc.		10,954		1,405
Visa, Inc.- Class A		212,626		39,952
VMware, Inc. - Class A*		33,925		5,150
Workday, Inc. - Class A *		65,919		10,840
Xilinx, Inc.		1,344		131

Total				361,936


Materials (0.6%)
Air Products and Chemicals, Inc.		3,376		793
Linde PLC		17,083		3,637
The Sherwin-Williams Co.		4,883		2,850

Total				7,280


Real Estate (0.0%)
American Tower Corp.		252		58

Total				58


Utilities (0.3%)
NextEra Energy, Inc.		437		106
Sempra Energy		19,295		2,922

Total				3,028


Total Common Stocks
(Cost: $893,803)				1,078,586


Short-Term Investments (0.4%)

Money Market Funds (0.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540% #		4,100,735		4,101

Total				4,101


Total Short-Term Investments
(Cost: $4,101)				4,101


Short-Term Investments (0.4%)	Shares/ Par⁺	Value $ (000’s)

Money Market Funds continued

Total Investments (99.9%)
(Cost: $897,904)^@			1,082,687

Other Assets, Less
Liabilities (0.1%)			637

Net Assets (100.0%)			1,083,324

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

Growth Stock Portfolio

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $898,098 and the net unrealized appreciation of investments based on that cost was $184,589 which is comprised of $189,899 aggregate gross unrealized appreciation and $5,310 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	1,078,586	$	-	$	-
Short-Term Investments		4,101		-		-
Total Assets:	$	1,082,687	$	-	$	-

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

Focused Appreciation Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest in equity securities selected for their growth potential.	$1.0 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 assub-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 of30-40 securities, but may exceed this range.

MARKET OVERVIEW

U.S. equity market returns were very strong during the reporting period as asset prices rebounded from depressed valuations following market turmoil in late 2018. Growth strategies continued to outperform value strategies, consistent with the three- and five-year trends. Large- andsmall-cap stocks performed roughly in line with each other.

PORTFOLIO RESULTS

The Portfolio returned 31.97% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell 1000^® Growth Index (the “Index”), returned 36.39%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Large Cap Growth Funds peer group was 33.19%.

Main drivers of the Portfolio’s underperformance included stock selection in the Information Technology and Industrials sectors as well as positioning in the Information Technology, Consumer Staples and Energy sectors. From an individual security perspective, the decision to not own Apple Inc. was significant in holding back relative returns.

On the positive side, Facebook, Inc., Alibaba Group Holding Ltd. and Visa, Inc. were among the top contributors to the Portfolio’s relative returns. Stock selection in the Consumer Discretionary and Communication Services sectors as well as positioning in the Industrials sector also contributed to relative performance.

During the period, the portfolio manager took advantage of price weakness to take positions in NVIDIA Corporation and Roche Holding AG, and add to several of the high quality growth companies in the Portfolio, including Monster Beverage Corporation, Novartis AG, Regeneron Pharmaceuticals, Inc. and Schlumberger, Ltd. The purchases were funded by reducing positions in Alcon, Inc., American Express Company, Danone SA, FactSet Research Systems, Inc., Procter & Gamble Company, Qualcomm Incorporated, Starbucks Corporation and Varian Medical Systems, Inc. A position in United Parcel Service, Inc. was exited as it approached the portfolio manager’s estimate of intrinsic value.

PORTFOLIO MANAGER OUTLOOK

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

We believe that markets are efficient in the long run. In the near term, however, we believe that innate behavioral biases, such as herding, overconfidence and loss aversion influence investment decisions and create asset pricing anomalies. These pricing inefficiencies converge toward intrinsic value over time. Market efficiency is therefore dynamic, existing along a continuum between fully efficient and inefficient pricing. Therefore, we attempt to determine intrinsic value and exploit the long-term difference between this value and the market’s current perception. We look to invest in those few high quality businesses with sustainable competitive advantages and profitable growth when they trade significantly below intrinsic value.

Our investment process is characterized bybottom-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 when they occur. The nature of the process leads to lower turnover based on stock selection. Relative to the Russell 1000^® Growth Index, we are

Focused Appreciation Portfolio (unaudited)

currently overweight in the Consumer Staples, Consumer Discretionary, Health Care, Energy, Financials and Communication Services sectors. We are underweight in the Information Technology and Industrials sectors. We hold no positions in the Real Estate or Materials sectors.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Focused Appreciation Portfolio		31.97	%		15.69	%		13.69	%
Russell 1000^® Growth Index		36.39	%		14.63	%		15.22	%
Lipper^® Variable Insurance Products (VIP) Large Cap Growth Funds Average		33.19	%		13.73	%		14.18	%

This chart assumes an initial investment of $10,000 made on 12/31/09. 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 forinformation about the indices cited in the above chart and graph.

As anon-diversified portfolio, the Portfolio may hold fewer securities because of its focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Visa, Inc. - Class A	6.9	%
Amazon.com, Inc.	6.1	%
Alibaba Group Holding, Ltd., ADR	6.0	%
Facebook, Inc. - Class A	6.0	%
Alphabet, Inc., Various	5.8	%
Oracle Corp.	4.6	%
Autodesk, Inc.	4.3	%
Microsoft Corp.	4.0	%
Monster Beverage Corp.	3.4	%
Regeneron Pharmaceuticals, Inc.	3.1	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Information Technology	29.3	%
Consumer Discretionary	17.5	%
Health Care	17.3	%
Consumer Staples	12.6	%
Communication Services	11.8	%
Industrials	5.1	%
Financials	3.9	%
Energy	1.7	%
Short-Term Investments & Other Net Assets	0.8	%

Sector Allocation and Top 10 Holdings are subject to change.

Focused Appreciation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (99.2%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (11.8%)
Alphabet, Inc. - Class A*		21,961		29,414
Alphabet, Inc. - Class C*		22,005		29,421
Facebook, Inc. - Class A*		293,607		60,263

Total				119,098


Consumer Discretionary (17.5%)
Alibaba Group Holding, Ltd., ADR*		285,416		60,537
Amazon.com, Inc.*		33,504		61,910
Starbucks Corp.		272,918		23,995
Yum China Holdings, Inc.		292,250		14,031
Yum! Brands, Inc.		169,359		17,059

Total				177,532


Consumer Staples (12.6%)
The Coca-Cola Co.		454,036		25,131
Colgate-Palmolive Co.		250,640		17,254
Danone SA, ADR		1,360,798		22,440
Monster Beverage Corp.*		538,613		34,229
The Procter & Gamble Co.		230,396		28,776

Total				127,830


Energy (1.7%)
Schlumberger, Ltd.		432,383		17,382

Total				17,382


Common Stocks (99.2%)	Shares/ Par⁺		Value $ (000’s)

Financials (3.9%)
American Express Co.		3,920		488
FactSet Research Systems, Inc.		62,022		16,641
SEI Investments Co.		347,302		22,741

Total				39,870


Health Care (17.3%)
Alcon, Inc.*		2,511		142
Amgen, Inc.		76,025		18,327
Cerner Corp.		305,694		22,435
Merck & Co., Inc.		130,886		11,904
Novartis AG, ADR		228,684		21,654
Novo Nordisk A/S, ADR		496,150		28,717
Regeneron Pharmaceuticals, Inc.*		84,781		31,834
Roche Holding AG, ADR		747,496		30,393
Varian Medical Systems, Inc.*		66,797		9,486

Total				174,892


Industrials (5.1%)
Deere & Co.		148,235		25,683
Expeditors International of Washington, Inc.		334,692		26,113

Total				51,796


Common Stocks (99.2%)	Shares/ Par⁺		Value $ (000’s)

Information Technology (29.3%)
Autodesk, Inc.*		238,220		43,704
Automatic Data Processing, Inc.		54,932		9,366
Cisco Systems, Inc.		524,004		25,131
Microsoft Corp.		255,632		40,313
NVIDIA Corp.		132,093		31,081
Oracle Corp.		871,809		46,188
QUALCOMM, Inc.		352,158		31,071
Visa, Inc. - Class A		371,429		69,792

Total				296,646

Total Common Stocks
(Cost: $613,176)				1,005,046


Short-Term Investments (0.8%)

Money Market Funds (0.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%#		7,807,833		7,808

Total				7,808


Total Short-Term Investments
(Cost: $7,808)				7,808


Total Investments (100.0%)
(Cost: $620,984)@				1,012,854

Other Assets, Less
Liabilities (0.0%)				(230	)

Net Assets (100.0%)				1,012,624

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $621,851 and the net unrealized appreciation of investments based on that cost was $391,003 which is comprised of $404,402 aggregate gross unrealized appreciation and $13,399 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	1,005,046	$	-	$	-
Short-Term Investments		7,808		-		-
Total Assets:	$	1,012,854	$	-	$	-

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

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.	$633 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 assub-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, as measured by the S&P 500^® Index, posted positive results for the twelve months ended December 31, 2019. U.S. equities rose as the U.S. economy remained resilient despite elevated geopolitical uncertainties and slowing global growth. U.S.-China trade relations were volatile in the absence of meaningful compromises on key structural issues. The U.S. Federal Reserve (the “Fed”) lowered its benchmark interest rate in July and September by a combined 0.50% to sustain economic expansion and mitigate the risks of slowing growth and trade frictions. U.S. equities surged in the fourth quarter of 2019 as stocks benefited from waning recession fears, accommodative Fed policies, including another 0.25% rate cut in October, and improved U.S.-China trade sentiment in December.

Returns during the period varied by market capitalization. Large cap stocks, as measured by the S&P^® 500 Index, outperformed mid- andsmall-cap stocks, as measured by the S&P MidCap 400^® Index and Russell 2000^® Index.

PORTFOLIO RESULTS

The Large Cap Core Stock Portfolio returned 31.19% for the twelve months ended December 31, 2019. By comparison, the S&P 500^® Index (the “Index”) returned 31.49% for the year. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2019 for the Large Cap Core Funds peer group was 28.86%.

The Portfolio’s relative performance during the period was helped by strong stock selection in the Information Technology and Industrials sectors, offset by weak stock selection in the Consumer Discretionary and Consumer Staples sectors.

Top individual relative detractors included Apple Inc., TD Ameritrade and Anthem Inc. The Portfolio’s underweight to Apple Inc. weighed on performance as the Information Technology giant’s shares rose after second quarter earnings results beat expectations. Relatively favorable iPhone results and strong services and wearables revenue supported Apple’s stock price. The Portfolio’s position inout-of-benchmark Financials company TD Ameritrade, an online brokerage company, also hindered relative results. Shares fell sharply in September after market leader Charles Schwab announced plans to eliminate commission charges for trading in U.S. stocks, ETFs and options. Shares later rebounded on news that Charles Schwab agreed to acquire TD Ameritrade for a premium. The Portfolio’s overweight to Anthem, a U.S.-based managed Health Care company, detracted from relative performance. Anthem shares declined as the company continued to face political headwinds.

Leading contributors to relative performance during the period included two stocks from the Information Technology sector, Advanced Micro Devices (“AMD”) and Global Payments Inc. The Portfolio’s overweight to semiconductor maker AMD was the largest contributor to relative performance. The company’s shares rose toward the end of the reporting period following Microsoft’s unveiling of several new Surface laptops using AMD central processing unit chips. Investors viewed this development favorably in terms of AMD’s competitive positioning against its rival, Intel. The Portfolio’s overweight to Global Payments, a company whose products help merchants accept multiple kinds of payments to improve efficiency, also bolstered relative results. The company reported a series of positive quarterly earnings results and announced their acquisition of Total System Services. Not holding Johnson & Johnson, a developer of medical devices, pharmaceuticals and consumer packaged goods, was also a strong contributor to relative performance. Concerns about lawsuits regarding its talc-based baby powder and its alleged role in the opioid crisis weighed on the company’s stock.

Large Cap Core Stock Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

We believe that the U.S. manufacturing economy is being pulled in opposite directions by easier financial conditions on the one hand and the uncertainty about the trade dispute with China on the other. Ultimately, we think President Donald Trump will likely choose the economy (his greatest strength in the polls) over being tough on China as a result of political considerations. Meanwhile, consumers continue to enjoy solid job gains and a strong housing market. Therefore, we expect uncertainty to diminish and for the economy to maintain its solid, if unspectacular, growth.

For 2020, our U.S. macroeconomic team is encouraged by improving leading economic indicators, receding tail risks and the fact that markets are no longer pricing in much central bank support. We continue to hold a moderately bullish view on U.S. equities.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Large Cap Core Stock Portfolio		31.19	%		9.93	%		10.81	%
S&P 500^® Index		31.49	%		11.69	%		13.55	%
Lipper^® Variable Insurance Products (VIP) Large Cap Core Funds Average		28.86	%		10.23	%		12.22	%

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 Equity Holdings 12/31/19


Security Description	% of Net Assets
Amazon.com, Inc.		4.6	%
Microsoft Corp.		4.2	%
Apple, Inc.		4.2	%
Alphabet, Inc. - Class A		3.7	%
Bank of America Corp.		2.9	%
The Coca-Cola Co.		2.1	%
The Procter & Gamble Co.		2.0	%
Facebook, Inc. - Class A		1.8	%
AstraZeneca PLC, ADR		1.6	%
United Technologies Corp.		1.5	%

Large Cap Core Stock Portfolio (unaudited)

Sector Allocation 12/31/19


Sector	% of Net Assets
Information Technology		21.3	%
Health Care		14.0	%
Financials		11.5	%
Communication Services		11.1	%
Consumer Discretionary		11.0	%
Industrials		10.7	%
Consumer Staples		5.3	%
Energy		4.3	%
Utilities		4.3	%
Materials		3.0	%
Real Estate		3.0	%
Short-Term Investments & Other Net Assets		0.3	%
Investment Companies		0.2	%

Sector Allocation and Top 10 Holdings are subject to change.

Large Cap Core Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (99.5%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (11.1%)
Alphabet, Inc. - Class A*		17,606		23,581
Charter Communications, Inc. - Class A*		9,064		4,397
Comcast Corp. - Class A		210,681		9,474
Electronic Arts, Inc.*		49,107		5,280
Facebook, Inc. - Class A*		55,008		11,290
Liberty Media Corp. - Liberty Formula One - Class C*		21,591		993
Spotify Technology SA*		7,049		1,054
Verizon Communications, Inc.		156,319		9,598
The Walt Disney Co.		30,209		4,369

Total				70,036


Consumer Discretionary (11.0%)
Amazon.com, Inc.*		15,724		29,055
D.R. Horton, Inc.		80,741		4,259
Lennar Corp. - Class A		124,140		6,926
Lowe’s Companies, Inc.		67,602		8,096
Marriott International, Inc. - Class A		17,157		2,598
McDonald’s Corp.		29,856		5,900
Netflix, Inc.*		11,048		3,575
The TJX Cos., Inc.		154,610		9,441

Total				69,850


Consumer Staples (5.3%)
The Coca-Cola Co.		234,235		12,965
Mondelez International, Inc.		146,217		8,054
The Procter & Gamble Co.		101,380		12,662

Total				33,681


Energy (4.3%)
BP PLC, ADR		39,098		1,476
Chevron Corp.		33,514		4,039
Concho Resources, Inc.		9,700		849
Diamondback Energy, Inc.		12,610		1,171
Encana Corp.		244,961		1,149
Exxon Mobil Corp.		110,799		7,732
Marathon Petroleum Corp.		55,297		3,332
Noble Energy, Inc.		62,932		1,563
Pioneer Natural Resources Co.		6,972		1,055
Schlumberger, Ltd.		70,902		2,850


Common Stocks (99.5%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
TC Energy Corp.		43,729		2,331

Total				27,547


Financials (11.5%)
American Express Co.		28,189		3,509
American International Group, Inc.		100,612		5,164
Athene Holding, Ltd. - Class A*		78,438		3,689
AXA Equitable Holdings, Inc.		126,600		3,137
Bank of America Corp.		521,552		18,369
Berkshire Hathaway, Inc. - Class B*		19,694		4,461
The Blackstone Group, Inc. - Class A		131,182		7,338
The Hartford Financial Services Group, Inc.		68,082		4,137
JPMorgan Chase & Co.		31,718		4,422
Marsh & McLennan Cos., Inc.		47,412		5,282
The Progressive Corp.		27,709		2,006
Prudential Financial, Inc.		35,486		3,327
Raymond James Financial, Inc.		22,106		1,978
S&P Global, Inc.		11,130		3,039
TD Ameritrade Holding Corp.		60,089		2,986

Total				72,844


Health Care (14.0%)
Abbott Laboratories		100,353		8,717
Alnylam Pharmaceuticals, Inc.*		5,447		627
Anthem, Inc.		31,861		9,623
AstraZeneca PLC, ADR		196,250		9,785
Baxter International, Inc.		46,238		3,866
Biogen, Inc.*		6,379		1,893
Bristol-Myers Squibb Co.		121,740		7,815
Danaher Corp.		37,635		5,776
Edwards Lifesciences Corp.*		15,402		3,593
Eli Lilly & Co.		41,171		5,411
HCA Healthcare, Inc.		25,629		3,788
lncyte Corp.*		9,768		853
Pfizer, Inc.		239,270		9,375
Regeneron Pharmaceuticals, Inc.*		1,211		455
Seattle Genetics, Inc. *		14,398		1,645
Thermo Fisher Scientific, Inc.		20,429		6,637


Common Stocks (99.5%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
UnitedHealth Group, Inc.		22,190		6,523
Vertex Pharmaceuticals, Inc.*		10,303		2,256

Total				88,638


Industrials (10.7%)
3M Co.		9,448		1,667
AMETEK, Inc.		2,910		290
The Boeing Co.		16,404		5,344
Caterpillar, Inc.		4,889		722
Dover Corp.		12,333		1,422
Emerson Electric Co.		31,959		2,437
Equifax, Inc.		12,460		1,746
FedEx Corp.		16,617		2,513
Fortive Corp.		39,988		3,055
General Electric Co.		86,369		964
IHS Markit, Ltd.*		63,294		4,769
Illinois Tool Works, Inc.		11,727		2,107
Ingersoll-Rand PLC		28,237		3,753
J.B. Hunt Transport Services, Inc.		33,355		3,895
Jacobs Engineering Group, Inc.		5,333		479
Lockheed Martin Corp.		20,843		8,116
Norfolk Southern Corp.		20,158		3,913
PACCAR, Inc.		35,668		2,821
Rockwell Automation, Inc.		8,717		1,767
Southwest Airlines Co.		16,920		913
Uber Technologies, Inc.*		114,260		3,398
United Technologies Corp.		65,307		9,780
Wabtec Corp.		25,531		1,986

Total				67,857


Information Technology (21.3%)
Adobe Systems, Inc.*		7,949		2,622
Advanced Micro Devices, Inc.*		125,388		5,750
Apple, Inc.		90,589		26,601
FleetCor Technologies, Inc.*		20,536		5,909
Global Payments, Inc.		53,011		9,678
GoDaddy, Inc.*		23,359		1,587
Intel Corp.		42,948		2,570
KLA-Tencor Corp.		18,129		3,230
Marvell Technology Group, Ltd.		136,816		3,634
Micron Technology, Inc.*		76,468		4,112
Microsoft Corp.		169,603		26,746
PayPal Holdings, Inc.*		34,979		3,784
salesforce.com, Inc.*		26,940		4,381
ServiceNow, Inc.*		3,842		1,085

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

Large Cap Core Stock Portfolio


Common Stocks (99.5%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
Slack Technologies, Inc. - Class A*		21,085		474
Splunk, Inc.*		6,248		936
SS&C Technologies Holdings, Inc.		100,978		6,200
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		50,979		2,962
Texas Instruments, Inc.		40,874		5,244
VeriSign, Inc.*		18,252		3,517
Visa,Inc. - Class A		51,594		9,694
Western Digital Corp.		34,674		2,201
Workday, Inc. - Class A*		10,571		1,738

Total				134,655


Materials (3.0%)
Ball Corp.		39,535		2,557
Celanese Corp. - Class A		26,043		3,206
Crown Holdings, Inc.*		24,211		1,756
Dow, Inc.		23,053		1,262
FMC Corp.		27,527		2,748
International Paper Co.		34,830		1,604
Linde PLC		12,930		2,753
Nucor Corp.		8,647		486
PPG Industries, Inc.		20,464		2,732

Total				19,104


Real Estate (3.0%)
Alexandria Real Estate Equities, Inc.		20,839		3,367
American Tower Corp.		28,986		6,662
Equinix, Inc.		7,401		4,320
Healthpeak Properties, Inc.		62,245		2,146
Prologis, Inc.		27,390		2,441

Total				18,936


Utilities (4.3%)
Duke Energy Corp.		30,631		2,794
Edison International		15,789		1,191
Exelon Corp.		173,624		7,915
National Grid PLC		22,404		1,404
NRG Energy, Inc.		108,598		4,317
PPL Corp.		78,036		2,800
Sempra Energy		44,840		6,792

Total				27,213


Total Common Stocks
(Cost: $514,865)				630,361


Investment Companies (0.2%)

Investment Companies (0.2%)
SPDR S&P 500 ETF Trust		2,968		955

Total				955


Total Investment Companies
(Cost: $879)				955


Short-Term Investments (0.4%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (0.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540% #		2,826,346		2,826

Total				2,826

Total Short-Term Investments
(Cost: $2,826)				2,826


Total Investments (100.1%)
(Cost: $518,570)@				634,142

Other Assets, Less
Liabilities(-0.1%)				(934	)

Net Assets (100.0%)				633,208

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

Large Cap Core Stock Portfolio

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $519,574 and the net unrealized appreciation of investments based on that cost was $114,568 which is comprised of $122,940 aggregate gross unrealized appreciation and $8,372 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	630,361	$	-	$	-
Investment Companies		955		-		-
Short-Term Investments		2,826		-		-
Total Assets:	$	634,142	$	-	$	-

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

Large Cap Blend Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest primarily in equity securities of U.S. large capitalization companies listed or traded on U.S. securities exchanges.	$175 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Large Cap Blend Portfolio (the “Portfolio”), has engaged Fiduciary Management, Inc. (“FMI”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in equity securities of large capitalization companies listed or traded on U.S. securities exchanges. In selecting investments, greater consideration is given to potential appreciation and future dividends than to current income. The Portfolio uses fundamental analysis to look for stocks of good businesses that are selling at value prices. The Portfolio employs a focused investment strategy, typically investing in a core group of 20-30 large capitalization common stocks and American Depositary Receipts.

MARKET OVERVIEW

The U.S. equity market, as measured by the S&P 500^® Index, produced a robust gain of more than 31% this year, despite slowing worldwide growth along with weak industrial production and investment. Furthermore, U.S. earnings growth declined for three straight quarters. In 2019, central bankers responded to the increasingly fragile and uncertain outlook as they have historically, by easing monetary policy. Equity valuations were elevated by historical standards, suggesting that investors believed that extremely low interest rates would persist in the long term.

Corporate pretax profits as measured by the Bureau of Economic Analysis were down 13% from five years ago. However, lower tax rates and large multinational companies’ ability to reduce their tax burdens helped to drive S&P 500^® Index profits up 31% during this time. On a pretax basis, S&P 500^® Index earnings have grown modestly over the past five years, yet the Index has risen by 75% since the end of 2014.

PORTFOLIO RESULTS

The Portfolio returned 23.97% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the S&P 500^® Index (the “Index”) returned 31.49%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Large Cap Core Funds peer group was 28.86%.

Most stocks gained for the reporting period but high-multiple growth stocks generally posted the strongest advances. Given this market dynamic, the Portfolio’s valuation-sensitive investment approach led to underperformance relative to the broad market. For example, Apple Inc. (which the Portfolio does not own) gained 29% in the fourth quarter of 2019 and 89% for the full year.

The Portfolio’s significant underweight exposure in the Information Technology sector hurt relative performance. Not owning Apple Inc. was a leading detractor. Other detractors included HD Supply Holdings Inc. and Berkshire Hathaway, Inc. Positive contributors for the year included Masco Corporation, Accenture PLC, Dollar General Stores and Cerner Corporation.

PORTFOLIO MANAGER OUTLOOK

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

We believe that stock markets that depend on multiple expansion to deliver performance are dangerous. Fundamentals should drive stock performance over time; everything else is speculation. People are fixated on tropes such as, “interest rates and inflation will never be a problem” and “investors should own the most popular growth stocks and we are in a new valuation era.” There are no new eras in finance and investing. Excesses always evaporate.

We view the current environment as the exception, not the rule. For example, while markets regard easy money as a bullish signal, we view it as a sign of desperation. In the long run, we expect to see a reversion to the mean, not only for interest rates and asset valuations, but also for value versus growth. We are currently finding the most value in cyclical businesses that have lagged in such a strong market. As the valuation spread between what is working and what is left behind continues to widen, we expect a higher level of Portfolio activity.

Large Cap Blend Portfolio (unaudited)

We do not follow the herd and are working diligently to prepare for the inevitable change that comes to all markets.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Large Cap Blend Portfolio		23.97	%		9.52	%		11.56	%
S&P 500^® Index		31.49	%		11.69	%		13.55	%
Lipper^® Variable Insurance Products (VIP) Large Cap Core Funds Average		28.86	%		10.23	%		12.22	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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 hold fewer securities than other diversified portfolios because of its more focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Berkshire Hathaway, Inc. - Class B		6.2	%
UnitedHealth Group, Inc.		5.3	%
JPMorgan Chase & Co.		4.9	%
Dollar General Corp.		4.6	%
Masco Corp.		4.3	%
Honeywell International, Inc.		4.2	%
Quest Diagnostics, Inc.		3.8	%
Chubb, Ltd.		3.4	%
Omnicom Group, Inc.		3.4	%
Accenture PLC - Class A		3.4	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Industrials		20.3	%
Financials		19.0	%
Health Care		14.7	%
Consumer Discretionary		13.2	%
Consumer Staples		9.2	%
Short-Term Investments & Other Net Assets		6.3	%
Information Technology		5.7	%
Communication Services		4.9	%
Materials		3.9	%
Energy		2.8	%

Sector Allocation and Top 10 Holdings are subject to change.

Large Cap Blend Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (4.9%)
Comcast Corp. - Class A		59,465		2,674
Omnicom Group, Inc.		73,285		5,938

Total				8,612


Consumer Discretionary (13.2%)
Booking Holdings, Inc.*		1,845		3,789
Dollar General Corp.		51,900		8,095
Dollar Tree, Inc.*		59,250		5,572
The TJX Cos., Inc.		93,295		5,697

Total				23,153


Consumer Staples (9.2%)
Nestle SA, ADR		52,330		5,665
PepsiCo, Inc.		39,065		5,339
Unilever PLC, ADR		88,240		5,045

Total				16,049


Energy (2.8%)
Schlumberger, Ltd.		119,820		4,817

Total				4,817


Financials (19.0%)
Berkshire Hathaway, Inc. - Class B*		47,575		10,776
The Charles Schwab Corp.		94,290		4,484
Chubb, Ltd.		38,705		6,025
JPMorgan Chase & Co.		61,205		8,532


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Northern Trust Corp.		32,245		3,426

Total				33,243


Health Care (14.7%)
Cerner Corp.		58,495		4,293
Quest Diagnostics, Inc.		62,670		6,692
Smith & Nephew PLC, ADR		113,500		5,456
UnitedHealth Group, Inc.		31,644		9,303

Total				25,744


Industrials (20.3%)
Eaton Corp. PLC		28,705		2,719
Expeditors International of Washington, Inc.		60,900		4,751
HD Supply Holdings, Inc.*		101,750		4,092
Honeywell International, Inc.		41,820		7,402
Masco Corp.		155,625		7,468
PACCAR, Inc.		58,505		4,628
Southwest Airlines Co.		45,495		2,456
Stanley Black & Decker, Inc.		12,590		2,087

Total				35,603


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Information Technology (5.7%)
Accenture PLC - Class A		27,995		5,895
TE Connectivity, Ltd.		41,670		3,994

Total				9,889


Materials (3.9%)
Nutrien, Ltd.		50,135		2,402
PPG Industries, Inc.		33,355		4,452

Total				6,854


Total Common Stocks
(Cost: $118,731)				163,964


Short-Term Investments (6.7%)

Money Market Funds (6.7%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		11,720,687		11,721

Total				11,721

Total Short-Term Investments
(Cost: $11,721)				11,721

Total Investments (100.4%)
(Cost: $130,452)^@				175,685

Other Assets, Less
Liabilities (-0.4%)				(732	)

Net Assets (100.0%)				174,953

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $131,069 and the net unrealized appreciation of investments based on that cost was $44,616 which is comprised of $48,440 aggregate gross unrealized appreciation and $3,824 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	163,964	$	-	$	-
Short-Term Investments		11,721		-		-
Total Assets:	$	175,685	$	-	$	-

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

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.	$3.9 billion

PORTFOLIO OVERVIEW

Mason Street Advisors is the investment adviser for the Index 500 Stock Portfolio (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 and, to a lesser extent, purchase (long) total return equity swap agreements to help achieve full replication.

MARKET OVERVIEW

U.S. equity markets gained sharply during the reporting period, accelerating to record highs by the end of 2019. The markets’ strong performance was driven in part by solid domestic economic growth amid rising wages, historically low unemployment and strong consumer spending. Diminishing concerns about the state of the global economy and trade landscape also bolstered equities, as progress was made on trade agreements between the U.S. and China and between the U.S. and its North American trade partners. Equity markets got a substantial boost from a more accommodative interest rate policy, as the U.S. Federal Reserve cut interest rates three times during the second half of 2019, the first decrease in more than a decade.

In this environment, large-cap stocks, as represented by the S&P 500^® Index, posted a return of 31.49%, outperforming the S&P SmallCap 600^® and the S&P MidCap 400^® Indices, which returned 22.78% and 26.20%, respectively. Meanwhile, the broader bond market, as represented by the Bloomberg Barclays^® U.S. Aggregate Index, returned 8.72%, while the Bloomberg Barclays^® U.S. Corporate High Yield Index advanced 14.32%.

PORTFOLIO RESULTS

The Index 500 Stock Portfolio delivered a total return of 31.18% for the twelve months ended December 31, 2019, slightly trailing the S&P 500^® Index (the “Index”), which returned 31.49%. (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. According to Upper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the S&P 500 Index Funds peer group was 31.10%.

All of the Portfolio’s sectors advanced for the reporting period. The Information Technology sector was the leading driver of the Portfolio’s return, posting its largest annual gain in over a decade. The sector’s companies, many of which depend heavily on sales to China, benefited from an improving outlook for easing trade tensions between the U.S. and China at the end of the 2019. The communications equipment and software industries advanced on robust sales growth driven by rising demand for wearable technology, as well as internet services such as streaming entertainment, subscription software and services and cloud computing. Semiconductor companies were helped by increasing demand due to the expansion of new technologies such as 5G telecommunications networks and higher microchip sales used for gaming and data centers.

The Financials sector also bolstered the Portfolio, led by banks, which profited early in the reporting period from a supportive interest rate environment before the Fed’s interest rate cuts during the second half of 2019. Consumer finance companies were also an area of strength, driven by increasing demand for credit services and rising electronic payments amid technological advances in digital finance, especially block chain.

Communication Services stocks advanced on rising online advertising revenues and increasing demand for cloud computing. The sector also benefited from continued social media user growth and diminishing investor concerns about regulatory intervention.

Solid consumer spending amid historically low unemployment and rising wages drove the Consumer Discretionary sector’s gains, while Health Care stocks were helped by strong sales of medical equipment and medicines, supported by rising research funding. The Industrials sector’s contribution to the Portfolio’s return was led by aerospace and defense stocks, which benefited from higher government expenditures on defense contracts.

Index 500 Stock Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Index 500 Stock Portfolio		31.18	%		11.45	%		13.32	%
S&P 500^® Index		31.49	%		11.69	%		13.55	%
Lipper^® Variable Insurance Products (VIP) S&P 500 Index Objective Funds Average		31.10	%		11.23	%		13.15	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

“Standard & Poor’s^®”, “S&P^®” “S&P 500” and “Standard & Poor’s 500” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes norepresentation regarding the advisability of investing in the Portfolio.

The Portfolio may invest in derivative instruments, such as futures and, to a lesser extent, swap agreements, to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Apple, Inc.	4.5	%
Microsoft Corp.	4.4	%
Alphabet, Inc., Various	3.0	%
Amazon.com, Inc.	2.8	%
Facebook, Inc. - Class A	1.8	%
Berkshire Hathaway, Inc. - Class B	1.6	%
JPMorgan Chase & Co.	1.6	%
Johnson & Johnson	1.4	%
Visa, Inc. - Class A	1.2	%
The Procter & Gamble Co.	1.2	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Information Technology	22.9	%
Health Care	14.0	%
Financials	12.8	%
Communication Services	10.3	%
Consumer Discretionary	9.6	%
Industrials	8.9	%
Consumer Staples	7.1	%
Energy	4.3	%
Utilities	3.3	%
Real Estate	2.9	%
Materials	2.6	%
Short-Term Investments & Other Net Assets	1.3	%

Sector Allocation and Top 10 Holdings are subject to change.

Index 500 Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (10.3%)
Activision Blizzard, Inc.		109,613		6,513
Alphabet, Inc. - Class A*		42,750		57,259
Alphabet, Inc. - Class C*		42,645		57,017
AT&T, Inc.		1,042,255		40,732
CenturyLink, Inc.		139,994		1,849
Charter Communications, Inc. - Class A*		22,370		10,851
Comcast Corp. - Class A		647,726		29,128
Discovery Communications, Inc. - Class A*		22,563		739
Discovery Communications, Inc. - Class C*		47,857		1,459
DISH Network Corp. - Class A*		36,381		1,291
Electronic Arts, Inc.*		41,659		4,479
Facebook, Inc. - Class A*		343,348		70,472
Fox Corp. - Class A		50,581		1,875
Fox Corp. - Class B		23,166		843
The Interpublic Group of Companies, Inc.		55,321		1,278
Live Nation Entertainment, Inc.*		20,106		1,437
Netflix, Inc.*		62,528		20,232
News Corp. - Class A		55,439		784
News Corp. - Class B		17,374		252
Omnicom Group, Inc.		31,066		2,517
Take-Two Interactive Software, Inc.*		16,148		1,977
T-Mobile US, Inc.*		45,166		3,542
Twitter, Inc.*		110,769		3,550
Verizon Communications, Inc.		590,081		36,231
ViacomCBS, Inc.		77,103		3,236
The Walt Disney Co.		257,161		37,193

Total				396,736


Consumer Discretionary (9.6%)
Advance Auto Parts, Inc.		9,882		1,583
Amazon.com, Inc.*		59,421		109,800
Aptiv PLC		36,424		3,459
AutoZone, Inc.*		3,400		4,050
Best Buy Co., Inc.		32,491		2,853
Booking Holdings, Inc.*		5,972		12,265
BorgWarner, Inc.		29,462		1,278
Capri Holdings, Ltd.*		21,635		825
CarMax, Inc.*		23,461		2,057
Carnival Corp.		57,151		2,905


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Chipotle Mexican Grill, Inc.*		3,648		3,054
D.R. Horton, Inc.		47,844		2,524
Darden Restaurants, Inc.		17,492		1,907
Dollar General Corp.		36,326		5,666
Dollar Tree, Inc.*		33,766		3,176
eBay, Inc.		109,107		3,940
Expedia, Inc.		19,938		2,156
Ford Motor Co.		555,591		5,167
The Gap, Inc.		30,359		537
Garmin, Ltd.		20,614		2,011
General Motors Co.		179,392		6,566
Genuine Parts Co.		20,730		2,202
H&R Block, Inc.		27,857		654
Hanesbrands, Inc.		51,607		766
Harley-Davidson, Inc.		22,013		819
Hasbro, Inc.		18,156		1,917
Hilton Worldwide Holdings, Inc.		40,258		4,465
The Home Depot, Inc.		155,637		33,988
Kohl’s Corp.		22,338		1,138
L Brands, Inc.		33,135		600
Las Vegas Sands Corp.		48,216		3,329
Leggett & Platt, Inc.		18,777		954
Lennar Corp. - Class A		39,932		2,228
LKQ Corp.*		43,725		1,561
Lowe’s Companies, Inc.		109,358		13,097
Macy’s, Inc.		44,086		749
Marriott International, Inc. - Class A		38,717		5,863
McDonald’s Corp.		107,449		21,233
MGM Resorts International		73,477		2,445
Mohawk Industries, Inc.*		8,482		1,157
Newell Brands, Inc.		54,368		1,045
NIKE, Inc. - Class B		177,780		18,011
Nordstrom, Inc.		15,284		626
Norwegian Cruise Line Holdings, Ltd.*		30,356		1,773
NVR, Inc.*		496		1,889
O’Reilly Automotive, Inc.*		10,795		4,731
PulteGroup, Inc.		36,345		1,410
PVH Corp.		10,579		1,112
Ralph Lauren Corp.		7,096		832
Ross Stores, Inc.		51,611		6,009
Royal Caribbean Cruises, Ltd.		24,526		3,274
Starbucks Corp.		168,502		14,815
Tapestry, Inc.		39,370		1,062
Target Corp.		72,300		9,270
Tiffany & Co.		15,402		2,058
The TJX Cos., Inc.		173,020		10,565


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Tractor Supply Co.		16,891		1,578
Ulta Beauty, Inc.*		8,156		2,065
Under Armour, Inc. - Class A*		26,852		580
Under Armour, Inc. - Class C*		27,762		532
VF Corp.		46,725		4,657
Whirlpool Corp.		9,017		1,330
Wynn Resorts, Ltd.		13,785		1,914
Yum! Brands, Inc.		43,154		4,347

Total				372,429


Consumer Staples (7.1%)
Altria Group, Inc.		266,538		13,303
Archer-Daniels-Midland Co.		79,426		3,681
Brown-Forman Corp. - Class B		25,995		1,757
Campbell Soup Co.		24,102		1,191
Church & Dwight Co., Inc.		35,013		2,463
The Clorox Co.		17,907		2,749
The Coca-Cola Co.		550,168		30,452
Colgate-Palmolive Co.		122,280		8,418
Conagra Brands, Inc.		69,435		2,377
Constellation Brands, Inc. - Class A		23,898		4,535
Costco Wholesale Corp.		63,032		18,526
Coty, Inc. - Class A		42,172		474
The Estee Lauder Cos., Inc. - Class A		31,753		6,558
General Mills, Inc.		86,233		4,619
The Hershey Co.		21,160		3,110
Hormel Foods Corp.		39,673		1,790
The J.M. Smucker Co.		16,273		1,695
Kellogg Co.		35,527		2,457
Kimberly-Clark Corp.		48,911		6,728
The Kraft Heinz Co.		88,858		2,855
The Kroger Co.		114,426		3,317
Lamb Weston Holdings, Inc.		20,840		1,793
McCormick & Co., Inc.		17,631		2,993
Molson Coors Brewing Co. - Class B		26,803		1,445
Mondelez International, Inc.		205,430		11,315
Monster Beverage Corp.*		54,468		3,461
PepsiCo, Inc.		198,954		27,191
Philip Morris International, Inc.		221,988		18,889
The Procter & Gamble Co.		355,810		44,441
Sysco Corp.		72,798		6,227
Tyson Foods, Inc. - Class A		42,116		3,834

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

Index 500 Stock Portfolio


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Consumer Staples continued
Walgreens Boots Alliance, Inc.		106,970		6,307
Walmart, Inc.		202,400		24,053

Total				275,004


Energy (4.3%)
Apache Corp.		53,652		1,373
Baker Hughes		92,722		2,376
Cabot Oil & Gas Corp.		58,202		1,013
Chevron Corp.		269,784		32,512
Cimarex Energy Co.		14,526		762
Concho Resources, Inc.		28,682		2,512
ConocoPhillips		156,555		10,181
Devon Energy Corp.		55,216		1,434
Diamondback Energy, Inc.		22,991		2,135
EOG Resources, Inc.		83,004		6,952
Exxon Mobil Corp.		603,682		42,125
Halliburton Co.		125,243		3,065
Helmerich & Payne, Inc.		15,473		703
Hess Corp.		36,954		2,469
HollyFrontier Corp.		21,185		1,074
Kinder Morgan, Inc.		277,917		5,884
Marathon Oil Corp.		114,131		1,550
Marathon Petroleum Corp.		92,643		5,582
National Oilwell Varco, Inc.		55,050		1,379
Noble Energy, Inc.		68,243		1,695
Occidental Petroleum Corp.		127,456		5,252
ONEOK, Inc.		58,938		4,460
Phillips 66		63,400		7,063
Pioneer Natural Resources Co.		23,634		3,578
Schlumberger, Ltd.		197,521		7,940
TechnipFMC PLC		59,959		1,286
Valero Energy Corp.		58,591		5,487
The Williams Cos., Inc.		172,932		4,102

Total				165,944


Financials (12.8%)
AFLAC, Inc.		104,728		5,540
The Allstate Corp.		46,221		5,198
American Express Co.		95,734		11,918
American International Group, Inc.		124,122		6,371
Ameriprise Financial, Inc.		18,077		3,011
Aon PLC		33,406		6,958
Arthur J. Gallagher & Co.		26,612		2,534
Assurant, Inc.		8,651		1,134
Bank of America Corp.		1,155,055		40,681
The Bank of New York Mellon Corp.		119,735		6,026
Berkshire Hathaway, Inc. - Class B*		279,082		63,212
BlackRock, Inc.		16,826		8,458


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Capital One Financial Corp.		66,448		6,838
CBOE Holdings, Inc.		15,817		1,898
The Charles Schwab Corp.		163,119		7,758
Chubb, Ltd.		64,661		10,065
Cincinnati Financial Corp.		21,678		2,279
Citigroup, Inc.		311,492		24,885
Citizens Financial Group, Inc.		62,024		2,519
CME Group, Inc.		51,130		10,263
Comerica, Inc.		20,567		1,476
Discover Financial Services		44,725		3,794
E*TRADE Financial Corp.		32,233		1,462
Everest Re Group, Ltd.		5,819		1,611
Fifth Third Bancorp		101,253		3,113
First Republic Bank		24,044		2,824
Franklin Resources, Inc.		39,796		1,034
Globe Life, Inc.		14,214		1,496
The Goldman Sachs Group, Inc.		45,468		10,455
The Hartford Financial Services Group, Inc.		51,424		3,125
Huntington Bancshares, Inc.		147,350		2,222
Intercontinental Exchange, Inc.		79,450		7,353
Invesco, Ltd.		53,103		955
JPMorgan Chase & Co.		447,504		62,382
KeyCorp		140,532		2,844
Lincoln National Corp.		28,297		1,670
Loews Corp.		36,496		1,916
M&T Bank Corp.		18,828		3,196
MarketAxess Holdings, Inc.		5,411		2,051
Marsh & McLennan Cos., Inc.		72,005		8,022
MetLife, Inc.		111,529		5,685
Moody’s Corp.		23,166		5,500
Morgan Stanley		175,512		8,972
MSCI, Inc.		12,086		3,120
Nasdaq, Inc.		16,371		1,753
Northern Trust Corp.		30,231		3,212
People’s United Financial, Inc.		63,365		1,071
PNC Financial Services Group, Inc.		62,517		9,980
Principal Financial Group, Inc.		36,844		2,026
The Progressive Corp.		83,413		6,038
Prudential Financial, Inc.		57,356		5,377
Raymond James Financial, Inc.		17,615		1,576
Regions Financial Corp.		137,631		2,362
S&P Global, Inc.		34,870		9,521


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
State Street Corp.		51,880		4,104
SVB Financial Group*		7,358		1,847
Synchrony Financial		84,821		3,054
T. Rowe Price Group, Inc.		33,340		4,062
The Travelers Cos., Inc.		36,827		5,044
Truist Financial Corp.		191,339		10,776
U.S. Bancorp		202,786		12,023
Unum Group		29,429		858
W.R. Berkley Corp.		20,703		1,431
Wells Fargo & Co.		549,123		29,543
Willis Towers Watson PLC		18,344		3,704
Zions Bancorporation		24,321		1,263

Total				494,449


Health Care (14.0%)
Abbott Laboratories		252,167		21,903
AbbVie, Inc.		210,994		18,681
ABIOMED, Inc.*		6,443		1,099
Agilent Technologies, Inc.		44,154		3,767
Alexion Pharmaceuticals, Inc.*		31,573		3,415
Align Technology, Inc.*		10,233		2,855
Allergan PLC		46,838		8,954
AmerisourceBergen Corp.		21,448		1,824
Amgen, Inc.		84,776		20,437
Anthem, Inc.		36,178		10,927
Baxter International, Inc.		72,845		6,091
Becton Dickinson and Co.		38,588		10,495
Biogen, Inc.*		25,745		7,639
Boston Scientific Corp.*		198,866		8,993
Bristol-Myers Squibb Co.		334,461		21,469
Cardinal Health, Inc.		41,731		2,111
Centene Corp.*		59,039		3,712
Cerner Corp.		44,815		3,289
Cigna Corp.		53,279		10,895
The Cooper Cos., Inc.		7,073		2,273
CVS Health Corp.		185,618		13,790
Danaher Corp.		91,209		13,999
DaVita, Inc.*		12,795		960
DENTSPLY SIRONA, Inc.		31,733		1,796
Edwards Lifesciences Corp.*		29,758		6,942
Eli Lilly & Co.		120,550		15,844
Gilead Sciences, Inc.		180,507		11,729
HCA Healthcare, Inc.		37,747		5,579
Henry Schein, Inc.*		20,936		1,397
Hologic, Inc.*		38,258		1,997
Humana, Inc.		18,894		6,925
IDEXX Laboratories, Inc.*		12,239		3,196

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

Index 500 Stock Portfolio


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Illumina, Inc.*		20,974		6,958
Incyte Corp.*		25,508		2,227
Intuitive Surgical, Inc.*		16,490		9,748
IQVIA Holdings, Inc.*		25,747		3,978
Johnson & Johnson		375,508		54,775
Laboratory Corp. of America Holdings*		13,854		2,344
McKesson Corp.		25,709		3,556
Medtronic PLC		191,241		21,696
Merck & Co., Inc.		363,253		33,038
Mettler-Toledo International, Inc.*		3,475		2,757
Mylan NV*		73,640		1,480
PerkinElmer, Inc.		15,852		1,539
Perrigo Co. PLC		19,420		1,003
Pfizer, Inc.		789,592		30,936
Quest Diagnostics, Inc.		19,218		2,052
Regeneron Pharmaceuticals, Inc.*		11,397		4,279
ResMed, Inc.		20,515		3,179
STERIS PLC		12,097		1,844
Stryker Corp.		45,940		9,645
Teleflex, Inc.		6,605		2,486
Thermo Fisher Scientific, Inc.		57,212		18,587
UnitedHealth Group, Inc.		135,174		39,738
Universal Health Services, Inc. - Class B		11,460		1,644
Varian Medical Systems, Inc.*		12,969		1,842
Vertex Pharmaceuticals, Inc.*		36,689		8,033
Waters Corp.*		9,193		2,148
WellCare Health Plans, Inc.*		7,177		2,370
Zimmer Biomet Holdings, Inc.		29,346		4,393
Zoetis, Inc.		67,957		8,994

Total				542,252


Industrials (8.9%)
3M Co.		82,047		14,475
A.O. Smith Corp.		19,555		932
Alaska Air Group, Inc.		17,574		1,191
Allegion PLC		13,257		1,651
American Airlines Group, Inc.		55,626		1,595
AMETEK, Inc.		32,615		3,253
Arconic, Inc.		55,269		1,701
The Boeing Co.		76,282		24,850
C.H. Robinson Worldwide, Inc.		19,297		1,509
Caterpillar, Inc.		78,852		11,645
Cintas Corp.		11,961		3,218
Copart, Inc.*		29,186		2,654
CSX Corp.		110,951		8,028
Cummins, Inc.		21,859		3,912


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Deere & Co.		44,925		7,784
Delta Air Lines, Inc.		82,125		4,803
Dover Corp.		20,726		2,389
Eaton Corp. PLC		58,983		5,587
Emerson Electric Co.		86,912		6,628
Equifax, Inc.		17,276		2,421
Expeditors International of Washington, Inc.		24,298		1,896
Fastenal Co.		81,829		3,024
FedEx Corp.		34,248		5,179
Flowserve Corp.		18,671		929
Fortive Corp.		42,162		3,221
Fortune Brands Home & Security, Inc.		19,854		1,297
General Dynamics Corp.		33,435		5,896
General Electric Co.		1,246,077		13,906
Honeywell International, Inc.		101,947		18,045
Huntington Ingalls Industries, Inc.		5,836		1,464
IDEX Corp.		10,852		1,867
IHS Markit, Ltd.*		57,212		4,311
Illinois Tool Works, Inc.		41,730		7,496
Ingersoll-Rand PLC		34,185		4,544
J.B. Hunt Transport Services, Inc.		12,165		1,421
Jacobs Engineering Group, Inc.		19,332		1,737
Johnson Controls International PLC		110,064		4,481
Kansas City Southern		14,142		2,166
L3Harris Technologies, Inc.		31,541		6,241
Lockheed Martin Corp.		35,416		13,790
Masco Corp.		40,534		1,945
Nielsen Holdings PLC		50,765		1,030
Norfolk Southern Corp.		37,203		7,222
Northrop Grumman Corp.		22,363		7,692
Old Dominion Freight Line, Inc.		9,111		1,729
PACCAR, Inc.		49,348		3,903
Parker Hannifin Corp.		18,329		3,772
Pentair PLC		23,983		1,100
Quanta Services, Inc.		20,302		826
Raytheon Co.		39,733		8,731
Republic Services, Inc.		30,053		2,694
Robert Half International, Inc.		16,773		1,059
Rockwell Automation, Inc.		16,486		3,341
Rollins, Inc.		20,089		666
Roper Technologies, Inc.		14,847		5,259
Snap-on, Inc.		7,825		1,326
Southwest Airlines Co.		67,578		3,648
Stanley Black & Decker, Inc.		21,689		3,595
Textron, Inc.		32,568		1,452
TransDigm Group, Inc.		7,105		3,979


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Union Pacific Corp.		99,046		17,906
United Continental Holdings, Inc.*		31,049		2,735
United Parcel Service, Inc. - Class B		99,982		11,704
United Rentals, Inc.*		10,723		1,788
United Technologies Corp.		115,756		17,336
Verisk Analytics, Inc.		23,381		3,492
W.W. Grainger, Inc.		6,225		2,107
Wabtec Corp.		25,981		2,021
Waste Management, Inc.		55,687		6,346
Xylem, Inc.		25,693		2,024

Total				345,565


Information Technology (22.9%)
Accenture PLC - Class A		90,609		19,080
Adobe Systems, Inc.*		69,067		22,779
Advanced Micro Devices, Inc.*		158,889		7,287
Akamai Technologies, Inc.*		23,057		1,992
Alliance Data Systems Corp.		5,848		656
Amphenol Corp. - Class A		42,303		4,578
Analog Devices, Inc.		52,548		6,245
ANSYS, Inc.*		12,210		3,143
Apple, Inc.		595,915		174,990
Applied Materials, Inc.		131,798		8,045
Arista Networks, Inc.*		7,739		1,574
Autodesk, Inc.*		31,394		5,760
Automatic Data Processing, Inc.		61,736		10,526
Broadcom, Inc.		56,596		17,885
Broadridge Financial Solutions, Inc.		16,358		2,021
Cadence Design Systems, Inc.*		40,034		2,777
CDW Corp.		20,500		2,928
Cisco Systems, Inc.		605,273		29,029
Citrix Systems, Inc.		17,465		1,937
Cognizant Technology Solutions Corp. - Class A		78,125		4,845
Corning, Inc.		109,735		3,194
DXC Technology Co.		36,525		1,373
F5 Networks, Inc.*		8,674		1,211
Fidelity National Information Services, Inc.		87,689		12,197
Fiserv, Inc.*		81,484		9,422
FleetCor Technologies, Inc.*		12,382		3,563
FLIR Systems, Inc.		19,140		997
Fortinet, Inc.*		20,254		2,162
Gartner, Inc.*		12,763		1,967
Global Payments, Inc.		42,881		7,828

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

Index 500 Stock Portfolio


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
Hewlett Packard Enterprise Co.		184,624		2,928
HP, Inc.		211,436		4,345
Intel Corp.		620,645		37,146
International Business Machines Corp.		126,360		16,937
Intuit, Inc.		37,140		9,728
IPG Photonics Corp.*		5,073		735
Jack Henry & Associates, Inc.		10,977		1,599
Juniper Networks, Inc.		47,755		1,176
Keysight Technologies, Inc.*		26,763		2,747
KLA-Tencor Corp.		22,514		4,011
Lam Research Corp.		20,699		6,052
Leidos Holdings, Inc.		18,986		1,859
Mastercard, Inc. - Class A		126,659		37,819
Maxim Integrated Products, Inc.		38,610		2,375
Microchip Technology, Inc.		34,097		3,571
Micron Technology, Inc.*		157,951		8,495
Microsoft Corp.		1,088,456		171,649
Motorola Solutions, Inc.		24,446		3,939
NetApp, Inc.		32,563		2,027
NortonLifeLock, Inc.		81,809		2,088
NVIDIA Corp.		87,318		20,546
Oracle Corp.		309,104		16,376
Paychex, Inc.		45,453		3,866
PayPal Holdings, Inc.*		167,530		18,122
Qorvo, Inc. *		16,575		1,926
QUALCOMM, Inc.		162,915		14,374
salesforce.com, Inc.*		126,555		20,583
Seagate Technology PLC		32,985		1,963
ServiceNow, Inc.*		26,909		7,597
Skyworks Solutions, Inc.		24,308		2,938
Synopsys, Inc.*		21,449		2,986
TE Connectivity, Ltd.		47,722		4,574
Texas Instruments, Inc.		133,371		17,110
VeriSign, Inc.*		14,741		2,840
Visa, Inc. - Class A		244,240		45,893
Western Digital Corp.		42,433		2,693
Western Union Co.		59,819		1,602
Xerox Holdings Corp.		26,527		978
Xilinx, Inc.		35,878		3,508
Zebra Technologies Corp. - Class A*		7,693		1,965

Total				885,657


Materials (2.6%)
Air Products and Chemicals, Inc.		31,451		7,391
Albemarle Corp.		15,128		1,105
Amcor PLC		231,158		2,506
Avery Dennison Corp.		11,914		1,559
Ball Corp.		46,674		3,018


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Materials continued
Celanese Corp. - Class A		17,246		2,123
CF Industries Holdings, Inc.		31,022		1,481
Corteva, Inc.		106,780		3,156
Dow, Inc.		105,794		5,790
DuPont de Nemours, Inc.		105,696		6,786
Eastman Chemical Co.		19,401		1,538
Ecolab, Inc.		35,779		6,905
FMC Corp.		18,493		1,846
Freeport-McMoRan, Inc.		207,011		2,716
International Flavors & Fragrances, Inc.		15,235		1,966
International Paper Co.		55,946		2,576
Linde PLC		76,643		16,317
LyondellBasell Industries NV - Class A		36,629		3,461
Martin Marietta Materials, Inc.		8,917		2,494
The Mosaic Co.		49,885		1,079
Newmont Mining Corp.		116,972		5,082
Nucor Corp.		43,262		2,435
Packaging Corp. of America		13,505		1,512
PPG Industries, Inc.		33,738		4,504
Sealed Air Corp.		22,046		878
The Sherwin-Williams Co.		11,722		6,840
Vulcan Materials Co.		18,884		2,719
WestRock Co.		36,796		1,579

Total				101,362


Real Estate (2.9%)
Alexandria Real Estate Equities, Inc.		16,430		2,655
American Tower Corp.		63,197		14,524
Apartment Investment & Management Co. - Class A		21,242		1,097
AvalonBay Communities, Inc.		19,927		4,179
Boston Properties, Inc.		20,517		2,828
CBRE Group, Inc.*		47,762		2,927
Crown Castle International Corp.		59,321		8,432
Digital Realty Trust, Inc.		29,780		3,566
Duke Realty Corp.		52,444		1,818
Equinix, Inc.		12,167		7,102
Equity Residential		49,805		4,030
Essex Property Trust, Inc.		9,428		2,836
Extra Space Storage, Inc.		18,478		1,952
Federal Realty Investment Trust		10,021		1,290
Healthpeak Properties, Inc.		70,619		2,434


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Real Estate continued
Host Hotels & Resorts, Inc.		102,325		1,898
Iron Mountain, Inc.		40,969		1,306
Kimco Realty Corp.		60,242		1,248
Mid-America Apartment Communities, Inc.		16,275		2,146
Prologis, Inc.		90,136		8,035
Public Storage		21,434		4,565
Realty Income Corp.		46,501		3,424
Regency Centers Corp.		23,907		1,508
SBA Communications Corp.		16,066		3,872
Simon Property Group, Inc.		43,782		6,522
SL Green Realty Corp.		11,630		1,068
UDR, Inc.		41,812		1,953
Ventas, Inc.		53,181		3,071
Vornado Realty Trust		22,601		1,503
Welltower, Inc.		57,893		4,734
Weyerhaeuser Co.		106,314		3,211

Total				111,734


Utilities (3.3%)
The AES Corp.		94,722		1,885
Alliant Energy Corp.		34,293		1,876
Ameren Corp.		35,103		2,696
American Electric Power Co., Inc.		70,476		6,661
American Water Works Co., Inc.		25,793		3,169
Atmos Energy Corp.		17,028		1,905
CenterPoint Energy, Inc.		71,658		1,954
CMS Energy Corp.		40,498		2,545
Consolidated Edison, Inc.		47,430		4,291
Dominion Resources, Inc.		117,436		9,726
DTE Energy Co.		27,409		3,560
Duke Energy Corp.		104,016		9,487
Edison International		51,164		3,858
Entergy Corp.		28,407		3,403
Evergy, Inc.		32,517		2,117
Eversource Energy		46,193		3,930
Exelon Corp.		138,698		6,323
FirstEnergy Corp.		77,090		3,747
NextEra Energy, Inc.		69,737		16,887
NiSource, Inc.		53,296		1,484
NRG Energy, Inc.		35,897		1,427
Pinnacle West Capital Corp.		16,038		1,442
PPL Corp.		103,160		3,701
Public Service Enterprise Group, Inc.		72,156		4,261
Sempra Energy		40,220		6,093
The Southern Co.		149,630		9,531
WEC Energy Group, Inc.		45,005		4,151

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

Index 500 Stock Portfolio


Common Stocks (98.7%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Xcel Energy, Inc.		74,818		4,750

Total				126,860


Total Common Stocks
(Cost: $1,593,643)				3,817,992


Short-Term Investments (1.2%)

Commercial Paper (0.7%)
General Mills, Inc. 0.000%, 1/14/20 144A		1,000,000		999
Marriott International, Inc.
0.000%, 1/24/20		1,200,000		1,199
0.000%, 2/12/20 144A		1,500,000		1,496
Mondelez International, Inc.
0.000%, 1/2/20 144A		1,500,000		1,500
0.000%, 1/8/20 144A		2,000,000		1,999
ONEOK, Inc. 0.000%, 1/6/20		1,500,000		1,499
Pfizer, Inc.
0.000%, 1/23/20 144A		3,000,000		2,997
0.000%, 3/5/20 144A		2,000,000		1,994
Societe Generale SA 0.000%, 3/27/20 144A		5,000,000		4,978
The Southern Co. 0.000%, 1/27/20 144A		1,700,000		1,697
Walgreens Boots Alliance, Inc.
0.000%, 1/7/20 144A		1,715,000		1,715
0.000%, 2/18/20		2,000,000		1,994
The Walt Disney Co.
0.000%, 1/31/20 144A		3,000,000		2,996
0.000%, 2/21/20		2,000,000		1,995

Total				29,058


Money Market Funds (0.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		14,135,093		14,135

Total				14,135


US Government & Agencies (0.1%)
Federal Home Loan Bank 0.000%, 2/10/20ß		3,000,000		2,995

Total				2,995


Total Short-Term Investments
(Cost: $46,187)				46,188


Short-TermInvestments (1.2%)	Shares/ Par⁺	Value $ (000’s)

US Government & Agencies continued

Total Investments (99.9%)
(Cost: $1,639,830)^@			3,864,180

Other Assets, Less
Liabilities (0.1%)			3,100

Net Assets (100.0%)			3,867,280

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

Index 500 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 500 Futures		Long		USD		14		286		3/20	$	46,205	$	348	$	109

													$	348	$	109


	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	$	-	$	109	$	109	$	-	$	-	$	-	$	-
Centrally Cleared Derivatives

+	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, 2019 the value of these securities (in thousands) was $22,371 representing 0.6% of the net assets.

#	7-Day yield as of 12/31/2019.

b	Cash or securities with an aggregate value of $2,995 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,642,141 and the net unrealized appreciation of investments based on that cost was $2,222,388 which is comprised of $2,291,308 aggregate gross unrealized appreciation and $68,920 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	3,817,992	$	-	$	-
Short-Term Investments
Money Market Funds		14,135		-		-
All Others		-		32,053		-
Other Financial Instruments^
Futures		348		-		-
Total Assets:	$	3,832,475	$	32,053	$	-

^ Other financial instruments are derivative instruments such as futures and forwards, 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.

Large Company Value Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Current income is a secondary objective.	Invest primarily in equity securities of larger companies considered to be undervalued.	$206 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

Resilient U.S. economic growth and positive earnings fueled strong stock market performance during 2019 despite periods of volatility sparked by trade tensions and global economic uncertainty. The U.S. Federal Reserve (the “Fed”) cut interest rates three times during the second half of 2019 in response to global economic risks, but central bank policymakers signaled a pause in interest rate reductions in the fourth quarter on improving economic data. Stocks advanced at the end of the year as news of a potential trade deal between the U.S. and China reduced trade-related uncertainty. All the sector returns within the Russell 1000^® Value Index posted positive returns, led by Information Technology. The Energy sector turned in the weakest results.

According to the Russell family of U.S. indices, large- and mid-cap stocks outperformed small-cap stocks. Growth stocks outperformed value stocks by a significant margin for the year.

PORTFOLIO RESULTS

The Portfolio returned 27.66% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned 26.54%. (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Large Cap Value Funds peer group was 26.47%.

Stock selection in the Energy sector contributed to the Portfolio’s outperformance. Key relative contributors included Anadarko Petroleum, a global exploration and production company whose stock rose after Chevron agreed to acquire the company at a premium. The stock appreciated further after Occidental Petroleum made two higher acquisition offers. The portfolio managers exited the position on stock price appreciation. The Portfolio’s lack of exposure to ExxonMobil was also beneficial as that company continued to struggle with execution.

Health Care was another area of relative strength. Performance drivers included medical device maker Zimmer Biomet Holdings, which gained on solid financial results. The company also reported positive updates on its early ROSA robot placements and improvements in supply constraints related to Food and Drug Administration (“FDA”) approvals. The portfolio managers’ analysis points to upside potential from 2019 product launches, final remediation of issues raised by the FDA and the potential to recapture market share in 2020.

Applied Materials was a leading contributor in the Information Technology sector. Although the macro environment remained uncertain, this semiconductor equipment company outperformed after reporting solid financial results. The portfolio managers believe the company remains well positioned, supported by greenfield investments and market share gains from its new tool offerings.

On the other hand, the Portfolio’s lack of exposure to several stocks in the Communication Services sector, including AT&T, weighed on returns. The stock of the communications giant outperformed when Elliott Management, an activist shareholder firm, took a position in the company. Elliott encouraged AT&T to sell non-core assets and accelerate cost cutting and expense reduction.

While the Portfolio’s Energy holdings contributed to performance, exposure to TOTAL, a large integrated energy company, weighed on relative results. The company’s stock price declined as lower oil and gas prices reduced potential generation of free cash flow and return on invested capital. Consequently, TOTAL’s management lowered its near-term free cash flow guidance.

Large Company Value Portfolio (unaudited)

Not owning Citigroup, a multinational investment banking and financial services corporation, also weighed on performance. The company’s second-quarter results exceeded expectations due to lower expenses and credit provisions. The Portfolio’s position in The Bank of New York Mellon (“BNY Mellon”), a global financial firm, was another key detractor. BNY Mellon underperformed after reporting worse-than-expected quarterly results and guidance, due in part to lower interest rates.

PORTFOLIO MANAGER OUTLOOK

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

The Portfolio seeks to invest in companies for which we believe the valuation does not reflect the quality and normal earnings power of the company. Our process is based on individual security selection; however, some broad themes have emerged.

We finished the year with a notable overweight position in the Health Care sector. According to our analysis, the Portfolio’s Health Care holdings offer compelling valuations and risk/reward profiles, particularly in the pharmaceuticals and healthcare equipment and supplies industries.

On the other hand, we have found limited opportunities in Communication Services, leading to an underweight position in the sector. Our analysis shows that many stocks in the sector have volatile business models and significant leverage.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Large Company Value Portfolio		27.66	%		7.69	%		10.92	%
Russell 1000^® Value Index		26.54	%		8.29	%		11.80	%
Lipper^® Variable Insurance Products (VIP) Large Cap Value Funds Average		26.47	%		7.85	%		10.94	%

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 themost recent month-end performance information visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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 in derivative instruments for cash management purposes or to hedge foreign currency exposure. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Large Company Value Portfolio (unaudited)

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Johnson & Johnson	4.2	%
Medtronic PLC	4.1	%
Berkshire Hathaway, Inc. - Class B	3.8	%
PNC Financial Services Group, Inc.	3.4	%
Verizon Communications, Inc.	3.3	%
Pfizer, Inc.	3.2	%
Zimmer Biomet Holdings, Inc.	3.2	%
Total SA, ADR	2.5	%
JPMorgan Chase & Co.	2.5	%
Chubb, Ltd.	2.3	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Financials		23.4	%
Health Care		19.8	%
Consumer Staples		10.2	%
Industrials		9.4	%
Energy		8.1	%
Information Technology		7.1	%
Utilities		5.5	%
Consumer Discretionary		3.5	%
Communication Services		3.3	%
Real Estate		3.0	%
Short-Term Investments & Other Net Assets		2.9	%
Investment Companies		2.2	%
Materials		1.6	%

Sector Allocation and Top 10 Holdings are subject to change.

Large Company Value Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (94.9%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (3.3%)
Verizon Communications, Inc.		110,800		6,803

Total				6,803


Consumer Discretionary (3.5%)
Advance Auto Parts, Inc.		16,700		2,675
Carnival Corp.		30,360		1,543
Honda Motor Co., Ltd., ADR		63,370		1,794
PulteGroup, Inc.		29,300		1,137

Total				7,149


Consumer Staples (10.2%)
Colgate-Palmolive Co.		61,680		4,246
Conagra Brands, Inc.		26,410		904
Kimberly-Clark Corp.		19,510		2,684
Koninklijke Ahold Delhaize NV		73,920		1,849
Mondelez International, Inc.		47,490		2,616
PepsiCo, Inc.		23,740		3,244
The Procter & Gamble Co.		28,220		3,525
Walmart, Inc.		16,960		2,015

Total				21,083


Energy (8.1%)
Baker Hughes		57,120		1,464
Chevron Corp.		34,090		4,108
ConocoPhillips		36,940		2,402
Schlumberger, Ltd.		88,680		3,565
Total SA, ADR		93,450		5,168

Total				16,707


Financials (23.4%)
AFLAC, Inc.		30,280		1,602
Ameriprise Financial, Inc.		16,990		2,830
Bank of America Corp.		54,830		1,931
The Bank of New York Mellon Corp.		87,650		4,411
Berkshire Hathaway, Inc. - Class B*		34,530		7,821
Chubb, Ltd.		30,850		4,802
JPMorgan Chase & Co.		36,940		5,150
PNC Financial Services Group, Inc.		43,770		6,987
Truist Financial Corp.		75,500		4,252
U.S. Bancorp		75,030		4,449
Wells Fargo & Co.		71,600		3,852

Total				48,087


Health Care (19.8%)
Cerner Corp.		42,950		3,152
Gilead Sciences, Inc.		23,220		1,509
Hologic, Inc.*		59,250		3,093


Common Stocks (94.9%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Johnson & Johnson		59,130		8,625
Medtronic PLC		73,350		8,322
Pfizer, Inc.		169,770		6,652
Quest Diagnostics, Inc.		25,810		2,756
Zimmer Biomet Holdings, Inc.		43,740		6,547

Total				40,656


Industrials (9.4%)
Cummins, Inc.		8,140		1,457
Eaton Corp. PLC		18,460		1,748
Emerson Electric Co.		56,110		4,279
Johnson Controls International PLC		50,140		2,041
Siemens AG		23,900		3,124
Southwest Airlines Co.		57,070		3,081
Textron, Inc.		34,610		1,544
United Parcel Service, Inc. - Class B		17,120		2,004

Total				19,278


Information Technology (7.1%)
Applied Materials, Inc.		16,520		1,008
Cisco Systems, Inc.		62,040		2,976
Intel Corp.		43,330		2,593
Maxim Integrated Products, Inc.		21,840		1,343
Oracle Corp.		38,290		2,029
TE Connectivity, Ltd.		23,830		2,284
Texas Instruments, Inc.		17,810		2,285

Total				14,518


Materials (1.6%)
DuPont de Nemours, Inc.		20,170		1,295
Mondi PLC		88,890		2,087

Total				3,382


Real Estate (3.0%)
Welltower, Inc.		38,780		3,171
Weyerhaeuser Co.		99,060		2,992

Total				6,163


Utilities (5.5%)
Eversource Energy		42,050		3,577
Pinnacle West Capital Corp.		42,680		3,838
Xcel Energy, Inc.		60,600		3,848

Total				11,263

Total Common Stocks
(Cost: $170,592)				195,089


Investment Companies (2.2%)	Shares/ Par⁺		Value $ (000’s)

Investment Companies (2.2%)
iShares Russell 1000 Value Index Fund		32,870		4,486

Total				4,486


Total Investment Companies
(Cost: $4,132)				4,486


Short-Term Investments (2.8%)

Money Market Funds (2.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		5,734,266		5,734

Total				5,734


Total Short-Term Investments
(Cost: $5,734)				5,734

Total Investments (99.9%)
(Cost: $180,458)^@				205,309

Other Assets, Less
Liabilities (0.1%)				241

Net Assets (100.0%)				205,550

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

Large Company Value Portfolio

Over the Counter Derivatives

Forward Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services	EUR	7,764	8,757	3/20	$	-	$	(44	)	$	(44	)
Buy	Morgan Stanley Capital Services	GBP	66	88	3/20		1		-			1
Sell	Morgan Stanley Capital Services	GBP	1,388	1,844	3/20		15		-			15
Buy	Morgan Stanley Capital Services	JPY	6,372	59	3/20		-		-	p		-	p
Sell	Morgan Stanley Capital Services	JPY	172,092	1,591	3/20		-		(12	)		(12	)

						$	16	$	(56	)	$	(40	)


	Financial Derivative Assets (000’s)					Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps	Total		Forward Contracts			Options	Swaps	Total
Total Over the Counter Derivatives	$	16	-	$	16	$	(56	)	-	-	$	(56)

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $183,318 and the net unrealized appreciation of investments based on that cost was $21,952 which is comprised of $25,364 aggregate gross unrealized appreciation and $3,412 aggregate gross unrealized depreciation.

p	Amount is less than one thousand.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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
Industrials	$	16,154	$	3,124		$	-
All Others		175,811		-			-
Investment Companies		4,486		-			-
Short-Term Investments		5,734		-			-
Other Financial Instruments^
Forward Currency Contracts		-		16			-
Total Assets:	$	202,185	$	3,140		$	-
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		-		(56	)		-
Total Liabilities:	$	-	$	(56	)	$	-

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

Domestic Equity Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and	Invest primarily in equity securities of U.S. issuers that are	$921 million
income.	selling at attractive prices relative to their intrinsic value.

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 invests in a core group of 30-40 securities.

MARKET OVERVIEW

Rebounding from the stock market correction that occurred in late 2018, the broad market S&P 500^® Index posted a return of 31.49%, reaching an all-time high in December 2019. Notably, there was little earnings growth to support the year’s robust gains, as aggregate earnings for the S&P 500^® Index were lower than the prior year’s in each of the first three quarters and are expected to be down again in the fourth quarter. Following the U.S. Federal Reserve’s (the “Fed”) December 2018 interest rate increase, the Fed pivoted toward a more accommodative stance in early 2019, enacting three interest rate cuts of 0.25% during the second half of the year and sparking the 2019 stock market rally.

PORTFOLIO RESULTS

The Portfolio returned 20.77% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned 26.54%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Large Cap Value Funds peer group was 26.47%.

The Portfolio’s underperformance was driven primarily by stock selection, although sector allocation also held back returns. Investments in the Energy and Materials sectors hindered relative returns the most. In Energy, exploration and production company Occidental Petroleum Corporation was the largest detractor. The company’s shares declined following its acquisition of Anadarko Petroleum Corporation on investor frustration with the negotiated price and financing terms. The Portfolio management team believes the deal could create an attractive long-term investment if Occidental follows through with its asset sales and deleveraging plan. In the Materials sector, diversified chemicals manufacturer DuPont de Nemours, Inc., was a major detractor. The company’s shares were down in response to shareholder impatience with the pace of divestitures of certain businesses, challenges posed by international trade tensions and investor concern about potential liability related to the chemical PFOA, often used as a non-stick cookware coating. Elsewhere, pharmaceutical maker Pfizer Inc. was a notable Health Care sector detractor, after announcing that its off-patent drug business would be combined with drug maker Mylan N.V. to form a new company. The price of the combination was lower than expected and management provided conservative guidance for the remaining Pfizer business.

In contrast, investments in the Industrials and Consumer Staples sectors were leading contributors to relative performance. In Industrials, the Portfolio benefited from a position in defense contractor Raytheon Company, which agreed to a “merger of equals” with United Technologies Corporation, potentially creating a larger, more diversified competitor in the aerospace and defense industry. In the Consumer Staples sector, global snack and beverage maker Mondelez International, Inc. was a strong contributor to relative returns. The company has been executing well and generating solid organic sales growth. AT&T Inc. was a notable Communications Services sector contributor. The company’s wireless business has been improving and the integration of Time Warner appears to be on track. AT&T raised its full-year free cash flow guidance and has been reducing its debt.

PORTFOLIO MANAGER OUTLOOK

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

Last year’s large market gains were driven by expanding valuation multiples. The price/earnings ratio for the S&P 500^® Index, based on next fiscal year’s earnings, rose from 15.7 to 20.0 in 2019. We think elevated valuation levels could lead to lower equity market returns in the coming years. Another concern is that global debt is near record levels in both absolute

Domestic Equity Portfolio (unaudited)

terms and as a percentage of global gross domestic product. High debt has the potential to crowd out future investment and slow economic growth. Given our muted expectations for the economy and U.S. stock market, we think a defensive tilt is appropriate for the Portfolio. This means lower cyclicality, generally, and an emphasis on higher-quality companies that offer good long-term value. An exception with respect to lower cyclicality is our position in the Energy sector, where we believe investors have been overly punitive and are mispricing these holdings.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Domestic Equity Portfolio		20.77	%		8.93	%		11.97	%
Russell 1000^® Value Index		26.54	%		8.29	%		11.80	%
Lipper^® Variable Insurance Products (VIP) Large Cap Value Funds Average		26.47	%		7.85	%		10.94	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of$10,000 made on 12/31/09. 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 hold fewer securities than other diversified portfolios because of its more focused investment strategy. Holding fewer securities increases the

risk that the value of the Portfolio could go down because of the poor performance of single investment.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Conagra Brands, Inc.	3.5	%
Halliburton Co.	3.4	%
Marsh & McLennan Cos., Inc.	3.3	%
Intel Corp.	3.2	%
Lowe’s Companies, Inc.	3.2	%
Raytheon Co.	3.2	%
AT&T, Inc.	3.2	%
Broadcom, Inc.	3.1	%
The Allstate Corp.	3.1	%
Edison International	3.1	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Health Care	17.8	%
Financials	15.0	%
Consumer Staples	12.5	%
Information Technology	12.0	%
Energy	11.7	%
Industrials	9.0	%
Communication Services	6.3	%
Consumer Discretionary	6.0	%
Utilities	3.1	%
Real Estate	3.0	%
Materials	2.5	%
Short-Term Investments & Other Net Assets	1.1	%

Sector Allocation and Top 10 Holdings are subject to change.

Domestic Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (98.9%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (6.3%)
AT&T, Inc.		745,500		29,134
Verizon Communications, Inc.		462,600		28,404

Total				57,538


Consumer Discretionary (6.0%)
Dollar Tree, Inc. *		278,300		26,174
Lowe’s Companies, Inc.		243,700		29,186

Total				55,360


Consumer Staples (12.5%)
Archer-Daniels-Midland Co.		576,600		26,725
Conagra Brands, Inc.		945,433		32,372
CVS Health Corp.		385,700		28,654
Mondelez International, Inc.		501,300		27,611

Total				115,362


Energy (11.7%)
ConocoPhillips		401,700		26,123
Halliburton Co.		1,282,200		31,375
Marathon Oil Corp.		1,924,945		26,141
Occidental Petroleum Corp.		590,500		24,334

Total				107,973


Common Stocks (98.9%)	Shares/ Par⁺		Value $ (000’s)

Financials (15.0%)
The Allstate Corp.		256,700		28,866
American International Group, Inc.		505,400		25,942
The Bank of New York Mellon Corp.		509,100		25,623
Marsh & McLennan Cos., Inc.		269,000		29,969
Truist Financial Corp.		493,500		27,794

Total				138,194


Health Care (17.8%)
Abbott Laboratories		304,600		26,457
Cardinal Health, Inc.		529,300		26,772
Cigna Corp.		139,103		28,445
Johnson & Johnson		191,000		27,861
Merck & Co., Inc.		302,800		27,540
Pfizer, Inc.		685,700		26,866

Total				163,941


Industrials (9.0%)
Northrop Grumman Corp.		77,400		26,623
Raytheon Co.		132,700		29,160
Waste Management, Inc.		238,300		27,157

Total				82,940


Information Technology (12.0%)
Broadcom, Inc.		91,400		28,884
Cisco Systems, Inc.		561,800		26,944
Intel Corp.		493,000		29,506
Oracle Corp.		472,500		25,033

Total				110,367


Common Stocks (98.9%)	Shares/ Par⁺		Value $ (000’s)

Materials (2.5%)
DuPont de Nemours, Inc.		351,484		22,565

Total				22,565


Real Estate (3.0%)
Equity Residential		335,495		27,148

Total				27,148


Utilities (3.1%)
Edison International		381,300		28,754

Total				28,754


Total Common Stocks
(Cost: $652,510)				910,142


Short-Term Investments (1.0%)

Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		9,383,675		9,384

Total				9,384


Total Short-Term Investments
(Cost: $9,384)				9,384


Total Investments (99.9%)
(Cost: $661,894)^@				919,526

Other Assets, Less
Liabilities (0.1%)				1,250

Net Assets (100.0%)				920,776

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

*	Non income producing

#	7-Dayyieldasofl2/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $661,894 and the net unrealized appreciation of investments based on that cost was $257,632 which is comprised of$284,491 aggregate gross unrealized appreciation and $26,859 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. See Note 3 for additional information on portfolio valuation.


Description	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
			(Amounts in thousands)
Assets:
Common Stocks	$	910,142	$	-	$	-
Short-Term Investments		9,384		-		-
Total Assets:	$	919,526	$	-	$	-

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

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.

$814 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 and 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. stocks surged in 2019, with several major indices hitting all-time highs in the second half of the year. The U.S. Federal Reserve’s decision to keep interest rates steady in the first half of the year and then reduce rates three times starting in July was a major driver of market performance. Trade discussions between the U.S. and China also drove market sentiment throughout the year. Speculation arose numerous times during the year that the two countries were “close” to reaching an agreement, although occasional tensions seemed to reduce its likelihood. A preliminary “phase one” trade deal was finally agreed upon in December, supporting investor enthusiasm into the end of the year. As part of the agreement, the U.S. would lower or cancel the scheduled tariff rate on various Chinese goods. The agreement would also require “structural reforms and other changes to China’s economic and trade regime in the areas of intellectual property, technology transfer, agriculture, financial services and currency and foreign exchange”. Large cap shares outperformed their smaller peers, as measured by various Russell U.S. indices, and growth stocks soundly outperformed value across all market capitalizations.

PORTFOLIO RESULTS

The Portfolio returned 26.61% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned 26.54%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Equity Income Funds peer group was 24.47%.

The Portfolio performed in line with its benchmark during the reporting period, with strong gains driven by security selection. Stock selection in the Consumer Staples sector was the leading contributor to relative results. Shares of Tyson Foods benefited from the ongoing effects of an outbreak of African swine fever, which caused global protein prices to rise. The reopening of the Chinese market to U.S. poultry sales later in the year supported the company’s stock price.

The Information Technology sector also contributed to relative returns, due to strong stock selection. Shares of Qualcomm advanced after the chip manufacturer reached a multibillion-dollar settlement with Apple in the second quarter. Stronger-than-expected revenues, driven by robust microchip shipments, also supported the company’s stock price.

On the downside, stock selection in the Communication Services sector was the largest detractor from relative results. Shares of Telefonica underperformed during the year, resulting from structural foreign exchange risk pertaining to Argentina and Great Britain and less-than-favorable performance of the broader Spanish telecommunications sector due to an increasingly competitive landscape.

Stock selection in the Materials sector also weighed on relative returns. Shares of DuPont de Nemours traded lower as a result of falling commodity chemical input prices, slowing demand in end markets and the announced merger of DuPont’s Nutrition & Biosciences segment with IFF.

PORTFOLIO MANAGER OUTLOOK

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

Equity Income Portfolio (unaudited)

We believe the current balance of risks in the marketplace suggests caution is warranted. While a strong consumer and more accommodative monetary policy provide support for economic growth, we believe regulatory and political risks will be elevated in 2020. Given neutral valuations, we expect positive but muted returns for the equity market in 2020 coupled with the potential for more extreme outcomes. Attractive investment opportunities are more difficult to find as a result of recent increases in share prices. Despite this challenging environment, we have identified attractively-valued investment opportunities through bottom-up, fundamental analysis and we continue to maintain a disciplined, longer-term approach while also taking advantage of volatility to selectively add shares of high-quality companies.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Equity Income Portfolio		26.61	%		8.20	%		10.74	%
Russell 1000^® Value Index		26.54	%		8.29	%		11.80	%
Lipper^® Variable Insurance Products (VIP) Equity Income Funds Average		24.47	%		7.88	%		10.91	%

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 12/31/09. 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 invests with an emphasis on larger capitalization stocks with a strong track record of paying dividends or that are believed to be undervalued. The

Portfolio may underperform similar funds that invest without an emphasis on dividend-paying stocks. Dividend-paying stocks may not participate in a broad market advance to the same degree as other stocks.

The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates or economic downturn could cause a company to unexpectedly reduce or eliminate its dividend.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Wells Fargo & Co.		3.8	%
JPMorgan Chase & Co.		3.3	%
The Southern Co., Various		2.8	%
QUALCOMM, Inc.		2.5	%
Total SA, ADR		2.3	%
Johnson & Johnson		2.2	%
Morgan Stanley		1.9	%
Chubb, Ltd.		1.9	%
Tyson Foods, Inc. - Class A		1.9	%
General Electric Co.		1.8	%

Equity Income Portfolio (unaudited)

Sector Allocation 12/31/19


Sector	% of Net Assets
Financials		23.5	%
Health Care		11.6	%
Industrials		11.4	%
Consumer Staples		9.5	%
Energy		8.6	%
Utilities		8.3	%
Information Technology		8.0	%
Communication Services		6.1	%
Materials		4.5	%
Real Estate		3.5	%
Consumer Discretionary		2.8	%
Short-Term Investments & Other Net Assets		2.0	%
Convertible Corporate Bonds		0.2	%

Sector Allocation and Top 10 Holdings are subject to change.

Equity Income Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (95.8%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (6.1%)
AT&T, Inc.		49,962		1,952
CenturyLink, Inc.		78,413		1,036
Comcast Corp. - Class A		204,985		9,218
Fox Corp. - Class B		253,101		9,213
News Corp. - Class A		501,645		7,093
Telefonica SA		448,121		3,130
Verizon Communications, Inc.		229,608		14,098
The Walt Disney Co.		26,936		3,896

Total				49,636


Consumer Discretionary (2.8%)
Kohl’s Corp.		78,359		3,992
L Brands, Inc.		114,300		2,071
Las Vegas Sands Corp.		119,515		8,251
Mattel, Inc.*		281,603		3,816
MGM Resorts International		45,300		1,507
Snap-on, Inc.		21,000		3,558

Total				23,195


Consumer Staples (9.5%)
Bunge, Ltd.		66,800		3,844
Conagra Brands, Inc.		332,258		11,376
CVS Health Corp.		179,538		13,338
Kellogg Co.		24,800		1,715
Kimberly-Clark Corp.		92,700		12,751
Philip Morris International, Inc.		164,589		14,005
Tyson Foods, Inc. - Class A		166,593		15,167
Walmart, Inc.		46,700		5,550

Total				77,746


Energy (8.6%)
Chevron Corp.		22,200		2,675
Equitrans Midstream Corp.		62,152		830
Exxon Mobil Corp.		201,600		14,068
Hess Corp.		34,700		2,318
Occidental Petroleum Corp.		235,100		9,689
Pioneer Natural Resources Co.		31,300		4,738
Targa Resources Corp.		55,200		2,254
TC Energy Corp.		274,956		14,658
Total SA, ADR		343,399		18,990

Total				70,220


Financials (23.5%)
American International Group, Inc.		259,860		13,339
AXA Equitable Holdings, Inc.		179,428		4,446
Bank of America Corp.		15,723		554


Common Stocks (95.8%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
The Bank of New York Mellon Corp.		48,400		2,436
Chubb, Ltd.		99,300		15,457
Citigroup, Inc.		26,187		2,092
Fifth Third Bancorp		398,487		12,249
Franklin Resources, Inc.		151,900		3,946
JPMorgan Chase & Co.		193,146		26,925
Loews Corp.		129,361		6,790
Marsh & McLennan Cos., Inc.		32,247		3,593
MetLife, Inc.		221,300		11,280
Morgan Stanley		305,291		15,606
Northern Trust Corp.		25,400		2,698
PNC Financial Services Group, Inc.		57,500		9,179
Raymond James Financial, Inc.		37,800		3,382
State Street Corp.		165,700		13,107
U.S. Bancorp		147,600		8,751
Wells Fargo & Co.		578,273		31,111
Willis Towers Watson PLC		20,916		4,224

Total				191,165


Health Care (10.8%)
AbbVie, Inc.		73,200		6,481
Allergan PLC		37,900		7,245
Anthem, Inc.		37,949		11,462
Becton Dickinson and Co.		10,364		2,819
Bristol-Myers Squibb Co.		55,100		3,537
Gilead Sciences, Inc.		122,100		7,934
GlaxoSmithKline PLC		123,665		2,914
Johnson & Johnson		124,346		18,138
Medtronic PLC		105,245		11,940
Pfizer, Inc.		319,926		12,535
Zimmer Biomet Holdings, Inc.		18,600		2,784

Total				87,789


Industrials (11.4%)
Alaska Air Group, Inc.		91,755		6,216
The Boeing Co.		39,900		12,998
Delta Air Lines, Inc.		53,893		3,152
Emerson Electric Co.		62,000		4,728
Flowserve Corp.		9,281		462
General Electric Co.		1,324,100		14,777
Johnson Controls International PLC		156,398		6,367
L3Harris Technologies, Inc.		61,252		12,120
Nielsen Holdings PLC		292,556		5,939
nVent Electric PLC		88,700		2,269
PACCAR, Inc.		35,200		2,784
Southwest Airlines Co.		30,500		1,646


Common Stocks (95.8%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Stericycle, Inc.*		87,999		5,615
United Parcel Service, Inc. - Class B		102,800		12,034
United Technologies Corp.		10,200		1,528

Total				92,635


Information Technology (8.0%)
Applied Materials, Inc.		102,600		6,263
Cisco Systems, Inc.		196,300		9,414
Cognizant Technology Solutions Corp. - Class A		69,700		4,323
Microsoft Corp.		78,722		12,414
NXP Semiconductors NV		17,186		2,187
QUALCOMM, Inc.		232,481		20,512
TE Connectivity, Ltd.		15,200		1,457
Texas Instruments, Inc.		55,000		7,056
Western Digital Corp.		23,900		1,517

Total				65,143


Materials (4.5%)
Akzo Nobel NV, ADR		40,177		1,368
CF Industries Holdings, Inc.		163,684		7,814
Corteva, Inc.		102,234		3,022
Dow, Inc.		119,434		6,537
DuPont de Nemours, Inc.		120,434		7,732
International Paper Co.		155,437		7,158
Nucor Corp.		28,100		1,581
PPG Industries, Inc.		8,200		1,095

Total				36,307


Real Estate (3.5%)
Equity Residential		90,800		7,347
Rayonier, Inc.		186,806		6,120
SL Green Realty Corp.		55,744		5,122
Weyerhaeuser Co.		325,844		9,840

Total				28,429


Utilities (7.1%)
CenterPoint Energy, Inc.		132,900		3,624
Edison International		141,694		10,685
Evergy, Inc.		4,977		324
NextEra Energy, Inc.		34,422		8,336
NiSource, Inc.		416,591		11,598
Sempra Energy		25,007		3,788
The Southern Co.		300,692		19,154

Total				57,509


Total Common Stocks
(Cost: $637,528)				779,774

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

Equity Income Portfolio


Preferred Stocks (0.4%)	Shares/ Par⁺		Value $ (000’s)

Utilities (0.4%)
The Southern Co., The Southern Co., 6.750%, 8/1/22		62,483		3,368

Total				3,368

Total Preferred Stocks
(Cost: $3,135)				3,368

Convertible Corporate Bonds (0.2%)

Financial (0.2%)
AXA SA, 7.250%,
5/15/21 144A		1,561,000		1,800

Total				1,800

Total Convertible Corporate Bonds
(Cost: $1,561)				1,800


Convertible Preferred Stocks (1.6%)	Shares/ Par⁺		Value $ (000’s)

Health Care (0.8%)
Becton Dickinson and Co., 6.125%, 5/1/20		100,450		6,576

Total				6,576


Utilities (0.8%)
Aqua America, Inc., 6.000%, 4/30/22		20,428		1,274
Sempra Energy, 6.750%, 7/15/21		11,107		1,324
Sempra Energy, 6.000%, 1/15/21		36,037		4,325

Total				6,923

Total Convertible Preferred Stocks
(Cost: $10,763)				13,499


Short-Term Investments (1.8%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (1.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		14,405,452		14,405

Total				14,405

Total Short-Term Investments
(Cost: $14,405)				14,405

Total Investments (99.8%)
(Cost: $667,392)^@				812,846

Other Assets, Less
Liabilities (0.2%)				1,406

Net Assets (100.0%)				814,252

+	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, 2019 the value of these securities (in thousands) was $1,800 representing 0.2% of the net assets.

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $668,443 and the net unrealized appreciation of investments based on that cost was $144,403 which is comprised of $179,414 aggregate gross unrealized appreciation and $35,011 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	3,368	$	-	$	-
Common Stocks		779,774		-		-
Convertible Corporate Bonds		-		1,800		-
Convertible Preferred Stocks		13,499		-		-
Short-Term Investments		14,405		-		-
Total Assets:	$	811,046	$	1,800	$	-

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

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.	$1.2 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. The Portfolio invests primarily in U.S. common stocks. The Portfolio may also invest up to 20% of net assets in American Depositary Receipts and other securities of foreign issuers, including non-U.S. dollar denominated securities.

MARKET OVERVIEW

U.S. equities, as measured by the S&P 500^® Index, posted positive results during the twelve-month period ended December 31, 2019. During the period, U.S. equities rose as the U.S. economy remained resilient despite elevated geopolitical uncertainties and slowing global growth. U.S.-China trade relations were volatile in the absence of meaningful compromises on key structural issues. The U.S. Federal Reserve (the “Fed”) lowered its benchmark interest rate in July and September by a combined 0.50% to sustain economic expansion and mitigate the risks of slowing growth and trade frictions. U.S. equities surged in the fourth quarter of 2019 as stocks benefited from waning recession fears, accommodative Fed policies, including another 0.25% rate cut in October, and improved U.S.-China trade sentiment in December.

Returns during the period varied by market capitalization. Small and mid cap stocks, as measured by the Russell 2000^® Index and S&P MidCap 400^® Index, underperformed large cap stocks, as measured by the S&P 500^® Index.

PORTFOLIO RESULTS

The Portfolio returned 33.01% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell Midcap^® Growth Index (the “Index”), returned 35.47%. (The Index is unmanaged, cannot be invested in directly, and does not incur expenses.) According to Lipper^® Analytical Services Inc., an independent mutual fund ranking agency, the average return in 2019 of the Mid Cap Growth Funds peer group was 35.17%.

Stock selection in the Information Technology, Financials and Communication Services sectors drove underperformance during the reporting period. In contrast, stock selection in the Health Care, Consumer Discretionary and Materials sectors contributed to returns and partially offset the detraction. Sector allocation, a residual of the Portfolio’s bottom up stock selection process, also weighed on results, mainly due to the Portfolio’s overweight in the Utilities and Health Care sectors.

Top individual detractors from relative returns included Information Technology company Teradata Corp., UGI Corp, in the Utilities sector and Communication Services holding TripAdvisor. Teradata Corp, stock declined throughout the year as the company faced revenue headwinds resulting from a faster-than-expected shift to subscription-based transaction options. Later in the year, shares were driven lower after the company cut its full-year adjusted earnings outlook and announced that its Chief Executive Officer was leaving. U.S.-based natural gas and electric power distributor UGI declined on disappointing financial results for fiscal 2019. Shares of TripAdvisor struggled after the company missed revenue and earnings expectations in the first and second quarter, respectively. Negative market sentiment about the company’s hotels and auction businesses further pressured the stock and the Portfolio’s investment team eliminated it from the Portfolio.

Leading individual contributors to relative performance included Communication Services holding Roku Inc., Fair Isaac Corp, in the Information Technology sector and Seattle Genetics, a Health Care company. Roku Inc., a manufacturer of streaming media players, rose following solid quarterly results, which served to reinforce the company’s strong position in the fast-growing video streaming market. Fair Isaac Corp., a provider of analytics, software and data management products, performed well after reporting robust fourth quarter revenue and earnings as well as solid cash flow generation. Seattle Genetics Inc., a biotechnology developer of monoclonal antibody-based therapies for cancer treatment, rose due

Mid Cap Growth Stock Portfolio (unaudited)

to second quarter sales growth of the company’s blood cancer drug. Shares continued to climb on positive trial results for a combination of one of its drugs with Merck’s immunotherapy Keytruda as a first-line treatment for bladder cancer. The portfolio management team continues to hold positions in all three stocks.

PORTFOLIO MANAGER OUTLOOK

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

Based on our bottom-up, company specific research and stock selection process, as of the end of the period, the Portfolio had overweight positions in the Financials, Health Care and Utilities sectors. The Portfolio was underweight in the Information Technology, Consumer Discretionary and Consumer Staples sectors.

We believe the Fed’s dovish policy stance has enhanced confidence that the U.S. economy can continue to grow at a steady – if decelerating – pace. Equity investors are now less concerned about interest rates and are more focused on trade policies and the potential for conflict in the Middle East. We have a balanced view on the U.S economy and believe volatility in equity markets will continue to be driven by geopolitical risks. Our focus remains on creating a diversified portfolio of blue chip, market leading, U.S. mid-cap companies that score well in our F/V/E (fundamentals/valuation/expectations) process.

Although we anticipate slower growth in 2020 than we saw in 2019, the Portfolio is well balanced for this environment.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Mid Cap Growth Stock Portfolio		33.01	%		8.52	%		10.31	%
Russell MidCap^® Growth Index		35.47	%		11.60	%		14.24	%
Lipper^® Variable Insurance Products (VIP) Mid Cap Growth Funds Average		35.17	%		11.55	%		13.33	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Genpact, Ltd.		2.6	%
WEX, Inc.		2.4	%
NVR, Inc.		1.7	%
IDEX Corp.		1.7	%
Choice Hotels International, Inc.		1.7	%
Markel Corp.		1.6	%
Lumentum Holdings, Inc.		1.6	%
Service Corp. International		1.6	%
Lennox International, Inc.		1.5	%
Fair Isaac Corp.		1.5	%

Mid Cap Growth Stock Portfolio (unaudited)

Sector Allocation 12/31/19


Sector	% of Net Assets
Information Technology		28.7	%
Health Care		19.4	%
Industrials		16.6	%
Financials		13.1	%
Consumer Discretionary		11.2	%
Materials		2.7	%
Communication Services		2.5	%
Utilities		2.3	%
Real Estate		2.2	%
Short-Term Investments & Other Net Assets		0.7	%
Energy		0.4	%
Consumer Staples		0.2	%

Sector Allocation and Top 10 Holdings are subject to change.

Mid Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (99.3%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (2.5%)
Cable One, Inc.		8,798		13,096
CarGurus, Inc.*		233,488		8,214
Roku, Inc.*		56,843		7,611

Total				28,921


Consumer Discretionary (11.2%)
CarMax, Inc.*		111,820		9,803
Carter’s, Inc.		130,526		14,272
Choice Hotels International, Inc.		183,907		19,021
Etsy, Inc.*		188,823		8,365
GrubHub, Inc.*		98,135		4,773
NVR, Inc.*		5,201		19,808
PVH Corp.		116,237		12,222
Service Corp. International		388,673		17,891
Under Armour, Inc. - Class C*		365,797		7,016
Wayfair, Inc. - Class A*		65,544		5,923
YETI Holdings, Inc.*		300,086		10,437

Total				129,531


Consumer Staples (0.2%)
Performance Food Group Co.*		36,129		1,860

Total				1,860


Energy (0.4%)
WPX Energy, Inc.*		362,596		4,982

Total				4,982


Financials (13.1%)
Alleghany Corp.*		11,387		9,105
Credit Acceptance Corp.*		29,246		12,936
Cullen / Frost Bankers, Inc.		113,165		11,065
FactSet Research Systems, Inc.		30,207		8,105
First Citizens BancShares, Inc. - Class A		17,799		9,473
First Republic Bank		122,712		14,413
FNF Group		193,551		8,778
M&T Bank Corp.		69,058		11,723
Markel Corp.*		15,998		18,288
Northern Trust Corp.		104,734		11,127
Prosperity Bancshares, Inc.		145,923		10,490
South State Corp.		82,275		7,137
W.R. Berkley Corp.		127,953		8,842
White Mountains Insurance Group, Ltd.		9,024		10,066

Total				151,548


Common Stocks (99.3%)	Shares/ Par⁺		Value $ (000’s)

Health Care (19.4%)
Aerie Pharmaceuticals, Inc.*		203,176		4,911
Alnylam Pharmaceuticals, Inc.*		135,661		15,624
Bio-Techne Corp.		65,470		14,371
Encompass Health Corp.		166,417		11,528
Hill-Rom Holdings, Inc.		126,588		14,372
Integra LifeSciences Holdings Corp.*		226,842		13,220
Ionis Pharmaceuticals, Inc.*		230,351		13,915
Masimo Corp.*		92,243		14,580
Mettler-Toledo International, Inc.*		11,754		9,324
NuVasive, Inc.*		210,465		16,277
PRA Health Sciences, Inc.*		137,936		15,332
Reata Pharmaceuticals, Inc.*		46,072		9,418
Repligen Corp.*		94,384		8,731
Seattle Genetics, Inc.*		83,943		9,591
STERIS PLC		74,543		11,362
Teleflex, Inc.		38,184		14,374
Varian Medical Systems, Inc.*		111,674		15,859
Veeva Systems, Inc. - Class A*		77,831		10,948

Total				223,737


Industrials (16.6%)
AMERCO		26,788		10,067
Axon Enterprise, Inc.*		221,079		16,201
Cintas Corp.		26,869		7,230
CoStar Group, Inc.*		17,744		10,616
Fastenal Co.		317,839		11,744
Gardner Denver Holdings, Inc.*		400,587		14,693
Healthcare Services Group, Inc.		227,452		5,532
HEICO Corp. - Class A		72,034		6,449
IAA Spinco, Inc.*		264,234		12,435
IDEX Corp.		113,313		19,490
KAR Auction Services, Inc.		470,547		10,253
Lennox International, Inc.		70,183		17,123
Lincoln Electric Holdings, Inc.		130,187		12,593
PACCAR, Inc.		126,239		9,985
TransUnion		147,584		12,635
Waste Connections, Inc.		61,650		5,597


Common Stocks (99.3%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Watsco, Inc.		49,701		8,954

Total				191,597


Information Technology (28.7%)
Akamai Technologies, Inc.*		121,255		10,474
Aspen Technology, Inc.*		73,069		8,836
Black Knight, Inc.*		214,346		13,821
Blackbaud, Inc.		162,347		12,923
CDW Corp.		80,787		11,540
Coherent, Inc.*		79,765		13,269
CommScope Holding Co., Inc.*		626,879		8,895
EPAM Systems, Inc.*		53,626		11,377
F5 Networks, Inc.*		93,936		13,118
Fair Isaac Corp.*		45,353		16,993
Genpact, Ltd.		700,908		29,557
Guidewire Software, Inc.*		129,484		14,214
II-VI, Inc.*		479,535		16,146
Keysight Technologies, Inc.*		72,023		7,392
Lumentum Holdings, Inc.*		226,455		17,958
MKS Instruments, Inc.		129,419		14,237
Monolithic Power Systems		78,368		13,951
National Instruments Corp.		276,821		11,721
PTC, Inc.*		150,253		11,253
Q2 Holdings, Inc.*		108,931		8,832
Silicon Laboratories, Inc.*		105,878		12,280
Teradata Corp.*		512,926		13,731
VeriSign, Inc.*		58,015		11,178
WEX, Inc.*		130,728		27,382

Total				331,078


Materials (2.7%)
Ball Corp.		241,913		15,645
Packaging Corp. of America		94,333		10,564
Silgan Holdings, Inc.		171,046		5,316

Total				31,525


Real Estate (2.2%)
Douglas Emmett, Inc.		195,190		8,569
Equity Commonwealth		263,218		8,641
Redfin Corp.*		380,501		8,044

Total				25,254

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

Mid Cap Growth Stock Portfolio


Common Stocks (99.3%)	Shares/ Par⁺		Value $ (000’s)

Utilities (2.3%)
Black Hills Corp.		80,993		6,361
NiSource, Inc.		161,128		4,486
UGI Corp.		331,020		14,949

Total				25,796


Total Common Stocks
(Cost: $963,575)				1,145,829


Short-Term Investments (0.1%)

Money Market Funds (0.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		1,328,361		1,328

Total				1,328


Total Short-Term Investments
(Cost: $1,328)				1,328

Total Investments (99.4%)
(Cost: $964,903)^@				1,147,157

Other Assets, Less
Liabilities (0.6%)				6,600

Net Assets (100.0%)				1,153,757

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $966,649 and the net unrealized appreciation of investments based on that cost was $180,508 which is comprised of $220,514 aggregate gross unrealized appreciation and $40,006 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. See Note 3 for additional information on portfolio valuation.


Description	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,145,829	$	-	$	-
Short-Term Investments		1,328		-		-
Total Assets:	$	1,147,157	$	-	$	-

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

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.	$993 million

PORTFOLIO OVERVIEW

Mason Street Advisors is the investment adviser for the Index 400 Stock Portfolio (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 and, to a lesser extent, purchase (long) total return equity swap agreements to help achieve full replication.

MARKET OVERVIEW

PORTFOLIO RESULTS

The Index 400 Stock Portfolio delivered a total return of 25.88% for the twelve months ended December 31, 2019, trailing the S&P MidCap 400^® Index (the “Index”), which returned 26.20%. (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. According to Upper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the S&P Midcap 400 Index Funds peer group was 25.47%.

Ten of the Portfolio’s eleven sectors posted positive returns for the year, with medium-sized companies benefiting from an expanding economy buoyed by strong consumer spending. The largest contribution to the Portfolio came from the Information Technology sector. Semiconductors and semiconductor equipment suppliers delivered some of the biggest gains due to strong chip demand for emerging technologies, while IT services and, in particular, software as a service companies continued to benefit from increased demand for their cost-effective subscription models.

The Industrials sector performed well, as improved investor sentiment, due in part to easing trade tensions between the U.S. and China, benefited manufacturing stocks. The rise of global online shopping and demand for efficient delivery systems also rewarded companies providing global logistics and transportation. Healthy markets have additionally encouraged capital expenditure in the sector as companies look to improve operations through machine-learning technology. Market conditions also spurred an uptick in merger activity in the Financials sector, as midsized banks took advantage of cheap borrowing costs in order to join forces to compete against larger financial institutions.

Tax cuts and a strong jobs market contributed to consumer spending, which benefited the Consumer Discretionary sector. The amount of money consumers spent on food-away-from-home continued to increase, and restaurant and bar sales outpaced total retail sales. Integration of technology into delivery and ordering further spurred company growth by catering to fast-moving, younger consumers.

Index 400 Stock Portfolio (unaudited)

Energy was the only sector with a loss for the reporting period, driven in large part by volatile energy prices. Companies in this sector were also negatively impacted by China’s new tariffs, as exports of U.S. commodities decreased during the year.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Index 400 Stock Portfolio		25.88	%		8.75	%		12.44	%
S&P MidCap 400^® Index		26.20	%		9.02	%		12.72	%
Lipper^® Variable Insurance Products (VIP) S&P Midcap 400 Index Funds		25.47	%		8.28	%		11.99	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

“Standard & Poor’s^®”, “S&P^®”, “S&P MidCap 400 lndex” and “Standard & Poor’s MidCap 400 Index” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Portfolio.

Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks.

The Portfolio may invest in derivative instruments such as futures and, to a lesser extent, swap agreements to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Top 10 Equity Holdings 12/31/19


Security Description			% of Net Assets
Teledyne Technologies, Inc.			0.7%
Domino’s Pizza, Inc.			0.6%
Tyler Technologies, Inc.			0.6%
Alleghany Corp.			0.6%
Teradyne, Inc.			0.6%
West Pharmaceutical Services, Inc.			0.6%
Medical Properties Trust, Inc.			0.6%
Fair Isaac Corp.			0.6%
Trimble Navigation, Ltd.			0.6%
Camden Property Trust			0.6%

Sector Allocation 12/31/19


Sector			% of Net Assets
Financials			16.4%
Industrials			15.3%
Information Technology			15.2%
Consumer Discretionary			13.4%
Real Estate			10.8%
Health Care			9.5%
Materials			5.8%
Utilities			4.5%
Consumer Staples			2.8%
Short-Term Investments & Other Net Assets			2.3%
Energy			2.1%
Communication Services			1.9%

Sector Allocation and Top 10 Holdings are subject to change.

Index 400 Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (1.9%)
AMC Networks, Inc. - Class A*		23,442		926
Cable One, Inc.		2,673		3,979
Cinemark Holdings, Inc.		56,702		1,919
John Wiley & Sons, Inc. - Class A		23,269		1,129
Meredith Corp.		21,381		694
The New York Times Co. - Class A		76,461		2,460
TEGNA, Inc.		115,368		1,926
Telephone and Data Systems, Inc.		52,020		1,323
TripAdvisor, Inc.		55,886		1,698
World Wrestling Entertainment, Inc.- Class A		25,242		1,637
Yelp, Inc.*		33,979		1,183

Total				18,874


Consumer Discretionary (13.4%)
Aaron’s, Inc.		35,717		2,040
Adient PLC*		46,300		984
Adtalem Global Education, Inc.*		28,719		1,004
American Eagle Outfitters, Inc.		84,477		1,242
AutoNation, Inc.*		31,317		1,523
Bed Bath & Beyond, Inc.		67,319		1,165
Boyd Gaming Corp.		42,571		1,275
Brinker International, Inc.		19,877		835
Brunswick Corp.		43,388		2,602
Caesars Entertainment Corp.*		296,866		4,037
Carter’s, Inc.		23,481		2,567
The Cheesecake Factory, Inc.		21,841		849
Choice Hotels International, Inc.		16,896		1,748
Churchill Downs, Inc.		18,856		2,587
Columbia Sportswear Co.		15,444		1,547
Cracker Barrel Old Country Store, Inc.		12,797		1,967
Dana Holding Corp.		76,553		1,393
Deckers Outdoor Corp.*		14,880		2,513
Delphi Technologies PLC*		45,781		587
Dick’s Sporting Goods, Inc.		33,826		1,674
Dillard’s, Inc. - Class A		5,243		385
Domino’s Pizza, Inc.		21,754		6,391
Dunkin’ Brands Group, Inc.		44,063		3,329


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Eldorado Resorts, Inc.*		34,746		2,072
Etsy, Inc.*		63,023		2,792
Five Below, Inc.*		29,612		3,786
Foot Locker, Inc.		56,933		2,220
Gentex Corp.		134,552		3,899
The Goodyear Tire & Rubber Co.		123,697		1,924
Graham Holdings Co. - Class B		2,314		1,479
Grand Canyon Education, Inc.*		25,650		2,457
GrubHub, Inc.*		48,640		2,366
Helen of Troy, Ltd.*		13,384		2,406
Jack in the Box, Inc.		12,580		982
KB Home		45,566		1,562
Lear Corp.		29,268		4,016
Marriott Vacations Worldwide Corp.		19,902		2,563
Mattel, Inc.*		184,413		2,499
Murphy USA, Inc.*		15,379		1,799
O-I Glass, Inc.		82,778		988
Ollie’s Bargain Outlet Holdings, Inc.*		29,087		1,900
Papa John’s International, Inc.		11,724		740
Penn National Gaming, Inc.*		57,953		1,481
Polaris Industries, Inc.		30,585		3,110
Pool Corp.		21,296		4,523
Restoration Hardware, Inc.*		8,660		1,849
Sally Beauty Holdings, Inc.*		61,872		1,129
Scientific Games Corp. - Class A*		28,768		770
Service Corp. International		97,220		4,475
Six Flags Entertainment Corp.		41,810		1,886
Skechers USA, Inc. - Class A*		71,227		3,076
Tempur Sealy International, Inc.*		24,167		2,104
Texas Roadhouse, Inc.		34,703		1,954
Thor Industries, Inc.		29,360		2,181
Toll Brothers, Inc.		68,717		2,715
TRI Pointe Homes, Inc.*		74,059		1,154
Urban Outfitters, Inc.*		37,520		1,042
Visteon Corp.*		14,874		1,288
Weight Watchers International, Inc.*		24,707		944
The Wendy’s Co.		97,887		2,174
Williams-Sonoma, Inc.		41,281		3,032


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Wyndham Destinations, Inc.		48,244		2,494
Wyndham Hotels & Resorts, Inc.		50,618		3,179

Total				133,254


Consumer Staples (2.8%)
BJ’s Wholesale Club Holdings, Inc.*		64,979		1,477
The Boston Beer Co., Inc. - Class A*		4,902		1,852
Casey’s General Stores, Inc.		19,564		3,110
Edgewell Personal Care Co.*		28,832		893
Energizer Holdings, Inc.		34,219		1,718
Flowers Foods, Inc.		102,376		2,226
The Hain Celestial Group, Inc.*		42,730		1,109
Ingredion, Inc.		35,511		3,301
Lancaster Colony Corp.		10,526		1,685
Nu Skin Enterprises, Inc.		29,545		1,211
Pilgrim’s Pride Corp.*		27,876		912
Post Holdings, Inc.*		35,352		3,857
Sanderson Farms, Inc.		10,487		1,848
Sprouts Farmers Market, Inc.*		62,837		1,216
Tootsie Roll Industries, Inc.		8,924		305
TreeHouse Foods, Inc.*		29,899		1,450

Total				28,170


Energy (2.1%)
Antero Midstream Corp.		157,979		1,199
Apergy Corp.*		41,200		1,392
Chesapeake Energy Corp. *		623,632		515
CNX Resources Corp.*		99,243		878
Core Laboratories NV		23,602		889
EQT Corp.		135,973		1,482
Equitrans Midstream Corp.		108,396		1,448
Matador Resources Co.*		58,317		1,048
Murphy Oil Corp.		79,447		2,129
Patterson-UTI Energy, Inc.		103,474		1,086
PBF Energy, Inc.		54,182		1,700
Transocean, Ltd.*		305,915		2,105
World Fuel Services Corp.		34,781		1,510

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

Index 400 Stock Portfolio


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
WPX Energy, Inc.*		221,659		3,046

Total				20,427


Financials (16.4%)
Affiliated Managers Group, Inc.		26,207		2,221
Alleghany Corp.*		7,655		6,121
American Financial Group, Inc.		39,810		4,365
Associated Banc-Corp.		84,752		1,868
BancorpSouth Bank		51,036		1,603
Bank of Hawaii Corp.		21,421		2,038
Bank OZK		64,297		1,961
Brighthouse Financial, Inc.*		58,116		2,280
Brown & Brown, Inc.		124,381		4,911
Cathay General Bancorp		40,275		1,533
CNO Financial Group, Inc.		80,389		1,457
Commerce Bancshares, Inc.		55,162		3,748
Cullen / Frost Bankers, Inc.		30,282		2,961
East West Bancorp, Inc.		77,456		3,772
Eaton Vance Corp.		60,180		2,810
Evercore, Inc. - Class A		20,789		1,554
F.N.B. Corp.		172,823		2,195
FactSet Research Systems, Inc.		20,182		5,415
Federated Investors, Inc. - Class B		51,100		1,665
First American Financial Corp.		59,750		3,485
First Financial Bankshares, Inc.		72,254		2,536
First Horizon National Corp.		165,512		2,741
FirstCash, Inc.		22,700		1,830
Fulton Financial Corp.		87,294		1,522
Genworth Financial, Inc. - Class A*		267,707		1,178
Green Dot Corp. - Class A*		25,199		587
Hancock Holding Co.		46,388		2,036
Hanover Insurance Group, Inc.		20,952		2,864
Home BancShares, Inc.		82,526		1,622
Interactive Brokers Group, Inc. - Class A		40,822		1,903
International Bancshares Corp.		30,515		1,314
Janus Henderson Group PLC		82,769		2,024
Jefferies Financial Group, Inc.		133,979		2,863
Kemper Corp.		33,322		2,582
Legg Mason, Inc.		43,399		1,558
LendingTree, Inc.*		4,079		1,238


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
The Macerich Co.		58,607		1,578
Mercury General Corp.		14,427		703
Navient Corp.		103,459		1,415
New York Community Bancorp, Inc.		248,578		2,988
Old Republic International Corp.		151,777		3,395
PacWest Bancorp		63,737		2,439
Pinnacle Financial Partners, Inc.		38,280		2,450
Primerica, Inc.		21,999		2,872
Prosperity Bancshares, Inc.		50,212		3,610
Reinsurance Group of America, Inc.		33,302		5,430
RenaissanceRe Holdings, Ltd.		23,489		4,604
RLI Corp.		21,224		1,911
SEI Investments Co.		67,132		4,396
Selective Insurance Group, Inc.		31,595		2,060
Signature Bank		28,716		3,923
SLM Corp.		224,546		2,001
Sterling Bancorp		107,465		2,265
Stifel Financial Corp.		36,367		2,206
Synovus Financial Corp.		77,945		3,055
TCF Financial Corp.		81,595		3,819
Texas Capital Bancshares, Inc.*		26,765		1,519
Trustmark Corp.		34,179		1,180
UMB Financial Corp.		22,978		1,577
Umpqua Holdings Corp.		117,131		2,073
United Bankshares, Inc.		54,003		2,088
Valley National Bancorp		208,333		2,385
Washington Federal, Inc.		41,671		1,527
Webster Financial Corp.		48,951		2,612
Wintrust Financial Corp.		30,356		2,152

Total				162,594


Health Care (9.5%)
Acadia Healthcare Co., Inc.*		47,109		1,565
Allscripts Healthcare
Solutions, Inc.*		86,361		848
Amedisys, Inc.*		17,156		2,864
Arrowhead Pharmaceuticals, Inc.*		53,245		3,377
Avanos Medical, Inc.*		25,493		859
Bio-Rad Laboratories, Inc. - Class A*		11,493		4,253
Bio-Techne Corp.		20,271		4,450
Cantel Medical Corp.		19,929		1,413
Catalent, Inc.*		77,820		4,381


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Charles River Laboratories International, Inc.*		25,977		3,968
Chemed Corp.		8,515		3,740
Encompass Health Corp.		52,444		3,633
Exelixis, Inc.*		161,612		2,848
Globus Medical, Inc. - Class A*		40,941		2,411
Haemonetics Corp.*		26,958		3,098
HealthEquity, Inc.*		37,700		2,792
Hill-Rom Holdings, Inc.		35,510		4,031
ICU Medical, Inc.*		10,226		1,914
Integra LifeSciences Holdings Corp.*		37,907		2,209
Ligand Pharmaceuticals, Inc. - Class B*		9,342		974
LivaNova PLC*		25,743		1,942
Masimo Corp.*		26,094		4,124
MEDNAX, Inc.*		44,837		1,246
Molina Healthcare, Inc.*		33,349		4,525
Nektar Therapeutics*		93,570		2,020
NuVasive, Inc.*		27,697		2,142
Patterson Cos., Inc.		45,821		938
Penumbra, Inc.*		17,085		2,807
PRA Health Sciences, Inc.*		33,641		3,739
Prestige Brands Holdings, Inc.*		26,718		1,082
Repligen Corp.*		24,921		2,305
Syneos Health, Inc.*		33,125		1,970
Tenet Healthcare Corp.*		55,260		2,102
United Therapeutics Corp.*		23,340		2,056
West Pharmaceutical Services, Inc.		39,355		5,916

Total				94,542


Industrials (15.3%)
Acuity Brands, Inc.		21,075		2,908
AECOM*		83,552		3,604
AGCO Corp.		33,340		2,576
ASGN, Inc.*		28,084		1,993
Avis Budget Group, Inc.*		30,235		975
Axon Enterprise, Inc.*		31,563		2,313
The Brink’s Co.		26,608		2,413
Carlisle Cos., Inc.		30,144		4,879
Clean Harbors, Inc.*		27,309		2,342
Colfax Corp.*		44,470		1,618
Crane Co.		27,117		2,342
Curtiss-Wright Corp.		22,706		3,199
Deluxe Corp.		22,394		1,118
Donaldson Co., Inc.		67,316		3,879
Dycom Industries, Inc.*		16,767		791
EMCOR Group, Inc.		29,867		2,578
EnerSys		22,491		1,683

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

Index 400 Stock Portfolio


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Fluor Corp.		74,557		1,408
FTI Consulting, Inc.*		20,015		2,215
GATX Corp.		18,669		1,547
Graco, Inc.		88,708		4,613
Healthcare Services Group, Inc.		39,423		959
Herman Miller, Inc.		31,412		1,308
HNI Corp.		22,777		853
Hubbell, Inc.		28,927		4,276
Insperity, Inc.		19,998		1,721
ITT, Inc.		46,646		3,448
JetBlue Airways Corp.*		153,552		2,874
KAR Auction Services, Inc.		68,492		1,492
Kennametal, Inc.		44,070		1,626
Kirby Corp.*		31,885		2,855
Knight-Swift Transportation Holdings		65,350		2,342
Landstar System, Inc.		20,990		2,390
Lennox International, Inc.		18,650		4,550
Lincoln Electric Holdings, Inc.		32,524		3,146
ManpowerGroup, Inc.		31,361		3,045
MasTec, Inc.*		32,074		2,058
Mercury Systems, Inc.*		29,539		2,041
MSA Safety, Inc.		18,956		2,395
MSC Industrial Direct Co., Inc. - Class A		23,959		1,880
Nordson Corp.		27,215		4,432
NOW, Inc.*		57,869		650
nVent Electric PLC		82,771		2,117
Oshkosh Corp.		36,199		3,426
Owens Corning, Inc.		57,862		3,768
Regal Beloit Corp.		21,777		1,864
Resideo Technologies, Inc.*		65,326		779
Ryder System, Inc.		28,345		1,539
Stericycle, Inc.*		48,470		3,093
Teledyne Technologies, Inc.*		19,398		6,722
Terex Corp.		34,890		1,039
Tetra Tech, Inc.		29,035		2,502
The Timken Co.		36,057		2,030
The Toro Co.		56,700		4,517
Trex Co., Inc.*		31,029		2,789
Trinity Industries, Inc.		52,204		1,156
Valmont Industries, Inc.		11,449		1,715
Watsco, Inc.		17,365		3,128
Werner Enterprises, Inc.		23,558		857
Woodward, Inc.		29,992		3,552
XPO Logistics, Inc.*		49,093		3,913

Total				151,841


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Information Technology (15.2%)
ACI Worldwide, Inc.*		61,486		2,329
Arrow Electronics, Inc.*		43,322		3,671
Avnet, Inc.		53,700		2,279
Belden, Inc.		20,552		1,130
Blackbaud, Inc.		26,161		2,082
Cabot Microelectronics Corp.		15,480		2,234
CACI International, Inc. - Class A*		13,319		3,330
CDK Global, Inc.		64,570		3,531
Ceridian HCM Holding, Inc.*		53,606		3,639
Ciena Corp.*		82,281		3,513
Cirrus Logic, Inc.*		30,742		2,533
Cognex Corp.		90,898		5,094
Coherent, Inc.*		12,846		2,137
CommVault Systems, Inc.*		22,368		998
CoreLogic, Inc.*		42,295		1,849
Cree, Inc.*		57,290		2,644
Cypress Semiconductor Corp.		196,434		4,583
Fair Isaac Corp.*		15,404		5,772
First Solar, Inc.*		40,367		2,259
II-VI, Inc.*		46,388		1,562
InterDigital, Inc.		16,559		902
j2 Global, Inc.		24,623		2,307
Jabil Circuit, Inc.		73,888		3,054
KBR, Inc.		75,376		2,299
Littelfuse, Inc.		12,956		2,478
LiveRamp Holdings, Inc.*		36,007		1,731
LogMeIn, Inc.		25,964		2,226
Lumentum Holdings, Inc.*		41,062		3,256
Manhattan Associates, Inc.*		33,988		2,711
MAXIMUS, Inc.		34,030		2,531
MKS Instruments, Inc.		28,993		3,190
Monolithic Power Systems		21,487		3,825
National Instruments Corp.		62,738		2,656
NCR Corp.*		67,869		2,386
NetScout Systems, Inc.*		35,028		843
Perspecta, Inc.		73,139		1,934
PTC, Inc.*		55,286		4,140
Sabre Corp.		145,676		3,269
Science Applications International Corp.		26,097		2,271
Semtech Corp.*		35,235		1,864
Silicon Laboratories, Inc.*		23,069		2,676
SolarEdge Technologies, Inc.*		25,856		2,459
Synaptics, Inc.*		17,799		1,171
SYNNEX Corp.		21,733		2,799
Tech Data Corp.*		18,841		2,706
Teradata Corp.*		59,837		1,602


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
Teradyne, Inc.		89,132		6,078
Trimble Navigation, Ltd.*		132,511		5,524
Tyler Technologies, Inc.*		20,736		6,221
Universal Display Corp.		22,552		4,647
ViaSat, Inc.*		30,675		2,245
Vishay Intertechnology, Inc.		70,394		1,499
WEX, Inc.*		23,025		4,823

Total				151,492


Materials (5.8%)
Allegheny Technologies, Inc.*		67,063		1,386
AptarGroup, Inc.		34,002		3,931
Ashland Global Holdings, Inc.		32,034		2,452
Cabot Corp.		30,306		1,440
Carpenter Technology Corp.		25,382		1,263
The Chemours Co.		86,964		1,573
Commercial Metals Co.		63,108		1,405
Compass Minerals International, Inc.		18,022		1,099
Domtar Corp.		30,463		1,165
Eagle Materials, Inc.		22,143		2,007
Grief, Inc. - Class A		13,966		617
Ingevity Corp.*		22,246		1,944
Louisiana-Pacific Corp.		62,472		1,854
Minerals Technologies, Inc.		18,539		1,068
NewMarket Corp.		3,928		1,911
Olin Corp.		84,927		1,465
PolyOne Corp.		40,910		1,505
Reliance Steel & Aluminum Co.		35,454		4,246
Royal Gold, Inc.		34,887		4,265
RPM International, Inc.		68,975		5,295
The Scotts Miracle-Gro Co. - Class A		21,074		2,238
Sensient Technologies Corp.		22,509		1,488
Silgan Holdings, Inc.		41,241		1,282
Sonoco Products Co.		53,241		3,286
Steel Dynamics, Inc.		114,596		3,901
United States Steel Corp.		90,441		1,032
Valvoline, Inc.		100,205		2,145
Worthington Industries, Inc.		19,632		828

Total				58,091


Real Estate (10.8%)
Alexander & Baldwin, Inc.		36,127		757
American Campus Communities, Inc.		73,084		3,437
Brixmor Property Group, Inc.		158,420		3,423
Camden Property Trust		51,504		5,465

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

Index 400 Stock Portfolio


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Real Estate continued
CoreCivic, Inc.		63,346		1,101
CoreSite Realty Corp.		20,045		2,247
Corporate Office Properties Trust		59,603		1,751
Cousins Properties, Inc.		78,061		3,216
CyrusOne, Inc.		60,210		3,940
Douglas Emmett, Inc.		87,670		3,849
EastGroup Properties, Inc.		20,430		2,710
EPR Properties		41,731		2,948
First Industrial Realty Trust, Inc.		67,524		2,803
The GEO Group, Inc.		64,505		1,071
Healthcare Realty Trust, Inc.		71,132		2,374
Highwoods Properties, Inc.		55,180		2,699
JBG SMITH Properties		62,780		2,504
Jones Lang LaSalle, Inc.		27,411		4,772
Kilroy Realty Corp.		51,875		4,352
Lamar Advertising Co. - Class A		45,748		4,083
Liberty Property Trust		83,917		5,039
Life Storage, Inc.		24,812		2,687
Mack-Cali Realty Corp.		48,165		1,114
Medical Properties Trust, Inc.		275,219		5,810
National Retail Properties, Inc.		91,292		4,895
OMEGA Healthcare Investors, Inc.		116,218		4,922
Park Hotels & Resorts, Inc.		127,327		3,294
Pebblebrook Hotel Trust		69,482		1,863
Potlatch Corp.		35,754		1,547
PS Business Parks, Inc.		10,653		1,756
Rayonier, Inc.		68,780		2,253
Sabra Health Care REIT, Inc.		103,026		2,199
Senior Housing Properties Trust		126,535		1,068
Service Properties Trust		87,530		2,130
Spirit Realty Capital, Inc.		53,045		2,609
Tanger Factory Outlet Centers, Inc.		49,409		728
Taubman Centers, Inc.		32,562		1,012
Urban Edge Properties		61,253		1,175
Weingarten Realty Investors		64,333		2,010

Total				107,613


Utilities (4.5%)
ALLETE, Inc.		27,481		2,231
Aqua America, Inc.		114,803		5,389
Black Hills Corp.		32,687		2,567


Common Stocks (97.7%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Hawaiian Electric Industries, Inc.		57,961		2,716
IDACORP, Inc.		26,806		2,863
MDU Resources Group, Inc.		106,581		3,167
National Fuel Gas Co.		45,915		2,137
New Jersey Resources Corp.		50,797		2,264
NorthWestern Corp.		26,832		1,923
OGE Energy Corp.		106,471		4,735
ONE Gas, Inc.		28,050		2,625
PNM Resources, Inc.		42,367		2,148
Southwest Gas Holdings, Inc.		29,055		2,207
Spire, Inc.		27,114		2,259
UGI Corp.		111,170		5,020

Total				44,251


Total Common Stocks (Cost: $733,186)				971,149


Short-Term Investments (2.0%)

Commercial Paper (1.5%)
Apple, Inc. 0.000%, 1/27/20 144A		1,500,000		1,498
The Coca-Cola Co. 0.000%, 2/3/20 144A		1,500,000		1,498
Exxon Mobil Corp. 0.000%, 1/17/20		1,500,000		1,499
Marriott International, Inc. 0.000%, 2/12/20 144A		1,500,000		1,496
Mondelez International, Inc. 0.000%, 1/8/20 144A		1,500,000		1,499
Pfizer, Inc. 0.000%, 3/5/20 144A		1,500,000		1,495
QUALCOMM, Inc. 0.000%, 2/4/20 144A		1,500,000		1,498
The Southern Co. 0.000%, 1/7/20 144A		1,500,000		1,500
Walgreens Boots Alliance, Inc. 0.000%, 1/7/20 144A		750,000		750
0.000%, 1/16/20 144A		750,000		749
The Walt Disney Co. 0.000%, 1/31/20 144A		1,500,000		1,498

Total				14,980


Short-Term Investments (2.0%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (0.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		2,673,272		2,673

Total				2,673


US Government & Agencies (0.2%)
Federal Home Loan Bank 0.000%, 2/10/20 ß		2,000,000		1,997

Total				1,997


Total Short-Term Investments
(Cost: $19,648)				19,650


Total Investments (99.7%)
(Cost: $752,834)^@				990,799

Other Assets, Less
Liabilities (0.3%)				2,491

Net Assets (100.0%)				993,290

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

Index 400 Stock Portfolio

Exchange Traded or Centrally Cleared Derivatives Futures

Issuer

Long/Short

Currency

Notional Par

(000’s)

Number

Contracts

Expiration

Date

Notional

Value

(000’s)

Unrealized

Appreciation/

(Depreciation)

(000’s)

Variation Margin

(000’s)

S&P 400 Mini Index Futures

Long

USD

3/20

$19,616

$156

$19

$156

$19

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Market Value

(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$–

$19

$–

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

*	Non income producing

144A

#	7-Day yield as of 12/31/2019.

ß	Cash or securities with an aggregate value of $1,997 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $753,226 and the net unrealized appreciation of investments based on that cost was $237,729 which is comprised of $293,084 aggregate gross unrealized appreciation and $55,355 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	971,149	$	-	$	-
Short-Term Investments
Money Market Funds		2,673		-		-
All Others		—		16,977		-
Other Financial Instruments^
Futures		156		-		-
Total Assets:	$	973,978	$	16,977	$	-

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

Mid Cap Value Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term capital growth. Current	Invest primarily in equity securities of mid-sized companies	$592 million
income is a secondary objective.	that are determined to be undervalued.

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

Resilient U.S. economic growth and positive earnings fueled strong stock market performance during 2019, despite periods of volatility sparked by trade tensions and global economic uncertainty. The U.S. Federal Reserve (the “Fed”) cut interest rates three times during the second half of 2019 in response to global economic risks, but central bank policymakers signaled a pause in interest rate reductions in the fourth quarter on improving economic data. Stocks advanced at the end of the year as news of a potential trade deal between the U.S. and China reduced trade-related uncertainty. Mid cap stocks as measured by the Russell family of U.S. indices outperformed small cap equities but underperformed large cap stocks. Value stocks underperformed growth for the period. All sectors of the Russell MidCap^® Value Index had positive returns, led by Information Technology. Energy was the weakest performing sector.

PORTFOLIO RESULTS

The Portfolio returned 29.21% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell Midcap^® Value Index (the “Index”), returned 27.06%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Mid Cap Value Funds peer group was 25.84%.

Outperformance relative to the Index was driven by stock selection, especially in the Health Care sector, where Zimmer Biomet Holdings was a top contributor. The medical device company reported better-than-expected revenues, margins and earnings. Stock selection among food products companies in the Consumer Staples sector also lifted relative performance.

Elsewhere in the Portfolio, semiconductor maker Applied Materials was a strong contributor. The company delivered solid financial results despite an uncertain global economic environment. While the portfolio managers trimmed the position following stock price appreciation, they continued to believe the company was well positioned, supported by greenfield investments and market share gains from its new tool offerings.

In contrast, stock selection in the Financials sector detracted from relative performance, due in part to an investment in ProAssurance. The stock of this property and casualty insurance company underperformed as investors moved away from the more defensive insurance industry and into banks and cyclical stocks. The portfolio managers added to the position as the stock’s valuation became more attractive. Elsewhere in the Portfolio, energy company EQT was a prominent detractor. Weak gas prices hurt the natural gas producer. The portfolio managers believed that if gas prices remained low, the company’s free cash flow would be significantly impaired, and as a result, they exited the position in EQT as they identified more attractive investment opportunities elsewhere.

PORTFOLIO MANAGER OUTLOOK

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

We seek to invest in companies where we believe valuations do not reflect the quality and normal earnings power of the company. Our investment process is based on individual security selection, but broad themes have emerged.

We have identified select opportunities in the Industrials sector as companies have underperformed due to concerns around tariffs, input cost pressure and operational execution. While the Portfolio is overweight in Industrials, we have avoided names that we believe are lower quality. We have positioned the Portfolio with a notable overweight to the Health

Mid Cap Value Portfolio (unaudited)

Care sector, where we see attractive opportunities due to increased political rhetoric as well as company-specific issues. The vast majority of our Health Care holdings are in the health care providers and services and health care equipment and supplies industries. Our research indicates that Real Estate stocks remain expensive relative to their historical valuation and as compared to other areas of the equity market. Therefore, we hold a limited number of higher quality Real Estate stocks that offer compelling valuations. In addition, we maintain an underweight in Communication Services holdings as metrics show that valuations throughout the sector are unattractive.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Mid Cap Value Portfolio		29.21	%		8.89	%		12.45	%
Russell MidCap^® Value Index		27.06	%		7.62	%		12.41	%
Lipper^® Variable Insurance Products
(VIP) Mid Cap Value Funds Average		25.84	%		6.76	%		10.95	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Investing in medium-sized companies involves a greater degree of risk than investing in large company stocks. The value of securities acquired in an IPO may rise or fall more rapidly than investments in more established issuers.

Top 10 Equity Holdings12/31/19


Security Description			% of Net Assets
iShares Russell Midcap Value Index Fund			3.1%
Zimmer Biomet Holdings, Inc.			2.9%
Truist Financial Corp.			2.5%
Northern Trust Corp.			2.5%
Xcel Energy, Inc.			1.9%
Weyerhaeuser Co.			1.9%
Emerson Electric Co.			1.9%
Hubbell, Inc.			1.6%
Comerica, Inc.			1.6%
Quest Diagnostics, Inc.			1.6%

Mid Cap Value Portfolio (unaudited)

Sector Allocation 12/31/19


Sector			% of Net Assets
Financials			21.3%
Industrials			16.5%
Health Care			11.3%
Utilities			9.8%
Consumer Discretionary			8.9%
Real Estate			5.8%
Consumer Staples			5.7%
Information Technology			5.2%
Energy			4.8%
Materials			4.6%
Investment Companies			3.1%
Short-Term Investments & Other Net Assets			2.3%
Communication Services			0.7%

Sector Allocation and Top 10 Holdings are subject to change.

Mid Cap Value Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (94.6%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (0.7%)
Rogers Communications, Inc.		78,985		3,922

Total				3,922


Consumer Discretionary (8.9%)
Advance Auto Parts, Inc.		50,583		8,101
Aptiv PLC		28,978		2,752
BorgWarner, Inc.		114,199		4,954
Carnival Corp.		114,516		5,821
Genuine Parts Co.		66,367		7,050
Honda Motor Co., Ltd., ADR		196,076		5,551
PulteGroup, Inc.		124,920		4,847
Sodexo SA		45,556		5,399
Target Corp.		34,565		4,431
Thor Industries, Inc.		50,986		3,788

Total				52,694


Consumer Staples (5.7%)
Conagra Brands, Inc.		196,093		6,714
The J.M. Smucker Co.		39,224		4,084
Kellogg Co.		47,240		3,267
Kimberly-Clark Corp.		38,247		5,261
Koninklijke Ahold Delhaize NV		251,149		6,281
Mondelez International, Inc.		59,371		3,270
Sysco Corp.		59,339		5,076

Total				33,953


Energy (4.8%)
Baker Hughes		234,027		5,998
ConocoPhillips		127,285		8,277
Exxon Mobil Corp.		125,324		3,315
Noble Energy, Inc.		208,250		5,173
Schlumberger, Ltd.		148,367		5,965

Total				28,728


Financials (21.3%)
AFLAC, Inc.		87,652		4,637
Ameriprise Financial, Inc.		54,931		9,150
Arthur J. Gallagher & Co.		16,669		1,587
Brown & Brown, Inc.		70,412		2,780
Capitol Federal
Financial, Inc.		362,422		4,976
Chubb, Ltd.		58,097		9,043
Comerica, Inc.		129,286		9,276
Commerce Bancshares, Inc.		104,219		7,081
First Hawaiian, Inc.		267,924		7,729
Globe Life, Inc.		21,773		2,292
M&T Bank Corp.		43,515		7,387
Northern Trust Corp.		136,352		14,486
ProAssurance Corp.		149,827		5,415


Common Stocks (94.6%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Prosperity Bancshares, Inc.		41,378		2,975
Reinsurance Group of America, Inc.		42,887		6,993
State Street Corp.		76,387		6,042
The Travelers Cos., Inc.		13,871		1,900
Truist Financial Corp.		259,798		14,632
UMB Financial Corp.		58,116		3,989
Westamerica Bancorporation		51,763		3,508

Total				125,878


Health Care (11.3%)
Cardinal Health, Inc.		142,575		7,211
Cerner Corp.		88,953		6,528
Henry Schein, Inc. *		77,245		5,154
Hologic, Inc. *		93,447		4,879
McKesson Corp.		47,372		6,553
Quest Diagnostics, Inc.		85,868		9,170
Siemens Healthineers AG		83,726		4,020
Universal Health Services, Inc. - Class B		42,685		6,124
Zimmer Biomet Holdings, Inc.		114,584		17,151

Total				66,790


Industrials (16.5%)
BAE Systems PLC		607,639		4,546
Cummins, Inc.		35,286		6,315
Eaton Corp. PLC		47,702		4,518
Emerson Electric Co.		143,685		10,958
Heartland Express, Inc.		267,098		5,623
Hubbell, Inc.		65,569		9,692
IMI, PLC		359,938		5,621
Johnson Controls International PLC		209,614		8,533
MSC Industrial Direct Co., Inc. - Class A		75,862		5,953
nVent Electric PLC		343,002		8,774
PACCAR, Inc.		69,065		5,463
Republic Services, Inc.		55,575		4,981
Schneider Electric SE		31,663		3,250
Southwest Airlines Co.		165,493		8,933
Textron, Inc.		98,419		4,390

Total				97,550


Information Technology (5.2%)
Applied Materials, Inc.		130,531		7,968
HP, Inc.		211,004		4,336
Maxim Integrated Products, Inc.		121,276		7,460
Microchip Technology, Inc.		47,396		4,963


Common Stocks (94.6%)	Shares/ Par⁺		Value $ (000’s)
Information Technology continued
TE Connectivity, Ltd.		61,934		5,936

Total				30,663


Materials (4.6%)
Graphic Packaging Holding Co.		179,186		2,984
Mondi PLC		253,789		5,959
Orkla ASA		615,794		6,241
Packaging Corp. of America		42,058		4,710
Sonoco Products Co.		67,615		4,173
WestRock Co.		75,749		3,250

Total				27,317


Real Estate (5.8%)
Empire State Realty Trust, Inc. - Class A		286,236		3,996
MGM Growth Properties LLC - Class A		209,009		6,473
Piedmont Office Realty Trust, Inc. - Class A		230,397		5,124
Welltower, Inc.		91,961		7,520
Weyerhaeuser Co.		364,433		11,006

Total				34,119


Utilities (9.8%)
Ameren Corp.		72,761		5,588
Atmos Energy Corp.		46,713		5,225
Edison International		110,499		8,333
Eversource Energy		51,028		4,341
NorthWestern Corp.		85,691		6,141
Pinnacle West Capital Corp.		84,751		7,622
Spire, Inc.		72,402		6,032
WEC Energy Group, Inc.		36,986		3,411
Xcel Energy, Inc.		180,190		11,440

Total				58,133


Total Common Stocks
(Cost: $484,433)				559,747


Investment Companies (3.1%)

Investment Companies (3.1%)
iShares Russell Midcap Value Index Fund		193,308		18,319

Total				18,319


Total Investment Companies
(Cost: $16,905)				18,319

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

Mid Cap Value Portfolio


Short-Term Investments (1.9%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (1.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540% ^#		11,277,788		11,278

Total				11,278


Total Short-Term Investments
(Cost: $11,278)				11,278


Total Investments (99.6%)
(Cost: $512,616)^@				589,344

Other Assets, Less
Liabilities (0.4%)				2,170

Net Assets (100.0%)				591,514

Over the Counter Derivatives Forward Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services	CAD	8,047	6,199	3/20	$	—		$	(79	)	$	(79	)
Buy	Morgan Stanley Capital Services	EUR	423	478	3/20		5			—			5
Sell	Morgan Stanley Capital Services	EUR	14,954	16,866	3/20		—			(84	)		(84	)
Sell	Morgan Stanley Capital Services	GBP	10,300	13,676	3/20		110			—			110
Buy	Morgan Stanley Capital Services	JPY	13,916	129	3/20		—			—	p		—	p
Sell	Morgan Stanley Capital Services	JPY	375,868	3,476	3/20		—			(25	)		(25	)
Buy	Goldman Sachs International	NOK	1,199	136	3/20		—	p		—			—	p
Sell	Goldman Sachs International	NOK	48,374	5,511	3/20		—			(136	)		(136	)
						$	115		$	(324	)	$	(209	)


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts			Options		Swaps		Total
Total Over the Counter	$	115		—	$	115	$	(324	)		—		—	$	(324	)
Derivatives

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $519,051 and the net unrealized appreciation of investments based on that cost was $70,084 which is comprised of $83,186 aggregate gross unrealized appreciation and $13,102 aggregate gross unrealized depreciation.

p	Amount is less than one thousand.

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

Mid Cap Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	62,770	$	4,020		$	-
Materials		21,076		6,241			-
All Others		465,640		-			-
Investment Companies		18,319		-			-
Short-Term Investments		11,278		-			-
Other Financial Instruments^{^}
Forward Currency Contracts		-		115			-
Total Assets:	$	579,083	$	10,376		$	-
Liabilities:
Other Financial Instruments^{^}
Forward Currency Contracts		-		(324	)		-
Total Liabilities:	$	-	$	(324	)	$	-

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

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.	$672 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 assub-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, as measured by the S&P 500^® Index, posted positive results during the twelve-month period ended December 31, 2019. During the period, U.S. equities rose with the U.S. economy remaining resilient despite elevated geopolitical uncertainties and slowing global growth. Trade relations between the U.S. and China were volatile in the absence of meaningful compromises on key structural issues. The U.S. Federal Reserve (the “Fed”) lowered its benchmark interest rate in July and September by a combined 0.50% to sustain economic expansion and mitigate the risks of slowing growth and trade frictions. U.S. equities surged in the fourth quarter of 2019 as stocks benefited from waning recession fears, accommodative Fed policies, including another 0.25% rate cut in October, and improved U.S.-China trade sentiment in December.

Returns during the period varied by market cap. Small and mid cap stocks, as measured by the Russell 2000^® Index and S&P MidCap 400^® Index, underperformed large cap stocks, as measured by the S&P 500^® Index.

PORTFOLIO RESULTS

The Portfolio returned 35.69% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell 2000^® Growth Index (the “Index”) returned 28.48%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Small Cap Growth Funds peer group was 29.85%.

Stock selection in the Consumer Discretionary, Industrials and Information Technology sectors drove outperformance. However, security selection in the Communication Services and Real Estate sectors partially offset this contribution to relative returns. Sector allocation, a residual of the Portfolio’s bottom up stock selection process, and particularly exposure to cash during a period of equity market strength, weighed on returns. Underweight exposure in Communication Services and overweight positioning in Information Technology contributed to outperformance.

Top individual contributors to relative performance included the Portfolio’s overweight positions in Kodiak Sciences and Insulet in the Health Care sector, as well as TopBuild in the Consumer Discretionary sector. Shares of Kodiak Sciences, a U.S.-based biopharmaceutical company, surged towards the end of the period after the company announced a public offering of six million shares of common stock. Shares of Insulet, a U.S.-based medical device company, rose on stronger-than-expected third quarter results which beat consensus estimates. The portfolio manager eliminated the position in Insulet from the Portfolio during the period. Topbuild, a U.S.-based installer and distributor of insulation products, rose on strong earnings and an increased revenue forecast.

Top detractors from relative performance included the Portfolio’s overweight positions in Merit Medical Systems in the Health Care sector and 2U in the Information Technology sector. Shares of Merit Medical Systems, a U.S.-based manufacturer of products used in diagnostic and interventional cardiology and radiology procedures, declined during the period primarily due to disappointing second quarter results. The portfolio manager eliminated the position from the Portfolio. Shares of 2U, a U.S.-based online educational services company, were driven lower during the period on expectations of sharply higher losses. The portfolio manager eliminated the position from the Portfolio. Not owning Arrowhead Pharmaceuticals in the Health Care sector also detracted from relative performance as the U.S.-based pharmaceuticals company performed well during the period.

Small Cap Growth Stock Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

We believe that many of the constructive fundamental drivers of U.S. economic growth present in 2019 will persist in 2020. Fed action is likely to be more gradual, as inflation is currently at targeted levels. Reduced Fed action could result in less volatility for the U.S. dollar. Trade negotiations between the U.S. and China will remain vitally important to markets. The outcome of the U.S. election could warrant future action in the Portfolio, and given the wide range of possible outcomes, we will continue to monitor political developments.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Small Cap Growth Stock Portfolio		35.69	%		10.41	%		12.71	%
Russell 2000^® Growth Index		28.48	%		9.34	%		13.01	%
Lipper^® Variable Insurance Products (VIP) Small Cap Growth Funds Average		29.85	%		10.02	%		13.07	%

This chart assumes an initial investment of $10,000 made on 12/31/09. 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 separateaccount 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.

Stocks of smaller companies, such as those held in this Portfolio, are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both more volatile and more speculative. Investing in small company stocks involves a greater degree of risk than investing in medium or large company stocks.

The Portfolio may invest in exchange-traded funds (“ETFs”) for cash management purposes. Investing in ETFs may expose the Portfolio to greater risk of loss and price fluctuation than investing directly in an equity security. The market prices of ETFs may trade at a premium or discount to their net asset value and may be subject to trading halts by the applicable exchange, which may negatively impact the Portfolio.

Top 10 Equity Holdings 12/31/19


Security Description		% of Net Assets
iShares Russell 2000 Growth Index Fund		2.7%
Science Applications International Corp.		1.3%
Five9, Inc.		1.3%
Omnicell, Inc.		1.2%
Steven Madden, Ltd.		1.2%
Performance Food Group Co.		1.2%
ASGN, Inc.		1.2%
John Bean Technologies Corp.		1.1%
Wolverine World Wide, Inc.		1.1%
TopBuild Corp.		1.1%

Small Cap Growth Stock Portfolio (unaudited)

Sector Allocation 12/31/19


Sector		% of Net Assets
Health Care		28.4%
Industrials		18.2%
Information Technology		16.6%
Consumer Discretionary		13.3%
Financials		7.5%
Consumer Staples		4.0%
Materials		3.5%
Investment Companies		2.7%
Real Estate		2.7%
Short-Term Investments & Other Net Assets		1.3%
Communication Services		1.2%
Energy		0.6%

Sector Allocation and Top 10 Holdings are subject to change.

Small Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (96.0%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (1.2%)
Bandwidth, Inc.*		8,100		519
Cardlytics, Inc.*		56,579		3,556
CarGurus, Inc.*		76,176		2,680
ORBCOMM, Inc.*		286,130		1,205

Total				7,960


Consumer Discretionary (13.3%)
American Eagle Outfitters, Inc.		282,648		4,155
American Outdoor Brands Corp.*		319,929		2,969
Caleres, Inc.		222,838		5,292
Carter’s, Inc.		41,312		4,517
Core-Mark Holding Co., Inc.		62,329		1,695
Dunkin’ Brands Group, Inc.		47,200		3,566
Floor & Décor Holdings, Inc.*		89,139		4,529
Foot Locker, Inc.		91,230		3,557
Marriott Vacations Worldwide Corp.		44,942		5,787
Nordstrom, Inc.		82,214		3,365
Oxford Industries, Inc.		71,839		5,418
Steven Madden, Ltd.		192,732		8,289
Thor Industries, Inc.		70,416		5,231
TopBuild Corp.*		71,245		7,344
Urban Outfitters, Inc.*		109,664		3,045
Visteon Corp.*		32,609		2,824
Wingstop, Inc.		61,240		5,281
Wolverine World Wide, Inc.		223,812		7,551
YETI Holdings, Inc.*		142,947		4,972

Total				89,387


Consumer Staples (4.0%)
B&G Foods, Inc.		110,599		1,983
BellRing Brands, Inc.*		128,881		2,744
Casey’s General Stores, Inc.		13,723		2,182
Freshpet, Inc.*		79,102		4,674
Hostess Brands, Inc.*		355,219		5,165
Performance Food Group Co.*		155,403		8,000
Post Holdings, Inc.*		20,033		2,186

Total				26,934


Energy (0.6%)
Kosmos Energy, Ltd.		436,197		2,486
PDC Energy, Inc.*		64,265		1,682

Total				4,168


Financials (7.5%)
Blucora, Inc.*		119,887		3,134
Evercore, Inc. - Class A		54,371		4,065
First Busey Corp.		104,637		2,877
First Hawaiian, Inc.		125,849		3,631


Common Stocks (96.0%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
James River Group Holdings, Ltd.		119,989		4,945
Kemper Corp.		53,134		4,118
MGIC Investment Corp.		408,023		5,782
OneMain Holdings, Inc.		83,785		3,531
Seacoast Banking Corp. of Florida*		109,390		3,344
SLM Corp.		471,110		4,198
Sterling Bancorp		215,806		4,549
Triumph Bancorp, Inc.*		100,234		3,811
Western Alliance Bancorporation		47,145		2,687

Total				50,672


Health Care (28.4%)
Abeona Therapeutics, Inc.*		106,156		347
Acadia Pharmaceuticals, Inc.*		58,299		2,494
Acceleron Pharma, Inc.*		67,566		3,582
Addus HomeCare Corp.*		33,817		3,288
Aerie Pharmaceuticals, Inc.*		67,607		1,634
Aimmune Therapeutics, Inc.*		82,236		2,752
Allakos, Inc.*		33,721		3,216
Apellis Pharmaceuticals, Inc.*		135,551		4,151
Arena Pharmaceuticals, Inc.*		92,202		4,188
AtriCure, Inc.*		125,132		4,068
Biohaven Pharmaceutical Holding Co., Ltd.*		56,041		3,051
Blueprint Medicines Corp.*		66,420		5,321
Cardiovascular Systems, Inc.*		82,922		4,029
Catalent, Inc.*		55,956		3,150
Constellation Pharmaceuticals, Inc.*		55,226		2,602
G1 Therapeutics, Inc.*		60,936		1,611
Global Blood Therapeutics, Inc.*		53,726		4,271
Globus Medical, Inc. - Class A*		122,262		7,199
Haemonetics Corp.*		52,679		6,053
Heron Therapeutics, Inc.*		161,710		3,800
HMS Holdings Corp.*		184,865		5,472
ICU Medical, Inc.*		7,660		1,433


Common Stocks (96.0%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Integer Holdings Corp.*		65,215		5,245
Integra LifeSciences Holdings Corp.*		81,722		4,763
Intercept Pharmaceuticals, Inc.*		36,300		4,498
Intersect ENT, Inc.*		89,466		2,228
Iovance Biotherapeutics, Inc.*		145,744		4,034
iRhythm Technologies, Inc.*		35,138		2,393
Karyopharm Therapeutics, Inc.*		59,046		1,132
Kodiak Sciences, Inc.*		62,948		4,529
LHC Group, Inc.*		39,988		5,509
Ligand Pharmaceuticals, Inc. - Class B*		20,922		2,182
Madrigal Pharmaceuticals, Inc.*		20,422		1,861
Mirati Therapeutics, Inc.*		26,467		3,410
MyoKardia, Inc.*		75,832		5,527
Nanostring Technologies, Inc.*		92,851		2,583
NuVasive, Inc.*		37,507		2,901
Omnicell, Inc.*		101,734		8,314
OraSure Technologies, Inc.*		176,813		1,420
Portola Pharmaceuticals, Inc.*		85,189		2,034
Principia Biopharma, Inc.*		77,770		4,260
The Providence Service Corp.*		36,850		2,181
R1 RCM, Inc.*		396,355		5,145
Radius Health, Inc.*		91,134		1,837
Reata Pharmaceuticals, Inc.*		17,665		3,611
REGENXBIO, Inc.*		45,353		1,858
Repligen Corp.*		25,044		2,317
Revance Therapeutics, Inc.*		124,428		2,019
Rhythm Pharmaceuticals, Inc.*		113,662		2,610
Spectrum Pharmaceuticals, Inc.*		146,909		535
Syneos Health, Inc.*		68,827		4,093
Tandem Diabetes Care, Inc.*		68,418		4,078

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

Small Cap Growth Stock Portfolio


Common Stocks (96.0%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Teladoc, Inc.*		54,778		4,586
Theravance Biopharma, Inc.*		64,188		1,662
Ultragenyx Pharmaceutical, Inc.*		68,447		2,923
US Physical Therapy, Inc.		20,630		2,359
Y-mAbs Therapeutics, Inc.*		70,033		2,188

Total				190,537


Industrials (18.2%)
Aerojet Rocketdyne Holdings, Inc.*		131,786		6,017
Altra Industrial Motion Corp.		135,333		4,900
American Woodmark Corp.*		33,576		3,509
Applied Industrial Technologies, Inc.		96,978		6,467
Armstrong World Industries, Inc.		33,671		3,164
ASGN, Inc.*		109,432		7,766
Axon Enterprise, Inc.*		58,018		4,252
AZZ, Inc.		62,408		2,868
Clean Harbors, Inc.*		63,498		5,445
Curtiss-Wright Corp.		38,557		5,432
EnerSys		68,816		5,149
Exponent, Inc.		90,579		6,251
Generac Holdings, Inc.*		70,364		7,078
Huron Consulting Group, Inc.*		41,758		2,870
Insperity, Inc.		56,042		4,822
ITT, Inc.		88,739		6,559
John Bean Technologies Corp.		68,160		7,679
Marten Transport, Ltd.		115,472		2,481
Mercury Systems, Inc.*		52,185		3,606
MSA Safety, Inc.		43,240		5,464
Patrick Industries, Inc.		96,446		5,057
Rexnord Corp.*		146,833		4,790
SPX Corp.*		97,871		4,980
SPX Flow, Inc.*		76,114		3,720
Viad Corp.		25,292		1,707

Total				122,033


Information Technology (16.6%)
8x8, Inc.*		147,109		2,692
Blackbaud, Inc.		74,544		5,934
CACI International, Inc. - Class A*		20,832		5,208
Cohu, Inc.		184,430		4,214
CTS Corp.		116,745		3,504
Entegris, Inc.		118,973		5,959
Everbridge, Inc.*		58,746		4,587
Five9, Inc.*		128,906		8,454
ForeScout Technologies, Inc.*		90,588		2,971


Common Stocks (96.0%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
FormFactor, Inc.*		237,342		6,164
Instructure, Inc.*		46,182		2,226
Itron, Inc.*		80,572		6,764
LiveRamp Holdings, Inc.*		67,325		3,236
Lumentum Holdings, Inc.*		71,706		5,686
Onto Innovation, Inc.*		69,191		2,528
Paylocity Holding Corp.*		40,993		4,953
Pegasystems, Inc.		50,490		4,022
PROS Holdings, Inc.*		62,211		3,728
Pure Storage, Inc.*		170,798		2,922
Q2 Holdings, Inc.*		42,256		3,426
Rapid7, Inc.*		72,458		4,059
Rogers Corp.*		24,870		3,102
SailPoint Technologies Holdings, Inc.*		102,462		2,418
Science Applications International Corp.		101,674		8,848
SVMK, Inc.*		212,827		3,803

Total				111,408


Materials (3.5%)
Boise Cascade Co.		104,908		3,832
Graphic Packaging Holding Co.		288,170		4,798
Ingevity Corp.*		56,380		4,926
Livent Corp.*		299,838		2,564
Louisiana-Pacific Corp.		107,595		3,192
PolyOne Corp.		121,786		4,481

Total				23,793


Real Estate (2.7%)
Columbia Property Trust, Inc.		138,303		2,892
CoreSite Realty Corp.		28,447		3,189
Corporate Office Properties Trust		105,402		3,097
Independence Realty Trust, Inc.		68,600		966
Pebblebrook Hotel Trust		111,196		2,981
PS Business Parks, Inc.		28,688		4,730

Total				17,855


Total Common Stocks (Cost: $502,278)				644,747


Investment Companies (2.7%)

Investment Companies (2.7%)
iShares Russell 2000 Growth Index Fund		85,968		18,416

Total				18,416


Total Investment Companies
(Cost: $15,785)				18,416


Short-Term Investments (1.0%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%#		6,508,474		6,508

Total				6,508


Total Short-Term Investments
(Cost: $6,508)				6,508


Total Investments (99.7%)
(Cost: $524,571)@				669,671

Other Assets, Less
Liabilities (0.3%)				2,199

Net Assets (100.0%)				671,870

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

Small Cap Growth Stock Portfolio

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $524,841 and the net unrealized appreciation of investments based on that cost was $144,830 which is comprised of $168,801 aggregate gross unrealized appreciation and $23,971 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	644,747	$	-	$	-
Investment Companies		18,416		-		-
Short-Term Investments		6,508		-		-
Total Assets:	$	669,671	$	-	$	-

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

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.	$290 million

PORTFOLIO OVERVIEW

Mason Street Advisors is the investment adviser for the Index 600 Stock Portfolio (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 purchase (long) total return equity swap agreements and invest in exchange traded funds and, to a lesser extent, futures contracts, for cash management purposes and to help achieve full replication.

MARKET OVERVIEW

In this environment,large-cap stocks, as represented by the S&P 500^® Index, posted a return of 31.49%, outperforming the S&P SmallCap 600^® and the S&P MidCap 400^® Indices, which returned 22.78% and 26.20%, respectively. Meanwhile, the broader bond market, as represented by the Bloomberg Barclays^® U.S. Aggregate Index, returned 8.72%, while the Bloomberg Barclays^® U.S. Corporate High Yield Index advanced 14.32%.

PORTFOLIO RESULTS

The Index 600 Stock Portfolio returned 22.44% for the twelve months ending December 31, 2019, trailing the S&P 600^® Index, which increased by 22.78%. Portfolio performance lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with stock index futures contracts. (The Index is unmanaged, cannot be invested in directly, and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Small Cap Core Funds peer group was 23.79%. However, the Small Cap Core Funds peer group is not strictly comparable to the Portfolio because many of the funds in the group are actively managed.

Ten of the Portfolio’s eleven sectors advanced amid an uncertain global economic environment, although U.S. economic growth remained steady. The Industrials sector was the leading contributor to the Portfolio’s return, particularly the machinery industry. Machinery stocks benefited from demand growth for transportation technologies, such as those used by aviation companies, as well as from higher sales of equipment to control water safety and efficiency. An improving outlook for the easing of trade tensions between the U.S. and China, which generally bolstered equities, also supported the sector’s gains.

The Information Technology sector, which depends heavily on sales to China, was also a key contributor that benefited from favorable trade developments. Semiconductor and semiconductor equipment stocks advanced on increased demand for smart-energy technology amid rising adoption of electric cars and other environmentally-friendly energy products. The expansion of new technologies, such as 5G telecommunications networks, also bolstered the industry’s gains.

The Financials sector was another notable Portfolio contributor. Banks’ profit growth was supported by several years of rising interest rates, before the Fed’s interest rate cuts during the second half of 2019. Smaller regional banks also advanced amid industry merger and acquisition activity, which reached its highest level in 20 years. Consumer Discretionary stocks contributed meaningfully, benefiting from strong consumer spending amid historically low unemployment and rising wages.

Index 600 Stock Portfolio (unaudited)

In contrast, Energy, the only sector to post negative returns, detracted modestly from the Portfolio’s return amid volatile prices of both oil and natural gas as global production continued to increase, leading to oversupply concerns.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Index 600 Stock Portfolio		22.44	%		9.21	%		12.97	%
S&P SmallCap 600^® Index		22.78	%		9.55	%		13.34	%
Lipper^® Variable Insurance Products (VIP) Small Cap Core Funds Average		23.79	%		7.13	%		11.13	%

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

“Standard & Poor’s^®”, “S&P^®”, “S&P SmallCap 600” and “Standard & Poor’s SmallCap 600” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Portfolio.

The Portfolio may invest in exchange-traded funds and derivative instruments such as swap agreements and, to a lesser extent, futures contracts, for cash management purposes and to help achieve-full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
iShares Core S&PSmall-Cap ETF		1.7	%
The Medicines Co.		0.8	%
Darling Ingredients, Inc.		0.6	%
LHC Group, Inc.		0.5	%
Glacier Bancorp, Inc.		0.5	%
Community Bank System, Inc.		0.4	%
Exponent, Inc.		0.4	%
John Bean Technologies Corp.		0.4	%
TopBuild Corp.		0.4	%
Strategic Education, Inc.		0.4	%

Index 600 Stock Portfolio (unaudited)

Sector Allocation 12/31/19


Sector	% of Net Assets
Financials	16.5	%
Industrials	16.5	%
Information Technology	13.0	%
Consumer Discretionary	12.7	%
Health Care	11.5	%
Real Estate	6.9	%
Materials	4.6	%
Short-Term Investments & Other Net Assets	4.6	%
Consumer Staples	4.0	%
Energy	4.0	%
Utilities	2.0	%
Communication Services	2.0	%
Investment Companies	1.7	%

Sector Allocation and Top 10 Holdings are subject to change.

Index 600 Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (2.0%)
ATN International, Inc.		3,789		210
Care.com, Inc.*		9,815		147
Cincinnati Bell, Inc.*		17,562		184
Cogent Communications Holdings, Inc.		14,518		955
Consolidated Communications Holdings, Inc.		25,104		97
The E.W. Scripps Co. - Class A		18,981		298
Gannett Co., Inc.		42,800		273
Glu Mobile, Inc.*		40,115		243
Iridium Communications, Inc.*		33,789		833
The Marcus Corp.		8,007		254
QuinStreet, Inc.*		16,058		246
Scholastic Corp.		10,706		412
Shenandoah Telecommunications Co.		16,324		679
Spok Holdings, Inc.		6,107		75
TechTarget, Inc.*		7,994		209
Vonage Holdings Corp.*		79,438		589

Total				5,704


Consumer Discretionary (12.7%)
Abercrombie & Fitch Co. - Class A		21,859		378
American Axle & Manufacturing Holdings, Inc.*		39,176		422
American Public Education, Inc.*		5,363		147
Asbury Automotive Group, Inc.*		6,739		753
Barnes & Noble Education, Inc.*		13,458		57
Big Lots, Inc.		13,590		390
BJ’s Restaurants, Inc.		6,675		253
Bloomin’ Brands, Inc.		30,256		668
Boot Barn Holdings, Inc.*		9,949		443
The Buckle, Inc.		9,944		269
Caleres, Inc.		14,181		337
Callaway Golf Co.		32,778		695
The Cato Corp. - Class A		7,568		132
Cavco Industries, Inc.*		2,991		584
Century Communities, Inc.*		9,390		257
Chico’s FAS, Inc.		41,316		157
The Children’s Place, Inc.		5,423		339
Chuy’s Holdings, Inc.*		5,787		150


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Conn’s, Inc.*		6,644		82
Cooper Tire & Rubber Co.		17,479		503
Cooper-Standard Holding, Inc.*		5,865		194
Core-Mark Holding Co., Inc.		15,871		432
Crocs, Inc.*		23,895		1,001
Dave & Buster’s Entertainment, Inc.		10,739		431
Designer Brands, Inc.		19,218		302
DineEquity, Inc.		5,849		489
Dorman Products, Inc.*		10,161		769
El Pollo Loco Holdings, Inc.*		6,804		103
Ethan Allen Interiors, Inc.		8,520		162
Express, Inc.*		23,430		114
Fiesta Restaurant Group, Inc.*		7,465		74
Fossil Group, Inc.*		16,188		128
Fox Factory Holding Corp.*		13,418		933
GameStop Corp. - Class A		22,950		140
Garrett Motion, Inc.*		26,062		260
Genesco, Inc.*		4,963		238
Gentherm, Inc.*		11,404		506
G-III Apparel Group, Ltd.*		14,992		502
Group 1 Automotive, Inc.		6,096		610
Guess?, Inc.		14,861		333
Haverty Furniture Cos., Inc.		6,301		127
Hibbett Sports, Inc.*		6,141		172
Installed Building Products, Inc.*		7,423		511
iRobot Corp.*		9,847		499
J.C. Penney Co., Inc.*		104,769		117
Kontoor Brands, Inc.		16,264		683
La-Z-Boy, Inc.		16,156		509
LCI Industries		8,717		934
LGI Homes, Inc.*		6,955		491
Liquidity Services, Inc.*		9,377		56
Lithia Motors, Inc. - Class A		7,887		1,159
Lumber Liquidators Holdings, Inc.*		10,000		98
M.D.C. Holdings, Inc.		17,443		666
M/I Homes, Inc.*		9,802		386
MarineMax, Inc.*		7,473		125
Meritage Homes Corp.*		12,539		766


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
The Michaels Cos., Inc.*		26,586		215
Monarch Casino & Resort, Inc.*		4,157		202
Monro Muffler Brake, Inc.		11,589		906
Motorcar Parts of America, Inc.*		6,603		145
Movado Group, Inc.		5,717		124
Office Depot, Inc.		190,344		522
Oxford Industries, Inc.		5,933		447
Perdoceo Education Corp.*		24,513		451
PetMed Express, Inc.		7,027		165
Red Robin Gourmet Burgers, Inc.*		4,507		149
Regis Corp.*		8,420		150
Rent-A-Center, Inc.		17,164		495
Ruth’s Hospitality Group, Inc.		9,453		206
Shake Shack, Inc. - Class A*		10,816		644
Shoe Carnival, Inc.		3,114		116
Shutterstock, Inc.*		6,669		286
Signet Jewelers, Ltd.		18,233		396
Sleep Number Corp.*		9,901		488
Sonic Automotive, Inc. - Class A		8,451		262
Stamps.com, Inc.*		5,650		472
Standard Motor Products, Inc.		7,039		375
Steven Madden, Ltd.		26,948		1,159
Strategic Education, Inc.		7,651		1,216
Sturm, Ruger & Co., Inc.		5,786		272
Tailored Brands, Inc.		17,639		73
TopBuild Corp.*		11,824		1,219
Tupperware Brands Corp.		17,032		146
Unifi, Inc.*		5,089		129
Universal Electronics, Inc.*		4,851		254
Vera Bradley, Inc.*		8,169		96
Vista Outdoor, Inc.*		20,142		151
William Lyon Homes - Class A*		11,504		230
Wingstop, Inc.		10,259		885
Winnebago Industries, Inc.		11,733		622
Wolverine World Wide, Inc.		28,170		950
Zumiez, Inc.*		7,101		245

Total				36,899

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

Index 600 Stock Portfolio


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Consumer Staples (4.0%)
The Andersons, Inc.		11,355		287
Avon Products, Inc.		154,306		870
B&G Foods, Inc.		22,307		400
Calavo Growers, Inc.		5,699		516
Cal-Maine Foods, Inc.		10,549		451
Central Garden & Pet Co.*		3,416		106
Central Garden & Pet Co. - Class A*		13,995		411
The Chefs’ Warehouse, Inc.*		8,875		338
Coca-Cola Bottling Co. Consolidated		1,617		459
Darling Ingredients, Inc.*		57,022		1,601	��
Fresh Del Monte Produce, Inc.		10,551		369
Inter Parfums, Inc.		6,137		446
J & J Snack Foods Corp.		5,200		958
John B. Sanfilippo & Son, Inc.		3,062		280
Medifast, Inc.		4,046		443
MGP Ingredients, Inc.		4,626		224
National Beverage Corp.*		4,055		207
PriceSmart, Inc.		7,764		552
Seneca Foods Corp. - Class A*		2,383		97
SpartanNash Co.		12,660		180
United Natural Foods, Inc.*		18,572		163
Universal Corp.		8,639		493
USANA Health Sciences, Inc.*		4,372		344
Vector Group, Ltd.		40,152		538
WD-40 Co.		4,773		927

Total				11,660


Energy (4.0%)
Archrock, Inc.		44,446		446
Bonanza Creek Energy, Inc.*		6,469		151
Callon Petroleum Co.*		136,003		657
CONSOL Energy, Inc.*		9,021		131
Denbury Resources, Inc.*		171,616		242
Diamond Offshore Drilling, Inc.*		22,541		162
DMC Global, Inc.		5,101		229
Dril-Quip, Inc.*		12,602		591
ERA Group, Inc.*		6,896		70
Exterran Corp.*		9,800		77
Geospace Technologies Corp.*		4,748		80
Green Plains, Inc.		11,772		182
Gulfport Energy Corp.*		50,621		154
Helix Energy Solutions Group, Inc.*		49,240		474
HighPoint Resources Corp.*		37,956		64


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Jagged Peak Energy, Inc.*		20,814		177
KLX Energy Services Holdings, Inc.*		7,317		47
Laredo Petroleum, Inc.*		62,773		180
Matrix Service Co.*		9,461		216
McDermott International, Inc.*		63,330		43
Nabors Industries, Ltd.		117,720		339
Newpark Resources, Inc.*		31,248		196
Noble Corp. PLC*		86,799		106
Oasis Petroleum, Inc.*		100,724		328
Oceaneering International, Inc.*		34,458		514
Oil States International, Inc.*		21,074		344
Par Pacific Holdings, Inc.*		12,836		298
PDC Energy, Inc.*		20,512		537
Penn Virginia Corp.*		4,688		142
ProPetro Holding Corp.*		28,681		323
QEP Resources, Inc.		82,825		373
Range Resources Corp.		72,687		352
Renewable Energy Group, Inc.*		13,571		366
REX American Resources Corp.*		1,951		160
Ring Energy, Inc.*		20,785		55
RPC, Inc.		17,931		94
SEACOR Holdings, Inc.*		6,115		264
SM Energy Co.		36,951		415
Southwestern Energy Co.*		188,539		456
SRC Energy, Inc.*		84,837		349
Talos Energy, Inc.*		6,985		211
TETRA Technologies, Inc.*		43,726		86
US Silica Holdings, Inc.		25,624		158
Valaris PLC		68,922		452
Whiting Petroleum Corp.*		31,801		233

Total				11,524


Financials (16.5%)
Allegiance Bancshares, Inc.*		6,669		251
Ambac Financial Group, Inc.*		15,867		342
American Equity Investment Life Holding Co.		31,712		949
Ameris Bancorp		22,808		970
AMERISAFE, Inc.		6,722		444
Appollo Commercial Real Estate Finance, Inc.		49,735		910


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
ARMOUR Residential REIT, Inc.		20,512		367
Axos Financial, Inc.*		18,572		562
Banc of California, Inc.		15,626		268
Banner Corp.		12,981		735
Berkshire Hills Bancorp, Inc.		14,959		492
Blucora, Inc.*		17,047		446
Boston Private Financial Holdings, Inc.		28,994		349
Brookline Bancorp, Inc.		27,784		457
Cadence Bancorp		44,589		808
Capstead Mortgage Corp.		32,952		261
Central Pacific Financial Corp.		9,884		292
City Holding Co.		5,678		465
Columbia Banking System, Inc.		25,126		1,022
Community Bank System, Inc.		18,008		1,277
Customers Bancorp, Inc.*		10,036		239
CVB Financial Corp.		46,360		1,000
Dime Community Bancshares		10,741		224
Donnelley Financial Solutions, Inc.*		10,872		114
Eagle Bancorp, Inc.		11,698		569
eHealth, Inc.*		7,080		680
Employers Holdings, Inc.		11,081		463
Encore Capital Group, Inc.*		9,628		340
Enova International, Inc.*		11,762		283
EZCORP, Inc. - Class A*		18,309		125
FGL Holdings		45,552		485
First Bancorp		75,708		802
First Commonwealth Financial Corp.		34,244		497
First Financial Bancorp		34,616		881
First Midwest Bancorp, Inc.		38,304		883
Flagstar Bancorp, Inc.		12,007		459
Franklin Financial Network, Inc.		4,665		160
Glacier Bancorp, Inc.		29,862		1,373
Granite Point Mortgage Trust, Inc.		19,106		351
Great Western Bancorp, Inc.		19,604		681
Greenhill & Co., Inc.		5,184		89
Hanmi Financial Corp.		10,837		217
HCI Group, Inc.		2,234		102
Heritage Financial Corp. of Washington		12,754		361
HomeStreet, Inc.*		8,503		289
Hope Bancorp, Inc.		44,130		656

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

Index 600 Stock Portfolio


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Horace Mann Educators Corp.		14,357		627
Independent Bank Corp.		11,973		997
INTL FCStone, Inc.*		5,674		277
Invesco Mortgage Capital, Inc.		49,739		828
James River Group Holdings, Ltd.		10,590		436
Kinsale Capital Group, Inc.		7,178		730
KKR Real Estate Finance Trust, Inc.		8,410		172
Meta Financial Group, Inc.		12,044		440
National Bank Holding Corp. - Class A		10,857		382
NBT Bancorp, Inc.		15,253		619
New York Mortgage Trust, Inc.		101,487		632
NMI Holdings, Inc. - Class A*		23,678		786
Northfield Bancorp, Inc.		15,073		256
Northwest Bancshares, Inc.		34,926		581
OFG Bancorp		17,885		422
Old National Bancorp		59,223		1,083
Opus Bank		7,525		195
Pacific Premier Bancorp, Inc.		20,677		674
PennyMac Mortgage Investment Trust		34,874		777
Piper Jaffray Cos., Inc.		5,001		400
PRA Group, Inc.*		15,817		574
Preferred Bank		4,739		285
ProAssurance Corp.		18,736		677
Provident Financial Services, Inc.		20,916		516
Ready Capital Corp.		12,280		189
Redwood Trust, Inc.		39,251		649
S&T Bancorp, Inc.		13,422		541
Safety Insurance Group, Inc.		5,090		471
Seacoast Banking Corp. of Florida*		17,932		548
ServisFirst Bancshares, Inc.		16,053		605
Simmons First National Corp. - Class A		39,695		1,063
Southside Bancshares, Inc.		11,056		411
The St. Joe Co.*		10,968		217
Stewart Information Services Corp.		8,257		337
Third Point Reinsurance, Ltd.*		27,895		293
Tompkins Financial Corp.		4,267		390
Triumph Bancorp, Inc.*		8,126		309
TrustCo Bank Corp.		33,757		293


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
United Community Banks, Inc.		27,510		850
United Fire Group, Inc.		7,411		324
United Insurance Holdings Corp.		7,228		91
Universal Insurance Holdings, Inc.		10,642		298
Veritex Holdings, Inc.		16,452		479
Virtus Investment Partners, Inc.		2,252		274
Waddell & Reed Financial, Inc. - Class A		24,494		410
Walker & Dunlop, Inc.		9,982		646
Westamerica Bancorporation		9,423		639
WisdomTree Investments, Inc.		41,087		199
World Acceptance Corp.*		1,930		167

Total				48,049


Health Care (11.5%)
Acorda Therapeutics, Inc.*		16,729		34
Addus HomeCare Corp.*		4,715		458
Akorn, Inc.*		32,953		49
AMAG Pharmaceuticals, Inc.*		11,813		144
AMN Healthcare Services, Inc.*		16,270		1,014
Amphastar Pharmaceuticals, Inc.*		11,935		230
AngioDynamics, Inc.*		13,103		210
ANI Pharmaceuticals, Inc.*		3,240		200
Anika Therapeutics, Inc.*		4,970		258
BioTelemetry, Inc.*		11,839		548
Cardiovascular Systems, Inc.*		12,260		596
Community Health Systems, Inc.*		41,046		119
Computer Programs and Systems, Inc.		4,350		115
CONMED Corp.		9,885		1,105
Corcept Therapeutics, Inc.*		35,824		433
CorVel Corp.*		3,120		273
Covetrus, Inc.*		33,976		448
Cross Country Healthcare, Inc.*		12,845		149
CryoLife, Inc.*		13,063		354
Cutera, Inc.*		4,957		178
Cytokinetics, Inc.*		20,579		218
Diplomat Pharmacy, Inc.*		20,111		80


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Eagle Pharmaceuticals, Inc.*		3,524		212
Emergent Biosolutions, Inc.*		15,284		825
Enanta Pharmaceuticals, Inc.*		5,565		344
Endo International PLC*		70,299		330
Ensign Group, Inc.		17,468		793
Hanger, Inc.*		13,005		359
HealthStream, Inc.*		8,909		242
Heska Corp.*		2,454		235
HMS Holdings Corp.*		30,685		908
Innoviva, Inc.*		23,282		330
Inogen, Inc.*		6,360		435
Integer Holdings Corp.*		11,382		915
Invacare Corp.		11,729		106
Lannett Co., Inc.*		11,661		103
Lantheus Holdings, Inc.*		13,670		280
LeMaitre Vascular, Inc.		5,710		205
LHC Group, Inc.*		10,317		1,421
Luminex Corp.		14,594		338
Magellan Health, Inc.*		7,585		594
The Medicines Co.*		25,892		2,199
Medpace Holdings, Inc.*		9,538		802
Meridian Bioscience, Inc.		14,887		145
Merit Medical Systems, Inc.*		19,230		600
Mesa Laboratories, Inc.		1,399		349
Momenta Pharmaceuticals, Inc.*		39,530		780
Myriad Genetics, Inc.*		25,910		706
Natus Medical, Inc.*		11,874		392
Neogen Corp.*		18,259		1,192
NeoGenomics, Inc.*		36,366		1,064
NextGen Healthcare, Inc.*		16,865		271
Omnicell, Inc.*		14,607		1,194
OraSure Technologies, Inc.*		21,500		173
Orthofix Medical, Inc.*		6,637		307
Owens & Minor, Inc.		21,892		113
Pacira Biosciences, Inc.*		14,535		658
The Pennant Group, Inc.*		9,117		302
Phibro Animal Health Corp. - Class A		7,067		175
Progenics Pharmaceuticals, Inc.*		30,101		153
The Providence Service Corp.*		3,999		237
RadNet, Inc.*		14,533		295
REGENXBIO, Inc.*		10,917		447

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

Index 600 Stock Portfolio


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Select Medical Holdings Corp.*		37,429		874
Spectrum Pharmaceuticals, Inc.*		39,349		143
Supernus Pharmaceuticals, Inc.*		18,273		433
Surmodics, Inc.*		4,719		196
Tabula Rasa HealthCare, Inc.*		6,847		333
Tactile Systems Technology, Inc.*		6,628		447
Tivity Health, Inc.*		15,045		306
US Physical Therapy, Inc.		4,449		509
Vanda Pharmaceuticals, Inc.*		18,578		305
Varex Imaging Corp.*		13,365		398
Xencor, Inc.*		17,188		591

Total				33,277


Industrials (16.5%)
AAON, Inc.		14,154		699
AAR Corp.		11,449		516
ABM Industries, Inc.		23,133		872
Actuant Corp. - Class A		18,766		488
Aegion Corp.*		10,714		240
Aerojet Rocketdyne Holdings, Inc.*		25,216		1,151
Aerovironment, Inc.*		7,521		464
Alamo Group, Inc.		3,378		424
Albany International
Corp. - Class A		10,693		812
Allegiant Travel Co.		4,595		800
American Woodmark Corp.*		5,423		567
Apogee Enterprises, Inc.		9,249		301
Applied Industrial Technologies, Inc.		13,464		898
ArcBest Corp.		8,884		245
Arcosa, Inc.		16,855		751
Astec Industries, Inc.		7,853		330
Atlas Air Worldwide Holdings, Inc.*		9,011		248
AZZ, Inc.		9,109		419
Barnes Group, Inc.		16,604		1,029
Brady Corp. - Class A		17,334		993
Briggs & Stratton Corp.		14,798		99
Chart Industries, Inc.*		12,469		842
CIRCOR International, Inc.*		6,935		321
Comfort Systems USA, Inc.		12,775		637
Cubic Corp.		10,893		692
DXP Enterprises, Inc.*		5,579		222
Echo Global Logistics, Inc.*		9,507		197
Encore Wire Corp.		7,301		419


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
EnPro Industries, Inc.		7,239		484
ESCO Technologies, Inc.		9,049		837
Exponent, Inc.		18,052		1,246
Federal Signal Corp.		21,075		680
Forrester Research, Inc.*		3,697		154
Forward Air Corp.		9,813		686
Foundation Building Materials, Inc.*		6,015		116
Franklin Electric Co., Inc.		13,403		768
Gibraltar Industries, Inc.*		11,241		567
GMS, Inc.*		14,688		398
Granite Construction, Inc.		16,280		450
The Greenbrier Cos., Inc.		11,353		368
Griffon Corp.		14,836		302
Harsco Corp.*		27,380		630
Hawaiian Holdings, Inc.		16,228		475
Heartland Express, Inc.		16,284		343
Heidrick & Struggles International, Inc.		6,677		217
Hillenbrand, Inc.		25,813		860
Hub Group, Inc. - Class A*		11,625		596
Insteel Industries, Inc.		6,373		137
Interface, Inc.		20,348		338
John Bean Technologies Corp.		11,030		1,243
Kaman Corp.		9,704		640
Kelly Services, Inc. - Class A		11,559		261
Korn Ferry		19,267		817
Lindsay Corp.		3,766		362
Lydall, Inc.*		6,103		125
Marten Transport, Ltd.		13,525		291
Matson, Inc.		14,931		609
Matthews International Corp. - Class A		10,916		417
Mobile Mini, Inc.		15,368		583
Moog, Inc. - Class A		11,228		958
Mueller Industries, Inc.		19,837		630
MYR Group, Inc.*		5,799		189
National Presto Industries, Inc.		1,755		155
Park Aerospace Corp.		6,789		110
Patrick Industries, Inc.		7,781		408
PGT Innovations, Inc.*		20,343		303
Pitney Bowes, Inc.		59,507		240
Powell Industries, Inc.		3,068		150
Proto Labs, Inc.*		9,320		946
Quanex Building Products Corp.		11,551		197
Raven Industries, Inc.		12,455		429
Resources Connection, Inc.		10,486		171
RR Donnelley & Sons Co.		24,695		98


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Saia, Inc.*		9,034		841
Simpson Manufacturing Co., Inc.		14,050		1,127
SkyWest, Inc.		17,562		1,135
SPX Corp.*		15,376		782
SPX Flow, Inc.*		14,826		725
Standex International Corp.		4,341		344
Team, Inc.*		10,576		169
Tennant Co.		6,363		496
Titan International, Inc.		17,429		63
Triumph Group, Inc.		17,445		441
TrueBlue, Inc.*		13,568		326
UniFirst Corp.		5,330		1,077
Universal Forest Products, Inc.		21,383		1,020
US Ecology, Inc.		8,864		513
Veritiv Corp.*		4,430		87
Viad Corp.		7,080		478
Vicor Corp.*		6,386		298
Wabash National Corp.		18,841		277
Watts Water Technologies, Inc. - Class A		9,614		959

Total				47,818


Information Technology (13.0%)
3D Systems Corp.*		41,247		361
8x8, Inc.*		34,909		639
ADTRAN, Inc.		16,658		165
Advanced Energy Industries, Inc.*		13,343		950
Agilysys, Inc.*		7,087		180
Alarm.com Holdings, Inc.*		12,688		545
Anixter International, Inc.*		10,486		966
Applied Optoelectronics, Inc.*		6,657		79
Arlo Technologies, Inc.*		26,370		111
Axcelis Technologies, Inc.*		11,292		272
Badger Meter, Inc.		10,140		658
Bel Fuse, Inc. - Class B		3,528		72
Benchmark Electronics, Inc.		13,106		450
Bottomline Technologies, Inc.*		13,275		712
Brooks Automation, Inc.		25,182		1,057
CalAmp Corp.*		11,884		114
Cardtronics PLC*		12,584		562
CEVA, Inc.*		7,660		207
Cohu, Inc.		14,373		328
Comtech Telecommunications Corp.		8,495		302
CSG Systems International, Inc.		11,476		594

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

Index 600 Stock Portfolio


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
CTS Corp.		11,356		341
Daktronics, Inc.		13,052		79
Diebold, Inc.*		26,748		282
Digi International, Inc.*		9,862		175
Diodes, Inc.*		14,400		812
DSP Group, Inc.*		8,012		126
Ebix, Inc.		7,754		259
ePlus, Inc.*		4,704		397
EVERTEC, Inc.		20,794		708
Exlservice Holdings, Inc.*		11,876		825
Extreme Networks, Inc.*		42,343		312
Fabrinet*		12,888		836
FARO Technologies, Inc.*		6,062		305
FormFactor, Inc.*		26,367		685
Harmonic, Inc.*		31,467		245
Ichor Holdings, Ltd.*		7,835		261
Insight Enterprises, Inc.*		12,465		876
Itron, Inc.*		12,266		1,030
KEMET Corp.		20,234		547
Knowles Corp.*		29,973		634
Kulicke and Soffa Industries, Inc.		22,086		601
LivePerson, Inc.*		21,443		793
ManTech International Corp. - Class A		9,374		749
MaxLinear, Inc. - Class A*		22,684		481
Methode Electronics, Inc. - Class A		12,919		508
MicroStrategy, Inc. - Class A*		2,867		409
MTS Systems Corp.		6,200		298
NETGEAR, Inc.*		10,501		257
NIC, Inc.		23,324		521
OneSpan, Inc.*		11,342		194
Onto Innovation, Inc.*		17,088		624
OSI Systems, Inc.*		5,946		599
PDF Solutions, Inc.*		9,690		164
Perficient, Inc.*		11,359		523
Photronics, Inc.*		23,405		369
Plantronics, Inc.		11,400		312
Plexus Corp.*		10,163		782
Power Integrations, Inc.		10,248		1,014
Progress Software Corp.		15,599		648
Qualys, Inc.*		11,611		968
Rambus, Inc.*		38,834		535
Rogers Corp.*		6,469		807
Sanmina Corp.*		24,374		835
ScanSource, Inc.*		8,800		325
SMART Global Holdings, Inc.*		4,582		174
SPS Commerce, Inc.*		12,135		673
Sykes Enterprises, Inc.*		13,422		496
TiVo Corp.		44,111		374
TTEC Holdings, Inc.		6,153		244


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
TTM Technologies, Inc.*		34,172		514
Ultra Clean Holdings, Inc.*		13,865		325
Unisys Corp.*		18,038		214
Veeco Instruments, Inc.*		17,033		250
Viavi Solutions, Inc.*		80,038		1,201
Virtusa Corp.*		10,395		471
Xperi Corp.		17,256		319

Total				37,630


Materials (4.6%)
AdvanSix, Inc.*		9,722		194
AK Steel Holding Corp.*		110,222		363
American Vanguard Corp.		9,253		180
Balchem Corp.		11,205		1,139
Boise Cascade Co.		13,576		496
Century Aluminum Co.*		17,339		130
Clearwater Paper Corp.*		5,753		123
Cleveland-Cliffs, Inc.		94,072		790
Ferro Corp.*		28,550		423
FutureFuel Corp.		8,989		111
GCP Applied Technologies, Inc.*		18,735		425
H.B. Fuller Co.		17,757		916
Hawkins, Inc.		3,295		151
Haynes International, Inc.		4,359		156
Innophos Holdings, Inc.		6,859		219
Innospec, Inc.		8,532		883
Kaiser Aluminum Corp.		5,531		613
Koppers Holdings, Inc.*		7,209		276
Kraton Corp.*		11,043		280
Livent Corp.*		50,846		435
LSB Industries, Inc.*		7,619		32
Materion Corp.		7,107		422
Mercer International, Inc.		13,944		171
Myers Industries, Inc.		12,372		206
Neenah Paper, Inc.		5,857		412
Olympic Steel, Inc.		3,179		57
P.H. Glatfelter		15,385		282
Quaker Chemical Corp.		4,509		742
Rayonier Advanced Materials, Inc.		17,393		67
Schulman, Inc. - Contingent Value Rights*,Æ		8,527		4
Schweitzer-Mauduit International, Inc.		10,762		452
Stepan Co.		6,976		715
SunCoke Energy, Inc.		30,217		188
TimkenSteel Corp.*		13,894		109
Tredegar Corp.		8,596		192
Trinseo SA		13,647		508


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Materials continued
US Concrete, Inc.*		5,526		230
Warrior Met Coal, Inc.		17,789		376

Total				13,468


Real Estate (6.9%)
Acadia Realty Trust		30,285		785
Agree Realty Corp.		14,773		1,037
American Assets Trust, Inc.		16,707		767
Armada Hoffler Properties, Inc.		19,304		354
CareTrust REIT, Inc.		33,283		687
CBL & Associates Properties, Inc.		60,434		63
Cedar Realty Trust, Inc.		29,935		88
Chatham Lodging Trust		16,344		300
Community Healthcare Trust, Inc.		6,606		283
DiamondRock Hospitality Co.		69,730		773
Easterly Government Properties, Inc.		25,830		613
Essential Properties Realty Trust, Inc.		28,224		700
Four Corners Property Trust, Inc.		24,004		677
Franklin Street Properties Corp.		37,350		320
Getty Realty Corp.		11,911		391
Global Net Lease, Inc.		31,159		632
Hersha Hospitality Trust		12,507		182
Independence Realty Trust, Inc.		31,660		446
Industrial Logistics Properties Trust		22,703		509
Innovative Industrial Properties, Inc.		4,129		313
iStar, Inc.		20,570		298
Kite Realty Group Trust		29,250		571
Lexington Realty Trust		86,336		917
LTC Properties, Inc.		13,846		620
Marcus & Millichap, Inc.*		8,178		305
National Storage Affiliates Trust		20,665		695
Office Properties Income Trust		16,789		540
Pennsylvania Real Estate Investment Trust		20,810		111
RE/MAX Holdings, Inc. - Class A		6,212		239
Realogy Holdings Corp.		39,826		385
Retail Opportunity Investments Corp.		40,402		713
RPT Realty		27,996		421
Safehold, Inc.		4,327		174
Saul Centers, Inc.		4,103		216

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

Index 600 Stock Portfolio


Common Stocks (93.7%)	Shares/ Par⁺		Value $ (000’s)

Real Estate continued
Summit Hotel Properties, Inc.		36,630		452
Uniti Group, Inc.		67,320		553
Universal Health Realty Income Trust		4,408		517
Urstadt Biddle Properties, Inc. - Class A		10,412		259
Washington Prime Group, Inc.		64,994		237
Washington Real Estate Investment Trust		28,072		819
Whitestone REIT		14,153		193
Xenia Hotels & Resorts, Inc.		39,234		848

Total				20,003


Utilities (2.0%)
American States Water Co.		12,831		1,112
Avista Corp.		23,236		1,117
California Water Service Group		16,769		865
El Paso Electric Co.		14,188		963
Northwest Natural Holding Co.		10,601		782
South Jersey Industries, Inc.		32,181		1,061

Total				5,900


Total Common Stocks
(Cost: $232,458)				271,932


Investment Companies (1.7%)

Investment Companies (1.7%)
iShares Core S&PSmall-Cap ETF		59,252		4,968

Total				4,968

Total Investment Companies
(Cost: $4,844)				4,968


Short-Term Investments (4.1%)

Commercial Paper (3.3%)
Apple, Inc. 0.000%, 1/9/20 144A		1,000,000		1,000
Exxon Mobil Corp. 0.000%, 1/17/20		500,000		500
General Mills, Inc. 0.000%, 1/6/20 144A		500,000		500
Marriott International, Inc. 0.000%, 1/6/20 144A		500,000		500
0.000%, 2/12/20 144A		500,000		498
Mondelez International, Inc. 0.000%, 1/8/20 144A		1,000,000		999


Short-Term Investments (4.1%)	Shares/ Par⁺		Value $ (000’s)

Commercial Paper continued
Pfizer, Inc. 0.000%, 1/23/20 144A		1,000,000		999
QUALCOMM, Inc. 0.000%, 2/4/20 144A		500,000		499
0.000%, 2/13/20 144A		500,000		499
Societe Generale SA 0.000%, 3/27/20 144A		500,000		498
The Southern Co. 0.000%, 1/7/20 144A		1,000,000		1,000
Walgreens Boots Alliance, Inc. 0.000%, 1/7/20 144A		500,000		500
0.000%, 3/3/20 144A		500,000		498
The Walt Disney Co. 0.000%, 1/23/20 144A		1,000,000		999

Total				9,489


Money Market Funds (0.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540% #		2,370,999		2,371

Total				2,371

Total Short-Term Investments
(Cost: $11,860)				11,860

Total Investments (99.5%)
(Cost: $249,162)@				288,760

Other Assets, Less
Liabilities (0.5%)				1,351

Net Assets (100.0%)				290,111

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

Index 600 Stock Portfolio

Over the Counter Derivatives

Total Return Swaps


Reference Entity	Counterparty	Payment made by the Fund		Payment Received by the Fund	Expiration Date		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)
S&P SmallCap 600 Index	JP Morgan	1-Month USD LIBOR + 22.0 basis points		S&P SmallCap 600 Index		5/20		11,709	$	496	$	496

									$	496	$	496


	Financial Derivative Assets (000’s)				Financial Derivative Liabilities (000’s)
	Forward Contracts	Swaps		Total	Forward Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	-	$496	��	$496		-		-		-		-

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

144A

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $250,253 and the net unrealized appreciation of investments based on that cost was $39,003 which is comprised of $63,137 aggregate gross unrealized appreciation and $24,134 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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
Materials	$	13,464	$	-	$	4
All Others		258,464		-		-
Investment Companies		4,968		-		-
Short-Term Investments
Money Market Funds		2,371		-		-
All Others		-		9,489		-
Other Financial Instruments^{^}
Total Return Swaps		-		496		-
Total Assets:	$	279,267	$	9,985	$	4

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

Small Cap Value Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks ofsmall-sized companies believed to be undervalued.	$606 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 Associates, Inc. (“T. Rowe Price”) to act assub-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. stocks surged in 2019, with several major indices hittingall-time highs in the second half of the year. The U.S. Federal Reserve’s decision to keep interest rates steady in the first half of the year and then reduce rates three times starting in July was a major driver of market performance. Trade discussions between the U.S. and China also drove market sentiment throughout the year. Speculation arose numerous times during the year that the two countries were “close” to reaching an agreement, although occasional tensions seemed to reduce its likelihood. A preliminary “phase one” trade deal was finally agreed upon in December, supporting investor enthusiasm into the end of the year. As part of the agreement, the U.S. would lower or cancel the scheduled tariff rate on various Chinese goods. The agreement would also require “structural reforms and other changes to China’s economic and trade regime in the areas of intellectual property, technology transfer, agriculture, financial services and currency and foreign exchange”. Large cap shares outperformed their smaller peers, as measured by various Russell U.S. indices, and growth stocks soundly outperformed value across all market capitalizations.

PORTFOLIO RESULTS

The Portfolio returned 25.89% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Russell 2000^® Value Index (the “Index”), returned 22.39%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Small Cap Value Funds peer group was 22.89%.

The Portfolio’s outperformance relative to the Index was primarily due to favorable stock selection. The Industrials sector was the leading contributor to relative results, driven by strong stock selection, such as Triumph Group, a global supplier of aerospace components and systems. The company is a rollup of several acquisitions, whose customers include aircraft manufactures and airlines. Large commercial aircraft account for just over half of sales, with business jets, regional jets, and military programs making up the balance of revenues. The portfolio manager believed the company’s turnaround efforts were gaining traction, as key divestitures and a new cost-savings plan marked progress in the transition from growth to execution.

Stock selection and an underweight allocation to the Energy sector also supported relative results, led by holdings in International Seaways and WPX Energy. The Communication Services sector boosted relative performance due to stock selection, driven by Cable One. Shares of the company rose on solid quarterly results and positive investor sentiment about the recent acquisitions of Clearwave Communications and Fidelity Communications, which are expected to generate significant synergies.

Conversely, the Information Technology sector weighed on relative performance, due to weak stock selection, in particular Littelfuse.

Stock selection in the Financials sector also hurt relative performance. Shares of Green Dot, the leading provider of general- purpose reloadable cards in the U.S., declined following a 20% cut to forward guidance in order to fund a marketing campaign for a new direct bank. Despite uncertainty regarding the outcome of the company’s entrance into this new business segment, the portfolio manager remained confident in Green Dot’s core business and believed that, with solid execution, it could become a substantially larger platform over time, growing with key digital partners including Apple Pay and Intuit.

Small Cap Value Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

For much of the past year, the trade war and a general focus on macroeconomic events, rather than company fundamentals, have been at work. In recent months, however, investors have proven more discriminatory by rewarding stocks that beat earnings and revenue expectations, while punishing those that missed. Despite this current respite from macroeconomic-driven sentiment, we expect volatility levels may wax and wane in the months and year ahead, and we will continue to take advantage of price dislocations where we find them. Our focus remains on long-term performance, and we believe a contrarian approach will ultimately best serve the interests of our shareholders.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Small Cap Value Portfolio		25.89	%		8.96	%		10.99	%
Russell 2000^® Value Index		22.39	%		6.99	%		10.56	%
Lipper^® Variable Insurance Products (VIP) Small Cap Value Funds Average		22.89	%		6.25	%		10.13	%

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Stocks of smaller companies, such as those held in this Portfolio, are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers.Investments in such companies can be both more volatile and more speculative. Investing in small company stocks involves a greater degree of risk than investing in medium or large company stocks.

The Portfolio may invest a portion of its assets in other investment companies, includingopen-end and closed- end funds, exchange-traded funds (“ETFs”), and business development companies (“BDCs”), and will bear its pro rata portion of such expenses. The market prices of ETFs,closed-end funds and BDCs may trade at a premium or discount to their net asset values and may be subject to trading halts by the applicable exchange, which may negatively impact the Portfolio. BDCs in particular may be less liquid and more adversely affected by poor economic or market conditions.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Belden, Inc.		1.6	%
Cable One, Inc.		1.5	%
Home BancShares, Inc.		1.5	%
Strategic Education, Inc.		1.4	%
Littelfuse, Inc.		1.4	%
Triumph Group, Inc.		1.2	%
WSFS Financial Corp.		1.2	%
FTI Consulting, Inc.		1.2	%
Nomad Foods, Ltd.		1.2	%
PNM Resources, Inc.		1.2	%

Small Cap Value Portfolio (unaudited)

Sector Allocation 12/31/19


Sector	% of Net Assets
Financials	28.0	%
Industrials	14.0	%
Real Estate	10.3	%
Consumer Discretionary	9.2	%
Information Technology	8.8	%
Health Care	6.8	%
Energy	6.2	%
Utilities	5.7	%
Materials	4.0	%
Consumer Staples	2.7	%
Communication Services	2.2	%
Short-Term Investments & Other Net Assets	2.1	%

Sector Allocation and Top 10 Holdings are subject to change.

Small Cap Value Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (97.9%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (2.2%)
Cable One, Inc.		6,264		9,324
Rosetta Stone, Inc.*		118,180		2,144
Scholastic Corp.		52,058		2,001

Total				13,469


Consumer Discretionary (9.2%)
Aaron’s, Inc.		116,147		6,633
Cavco Industries, Inc.*		26,870		5,250
Dorman Products, Inc.*		54,030		4,091
Express, Inc.*		252,169		1,228
Garrett Motion, Inc.*		188,239		1,881
LCI Industries		34,626		3,710
Lumber Liquidators Holdings, Inc.*		77,864		761
Marriott Vacations Worldwide Corp.		22,805		2,936
Monro Muffler Brake, Inc.		35,514		2,777
Papa John’s International, Inc.		39,091		2,469
Pool Corp.		33,442		7,102
Red Robin Gourmet Burgers, Inc.*		40,376		1,333
Steven Madden, Ltd.		119,941		5,159
Strategic Education, Inc.		54,307		8,629
Visteon Corp.*		23,038		1,995

Total				55,954


Consumer Staples (2.7%)
Grocery Outlet Holding Corp.*		47,932		1,555
Nomad Foods, Ltd.*		326,655		7,307
Post Holdings, Inc.*		39,703		4,332
The Simply Good Foods Co.*		105,252		3,004

Total				16,198


Energy (6.2%)
Apergy Corp.*		89,237		3,014
Cactus, Inc.		69,274		2,377
Dril-Quip, Inc.*		34,500		1,618
Frank’s International NV*		278,481		1,440
International Seaways, Inc.*		130,743		3,891
Kimbell Royalty Partners LP		112,437		1,911
Kosmos Energy, Ltd.		353,329		2,014
Liberty Oilfield Services, Inc.		275,768		3,067
Magnolia Oil & Gas Corp.*		236,968		2,981
Matador Resources Co.*		173,103		3,111


Common Stocks (97.9%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
NexTier Oilfield Solutions, Inc.*		120,880		810
REX American Resources Corp.*		42,401		3,475
TETRA Technologies, Inc.*		1,100,811		2,158
WPX Energy, Inc.*		391,999		5,386

Total				37,253


Financials (28.0%)
Assured Guaranty, Ltd.		32,608		1,598
Atlantic Capital Bancshares, Inc.*		80,001		1,468
Axis Capital Holdings, Ltd.		23,296		1,385
BankUnited, Inc.		177,952		6,506
BOK Financial Corp.		33,330		2,913
Cannae Holdings, Inc.*		37,286		1,387
Capstead Mortgage Corp.		385,717		3,055
CBOE Holdings, Inc.		5,698		684
CenterState Bank Corp.		153,131		3,825
Columbia Banking System, Inc.		144,208		5,867
Conyers Park II Acquisition Corp.*		77,852		847
CrossFirst Bankshares, Inc.*		125,330		1,807
East West Bancorp, Inc.		64,611		3,147
Employers Holdings, Inc.		57,589		2,404
FB Financial Corp.		93,722		3,710
Glacier Bancorp, Inc.		108,969		5,011
Green Dot Corp. - Class A*		72,180		1,682
HarborOne Bancorp, Inc.		283,835		3,119
Hercules Capital, Inc.		231,015		3,239
Heritage Commerce Corp.		139,413		1,789
Heritage Financial Corp. of Washington		86,873		2,459
Home BancShares, Inc.		456,570		8,976
Hope Bancorp, Inc.		199,960		2,971
Houlihan Lokey, Inc.		87,765		4,289
Howard Bancorp, Inc.*		101,599		1,715
Independent Bank Corp.		15,504		1,291
James River Group Holdings, Ltd.		38,351		1,580
Live Oak Bancshares, Inc.		67,864		1,290
Main Street Capital Corp.		58,488		2,521


Common Stocks (97.9%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Meridian Bancorp, Inc.		185,272		3,722
National Bank Holding Corp. - Class A		132,251		4,658
Origin Bancorp, Inc.		59,242		2,242
Palomar Holdings, Inc.*		21,332		1,077
PCSB Financial Corp.		100,694		2,039
PDL Community Bancorp*		20,581		303
PennyMac Financial Services, Inc.		155,546		5,295
PennyMac Mortgage Investment Trust		99,306		2,214
Pinnacle Financial Partners, Inc.		96,737		6,191
Popular, Inc.		77,917		4,578
Primerica, Inc.		4,100		535
ProAssurance Corp.		85,657		3,096
Prosperity Bancshares, Inc.		63,587		4,571
Radian Group, Inc.		202,117		5,085
Redwood Trust, Inc.		124,687		2,062
Safety Insurance Group, Inc.		25,362		2,347
State Auto Financial Corp.		102,372		3,176
Texas Capital Bancshares, Inc.*		67,162		3,813
TowneBank		195,555		5,440
Virtus Investment Partners, Inc.		23,876		2,906
Webster Financial Corp.		95,992		5,122
Western Alliance Bancorporation		98,226		5,599
Wintrust Financial Corp.		44,769		3,174
WSFS Financial Corp.		170,642		7,507

Total				169,287


Health Care (6.8%)
Atrion Corp.		6,508		4,891
Avanos Medical, Inc.*		101,781		3,430
Cara Therapeutics, Inc.*		48,351		779
Ensign Group, Inc.		64,762		2,938
Envista Holdings Corp.*		92,113		2,730
Mesa Laboratories, Inc.		11,041		2,754
Molina Healthcare, Inc.*		7,776		1,055
Momenta Pharmaceuticals, Inc.*		131,888		2,602
Option Care Health, Inc.*		100,765		376

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

Small Cap Value Portfolio


Common Stocks (97.9%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
The Pennant Group, Inc.*		72,659		2,403
Phreesia, Inc.*		47,391		1,262
Quidel Corp.*		63,520		4,766
Radius Health, Inc.*		34,863		703
Select Medical Holdings Corp.*		226,003		5,275
Ultragenyx Pharmaceutical, Inc.*		13,719		586
West Pharmaceutical Services, Inc.		22,385		3,365
Xencor, Inc.*		34,698		1,193

Total				41,108


Industrials (14.0%)
Aegion Corp.*		233,168		5,216
Beacon Roofing Supply, Inc.*		93,599		2,993
Blue Bird Corp.*		91,250		2,092
Brady Corp. - Class A		51,632		2,957
The Brink’s Co.		23,637		2,143
CIRCOR International, Inc.*		92,902		4,296
Clarivate Analytics PLC*		129,753		2,180
Cubic Corp.		74,266		4,721
ESCO Technologies, Inc.		58,218		5,385
FTI Consulting, Inc.*		66,586		7,368
Helios Technologies, Inc.		74,847		3,460
Huron Consulting Group, Inc.*		30,519		2,097
Kirby Corp.*		24,534		2,197
Landstar System, Inc.		43,587		4,963
McGrath RentCorp		56,343		4,313
MSA Safety, Inc.		23,577		2,979
Parsons Corp.*		51,761		2,137
RBC Bearings, Inc.*		15,412		2,440
SPX Corp.*		29,904		1,522
Stericycle, Inc.*		58,207		3,714
Thermon Group Holdings, Inc.*		82,580		2,213
Triumph Group, Inc.		297,548		7,519
Universal Forest Products, Inc.		111,361		5,312
Universal Logistics Holdings, Inc.		35,762		678

Total				84,895


Information Technology (8.8%)
Belden, Inc.		172,896		9,509
Cabot Microelectronics Corp.		29,042		4,191
Ceridian HCM Holding, Inc.*		82,626		5,609
Conduent, Inc.*		168,075		1,042
Entegris, Inc.		63,752		3,193
GTT Communications, Inc.*		103,721		1,177


Common Stocks (97.9%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
Harmonic, Inc.*		687,887		5,366
i3 Verticals, Inc.*		88,029		2,487
Knowles Corp.*		240,031		5,077
Littelfuse, Inc.		43,895		8,397
MaxLinear, Inc. - Class A*		127,282		2,701
Onto Innovation, Inc.*		45,707		1,670
Semtech Corp.*		22,500		1,190
Zendesk, Inc.*		23,634		1,811

Total				53,420


Materials (4.0%)
American Vanguard Corp.		97,227		1,893
Carpenter Technology Corp.		85,975		4,280
Clearwater Paper Corp.*		95,443		2,039
Constellium Se*		249,827		3,348
Minerals Technologies, Inc.		54,917		3,165
Myers Industries, Inc.		165,026		2,752
Quaker Chemical Corp.		19,462		3,202
Reliance Steel & Aluminum Co.		27,459		3,288

Total				23,967


Real Estate (10.3%)
Acadia Realty Trust		83,777		2,172
American Campus Communities, Inc.		62,503		2,940
Cedar Realty Trust, Inc.		917,169		2,706
Douglas Emmett, Inc.		56,696		2,489
EastGroup Properties, Inc.		38,214		5,070
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		133,439		4,294
Healthcare Realty Trust, Inc.		152,855		5,101
JBG SMITH Properties		122,515		4,887
Kilroy Realty Corp.		36,412		3,055
Potlatch Corp.		112,338		4,861
PS Business Parks, Inc.		28,660		4,725
Saul Centers, Inc.		62,117		3,279
The St. Joe Co.*		200,967		3,985
Sunstone Hotel Investors, Inc.		338,246		4,708
Terreno Realty Corp.		125,404		6,789
Washington Real Estate Investment Trust		55,345		1,615

Total				62,676


Utilities (5.7%)
California Water Service Group		56,107		2,893
Chesapeake Utilities Corp.		73,780		7,070
MGE Energy, Inc.		34,319		2,705


Common Stocks (97.9%)	Shares/ Par⁺		Value $ (000’s)
Common Stocks (97.9%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
ONE Gas, Inc.		76,139		7,124
PNM Resources, Inc.		143,920		7,298
Portland General Electric Co.		51,032		2,847
RGC Resources, Inc.		29,756		851
Southwest Gas Holdings, Inc.		53,134		4,037

Total				34,825


Total Common Stocks
(Cost: $432,807)				593,052


Short-Term Investments (1.8%)

Money Market Funds (1.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		10,804,164		10,804

Total				10,804


Total Short-Term Investments
(Cost: $10,804)				10,804


Total Investments (99.7%)
(Cost: $443,611)^@				603,856


Other Assets, Less
Liabilities (0.3%)				1,678

Net Assets (100.0%)				605,534

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

Small Cap Value Portfolio

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $445,438 and the net unrealized appreciation of investments based on that cost was $158,419 which is comprised of $178,481 aggregate gross unrealized appreciation and $20,062 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	593,052	$	-	$	-
Short-Term Investments		10,804		-		-
Total Assets:	$	603,856	$	-	$	-

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

International Growth Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest in securities of issuers from countries outside the	$816 million
	U.S. that have above average growth potential.

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 assub-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

Favorable policy developments, including continued monetary easing by the U.S. Federal Reserve and ade-escalation of the trade conflict between the U.S. and China, provided fuel to power global stock markets to a strong finish in 2019. Overall, the global economic cycle could still be characterized as a mature expansion with hints of improvement in some areas, including nascent signs of stability in global trade, manufacturing and industrial activity, which had previously been declining.

PORTFOLIO RESULTS

The Portfolio returned 34.80% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the MSCI EAFE^® Growth Index (the “Index”), returned 28.43%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the InternationalLarge-Cap Growth Funds peer group was 26.60%.

From a geographic standpoint, results were broadly positive, with positioning in the U.S. and Europe driving outperformance for the reporting period.Out-of-benchmark exposure in Canada was the only slight detractor.

On a sector basis, security selection and a substantial overweight position in the Information Technology sector contributed the most to the Portfolio’s relative returns. Stock selection and an underweight allocation to the Consumer Staples sector combined to produce the second largest contributor to returns. Stock selection in the Materials, Financials, Communication Services and Health Care sectors also benefited results.

Among Information Technology stocks, the Portfolio’s substantial overweight exposure in Netherlands-based semiconductor equipment company ASML Holding positioned it as the biggest contributor to returns. The company’s next- generation lithography technology continued to be a crucial component for leading-edge chip design, especially at Taiwan Semiconductor Manufacturing, another leading driver of the Portfolio’s relative gains during the reporting period.

A sizeable position in MasterCard was the second-largest contributor to relative returns. The other half of the duopoly in global payment processing, Visa, was also among the Portfolio’s top ten contributors.

In Financials, a position in market index and data provider MSCI and bond rating agency Moody’s helped the Portfolio. MSCI continued to benefit from investor migration to index funds and environmental, social and governance strategies that made use of the company’s well-respected framework. Moody’s benefited from strong debt issuance volumes in the U.S. and Europe.

On the negative side, stock selection in the Consumer Discretionary, Energy and Industrials sectors detracted from the Portfolio’s gains. An underweight position in luxury goods company LVMH Moet Hennessy Louis Vuitton (“LVMH”) was the largest detractor. The Portfolio added the LVMH position midyear, missing some of its rally. A modest overweight position in Austria-based industrial conglomerate Andritz was the Portfolio’s second largest detractor. Andritz was hurt by weakness in global automobile demand and competition from Chinese manufacturers. The weakness in auto demand also weighed on Japan-based component supplier Denso, a modestout-of-benchmark position and the third-largest detractor from relative performance during the period.

International Growth Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

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

Over the past couple of years, we have become more pessimistic about Consumer Staples companies, as the rise ofe-commerce has diminished the value of their distribution networks, allowing upstart online brands to challenge the pricing power and brand supremacy of many benchmark constituents.

We remain optimistic about the long-term attractiveness of online payment technology, leading-edge lithography equipment and blood plasma technologies.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
International Growth Portfolio		34.80	%		8.10	%		7.25	%
MSCI EAFE^® Growth Index (Gross)		28.43	%		8.13	%		7.34	%
MSCI^® All Country World(ex-US) Growth Index (Gross)		27.85	%		7.69	%		6.61	%
Lipper^® Variable Insurance Products (VIP) International Large Cap Growth Funds		26.60	%		6.73	%		6.06	%

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.

The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region.The Portfolio’s performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.

International Growth Portfolio (unaudited)

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Nestle SA	5.6	%
ASML Holding NV	4.3	%
Roche Holding AG	3.7	%
SAP SE	3.7	%
AIA Group, Ltd.	3.2	%
Keyence Corp.	3.2	%
CSL, Ltd.	2.8	%
Mastercard, Inc. - Class A	2.8	%
Visa, Inc. - Class A	2.7	%
Linde PLC	2.4	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Information Technology		23.9	%
Industrials		21.6	%
Financials		16.6	%
Health Care		9.8	%
Consumer Discretionary		8.8	%
Materials		7.4	%
Consumer Staples		7.4	%
Communication Services		2.8	%
Real Estate		0.9	%
Short-Term Investments & Other Net Assets		0.5	%
Energy		0.3	%

Sector Allocation and Top 10 Holdings are subject to change.

International Growth Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (99.5%)	Country	Shares/ Par⁺		Value $ (000’s)

Communication Services (2.8%)
Adevinta ASA - Class B*	Norway		338,015		4,005
Alphabet, Inc. - Class A*	United States		4,600		6,161
Rightmove PLC	United Kingdom		516,300		4,333
Safaricom, Ltd.	Kenya		12,819,000		3,997
Schibsted ASA - Class B	Norway		144,799		4,155

Total					22,651


Consumer Discretionary (8.8%)
Alibaba Group Holding, Ltd.*	Cayman Islands		38,000		1,010
Alibaba Group Holding, Ltd., ADR*	Cayman Islands		59,179		12,552
Autoliv, Inc.	United States		66,100		5,580
Informa PLC	United Kingdom		382,298		4,340
InterContinental Hotels Group PLC, ADR	United Kingdom		194,984		13,390
LVMH Moet Hennessy Louis Vuitton SE	France		40,200		18,677
Naspers, Ltd. - Class N	South Africa		28,000		4,580
Prosus NV*	Netherlands		44,800		3,343
USS Co., Ltd.	Japan		439,600		8,301

Total					71,773


Consumer Staples (7.4%)
Alimentation Couche-Tard, Inc. - Class B	Canada		137,000		4,348
BGF Retail Co., Ltd.	South Korea		15,924		2,325
Clicks Group, Ltd.	South Africa		347,852		6,372
Nestle SA	Switzerland		420,569		45,563
PriceSmart, Inc.	United States		26,200		1,861

Total					60,469


Energy (0.3%)
Pason Systems, Inc.	Canada		100,700		1,017
PrairieSky Royalty, Ltd.	Canada		102,400		1,201

Total					2,218


Financials (16.6%)
AIA Group, Ltd.	Hong Kong		2,482,688		26,062
B3 SA - Brasil, Bolsa, Balcao	Brazil		456,500		4,878
Berkshire Hathaway, Inc. - Class B*	United States		38,900		8,811
Deutsche Borse Aktiengesellschaft	Germany		56,000		8,807
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		301,500		9,789
Housing Development Finance Corp., Ltd.	India		332,663		11,246
KBC Group NV	Belgium		52,132		3,921
London Stock Exchange Group PLC	United Kingdom		70,300		7,217
Marsh & McLennan Cos., Inc.	United States		111,723		12,447
Moody’s Corp.	United States		44,700		10,612
MSCI, Inc.	United States		42,400		10,947
Prudential PLC	United Kingdom		562,263		10,792


Common Stocks (99.5%)	Country	Shares/ Par⁺		Value $ (000’s)

Financials continued
S&P Global, Inc.	United States		37,900		10,349

Total					135,878


Health Care (9.8%)
CSL, Ltd.	Australia		119,195		23,066
Hoya Corp.	Japan		152,500		14,561
ResMed, Inc.	United States		76,800		11,901
Roche Holding AG	Switzerland		93,352		30,270

Total					79,798


Industrials (21.6%)
Assa Abloy AB - Class B	Sweden		780,300		18,234
Atlas Copco AB - Class A	Sweden		334,200		13,322
Auckland International Airport, Ltd.	New Zealand		734,155		4,324
BAE Systems PLC	United Kingdom		411,300		3,077
Canadian National Railway Co.	Canada		32,900		2,976
Canadian Pacific Railway, Ltd.	Canada		21,800		5,557
East Japan Railway Co.	Japan		66,100		5,966
Edenred	France		155,700		8,051
Elis SA	France		96,094		1,994
Epiroc AB	Sweden		500,900		6,122
Experian PLC	Jersey		345,700		11,686
Fagerhult AB	Sweden		74,589		474
FANUC Corp.	Japan		48,700		8,994
Interpump Group SpA	Italy		145,400		4,606
Legrand SA	France		95,700		7,798
Loomis AB - Class B	Sweden		58,000		2,403
MISUMI Group, Inc.	Japan		416,300		10,295
MTU Aero Engines AG	Germany		36,300		10,366
Nabtesco Corp.	Japan		120,600		3,559
OSG Corp.	Japan		184,700		3,517
Prosegur Cia de Seguridad SA	Spain		710,600		2,933
Recruit Holdings Co., Ltd.	Japan		242,600		9,129
Safran SA	France		90,500		13,973
Schindler Holding AG	Switzerland		40,693		10,354
Schindler Holding AG - Registered Shares	Switzerland		6,085		1,491
SHO-BOND Holdings Co., Ltd.	Japan		130,800		5,418

Total					176,619


Information Technology (23.9%)
Amadeus IT Group SA	Spain		217,000		17,720
ASML Holding NV	Netherlands		118,800		35,140
Azbil Corp.	Japan		204,600		5,759
Black Knight, Inc.*	United States		105,600		6,809
Keyence Corp.	Japan		73,200		25,909
Lam Research Corp.	United States		22,100		6,462
Mastercard, Inc. - Class A	United States		75,900		22,663
PayPal Holdings, Inc.*	United States		34,200		3,700
SAP SE	Germany		224,419		30,245
Spectris PLC	United Kingdom		145,900		5,616

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

International Growth Portfolio


Common Stocks (99.5%)	Country	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		1,206,000		13,317
Visa, Inc. - Class A	United States		115,125		21,632

Total					194,972


Materials (7.4%)
CRH PLC, ADR	Ireland		345,700		13,942
Elementis PLC	United Kingdom		425,625		1,009
Franco-Nevada Corp.	Canada		39,600		4,089
Linde PLC	Ireland		89,355		19,182
Martin Marietta Materials, Inc.	United States		31,100		8,697
The Sherwin-Williams Co.	United States		21,400		12,487
Tikkurila Oyj	Finland		86,400		1,390

Total					60,796


Common Stocks (99.5%)	Country	Shares/ Par⁺		Value $ (000’s)

Real Estate (0.9%)
Vonovia SE	Germany		132,600		7,139

Total					7,139


Total Common Stocks
(Cost: $584,879)					812,313


Short-Term Investments (0.4%)

Money Market Funds (0.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#	United States		2,963,618		2,964


Total					2,964


Total Short-Term Investments
(Cost: $2,964)					2,964


Total Investments (99.9%)
(Cost: $587,843)^@					815,277

Other Assets, Less
Liabilities (0.1%)					836

Net Assets (100.0%)					816,113


Investments Percentage by Country is based on Net Assets:
United States			20.1%
Japan			12.4%
Switzerland			10.8%
Germany			7.0%
France			6.1%
United Kingdom			6.1%
Other			37.4%
Total			99.9%

Over the Counter Derivatives

Forward Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Brown Brothers Harriman & Co	JPY	27,485	253	1/20	$	2	$	-	$	2

						$	2	$	-	$	2


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

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $588,891 and the net unrealized appreciation of investments based on that cost was $226,387 which is comprised of $237,248 aggregate gross unrealized appreciation and $10,861 aggregate gross unrealized depreciation.

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

International Growth Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	14,491	$	8,160	$	-
Consumer Discretionary		63,472		8,301		-
Consumer Staples		12,581		47,888		-
Financials		122,193		13,685		-
Health Care		34,967		44,831		-
Industrials		62,369		114,250		-
Information Technology		133,059		61,913		-
Materials		40,224		20,572		-
All Others		2,218		7,139		-
Short-Term Investments		2,964		-		-
Other Financial Instruments^
Forward Currency Contracts		-		2		-
Total Assets:	$	488,538	$	326,741	$	-

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

Research International Core Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Capital appreciation.	Invest primarily in foreign equity securities, including emerging markets.	$785 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 assub-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. The Portfolio also may invest in companies of any size.

MARKET OVERVIEW

Fading fears of a near-term global recession, the announcement of a partial trade deal between the U.S. and China, and improved transparency related to Brexit lifted markets late in the reporting period. Changes in market sentiment surrounding these events led to intermittent volatility throughout the year. The global economy slowed, led by weakness in China and Europe, although deceleration diminished late in the period amid signs of stabilization in the manufacturing sector.

Deteriorating global growth and declining inflationary pressures prompted the U.S. Federal Reserve (the “Fed”) to adopt a more dovish posture beginning in early 2019. The Fed enacted its first interest rate cut in over a decade at the end of July followed by additional cuts in September and October, leading to a sharp decline in long-term interest rates in the second half of the year. As a result, portions of the U.S. Treasury yield curve (a graphical representation of bond yields at different maturities) inverted. Amid improving risk sentiment in the fourth quarter of 2019 and indications of a bottoming of growth and potential upturn in activity, the Fed indicated in October that further rate cuts were unlikely barring a worsening economic outlook.

Global central banks also became more dovish. The European Central Bank (“ECB”) unveiled a package of easing measures, including further cuts to the overnight rates, pushing them more deeply negative. The ECB also restarted its bond-buying program and increased the term of inexpensive loans to banks from two years to three. Several other central banks, including India’s and Australia’s, similarly cut rates several times in recent months. China, which cut interest rates only marginally, has been more cautious in increasing liquidity as it continues to deleverage its economy.

PORTFOLIO RESULTS

The Portfolio returned 28.25% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the MSCI^® All Country World(ex-U.S.) Index (the “Index”), returned 22.13%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2019 of the InternationalMulti-Cap Core Funds peer group was 20.89%.

Stock selection in the Materials sector contributed to relative performance. The Portfolio’s position innon-benchmark German industrial gas supplier Linde as well as its overweight positions in Australian mining operator Rio Tinto and Swiss specialty chemical company Sika aided relative returns.

Security selection and, to a lesser extent, an underweight position in both the Financials and Communication Services sectors, also benefited relative returns. Within the Financials sector, holding shares of the Canadian financial markets clearing and data services firm TMX Group and risk management and human capital consulting services provider Aon, neither of which is in the benchmark, lifted relative performance. Although stock selection and an underweight position in the Communication Services sector aided relative results, no individual stocks in this sector were among the Portfolio’s top relative contributors.

There were no notable sectors that detracted from relative returns during the reporting period. However, individual stocks that weakened relative returns included overweight positions in Japanese parcel delivery services company Yamato, the

Research International Core Portfolio (unaudited)

Irish financial services provider AIB Group, Japanese financial firm AEON Financial Service Company, Japanese automotive lighting systems manufacturer Koito Manufacturing, electricity provider CLP from Hong Kong and Swiss investment management and banking firm UBS. Not holding shares of the Chinese online and mobile commerce company Alibaba Group and Dutch lithography systems manufacturer ASML, and holding shares of the United Kingdom’snon-benchmark insurance company Hiscox, also dampened relative results.

The Portfolio’s currency exposure, resulting primarily from differences between the Portfolio’s and the Index’s exposures to securities denominated in foreign currencies, detracted from relative performance. The Portfolio’s investment team’s decisions are driven by its assessment of the fundamentals of each opportunity, which frequently produces a different currency exposure than that of the Index.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of MFS^®, the Portfolio’ssub-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 emphasizesbottom-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

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Research International Core Portfolio		28.25	%		6.78	%		5.98	%
MSCI^® All Country World(ex-US) Index (Gross)		22.13	%		6.01	%		5.45	%
MSCI EAFE^® Index (Gross)		22.66	%		6.18	%		6.00	%
Lipper^® Variable Insurance Products (VIP) InternationalMulti-Cap Core Funds Average		20.89	%		5.05	%		4.95	%

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 theiroriginal cost. Current performance may be lower orhigher than the

performance data quoted. For themost recentmonth-end performance information visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.

The Portfolio may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region. The Portfolio’s performance may be more volatile than that of a more geographically diversified fund, and may be tied more closely to the performance of a single country or region.

Research International Core Portfolio (unaudited)

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Nestle SA		3.2	%
Roche Holding AG		2.9	%
Linde PLC		2.4	%
Schneider Electric SE		2.3	%
Novo Nordisk AS - Class B		1.9	%
AIA Group, Ltd.		1.9	%
LVMH Moet Hennessy Louis Vuitton SE		1.8	%
BNP Paribas SA		1.6	%
Santen Pharmaceutical Co., Ltd.		1.5	%
Daikin Industries, Ltd.		1.5	%

Sector Allocation 12/31/19


Sector		% of Net Assets
Financials			18.4	%
Industrials			15.7	%
Health Care	��		11.4	%
Consumer Staples			10.4	%
Information Technology			10.3	%
Materials			8.6	%
Consumer Discretionary			7.9	%
Energy			5.3	%
Communication Services			4.6	%
Utilities			3.3	%
Real Estate			2.3	%
Short-Term Investments & Other Net Assets			1.8	%

Sector Allocation and Top 10 Holdings are subject to change.

Research International Core Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (98.2%)	Country	Shares/ Par⁺		Value $ (000’s)

Communication Services (4.6%)
Advanced Info Service PCL	Thailand		598,700		4,257
carsales.com, Ltd.	Australia		99,474		1,160
Hellenic Telecommunications Organization SA	Greece		285,455		4,566
KDDI Corp.	Japan		295,600		8,794
NAVER Corp.*	South Korea		30,945		4,985
SoftBank Group Corp.	Japan		183,600		7,993
Tele2 AB	Sweden		294,157		4,267

Total					36,022


Consumer Discretionary (7.9%)
adidas AG	Germany		28,439		9,243
Cie Financiere Richemont SA	Switzerland		79,473		6,238
Dufry AG*	Switzerland		17,466		1,731
Koito Manufacturing Co., Ltd.	Japan		124,500		5,762
LVMH Moet Hennessy Louis Vuitton SE	France		30,401		14,125
Paddy Power Betfair PLC	Ireland		27,586		3,371
Techtronic Industries Co., Ltd.	Hong Kong		1,042,500		8,502
USS Co., Ltd.	Japan		394,900		7,457
Yum China Holdings, Inc.	United States		112,706		5,411

Total					61,840


Consumer Staples (10.4%)
Ambev SA, ADR	Brazil		613,985		2,861
British American Tobacco PLC	United Kingdom		259,492		11,108
Danone SA	France		99,579		8,255
Japan Tobacco, Inc.	Japan		232,400		5,181
Kao Corp.	Japan		92,800		7,654
L’Oreal SA	France		30,562		9,050
Nestle SA	Switzerland		230,109		24,929
Reckitt Benckiser Group PLC	United Kingdom		107,396		8,719
Sundrug Co., Ltd.	Japan		100,700		3,639

Total					81,396


Energy (5.3%)
BP PLC	United Kingdom		1,705,748		10,656
Cairn Energy PLC*	United Kingdom		1,594,149		4,329
Caltex Australia, Ltd.	Australia		254,242		6,057
Enbridge, Inc.	Canada		80,755		3,211
Eni SpA	Italy		429,471		6,673
Galp Energia SGPS SA	Portugal Papua New		433,445		7,244
Oil Search, Ltd.	Guinea		664,287		3,380

Total					41,550


Financials (18.4%)
AEON Financial Service Co., Ltd.	Japan		396,200		6,232
AIA Group, Ltd.	Hong Kong		1,402,200		14,720
AIB Group PLC	Ireland		1,902,276		6,628


Common Stocks (98.2%)	Country	Shares/ Par⁺		Value $ (000’s)

Financials continued
Aon PLC	United Kingdom		54,759		11,406
BNP Paribas SA	France		213,650		12,661
Euronext NV	Netherlands		100,672		8,204
HDFC Bank, Ltd.	India		377,988		6,754
Hiscox, Ltd.	Bermuda		365,281		6,890
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		176,700		5,737
Intesa Sanpaolo SpA	Italy		3,762,092		9,917
Julius Baer Group, Ltd.*	Switzerland		166,399		8,594
KBC Group NV	Belgium		109,812		8,260
Mitsubishi UFJ Financial Group, Inc.	Japan		1,668,400		9,017
PT Bank Rakyat Indonesia Persero Tbk	Indonesia		3,410,700		1,076
Swiss Re AG	Switzerland		46,892		5,270
TMX Group, Ltd.	Canada		38,189		3,307
UBS Group AG*	Switzerland		833,956		10,525
Zurich Insurance Group AG	Switzerland		22,263		9,131

Total					144,329


Health Care (11.4%)
Bayer AG	Germany		139,300		11,386
Essilor International SA	France		71,789		10,935
Kyowa Hakko Kirin Co., Ltd.	Japan		175,800		4,131
Novo Nordisk AS - Class B	Denmark		256,781		14,893
Roche Holding AG	Switzerland		71,184		23,082
Santen Pharmaceutical Co. Ltd.	Japan		631,700		12,045
Sonic Healthcare, Ltd.	Australia		223,949		4,518
Terumo Corp.	Japan		230,900		8,158

Total					89,148


Industrials (15.7%)
51job, Inc.*	Cayman Islands		43,004		3,651
Aena SA	Spain		19,992		3,823
Brambles, Ltd.	Australia		844,499		6,946
Daikin Industries, Ltd.	Japan		85,400		12,010
GEA Group AG	Germany		194,208		6,421
Hitachi, Ltd.	Japan		211,000		8,888
Kubota Corp.	Japan		540,100		8,461
Legrand SA	France		108,907		8,874
Malaysia Airports Holdings Bhd	Malaysia		687,200		1,277
Melrose Industries PLC	United Kingdom		1,388,753		4,417
RELX PLC	United Kingdom		182,210		4,590
Ritchie Bros Auctioneers, Inc.	Canada		108,556		4,658
Ryanair Holdings PLC*	Ireland		35,833		3,139
Schindler Holding AG	Switzerland		31,302		7,964
Schneider Electric SE	France		175,308		17,993
SEEK, Ltd.	Australia		122,733		1,942
TOTO, Ltd.	Japan		177,500		7,480
Wolters Kluwer NV	Netherlands		113,920		8,309
Yamato Holdings Co., Ltd.	Japan		152,900		2,615

Total					123,458

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

Research International Core Portfolio


Common Stocks (98.2%)	Country	Shares/ Par⁺		Value $ (000’s)

Information Technology (10.3%)
Amadeus IT Group SA	Spain		99,706		8,142
Cadence Design Systems, Inc.*	United States		41,314		2,866
Check Point Software Technologies, Ltd.*	Israel		54,246		6,019
Constellation Software, Inc.	Canada		4,114		3,996
EPAM Systems, Inc.*	United States		16,296		3,457
Fujitsu, Ltd.	Japan		57,000		5,379
Kyocera Corp.	Japan		73,700		5,022
Mastercard, Inc. - Class A	United States		17,923		5,352
Mellanox Technologies, Ltd.*	Israel		37,723		4,420
Nomura Research Institute, Ltd.	Japan		217,200		4,673
NXP Semiconductors NV	Netherlands		32,768		4,170
Samsung Electronics Co., Ltd.	South Korea		120,806		5,821
Scout24 AG	Germany		60,039		3,972
Silicon Motion Technology Corp., ADR	Cayman Islands		77,876		3,949
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		932,189		10,293
Telefonaktiebolaget LM Ericsson - Class B	Sweden		380,764		3,336

Total					80,867

Materials (8.6%)
Akzo Nobel NV	Netherlands		112,498		11,438
Croda International PLC	United Kingdom		137,242		9,308
Kansai Paint Co., Ltd.	Japan		170,400		4,164
Linde PLC	Ireland		88,708		19,043
Nitto Denko Corp.	Japan		99,700		5,594

Common Stocks (98.2%)

Country

Shares/
Par⁺

Value
$ (000’s)

Materials continued

Sika AG

Switzerland

48,902

9,209

Symrise AG

Germany

85,520

8,997

Total

67,753

Real Estate (2.3%)

Grand City Properties SA

Luxembourg

377,604

9,056

LEG Immobilien AG

Germany

78,053

9,245

Total

18,301

Utilities (3.3%)

APA Group

Australia

567,167

4,418

China Resources Gas Group, Ltd.

Bermuda

584,000

3,208

CLP Holdings, Ltd.

Hong Kong

537,500

5,649

Iberdrola, SA

Spain

891,046

9,175

Orsted A/S

Denmark

35,329

3,660

Total

26,110

Total Common Stocks

(Cost: $641,827)

770,774

Short-Term Investments (1.6%)

Money Market Funds (1.6%)

State Street Institutional U.S. Government Money Market
Fund - Premier Class 1.540%^#

United
States

12,713,601

12,714

Total

12,714

Total Short-Term Investments

(Cost: $12,714)

12,714

Total Investments (99.8%)

(Cost: $654,541)^@

783,488

Other Assets, Less

Liabilities (0.2%)

1,397

Net Assets (100.0%)

784,885


Investments Percentage by Country is based on Net Assets:
Japan	18.9	%
Switzerland	13.7	%
France	10.3	%
United Kingdom	8.4	%
Germany	6.3	%
Other	42.2	%
Total	99.8	%

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $658,240 and the net unrealized appreciation of investments based on that cost was $125,249 which is comprised of $153,449 aggregate gross unrealized appreciation and $28,200 aggregate gross unrealized depreciation.

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

Research International Core Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	5,726	$	30,296	$	-
Consumer Discretionary		31,409		30,431		-
Consumer Staples		39,993		41,403		-
Energy		34,877		6,673		-
Financials		84,567		59,762		-
Health Care		15,453		73,695		-
Industrials		69,619		53,839		-
Information Technology		52,664		28,203		-
Materials		20,746		47,007		-
Utilities		22,450		3,660		-
All Others		-		18,301		-
Short-Term Investments		12,714		-		-
Total Assets:	$	390,218	$	393,270	$	-

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

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.	$1.8 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the International Equity Portfolio (“the Portfolio”), has engaged Templeton Investment Counsel, LLC (“Templeton”) to act assub-adviser for the Portfolio. The Portfolio may purchase securities in any foreign country, including those with developed markets and emerging markets. The Portfolio’s investments in equity securities may include small, medium and large capitalization issues that are believed to be undervalued. The Portfolio’s strategy reflects a “bottom up”, value oriented and long-term investment philosophy. In choosing equity investments, the Portfolio will focus on the market price of a company’s securities in relation to the company’s long-term earnings (typically 5 years), asset value and cash flow potential. A company’s historical value measures, including price/earnings ratio, profit margins and liquidation value, will also be considered.

MARKET OVERVIEW

Global developed and emerging market stocks, as measured by the MSCI^® All Country World Index, posted strong returns during the reporting period. Although the rate of global economic growth in 2019 slowed from 2018 levels, interest rate cuts from many central banks and the easing of trade tensions near the end of the reporting period contributed to the generally positive environment for equities worldwide. Global stocks advanced in every major region, reflecting investor optimism and slowing but resilient economic growth.

PORTFOLIO RESULTS

The Portfolio returned 12.60% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the MSCI^® All Country World(ex-US) Index (the “Index”), returned 22.13%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund rating agency, the average return in 2019 of the InternationalMulti-Cap Value Funds peer group was 16.98%.

In 2019, value stocks posted their worst annual performance relative to growth since the peak of the technology, media and telecommunications bubble two decades ago. Value’s underperformance pressured the Portfolio’s results, and despite double-digit absolute gains, the Portfolio underperformed its benchmark for the reporting period.

The Communication Services sector was the leading detractor from relative performance, driven by both stock selection and overweight positioning. Key detraction stemmed from Chinese telecommunication holdings China Telecom Corp. Ltd. and China Mobile Limited. The stock prices of both companies suffered amid concerns about elevated 5G capital expenditures. Nevertheless, the portfolio manager maintained confidence in these stocks based on their reasonable valuations, attractive dividend yields and solid competitive positions.

Security selection in the Health Care sector and stock selection and an overweight position in the Energy sector also hindered relative results. In Health Care, Israeli generic drugmaker Teva Pharmaceutical Industries declined amid legal and regulatory setbacks that impaired the balance of risks, leading the portfolio manager to exit the stock prior to the end of the reporting period. In the Energy sector, Canadian exploration and production firm Husky Energy Inc. declined on volatile oil prices. The portfolio manager believed Husky Energy offered compelling value with a solid balance sheet, a healthy dividend yield and the ability to generate strong free cash flow over the next five years, despite relatively low oil prices.

Turning to contributors, stock selection in the Materials sector boosted relative results. Shares of Canadian miner Wheaton Precious Metals Corp. rallied as the price of gold broke out of asix-year trading range. The portfolio manager maintained a modest precious metals allocation as a portfolio hedge and diversifier based on the outlook that gold prices are likely to move higher given record-high debt levels, historically low interest rates, escalating geopolitical turmoil and renewed central bank buying. Stock selection in the Financials sector, notably in banks, also buoyed relative returns. French lender BNP Paribas benefited from solid results at its fixed income unit and from more benign European economic conditions.

From a regional standpoint, stock selection in Asia weighed on returns, driven by underperformance in China and Japan despite relative strength in South Korea. Stock selection in Europe also hindered results, as relative weakness in Germany and the U.K. more than offset outperformance in France and the Netherlands.

International Equity Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Templeton, the Portfolio’ssub-adviser.

Despite the early and extreme headwinds faced by value stocks, we were encouraged as extended positioning reversed toward the end of 2019. A historic value rally in September led to a more nuanced fourth quarter characterized by the erosion of prevailing factor trends, and the Portfolio began to outperform the Index during the final third of the reporting period. The decisive contribution of stock selection during the latter part of the year helped affirm our conviction that any breakdown in established market leadership could create alpha opportunities for fundamental stockpickers. In our view, where we are going will be different from where we have been. Falling interest rates and abundant liquidity have bid up bond proxies and growth stocks for much of the past decade, which seems unsustainable in the long run. We believe markets are grappling with many divergent themes, which could create opportunities for active stock selection and portfolio management.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
International Equity Portfolio		12.60	%		3.23	%		4.32	%
MSCI^® All Country World(ex-US) Index (Gross)		22.13	%		6.01	%		5.45	%
MSCI EAFE^® Index (Gross)		22.66	%		6.18	%		6.00	%
Lipper^® Variable Insurance Products (VIP) InternationalMulti-Cap Value Funds Average		16.98	%		3.89	%		4.41	%

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.

Investments in the securities of companies in developing nations impose risks different from, and greater than, risks of investing in developed countries.

International Equity Portfolio (unaudited)

Top 10 Equity Holdings 12/31/19


Security Description			% of Net Assets
Deutsche Telekom AG			3.3%
Samsung Electronics Co., Ltd.			3.2%
Standard Chartered PLC			3.0%
Vodafone Group PLC			2.9%
BNP Paribas SA			2.9%
E.ON SE			2.7%
Takeda Pharmaceutical Co., Ltd.			2.7%
Mitsui Fudosan Co., Ltd.			2.6%
Wheaton Precious Metals Corp.			2.6%
BP PLC			2.6%

Sector Allocation 12/31/19


Sector	% of Net Assets
Financials	14.5	%
Health Care	13.6	%
Communication Services	11.6	%
Energy	11.4	%
Materials	9.5	%
Industrials	8.0	%
Information Technology	7.6	%
Consumer Staples	5.8	%
Utilities	5.2	%
Real Estate	5.1	%
Consumer Discretionary	3.9	%
Short-Term Investments & Other Net Assets	3.8	%

Sector Allocation and Top 10 Holdings are subject to change.

International Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (96.2%)	Country		Shares/ Par⁺		Value $ (000’s)

Communication Services (11.6%)
Baidu, Inc., ADR*		Cayman Islands		136,970		17,313
China Mobile, Ltd.		China		3,204,760		26,939
China Telecom Corp., Ltd. - Class H		China		58,018,160		23,900
Deutsche Telekom AG		Germany		3,642,070		59,517
Singapore Telecommunications, Ltd.		Singapore		11,610,330		28,660
Vodafone Group PLC		United Kingdom		26,565,144		51,642

Total						207,971


Consumer Discretionary (3.9%)
Cie Generale des Etablissements Michelin		France		194,758		23,834
Isuzu Motors, Ltd.*		Japan		1,834,700		21,614
SES SA		Luxembourg		1,716,810		24,072

Total						69,520


Consumer Staples (5.8%)
Kirin Holdings Co., Ltd.		Japan		1,532,400		33,423
Matsumotokiyoshi Holdings Co., Ltd.		Japan		525,400		20,476
Seven & i Holdings Co., Ltd.		Japan		892,400		32,652
Suntory Beverage & Food, Ltd.		Japan		401,300		16,782

Total						103,333


Energy (11.4%)
BP PLC		United Kingdom		7,381,530		46,111
Eni SpA		Italy		2,611,625		40,582
Equinor ASA		Norway		914,540		18,290
Husky Energy, Inc.		Canada		1,528,240		12,263
Royal Dutch Shell PLC - Class B		United Kingdom		1,314,075		38,981
Tenaris SA		Luxembourg		679,125		7,680
TOTAL SA		France		744,720		41,099

Total						205,006


Financials (14.5%)
Bank of Ireland Group PLC		Ireland		3,510,100		19,222
BNP Paribas SA		France		862,820		51,130
Credit Agricole SA		France		1,432,720		20,771
Hana Financial Group, Inc.		South Korea		573,270		18,197
ING Groep NV		Netherlands		2,993,862		35,893
KB Financial Group, Inc., ADR		South Korea		602,490		24,925
Standard Chartered PLC		United Kingdom		5,676,502		53,566
Sumitomo Mitsui Financial Group, Inc.		Japan		987,770		36,362

Total						260,066


Health Care (13.6%)
Astellas Pharma, Inc.		Japan		621,040		10,609
Bayer AG		Germany		368,368		30,110
Fresenius Medical Care AG & Co.		Germany		418,660		31,051
Merck KGaA		Germany		116,680		13,808
Novartis AG		Switzerland		179,190		16,977


Common Stocks (96.2%)	Country		Shares/ Par⁺		Value $ (000’s)

Health Care continued
Roche Holding AG		Switzerland		97,550		31,631
Sanofi		France		416,285		41,848
Shanghai Pharmaceuticals Holding Co., Ltd.		China		4,782,330		9,304
Sinopharm Group Co., Ltd.		China		2,935,400		10,717
Takeda Pharmaceutical Co., Ltd.		Japan		1,202,927		47,657

Total						243,712


Industrials (8.0%)
A.P. Moeller - Maersk AS - Class B		Denmark		12,266		17,699
BAE Systems PLC		United Kingdom		6,137,620		45,918
Cie de Saint-Gobain		France		567,220		23,223
CK Hutchison Holdings, Ltd.		Cayman Islands		2,515,290		23,984
Siemens AG		Germany		205,900		26,915
Siemens AG, ADR		Germany		91,780		5,963

Total						143,702


Information Technology (7.6%)
Kyocera Corp.*		Japan		146,900		10,011
NXP Semiconductors NV		Netherlands		263,950		33,590
Samsung Electronics Co., Ltd.		South Korea		1,173,320		56,536
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		3,312,485		36,576

Total						136,713


Materials (9.5%)
Barrick Gold Corp.		Canada		2,310,220		42,947
Johnson Matthey PLC		United Kingdom		591,960		23,492
Sumitomo Metal Mining Co., Ltd.		Japan		984,840		31,764
Wheaton Precious Metals Corp.		Canada		1,559,970		46,419
Yara International ASA		Norway		589,140		24,549

Total						169,171


Real Estate (5.1%)
CK Asset Holdings, Ltd.		Cayman Islands		4,625,240		33,388
Mitsui Fudosan Co., Ltd.		Japan		1,916,100		46,799
Sun Hung Kai Properties		Hong Kong		453,100		6,937
Swire Pacific, Ltd. - Class A		Hong Kong		529,800		4,922

Total						92,046


Utilities (5.2%)
E.ON SE		Germany		4,532,810		48,478
Veolia Environnement SA		France		1,681,130		44,710

Total						93,188


Total Common Stocks
(Cost: $1,643,099)						1,724,428

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

International Equity Portfolio


Short-Term Investments (4.1%)	Country	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (4.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%#	United States		73,590,155		73,590

Total					73,590

Short-Term Investments (4.1%)

Country

Shares/
Par⁺

Value

$ (000’s)

US Government & Agencies (0.0%)

Federal Home Loan Bank 0.000%, 1/2/20

United States

300,000

300

Total

300

Total Short-Term Investments

(Cost: $73,890)

73,890

Total Investments (100.3%)

(Cost: $1,716,989)^@

1,798,318

Other Assets, Less

Liabilities (-0.3%)

(5,284

)

Net Assets (100.0%)

1,793,034


Investments Percentage by Country is based on Net Assets:
Japan			17.3%
United Kingdom			14.6%
France			13.7%
Germany			12.0%
Canada			5.7%
South Korea			5.5%
Other			31.5%
Total			100.3%

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,717,168 and the net unrealized appreciation of investments based on that cost was $81,178 which is comprised of $174,660 aggregate gross unrealized appreciation and $93,482 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	148,454	$	59,517	$	-
Consumer Discretionary		47,906		21,614		-
Energy		138,454		66,552		-
Financials		205,507		54,559		-
Health Care		61,869		181,843		-
Industrials		99,088		44,614		-
Information Technology		70,166		66,547		-
Materials		112,858		56,313		-
Real Estate		45,247		46,799		-
Utilities		44,710		48,478		-
All Others		-		103,333		-
Short-Term Investments
Money Market Funds		73,590		-		-
All Others		-		300		-
Total Assets:	$	1,047,849	$	750,469	$	-

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

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.	$834 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Emerging Markets Equity Portfolio (“the Portfolio”), has engaged Aberdeen Asset Managers Limited (“Aberdeen”) 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 equities posted robust gains during 2019. The main themes that drove sentiment included the tumultuous nature of trade negotiations between the U.S. and China and the tide of monetary policy measures undertaken by major global central banks, led predominantly by the U.S. Federal Reserve (“the Fed”). Key elections in Argentina, Brazil, India, Indonesia, Mexico and Thailand also influenced markets.

Hopes of a quick resolution to the trade dispute between Washington and Beijing gave way to anxiety about an inevitable global economic slowdown, as relations between the worlds’ two largest economies soured. After the Fed’s abrupt turnaround toward a more dovish monetary tone in early 2019, the central bank lowered interest rates three times during the second half of the reporting period. The European Central Bank and Beijing also cut rates and pledged further stimulus. In India, the central bank lowered interest rates five times and the government announced additional corporate tax cuts aimed at boosting earnings and business confidence. It also initiated the sale of several state-owned enterprises to improve finances. Similarly, central banks in Brazil, Indonesia, Mexico, Russia and Turkey lowered interest rates in response to concerns about an increasingly uncertain outlook.

PORTFOLIO RESULTS

The Portfolio returned 20.60% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the MSCI^® Emerging Markets Index (the “Index”) returned 18.88%. (This Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Emerging Markets Funds peer group was 21.86%.

The Portfolio’s holdings in China, Korea and Taiwan were key drivers of performance. Successful asset allocation in Brazil also contributed to results. Although slowing global economic growth and uncertainty surrounding trade weighed on mainland China’s market, several domestically-focused core holdings generated robust returns and were among the Portfolio’s top contributors. These included high-end liquor maker Kweichow Moutai and duty-free retailer China International Travel Services (CITS). Kweichow Moutai gained on a robust profit outlook for the second half of 2019 and benefited from the government’s efforts to boost consumption. CITS advanced amid sustained demand for domestic travel. Shanghai International Airport, which is relatively sheltered from the negative effects of trade tariffs, also added to returns as solid passenger traffic and higher duty-free spending lifted shares of the airport operator. Additionally, not owning internet giant Baidu boosted relative performance. Baidu’s shares retreated in tandem with the technology sell-off and the company downgraded its forecasts due to tightening regulations and intensifying competition. In contrast, the lack of exposure to e-commerce giant Alibaba Group weighed on returns, as the company reported impressive results and successfully listed in Hong Kong during the reporting period.

Korea-based Samsung Electronics and Taiwan-based Taiwan Semiconductor Manufacturing Company (TSMC) also bolstered performance as the stock prices of these companies rose on investor expectations that the memory cycle for semiconductors would likely recover.

Turning to detractors, Indian equities weighed on performance as weak economic data and rising political tensions dampened investor confidence. Key detractors included ITC, which declined on concerns about a tax increase for cigarettes, and UltraTech Cement. Indonesian conglomerate Astra International also detracted from the Portfolio’s gains as muted performance from its key automotive and agribusiness segments weighed on the company’s earnings.

100

Emerging Markets Equity Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

Fears of a global economic recession seem to have abated and we remain cautiously optimistic about the outlook for emerging market equities. We believe the accommodative stance taken by governments and central banks should support consumer and business confidence. However, key risks remain, including a possible collapse of trade negotiations between the U.S. and China given President Trump’s support for the Hong Kong protests. Additionally, as tensions rise in the Middle East, ongoing geopolitical uncertainty will give investors reason to exercise caution.

Despite these risks, we remain confident that the dynamic and diverse set of emerging market economies offer a wealth of opportunities for investors. Ongoing political and economic reforms support the structural trends that will lead to growth in the asset class. Emerging markets equities remain attractive relative to both their historical average and as compared to developed market equities. The expanding and increasingly affluent middle classes in these emerging markets will propel demand for consumer and financial services, infrastructure and new technologies, and the Portfolio is well-positioned to benefit from these trends.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Emerging Markets Equity Portfolio		20.60	%		4.94	%		3.10	%
MSCI^® Emerging Markets Index (Gross)		18.88	%		6.01	%		4.04	%
Lipper^® Variable Insurance Products (VIP) Emerging Markets Funds Average		21.86	%		5.79	%		3.74	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations.

101

Emerging Markets Equity Portfolio (unaudited)

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Taiwan Semiconductor Manufacturing Co., Ltd.	6.9	%
Samsung Electronics Co., Ltd., Various	6.3	%
Tencent Holdings, Ltd.	6.3	%
Housing Development Finance Corp., Ltd.	4.3	%
Ping An Insurance Group Co. of China, Ltd. - Class H	3.9	%
Banco Bradesco SA, ADR	3.6	%
AIA Group, Ltd.	2.7	%
China Resources Land, Ltd.	2.4	%
Vale SA, ADR	2.3	%
Kotak Mahindra Bank, Ltd.	2.1	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Financials	28.7	%
Information Technology	17.0	%
Consumer Discretionary	11.8	%
Communication Services	11.0	%
Consumer Staples	9.7	%
Materials	7.2	%
Real Estate	5.3	%
Energy	4.1	%
Industrials	2.3	%
Short-Term Investments & Other Net Assets	1.9	%
Health Care	1.0	%

Sector Allocation and Top 10 Holdings are subject to change.

102

Emerging Markets Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (94.3%)	Country	Shares/ Par⁺		Value $ (000’s)

Communication Services (11.0%)
58.com, Inc., ADR*	Cayman Islands		200,244		12,961
Autohome, Inc., ADR*	Cayman Islands		136,696		10,937
China Mobile, Ltd.	Hong Kong		1,022,500		8,595
MTN Group, Ltd.	South Africa		1,166,600		6,871
Tencent Holdings, Ltd.	Cayman Islands		1,088,200		52,453

Total					91,817


Consumer Discretionary (11.8%)
Astra International Tbk PT	Indonesia		26,455,400		13,139
China International Travel Service Corp., Ltd. - Class A	China		898,401		11,472
Huazhu Group, Ltd., ADR*	Cayman Islands		259,158		10,385
Lojas Renner SA	Brazil		793,358		11,101
Midea Group Co., Ltd. - Class A	China		1,345,289		11,250
Naspers, Ltd. - Class N	South Africa		100,925		16,507
Prosus NV*	Netherlands		95,625		7,136
Sands China Ltd.	Cayman Islands		2,128,400		11,376
Yum China Holdings, Inc.	United States		123,644		5,936

Total					98,302


Consumer Staples (9.7%)
Ambev SA, ADR	Brazil		2,010,909		9,371
BIM Birlesik Magazalar AS	Turkey		997,253		7,822
BRF SA*	Brazil		796,935		6,974
Budweiser Brewing Co. APAC, Ltd.*	Cayman Islands		2,343,900		7,911
Fomento Economico Mexicano SAB de CV, ADR	Mexico		178,000		16,823
Hindustan Unilever, Ltd.	India		266,322		7,165
ITC, Ltd.	India		3,820,222		12,727
Kweichow Moutai Co., Ltd. - Class A	China		70,980		12,054

Total					80,847


Energy (2.4%)
LUKOIL PJSC, ADR	Russia		84,266		8,348
Novatek PJSC	Russia		386,930		7,874
Tenaris SA, ADR	Luxembourg		165,182		3,740

Total					19,962


Financials (28.7%)
AIA Group, Ltd.	Hong Kong		2,159,200		22,666
Banco Bradesco SA, ADR	Brazil		3,337,977		29,875
Banco Santander Chile, ADR	Chile		297,212		6,857
Bank Central Asia Tbk PT	Indonesia		6,543,500		15,720
Bank of the Philippine Islands	Philippines		3,580,636		6,214
China Merchants Bank Co., Ltd.	China		1,945,000		9,997
Grupo Financiero Banorte SAB de CV	Mexico		2,672,060		14,918
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		323,192		10,493


Common Stocks (94.3%)	Country	Shares/ Par⁺		Value $ (000’s)

Financials continued
Housing Development Finance Corp., Ltd.	India		1,049,747		35,488
IRB Brasil Resseguros SA	Brazil		615,150		5,961
Kotak Mahindra Bank, Ltd.	India		741,280		17,499
Ping An Insurance Group Co. of China, Ltd. - Class H	China		2,753,500		32,545
PT Bank Rakyat Indonesia Persero Tbk	Indonesia		32,769,700		10,342
Sberbank of Russia PJSC	Russia		2,538,076		10,417
SBI Life Insurance Co., Ltd.	India		773,700		10,418

Total					239,410


Health Care (1.0%)
Wuxi Biologics Cayman, Inc.*	Cayman Islands		668,000		8,457

Total					8,457


Industrials (2.3%)
Grupo Aeroportuario del Sureste SAB de CV - Class B	Mexico		566,480		10,613
Shanghai International Airport Co., Ltd. - Class A	China		776,182		8,775

Total					19,388


Information Technology (14.9%)
ASML Holding NV	Netherlands		16,600		4,910
Hangzhou Hikvision Digital Technology Co., Ltd. - Class A	China		963,362		4,528
Samsung Electronics Co., Ltd.	South Korea		730,150		35,182
Sunny Optical Technology Group Co., Ltd.	Cayman Islands		383,400		6,637
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		5,181,290		57,211
Tata Consultancy Services, Ltd.	India		516,262		15,659

Total					124,127


Materials (7.2%)
Grasim Industries, Ltd.	India		300,723		3,139
Indocement Tunggal Prakarsa Tbk PT	Indonesia		5,176,900		7,104
LG Chem, Ltd.	South Korea		47,777		13,068
The Siam Cement PCL	Thailand		568,600		7,365
UltraTech Cement, Ltd.	India		170,064		9,661
Vale SA, ADR	Brazil		1,475,070		19,471

Total					59,808

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

103

Emerging Markets Equity Portfolio


Common Stocks (94.3%)	Country	Shares/ Par+		Value $ (000’s)

Real Estate (5.3%)
Ayala Land, Inc.	Philippines		16,230,420		14,556
China Resources Land, Ltd.	Cayman Islands		3,980,000		19,818
Multiplan Empreendimentos lmobiliarios SA	Brazil		1,198,400		9,881

Total					44,255


Total Common Stocks
(Cost: $657,555)					786,373


Preferred Stocks (3.8%)
Consumer Staples (0.0%)
Amorepacific Corp.	South Korea		1,266		98

Total					98


Energy (1.7%)
Petroleo Brasileiro SA	Brazil		1,878,170		14,057

Total					14,057


Preferred Stocks (3.8%)	Country	Shares/ Par+		Value $ (000’s)

Information Technology (2.1%)
Samsung Electronics Co., Ltd.	South Korea		444,800		17,353

Total					17,353


Total Preferred Stocks
(Cost: $28,103)					31,508


Short-Term Investments (1.9%)

Money Market Funds (1.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#	United States		16,166,254		16,166

Total					16,166


Total Short-Term Investments
(Cost: $16,166)					16,166


Total Investments (100.0%)
(Cost: $701,824)^@					834,047

Other Assets, Less
Liabilities (0.0%)					(37	)

Net Assets (100.0%)					834,010


Investments Percentage by Country is based on Net Assets:
Cayman Islands			17.0%
India			13.6%
Brazil			12.7%
China			10.8%
South Korea			7.9%
Taiwan			6.9%
Indonesia			5.5%
Mexico			5.1%
Hong Kong			5.0%
Other			15.5%

Total			100.0%

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

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $702,587 and the net unrealized appreciation of investments based on that cost was $131,460 which is comprised of $168,776 aggregate gross unrealized appreciation and $37,316 aggregate gross unrealized depreciation.

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

104

Emerging Markets Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	-	$	31,508	$	-
Common Stocks
Consumer Discretionary		74,062		24,240		-
Consumer Staples		73,873		6,974		-
Energy		12,088		7,874		-
Financials		190,756		48,654		-
Information Technology		88,945		35,182		-
Materials		32,271		27,537		-
Real Estate		19,818		24,437		-
All Others		119,662		-		-
Short-Term Investments		16,166		-		-
Total Assets:	$	627,641	$	206,406	$	-

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

105

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.	$447 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

Following the U.S. Federal Reserve’s (the “Fed”) December 2018 interest rate increase, the Fed pivoted toward a more accommodative stance in early 2019, enacting three 0.25% rate cuts during the second half of the year, which reduced the Federal Funds target rate to a range of 1.50%-1.75%.

In September, the repurchase agreement (“repo”) market was volatile due to a contraction in excess reserves in the banking system, outsized deposit flows related to corporate tax payments, and the settlement of Treasury obligations. This volatility prompted the Fed to inject considerable liquidity into the financial system during the balance of 2019 through regular overnight and term repo operations. The Fed also began purchasing $60 billion of Treasury bills per month to support the flow of funds and maintain control over short-term rates.

In July, Congress suspended the U.S. debt ceiling, which allowed the U.S. Treasury to issue additional debt. The Fed became active in short-term lending markets to improve liquidity during the reporting period, which may have contributed to a reduction in investable Treasury supply and lowered the relative value of short-term debt instruments.

PORTFOLIO RESULTS

The Portfolio returned 1.94% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Merrill Lynch^® 3-Month Treasury Bill Index (the “Index”), returned 2.28%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the U.S. Government Money Market Funds peer group was 1.64%.

The U.S. Treasury bill yield curve (a graphical representation of short-term yields at different maturities) was inverted for most of the year. The biggest driver of the inversion was a shift in Fed monetary policy, which eased during the course of the year. Additionally, seasonal changes to the supply of Treasury bills and positive cash flows into government money market funds contributed to lower yields. Against this backdrop, the Portfolio’s investment team’s strategy was to evaluate term investment decisions versus their own expectations of both the frequency and the degree of future rate cuts.

The Portfolio’s yield remained competitive throughout the year. From a sector perspective, overweight exposure to U.S. Government Agency securities and an opportunistic allocation to floating rate notes contributed to the Portfolio’s relative performance. Tri-party repurchase agreements also contributed to the relative value of the Portfolio, with a target allocation of 30% to 45% of the net asset value. The large allocations to overnight tri-party repurchase agreements contributed to the Portfolio’s performance due to the liquidity benefits and competitive rates available in this asset class.

In terms of duration and yield curve management, the Portfolio’s duration exposure moved longer during the first quarter of the year as the markets slowly started repricing the Fed’s rate moves. While the market may have overpriced the scale of pending rate cuts throughout the year, the Portfolio’s investment team expected that rates would continue to decline. Therefore, the Portfolio purchased select long-term maturities during the year to reflect this viewpoint. The Portfolio ended the year with a weighted-average maturity of 41 days and a weighted-average life of 94 days.

PORTFOLIO MANAGER OUTLOOK

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

106

Government Money Market Portfolio (unaudited)

At the end of December, the Fed’s communications implied it was not contemplating significant policy changes and, as a consequence, futures contracts priced in the expectation of less than one rate cut in 2020. We are skeptical of the current market pricing and, barring significant adverse economic events, do not expect a further cut to the federal funds rate.

We expect that the publicly available Treasury bill supply will remain negative into the first few months of 2020 as the Fed continues to buy Treasury bills and coupons in 2020. We believe the Fed will continue to monitor conditions in the overnight repo market and provide liquidity to the banking system as needed to ensure adequate control of short-term interest rates.

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.

If the other party to a repurchase agreement defaults on its obligation under the agreement, the Portfolio may suffer delays and incur costs or lose money in exercising its rights under the agreement. These risks may be heightened if the other party is located outside the U.S. If the seller fails to repurchase the security and the market value of the security declines, the Portfolio may lose money.

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.

107

Government Money Market Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Money Market Investments (100.2%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (0.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.540%^#		713,636		714

Total				714


Repurchase Agreements (32.2%)
Tri-Party Bank of Montreal, 1.550%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $15,001,292, collateralized by various US Treasury obligations, 0.000% to 4.625%, due from 1/23/2020 to 5/15/2044, aggregate par and fair value of $13,590,314 and $15,301,045, respectively)		15,000,000		15,000
Tri-Party Bank of Nova Scotia, 1.550%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $9,000,775, collateralized by various US Treasury obligations, 0.125% to 3.000%, due from 3/15/2020 to 8/15/2047, aggregate par and fair value of $8,585,131 and $9,180,825, respectively)		9,000,000		9,000
Tri-Party BNP Paribas, 1.560%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $10,000,867, collateralized by various US Treasury obligations, 0.000% to 8.125%, due from 1/30/2020 to 8/15/2049, aggregate par and fair value of $10,956,452 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party BNP Paribas, 1.580%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $29,002,546, collateralized by various US government sponsored agency obligations, 3.000% to 4.500%, due from 5/20/2042 to 11/20/2049, aggregate par and fair value of $28,714,559 and $29,580,000, respectively)		29,000,000		29,000
Tri-Party Citigroup Global Markets, Inc., 1.550%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $10,000,861, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 2.690% to 9.000%, due from 6/15/2020 to 3/20/2068, aggregate par and fair value of $9,332,958 and $10,200,084, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, Inc., 1.570%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $10,000,872, collateralized by various US Treasury obligations, 0.625% to 3.000%, due from 9/30/2025 to 1/15/2026, aggregate par and fair value of $9,822,176 and $10,200,032, respectively)		10,000,000		10,000


Money Market Investments (100.2%)	Shares/ Par⁺		Value $ (000’s)

Repurchase Agreements continued
Tri-Party Goldman Sachs Group LP, 1.570%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $10,000,872, collateralized by various US government sponsored agency obligations, 3.000% to 6.500%, due from 6/15/2034 to 5/20/2048, aggregate par and fair value of $9,601,005 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party HSBC Securities, 1.570%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $5,000,436, collateralized by various US Treasury obligations, 2.750% to 6.000%, due from 8/31/2025 to 5/1/2041, aggregate par and fair value of $4,839,987 and $5,101,346, respectively)		5,000,000		5,000
Tri-Party Mitsubishi UFJ, 1.570%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $10,000,872, collateralized by various US government sponsored agency obligations, 2.000% to 5.000%, due from 2/20/2034 to 9/20/2049, aggregate par and fair value of $9,810,037 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party Mizuho Securities, 1.570%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $10,000,872, collateralized by US government sponsored agency, 3.000%, due 12/1/2049, par and fair value of $10,144,295 and $10,300,000, respectively)		10,000,000		10,000
Tri-Party Natixis S.A., 1.550%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $15,001,292, collateralized by various US Treasury obligations, 0.875% to 3.000%, due from 6/30/2022 to 2/15/2047, aggregate par and fair value of $14,985,526 and $15,300,070, respectively)		15,000,000		15,000
Tri-Party Natixis S.A., 1.570%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $5,000,436, collateralized by various US Treasury obligations, 2.875% to 3.500%, due from 5/15/2020 to 5/15/2028, aggregate par and fair value of $4,741,126 and $5,100,069, respectively)		5,000,000		5,000
Tri-Party TD Securities, 1.570%, 1/2/20 (Purchased on 12/31/19, to be repurchased at $6,000,523, collateralized by US government sponsored agency, 3.000%, due 11/1/2049, par and fair value of $6,090,309 and $6,180,001, respectively)		6,000,000		6,000

Total				144,000

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

108

Government Money Market Portfolio


Money Market Investments (100.2%)	Shares/ Par⁺		Value $ (000’s)
US Government & Agencies (67.8%)
Federal Farm Credit Bank, 0.000%, 1/17/20		3,090,000		3,087
Federal Farm Credit Bank, 0.000%, 1/23/20		980,000		979
Federal Farm Credit Bank, 0.000%, 1/29/20		685,000		684
Federal Farm Credit Bank, 0.000%, 2/4/20		1,890,000		1,886
Federal Farm Credit Bank, 0.000%, 2/21/20		1,800,000		1,794
Federal Farm Credit Bank, 0.000%, 3/3/20		1,685,000		1,679
Federal Farm Credit Bank, 0.000%, 3/10/20		3,480,000		3,465
Federal Farm Credit Bank, 0.000%, 3/24/20		2,880,000		2,864
Federal Farm Credit Bank, 0.000%, 5/14/20		90,000		89
Federal Farm Credit Bank, 0.000%, 6/12/20		125,000		124
Federal Farm Credit Bank, 0.000%, 6/26/20		4,465,000		4,424
Federal Farm Credit Bank, 0.000%, 6/30/20		1,540,000		1,526
Federal Farm Credit Bank, 0.000%, 7/7/20		90,000		89
Federal Farm Credit Bank, 0.000%, 8/14/20		1,725,000		1,708
Federal Farm Credit Bank, 0.000%, 9/28/20		1,040,000		1,027
Federal Farm Credit Bank, 1.645%, (US SOFR plus 0.105%), 1/15/21		1,000,000		1,000
Federal Farm Credit Bank, 1.660%, (ICE LIBOR USD 1 Month less 0.050%), 2/7/20		4,910,000		4,910
Federal Farm Credit Bank, 1.678%, (ICE LIBOR USD 1 Month less 0.040%), 9/11/20		1,975,000		1,975
Federal Farm Credit Bank, 1.687%, (ICE LIBOR USD 1 Month less 0.050%), 8/17/20		1,445,000		1,445
Federal Farm Credit Bank, 1.730%, (US SOFR plus 0.190%), 11/18/21		835,000		835
Federal Farm Credit Bank, 1.740%, (ICE LIBOR USD 1 Month less 0.005%), 6/18/20		540,000		540
Federal Farm Credit Bank, 1.751%, (US Treasury 3 Month Bill Money Market Yield plus 0.225%), 7/8/21		1,015,000		1,015
Federal Farm Credit Bank, 1.764%, (ICE LIBOR USD 1 Month), 6/19/20		4,000,000		4,001
Federal Farm Credit Bank, 1.765%, (ICE LIBOR USD 1 Month plus 0.025%), 12/14/20		2,185,000		2,185
Federal Farm Credit Bank, 1.785%, (ICE LIBOR USD 1 Month plus 0.045%), 4/16/21		2,485,000		2,485
Federal Farm Credit Bank, 1.786%, (US Treasury 3 Month Bill Money Market Yield plus 0.260%), 6/17/21		1,775,000		1,775
Federal Farm Credit Bank, 1.792%, (ICE LIBOR USD 1 Month), 6/26/20		1,880,000		1,880
Federal Farm Credit Bank, 1.816%, (ICE LIBOR USD 3 Month less 0.120%), 1/27/20		5,415,000		5,415
Federal Farm Credit Bank, 1.846%, (ICE LIBOR USD 1 Month plus 0.110%), 11/12/21		500,000		500
Federal Farm Credit Bank, 1.869%, (ICE LIBOR USD 1 Month plus 0.160%), 7/1/21		1,450,000		1,450
Federal Home Loan Bank, 0.000%, 1/3/20		3,310,000		3,310
Federal Home Loan Bank, 0.000%, 1/8/20		5,780,000		5,778
Federal Home Loan Bank, 0.000%, 1/10/20		1,955,000		1,954
Federal Home Loan Bank, 0.000%, 1/15/20		3,775,000		3,773
Federal Home Loan Bank, 0.000%, 1/17/20		340,000		340
Federal Home Loan Bank, 0.000%, 1/21/20		3,125,000		3,122
Federal Home Loan Bank, 0.000%, 1/22/20		8,410,000		8,401


Money Market Investments (100.2%)	Shares/ Par⁺		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Bank, 0.000%, 1/24/20		1,010,000		1,009
Federal Home Loan Bank, 0.000%, 1/31/20		2,395,000		2,392
Federal Home Loan Bank, 0.000%, 2/5/20		3,020,000		3,016
Federal Home Loan Bank, 0.000%, 2/6/20		2,335,000		2,331
Federal Home Loan Bank, 0.000%, 2/7/20		5,730,000		5,720
Federal Home Loan Bank, 0.000%, 2/13/20		825,000		823
Federal Home Loan Bank, 0.000%, 2/14/20		7,170,000		7,156
Federal Home Loan Bank, 0.000%, 2/19/20		1,430,000		1,427
Federal Home Loan Bank, 0.000%, 2/21/20		525,000		524
Federal Home Loan Bank, 0.000%, 3/4/20		2,400,000		2,393
Federal Home Loan Bank, 0.000%, 3/11/20		8,445,000		8,419
Federal Home Loan Bank, 0.000%, 3/13/20		2,530,000		2,521
Federal Home Loan Bank, 0.000%, 3/18/20		3,675,000		3,662
Federal Home Loan Bank, 0.000%, 3/20/20		5,215,000		5,193
Federal Home Loan Bank, 0.000%, 3/25/20		2,175,000		2,165
Federal Home Loan Bank, 0.000%, 4/3/20		530,000		528
Federal Home Loan Bank, 0.000%, 4/6/20		1,340,000		1,334
Federal Home Loan Bank, 0.000%, 4/8/20		3,010,000		2,996
Federal Home Loan Bank, 0.000%, 4/15/20		2,665,000		2,652
Federal Home Loan Bank, 0.000%, 4/24/20		1,375,000		1,368
Federal Home Loan Bank, 0.000%, 5/6/20		7,990,000		7,946
Federal Home Loan Bank, 0.000%, 5/13/20		3,990,000		3,967
Federal Home Loan Bank, 0.000%, 5/20/20		2,400,000		2,385
Federal Home Loan Bank, 0.000%, 6/3/20		2,150,000		2,135
Federal Home Loan Bank, 0.000%, 6/5/20		2,445,000		2,429
Federal Home Loan Bank, 0.000%, 6/25/20		1,755,000		1,742
Federal Home Loan Bank, 0.000%, 6/26/20		335,000		332
Federal Home Loan Bank, 0.000%, 7/1/20		1,725,000		1,711
Federal Home Loan Bank, 0.000%, 7/6/20		670,000		665
Federal Home Loan Bank, 0.000%, 8/14/20		2,675,000		2,648
Federal Home Loan Bank, 1.545%, (US SOFR plus 0.005%), 1/17/20		1,775,000		1,775
Federal Home Loan Bank, 1.550%, (US SOFR plus 0.010%), 1/24/20		1,720,000		1,720
Federal Home Loan Bank, 1.550%, (US SOFR plus 0.010%), 2/21/20		1,040,000		1,040
Federal Home Loan Bank, 1.560%, 5/1/20		2,660,000		2,660
Federal Home Loan Bank, 1.560%, (US SOFR plus 0.020%), 5/22/20		995,000		995
Federal Home Loan Bank, 1.570%, (US SOFR plus 0.030%), 8/21/20		540,000		540
Federal Home Loan Bank, 1.575%, (US SOFR plus 0.035%), 6/19/20		920,000		920
Federal Home Loan Bank, 1.580%, (US SOFR plus 0.040%), 2/9/21		680,000		680
Federal Home Loan Bank, 1.585%, (US SOFR plus 0.045%), 1/17/20		1,820,000		1,820
Federal Home Loan Bank, 1.590%, (US SOFR plus 0.050%), 1/17/20		220,000		220
Federal Home Loan Bank, 1.590%, 5/14/20		1,180,000		1,180
Federal Home Loan Bank, 1.590%, (US SOFR plus 0.050%), 1/22/21		695,000		695
Federal Home Loan Bank, 1.600%, 5/13/20		1,685,000		1,685
Federal Home Loan Bank, 1.615%, (US SOFR plus 0.075%), 7/24/20		595,000		595
Federal Home Loan Bank, 1.615%, (US SOFR plus 0.075%), 7/8/21		1,465,000		1,465
Federal Home Loan Bank, 1.615%, (US SOFR plus 0.075%), 7/23/21		950,000		950
Federal Home Loan Bank, 1.625%, (US SOFR plus 0.085%), 9/10/21		4,415,000		4,415

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

109

Government Money Market Portfolio


Money Market Investments (100.2%)	Shares/ Par⁺	Value $ (000’s)

US Government & Agencies continued
Federal Home Loan Bank, 1.635%, (US SOFR plus 0.105%), 10/1/20	2,060,000	2,060
Federal Home Loan Bank, 1.655%, (US SOFR plus 0.115%), 3/12/21	1,885,000	1,885
Federal Home Loan Bank, 1.660%, (US SOFR plus 0.120%), 10/7/20	1,120,000	1,120
Federal Home Loan Bank, 1.664%, (ICE LIBOR USD 1 Month less 0.030%), 8/4/20	1,240,000	1,240
Federal Home Loan Bank, 1.670%, (US SOFR plus 0.130%), 10/16/20	9,455,000	9,455
Federal Home Loan Bank, 1.697%, (ICE LIBOR USD 1 Month less 0.040%), 4/17/20	9,480,000	9,480
Federal Home Loan Bank, 1.705%, (ICE LIBOR USD 1 Month less 0.035%), 1/14/20	1,170,000	1,170
Federal Home Loan Bank, 1.720%, (ICE LIBOR USD 1 Month less 0.060%), 2/24/20	3,780,000	3,780
Federal Home Loan Bank, 1.720%, (ICE LIBOR USD 1 Month plus 0.005%), 7/10/20	3,690,000	3,690
Federal Home Loan Bank, 1.752%, (ICE LIBOR USD 1 Month less 0.040%), 2/25/20	1,920,000	1,920
Federal Home Loan Bank, 1.760%, (ICE LIBOR USD 1 Month plus 0.050%), 5/8/20	500,000	500
Federal Home Loan Bank, 1.770%, (ICE LIBOR USD 1 Month plus 0.050%), 5/8/20	1,350,000	1,350
Federal Home Loan Bank, 1.803%, (ICE LIBOR USD 3 Month less 0.125%), 12/21/20	2,880,000	2,880
Federal Home Loan Bank, 1.826%, (ICE LIBOR USD 3 Month less 0.140%), 4/20/20	2,670,000	2,670
Federal Home Loan Bank, 2.625%, 10/1/20	1,110,000	1,118
Federal Home Loan Mortgage Corp., 0.000%, 1/17/20	725,000	724
Federal Home Loan Mortgage Corp., 0.000%, 3/10/20	1,435,000	1,431


Money Market Investments (100.2%)	Shares/ Par⁺	Value $ (000’s)

US Government & Agencies continued
Federal Home Loan Mortgage Corp., 0.000%, 3/18/20	6,390,000	6,368
Federal Home Loan Mortgage Corp., 0.000%, 5/19/20	1,455,000	1,446
Federal National Mortgage Association, 0.000%, 1/24/20	1,520,000	1,519
US Treasury, 0.000%, 1/2/20	5,000,000	5,000
US Treasury, 0.000%, 2/13/20	12,035,000	12,010
US Treasury, 0.000%, 2/20/20	250,000	249
US Treasury, 0.000%, 2/27/20	5,830,000	5,813
US Treasury, 0.000%, 4/9/20	3,065,000	3,051
US Treasury, 0.000%, 4/23/20	7,860,000	7,802
US Treasury, 0.000%, 5/7/20	3,180,000	3,163
US Treasury, 0.000%, 5/28/20	2,520,000	2,504
US Treasury, 1.500%, 5/15/20	855,000	853
US Treasury, 1.500%, 5/31/20	600,000	599
US Treasury, 1.569%, (US Treasury 3 Month Bill Money Market Yield plus 0.043%), 7/31/20	1,135,000	1,134
US Treasury, 1.571%, (US Treasury 3 Month Bill Money Market Yield plus 0.045%), 10/31/20	5,000,000	4,996
US Treasury, 1.625%, 11/30/20	475,000	475
US Treasury, 1.665%, (US Treasury 3 Month Bill Money Market Yield plus 0.139%), 4/30/21	380,000	379
US Treasury, 1.746%, (US Treasury 3 Month Bill Money Market Yield plus 0.220%), 7/31/21	2,000,000	2,000
US Treasury, 2.000%, 11/30/20	280,000	281
US Treasury, 2.250%, 3/31/20	885,000	885
US Treasury, 2.375%, 4/30/20	1,300,000	1,302
US Treasury, 2.625%, 11/15/20	1,180,000	1,190
US Treasury, 3.500%, 5/15/20	2,745,000	2,762

Total		302,712


Total Money Market Investments
(Cost: $447,426)		447,426


Total Investments (100.2%)
(Cost: $447,426)		447,426

Other Assets, Less		(909)

Liabilities (-0.2%)
Net Assets (100.0%)		446,517

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

#	7-Day yield as of 12/31/2019.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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
Money Market Funds	$	714	$	-	$	-
All Others		-		446,712		-
Total Assets:	$	714	$	446,712	$	-

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

110

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.	$335 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. The Portfolio may also invest up to 10% of net assets in non-investment grade, high yield/high risk bonds (so called “junk bonds”). 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 average effective 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

U.S. bond returns were positive for the year, as Treasury yields decreased across all maturities and the U.S. Federal Reserve (the “Fed”) reduced interest rates three times, ending the year with a federal funds target rate range of between 1.50% and 1.75%. Shorter-term Treasury yields declined as the Fed pursued a looser monetary policy and provided liquidity to short-term lending markets in the final months of the year. Longer-term Treasury yields also fell sharply but finished the year above their August lows. U.S.-China trade tensions, negative interest rates in most non-U.S. developed markets and volatile geopolitical and economic developments kept demand for U.S. short-term debt strong. Among investment grade bonds, long-term Treasurys and corporate bonds had the highest returns. Mortgage-backed securities (“MBS”) advanced to a lesser extent, hindered by an increase in mortgage pre-payments and refinancing activity. Asset-backed securities (“ABS”) trailed and high yield bonds advanced strongly for the year as investors embraced riskier assets and searched for higher yields due to falling interest rates.

PORTFOLIO RESULTS

The Portfolio returned 4.38% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Bloomberg Barclays^® 1-3 Year U.S. Government/Credit Bond Index (the “Index”), returned 4.03%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Short Investment Grade Debt Funds peer group was 3.81%.

Sector allocation drove the Portfolio’s outperformance during the reporting period, while security selection and yield curve positioning detracted slightly.

Relative to the Index, the Portfolio continued to underweight U.S. Treasurys while aiming to add yield by overweighting non-Treasury sectors and taking out-of-benchmark positions in higher yielding securitized debt. This positioning benefited results, especially when risk sentiment was positive. Solid corporate earnings and economic growth supported investor sentiment for the majority of the year. Strong demand from investors looking for additional yield, along with positive credit fundamentals, pressured Treasurys and supported short maturity corporate bonds.

The Portfolio’s non-benchmark positions in MBS, commercial mortgage-backed securities and ABS, which benefited from still-solid consumer fundamentals and attractive relative-value opportunities, also boosted returns. Security selection among BBB corporate bonds detracted slightly, led by the Portfolio’s position in Ford Motor Credit and Deutsche Bank. Yield curve positioning also detracted as a result of the Portfolio’s underweight allocation to two-year maturity bonds, where rates declined the most, and overweight allocation to five-year maturity bonds. Treasury yields fell over the year in line with the Fed’s three rate cuts. The yield on the two-year Treasury note fell to 1.58% from 2.48%, while the yield on the ten-year fell to 1.92% from 2.69%.

PORTFOLIO MANAGER OUTLOOK

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

111

Short-Term Bond Portfolio (unaudited)

For a short-term bond portfolio, we believe yield plays a greater role than price appreciation in generating excess returns and limiting volatility. Because corporate bonds and securitized issues typically have greater yields than Treasurys, we believe that advantageous yield can be achieved by selectively overweighting these sectors in the Portfolio.

We also believe that the macroeconomic environment and corporate fundamentals continue to support riskier assets; however, uncertainty remains about the outlook for U.S. and global growth, and corporate debt levels remain historically high.

Acknowledging the ongoing challenges to the global economy, many global central banks have cut interest rates and taken other measures to loosen monetary policy. Those moves, combined with the banks’ assurances of keeping rates low to support growth, have pushed global interest rates lower. While these changes have given more support to riskier assets, our outlook for the coming months remains somewhat guarded. Global risks remain and could quickly spark a sell-off in risky securities. Amid such uncertainty, we anticipate selectively adding to risk with holdings skewed toward shorter-maturity bonds as well as defensive securitized sectors. In such an environment, sector allocation, as well as credit selection, will be increasingly important.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Short-Term Bond Portfolio		4.38	%		1.88	%		1.66	%
Bloomberg Barclays^® 1-3 Year U.S. Government/Credit Bond Index		4.03	%		1.68	%		1.54	%
Lipper^® Variable Insurance Products (VIP) Short Investment Grade Debt Funds Average		3.81	%		1.64	%		1.67	%

The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return andprincipal value willfluctuate, so thatshares, 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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of$10,000 made on 12/31/09. Returns shown reflectfee waivers, deductionsfor management and other portfolio expenses, and reinvestment ofall dividends. In the absence offee waivers, total return would be reduced. Returns exclude deductionsfor separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this reportfor information about the indices cited in the above chart and graph.

Return ofprincipal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond pricesfall. With afixed income fund, when interest rates rise, the value ofthefund’s existing bonds drops, which could negatively affect overall fund performance. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

Investing in bonds issued byforeign corporations and governments carries additional risk, includingforeign currency risk, and may increase the volatility ofthe Portfolio’s performance.

The Portfolio may invest in derivative instruments to adjust the Portfolio’s duration and yield curve exposure, to hedge foreign currency exposure orfor any other permissible purpose keeping with its investment objective. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk ofmispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

The U.S.federalfunds rate has been subject to frequent adjustments over the course ofthe last several years. A significant rise in interest rates over a short period oftime could cause significant losses in the market value of the Portfolio’s fixed income investments.

112

Short-Term Bond Portfolio (unaudited)

Top 10 Fixed Income Holdings 12/31/19


Security Description	% of Net Assets
US Treasury, Various		18.2	%
Federal National Mortgage Association, Various		3.3	%
Government National Mortgage Association, Various		1.4	%
Ford Motor Credit Co. LLC, Various		1.0	%
Synchrony Financial, Various		0.9	%
Bristol-Myers Squibb Co., Various		0.8	%
Discover Bank, Various		0.8	%
AbbVie, Inc., Various		0.8	%
Bunge, Ltd. Finance Corp., Various		0.7	%
SBA Tower Trust, Various		0.7	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Corporate Bonds		49.0	%
Structured Products		31.8	%
Governments		18.2	%
Short-Term Investments & Other Net Assets		1.0	%

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.

113

Short-Term Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials (1.5%)
Anglo American Capital PLC 3.750%, 4/10/22 144A		315,000		323
4.125%, 9/27/22 144A		295,000		307
ArcelorMittal 6.250%, 2/25/22		565,000		609
CNAC HK Finbridge Co., Ltd. 3.000%, 7/19/20 §		390,000		391
4.125%, 3/14/21 §		360,000		366
DowDuPont, Inc. 3.766%, 11/15/20		520,000		527
Equate Petrochemical BV 3.000%, 3/3/22		400,000		402
International Flavors & Fragrances, Inc. 3.400%, 9/25/20		195,000		197
LyondellBasell Industries NV 6.000%, 11/15/21		280,000		297
POSCO 2.375%, 11/12/22 144Ab		810,000		809
Southern Copper Corp. 5.375%, 4/16/20		245,000		247
Syngenta Finance NV 3.698%, 4/24/20 144A		435,000		436
3.933%, 4/23/21 144A		265,000		269

Total				5,180


Communications (2.3%)
America Movil SAB de CV 5.000%, 3/30/20		211,000		212
Axiata SPV2 Bhd 3.466%, 11/19/20 §		400,000		403
Baidu, Inc. 2.875%, 7/6/22		405,000		408
3.500%, 11/28/22		345,000		355
Charter Communications Operating LLC /
Charter Communications Operating Capital Corp. 3.579%, 7/23/20		630,000		634
4.464%, 7/23/22b		820,000		862
Comcast Corp. 3.700%, 4/15/24		460,000		490
Crown Castle Towers LLC 3.720%, 7/15/43 144A		300,000		310
eBay, Inc. 2.150%, 6/5/20		375,000		375
Fox Corp. 3.666%, 1/25/22 144A		120,000		124
4.030%, 1/25/24 144A		145,000		154
The Interpublic Group of Companies, Inc. 3.500%, 10/1/20		140,000		142
JD.com, Inc. 3.125%, 4/29/21b		1,195,000		1,204
Neptune Finco Corp. 10.875%, 10/15/25 144A		337,000		377
Omnicom Group, Inc. 4.450%, 8/15/20		240,000		243


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
The Priceline Group, Inc. 2.750%, 3/15/23		150,000		153
Telefonica Emisiones SAU 5.134%, 4/27/20		260,000		262
Tencent Holdings, Ltd. 2.875%, 2/11/20 144A		585,000		585
Vodafone Group PLC 3.750%, 1/16/24		325,000		344
WPP Finance 2010 3.625%, 9/7/22		140,000		145

Total				7,782


Consumer, Cyclical (5.3%)
American Airlines Pass Through Trust, Series 2017-2, Class B 3.700%, 4/15/27		326,611		330
BMW US Capital LLC 3.014%, (ICE LIBOR USD 3 Month plus 0.410%), 4/12/21 144A		525,000		526
3.035%, (ICE LIBOR USD 3 Month plus 0.500%), 8/13/21 144A		390,000		391
D.R. Horton, Inc. 2.550%, 12/1/20		240,000		241
Daimler Finance North America LLC
2.300%, 2/12/21 144Ab		705,000		706
3.100%, 5/4/20 144A		290,000		291
Delta Air Lines, Inc. 2.875%, 3/13/20		295,000		295
Dollar Tree, Inc. 3.288%, (ICE LIBOR USD 3 Month plus 0.700%), 4/17/20		585,000		585
Ford Motor Credit Co. LLC 2.459%, 3/27/20		245,000		245
2.681%, 1/9/20b		820,000		820
3.273%, (ICE LIBOR USD 3 Month plus 0.930%), 9/24/20b		925,000		926
3.350%, 11/1/22		620,000		626
3.470%, 4/5/21		200,000		202
3.813%, 10/12/21		220,000		224
5.875%, 8/2/21		200,000		209
General Motors Financial Co., Inc. 3.200%, 7/13/20b		740,000		743
3.442%, (ICE LIBOR USD 3 Month plus 0.850%), 4/9/21		350,000		351
3.450%, 1/14/22		185,000		189
3.550%, 7/8/22		170,000		175
Harley-Davidson Financial Services, Inc. 2.150%, 2/26/20 144A		225,000		225
2.550%, 6/9/22 144A		170,000		171
3.022%, (ICE LIBOR USD 3 Month plus 0.500%), 5/21/20 144A		375,000		375
3.460%, (ICE LIBOR USD 3 Month plus 0.940%), 3/2/21 144A		470,000		473
4.050%, 2/4/22 144A		560,000		578
Hasbro, Inc. 2.600%, 11/19/22		395,000		397

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

114

Short-Term Bond Portfolio


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
3.000%, 11/19/24		525,000		527
Hyundai Capital America 2.450%, 6/15/21 144A		325,000		325
2.850%, 11/1/22 144A		228,000		230
3.000%, 6/20/22 144A		470,000		475
3.950%, 2/1/22 144A		245,000		252
McDonald’s Corp. 3.350%, 4/1/23		305,000		317
Nissan Motor Acceptance Corp. 3.650%, 9/21/21 144A		405,000		413
O’Reilly Automotive, Inc. 3.800%, 9/1/22		195,000		203
PACCAR Financial Corp. 3.100%, 5/10/21		585,000		595
Panasonic Corp. 2.536%, 7/19/22 144A		335,000		338
QVC, Inc. 5.125%, 7/2/22b		765,000		805
Royal Caribbean Cruises, Ltd. 2.650%, 11/28/20		125,000		126
Starbucks Corp. 2.700%, 6/15/22		205,000		209
Toyota Industries Corp. 3.110%, 3/12/22 144A		435,000		443
Toyota Motor Credit Corp. 2.650%, 4/12/22b		875,000		890
United Airlines Pass Through Trust, Series 2019-2, Class B 3.500%, 11/1/29		180,000		182
Volkswagen Group of America Finance LLC 2.500%, 9/24/21 144A		200,000		202
2.700%, 9/26/22 144A		290,000		293
3.875%, 11/13/20 144A		465,000		473

Total				17,592


Consumer, Non-cyclical (8.7%)
AbbVie, Inc. 2.300%, 5/14/21		375,000		377
2.600%, 11/21/24 144Ab		1,250,000		1,257
2.900%, 11/6/22b		775,000		791
3.200%, 11/6/22		85,000		87
Actavis Funding SCS 3.450%, 3/15/22		265,000		271
Altria Group, Inc. 3.490%, 2/14/22		490,000		504
3.800%, 2/14/24b		620,000		652
AmerisourceBergen Corp. 3.500%, 11/15/21		305,000		312
Anthem, Inc. 2.500%, 11/21/20		105,000		105
BAT Capital Corp. 2.764%, 8/15/22b		1,555,000		1,577
Baxalta, Inc. 3.600%, 6/23/22		125,000		128
Bayer US Finance II LLC 2.979%, (ICE LIBOR USD 3 Month plus 0.630%), 6/25/21 144A		580,000		582
3.500%, 6/25/21 144A		310,000		316
Becton Dickinson and Co. 2.894%, 6/6/22		345,000		351


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Biogen, Inc. 2.900%, 9/15/20		230,000		232
Bristol-Myers Squibb Co. 2.600%, 5/16/22 144A		210,000		213
2.750%, 2/15/23 144A		300,000		306
2.875%, 8/15/20 144A		567,000		570
2.875%, 2/19/21 144A		548,000		554
2.900%, 7/26/24 144A		420,000		433
3.250%, 2/20/23 144A		95,000		98
3.550%, 8/15/22 144A		300,000		312
3.625%, 5/15/24 144A		80,000		84
Bunge, Ltd. Finance Corp. 3.000%, 9/25/22b		1,070,000		1,085
3.500%, 11/24/20b		1,210,000		1,225
4.350%, 3/15/24		55,000		58
Campbell Soup Co. 2.910%, (ICE LIBOR USD 3 Month plus 0.500%), 3/16/20		475,000		475
Cardinal Health, Inc. 2.616%, 6/15/22		50,000		51
3.079%, 6/15/24		310,000		319
3.200%, 3/15/23		395,000		405
3.500%, 11/15/24		525,000		548
Cigna Corp. 2.789%, (ICE LIBOR USD 3 Month plus 0.650%), 9/17/21		315,000		315
3.000%, 7/15/23 144A		320,000		327
3.400%, 9/17/21		175,000		179
3.750%, 7/15/23		495,000		519
3.900%, 2/15/22 144A		250,000		259
4.125%, 9/15/20 144A		325,000		330
Conagra Brands, Inc. 3.342%, (ICE LIBOR USD 3 Month plus 0.750%), 10/22/20		215,000		215
CVS Health Corp. 2.625%, 8/15/24		150,000		151
3.083%, (ICE LIBOR USD 3 Month plus 0.630%), 3/9/20		30,000		30
3.173%, (ICE LIBOR USD 3 Month plus 0.720%), 3/9/21		320,000		322
3.350%, 3/9/21		510,000		518
3.700%, 3/9/23b		835,000		869
Elanco Animal Health, Inc. 3.912%, 8/27/21		360,000		369
EMD Finance LLC 2.400%, 3/19/20 144A		460,000		460
2.950%, 3/19/22 144A		190,000		193
Equifax, Inc. 2.300%, 6/1/21		465,000		466
3.388%, (ICE LIBOR USD 3 Month plus 0.870%), 8/15/21		285,000		286
3.600%, 8/15/21		275,000		281
Express Scripts Holding Co. 3.274%, (ICE LIBOR USD 3 Month plus 0.750%), 11/30/20b		750,000		750
General Mills, Inc. 3.141%, (ICE LIBOR USD 3 Month plus 0.540%), 4/16/21		465,000		467
Global Payments, Inc. 2.650%, 2/15/25		345,000		346

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

115

Short-Term Bond Portfolio


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Humana, Inc. 2.900%, 12/15/22		80,000		81
3.150%, 12/1/22		150,000		154
3.850%, 10/1/24		30,000		32
Imperial Brands Finance PLC 2.950%, 7/21/20 144Ab		945,000		948
3.750%, 7/21/22 144Ab		805,000		828
Keurig Dr. Pepper, Inc. 3.551%, 5/25/21		465,000		475
McKesson Corp. 3.650%, 11/30/20b		650,000		659
Molson Coors Brewing Co. -Class B 2.250%, 3/15/20		430,000		430
Pernod-Ricard SA 4.450%, 1/15/22 144A		535,000		559
Perrigo Finance PLC 3.900%, 12/15/24b		865,000		888
Perrigo Finance Unlimited Co. 3.500%, 12/15/21		400,000		405
RELX Capital, Inc. 3.500%, 3/16/23		270,000		281
Reynolds American, Inc. 3.250%, 6/12/20		145,000		146
Shire Acquisitions Investments Ireland DAC 2.875%, 9/23/23		55,000		56
Takeda Pharmaceutical Co., Ltd. 4.000%, 11/26/21b		780,000		806
Tyson Foods, Inc. 2.250%, 8/23/21		280,000		281
Watson Pharmaceuticals, Inc. 3.250%, 10/1/22		80,000		82

Total				29,041


Diversified (0.1%)
CK Hutchison International 17 II, Ltd. 2.750%, 3/29/23		400,000		402

Total				402


Energy (4.7%)
Cenovus Energy, Inc. 3.000%, 8/15/22		550,000		557
China Shenhua Overseas Capital Co., Ltd. 3.125%, 1/20/20 §,b		785,000		785
Columbia Pipeline Group, Inc. 3.300%, 6/1/20		535,000		537
Diamondback Energy, Inc. 2.875%, 12/1/24b		830,000		839
Energy Transfer Operating LP 4.250%, 3/15/23		310,000		324
5.875%, 1/15/24b		1,054,000		1,166
Eni SpA 4.000%, 9/12/23 144A		200,000		211
Enterprise Products Operating LLC 2.800%, 2/15/21		480,000		485
3.500%, 2/1/22		500,000		515
EQT Corp. 3.089%, (ICE LIBOR USD 3 Month plus 0.770%), 10/1/20b		890,000		888
Exxon Mobil Corp. 2.844%, (ICE LIBOR USD 3 Month plus 0.370%), 3/6/22b		1,110,000		1,117


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Marathon Oil Corp. 2.800%, 11/1/22b		855,000		869
MPLX LP
3.002%, (ICE LIBOR USD 3 Month plus 0.900%), 9/9/21		120,000		120
3.202%, (ICE LIBOR USD 3 Month plus 1.100%), 9/9/22		380,000		381
Occidental Petroleum Corp.
2.600%, 8/13/21		430,000		433
2.700%, 8/15/22		410,000		414
Phillips 66
3.121%, (ICE LIBOR USD 3 Month plus 0.600%), 2/26/21		335,000		335
Plains All American Pipeline LP / PAA Finance Corp. 5.000%, 2/1/21		220,000		225
Sabine Pass Liquefaction LLC 5.625%, 2/1/21b		1,320,000		1,357
Saudi Arabian Oil Co. 2.750%, 4/16/22 144Ab		805,000		814
Schlumberger Holdings Corp. 3.750%, 5/1/24 144A		295,000		311
Western Midstream Operating LP 4.000%, 7/1/22b		800,000		820
The Williams Cos., Inc. 3.700%, 1/15/23b		979,000		1,013
Williams Partners LP
3.350%, 8/15/22		95,000		97
5.250%, 3/15/20b		1,230,000		1,237

Total				15,850


Financial (17.6%)
ABN AMRO Bank NV 3.091%, (ICE LIBOR USD 3 Month plus 0.570%), 8/27/21 144Ab		760,000		763
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.950%, 2/1/22		475,000		491
4.450%, 12/16/21		455,000		474
4.625%, 10/30/20		300,000		306
AIA Group, Ltd. 2.907%, (ICE LIBOR USD 3 Month plus 0.520%), 9/20/21 144Ab		765,000		765
AIG Global Funding 3.350%, 6/25/21 144A		365,000		373
Air Lease Corp. 2.125%, 1/15/20		570,000		570
2.250%, 1/15/23		360,000		360
2.500%, 3/1/21		135,000		136
3.500%, 1/15/22		265,000		272
American Campus Communities Operating Partnership LP 3.350%, 10/1/20		519,000		523
American Express Co. 3.000%, 2/22/21		520,000		526
American Express Credit Corp. 2.200%, 3/3/20b		700,000		700
American International Group, Inc. 4.875%, 6/1/22		335,000		358
6.400%, 12/15/20		175,000		182

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

116

Short-Term Bond Portfolio


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Aon Corp. 2.200%, 11/15/22		180,000		181
5.000%, 9/30/20		60,000		61
Aon PLC 2.800%, 3/15/21		570,000		576
Avolon Holdings Funding, Ltd. 3.625%, 5/1/22 144Ab		670,000		687
3.950%, 7/1/24 144A		130,000		135
Banco Santander Chile 2.500%, 12/15/20 144Ab		860,000		858
Banco Santander Mexico SA Institucion De Banca Multiple Grupo Financiero Santander Mexico 4.125%, 11/9/22b		775,000		805
Banco Santander SA 3.724%, (ICE LIBOR USD 3 Month plus 1.120%), 4/12/23		400,000		403
Bank of America Corp.
2.314%, (ICE LIBOR USD 3 Month plus 0.380%), 1/23/22		395,000		395
2.503%, 10/21/22		280,000		283
2.597%, (ICE LIBOR USD 3 Month plus 0.650%), 6/25/22		410,000		412
2.625%, 4/19/21		315,000		318
3.126%, (ICE LIBOR USD 3 Month plus 1.160%), 1/20/23b		665,000		675
Bank of Montreal 3.057%, (ICE LIBOR USD 3 Month plus 0.460%), 4/13/21		430,000		431
Banque Federative du Credit Mutuel SA 2.125%, 11/21/22 144A		630,000		631
Barclays Bank PLC 2.650%, 1/11/21		445,000		448
Barclays PLC 4.209%, (ICE LIBOR USD 3 Month plus 1.625%), 1/10/23		290,000		294
BB&T Corp. 2.150%, 2/1/21		550,000		551
BDO Unibank, Inc. 2.950%, 3/6/23b		800,000		806
Bohai Capital Holding Co., Ltd. 3.625%, 3/15/21 144Ab		690,000		699
BPCE SA 3.743%, (ICE LIBOR USD 3 Month plus 1.220%), 5/22/22 144A		280,000		284
Brixmor Operating Partnership LP 3.875%, 8/15/22		80,000		83
Capital One Financial Corp. 2.400%, 10/30/20		300,000		301
2.500%, 5/12/20		170,000		170
3.200%, 1/30/23		345,000		355
3.500%, 6/15/23		245,000		254
3.900%, 1/29/24		240,000		254
Capital One NA 2.150%, 9/6/22		535,000		536
2.250%, 9/13/21		330,000		331
The Charles Schwab Corp. 2.842%, (ICE LIBOR USD 3 Month plus 0.320%), 5/21/21		470,000		470
Citibank NA 2.125%, 10/20/20		405,000		405


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
2.844%, (ICE LIBOR USD 3 Month plus 0.596%), 5/20/22		620,000		627
Citigroup, Inc.
2.312%, (US SOFR plus 0.867%), 11/4/22		575,000		577
2.700%, 3/30/21		35,000		35
2.900%, 12/8/21b		675,000		686
Citizens Bank NA 2.250%, 3/2/20		565,000		565
2.250%, 10/30/20		250,000		251
2.550%, 5/13/21		250,000		252
3.250%, 2/14/22		290,000		297
Citizens Financial Group, Inc. 2.375%, 7/28/21		35,000		35
Cooperatieve Rabobank UA 3.950%, 11/9/22b		645,000		674
Credit Agricole SA 3.601%, (ICE LIBOR USD 3 Month plus 1.020%), 4/24/23 144A		315,000		318
The Credit Mutuel-CM11 Group 2.200%, 7/20/20 144A		435,000		435
Credit Suisse AG 2.100%, 11/12/21		635,000		638
5.400%, 1/14/20		150,000		150
Crown Castle International Corp. 2.250%, 9/1/21		195,000		196
3.400%, 2/15/21		385,000		390
Danske Bank A/S 2.200%, 3/2/20 144Ab		820,000		820
3.001%, (ICE LIBOR USD 3 Month plus 1.249%), 9/20/22 144Ab		725,000		731
5.000%, 1/12/22 144A		465,000		488
Deutsche Bank AG 2.950%, 8/20/20		420,000		421
3.150%, 1/22/21		530,000		532
3.375%, 5/12/21		100,000		101
3.855%, (ICE LIBOR USD 3 Month plus 1.290%), 2/4/21		405,000		406
Discover Bank 3.100%, 6/4/20b		1,025,000		1,029
3.200%, 8/9/21		470,000		478
7.000%, 4/15/20b		1,000,000		1,013
First Niagara Financial Group, Inc. 7.250%, 12/15/21		245,000		268
GE Capital International Funding Co. Unlimited Co. 2.342%, 11/15/20b		1,920,000		1,921
The Goldman Sachs Group, Inc. 3.363%, (ICE LIBOR USD 3 Month plus 0.780%), 10/31/22		330,000		332
3.696%, (ICE LIBOR USD 3 Month plus 1.110%), 4/26/22		520,000		525
5.750%, 1/24/22b		825,000		885
Highwoods Realty LP 3.625%, 1/15/23		240,000		248
HSBC Holdings PLC
3.086%, (ICE LIBOR USD 3 Month plus 0.650%), 9/11/21		320,000		321
3.120%, (ICE LIBOR USD 3 Month plus 0.600%), 5/18/21		545,000		546

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

117

Short-Term Bond Portfolio


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
ING Groep NV 3.751%, (ICE LIBOR USD 3 Month plus 1.150%), 3/29/22		335,000		340
JPMorgan Chase & Co. 3.003%, (ICE LIBOR USD 3 Month plus 0.550%), 3/9/21b		675,000		675
4.250%, 10/15/20		200,000		204
JPMorgan Chase Bank NA 2.604%, (ICE LIBOR USD 3 Month plus 0.280%), 2/1/21		250,000		250
Lincoln National Corp. 4.000%, 9/1/23		130,000		138
Marsh & McLennan Cos., Inc. 3.500%, 12/29/20		370,000		375
3.875%, 3/15/24		345,000		368
Mitsubishi UFJ Financial Group, Inc. 3.218%, 3/7/22		535,000		548
3.236%, (ICE LIBOR USD 3 Month plus 0.650%), 7/26/21		193,000		194
3.443%, (ICE LIBOR USD 3 Month plus 0.920%), 2/22/22		390,000		393
3.446%, (ICE LIBOR USD 3 Month plus 0.860%), 7/26/23		320,000		322
Morgan Stanley 2.750%, 5/19/22		485,000		494
3.095%, (ICE LIBOR USD 3 Month plus 0.550%), 2/10/21		595,000		595
5.500%, 1/26/20		240,000		241
5.500%, 7/24/20		235,000		240
New York Life Global Funding 2.885%, (ICE LIBOR USD 3 Month plus 0.320%), 8/6/21 144A		585,000		587
Park Aerospace Holdings, Ltd. 5.250%, 8/15/22 144A		375,000		400
PNC Bank NA 2.450%, 11/5/20		425,000		427
Regions Bank 2.972%, (ICE LIBOR USD 3 Month plus 0.380%), 4/1/21b		650,000		650
3.035%, (ICE LIBOR USD 3 Month plus 0.500%), 8/13/21		250,000		250
3.374%, (ICE LIBOR USD 3 Month plus 0.500%), 8/13/21		325,000		328
Reinsurance Group of America, Inc. 5.000%, 6/1/21		60,000		62
Santander UK Group Holdings PLC 2.875%, 10/16/20		145,000		146
Santander UK PLC 2.125%, 11/3/20		430,000		431
SBA Tower Trust 2.836%, 1/15/25 144A		440,000		444
Standard Chartered PLC
2.744%, (ICE LIBOR USD 3 Month plus 1.200%), 9/10/22 144A		385,000		387
3.742%, (ICE LIBOR USD 3 Month plus 1.150%), 1/20/23 144A		435,000		438
Sumitomo Mitsui Banking Corp. 2.514%, 1/17/20b		730,000		730
SunTrust Bank 2.590%, (ICE LIBOR USD 3 Month plus 0.298%), 1/29/21b		720,000		721


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
2.800%, 5/17/22		480,000		489
Svenska Handelsbanken AB 3.350%, 5/24/21		525,000		535
Swedbank AB 2.650%, 3/10/21 144Ab		980,000		986
Synchrony Bank 3.000%, 6/15/22		250,000		255
Synchrony Financial 2.700%, 2/3/20b		1,540,000		1,541
2.850%, 7/25/22b		1,541,000		1,559
The Toronto-Dominion Bank 2.820%, (ICE LIBOR USD 3 Month plus 0.240%), 1/25/21b		755,000		756
Trininty Acquisition PLC 3.500%, 9/15/21		315,000		321
U.S. Bank NA 2.906%, (ICE LIBOR USD 3 Month plus 0.320%), 4/26/21b		720,000		722
UBS Group Funding AG 3.744%, (ICE LIBOR USD 3 Month plus 1.220%), 5/23/23 144A		415,000		421
UBS Group Funding Jersey, Ltd.
2.950%, 9/24/20 144A		255,000		257
3.000%, 4/15/21 144A		385,000		390
Ventas Realty LP 3.100%, 1/15/23		82,000		84
WEA Finance LLC / Westfield UK & Europe Finance PLC 3.250%, 10/5/20 144A		240,000		242
Wells Fargo & Co. 2.550%, 12/7/20		45,000		45
3.500%, 3/8/22		330,000		341
Wells Fargo Bank NA
2.082%, (ICE LIBOR USD 3 Month plus 0.650%), 9/9/22		490,000		491
3.325%, (ICE LIBOR USD 3 Month plus 0.490%), 7/23/21b		920,000		927

Total				58,822


Industrial (3.7%)
Avnet, Inc. 3.750%, 12/1/21		250,000		257
Boral Finance, Ltd. 3.000%, 11/1/22 144A		65,000		65
Caterpillar Financial Services Corp. 2.752%, (ICE LIBOR USD 3 Month plus 0.280%), 9/7/21		285,000		285
2.950%, 2/26/22		495,000		506
CNH Industrial Capital LLC 3.875%, 10/15/21		460,000		472
4.375%, 11/6/20b		895,000		910
DAE Funding LLC 4.000%, 8/1/20 144A		360,000		362
5.250%, 11/15/21 144A		305,000		317
Eastern Creation II Investment Holdings, Ltd. 2.750%, 9/26/20 §,b		645,000		645
GATX Corp. 2.600%, 3/30/20b		690,000		690
General Electric Capital Corp. 3.450%, 5/15/24		240,000		249
4.650%, 10/17/21		280,000		292

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

118

Short-Term Bond Portfolio


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
General Electric Co. 2.700%, 10/9/22		482,000		488
3.150%, 9/7/22		249,000		255
5.300%, 2/11/21		60,000		62
Jabil Circuit, Inc. 5.625%, 12/15/20		240,000		248
Martin Marietta Materials, Inc. 3.173%, (ICE LIBOR USD 3 Month plus 0.650%), 5/22/20		150,000		150
Northrop Grumman Corp. 2.550%, 10/15/22		345,000		350
Penske Truck Leasing Co. LP / PTL Finance Corp. 3.200%, 7/15/20 144Ab		795,000		798
3.300%, 4/1/21 144A		90,000		91
3.650%, 7/29/21 144A		180,000		184
Republic Services, Inc. 2.500%, 8/15/24		375,000		379
Roper Industries, Inc. 3.125%, 11/15/22b		660,000		676
Roper Technologies, Inc. 2.350%, 9/15/24		165,000		166
3.000%, 12/15/20b		785,000		792
3.650%, 9/15/23		125,000		131
SMBC Aviation Capital Finance DAC 3.550%, 4/15/24 144A		200,000		208
4.125%, 7/15/23 144A		200,000		210
Union Pacific Corp. 3.200%, 6/8/21		565,000		576
United Technologies Corp. 3.175%, (ICE LIBOR USD 3 Month plus 0.650%), 8/16/21		355,000		355
Vulcan Materials Co. 3.010%, (ICE LIBOR USD 3 Month plus 0.600%), 6/15/20		365,000		365
3.170%, (ICE LIBOR USD 3 Month plus 0.650%), 3/1/21 b		760,000		762

Total				12,296


Real Estate (0.5%)
SBA Tower Trust 2.877%, 7/10/46 144A		155,000		156
3.156%, 10/10/45 144A		635,000		636
3.168%, 4/9/47 144A		555,000		560
3.448%, 3/15/23 144A		415,000		427

Total				1,779


Technology (1.6%)
Apple, Inc. 2.400%, 5/3/23		330,000		335
Broadcom Corp. / Broadcom Cayman Finance, Ltd. 2.375%, 1/15/20b		750,000		750
3.000%, 1/15/22b		700,000		710
Fiserv, Inc. 2.750%, 7/1/24b		800,000		813
International Business Machines Corp. 2.500%, 1/27/22		145,000		147
2.850%, 5/13/22		350,000		358
2.875%, 11/9/22		155,000		159


Corporate Bonds (49.0%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
Microchip Technology, Inc. 3.922%, 6/1/21b		745,000		762
NXP BV / NXP Funding LLC 3.875%, 9/1/22 144A		310,000		321
4.125%, 6/1/21 144A		400,000		410
4.625%, 6/1/23 144A		525,000		561

Total				5,326


Utilities (3.0%)
American Electric Power Co., Inc. 3.650%, 12/1/21		85,000		88
CenterPoint Energy Resources Corp. 4.500%, 1/15/21		295,000		301
CenterPoint Energy, Inc. 3.600%, 11/1/21		215,000		221
Dominion Energy, Inc. 2.579%, 7/1/20b		1,145,000		1,147
Duke Energy Corp. 3.550%, 9/15/21		155,000		158
Edison International 2.125%, 4/15/20		541,000		541
3.125%, 11/15/22		290,000		294
EDP Finance BV 4.125%, 1/15/20 144A		205,000		205
Enel Finance International NV 2.875%, 5/25/22 144Ab		835,000		846
4.250%, 9/14/23 144A		400,000		423
FirstEnergy Corp. 2.850%, 7/15/22		320,000		325
NextEra Energy Capital Holdings, Inc. 3.071%, (ICE LIBOR USD 3 Month plus 0.550%), 8/28/21		610,000		610
NRG Energy, Inc. 3.750%, 6/15/24 144A		270,000		279
PNM Resources, Inc. 3.250%, 3/9/21		465,000		470
San Diego Gas & Electric Co. 1.914%, 2/1/22		76,787		77
Sempra Energy 2.850%, 11/15/20b		785,000		789
2.875%, 10/1/22		265,000		270
3.097%, (ICE LIBOR USD 3 Month plus 0.500%), 1/15/21		495,000		495
The Southern Co. 2.350%, 7/1/21		125,000		126
State Grid Overseas Investment 2016, Ltd. 2.250%, 5/4/20 144Ab		1,030,000		1,030
Vistra Operations Co. LLC 3.550%, 7/15/24 144Ab		1,335,000		1,351

Total				10,046


Total Corporate Bonds
(Cost: $162,441)				164,116


Governments (18.2%)

Governments (18.2%)
US Treasury 1.500%, 9/15/22b		3,340,000		3,331
1.625%, 12/15/22b		5,340,000		5,343
1.750%, 6/15/22b		5,245,000		5,264
1.750%, 7/15/22b		7,720,000		7,746

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

119

Short-Term Bond Portfolio


Governments (18.2%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
2.125%, 5/15/22b		5,140,000		5,201
2.250%, 4/15/22b		5,120,000		5,193
2.375%, 3/15/22b		8,310,000		8,451
2.500%, 1/15/22b		7,300,000		7,430
2.500%, 2/15/22b		5,300,000		5,399
2.625%, 12/15/21b		7,405,000		7,550

Total				60,908


Total Governments
(Cost: $60,542)				60,908


Structured Products (31.8%)

Asset Backed Securities (15.9%)
Ally Auto Receivables Trust, Series 2017-2, Class C 2.460%, 9/15/22		70,000		70
Ally Auto Receivables Trust, Series 2017-2, Class D 2.930%, 11/15/23		95,000		96
Ally Master Owner Trust, Series 2018-4, Class A 3.300%, 7/17/23		300,000		306
AmeriCredit Automobile Receivables Trust, Series 2015-3, Class D 3.340%, 8/8/21		299,305		300
AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C 2.890%, 1/10/22		599,149		600
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class D 2.710%, 9/8/22		380,000		382
Americredit Automobile Receivables Trust, Series 2016-4, Class D 2.740%, 12/8/22b		1,070,000		1,077
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class C 2.710%, 8/18/22		175,000		176
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class D 3.130%, 1/18/23		620,000		627
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class B 2.240%, 6/19/23		185,000		185
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class C 2.690%, 6/19/23		195,000		197
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class D 3.820%, 3/18/24b		790,000		817
Americredit Automobile Receivables Trust, Series 2018-3, Class A3 3.380%, 7/18/23b		760,000		771
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class B 2.130%, 7/18/25		240,000		239
Applebee’s Funding LLC / IHOP Funding LLC, Series 2019-1A, Class A2I 4.194%, 6/7/49 144A		300,000		304
ARI Fleet Lease Trust, Series 2017-A, Class A2 1.910%, 4/15/26 144A		21,764		22


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
ARI Fleet Lease Trust, Series 2017-A, Class A3 2.280%, 4/15/26 144Ab		700,000		701
ARI Fleet Lease Trust, Series 2018-A, Class A2 2.550%, 10/15/26 144A		189,929		190
Ascentium Equipment Receivables Trust LLC, Series 2017-1A, Class A3 2.290%, 6/10/21 144A		70,603		71
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A 2.500%, 2/20/21 144A		385,000		385
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A 2.500%, 7/20/21 144A		415,000		415
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A 2.630%, 12/20/21 144A		635,000		637
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A 2.990%, 6/20/22 144A		440,000		445
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A 2.970%, 3/20/24 144A		425,000		432
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class B 3.700%, 3/20/23 144A		120,000		122
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A 3.350%, 9/22/25 144A		340,000		350
Babson CLO, Ltd., Series 2017-IA, Class AR 3.392%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A b		730,000		727
Bayview Mortgage Fund IVc Trust, Series 2017-RT3, Class A 3.500%, (AFC), 1/28/58 144A		549,993		555
Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL5, Class A 3.500%, (AFC), 6/28/57 144A		475,643		483
Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A 3.500%, (AFC), 1/28/55 144A		163,329		165
BlueMountain CLO, Series 2015-2, Class A 3.531%, (ICE LIBOR USD 3 Month plus 0.930%), 7/18/27 144Ab		750,000		749
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280%, 9/26/33 144A		254,311		259
Capital Auto Receivables Asset Trust, Series 2017-1, Class B 2.430%, 5/20/22 144A		70,000		70
Capital Auto Receivables Asset Trust, Series 2017-1, Class C 2.700%, 9/20/22 144A		115,000		116
Capital Auto Receivables Asset Trust, Series 2018-1, Class D 3.700%, 6/20/25 144A		575,000		582
Capital Auto Receivables Asset Trust, Series 2018-2, Class B 3.480%, 10/20/23 144A		180,000		182

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

120

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Capital Auto Receivables Asset Trust, Series 2018-2, Class C 3.690%, 12/20/23 144A		225,000		228
Capital One Multi-Asset Execution Trust, Series2019-A2, Class A2 1.720%, 8/15/24b		795,000		792
Carlyle Global Market Strategies, Series 2015-3A, Class A1R 3.582%, (ICE LIBOR USD 3 Month plus 1.000%), 7/28/28 144Ab		760,000		760
CarMax Auto Owner Trust, Series 2017-4, Class C 2.700%, 10/16/23		95,000		96
CCG Receivables Trust, Series 2017-1, Class A2 1.840%, 11/14/23 144A		37,198		37
Cole Park CLO, Ltd., Series 2015-1A, Class AR 3.642%, (ICE LIBOR USD 3 Month plus 1.050%), 10/20/28 144Ab		760,000		758
Elara HGV Timeshare Issuer, Series 2017-A, Class A 2.690%, 3/25/30 144A		99,877		100
Elara HGV Timeshare Issuer, Series 2019-A, Class A 2.610%, 1/25/34 144A		237,180		236
Enterprise Fleet Financing LLC, Series 2017-1, Class A2 2.130%, 7/20/22 144A		17,778		18
Enterprise Fleet Financing LLC, Series 2017-2, Class A2 1.970%, 1/20/23 144A		34,908		35
Enterprise Fleet Financing LLC, Series 2017-3, Class A2 2.130%, 5/22/23 144A		249,192		249
Enterprise Fleet Financing LLC, Series 2017-3, Class A3 2.360%, 5/20/23 144A		195,000		196
Enterprise Fleet Financing LLC, Series 2018-1, Class A2 2.870%, 10/20/23 144A		188,705		190
Enterprise Fleet Financing LLC, Series 2018-2, Class A2 3.140%, 2/20/24 144A		304,304		307
Enterprise Fleet Financing LLC, Series 2019-1, Class A2 2.980%, 10/22/24 144A		270,000		273
Enterprise Fleet Financing LLC, Series 2019-3, Class A2 2.060%, 5/20/25 144A		365,000		365
Ford Credit Floorplan Master Owner Trust A, Series 2017-2, Class B 2.340%, 9/15/22b		1,265,000		1,267
GM Financial Automobile Leasing Trust, Series2017-3, Class C 2.730%, 9/20/21		140,000		140
GM Financial Automobile Leasing Trust, Series2018-1, Class C 3.110%, 12/20/21		200,000		201


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
GM Financial Automobile Leasing Trust, Series 2018-1, Class D 3.370%, 10/20/22		480,000		483
GM Financial Automobile Leasing Trust, Series 2018-2, Class A 3.500%, 4/20/22		220,000		222
GM Financial Automobile Leasing Trust, Series 2019-1, Class C 3.560%, 12/20/22		400,000		406
GM Financial Securitized Term, Series 2017- 3A, Class C 2.520%, 3/16/23 144A		475,000		476
GMF Floorplan Owner Revolving Trust, Series 2017-1, Class C 2.970%, 1/18/22 144A		260,000		260
GMF Floorplan Owner Revolving Trust, Series 2017-2, Class C 2.630%, 7/15/22 144A		170,000		170
GMF Floorplan Owner Revolving Trust, Series 2018-4, Class A1 3.500%, 9/15/23 144Ab		670,000		686
GMF Floorplan Owner Revolving Trust, Series 2019-1, Class A 2.700%, 4/15/24 144A		355,000		357
Golub Capital Partners CLO, Series 2018-39A, Class A1 3.742%, (ICE LIBOR USD 3 Month plus 1.150%), 10/20/28 144A		440,000		439
GreatAmerica Leasing Receivables Funding LLC, Series 2018-1, Class A3 2.600%, 6/15/21 144A		156,697		157
Halcyon Loan Advisors Funding, Ltd., Series 2014-3A, Class B1R 3.060%, (ICE LIBOR USD 3 Month plus 1.700%), 10/22/25 144A		345,000		345
Hardee’s Funding LLC, Series 1A, Class AI 4.250%, 6/21/48 144A		434,798		437
Hilton Grand Vacations Trust, Series 2017- AA, Class A 2.660%, 12/26/28 144A		74,358		75
Hilton Grand Vacations Trust, Series 2017- AA, Class B 2.960%, (EXE), 12/26/28 144A		42,491		43
Huntington Auto Trust, Series 2016-1, Class A4 1.930%, 4/15/22		224,105		224
Hyundai Auto Receivables Trust, Series 2017- A, Class B 2.380%, 4/17/23		150,000		150
Hyundai Auto Receivables Trust, Series 2019- A, Class B 2.940%, 5/15/25		325,000		331
KKR Financial CLO, Ltd., Series 2013, Class A1R 3.401%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144Ab		755,000		751
Madison Park Funding, Ltd., Series 2015-18A, Class A1R 3.782%, (ICE LIBOR USD 3 Month plus 1.190%), 10/21/30 144Ab		690,000		690

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

121

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Magnetite XVI, Ltd., Series 2015-16A, Class AR 3.401%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144Ab		980,000		978
Mill City Mortgage Loan Trust, Series 2016-1, Class A1 2.500%, (AFC), 4/25/57 144A		50,369		50
Mill City Mortgage Loan Trust, Series 2017-2, Class A1 2.750%, (AFC), 7/25/59 144A		342,385		343
MVW Owner Trust, Series 2015-1A, Class A 2.520%, 12/20/32 144A		132,307		132
MVW Owner Trust, Series 2017-1A, Class A 2.420%, 12/20/34 144A		423,639		424
MVW Owner Trust, Series 2017-1A, Class B 2.750%, 12/20/34 144A		44,594		45
MVW Owner Trust, Series 2017-1A, Class C 2.990%, 12/20/34 144A		49,053		49
Navient Private Education Refi Loan Trust, Series 2019-C, Class A1 2.820%, 2/15/68 144A		476,527		479
Navient Student Loan Trust, Series 2018-A, Class A1 2.530%, 2/18/42 144A		115,248		115
Navient Student Loan Trust, Series 2019-2A, Class A1 2.674%, (ICE LIBOR USD 1 Month plus 0.270%), 2/27/68 144A		294,400		294
Navient Student Loan Trust, Series 2019-EA, Class A1 2.390%, 5/15/68 144A		297,660		298
Navient Student Loan Trust, Series 2019-GA, Class A 2.400%, 10/15/68 144Ab		1,275,000		1,266
Neuberger Berman CLO, Ltd., Series 2015-19A, Class A1R2 3.397%, (ICE LIBOR USD 3 Month plus 0.800%), 7/15/27 144Ab		740,000		738
Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A 3.447%, (ICE LIBOR USD 3 Month plus 0.850%), 1/15/28 144A		440,000		440
Nissan Master Owner Trust Receivables, Series2019-B, Class A 2.170%, (ICE LIBOR USD 1 Month plus 0.430%), 11/15/23b		785,000		786
OCP CLO, Ltd., Series 2015-10A, Class A1R 3.406%, (ICE LIBOR USD 3 Month plus 0.820%), 10/26/27 144Ab		665,000		665
OZLM VIII, Ltd., Series 2014-8A, Class A1RR 3.758%, (ICE LIBOR USD 3 Month plus 1.170%), 10/17/29 144A		485,000		484
Planet Fitness Master Issuer L, Series 2018- 1A, Class A2I 4.262%, 9/5/48 144A		553,000		562
Santander Drive Auto Receivables Trust, Series2015-4, Class D 3.530%, 8/16/21		141,435		142
Santander Drive Auto Receivables Trust, Series2015-5, Class D 3.650%, 12/15/21		185,220		186


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Santander Drive Auto Receivables Trust, Series2016-1, Class D 4.020%, 4/15/22		425,000		428
Santander Drive Auto Receivables Trust, Series2016-3, Class C 2.460%, 3/15/22		125,735		126
Santander Drive Auto Receivables Trust, Series2017-1, Class C 2.580%, 5/16/22		29,505		30
Santander Drive Auto Receivables Trust, Series2017-3, Class B 2.190%, 3/15/22		21,043		21
Santander Drive Auto Receivables Trust, Series2018-1, Class C 2.960%, 3/15/24		120,000		121
Santander Drive Auto Receivables Trust, Series2018-4, Class B 3.270%, 1/17/23		310,000		311
Santander Drive Auto Receivables Trust, Series2018-5, Class B 3.520%, 12/15/22		375,000		377
Santander Drive Auto Receivables Trust, Series2019-1, Class B 3.210%, 9/15/23		180,000		181
Santander Drive Auto Receivables Trust, Series2019-1, Class C 3.420%, 4/15/25		380,000		386
Santander Drive Auto Receivables Trust, Series2019-2, Class B 2.790%, 1/16/24		275,000		277
Santander Drive Auto Receivables Trust, Series2019-3, Class B 2.280%, 9/15/23		490,000		490
Santander Drive Auto Receivables Trust, Series2019-C, Class B 2.170%, 11/20/23 144A		215,000		213
Santander Drive Auto Receivables Trust, Series2019-C, Class C 2.390%, 11/20/23 144A		360,000		357
Santander Retail Auto Lease Trust, Series 2017-A, Class C 2.960%, 11/21/22 144A		155,000		156
Santander Retail Auto Lease Trust, Series 2019-A, Class A3 2.770%, 6/20/22 144A		395,000		400
Santander Retail Auto Lease Trust, Series 2019-B, Class C 2.770%, 8/21/23 144A		305,000		306
Sierra Receivables Funding Co. LLC, Series2015-3A, Class A 2.580%, 9/20/32 144A		102,063		102
Sierra Receivables Funding Co. LLC, Series2016-3A, Class A 2.430%, 10/20/33 144A		128,530		128
Sierra Receivables Funding Co. LLC, Series2017-1A, Class A 2.910%, 3/20/34 144A		36,747		37
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A 2.430%, 6/20/32 144A		53,454		53

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

122

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A 3.080%, 3/21/33 144A		135,721		136
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A 2.330%, 7/20/33 144A		38,796		39
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A		179,868		181
Sierra Timeshare Receivables Funding LLC, Series 2019-2, Class A 2.590%, 5/20/36 144A		630,928		631
Sierra Timeshare Receivables Funding LLC, Series 2019-3, Class A 2.340%, 7/15/38 144A		591,469		589
SLM Student Loan Trust, Series 2007-7, Class A4 2.910%, (ICE LIBOR USD 3 Month plus 0.330%), 1/25/22		199,617		194
SLM Student Loan Trust, Series 2008-1, Class A4 3.230%, (ICE LIBOR USD 3 Month plus 0.650%), 1/25/22		579,645		570
SLM Student Loan Trust, Series 2008-5, Class A4 4.280%, (ICE LIBOR USD 3 Month plus 1.700%), 7/25/23		87,873		88
SLM Student Loan Trust, Series 2008-9, Class A 4.080%, (ICE LIBOR USD 3 Month plus 1.500%), 4/25/23		64,453		65
SMB Private Education Loan Trust, Series 2014-A, Class A3 3.894%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144Ab		665,000		670
SMB Private Education Loan Trust, Series 2015-A, Class A2B 3.394%, (ICE LIBOR USD 1 Month plus 1.000%), 6/15/27 144A		124,995		125
SMB Private Education Loan Trust, Series 2016-C, Class A2B 3.494%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		520,921		522
SMB Private Education Loan Trust, Series 2018-B, Class A2B 3.114%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144Ab		670,000		665
Synchrony Card Funding LLC, Series 2019- A2, Class A 2.340%, 6/16/25b		840,000		847
Synchrony Credit Card Master Note Trust, Series 2015-1, Class B 2.640%, 3/15/23		250,000		250
Synchrony Credit Card Master Note Trust, Series 2015-4, Class B 2.620%, 9/15/23		305,000		305
Synchrony Credit Card Master Note Trust, Series 2016-2, Class C 2.950%, 5/15/24		522,306		522


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Synchrony Credit Card Master Note Trust, Series 2018-1, Class C 3.360%, 3/15/24		445,000		448
Towd Point Mortgage Trust, Series 2015-1, Class A1 3.000%, (AFC), 1/28/58 144A		185,904		188
Towd Point Mortgage Trust, Series 2015-4, Class A1B 2.750%, (AFC), 4/25/55 144A		122,010		122
Towd Point Mortgage Trust, Series 2015-5, Class A1B 2.750%, (AFC), 5/25/55 144A		127,271		127
Towd Point Mortgage Trust, Series 2016-1, Class A1B 2.750%, (AFC), 2/25/55 144A		67,569		68
Towd Point Mortgage Trust, Series 2016-1, Class A3B 3.000%, (AFC), 2/25/55 144A		100,663		101
Towd Point Mortgage Trust, Series 2016-2, Class A1A 2.750%, (AFC), 8/25/55 144A		71,461		72
Towd Point Mortgage Trust, Series 2016-3, Class A1 2.250%, (AFC), 4/25/56 144A		51,275		51
Towd Point Mortgage Trust, Series 2017-1, Class A1 2.750%, (AFC), 10/25/56 144A		290,196		292
Towd Point Mortgage Trust, Series 2017-2, Class A1 2.750%, (AFC), 4/25/57 144A		182,831		184
Towd Point Mortgage Trust, Series 2017-3, Class A1 2.750%, (AFC), 7/25/57 144A		410,284		412
Towd Point Mortgage Trust, Series 2017-4, Class A1 2.750%, (AFC), 6/25/57 144A		217,673		219
Towd Point Mortgage Trust, Series 2017-6, Class A1 2.750%, (AFC), 10/25/57 144Ab		805,368		810
Towd Point Mortgage Trust, Series 2018-2, Class A1 3.250%, (AFC), 3/25/58 144Ab		1,000,627		1,017
Towd Point Mortgage Trust, Series 2018-5, Class A1A 3.250%, (AFC), 8/25/58 144Ab		741,395		755
Verizon Owner Trust, Series 2016-2A, Class C 2.360%, 5/20/21 144A		270,000		270
Verizon Owner Trust, Series 2017-1A, Class C 2.650%, 9/20/21 144A		150,000		150
Verizon Owner Trust, Series 2017-3A, Class C 2.530%, 4/20/22 144A		550,000		551
Verizon Owner Trust, Series 2018-1A, Class C 3.200%, 9/20/22 144A		450,000		456
Volvo Financial Equipment LLC, Series 2018-1A, Class B 2.910%, 1/17/23 144A		210,000		212

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

123

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Volvo Financial Equipment Master Owner Trust, Series2017-A, Class A 2.894%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/22 144A		115,000		115
World Omni Auto Receivables Trust, Series2019-C, Class C 2.400%, 6/15/26		380,000		379
World Omni Automobile Lease Securitization Trust, Series2018-A, Class B 3.060%, 5/15/23		130,000		131

Total				53,260


Mortgage Securities (15.9%)
Angel Oak Mortgage Trust I LLC, Series2019-2, Class A1 3.628%, (AFC), 3/25/49 144A		395,852		400
Angel Oak Mortgage Trust I LLC, Series2019-2, Class M1 4.065%, (AFC), 3/25/49 144A		270,000		275
Atrium Hotel Portfolio Trust, Series 2017- ATRM, Class A 3.324%, (ICE LIBOR USD 1 Month plus 0.930%), 12/15/36 144A		520,000		518
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A 3.244%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A		460,000		458
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class A1 1.957%, 2/15/50		78,288		78
BANK, Series 2017-BNK4, Class A1 2.002%, 5/15/50		307,642		307
BANK, Series 2019-BNK24, Class A1 2.056%, 11/15/62		250,000		250
CD Commercial Mortgage Trust, Series 2016-CD2, Class A1 1.848%, 11/10/49		372,325		371
CD Commercial Mortgage Trust, Series 2017-CD3, Class A1 1.965%, 2/10/50		75,204		75
CGDB Commercial Mortgage Trust 2019, Series MOB, Class D 3.390%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144Ab		660,000		659
Citigroup Commercial Mortgage Trust, Series2015-P1, Class A1 1.648%, 9/15/48		13,881		14
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A1 2.720%, (AFC), 7/25/49 144A		404,957		405
COLT Funding LLC, Series2018-3, Class A2 3.763%, (AFC), 10/26/48 144A		139,503		140
COLT Mortgage Loan Trust, Series2018-1, Class A1 2.930%, (AFC), 2/25/48 144A		51,355		51
COLT Mortgage Loan Trust, Series2018-1, Class A3 3.084%, (AFC), 2/25/48 144A		22,827		23
COLT Mortgage Loan Trust, Series2018-2, Class A1 3.470%, (AFC), 7/27/48 144A		418,040		419


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
COLT Mortgage Loan Trust, Series2018-2, Class A2 3.542%, (AFC), 7/27/48 144A		152,173		153
COLT Mortgage Loan Trust, Series2018-4, Class A1 4.006%, (AFC), 12/28/48 144A		216,581		217
COLT Mortgage Loan Trust, Series2019-2, Class A1 3.337%, (AFC), 5/25/49 144A		262,231		263
COLT Mortgage Loan Trust, Series2019-3, Class A1 2.764%, (AFC), 8/25/49 144Ab		664,537		664
Commercial Mortgage Pass Through Certificates, Series 2015-LC23, Class A2 3.221%, 10/10/48		605,000		608
Commercial Mortgage Pass Through Certificates, Series 2016-CR28, Class A1 1.770%, 2/10/49		9,157		9
Commercial Mortgage Pass Through Certificates, Series 2017-COR2, Class A1 2.111%, 9/10/50		114,314		114
Connecticut Avenue Securities Trust, Series2019-R03, Class 1M1 3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/31 144A		74,525		75
Connecticut Avenue Securities Trust, Series2019-R06, Class 2M1 2.542%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/39 144A		322,375		322
Credit Suisse Mortgage Capital Certificates, Series2019-ICE4, Class C 3.824%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A		515,000		515
Credit Suisse Mortgage Capital Certificates, Series2019-ICE4, Class D 3.994%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		405,000		405
CSAIL Commercial Mortgage Trust, Series2015-C3, Class A1 1.716%, 8/15/48		20,696		21
CSAIL Commercial Mortgage Trust, Series2017-CX9, Class A1 2.024%, 9/15/50		62,084		62
CSAIL Commerical Mortgage Trust, Series2019-C16, Class A1 2.360%, 6/15/52		274,800		276
Deephaven Residential Mortgage Trust, Series2017-1A, Class A3 3.485%, (CSTR, AFC), 12/26/46 144A		29,894		30
Deephaven Residential Mortgage Trust, Series2017-3A, Class A1 2.577%, (CSTR, AFC), 10/25/47 144A		146,032		146
Deephaven Residential Mortgage Trust, Series2017-3A, Class A2 2.711%, (CSTR, AFC), 10/25/47 144A		24,339		24
Deephaven Residential Mortgage Trust, Series2017-3A, Class A3 2.813%, (CSTR, AFC), 10/25/47 144A		24,339		24
Deephaven Residential Mortgage Trust, Series2018-1A, Class A1 2.976%, (AFC), 1/25/58 144A		136,920		137

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

124

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Deephaven Residential Mortgage Trust, Series2018-3A, Class A3 3.963%, (AFC), 8/25/58 144A		50,679		51
Deephaven Residential Mortgage Trust, Series2019-1A, Class A1 3.743%, (AFC), 1/25/59 144A		422,531		425
Deephaven Residential Mortgage Trust, Series2019-2A, Class A3 3.763%, (AFC), 4/25/59 144A		288,929		291
Deephaven Residential Mortgage Trust, Series2019-2A, Class M1 3.921%, (AFC), 4/25/59 144A		195,000		198
Deephaven Residential Mortgage Trust, Series2019-3A, Class A1 2.964%, (AFC), 7/25/59 144A b		657,076		659
FDIC Guaranteed Notes Trust, Series 2010- S2, Class 2A 2.570%, 7/29/47 144A		62,725		63
Federal Home Loan Mortgage Corp. 3.500%, 3/1/46		78,335		83
4.500%, 12/1/49b		701,338		740
5.500%, 5/1/22		40,911		42
6.000%, 9/1/34		1,961		2
6.000%, 2/1/35		41,545		47
6.000%, 9/1/35		13,272		15
6.000%, 1/1/38		2,420		3
7.000%, 3/1/39		84,525		98
7.500%, 6/1/38		87,350		101
Federal Home Loan Mortgage Corp., Series 2017-DNA1, Class M1 3.604%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/29		95,015		95
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1 3.604%, (ICE LIBOR USD 1 Month plus 1.200%), 10/25/29		361,741		363
Federal Home Loan Mortgage Corp., Series 2017-HQA1, Class M1 3.604%, (ICE LIBOR USD 1 Month plus 1.200%), 8/25/29		74,257		74
Federal Home Loan Mortgage Corp., Series 2017-HQA2, Class M1 3.204%, (ICE LIBOR USD 1 Month plus 0.800%), 12/25/29		60,028		60
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1 3.858%, (CSTR), 5/25/47 144A		66,701		67
Federal Home Loan Mortgage Corp., Series 2017-SPI1, Class M1 3.982%, 9/25/47 144A		24,168		24
Federal Home Loan Mortgage Corp., Series 2018-DNA2, Class M1 3.204%, (ICE LIBOR USD 1 Month plus 0.800%), 12/25/30 144A		545,705		546
Federal Home Loan Mortgage Corp., Series 2018-HQA2, Class M1 3.180%, (ICE LIBOR USD 1 Month plus 0.750%), 10/25/48 144A		279,526		280
Federal Home Loan Mortgage Corp., Series 2018-SPI2, Class M1 3.818%, 5/25/48 144A		121,821		122


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 2018-SPI3, Class M1 4.165%, 8/25/48 144A		83,135		83
Federal Home Loan Mortgage Corp., Series 3713, Class PA 2.000%, 2/15/40		261,941		263
Federal Home Loan Mortgage Corp., Series 3718, Class BC 2.000%, 2/15/25		133,404		133
Federal Home Loan Mortgage Corp., Series 4092, Class CL 1.250%, 6/15/27b		777,414		758
Federal Home Loan Mortgage Corp., Series DNA3, Class M1 3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 3/25/30		221,269		221
Federal National Mortgage Association 2.500%, 10/1/22		249,613		252
2.500%, 12/1/22		64,088		65
3.000%, 6/1/22		62,959		64
3.000%, 4/1/24		214,305		220
3.500%, 5/1/27		537,514		558
3.500%, 4/1/34		212,003		220
3.500%, 4/1/46b		777,506		811
3.500%, 2/1/48		219,462		228
4.000%, 1/1/47		211,247		222
4.000%, 8/1/47		480,251		505
4.000%, 9/1/47		82,269		86
4.000%, 9/1/48		257,342		268
4.000%, 10/1/48		72,933		76
4.000%, 2/1/49		86,252		90
4.000%, 8/1/49b		891,575		928
4.000%, 11/1/49		140,910		147
4.500%, 5/1/40		117,927		128
4.500%, 9/1/40		111,330		121
4.500%, 9/1/48		133,611		141
4.500%, 10/1/48b		601,982		646
4.500%, 11/1/48		193,189		204
4.500%, 12/1/48b		1,074,025		1,130
4.500%, 5/1/49		395,721		424
4.500%, 10/1/49		260,196		275
4.500%, 11/1/49		13,798		15
5.000%, 10/1/33		144,070		159
5.000%, 5/1/48		243,026		260
5.000%, 9/1/48		230,477		246
5.000%, 2/1/49		327,891		350
5.000%, 8/1/49		276,727		296
5.500%, 8/1/37		81,943		92
5.500%, 2/1/38		308,862		348
6.000%, 8/1/22		21,244		22
6.000%, 3/1/34		69,483		78
6.000%, 8/1/34		195,347		224
6.000%, 11/1/34		7,220		8
6.000%, 12/1/34		2,409		3
6.000%, 4/1/35		4,473		5
6.000%, 5/1/38		3,071		4
6.000%, 10/1/40		150,356		172
6.000%, 2/1/49b		657,504		754
6.500%, 7/1/32		22,223		25
6.500%, 12/1/32		22,957		26

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

125

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal National Mortgage Association TBA 3.500%, 1/16/35		315,000		326
Federal National Mortgage Association, Series2010-95, Class BK 1.500%, 2/25/20		235		–	p
Federal National Mortgage Association, Series2011-113, Class AG 2.500%, 11/25/26		147,129		147
Federal National Mortgage Association, Series2013-74, Class AD 2.000%, 7/25/23		146,726		146
Federal National Mortgage Association, Series 2017, Class 2ED3 3.495%, (ICE LIBOR USD 1 Month plus 1.350%), 9/25/29		300,000		300
Federal National Mortgage Association, Series2017-90, Class KA 3.000%, 11/25/47		386,668		401
Federal National Mortgage Association, Series2017-C01, Class 1M1 3.704%, (ICE LIBOR USD 1 Month plus 1.300%), 7/25/29		40,756		41
Federal National Mortgage Association, Series2017-C02, Class 2M1 3.554%, (ICE LIBOR USD 1 Month plus 1.150%), 9/25/29		80,037		80
Federal National Mortgage Association, Series2017-C03, Class 1M1 3.354%, (ICE LIBOR USD 1 Month plus 0.950%), 10/25/29		209,552		210
Federal National Mortgage Association, Series2017-C04, Class 2ED2 2.892%, (ICE LIBOR USD 1 Month plus 1.100%), 11/25/29b		765,000		761
Federal National Mortgage Association, Series2017-C04, Class 2M1 3.254%, (ICE LIBOR USD 1 Month plus 0.850%), 11/25/29		95,278		95
Federal National Mortgage Association, Series2017-C05, Class 1M1 2.954%, (ICE LIBOR USD 1 Month plus 0.550%), 1/25/30		3,313		3
Federal National Mortgage Association, Series2017-C06, Class 1M1 3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/30		36,847		37
Federal National Mortgage Association, Series2018-44, Class PC 4.000%, 6/25/44b		827,761		855
Federal National Mortgage Association, Series2018-C03, Class 1M1 3.084%, (ICE LIBOR USD 1 Month plus 0.680%), 10/25/30		232,441		233
Federal National Mortgage Association, Series2018-C05, Class 1M1 3.124%, (ICE LIBOR USD 1 Month plus 0.720%), 1/25/31		210,149		210
Federal National Mortgage Association, Series R05, Class 1M1 2.895%, (ICE LIBOR USD 1 Month plus 0.750%), 7/25/39 144A		248,173		248


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Galton Funding Mortgage Trust, Series 2018-1, Class A33 3.500%, (AFC), 11/25/57 144A		241,595		243
Galton Funding Mortgage Trust, Series 2019-1, Class A32 4.000%, (AFC), 2/25/59 144A		217,068		219
Galton Funding Mortgage Trust, Series 2019- H1, Class M1 3.339%, (AFC), 10/25/59 144A		260,000		260
GCCFC Commercial Mortgage Trust, Series2006-GG7, Class AM 5.830%, (CSTR), 7/10/38		77,388		78
Government National Mortgage Association 3.500%, 12/20/42		7,689		8
3.500%, 9/20/43		110,548		116
4.000%, 8/20/48		20,658		22
4.000%, 5/20/49		33,620		35
4.000%, 8/20/49		24,562		26
4.000%, 11/20/49b		989,963		1,032
4.500%, 5/20/49		256,136		268
4.500%, 6/20/49		284,455		298
5.000%, 3/20/34		410,559		455
5.000%, 1/20/48		117,971		126
5.000%, 2/20/48b		645,221		691
5.500%, 6/20/37		95,580		107
5.500%, 9/15/45		286,864		321
5.500%, 3/20/48		77,236		83
5.500%, 12/20/48		76,428		81
5.500%, 2/20/49b		948,572		1,008
Government National Mortgage Association, Series2018-122, Class FE 2.683%, (ICE LIBOR USD 1 Month plus 0.300%), 9/20/48		112,908		112
Great Wolf Trust, Series 2019-WOLF, Class C 3.355%, (ICE LIBOR USD 1 Month plus 1.633%), 12/15/29 144A		270,000		270
GS Mortgage Securities Trust, Series 2014- EB1A, Class 2A1 2.458%, (CSTR), 7/25/44 144A		30,584		31
GS Mortgage Securities Trust, Series 2015- GC32, Class A1 1.593%, 7/10/48		1,606		2
GS Mortgage Securities Trust, Series 2016- GS3, Class A1 1.429%, 10/10/49		29,821		30
Homeward Opportunities Fund I Trust, Series2018-1, Class A1 3.766%, (AFC), 6/25/48 144A		290,822		293
Homeward Opportunities Fund I Trust, Series2018-1, Class A2 3.897%, (AFC), 6/25/48 144A		235,133		237
Homeward Opportunities Fund I Trust, Series2019-1, Class A1 3.454%, (AFC), 1/25/59 144A		523,999		527
Homeward Opportunities Fund I Trust, Series2019-1, Class A3 3.606%, (AFC), 1/25/59 144A		351,828		354
Homeward Opportunities Fund I Trust, Series2019-3, Class A1 2.675%, (AFC), 11/25/59 144A		483,303		482

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

126

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
InTown Hotel Portfolio Trust, Series 2018- STAY, Class A 3.094%, (ICE LIBOR USD 1 Month plus 0.700%), 1/15/33 144A		115,000		115
InTown Hotel Portfolio Trust, Series 2018- STAY, Class C 3.644%, (ICE LIBOR USD 1 Month plus 1.250%), 1/15/33 144A		100,000		100
JPMCC Commercial Mortgage Securities Trust, Series 2019-BKWD, Class B 3.200%, (ICE LIBOR USD 1 Month plus 1.350%), 9/15/29 144Ab		790,000		790
JPMCC Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C 3.450%, (ICE LIBOR USD 1 Month plus 1.600%), 9/15/29 144A		250,000		250
MetLife Securitization Trust, Series2017-1A, Class A 3.000%, (AFC), 4/25/55 144A		210,860		213
Morgan Stanley Bank of America Merrill Lynch Trust, Series2014-C18, Class AS 4.110%, (AFC), 10/15/47		185,000		197
Morgan Stanley Bank of America Merrill Lynch Trust, Series2015-C24, Class A1 1.706%, 5/15/48		52,897		53
Morgan Stanley Bank of America Merrill Lynch Trust, Series2016-C30, Class A1 1.389%, 9/15/49		64,019		64
Morgan Stanley Capital I Trust Series 2019- MEAD, Class D 3.177%, 11/10/36 144A		480,000		471
Morgan Stanley Capital I Trust, Series 2015- MS1, Class A1 1.638%, 5/15/48		50,432		50
New Orleans Hotel Trust 2019, Series HNLA, Class B 3.683%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144Ab		790,000		788
New Residential Funding LLC, Series 2018- NQM1, Class A1 3.986%, (AFC), 11/25/48 144A		504,486		509
New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A1 2.802%, (AFC), 7/25/49 144A		526,893		527
New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A3 3.086%, (AFC), 7/25/49 144A		207,154		207
New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1 2.710%, (AFC), 11/25/59 144A		553,157		553
OBX Trust, Series 2019-EXP2, Class 2A1A 3.045%, (ICE LIBOR USD 1 Month plus 0.900%), 7/25/59 144A		332,265		332
OBX Trust, Series 2019-EXP2, Class 2A2 3.345%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A		547,466		548
OBX Trust, Series 2019-EXP3, Class 2A1 2.692%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144Ab		641,273		638


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
RETL, Series2019-RVP, Class A 3.544%, (ICE LIBOR USD 1 Month plus 1.150%), 3/15/36 144A		167,617		168
Sequoia Mortgage Trust, Series2018-CH1, Class A11 3.500%, (AFC), 2/25/48 144A		356,058		357
Sequoia Mortgage Trust, Series2018-CH2, Class A3 4.000%, (AFC), 6/25/48 144A		544,642		555
Sequoia Mortgage Trust, Series2018-CH3, Class A19 4.500%, (AFC), 8/25/48 144A		125,593		129
Sequoia Mortgage Trust, Series2018-CH4, Class A2 4.000%, (AFC), 10/25/48 144A		202,511		205
SG Residential Mortgage Trust, Series 2019-3, Class A2 2.877%, (AFC), 9/25/59 144A		509,276		508
Slide, Series2018-FUN, Class D 4.244%, (ICE LIBOR USD 1 Month plus 1.850%), 6/15/31 144A		372,081		372
STACR Trust, Series 2018-DNA3, Class M1 3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/48 144A		199,953		200
STACR Trust, Series 2018-HRP2, Class M1 3.254%, (ICE LIBOR USD 1 Month plus 0.850%), 2/25/47 144A		28,327		28
STACR Trust, Series 2018-HRP2, Class M2 3.654%, (ICE LIBOR USD 1 Month plus 1.250%), 2/25/47 144A		340,000		341
STACR Trust, Series 2019-DNA3, Class M1 3.030%, (ICE LIBOR USD 1 Month plus 0.730%), 7/25/49 144A		112,604		113
STACR Trust, Series 2019-HQA4, Class M1 2.562%, (ICE LIBOR USD 1 Month plus 0.770%), 11/25/49 144A		265,000		265
Starvest Emerging Markets CBO, Series 2019-IMC1, Class A1 3.468%, (AFC), 4/25/49 144A		275,253		277
Starwood Mortgage Residential Trust, Series2019-1, Class A1 2.941%, (AFC), 6/25/49 144A		427,293		427
Starwood Mortgage Residential Trust, Series2019-1, Class A3 3.299%, (AFC), 6/25/49 144A		292,129		292
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A1 2.610%, (AFC), 9/27/49 144A		96,195		96
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3 2.916%, (AFC), 9/27/49 144A		211,629		210
TIAA Seasoned Commercial Mortgage Trust, Series2007-C4, Class AJ 5.483%, (CSTR), 8/15/39		285		–	p
Verus Securitization Trust, Series2018-1, Class A1 2.929%, (AFC), 2/25/48 144A		68,682		69
Verus Securitization Trust, Series2018-2, Class A1 3.677%, (AFC), 6/1/58 144A		353,869		356

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

127

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Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Verus Securitization Trust, Series2018-2, Class A2 3.779%, (AFC), 6/1/58 144A		96,761		97
Verus Securitization Trust, Series2018-2, Class A3 3.830%, (AFC), 6/1/58 144A		60,821		61
Verus Securitization Trust, Series2018-3, Class A1 4.108%, (AFC), 10/25/58 144A		462,919		467
Verus Securitization Trust, Series2019-1, Class A1 3.836%, (AFC), 2/25/59 144A		495,319		500
Verus Securitization Trust, Series2019-2, Class A1 3.211%, (AFC), 4/25/59 144A		391,622		394
Verus Securitization Trust, Series2019-4, Class A3 3.000%, (AFC), 11/25/59 144A		318,134		318
Verus Securitization Trust, Series 2019-INV1, Class A1 3.402%, (AFC), 12/25/59 144A		209,891		211
Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144Ab		689,655		690
Verus Securitization Trust, Series 2019-INV2, Class A2 3.117%, (AFC), 7/25/59 144A		415,620		416
Verus Securitization Trust, Series 2019-INV3, Class A3 3.100%, (AFC), 11/25/59 144A		317,572		317
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2 3.020%, 7/15/58		227,629		228
Wells Fargo Commercial Mortgage Trust, Series2016-C32, Class A1 1.577%, 1/15/59		27,807		28
Wells Fargo Commercial Mortgage Trust, Series2017-C38, Class A1 1.968%, 7/15/50		160,957		161
Wells Fargo Commercial Mortgage Trust, Series2017-C39, Class A1 1.975%, 9/15/50		112,103		112
WFRBS Commercial Mortgage Trust, Series2012-C6, Class B 4.697%, 4/15/45		385,000		401

Total				52,993

Total Structured Products
(Cost: $105,784)				106,253


Short-Term Investments (2.1%)

Commercial Paper (0.2%)
Ford Motor Credit Co. LLC 0.000%, 7/27/20 144A		345,000		339
0.000%, 8/4/20 144A		250,000		246


Total				585


Short-Term Investments (2.1%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (1.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		6,496,523		6,497


Total				6,497


Total Short-Term Investments
(Cost: $7,081)				7,082


Total Investments (101.1%)
(Cost: $335,848)^@				338,359

Other Assets, Less
Liabilities(-1.1%)				(3,785	)


Net Assets (100.0%)				334,574

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

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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		4,500		45		3/20	$	5,337	$	18		$	1
Ten-Year US Treasury Note Future		Short		USD		5,300		53		3/20		6,806		76			6
Two-Year US Treasury Note Future		Long		USD		64,200		321		3/20		69,176		(96	)		15

													$	(2	)	$	22


	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	$	-	$	22	$	22	$	-	$	-	$	-	$	-

+	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, 2019, the aggregate value of these securities was $2,590 (in thousands), representing 0.8% of net assets.

b	Cash or securities with an aggregate value of $163,913 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 12/31/2019.

p	Amount is less than one thousand.

#	7-Day yield as of l2/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $335,755 and the net unrealized appreciation of investments based on that cost was $2,602 which is comprised of $2,819 aggregate gross unrealized appreciation and$217 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	-		$	164,116	$	-
Governments		-			60,908		-
Structured Products		-			106,253		-
Short-Term Investments
Money Market Funds		6,497			-		-
All Others		-			585		-
Other Financial Instruments^
Futures		94			-		-
Total Assets:	$	6,591		$	331,862	$	-
Liabilities:
Other Financial Instruments^
Futures		(96	)		-		-
Total Liabilities:	$	(96	)	$	-	$	-

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

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Select Bond Portfolio (unaudited)


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.	$3.2 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Select Bond Portfolio (the “Portfolio”), has engaged Wells Capital Management, Inc. (“Wells Capital”) to act assub-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 10% of net assets innon-investment grade, high yield/high risk bonds (so called “junk bonds”) and 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 Barclays^® 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

After a tumultuous end to 2018, fixed income markets roared back early in 2019 with the U.S. Federal Reserve (the “Fed”) and other central banks pivoting to an easing campaign. By year end, the Fed lowered its key interest rate three times by 25 basis points each time, which helped support economic growth, as evidenced by strong year end data on housing and auto sales. While Brexit and trade tensions between the U.S. and China were of concern from the start of the year, other geopolitical issues also grabbed attention later, such as the Hong Kong protests, the impeachment of President Donald Trump and tensions in the Middle East.

PORTFOLIO RESULTS

The Portfolio returned 8.65% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Bloomberg Barclays^® U.S. Aggregate Index (the “Index”), returned 8.72%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Core Bond Funds peer group was 8.78%.

In credit, security selection was the primary contributor to performance. Sector allocation was also beneficial as the Portfolio held a small overweight to credit for most of the year while spreads tightened. Issuer positioning across most subsectors contributed to Portfolio returns, with Health Care, Utilities, Sovereigns and Communications leading performance. Examples in the Heath Care sector included overweight positions in Becton Dickinson and Co., Celgene Corp, and Bristol-Myers Squibb Co. An underweight to Duke Energy Corp, and an overweight to Electriticé de France SA in the Utilities sector were beneficial. Among Sovereigns, dynamic positioning in Indonesia and relative-value positioning in Communications holdings Charter Communications Operating LLC, Fox Corp, and Verizon Communications, Inc. also supported gains.

In agency mortgage-backed securities, a sector overweight and security selection in30-year conventional and Ginnie Mae mortgages contributed to performance. Positioning in higher coupon mortgages was the largest contributor to performance, with robust security selection opportunities throughout the year. Collateralized mortgage obligations detracted slightly from performance.

In consumer asset-backed securities (“ABS”), security selection restrained performance during the year, with private credit and Federal Family Education Loan Program student loans accounting for the majority of the detraction. Sector overweights to ABS and commercial mortgage-backed securities, and positioning in rental car ABS, prime auto ABS, credit card ABS and AAA residential mortgage-backed securities contributed to performance.

PORTFOLIO MANAGER OUTLOOK

The following forward-looking comments are the opinion of Wells Capital, the Portfolio’ssub-adviser.

130

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Valuations for riskier assets such as credit and equities rebounded strongly during 2019, and government bonds seemed to price in stable growth with low inflation in light of improved expectations for the economic outlook, anticipation of a stable monetary policy for the foreseeable future and the resolution of risky political situations, such as U.S.-China trade tensions and Brexit. A benign,low-volatility environment appears to be priced into many financial markets. As such, we believe that investors will carefully monitor economic data to determine if relatively high expectations for sustained valuation levels can be met going forward, and attention will quickly turn to political developments such as the 2020 presidential election. Wild cards such as increased tensions in the Middle East could further affect risk sentiment and financial markets. We will be monitoring recent weakness in the U.S. dollar to see if a new trend is in place, which could have implications for valuations of international assets and the shape of the yield curve.

We maintain a neutral duration (a measure of the Portfolio’s relative sensitivity to interest rates) and continue to maintain an overweight position in ABS due to stable fundamentals in core sectors of the market. We maintain an overweight in Agency MBS on attractive risk-adjusted valuations compared with Treasurys and credit. We continue to be active in credit, focusing on security selection and relative-value trading where we see opportunities within a tempered overall target.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Select Bond Portfolio		8.65	%		3.08	%		3.72	%
Bloomberg Barclays^® U.S. Aggregate Index		8.72	%		3.05	%		3.75	%
Lipper^® Variable Insurance Products (VIP) Core Bond Funds Average		8.78	%		2.95	%		3.80	%

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 visitwww.northwesternmutual.com.

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.

Return of principal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.

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Top 10 Fixed Income Holdings12/31/19


Security Description	% of Net Assets
US Treasury, Various	25.9	%
Federal National Mortgage Association, Various	17.1	%
Federal Home Loan Mortgage Corp., Various	5.7	%
Government National Mortgage Association, Various	5.6	%
Bank of America Corp., Various	1.1	%
AbbVie, Inc., Various	0.9	%
JPMorgan Chase & Co., Various	0.7	%
Federal Home Loan Bank, Various	0.7	%
Bristol-Myers Squibb Co., Various	0.7	%
Comcast Corp., Various	0.7	%

Sector Allocation12/31/19


Sector	% of Net Assets
Structured Products		50.5	%
Governments		26.5	%
Corporate Bonds		25.1	%
Municipal Bonds		0.5	%
Short-Term Investments & Other Net Assets		-2.6	%

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.

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SCHEDULE OF INVESTMENTS

December 31, 2019


Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials (0.7%)
Barrick Gold Corp. 3.850%, 4/1/22		227,000		236
Barrick North America Finance LLC
5.700%, 5/30/41		2,172,000		2,673
5.750%, 5/1/43		509,000		646
Celulosa Arauco y Constitucion SA
4.200%, 1/29/30 144A		1,232,000		1,236
5.150%, 1/29/50 144A		1,407,000		1,397
The Dow Chemical Co. 4.250%, 10/1/34		737,000		806
DowDuPont, Inc.
4.205%, 11/15/23		2,875,000		3,073
4.493%, 11/15/25		2,047,000		2,252
Huntsman International LLC
4.500%, 5/1/29		1,351,000		1,434
5.125%, 11/15/22		881,000		941
Minera Mexico SA de CV 4.500%, 1/26/50 144A		1,031,000		1,049
The Mosaic Co.
4.050%, 11/15/27		1,228,000		1,274
5.625%, 11/15/43		765,000		897
Steel Dynamics, Inc.
2.800%, 12/15/24		1,119,000		1,125
3.450%, 4/15/30		617,000		623
Teck Resources, Ltd. 6.250%, 7/15/41		2,174,000		2,487
Westlake Chemical Corp. 3.600%, 8/15/26		206,000		213
4.375%, 11/15/47		1,337,000		1,349

Total				23,711


Communications (2.3%)
AT&T, Inc. 3.000%, 2/15/22		1,670,000		1,703
3.000%, 6/30/22		2,675,000		2,733
3.400%, 5/15/25		2,144,000		2,246
3.800%, 2/15/27		855,000		910
3.900%, 3/11/24		1,019,000		1,083
4.300%, 2/15/30		745,000		828
4.500%, 3/9/48		525,000		579
4.850%, 3/1/39		1,052,000		1,210
5.150%, 2/15/50		2,344,000		2,819
5.250%, 3/1/37		627,000		747
5.350%, 12/15/43		526,000		622
5.375%, 10/15/41		842,000		999
5.450%, 3/1/47		759,000		940
5.700%, 3/1/57		627,000		807
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp.
4.464%, 7/23/22		1,030,000		1,082
4.800%, 3/1/50		4,302,000		4,521
5.375%, 5/1/47		909,000		1,017
Comcast Corp. 2.650%, 2/1/30		4,154,000		4,165
3.450%, 10/1/21		2,648,000		2,725


Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
3.450%, 2/1/50		1,390,000		1,420
3.700%, 4/15/24		2,109,000		2,247
3.950%, 10/15/25		1,907,000		2,080
4.000%, 3/1/48		1,600,000		1,774
4.150%, 10/15/28		1,074,000		1,208
4.600%, 10/15/38		2,670,000		3,176
4.700%, 10/15/48		535,000		659
4.950%, 10/15/58		798,000		1,036
Rogers Communications, Inc. 3.700%, 11/15/49		1,730,000		1,741
Telefonica Emisiones SA 5.520%, 3/1/49		2,181,000		2,728
Time Warner Cable LLC 6.550%, 5/1/37		745,000		912
Verizon Communications, Inc. 4.016%, 12/3/29		1,159,000		1,295
4.125%, 8/15/46		2,552,000		2,875
4.272%, 1/15/36		469,000		530
4.329%, 9/21/28		1,845,000		2,091
4.400%, 11/1/34		2,284,000		2,643
4.522%, 9/15/48		522,000		624
4.672%, 3/15/55		281,000		347
5.012%, 4/15/49		522,000		667
5.500%, 3/16/47		1,017,000		1,377
Vodafone Group PLC 4.250%, 9/17/50		4,100,000		4,266
The Walt Disney Co.
1.750%, 8/30/24		3,205,000		3,175
2.000%, 9/1/29		2,135,000		2,070
2.750%, 9/1/49		485,000		456

Total				73,133


Consumer, Cyclical (1.0%)
Costco Wholesale Corp. 3.000%, 5/18/27		1,029,000		1,084
Ford Motor Co. 4.750%, 1/15/43		5,238,000		4,633
Ford Motor Credit Co. LLC 4.063%, 11/1/24		1,815,000		1,851
General Motors Co. 5.400%, 4/1/48		791,000		817
5.950%, 4/1/49		1,731,000		1,914
The Home Depot, Inc. 4.500%, 12/6/48		1,038,000		1,278
Lowe’s Companies, Inc. 3.650%, 4/5/29		5,021,000		5,363
McDonald’s Corp.
2.625%, 9/1/29		1,716,000		1,716
4.450%, 9/1/48		1,262,000		1,442
Starbucks Corp.
3.750%, 12/1/47		1,477,000		1,530
3.800%, 8/15/25		114,000		123
Walmart, Inc.
2.375%, 9/24/29		1,496,000		1,495
2.950%, 9/24/49		1,872,000		1,858
3.550%, 6/26/25		2,257,000		2,422

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

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Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
3.700%, 6/26/28		4,940,000		5,443
4.050%, 6/29/48		24,000		28

Total				32,997


Consumer,Non-cyclical (5.2%)
Abbott Laboratories
3.750%, 11/30/26		1,418,000		1,548
4.900%, 11/30/46		2,338,000		3,068
AbbVie, Inc.
2.300%, 11/21/22 144A		9,593,000		9,639
2.500%, 5/14/20		4,056,000		4,062
2.600%, 11/21/24 144A		6,381,000		6,418
2.950%, 11/21/26 144A		1,184,000		1,202
3.200%, 11/21/29 144A		3,498,000		3,556
4.050%, 11/21/39 144A		643,000		680
4.250%, 11/21/49 144A		1,762,000		1,854
Aetna, Inc. 3.875%, 8/15/47		855,000		867
Altria Group, Inc.
4.800%, 2/14/29		2,268,000		2,525
5.950%, 2/14/49		552,000		667
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.
4.150%, 1/23/25		2,292,000		2,494
4.600%, 4/15/48		427,000		486
4.700%, 2/1/36		1,972,000		2,274
4.900%, 1/23/31		1,877,000		2,233
4.900%, 2/1/46		4,521,000		5,347
5.550%, 1/23/49		865,000		1,121
BAT Capital Corp.
3.215%, 9/6/26		1,141,000		1,148
3.222%, 8/15/24		2,774,000		2,835
3.557%, 8/15/27		583,000		595
4.540%, 8/15/47		166,000		166
Becton Dickinson and Co.
2.404%, 6/5/20		3,552,000		3,556
3.363%, 6/6/24		1,197,000		1,246
3.700%, 6/6/27		1,166,000		1,241
3.734%, 12/15/24		2,828,000		2,996
4.685%, 12/15/44		1,320,000		1,540
Boston Scientific Corp.
3.750%, 3/1/26		1,745,000		1,869
4.000%, 3/1/29		2,330,000		2,575
4.700%, 3/1/49		1,987,000		2,410
Bristol-Myers Squibb Co.
2.600%, 5/16/22 144A		4,617,000		4,692
2.750%, 2/15/23 144A		3,859,000		3,931
2.875%, 2/19/21 144A		1,070,000		1,082
2.900%, 7/26/24 144A		2,517,000		2,597
3.200%, 6/15/26 144A		2,206,000		2,313
3.400%, 7/26/29 144A		2,697,000		2,882
3.900%, 2/20/28 144A		575,000		633
4.125%, 6/15/39 144A		267,000		307
4.250%, 10/26/49 144A		1,911,000		2,261
4.350%, 11/15/47 144A		531,000		632
Cigna Corp.
3.400%, 9/17/21		2,398,000		2,454
3.400%, 3/1/27 144A		2,756,000		2,861
3.750%, 7/15/23		2,960,000		3,102
4.800%, 8/15/38		232,000		270
4.900%, 12/15/48		1,360,000		1,620


Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer,Non-cyclical continued
Constellation Brands, Inc.
3.150%, 8/1/29		2,056,000		2,077
3.200%, 2/15/23		531,000		545
3.500%, 5/9/27		759,000		792
3.600%, 2/15/28		1,675,000		1,770
3.700%, 12/6/26		894,000		948
4.400%, 11/15/25		162,000		177
CVS Health Corp.
2.625%, 8/15/24		1,416,000		1,427
3.000%, 8/15/26		1,179,000		1,202
3.700%, 3/9/23		1,083,000		1,127
4.000%, 12/5/23		1,587,000		1,678
4.100%, 3/25/25		2,346,000		2,516
4.780%, 3/25/38		1,153,000		1,307
5.050%, 3/25/48		303,000		358
Danaher Corp. 3.350%, 9/15/25		2,190,000		2,327
Danone SA 2.947%, 11/2/26 144A		7,635,000		7,792
DH Europe Finance II SARL
2.050%, 11/15/22		1,736,000		1,737
2.200%, 11/15/24		2,973,000		2,974
2.600%, 11/15/29		1,167,000		1,161
3.400%, 11/15/49		2,218,000		2,252
The Estee Lauder Co., Inc.
2.375%, 12/1/29		1,035,000		1,033
3.125%, 12/1/49		1,968,000		1,962
Gilead Sciences, Inc. 3.650%, 3/1/26		1,074,000		1,155
Global Payments, Inc.
3.200%, 8/15/29		1,250,000		1,275
4.150%, 8/15/49		670,000		715
The Hershey Co. 2.050%, 11/15/24		2,221,000		2,224
Kraft Heinz Foods Co.
2.800%, 7/2/20		431,000		432
4.375%, 6/1/46		1,568,000		1,541
Merck & Co., Inc.
3.400%, 3/7/29		1,885,000		2,039
3.700%, 2/10/45		753,000		831
4.000%, 3/7/49		680,000		795
Pfizer, Inc.
2.800%, 3/11/22		1,048,000		1,070
3.000%, 12/15/26		548,000		575
4.100%, 9/15/38		601,000		686
Reynolds American, Inc. 5.850%, 8/15/45		1,189,000		1,361
UnitedHealth Group, Inc.
2.375%, 8/15/24		2,964,000		3,001
2.875%, 8/15/29		1,931,000		1,985
3.500%, 8/15/39		1,696,000		1,776
3.700%, 12/15/25		1,179,000		1,275
3.875%, 8/15/59		1,179,000		1,268

Total				165,021


Energy (2.8%)
BP Capital Markets America, Inc.
3.796%, 9/21/25		2,118,000		2,290
3.937%, 9/21/28		2,282,000		2,519
Canadian Natural Resources, Ltd. 3.900%, 2/1/25		722,000		769

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

134

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Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Cimarex Energy Co. 4.375%, 3/15/29		2,945,000		3,115
Devon Energy Corp. 5.600%, 7/15/41		1,741,000		2,112
Ecopetrol SA 5.875%, 5/28/45		822,000		969
Enbridge, Inc.
2.500%, 1/15/25		5,618,000		5,651
2.900%, 7/15/22		2,263,000		2,305
3.125%, 11/15/29		3,463,000		3,501
Encana Corp.
6.500%, 2/1/38		1,092,000		1,287
6.625%, 8/15/37		987,000		1,193
Energy Transfer Operating LP
5.500%, 6/1/27		1,337,000		1,501
5.875%, 1/15/24		2,037,000		2,254
6.125%, 12/15/45		1,163,000		1,345
6.250%, 4/15/49		514,000		619
Energy Transfer Partners LP 5.300%, 4/15/47		514,000		547
Enterprise Products Operating LLC
3.125%, 7/31/29		1,473,000		1,511
4.200%, 1/31/50		412,000		441
Equinor ASA 3.250%, 11/18/49		1,548,000		1,555
Hess Corp.
3.500%, 7/15/24		460,000		470
5.600%, 2/15/41		122,000		143
5.800%, 4/1/47		193,000		236
6.000%, 1/15/40		1,570,000		1,851
7.125%, 3/15/33		386,000		487
Kinder Morgan Energy Partners LP 7.300%, 8/15/33		167,000		223
Marathon Petroleum Corp.
3.625%, 9/15/24		2,863,000		3,005
4.500%, 4/1/48		1,036,000		1,099
4.750%, 12/15/23		870,000		945
MPLX LP
4.250%, 12/1/27 144A		1,027,000		1,080
4.800%, 2/15/29		1,027,000		1,126
5.200%, 12/1/47 144A		1,532,000		1,627
5.500%, 2/15/49		1,429,000		1,619
National Oilwell Varco, Inc. 3.600%, 12/1/29		2,881,000		2,885
Noble Energy, Inc.
3.250%, 10/15/29		1,748,000		1,760
4.200%, 10/15/49		816,000		818
4.950%, 8/15/47		1,842,000		2,036
5.050%, 11/15/44		1,526,000		1,699
Occidental Petroleum Corp. 7.500%, 5/1/31		560,000		728
Petroleos Mexicanos
2.460%, 12/15/25		3,851,400		3,805
6.350%, 2/12/48		5,882,000		5,676
6.500%, 3/13/27		668,000		709
6.750%, 9/21/47		1,027,000		1,029
Plains All American Pipeline LP / PAA Finance Corp.
3.550%, 12/15/29		3,384,000		3,331
4.900%, 2/15/45		1,995,000		1,983


Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Schlumberger Finance Canada, Ltd. 2.650%, 11/20/22 144A		1,099,000		1,117
Shell International Finance BV
2.000%, 11/7/24		4,247,000		4,236
3.125%, 11/7/49		1,570,000		1,545
Sunoco Logistics Partners Operations LP
5.300%, 4/1/44		1,960,000		2,081
5.350%, 5/15/45		141,000		151
Total Capital International 2.829%, 1/10/30		1,962,000		2,014
TransCanada PipeLines, Ltd. 4.875%, 5/15/48		789,000		930
Western Gas Partners LP 5.500%, 8/15/48		1,109,000		973
The Williams Companies, Inc. 3.900%, 1/15/25		767,000		807

Total				89,708


Financial (7.2%)
American International Group, Inc.
4.200%, 4/1/28		1,636,000		1,799
4.250%, 3/15/29		1,065,000		1,184
4.500%, 7/16/44		899,000		1,034
Banco Santander SA
2.706%, 6/27/24		3,400,000		3,445
3.306%, 6/27/29		1,800,000		1,852
Bank of America Corp.
2.456%, (ICE LIBOR USD 3 Month plus 0.870%), 10/22/25		9,492,000		9,547
3.093%, (ICE LIBOR USD 3 Month plus 1.090%), 10/1/25		5,185,000		5,349
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		7,424,000		7,786
3.559%, (ICE LIBOR USD 3 Month plus 1.060%), 4/23/27		2,461,000		2,599
4.183%, 11/25/27		3,076,000		3,332
4.271%, (ICE LIBOR USD 3 Month plus 1.310%), 7/23/29		5,470,000		6,072
4.330%, (ICE LIBOR USD 3 Month plus 1.520%), 3/15/50		903,000		1,081
Banque Federative du Credit Mutuel SA 2.375%, 11/21/24 144A		2,639,000		2,636
Barclays PLC 5.088%, (ICE LIBOR USD 3 Month plus 3.054%), 6/20/30		1,639,000		1,825
BB&T Corp. 2.500%, 8/1/24		6,441,000		6,518
BNP Paribas SA 2.819%, (ICE LIBOR USD 3 Month plus 1.111%), 11/19/25 144A		8,758,000		8,854
Branch Banking & Trust Co. 2.150%, 12/6/24		4,142,000		4,131
The Charles Schwab Corp. 3.250%, 5/22/29		4,757,000		5,030
Citigroup, Inc.
2.976%, (US SOFR plus 1.422%), 11/5/30		3,100,000		3,143
3.980%, (ICE LIBOR USD 3 Month plus 1.338%), 3/20/30		2,103,000		2,299

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

135

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Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Commonwealth Bank of Australia
3.610%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 2.050%), 9/12/34 144A		2,232,000		2,242
3.743%, 9/12/39 144A		892,000		893
Credit Agricole SA 2.375%, 1/22/25 144A		4,058,000		4,050
Danske Bank A/S
3.001%, (ICE LIBOR USD 3 Month plus 1.249%), 9/20/22 144A		5,492,000		5,534
3.244%, (ICE LIBOR USD 3 Month plus 1.591%), 12/20/25 144A		5,164,000		5,222
Equinix, Inc.
2.625%, 11/18/24		3,061,000		3,067
2.900%, 11/18/26		3,061,000		3,066
3.200%, 11/18/29		2,816,000		2,826
GE Capital International Funding Co. Unlimited Co.
2.342%, 11/15/20		727,000		728
4.418%, 11/15/35		4,685,000		4,988
GLP Capital LP / GLP Financing II, Inc.
4.000%, 1/15/30		2,043,000		2,085
5.300%, 1/15/29		1,105,000		1,227
HSBC Holdings PLC
2.633%, (ICE LIBOR USD 3 Month plus 1.140%), 11/7/25		3,982,000		3,994
3.803%, (ICE LIBOR USD 3 Month plus 1.211%), 3/11/25		2,942,000		3,086
3.973%, (ICE LIBOR USD 3 Month plus 1.610%), 5/22/30		2,326,000		2,505
4.041%, (ICE LIBOR USD 3 Month plus 1.546%), 3/13/28		976,000		1,043
JPMorgan Chase & Co.
2.301%, (US SOFR plus 1.160%), 10/15/25		4,810,000		4,801
2.739%, (US SOFR plus 1.510%), 10/15/30		6,847,000		6,837
2.950%, 10/1/26		1,969,000		2,027
3.220%, (ICE LIBOR USD 3 Month plus 1.155%), 3/1/25		618,000		640
3.559%, (ICE LIBOR USD 3 Month plus 0.730%), 4/23/24		1,070,000		1,114
3.702%, (ICE LIBOR USD 3 Month plus 1.160%), 5/6/30		535,000		576
3.797%, (ICE LIBOR USD 3 Month plus 0.890%), 7/23/24		535,000		564
3.882%, (ICE LIBOR USD 3 Month plus 1.360%), 7/24/38		1,596,000		1,762
3.897%, (ICE LIBOR USD 3 Month plus 1.220%), 1/23/49		1,969,000		2,209
4.005%, (ICE LIBOR USD 3 Month plus 1.120%), 4/23/29		1,399,000		1,535
4.023%, (ICE LIBOR USD 3 Month plus 1.000%), 12/5/24		1,039,000		1,107
KeyCorp 2.550%, 10/1/29		4,078,000		3,982
Liberty Mutual Group, Inc.
3.951%, 10/15/50 144A		235,000		244
4.569%, 2/1/29 144A		2,973,000		3,318
Lincoln National Corp. 3.050%, 1/15/30		3,556,000		3,574
MDGH - GMTN BV 2.875%, 11/7/29 144A		2,529,000		2,551


Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Mid-America Apartments LP
3.600%, 6/1/27		741,000		786
3.750%, 6/15/24		2,609,000		2,750
3.950%, 3/15/29		1,089,000		1,188
4.000%, 11/15/25		1,337,000		1,446
4.300%, 10/15/23		1,118,000		1,196
Mizuho Financial Group, Inc.
2.721%, (ICE LIBOR USD 3 Month plus 0.840%), 7/16/23		2,792,000		2,824
3.153%, (ICE LIBOR USD 3 Month plus 1.130%), 7/16/30		1,683,000		1,718
Morgan Stanley
2.625%, 11/17/21		4,266,000		4,316
3.971%, (3 Month LIBOR plus 1.455%), 7/22/38		513,000		569
4.457%, (ICE LIBOR USD 3 Month plus 1.431%), 4/22/39		1,004,000		1,181
Nationwide Building Society 4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		2,593,000		2,749
Nationwide Financial Services, Inc. 3.900%, 11/30/49 144A		2,651,000		2,754
Prudential Financial, Inc.
3.700%, 3/13/51		670,000		703
4.350%, 2/25/50		1,837,000		2,111
Regency Centers LP 2.950%, 9/15/29		2,372,000		2,367
Royal Bank of Canada 2.250%, 11/1/24		4,665,000		4,687
Royal Bank of Scotland Group PLC 4.445%, (ICE LIBOR USD 3 Month plus 1.871%), 5/8/30		678,000		748
SITE Centers Corp. 4.625%, 7/15/22		930,000		970
Societe Generale SA 2.625%, 10/16/24 144A		3,114,000		3,112
Spirit Realty LP 3.400%, 1/15/30		1,315,000		1,320
State Street Corp. 2.354%, (US SOFR plus 0.940%), 11/1/25		4,036,000		4,050
Store Capital Corp.
4.500%, 3/15/28		4,108,000		4,490
4.625%, 3/15/29		804,000		891
Sumitomo Mitsui Financial Group, Inc.
2.696%, 7/16/24		5,434,000		5,507
3.040%, 7/16/29		5,476,000		5,580
TrustCo Bank Corp. 6.390%, 1/15/50 144A		1,424,000		1,531
UBS Group AG 3.126%, (ICE LIBOR USD 3 Month plus 1.468%), 8/13/30 144A		2,891,000		2,941
Westpac Banking Corp. 4.110%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 2.000%), 7/24/34		1,285,000		1,345

Total				228,743


Industrial (2.0%)
The Boeing Co.
2.700%, 5/1/22		2,311,000		2,346
2.700%, 2/1/27		2,951,000		2,989

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

136

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Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
2.950%, 2/1/30		1,950,000		1,993
3.100%, 5/1/26		2,955,000		3,047
3.500%, 3/1/39		1,136,000		1,170
3.750%, 2/1/50		408,000		432
3.900%, 5/1/49		1,429,000		1,546
Burlington Northern Santa Fe LLC
3.550%, 2/15/50		1,810,000		1,901
4.900%, 4/1/44		601,000		747
Caterpillar Financial Services Corp. 2.150%, 11/8/24		2,881,000		2,890
Caterpillar, Inc.
2.600%, 9/19/29		1,297,000		1,308
3.250%, 9/19/49		1,504,000		1,505
Crowley Conro LLC 4.181%, 8/15/43		1,499,520		1,674
CSX Corp.
2.400%, 2/15/30		1,280,000		1,251
3.350%, 9/15/49		2,164,000		2,127
4.300%, 3/1/48		140,000		159
4.750%, 11/15/48		759,000		918
General Electric Co.
2.700%, 10/9/22		525,000		532
3.100%, 1/9/23		381,000		389
5.875%, 1/14/38		1,924,000		2,328
Lockheed Martin Corp. 4.070%, 12/15/42		1,114,000		1,274
Northrop Grumman Corp.
2.550%, 10/15/22		3,446,000		3,496
2.930%, 1/15/25		153,000		158
3.250%, 8/1/23		3,179,000		3,312
3.250%, 1/15/28		1,960,000		2,043
4.030%, 10/15/47		1,120,000		1,249
Packaging Corp. of America 3.000%, 12/15/29		1,758,000		1,764
Union Pacific Corp.
2.950%, 3/1/22		1,929,000		1,971
3.150%, 3/1/24		918,000		955
4.300%, 3/1/49		286,000		329
United Technologies Corp.
2.800%, 5/4/24		1,466,000		1,506
3.100%, 6/1/22		1,990,000		2,040
3.650%, 8/16/23		5,911,000		6,227
3.950%, 8/16/25		1,535,000		1,673
4.125%, 11/16/28		938,000		1,056
4.450%, 11/16/38		1,425,000		1,683
4.625%, 11/16/48		1,552,000		1,939

Total				63,927


Metals & Mining (0.1%)
Newmont Corp. 3.500%, 3/15/22		1,535,000		1,575

Total				1,575


Technology (1.7%)
Apple, Inc.
1.800%, 9/11/24		2,911,000		2,890
2.050%, 9/11/26		3,495,000		3,466
2.200%, 9/11/29		5,255,000		5,148
2.950%, 9/11/49		1,945,000		1,884
3.200%, 5/13/25		645,000		681
3.200%, 5/11/27		3,994,000		4,210


Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
4.250%, 2/9/47		957,000		1,142
Broadcom Corp. / Broadcom Cayman Finance, Ltd. 3.875%, 1/15/27		2,632,000		2,731
Broadcom, Inc. 4.250%, 4/15/26 144A		1,865,000		1,982
Fiserv, Inc.
3.200%, 7/1/26		1,872,000		1,936
3.500%, 7/1/29		1,951,000		2,048
4.200%, 10/1/28		184,000		204
4.400%, 7/1/49		991,000		1,121
Intel Corp.
2.450%, 11/15/29		3,371,000		3,357
3.250%, 11/15/49		1,124,000		1,129
International Business Machines Corp.
3.300%, 5/15/26		1,776,000		1,872
4.150%, 5/15/39		802,000		902
4.250%, 5/15/49		1,057,000		1,206
Micron Technology, Inc. 4.663%, 2/15/30		1,462,000		1,609
Microsoft Corp.
3.700%, 8/8/46		531,000		599
4.000%, 2/12/55		1,403,000		1,657
4.100%, 2/6/37		1,750,000		2,064
4.250%, 2/6/47		687,000		840
4.500%, 2/6/57		1,289,000		1,666
NXP BV / NXP Funding LLC / NXP USA, Inc.
3.875%, 6/18/26 144A		3,172,000		3,361
4.300%, 6/18/29 144A		361,000		390
Oracle Corp.
2.625%, 2/15/23		1,443,000		1,473
2.950%, 11/15/24		772,000		802
3.800%, 11/15/37		789,000		860
4.000%, 11/15/47		2,262,000		2,524

Total				55,754


Utilities (2.1%)
Alabama Power Co. 3.450%, 10/1/49		2,669,000		2,729
Black Hills Corp.
3.050%, 10/15/29		2,913,000		2,898
3.875%, 10/15/49		980,000		976
CenterPoint Energy Resources Corp. 4.100%, 9/1/47		1,574,000		1,647
CenterPoint Energy, Inc.
2.500%, 9/1/22		219,000		221
2.500%, 9/1/24		2,370,000		2,371
4.250%, 11/1/28		1,587,000		1,721
Consolidated Edison Co. of New York, Inc. 3.875%, 6/15/47		964,000		1,042
Dominion Resources, Inc. 2.000%, 8/15/21		1,535,000		1,534
DTE Energy Co. 2.529%, 10/1/24		2,415,000		2,425
Duke Energy Corp. 1.800%, 9/1/21		2,302,000		2,299
Edison International
4.125%, 3/15/28		514,000		527
5.750%, 6/15/27		1,106,000		1,241
Enel Finance International NV 3.500%, 4/6/28 144A		998,000		1,020

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

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Corporate Bonds (25.1%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
4.625%, 9/14/25 144A		3,459,000		3,771
4.750%, 5/25/47 144A		900,000		1,011
4.875%, 6/14/29 144A		1,085,000		1,223
6.000%, 10/7/39 144A		1,402,000		1,762
Eversource Energy 3.150%, 1/15/25		529,000		545
FirstEnergy Corp.
2.850%, 7/15/22		493,000		501
3.900%, 7/15/27		2,064,000		2,205
4.250%, 3/15/23		2,771,000		2,920
4.850%, 7/15/47		426,000		505
Interstate Power & Light Co. 3.500%, 9/30/49		1,029,000		1,006
ITC Holdings Corp. 2.700%, 11/15/22		2,192,000		2,218
Jersey Central Power & Light Co. 4.300%, 1/15/26 144A		953,000		1,037
Metropolitan Edison Co. 4.300%, 1/15/29 144A		1,723,000		1,919
Mid-Atlantic Interstate Transmission LLC 4.100%, 5/15/28 144A		2,144,000		2,344
Mississippi Power Co.
3.950%, 3/30/28		2,679,000		2,915
4.250%, 3/15/42		1,609,000		1,725
NiSource, Inc.
2.950%, 9/1/29		1,513,000		1,506
4.375%, 5/15/47		370,000		409
Pennsylvania Electric Co. 3.250%, 3/15/28 144A		922,000		944
PPL Capital Funding, Inc.
3.100%, 5/15/26		2,823,000		2,876
3.400%, 6/1/23		316,000		326
4.000%, 9/15/47		381,000		389
4.700%, 6/1/43		314,000		350
5.000%, 3/15/44		1,456,000		1,672
Southern California Edison Co.
2.850%, 8/1/29		1,109,000		1,106
4.000%, 4/1/47		999,000		1,049
4.125%, 3/1/48		1,778,000		1,894
4.650%, 10/1/43		522,000		591
5.550%, 1/15/37		307,000		370
5.950%, 2/1/38		589,000		746
6.000%, 1/15/34		159,000		196
Virginia Electric & Power Co. 3.300%, 12/1/49		1,594,000		1,604

Total				66,286

Total Corporate Bonds
(Cost: $772,240)				800,855


Governments (26.5%)

Governments (26.5%)
Abu Dhabi Government International Bond
2.125%, 9/30/24 144A		1,699,000		1,693
2.500%, 9/30/29 144A		2,225,000		2,217
3.125%, 9/30/49 144A		1,351,000		1,317
Japan Bank for International Cooperation 1.750%, 10/17/24		2,974,000		2,932
Republic of Paraguay 5.400%, 3/30/50 144A		1,582,000		1,825
United Mexican States 4.500%, 4/22/29		6,214,000		6,814


Governments (26.5%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
4.600%, 2/10/48		1,876,000		2,054
US Treasury
1.125%, 9/30/21		29,802,000		29,554
1.250%, 3/31/21b		12,160,000		12,103
1.375%, 8/31/20		23,456,000		23,416
1.375%, 8/31/26		8,364,000		8,127
1.500%, 11/30/21		16,212,000		16,186
1.500%, 10/31/24		1,000		1
1.500%, 11/30/24		9,057,000		8,975
1.625%, 12/31/21		1,047,000		1,048
1.625%, 11/15/22		4,856,000		4,857
1.625%, 12/15/22		44,922,000		44,940
1.625%, 2/15/26		43,531,000		43,100
1.625%, 5/15/26		42,010,000		41,537
1.625%, 9/30/26		4,768,000		4,706
1.625%, 11/30/26		25,106,000		24,758
1.750%, 7/15/22		4,415,000		4,430
1.750%, 12/31/24		4,882,000		4,893
1.750%, 11/15/29		20,036,000		19,718
2.125%, 5/15/22		5,306,000		5,369
2.250%, 8/15/46		23,378,000		22,690
2.250%, 8/15/49		9,379,000		9,087
2.250%, 11/15/24		29,486,000		30,230
2.375%, 11/15/49		12,668,000		12,611
2.375%, 2/29/24		2,282,000		2,345
2.375%, 4/30/26		23,421,000		24,219
2.500%, 5/15/46		25,774,000		26,281
2.500%, 6/30/20		2,840,000		2,852
2.500%, 1/15/22		10,426,000		10,611
2.625%, 6/15/21		8,130,000		8,247
2.625%, 7/15/21		19,296,000		19,593
2.625%, 2/28/23		14,235,000		14,667
2.625%, 1/31/26		41,059,000		43,022
2.750%, 4/30/23		32,498,000		33,653
2.750%, 5/31/23		82,860,000		85,859
2.750%, 7/31/23		3,878,000		4,024
2.875%, 5/15/43		12,443,000		13,539
2.875%, 11/15/21		17,479,000		17,887
2.875%, 11/30/25		1,207,000		1,281
3.000%, 11/15/44		29,136,000		32,438
3.125%, 2/15/43b		41,490,000		46,997
3.125%, 8/15/44b		58,053,000		65,957

Total				844,660

Total Governments
(Cost: $844,188)				844,660


Municipal Bonds (0.5%)

Municipal Bonds (0.5%)
County of Clark Department of Aviation 6.820%, 7/1/45 RB		1,780,000		2,805
Los Angeles Community College District, Series2010-E 6.750%, 8/1/49 GO		2,600,000		4,269
North Texas Tollway Authority, Series2009-B 6.718%, 1/1/49 RB		1,950,000		3,059
The Ohio State University 4.800%, 6/1/11 RB		1,070,000		1,356
Port Authority of New York & New Jersey 4.458%, 10/1/62 RB		3,110,000		3,812

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

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Municipal Bonds (0.5%)	Shares/ Par⁺		Value $ (000’s)

Municipal Bonds continued
State of California 7.600%, 11/1/40 GO		450,000		743
State of Illinois 5.100%, 6/1/33 GO		360,000		388


Total Municipal Bonds
(Cost: $14,426)				16,432


Structured Products (50.5%)

Asset Backed Securities (10.6%)
Avis Budget Rental Car Funding AESOP LLC, Series2017-1A, Class A 3.070%, 9/20/23 144A		1,041,000		1,058
Avis Budget Rental Car Funding AESOP LLC, Series2019-2A, Class A 3.350%, 9/22/25 144A		4,357,000		4,491
Avis Budget Rental Car Funding AESOP LLC, Series2019-3A, Class A 2.360%, 3/20/26 144A		6,521,000		6,458
College Ave Student Loans, Series2017-A, Class A1 3.442%, (ICE LIBOR USD 1 Month plus 1.650%), 11/26/46 144A		1,795,896		1,792
College Avenue Student Loans LLC, Series2018-A, Class A2 4.130%, 12/26/47 144A		1,349,452		1,398
College Avenue Student Loans LLC, Series2019-A, Class A2 3.280%, 12/28/48 144A		1,327,082		1,313
Ford Credit Auto Owner Trust, Series2017-2, Class A 2.360%, 3/15/29 144A		6,262,000		6,299
Ford Credit Auto Owner Trust, Series 2017- REV1, Class A 2.620%, 8/15/28 144A		3,002,000		3,036
Ford Credit Auto Owner Trust, Series2018-1, Class A 3.190%, 7/15/31 144A		7,654,000		7,951
Ford Credit Auto Owner Trust, Series2018-2, Class A 3.470%, 1/15/30 144A		3,394,000		3,542
Ford Credit Auto Owner Trust, Series 2019- REV1, Class A 3.520%, 7/15/30 144A		3,649,000		3,828
Ford Credit Floorplan Master Owner Trust, Series2019-A, Class A 2.440%, 9/15/26		2,237,000		2,242
Ford Credit Floorplan Master Owner Trust, Series2019-A, Class A2 2.340%, (ICE LIBOR USD 1 Month plus 0.600%), 9/15/24		1,368,000		1,373
Hertz Vehicle Financing II LP, Series2019-1A, Class A 3.710%, 3/25/23 144A		4,653,000		4,773
Hertz Vehicle Financing II LP, Series2019-2A, Class A 3.420%, 5/25/25 144A		4,402,000		4,534
Hertz Vehicle Financing II LP, Series2019-3A, Class A 2.670%, 12/26/25 144A		5,276,000		5,257


Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Hertz Vehicle Financing LLC, Series2015-3A, Class A 2.670%, 9/25/21 144A		2,783,000		2,791
Hertz Vehicle Financing LLC, Series2016-2A, Class A 2.950%, 3/25/22 144A		3,583,000		3,609
Hertz Vehicle Financing LLC, Series2016-4A, Class A 2.650%, 7/25/22 144A		432,000		434
Hertz Vehicle Financing LLC, Series2017-1A, Class A 2.960%, 10/25/21 144A		3,034,000		3,049
Hertz Vehicle Financing LLC, Series2017-2A, Class A 3.290%, 10/25/23 144A		2,764,000		2,824
Hertz Vehicle Financing LLC, Series2018-1A, Class A 3.290%, 2/25/24 144A		1,731,000		1,771
Hertz Vehicle Financing LLC, Series2018-2A, Class A 3.650%, 6/27/22 144A		2,855,000		2,908
Hertz Vehicle Financing LLC, Series2018-3A, Class A 4.030%, 7/25/24 144A		3,072,000		3,212
Navient Private Education Loan Trust, Series2014-AA, Class A3 3.340%, (ICE LIBOR USD 1 Month plus 1.600%), 10/15/31 144A		3,434,000		3,501
Navient Private Education Loan Trust, Series2014-CTA, Class A 2.440%, (ICE LIBOR USD 1 Month plus 0.700%), 9/16/24 144A		253,234		253
Navient Private Education Loan Trust, Series2018-BA, Class A2A 3.610%, 12/15/59 144A		2,429,000		2,501
Navient Private Education Refi Loan Trust, Series2018-A, Class A2 3.190%, 2/18/42 144A		1,163,000		1,170
Navient Private Education Refi Loan Trust, Series2018-C, Class A2 3.520%, 6/16/42 144A		1,296,000		1,316
Navient Private Education Refi Loan Trust, Series2018-DA, Class A2A 4.000%, 12/15/59 144A		5,609,000		5,788
Navient Private Education Refi Loan Trust, Series2019-A, Class A2A 3.420%, 1/15/43 144A		6,611,000		6,733
Navient Private Education Refi Loan Trust, Series2019-C, Class A2 3.130%, 2/15/68 144A		6,785,000		6,816
Navient Private Education Refi Loan Trust, Series2019-D, Class A2A 3.010%, 12/15/59 144A		5,542,000		5,598
Navient Student Loan Trust, Series2014-1, Class A3 2.302%, (ICE LIBOR USD 1 Month plus 0.510%), 6/25/31		2,329,369		2,285
Navient Student Loan Trust, Series2015-1, Class A2 2.392%, (ICE LIBOR USD 1 Month plus 0.600%), 4/25/40		7,070,754		6,929

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

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Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Navient Student Loan Trust, Series2016-1A, Class A 2.408%, (ICE LIBOR USD 1 Month plus 0.700%), 2/25/70 144A		3,848,198		3,790
Navient Student Loan Trust, Series2016-3A, Class A 2 2.558%, (ICE LIBOR USD 1 Month plus 0.850%), 6/25/65 144A		566,279		567
Navient Student Loan Trust, Series2016-5A, Class A 2.958%, (ICE LIBOR USD 1 Month plus 1.250%), 6/25/65 144A		4,083,962		4,124
Navient Student Loan Trust, Series2016-AA, Class A2B 3.890%, (ICE LIBOR USD 1 Month plus 2.150%), 12/15/45 144A		1,315,510		1,360
Navient Student Loan Trust, Series2017-5A, Class A 2.508%, (ICE LIBOR USD 1 Month plus 0.800%), 7/26/66 144A		2,011,417		1,977
Navient Student Loan Trust, Series 2019 EA, Class A2 4.000%, 12/15/59 144A		3,615,000		3,741
Navient Student Loan Trust, Series2019-3, Class A 2.622%, (ICE LIBOR USD 1 Month plus 0.830%), 7/25/68 144A		12,940,104		12,820
Navient Student Loan Trust, Series2019-4, Class A2 2.602%, (ICE LIBOR USD 1 Month plus 0.810%), 7/25/68 144A		6,432,000		6,382
Navient Student Loan Trust, Series2019-BA, Class A2A 3.390%, 12/15/59 144A		4,423,000		4,539
Navient Student Loan Trust, Series2019-FA, Class A2 2.600%, 8/15/68 144A		6,457,000		6,442
Navient Student Loan Trust, Series2019-GA, Class A 2.400%, 10/15/68 144A		6,351,000		6,308
Nelnet Student Loan Trust, Series2004-3, Class A5 2.120%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36		739,461		717
Nelnet Student Loan Trust, Series2004-4, Class A5 2.100%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37		3,969,580		3,878
Nelnet Student Loan Trust, Series2005-1, Class A5 2.050%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33		11,475,776		11,162
Nelnet Student Loan Trust, Series2005-2, Class A5 2.028%, (ICE LIBOR USD 3 Month plus 0.100%), 3/23/37		11,047,545		10,714
Nelnet Student Loan Trust, Series2005-3, Class A5 2.048%, (ICE LIBOR USD 3 Month plus 0.120%), 12/24/35		8,463,011		8,297


Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Nelnet Student Loan Trust, Series2005-4, Class A4 2.108%, (ICE LIBOR USD 3 Month plus 0.180%), 3/22/32		1,394,901		1,338
Nelnet Student Loan Trust, Series2012-2, Class A 2.592%, (ICE LIBOR USD 1 Month plus 0.800%), 12/26/33 144A		1,442,164		1,432
Nelnet Student Loan Trust, Series2012-4A, Class A 2.492%, (ICE LIBOR USD 1 Month plus 0.700%), 9/27/38 144A		2,693,158		2,669
Nelnet Student Loan Trust, Series2013-1A, Class A 2.392%, (ICE LIBOR USD 1 Month plus 0.600%), 6/25/41 144A		2,094,457		2,046
Nelnet Student Loan Trust, Series2014-1A, Class A 2.362%, (ICE LIBOR USD 1 Month plus 0.570%), 9/25/41 144A		1,088,877		1,069
Nelnet Student Loan Trust, Series2016-1A, Class A 2.592%, (ICE LIBOR USD 1 Month plus 0.800%), 9/25/65 144A		3,794,090		3,789
Nelnet Student Loan Trust, Series2017-2A, Class A 2.562%, (ICE LIBOR USD 1 Month plus 0.770%), 9/25/65 144A		2,282,200		2,244
Santander Revolving Auto Loan Trust, Series2019-A, Class A 2.510%, 1/26/32 144A		10,243,000		10,193
SLC Student Loan Trust, Series2005-2, Class A4 2.054%, (ICE LIBOR USD 3 Month plus 0.160%), 12/15/39		2,551,000		2,411
SLC Student Loan Trust, Series2007-1, Class A5 2.000%, (ICE LIBOR USD 3 Month plus 0.090%), 2/15/68		2,218,000		2,050
SLC Student Loan Trust, Series2008-1, Class A4A 3.494%, (ICE LIBOR USD 3 Month plus 1.600%), 12/15/32		1,918,434		1,943
SLM Student Loan Trust, Series2003-1, Class A5C 2.644%, (ICE LIBOR USD 3 Month plus 0.750%), 12/15/32 144A		1,508,687		1,465
SLM Student Loan Trust, Series2004-10, Class A7A 2.540%, (ICE LIBOR USD 3 Month plus 0.600%), 10/25/29 144A		6,428,000		6,395
SLM Student Loan Trust, Series2007-2, Class A4 2.000%, (ICE LIBOR USD 3 Month plus 0.060%), 7/25/22		5,226,041		5,079
SLM Student Loan Trust, Series2012-1, Class A3 2.742%, (ICE LIBOR USD 1 Month plus 0.950%), 9/25/28		6,335,735		6,222

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

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Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
SLM Student Loan Trust, Series2012-2, Class A 2.492%, (ICE LIBOR USD 1 Month plus 0.700%), 1/25/29		5,474,149		5,333
SLM Student Loan Trust, Series2012-6, Class A3 2.542%, (ICE LIBOR USD 1 Month plus 0.750%), 5/26/26		2,478,099		2,454
SMB Private Education Loan Trust, Series2015-A, Class A2B 2.740%, (ICE LIBOR USD 1 Month plus 1.000%), 6/15/27 144A		1,705,386		1,709
SMB Private Education Loan Trust, Series2015-C, Class A2B 3.140%, (ICE LIBOR USD 1 Month plus 1.400%), 7/15/27 144A		782,382		788
SMB Private Education Loan Trust, Series2016-A, Class A2A 2.700%, 5/15/31 144A		4,000,850		4,009
SMB Private Education Loan Trust, Series2016-A, Class A2B 3.240%, (ICE LIBOR USD 1 Month plus 1.500%), 5/15/31 144A		5,390,060		5,439
SMB Private Education Loan Trust, Series2016-B, Class A2A 2.430%, 2/17/32 144A		1,973,504		1,962
SMB Private Education Loan Trust, Series2016-B, Class A2B 3.190%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A		5,390,595		5,432
SMB Private Education Loan Trust, Series2016-C, Class A2B 2.840%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		2,116,067		2,120
SMB Private Education Loan Trust, Series2017-A, Class A2B 2.640%, (ICE LIBOR USD 1 Month plus 0.900%), 9/15/34 144A		1,561,486		1,560
SMB Private Education Loan Trust, Series2017-B, Class A2A 2.820%, 10/15/35 144A		2,062,662		2,066
SMB Private Education Loan Trust, Series2017-B, Class A2B 2.490%, (ICE LIBOR USD 1 Month plus 0.750%), 10/15/35 144A		3,759,655		3,746
SMB Private Education Loan Trust, Series2018-C, Class A2A 3.630%, 11/15/35 144A		2,157,000		2,243
SMB Private Education Loan Trust, Series2019-A, Class A2A 3.440%, 7/15/36 144A		8,755,000		8,886
SoFi Professional Loan Program LLC, Series2016-A, Class A2 2.760%, 12/26/36 144A		1,277,661		1,282
SoFi Professional Loan Program LLC, Series2016-D, Class A1 2.742%, (ICE LIBOR USD 1 Month plus 0.950%), 1/25/39 144A		225,230		226


Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
SoFi Professional Loan Program LLC, Series2016-E, Class A1 2.642%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/39 144A		453,594		454
SoFi Professional Loan Program LLC, Series2017-A, Class A1 2.492%, (ICE LIBOR USD 1 Month plus 0.700%), 3/26/40 144A		455,280		456
SoFi Professional Loan Program LLC, Series2017-D, Class A2FX 2.650%, 9/25/40 144A		327,533		327
SoFi Professional Loan Program LLC, Series2017-E, Class A1 2.292%, (ICE LIBOR USD 1 Month plus 0.500%), 11/26/40 144A		296,755		296
SoFi Professional Loan Program LLC, Series2017-E, Class A2B 2.720%, 11/26/40 144A		5,282,000		5,323
SoFi Professional Loan Program LLC, Series2018-A, Class A2B 2.950%, 2/25/42 144A		1,648,000		1,662
SoFi Professional Loan Program LLC, Series2018-B, Class A2FX 3.340%, 8/26/47 144A		4,753,000		4,829
Verizon Owner Trust, Series2019-C, Class A1A 1.940%, 4/22/24		8,684,000		8,673
World Financial Network Credit Card Master Trust, Series2019-A, Class A 3.140%, 12/15/25		950,000		970
World Financial Network Credit Card Master Trust, Series2019-B, Class A 3.460%, 7/15/25		1,567,000		1,602
World Financial Network Credit Card Master Trust, Series2019-C, Class A 2.210%, 7/15/26		6,332,000		6,338

Total				340,181


Mortgage Securities (39.9%)
Angel Oak Mortgage Trust I LLC, Series2019-2, Class A1 3.628%, (AFC), 3/25/49 144A		1,592,457		1,610
Asset Securitization Corp., Series1997-D5, Class PS1 1.824%, (CSTR), 2/14/43 IO		29,059		–	p
Barclays Commercial Mortgage Trust 2019, Series C5, Class A4 3.063%, 11/15/52		2,249,000		2,320
Barclays Commercial Mortgage Trust, Series2018-C2, Class A5 4.314%, 12/15/51		3,915,000		4,400
Benchmark Mortgage Trust, Series2018-B1, Class ASB 3.602%, (AFC), 1/15/51		854,000		903
Benchmark Mortgage Trust, Series2019-B13, Class A4 2.952%, 8/15/57		1,472,000		1,506
Benchmark Mortgage Trust, Series2019-B14, Class A5 3.048%, 12/15/62		1,067,000		1,100

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

141

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Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Bunker Hill Loan Depositary Trust, Series2019-1, Class A1 3.613%, (AFC), 10/26/48 144A		1,109,284		1,121
Bunker Hill Loan Depositary Trust, Series2019-2, Class A1 2.879%, (AFC), 7/25/49 144A		3,103,837		3,111
Bunker Hill Loan Depositary Trust, Series2019-3, Class A1 2.724%, (AFC), 11/25/59 144A		3,660,000		3,656
CD Commercial Mortgage Trust, Series2017-CD4, Class A4 3.514%, (AFC), 5/10/50		1,610,000		1,711
CD Commercial Mortgage Trust, Series2017-CD6, Class ASB 3.332%, 11/13/50		2,821,000		2,938
CFCRE Commercial Mortgage Trust, Series2016-C3, Class A1 1.793%, (CSTR, AFC), 1/10/48		511,400		510
CFCRE Commercial Mortgage Trust, Series2016-C4, Class ASB 3.091%, 5/10/58		1,508,000		1,546
CFCRE Commercial Mortgage Trust, Series2017-C8, Class A1 1.964%, 6/15/50		294,280		294
CFCRE Commercial Mortgage Trust, Series2017-C8, Class ASB 3.367%, 6/15/50		1,226,000		1,269
Citibank NA 1.410%, 10/10/49		78,367		78
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series2016-CD1, Class A1 1.443%, 8/10/49		431,154		428
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series2016-CD1, Class ASB 2.622%, 8/10/49		1,967,000		1,988
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series2017-C6, Class ASB 3.121%, 6/10/50		694,000		716
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series2017-CD4, Class ASB 3.317%, 5/10/50		1,173,000		1,216
Citigroup Mortgage Loan Trust, Series2005-1, Class 3A1 6.500%, 4/25/35		134,443		141
Citigroup Mortgage Loan Trust, Series 2019-GC43, Class A4 3.038%, 11/10/52		2,804,000		2,887
COLT Funding LLC, Series2019-4, Class A1 2.579%, (AFC), 11/25/49 144A		3,247,243		3,241
COLT Mortgage Loan Trust, Series2019-1, Class A1 3.705%, (AFC), 3/25/49 144A		1,463,611		1,472
COLT Mortgage Loan Trust, Series2019-2, Class A1 3.337%, (AFC), 5/25/49 144A		2,707,193		2,711
COMM Mortgage Trust, Series2013-CR9, Class A4 4.222%, (CSTR), 7/10/45		3,078,000		3,258


Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Commercial Mortgage Pass Through Certificates, Series 2016-COR1, Class ASB 2.972%, 10/10/49		1,155,000		1,181
Commercial Mortgage Pass Through Certificates, Series 2018-COR3, Class A3 4.228%, 5/10/51		3,458,000		3,851
Commercial Mortgage Trust, Series 2019-GC44, Class A5 2.950%, 8/15/57		1,665,000		1,701
Credit Suisse Mortgage Trust, Series 2016- NXSR, Class A4 3.795%, (AFC), 12/15/49		4,752,000		5,062
CSAIL Commercial Mortgage Trust, Series2015-C2, Class A4 3.504%, 6/15/57		1,587,000		1,658
CSAIL Commercial Mortgage Trust, Series2015-C3, Class A4 3.718%, 8/15/48		2,002,000		2,116
CSAIL Commercial Mortgage Trust, Series2015-C4, Class A4 3.807%, 11/15/48		2,233,000		2,380
CSAIL Commercial Mortgage Trust, Series2016-C5, Class ASB 3.532%, 11/15/48		582,000		605
CSAIL Commercial Mortgage Trust, Series2019-C17, Class A5 3.016%, 9/15/52		1,696,000		1,735
CSAIL Commercial Mortgage Trust, Series2019-C18, Class A4 2.968%, 12/17/52		1,110,000		1,130
Federal Home Loan Bank
3.500%, 7/1/49		4,278,860		4,511
3.500%, 11/1/49		10,972,383		11,355
4.000%, 5/1/49		6,657,271		7,117
Federal Home Loan Mortgage Corp.
2.500%, 6/1/28		3,509,427		3,556
2.500%, 11/1/28		26,290,685		26,640
3.000%, 6/1/49		1,651,764		1,678
3.000%, 12/1/49		11,344,217		11,532
3.500%, 2/1/48		1,672,080		1,752
3.500%, 4/1/49		3,669,569		3,869
3.500%, 7/1/49		1,811,055		1,871
3.500%, 9/1/49		1,900,729		1,973
3.500%, 9/1/49		6,105,701		6,437
4.000%, 1/1/35		109,996		119
4.000%, 1/1/36		175,573		188
4.000%, 10/1/36		1,109,802		1,183
4.000%, 3/1/37		553,779		593
4.000%, 8/1/38		8,688,412		9,093
4.000%, 1/1/48		962,305		1,035
4.000%, 3/1/48		15,676,596		16,776
4.000%, 2/1/49		13,941,170		14,492
4.000%, 3/1/49		2,527,184		2,701
4.000%, 7/1/49		41,185,786		44,121
4.000%, 9/1/49		23,917,298		25,581
4.500%, 6/1/39		125,010		138
4.500%, 7/1/39		136,542		151
4.500%, 3/1/49		1,778,444		1,962
5.000%, 5/1/48		5,601,011		6,203

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

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Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series2012-264, Class 30 3.000%, 7/15/42		8,070,072		8,234
Federal Home Loan Mortgage Corp., Series2015-343, Class F4 2.852%, (ICE LIBOR USD 1 Month plus 0.350%), 10/15/37		3,219,775		3,193
Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA 3.000%, 10/15/47		9,899,691		10,134
Federal Home Loan Mortgage Corp., Series 2018-4767, Class KA 3.000%, 3/15/48		4,402,841		4,519
Federal Home Loan Mortgage Corp., Series 2018-4786, Class DP 4.500%, 7/15/42		2,055,388		2,095
Federal Home Loan Mortgage Corp., Series 2439, Class LH 6.000%, 4/15/32		359,225		408
Federal Home Loan Mortgage Corp., Series 4426, Class QC 1.750%, 7/15/37		3,598,046		3,553
Federal Home Loan Mortgage Corp., Series 4705, Class A 4.500%, 9/15/42		3,137,498		3,370
Federal Home Loan Mortgage Corp., Series 4763, Class CA 3.000%, 9/15/38		918,289		944
Federal Home Loan Mortgage Corp., Series 4796, Class AK 3.000%, 5/15/48		8,049,192		8,181
Federal Home Loan Mortgage Corp., Series 4802, Class A 3.000%, 6/15/48		7,967,395		8,094
Federal Home Loan Mortgage Corp., Series 4856, Class FD 2.040%, (ICE LIBOR USD 1 Month plus 0.300%), 8/15/40		3,710,029		3,685
Federal Home Loan Mortgage Corp., Series 4880, Class DA 3.000%, 5/15/50		4,713,799		4,802
Federal Home Loan Mortgage Corp., Series 4897, Class F
2.090%, (ICE LIBOR USD 1 Month plus 0.350%), 12/15/48		1,153,293		1,149
2.140%, (ICE LIBOR USD 1 Month plus 0.400%), 7/15/49		1,319,283		1,312
Federal National Mortgage Association 2.500%, 8/1/31		2,517,154		2,546
2.619%, (ICE LIBOR USD 12 Month plus 1.587%), 11/1/45		910,335		924
2.620%, (ICE LIBOR USD 12 Month plus 1.583%), 5/1/45		2,217,701		2,256
2.659%, (ICE LIBOR USD 12 Month plus 1.585%), 1/1/46		10,489,764		10,677
2.743%, (ICE LIBOR USD 12 Month plus 1.579%), 6/1/45		2,822,322		2,878
2.955%, (ICE LIBOR USD 12 Month plus 1.599%), 8/1/47		1,799,835		1,826
3.000%, 12/1/34		3,327,000		3,432
3.000%, 1/1/43		4,255,522		4,376


Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
3.000%, 12/1/49		24,732,405		25,074
3.102%, (ICE LIBOR USD 12 Month plus 1.620%), 3/1/47		2,367,716		2,412
3.500%, 5/1/49		1,049,685		1,086
3.500%, 6/1/49		22,789,726		24,008
3.500%, 8/1/49		1,485,632		1,566
3.500%, 11/1/49		18,856,780		19,514
3.500%, 12/1/49		11,562,251		11,952
4.000%, 7/1/33		1,614,267		1,700
4.000%, 9/1/33		2,732,235		2,853
4.000%, 12/1/36		203,907		218
4.000%, 10/1/37		1,369,040		1,457
4.000%, 5/1/38		508,344		534
4.000%, 9/1/45		1,045,617		1,147
4.000%, 10/1/46		379,641		401
4.000%, 12/1/46		2,455,346		2,607
4.000%, 2/1/47		3,513,689		3,792
4.000%, 4/1/47		3,258,130		3,491
4.000%, 5/1/47		2,264,842		2,430
4.000%, 7/1/47		1,551,231		1,647
4.000%, 9/1/47		1,735,611		1,845
4.000%, 10/1/47		2,252,912		2,414
4.000%, 11/1/47		16,260,404		17,124
4.000%, 2/1/48		2,363,461		2,537
4.000%, 3/1/48		10,962,429		11,954
4.000%, 6/1/48		5,448,238		5,868
4.000%, 7/1/48		15,817,557		16,888
4.000%, 8/1/48		21,073,560		22,008
4.000%, 9/1/48		4,606,816		4,924
4.000%, 10/1/48		3,899,693		4,168
4.000%, 11/1/48		3,928,876		4,200
4.000%, 1/1/49		14,912,369		15,504
4.000%, 3/1/49		1,798,198		1,910
4.000%, 4/1/49		9,687,143		10,379
4.000%, 5/1/49		2,624,430		2,784
4.000%, 6/1/49		3,541,410		3,761
4.000%, 7/1/49		21,862,975		23,384
4.000%, 10/1/49		11,327,324		12,115
4.000%, 12/1/49		4,938,713		5,360
4.500%, 5/1/34		72,741		78
4.500%, 6/1/41		159,406		173
4.500%, 3/1/43		1,793,298		1,947
4.500%, 3/1/44		1,401,716		1,520
4.500%, 10/1/45		2,864,869		3,107
4.500%, 2/1/46		105,941		115
4.500%, 3/1/48		1,134,190		1,226
4.500%, 4/1/48		2,508,206		2,710
4.500%, 5/1/48		1,375,731		1,485
4.500%, 10/1/48		1,477,400		1,596
4.500%, 2/1/49		6,524,732		7,153
4.500%, 4/1/49		1,834,883		1,983
4.500%, 5/1/49		724,115		782
4.500%, 6/1/49		4,910,271		5,383
4.500%, 7/1/49		11,617,568		12,631
4.500%, 8/1/49		4,211,736		4,613
5.000%, 7/1/44		309,863		340
5.000%, 6/1/48		8,103,033		9,058
5.000%, 9/1/48		4,091,625		4,465
5.000%, 10/1/48		5,463,758		6,096
5.000%, 1/1/49		6,006,982		6,560

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

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Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
5.000%, 2/1/49		14,754,628		16,494
5.000%, 6/1/49		24,985,063		27,549
5.000%, 8/1/49		49,810,150		55,451
5.500%, 12/1/48		4,020,744		4,429
5.500%, 6/1/49		9,805,648		11,014
Federal National Mortgage Association Stripped, Series 414, Class A35 3.500%, 10/25/42		6,713,878		7,040
Federal National Mortgage Association TBA 2.500%, 1/14/50		29,700,000		29,349
3.000%, 1/1/47		12,200,000		12,365
3.500%, 1/1/47		1,000,000		1,028
3.500%, 3/12/50		7,600,000		7,807
Federal National Mortgage Association, Series2012-151, Class NX 1.500%, 1/25/43		2,919,114		2,793
Federal National Mortgage Association, Series2013-11, Class AP 1.500%, 1/25/43		6,757,260		6,553
Federal National Mortgage Association, Series2013-30, Class CA 1.500%, 4/25/43		879,361		843
Federal National Mortgage Association, Series2015-84, Class PA 1.700%, 8/25/33		8,734,062		8,567
Federal National Mortgage Association, Series2016-48, Class MA 2.000%, 6/25/38		11,577,772		11,439
Federal National Mortgage Association, Series2017-13, Class PA 3.000%, 8/25/46		2,749,210		2,831
Federal National Mortgage Association, Series2017-42, Class H 3.000%, 11/25/43		2,281,405		2,326
Federal National Mortgage Association, Series2017-M7, Class A2 2.961%, (AFC), 2/25/27		1,102,000		1,143
Federal National Mortgage Association, Series2018-14, Class KC 3.000%, 3/25/48		5,067,351		5,193
Federal National Mortgage Association, Series2018-15, Class AB 3.000%, 3/25/48		1,106,654		1,137
Federal National Mortgage Association, Series2018-45, Class GA 3.000%, 6/25/48		6,993,316		7,083
Federal National Mortgage Association, Series2018-79, Class FA 2.042%, (ICE LIBOR USD 1 Month plus 0.250%), 11/25/48		5,937,840		5,897
Federal National Mortgage Association, Series2018-8, Class KL 2.500%, 3/25/47		3,564,456		3,553
Federal National Mortgage Association, Series2019-14, Class FB 2.181%, (ICE LIBOR USD 1 Month plus 0.400%), (AFC), 4/25/59		2,160,166		2,158
Federal National Mortgage Association, Series2019-18, Class FH 2.142%, (ICE LIBOR USD 1 Month plus 0.350%), 5/25/49		3,646,803		3,620


Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal National Mortgage Association, Series2019-25, Class YF 2.242%, (ICE LIBOR USD 1 Month plus 0.450%), 10/25/46		7,219,471		7,214
Federal National Mortgage Association, Series2019-35, Class A 3.000%, 7/25/49		3,030,020		3,130
Federal National Mortgage Association, Series2019-35, Class FH 2.142%, (ICE LIBOR USD 1 Month plus 0.350%), 7/25/49		1,652,957		1,646
Federal National Mortgage Association, Series2019-35, Class MB 3.000%, 7/25/49		3,829,559		3,973
Federal National Mortgage Association, Series2019-42, Class FK 2.242%, (ICE LIBOR USD 1 Month plus 0.450%), 8/25/49		8,614,185		8,589
Federal National Mortgage Association, Series2019-60, Class BF 2.242%, (ICE LIBOR USD 1 Month plus 0.450%), 10/25/49		2,995,374		2,981
Federal National Mortgage Association, Series2019-60, Class FW 2.242%, (ICE LIBOR USD 1 Month plus 0.450%), 10/25/49		2,324,372		2,320
Federal National Mortgage Association, Series2019-67, Class FB 2.242%, (ICE LIBOR USD 1 Month plus 0.450%), 11/25/49		2,669,537		2,655
Federal National Mortgage Association, Series2019-70, Class FL 2.192%, (ICE LIBOR USD 1 Month plus 0.400%), 12/25/49		5,347,698		5,339
GCAT LLC, Series 2019-NQM1, Class A1 2.985%, (AFC), 2/25/59 144A		1,207,363		1,210
Government National Mortgage Association
3.500%, 1/20/48		3,241,072		3,392
3.500%, 9/20/49		14,789,022		15,320
4.000%, 10/20/47		932,565		985
4.000%, 3/20/48		1,050,865		1,091
4.000%, 4/20/48		3,929,002		4,106
4.000%, 5/20/49		1,760,746		1,869
4.000%, 6/20/49		10,899,687		11,443
4.000%, 7/20/49		4,329,234		4,597
4.000%, 8/20/49		13,556,346		14,084
4.500%, 8/15/47		888,227		954
4.500%, 2/20/49		5,665,706		6,157
4.500%, 3/20/49		4,138,344		4,442
4.500%, 4/20/49		1,707,390		1,833
4.500%, 5/20/49		3,858,869		4,146
5.000%, 12/20/39		115,558		128
5.000%, 11/20/45		255,456		280
5.000%, 3/20/48		11,877,223		12,787
5.000%, 6/20/48		15,173,323		16,137
5.000%, 8/20/48		5,899,155		6,265
5.000%, 12/20/48		5,136,608		5,426
5.000%, 1/20/49		4,704,273		5,195
5.000%, 2/20/49		1,705,651		1,839
5.000%, 3/20/49		1,597,025		1,723
5.000%, 9/20/49		1,323,738		1,401

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

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Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Government National Mortgage Association TBA 3.000%, 1/1/47		9,100,000		9,341
3.000%, 3/23/50		15,600,000		15,980
3.500%, 1/1/47		26,300,000		27,101
Government National Mortgage Association, Series2012-141, Class WA 4.529%, 11/16/41		872,817		966
Government National Mortgage Association, Series2017-167, Class BQ 2.500%, 8/20/44		3,862,340		3,890
Government National Mortgage Association, Series2019-31, Class JC 3.500%, 3/20/49		3,904,224		3,974
Government National Mortgage Association, Series2019-32, Class NA 3.500%, 9/20/49		6,623,116		6,832
GS Mortgage Securities Trust, Series 2012- GCJ7, Class AAB 2.935%, 5/10/45		136,693		137
GS Mortgage Securities Trust, Series 2014- GC18, Class A3 3.801%, 1/10/47		953,024		990
GS Mortgage Securities Trust, Series 2015- GC28, Class A5 3.396%, 2/10/48		735,000		768
GS Mortgage Securities Trust, Series 2015- GC34, Class A4 3.506%, 10/10/48		1,802,000		1,900
GS Mortgage Securities Trust, Series 2017- GS6, Class A3 3.433%, 5/10/50		2,645,000		2,791
GS Mortgage Securities Trust, Series 2017- GS7, Class A4 3.430%, 8/10/50		2,846,000		3,009
GS Mortgage Securities Trust, Series 2019- GSA1, Class A4 3.047%, 11/10/52		1,570,000		1,611
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series2010-1, Class A1 5.314%, 1/25/51 144A		3,871,939		4,050
JP Morgan Chase Commercial Mortgage Securities Corp., Series2016-JP2, Class A1 1.324%, 8/15/49		687,818		684
JP Morgan Chase Commercial Mortgage Securities Corp., Series2017-JP5, Class ASB 3.548%, 3/15/50		3,358,000		3,524
JPMBB Commercial Mortgage Securities Trust, Series2014-C23, Class A4 3.669%, 9/15/47		1,323,000		1,393
JPMBB Commercial Mortgage Securities Trust, Series2015-C28, Class A2 2.773%, 10/15/48		423,297		423
JPMBB Commercial Mortgage Securities Trust, Series2015-C28, Class A3 2.912%, 10/15/48		6,101,000		6,229
JPMBB Commercial Mortgage Securities Trust, Series2015-C33, Class A4 3.769%, 12/15/48		838,000		897


Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
JPMCC Commercial Mortgage Securities Trust, Series2017-JP6, Class ASB 3.282%, 7/15/50		1,306,000		1,358
JPMDB Commercial Mortgage Securities Trust, Series2017-C5, Class A5 3.694%, 3/15/50		912,000		977
JPMDB Commercial Mortgage Securities Trust, Series2017-C5, Class ASB 3.491%, 3/15/50		463,000		485
JPMDB Commercial Mortgage Securities Trust, Series2018-C8, Class ASB 4.145%, 6/15/51		1,453,000		1,578
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class A4 3.056%, 11/13/52		2,220,000		2,285
MASTR Asset Securitization Trust, Series2003-12, Class 1A1 5.250%, 12/25/24		89,386		91
Morgan Stanley Bank of America Merrill Lynch Trust, Series2013-C10, Class A4 4.081%, (CSTR), 7/15/46		290,000		307
Morgan Stanley Bank of America Merrill Lynch Trust, Series2015-C20, Class A4 3.249%, 2/15/48		434,000		450
Morgan Stanley Bank of America Merrill Lynch Trust, Series2015-C25, Class ASB 3.383%, 10/15/48		1,239,000		1,281
Morgan Stanley Bank of America Merrill Lynch Trust, Series2015-C27, Class A4 3.753%, 12/15/47		393,000		419
Morgan Stanley Bank of America Merrill Lynch Trust, Series2016-C30, Class ASB 2.729%, 9/15/49		5,519,000		5,612
Morgan Stanley Capital I Trust2019-MSC, Series L3, Class A4 3.127%, 11/15/29		1,332,000		1,373
Morgan Stanley Capital I Trust, Series 2016- UB11, Class A1 1.445%, 8/15/49		923,441		918
Morgan Stanley Capital I Trust, Series 2016- UB11, Class ASB 2.606%, 8/15/49		1,289,000		1,297
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1 3.600%, (AFC), 4/25/49 144A		1,635,167		1,647
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1 2.492%, (AFC), 9/25/59 144A		2,490,140		2,478
SG Residential Mortgage Trust, Series2019-3, Class A1 2.703%, (AFC), 9/25/59 144A		3,138,240		3,132
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A1 2.610%, (AFC), 9/27/49 144A		2,961,845		2,944
Verus Securitization Trust, Series2019-1, Class A1 3.836%, (AFC), 2/25/59 144A		1,347,410		1,361
Verus Securitization Trust, Series2019-2, Class A1 3.211%, (AFC), 4/25/59 144A		5,705,027		5,739

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

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Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Verus Securitization Trust, Series2019-3, Class A1 2.784%, (AFC), 7/25/59 144A		5,944,948		5,952
Verus Securitization Trust, Series2019-4, Class A1 2.642%, (AFC), 11/25/59 144A		7,692,975		7,687
Verus Securitization Trust, Series 2019-INV1, Class A1 3.402%, (AFC), 12/25/59 144A		2,248,835		2,262
Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A		2,743,092		2,744
Verus Securitization Trust, Series 2019-INV3, Class A1 2.692%, (AFC), 11/25/59 144A		1,652,365		1,647
Visio Trust, Series2019-1, Class A1 3.572%, (AFC), 6/25/54 144A		1,384,612		1,396

Total				1,273,031


Structured Products (50.5%)	Shares/ Par⁺		Value $ (000’s)

Structured Products (0.0%)
Residential Funding Mortgage Securities I,Series 2003-S18, Class A1 4.500%, 10/25/20		2,191		2

Total				2

Total Structured Products
(Cost: $1,600,451)				1,613,214


Short-Term Investments (0.9%)

Money Market Funds (0.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		28,118,395		28,118

Total				28,118


Total Short-Term Investments
(Cost: $28,118)				28,118


Total Investments (103.5%)
(Cost: $3,259,423)^@				3,303,279

Other Assets, Less
Liabilities(-3.5%)				(111,229	)

Net Assets (100.0%)				3,192,050

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

b	Cash or securities with an aggregate value of $125,057 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 12/31/2019.

p	Amount is less than one thousand.

#	7-Day yield as of l2/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,263,206 and the net unrealized appreciation of investments based on that cost was $40,073 which is comprised of $51,380 aggregate gross unrealized appreciation and $11,307 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	-	$	16,432	$	-
Corporate Bonds		-		800,855		-
Governments		-		844,660		-
Structured Products		-		1,613,214		-
Short-Term Investments		28,118		-		-
Total Assets:	$	28,118	$	3,275,161	$	-

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

146

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.	$123 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 assub-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 ofnon-government related 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

The beginning of 2019 was characterized by decelerating growth momentum, which culminated in the U.S. Federal Reserve (the “Fed”) lowering its outlook for interest rate increases in 2019 to zero and signaling an end to its balance sheet reduction program. Against this backdrop of slowing global growth, the second quarter saw softened sentiment measures highlighting growing uncertainties about the economic outlook. Slowing growth momentum and global uncertainty continued through the third quarter, prompting global central banks to take further accommodative actions. Finally, in the fourth quarter, renewed optimism surrounding the “phase one” trade deal between the U.S. and China provided a boost to risk appetites. Despite mixed global economic data, trade discussions continued to support risk sentiment through the end of 2019 and capped a year of strong risk asset returns as U.S. equities closed at new highs, credit spreads tightened and the dollar weakened.

PORTFOLIO RESULTS

The Portfolio returned 13.17% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Bloomberg Barclays^® Long-Term U.S. Treasury Index (the “Index”), returned 14.83%. (This Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Morningstar^® Inc., an independent mutual fund ranking agency, the average return in 2019 of the Long Government peer group was 14.28%.

U.S. interest rate positioning, particularly an underweight to U.S. duration, was the main detractor from the Portfolio’s relative performance during the reporting period as interest rates rallied. The Portfolio’s duration positioning was partially implemented through the use of futures, interest rate swaps and options.

Within spread sectors, security selection in agency mortgage-backed securities and an allocation to commercialmortgage-backed securities contributed to performance. Exposure to U.S. breakeven inflation – the difference between nominal and real interest rates – was a modest contributor as inflation expectations increased.

PORTFOLIO MANAGER OUTLOOK

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

While the baseline outlook for 2020 looks positive, we recognize that risk premia have been compressed by central bank action, leaving little cushion in the event of disruption. We see a range of political and geopolitical risks in addition to the potential for macro surprises, central bank exhaustion, and rising volatility.

In the U.S., we expect slower growth followed by an eventual rebound. While positive trade developments and easier Fed policy have reduced our near-term probability of recession, we continue to expect real U.S. GDP growth to slow to a

147

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

range of1.5%-2.0% in 2020, down from an estimated 2.3% pace in 2019. However, our full-year forecast masks a sharper growth deceleration in the near term as the lagged effects of weak global growth, heightened business uncertainty and slower corporate profit growth continue to weigh on business investment and hiring. Still, domestic and global government and central bank policy actions to ease financial conditions, lower interest rates and stimulate growth should ultimately counteract the slowdown, and we look for a modest U.S. reacceleration in the second half of 2020.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Long-Term U.S. Government Bond Portfolio		13.17	%		3.64	%		6.62	%
Bloomberg Barclays^® Long-Term U.S. Treasury Index		14.83	%		4.13	%		7.01	%
Morningstar^® US Insurance Fund Long Government Average		14.28	%		3.50	%		6.86	%

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Return of principal is not guaranteed. Bond funds have the same risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond

prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.

The Portfolio may invest in securities that are issued or guaranteed by the U.S. Government or its agencies, and in derivatives designed to replicate such securities. This guarantee provides for the timely repayment of the principal and interest as applicable under the terms of the instrument, if it is held to maturity, and does not apply to derivative securities held by the Portfolio. A guarantee by the U.S. Government or its agencies does not eliminate market risk.

The Portfolio may also use derivative instruments for hedging or other purposes as part of its investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk that the Portfolio could not close out a position when it would be most advantageous to do so. The potential leverage created by use of derivatives may cause the Portfolio to be more sensitive to interest rate movements and thus more volatile than other long-term U.S. Government bond funds that do not use derivatives. Portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

148

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

Top 10 Fixed Income Holdings12/31/19


Security Description	% of Total Investments
US Treasury, Various		78.5	%
Federal National Mortgage Association TBA, Various		5.6	%
Residual Funding Corp. Stripped, Various		3.0	%
Federal Home Loan Mortgage Corp., Series 4387, Class AZ, 4.000%, 9/15/44		1.4	%
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3.000%, 8/15/32		1.2	%
Federal National Mortgage Association, Various		1.0	%
Federal National Mortgage Association, Series2016-61, Class ML, 3.000%, 9/25/46		0.4	%
DBWF Mortgage Trust, Series2016-85T, Class A, 3.791%, 12/10/36		0.4	%
VNDO Trust, Series 2016-350P, Class A, 3.805%, 1/10/35		0.4	%
Federal Home Loan Mortgage Corp., Series 4398, Class ZX, 4.000%, 9/15/54		0.4	%

Sector Allocation12/31/19


Sector	% of Total Investments
Governments		82.0	%
Structured Products		15.5	%
Corporate Bonds		0.5	%
Short-Term Investments		1.9	%

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.

149

Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Corporate Bonds (0.8%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical (0.3%)
United Airlines Pass Through Trust, Series2016-2, Class A 3.100%, 4/7/30		178,855		181
United Airlines Pass Through Trust, Series2016-2, Class AA 2.875%, 4/7/30		178,855		181

Total				362


Industrial (0.4%)
Vessel Management Services, Inc. 3.432%, 8/15/36		473,000		493

Total				493


Utilities (0.1%)
Duke Energy Florida LLC 2.500%, 12/1/29		200,000		200

Total				200


Total Corporate Bonds
(Cost: $1,030)				1,055


Governments (127.6%)

Governments (127.6%)
Federal National Mortgage Association 5.625%, 4/17/28		100,000		126
Residual Funding Corp. Stripped
0.000%, 4/15/30		4,800,000		3,741
0.000%, 10/15/20		2,000,000		1,973
Resolution Funding Corp. Stripped 0.000%, 4/15/28		400,000		330
Tennessee Valley Authority Stripped 0.000%, 5/1/30		500,000		387
US Treasury
1.875%, 7/31/22		8,000,000		8,053
2.000%, 10/31/21b		3,800,000		3,827
2.000%, 6/30/24		700,000		709
2.125%, 8/15/21		400,000		403
2.125%, 3/31/24		1,000,000		1,018
2.125%, 5/15/25		410,000		418
2.500%, 2/15/45		2,660,000		2,711
2.500%, 2/15/46		940,000		958
2.500%, 5/15/46		1,710,000		1,744
2.625%, 12/31/23		400,000		415
2.750%, 8/15/42		300,000		320
2.750%, 11/15/42		800,000		853
2.875%, 5/15/43b		16,650,000		18,117
2.875%, 8/15/45		5,180,000		5,656
2.875%, 5/15/49		6,800,000		7,487
3.000%, 5/15/42		530,000		589
3.000%, 11/15/44		390,000		434
3.000%, 11/15/45		370,000		413
3.000%, 2/15/48		330,000		370
3.000%, 8/15/48		700,000		787
3.000%, 9/30/25		100,000		107
3.000%, 10/31/25		120,000		128
3.125%, 2/15/42		300,000		340
3.125%, 2/15/43		10,710,000		12,131
3.125%, 8/15/44b		27,230,000		30,937


Governments (127.6%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
3.125%, 5/15/48		2,430,000		2,795
3.375%, 5/15/44b		15,040,000		17,777
3.500%, 2/15/39		50,000		60
3.625%, 8/15/43		5,950,000		7,288
3.750%, 11/15/43		6,500,000		8,119
3.875%, 8/15/40		40,000		50
4.250%, 11/15/40		2,400,000		3,172
4.375%, 2/15/38		2,240,000		2,976
4.500%, 5/15/38		1,440,000		1,944
US Treasury Inflation Index Bond
0.125%, 4/15/22		317,433		317
0.375%, 1/15/27		74,570		76
0.375%, 7/15/27		641,690		654
0.500%, 1/15/28		1,084,949		1,113
0.625%, 1/15/26		32,489		33
0.750%, 7/15/28		1,342,933		1,413
0.875%, 1/15/29		499,364		530
1.000%, 2/15/48		417,404		462
1.000%, 2/15/49		102,262		114
1.375%, 2/15/44		143,537		169
1.750%, 1/15/28		442,192		497
2.500%, 1/15/29		407,504		491
3.625%, 4/15/28		159,099		203
US Treasury Stripped
0.000%, 8/15/34		850,000		608
0.000%, 11/15/43		700,000		392

Total				156,735


Total Governments
(Cost: $150,004)				156,735


Structured Products (24.2%)

Asset Backed Securities (0.9%)
ECMC Group Student Loan Trust, Series2018-1A, Class A 2.542%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A		72,004		71
Massachusetts Educational Financing Authority, Series2008-1, Class A1 2.890%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38		44,031		44
OneMain Direct Auto Receivables Trust, Series2018-1A, Class A 3.430%, 12/16/24 144A		600,000		608
SLM Student Loan Trust, Series2003-7A, Class A5A 3.094%, (ICE LIBOR USD 3 Month plus 1.200%), 12/15/33 144A		109,431		108
Towd Point Mortgage Trust, Series2019-SJ3, Class A1 3.000%, (AFC), 11/25/59 144A		292,871		293

Total				1,124

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

150

Long-Term U.S. Government Bond Portfolio


Structured Products (24.2%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities (23.3%)
BWAY Mortgage Trust, Series 2013-1515, Class A2 3.454%, 3/10/33 144A		300,000		312
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A 2.778%, (CSTR), 11/10/31 144A		600,000		608
COMM Mortgage Trust, Series 2018-HOME, Class A 3.815%, (AFC), 4/10/33 144A		200,000		215
Commercial Mortgage Pass Through Certificates, Series2016-667M, Class A 3.140%, 10/10/36 144A		700,000		718
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 3.885%, (CSTR), 7/25/33		811		1
DBWF Mortgage Trust, Series2016-85T, Class A 3.791%, 12/10/36 144A		800,000		855
Federal Home Loan Mortgage Corp., Series 2752, Class EZ 5.500%, 2/15/34		235,633		270
Federal Home Loan Mortgage Corp., Series 3759, Class FB 2.240%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40		44,578		44
Federal Home Loan Mortgage Corp., Series 4092, Class AY 3.000%, 8/15/32		2,200,000		2,280
Federal Home Loan Mortgage Corp., Series 4387, Class AZ 4.000%, 9/15/44		2,466,495		2,681
Federal Home Loan Mortgage Corp., Series 4398, Class ZX 4.000%, 9/15/54		737,490		823
Federal Home Loan Mortgage Corp., Series 4830, Class ZG 3.000%, 4/15/53		703,966		680
Federal Home Loan Mortgage Corp., SeriesT-61, Class 1A1 3.639%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.400%), 7/25/44		8,601		9
Federal National Mortgage Association
3.040%, 12/1/30		347,473		362
3.090%, 12/1/36		600,000		613
3.600%, 2/1/40		620,359		672
5.000%, 6/1/35		48,626		54
5.000%, 2/1/36		74,831		82
5.500%, 5/1/49		78,735		85
Federal National Mortgage Association TBA
3.000%, 2/13/48		3,500,000		3,545
4.000%, 1/14/50		1,300,000		1,352
4.000%, 2/13/49		5,600,000		5,826
Federal National Mortgage Association, Series2007-39, Class NZ 4.250%, 5/25/37		242,937		253
Federal National Mortgage Association, Series2012-101, Class FC 2.292%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42		74,685		75


Structured Products (24.2%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal National Mortgage Association, Series2016-61, Class ML 3.000%, 9/25/46		900,000		903
Freddie Mac Military Housing Bonds Resecuritization Trust, Series2015-R1, Class A2 4.097%, (CSTR), 10/25/52 144A		579,923		634
Government National Mortgage Association, Series2010-26, Class OW 0.000%, 2/20/40		550,304		467
Government National Mortgage Association, Series2010-75, Class OA 0.000%, 9/20/35		403,057		351
GS Mortgage Securities Trust, Series 2015-590M, Class B 3.805%, (CSTR), 10/10/35 144A		300,000		316
Hilton USA Trust, Series2016-HHV, Class A 3.719%, 11/5/38 144A		300,000		316
Hilton USA Trust, Series2016-HHV, Class C 4.194%, (CSTR), 11/5/38 144A		400,000		426
Merrill Lynch Mortgage Investors Trust, Series2003-A4, Class 3A 4.870%, (CSTR, AFC), 5/25/33		1,279		1
Morgan Stanley Bank of America Merrill Lynch Trust, Series2016-C32, Class ASB 3.514%, 12/15/49		700,000		733
Morgan Stanley Capital I Trust, Series 2018-MP, Class A 4.418%, 7/11/40 144A		100,000		112
MSSG Trust, Series 2017-237P, Class A 3.397%, 9/13/39 144A		700,000		731
Structured Asset Mortgage Investments, Inc., Series2004-AR5, Class 1A1 2.424%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34		3,699		4
Towd Point Mortgage Trust, Series2019-4, Class A1 2.900%, (AFC), 10/25/59 144A		195,089		196
VNDO Trust, Series 2016-350P, Class A 3.805%, 1/10/35 144A		800,000		852
WaMu Mortgage Pass-Through Certificates, Series2004-AR1, Class A 4.839%, (CSTR, AFC), 3/25/34		8,209		8
Worldwide Plaza Trust, Series2017-WWP, Class A 3.526%, 11/10/36 144A		100,000		105

Total				28,570


Total Structured Products
(Cost: $29,163)				29,694

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

151

Long-Term U.S. Government Bond Portfolio


Short-Term Investments (3.0%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (3.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		3,711,891		3,712

Total				3,712


Total Short-Term Investments
(Cost: $3,712)				3,712


Total Investments (155.6%)
(Cost: $183,909)^@				191,196

Other Assets, Less
Liabilities(-55.6%)				(68,342	)

Net Assets (100.0%)				122,854

Reverse Repurchase Agreements


Reference Entity	Counterparty	Interest Rate	Borrowing Date	Maturity Date	Currency	Amount Borrowed (000’s)	Payable for Reverse Repurchase Agreements (000s)
US Treasury	Bank of Montreal	1.850%	12/27/2019	2/6/2020	USD	(13,230)	$	(13,230	)
US Treasury	NatWest Markets Securities, Inc.	2.000%	12/9/2019	2/4/2020	USD	(12,125)		(12,125	)

							$	(25,355	)

Securities Sold Short


Description	Coupon			Maturity Date	Principal Amount (000’s)			Proceeds (000’s)			Value (000’s)
Federal National Mortgage Association TBA		3.500	%	1/14/50	$	(2,700	)	$	(2,774	)	$	(2,776	)
Federal National Mortgage Association TBA		3.500	%	2/12/50		(1,600	)		(1,644	)		(1,645	)
Federal National Mortgage Association TBA		4.500	%	1/14/50		(300	)		(316	)		(316	)
Federal National Mortgage Association TBA		4.500	%	2/12/50		(600	)		(631	)		(632	)

					$	(5,200	)	$	(5,365	)	$	(5,369	)

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		1,000		10		3/20	$	1,186	$	(6	)	$	-	p
Ultra Long Term US Treasury Bond Future	Long	USD		1,700		17		3/20		3,088		(105	)		(20	)
UltraTen-Year US Treasury Note Future	Short	USD		25,500		255		3/20		35,879		429			44

											$	318		$	24

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)
3-MonthUSD-LIBOR	1.750%	12/26	3,110	USD	$	111		$	(101	)	$	10		$	8
3-MonthUSD-LIBOR	2.250%	6/28	1,800	USD		22			(79	)		(57	)		6
3-MonthUSD-LIBOR	2.000%	2/45	1,500	USD		(27	)		60			33			16

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

152

Long-Term U.S. Government Bond Portfolio

Centrally Cleared Interest Rate Swaps - Receive Floating Rate (continued)


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)
3-MonthUSD-LIBOR	1.750%	6/47	600	USD		101			(54	)		47			7
3-MonthUSD-LIBOR	2.384%	9/47	2,000	USD		98			(216	)		(118	)		25
3-MonthUSD-LIBOR	2.750%	12/47	800	USD		(25	)		(90	)		(115	)		11

					$	280		$	(480	)	$	(200	)	$	73

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	30	$132.000	1/20		30	$	-	p
Put -Ten-Year US Treasury Note Future	USD	30	127.000	1/20		30		(3	)

(Premiums Received $10)							$	(3	)


	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	$	73	$	44	$	117	$	-	$	(20	)	$	(20	)	$	(3	)

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

b	Cash or securities with an aggregate value of $70,658 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 12/31/2019.

#	7-Day yield as of l2/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $167,385 and the net unrealized depreciation of investments based on that cost was $6,798 which is comprised of $2,504 aggregate gross unrealized appreciation and $9,302 aggregate gross unrealized depreciation.

p	Amount is less than one thousand.

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

153

Long-Term U.S. Government Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	-		$	1,055		$	-
Governments		-			156,735			-
Structured Products		-			29,694			-
Short-Term Investments		3,712			-			-
Other Financial Instruments^
Futures		429			-			-
Interest Rate Swaps		-			90			-
Total Assets:	$	4,141		$	187,574		$	-
Liabilities:
Other Financial Instruments^
Futures		(111	)		-			-
Written Options		(3	)		-			-
Interest Rate Swaps		-			(290	)		-
Reverse Repurchase Agreements		-			(25,355	)		-
Securities Sold Short		-			(5,369	)		-
Total Liabilities:	$	(114	)	$	(31,014	)	$	-

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

154

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.	$381 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 assub-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. The Portfolio also may invest in fixed income securities that are not inflation-indexed, including collateralized mortgage obligations, mortgage- and asset-backed securities, whether issued by the U.S. government, its agencies or instrumentalities, corporations or othernon-governmental issuers, or foreign governments. Due to Internal Revenue Code 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

A key policy pivot from the U.S. Federal Reserve (the “Fed”) early in the year set the stage for robust U.S. bond market performance in 2019. Throughout 2018, the Fed remained on a tightening course, raising interest rates amid a backdrop of generally improving U.S. economic growth and modestly rising inflation. In early 2019, as the escalating U.S.-China trade dispute threatened global economic growth, the Fed abruptly adopted a dovish tone. By July, mounting global economic risks and relatively muted inflation prompted the Fed to cut rates for the first time in ten years, followed by two additional rate cuts in September and October, which reduced the federal funds rate target to a range of between 1.50% and 1.75%.

Against this backdrop, U.S. Treasury yields declined. The benchmarkten-year Treasury note ended 2019 with a yield of 1.92%, compared to 2.69% a year earlier. The yield on thetwo-year Treasury note fell from 2.49% at the end of 2018 to 1.57% at the end of 2019. The falling yield/low inflation environment helped generate solid returns for Treasurys. From a broad sector perspective, TIPS outperformed nominal Treasurys, benefiting from the better relative performance of longer- duration securities and from rising breakeven rates later in the year. After ending 2018 at 1.71%, the10-year breakeven rate fell as low as 1.50% in September and October before steadily climbing to 1.77% at the end of 2019.

Other U.S. bond market sectors also delivered robust returns for the year. Corporate bonds rallied, benefiting from the declining yield environment as well as solid corporate fundamentals and strong investor demand for yield. In addition, concerns about economic growth and trade tensions eased as the year progressed, supporting riskier bond market sectors.

PORTFOLIO RESULTS

The Portfolio returned 9.02% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Bloomberg Barclays^® U.S. TIPS Index (the “Index”), returned 8.43%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2019 of the Inflation Protected Bonds Funds peer group was 7.93%.

The Portfolio was nearly fully invested in TIPS as allowed by IRS portfolio diversification regulations for insurance products (53% versus the IRS maximum of 55%). The remainder was primarily invested in investment grade corporate and securitized securities andnon-U.S.-dollar inflation-linked securities (hedged against currency risk). Strong performance from these allocations, particularly the positions in corporate credit and credit-sensitive mortgage securities, largely accounted for the Portfolio’s outperformance relative to the Index.

To achieve inflation exposure while adhering to the 55% TIPS limit, the Portfolio managers used inflation swaps to create an inflation overlay for thenon-inflation-linked corporate and securitized holdings. This strategy positioned the Portfolio with an overweight to inflation-linked securities, aiding performance as breakeven rates increased in the final months of the year.

155

Inflation Protection Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

Although breakeven rates have been on the rise, they remain below historical averages, suggesting TIPS still offer value. We expect the Fed to increase its purchases of Treasurys and TIPS as it rebuilds its balance sheet. We believe attractive valuations, combined with growing demand for TIPS from the Fed, provide a favorable backdrop for these securities. We have positioned the Portfolio to reflect our expectation of modest global growth, range-bound Treasury yields, stable monetary policy and slightly higher inflation. We expect headline inflation to increase in early 2020 due to year-over-year base effects from rising oil prices. Bymid-year, we think headline inflation could ease slightly and converge with core inflation at 2.0%.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Inflation Protection Portfolio		9.02	%		2.40	%		3.05	%
Bloomberg Barclays^® U.S. Treasury Inflation Protected Securities (TIPS) Index		8.43	%		2.62	%		3.36	%
Lipper^® Variable Insurance Products (VIP) Inflation Protected Bonds Funds Average		7.93	%		2.30	%		3.06	%

This chart assumes an initial investment of$10,000 made on 12/31/09. 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.

Return of principal is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.

The Portfolio may use derivative instruments for hedging purposes or as alternatives to direct investments. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

156

Inflation Protection Portfolio (unaudited)

Top 10 Fixed Income Holdings 12/31/19


Security Description	% of Net Assets
US Treasury Inflation Index Bond, Various		53.7	%
Federal Home Loan Mortgage Corp., Various		5.5	%
Federal National Mortgage Association, 4.000%, 2/1/46		1.1	%
CD Mortgage Trust, Series2016-CD2, Class A4, 3.526%, 11/10/49		1.0	%
Sequoia Mortgage Trust, Series2019-4, Class A7, 3.500%, 11/25/49		1.0	%
CBAM CLO Management LLC, 3.022%, 4/17/31		1.0	%
Progress Residential Trust, Series 2019-SFR3, Class A, 2.271%, 9/17/36		1.0	%
Sierra Timeshare Receivables Funding LLC, Series2019-3, Class B, 2.750%, 7/15/38		0.9	%
Hertz Fleet Lease Funding LP, Series2018-1, Class A2, 3.230%, 5/10/32		0.9	%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series 2019-K088, Class A2, 3.690%, 1/25/29		0.9	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Governments		54.5	%
Structured Products		31.4	%
Corporate Bonds		9.9	%
Short-Term Investments & Other Net Assets		4.2	%
Municipal Bonds		0.0	%

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.

157

Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Corporate Bonds (9.9%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials (0.0%)
The Dow Chemical Co. 3.500%, 10/1/24		200,000		210

Total				210


Communications (1.6%)
AT&T, Inc. 2.950%, 7/15/26		200,000		204
3.400%, 5/15/25		450,000		471
3.800%, 2/15/27		300,000		320
4.050%, 12/15/23		150,000		161
4.450%, 4/1/24		100,000		108
4.800%, 6/15/44		280,000		319
5.150%, 11/15/46		77,000		92
CBS Corp. 3.700%, 6/1/28		170,000		178
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 6.484%, 10/23/45		530,000		661
Comcast Corp. 4.250%, 10/15/30		1,080,000		1,233
6.500%, 11/15/35		350,000		495
Deutsche Telekom International Finance 3.600%, 1/19/27 144A		450,000		473
Verizon Communications, Inc. 2.625%, 8/15/26		125,000		127
5.012%, 8/21/54		300,000		386
Viacom, Inc. 4.250%, 9/1/23		470,000		500
4.375%, 3/15/43		90,000		95
The Walt Disney Co.
4.750%, 9/15/44		150,000		187

Total				6,010


Consumer, Cyclical (0.4%)
Ford Motor Co. 4.346%, 12/8/26		120,000		124
Ford Motor Credit Co. LLC 4.389%, 1/8/26		300,000		305
General Motors Co. 5.150%, 4/1/38		650,000		663
McDonald’s Corp. 3.250%, 6/10/24		150,000		158
Walmart, Inc. 4.050%, 6/29/48		350,000		413

Total				1,663


Consumer, Non-cyclical (1.4%)
AbbVie, Inc. 2.900%, 11/6/22		5,000		5
4.450%, 5/14/46		350,000		374
Aetna, Inc. 2.750%, 11/15/22		230,000		234
Allergan Funding SCS 3.850%, 6/15/24		150,000		157
4.550%, 3/15/35		270,000		294


Corporate Bonds (9.9%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Amgen, Inc. 3.625%, 5/22/24		240,000		253
Anthem, Inc. 4.650%, 1/15/43		200,000		225
Becton Dickinson and Co. 3.700%, 6/6/27		261,000		278
Bristol-Myers Squibb Co. 3.625%, 5/15/24 144A		50,000		53
4.250%, 10/26/49 144A		150,000		177
Catholic Health Initiatives 2.950%, 11/1/22		100,000		102
Cigna Corp. 4.500%, 2/25/26 144A		80,000		88
4.900%, 12/15/48		200,000		238
CVS Health Corp. 2.750%, 12/1/22		650,000		660
4.780%, 3/25/38		180,000		204
5.050%, 3/25/48		170,000		201
Duke University Health System, Inc. 3.920%, 6/1/47		268,000		298
Gilead Sciences, Inc. 3.650%, 3/1/26		200,000		215
The Kroger Co. 3.875%, 10/15/46		400,000		391
Medtronic, Inc. 3.500%, 3/15/25		36,000		39
Northwell Health, Inc. 4.260%, 11/1/47		180,000		193
Shire Acquisitions Investments Ireland Designated Activity Co. 3.200%, 9/23/26		260,000		268
Thermo Fisher Scientific, Inc. 2.950%, 9/19/26		250,000		257

Total				5,204


Energy (1.0%)
Cimarex Energy Co. 4.375%, 6/1/24		100,000		105
Enbridge, Inc. 3.500%, 6/10/24		150,000		157
3.700%, 7/15/27		200,000		212
Energy Transfer Partners LP 3.600%, 2/1/23		100,000		102
5.300%, 4/15/47		455,000		484
Enterprise Products Operating LLC 4.850%, 3/15/44		100,000		116
Hess Corp. 6.000%, 1/15/40		250,000		295
Magellan Midstream Partners LP 5.150%, 10/15/43		150,000		175
MPLX LP 4.500%, 4/15/38		200,000		203
5.200%, 3/1/47		200,000		216
Petroleos Mexicanos 3.500%, 1/30/23		130,000		131
4.875%, 1/18/24		400,000		420

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

158

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Corporate Bonds (9.9%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Plains All American Pipeline LP / PAA Finance Corp. 3.650%, 6/1/22		200,000		205
Sabine Pass Liquefaction LLC 5.625%, 3/1/25		500,000		563
Sunoco Logistics Partners Operations LP 3.450%, 1/15/23		200,000		203
Williams Partners LP 4.125%, 11/15/20		80,000		81
4.300%, 3/4/24		300,000		320

Total				3,988


Financial (3.6%)
American International Group, Inc. 4.500%, 7/16/44		250,000		288
Bank of America Corp. 3.248%, 10/21/27		1,625,000		1,692
3.300%, 1/11/23		425,000		439
4.443%, (ICE LIBOR USD 3 Month plus 1.990%), 1/20/48		450,000		546
Boston Properties LP 3.650%, 2/1/26		150,000		159
Capital One Financial Corp. 3.750%, 3/9/27		330,000		352
Citigroup, Inc. 2.350%, 8/2/21		300,000		302
3.200%, 10/21/26		665,000		689
4.050%, 7/30/22		450,000		470
4.075%, (ICE LIBOR USD 3 Month plus 1.192%), 4/23/29		300,000		328
Cooperatieve Rabobank UA 3.950%, 11/9/22		250,000		261
Credit Suisse AG 3.625%, 9/9/24		250,000		266
Discover Bank 3.450%, 7/27/26		300,000		311
Discover Financial Services 3.750%, 3/4/25		200,000		212
The Goldman Sachs Group, Inc. 3.500%, 11/16/26		400,000		420
3.750%, 5/22/25		850,000		901
The Hartford Financial Services Group, Inc. 3.600%, 8/19/49		81,000		83
HSBC Holdings PLC 2.950%, 5/25/21		400,000		405
4.041%, (ICE LIBOR USD 3 Month plus 1.546%), 3/13/28		230,000		246
4.300%, 3/8/26		200,000		218
4.375%, 11/23/26		200,000		216
Huntington Bancshares, Inc. 2.300%, 1/14/22		200,000		201
International Lease Finance Corp. 5.875%, 8/15/22		200,000		218
JPMorgan Chase & Co. 3.897%, (ICE LIBOR USD 3 Month plus 1.220%), 1/23/49		400,000		449
4.500%, 1/24/22		750,000		787
Kilroy Realty LP 3.800%, 1/15/23		120,000		124
Markel Corp. 3.500%, 11/1/27		200,000		207


Corporate Bonds (9.9%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Morgan Stanley 3.772%, (ICE LIBOR USD 3 Month plus 1.140%), 1/24/29		200,000		215
3.875%, 1/27/26		250,000		268
Prudential Financial, Inc. 3.935%, 12/7/49		131,000		143
US Bancorp 3.600%, 9/11/24		400,000		425
Ventas Realty LP / Ventas Capital Corp. 3.250%, 8/15/22		250,000		257
Wells Fargo & Co. 3.000%, 4/22/26		200,000		205
3.550%, 9/29/25		175,000		185
4.100%, 6/3/26		330,000		356
4.125%, 8/15/23		220,000		234
4.750%, 12/7/46		450,000		539

Total				13,617


Industrial (0.3%)
Burlington Northern Santa Fe LLC 3.000%, 4/1/25		200,000		208
3.750%, 4/1/24		200,000		213
4.950%, 9/15/41		100,000		122
Lockheed Martin Corp. 3.800%, 3/1/45		200,000		223
Union Pacific Corp. 2.750%, 4/15/23		100,000		102
Waste Management, Inc. 4.150%, 7/15/49		200,000		228

Total				1,096


Technology (0.8%)
Apple, Inc. 2.900%, 9/12/27		650,000		676
3.200%, 5/11/27		550,000		580
Dell International LLC / EMC Corp. 6.020%, 6/15/26 144A		470,000		541
Fidelity National Information Services, Inc. 3.000%, 8/15/26		200,000		207
Microsoft Corp. 3.450%, 8/8/36		400,000		437
Oracle Corp. 2.500%, 10/15/22		300,000		305
2.650%, 7/15/26		150,000		153

Total				2,899


Utilities (0.8%)
AEP Transmission Co., LLC 3.750%, 12/1/47		200,000		215
American Electric Power Co., Inc. 3.200%, 11/13/27		200,000		206
Dominion Resources, Inc. 4.900%, 8/1/41		320,000		375
Duke Energy Corp. 3.150%, 8/15/27		150,000		154
Exelon Generation Co. LLC 5.600%, 6/15/42		480,000		549
FirstEnergy Corp. 4.850%, 7/15/47		300,000		356
NextEra Energy Capital Holdings, Inc. 3.550%, 5/1/27		200,000		212

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

159

Inflation Protection Portfolio


Corporate Bonds (9.9%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Sempra Energy 3.250%, 6/15/27		250,000		257
3.800%, 2/1/38		150,000		156
Southern Co. Gas Capital Corp. 3.950%, 10/1/46		200,000		206
Southwestern Public Service Co. 3.700%, 8/15/47		250,000		263

Total				2,949


Total Corporate Bonds
(Cost: $35,281)				37,636


Governments (54.5%)

Governments (54.5%)
Australian Government Inflation Linked Bond 6.944%, 8/20/20 AUD §,¥		715,000		900
Canadian Government Real Return Bond 4.250%, 12/1/21 CAD¥		789,168		653
4.250%, 12/1/26 CAD¥		1,555,210		1,519
US Treasury Inflation Index Bond
0.125%, 7/15/22		5,706,849		5,731
0.125%, 1/15/23		3,901,905		3,901
0.125%, 7/15/26		10,788,977		10,822
0.250%, 1/15/25b		21,076,936		21,263
0.250%, 7/15/29b		13,983,261		14,117
0.375%, 7/15/23b		15,812,225		16,030
0.375%, 7/15/25		6,944,704		7,086
0.375%, 1/15/27		8,415,712		8,543
0.375%, 7/15/27		9,204,563		9,388
0.500%, 1/15/28		4,172,880		4,280
0.625%, 2/15/43		7,443,013		7,525
0.625%, 1/15/24b		10,752,690		10,980
0.625%, 1/15/26		9,367,691		9,654
0.750%, 2/15/42		8,911,188		9,253
0.750%, 2/15/45		8,523,606		8,837
0.750%, 7/15/28		6,612,153		6,955
0.875%, 2/15/47		1,652,295		1,770
1.000%, 2/15/46		2,552,147		2,806
1.000%, 2/15/48		1,200,037		1,327
1.000%, 2/15/49		2,657,789		2,952
1.375%, 2/15/44		6,823,523		8,045
1.750%, 1/15/28		4,907,098		5,512
2.000%, 1/15/26		3,176,450		3,531
2.125%, 2/15/40		2,262,064		2,956
2.125%, 2/15/41b		5,152,638		6,785
2.375%, 1/15/25b		2,252,498		2,510
2.375%, 1/15/27		4,370,369		5,044
2.500%, 1/15/29		3,254,036		3,921
3.625%, 4/15/28		2,386,485		3,053

Total				207,649


Total Governments
(Cost: $201,660)				207,649


Municipal Bonds (0.0%)

Municipal Bonds (0.0%)
Santa Clara Valley Transportation Authority 5.876%, 4/1/32 RB		50,000		61

Total Municipal Bonds
(Cost: $60)				61


Structured Products (31.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities (11.2%)
Bean Creek CLO, Ltd., Series 2018-1A, Class AR 2.986%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A		1,250,000		1,234
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A 2.940%, 5/25/29 144A		292,337		292
CBAM CLO Management LLC 3.022%, (ICE LIBOR USD 3 Month plus 1.020%), 4/17/31 144A		3,775,000		3,745
CIFC Funding, Ltd., Series 2013-3RA, Class A1 2.916%, (ICE LIBOR USD 3 Month plus 0.980%), 4/24/31 144A		1,000,000		991
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR 3.086%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A		1,000,000		997
Goldentree Loan Opportunities XI, Ltd., Series 2017-11A, Class AR2 3.073%, (ICE LIBOR USD 3 Month plus 1.070%), 1/18/31 144A		2,100,000		2,094
Hertz Fleet Lease Funding LP, Series 2018-1, Class A2 3.230%, 5/10/32 144A		3,283,031		3,306
Hilton Grand Vacations Trust, Series 2014-AA, Class A 1.770%, 11/25/26 144A		104,632		104
Hilton Grand Vacations Trust, Series 2017-AA, Class A 2.660%, 12/26/28 144A		1,274,717		1,280
Hilton Grand Vacations Trust, Series 2019-AA, Class B 2.540%, 7/25/33 144A		1,804,845		1,799
KKR CLO, Ltd., Series 2018-22A, Class A 3.116%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A		1,500,000		1,487
Magnetite VIII, Ltd., Series 2018-8A, Class AR2 2.981%, (ICE LIBOR USD 3 Month plus 0.980%), 4/15/31 144A		1,750,000		1,738
MVW Owner Trust, Series 2015-1A, Class A 2.520%, 12/20/32 144A		225,305		225
MVW Owner Trust, Series 2016-1A, Class A 2.250%, 12/20/33 144A		190,202		189
MVW Owner Trust, Series 2019-2A, Class A 2.220%, 10/20/38 144A		1,456,545		1,447
Progress Residential Trust, Series 2019-SFR1, Class A 3.422%, 8/17/35 144A		2,100,000		2,129
Progress Residential Trust, Series 2019-SFR3, Class A 2.271%, 9/17/36 144A		3,800,000		3,718
Progress Residential Trust, Series 2019-SFR4, Class B 2.937%, 11/17/36 144A		2,400,000		2,386
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A 3.080%, 3/21/33 144A		158,224		159

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

160

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Structured Products (31.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A		850,287		858
Sierra Timeshare Receivables Funding LLC, Series 2019-3, Class B 2.750%, 7/15/38 144A		3,492,928		3,492
Sounds Point CLO IV-R, Ltd., Series 2013- 3RA, Class A 3.153%, (ICE LIBOR USD 3 Month plus 1.150%), 4/18/31 144A		1,600,000		1,586
Towd Point Mortgage Trust, Series 2016-1, Class A1 3.500%, (AFC), 2/25/55 144A		270,278		273
Towd Point Mortgage Trust, Series 2017-2, Class A1 2.750%, (AFC), 4/25/57 144A		587,670		591
Towd Point Mortgage Trust, Series 2017-2, Class A2 3.250%, (AFC), 4/25/57 144A		2,500,000		2,549
Towd Point Mortgage Trust, Series 2019-2, Class M1 3.750%, (AFC), 12/25/58 144A		2,250,000		2,331
Treman Park CLO, Ltd., Series 2015-1A, Class ARR 3.036%, (ICE LIBOR USD 3 Month plus 1.070%), 10/20/28 144A		1,000,000		998
VSE VOI Mortgage LLC, Series 2017-A, Class A 2.330%, 3/20/35 144A		605,461		605

Total				42,603


Mortgage Securities (20.2%)
Agate Bay Mortgage Trust, Series 2014-3, Class A2 3.500%, (AFC), 11/25/44 144A		581,427		590
Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A		1,147,675		1,158
Agate Bay Mortgage Trust, Series 2016-1, Class A3 3.500%, (AFC), 12/25/45 144A		865,571		869
Agate Bay Mortgage Trust, Series 2016-3, Class A3 3.500%, (AFC), 8/25/46 144A		612,331		622
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class B 3.490%, 4/14/33 144A		1,000,000		1,034
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1 2.724%, (AFC), 11/25/59 144A		1,851,526		1,850
CD Mortgage Trust, Series 2016-CD2, Class A4 3.526%, (AFC), 11/10/49		3,700,000		3,933
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37		28,368		29
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2016-CD1, Class AM 2.926%, 8/10/49		1,000,000		1,005


Structured Products (31.4%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class AM 4.426%, (AFC), 2/10/47		1,000,000		1,072
Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class AM 4.193%, (AFC), 9/10/47		850,000		897
Commercial Mortgage Pass Through Certificates, Series 2015-3BP, Class A 3.178%, 2/10/35 144A		2,500,000		2,587
Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class AM 3.603%, (AFC), 3/10/48		900,000		938
Commercial Mortgage Pass Through Certificates, Series 2016-CR28, Class B 4.646%, (CSTR), 2/10/49		880,000		962
Commercial Mortgage Pass Through Certificates, Series 2017-PANW, Class A 3.244%, 11/10/34 144A		850,000		875
Credit Suisse Mortgage Trust, Series 2015-WIN1, Class A10 3.500%, (AFC), 12/25/44 144A		300,000		303
Credit Suisse Mortgage Trust, Series 2019-NQM1, Class A1 2.656%, (AFC), 10/25/59 144A		1,804,581		1,803
Federal Home Loan Mortgage Corp. 3.000%, 7/1/49		15,125,508		15,354
4.000%, 5/1/42		2,805,707		3,004
4.500%, 4/1/41		2,279,318		2,476
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series 2019-K088, Class A2 3.690%, 1/25/29		3,000,000		3,277
Federal National Mortgage Association 4.000%, 2/1/46		3,799,791		4,019
GS Mortgage Securities Trust, Series 2016-GS2, Class B 3.759%, (AFC), 5/10/49		750,000		780
Hudson Yards Mortgage Trust, Series 2016-10HY, Class B 2.977%, (CSTR), 8/10/38 144A		1,175,000		1,182
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4 4.166%, 12/15/46		600,000		640
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A4 2.821%, 8/15/49		600,000		611
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class AS 3.144%, 8/15/49		675,000		685
JP Morgan Mortgage Trust, Series 2013-1, Class 2A2 2.500%, (AFC), 3/25/43 144A		498,789		498
JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.980%, (AFC), 10/25/29 144A		618,286		621
JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A		1,750,000		1,789
JP Morgan Mortgage Trust, Series 2017-1, Class A2 3.500%, (AFC), 1/25/47 144A		1,510,870		1,538

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

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Structured Products (31.4%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class B 4.341%, (AFC), 8/15/47		2,000,000		2,091
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4 3.414%, 3/15/50		930,000		977
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class A3 3.276%, 11/15/52		1,350,000		1,414
Morgan Stanley Capital I Trust, Series 2014-CPT, Class AM 3.402%, (CSTR), 7/13/29 144A		1,500,000		1,518
Morgan Stanley Capital I Trust, Series 2014-CPT, Class C 3.446%, (CSTR), 7/13/29 144A		600,000		606
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A4 2.782%, 8/15/49		1,575,000		1,596
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3 4.000%, (CSTR), 3/25/57 144A		905,082		944
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1 3.292%, (ICE LIBOR USD 1 Month plus 1.500%), (AFC), 6/25/57 144A		960,666		973
Sequoia Mortgage Trust, Series 2014-3, Class A14 3.000%, (AFC), 10/25/44 144A		109,747		110
Sequoia Mortgage Trust, Series 2014-4, Class A2 3.500%, (AFC), 11/25/44 144A		107,196		108
Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A		2,250,000		2,290


Structured Products (31.4%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Sequoia Mortgage Trust, Series 2017-CH1, Class A1 4.000%, (AFC), 10/25/47 144A		824,743		844
Sequoia Mortgage Trust, Series 2019-4, Class A7 3.500%, (AFC), 11/25/49 144A		3,750,000		3,819
Thornburg Mortgage Securities Trust, Series 2004-3, Class A 2.532%, (ICE LIBOR USD 1 Month plus 0.740%), (AFC), 9/25/44		229,017		226
UBS Commercial Mortgage Trust, Series 2018-C17, Class AS 3.203%, 10/15/52		2,700,000		2,710
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR10, Class 1A1 4.263%, (CSTR), 1/25/38		33,793		31
WinWater Mortgage Loan Trust, Series 2014- 1, Class A4 3.500%, (AFC), 6/20/44 144A		26,725		27

Total				77,285


Total Structured Products
(Cost: $119,451)				119,888


Short-Term Investments (4.8%)

Money Market Funds (4.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		18,135,132		18,135

Total				18,135


Total Short-Term Investments
(Cost: $18,135)				18,135


Total Investments (100.6%)
(Cost: $374,587)^@				383,369

Other Assets, Less Liabilities (-0.6%)				(2,237	)

Net Assets (100.0%)				381,132

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)
Two-Year US Treasury Note Future	Long	USD		21,600	108	3/20	$	23,274	$	(11	)	$	5

									$	(11	)	$	5

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

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Inflation Protection Portfolio

Centrally Cleared 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)
U.S. Consumer Price	1.777%	6/24		11,000		USD	$	(1	)	$	49		$	48		$	14
Index - 3 Month
USD LIBOR
U.S. Consumer Price	1.715%	6/24		7,400		USD		-			49			49			9
Index - 3 Month
USD LIBOR
U.S. Consumer Price	1.860%	7/24		7,500		USD		-			(9	)		(9	)		10
Index - 3 Month
USD LIBOR
U.S. Consumer Price	1.858%	8/24		12,700		USD		(1	)		(13	)		(14	)		17
Index - 3 Month
USD LIBOR
U.S. Consumer Price	1.616%	10/24		7,500		USD		(1	)		92			91			10
Index - 3 Month
USD LIBOR
U.S. Consumer Price	2.073%	8/27		3,500		USD		-			(31	)		(31	)		8
Index - 3 Month
USD LIBOR
U.S. Consumer Price	2.145%	11/27		5,000		USD		(1	)		(98	)		(99	)		11
Index - 3 Month
USD LIBOR
U.S. Consumer Price	1.793%	10/29		3,700		USD		-			66			66			9
Index - 3 Month
USD LIBOR
U.S. Consumer Price	1.800%	10/29		3,700		USD		-			65			65			9
Index - 3 Month
USD LIBOR
U.S. Consumer Price	1.884%	11/29		2,000		USD		-			21			21			5
Index - 3 Month
USD LIBOR

							$	(4	)	$	191		$	187		$	102


	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	$	102	$	5	$	107	$	-	$	-	$	-	$	-

Over the Counter Derivatives

Forward Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)		Settlement Month		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services	AUD	1,261		887		3/20	$	-	$	(15	)	$	(15	)
Sell	Morgan Stanley Capital Services	CAD	2,781		2,142		3/20		-		(23	)		(23	)

								$	-	$	(38	)	$	(38	)

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

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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	2.640%	2/20	2,800	$	(303	)	$	(303	)
CPURNSA	Bank of America NA	2.670%	4/22	3,000		(412	)		(412	)
CPURNSA	Bank of America NA	2.763%	3/23	700		(90	)		(90	)
CPURNSA	Bank of America NA	2.528%	8/24	2,750		(269	)		(269	)
CPURNSA	Bank of America NA	2.140%	7/25	2,900		(79	)		(79	)
CPURNSA	Bank of America NA	1.790%	8/25	1,500		9			9
CPURNSA	Bank of America NA	2.240%	4/27	3,500		(122	)		(122	)
CPURNSA	Bank of America NA	2.218%	4/27	2,000		(64	)		(64	)
CPURNSA	Bank of America NA	2.235%	4/27	2,000		(68	)		(68	)
CPURNSA	Bank of America NA	2.235%	5/27	5,000		(168	)		(168	)
CPURNSA	Barclays Bank PLC	1.710%	2/20	1,000		2			2
CPURNSA	Barclays Bank PLC	2.526%	5/23	5,500		(569	)		(569	)
CPURNSA	Barclays Bank PLC	2.535%	5/23	1,000		(104	)		(104	)
CPURNSA	Barclays Bank PLC	2.589%	7/24	1,400		(146	)		(146	)
CPURNSA	Barclays Bank PLC	2.385%	9/24	4,000		(321	)		(321	)
CPURNSA	Barclays Bank PLC	2.363%	9/24	3,500		(271	)		(271	)
CPURNSA	Barclays Bank PLC	2.310%	9/24	1,400		(100	)		(100	)
CPURNSA	Barclays Bank PLC	2.895%	12/27	1,700		(503	)		(503	)
CPURNSA	Barclays Bank PLC	2.784%	7/44	1,400		(454	)		(454	)
CPURNSA	Goldman Sachs International	1.870%	5/26	17,000		222			222
CPURNSA	Goldman Sachs International	1.920%	5/26	7,000		54			54
CPURNSA	Goldman Sachs International	1.770%	6/26	6,000		138			138
CPURNSA	Goldman Sachs International	2.245%	11/26	3,000		(90	)		(90	)
CPURNSA	Goldman Sachs International	2.280%	11/26	3,000		(102	)		(102	)
CPURNSA	Goldman Sachs International	2.280%	11/26	4,000		(137	)		(137	)

					$	(3,947	)	$	(3,947	)


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts			Options		Swaps			Total
Total Over the Counter Derivatives		-	$	425	$	425	$	(38	)		-	$	(4,372	)	$	(4,410	)

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

¥	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, 2019, the aggregate value of these securities was $900 (in thousands), representing 0.2% of net assets.

b	Cash or securities with an aggregate value of $71,685 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 12/31/2019.

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $374,565 and the net unrealized appreciation of investments based on that cost was $4,994 which is comprised of $11,184 aggregate gross unrealized appreciation and $6,190 aggregate gross unrealized depreciation.

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

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Inflation Protection Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	-		$	61		$	-
Corporate Bonds		-			37,636			-
Governments		-			207,649			-
Structured Products		-			119,888			-
Short-Term Investments		18,135			-			-
Other Financial Instruments^
Total Return Swaps		-			765			-
Total Assets:	$	18,135		$	365,999		$	-
Liabilities:
Other Financial Instruments^
Futures		(11	)		-			-
Forward Currency Contracts		-			(38	)		-
Total Return Swaps		-			(4,525	)		-
Total Liabilities:	$	(11	)	$	(4,563	)	$	-

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

165

High Yield Bond Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
High current income and capital appreciation.	Invest in non-investment grade debt securities.	$846 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

High yield bonds posted strong returns during 2019. In the high yield market, major industry sectors that substantially outperformed the overall Bloomberg Barclays^® U.S. Corporate High Yield 2% Issuer Capped Index (“the Index”) during the reporting period included finance companies, banking, retail, home construction and consumer products. Industries that substantially underperformed the Index during the reporting period included oil field services, independent energy, leisure, pharmaceuticals and media/entertainment. From a credit quality perspective, the “BB”-rated sector led the way followed by the “B”-rated sector. The “CCC”-rated sector was the weakest returning sector, as credit-specific issues hindered returns. The market’s strong performance is evident in narrowing yield spreads (the difference between the yields on high yield bonds and U.S. Treasury securities), which diminished from 575 at the start of 2019 to 414 by the end of the reporting period.

PORTFOLIO RESULTS

The Portfolio returned 14.97% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Bloomberg Barclays^® U.S. Corporate High Yield 2% Issuer Capped Index, returned 14.32%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund rating agency, the average return in 2019 of the High Yield Funds peer group was 12.96%.

During the reporting period, the most significant factors affecting the Portfolio’s performance relative to the Index were industry allocation and security selection. From an industry allocation perspective, the Portfolio benefited from its overweight exposure to the strong-performing property and casualty industry and its underweight allocation to the weak-performing oil field services and independent energy industries. In contrast, underweight exposure to the strong- performing banking and home construction industries weighed on Portfolio results. Cash holdings also negatively affected performance given the strong absolute returns for the market.

Portfolio returns were also driven by strong security selection. This was especially true in the oil field services, independent energy, technology, metals and mining, automotive, building materials, packaging, chemicals, wireless telecommunications and cable and satellite industries. Leading Portfolio contributors included Bausch Health Companies, Hub International, Star Merger Sub, Navient and Rackspace. On the downside, security selection in the pharmaceutical, retail, healthcare, consumer products and midstream industries hindered relative returns. Key detractors included Mallinckrodt Pharmaceuticals, Team Health, Party City, Summit Midstream and Enterprise Merger.

PORTFOLIO MANAGER OUTLOOK

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

We believe that as 2020 begins, the high yield market is at a crossroads. On the one hand, strong performance in 2019 has pushed the relative value of the overall high yield bond market to near historic lows. However, the high yield bond market has split into two distinct groups. Bonds issued by businesses with more fundamental stability and higher credit ratings

166

High Yield Bond Portfolio (unaudited)

have relatively high valuations (narrow yield premiums relative to U.S. Treasurys) due to the demand for reliable yields, while a larger-than-normal portion of the market is trading at distressed levels (premiums of 1000 basis points or 10% yield premiums relative to U.S. Treasurys). On the other hand, economic growth remains solid, led by consumer spending. Additionally, credit fundamentals, while showing some early signs of weakness, are still reasonable. We anticipate modest absolute returns for 2020, with relative returns driven by the performance of the economy, uncertainty around the November U.S. elections and whether already narrow credit spreads can tighten further.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
High Yield Bond Portfolio		14.97	%		6.21	%		7.04	%
Bloomberg Barclays^® U.S. Corporate High Yield 2% Issuer Capped Index		14.32	%		6.14	%		7.55	%
Lipper^® Variable Insurance Products (VIP) High Yield Funds Average		12.96	%		5.12	%		6.73	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of$10,000 made on 12/31/09. 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.

Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund,when interest rates rise, the value of the fund’s existing

bonds drops, which could negatively affect overall fund performance.

Investing in bonds issued by foreign corporations carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

Top 10 Fixed Income Holdings 12/31/19


Security Description	% of Net Assets
CCO Holdings LLC / CCO Holdings Capital Corp., Various		2.2	%
CSC Holdings LLC, Various		1.7	%
Valeant Pharmaceuticals International, Inc., Various		1.5	%
HCA, Inc., Various		1.4	%
TransDigm, Inc., Various		1.3	%
Tenet Healthcare Corp., Various		1.2	%
Sprint Corp., Various		1.1	%
Targa Resources Partners LP / Targa Resources Partners Finance Corp., Various		1.1	%
HUB International, Ltd., 7.000%, 5/1/26		1.1	%
Flex Acquisition Co., Inc., Various		1.0	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Consumer, Non-Cyclical		19.7	%
Communications		17.3	%
Industrial		13.1	%
Energy		13.0	%
Consumer, Cyclical		12.5	%
Technology		6.5	%
Financial		6.2	%
Short-Term Investments & Other Net Assets		5.3	%
Basic Materials		3.9	%
Utilities		2.4	%
Materials		0.1	%
Other Holdings		-	%

Sector Allocation and Top 10 Holdings are subject to change.

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High Yield Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Common Stocks (0.1%)	Shares/ Par⁺		Value $ (000’s)

Communications (0.0%)
iHeartMedia, Inc. *		22,266		376

Total				376


Materials (0.1%)
Hexion Holdings Corp. *		42,192		508

Total				508

Total Common Stocks (Cost: $1,181)				884


Corporate Bonds (94.6%)

Basic Materials (3.9%)
Alpha 2 BV 8.750%, 6/1/23 144A		1,050,000		1,071
Alpha 3 BV / Alpha US Bidco, Inc. 6.250%, 2/1/25 144A		2,900,000		2,972
Clearwater Paper Corp. 5.375%, 2/1/25 144A		3,350,000		3,325
Compass Minerals International, Inc. 4.875%, 7/15/24 144A		2,500,000		2,491
6.750%, 12/1/27 144A		1,625,000		1,727
Crown Holdings, Inc. 4.250%, 9/30/26		250,000		262
Freeport-McMoRan, Inc. 3.875%, 3/15/23		2,850,000		2,902
5.000%, 9/1/27		925,000		971
5.250%, 9/1/29		950,000		1,018
5.400%, 11/14/34		2,025,000		2,121
Hexion, Inc. 7.875%, 7/15/27 144A		1,675,000		1,742
HudBay Minerals, Inc. 7.250%, 1/15/23 144A		350,000		363
7.625%, 1/15/25 144A		2,525,000		2,665
Platform Specialty Products Corp. 5.875%, 12/1/25 144A		2,050,000		2,145
PQ Corp. 5.750%, 12/15/25 144A		1,000,000		1,045
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/1/26 144A		3,425,000		3,630
Steel Dynamics, Inc. 5.125%, 10/1/21		620,000		620
5.500%, 10/1/24		930,000		958
Teck Resources, Ltd. 6.000%, 8/15/40		850,000		947

Total				32,975


Communications (17.3%)
Acosta, Inc. 7.750%, 10/1/22 144Aj		2,850,000		142
Altice France SA 8.125%, 2/1/27 144A		950,000		1,070
Altice Luxembourg SA 7.625%, 2/15/25 144A		2,250,000		2,340
AMC Networks, Inc. 4.750%, 8/1/25		1,500,000		1,506
5.000%, 4/1/24		2,000,000		2,040
Cablevision Systems Corp. 5.875%, 9/15/22		2,225,000		2,397


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
CBS Radio, Inc. 7.250%, 11/1/24 144A		2,275,000		2,394
CCO Holdings LLC / CCO Holdings Capital Corp. 4.750%, 3/1/30 144A		4,825,000		4,922
5.000%, 2/1/28 144A		2,000,000		2,099
5.125%, 5/1/27 144A		1,975,000		2,084
5.250%, 9/30/22		1,350,000		1,365
5.375%, 5/1/25 144A		650,000		671
5.375%, 6/1/29 144A		1,050,000		1,121
5.500%, 5/1/26 144A		550,000		580
5.750%, 9/1/23		1,000,000		1,019
5.750%, 1/15/24		548,000		558
5.750%, 2/15/26 144A		2,350,000		2,479
5.875%, 4/1/24 144A		575,000		594
5.875%, 5/1/27 144A		1,250,000		1,322
CSC Holdings LLC 5.250%, 6/1/24		1,650,000		1,778
5.375%, 7/15/23 144A		1,100,000		1,127
5.500%, 5/15/26 144A		650,000		688
5.500%, 4/15/27 144A		2,425,000		2,604
5.750%, 1/15/30 144A		2,525,000		2,695
6.500%, 2/1/29 144A		675,000		753
6.625%, 10/15/25 144A		1,250,000		1,327
7.500%, 4/1/28 144A		1,750,000		1,978
7.750%, 7/15/25 144A		1,450,000		1,546
Cumulus Media New Holdings, Inc. 6.750%, 7/1/26 144A		1,200,000		1,286
Diamond Sports Group LLC / Diamond Sports Finance Co. 5.375%, 8/15/26 144A		1,775,000		1,796
6.625%, 8/15/27 144A		2,600,000		2,529
DISH DBS Corp. 5.000%, 3/15/23		485,000		498
5.875%, 11/15/24		3,250,000		3,321
7.750%, 7/1/26		1,525,000		1,616
Entercom Media Corp. 6.500%, 5/1/27 144A		1,800,000		1,926
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.250%, 12/1/27 144A		650,000		684
Gray Escrow, Inc. 7.000%, 5/15/27 144A		750,000		833
Gray Television, Inc. 5.125%, 10/15/24 144A		675,000		700
5.875%, 7/15/26 144A		2,575,000		2,739
iHeartCommunications, Inc. 4.750%, 1/15/28 144A		425,000		436
5.250%, 8/15/27 144A		825,000		863
6.375%, 5/1/26		125,901		137
8.375%, 5/1/27		4,703,194		5,197
Intelsat Jackson Holdings SA 5.500%, 8/1/23		1,600,000		1,374
8.000%, 2/15/24 144A		625,000		641
8.500%, 10/15/24 144A		2,050,000		1,867
9.750%, 7/15/25 144A		950,000		879

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

168

High Yield Bond Portfolio


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Match Group, Inc. 5.000%, 12/15/27 144A		1,375,000		1,433
6.375%, 6/1/24		725,000		760
Nexstar Broadcasting, Inc. 5.625%, 8/1/24 144A		2,825,000		2,945
5.625%, 7/15/27 144A		2,725,000		2,872
Outfront Media Capital LLC / Outfront Media Capital Corp. 4.625%, 3/15/30 144A		175,000		178
Scripps Escrow, Inc. 5.875%, 7/15/27 144A		1,725,000		1,807
SFR Group SA 7.375%, 5/1/26 144A		6,000,000		6,442
Sinclair Television Group, Inc. 5.125%, 2/15/27 144A		2,875,000		2,954
5.625%, 8/1/24 144A		825,000		849
5.875%, 3/15/26 144A		575,000		604
Sirius XM Radio, Inc. 4.625%, 5/15/23 144A		550,000		558
4.625%, 7/15/24 144A		1,825,000		1,916
5.000%, 8/1/27 144A		775,000		818
5.375%, 4/15/25 144A		1,100,000		1,137
5.375%, 7/15/26 144A		1,675,000		1,779
5.500%, 7/1/29 144A		925,000		1,000
Sprint Capital Corp. 6.875%, 11/15/28		2,650,000		2,855
Sprint Corp. 7.125%, 6/15/24		1,150,000		1,241
7.625%, 2/15/25		2,075,000		2,277
7.625%, 3/1/26		1,200,000		1,323
7.875%, 9/15/23		4,265,000		4,706
TEGNA, Inc. 5.000%, 9/15/29 144A		2,950,000		3,002
5.125%, 7/15/20		506,000		507
5.500%, 9/15/24 144A		495,000		512
6.375%, 10/15/23		700,000		721
Telenet Finance Luxembourg Notes SARL 5.500%, 3/1/28 144A		4,400,000		4,697
Terrier Media Buyer, Inc. 8.875%, 12/15/27 144A		2,900,000		3,067
T-Mobile USA, Inc. 4.500%, 2/1/26		525,000		538
5.125%, 4/15/25		2,700,000		2,793
5.375%, 4/15/27		350,000		373
6.000%, 3/1/23		775,000		789
6.375%, 3/1/25		1,685,000		1,741
6.500%, 1/15/24		425,000		437
6.500%, 1/15/26		875,000		938
Urban One, Inc. 7.375%, 4/15/22 144A		375,000		369
VeriSign, Inc. 5.250%, 4/1/25		350,000		386
Virgin Media Finance PLC 5.750%, 1/15/25 144A		3,475,000		3,575
Virgin Media Secured Finance PLC 5.500%, 8/15/26 144A		425,000		446
5.500%, 5/15/29 144A		475,000		503
Ziggo Bond Co. BV 5.875%, 1/15/25 144A		625,000		644
6.000%, 1/15/27 144A		2,200,000		2,321


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Ziggo BV 4.875%, 1/15/30 144A		200,000		206
5.500%, 1/15/27 144A		2,425,000		2,577

Total				146,117


Consumer, Cyclical (12.5%)
1011778 BC ULC / New Red Finance, Inc. 3.875%, 1/15/28 144A		225,000		226
4.250%, 5/15/24 144A		1,000,000		1,025
4.375%, 1/15/28 144A		1,175,000		1,178
5.000%, 10/15/25 144A		4,875,000		5,033
Adient Global Holdings, Ltd. 4.875%, 8/15/26 144A		3,450,000		3,079
American Axle & Manufacturing, Inc. 6.250%, 3/15/26		275,000		282
6.500%, 4/1/27		2,925,000		3,035
American Builders & Contractors Supply Co., Inc. 4.000%, 1/15/28 144A		725,000		736
5.875%, 5/15/26 144A		3,275,000		3,480
Anixter, Inc. 6.000%, 12/1/25		975,000		1,014
Aramark Services, Inc. 5.000%, 4/1/25 144A		1,450,000		1,512
5.000%, 2/1/28 144A		1,525,000		1,607
5.125%, 1/15/24		1,775,000		1,822
Beacon Roofing Supply, Inc. 4.500%, 11/15/26 144A		450,000		463
Boyd Gaming Corp. 4.750%, 12/1/27 144A		1,400,000		1,454
6.000%, 8/15/26		725,000		778
6.375%, 4/1/26		775,000		834
CD&R Waterworks Merger Sub LLC 6.125%, 8/15/25 144A		3,375,000		3,502
CRC Escrow Issuer LLC / CRC Finco, Inc. 5.250%, 10/15/25 144A		2,850,000		2,946
Dana Financing Luxembourg Sarl 5.750%, 4/15/25 144A		650,000		679
6.500%, 6/1/26 144A		2,575,000		2,752
Dana, Inc. 5.375%, 11/15/27		350,000		360
Eldorado Resorts, Inc. 6.000%, 4/1/25		2,275,000		2,394
6.000%, 9/15/26		325,000		358
Ferrellgas LP / Ferrellgas Finance Corp. 6.500%, 5/1/21		625,000		541
6.750%, 1/15/22		2,300,000		1,955
6.750%, 6/15/23		875,000		739
The Goodyear Tire & Rubber Co. 4.875%, 3/15/27		1,300,000		1,345
5.000%, 5/31/26		1,450,000		1,508
5.125%, 11/15/23		250,000		254
Hanesbrands, Inc. 4.875%, 5/15/26 144A		875,000		926
Hilton Domestic Operating Co., Inc. 4.875%, 1/15/30		500,000		530
5.125%, 5/1/26		1,825,000		1,921
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. 4.625%, 4/1/25		725,000		745

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

169

High Yield Bond Portfolio


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
IAA Spinco, Inc. 5.500%, 6/15/27 144A		450,000		478
IHO Verwaltungs GmbH 4.750%, 9/15/26 144A		2,925,000		2,984
6.000%, 5/15/27 144A		800,000		848
6.375%, 5/15/29 144A		900,000		967
JB Poindexter & Co., Inc. 7.125%, 4/15/26 144A		1,975,000		2,084
KAR Auction Services, Inc. 5.125%, 6/1/25 144A		1,425,000		1,482
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.750%, 6/1/27 144A		550,000		579
5.000%, 6/1/24 144A		800,000		829
5.250%, 6/1/26 144A		1,600,000		1,688
Live Nation Entertainment, Inc. 4.750%, 10/15/27 144A		525,000		543
MGM Resorts International 4.625%, 9/1/26		150,000		159
5.500%, 4/15/27		400,000		444
5.750%, 6/15/25		1,175,000		1,316
6.000%, 3/15/23		2,275,000		2,497
Michaels Stores, Inc. 8.000%, 7/15/27 144A		1,775,000		1,695
Mohegan Tribal Gaming Authority 7.875%, 10/15/24 144A		2,400,000		2,448
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. 6.250%, 5/15/26 144A		300,000		323
8.500%, 5/15/27 144A		5,675,000		6,030
Party City Holdings, Inc. 6.125%, 8/15/23 144A		2,600,000		2,275
6.625%, 8/1/26 144A		2,525,000		1,780
Penn National Gaming, Inc. 5.625%, 1/15/27 144A		825,000		872
Performance Food Group, Inc. 5.500%, 6/1/24 144A		325,000		333
5.500%, 10/15/27 144A		1,500,000		1,603
Red Rock Resorts, Inc. 5.000%, 10/1/25 144A		2,150,000		2,188
Six Flags Entertainment Corp. 4.875%, 7/31/24 144A		450,000		466
5.500%, 4/15/27 144A		3,575,000		3,812
Stars Group Holdings BV 7.000%, 7/15/26 144A		3,950,000		4,281
Suburban Propane Partners LP / Suburban Energy Finance Corp. 5.500%, 6/1/24		3,275,000		3,365
5.750%, 3/1/25		275,000		283
5.875%, 3/1/27		900,000		936
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp. 5.875%, 5/15/25 144A		1,250,000		1,247
Viking Cruises, Ltd. 5.875%, 9/15/27 144A		75,000		80
6.250%, 5/15/25 144A		600,000		625
VOC Escrow, Ltd. 5.000%, 2/15/28 144A		1,400,000		1,467
The William Carter Co. 5.625%, 3/15/27 144A		225,000		242


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Wyndham Hotels & Resorts, Inc. 5.375%, 4/15/26 144A		550,000		580
Yum! Brands, Inc. 4.750%, 1/15/30 144A		725,000		759

Total				105,601


Consumer,Non-cyclical (19.7%)
Acadia Healthcare Co., Inc. 5.625%, 2/15/23		575,000		584
6.500%, 3/1/24		3,975,000		4,119
Air Medical Merger Sub Corp. 6.375%, 5/15/23 144A		3,575,000		3,200
Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC 5.750%, 3/15/25		4,575,000		4,735
5.875%, 2/15/28 144A		700,000		744
6.625%, 6/15/24		1,300,000		1,361
7.500%, 3/15/26 144A		625,000		702
Allied Universal Holdco LLC 6.625%, 7/15/26 144A		600,000		645
9.750%, 7/15/27 144A		5,725,000		6,116
Avantor, Inc. 6.000%, 10/1/24 144A		825,000		880
9.000%, 10/1/25 144A		3,975,000		4,442
B&G Foods, Inc. 5.250%, 4/1/25		2,125,000		2,185
Bausch Health Cos., Inc. 5.000%, 1/30/28 144A		975,000		1,001
5.750%, 8/15/27 144A		775,000		841
7.250%, 5/30/29 144A		1,600,000		1,828
Centene Corp. 4.250%, 12/15/27 144A		2,125,000		2,186
4.625%, 12/15/29 144A		2,425,000		2,556
4.750%, 1/15/25 144A		725,000		753
4.750%, 1/15/25		425,000		441
Centene Escrow I Corp. 5.375%, 6/1/26 144A		1,450,000		1,539
Charles River Laboratories International, Inc. 4.250%, 5/1/28 144A		400,000		407
5.500%, 4/1/26 144A		600,000		645
CHS / Community Health Systems, Inc. 6.250%, 3/31/23		2,275,000		2,309
8.000%, 3/15/26 144A		1,050,000		1,081
8.625%, 1/15/24 144A		750,000		795
Eagle Holding Co. II LLC 7.625%, 5/15/22 144A		1,150,000		1,168
7.750%, 5/15/22 144A		1,375,000		1,396
Endo Finance LLC / Endo Finco, Inc. 6.000%, 7/15/23 144A		1,955,000		1,412
6.000%, 2/1/25 144A		3,300,000		2,225
Enterprise Merger Sub, Inc. 8.750%, 10/15/26 144A		3,100,000		1,922
Financial & Risk US Holdings, Inc. 6.250%, 5/15/26 144A		600,000		655
8.250%, 11/15/26 144A		4,750,000		5,350
Gartner, Inc. 5.125%, 4/1/25 144A		850,000		885
GWB-CR Security Corp. 9.500%, 11/1/27 144A		4,144,000		4,424
HCA Healthcare, Inc. 6.250%, 2/15/21		1,385,000		1,444

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

170

High Yield Bond Portfolio


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer,Non-cyclical continued
HCA, Inc. 5.000%, 3/15/24		750,000		819
5.375%, 2/1/25		2,250,000		2,488
5.375%, 9/1/26		975,000		1,086
5.625%, 9/1/28		650,000		741
5.875%, 5/1/23		2,520,000		2,785
5.875%, 2/15/26		2,825,000		3,212
5.875%, 2/1/29		550,000		636
Hill-Rom Holdings, Inc. 4.375%, 9/15/27 144A		325,000		334
Jaguar Holding Co. II / Pharmaceutical Product Development LLC 6.375%, 8/1/23 144A		6,675,000		6,890
Lamb Weston Holdings, Inc. 4.875%, 11/1/26 144A		1,075,000		1,139
Mallinckrodt International Finance SA / Mallinckrodt CB LLC 5.500%, 4/15/25 144A		4,600,000		1,633
5.625%, 10/15/23 144A		2,775,000		1,055
MEDNAX, Inc. 6.250%, 1/15/27 144A		1,700,000		1,743
MPH Acquisition Holdings LLC 7.125%, 6/1/24 144A		5,650,000		5,466
The Nielsen Co. Luxembourg SARL 5.000%, 2/1/25 144A		875,000		901
Nielsen Finance LLC / Nielsen Finance Co. 5.000%, 4/15/22 144A		2,000,000		2,008
Ortho Clinical, Inc. 6.625%, 5/15/22 144A		3,775,000		3,751
Polaris Intermediate Corp. 8.500%, 12/1/22 144A		2,200,000		2,049
Post Holdings, Inc. 5.000%, 8/15/26 144A		975,000		1,030
5.500%, 3/1/25 144A		1,275,000		1,336
5.625%, 1/15/28 144A		975,000		1,051
5.750%, 3/1/27 144A		3,775,000		4,049
Prestige Brands, Inc. 5.125%, 1/15/28 144A		425,000		445
6.375%, 3/1/24 144A		3,525,000		3,666
RegionalCare Hospital Partners Holdings, Inc. 11.500%, 5/1/24 144A		525,000		566
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A		3,250,000		3,672
Surgery Center Holdings, Inc. 6.750%, 7/1/25 144A		2,425,000		2,425
Team Health Holdings, Inc. 6.375%, 2/1/25 144A		6,325,000		4,222
Teleflex, Inc. 4.625%, 11/15/27		450,000		477
Tenet Healthcare Corp. 4.625%, 7/15/24		1,400,000		1,433
4.875%, 1/1/26 144A		1,200,000		1,257
5.125%, 5/1/25		2,400,000		2,472
5.125%, 11/1/27 144A		1,175,000		1,241
6.750%, 6/15/23		2,100,000		2,307
7.000%, 8/1/25		1,625,000		1,716
United Rentals North America, Inc. 3.875%, 11/15/27		325,000		332
4.875%, 1/15/28		1,750,000		1,822


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer,Non-cyclical continued
5.250%, 1/15/30		425,000		457
5.500%, 7/15/25		225,000		234
5.500%, 5/15/27		1,225,000		1,312
5.875%, 9/15/26		850,000		912
6.500%, 12/15/26		600,000		659
US Foods, Inc. 5.875%, 6/15/24 144A		3,225,000		3,322
Valeant Pharmaceuticals International, Inc. 5.500%, 3/1/23 144A		537,000		540
5.500%, 11/1/25 144A		725,000		758
5.875%, 5/15/23 144A		1,150,000		1,160
6.125%, 4/15/25 144A		4,700,000		4,856
6.500%, 3/15/22 144A		150,000		153
7.000%, 3/15/24 144A		700,000		728
8.500%, 1/31/27 144A		2,175,000		2,477
9.000%, 12/15/25 144A		1,250,000		1,422
9.250%, 4/1/26 144A		525,000		603
Vizient, Inc. 6.250%, 5/15/27 144A		475,000		508
WellCare Health Plans, Inc. 5.375%, 8/15/26 144A		800,000		852
West Street Merger Sub, Inc. 6.375%, 9/1/25 144A		4,550,000		4,539

Total				166,723


Energy (13.0%)
Antero Midstream Partners LP / Antero Midstream Finance Corp. 5.375%, 9/15/24		2,000,000		1,855
5.750%, 3/1/27 144A		1,725,000		1,517
5.750%, 1/15/28 144A		2,600,000		2,262
Antero Resources Corp. 5.125%, 12/1/22		340,000		303
5.625%, 6/1/23		1,000,000		802
Archrock Partners LP 6.250%, 4/1/28 144A		450,000		463
6.875%, 4/1/27 144A		2,800,000		2,961
Ascent Resources Utica Holdings LLC / ARU Finance Corp. 7.000%, 11/1/26 144A		275,000		219
10.000%, 4/1/22 144A		900,000		895
Berry Petroleum Co. LLC 7.000%, 2/15/26 144A		1,200,000		1,111
Callon Petroleum Co. 6.125%, 10/1/24		1,502,000		1,530
6.375%, 7/1/26		1,050,000		1,065
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		1,750,000		1,776
8.250%, 7/15/25		425,000		435
Centennial Resource Production LLC 6.875%, 4/1/27 144A		1,400,000		1,456
Cheniere Corpus Christi Holdings LLC 5.125%, 6/30/27		500,000		553
5.875%, 3/31/25		1,600,000		1,799
Cheniere Energy Partners LP 4.500%, 10/1/29 144A		925,000		951
5.250%, 10/1/25		2,850,000		2,970
5.625%, 10/1/26		1,200,000		1,269
Chesapeake Energy Corp. 7.000%, 10/1/24		1,000,000		602
11.500%, 1/1/25 144A		2,169,000		2,050

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

171

High Yield Bond Portfolio


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
CNX Midstream Finance Corp. 6.500%, 3/15/26 144A		3,200,000		2,952
Coeur Mining, Inc. 5.875%, 6/1/24		2,075,000		2,075
CrownRock LP / CrownRock Finance, Inc. 5.625%, 10/15/25 144A		3,025,000		3,086
CVR Refining LLC / Coffeyville Finance, Inc. 6.500%, 11/1/22		3,150,000		3,189
Endeavor Energy Resources LP / EER Finance, Inc. 5.750%, 1/30/28 144A		575,000		604
Enviva Partners LP / Enviva Partners Finance Corp. 6.500%, 1/15/26 144A		3,175,000		3,399
EP Energy LLC / Everest Acquisition Finance, Inc. 8.000%, 11/29/24 144Aj		1,850,000		925
Gulfport Energy Corp. 6.000%, 10/15/24		550,000		391
6.375%, 5/15/25		1,025,000		651
6.375%, 1/15/26		425,000		264
6.625%, 5/1/23		575,000		484
Hess Midstream Partners LP 5.125%, 6/15/28 144A		1,300,000		1,316
Holly Energy Partners LP / Holly Energy Finance Corp. 6.000%, 8/1/24 144A		3,275,000		3,414
Jagged Peak Energy LLC 5.875%, 5/1/26		1,475,000		1,523
Laredo Petroleum, Inc. 5.625%, 1/15/22		1,250,000		1,213
6.250%, 3/15/23		400,000		375
MPLX LP 6.250%, 10/15/22 144A		503,000		513
6.375%, 5/1/24 144A		575,000		601
NuStar Logistics LP 5.625%, 4/28/27		2,725,000		2,800
6.000%, 6/1/26		700,000		740
Oasis Petroleum, Inc. 6.250%, 5/1/26 144A		2,275,000		1,888
6.875%, 3/15/22		611,000		588
Parsley Energy LLC / Parsley Finance Corp. 5.250%, 8/15/25 144A		225,000		231
5.625%, 10/15/27 144A		1,075,000		1,137
6.250%, 6/1/24 144A		300,000		312
PDC Energy, Inc. 5.750%, 5/15/26		1,525,000		1,521
6.125%, 9/15/24		575,000		582
Precision Drilling Corp. 5.250%, 11/15/24		225,000		206
7.125%, 1/15/26 144A		1,025,000		974
7.750%, 12/15/23		1,000,000		998
QEP Resources, Inc. 5.250%, 5/1/23		575,000		569
5.625%, 3/1/26		975,000		951
Range Resources Corp. 4.875%, 5/15/25		2,050,000		1,753
5.000%, 3/15/23		150,000		138
SESI LLC 7.125%, 12/15/21		1,850,000		1,578


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
7.750%, 9/15/24		2,600,000		1,729
Shelf Drilling Holdings, Ltd. 8.250%, 2/15/25 144A		1,900,000		1,810
SM Energy Co. 5.625%, 6/1/25		1,000,000		949
6.625%, 1/15/27		250,000		246
6.750%, 9/15/26		1,300,000		1,274
Southwestern Energy Co. 7.750%, 10/1/27		875,000		810
SRC Energy, Inc. 6.250%, 12/1/25		1,850,000		1,864
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 5.500%, 8/15/22		2,680,000		2,385
5.750%, 4/15/25		2,275,000		1,738
Sunoco LP / Sunoco Finance Corp. 5.500%, 2/15/26		775,000		804
5.875%, 3/15/28		900,000		956
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.000%, 1/15/28		1,925,000		1,964
5.125%, 2/1/25		1,425,000		1,478
5.375%, 2/1/27		2,150,000		2,231
5.500%, 3/1/30 144A		2,000,000		2,055
5.875%, 4/15/26		1,350,000		1,434
6.500%, 7/15/27 144A		300,000		329
TerraForm Power Operating LLC 4.250%, 1/31/23 144A		175,000		180
4.750%, 1/15/30 144A		1,725,000		1,755
5.000%, 1/31/28 144A		3,000,000		3,172
TransMontaigne Partners LP / TLP Finance Corp. 6.125%, 2/15/26		1,175,000		1,152
Ultra Resources, Inc. 6.875%, 4/15/22 144A		350,000		43
7.125%, 4/15/25 144A		1,325,000		86
USA Compression Finance Corp. 6.875%, 4/1/26		3,250,000		3,413
USA Compression Partners LP / USA Compression Finance Corp. 6.875%, 9/1/27		725,000		755
Whiting Petroleum Corp. 6.250%, 4/1/23		1,150,000		963
6.625%, 1/15/26		1,600,000		1,090
WPX Energy, Inc. 5.250%, 10/15/27		325,000		343
5.750%, 6/1/26		425,000		454

Total				110,247


Financial (6.2%)
Acrisure LLC / Acrisure Finance, Inc. 7.000%, 11/15/25 144A		2,450,000		2,364
8.125%, 2/15/24 144A		1,250,000		1,359
10.125%, 8/1/26 144A		350,000		377
Alliant Holdings Intermediate LLC / Alliant HoldingsCo-Issuer 6.750%, 10/15/27 144A		1,650,000		1,767
Ally Financial, Inc. 5.750%, 11/20/25		2,000,000		2,238
AmWINS Group, Inc. 7.750%, 7/1/26 144A		3,950,000		4,365

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

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Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
AssuredPartners, Inc. 7.000%, 8/15/25 144A		3,250,000		3,306
GTCR AP Finance, Inc. 8.000%, 5/15/27 144A		850,000		884
HUB International, Ltd. 7.000%, 5/1/26 144A		8,900,000		9,412
KIRS Midco 3 PLC 8.625%, 7/15/23 144A		1,075,000		1,067
MGM Growth Properties Operating Partnership LP / MGP FinanceCo-Issuer, Inc. 5.625%, 5/1/24		475,000		518
5.750%, 2/1/27 144A		225,000		251
National Financial Partners Corp. 6.875%, 7/15/25 144A		4,175,000		4,185
8.000%, 7/15/25 144A		650,000		663
Navient Corp. 5.875%, 10/25/24		1,850,000		1,980
6.125%, 3/25/24		1,075,000		1,166
6.750%, 6/25/25		1,325,000		1,463
6.750%, 6/15/26		350,000		385
7.250%, 9/25/23		550,000		622
Quicken Loans, Inc. 5.250%, 1/15/28 144A		1,575,000		1,630
5.750%, 5/1/25 144A		4,725,000		4,884
Ryman Hospitality Properties, Inc. 4.750%, 10/15/27 144A		925,000		955
USIS Merger Sub, Inc. 6.875%, 5/1/25 144A		4,400,000		4,498
VICI Properties LP / VICI Note Co., Inc. 4.250%, 12/1/26 144A		975,000		1,004
4.625%, 12/1/29 144A		775,000		810

Total				52,153


Industrial (13.1%)
Amsted Industries, Inc. 5.625%, 7/1/27 144A		650,000		689
ARD Finance SA 6.500%, 6/30/27 144A		4,200,000		4,343
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. 5.250%, 8/15/27 144A		1,000,000		1,053
6.000%, 2/15/25 144A		2,975,000		3,120
Avolon Holdings Funding, Ltd. 5.125%, 10/1/23 144A		600,000		647
5.250%, 5/15/24 144A		325,000		355
Berry Global Escrow Corp. 4.875%, 7/15/26 144A		1,950,000		2,057
5.625%, 7/15/27 144A		1,150,000		1,233
Berry Plastics Corp. 5.125%, 7/15/23		1,150,000		1,180
5.500%, 5/15/22		4,205,000		4,252
6.000%, 10/15/22		206,000		210
BWAY Holding Co. 5.500%, 4/15/24 144A		2,175,000		2,240
7.250%, 4/15/25 144A		5,725,000		5,653
CFX Escrow Corp. 6.000%, 2/15/24 144A		525,000		558
6.375%, 2/15/26 144A		450,000		490


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
Crown Americas LLC / Crown Americas Capital Corp. VI 4.750%, 2/1/26		1,175,000		1,241
Energizer Holdings, Inc. 5.500%, 6/15/25 144A		225,000		233
6.375%, 7/15/26 144A		1,400,000		1,491
7.750%, 1/15/27 144A		975,000		1,090
Flex Acquisition Co., Inc. 6.875%, 1/15/25 144A		5,000,000		5,037
7.875%, 7/15/26 144A		3,700,000		3,728
Gates Global LLC / Gates Global Co. 6.250%, 1/15/26 144A		3,425,000		3,484
Graphic Packaging International LLC 4.750%, 7/15/27 144A		650,000		695
Greif, Inc. 6.500%, 3/1/27 144A		450,000		486
The Hillman Group, Inc. 6.375%, 7/15/22 144A		1,950,000		1,813
Koppers, Inc. 6.000%, 2/15/25 144A		3,700,000		3,876
Masonite International Corp. 5.750%, 9/15/26 144A		700,000		744
Owens-Brockway Glass Container, Inc. 5.375%, 1/15/25 144A		2,075,000		2,137
5.875%, 8/15/23 144A		900,000		961
6.375%, 8/15/25 144A		1,050,000		1,147
Park Aerospace Holdings, Ltd. 4.500%, 3/15/23 144A		550,000		576
5.500%, 2/15/24 144A		5,700,000		6,258
Pisces Midco, Inc. 8.000%, 4/15/26 144A		3,000,000		3,127
Resideo Funding, Inc. 6.125%, 11/1/26 144A		1,125,000		1,133
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LU 5.750%, 10/15/20		3,057,535		3,061
7.000%, 7/15/24 144A		2,575,000		2,662
Sealed Air Corp. 4.000%, 12/1/27 144A		350,000		354
5.125%, 12/1/24 144A		1,950,000		2,101
Sensata Technologies BV 5.625%, 11/1/24 144A		950,000		1,057
Sensata Technologies, Inc. 4.375%, 2/15/30 144A		325,000		331
Standard Industries, Inc. 4.750%, 1/15/28 144A		625,000		641
5.000%, 2/15/27 144A		3,100,000		3,232
6.000%, 10/15/25 144A		1,625,000		1,708
Stevens Holding Co., Inc. 6.125%, 10/1/26 144A		900,000		983
Tervita Escrow Corp. 7.625%, 12/1/21 144A		2,000,000		2,012
Titan Acquisition, Ltd. / TitanCo-Borrower LLC 7.750%, 4/15/26 144A		1,850,000		1,832
TransDigm UK Holdings PLC 6.875%, 5/15/26		625,000		666
TransDigm, Inc. 5.500%, 11/15/27 144A		850,000		860
6.250%, 3/15/26 144A		2,250,000		2,436
6.375%, 6/15/26		1,850,000		1,962

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

173

High Yield Bond Portfolio


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
6.500%, 7/15/24		4,875,000		5,028
6.500%, 5/15/25		300,000		312
7.500%, 3/15/27		350,000		383
Trident Merger Sub, Inc. 6.625%, 11/1/25 144A		2,225,000		2,003
Trident TPI Holdings, Inc. 9.250%, 8/1/24 144A		1,450,000		1,465
Trivium Packaging Finance BV 5.500%, 8/15/26 144A		525,000		553
8.500%, 8/15/27 144A		1,400,000		1,558
TTM Technologies, Inc. 5.625%, 10/1/25 144A		1,800,000		1,861
WESCO Distribution, Inc. 5.375%, 12/15/21		2,905,000		2,912
5.375%, 6/15/24		1,750,000		1,816

Total				111,126


Other Holdings (–%)
General Motors Co. Escrow 7.200%, 1/15/49 *,Æ		610,000		-
8.375%, 7/15/49 *,Æ		4,865,000		-
iHeart Media Escrow 9.000%, 3/1/21 *,Æ		600,000		-
9.000%, 9/15/22 *,Æ		1,515,000		-

Total				-


Technology (6.5%)
Banff Merger Sub, Inc. 9.750%, 9/1/26 144A		2,850,000		2,886
CDW LLC / CDW Finance Corp. 4.250%, 4/1/28		375,000		393
5.000%, 9/1/25		350,000		366
5.500%, 12/1/24		2,075,000		2,303
Diamond 1 Finance Corp. / Diamond 2 Finance Corp. 5.875%, 6/15/21 144A		298,000		303
7.125%, 6/15/24 144A		4,025,000		4,246
Entegris, Inc. 4.625%, 2/10/26 144A		850,000		880
Fair Isaac Corp. 4.000%, 6/15/28 144A		325,000		327
IMS Health, Inc. 5.000%, 10/15/26 144A		2,250,000		2,374
Inception Merger Sub, Inc. / Rackspace Hosting, Inc. 8.625%, 11/15/24 144A		4,025,000		3,934
Infor US, Inc. 6.500%, 5/15/22		4,900,000		4,973
Informatica LLC 7.125%, 7/15/23 144A		3,675,000		3,730
IQVIA, Inc. 5.000%, 5/15/27 144A		750,000		793
JDA Escrow LLC / JDA Bond Finance, Inc. 7.375%, 10/15/24 144A		3,300,000		3,428
NCR Corp. 5.750%, 9/1/27 144A		1,025,000		1,092
6.375%, 12/15/23		520,000		533
Nuance Communications, Inc. 5.625%, 12/15/26		1,400,000		1,492
Qorvo, Inc. 4.375%, 10/15/29 144A		1,350,000		1,414


Corporate Bonds (94.6%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
Riverbed Technology, Inc. 8.875%, 3/1/23 144A		775,000		446
Sensata Technologies UK Financing Co. PLC 6.250%, 2/15/26 144A		200,000		216
Sophia LP / Sophia Finance, Inc. 9.000%, 9/30/23 144A		1,450,000		1,490
SS&C Technologies, Inc. 5.500%, 9/30/27 144A		3,550,000		3,790
Star Merger Sub, Inc. 6.875%, 8/15/26 144A		975,000		1,076
10.250%, 2/15/27 144A		4,425,000		5,089
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. 6.750%, 6/1/25 144A		6,075,000		6,272
Western Digital Corp. 4.750%, 2/15/26		1,100,000		1,147

Total				54,993


Utilities (2.4%)
AmeriGas Partners LP / AmeriGas Finance Corp. 5.500%, 5/20/25		350,000		378
5.625%, 5/20/24		425,000		459
5.750%, 5/20/27		550,000		604
5.875%, 8/20/26		2,350,000		2,591
Calpine Corp. 4.500%, 2/15/28 144A		1,575,000		1,589
5.125%, 3/15/28 144A		825,000		842
5.250%, 6/1/26 144A		900,000		937
5.750%, 1/15/25		2,800,000		2,874
NRG Energy, Inc. 5.250%, 6/15/29 144A		1,250,000		1,352
5.750%, 1/15/28		225,000		244
6.625%, 1/15/27		2,050,000		2,224
7.250%, 5/15/26		1,525,000		1,666
Vistra Energy Corp. 5.875%, 6/1/23		225,000		230
Vistra Operations Co. LLC 5.000%, 7/31/27 144A		1,100,000		1,149
5.500%, 9/1/26 144A		900,000		954
5.625%, 2/15/27 144A		1,925,000		2,028

Total				20,121


Total Corporate Bonds
(Cost: $791,024)				800,056


Short-Term Investments (3.8%)

Money Market Funds (3.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		32,251,953		32,252

Total				32,252


Total Short-Term Investments
(Cost: $32,252)				32,252


Total Investments (98.5%)
(Cost: $824,457)^@				833,192

Other Assets, Less
Liabilities (1.5%)				12,935

Net Assets (100.0%)				846,127

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

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High Yield Bond Portfolio

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

*	Non income producing

f	Defaulted Security

Æ	Security valued using significant unobservable inputs.

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $824,142 and the net unrealized appreciation of investments based on that cost was $9,050 which is comprised of $33,960 aggregate gross unrealized appreciation and $24,910 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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	$	884	$	-	$	-
Corporate Bonds		-		800,056		-
Short-Term Investments		32,252		-		-
Total Assets:	$	33,136	$	800,056	$	-

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

175

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.	$1.0 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 assub-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

The beginning of 2019 was characterized by decelerating growth momentum, which culminated in the U.S. Federal Reserve (the “Fed”) lowering its outlook for interest rate increases in 2019 to zero and signaling an end to its balance sheet reduction program. Against this backdrop of slowing global growth, the second quarter saw softened sentiment measures highlighting growing uncertainties about the economic outlook. Slowing growth momentum and global uncertainty continued through the third quarter, prompting global central banks to take further accommodative actions. Finally, in the fourth quarter, renewed optimism surrounding the “Phase One” trade deal between the U.S. and China provided a boost to risk appetites. Despite mixed global economic data, trade discussions continued to support risk sentiment through the end of 2019 and capped a year of strong risk asset returns as U.S. equities closed at new highs, credit spreads tightened and the dollar weakened.

PORTFOLIO RESULTS

The Portfolio returned 14.04% for the twelve months ended December 31, 2019. By comparison, the Portfolio’s benchmark, the Bloomberg Barclays^® Global Credit Hedged USD Index returned 12.08%. The Portfolio’s custom benchmark, comprised of 1/3 each: Bloomberg Barclays^® Global Aggregate – Credit Component ex Emerging Markets, Hedged USD; BofA Merrill Lynch^® Global High YieldBB-B Rated Constrained Developed Markets Index, Hedged USD; J.P. Morgan^® EMBI Global (the “Equal Weighted Composite Index”), returned 13.68% (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2019 of the Multi-Sector Income Funds peer group was 9.85%.

Within corporate credit, an overweight to Financials and Media contributed to returns, as credit spreads broadly rallied alongside the positiverisk-on sentiment during the year. Within Industrials, sector positioning in investment grade bonds, most notably overweight exposure to outperforming pipelines and telecom, added to performance. During the year, the Portfolio’s credit exposure was partially obtained through the use of credit default swaps. Additionally, tactical exposure tonon-agency mortgage backed securities was positive.

The primary detractor during the reporting period was broad underweight exposure to emerging market external debt, as spreads rallied during the year supported by positiverisk-on sentiment and a dovish Fed. Additionally, underweight exposure to developed market duration, particularly in Europe, detracted from performance as rates fell throughout the year with the European Central Bank delivering one rate cut andre-introducing quantitative easing in the third quarter.

PORTFOLIO MANAGER OUTLOOK

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

176

Multi-Sector Bond Portfolio (unaudited)

management, careful scaling of investment positions and caution on generic credit, we will look to have somewhat lower weight ontop-down macro trades, to keep powder dry and potentially go on the offensive in a more difficult investment environment. Considering this outlook, we will seek to invest with a bias to higher quality positions, a very close focus on portfolio liquidity and a diversified approach to generating income. In the U.S., we expect slower growth followed by an eventual rebound. We continue to expect real U.S. GDP growth to slow to a range of1.5%-2.0% in 2020, down from an estimated 2.3% pace in 2019.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Multi-Sector Bond Portfolio		14.04	%		5.79	%		6.28	%
Bloomberg Barclays^® Global Credit Hedged USD Index		12.08	%		4.75	%		5.52	%
1/3 each: Bloomberg Barclays^® Global Aggregate — Credit Component ex Emerging Markets, Hedged USD; BofA Merrill Lynch^® Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; JP Morgan^® EMBI Global		13.68	%		5.52	%		6.51	%
Lipper^® Variable Insurance Products (VIP) Multi-Sector Income Funds		9.85	%		3.52	%		4.73	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

The Portfolio may invest a portion of its assets in fixed- and fioating-rate loans, including senior loans, through loan participations and assignments. Investing in loans may expose the Portfolio to additional risks, including credit risk, interest rate risk, liquidity risk, call risk, settlement risk, and risks associated with being a lender.

The Portfolio may also invest in municipal securities, which may be more sensitive to certain adverse conditions than other fixed income securities, may be or become illiquid, and may have yields which move differently and adversely compared to the yields of the overall debt securities markets.

The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time

177

Multi-Sector Bond Portfolio (unaudited)

The Portfolio may engage in active and freguent trading of portfolio securities to achieve its investment objectives. Active and freguent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.

Top 10 Fixed Income Holdings 12/31/19


Security Description	% of Net Assets
Federal National Mortgage Association, Various		8.3	%
US Treasury, Various		5.9	%
Turkey Government International Bond, Various		2.7	%
Spain Letras del Tesoro, 0.000%, 1/17/20		2.5	%
Japan Treasury Discount Bill, 0.000%, 1/14/20		2.4	%
Petroleos Mexicanos, Various		1.9	%
Deutsche Bank AG, Various		1.8	%
Royal Bank of Scotland Group PLC, Various		1.4	%
Ukraine Government International Bond, Various		1.4	%
MASTR Asset Backed Securities Trust, Series 2006- FRE2, Class A1, 1.942%, 3/25/36		1.1	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Corporate Bonds		51.1	%
Governments		20.2	%
Structured Products		14.2	%
Short-Term Investments & Other Net Assets		9.9	%
Bank Loan Obligations		3.5	%
Municipal Bonds		1.1	%
Other Holdings		-	%

Sector Allocation and Top 10 Holdings are subject to change.

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Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials (1.5%)
ALROSA Finance SA 4.650%, 4/9/24 144A		500,000		534
Georgia-Pacific LLC 8.875%, 5/15/31		200,000		311
Indonesia Asahan Aluminium Persero PT 5.230%, 11/15/21 144A		300,000		314
INEOS Finance PLC 2.875%, 5/1/26 144A EUR ¥		2,700,000		3,127
MMK International Capital DAC 4.375%, 6/13/24 144A		1,400,000		1,477
Syngenta Finance NV 4.441%, 4/24/23 144A		200,000		209
4.892%, 4/24/25 144A		5,900,000		6,310
5.182%, 4/24/28 144A		2,800,000		3,014

Total				15,296


Communications (6.9%)
Altice Financing SA 6.625%, 2/15/23 144A		256,000		261
7.500%, 5/15/26 144A		5,171,000		5,559
Altice France SA 8.125%, 2/1/27 144A		3,200,000		3,604
Altice Luxembourg SA 7.625%, 2/15/25 144A		2,800,000		2,912
8.000%, 5/15/27 EUR¥		700,000		879
AT&T, Inc. 3.400%, 5/15/25		500,000		524
4.125%, 2/17/26		500,000		542
4.900%, 8/15/37		200,000		230
5.300%, 8/15/58b		6,200,000		7,575
Baidu, Inc. 3.875%, 9/29/23		200,000		208
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
4.200%, 3/15/28		1,700,000		1,810
4.464%, 7/23/22		2,400,000		2,522
4.800%, 3/1/50		200,000		210
5.125%, 7/1/49		3,300,000		3,581
5.375%, 4/1/38		100,000		114
CommScope Technologies LLC 5.000%, 3/15/27 144A		100,000		94
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A		2,700,000		2,876
Deutsche Telekom International Finance 8.750%, 6/15/30		700,000		1,027
DISH DBS Corp. 5.125%, 5/1/20		1,982,000		1,994
6.750%, 6/1/21		3,200,000		3,364
Koninklijke KPN NV 5.750%, 9/17/29 GBP §,¥		750,000		1,205
Netflix, Inc. 3.875%, 11/15/29 144A EUR¥		3,900,000		4,626
Qwest Corp. 7.250%, 9/15/25		500,000		575


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
SFR Group SA 7.375%, 5/1/26 144A		7,600,000		8,160
SoftBank Group Corp. 5.000%, 4/15/28 EUR §,¥		1,700,000		2,102
Sprint Corp. 7.250%, 9/15/21		400,000		423
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A		1,300,000		1,417
Telecom Italia Capital SA 6.000%, 9/30/34		400,000		429
Time Warner Cable LLC 5.875%, 11/15/40		300,000		344
6.750%, 6/15/39		200,000		253
UPCB Finance IV, Ltd. 4.000%, 1/15/27 EUR §,¥		315,000		372
Verizon Communications, Inc. 4.522%, 9/15/48		100,000		120
4.672%, 3/15/55		1,119,000		1,380
5.012%, 4/15/49		2,449,000		3,130
5.250%, 3/16/37		200,000		251
Virgin Media Secured Finance PLC 4.875%, 1/15/27 GBP §,¥		3,100,000		4,272
5.000%, 4/15/27 144A GBP¥		500,000		700
Vodafone Group PLC 4.250%, 9/17/50		400,000		416

Total				70,061


Consumer, Cyclical (5.8%)
Adient Global Holdings, Ltd. 3.500%, 8/15/24 EUR¥		100,000		106
American Airlines Pass Through Trust, Series2011-1, Class A 5.250%, 7/31/22		72,043		74
BMW Finance NV 2.250%, 8/12/22 144A		400,000		402
Continental Airlines Pass Through Trust, Series2010-1, Class A 4.750%, 7/12/22		42,372		43
Enterprise Inns PLC 6.875%, 5/9/25 GBP¥		1,600,000		2,134
FCE Bank PLC 0.097%, (Euribor 3 Month ACT/360 plus 0.500%), 8/26/20 EUR §,¥		100,000		112
0.869%, 9/13/21 EUR §,¥		400,000		450
1.875%, 6/24/21 EUR §,¥		100,000		115
Ford Motor Credit Co. LLC 0.025%, (Euribor 3 Month ACT/360 plus 0.420%), 12/7/22 EUR¥		400,000		433
0.032%, (Euribor 3 Month ACT/360 plus 0.430%), 5/14/21 EUR¥		200,000		223
0.050%, (Euribor 3 Month ACT/360 plus 0.370%), 12/1/21 EUR¥		1,200,000		1,320
2.881%, (ICE LIBOR USD 3 Month plus 0.880%), 10/12/21		200,000		198
3.021%, 3/6/24 EUR¥		900,000		1,067

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

179

Multi-Sector Bond Portfolio


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
3.096%, 5/4/23		500,000		499
3.145%, (ICE LIBOR USD 3 Month plus 1.235%), 2/15/23		200,000		197
3.350%, 11/1/22		1,400,000		1,413
4.063%, 11/1/24		3,200,000		3,264
5.183%, (ICE LIBOR USD 3 Month plus 3.140%), 1/7/22		200,000		207
5.584%, 3/18/24		600,000		649
5.596%, 1/7/22		1,500,000		1,580
General Motors Financial Co., Inc. 3.450%, 4/10/22		300,000		307
5.100%, 1/17/24		1,200,000		1,302
Hilton Domestic Operating Co., Inc. 4.875%, 1/15/30		400,000		424
Hilton Worldwide Finance Corp. 4.875%, 4/1/27		700,000		744
IHO Verwaltungs GmbH 3.625%, 5/15/25 EUR¥		800,000		939
3.750%, 9/15/26 EUR §,¥		4,600,000		5,444
Jaguar Land Rover Automotive PLC 2.200%, 1/15/24 EUR¥		700,000		744
3.875%, 3/1/23 GBP¥		100,000		127
5.875%, 11/15/24 EUR¥		1,600,000		1,871
6.875%, 11/15/26 EUR¥		3,200,000		3,769
Las Vegas Sands Corp. 3.200%, 8/8/24		300,000		309
3.500%, 8/18/26		200,000		206
3.900%, 8/8/29		100,000		104
Marks & Spencer PLC 3.000%, 12/8/23 GBP §,¥		300,000		412
4.750%, 6/12/25 GBP §,¥		900,000		1,306
Marriott Ownership Resorts, Inc. 6.500%, 9/15/26		150,000		163
Melco Resorts Finance, Ltd. 4.875%, 6/6/25 144A		400,000		410
5.375%, 12/4/29 144A		500,000		512
MGM Resorts International 7.750%, 3/15/22		300,000		335
Mitchells & Butlers Finance PLC 1.248%, (ICE LIBOR GBP 3 Month plus 0.450%), 12/15/30 GBP §,¥		1,304,424		1,607
2.344%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §		237,168		218
6.469%, 9/15/32 GBP §,¥		200,000		300
QVC, Inc. 4.375%, 3/15/23		2,000,000		2,063
5.450%, 8/15/34		800,000		767
Sands China, Ltd. 4.600%, 8/8/23		300,000		317
5.400%, 8/8/28		3,200,000		3,607
Toll Brothers Finance Corp. 4.350%, 2/15/28		100,000		104
4.875%, 3/15/27		1,200,000		1,296
Travis Perkins PLC 4.375%, 9/15/21 GBP §,¥		200,000		274
4.500%, 9/7/23 GBP §,¥		1,900,000		2,646
US Airways Pass-Through Trust, Series2012-1, Class A 5.900%, 4/1/26		877,532		974


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Volkswagen Bank GmbH 1.250%, 6/10/24 EUR¥		800,000		921
Volkswagen Financial Services Aktiengesellschaft 0.875%, 4/12/23 EUR¥		200,000		228
Volkswagen Group of America Finance LLC 4.000%, 11/12/21 144A		2,500,000		2,585
Volkswagen Leasing GmbH 2.625%, 1/15/24 EUR¥		1,800,000		2,187
Wynn Macau, Ltd. 5.125%, 12/15/29 144A		1,100,000		1,123
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125%, 10/1/29 144A		800,000		859
ZF North America Capital, Inc. 4.500%, 4/29/22 144A		436,000		449
4.750%, 4/29/25 144A		2,232,000		2,346

Total				58,785


Consumer,Non-cyclical (2.7%)
AA Bond Co., Ltd. 2.750%, 7/31/43 GBP¥		100,000		127
2.875%, 7/31/43 GBP §,¥		2,900,000		3,811
4.248%, 7/31/43 GBP¥		800,000		1,074
4.875%, 7/31/43 GBP §,¥		200,000		270
5.500%, 7/31/43 GBP §,¥		400,000		452
Adani Ports & Special Economic Zone, Ltd. 4.375%, 7/3/29 144A		200,000		207
Allergan Funding SCS 1.500%, 11/15/23 EUR¥		400,000		472
Amgen, Inc. 4.663%, 6/15/51		1,041,000		1,222
Bacardi, Ltd. 4.700%, 5/15/28 144A		2,900,000		3,157
BAT Capital Corp. 3.222%, 8/15/24		100,000		102
3.557%, 8/15/27		500,000		510
Casino Guichard Perrachon SA 1.865%, 6/13/22 EUR §,¥		200,000		215
Centene Corp. 4.250%, 12/15/27 144A		200,000		206
4.625%, 12/15/29 144A		500,000		527
4.750%, 1/15/25 144A		200,000		208
CVS Pass-Through Trust 4.704%, 1/10/36 144A		411,505		437
5.926%, 1/10/34 144A		698,744		814
7.507%, 1/10/32 144A		72,142		89
Hamilton College 4.750%, 7/1/13		100,000		112
HCA, Inc. 4.500%, 2/15/27		100,000		108
4.750%, 5/1/23		2,655,000		2,842
5.375%, 9/1/26		400,000		445
5.875%, 2/1/29		100,000		116
Imperial Brands Finance PLC 3.500%, 7/26/26 144A		200,000		201
Pfizer, Inc. 5.800%, 8/12/23		200,000		226
RAC Bond Co. PLC 4.870%, 5/6/46 GBP §,¥		500,000		656

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

180

Multi-Sector Bond Portfolio


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer,Non-cyclical continued
Teva Pharmaceutical Finance Co. BV 2.950%, 12/18/22		120,000		115
3.650%, 11/10/21		2,600,000		2,545
Teva Pharmaceutical Finance IV BV 3.650%, 11/10/21		700,000		685
Teva Pharmaceutical Finance Netherlands II BV 1.125%, 10/15/24 EUR¥		600,000		586
1.250%, 3/31/23 EUR §,¥		600,000		626
3.250%, 4/15/22 EUR¥		800,000		906
6.000%, 1/31/25 EUR¥		1,500,000		1,777
Teva Pharmaceutical Finance Netherlands III BV 2.200%, 7/21/21		104,000		101
2.800%, 7/21/23		2,300,000		2,133

Total				28,080


Diversified (0.1%)
Co-operative Group Holdings 2011, Ltd. 6.875%, 7/8/20 GBP §,¥		600,000		817

Total				817


Energy (9.2%)
Aker BP ASA 4.750%, 6/15/24 144A		1,000,000		1,037
Cheniere Corpus Christi Holdings LLC 5.125%, 6/30/27		100,000		111
CNOOC Finance 2013, Ltd. 3.000%, 5/9/23		500,000		508
Constellation Oil Services Holding SA 10.000%, 11/9/24 Æ		29,420		-	p
Constellation Oil Services Holding SA 10.000%, 11/9/24 Æ		201,429		88
Continental Resources, Inc. 4.375%, 1/15/28		1,400,000		1,487
Dolphin Energy, Ltd. 5.500%, 12/15/21 144A		1,000,000		1,057
El Paso Natural Gas Co. LLC 8.375%, 6/15/32		200,000		279
Energy Transfer Operating LP 4.150%, 10/1/20		400,000		404
4.650%, 6/1/21		200,000		206
5.250%, 4/15/29		100,000		112
7.500%, 7/1/38		100,000		129
Energy Transfer Partners LP 3.600%, 2/1/23		100,000		102
Gazprom Neft OAO Via GPN Capital SA 6.000%, 11/27/23 §		3,000,000		3,348
Greenko Solar Mauritius Ltd 5.550%, 1/29/25 144A		1,000,000		1,015
Harvest Operations Corp. 2.330%, 4/14/21 144A		2,970,000		2,976
Kinder Morgan Energy Partners LP 6.550%, 9/15/40		2,382,000		3,037
Kinder Morgan, Inc. 7.750%, 1/15/32		1,216,000		1,671
MPLX LP 4.250%, 12/1/27 144A		100,000		105
Newfield Exploration Co. 5.625%, 7/1/24		2,100,000		2,306


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
NGPL PipeCo LLC 7.768%, 12/15/37 144A		3,900,000		5,026
Noble Holding International, Ltd. 7.875%, 2/1/26 144A		400,000		290
Novatek OAO via Novatek Finance, Ltd. 6.604%, 2/3/21 §		200,000		209
Occidental Petroleum Corp. 2.854%, (ICE LIBOR USD 3 Month plus 0.950%), 2/8/21		100,000		101
Odebrecht Drilling Norbe VIII/IX, Ltd. 6.350%, 12/1/21 §		430,690		429
7.350%, 12/1/26 §,Þ		1,520,744		829
Odebrecht Oil & Gas Finance, Ltd. 0.000%, 2/9/18 §		782,000		6
Pertamina Persero PT 6.500%, 11/7/48 144A		3,800,000		4,981
Petrobras Global Finance BV 5.093%, 1/15/30 144A		2,433,000		2,607
5.375%, 10/1/29 GBP¥		1,800,000		2,642
6.625%, 1/16/34 GBP¥		300,000		477
Petroleos de Venezuela SA 5.375%, 4/12/27 §,j		6,500,000		504
5.500%, 4/12/37 §,j		4,300,000		333
Petroleos Mexicanos 2.750%, 4/21/27 EUR §,¥		1,100,000		1,181
3.750%, 2/21/24 EUR §,¥		400,000		478
4.750%, 2/26/29 EUR §,¥,b		7,300,000		8,685
4.875%, 2/21/28 EUR §,¥		600,000		721
5.625%, 1/23/46		378,000		337
6.490%, 1/23/27 144A		700,000		744
6.500%, 3/13/27		1,700,000		1,805
6.625%, 6/15/38		1,800,000		1,797
6.840%, 1/23/30 144A		1,500,000		1,599
7.690%, 1/23/50 144A		1,880,000		2,052
QEP Resources, Inc. 5.625%, 3/1/26		700,000		683
Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.838%, 9/30/27 144A		2,300,000		2,628
Regency Energy Partners LP / Regency Energy Finance Corp. 4.500%, 11/1/23		300,000		318
5.000%, 10/1/22		1,100,000		1,166
5.750%, 9/1/20		300,000		304
5.875%, 3/1/22		800,000		849
Reliance Holdings USA, Inc. 4.500%, 10/19/20 §		300,000		305
Rio Oil Finance Trust, Series2014-1 9.250%, 7/6/24 144A		1,384,306		1,550
9.250%, 7/6/24 §		1,211,268		1,357
Rio Oil Finance Trust, Series2014-3 9.750%, 1/6/27 §		449,776		531
Rockies Express Pipeline LLC 5.625%, 4/15/20 144A		1,000,000		1,011
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		900,000		925
5.625%, 3/1/25		4,900,000		5,514
5.750%, 5/15/24		800,000		892
5.875%, 6/30/26		400,000		459

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

181

Multi-Sector Bond Portfolio


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Sunoco LP / Sunoco Finance Corp. 4.875%, 1/15/23		100,000		102
Tallgrass Energy Partners LP 5.500%, 1/15/28 144A		8,400,000		8,232
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.500%, 3/1/30 144A		1,200,000		1,233
Transocean Guardian, Ltd. 5.875%, 1/15/24 144A		5,251,000		5,369
Transocean Poseidon, Ltd. 6.875%, 2/1/27 144A		200,000		212
Valaris PLC 5.750%, 10/1/44		200,000		90
8.000%, 1/31/24		80,000		48
Williams Partners LP 3.600%, 3/15/22		2,500,000		2,570

Total				94,159


Financial (22.2%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.650%, 7/21/27		500,000		515
4.250%, 7/1/20		150,000		152
4.450%, 12/16/21		150,000		156
4.450%, 4/3/26		900,000		965
4.875%, 1/16/24		1,200,000		1,300
5.000%, 10/1/21		3,450,000		3,616
Aircastle, Ltd. 4.250%, 6/15/26		300,000		317
Ally Financial, Inc. 4.125%, 3/30/20		537,000		539
4.250%, 4/15/21		246,000		252
8.000%, 11/1/31		1,371,000		1,903
Avolon Holdings Funding, Ltd. 5.125%, 10/1/23 144A		500,000		539
5.500%, 1/15/23 144A		800,000		862
Banco Bilbao Vizcaya Argentina SA 6.750%, (Euro Swap Annual 5 Year plus 6.604%), 12/29/49 EUR §,¥,b		5,200,000		5,876
Banco do Brasil SA 4.625%, 1/15/25 144A		1,100,000		1,148
Banco Votorantim SA 4.500%, 9/24/24		200,000		206
Bank of America Corp. 3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		973,000		1,020
4.000%, 4/1/24		1,081,000		1,158
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 12/31/99		4,500,000		4,990
Bank of Ireland 7.375%, (Effective 6/18/20 - Euro Swap Annual 5 Year plus 6.956%), 12/29/49 EUR §,¥		600,000		693
Barclays Bank PLC 7.625%, 11/21/22		2,000,000		2,247
Barclays PLC 2.375%, (GBP Swap Semi-Annual 1 Year plus 1.320%), 10/6/23 GBP §,¥		200,000		270
3.250%, 2/12/27 GBP §,¥		1,500,000		2,116
3.650%, 3/16/25		3,100,000		3,227


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
4.610%, (ICE LIBOR USD 3 Month plus 1.400%), 2/15/23		3,100,000		3,237
8.000%, (Euro Swap Annual 5 Year plus 6.750%), 12/15/49 EUR¥		1,300,000		1,555
BNP Paribas SA 4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A		6,400,000		6,927
Cantor Fitzgerald LP 4.875%, 5/1/24 144A		100,000		107
6.500%, 6/17/22 144A		200,000		216
CIT Group, Inc. 5.000%, 8/15/22		272,000		288
5.000%, 8/1/23		100,000		108
5.250%, 3/7/25		100,000		110
Citigroup, Inc. 3.400%, 5/1/26		600,000		630
Cooperatieve Rabobank UA 5.500%, (Euro Swap Annual 5 Year plus 5.250%), 1/22/49 EUR §,¥		900,000		1,032
6.625%, (Euro Swap Annual 5 Year plus 6.697%), 12/29/49 EUR §,¥		2,600,000		3,164
CPI Property Group SA 2.125%, 10/4/24 EUR §,¥		400,000		467
4.750%, 3/8/23		1,300,000		1,366
Credit Agricole Assurances SA 4.250%, (Euro Swap Annual 5 Year plus 4.500%), 12/31/49 EUR §,¥		2,000,000		2,535
Credit Suisse AG 6.500%, 8/8/23 144A		7,400,000		8,242
6.500%, 8/8/23 §		1,700,000		1,893
Deutsche Annington Finance BV 5.000%, 10/2/23 144A		300,000		321
Deutsche Bank AG 0.105%, (Euribor 3 Month ACT/360 plus 0.500%), 12/7/20 EUR §,¥		700,000		783
3.149%, (ICE LIBOR USD 3 Month plus 1.230%), 2/27/23		2,200,000		2,156
3.150%, 1/22/21		400,000		402
3.375%, 5/12/21		2,000,000		2,015
3.961%, (US SOFR plus 2.581%), 11/26/25		1,000,000		1,021
4.250%, 2/4/21		900,000		914
4.250%, 10/14/21		4,500,000		4,627
5.000%, 2/14/22b		6,000,000		6,265
The Doctors Co. 6.500%, 10/15/23 144A		300,000		323
Emerald Bay SA 0.000%, 10/15/20 144A EUR¥		3,796,000		4,152
EPR Properties 3.750%, 8/15/29		100,000		101
Equinix, Inc. 2.875%, 3/15/24 EUR¥		1,200,000		1,390
Fairfax Financial Holdings, Ltd. 2.750%, 3/29/28 144A EUR¥		500,000		606
Fairstone Financial, Inc. 7.875%, 7/15/24 144A		100,000		108
Freedom Mortgage Corp. 8.125%, 11/15/24 144A		3,690,000		3,625
8.250%, 4/15/25 144A		1,000,000		980
10.750%, 4/1/24 144A		900,000		929

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

182

Multi-Sector Bond Portfolio


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
GE Capital European Funding Unlimited Co. 0.800%, 1/21/22 EUR¥		400,000		454
2.250%, 7/20/20 EUR¥		200,000		227
GE Capital International Funding Co. Unlimited Co. 4.418%, 11/15/35		500,000		532
GE Capital UK Funding Unlimited Co. 5.125%, 5/24/23 GBP¥		500,000		731
Globalworth Real Estate Investments, Ltd. 3.000%, 3/29/25 EUR¥		2,000,000		2,408
GLP Capital LP / GLP Financing II, Inc. 3.350%, 9/1/24		100,000		102
5.750%, 6/1/28		400,000		454
The Goldman Sachs Group, Inc. 3.094%, (ICE LIBOR USD 3 Month plus 1.200%), 9/15/20		200,000		201
3.680%, (ICE LIBOR USD 3 Month plus 1.770%), 2/25/21		200,000		203
3.750%, 5/22/25		2,700,000		2,863
3.850%, 7/8/24		1,000,000		1,057
4.000%, 3/3/24		400,000		426
5.750%, 1/24/22		400,000		429
Growthpoint Properties International Pty, Ltd. 5.872%, 5/2/23 144A		300,000		321
HBOS PLC 5.374%, 6/30/21 EUR¥		600,000		726
Hospitality Properties Trust 4.350%, 10/1/24		200,000		205
4.750%, 10/1/26		4,900,000		5,022
The Howard Hughes Corp. 5.375%, 3/15/25 144A		300,000		313
HSBC Holdings PLC 3.600%, 5/25/23		2,100,000		2,189
ING Bank NV 5.800%, 9/25/23 144A		1,700,000		1,887
ING Groep NV 5.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 4.342%), 12/31/99		1,800,000		1,895
International Lease Finance Corp. 5.875%, 8/15/22		400,000		436
8.250%, 12/15/20		2,100,000		2,220
8.625%, 1/15/22		400,000		450
Intesa Sanpaolo SpA 3.250%, 9/23/24 144A		300,000		301
5.017%, 6/26/24 144A		2,700,000		2,835
6.500%, 2/24/21 144A		4,100,000		4,282
Jefferies Finance LLC / JFINCo-Issuer Corp. 6.250%, 6/3/26 144A		1,400,000		1,467
7.250%, 8/15/24 144A		1,400,000		1,442
Kennedy Wilson Europe Real Estate PLC 3.950%, 6/30/22 GBP §,¥		2,700,000		3,695
Lloyds Banking Group PLC 2.250%, 10/16/24 GBP §,¥		2,000,000		2,725
4.450%, 5/8/25		3,300,000		3,602
Logicor Financing SARL 3.250%, 11/13/28 EUR¥		600,000		753


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Macquarie Group, Ltd. 6.250%, 1/14/21 144A		300,000		312
Morgan Stanley 2.883%, (ICE LIBOR USD 3 Month plus 0.930%), 7/22/22		1,000,000		1,009
4.000%, 7/23/25		3,600,000		3,893
Nationwide Building Society 4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		4,500,000		4,771
Navient Corp. 6.625%, 7/26/21		1,300,000		1,375
7.250%, 1/25/22		400,000		435
NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,¥		2,600,000		3,347
OMEGA Healthcare Investors, Inc. 4.500%, 1/15/25		100,000		107
4.950%, 4/1/24		100,000		109
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc. 6.375%, 12/15/22 144A		200,000		206
Park Aerospace Holdings, Ltd. 4.500%, 3/15/23 144A		3,900,000		4,083
5.250%, 8/15/22 144A		650,000		693
5.500%, 2/15/24 144A		400,000		439
Quicken Loans, Inc. 5.250%, 1/15/28 144A		2,900,000		3,002
Royal Bank of Scotland Group PLC 2.000%, (Euribor 3 Month ACT/360 plus 2.039%), 3/8/23 EUR¥		1,600,000		1,860
2.500%, 3/22/23 EUR §,¥		100,000		120
4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24		200,000		212
4.800%, 4/5/26		2,800,000		3,108
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29		3,700,000		4,180
7.500%, (USD Swap Semi-Annual 5 Year plus 5.800%), 12/29/49		2,600,000		2,657
8.625%, (USD 5 Year Swap Rate plus 7.598%), 12/29/49		2,100,000		2,271
Santander UK Group Holdings PLC 3.125%, 1/8/21		2,100,000		2,118
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28		4,000,000		4,215
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 12/31/99 GBP §,¥		1,390,000		2,025
Sberbank of Russia Via SB Capital SA 6.125%, 2/7/22		1,700,000		1,818
Springleaf Finance Corp. 6.125%, 3/15/24		500,000		548
6.875%, 3/15/25		1,900,000		2,161
7.125%, 3/15/26		1,700,000		1,966
7.750%, 10/1/21		100,000		109
8.250%, 12/15/20		100,000		105
Sunac China Holdings, Ltd. 8.350%, 4/19/23		1,600,000		1,700
8.375%, 1/15/21		200,000		206
8.625%, 7/27/20		600,000		611
Tesco Property Finance 3 PLC 5.744%, 4/13/40 GBP §,¥		96,621		166

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

183

Multi-Sector Bond Portfolio


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Tesco Property Finance 6 PLC 5.411%, 7/13/44 GBP §,¥		2,672,146		4,485
TP ICAP PLC 5.250%, 1/26/24 GBP §,¥		3,700,000		5,364
TrustCo Bank Corp. 6.390%, 1/15/50 144A		200,000		215
UBS AG 7.625%, 8/17/22		4,400,000		4,960
UBS Group Funding AG 4.125%, 9/24/25 144A		700,000		761
UniCredit SpA 3.750%, 4/12/22 144A		200,000		205
5.901%, (ICE LIBOR USD 3 Month plus 3.900%), 1/14/22 144A		1,550,000		1,625
6.572%, 1/14/22 144A		700,000		752
7.830%, 12/4/23 144A		4,200,000		4,894
The Unique Pub Finance Co. PLC 5.659%, 6/30/27 GBP §,¥		435,606		661
7.395%, 3/28/24 GBP §,¥		400,000		604
Virgin Money UK PLC 4.000%, 9/25/26 GBP ¥		100,000		138
VIVAT NV 2.375%, 5/17/24 EUR §,¥		200,000		235
Weyerhaeuser Co. 7.375%, 3/15/32		1,500,000		2,077

Total				226,428


Industrial (1.1%)
Aeropuerto Internacional de Tocumen SA 6.000%, 11/18/48 144A		300,000		372
DAE Funding LLC 4.000%, 8/1/20 144A		3,020,000		3,039
5.000%, 8/1/24 144A		400,000		420
Fortress Transportation & Infrastructure 6.750%, 3/15/22 144A		900,000		938
General Electric Co. 0.375%, 5/17/22 EUR ¥		700,000		786
5.550%, 5/4/20		100,000		101
5.550%, 1/5/26		200,000		229
5.875%, 1/14/38		100,000		121
6.875%, 1/10/39		100,000		133
Greif, Inc. 6.500%, 3/1/27 144A		300,000		324
Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A		330,152		382
Pacific National Finance Pty, Ltd. 4.625%, 9/23/20 144A		500,000		507
Russian Railways Via RZD Capital PLC 7.487%, 3/25/31 GBP §,¥		1,500,000		2,663
Standard Industries, Inc. 4.750%, 1/15/28 144A		950,000		974

Total				10,989


Other Holdings (–%)
Constellation Oil Services Holding SA Escrow 9.000%, 11/9/24 *,Æ		201,001		-

Total				-


Corporate Bonds (51.1%)	Shares/ Par⁺		Value $ (000’s)

Technology (1.2%)
Dell International LLC / EMC Corp. 5.300%, 10/1/29 144A		4,300,000		4,842
6.020%, 6/15/26 144A		300,000		345
Diamond 1 Finance Corp. / Diamond 2 Finance Corp. 5.450%, 6/15/23 144A		1,100,000		1,192
8.100%, 7/15/36 144A		300,000		394
EMC Corp. 2.650%, 6/1/20		1,600,000		1,600
Micron Technology, Inc. 4.663%, 2/15/30		100,000		110
NXP BV / NXP Funding LLC 4.875%, 3/1/24 144A		1,700,000		1,853
5.350%, 3/1/26 144A		1,600,000		1,802
Quintiles IMS, Inc. 3.250%, 3/15/25 144A EUR¥		500,000		572

Total				12,710


Utilities (0.4%)
Edison International 5.750%, 6/15/27		100,000		112
Electricite de France SA 4.500%, 9/21/28 144A		900,000		1,000
Exelon Generation Co. LLC 4.250%, 6/15/22		500,000		523
FirstEnergy Corp. 7.375%, 11/15/31		400,000		564
Nakilat, Inc. 6.067%, 12/31/33 §		1,000,000		1,215
6.267%, 12/31/33 144A		528,766		631
National Fuel Gas Co. 5.200%, 7/15/25		300,000		332
Puget Energy, Inc. 5.625%, 7/15/22		200,000		214

Total				4,591

Total Corporate Bonds (Cost: $496,206)				521,916

Governments (20.2%)

Governments (20.2%)
Angolan Government International Bond 8.000%, 11/26/29 144A		1,600,000		1,705
Arab Republic of Egypt 5.625%, 4/16/30 144A EUR¥		1,550,000		1,791
Argentine Republic Government International Bond 3.375%, 1/15/23 EUR¥		950,000		477
3.380%, 12/31/38 EUR¥,b		11,130,000		5,619
5.000%, 1/15/27 EUR §,¥		4,900,000		2,424
5.250%, 1/15/28 EUR¥		250,000		120
58.764%, (Argentina Blended Historical Policy Rate plus 1.000%), 6/21/20 ARS¥		2,420,000		22
Australian Government 4.250%, 4/21/26 AUD §,¥		2,400,000		2,001
Autonomous Community of Catalonia 4.900%, 9/15/21 EUR¥		800,000		954
4.950%, 2/11/20 EUR¥		400,000		451
Banque Centrale de Tunisie International Bond 5.625%, 2/17/24 EUR¥		300,000		334

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

184

Multi-Sector Bond Portfolio


Governments (20.2%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
Colombia Government International Bond 5.000%, 6/15/45b		6,000,000		6,969
Dominican Republic International Bond 6.500%, 2/15/48 144A		2,800,000		3,087
6.875%, 1/29/26 §		500,000		571
Ecuador Government International Bond 8.875%, 10/23/27 144A		900,000		826
8.875%, 10/23/27		1,500,000		1,376
9.650%, 12/13/26 144A		1,000,000		950
10.750%, 1/31/29 144A		1,600,000		1,560
Egypt Government International Bond 4.750%, 4/11/25 144A EUR¥		800,000		944
6.375%, 4/11/31 144A EUR¥		400,000		480
6.375%, 4/11/31 EUR¥		1,400,000		1,680
Export-Import Bank of India 3.375%, 8/5/26		600,000		610
Federal Republic of Nigeria 7.875%, 2/16/32		2,800,000		2,903
Ghana Government International Bond 7.875%, 3/26/27 144A		600,000		630
8.125%, 3/26/32 144A		400,000		407
8.950%, 3/26/51 144A		600,000		613
8.950%, 3/26/51		200,000		204
Ivory Coast Government International Bond 5.875%, 10/17/31 EUR¥		300,000		349
6.875%, 10/17/40 EUR¥		400,000		468
Kenya Government International Bond 8.000%, 5/22/32 144A		700,000		762
Oman Government International Bond 6.500%, 3/8/47 §		1,800,000		1,780
6.750%, 1/17/48 144A		2,600,000		2,611
Panama Government International Bond 6.700%, 1/26/36		1,900,000		2,662
8.125%, 4/28/34		100,000		145
Perusahaan Penerbit SBSN Indonesia III 3.400%, 3/29/22 144A		600,000		613
Provincia de Buenos Aires 52.615%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS¥		740,000		7
Republic of Costa Rica 7.158%, 3/12/45 §		800,000		852
Republic of Croatia 6.625%, 7/14/20 §		5,000,000		5,115
Republic of Indonesia 3.375%, 7/30/25 144A EUR ¥		800,000		1,019
3.750%, 6/14/28 144A EUR¥		1,900,000		2,566
3.750%, 6/14/28 EUR §,¥		2,200,000		2,971
4.125%, 1/15/25		1,900,000		2,037
Republic of Kazakhstan 5.125%, 7/21/25 §,b		5,200,000		5,972
Republic of South Africa Government International Bond 4.850%, 9/30/29		1,200,000		1,200
4.875%, 4/14/26		600,000		624
5.875%, 9/16/25b		5,900,000		6,494
The Republic of Trinidad & Tobago 4.500%, 8/4/26 §		400,000		426


Governments (20.2%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
Romanian Government International Bond 4.125%, 3/11/39 EUR¥		1,500,000		1,951
Russian Federation 5.625%, 4/4/42 §		2,000,000		2,615
Saudi International Bond 2.875%, 3/4/23		600,000		611
4.000%, 4/17/25		3,900,000		4,204
4.500%, 10/26/46b		5,600,000		6,200
Senegal Government International Bond 4.750%, 3/13/28 144A EUR¥		100,000		118
4.750%, 3/13/28 EUR¥		400,000		472
6.250%, 5/23/33 144A		400,000		420
State of Qatar 4.500%, 4/23/28		1,100,000		1,260
4.817%, 3/14/49		800,000		990
5.103%, 4/23/48		1,200,000		1,541
Turkey Government International Bond 4.625%, 3/31/25 EUR¥		1,800,000		2,133
4.875%, 10/9/26		4,000,000		3,818
5.125%, 3/25/22b		12,600,000		12,895
5.125%, 2/17/28		4,300,000		4,114
5.750%, 3/22/24		2,400,000		2,453
6.125%, 10/24/28		400,000		405
7.250%, 12/23/23		1,100,000		1,190
7.625%, 4/26/29		400,000		442
Ukraine Government International Bond 6.750%, 6/20/26 144A EUR¥		600,000		755
7.375%, 9/25/32 §		500,000		533
7.750%, 9/1/20 §,b		5,400,000		5,551
7.750%, 9/1/21		4,600,000		4,865
8.994%, 2/1/24 144A		1,000,000		1,126
9.750%, 11/1/28 144A		1,300,000		1,579
United Mexican States 4.500%, 1/31/50		600,000		649
4.600%, 1/23/46		4,700,000		5,100
US Treasury 1.875%, 8/31/24b		7,310,000		7,366
2.125%, 3/31/24b		3,970,000		4,040
2.125%, 11/30/24		3,400,000		3,466
2.250%, 11/15/24b		15,910,000		16,312
2.250%, 2/15/27b		150,000		154
2.375%, 8/15/24		3,700,000		3,810
2.500%, 1/31/24b		10,590,000		10,930
2.750%, 2/15/24b		8,700,000		9,067
2.875%, 11/30/23b		4,230,000		4,421
Venezuela Government International Bond 6.000%, 12/9/20 §,j		32,000		4
7.000%, 3/31/38 §,j		204,000		23
7.650%, 4/21/25 §,j		1,955,000		225
8.250%, 10/13/24 §,j		356,000		41
9.000%, 5/7/23 §,j		32,000		4
9.250%, 5/7/28 §,j		1,241,000		143
9.375%, 1/13/34j		1,400,000		161

Total				206,538

Total Governments (Cost: $208,074)				206,538

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

185

Multi-Sector Bond Portfolio


Municipal Bonds (1.1%)	Shares/ Par⁺		Value $ (000’s)

Municipal Bonds (1.1%)
American Municipal Power, Inc., Series2010-B 7.834%, 2/15/41 RB		100,000		156
Bay Area Toll Authority, California, Series 2010 6.918%, 4/1/40 RB		200,000		293
City of Riverside CA Electric Revenue 7.605%, 10/1/40 RB		200,000		320
Irvine Ranch California Water District 6.622%, 5/1/40 RB		100,000		145
Los Angeles County California Public Works Financing Authority 7.618%, 8/1/40 RB		200,000		310
Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB		100,000		141
Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB		99,000		136
New York City Transitional Finance Authority 5.508%, 8/1/37 RB		300,000		381
New York State Urban Development Corp. 5.770%, 3/15/39 RB		100,000		121
Port Authority of New York & New Jersey, Series 165 5.647%, 11/1/40 RB		1,100,000		1,468
Port Authority of New York & New Jersey, Series 168 4.926%, 10/1/51 RB		200,000		259
San Diego County Regional Airport Authority, Series C 6.628%, 7/1/40 RB		100,000		102
San Diego Redevelopment Agency, Series A 7.625%, 9/1/30 RB		100,000		104
State of California 7.950%, 3/1/36 GO		900,000		908
State of Illinois 6.630%, 2/1/35 GO		245,000		287
6.725%, 4/1/35 GO		95,000		111
7.350%, 7/1/35 GO		200,000		243
Texas Public Finance Authority 8.250%, 7/1/24 RB		175,000		177
Tobacco Settlement Finance Authority of West Virginia, Series A 7.467%, 6/1/47 RB		1,065,000		1,107
Tobacco Settlement Financing Corp. of Virginia, Series2007-A 6.706%, 6/1/46 RB		3,240,000		3,121
Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB		800,000		1,050

Total Municipal Bonds (Cost: $8,468)				10,940


Structured Products (14.2%)

Asset Backed Securities (4.5%)
Accredited Mortgage Loan Trust, Series2005-3, Class M3 2.670%, (ICE LIBOR USD 1 Month plus 0.480%), 9/25/35		50,000		49


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
ACE Securities Corp. Home Equity Loan Trust, Series2004-HE4, Class M1 2.692%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34		74,311		73
ACE Securities Corp. Home Equity Loan Trust, Series2004-RM2, Class M2 2.587%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35		46,853		47
ACE Securities Corp. Home Equity Loan Trust, Series2005-HE4, Class M4 2.767%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35		100,000		101
ACE Securities Corp. Home Equity Loan Trust, Series2006-FM1, Class A2C 1.942%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36		7,709,280		2,672
Aegis Asset Backed Securities Trust, Series2004-6, Class M2 2.792%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35		144,577		140
Aircraft Certificate Owner Trust, Series2003-1A, Class E 7.001%, 9/20/22 144A		19,718		21
Ameriquest Mortgage Securities, Inc., Series2004-R5, Class M1 2.662%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34		29,114		29
Asset Backed Securities Corp. Home Equity Loan Trust, Series2003-HE4, Class M1 2.985%, (ICE LIBOR USD 1 Month plus 1.245%), 8/15/33		28,612		29
Asset Backed Securities Corp. Home Equity Loan Trust, Series2005-HE5, Class M4 2.692%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35		200,000		199
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2 1.992%, (ICE LIBOR USD 1 Month plus 0.200%), 12/25/36		32,455		32
Bear Stearns Asset Backed Securities I Trust, Series2007-AQ1, Class A1 1.902%, (ICE LIBOR USD 1 Month plus 0.110%), 4/25/31		5,415		9
Bear Stearns Asset Backed Securities I Trust, Series2007-HE3, Class 1A2 1.992%, (ICE LIBOR USD 1 Month plus 0.200%), 4/25/37		46,435		86
Bear Stearns Asset Backed Securities I Trust, Series2007-HE6, Class 1A1 3.042%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37		167,835		168
Carlyle Global Market Strategies, Series2015-1A, Class A2MZ 2.372%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35		784,058		782
Citigroup Mortgage Loan Trust, Series2005-HE3, Class M2 2.512%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35		18,691		19

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

186

Multi-Sector Bond Portfolio


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C 2.002%, (ICE LIBOR USD 1 Month plus 0.210%), 12/25/36		100,000		97
Countrywide Asset-Backed Certificates, Series2004-9, Class MV4 3.367%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34		100,000		99
Countrywide Asset-Backed Certificates, Series2005-4, Class AF6 4.740%, (AFC), 10/25/35		2,601		3
Countrywide Asset-Backed Certificates, Series2005-AB4, Class 2A4 2.142%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/36		85,117		78
Countrywide Asset-Backed Certificates, Series2006-1, Class AF5 4.706%, (AFC), 7/25/36		100,000		101
Countrywide Asset-Backed Certificates, Series2006-23, Class 2A3 1.962%, (ICE LIBOR USD 1 Month plus 0.170%), 5/25/37		50,221		50
Countrywide Asset-Backed Certificates, Series2006-26, Class 1A 1.932%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37		578,486		539
Countrywide Asset-Backed Certificates, Series2006-4, Class 2A3 2.082%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/36		45,711		45
Countrywide Asset-Backed Certificates, Series2006-5, Class 2A3 2.082%, (ICE LIBOR USD 1 Month plus 0.290%), 8/25/36		74,554		74
Countrywide Asset-Backed Certificates, Series2006-BC3, Class M2 2.112%, (ICE LIBOR USD 1 Month plus 0.320%), 2/25/37		900,000		781
Countrywide Asset-Backed Certificates, Series2007-1, Class 2A3 1.932%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37		36,230		33
Countrywide Asset-Backed Certificates, Series2007-13, Class 1A 2.632%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47		2,396,131		2,391
Countrywide Asset-Backed Certificates, Series2007-9, Class 1A 1.992%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47		1,051,468		941
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1 2.342%, (ICE LIBOR USD 1 Month plus 0.550%), (AFC), 5/25/47 144A		1,737,811		1,448
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1 2.412%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32		4,694		5


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Ellington Loan Acquisition Trust, Series2007-2, Class A1 2.842%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A		338,303		339
First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4 1.942%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36		2,230		2
First Franklin Mortgage Loan Trust, Series 2006-FF12, Class A4 1.848%, (ICE LIBOR USD 1 Month plus 0.140%), 9/25/36		52,649		52
First Franklin Mortgage Loan Trust, Series2006-FF5, Class 2A5 04/25/36		200,000		182
Fremont Home Loan Trust, Series2005-2, Class M4 2.722%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35		300,000		287
GSAA Home Equity Trust, Series2006-17, Class A1 1.852%, (ICE LIBOR USD 1 Month plus 0.060%), 11/25/36		58,160		25
GSAMP Trust, Series2004-WF, Class M2 3.442%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34		38,136		37
GSAMP Trust, Series2007-FM2, Class A2B 1.882%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37		203,946		135
GSAMP Trust, Series2007-NC1, Class A2A 1.842%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46		15,942		10
Home Equity Loan Trust, Series 2007- FRE1, Class 2AV4 2.132%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37		500,000		429
Home Equity Mortgage Loan Asset-Backed Trust, Series2007-B, Class 2A2 1.952%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37		393,588		263
HSI Asset Securitization Corp. Trust, Series2005-I1, Class 2A4 2.182%, (ICE LIBOR USD 1 Month plus 0.390%), 11/25/35		273,817		270
Lehman XS Trust, Series2005-4, Class 1A3 2.592%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35		11,866		12
Long Beach Mortgage Loan Trust, Series2006-1, Class 2A4 2.092%, (ICE LIBOR USD 1 Month plus 0.300%), 2/25/36		69,128		63
Long Beach Mortgage Loan Trust, Series2006-3, Class 2A4 2.062%, (ICE LIBOR USD 1 Month plus 0.270%), 5/25/46		319,826		142

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

187

Multi-Sector Bond Portfolio


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Long Beach Mortgage Loan Trust, Series2006-4, Class 1A 1.942%, (ICE LIBOR USD 1 Month plus 0.150%), 5/25/36		1,390,583		934
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1 2.608%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34		127,862		127
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1 1.942%, (ICE LIBOR USD 1 Month plus 0.150%), 3/25/36b		13,179,435		11,672
MASTR Asset Backed Securities Trust, Series2006-HE3, Class A2 1.892%, (ICE LIBOR USD 1 Month plus 0.100%), 8/25/36		2,261,041		946
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5 1.942%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36		992,625		455
Merrill Lynch Mortgage Investors Trust, Series2007-SD1, Class A1 2.242%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47		938,652		680
Morgan Stanley ABS Capital I, Inc. Trust, Series2005-NC1, Class M2 2.497%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35		162,120		161
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5 2.782%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35		289,902		291
Morgan Stanley ABS Capital I, Inc., Series2006-HE7, Class A2C 1.952%, (ICE LIBOR USD 1 Month plus 0.160%), 9/25/36		73,011		40
Morgan Stanley ABS Capital I, Inc., Series2006-HE8, Class A2C 1.932%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36		69,044		43
Morgan Stanley ABS Capital I, Inc., Series2007-HE5, Class A2C 2.042%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37		67,329		37
Morgan Stanley Dean Witter Capital I, Inc., Series2002-HE1, Class M1 2.692%, (ICE LIBOR USD 1 Month plus 0.900%), 7/25/32		2,054		2
Morgan Stanley Dean Witter Capital I, Inc., Series2003-NC1, Class M1 3.367%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32		70,844		71
Morgan Stanley Dean Witter Capital I, Inc., Series2003-NC2, Class M1 3.142%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33		29,041		29
NovaStar Mortgage Funding Trust, Series2007-2, Class A2B 1.952%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37		537,114		528


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Park Place Securities, Inc. Asset-Backed Pass Through Certificates, Series 2005-WCW2, Class M1 2.542%, (ICE LIBOR USD 1 Month plus 0.750%), 7/25/35		3,784		4
People’s Choice Home Loan Securities Trust, Series2005-3, Class M2 2.587%, (ICE LIBOR USD 1 Month plus 0.795%), (AFC), 8/25/35		81,250		81
RAAC Series, Series2007-RP4, Class A 2.058%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A		278,051		265
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, Class M3 2.272%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 9/25/35		219,283		219
Residential Asset Securities Corp., Series 2006-EMX1, Class M1 2.202%, (ICE LIBOR USD 1 Month plus 0.410%), (AFC), 1/25/36		86,375		86
Residential Asset Securities Corp., Series2007-KS1, Class A3 1.942%, (ICE LIBOR USD 1 Month plus 0.150%), (AFC), 1/25/37		154,814		154
Residential Asset Securities Corp., Series2007-KS3, Class AI4 2.132%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37		1,600,000		1,553
Saxon Asset Securities Trust, Series 2006-1, Class M1 2.257%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36		397,234		383
Securitized Asset Backed Receivables LLC Trust, Series2005-FR4, Class M2 2.752%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36		72,407		58
SLM Private Education Loan Trust, Series2011-B, Class A3 3.990%, (ICE LIBOR USD 1 Month plus 2.250%), 6/16/42 144A		62,986		63
Soundview Home Loan Trust, Series 2005-3, Class M3 2.617%, (ICE LIBOR USD 1 Month plus 0.825%), 6/25/35		71,290		71
Soundview Home Loan Trust, Series 2006-2, Class M2 2.142%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/36		400,000		391
Soundview Home Loan Trust, Series 2006-3, Class A3 1.952%, (ICE LIBOR USD 1 Month plus 0.160%), 11/25/36		161,725		159
Soundview Home Loan Trust, Series 2006- OPT2, Class A4 2.072%, (ICE LIBOR USD 1 Month plus 0.280%), 5/25/36		200,000		195
Soundview Home Loan Trust, Series 2006- OPT3, Class M1 2.102%, (ICE LIBOR USD 1 Month plus 0.310%), 6/25/36		6,717,171		5,200

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

188

Multi-Sector Bond Portfolio


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Specialty Underwriting & Residential Finance Trust, Series2005-BC2, Class M3 2.767%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35		263,346		263
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1 2.767%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33		155,785		156
Structured Asset Investment Loan Trust, Series2005-5, Class M2 2.482%, (ICE LIBOR USD 1 Month plus 0.690%), 6/25/35		1,415		1
Structured Asset Investment Loan Trust, Series2005-7, Class M2 2.557%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35		500,000		495
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3 1.942%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36		21,482		21
Structured Asset Securities Corp. Mortgage Loan Trust, Series2001-WF1, Class A 6 2.002%, (ICE LIBOR USD 1 Month plus 0.210%), 2/25/37		106,289		104
Structured Asset Securities Corp. Mortgage Loan Trust, Series2006-BC4, Class A4 1.962%, (ICE LIBOR USD 1 Month plus 0.170%), 12/25/36		361,620		350
Truman Capital Mortgage Loan Trust, Series2006-1, Class A 2.052%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A		1,352,818		1,336
Venture XXV CLO Ltd., Series 25A, Class AR 2.992%, (ICE LIBOR USD 3 Month plus 1.230%), 4/20/29 144A		5,000,000		4,993
WaMu Asset-Backed Certificates, Series2007-HE1, Class 1A 1.942%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37		171,309		146

Total				46,152


Mortgage Securities (9.7%)
American Home Mortgage Investment Trust, Series2005-2, Class 4A1 3.407%, (ICE LIBOR USD 6 Month plus 1.500%), (AFC), 9/25/45		1,832		2
Banc of America Funding Trust, Series2005-H, Class 5A1 4.061%, (CSTR), 11/20/35		159,067		153
Banc of America Funding Trust, Series2006-J, Class 4A1 4.321%, (CSTR), 1/20/47		57,396		56
Banc of America Funding Trust, Series2007-6, Class A1 2.082%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37		73,748		71


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Barclays Capital LLC, Series 2009-RR14, Class 2A2 4.151%, (CSTR), 7/26/36 144A		30,724		28
Barclays Capital LLC, Series2009-RR5, Class 3A3 6.250%, (CSTR), 8/26/36 144A		2,841,799		1,995
Bear Stearns Adjustable Rate Mortgage Trust, Series2004-3, Class 4A 4.382%, (CSTR), 7/25/34		3,365		3
Bear StearnsALT-A Trust, Series2006-6, Class 2A1 3.937%, (CSTR), 11/25/36		176,967		159
Citicorp Mortgage Securities Trust, Series2007-8, Class 1A3 6.000%, 9/25/37		4,728		5
Citigroup Mortgage Loan Trust, Series2007-10, Class 22AA 4.169%, (CSTR), 9/25/37		14,139		14
Citigroup Mortgage Loan Trust, Series2007-10, Class 2A3A 4.646%, (CSTR), 9/25/37		54,656		55
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 5.750%, 1/25/35		19,049		19
Countrywide Alternative Loan Trust, Series2005-59, Class 1A1 2.095%, (ICE LIBOR USD 1 Month plus 0.330%), 11/20/35		6,969		7
Countrywide Alternative Loan Trust, Series2005-76, Class 1A1 3.719%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		19,383		20
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36		199,635		175
Countrywide Alternative Loan Trust, Series2005-J1, Class 3A1 6.500%, 8/25/32		6,366		7
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37		138,711		84
Countrywide Alternative Loan Trust, Series2006-5T2, Class A1 2.292%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36		452,012		212
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 4.274%, (CSTR), 5/25/36		15,042		14
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B 1.955%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46		18,534		16
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A 1.960%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46		35,908		31
Countrywide Alternative Loan Trust, Series2006-OA2, Class A1 1.975%, (ICE LIBOR USD 1 Month plus 0.210%), 5/20/46		465,195		395

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

189

Multi-Sector Bond Portfolio


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Countrywide Alternative Loan Trust, Series2006-OA9, Class 2A1A 1.975%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46		11,285		8
Countrywide Alternative Loan Trust, Series2007-9T1, Class 2A2 6.000%, 5/25/37		268,409		184
Countrywide Alternative Loan Trust, Series2007-OA3, Class 1A1 1.932%, (ICE LIBOR USD 1 Month plus 0.140%), 4/25/47		42,360		39
Countrywide Home Loan Mortgage Pass Through Trust, Series2005-22, Class 3A1 3.545%, (CSTR), 10/25/35		16,397		14
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1 4.021%, (CSTR), 12/20/35		7,591		7
Countrywide Home Loan Mortgage Pass Through Trust, Series2006-16, Class 2A1 6.500%, 11/25/36		21,926		15
Countrywide Home Loan Mortgage Pass Through Trust, Series2006-9, Class A1 6.000%, 5/25/36		169,061		138
Countrywide Home Loan Mortgage Pass Through Trust, Series2006-OA4, Class A1 3.199%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		40,516		19
Countrywide Home Loan Mortgage Pass Through Trust, Series2006-OA4, Class A2 2.062%, (ICE LIBOR USD 1 Month plus 0.270%), 4/25/46		1,073,671		452
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HYB1, Class 3A1 3.656%, (CSTR), 3/25/37		12,346		11
Credit Suisse First Boston Mortgage Securities Corp., Series2003-8, Class 5A1 6.500%, 4/25/33		1,144		1
DeutscheAlt-A Securities, Inc. Mortgage Loan Trust, Series2005-6, Class 2A3 5.500%, 12/25/35		493,151		473
EMF-NL BV, Series 2008-APRX, Class A2 0.382%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,¥		160,714		173
Eurosail-NL BV, Series 2007-NL2X, Class A 1.082%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,¥		96,931		109
Federal National Mortgage Association 3.000%, 12/1/49 ß		9,274,652		9,403
Federal National Mortgage Association TBA 3.000%, 2/13/48 ß		16,200,000		16,409
3.500%, 1/14/50 ß		6,100,000		6,272


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
3.500%, 2/12/50 ß		51,000,000		52,424
Federal National Mortgage Association, Series2003-W6, Class F 2.058%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42		23,298		23
First Horizon Mortgage Pass-Through Trust, Series2007-2, Class 1A5 5.750%, 5/25/37		251,231		173
GSR Mortgage Loan Trust, Series 2005- AR6, Class 1A1 4.704%, (CSTR), 9/25/35		4,490		5
GSR Mortgage Loan Trust, Series 2006- 2F, Class 3A6 6.000%, 2/25/36		121,722		96
GSR Mortgage Loan Trust, Series 2006- AR1, Class 2A1 3.956%, (CSTR), 1/25/36		2,130		2
GSR Mortgage Loan Trust, Series 2007- AR1, Class 2A1 3.860%, (CSTR), 3/25/47		11,180		10
Harborview Mortgage Loan Trust, Series2005-10, Class 2A1A 2.074%, (ICE LIBOR USD 1 Month plus 0.310%), (AFC), 11/19/35		12,083		12
Harborview Mortgage Loan Trust, Series2005-3, Class 2A1A 2.213%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35		22,463		23
HomeBanc Mortgage Trust, Series2005-1, Class A1 2.042%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/35		6,792		6
HSI Asset Securitization Corp. Trust, Series2006-NC1, Class 2A 2.012%, (ICE LIBOR USD 1 Month plus 0.220%), 11/25/35		1,190,766		1,078
Impac Secured Assets Trust, Series 2007-1, Class A2 1.952%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 3/25/37		80,364		76
IndyMac INDX Mortgage Loan Trust, Series2004-AR6, Class 5A1 4.193%, (CSTR), 10/25/34		21,185		22
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A 2.272%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35		2,178		2
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A 2.092%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/35		13,610		13
JP Morgan Mortgage Trust, Series 2005- ALT1, Class 2A1 4.035%, (CSTR), 10/25/35		11,227		10
JP Morgan Mortgage Trust, Series 2007- A1, Class 6A1 4.427%, (CSTR), 7/25/35		10,532		11
JP Morgan Mortgage Trust, Series 2007- A4, Class 3A1 3.954%, (CSTR), 6/25/37		67,530		59

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

190

Multi-Sector Bond Portfolio


Structured Products (14.2%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1, Class A1 1.878%, (ICE LIBOR USD 1 Month plus 0.170%), 2/25/37		1,640		2
Merrill Lynch Mortgage Investors Trust, Series2005-A6, Class 2A3 2.172%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/35		16,166		16
Merrill Lynch Mortgage Investors Trust, Series2005-A9, Class 5A1 3.861%, (CSTR), 12/25/35		171,515		156
Merrill Lynch Mortgage Investors Trust, Series2006-1, Class 1A 4.148%, (CSTR), 2/25/36		3,614		4
Merrill Lynch Mortgage Investors Trust, Series2006-A3, Class 6A1 3.974%, (CSTR), 5/25/36		15,784		15
Morgan Stanley Mortgage Loan Trust, Series2005-3AR, Class 4A 3.979%, (CSTR), 7/25/35		35,385		33
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series2005-AR4, Class 3A1 4.381%, (CSTR), 8/25/35		6,345		6
Nomura Resecuritization Trust, Series2014-1R, Class 2A1 2.628%, (ICE LIBOR USD 1 Month plus 0.130%), 2/26/37 144A		261,640		262
Residential Accredit Loans, Inc., Series2005-QA3, Class NB2 4.761%, (CSTR), 3/25/35		25,363		23
Residential Accredit Loans, Inc., Series2006-QA7, Class 1A1 1.982%, (ICE LIBOR USD 1 Month plus 0.190%), 8/25/36		10,126		9
Residential Accredit Loans, Inc., Series2006-QA8, Class A1 1.982%, (ICE LIBOR USD 1 Month plus 0.190%), 9/25/36		24,677		23
Residential Accredit Loans, Inc., Series2007-QA1, Class A1 1.932%, (ICE LIBOR USD 1 Month plus 0.140%), 1/25/37		19,722		19
Residential Asset Securitization Trust, Series2007-A2, Class 2A2 6.500%, 4/25/37		3,449,461		1,551
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 2.112%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35		63,272		61
Structured Asset Mortgage Investments II Trust, Series2005-AR8, Class A2 3.732%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36		547,007		542
Structured Asset Mortgage Investments II Trust, Series2006-AR6, Class 1A1 1.972%, (ICE LIBOR USD 1 Month plus 0.180%), (AFC), 7/25/46		246,081		227


Structured Products (14.2%)	Shares/ Par⁺	Value $ (000’s)

Mortgage Securities continued
Suntrust Alternative Loan Trust, Series2005-1F, Class 1A1 2.442%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35	17,992	15
Towd Point Mortgage Funding, Series 2019-GR4A, Class A1 1.820%, (ICE LIBOR GBP 3 Month plus 1.025%), 10/20/51 144A GBP ¥	2,666,782	3,548
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 4.276%, (CSTR, AFC), 2/25/33	975	1
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.689%, (CSTR), 10/25/36	28,157	26
WaMu Mortgage Pass-Through Certificates, Series2006-AR2, Class 1A1 4.236%, (CSTR), 3/25/36	233,631	228
WaMu Mortgage Pass-Through Certificates, Series2006-AR8, Class 2A1 3.880%, (CSTR), 8/25/36	12,514	12
WaMu Mortgage Pass-Through Certificates, Series2007-HY1, Class 3A1 4.000%, (CSTR), 2/25/37	4,501	4
WaMu Mortgage Pass-Through Certificates, Series2007-OA3, Class 4A2 2.939%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47	391,706	341
Wells Fargo Alternative Loan Trust, Series2007-PA4, Class 2A1 4.870%, (CSTR), 7/25/37	51,625	48
Wells Fargo Mortgage Backed Securities Trust, Series2006-AR5, Class 2A1 5.188%, (CSTR), 4/25/36	61,057	58
Wells Fargo Mortgage Backed Securities Trust, Series2007-AR8, Class A1 4.425%, (CSTR), 11/25/37	48,395	44

Total		98,567


Total Structured Products
(Cost: $141,056)		144,719


Bank Loan Obligations (3.5%)

Bank Loan Obligations (3.5%)
Altice Financing SA, 4.530%, 01/31/26	1,196,947	1,189
Altice France SA, 4.530%, (US LIBOR plus 2.750%), 7/31/25	198,473	197
CenturyLink, Inc., 4.530%, (ICE LIBOR USD 3 Month plus 2.750%), 1/31/25 ß	6,849,277	6,871
Charter Communications Operating LLC, 3.530%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27	3,450,352	3,470
CommScope, Inc., 5.030%, (US LIBOR plus 3.250%), 4/6/26	498,750	501
Connect Finco SARL, 6.280%, (ICE LIBOR USD 1 Month plus 4.500%), 12/11/26	1,200,000	1,205

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

191

Multi-Sector Bond Portfolio


Bank Loan Obligations (3.5%)	Shares/ Par⁺		Value $ (000’s)

Bank Loan Obligations continued
Dell International LLC, 3.780%, (ICE LIBOR USD 1 Month plus 2.000%), 9/19/25		1,476,959		1,485
Enterprise Merger Sub, Inc., 5.530%, (US LIBOR plus 3.750%), 10/10/25		495,000		421
Grifols SA, 2.210%, 011/8/27 EUR¥		2,000,000		2,261
Hilton Worldwide Finance LLC, 3.530%, (US LIBOR plus 1.750%), 6/22/26		1,120,295		1,127
INEOS Finance PLC, 1.960%, (Euribor 3 Month plus 2.000%), 3/31/24 EUR¥		3,430,000		3,844
Jefferies Finance LLC, 5.530%, (ICE LIBOR USD 3 Month plus 3.750%), 6/3/26		99,500		99
MPH Acquisition Holdings LLC, 4.530%, (ICE LIBOR USD 3 Month plus 2.750%), 6/7/23		1,000,000		985
Pacific Gas & Electric Co., 4.030%, (US LIBOR plus 3.970%), 12/31/20		3,375,000		3,375
Pacific Gas & Electric Co., 4.030%, (US LIBOR plus 2.250%), 12/31/20		1,125,000		1,125
PCF GmbH, 4.960%, 08/1/24 EUR¥		2,800,000		3,090
Sigma Bidco BV, 3.460%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR¥		1,600,000		1,797
Sprint Communications, Inc., 4.280%, (ICE LIBOR USD 3 Month plus 2.500%), 2/2/24		1,994,872		1,977
Valeant Pharmaceuticals International, Inc., 4.780%, (US LIBOR plus 3.000%), 6/2/25		343,825		346
Ziggo Secured Finance Partnership, 4.280%, (US LIBOR plus 2.500%), 4/15/25		1,000,000		1,000


Total Bank Loan Obligations
(Cost: $36,836)				36,365


Short-Term Investments (21.5%)

Financial (0.0%)
GE Capital European Funding Unlimited Co. 0.000%, (Euribor 3 Month ACT/360 plus 0.380%), 1/21/20 EUR¥		100,000		113

Total				113


Governments (5.4%)
Argentine Republic Treasury Bill 0.000%, 2/26/20 ARS¥		210,000		2
Brazil Letras do Tesouro Nacional 0.000%, 4/1/20 BRL¥		12,700,000		3,125
Central Bank of Argentina 0.000%, 5/13/20 ARS¥		4,275,500		53
Hellenic Republic Treasury Bill 0.000%, 1/3/20 EUR¥		100,000		112
0.000%, 1/31/20 EUR¥		200,000		224
Japan Treasury Discount Bill 0.000%, 1/14/20 JPY¥,b		2,700,000,000		24,850
Spain Letras del Tesoro 0.000%, 1/17/20 EUR¥,b		22,900,000		25,693
US Treasury 0.000%, 1/2/20		332,000		332

Total				54,391


Short-Term Investments (21.5%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (0.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		4,300,412		4,300

Total				4,300


Repurchase Agreements (15.7%)
Barclays Capital, Inc. (Purchased on 12/31/19, to be repurchased at $13,300,580, collateralized by US Treasury Note, 2%, due 4/30/24, par and fair value of $13,350,000 and $13,529,912, respectively) 1.570%, 1/3/20		13,300,000		13,300
Deutsche Bank AG (Purchased on 12/31/19, to be repurchased at $36,701,611, collateralized by US Treasury Inflation Index, 0.125%, due 4/15/20, par and fair value of $34,100,000 and $36,951,879, respectively) 1.580%, 1/3/20		36,700,000		36,700
JP Morgan repurchase (Purchased on 12/30/19, to be repurchased at $50,005,139, collateralized by US Treasury Bond, 3%, due 11/15/44, par and fair value of $45,224,000 and $50,445,959, respectively) 1.650%, 1/2/20		50,000,000		50,000
JP Morgan repurchase (Purchased on 12/31/19, to be repurchased at $60,705,564, collateralized by US Treasury Bond, 3%, due 11/15/45, par and fair value of $54,746,000 and $61,272,750, respectively) 1.850%, 1/2/20		60,700,000		60,700

Total				160,700


Total Short-Term Investments
(Cost: $219,515)				219,504


Total Investments (111.6%)
(Cost: $1,110,155)^@				1,139,982

Other Assets, Less
Liabilities(-11.6%)				(118,158	)

Net Assets (100.0%)				1,021,824

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

192

Multi-Sector 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)
Euro-Bobl Future		Long		EUR		11,900		119		3/20	$	17,837	$	(52	)	$	–	p
Euro-Bund Future		Long		EUR		4,100		41		3/20		7,841		(120	)		–	p
Euro-Buxl Future		Long		EUR		2,000		20		3/20		4,450		(116	)		–	p
Five-Year US Treasury Note Future		Short		USD		300		3		3/20		356		1			–	p
Ten-Year US Treasury Note Future		Long		USD		47,500		475		3/20		61,000		(524	)		(52	)
Two-Year US Treasury Note Future		Long		USD		44,600		223		3/20		48,057		(5	)		10
Ultra Long Term US Treasury Bond Future		Long		USD		30,800		308		3/20		55,950		(1,640	)		(351	)

													$	(2,456	)	$	(393	)

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)
3-MonthUSD-LIBOR	2.500%		12/24		49,600		USD	$	(1,735	)	$	(95	)	$	(1,830	)	$	66
6-MonthGBP-LIBOR	0.750%		3/30		600		GBP		6			14			20			(4	)
6-MonthGBP-LIBOR	0.750%		3/50		600		GBP		14			60			74			(10	)

								$	(1,715	)	$	(21	)	$	(1,736	)	$	52

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)
3-Month Canada Bankers Acceptances	2.500%		6/29	8,600		CAD	$	109	$	91		$	200		$	(23	)
3-MonthUSD-LIBOR	2.995%		5/28	9,300		USD		-		831			831			(31	)
3-MonthUSD-LIBOR	3.000%		6/29	2,700		USD		151		114			265			(11	)
3-MonthUSD-LIBOR	2.750%		12/29	1,500		USD		103		15			118			(6	)
6-Month Euribor	(0.050)%		10/29	1,800		EUR		-		(48	)		(48	)		1
6-Month Euribor	0.150%		6/30	1,700		EUR		1		(22	)		(21	)		1

							$	364	$	981		$	1,345		$	(69	)

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		1.000%		6/24		1.638%		18,400		USD	$	(724	)	$	237	$	(487	)	$	5
Markit CDX North America High Yield Index		5.000%		6/24		2.543%		45,668		USD		2,469			2,043		4,512			(26	)
Markit CDX North America High Yield Index		5.000%		12/24		2.798%		1,287		USD		72			52		124			(1	)
Markit CDX North America Investment Grade Index		1.000%		6/24		0.393%		13,200		USD		223			121		344			(1	)
Markit CDX North America Investment Grade Index		1.000%		12/24		0.452%		36,200		USD		708			231		939			(5	)
Markit CDX North America Investment Grade Index		1.000%		12/24		1.737%		44,700		USD		(2,086	)		584		(1,502	)		15

											$	662		$	3,268	$	3,930		$	(13	)

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

193

Multi-Sector Bond Portfolio

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	0.600%		300	USD	$	(1	)	$	6		$	5		$	-	p
Atlantia SpA	1.000%	12/20	2.245%		1,300	EUR		(35	)		17			(18	)		-	p
Casino Guichard Perrachon SA	1.000%	12/20	3.089%		2,600	EUR		(85	)		27			(58	)		2
Casino Guichard Perrachon SA	1.000%	12/21	4.421%		1,000	EUR		(48	)		(22	)		(70	)		-	p
Casino Guichard Perrachon SA	5.000%	12/22	5.313%		1,100	EUR		(10	)		(1	)		(11	)		1
Casino Guichard Perrachon SA	1.000%	6/23	5.937%		500	EUR		(55	)		(26	)		(81	)		-	p
Casino Guichard Perrachon SA	1.000%	12/23	6.384%		600	EUR		(84	)		(31	)		(115	)		-	p
Ford Motor Co.	5.000%	6/23	0.972%		2,900	USD		344			48			392			-	p
Ford Motor Co.	5.000%	12/23	1.138%		200	USD		29			-			29			-	p
Ford Motor Co.	5.000%	12/23	1.138%		700	USD		81			22			103			-	p
Ford Motor Credit Co.	5.000%	12/23	1.178%		400	USD		41			17			58			(1	)
General Electric Co.	1.000%	12/23	0.652%		2,800	USD		(110	)		147			37			-	p
General Electric Co.	1.000%	6/24	0.766%		900	USD		(8	)		17			9			-	p
General Electric Co.	1.000%	12/24	0.857%		600	USD		(9	)		13			4			-	p
Marks & Spencer PLC	1.000%	12/23	1.262%		200	EUR		(5	)		3			(2	)		-	p
Marks & Spencer PLC	1.000%	12/24	1.665%		2,900	EUR		(141	)		36			(105	)		(1	)
Telefonica Emisiones SAU	1.000%	6/24	0.510%		1,000	EUR		14			11			25			-	p
Telefonica Emisiones SAU	1.000%	12/24	0.574%		3,200	EUR		70			6			76			-	p
Volkswagen International Finance	1.000%	6/24	0.662%		700	EUR		4			8			12			-	p

							$	(8	)	$	298		$	290		$	1

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


Reference Entity	Pay 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)
Koninklijke KPN NV		1.000	%		12/23		0.480	%		(800	)		EUR		5		(24	)		(19	)		-	p

														$	5	$	(24	)	$	(19	)	$	-	p

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	63	$130.500	1/20		63	$	(3	)
Put —Ten-Year US Treasury Note Future	USD	63	127.500	1/20		63		(12	)

(Premiums Received $35)							$	(15	)


	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	$	91	$	10	$	101	$	(120	)	$	(403	)	$	(523	)	$	(15	)

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

194

Multi-Sector Bond Portfolio

Over the Counter Derivatives

Forward Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)	Settlement Month	Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Bank of America NA	AUD	2,568	1,802	1/20	$	–		$	(59	)	$	(59	)
Buy	BNP Paribas	BRL	12,500	3,107	1/20		30			–			30
Buy	Goldman Sachs International	BRL	12,500	3,107	1/20		6			–			6
Buy	Bank of America NA	BRL	12,500	3,107	1/20		6			–			6
Buy	BNP Paribas	BRL	24,800	6,165	1/20		190			–			190
Buy	Goldman Sachs International	BRL	12,300	3,058	1/20		6			–			6
Buy	Bank of America NA	BRL	12,500	3,104	2/20		34			–			34
Sell	BNP Paribas	BRL	12,500	3,107	1/20		–			(6	)		(6	)
Sell	Goldman Sachs International	BRL	12,500	3,107	1/20		42			–			42
Sell	Bank of America NA	BRL	12,500	3,107	1/20		–			(33	)		(33	)
Sell	BNP Paribas	BRL	49,600	12,330	1/20		–			(24	)		(24	)
Sell	Goldman Sachs International	BRL	12,300	3,058	1/20		–			(75	)		(75	)
Sell	BNP Paribas	BRL	12,500	3,105	2/20		–			(31	)		(31	)
Sell	Goldman Sachs International	BRL	12,700	3,145	4/20		30			–			30
Buy	JP Morgan Chase Bank NA	CNH	119	17	3/20		–	p		–			–	p
Buy	Bank of America NA	EUR	692	777	1/20		2			–			2
Buy	UBS AG	EUR	594	667	1/20		4			–			4
Sell	UBS AG	EUR	113,110	126,931	1/20		–			(1,998	)		(1,998	)
Sell	Royal Bank of Scotland PLC	EUR	22,933	25,746	1/20		–			(426	)		(426	)
Buy	JP Morgan Chase Bank NA	GBP	1,414	1,873	1/20		46			–			46
Sell	Barclays Bank PLC	GBP	451	598	1/20		6			–			6
Sell	BNP Paribas	GBP	42,685	56,552	1/20		–			(1,277	)		(1,277	)
Sell	JP Morgan Chase Bank NA	GBP	94	125	1/20		–			(1	)		(1	)
Sell	Goldman Sachs International	JPY	2,700,000	24,860	1/20		607			–			607
Buy	BNP Paribas	MXN	1,225	65	1/20		3			–			3
Buy	BNP Paribas	PLN	19,691	5,191	2/20		190			–			190

						$	1,202		$	(3,930	)	$	(2,728	)

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)
Federative Republic of Brazil	Goldman Sachs International	1.000%	6/24	0.883%	USD		100	$(3)	$	4	$	1
Federative Republic of Brazil	Goldman Sachs International	1.000%	12/24	0.991%	USD		1,400	(21)		22		1
Federative Republic of Brazil	HSBC Bank USA NA	1.000%	6/24	0.883%	USD		500	(12)		15		3
Intrum AB	Barclays Bank PLC	5.000%	12/24	2.583%	EUR		100	9		4		13
Intrum AB	Goldman Sachs International	5.000%	12/24	5.166%	EUR		400	36		16		52
Intrum AB	Goldman Sachs International	5.000%	12/24	2.583%	EUR		500	43		21		64
Intrum AB	Goldman Sachs International	5.000%	12/24	5.166%	EUR		600	66		12		78
Intrum AB	Goldman Sachs International	5.000%	12/24	5.166%	EUR		800	90		13		103
Intrum AB	Goldman Sachs International	5.000%	12/24	5.166%	EUR		1,200	126		28		154
Intrum AB	JP Morgan Chase Bank NA	5.000%	12/24	2.583%	EUR		800	70		33		103
Intrum AB	Morgan Stanley Capital Services	5.000%	12/24	5.166%	EUR		200	18		8		26

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

195

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	Morgan Stanley Capital Services	5.000%	12/24		2.583%		EUR		200	$	22		$	4	$	26
Park Aerospace Holdings, Ltd.Æ	UBS AG	5.000%	7/20		0.021%		USD		200		2			2		4
Republic of Indonesia	HSBC Bank USA NA	1.000%	12/24		0.629%		USD		7,400		(41	)		171		130
Republic of Peru	Barclays Bank PLC	1.000%	3/23		0.211%		USD		1,100		(10	)		37		27
United Mexican States	BNP Paribas	1.000%	6/24		0.685%		USD		100		(1	)		2		1
United Mexican States	Goldman Sachs International	1.000%	6/23		0.494%		USD		1,400		(8	)		32		24
United Mexican States	Goldman Sachs International	1.000%	12/24		0.784%		USD		200		(2	)		4		2
United Mexican States	HSBC Bank USA NA	1.000%	12/23		0.559%		USD		800		(10	)		24		14
United Mexican States	HSBC Bank USA NA	1.000%	6/24		0.685%		USD		400		(5	)		10		5
United Mexican States	JP Morgan Chase Bank NA	1.000%	12/22		0.408%		USD		500		(10	)		19		9
United Mexican States	JP Morgan Chase Bank NA	1.000%	12/23		0.559%		USD		200		(1	)		4		3
United Mexican States	Morgan Stanley Capital Services	1.000%	12/24		0.784%		USD		1,200		(7	)		19		12

										$	351		$	504	$	855

Total Return Swaps

Reference Entity

Counterparty

Payment made

by the Fund

Payment

Received

by the Fund

Expiration

Date

Notional

Amount
(000’s)

Unrealized

Appreciation/

(Depreciation)

(000’s)

Market

Value

(000’s)

iBoxx USD Liquid High Yield Index

Barclays Bank PLC

3-MonthUSD-LIBOR

iBoxx USD Liquid High Yield Index

3/20

121

iBoxx USD Liquid High Yield Index

JP Morgan Chase Bank NA

3-MonthUSD-LIBOR

iBoxx USD Liquid High Yield Index

3/20

100

iBoxx USD Liquid High Yield Index

Morgan Stanley Capital Services

3-MonthUSD-LIBOR

iBoxx USD Liquid High Yield Index

3/20

267

Written Options


Description	Counterparty	Currency	Notional Par (000’s)	Exercise Price		Expiration Date	Number of Contracts		Value (000’s)
Call — CME Interest Rate Swaption	Goldman Sachs International	USD	7,500	$	1.400	1/20		7,500,000	$	(1	)
Call — CME Interest Rate Swaption	Goldman Sachs International	USD	7,500		1.470	1/20		7,500,000		(1	)
Call — CME Interest Rate Swaption	Goldman Sachs International	USD	7,600		1.614	1/20		7,600,000		(8	)
Put — CME Interest Rate Swaption	Goldman Sachs International	USD	7,500		1.770	1/20		7,500,000		(41	)
Put — CME Interest Rate Swaption	Goldman Sachs International	USD	7,500		1.820	1/20		7,500,000		(24	)

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

196

Multi-Sector Bond Portfolio


Description	Counterparty	Currency	Notional Par (000’s)	Exercise Price	Expiration Date	Number of Contracts	Value (000’s)
Put — CME Interest Rate Swaption	Goldman Sachs International	USD	7,600	$1.894	1/20	7,600,000	$	(18	)

(Premiums Received $117)							$	(93	)


	Financial Derivative Assets (000’s)			Financial Derivative Liabilities (000’s)
	Forward Contracts	Swaps	Total	Forward Contracts			Options			Swaps		Total
Total Over the Counter	$1,202	$1,122	$2,324	$	(3,930	)	$	(93	)		–	$	(4,023)
Derivatives

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

144A

¥	Foreign Bond — par value is foreign denominated

b	Cash or securities with an aggregate value of $283,985 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 12/31/2019.

§	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, 2019, the aggregate value of these securities was $124,265 (in thousands), representing 12.2% of net assets.

Æ	Security valued using significant unobservable inputs.

p	Amount is less than one thousand.

Þ	PIK—Payment In Kind. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%

f	Defaulted Security

*	Non income producing

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,106,505 and the net unrealized appreciation of investments based on that cost was $33,115 which is comprised of $57,183 aggregate gross unrealized appreciation and $24,068 aggregate gross unrealized depreciation.

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

197

Multi-Sector Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. See Note 3 for additional information on portfolio valuation.


	Valuation Inputs
Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs
		(Amounts in thousands)
Assets:
Bank Loan Obligations	$	-		$	36,365		$	-
Municipal Bonds		-			10,940			-
Corporate Bonds
Energy		-			94,071			88
All Others		-			427,757			-
Governments		-			206,538			-
Structured Products		-			144,719			-
Short-Term Investments
Money Market Funds		4,300			-			-
All Others		-			215,204			-
Other Financial Instruments^
Futures		1			-			-
Forward Currency Contracts		-			1,202			-
Total Return Swaps		-			267			-
Interest Rate Swaps		-			1,508			-
Credit Default Swaps		-			7,520			4
Total Assets:	$	4,301		$	1,146,091		$	92
Liabilities:
Other Financial Instruments^
Futures		(2,457	)		-			-
Forward Currency Contracts		-			(3,930	)		-
Written Options		(15	)		(93	)		-
Interest Rate Swaps		-			(1,899	)		-
Credit Default Swaps		-			(2,468	)		-
Total Liabilities:	$	(2,472	)	$	(8,390	)	$	-

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

198

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 the stock, bond and money market sectors, attempting to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions.	$2.3 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 stock, bond and money market sectors. The Portfolio operates primarily as a “fund of funds” to gain the Portfolio’s equity and fixed income exposure by investing in one or more of the equity and international portfolios, and one or more of the fixed income portfolios of Northwestern Mutual Series Fund, Inc. (each an “Underlying Portfolio”). The adviser allocates the Portfolio’s assets among the Underlying Portfolios based on the adviser’s economic and market outlook and the investment objectives and strategies of the Underlying Portfolios. Under normal market conditions, the Portfolio will typically hold between35-55% of assets in equity investments,40-60% of assets in fixed income investments, and0-20% of assets in cash equivalent investments.

MARKET OVERVIEW

In this environment, large cap stocks, as represented by the S&P 500^® Index, posted a return of 31.49%, outperforming the S&P SmallCap 600^® and the S&P MidCap 400^® Indices, which returned 22.78% and 26.20%, respectively. Meanwhile, the broader bond market, as represented by the Bloomberg Barclays^® U.S. Aggregate Index, returned 8.72%, while the Bloomberg Barclays^® U.S. Corporate High Yield Index advanced 14.32%.

PORTFOLIO RESULTS

The Portfolio returned 17.92% for the twelve months ended December 31, 2019, trailing the 31.49% return of the broad stock market, as measured by the S&P 500^® Index, but outperforming the Bloomberg Barclays^® U.S. Aggregate Index return of 8.72%. The Portfolio slightly underperformed the Balanced Portfolio Blended Composite Benchmark return of 18.51%. (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.) When compared to peers in 2019, the Portfolio outperformed its Morningstar^® Inc. Allocation – 30% to 50% Equity peer group average return of 15.28% and its Lipper^® Analytical Services, Inc. Mixed-Asset Target Allocation Moderate Funds peer group average return of 17.64%. Morningstar^® Inc. and Lipper^® Analytical Services, Inc. are independent mutual fund ranking agencies.

Security selection of the Underlying Portfolios detracted from the Portfolio’s performance relative to the blended benchmark, largely due to performance in the domestic large cap equity allocation, particularly the Growth Stock Portfolio, which gave back the prior year’s strong performance. However, several of the Underlying Portfolios outperformed their respective benchmarks, including most of the international equity Underlying Portfolios.

The Portfolio’s tactical asset allocation posture was beneficial with an overweight allocation to equities and underweight to fixed income investments, as stocks generally outperformed bonds during the reporting period. Within the bond allocation, an overweight to high yield bonds was beneficial during the first half of the year. However, the positive contribution of tactical asset allocation decisions was not enough to outweigh the negative effect of underperformance by many of the Underlying Portfolios.

The Portfolio began the year with an overweight allocation to U.S. equities and an underweight allocation to fixed income. Following the sharp market appreciation at the beginning of 2019 and an uncertain corporate earnings environment, the Portfolio began trimming its equity exposure at the end of the first quarter and into the second quarter, reaching an underweight position by the middle of the year. The Portfolio took the opportunity to raise its equity allocation during the third quarter, positioning the Portfolio with an overweight to equities, particularly in emerging markets, during the fourth quarter rally.

199

Balanced Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

As the new decade begins, we anticipate modest nominal economic expansion of 4% in the U.S., which could lead to earnings growth momentum sufficient to sustain continued equity market advances in 2020. We think this level of growth will help support corporate revenues and may lead to earnings improvement of5-10% in the coming year. While both equity and bond valuation levels are high by historical standards, they remain a function of the low interest rate and inflation environments. Therefore, our portfolio positioning reflects our positive outlook with an overweight to equities, particularly in the emerging markets. We believe that the outcome of the upcoming U.S. presidential election and uncertainty surrounding a resolution of trade tensions between the U.S. and China will remain key market risks. We will continue to position the Portfolio to take advantage of opportunities created by market volatility and dislocations as the year progresses.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year		5 Years		10 Years
Balanced Portfolio		17.92%		6.30%		7.25%
S&P 500^® Index		31.49%		11.69%		13.55%
Bloomberg Barclays^® U.S. Aggregate Bond Index		8.72%		3.05%		3.75%
Balanced Portfolio Blended Composite Benchmark		18.51%		6.60%		7.90%
Morningstar^® US Insurance Fund Allocation - 30% to 50% Equity Average		15.28%		4.96%		6.39%
Lipper^® Variable Insurance Products (VIP) Mixed Asset Target Allocation Moderate Funds Average		17.64%		5.78%		7.48%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations. Small cap stocks also may carry additional risk. Smaller issuers are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Bonds and other debt obligations are affected by changes in interest rates and the creditworthiness of their issuers. High yield bonds generally have higher default risks than investment grade bonds.

The Portfolio may obtain its exposure to domestic and foreign equity securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio’s net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio’s expenses.

The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio

200

Balanced Portfolio (unaudited)

duration, to provide increased flexibility in asset allocation, to earn income and to otherwise seek to enhance returns or to hedge foreign currency exposure. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those investments.

Top 10 Equity Holdings 12/31/19


Security Description	% of Net Assets
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio		39.3	%
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio		6.6	%
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio		6.1	%
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio		5.7	%
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio		4.6	%
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio		4.4	%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio		3.3	%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio		3.3	%
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio		3.3	%
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio		3.3	%

Sector Allocation 12/31/19


Sector	% of Net Assets
Fixed Income		45.6	%
Domestic Equity		38.9	%
Foreign Equity		12.0	%
Short-Term Investments & Other Net Assets		3.5	%

Sector Allocation and Top 10 Holdings are subject to change.

201

Balanced Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Investment Companies (96.5%)	Shares/ Par⁺		Value $ (000’s)

Domestic Equity (38.9%)
iShares Core S&P 500 ETF		5,000		1,616
iShares Core S&PMid-Cap ETF		21,800		4,496
iShares Russell 2000 ETF		135,800		22,498
iShares RussellMid-Cap ETF		12,400		739
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		42,939,721		75,145
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		41,993,089		74,664
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		23,565,727		74,798
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		46,703,367		148,423
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		60,891,470		74,166
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		46,130,295		74,685
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		72,075,949		74,455
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		28,854,014		98,796
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		62,017,196		102,576
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		9,246,089		25,186
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		11,409,073		24,746

Total				876,989


Fixed Income (45.6%)
iShares Core U.S. Aggregate Bond ETF		29,000		3,259
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		185,332,098		138,443
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		684,075,643		886,562

Total				1,028,264


Foreign Equity (12.0%)
iShares Core MSCI EAFE ETF		50,000		3,266
iShares Core MSCI Emerging Markets ETF		209,000		11,236
iShares MSCI EAFE ETF		60,379		4,193
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		20,764,216		23,277
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		27,863,328		45,974
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		29,020,120		53,687


Investment Companies (96.5%)	Shares/ Par⁺		Value $ (000’s)

Foreign Equity continued
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		118,277,752		127,977

Total				269,610


Total Investment Companies
(Cost: $2,011,535)				2,174,863


Short-Term Investments (3.5%)

Commercial Paper (2.9%)
The Coca-Cola Co. 0.000%, 1/28/20 144A		500,000		499
Exxon Mobil Corp. 0.000%, 1/17/20		415,000		415
General Mills, Inc. 0.000%, 1/14/20 144A		5,500,000		5,496
Mondelez International, Inc. 0.000%, 1/2/20 144A		1,000,000		1,000
0.000%, 1/6/20 144A		6,500,000		6,498
0.000%, 1/8/20 144A		3,000,000		2,999
Pfizer, Inc. 0.000%, 1/23/20 144A		10,000,000		9,990
QUALCOMM, Inc. 0.000%, 2/4/20 144A		6,800,000		6,789
0.000%, 2/13/20 144A		3,200,000		3,193
The Southern Co. 0.000%, 1/7/20 144A		5,000,000		4,998
0.000%, 1/27/20 144A		2,500,000		2,496
Walgreens Boots Alliance, Inc. 0.000%, 3/3/20 144A		10,000,000		9,963
The Walt Disney Co. 0.000%, 1/23/20 144A		10,000,000		9,989

Total				64,325


Money Market Funds (0.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		12,344,623		12,345

Total				12,345


US Government & Agencies (0.1%)
Federal Home Loan Bank 0.000%, 2/10/20		3,000,000		2,995

Total				2,995


Total Short-Term Investments
(Cost: $79,662)				79,665


Total Investments (100.0%)
(Cost: $2,091,197)@				2,254,528


Other Assets, Less
Liabilities (0.0%)				(293	)

Net Assets (100.0%)				2,254,235

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

202

Balanced Portfolio

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

€	Affiliated Company

144A

#	7-Day yield as of 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,091,693 and the net unrealized appreciation of investments based on that cost was $162,835 which is comprised of $168,238 aggregate gross unrealized appreciation and $5,403 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. See Note 3 for additional information on portfolio valuation.


Description	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Investment Companies	$	2,174,863	$	-	$	-
Short-Term Investments
Money Market Funds		12,345		-		-
All Others		-		67,320		-
Total Assets:	$	2,187,208	$	67,320	$	-

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

203

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 the stock, bond and money market sectors, attempting to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions.	$288 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 stock, bond and money market sectors. The Portfolio operates primarily as a “fund of funds” to gain the Portfolio’s equity and fixed income exposure by investing in one or more of the equity and international portfolios, and one or more of the fixed income portfolios of Northwestern Mutual Series Fund, Inc. (each an “Underlying Portfolio”). The adviser allocates the Portfolio’s assets among the Underlying Portfolios based on the adviser’s economic and market outlook and the investment objectives and strategies of the Underlying Portfolios. Under normal market conditions, the Portfolio will typically hold between55-75% of assets in equity investments,25-45% of assets in fixed income investments, and0-15% of assets in cash equivalent investments.

MARKET OVERVIEW

PORTFOLIO RESULTS

The Portfolio returned 21.08% for the twelve months ended December 31, 2019, trailing the 31.49% return of the broad stock market, as measured by the S&P 500^® Index, but outperforming the Bloomberg Barclays^® U.S. Aggregate Index return of 8.72%. The Portfolio slightly underperformed the Asset Allocation Portfolio Blended Composite Benchmark return of 21.73%. (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.) When compared to peers in 2019, the Portfolio outperformed its Morningstar^® Inc. Allocation – 50% to 70% Equity peer group average return of 19.26% and its Lipper^® Analytical Services, Inc. Mixed-Asset Target Allocation Growth Funds peer group average return of 20.06%. Morningstar^® Inc. and Lipper^® Analytical Services, Inc. are independent mutual fund ranking agencies.

204

Asset Allocation Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2019
	1 Year			5 Years			10 Years
Asset Allocation Portfolio		21.08	%		7.27	%		8.12	%
S&P 500^® Index		31.49	%		11.69	%		13.55	%
Bloomberg Barclays^® U.S. Aggregate Bond Index		8.72	%		3.05	%		3.75	%
Asset Allocation Portfolio Blended Composite Benchmark		21.73	%		7.65	%		9.13	%
Morningstar^® US Insurance Fund Allocation - 50% to 70% Equity Average		19.26	%		6.42	%		8.18	%
Lipper^® Variable Insurance Products (VIP) Mixed Asset Target Allocation Growth Funds Average		20.06	%		6.50	%		8.48	%

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 visitwww.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/09. 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 obtains its exposure to equity and fixed income securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio’s net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio’s expenses.

The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio

205

Asset Allocation Portfolio (unaudited)

Top 10 Equity Holdings12/31/19


Security Description		% of Net Assets
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio		21.9%
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio		8.0%
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio		7.9%
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio		7.8%
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio		5.2%
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio		5.1%
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio		4.5%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio		4.5%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio		4.1%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio		4.0%

Sector Allocation12/31/19


Sector		% of Net Assets
Domestic Equity		49.5%
Fixed Income		30.5%
Foreign Equity		16.9%
Short-Term Investments & Other Net Assets		3.1%

Sector Allocation and Top 10 Holdings are subject to change.

206

Asset Allocation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2019


Investment Companies (96.9%)	Shares/ Par⁺		Value $ (000’s)

Domestic Equity (49.5%)
iShares Core S&PMid-Cap ETF		6,550		1,348
iShares Russell 2000 ETF		11,500		1,905
iShares RussellMid-Cap ETF		14,000		835
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		6,673,819		11,679
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		6,528,463		11,608
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		3,662,888		11,626
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		7,262,161		23,079
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		10,656,598		12,980
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		8,066,291		13,059
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		11,210,622		11,581
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		4,305,449		14,742
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		9,081,083		15,020
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		2,384,289		6,495
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		2,982,156		6,468

Total				142,425


Fixed Income (30.5%)
iShares Core U.S. Aggregate Bond ETF		16,600		1,865
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		30,573,214		22,838
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		48,553,739		62,926

Total				87,629


Foreign Equity (16.9%)
iShares Core MSCI EAFE ETF		10,600		692
iShares Core MSCI Emerging Markets ETF		26,300		1,414
iShares MSCI EAFE ETF		10,397		722
iShares MSCI Emerging Markets ETF		13,600		610
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		3,410,934		3,824
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		5,215,382		8,605
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		5,711,992		10,567
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		20,632,725		22,325

Total				48,759

Total Investment Companies
(Cost: $253,866)				278,813


Short-Term Investments (3.3%)	Shares/ Par⁺		Value $ (000’s)

Commercial Paper (1.9%)
The Coca-Cola Co. 0.000%, 1/28/20 144A		1,000,000		999
Marriott International, Inc. 0.000%, 1/15/20 144A		1,000,000		999
Mondelez International, Inc. 0.000%, 1/6/20 144A		1,000,000		1,000
Pfizer, Inc. 0.000%, 1/23/20 144A		1,000,000		999
Walgreens Boots Alliance, Inc. 0.000%, 1/16/20 144A		500,000		499
The Walt Disney Co. 0.000%, 1/23/20 144A		1,000,000		999

Total				5,495


Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.540%^#		2,914,282		2,914

Total				2,914


US Government & Agencies (0.4%)
Federal Home Loan Bank 0.000%, 2/10/20ß		1,000,000		999

Total				999

Total Short-Term Investments
(Cost: $9,408)				9,408

Total Investments (100.2%)
(Cost: $263,274)^@				288,221

Other Assets, Less
Liabilities(-0.2%)				(483	)

Net Assets (100.0%)				287,738

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

207

Asset Allocation 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 500 Futures

Long

USD

–p

3/20

$808

$–p

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Market Value
(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$ –

$ –p

$ –

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

£	Affiliated Company

144A

#	7-Day yield as of 12/31/2019.

b	Cash or securities with an aggregate value of $999 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 12/31/2019.

At December 31, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $263,328 and the net unrealized appreciation of investments based on that cost was $24,893 which is comprised of $25,815 aggregate gross unrealized appreciation and $922 aggregate gross unrealized depreciation.

p	Amount is less than one thousand.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at December 31, 2019. 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

278,813

–

Short-Term Investments

Money Market Funds

2,914

–

All Others

–

6,494

–

Other Financial Instruments^

Futures

–

Total Assets:

281,728

6,494

–

^{^} Other financial instruments are derivative instruments such as futures and forwards, 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.

208

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 Barclays^® Global Aggregate — Credit Component ex Emerging Markets, Hedged USD; BofA Merrill Lynch^® Global High YieldBB-B Rated Constrained Developed Markets Index, Hedged USD; JPMorgan^® EMBI Global — The Bloomberg Barclays 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 BofA Merrill Lynch Global High YieldBB-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 apro-rata basis. Similarly, the face value of bonds of all other issuers that fall below the 2% cap are increased on apro-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 Barclays^® U.S. Aggregate Bond Index (24%), the Bloomberg Barclays^® U.S. Corporate High Yield 2% Issuer Capped Bond Index (8%), and the BofA Merrill Lynch^® US3-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 Barclays^® U.S. Aggregate Bond Index (41%), the Bloomberg Barclays^® U.S. Corporate High Yield 2% Issuer Capped Bond Index (6%), and the BofA Merrill Lynch^® US3-Month Treasury Bill Index (4%).

Bloomberg Barclays^®1-3 Year U.S. Government/Credit Bond Index — The Bloomberg Barclays^®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 Barclays^® U.S. Aggregate Bond Index — The Bloomberg Barclays^® 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 Barclays^® U.S. Aggregate1-3 Years Index — The Bloomberg Barclays^® U.S. Aggregate1-3 Years 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 one to three years.

Bloomberg Barclays^® U.S. Corporate High Yield 2% Issuer Capped Bond Index — The Bloomberg Barclays^® 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.

209

Benchmark Definitions (unaudited)

Bloomberg Barclays^® Global Credit Hedged USD Index — The Bloomberg Barclays^® 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 Barclays^® Long-Term U.S. Treasury Index — The Bloomberg Barclays^® Long-Term U.S. Treasury Index is an unmanaged index comprised of fixed-income securities with various maturities greater than 10 years.

Bloomberg Barclays^® U.S. Treasury Inflation Protected Securities (TIPS) Index — The Bloomberg Barclays^® 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.

BofA Merrill Lynch^® US3-Month Treasury Bill Index — The BofA Merrill Lynch^® US3-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 eachmonth-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 themonth-end rebalancing date.

Lipper^® Variable Insurance Products (VIP) Average — Each Lipper^® Variable Insurance Products (VIP) Average is calculated by Lipper^® Analytical Services, Inc. and reflects the investment return of certain portfolios underlying variable life and annuity products. Source: Lipper^®, Inc.

Morningstar^® Insurance Fund Category Averages — Each Morningstar^® category average is an equal-weighted category return. The calculation is simply the average of the returns at the end of the period for all the underlying variable insurance funds in a given category. Source: Morningstar^®, Inc.

Morningstar^® US Insurance Fund Allocation — 30% to 50% Equity Average — Funds in allocation categories seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash. These portfolios are dominated by domestic holdings and have equity exposures between 30% and 50%. Source: Morningstar^®, Inc.

Morningstar^® US Insurance Fund Allocation — 50% to 70% Equity Average — Funds in allocation categories seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash. These portfolios are dominated by domestic holdings and have equity exposures between 50% and 70%. Source: Morningstar^®, Inc.

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 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.

210

Benchmark Definitions (unaudited)

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 higherprice-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 lowerprice-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 higherprice-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 lowerprice-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.

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 higherprice-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 lowerprice-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 themid-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.

211

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2019 (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)	$	1,082,687	$	1,012,854	$	634,142	$	175,685	$	3,864,180
Cash		–		–		19		–		18
Cash Collateral for Derivative Positions		–		–		–		–		3
Receivable for Portfolio Shares Sold		61		74		49		7		1,150
Receivable for Investment Securities Sold		1,172		5,271		814		–		–
Variation Margin Receivable		–		–		–		–		109
Prepaid Expenses and Other Assets		14		13		8		2		55
Dividends and Interest Receivable		241		964		520		440		3,885

Total Assets		1,084,175		1,019,176		635,552		176,134		3,869,400

Liabilities
Payable for Portfolio Shares Redeemed		207		110		201		73		1,327
Payable for Investment Securities Purchased		234		5,870		1,883		974		–
Investment Advisory Fees		377		534		229		114		636
Accrued Expenses		33		38		31		20		157

Total Liabilities		851		6,552		2,344		1,181		2,120

Net Assets	$	1,083,324	$	1,012,624	$	633,208	$	174,953	$	3,867,280

Represented By:
Aggregate Paid in Capital (10) (11)	$	702,762	$	571,308	$	494,016	$	119,753	$	1,505,424
Total Distributable Earnings (Loss)		380,562		441,316		139,192		55,200		2,361,856

Net Assets for Shares Outstanding (10) (11)	$	1,083,324	$	1,012,624	$	633,208	$	174,953	$	3,867,280

Net Asset Value, Offering and Redemption Price per Share	$	3.18	$	3.17	$	1.62	$	1.22	$	5.79

(1) Unaffiliated Investments, at Cost	$	897,904	$	620,984	$	518,570	$	130,452	$	1,639,830
(10) Shares Outstanding		340,931		319,050		391,207		143,658		668,387
(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.

212

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2019 (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)	$	205,309	$	919,526	$	812,846	$	1,147,157	$	990,799
Cash		–		–		–		6,160		3,406
Foreign Currency, at Value (4)		–		–		140		–		–
Receivable for Portfolio Shares Sold		22		206		130		228		229
Receivable for Investment Securities Sold		121		–		–		–		–
Variation Margin Receivable		–		–		–		–		19
Receivable for Foreign Currency		16		–		–		–		–
Prepaid Expenses and Other Assets		3		11		10		15		29
Dividends and Interest Receivable		311		1,629		1,684		1,016		1,098

Total Assets		205,782		921,372		814,810		1,154,576		995,580

Liabilities
Payable for Portfolio Shares Redeemed		10		159		107		255		180
Payable for Investment Securities Purchased		–		–		–		–		1,849
Payable for Foreign Currency		56		–		–		–		–
Collateral from Counterparty		15		–		–		–		–
Investment Advisory Fees		120		402		410		519		194
Accrued Expenses		31		35		41		45		67

Total Liabilities		232		596		558		819		2,290

Net Assets	$	205,550	$	920,776	$	814,252	$	1,153,757	$	993,290

Represented By:
Aggregate Paid in Capital (10) (11)	$	172,782	$	605,211	$	606,040	$	921,009	$	699,443
Total Distributable Earnings (Loss)		32,768		315,565		208,212		232,748		293,847

Net Assets for Shares Outstanding (10) (11)	$	205,550	$	920,776	$	814,252	$	1,153,757	$	993,290

Net Asset Value, Offering and Redemption Price per Share	$	1.03	$	1.75	$	1.78	$	3.42	$	2.02

(1) Unaffiliated Investments, at Cost	$	180,458	$	661,894	$	667,392	$	964,903	$	752,834
(4) Foreign Currency, at Cost		–		–		139		–		–
(10) Shares Outstanding		198,908		526,249		457,879		336,918		492,099
(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.

213

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2019 (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)	$	589,344	$	669,671	$	288,760	$	603,856	$	815,277
Cash		–		2,212		–		–		–
Cash Collateral for Derivative Positions		580		–		–		–		–
Receivable for Portfolio Shares Sold		114		213		98		65		192
Receivable for Investment Securities Sold		1,923		–		1,279		1,427		393
Outstanding Swap Contracts, at Value (8)		–		–		496		–		–
Receivable for Foreign Currency		115		–		–		–		2
Prepaid Expenses and Other Assets		7		9		8		9		11
Dividends and Interest Receivable		1,466		387		349		815		1,406

Total Assets		593,549		672,492		290,990		606,172		817,281

Liabilities
Payable for Portfolio Shares Redeemed		101		123		129		102		162
Payable for Investment Securities Purchased		891		150		116		45		253
Accrued Foreign Capital Gains Tax		–		–		–		–		249
Payable to Custodian		305		–		–		–		–
Payable for Foreign Currency		324		–		–		–		1
Collateral from Counterparty		–		–		537		–		–
Investment Advisory Fees		360		310		59		442		419
Accrued Expenses		54		39		38		49		84

Total Liabilities		2,035		622		879		638		1,168

Net Assets	$	591,514	$	671,870	$	290,111	$	605,534	$	816,113

Represented By:
Aggregate Paid in Capital (10) (11)	$	512,457	$	487,491	$	235,112	$	411,019	$	574,052
Total Distributable Earnings (Loss)		79,057		184,379		54,999		194,515		242,061

Net Assets for Shares Outstanding (10) (11)	$	591,514	$	671,870	$	290,111	$	605,534	$	816,113

Net Asset Value, Offering and Redemption Price per Share	$	1.65	$	2.72	$	1.43	$	2.17	$	1.85

(1) Unaffiliated Investments, at Cost	$	512,616	$	524,571	$	249,162	$	443,611	$	587,843
(10) Shares Outstanding		357,613		246,604		202,507		279,212		441,036
(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.

214

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2019 (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)	$	783,488	$	1,798,318	$	834,047	$	303,426	$	338,359
Investments in Repurchase Agreements, at Value (3)		–		–		–		144,000		–
Cash		–		–		–		–		14
Foreign Currency, at Value (4)		–		–		214		–		–
Receivable for Portfolio Shares Sold		317		329		277		221		134
Receivable for Investment Securities Sold		279		3,447		231		–		–
Variation Margin Receivable		–		–		–		–		22
Receivable for Foreign Currency		1		36		–		–		–
Prepaid Expenses and Other Assets		10		26		10		3		4
Dividends and Interest Receivable		2,141		5,116		2,071		247		1,921

Total Assets		786,236		1,807,272		836,850		447,897		340,454

Liabilities
Payable for Portfolio Shares Redeemed		225		366		195		1,228		60
Payable for Investment Securities Purchased		423		12,941		–		–		5,674
Accrued Foreign Capital Gains Tax		148		–		1,890		–		–
Payable for Foreign Currency		–		8		–		–		–
Investment Advisory Fees		483		790		655		117		96
Accrued Expenses		72		133		100		35		50

Total Liabilities		1,351		14,238		2,840		1,380		5,880

Net Assets	$	784,885	$	1,793,034	$	834,010	$	446,517	$	334,574

Represented By:
Aggregate Paid in Capital (10) (11)	$	629,868	$	1,696,707	$	711,864	$	446,517	$	326,327
Total Distributable Earnings (Loss)		155,017		96,327		122,146		–		8,247

Net Assets for Shares Outstanding (10) (11)	$	784,885	$	1,793,034	$	834,010	$	446,517	$	334,574

Net Asset Value, Offering and Redemption Price per Share	$	1.08	$	1.65	$	1.12	$	1.00	$	1.06

(1) Unaffiliated Investments, at Cost	$	654,541	$	1,716,989	$	701,824	$	303,426	$	335,848
(3) Investments in Repurchase Agreements, at Cost		–		–		–		144,000		–
(4) Foreign Currency, at Cost		–		–		214		–		–
(10) Shares Outstanding		725,268		1,086,802		744,022		446,515		317,097
(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.

215

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2019 (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)	$	3,303,279	$	191,196	$	383,369	$	833,192	$	979,282
Investments in Repurchase Agreements, at Value (3)		–		–		–		–		160,700
Cash		–		–		–		1		128
Foreign Currency, at Value (4)		–		–		–		–		660
Cash Collateral for Derivative Positions		–		151		–		–		4,369
Receivable for Portfolio Shares Sold		487		36		127		120		266
Receivable for Investment Securities Sold		196,312		16,975		420		–		78,226
Receivable for Financing Transactions		–		111,556		–		–		–
Variation Margin Receivable		–		117		107		–		101
Outstanding Swap Contracts, at Value (8)		–		–		425		–		1,122
Receivable for Foreign Currency		–		–		–		–		1,202
Prepaid Expenses and Other Assets		41		2		5		11		12
Dividends and Interest Receivable		15,609		958		1,354		13,406		10,968

Total Assets		3,515,728		320,991		385,807		846,730		1,237,036

Liabilities
Payable for Portfolio Shares Redeemed		376		15		38		232		299
Payable for Investment Securities Purchased		322,389		22,324		–		–		207,529
Payable for Financing Transactions		–		144,882		–		–		–
Variation Margin Payable		–		20		–		–		523
Outstanding Options Written, at Value (6)		–		3		–		–		108
Securities Sold Short, at Value (7)		–		5,369		–		–		–
Payable for Reverse Repurchase Agreements		–		25,355		–		–		–
Outstanding Swap Contracts, at Value (9)		–		–		4,372		–		–
Payable for Foreign Currency		–		–		38		–		3,930
Collateral from Counterparty		–		–		14		–		2,100
Investment Advisory Fees		818		65		166		307		607
Deferred Income for Financing Transactions		–		71		–		–		–
Accrued Expenses		95		33		47		64		116

Total Liabilities		323,678		198,137		4,675		603		215,212

Net Assets	$	3,192,050	$	122,854	$	381,132	$	846,127	$	1,021,824

Represented By:
Aggregate Paid in Capital (10) (11)	$	3,043,278	$	118,810	$	373,785	$	792,630	$	952,829
Total Distributable Earnings (Loss)		148,772		4,044		7,347		53,497		68,995

Net Assets for Shares Outstanding (10) (11)	$	3,192,050	$	122,854	$	381,132	$	846,127	$	1,021,824

Net Asset Value, Offering and Redemption Price per Share	$	1.30	$	1.12	$	1.13	$	0.75	$	1.14

(1) Unaffiliated Investments, at Cost	$	3,259,423	$	183,909	$	374,587	$	824,457	$	949,455
(3) Investments in Repurchase Agreements, at Cost		–		–		–		–		160,700
(4) Foreign Currency, at Cost		–		–		–		–		391
(6) Premiums Received on Options Written		–		10		–		–		152
(7) Proceeds Received from Short Sales		–		5,365		–		–		–
(8) Premiums Paid on Swap Contracts		–		332		–		–		4,926
(9) Premiums Received from Swap Contracts		–		52		4		–		5,267
(10) Shares Outstanding		2,463,004		109,837		337,636		1,131,942		896,731
(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.

216

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2019 (in thousands)


	Balanced Portfolio		Asset Allocation Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	130,968	$	18,800
Affiliated Investments, at Value (2)		2,123,560		269,421
Receivable for Portfolio Shares Sold		227		19
Receivable for Investment Securities Sold		4,495		427
Prepaid Expenses and Other Assets		30		4
Dividends and Interest Receivable		14		3

Total Assets		2,259,294		288,674

Liabilities
Payable for Portfolio Shares Redeemed		426		34
Payable for Investment Securities Purchased		4,496		866
Investment Advisory Fees		98		13
Accrued Expenses		39		23

Total Liabilities		5,059		936

Net Assets	$	2,254,235	$	287,738

Represented By:
Aggregate Paid in Capital (10) (11)	$	1,959,122	$	244,687
Total Distributable Earnings (Loss)		295,113		43,051

Net Assets for Shares Outstanding (10) (11)	$	2,254,235	$	287,738

Net Asset Value, Offering and Redemption Price per Share	$	1.49	$	1.22

(1) Unaffiliated Investments, at Cost	$	129,482	$	18,502
(2) Affiliated Investments, at Cost		1,961,715		244,772
(10) Shares Outstanding		1,516,710		236,390
(11) Shares Authorized, $.01 Par Value		4,000,000		2,000,000

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

217

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2019 (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)	$	433		$	171		$	65		$	230		$	895
Unaffiliated Dividends (1)		11,098			11,352			9,536			9,418			69,493

Total Income		11,531			11,523			9,601			9,648			70,388

Expenses
Investment Advisory Fees		4,258			6,994			2,510			1,284			6,987
Custodian Fees		18			24			24			16			39
Shareholder Reporting Fees		29			39			21			8			76
Audit Fees		26			27			25			24			27
Valuation Services		1			–			2			–			8
Compliance Fees		12			11			10			9			19
Directors Fees		42			42			38			34			66
Professional Fees		12			10			9			9			16
Trade Name Fees		–			–			–			–			144
Other Expenses		5			5			3			1			19

Total Expenses		4,403			7,152			2,642			1,385			7,401

Less Waived Fees:
Paid by Affiliate		(112	)		(1,156	)		(27	)		(11	)		(299	)

Net Expenses		4,291			5,996			2,615			1,374			7,102

Net Investment Income (Loss)		7,240			5,527			6,986			8,274			63,286
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		188,614			44,694			17,278			2,310			66,384
Futures Contracts		–			–			–			–			8,837
Foreign Currency Transactions		4			–			1			–			–

Net Realized Gain (Loss) on Investments		188,618			44,694			17,279			2,310			75,221

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		63,949			211,091			132,939			25,254			790,721
Futures Contracts		–			–			–			–			1,303

Net Change in Unrealized Appreciation (Depreciation) of Investments		63,949			211,091			132,939			25,254			792,024

Net Gain (Loss) on Investments		252,567			255,785			150,218			27,564			867,245

Net Increase (Decrease) in Net Assets Resulting from Operations	$	259,807		$	261,312		$	157,204		$	35,838		$	930,531

(1) Net of Foreign Tax	$	3		$	327		$	44		$	51		$	–

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

218

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2019 (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)	$	103		$	234		$	474		$	24		$	568
Unaffiliated Dividends (1)		4,961			22,018			36,718			8,966			14,507

Total Income		5,064			22,252			37,192			8,990			15,075

Expenses
Investment Advisory Fees		1,348			4,499			4,890			5,732			2,299
Custodian Fees		54			17			27			35			33
Shareholder Reporting Fees		9			40			37			36			51
Audit Fees		24			26			26			26			25
Valuation Services		7			1			2			1			6
Compliance Fees		9			11			11			12			11
Directors Fees		34			41			40			43			41
Professional Fees		9			10			10			10			11
Trade Name Fees		–			–			–			–			91
Other Expenses		1			5			4			6			5

Total Expenses		1,495			4,650			5,047			5,901			2,573

Less Waived Fees:
Paid by Affiliate		(39	)		(131	)		(354	)		(10	)		(210	)

Net Expenses		1,456			4,519			4,693			5,891			2,363

Net Investment Income (Loss)		3,608			17,733			32,499			3,099			12,712
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		6,023			40,200			31,384			48,149			38,943
Futures Contracts		–			–			(7	)		–			3,578
Foreign Currency Transactions		377			–			9			–			–

Net Realized Gain (Loss) on Investments		6,400			40,200			31,386			48,149			42,521

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		36,641			101,492			116,743			251,921			148,832
Futures Contracts		–			–			–			–			1,131
Foreign Currency Transactions		118			–			2			–			–

Net Change in Unrealized Appreciation (Depreciation) of Investments		36,759			101,492			116,745			251,921			149,963

Net Gain (Loss) on Investments		43,159			141,692			148,131			300,070			192,484

Net Increase (Decrease) in Net Assets Resulting from Operations	$	46,767		$	159,425		$	180,630		$	303,169		$	205,196

(1) Net of Foreign Tax	$	66		$	–		$	247		$	34		$	8

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

219

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2019 (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)	$	279		$	185	$	275	$	215		$	274
Unaffiliated Dividends (1)		13,245			4,030		3,802		7,605			17,420

Total Income		13,524			4,215		4,077		7,820			17,694

Expenses
Investment Advisory Fees		4,611			3,280		624		4,932			4,360
Custodian Fees		59			24		40		31			137
Shareholder Reporting Fees		54			44		26		52			59
Audit Fees		25			25		23		25			28
Valuation Services		17			2		8		2			15
Compliance Fees		10			10		9		10			11
Directors Fees		37			38		35		38			41
Professional Fees		9			10		11		9			32
Trade Name Fees		–			–		24		–			–
Other Expenses		3			3		1		3			3

Total Expenses		4,825			3,436		801		5,102			4,686

Less Waived Fees:
Paid by Affiliate		(758	)		–		–		(40	)		–

Net Expenses		4,067			3,436		801		5,062			4,686

Net Investment Income (Loss)		9,457			779		3,276		2,758			13,008
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(1,397	)		38,612		12,126		32,292			4,659
Distributions of Realized Gains by Other Unaffiliated Investment Companies		–			–		–		29			–
Swap Contracts		–			–		35		–			–
Foreign Currency Transactions		635			–		–		–			(70	)

Net Realized Gain (Loss) on Investments		(762	)		38,612		12,161		32,321			4,589

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		127,361			142,894		33,866		97,406			197,364
Swap Contracts		–			–		2,102		–			–
Foreign Currency Transactions		53			–		–		–			9

Net Change in Unrealized Appreciation (Depreciation) of Investments		127,414			142,894		35,968		97,406			197,373

Net Gain (Loss) on Investments		126,652			181,506		48,129		129,727			201,962

Net Increase (Decrease) in Net Assets Resulting from Operations	$	136,109		$	182,285	$	51,405	$	132,485		$	214,970

(1) Net of Foreign Tax	$	171		$	–	$	1	$	10		$	543

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

220

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2019 (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)	$	191		$	935		$	326		$	9,845	$	9,240
Unaffiliated Dividends (1)		21,139			64,920			25,128			–		–

Total Income		21,330			65,855			25,454			9,845		9,240

Expenses
Investment Advisory Fees		5,358			11,161			7,965			1,313		1,063
Custodian Fees		123			233			167			51		48
Shareholder Reporting Fees		49			102			63			13		29
Audit Fees		28			29			28			23		29
Valuation Services		15			15			14			9		49
Compliance Fees		11			14			11			10		9
Directors Fees		40			51			41			37		36
Professional Fees		33			28			40			7		9
Other Expenses		2			6			3			2		2

Total Expenses		5,659			11,639			8,332			1,465		1,274

Less Waived Fees:
Paid by Affiliate		(346	)		(2,381	)		(894	)		–		–

Net Expenses		5,313			9,258			7,438			1,465		1,274

Net Investment Income (Loss)		16,017			56,597			18,016			8,380		7,966
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		14,490			(40,529	)		2,359			6		576
Futures Contracts		–			–			–			–		856
Foreign Currency Transactions		(31	)		(386	)		(159	)		–		–

Net Realized Gain (Loss) on Investments		14,459			(40,915	)		2,200			6		1,432

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		140,437			186,730			119,302			–		4,752
Futures Contracts		–			–			–			–		(442	)
Foreign Currency Transactions		27			37			15			–		–

Net Change in Unrealized Appreciation (Depreciation) of Investments		140,464			186,767			119,317			–		4,310

Net Gain (Loss) on Investments		154,923			145,852			121,517			6		5,742

Net Increase (Decrease) in Net Assets Resulting from Operations	$	170,940		$	202,449		$	139,533		$	8,386	$	13,708

(1) Net of Foreign Tax	$	744		$	1,690		$	697		$	–	$	(1	)

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

221

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2019 (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)	$	95,516		$	3,925		$	9,859		$	50,810	$	40,880

Total Income		95,516			3,925			9,859			50,810		40,880

Expenses
Investment Advisory Fees		9,344			654			1,981			3,439		7,408
Custodian Fees		94			30			32			21		186
Shareholder Reporting Fees		72			10			46			65		53
Audit Fees		41			38			27			41		44
Valuation Services		50			9			20			31		49
Compliance Fees		18			9			10			11		11
Directors Fees		65			33			36			41		42
Professional Fees		13			12			10			10		29
Interest Expense		–			693			–			–		114
Other Expenses		17			1			4			4		5

Total Expenses		9,714			1,489			2,166			3,663		7,941

Less Waived Fees:
Paid by Affiliate		(223	)		(20	)		(140	)		–		(822	)

Net Expenses		9,491			1,469			2,026			3,663		7,119

Net Investment Income (Loss)		86,025			2,456			7,833			47,147		33,761
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		120,013			161			2,042			638		3,438
Futures Contracts		–			3,414			(1,425	)		–		15,281
Options Written		–			42			–			–		885
Short Sales		–			(124	)		–			–		–
Swap Contracts		–			(184	)		(932	)		–		4,672
Foreign Currency Transactions		–			–			29			–		7,405
Reverse Repurchase Agreements		–			–			–			–		33

Net Realized Gain (Loss) on Investments		120,013			3,309			(286	)		638		31,714

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		51,048			10,761			22,271			65,178		57,092
Futures Contracts		–			(1,272	)		738			–		(6,510	)
Options Written		–			10			–			–		77
Short Sales		–			24			–			–		–
Swap Contracts		–			(826	)		920			–		9,619
Foreign Currency Transactions		–			–			(110	)		–		(2,363	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		51,048			8,697			23,819			65,178		57,915

Net Gain (Loss) on Investments		171,061			12,006			23,533			65,816		89,629

Net Increase (Decrease) in Net Assets Resulting from Operations	$	257,086		$	14,462		$	31,366		$	112,963	$	123,390

(1) Net of Foreign Tax	$	(1	)	$	–		$	–		$	–	$	1

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

222

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2019 (in thousands)


	Balanced Portfolio			Asset Allocation Portfolio
Investment Income
Income
Interest (1)	$	2,662		$	278
Unaffiliated Dividends (1)		1,055			193
Affiliated Dividends		44,634			5,145

Total Income		48,351			5,616

Expenses
Investment Advisory Fees		6,597			1,445
Custodian Fees		26			19
Shareholder Reporting Fees		27			9
Audit Fees		41			26
Valuation Services		1			1
Compliance Fees		15			9
Directors Fees		55			35
Professional Fees		11			10
Other Expenses		12			1

Total Expenses		6,785			1,555

Less Waived Fees:
Paid by Affiliate		(5,498	)		(1,308	)

Net Expenses		1,287			247

Net Investment Income (Loss)		47,064			5,369
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		5,307			624
Affiliated Investment Securities		14,610			1,230
Distributions of Realized Gains by Other Affiliated Investment Companies		64,480			10,889
Futures Contracts		2,409			292

Net Realized Gain (Loss) on Investments		86,806			13,035

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		5,071			1,073
Affiliated Investment Securities		220,215			32,143
Futures Contracts		(39	)		36

Net Change in Unrealized Appreciation (Depreciation) of Investments		225,247			33,252

Net Gain (Loss) on Investments		312,053			46,287

Net Increase (Decrease) in Net Assets Resulting from Operations	$	359,117		$	51,656

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

223

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, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	7,240		$	6,805		$	5,527		$	6,173		$	6,986		$	7,224
Net Realized Gain (Loss) on Investments		188,618			106,549			44,694			54,399			17,279			28,559
Net Change in Unrealized Appreciation (Depreciation) of Investments		63,949			(95,027	)		211,091			(76,232	)		132,939			(67,699	)

Net Increase (Decrease) in Net Assets Resulting from Operations		259,807			18,327			261,312			(15,660	)		157,204			(31,916	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(113,204	)		(112,201	)		(60,549	)		(29,687	)		(36,070	)		(175,999	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(113,204	)		(112,201	)		(60,549	)		(29,687	)		(36,070	)		(175,999	)

Capital Transactions:
Shares Sold		25,555			30,152			32,210			41,239			16,596			16,770
Reinvestment of Distributions Paid		113,204			112,201			60,549			29,687			36,070			175,999
Shares Redeemed		(100,664	)		(109,707	)		(130,067	)		(121,795	)		(59,563	)		(58,460	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		38,095			32,646			(37,308	)		(50,869	)		(6,897	)		134,309

Total Increase (Decrease) in Net Assets		184,698			(61,228	)		163,455			(96,216	)		114,237			(73,606	)
Net Assets Beginning of Period		898,626			959,854			849,169			945,385			518,971			592,577

End of Period	$	1,083,324		$	898,626		$	1,012,624		$	849,169		$	633,208		$	518,971

Portfolio Share Transactions:
Shares Sold		8,167			9,350			10,784			14,850			10,992			9,305
Reinvestment of Distributions Paid		38,426			34,166			20,539			10,174			24,031			114,285
Shares Redeemed		(31,910	)		(33,587	)		(43,119	)		(42,895	)		(39,195	)		(31,045	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		14,683			9,929			(11,796	)		(17,871	)		(4,172	)		92,545

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

224

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, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	8,274		$	2,041		$	63,286		$	57,305		$	3,608		$	3,677
Net Realized Gain (Loss) on Investments		2,310			15,518			75,221			83,927			6,400			14,339
Net Change in Unrealized Appreciation (Depreciation) of Investments		25,254			(23,563	)		792,024			(281,923	)		36,759			(32,801	)

Net Increase (Decrease) in Net Assets Resulting from Operations		35,838			(6,004	)		930,531			(140,691	)		46,767			(14,785	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(17,396	)		(9,381	)		(139,383	)		(83,810	)		(17,988	)		(17,825	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(17,396	)		(9,381	)		(139,383	)		(83,810	)		(17,988	)		(17,825	)

Capital Transactions:
Shares Sold		5,510			5,179			233,669			222,060			8,780			9,342
Reinvestment of Distributions Paid		17,396			9,381			139,383			83,810			17,988			17,825
Shares Redeemed		(20,830	)		(20,960	)		(306,061	)		(294,365	)		(23,347	)		(21,043	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		2,076			(6,400	)		66,991			11,505			3,421			6,124

Total Increase (Decrease) in Net Assets		20,518			(21,785	)		858,139			(212,996	)		32,200			(26,486	)
Net Assets Beginning of Period		154,435			176,220			3,009,141			3,222,137			173,350			199,836

End of Period	$	174,953		$	154,435		$	3,867,280		$	3,009,141		$	205,550		$	173,350

Portfolio Share Transactions:
Shares Sold		4,586			4,273			44,202			44,068			8,809			9,035
Reinvestment of Distributions Paid		14,894			7,740			26,067			15,789			18,544			17,684
Shares Redeemed		(16,989	)		(17,081	)		(57,650	)		(58,062	)		(23,284	)		(20,059	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		2,491			(5,068	)		12,619			1,795			4,069			6,660

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

225

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, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	17,733		$	15,947		$	32,499		$	18,166		$	3,099		$	2,056
Net Realized Gain (Loss) on Investments		40,200			40,633			31,386			48,110			48,149			47,139
Net Change in Unrealized Appreciation (Depreciation) of Investments		101,492			(77,719	)		116,745			(137,665	)		251,921			(119,657	)

Net Increase (Decrease) in Net Assets Resulting from Operations		159,425			(21,139	)		180,630			(71,389	)		303,169			(70,462	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(56,580	)		(43,137	)		(65,431	)		(76,785	)		(48,747	)		(183,778	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(56,580	)		(43,137	)		(65,431	)		(76,785	)		(48,747	)		(183,778	)

Capital Transactions:
Shares Sold		67,280			64,890			24,288			28,491			26,236			30,197
Reinvestment of Distributions Paid		56,580			43,137			65,431			76,785			48,748			183,778
Shares Redeemed		(78,394	)		(90,499	)		(95,340	)		(96,826	)		(119,019	)		(113,798	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		45,466			17,528			(5,621	)		8,450			(44,035	)		100,177

Total Increase (Decrease) in Net Assets		148,311			(46,748	)		109,578			(139,724	)		210,387			(154,063	)
Net Assets Beginning of Period		772,465			819,213			704,674			844,398			943,370			1,097,433

End of Period	$	920,776		$	772,465		$	814,252		$	704,674		$	1,153,757		$	943,370

Portfolio Share Transactions:
Shares Sold		39,915			38,131			14,304			15,812			8,175			8,943
Reinvestment of Distributions Paid		34,105			24,777			39,322			43,852			14,898			56,426
Shares Redeemed		(46,398	)		(52,647	)		(55,588	)		(52,692	)		(36,703	)		(32,249	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		27,622			10,261			(1,962	)		6,972			(13,630	)		33,120

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

226

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, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	12,712		$	11,704		$	9,457		$	8,036		$	779		$	640
Net Realized Gain (Loss) on Investments		42,521			61,226			(762	)		47,626			38,612			88,443
Net Change in Unrealized Appreciation (Depreciation) of Investments		149,963			(173,088	)		127,414			(123,415	)		142,894			(155,661	)

Net Increase (Decrease) in Net Assets Resulting from Operations		205,196			(100,158	)		136,109			(67,753	)		182,285			(66,578	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(71,654	)		(68,601	)		(58,194	)		(58,046	)		(88,795	)		(51,016	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(71,654	)		(68,601	)		(58,194	)		(58,046	)		(88,795	)		(51,016	)

Capital Transactions:
Shares Sold		72,548			73,566			37,275			44,293			34,695			36,654
Reinvestment of Distributions Paid		71,654			68,601			58,194			58,046			88,795			51,016
Shares Redeemed		(77,234	)		(77,187	)		(53,813	)		(69,221	)		(65,732	)		(77,355	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		66,968			64,980			41,656			33,118			57,758			10,315

Total Increase (Decrease) in Net Assets		200,510			(103,779	)		119,571			(92,681	)		151,248			(107,279	)
Net Assets
Beginning of Period		792,780			896,559			471,943			564,624			520,622			627,901

End of Period	$	993,290		$	792,780		$	591,514		$	471,943		$	671,870		$	520,622

Portfolio Share Transactions:
Shares Sold		37,040			35,452			23,199			25,854			13,107			12,664
Reinvestment of Distributions Paid		37,476			32,792			37,424			34,613			35,718			16,926
Shares Redeemed		(39,222	)		(36,515	)		(33,386	)		(38,167	)		(24,149	)		(26,019	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		35,294			31,729			27,237			22,300			24,676			3,571

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

227

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, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	3,276		$	2,604		$	2,758		$	2,747		$	13,008		$	8,728
Net Realized Gain (Loss) on Investments		12,161			16,031			32,321			88,748			4,589			21,855
Net Change in Unrealized Appreciation (Depreciation) of Investments		35,968			(40,964	)		97,406			(167,486	)		197,373			(108,625	)

Net Increase (Decrease) in Net Assets Resulting from Operations		51,405			(22,329	)		132,485			(75,991	)		214,970			(78,042	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(18,910	)		(13,363	)		(91,498	)		(49,860	)		(11,555	)		(9,563	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(18,910	)		(13,363	)		(91,498	)		(49,860	)		(11,555	)		(9,563	)

Capital Transactions:
Shares Sold		41,873			45,237			24,975			23,128			56,589			78,000
Reinvestment of Distributions Paid		18,910			13,363			91,498			49,860			11,555			9,563
Shares Redeemed		(24,970	)		(23,453	)		(81,998	)		(90,299	)		(81,528	)		(71,457	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		35,813			35,147			34,475			(17,311	)		(13,384	)		16,106

Total Increase (Decrease) in Net Assets		68,308			(545	)		75,462			(143,162	)		190,031			(71,499	)
Net Assets
Beginning of Period		221,803			222,348			530,072			673,234			626,082			697,581

End of Period	$	290,111		$	221,803		$	605,534		$	530,072		$	816,113		$	626,082

Portfolio Share Transactions:
Shares Sold		30,152			29,990			11,416			9,601			34,640			50,417
Reinvestment of Distributions Paid		13,894			8,523			44,546			19,817			6,891			5,984
Shares Redeemed		(17,963	)		(15,458	)		(36,079	)		(35,622	)		(49,535	)		(45,088	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		26,083			23,055			19,883			(6,204	)		(8,004	)		11,313

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

228

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, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	16,017		$	12,145		$	56,597		$	43,471		$	18,016		$	8,709
Net Realized Gain (Loss) on Investments		14,459			23,850			(40,915	)		103,993			2,200			(10,700	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		140,464			(127,153	)		186,767			(437,893	)		119,317			(97,719	)

Net Increase (Decrease) in Net Assets Resulting from Operations		170,940			(91,158	)		202,449			(290,429	)		139,533			(99,710	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(30,579	)		(10,485	)		(121,837	)		(45,975	)		(8,489	)		(9,240	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(30,579	)		(10,485	)		(121,837	)		(45,975	)		(8,489	)		(9,240	)

Capital Transactions:
Shares Sold		82,088			95,574			135,633			134,477			91,156			134,734
Reinvestment of Distributions Paid		30,579			10,485			121,837			45,975			8,489			9,240
Shares Redeemed		(63,728	)		(66,836	)		(149,116	)		(167,653	)		(72,029	)		(77,955	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		48,939			39,223			108,354			12,799			27,616			66,019

Total Increase (Decrease) in Net Assets		189,300			(62,420	)		188,966			(323,605	)		158,660			(42,931	)
Net Assets
Beginning of Period		595,585			658,005			1,604,068			1,927,673			675,350			718,281

End of Period	$	784,885		$	595,585		$	1,793,034		$	1,604,068		$	834,010		$	675,350

Portfolio Share Transactions:
Shares Sold		82,156			96,319			82,824			73,779			86,825			133,512
Reinvestment of Distributions Paid		31,076			10,210			79,737			24,892			8,108			9,468
Shares Redeemed		(63,528	)		(64,843	)		(91,119	)		(89,966	)		(69,290	)		(74,780	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		49,704			41,686			71,442			8,705			25,643			68,200

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

229

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, 2019			��	For the Year Ended December 31, 2018			For the Year Ended December 31, 2019				For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	8,380			$	6,509		$	7,966			$	6,410		$	86,025		$	82,061
Net Realized Gain (Loss) on Investments		6				1			1,432				(955	)		120,013			(83,942	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		–				–			4,310				(1,176	)		51,048			(3,374	)

Net Increase (Decrease) in Net Assets Resulting from Operations		8,386				6,510			13,708				4,279			257,086			(5,255	)

Distributions to Shareholders from:											��
Net Investment Income & Net Realized Gain on Investments		(8,386	)			(6,510	)		(6,513	)			(4,636	)		(85,804	)		(67,891	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(8,386	)			(6,510	)		(6,513	)			(4,636	)		(85,804	)		(67,891	)

Capital Transactions:
Shares Sold		216,196				197,800			64,924				44,754			240,747			363,798
Reinvestment of Distributions Paid		8,386				6,510			6,513				4,636			85,804			67,891
Shares Redeemed		(221,539	)			(200,274	)		(50,599	)			(36,006	)		(273,776	)		(334,484	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		3,043				4,036			20,838				13,384			52,775			97,205

Total Increase (Decrease) in Net Assets		3,043				4,036			28,033				13,027			224,057			24,059
Net Assets
Beginning of Period		443,474				439,438			306,541				293,514			2,967,993			2,943,934

End of Period	$	446,517			$	443,474		$	334,574			$	306,541		$	3,192,050		$	2,967,993

Portfolio Share Transactions:
Shares Sold		216,196				197,800			61,913				43,395			188,816			295,214
Reinvestment of Distributions Paid		8,386				6,510			6,221				4,531			66,669			56,202
Shares Redeemed		(221,539	)			(200,274	)		(48,296	)			(34,921	)		(213,032	)		(272,611	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		3,043				4,036			19,838				13,005			42,453			78,805

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

230

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, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,456		$	2,709		$	7,833		$	9,216		$	47,147		$	45,363
Net Realized Gain (Loss) on Investments		3,309			(4,125	)		(286	)		(330	)		638			1,585
Net Change in Unrealized Appreciation (Depreciation) of Investments		8,697			(988	)		23,819			(19,406	)		65,178			(68,201	)

Net Increase (Decrease) in Net Assets Resulting from Operations		14,462			(2,404	)		31,366			(10,520	)		112,963			(21,253	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(2,528	)		(4,793	)		(9,618	)		(7,200	)		(45,460	)		(43,280	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(2,528	)		(4,793	)		(9,618	)		(7,200	)		(45,460	)		(43,280	)

Capital Transactions:
Shares Sold		15,239			13,282			39,741			47,277			47,523			50,266
Reinvestment of Distributions Paid		2,528			4,793			9,618			7,200			45,460			43,280
Shares Redeemed		(18,315	)		(15,123	)		(39,546	)		(88,897	)		(77,725	)		(77,525	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(548	)		2,952			9,813			(34,420	)		15,258			16,021

Total Increase (Decrease) in Net Assets		11,386			(4,245	)		31,561			(52,140	)		82,761			(48,512	)
Net Assets
Beginning of Period		111,468			115,713			349,571			401,711			763,366			811,878

End of Period	$	122,854		$	111,468		$	381,132		$	349,571		$	846,127		$	763,366

Portfolio Share Transactions:
Shares Sold		13,791			13,114			35,689			43,247			64,387			68,137
Reinvestment of Distributions Paid		2,194			4,941			8,603			6,666			62,790			60,112
Shares Redeemed		(16,666	)		(14,873	)		(35,493	)		(81,415	)		(105,722	)		(105,671	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(681	)		3,182			8,799			(31,502	)		21,455			22,578

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

231

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, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018			For the Year Ended December 31, 2019			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	33,761		$	31,771		$	47,064		$	50,470		$	5,369		$	6,117
Net Realized Gain (Loss) on Investments		31,714			5,572			86,806			111,220			13,035			16,812
Net Change in Unrealized Appreciation (Depreciation) of Investments		57,915			(48,619	)		225,247			(234,110	)		33,252			(35,664	)

Net Increase (Decrease) in Net Assets Resulting from Operations		123,390			(11,276	)		359,117			(72,420	)		51,656			(12,735	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(44,581	)		(26,878	)		(163,253	)		(101,798	)		(23,174	)		(12,682	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(44,581	)		(26,878	)		(163,253	)		(101,798	)		(23,174	)		(12,682	)

Capital Transactions:
Shares Sold		115,642			134,871			102,159			93,813			18,019			18,451
Reinvestment of Distributions Paid		44,581			26,878			163,253			101,798			23,173			12,682
Shares Redeemed		(92,151	)		(89,633	)		(272,394	)		(263,510	)		(31,447	)		(33,418	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		68,072			72,116			(6,982	)		(67,899	)		9,745			(2,285	)

Total Increase (Decrease) in Net Assets		146,881			33,962			188,882			(242,117	)		38,227			(27,702	)
Net Assets
Beginning of Period		874,943			840,981			2,065,353			2,307,470			249,511			277,213

End of Period	$	1,021,824		$	874,943		$	2,254,235		$	2,065,353		$	287,738		$	249,511

Portfolio Share Transactions:
Shares Sold		103,219			125,393			69,385			63,864			15,009			15,238
Reinvestment of Distributions Paid		40,019			25,477			114,243			69,868			20,012			10,498
Shares Redeemed		(82,440	)		(83,748	)		(185,487	)		(179,627	)		(26,372	)		(27,594	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		60,798			67,122			(1,859	)		(45,895	)		8,649			(1,858	)

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

232

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2019 (in thousands)


	Long-Term U.S. Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations	$	14,462
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities
Purchase of Investment Securities		(228,101	)
Proceeds from Disposition of Investment Securities		126,897
Proceeds from Disposition (Purchase) of Short-Term Investments, net		(1,470	)
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps		1,116
Proceeds from Securities Sold Short		56,857
Cash Paid for Terminated Options Written		(12	)
Premiums Received for Options Written		57
Amortization (Accretion) of Premium/Discount, net		77
(Increase) Decrease in:
Receivable for Investment Securities Sold		(13,282	)
Dividends and Interest Receivable		(221	)
Increase (Decrease) in:
Payable for Investment Advisory Fees		8
Accrued Expenses		(8	)
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities		(10,761	)
Futures Contracts		1,272
Options Written		(10	)
Short Sales		(24	)
Swap Contracts		826
Net Realized (Gain) Loss from:
Investment Securities		(161	)
Futures Contracts		(3,414	)
Options Written		(42	)
Paydowns		(1	)
Short Sales		124
Swap Contracts		184

Total Adjustments		(70,089	)

Net Cash (Used in) Provided by Operating Activities		(55,627	)

Cash Flows from Financing Activities
Cash Received from Financing Transactions		2,290,730
Cash (Used for) Financing Transactions		(2,257,341	)
Proceeds from Reverse Repurchase Agreements		86,786
Payments on Reverse Repurchase Agreements		(61,431	)
Proceeds from Capital Shares Sold		15,222
Payment on Capital Shares Redeemed		(18,594	)

Net Cash (Used in) Provided by Financing Activities		55,372

Net Increase (Decrease) in Cash and Cash Equivalents		(255	)
Cash and Restricted Cash, Beginning of Period		406

Cash and Restricted Cash, End of Period	$	151

Cash and Restricted Cash is the sum of Cash and Cash Collateral for Derivative Positions 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 $2,528.

Interest paid was $462 for the period ended December 31, 2019.

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

233

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
Growth Stock Portfolio
2019	$	2.75	$	0.02	$	0.77		$	0.79		$	(0.02	)	$	(0.34	)
2018		3.03		0.02		0.08			0.10			(0.02	)		(0.36	)
2017		2.58		0.02		0.59			0.61			(0.03	)		(0.13	)
2016		2.81		0.03		0.04			0.07			(0.02	)		(0.28	)
2015		2.87		0.02		0.15			0.17			(0.02	)		(0.21	)
Focused Appreciation Portfolio
2019	$	2.57	$	0.02	$	0.78		$	0.80		$	(0.02	)	$	(0.18	)
2018		2.71		0.02		(0.07	)		(0.05	)		(0.01	)		(0.08	)
2017		2.08		0.02		0.68			0.70			(0.02	)		(0.05	)
2016		2.68		0.02		0.17			0.19			(0.01	)		(0.78	)
2015		2.63		0.01		0.34			0.35			—			(0.30	)
Large Cap Core Stock Portfolio
2019	$	1.31	$	0.02	$	0.39		$	0.41		$	(0.02	)	$	(0.08	)
2018		1.96		0.02		(0.05	)		(0.03	)		(0.03	)		(0.59	)
2017		1.60		0.03		0.36			0.39			(0.03	)		–
2016		1.54		0.03		0.09			0.12			(0.03	)		(0.03	)
2015		1.65		0.03		(0.08	)		(0.05	)		(0.04	)		(0.02	)
Large Cap Blend Portfolio
2019	$	1.09	$	0.06	$	0.20		$	0.26		$	(0.01	)	$	(0.12	)
2018		1.21		0.01		(0.06	)		(0.05	)		(0.01	)		(0.06	)
2017		1.07		0.01		0.20			0.21			(0.01	)		(0.06	)
2016		1.03		0.01		0.12			0.13			(0.01	)		(0.08	)
2015		1.12		0.01		(0.03	)		(0.02	)		(0.01	)		(0.06	)
Index 500 Stock Portfolio
2019	$	4.59	$	0.10	$	1.32		$	1.42		$	(0.09	)	$	(0.13	)
2018		4.93		0.09		(0.30	)		(0.21	)		(0.08	)		(0.05	)
2017		4.17		0.08		0.81			0.89			(0.08	)		(0.05	)
2016		3.88		0.08		0.37			0.45			(0.07	)		(0.09	)
2015		3.98		0.07		(0.03	)		0.04			(0.07	)		(0.07	)
Large Company Value Portfolio
2019	$	0.89	$	0.02	$	0.21		$	0.23		$	(0.02	)	$	(0.07	)
2018		1.06		0.02		(0.09	)		(0.07	)		(0.02	)		(0.08	)
2017		1.02		0.02		0.08			0.10			(0.02	)		(0.04	)
2016		0.99		0.02		0.12			0.14			(0.02	)		(0.09	)
2015		1.15		0.02		(0.06	)		(0.04	)		(0.02	)		(0.10	)
Domestic Equity Portfolio
2019	$	1.55	$	0.03	$	0.28		$	0.31		$	(0.03	)	$	(0.08	)
2018		1.68		0.03		(0.07	)		(0.04	)		(0.03	)		(0.06	)
2017		1.54		0.03		0.18			0.21			(0.03	)		(0.04	)
2016		1.41		0.03		0.19			0.22			(0.03	)		(0.06	)
2015		1.44		0.03		(0.03	)		0.00	^(e)		(0.03	)		–

(d)	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.

(r)	Expense ratios are based on the direct 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.

(e)	Amount is less than $0.005.

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

234


Total Distributions			Net Asset Value, End of Period		Total Return^(d)			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^(r)			Ratio of Net Expenses to Average Net Assets^(r)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate

$	(0.36	)	$	3.18		29.68	%	$	1,083,324		0.43	%		0.42	%		0.71	%		116.28	%
	(0.38	)		2.75		1.26			898,626		0.43			0.42			0.68			47.87
	(0.16	)		3.03		24.27			959,854		0.43			0.42			0.78			57.70
	(0.30	)		2.58		2.47			837,980		0.43			0.43			0.97			65.66
	(0.23	)		2.81		6.01			860,348		0.43			0.42			0.82			50.12

$	(0.20	)	$	3.17		31.97	%	$	1,012,624		0.75	%		0.63	%		0.58	%		6.57	%
	(0.09	)		2.57		(2.34	)		849,169		0.75			0.63			0.65			7.12
	(0.07	)		2.71		33.62			945,385		0.75			0.63			0.66			3.50
	(0.79	)		2.08		5.87			771,800		0.76			0.63			0.83			9.38
	(0.30	)		2.68		13.64			778,837		0.76			0.63			0.27			131.33

$	(0.10	)	$	1.62		31.19	%	$	633,208		0.45	%		0.44	%		1.19	%		53.53	%
	(0.62	)		1.31		(6.04	)		518,971		0.45			0.44			1.23			64.61
	(0.03	)		1.96		24.87			592,577		0.45			0.44			1.56			100.72
	(0.06	)		1.60		7.57			514,495		0.45			0.45			1.96			6.83
	(0.06	)		1.54		(3.06	)		509,411		0.45			0.44			2.04			13.36

$	(0.13	)	$	1.22		23.97	%	$	174,953		0.82	%		0.82	%		4.92	%		23.99	%
	(0.07	)		1.09		(4.00	)		154,435		0.82			0.82			1.20			25.22
	(0.07	)		1.21		19.02			176,221		0.81			0.81			0.75			16.09
	(0.09	)		1.07		13.99			164,752		0.82			0.81			0.97			21.12
	(0.07	)		1.03		(2.42	)		153,841		0.81			0.81			0.99			16.11

$	(0.22	)	$	5.79		31.18	%	$	3,867,280		0.21	%		0.20	%		1.81	%		3.54	%
	(0.13	)		4.59		(4.58	)		3,009,141		0.21			0.20			1.74			4.16
	(0.13	)		4.93		21.52			3,222,137		0.21			0.21			1.82			2.92
	(0.16	)		4.17		11.73			2,678,914		0.21			0.21			1.97			3.28
	(0.14	)		3.88		1.17			2,386,253		0.21			0.21			1.87			4.17

$	(0.09	)	$	1.03		27.66	%	$	205,550		0.77	%		0.75	%		1.86	%		62.00	%
	(0.10	)		0.89		(7.92	)		173,350		0.76			0.74			1.89			60.83
	(0.06	)		1.06		11.10			199,836		0.75			0.73			2.15			53.45
	(0.11	)		1.02		15.36			195,773		0.75			0.72			2.07			79.86
	(0.12	)		0.99		(3.85	)		174,429		0.74			0.71			1.49			52.53

$	(0.11	)	$	1.75		20.77	%	$	920,776		0.54	%		0.53	%		2.08	%		11.83	%
	(0.09	)		1.55		(2.81	)		772,465		0.54			0.53			1.92			14.33
	(0.07	)		1.68		13.78			819,213		0.55			0.54			1.91			12.37
	(0.09	)		1.54		14.98			720,940		0.55			0.55			2.00			12.24
	(0.03	)		1.41		(0.09	)		610,458		0.56			0.55			2.06			14.15

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

235

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
Equity Income Portfolio
2019	$	1.53	$	0.07		$	0.33		$	0.40		$	(0.04	)	$	(0.11	)
2018		1.86		0.04			(0.19	)		(0.15	)		(0.04	)		(0.14	)
2017		1.72		0.04			0.23			0.27			(0.04	)		(0.09	)
2016		1.56		0.04			0.24			0.28			(0.03	)		(0.09	)
2015		1.77		0.03			(0.14	)		(0.11	)		(0.03	)		(0.07	)
Mid Cap Growth Stock Portfolio
2019	$	2.69	$	0.01		$	0.87		$	0.88		$	(0.01	)	$	(0.14	)
2018		3.46		0.01			(0.17	)		(0.16	)		(0.00	)^(e)		(0.61	)
2017		2.88		0.00	^(e)		0.59			0.59			(0.01	)		–
2016		3.11		0.01			0.02			0.03			(0.01	)		(0.25	)
2015		3.40		0.01			0.02			0.03			(0.00	)^(e)		(0.32	)
Index 400 Stock Portfolio
2019	$	1.74	$	0.03		$	0.40		$	0.43		$	(0.02	)	$	(0.13	)
2018		2.11		0.03			(0.24	)		(0.21	)		(0.02	)		(0.14	)
2017		1.96		0.02			0.27			0.29			(0.02	)		(0.12	)
2016		1.77		0.02			0.33			0.35			(0.02	)		(0.14	)
2015		1.96		0.02			(0.07	)		(0.05	)		(0.02	)		(0.12	)
Mid Cap Value Portfolio
2019	$	1.43	$	0.03		$	0.37		$	0.40		$	(0.03	)	$	(0.15	)
2018		1.83		0.03			(0.23	)		(0.20	)		(0.03	)		(0.17	)
2017		1.73		0.03			0.16			0.19			(0.03	)		(0.06	)
2016		1.54		0.03			0.32			0.35			(0.03	)		(0.13	)
2015		1.77		0.02			(0.04	)		(0.02	)		(0.03	)		(0.18	)
Small Cap Growth Stock Portfolio
2019	$	2.35	$	0.00	^(e)	$	0.79		$	0.79		$	(0.00	)^(e)	$	(0.42	)
2018		2.88		0.00	^(e)		(0.28	)		(0.28	)		–			(0.25	)
2017		2.39		0.00	^(e)		0.52			0.52			(0.00	)^(e)		(0.03	)
2016		2.37		0.00	^(e)		0.28			0.28			(0.01	)		(0.25	)
2015		2.50		0.01			(0.01	)		–			(0.00	)^(e)		(0.13	)
Index 600 Stock Portfolio
2019	$	1.26	$	0.02		$	0.25		$	0.27		$	(0.00	)^(e)	$	(0.10	)
2018		1.45		0.02			(0.13	)		(0.11	)		(0.02	)		(0.06	)
2017		1.36		0.01			0.16			0.17			(0.03	)		(0.05	)
2016		1.13		0.01			0.29			0.30			(0.01	)		(0.06	)
2015		1.16		0.01			(0.04	)		(0.03	)		–			(0.00	)^(e)
Small Cap Value Portfolio
2019	$	2.04	$	0.01		$	0.50		$	0.51		$	(0.01	)	$	(0.37	)
2018		2.54		0.01			(0.31	)		(0.30	)		(0.01	)		(0.19	)
2017		2.42		0.02			0.25			0.27			(0.02	)		(0.13	)
2016		2.10		0.02			0.61			0.63			(0.02	)		(0.29	)
2015		2.38		0.02			(0.14	)		(0.12	)		(0.02	)		(0.14	)

(d)	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.

(r)	Expense ratios are based on the direct 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.

(e)	Amount is less than $0.005.

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

236


Total Distributions			Net Asset Value, End of Period		Total Return^(d)			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^(r)			Ratio of Net Expenses to Average Net Assets^(r)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate

$	(0.15	)	$	1.78		26.61	%	$	814,252		0.65	%		0.61	%		4.21	%		18.23	%
	(0.18	)		1.53		(9.35	)		704,674		0.65			0.61			2.25			16.57
	(0.13	)		1.86		16.24			844,398		0.65			0.62			2.04			21.27
	(0.12	)		1.72		19.17			798,167		0.66			0.64			2.42			23.09
	(0.10	)		1.56		(6.74	)		732,781		0.65			0.65			2.08			37.97

$	(0.15	)	$	3.42		33.01	%	$	1,153,757		0.54	%		0.54	%		0.28	%		29.79	%
	(0.61	)		2.69		(7.38	)		943,370		0.54			0.54			0.19			32.73
	(0.01	)		3.46		20.29			1,097,433		0.54			0.54			0.14			148.03
	(0.26	)		2.88		0.83			983,395		0.54			0.54			0.29			57.23
	(0.32	)		3.11		0.71			1,025,151		0.53			0.52			0.17			68.54

$	(0.15	)	$	2.02		25.88	%	$	993,290		0.28	%		0.26	%		1.38	%		16.43	%
	(0.16	)		1.74		(11.33	)		792,780		0.28			0.26			1.29			18.23
	(0.14	)		2.11		15.96			896,559		0.28			0.26			1.22			18.08
	(0.16	)		1.96		20.38			773,157		0.28			0.27			1.31			19.44
	(0.14	)		1.77		(2.38	)		634,401		0.28			0.27			1.23			18.70

$	(0.18	)	$	1.65		29.21	%	$	591,514		0.89	%		0.75	%		1.74	%		43.65	%
	(0.20	)		1.43		(12.85	)		471,943		0.89			0.76			1.50			61.68
	(0.09	)		1.83		11.81			564,624		0.88			0.76			1.79			46.45
	(0.16	)		1.73		23.23			518,217		0.89			0.77			1.71			53.81
	(0.21	)		1.54		(1.33	)		410,233		0.89			0.77			1.38			71.46

$	(0.42	)	$	2.72		35.69	%	$	671,870		0.56	%		0.56	%		0.13	%		42.17	%
	(0.25	)		2.35		(11.71	)		520,622		0.56			0.56			0.10			52.15
	(0.03	)		2.88		21.61			627,901		0.56			0.56			(0.01	)		43.11
	(0.26	)		2.39		12.25			545,052		0.58			0.58			0.19			44.26
	(0.13	)		2.37		0.32			494,932		0.57			0.56			0.22			48.21

$	(0.10	)	$	1.43		22.44	%	$	290,111		0.31	%		0.31	%		1.25	%		32.91	%
	(0.08	)		1.26		(8.78	)		221,803		0.31			0.31			1.06			37.83
	(0.08	)		1.45		12.93			222,348		0.33			0.33			1.04			36.46
	(0.07	)		1.36		26.12			173,883		0.36			0.35			1.00			52.14
	(0.00	)^(e)		1.13		(2.35	)		113,993		0.36			0.34			0.95			46.59

$	(0.38	)	$	2.17		25.89	%	$	605,534		0.88	%		0.87	%		0.48	%		25.34	%
	(0.20	)		2.04		(12.73	)		530,072		0.88			0.87			0.43			22.36
	(0.15	)		2.54		11.65			673,234		0.88			0.86			0.56			14.51
	(0.31	)		2.42		32.39			647,830		0.89			0.88			0.93			24.02
	(0.16	)		2.10		(5.45	)		514,970		0.88			0.88			1.00			35.53

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

237

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
International Growth Portfolio
2019	$	1.39	$	0.03		$	0.46		$	0.49		$	(0.02	)	$	(0.01	)
2018		1.59		0.02			(0.20	)		(0.18	)		(0.02	)		–
2017		1.24		0.02			0.35			0.37			(0.02	)		–
2016		1.30		0.02			(0.07	)		(0.05	)		(0.01	)		–
2015		1.34		0.02			(0.04	)		(0.02	)		(0.02	)		–
Research International Core Portfolio
2019	$	0.88	$	0.02		$	0.23		$	0.25		$	(0.02	)	$	(0.03	)
2018		1.04		0.02			(0.16	)		(0.14	)		(0.02	)		–
2017		0.82		0.02			0.22			0.24			(0.02	)		–
2016		0.85		0.02			(0.03	)		(0.01	)		(0.01	)		(0.01	)
2015		0.90		0.02			(0.03	)		(0.01	)		(0.02	)		(0.02	)
International Equity Portfolio
2019	$	1.58	$	0.05		$	0.14		$	0.19		$	(0.04	)	$	(0.08	)
2018		1.91		0.04			(0.32	)		(0.28	)		(0.05	)		–
2017		1.60		0.04			0.31			0.35			(0.04	)		–
2016		1.61		0.04			0.00	^(e)		0.04			(0.03	)		(0.02	)
2015		1.77		0.04			(0.08	)		(0.04	)		(0.05	)		(0.07	)
Emerging Markets Equity Portfolio
2019	$	0.94	$	0.02		$	0.17		$	0.19		$	(0.01	)	$	–
2018		1.10		0.01			(0.16	)		(0.15	)		(0.01	)		–
2017		0.87		0.02			0.22			0.24			(0.01	)		–
2016		0.80		0.01			0.07			0.08			(0.01	)		–
2015		0.93		0.01			(0.13	)		(0.12	)		(0.01	)		–
Government Money Market Portfolio
2019	$	1.00	$	0.02		$	–		$	0.02		$	(0.02	)	$	(0.00	)^(e)
2018		1.00		0.02			–			0.02			(0.02	)		(0.00	)^(e)
2017		1.00		0.01			0.00	^(e)		0.01			(0.01	)		(0.00	)^(e)
2016		1.00		0.00	^(e)		–			0.00	^(e)		(0.00	)^(e)		(0.00	)^(e)
2015		1.00		0.00	^(e)		–			0.00	^(e)		(0.00	)^(e)		(0.00	)^(e)
Short-Term Bond Portfolio
2019	$	1.03	$	0.03		$	0.02		$	0.05		$	(0.02	)	$	–
2018		1.03		0.02			–			0.02			(0.02	)		–
2017		1.03		0.02			(0.01	)		0.01			(0.01	)		–
2016		1.03		0.01			–			0.01			(0.01	)		–
2015		1.03		0.01			0.00	^(e)		0.01			(0.01	)		–
Select Bond Portfolio
2019	$	1.23	$	0.04		$	0.07		$	0.11		$	(0.04	)	$	–
2018		1.26		0.03			(0.03	)		0.00	^(e)		(0.03	)		–
2017		1.26		0.03			0.02			0.05			(0.03	)		(0.02	)
2016		1.25		0.02			0.03			0.05			(0.03	)		(0.01	)
2015		1.27		0.02			(0.01	)		0.01			(0.02	)		(0.01	)

(d)	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.

(r)	Expense ratios are based on the direct 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.

(e)	Amount is less than $0.005.

(g)	Portfolio Turnover Rate excludes the impact of TBA transactions.

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

238


Total Distributions			Net Asset Value, End of Period		Total Return^(d)			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^(r)			Ratio of Net Expenses to Average Net Assets^(r)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate

$	(0.03	)	$	1.85		34.80	%	$	816,113		0.64	%		0.64	%		1.79	%		20.66	%
	(0.02	)		1.39		(11.28	)		626,082		0.65			0.65			1.28			33.34
	(0.02	)		1.59		30.03			697,581		0.67			0.67			1.32			19.52
	(0.01	)		1.24		(3.41	)		523,122		0.71			0.71			1.67			25.57
	(0.02	)		1.30		(1.73	)		485,313		0.74			0.74			1.12			134.92

$	(0.05	)	$	1.08		28.25	%	$	784,885		0.82	%		0.77	%		2.32	%		17.55	%
	(0.02	)		0.88		(13.66	)		595,585		0.82			0.77			1.88			24.38
	(0.02	)		1.04		28.21			658,005		0.86			0.81			1.74			27.88
	(0.02	)		0.82		(1.12	)		499,649		0.92			0.88			1.99			40.80
	(0.04	)		0.85		(1.11	)		498,395		0.91			0.91			1.78			32.43

$	(0.12	)	$	1.65		12.60	%	$	1,793,034		0.68	%		0.54	%		3.33	%		42.61	%
	(0.05	)		1.58		(15.41	)		1,604,068		0.68			0.54			2.36			31.04
	(0.04	)		1.91		22.30			1,927,673		0.70			0.57			2.40			20.68
	(0.05	)		1.60		2.89			1,628,267		0.71			0.62			2.65			16.25
	(0.12	)		1.61		(2.21	)		1,605,948		0.73			0.64			2.05			18.80

$	(0.01	)	$	1.12		20.60	%	$	834,010		1.11	%		0.99	%		2.40	%		22.42	%
	(0.01	)		0.94		(13.75	)		675,350		1.11			1.00			1.27			16.67
	(0.01	)		1.10		27.84			718,281		1.18			1.06			1.61			98.21
	(0.01	)		0.87		9.06			521,800		1.25			1.16			1.24			47.33
	(0.01	)		0.80		(12.24	)		444,297		1.32			1.32			0.91			45.83

$	(0.02	)	$	1.00		1.94	%	$	446,517		0.33	%		0.33	%		1.91	%		–	%
	(0.02	)		1.00		1.54			443,474		0.34			0.34			1.53			–
	(0.01	)		1.00		0.60			439,438		0.33			0.33			0.59			–
	(0.00	)^(e)		1.00		0.13			501,635		0.32			0.32			0.11			–
	(0.00	)^(e)		1.00		0.01			445,287		0.33			0.26			0.01			–

$	(0.02	)	$	1.06		4.38	%	$	334,574		0.39	%		0.39	%		2.47	%		56.20	%^(g)
	(0.02	)		1.03		1.36			306,541		0.39			0.39			2.14			41.45	^(g)
	(0.01	)		1.03		1.33			293,514		0.42			0.41			1.60			45.77
	(0.01	)		1.03		1.67			269,833		0.43			0.43			1.33			36.61
	(0.01	)		1.03		0.72			244,204		0.43			0.42			1.17			35.76

$	(0.04	)	$	1.30		8.65	%	$	3,192,050		0.31	%		0.30	%		2.76	%		402.78	%^(g)
	(0.03	)		1.23		(0.21	)		2,967,993		0.31			0.31			2.74			293.74	^(g)
	(0.05	)		1.26		3.58			2,943,934		0.32			0.31			2.15			390.26	^(g)
	(0.04	)		1.26		3.06			2,839,045		0.32			0.31			1.91			524.79	^(g)
	(0.03	)		1.25		0.53			2,856,958		0.31			0.31			1.76			476.41	^(g)

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

239

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
Long-Term U.S. Government Bond Portfolio^(s)
2019	$	1.01	$	0.02	$	0.11		$	0.13		$	(0.02	)	$	–
2018		1.08		0.03		(0.06	)		(0.03	)		(0.02	)		(0.02	)
2017		1.06		0.03		0.05			0.08			(0.02	)		(0.04	)
2016		1.08		0.03		(0.01	)		0.02			(0.02	)		(0.02	)
2015		1.12		0.03		(0.05	)		(0.02	)		(0.02	)		–
Inflation Protection Portfolio
2019	$	1.06	$	0.02	$	0.08		$	0.10		$	(0.03	)	$	–
2018		1.11		0.03		(0.06	)		(0.03	)		(0.02	)		–
2017		1.09		0.02		0.01			0.03			(0.01	)		(0.00	)^(e)
2016		1.05		0.02		0.03			0.05			(0.01	)		–
2015		1.10		0.01		(0.03	)		(0.02	)		(0.03	)		–
High Yield Bond Portfolio
2019	$	0.69	$	0.04	$	0.06		$	0.10		$	(0.04	)	$	–
2018		0.75		0.04		(0.06	)		(0.02	)		(0.04	)		–
2017		0.74		0.04		0.01			0.05			(0.04	)		–
2016		0.68		0.04		0.06			0.10			(0.04	)		–
2015		0.72		0.04		(0.05	)		(0.01	)		(0.03	)		–
Multi-Sector Bond Portfolio^(s)
2019	$	1.05	$	0.04	$	0.10		$	0.14		$	(0.05	)	$	–
2018		1.09		0.04		(0.05	)		(0.01	)		(0.03	)		–
2017		1.05		0.04		0.04			0.08			(0.04	)		–
2016		0.99		0.04		0.07			0.11			(0.05	)		–
2015		1.08		0.04		(0.05	)		(0.01	)		(0.06	)		(0.02	)
Balanced Portfolio
2019	$	1.36	$	0.03	$	0.22		$	0.25		$	(0.04	)	$	(0.08	)
2018		1.47		0.03		(0.07	)		(0.04	)		(0.04	)		(0.03	)
2017		1.40		0.03		0.12			0.15			(0.03	)		(0.05	)
2016		1.38		0.02		0.07			0.09			(0.03	)		(0.04	)
2015		1.48		0.02		(0.02	)		–			(0.03	)		(0.07	)
Asset Allocation Portfolio
2019	$	1.10	$	0.02	$	0.21		$	0.23		$	(0.03	)	$	(0.08	)
2018		1.21		0.03		(0.09	)		(0.06	)		(0.02	)		(0.03	)
2017		1.12		0.02		0.15			0.17			(0.03	)		(0.05	)
2016		1.11		0.02		0.06			0.08			(0.03	)		(0.04	)
2015		1.20		0.02		(0.03	)		(0.01	)		(0.02	)		(0.06	)

(d)	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.

(r)	Expense ratios are based on the direct 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.

(s)

The ratios of gross expenses to average net assets and net expenses to average net assets include interest expense. Excluding interest expense, the ratios for the Long-Term U.S. Government Portfolio would be 0.67% and 0.65% respectively for the period ended December 31, 2019, 0.67% and 0.65% respectively in 2018, 0.67% and 0.65% respectively in 2017, 0.64% and 0.64% respectively in 2016, 0.67% and 0.64% respectively in 2015. The ratios for the Multi-Sector Bond Portfolio would be 0.82% and 0.73% respectively for the period ended December 31, 2019, and 0.81% and 0.74% respectively in 2018.

(g)	Portfolio Turnover Rate excludes the impact of TBA transactions.

(e)	Amount is less than $0.005.

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

240


Total Distributions			Net Asset Value, End of Period		Total Return^(d)			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^(r)			Ratio of Net Expenses to Average Net Assets^(r)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate

$	(0.02	)	$	1.12		13.17	%	$	122,854		1.25	%		1.23	%		2.06	%		4.79	%^(g)
	(0.04	)		1.01		(2.04	)		111,468		0.90			0.89			2.48			42.53	^(g)
	(0.06	)		1.08		8.28			115,713		0.94			0.92			2.64			50.94	^(g)
	(0.04	)		1.06		1.09			110,391		0.77			0.77			2.19			126.34	^(g)
	(0.02	)		1.08		(1.47	)		104,513		0.69			0.67			2.32			32.93	^(g)

$	(0.03	)	$	1.13		9.02	%	$	381,132		0.59	%		0.55	%		2.13	%		39.66	%
	(0.02	)		1.06		(2.61	)		349,571		0.59			0.55			2.55			22.87
	(0.01	)		1.11		3.58			401,711		0.61			0.57			2.05			20.82
	(0.01	)		1.09		4.68			326,927		0.64			0.59			1.55			33.80
	(0.03	)		1.05		(2.20	)		287,089		0.63			0.59			0.52			17.29

$	(0.04	)	$	0.75		14.97	%	$	846,127		0.45	%		0.45	%		5.73	%		33.09	%
	(0.04	)		0.69		(2.71	)		763,366		0.45			0.45			5.65			22.94
	(0.04	)		0.75		6.88			811,878		0.45			0.45			5.48			31.59
	(0.04	)		0.74		14.59			756,947		0.47			0.46			5.83			35.58
	(0.03	)		0.68		(1.36	)		688,124		0.46			0.46			5.55			27.49

$	(0.05	)	$	1.14		14.04	%	$	1,021,824		0.83	%		0.74	%		3.53	%		29.78	%^(g)
	(0.03	)		1.05		(1.30	)		874,943		0.82			0.75			3.67			37.42	^(g)
	(0.04	)		1.09		8.38			840,981		0.82			0.75			4.06			48.84
	(0.05	)		1.05		11.09			689,849		0.84			0.78			3.86			42.81
	(0.08	)		0.99		(2.22	)		580,634		0.85			0.79			4.13			58.14	^(g)

$	(0.12	)	$	1.49		17.92	%	$	2,254,235		0.31	%		0.06	%		2.14	%		16.68	%
	(0.07	)		1.36		(3.45	)		2,065,353		0.31			0.06			2.25			27.29
	(0.08	)		1.47		11.98			2,307,470		0.31			0.06			1.75			16.58
	(0.07	)		1.40		6.58			2,202,834		0.31			0.07			1.73			23.64
	(0.10	)		1.38		(0.12	)		2,219,466		0.31			0.08			1.43			13.53

$	(0.11	)	$	1.22		21.08	%	$	287,738		0.57	%		0.09	%		1.96	%		15.44	%
	(0.05	)		1.10		(4.88	)		249,511		0.57			0.09			2.24			32.14
	(0.08	)		1.21		14.87			277,213		0.57			0.09			1.68			22.05
	(0.07	)		1.12		7.79			250,399		0.58			0.09			1.69			25.59
	(0.08	)		1.11		(0.43	)		249,413		0.58			0.08			1.47			15.36

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

241

Notes to Financial Statements

NOTE 1. ORGANIZATION

Northwestern Mutual Series Fund, Inc. (the “Series Fund”) is registered as anopen-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 Rule2a-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 (2016 to 2019) 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 theex-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

242

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 Statement of Assets and Liabilities. Temporary cash overdrafts are reported as a payable to custodian.

F. New Accounting Pronouncements — In March 2017, the FASB issued Accounting Standards UpdateNo. 2017-08, “Receivables—Nonrefundable Fees and Other Costs (Subtopic310-20), Premium Amortization on Purchased Callable Debt Securities” (“ASU2017-08”). ASU2017-08 amends the amortization period for certain purchased callable debt securities, held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years and interim periods within those fiscal years, beginning after December 15, 2018. The ASU has been adopted, and the impacts are reflected in the 2019 financial statements.

In August 2018, the FASB issued Accounting Standards Update2018-13, “Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement” (“ASU2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU2018-13 will be effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. Early adoption is permitted. In 2018, management early adopted certain aspects that allow removal of certain disclosure requirements. Management is currently assessing the potential impact of the remaining requirements to future financial statements.

NOTE 3. SECURITY VALUATION

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

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

•

Level 1 — fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

•

Level 2 — fair value is determined by other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and other data used in fair valuation)

•

Level 3 — fair value is determined by significant unobservable inputs (including the Portfolios’ own assumptions in determining fair value)

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolios’ perceived risk of that instrument.

The following is a description of the valuation techniques and significant inputs used in determining the value of the Portfolios’ investments classified as Level 1 and Level 2 in the fair value hierarchy:

•

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

243

Notes to Financial Statements

•

Fixed income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, andnon-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 inopen-end mutual funds (including other Portfolios) are valued at the mutual fund’s closing net asset value per share and are categorized as Level 1 in the fair value hierarchy. Investments in privately held mutual funds are valued at the mutual fund’s closing net asset value per share and are categorized as Level 2 in the fair value hierarchy.

•

Money market 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 andover-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, 2019 included, but were not limited to, broker quotes, analysis of the likely outcome of pending litigation, liquidity, prepayment speed, duration and recoverability.

244

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, 2019, there were no Portfolios that owned a material amount of Level 3 securities.

The Series Fund has adopted policies and procedures which govern the pricing of Portfolio securities. The Board has delegated theday-to-day responsibility for pricing Portfolio securities and other investments to Mason Street Advisors, LLC (“MSA”), the Portfolios’ investment adviser, Northwestern Mutual in its capacity as fund administrator, and State Street Bank and Trust Company in its capacity as fund accountant, subject to the oversight of a Pricing Committee appointed by the Board and comprised of representatives of MSA, Northwestern Mutual and Series Fund officers. The Pricing Committee is charged with the primary andday-to-day operational responsibility for executing the valuation process. The Pricing Committee has been delegated the authority to approve the override of any prices as permitted under the pricing policy and procedures approved by the Board and any variances from these pricing procedures when appropriate. All such actions are subject to further review and approval by the Board at its next regular meeting.

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. When delayed delivery purchases are outstanding, a Portfolio will earmark liquid assets on its records in amounts sufficient to meet the purchase price. 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 designatedsub-custodians undertri-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.

245

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 in the principal amount of an inflation-indexed bond will be included as interest income in the applicable Portfolio’s Statement 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, 2019, 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

246

Notes to Financial Statements

tranches of a loan, each of which can have different terms and associated risks. The Portfolios generally do not have a right to enforce compliance with the terms of the loan agreement and as a result, the Portfolios may be subject to the credit risk of the borrower and lender that is selling the loan agreement. When the Portfolios purchase assignments from lenders they 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. As of December 31, 2019, there were no unfunded loan commitments outstanding.

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. As of December 31, 2019, there were reverse repurchase agreements held in the Long-Term U.S. Government Bond Portfolio.

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.

247

Notes to Financial Statements

C. Options — Certain Portfolios may write call and put options on futures, swaps, securities or currencies they own or in which they may invest. Writing put options tends to increase a Portfolio’s exposure to the underlying instrument. Writing call options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio writes a put option, it is exposed to a decline in the price of the underlying 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 theover-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 offsettng interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

248

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, 2019, are (amounts in thousands):

Portfolio

Asset Derivatives

Liability Derivatives

Statement of Assets and

Liabilities Location

Value

Statement of Assets and

Liabilities Location

Value

Index 500 Stock Portfolio

Equity contracts

Receivables – Futures Variation Margin

109

Payables – Futures Variation Margin

Large Company Value Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

Index 400 Stock Portfolio

Equity contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

Mid Cap Value Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

115

Payables – Foreign Currency Purchased

324

249

Notes to Financial Statements

Portfolio

Asset Derivatives

Liability Derivatives

Statement of Assets and

Liabilities Location

Value

Statement of Assets and

Liabilities Location

Value

Index 600 Portfolio

Equity contracts

Receivables – Outstanding Swaps Contracts, at Value

$496

Payables – Outstanding Swaps Contracts, at Value

International Growth Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

Research International Core Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

International Equity Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

Short-Term Bond Portfolio

Interest rate contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

Interest rate contracts

Receivables – Cleared Swap Variation Margin

Payables – Cleared Swap Variation Margin

Interest rate contracts

Receivables – Outstanding Options Written, at Value

Payables – Outstanding Options Written, at Value

Inflation Protection Portfolio

Foreign exchange contracts

Receivables – Foreign Currency Sold

Payables – Foreign Currency Purchased

Interest rate contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

Inflation contracts

Receivables – Cleared Swap Variation Margin

102

Payables – Cleared Swap Variation Margin

Inflation contracts

Receivables – Outstanding Swaps Contracts, at Value

425

Payables – Outstanding Swaps Contracts, at Value

4,372

Multi-Sector Bond Portfolio

Credit contracts

Receivables – Outstanding Swaps Contracts, at Value

1,122

Payables – Outstanding Swaps Contracts, at Value

Credit contracts

Receivables – Cleared Swap Variation Margin

Payables – Cleared Swap Variation Margin

Foreign exchange contracts

Receivables – Foreign Currency Sold

1,202

Payables – Foreign Currency Purchased

3,930

Interest rate contracts

Receivables – Outstanding Options Written, at Value

Payables – Outstanding Options Written, at Value

108

Interest rate contracts

Receivables – Futures Variation Margin

Payables – Futures Variation Margin

403

Interest rate contracts

Receivables – Cleared Swap Variation Margin

Payables – Cleared Swap Variation Margin

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the year ended December 31, 2019 are (amounts in thousands):


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options Written		Futures			Forward Currency Contracts		Swaps		Total
Index 500 Stock Portfolio
Equity contracts	$	-	$	8,837		$	-	$	-	$	8,837
Large Company Value Portfolio
Foreign currency exchange contracts		-		-			377		-		377
Equity Income Portfolio
Equity contracts		-		(7	)		9		-		2

250

Notes to Financial Statements


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options Written		Futures			Forward Currency Contracts			Swaps			Total
Index 400 Stock Portfolio
Equity contracts	$	-	$	3,578		$	-		$	-		$	3,578
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-			634			-			634
Index 600 Stock Portfolio
Equity contracts		-		-			-			35			35
International Growth Portfolio
Foreign currency exchange contracts		-		-			(70	)		-			(70	)
Research International Core Portfolio
Foreign currency exchange contracts		-		-			(31	)		-			(31	)
International Equity Portfolio
Foreign currency exchange contracts		-		-			(386	)		-			(386	)
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-			(159	)		-			(159	)
Short-Term Bond Portfolio
Interest rate contracts		-		856			-			-			856
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		42		3,414			-			(184	)		3,272
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-			29			-			29
Interest rate contracts		-		(1,425	)		-			-			(1,425	)
Credit contracts		-		-			-			(102	)		(102	)
Inflation contracts		-		-			-			(830	)		(830	)
Multi-Sector Bond Portfolio
Credit contracts		-		-			-			8,376			8,376
Foreign currency exchange contracts		-		-			7,405			-			7,405
Interest rate contracts		885		15,281			-			(3,704	)		12,462
Balanced Portfolio
Equity contracts		-		2,408			-			-			2,408
Asset Allocation Portfolio
Equity contracts		-		292			-			-			292

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the year ended December 31, 2019 are (amounts in thousands):


	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options Written		Futures		Forward Currency Contracts		Swaps		Total
Index 500 Stock Portfolio
Equity contracts	$	-	$	1,303	$	-	$	-	$	1,303
Large Company Value Portfolio
Foreign currency exchange contracts		-		-		118		-		118
Equity Income Portfolio
Foreign currency exchange contracts		-		-		2		-		2
Index 400 Stock Portfolio
Equity contracts		-		1,132		-		-		1,132
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-		53		-		53
Index 600 Stock Portfolio
Equity Contracts		-		-		-		2,102		2,102
International Growth Portfolio
Foreign currency exchange contracts		-		-		9		-		9
Research International Core Portfolio
Foreign currency exchange contracts		-		-		27		-		27

251

Notes to Financial Statements


	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options Written		Futures			Forward Currency Contracts			Swaps			Total
International Equity Portfolio
Foreign currency exchange contracts	$	-	$	-		$	37		$	-		$	37
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-			15			-			15
Short-Term Bond Portfolio
Interest rate contracts		-		(442	)		-			-			(442	)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		10		(1,272	)		-			(826	)		(2,088	)
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-			(110	)		-			(110	)
Interest rate contracts		-		738			-			-			738
Inflation contracts		-		-			-			920			920
Multi-Sector Bond Portfolio
Credit contracts		-		-			-			8,178			8,178
Foreign currency exchange contracts		-		-			(2,363	)		-			(2,363	)
Interest rate contracts		77		(6,510	)		-			1,444			(4,989	)
Balanced Portfolio
Equity contracts		-		(39	)		-			-			(39	)
Asset Allocation Portfolio
Equity contracts		-		36			-			-			36

Volumes on derivative instruments by contract type and primary risk exposure, for the year ended December 31, 2019 are:


Portfolio	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
	Exchange Traded Options		Futures		Forward Currency Contracts		Swaps		Over the Counter Options
Index 500 Stock Portfolio
Equity contracts		-		262		-		-		-
Large Company Value Portfolio
Foreign currency exchange contracts		-		-		16,439		-		-
Equity Income Portfolio
Equity contracts		-		4		-		-		-
Index 400 Stock Portfolio
Equity contracts		-		111		-		-		-
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-		43,253		-		-
Index 600 Stock Portfolio
Equity contracts		-		-		-		9		-
International Growth Portfolio
Foreign currency exchange contracts		-		-		843		-		-
Research International Core Portfolio
Foreign currency exchange contracts		-		-		1		-		-
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-		3		-		-
Short-Term Bond Portfolio
Interest rate contracts		-		389		-		-		-
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		34		527		-		18,343		-

252

Notes to Financial Statements


Portfolio	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
	Exchange Traded Options		Futures		Forward Currency Contracts		Swaps		Over the Counter Options
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-		3,010		-		-
Credit contracts		-		-		-		3,640		-
Interest rate contracts		-		246		-		-		-
Inflation contracts		-		-		-		120,650		-
Multi-Sector Bond Portfolio
Credit contracts		-		-		-		251,785		-
Foreign currency exchange contracts		-		-		594,489		-		-
Interest rate contracts		53,024		1,588		-		347,725		30,900
Balanced Portfolio
Equity contracts		-		30		-		-		-
Asset Allocation Portfolio
Equity contracts		-		5		-		-		-

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.

Master Netting Arrangements

The Portfolios are subject to various Master Agreements that govern the terms of certain transactions. Master Repurchase Agreements and Global Master Repurchase Agreements are in place that governs repurchase, reverse repurchase, and sale-buyback financing transactions. Master Securities Forward Transaction Agreements are in place that govern the settlement of certain forward settling transactions includingto-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 counterparty would allow the fund 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.

253

Notes to Financial Statements

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 nettng 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 nettng or similar agreements. The amount of collateral, for the year ended December 31, 2019, 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 Contacts		Swaps		Total Assets		Forward Contacts			Swaps		Total Liabilities			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Morgan Stanley Capital Services	$	16	$	-	$	16	$	(56	)	$	-	$	(56	)	$	(40	)	$	-	$	(40	)

Total	$	16	$	-	$	16	$	(56	)	$	-	$	(56	)	$	(40	)	$	-	$	(40	)


Mid Cap Value Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward Contacts			Swaps		Total Liabilities			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Goldman Sachs International	$	-	$	-	$	-	$	(136	)	$	-	$	(136	)	$	(136	)	$	-	$	(136	)
Morgan Stanley Capital Services, Inc.		115		-		115		(188	)		-		(188	)		(73	)		73		-

Total	$	115	$	-	$	115	$	(324	)	$	-	$	(324	)	$	(209	)	$	73	$	(136	)

Index 600 Stock Portfolio


	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward Contacts			Swaps			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
JP Morgan Chase Bank NA	$	-	$	496	$	496	$	-		$	-		$	-		$	496		$	(496	)	$	-

Total	$	-	$	496	$	496	$	-		$	-		$	-		$	496		$	(496	)	$	-


Inflation Protection Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward Contacts			Swaps			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Bank of America NA	$	-	$	9	$	9	$	-		$	(1,575	)	$	(1,575	)	$	(1,566	)	$	1,566		$	-
Barclays Bank PLC		-		2		2		-			(2,468	)		(2,468	)		(2,466	)		-			(2,466	)
Goldman Sachs International		-		414		414		-			(329	)		(329	)		85			-			85
Morgan Stanley Capital Services, Inc.		-		-		-		(38	)		-			(38	)		(38	)		-			(38	)

Total	$	-	$	425	$	425	$	(38	)	$	(4,372	)	$	(4,410	)	$	(3,985	)	$	1,566		$	(2,419	)

254

Notes to Financial Statements

Multi-Sector Bond Portfolio


	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward Contacts			Written Options			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Bank of America NA	$	42	$	-	$	42	$	(92	)	$	-		$	(92	)	$	(50	)	$	-		$	(50	)
Barclays Bank PLC		6		161		167		-			-			-			167			-			167
BNP Paribas SA		413		1		414		(1,338	)		-			(1,338	)		(924	)		319			(605	)
Goldman Sachs International		691		479		1,170		(75	)		(93	)		(168	)		1,002			(1,002	)		-
HSBC Bank USA NA		-		152		152		-			-			-			152			(152	)		-
JP Morgan Chase Bank NA		46		215		261		(1	)		-			(1	)		260			(210	)		50
Morgan Stanley Capital Services		-		110		110		-			-			-			110			-			110
Royal Bank of Scotland PLC		-		-		-		(426	)		-			(426	)		(426	)		61			(365	)
UBS AG		4		4		8		(1,998	)		-			(1,998	)		(1,990	)		1,788			(202	)

Total	$	1,202	$	1,122	$	2,324	$	(3,930	)	$	(93	)	$	(4,023	)	$	(1,699	)	$	804		$	(895	)

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	$	15,000		$	-		$	-		$	15,000		$	(15,000	)	$	-
Bank of Nova Scotia		9,000			-			-			9,000			(9,000	)		-
BNP Paribas SA		39,000			-			-			39,000			(39,000	)		-
Citigroup Global Markets		20,000			-			-			20,000			(20,000	)		-
Goldman Sachs International		10,000			-			-			10,000			(10,000	)		-
HSBC Bank USA		5,000			-			-			5,000			(5,000	)		-
Mitsubishi UFJ Securities USA		10,000			-			-			10,000			(10,000	)		-
Mizuho Bank		10,000			-			-			10,000			(10,000	)		-
Natixis SA		20,000			-			-			20,000			(20,000	)		-
TD Securities USA		6,000			-			-			6,000			(6,000	)		-

Total	$	144,000		$	-		$	-		$	144,000		$	(144,000	)	$	-


Long-Term US Government Bond Portfolio

Counterparty	Payable for Short Sales			Payable for Reverse Repurchase Agreements			Payable for Financing Transactions			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Barclays Bank PLC	$	-		$	-		$	(2,101	)	$	(2,101	)	$	2,097		$	(4	)
Goldman Sachs International		(3,290	)		-			(111,567	)		(114,857	)		111,557			(3,300	)
Morgan Stanley Capital Services		(1,131	)		-			(31,214	)		(32,345	)		31,214			(1,131	)
Credit Suisse AG		(948	)		-			-			(948	)		-			(948	)
Bank of Montreal		-			(13,230	)		-			(13,230	)		13,230			-
NatWest Markets Securities, Inc.		-			(12,125	)		-			(12,125	)		12,125			-

Total	$	(5,369	)	$	(25,355	)	$	(144,882	)	$	(175,606	)	$	170,223		$	(5,383	)


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	$	13,300		$	-		$	-		$	13,300		$	(13,300	)	$	-
Deutsche Bank AG		36,700			-			-			36,700			(36,700	)		-
JP Morgan Chase Bank NA		110,700			-			-			110,700			(110,700	)		-

Total	$	160,700		$	-		$	-		$	160,700		$	(160,700	)	$	-

255

Notes to Financial Statements

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 at a fixed annual rate based on the average daily net asset values of the Portfolio.


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

256

Notes to Financial Statements

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%

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


Portfolio			Expiration
Focused Appreciation Portfolio	0.90	%		April 30, 2020
Large Cap Blend Portfolio	0.85	%		April 30, 2020
Large Company Value Portfolio	0.80	%		April 30, 2020
Domestic Equity Portfolio	0.75	%		April 30, 2020
Equity Income Portfolio	0.75	%		April 30, 2020
Mid Cap Value Portfolio	1.00	%		April 30, 2020
Index 600 Stock Portfolio	0.35	%		April 30, 2020
Small Cap Value Portfolio	1.00	%		April 30, 2020
International Growth Portfolio	1.10	%		April 30, 2020
Research International Core Portfolio	1.15	%		April 30, 2020
Emerging Markets Equity Portfolio	1.50	%		April 30, 2020
Short-Term Bond Portfolio	0.45	%		April 30, 2020
Long-Term U.S. Government Bond Portfolio	0.65	%		April 30, 2020
Inflation Protection Portfolio	0.65	%		April 30, 2020
Multi-Sector Bond Portfolio	0.90	%		April 30, 2020
Asset Allocation Portfolio	0.75	%		April 30, 2020

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 $400 million, 0.38% on the next $500 million, and 0.36% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

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, 2020.

Large Cap Blend Portfolio — Effective May 1, 2019, MSA has agreed to waive a portion of its management fee such that the management fee is 0.76% on the Portfolio’s first $150 million of average net assets, 0.69% 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, 2020.

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, 2020.

257

Notes to Financial Statements

Large Company Value 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 $100 million of average net assets, 0.65% 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, 2020.

Domestic Equity Portfolio — For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 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, 0.47% on the next $500 million, and 0.45% on the average net assets in excess of $1 billion. Effective May 1, 2019, 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, 0.46% on the next $500 million, and 0.44% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

Equity Income Portfolio — For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 0.62% on the Portfolio’s first $500 million of average net assets, 0.55% on the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. Effective May 1, 2019, MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $500 million of average net assets, 0.55% 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, 2020.

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, 2020.

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, 2020.

Mid Cap Value Portfolio — For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 0.79% on the Portfolio’s first $150 million of average net assets, 0.69% on the next $350 million, and 0.66% on the average net assets in excess of $500 million. Effective May 1, 2019, 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, 0.68% on the next $350 million, and 0.65% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

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, 2020.

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, 2020.

International Equity Portfolio — For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 0.77% on the Portfolio’s first $50 million of average net assets, 0.57% on the next $450 million, 0.54% on the next $500 million, 0.47% on the next $500 million, and 0.41% on the average net assets in excess of $1.5 billion. Effective May 1, 2019, MSA has agreed to waive a portion of its management fee such that the management fee is 0.77% on the Portfolio’s first $50 million of average net assets, 0.57% on the next $450 million, 0.54% on the next $500 million, 0.46% on the next $500 million, and 0.40% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

258

Notes to Financial Statements

Emerging Markets Equity Portfolio — For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that its management fee was 1.01% on the Portfolio’s first $250 million of average net assets, 0.93% on the next $250 million, 0.91% on the next $500 million, and 0.78% on average net assets in excess of $1 billion. Effective May 1, 2019, MSA has agreed to waive a portion of its management fee such that its management fee is 1.00% on the Portfolio’s first $250 million of average net assets, 0.92% on the next $250 million, 0.89% on the next $500 million, and 0.78% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

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, 2020.

Select Bond Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.30% on the Portfolio’s first $2 billion of average net assets, and 0.28% on average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

Inflation Protection Portfolio — MSA agreed to waive a portion of its management fee such that the management fee is 0.55% on the Portfolio’s first $100 million of average net assets, 0.50% on the next $150 million, and 0.46% on average net assets in excess of $250 million. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

Multi-Sector Bond Portfolio — For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 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 0.67% on average net assets in excess of $500 million. Effective May 1, 2019, 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, 2020.

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, 2020.

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, 2020.

Waivers are not recoupable in future periods.

259

Notes to Financial Statements

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

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

NOTE 8. FEDERAL INCOME TAX MATTERS

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

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

A summary of the Portfolios’ capital loss carryovers as of December 31, 2019 is provided below:


	Short-Term Loss Carryover		Long-Term Loss Carryover		Losses Utilized
	(Amounts in thousands)
Mid Cap Value Portfolio	$	-	$	972	$	-
International Equity Portfolio		8,477		32,052		-
Emerging Markets Equity Portfolio		-		25,681		2,106
Short-Term Bond Portfolio		589		1,582		915
Select Bond Portfolio		-		-		94,989
Long-Term U.S. Government Bond Portfolio		-		-		3,437
Inflation Protection Portfolio		-		3,162		-
High Yield Bond Portfolio		-		2,799		591
Multi-Sector Bond Portfolio		-		-		19,803

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, 2019 and 2018 was as follows:


	2019 Distributions Paid From:				2018 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain		Ordinary Income		Long-term Capital Gain
	(Amounts in thousands)
Growth Stock Portfolio	$	6,805	$	106,399	$	19,301	$	92,900
Focused Appreciation Portfolio		6,173		54,376		5,061		24,625
Large Cap Core Stock Portfolio		13,646		22,424		13,132		162,866
Large Cap Blend Portfolio		2,532		14,864		1,436		7,945
Index 500 Stock Portfolio		56,663		82,720		55,595		28,215
Large Company Value Portfolio		6,196		11,792		6,580		11,246
Domestic Equity Portfolio		16,003		40,576		16,392		26,745
Equity Income Portfolio		18,939		46,492		18,363		58,421
Mid Cap Growth Stock Portfolio		39,746		9,001		48,744		135,034
Index 400 Stock Portfolio		14,492		57,161		11,291		57,311
Mid Cap Value Portfolio		14,500		43,694		14,430		43,616
Small Cap Growth Stock Portfolio		16,390		72,405		6,699		44,317
Index 600 Stock Portfolio		3,823		15,086		5,807		7,556

260

Notes to Financial Statements


	2019 Distributions Paid From:				2018 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain		Ordinary Income		Long-term Capital Gain
	(Amounts in thousands)
Small Cap Value Portfolio	$	3,918	$	87,580	$	4,714	$	45,147
International Growth Portfolio		9,182		2,373		9,563		-
Research International Core Portfolio		11,737		18,842		10,485		-
International Equity Portfolio		43,077		78,760		45,976		-
Emerging Markets Equity Portfolio		8,489		-		9,240		-
Government Money Market Portfolio		8,386		-		6,510		-
Short-Term Bond Portfolio		6,513		-		4,636		-
Select Bond Portfolio		85,804		-		67,892		-
Long-Term U.S. Government Bond Portfolio		2,528		-		4,123		671
Inflation Protection Portfolio		9,618		-		7,199		-
High Yield Bond Portfolio		45,460		-		43,280		-
Multi-Sector Bond Portfolio		44,581		-		26,878		-
Balanced Portfolio		51,405		111,848		55,333		46,465
Asset Allocation Portfolio		6,129		17,044		6,104		6,578

As of December 31, 2019 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	$	7,243	$	188,737	$	-		$	184,589
Focused Appreciation Portfolio		5,853		44,520		-			391,003
Large Cap Core Stock Portfolio		8,189		16,446		-			114,568
Large Cap Blend Portfolio		8,282		2,310		-			44,616
Index 500 Stock Portfolio		67,113		72,356		-			2,222,388
Large Company Value Portfolio		4,036		6,787		-			21,952
Domestic Equity Portfolio		17,733		40,200		-			257,632
Equity Income Portfolio		33,855		29,981		-			144,403
Mid Cap Growth Stock Portfolio		3,099		49,141		-			180,508
Index 400 Stock Portfolio		12,712		43,558		-			237,729
Mid Cap Value Portfolio		9,956		-		(972	)		70,084
Small Cap Growth Stock Portfolio		8,760		30,789		-			144,830
Index 600 Stock Portfolio		6,045		9,975		-			39,003
Small Cap Value Portfolio		4,829		31,267		-			158,419
International Growth Portfolio		13,439		3,199		-			226,387
Research International Core Portfolio		17,144		13,796		-			125,249
International Equity Portfolio		56,976		-		(40,529	)		81,178
Emerging Markets Equity Portfolio		18,262		-		(25,681	)		131,460
Government Money Market Portfolio		-		-		-			-
Short-Term Bond Portfolio		8,186		-		(2,171	)		2,602
Select Bond Portfolio		108,722		-		-			40,073
Long-Term U.S. Government Bond Portfolio		9,500		2,162		-			(6,798	)
Inflation Protection Portfolio		7,844		-		(3,162	)		4,994
High Yield Bond Portfolio		47,246		-		(2,799	)		9,050
Multi-Sector Bond Portfolio		42,444		185		-			33,115
Balanced Portfolio		58,431		73,855		-			162,835
Asset Allocation Portfolio		7,006		11,152		-			24,893

NOTE 9. VOLUNTARY REIMBURSEMENTS

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

261

Notes to Financial Statements

Voluntary reimbursements for the year ended December 31, 2019 are summarized below:


Portfolio	2019 Reimbursements
International Growth Portfolio	$	858,932
International Equity Portfolio		5,395,054
Research International Core Portfolio		1,652,751
Emerging Markets Equity Portfolio		1,371,574

NOTE 10. GUARANTEES

In the normal course of business, the Portfolios enter into contracts that contain a variety of representations which provide general indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, the Portfolios expect the risk of material loss to be remote.

NOTE 11. INVESTMENT INCOME AND SECURITIES TRANSACTIONS

For the year ended December 31, 2019, 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	$	1,168,402	$	-	$	1,213,618	$	-
Focused Appreciation Portfolio		61,990		-		144,629		-
Large Cap Core Stock Portfolio		312,898		-		346,769		-
Large Cap Blend Portfolio		37,668		-		53,001		-
Index 500 Stock Portfolio		121,826		-		126,631		-
Large Company Value Portfolio		116,612		-		128,277		-
Domestic Equity Portfolio		128,322		-		99,411		-
Equity Income Portfolio		138,322		-		192,360		-
Mid Cap Growth Stock Portfolio		326,177		-		419,549		-
Index 400 Stock Portfolio		156,315		-		147,042		-
Mid Cap Value Portfolio		229,821		-		231,169		-
Small Cap Growth Stock Portfolio		253,325		-		281,941		-
Index 600 Stock Portfolio		102,498		-		82,107		-
Small Cap Value Portfolio		143,767		-		186,883		-
International Growth Portfolio		168,460		-		147,911		-
Research International Core Portfolio		151,785		-		119,425		-
International Equity Portfolio		703,359		-		702,592		-
Emerging Markets Equity Portfolio		206,815		-		165,098		-
Short-Term Bond Portfolio		150,288		84,425		116,189		63,710
Select Bond Portfolio		3,979,480		8,654,392		3,759,313		8,669,617
Long-Term U.S. Government Bond Portfolio		2,357		63,051		7		7,048
Inflation Protection Portfolio		97,174		68,582		65,939		72,603
High Yield Bond Portfolio		260,386		-		260,644		-
Multi-Sector Bond Portfolio		266,651		50,765		186,686		51,767
Balanced Portfolio		347,605		-		357,904		-
Asset Allocation Portfolio		46,674		-		40,422		-

262

Notes to Financial Statements

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, 2019 are as follows:


Portfolio	Value at 12/31/2018		Purchases		Sales		Value at 12/31/2019		Change in Unrealized Appreciation /Depreciation			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 12/31/2019
							(Amounts in thousands)
Balanced:
Growth Stock	$	125,484	$	15,530	$	13,400	$	148,423	$	18,212		$	2,597		$	933	$	14,596		13.7	%
Focused Appreciation		65,037		4,480		10,200		74,798		12,702			2,778			457		4,023		7.4	%
Large Cap Core Stock		63,284		4,341		7,700		74,685		14,634			126			855		3,487		11.8	%
Large Cap Blend		66,379		7,369		7,600		74,166		6,261			1,757			799		6,570		42.4	%
Large Company Value		64,660		6,595		7,500		74,455		10,405			295			1,582		5,013		36.2	%
Domestic Equity		67,231		4,673		5,600		75,145		7,003			1,838			1,308		3,364		8.2	%
Equity Income		64,672		6,037		6,700		74,664		9,894			761			1,648		4,388		9.2	%
Mid Cap Growth Stock		88,838		4,098		17,500		98,796		25,571			(2,211	)		169		3,930		8.6	%
Mid Cap Value		85,154		9,987		6,500		102,576		13,539			397			1,525		8,462		17.3	%
Small Cap Growth Stock		19,908		6,721		5,500		25,186		3,202			855			18		2,703		3.7	%
Small Cap Value		29,958		7,044		16,000		24,746		2,872			872			91		2,954		4.1	%
International Growth		41,168		3,463		4,000		53,687		12,403			653			566		146		6.6	%
Research International Core		102,333		10,327		8,000		127,977		21,145			2,171			1,853		2,974		16.3	%
International Equity		38,248		5,643		-		45,974		2,084			-			1,023		1,870		2.6	%
Emerging Markets Equity		9,714		11,622		-		23,277		1,941			-			122		-		2.8	%
Select Bond		819,476		59,312		41,000		886,562		46,719			2,055			23,812		-		27.8	%
High Yield Bond		130,276		7,873		11,000		138,443		11,628			(334	)		7,873		-		16.4	%

	$	1,881,820	$	175,115	$	168,200	$	2,123,560	$	220,215		$	14,610		$	44,634	$	64,480

Asset Allocation:
Growth Stock	$	18,864	$	2,399	$	1,300	$	23,079	$	2,866		$	249		$	144	$	2,256		2.1	%
Focused Appreciation		9,769		691		1,170		11,626		2,017			319			70		622		1.1	%
Large Cap Core Stock		10,734		754		950		13,059		2,505			17			148		606		2.1	%
Large Cap Blend		11,335		1,279		1,000		12,980		1,133			234			139		1,140		7.4	%
Large Company Value		9,804		1,020		870		11,581		1,594			33			245		775		5.6	%
Domestic Equity		9,998		725		370		11,679		1,206			120			203		522		1.3	%
Equity Income		9,620		933		540		11,608		1,535			58			255		678		1.4	%
Mid Cap Growth Stock		12,844		612		2,125		14,742		3,659			(247	)		25		586		1.3	%
Mid Cap Value		12,228		1,462		675		15,020		1,968			37			223		1,239		2.5	%
Small Cap Growth Stock		4,736		1,494		675		6,495		800			140			5		739		1.0	%
Small Cap Value		6,151		1,593		1,925		6,468		535			114			25		818		1.1	%
International Growth		7,803		518		300		10,567		2,497			49			114		29		1.3	%
Research International Core		17,045		1,601		300		22,325		3,897			81			327		524		2.8	%
International Equity		7,291		926		-		8,605		389	��		-			195		356		0.5	%
Emerging Markets Equity		1,920		1,524		-		3,824		379			-			24		-		0.5	%
Select Bond		56,264		5,821		2,500		62,926		3,270			71			1,721		-		2.0	%
High Yield Bond		21,209		1,282		1,500		22,838		1,892			(45	)		1,282		-		2.7	%

	$	227,615	$	24,634	$	16,200	$	269,422	$	32,142		$	1,230		$	5,145	$	10,890

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 (Hi) 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 orsub-adviser (or affiliated investment advisers) or common directors and/or officers, pursuant to procedures adopted by the Board under Rule17a-7 of the 1940 Act (“Procedures”). These Procedures have been designed to ensure that any cross-trade of securities by a Portfolio complies with Rule17a-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, 2019, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):



Portfolio	Cross Trade Purchases
Large Cap Core Portfolio	$	2,765
Large Company Value Portfolio		1,897
Mid Cap Growth Stock Portfolio		613


	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gain (Loss) on Sales
Large Cap Core Portfolio	$	2,091	$	218
Large Company Value Portfolio		1,564		67
Mid Cap Growth Stock Portfolio		539		(143	)

263

Notes to Financial Statements



Portfolio	Cross Trade Purchases
Portfolio	Cross Trade Purchases
Mid Cap Value Portfolio	$	2,541
Small Cap Growth Portfolio		751
Small Cap Value Portfolio		270
International Growth Portfolio		4,066
Research International Core Portfolio		294
High Yield Bond Portfolio		2,422


	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gain (Loss) on Sales
Mid Cap Value Portfolio	$	1,114	$	52
Small Cap Value Portfolio		904		(1,412	)
International Equity Portfolio		3,983		(981	)
International Growth Portfolio		7,094		221
Research International Core Portfolio		95		30

NOTE 12. LITIGATION

The Index 500 Stock, Small Cap Value and Equity Income Portfolios are among the defendants in two lawsuits relating to their receipt of proceeds from the 2007 Tribune Co. leveragedbuy-out (“Tribune LBO”) transaction. One lawsuit asserts that the directors and officers of Tribune Co. intentionally defrauded Tribune creditors because Tribune was either insolvent or rendered insolvent by the transactions. Counsel for the Series Fund and other institutional defendants filed a motion to dismiss the intentional fraudulent transfer case in the Southern District of New York and the district court judge granted the motion to dismiss without leave to amend. The dismissal is being appealed to the U.S. Court of Appeals for the Second Circuit. The other set of lawsuits asserts that the transfer of proceeds to the above-noted Portfolios (and other shareholders) as part of the Tribune LBO were constructively fraudulent. Following the consolidation of the cases in the United States District Court for the Southern District of New York, the district court judge granted the motion to dismiss the constructive fraud lawsuit, and the dismissal was subsequently affirmed by the U.S. Court of Appeals for the Second Circuit. The appeal of the dismissal of the lawsuit was reconsidered by the U.S. Court of Appeals for the Second Circuit and the dismissal was reaffirmed. The lawsuits allege no misconduct by the Portfolios or management, and management intends to vigorously defend all claims and allegations. The plaintiffs in both lawsuits seek to recover amounts paid to Tribune shareholders in the leveraged buyout transaction, plus interest and attorneys’ fees and expenses. The value of the proceeds received by these Portfolios in 2007, and the percentage the proceeds represent of each Portfolio’s net assets as of December 31, 2019, were: Index 500 Stock Portfolio $977,000 (0.03%) of net assets; Small Cap Value Portfolio $618,000 (0.10% of net assets); and Equity Income Portfolio $2,873,000 (0.35% of net assets). Management has not concluded that a loss is reasonably likely to occur, and therefore no loss accrual has been recorded.

264

Report of Independent Registered Public Accounting Firm

To the Board of Directors of the Northwestern Mutual Series Fund, Inc. and Shareholders 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.

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, 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 (constituting Northwestern Mutual Series Fund, Inc., hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, and for the Long-Term U.S. Government Bond Portfolio the statement of cash flows for the year ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (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, 2019, 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, 2019, for the 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, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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.

265

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, 2019 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.

LOGO

Milwaukee, WI

February 19, 2020

We have served as the auditor of one or more investment companies in Northwestern Mutual Series Fund, Inc. since 1984.

266

Abbreviations (unaudited)

Abbreviations that may be used in the preceding statements


ADR		American Depositary Receipt
AFC		Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR		Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
EXE		Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.
IO		Interest Only Security
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
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
TBA		To Be Announced


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
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
PHP		Philippines Peso
PLN		Polish Zloty
RUB		Russian Ruble
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thai Baht
TRY		Turkish Lira
TWD		Taiwan Dollar
ZAR		South African Rand

267

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 free1-888-455-2232. It is also available on the Securities and Exchange Commission’s website athttp://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 free1-888-455-2232. It is also available on the Securities and Exchange Commission’s website athttp://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 FormN-PORT. Each Portfolio’s holdings reported on FormN-PORT for the first and third quarters of the fiscal year are available on the SEC’s website athttp://www.sec.gov. Portfolios that file their holdings on FormN-PORT also make their complete schedule of portfolio holdings for the most recent quarter of their fiscal year available on the Internet atwww.northwesternmutual.com.

The Government Money Market Portfolio files its complete schedule of portfolio holdings on a monthly basis with the SEC on FormN-MFP. FormN-MFP is available on the SEC’s website athttp://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 atwww. northwesternmutual.com.

268

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, 2019, 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 thirteen (13) 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 calling1-888455-2232.

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
Miriam M. Allison 720 East Wisconsin Avenue Milwaukee, WI 53202 1947	Director	Since 2006	27	Director of Wasatch Funds Trust (17 portfolios)

Principal Occupation During Past 5 Years: Rancher since 2004. From 2001 to 2005, Chairman of UMB Fund Services, Inc. (formerly Sunstone Financial Group, Inc.), a mutual fund service provider.
Robert H. Huffman III 720 East Wisconsin Avenue Milwaukee, WI 53202 1959	Director	Since 2007	27	None

Principal Occupation During Past 5 Years: Since 2004,Co-Founder and CEO of Relative Value Partners, LLC, a registered investment adviser
Christy L. Brown 720 East Wisconsin Avenue Milwaukee, WI 53202 1965	Director	Since 2012	27	None

Principal Occupation During Past 5 Years: Since October 2012, Chief Executive Officer, Girl Scouts of Wisconsin Southeast. From 2007 to 2012, Vice Chancellor, Finance and Administrative Affairs, University of Wisconsin, Milwaukee.
Gail L. Hanson 720 East Wisconsin Avenue Milwaukee, WI 53202 1955	Director	Since 2012	27	Director of Artisan Partner Funds (15 portfolios)

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.
William Gerber 720 East Wisconsin Avenue Milwaukee, WI 53202 1958	Director	Since 2017	27	Director of Ballantyne Strong, Inc., a developer of technology solutions for digital applications (2015 to present)

Principal Occupation During Past5 Years: Retired. From 2006 to 2015, Chief Financial Officer, and from 2007 to 2015, Executive Vice President, of TD Ameritrade Holdings Corporation.

269

Director and Officer Information (unaudited)


Name, Address, and Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held¹

David Ribbens 720 East Wisconsin Avenue Milwaukee, WI 53202 1961	Director	Since 2017	27	None

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 720 East Wisconsin Avenue Milwaukee, WI 53202 1957	Director	Since 2017	27	None

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 andCo-Head of Fixed Income Sales at Keefe, Bruyette and Woods, Inc.

^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

Ronald P. Joelson 720 East Wisconsin Avenue Milwaukee, WI 53202 1958	Chairman of the Board	Since 2015	27	None

Principal Occupation During Past 5 Years: Since 2012, Executive Vice President of The Northwestern Mutual Life Insurance Company (NM) and Chief Investment Officer of NM. Prior thereto, Chief Investment Officer of Genworth Financial from 2009 to 2012.
Northwestern Mutual Series Fund, Inc. Executive Officers


Name, Address, and Year of Birth	Position	Length of Time Served

Kate M. Fleming 720 East Wisconsin Avenue Milwaukee, WI 53202 1962	President	Since 2013

Principal Occupation During Past 5 Years: Since January 2015, President of Mason Street Advisors. Since 2014, a member of the Board of Directors of Mason Street Advisors. Prior thereto, Vice President – Operations of Mason Street Advisors from 2004-December 2014 and Treasurer of Mason Street Advisors from 2008-December 2014.

270

Director and Officer Information (unaudited)


Name, Address, and Year of Birth	Position	Length of Time Served

Todd M. Jones 720 East Wisconsin Avenue Milwaukee, WI 53202 1968	Vice President; Chief Financial Officer & Treasurer	Since 2015

Principal Occupation During Past 5 Years: Since April 2015, Vice President and Controller of Northwestern Mutual. From November 2012 to April 2015, Vice President and Chief Risk Officer of Northwestern Mutual.
Barbara E. Courtney 720 East Wisconsin Avenue Milwaukee, WI 53202 1957	Controller & Chief Accounting Officer	Since 1996

Principal Occupation During Past 5 Years: Senior Director of Mutual Fund Administration of Northwestern Mutual since 2002.
Randy M. Pavlick 720 East Wisconsin Avenue Milwaukee, WI 53202 1959	Chief Compliance Officer	Since 2014

Principal Occupation During Past 5 Years: Vice President - Managed Investments and Chief Compliance Officer of Mason Street Advisors and Northwestern Mutual Investment Management Company since 2014.
Lesli H. McLinden	Secretary	Since 2014
720 East Wisconsin Avenue
Milwaukee, WI 53202 1962

Principal Occupation During Past 5 Years: Assistant General Counsel and Assistant Secretary of Northwestern Mutual since 2007. Secretary of Mason Street Advisors from 2015 to 2017 and Assistant Secretary since 2017.
Daniel Meehan 720 East Wisconsin Avenue Milwaukee, WI 53202 1973	Vice President - Investments	Since 2012

Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015, Director of Mason Street Advisors from 2007 to 2015.

271

Approval and Continuance of Investment Advisory andSub-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 investmentsub-advisory agreements between Mason Street Advisors, LLC (“Mason Street Advisors”) and each of thesub-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 asub-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 thesub-advisory agreements on a staggered basis during the course of the year.

Board Approvals During theSix-Month Period Ended December 31, 2019

At its August 29, 2019 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 (“Independent Directors”), unanimously approved a new InvestmentSub-Advisory Agreement between Mason Street Advisors and T. Rowe Price Associates, Inc. (T. Rowe Price”) relating to the Series Fund’s Growth Stock Portfolio (the “NewSub-Advisory Agreement”).

Also at its August 29, 2019 meeting, the Board, including the Independent Directors, unanimously approved the continuance of a (1) Third Amended and Restated InvestmentSub-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) Second Amended and Restated InvestmentSub-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) Second Amended and Restated InvestmentSub-Advisory Agreement between Mason Street Advisors and Federated Investment Management Company (“Federated”) relating to the Series Fund’s High Yield Bond Portfolio, and a (4) Second Amended and Restated InvestmentSub-Advisory Agreement between Mason Street Advisors and Loomis, Sayles & Company, L.P. (“Loomis Sayles”) relating to the Series Fund’s Focused Appreciation Portfolio.

At its November 21, 2019 meeting, the Board, including the Independent Directors, unanimously approved the continuance of a (1) Fourth Amended and Restated InvestmentSub-Advisory Agreement between Mason Street Advisors and T. Rowe Price relating to the Series Fund’s Short-Term Bond, Small Cap Value and Equity Income Portfolios, (2) Second Amended and Restated InvestmentSub-Advisory Agreement between Mason Street Advisors and Wells Capital Management, Incorporated (“Wells Capital”) relating to the Series Fund’s Select Bond Portfolio, (3) Third Amended and Restated InvestmentSub-Advisory Agreement between Mason Street Advisors and Pacific Investment Management Company LLC (“PIMCO”) relating to the Series Fund’s Long-Term U.S. Government Bond and Multi-Sector Bond Portfolios, and a (4) Second Amended and Restated InvestmentSub-Advisory Agreement between Mason Street Advisors and BlackRock Advisors, LLC (“BlackRock”) relating to the Series Fund’s Government Money Market Portfolio.

American Century, Delaware, Federated, Loomis Sayles, T. Rowe Price, Wells Capital, PIMCO and BlackRock are sometimes collectively referred to hereinafter as the“Sub-Advisers,” and their respectivesub-advised Portfolios (with the exception of the Growth Stock Portfolio) are collectively referred to herein as the“Sub-Advised Portfolios.” The respective Investment Sub-Advisory Agreements with theSub-Advisers (except for the NewSub-Advisory Agreement with T. Rowe Price) are collectively referred to herein as the “ExistingSub-Advisory Agreements.”

272

Approval and Continuance of Investment Advisory andSub-Advisory Agreements (unaudited)

In determining whether to approve the NewSub-Advisory Agreement and the continuance of the ExistingSub-Advisory Agreements on behalf of the Series Fund, the Board requested and received detailed information from Mason Street Advisors and theSub-Advisers in advance of each meeting to assist them in their evaluation, including information compiled by certain independent providers of evaluative data. With respect to the continuation of the ExistingSub-Advisory Agreements, while particular focus was given to an evaluation of the services, performance, fees, costs, and certain other relevant information under such Agreements at the meeting at which their continuation is formally considered, the evaluation process with respect to theSub-Advisers and the nature, extent and quality of the services they provide to theSub-Advised Portfolios pursuant to the terms of the ExistingSub-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 review and approval of the NewSub-Advisory Agreement and the continuance of the ExistingSub-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 tosub-advisers under the Series Fund’s manager of managers structure. During the course of their deliberations, the Independent Directors had the opportunity to meet privately without representatives of Mason Street Advisors and theSub-Advisers present, and were represented throughout the process by legal counsel.

Continuation of theSub-Advisory Agreements between Mason Street Advisors and CertainSub-Advisors

At its August 29, 2019 and November 21, 2019 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the ExistingSub-Advisory Agreements. In connection with those meetings, the directors received a presentation from representatives of eachSub-Adviser involved in the management of the respectiveSub-Advised Portfolios. In addition to the information presented by and about theSub-Advisers during the course of those meetings, the directors also had available for consideration eachSub-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 theSub-Advisers designed to assist the directors in fulfilling their responsibilities when considering the continuation of the ExistingSub-Advisory Agreements. The directors also had available Mason Street Advisors’ Executive Summary and Overview regarding each of theSub-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 theSub-Advised Portfolios. The materials also contained an analysis of theSub-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 theSub-Advisers. The directors also considered their experience with and knowledge of the nature and quality of the services provided by theSub-Advisers and their ongoing discussions with representatives of Mason Street Advisors, its affiliates and eachSub-Adviser.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of each of the ExistingSub-Advisory Agreements include those discussed below. The directors evaluated a variety of information they deemed relevant on aPortfolio-by-Portfolio basis. No one particular factor was identified as determinative, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the Board. Further, different directors may have placed greater weight on certain factors than did other directors.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of eachSub-Adviser’s services the directors reviewed eachSub-Adviser’s financial strength, assets under management, and overall reputation. The directors evaluated the investment strategies employed by eachSub-Adviser, as well as the personnel providing such services with respect to eachSub-Advised Portfolio. The directors considered informational updates given by the portfolio managers, which included reports regarding how theSub-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 theSub-Advisers.

273

Approval and Continuance of Investment Advisory andSub-Advisory Agreements (unaudited)

With respect to American Century, the directors considered personnel changes at the organizational and portfolio management level, including American Century’s adoption of aco-Chief Investment Officer structure and the expertise and experience of the persons holding those roles. The directors considered changes to the portfolio management team for the Large Company Value Portfolio that had been implemented, as well as the alignment of the investment process for the Large Company Value Portfolio with American Century’s other value strategy mandates, and observed that these personnel and process changes had made a positive impact on the Portfolio’s performance. With respect to Federated, the directors considered the firm’s enhancement to its investment process to include the addition of ESG factors as part of its qualitative analysis. The directors noted favorably that there had been longstanding stability with respect to the personnel on the investment team for the High Yield Bond Portfolio. With respect to Loomis Sayles, the directors commented positively on the well-articulated investment process employed for the Focused Appreciation Portfolio. The directors considered the expanded responsibilities of the portfolio manager for the Focused Appreciation Portfolio, concluding that the additional duties would not impact the portfolio manager’s ability to continue to provide the same level of service to the Portfolio. With respect to Delaware, the directors noted favorably the addition of two analysts to the firm’s portfolio management team for the Domestic Equity Portfolio. The directors considered compensation arrangements in place at Delaware for the portfolio managers, as well as the level of each portfolio manager’s investment in the respective mandate for which each was responsible. With respect to T. Rowe Price and PIMCO, the directors commented positively on the quality of the presentations made to the Board by their respective investment management teams. With respect to the Equity Income Portfolio in particular, the Board noted favorably that the portfolio manager remained committed to the Portfolio’s investment strategy. With respect to Wells Capital, the directors considered the firm’s succession planning for the portfolio management team serving the Select Bond Portfolio.

The directors also considered and expressed satisfaction with eachSub-Adviser’s investment philosophy and process and the scope of services provided by theSub-Advisers. Consideration was also given to theSub-Advisers’ respective reputations and experience in providing investment management services and the performance of eachSub-Advised Portfolio. Based on their review of these factors, their discussions with theSub-Advisers, and their experience with the services provided by the Sub-Advisers for their respectiveSub-Advised Portfolios, the Board concluded, within the context of their overall determinations regarding the ExistingSub-Advisory Agreements, that they were satisfied with the nature, extent and quality of services, and the resources committed by eachSub-Adviser in providing those services, and were satisfied with the experience and capabilities of theSub-Advisers and the personnel associated with theSub-Advised Portfolios.

Investment Performance. The directors reviewed the investment performance of each of theSub-Advised Portfolios over a variety of time periods. In addition to reviewing the performance of eachSub-Advised Portfolio for both short-term and long-term periods, the directors considered (i) a comparison of eachSub-Advised Portfolio’sone-, three- and five-year (as applicable) performance to the returns of appropriate benchmarks and indices, and to the performance averages of eachSub-Advised Portfolio’s respective Broadridge and Lipper peer groups for the same periods, (ii) the Broadridge overall star rating and Lipper quintile rating for eachSub-Advised Portfolio and (iii) the Broadridge and the Lipper performance rankings forone-, three- and five-year time periods (as applicable). The directors evaluated eachSub-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 theSub-Advised Portfolios. The directors further considered the performance of accounts managed in a similar manner by each of theSub-Advisers and information from theSub-Advisers regarding any significant differences in the performance of those accounts from that of theSub-Advised Portfolios.

The directors commented favorably on the continued strong performance of the Inflation Protection Portfolio. The directors observed that changes to the portfolio management team for the Large Company Value Portfolio had resulted in improved performance. The directors noted that, while the performance of the Mid Cap Value Portfolio had lagged for the three-year period ended June 30, 2019, the Portfolio’s performance over other periods had been more favorable and that, overall, the Portfolio’s performance contour had been consistent with its stated investment strategy. The directors commented favorably

274

Approval and Continuance of Investment Advisory andSub-Advisory Agreements (unaudited)

on the strong performance of the Portfoliossub-advised by Federated and Loomis. The directors considered the comments of Delaware regarding the near-term underperformance of the Domestic Equity Portfolio, and acknowledged that the investment environment had been challenging for value managers. The directors noted favorably the strong performance records achieved by T. Rowe Price with respect to the Small Cap Value Portfolio and PIMCO with respect to the Multi-Sector Bond Portfolio.

In addition to performance information presented at the meeting, the directors considered the detailed performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically throughout the year. 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 and based on the discussion summarized above, the Board concluded that, considering the investment performance within the context of its overall determinations regarding the ExistingSub-Advisory Agreements, it was satisfied with the relative investment performance of theSub-Advised Portfolios.

Management Fees and Other Expenses. The directors evaluated the reasonableness of the management fees and total expenses paid by theSub-Advised Portfolios under the ExistingSub-Advisory Agreements. The directors considered the actual and contractual fees paid by eachSub-Advised Portfolio. The directors also considered thesub-advisory fees paid by Mason Street Advisors out of its management fee, including a comparison of those fees with fees charged by the respectiveSub-Advisers for similarly managed accounts. In considering the level of management fees, the directors also considered the size of theSub-Advised Portfolios, expenses assumed by Mason Street Advisors, and the existing expense limitation and/or fee waiver arrangements agreed to by Mason Street Advisors with respect to eachSub-Advised Portfolio.

As part of their evaluation, the directors received and reviewed an independent analysis prepared by Broadridge of comparative expense data for eachSub-Advised Portfolio. Broadridge provided data as of December 31, 2018 comparing eachSub-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 eachSub-Advised Portfolio’s net and total expense ratios. The directors considered that the Broadridge expense rankings of the Mid Cap Value and Inflation Protection Portfoliossub-advised by American Century, the Domestic Equity Portfoliosub-advised by Delaware, the High Yield Bond Portfoliosub-advised by Federated, the Focused Appreciation Portfoliosub-advised by Loomis Sayles, the Short-Term Bond and Equity Income Portfoliossub-advised by T. Rowe Price, the Select Bond Portfoliosub-advised by Wells Capital, and the Government Money Market Portfoliosub-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 Portfoliosub-advised by American Century, the Small Cap Value Portfoliosub-advised by T. Rowe Price, and the Long-Term U.S. Government Bond and Multi-Sector Bond Portfoliossub-advised by PIMCO were within the second quartile of their respective categories.

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 theSub-Advised Portfolios were reasonable in relation to the nature, scope and quality of services provided and the performance of theSub-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 theSub-Advised Portfolios. The directors considered Mason Street Advisors’ quarterly presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to theSub-Advised Portfolios on an aggregate and a per Portfolio basis, and Mason Street Advisors’ allocation methodology with respect to the revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by the aforementioned information regarding the expense-based ranking of eachSub-Advised Portfolio within the Portfolio’s respective Broadridge peer group category. The directors then considered the profitability information related to certain of theSub-Advised Portfolios where such information had been provided. The directors recognized that thesub-advisory fees were the result ofarm’s-length negotiations between Mason Street

275

Approval and Continuance of Investment Advisory andSub-Advisory Agreements (unaudited)

Advisors and suchSub-Advisers. The directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as theSub-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 certainfall-out benefits that may be realized by Mason Street Advisors and its affiliates due to their relationship with theSub-Advised Portfolios, including the participation of mutual fund families advised by certain Sub-Advisers to theSub-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 theSub-Advisers’ soft dollar arrangements and any other benefits to theSub-Advisers arising from their relationships with theSub-Advised Portfolios. Based on their review, the Board concluded, within the context of their overall determinations regarding the ExistingSub-Advisory Agreements, that they were satisfied that the fees paid by each of theSub-Advised Portfolios, and the profits realized by Mason Street Advisors and theSub-Advisers due to their relationship with the Sub-Advised Portfolios, were not excessive.

Economies of Scale. The directors considered whether eachSub-Advised Portfolio’s expense structure permitted economies of scale to be shared with theSub-Advised Portfolio’s investors. The directors considered the breakpoints contained in the advisory fee schedules for theSub-Advised Portfolios and the extent to which eachSub-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, Select Bond, Long-Term U.S. Government Bond, Multi-Sector Bond and Government Money Market Portfolios. The directors also considered the total assets and expense ratio of eachSub-Advised Portfolio. Based on this information, the Board concluded, within the context of its overall determinations regarding the ExistingSub-Advisory Agreements, that eachSub-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 ExistingSub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Portfolios and information regarding Mason Street Advisors’ and theSub-Advisers’ brokerage practices and commissions. The directors took into consideration reports from Mason Street Advisors on its review of the respective compliance programs of theSub-Advisers, including any recent compliance exceptions noted and the applicableSub-Adviser’s response. Also considered were key affiliations and business relationships between theSub-Advisers and their affiliates and Mason Street Advisors’ parent company and affiliates. Their review further included information relating to eachSub-Adviser’s risk management infrastructure, pending or recent litigation or regulatory actions to which anSub-Adviser or its affiliates may have been a party, and the applicableSub-Adviser’s responses to those actions. The directors also considered information regarding eachSub-Adviser’s code of ethics, approach to portfolio manager compensation, succession planning, as well as information supplied by theSub-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 ExistingSub-Advisory Agreements were fair and reasonable and approved the continuation of each Agreement for another year as being in the best interests of each Portfolio.

276

Approval and Continuance of Investment Advisory andSub-Advisory Agreements (unaudited)

Approval of New InvestmentSub-Advisory Agreement

At the August 29, 2019 meeting, the Board, including the Independent Directors, unanimously approved the NewSub-Advisory Agreement between Mason Street Advisors and T. Rowe Price relating to the Growth Stock Portfolio (the “Portfolio”). The Board’s decision to retain T. Rowe Price assub-adviser for the Portfolio was reached after extensive research, evaluation and review of numerous candidate firms and their respective organizational structures, investment processes and long-term performance records.

Board Consideration of AlternativeSub-Advisory Candidates and Selection of T. Rowe Price as NewSub-Adviser

In determining whether to approve the NewSub-Advisory Agreement on behalf of the Portfolio, the directors requested and received detailed information from Mason Street Advisors and T. Rowe Price to assist them in their evaluation, including reports based upon information compiled by certain independent providers of evaluative data. The Independent Directors also received a memorandum from their counsel advising them of their responsibilities in connection with the approval of the NewSub-Advisory Agreement, and had an opportunity to review with their counsel the legal standards governing the review of the NewSub-Advisory Agreement, including how these standards should be applied to the review of information relating to thesub-adviser under the Series Fund’s manager of managers structure. In addition, during the course of their deliberations, the Independent Directors had the opportunity to meet privately without representatives of Mason Street Advisors and T. Rowe Price, and were represented throughout the process by legal counsel to the Independent Directors.

The material factors and conclusions that formed the basis for the Board’s determination to approve the NewSub-Advisory Agreement include those discussed below. In addition to the information provided to them in anticipation of and at the August 2019 Board meeting, the directors considered thein-person presentation of T. Rowe Price related to the Portfolio at a meeting of the Investment Oversight Committee of the Board held on August 29, 2019, and T. Rowe Price’s responses to the directors’ questions during the presentation session at the Investment Oversight Committee meeting.

The process that culminated with the directors determining to engage T. Rowe Price as the replacement investment sub-adviser for the Portfolio had been initiated by the Board several months earlier. At its February 28, 2019 meeting, the directors instructed Mason Street Advisors to identify potential replacement candidates to serve assub-adviser to the Portfolio. At its June 5, 2019 meeting the Board was presented with a list of qualifyingsub-advisory firms for the Portfolio mandate, along with a detailed review of comparative information regarding each of the candidates. Based upon a review of the list of qualifiedsub-advisers, the directors narrowed down the list of candidates to threesub-advisory candidate firms for the Portfolio mandate.

The three final candidates for the Portfolio mandate were reviewed and considered at the Board’s August 29, 2019 meeting. The directors received anin-person presentation at the August 2019 Board meeting provided by representatives from each of the three candidate firms. Extensive background information and assessment data were used to evaluate, compare and contrast the three candidates. The information compiled for purposes of facilitating the Board’s review of the candidates was a combination of assessment data and evaluative reports developed by Mason Street Advisors as well as data provided by the candidates, which was formatted in a manner to permit the Board to effectively conduct its due diligence review of the information and engage in a thorough comparative analysis. Among other factors, the Board considered details of each candidate’s investment performance and risk/return metrics over various time periods, peer group ratings and rankings, representative holdings, key points of differentiation and competitive advantages, portfolio characteristics, mandate assets under management, investment personnel, process and strategies, proposedsub-advisory fees and breakpoints, the impact on Mason Street Advisors’ profitability, and other operational and enterprise factors. The directors considered information provided regarding each candidate’s investment philosophy and portfolio construction process.

Also considered by the directors were the results of due diligence compliance reviews that had been prepared on the three finalsub-advisory candidates. The due diligence reviews were based on the candidates’ responses to informational requests, as well as interviews with compliance and/or legal staff representatives of each candidate. Such reviews included information about each candidate’s compliance program, compliance policies and procedures, brokerage practices and use of soft dollars,

277

Approval and Continuance of Investment Advisory andSub-Advisory Agreements (unaudited)

trading policies and procedures, codes of ethics and proxy voting procedures. Given that T. Rowe Price currently serves as asub-adviser to the Series Fund’s Small Cap Value, Equity Income and Short-Term Bond Portfolios, and the firm’s compliance program is subject to periodic review and oversight, the compliance assessment of T. Rowe Price was based in part on previous compliance reviews and reports and the experiences with the firm and its compliance function. The Series Fund’s Chief Compliance Officer received compliance-related due diligence materials from T. Rowe Price similar to those materials provided by the othersub-advisory candidates, and such materials were reviewed and reported on by the Series Fund’s Chief Compliance Officer to the directors at the August 2019 Board meeting. The directors also had available for consideration each candidate’s responses to the compliance sections of the informational requests, and the candidates’ responses to informational requests related to proxy voting, brokerage and risk management practices.

The Board’s review of the candidates involved assessment of multiple factors which included, without limitation, the following:

Nature, Extent and Quality of Services. The directors evaluated the nature, scope, extent and quality of services that would be provided to the Portfolio by the threesub-advisory candidates. The directors considered the information developed from the extensive process utilized to identify qualifiedsub-advisers for the Portfolio, as well as the analysis and assessment provided by Mason Street Advisors with respect to thesub-advisory candidates. The directors viewed favorably the depth of experience of the T. Rowe Price Large Cap Growth Equity team in managing accounts, including accounts for other mutual funds, using investment strategies similar to those employed for the Portfolio. The directors’ consideration included information about T. Rowe Price’s organization and ownership structure, and the tenure, experience and performance of the firm’s investment management team, including particularly the qualifications and experience of the investment personnel who would be providing services to the Portfolio.

The directors considered Mason Street Advisors’ positive assessment of T. Rowe Price, based upon the robustness and continuity of the firm’s investment processes, their effective use of investment team analysts, and the significant experience of the lead portfolio manager. The directors also considered Mason Street Advisors’ expression of confidence in the current working relationship with T. Rowe Price related to the Series Fund portfolios for which they function as asub-adviser, as well as their favorable view of the firm’s utilization of supporting research and resources, and their practices related to succession planning. The directors reviewed the firm’s approach to succession planning, concluding that it was thoughtful and thorough. The directors were positively impressed with the strength of thein-person presentation by T. Rowe Price. The directors commented favorably on the depth of resources in place at the firm, including particularly the investment analyst group. The directors noted that T. Rowe Price was a recognized asset manager with a positive reputation with both the Northwestern Mutual field force and variable product clients. The directors considered potential advantages that T. Rowe Price may have as asub-adviser based upon its size, noting that the growth stock mandate was the firm’s largest mandate based upon assets under management, and this would suggest that the mandate will continue to be able to secure strong investment talent.

The directors considered the different investment approaches utilized by each of the candidates for the Portfolio mandate, and the positive and negative considerations of each. The directors also took into consideration the suitability of each candidate’s respective investment mandate with respect to Northwestern Mutual’s variable products. Finally, the directors took into consideration T. Rowe Price’s general reputation and the strength of the investment-related resources available to be committed in managing the Portfolio. Based on their review of these factors and other factors deemed relevant, the Board concluded that they were satisfied with the nature, extent and quality of the services to be provided by T. Rowe Price with respect to the Portfolio, and the resources to be committed by T. Rowe Price in providing such services.

Investment Performance. In order to evaluate investment performance, the directors reviewed the performance record of the three finalsub-advisory candidates for a composite of managed accounts, including mutual fund accounts, with investment objectives, investment policies and strategies substantially similar to the Portfolio (the “composites”). The directors considered the performance returns of these composites for both short- and long-term periods. The directors also reviewed performance analytics reports for each of the candidates which compared multiple metrics, including information ratio, Sharpe ratio, Sortino ratio, up/down market capture ratios, standard deviation and tracking error for each of the mandates that were considered. The directors also evaluated the relative performance of the candidates’ composites versus the appropriate index, and considered Morningstar peer group rankings and ratings for each of the candidates’ mandates.

278

Approval and Continuance of Investment Advisory andSub-Advisory Agreements (unaudited)

The directors also took into consideration information presented regarding the composition of accounts managed by the candidates in a mandate similar to the Portfolio, including sector weightings, number of holdings, portfolio turnover, and top ten holdings percentages, as well as attribution information presented regarding the drivers of performance of such accounts.

Based on these and other factors deemed relevant, the Board concluded that they were satisfied with the experience and capabilities of T. Rowe Price, the personnel to be associated with the management of the Portfolio, and the firm’s investment performance record across accounts managed in a mandate similar to the Portfolio.

Management Fees and Other Expenses. In evaluating the management fees paid by the Portfolio, the directors considered the contractual fees (and applicable breakpoints) paid by the Portfolio under the Advisory Agreement between Mason Street Advisors and the Series Fund with respect to the Portfolio. The directors considered thesub-advisory fees (and applicable breakpoints) proposed by the threesub-advisory candidates for services to be provided to the Portfolio. In connection with their review of proposedsub-advisory fees, the directors also considered the proposed allocation between Mason Street Advisors and eachsub-advisory candidate of the Portfolio’s investment advisory fee (i.e., the amount of the advisory fee retained by Mason Street Advisors relative to that would be paid to asub-advisory candidate as a management fee). In evaluating proposedsub-advisory fees relative to the Portfolio, the directors considered information relating to amounts thesub-advisory candidates charged under other advisory contracts involving a similar investment mandate. The directors considered the existing structure, size, and total operating expenses of the Portfolio. They also considered the advisory fee waiver arrangement that was in place for the Portfolio.

The directors determined that the fees proposed by T. Rowe Price were favorable and were the product of anarm’s-length negotiation between Mason Street Advisors and the firm. Based on their review of the management fees and other expenses, comparative fee data and other factors deemed relevant by the directors, the Board concluded that the management fees, thesub-advisory fees proposed by T. Rowe Price, and the total operating expenses of the Portfolio were reasonable in relation to the nature, scope and quality of the services to be provided by T. Rowe Price.

Costs and Profitability. The directors considered Mason Street Advisors’ pricing methodology for its services as investment adviser for the products of which the Portfolio is an investment option. Mason Street Advisors provided comparative information regarding the proposedsub-advisory fees of the candidates, projections regarding the amount of the advisory fee that Mason Street Advisors would retain based upon the candidates’ proposedsub-advisory fees, and profitability analysis scenarios for the Portfolio based upon thesub-advisory fees proposed by the candidates. The directors considered the financial condition of Mason Street Advisors and Mason Street Advisors’ costs and profitability related to the Portfolio in light of thesub-advisory fees negotiated with T. Rowe Price.

Based on their review of thesub-advisory fees proposed by T. Rowe Price and the profitability analysis for the Portfolio reflecting the incorporation of suchsub-advisory fees, the Board concluded that they were satisfied that Mason Street Advisors’ resulting level of profitability related to services provided to the Portfolio was appropriate and not excessive.

Economies of Scale. The directors considered whether the Portfolio’s expense structure permitted economies of scale to be shared with investors in the Portfolio. They also took into consideration the total assets and expense ratios of the Portfolio. The directors considered the breakpoints contained in the management fee schedules applicable to the Portfolio, as well as the breakpoints contained in thesub-advisory fee schedule for the Portfolio proposed by T. Rowe Price, and the extent to which a Portfolio may benefit from economies of scale through those breakpoints. The directors also considered the fee waiver agreement in place for the Portfolio. Based on this information, the Board concluded that the fee structure for the Portfolio reflected appropriate economies of scale between the Portfolio and Mason Street Advisors.

Other Information. The directors were presented with other information intended to assist them in their consideration of the approval of the NewSub-Advisory Agreement, including information regarding any regulatory inquiries, examinations or actions to which T. Rowe Price or its affiliates may have been a party, and issues arising out of those regulatory events. The directors also received information regarding internal policy and investment decision making authority and practices in place for T. Rowe Price as well as portfolio manager compensation practices as they may apply to the portfolio managers proposed to provide services to the Portfolio.

279

Approval and Continuance of Investment Advisory andSub-Advisory Agreements (unaudited)

Conclusions of the Directors. Based on a consideration of all information deemed relevant in its totality, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of its business judgment concluded that it was in the best interest of the Portfolio to approve hiring T. Rowe Price as sub-adviser for the Portfolio and entering into the NewSub-Advisory Agreement between Mason Street Advisors and T. Rowe Price.

280

REPORT ON FORM N-CSR

RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.

Item 2.

Code of Ethics

As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and principal accounting officer or controller.

Item 3.

Audit Committee Financial Expert

The Registrant’s board of directors has determined that the Registrant has three audit committee financial experts serving on its audit committee. The names of the audit committee financial experts are Miriam M. Allison, Gail L. Hanson, and William Gerber. Each of the audit committee financial experts is independent.

Item 4.

Principal Accountant Fees and Services


(a) Audit Fees

Audit Fees and Expenses of Registrant

	2018		2019
	$	682,150	$	702,610

(b) Audit Related Fees

Audit-Related Fees and Expenses of Registrant

	2018		2019
	$	0	$	0

(c) Tax Fees

	2018		2019
	$	77,210	$	79,520

Review of dividend declarations
Review of excise tax calculations
Non-U.S. tax compliance

(d) All Other Fees

	2018		2019
	$	0	$	0

(e)(1) It is the audit committee’s policy to pre-approve all audit and non-audit service engagements for the Registrant; and any non-audit service engagement of the Registrant’s auditor by (1) the Registrant’s investment adviser and (2) any other entity in a control relationship with the investment adviser that provides ongoing services to the Registrant if, in each of (1) and (2) above, the non-audit service engagement relates directly to the operations and financial reporting of the Registrant. (2) Not applicable.

(f) Not applicable.


(g) Aggregate non-audit fees of Registrant, Registrant’s investment advisor and related service providers

	2018		2019
	$	203,110	$	152,695

(h) The Registrant’s audit committee has considered whether the auditor’s provision of non-audit services to the Registrant’s investment advisor and related service providers is compatible with the auditor’s independence.

Item 5.

Audit Committee of Listed Registrants

Not applicable.

Item 6.

Schedule of Investments

Full Schedule of Investments is included in Item 1.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders

Not applicable.

Item 11.

Disclosure Controls and Procedures

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this filing was recorded, processed, summarized, and reported timely.

(b) There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.

Not applicable

Item 13.

Exhibits

(a)(1) The code of ethics referred to in the response to Item 2 above is attached as exhibit EX-99.13(a)(1).

(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/ Kate M. Fleming
		Kate M. Fleming, President

Date: February 13, 2020

Pursuant to the requirements of the Securities 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/ Kate M. Fleming
		Kate M. Fleming, President

Date: February 13, 2020



By:		/s/ Todd M. Jones
		Todd M. Jones, Vice President,
		Chief Financial Officer and Treasurer

Date: February 13, 2020

Northwestern Mutual Series Fund N-CSRCertified annual shareholder report (management investment company)