Northwestern Mutual Series Fund NCSRS Certified semi-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: June 30, 2020

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.

REPORT ON FORM N-CSR

RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.

Item 1.

Reports to Stockholders

[Attached EDGARIZED SEMI-ANNUAL REPORT]

Semi-Annual Report June 30, 2020

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering 27 Portfolios


· Growth Stock Portfolio		· International Growth Portfolio
· Focused Appreciation Portfolio		· Research International Core Portfolio
· Large Cap Core Stock Portfolio		· International Equity Portfolio
· Large Cap Blend Portfolio		· Emerging Markets Equity Portfolio
· Index 500 Stock Portfolio		· Government Money Market Portfolio
· Large Company Value Portfolio		· Short-Term Bond Portfolio
· Domestic Equity Portfolio		· Select Bond Portfolio
· Equity Income Portfolio		· Long-Term U.S. Government Bond Portfolio
· Mid Cap Growth Stock Portfolio		· Inflation Protection Portfolio
· Index 400 Stock Portfolio		· High Yield Bond Portfolio
· Mid Cap Value Portfolio		· Multi-Sector Bond Portfolio
· Small Cap Growth Stock Portfolio		· Balanced Portfolio
· Index 600 Stock Portfolio		· Asset Allocation Portfolio
· Small Cap Value Portfolio

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.

Northwestern Mutual Series Fund, Inc.

Table of Contents


Expense Examples			1
Series Fund Overviews and Schedules of Investments:
Growth Stock Portfolio			4
Focused Appreciation Portfolio			8
Large Cap Core Stock Portfolio			11
Large Cap Blend Portfolio			15
Index 500 Stock Portfolio			17
Large Company Value Portfolio			24
Domestic Equity Portfolio			27
Equity Income Portfolio			30
Mid Cap Growth Stock Portfolio			34
Index 400 Stock Portfolio			37
Mid Cap Value Portfolio			43
Small Cap Growth Stock Portfolio			47
Index 600 Stock Portfolio			51
Small Cap Value Portfolio			59
International Growth Portfolio			63
Research International Core Portfolio			67
International Equity Portfolio			71
Emerging Markets Equity Portfolio			74
Government Money Market Portfolio			78
Short-Term Bond Portfolio			82
Select Bond Portfolio			101
Long-Term U.S. Government Bond Portfolio			117
Inflation Protection Portfolio			122
High Yield Bond Portfolio			131
Multi-Sector Bond Portfolio			141
Balanced Portfolio			162
Asset Allocation Portfolio			165
Statements of Assets and Liabilities			168
Statements of Operations			174
Statements of Changes in Net Assets			180
Statement of Cash Flows			189
Financial Highlights			190
Notes to Financial Statements			198
Abbreviations			222
Proxy Voting and Portfolio Holdings			223
Statement Regarding Liquidity Risk Management Program			224
Approval and Continuance of Investment Advisory and Sub-Advisory Agreements			226

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

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

Expense Examples (unaudited)

EXAMPLE

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 to June 30, 2020).

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 January 1, 2020		Ending Account Value June 30, 2020		Expenses Paid During Period January 1, 2020 to June 30, 2020*		Annualized Expense Ratio

Growth Stock Portfolio Actual		$1,000.00		$1,112.02		$2.21		0.42%
Hypothetical (5% return before expenses)		1,000.00		1,022.77		2.11		0.42

Focused Appreciation Portfolio Actual		1,000.00		1,100.19		3.29		0.63
Hypothetical (5% return before expenses)		1,000.00		1,021.73		3.17		0.63
Large Cap Core Stock Portfolio Actual		1,000.00		990.12		2.23		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.63		2.26		0.45

Large Cap Blend Portfolio Actual		1,000.00		883.42		3.84		0.82
Hypothetical (5% return before expenses)		1,000.00		1,020.79		4.12		0.82

Index 500 Stock Portfolio Actual		1,000.00		968.37		0.98		0.20
Hypothetical (5% return before expenses)		1,000.00		1,023.87		1.01		0.20

Expense Examples (unaudited)


	Beginning Account Value January 1, 2020		Ending Account Value June 30, 2020		Expenses Paid During Period January 1, 2020 to June 30, 2020*		Annualized Expense Ratio

Large Company Value Portfolio Actual		$1,000.00		$850.92		$3.50		0.76%
Hypothetical (5% return before expenses)		1,000.00		1,021.08		3.82		0.76

Domestic Equity Portfolio Actual		1,000.00		849.71		2.44		0.53
Hypothetical (5% return before expenses)		1,000.00		1,022.23		2.66		0.53

Equity Income Portfolio Actual		1,000.00		811.59		2.75		0.61
Hypothetical (5% return before expenses)		1,000.00		1,021.83		3.07		0.61

Mid Cap Growth Stock Portfolio Actual		1,000.00		950.06		2.62		0.54
Hypothetical (5% return before expenses)		1,000.00		1,022.18		2.72		0.54

Index 400 Stock Portfolio Actual		1,000.00		871.66		1.21		0.26
Hypothetical (5% return before expenses)		1,000.00		1,023.57		1.31		0.26

Mid Cap Value Portfolio Actual		1,000.00		835.55		3.42		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.13		3.77		0.75

Small Cap Growth Stock Portfolio Actual		1,000.00		953.01		2.77		0.57
Hypothetical (5% return before expenses)		1,000.00		1,022.03		2.87		0.57

Index 600 Stock Portfolio Actual		1,000.00		819.96		1.40		0.31
Hypothetical (5% return before expenses)		1,000.00		1,023.32		1.56		0.31

Small Cap Value Portfolio Actual		1,000.00		822.96		4.03		0.89
Hypothetical (5% return before expenses)		1,000.00		1,020.44		4.47		0.89

International Growth Portfolio Actual		1,000.00		975.14		3.14		0.64
Hypothetical (5% return before expenses)		1,000.00		1,021.68		3.22		0.64

Research International Core Portfolio Actual		1,000.00		937.15		3.71		0.77
Hypothetical (5% return before expenses)		1,000.00		1,021.03		3.87		0.77

International Equity Portfolio Actual		1,000.00		843.64		2.52		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.13		2.77		0.55

Emerging Markets Equity Portfolio Actual		1,000.00		898.31		4.63		0.98
Hypothetical (5% return before expenses)		1,000.00		1,019.99		4.92		0.98

Expense Examples (unaudited)


	Beginning Account Value January 1, 2020		Ending Account Value June 30, 2020		Expenses Paid During Period January 1, 2020 to June 30, 2020*		Annualized Expense Ratio

Government Money Market Portfolio Actual		$1,000.00		$1,003.09		$1.64		0.33%
Hypothetical (5% return before expenses)		1,000.00		1,023.22		1.66		0.33

Short-Term Bond Portfolio Actual		1,000.00		1,025.59		1.96		0.39
Hypothetical (5% return before expenses)		1,000.00		1,022.92		1.96		0.39

Select Bond Portfolio Actual		1,000.00		1,067.13		1.59		0.31
Hypothetical (5% return before expenses)		1,000.00		1,023.32		1.56		0.31

Long-Term U.S. Government Bond Portfolio Actual		1,000.00		1,208.22		6.64		1.21
Hypothetical (5% return before expenses)		1,000.00		1,018.85		6.07		1.21

Inflation Protection Portfolio Actual		1,000.00		1,035.43		2.78		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.13		2.77		0.55

High Yield Bond Portfolio Actual		1,000.00		965.19		2.20		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.63		2.26		0.45

Multi-Sector Bond Portfolio Actual		1,000.00		987.72		3.61		0.73
Hypothetical (5% return before expenses)		1,000.00		1,021.23		3.67		0.73

Balanced Portfolio Actual		1,000.00		996.64		0.30		0.06
Hypothetical (5% return before expenses)		1,000.00		1,024.57		0.30		0.06

Asset Allocation Portfolio Actual		1,000.00		972.06		0.44		0.09
Hypothetical (5% return before expenses)		1,000.00		1,024.42		0.45		0.09

* Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Expenses are based on the direct expenses of the Portfolio and do not include the effect of the underlying Portfolios’ expenses which are disclosed in the Fee and Expense table and described more fully in a footnote to that table in the Prospectus.

Growth Stock Portfolio (unaudited)


Sector Allocation 6/30/20
Sector			% of Net Assets

Information Technology			37.2%

Consumer Discretionary			20.4%

Communication Services			20.1%

Health Care			14.4%

Financials			3.8%

Industrials			3.0%

Short-Term Investments & Other Net Assets			0.5%

Materials			0.4%

Consumer Staples			0.1%

Utilities			0.1%

Real Estate			0.0%

Energy			0.0%
Sector Allocation is subject to change.

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.

Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (99.5%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (20.1%)
Alphabet, Inc. - Class A *		9,516		13,494
Alphabet, Inc. - Class C *		42,751		60,433
Electronic Arts, Inc. *		2,585		341
Facebook, Inc. - Class A *		328,806		74,662
IAC/InterActiveCorp*		25,222		8,157
Match Group, Inc. *		1,128		121
Netflix, Inc. *		60,463		27,513
Sea, Ltd. *		60,700		6,509
Snap, Inc. *		137,400		3,228
Spotify Technology SA *		23,022		5,944
Tencent Holdings, Ltd.		503,000		32,310
Total				232,712

Consumer Discretionary (20.4%)
Alibaba Group Holding, Ltd., ADR *		215,615		46,508
Amazon.com, Inc. *		49,180		135,679
Aptiv PLC		2,039		159
Booking Holdings, Inc. *		5,848		9,312
Chipotle Mexican Grill, Inc. *		3,921		4,126
Dollar General Corp.		73,519		14,006
Dollar Tree, Inc. *		6,698		621
Etsy, Inc. *		14,300		1,519
Hilton Worldwide Holdings, Inc.		14,547		1,068
Lululemon Athletica, Inc. *		25,779		8,043
Marriott International, Inc. - Class A		32,185		2,759
McDonald’s Corp.		3,248		599
NIKE, Inc. - Class B		8,241		808
Restaurant Brands International, Inc.		4,252		232
Ross Stores, Inc.		81,260		6,927
The TJX Cos., Inc.		27,824		1,407
Trip.com Group, Ltd. *		4,962		129
Wynn Resorts, Ltd.		2,051		153
Yum! Brands, Inc.		25,217		2,192
Total				236,247

Consumer Staples (0.1%)
Constellation Brands, Inc. - Class A		5,896		1,032
Total				1,032

Energy (0.0%)
Pioneer Natural Resources Co.		2,877		281
Total				281


Common Stocks (99.5%)	Shares/ Par ⁺		Value $ (000’s)
Financials (3.8%)
American International Group, Inc.		47,981		1,496
The Charles Schwab Corp.		44,820		1,512
Chubb, Ltd.		11,476		1,453
The Goldman Sachs Group, Inc.		23,573		4,658
Intercontinental Exchange, Inc.		58,142		5,326
Marsh & McLennan Cos., Inc.		38,143		4,095
Morgan Stanley		104,296		5,038
MSCI, Inc.		3,800		1,269
S&P Global, Inc.		25,779		8,494
State Street Corp.		8,296		527
Willis Towers Watson PLC		49,435		9,736
Willis Towers Watson PLC		49,435		9,736
Total				43,604

Health Care (14.4%)
AbbVie, Inc.		2,571		252
Agilent Technologies, Inc.		986		87
Alexion Pharmaceuticals, Inc. *		23,331		2,619
Anthem, Inc.		34,589		9,096
Becton Dickinson and Co.		26,776		6,407
Centene Corp. *		131,511		8,358
Cigna Corp.		101,677		19,080
Danaher Corp.		84,131		14,877
Exact Sciences Corp. *		24,269		2,110
HCA Healthcare, Inc.		12,586		1,222
Humana, Inc.		6,900		2,675
Incyte Corp. *		49,700		5,167
Intuitive Surgical, Inc. *		25,826		14,716
Regeneron Pharmaceuticals, Inc. *		1,900		1,185
Seattle Genetics, Inc. *		6,688		1,136
Stryker Corp.		83,915		15,121
Teleflex, Inc.		291		106
Thermo Fisher Scientific, Inc.		35,134		12,730
UnitedHealth Group, Inc.		76,836		22,663
Veeva Systems, Inc. - Class A *		13,237		3,103
Vertex Pharmaceuticals, Inc. *		73,589		21,364
Zoetis, Inc.		23,405		3,207
Total				167,281

Industrials (3.0%)
The Boeing Co.		506		93


Common Stocks (99.5%)	Shares/ Par ⁺		Value $ (000’s)
Industrials continued
Canadian Pacific Railway, Ltd.		9,091		2,321
Cintas Corp.		9,706		2,585
CoStar Group, Inc. *		10,237		7,275
Equifax, Inc.		29,308		5,037
Fortive Corp.		26,956		1,824
General Electric Co.		18,823		128
Honeywell International, Inc.		504		73
IHS Markit, Ltd.		2,970		224
Kansas City Southern		15,752		2,352
L3Harris Technologies, Inc.		4,179		709
Norfolk Southern Corp.		8,281		1,454
Northrop Grumman Corp.		503		155
Roper Technologies, Inc.		18,124		7,037
Union Pacific Corp.		20,072		3,394
United Continental Holdings, Inc. *		573		20
Total				34,681

Information Technology (37.2%)
Advanced Micro Devices, Inc. *		92,700		4,877
Apple, Inc.		123,308		44,983
Applied Materials, Inc.		75,316		4,553
Atlassian Corp. PLC *		21,030		3,791
Automatic Data Processing, Inc.		802		119
Citrix Systems, Inc.		10,900		1,612
Coupa Software, Inc. *		2,785		772
DocuSign, Inc. *		33,253		5,727
Fidelity National Information Services, Inc.		132,638		17,785
Fiserv, Inc. *		140,688		13,734
FleetCor Technologies, Inc. *		8,993		2,262
Global Payments, Inc.		118,827		20,155
Intuit, Inc.		76,165		22,559
KLA-Tencor Corp.		2,636		513
Lam Research Corp.		10,839		3,506
Marvell Technology Group, Ltd.		208,924		7,325
Mastercard, Inc. - Class A		106,220		31,409
Maxim Integrated Products, Inc.		20,385		1,236
Microsoft Corp.		328,648		66,883
Motorola Solutions, Inc.		565		79
NVIDIA Corp.		35,680		13,555
Paycom Software, Inc. *		7,673		2,377
PayPal Holdings, Inc. *		164,569		28,673
QUALCOMM, Inc.		39,990		3,648

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
salesforce.com, Inc. *		118,561		22,210
ServiceNow, Inc. *		69,371		28,099
Splunk, Inc. *		53,021		10,535
Synopsys, Inc. *		39,126		7,630
Texas Instruments, Inc.		13,856		1,759
Twilio, Inc. - Class A *		2,800		614
Visa, Inc. - Class A		198,702		38,383
VMware, Inc. - Class A *		14,585		2,259
Wix.com, Ltd. *		21,413		5,487
Workday, Inc. - Class A *		53,925		10,103
Zoom Video Communications, Inc. *		7,700		1,952
Total				431,164

Materials (0.4%)
Air Products and Chemicals, Inc.		476		115
Linde PLC		16,376		3,473
The Sherwin-Williams Co.		2,064		1,193
Total				4,781

Real Estate (0.0%)
American Tower Corp.		1,152		298
Total				298

Utilities (0.1%)
Sempra Energy		6,091		714
Total				714

Total Common Stocks (Cost: $839,458)				1,152,795

Short-Term Investments (0.5%)
Money Market Funds (0.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		5,281,248		5,281
Total				5,281

Total Short-Term Investments (Cost: $5,281)				5,281

Total Investments (100.0%) (Cost: $844,739)^@				1,158,076

Other Assets, Less Liabilities (0.0%)				(149	)

Net Assets (100.0%)				1,157,927

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

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

Growth Stock Portfolio

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $844,739 and the net unrealized appreciation of investments based on that cost was $313,337 which is comprised of $327,833 aggregate gross unrealized appreciation and $14,496 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	200,402	$	32,310	$	—
All Others		920,083		—		—
Short-Term Investments		5,281		—		—
Total Assets:	$	1,125,766	$	32,310	$	—

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

Focused Appreciation Portfolio (unaudited)


Sector Allocation 6/30/20
Sector			% of Net Assets

Information Technology			35.1%

Consumer Discretionary			17.3%

Health Care			15.8%

Communication Services			13.5%

Industrials			8.6%

Consumer Staples			4.8%

Financials			3.4%

Short-Term Investments & Other Net Assets			0.8%

Energy			0.7%
Sector Allocation is subject to change.

As a non-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.

Focused Appreciation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (99.2%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (13.5%)
Alphabet, Inc. - Class A *		20,974		29,742
Alphabet, Inc. - Class C *		21,029		29,727
Facebook, Inc. - Class A *		277,279		62,962
The Walt Disney Co.		178,024		19,851
Total				142,282

Consumer Discretionary (17.3%)
Alibaba Group Holding, Ltd., ADR *		269,330		58,094
Amazon.com, Inc. *		29,760		82,103
Starbucks Corp.		248,624		18,296
Yum China Holdings, Inc.		216,601		10,412
Yum! Brands, Inc.		154,282		13,409
Total				182,314

Consumer Staples (4.8%)
Colgate-Palmolive Co.		228,330		16,727
Monster Beverage Corp. *		490,675		34,014
Total				50,741

Energy (0.7%)
Schlumberger, Ltd.		419,421		7,713
Total				7,713


Common Stocks (99.2%)	Shares/ Par ⁺		Value $ (000’s)
Financials (3.4%)
FactSet Research Systems, Inc.		56,507		18,561
SEI Investments Co.		316,389		17,395
Total				35,956

Health Care (15.8%)
Cerner Corp.		278,484		19,090
Illumina, Inc. *		48,329		17,899
Intuitive Surgical, Inc. *		21,611		12,315
Novartis AG, ADR		225,168		19,666
Novo Nordisk A/S, ADR		168,017		11,002
Regeneron Pharmaceuticals, Inc. *		71,162		44,380
Roche Holding AG, ADR		820,699		35,602
Varian Medical Systems, Inc. *		53,137		6,510
Total				166,464

Industrials (8.6%)
The Boeing Co.		201,863		37,002
Deere & Co.		189,337		29,754
Expeditors International of Washington, Inc.		304,901		23,185
Total				89,941

Information Technology (35.1%)
Autodesk, Inc. *		222,793		53,290
Automatic Data Processing, Inc.		50,036		7,450
Cisco Systems, Inc.		477,366		22,264


Common Stocks (99.2%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
Microsoft Corp.		235,961		48,020
NVIDIA Corp.		120,341		45,719
Oracle Corp.		794,224		43,897
QUALCOMM, Inc.		242,844		22,150
Salesforce.com, Inc. *		230,126		43,109
Visa, Inc. - Class A		350,494		67,705
Workday, Inc. - Class A *		82,183		15,398
Total				369,002

Total Common Stocks (Cost: $601,402)				1,044,413

Short-Term Investments (0.8%)
Money Market Funds (0.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		8,034,372		8,034
Total				8,034

Total Short-Term Investments (Cost: $8,034)				8,034

Total Investments (100.0%) (Cost: $609,436)^@				1,052,447

Other Assets, Less Liabilities (0.0%)				(109	)

Net Assets (100.0%)				1,052,338

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $609,436 and the net unrealized appreciation of investments based on that cost was $443,011 which is comprised of $465,382 aggregate gross unrealized appreciation and $22,371 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

Focused Appreciation Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	1,044,413	$	—	$	—
Short-Term Investments		8,034		—		—
Total Assets:	$	1,052,447	$	—	$	—

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

Large Cap Core Stock Portfolio (unaudited)


Sector Allocation 6/30/20
Sector			% of Net Assets

Information Technology			24.0%

Health Care			14.3%

Communication Services			12.3%

Consumer Discretionary			11.2%

Industrials			9.2%

Financials			9.1%

Consumer Staples			5.4%

Real Estate			3.5%

Utilities			3.3%

Energy			3.2%

Materials			2.6%

Investment Companies			1.2%

Short-Term Investments & Other Net Assets			0.7%
Sector Allocation is subject to change.

Large Cap Core Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (98.1%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (12.3%)
Alphabet, Inc. - Class A *		15,716		22,286
Charter Communications, Inc. - Class A *		21,094		10,759
Electronic Arts, Inc. *		23,325		3,080
Facebook, Inc. - Class A *		64,725		14,697
Match Group, Inc. *		41,144		4,405
Netflix, Inc. *		17,126		7,793
Omnicom Group, Inc.		55,021		3,004
Snap, Inc. *		146,964		3,452
Spotify Technology SA *		6,572		1,697
T-Mobile US, Inc. *		14,906		1,552
The Walt Disney Co.		19,953		2,225
Total				74,950

Consumer Discretionary (11.2%)
Amazon.com, Inc. *		13,279		36,634
AutoZone, Inc. *		4,307		4,859
D.R. Horton, Inc.		92,566		5,133
Dollar General Corp.		37,730		7,188
Las Vegas Sands Corp.		35,340		1,609
Lennar Corp. - Class A		15,366		947
McDonald’s Corp.		22,987		4,240
The TJX Cos., Inc.		141,761		7,168
Total				67,778

Consumer Staples (5.4%)
The Coca-Cola Co.		172,307		7,699
The Kroger Co.		52,430		1,775
Mondelez International, Inc.		154,632		7,906
The Procter & Gamble Co.		129,889		15,531
Total				32,911

Energy (3.2%)
BP PLC, ADR		39,098		912
Chevron Corp.		47,961		4,280
Concho Resources, Inc.		9,700		500
Diamondback Energy, Inc.		12,610		527
EOG Resources, Inc.		66,570		3,372
Exxon Mobil Corp.		107,920		4,826
Marathon Petroleum Corp.		55,297		2,067
Noble Energy, Inc.		58,413		523
Pioneer Natural Resources Co.		6,972		681
Schlumberger, Ltd.		57,024		1,049
TC Energy Corp.		18,076		775
Total				19,512


Common Stocks (98.1%)	Shares/ Par ⁺		Value $ (000’s)
Financials (9.1%)
American Express Co.		19,675		1,873
American International Group, Inc.		70,732		2,206
Athene Holding, Ltd. - Class A *		71,259		2,223
Bank of America Corp.		597,135		14,182
Berkshire Hathaway, Inc. - Class B *		16,343		2,917
BlackRock, Inc.		3,211		1,747
The Blackstone Group, Inc. - Class A		107,336		6,082
The Charles Schwab Corp.		103,498		3,492
CME Group, Inc.		1,126		183
Equitable Holdings, Inc.		168,215		3,245
The Goldman Sachs Group, Inc.		583		115
The Hartford Financial Services Group, Inc.		79,620		3,069
Marsh & McLennan Cos., Inc.		42,911		4,607
The Progressive Corp.		46,621		3,735
S&P Global, Inc.		10,908		3,594
TD Ameritrade Holding Corp.		48,911		1,779
Total				55,049

Health Care (14.3%)
Anthem, Inc.		16,491		4,337
AstraZeneca PLC, ADR		189,226		10,008
Boston Scientific Corp. *		135,991		4,775
Centene Corp. *		36,069		2,292
Danaher Corp.		29,617		5,237
Edwards Lifesciences Corp. *		49,339		3,410
Eli Lilly & Co.		64,572		10,601
HCA Healthcare, Inc.		26,739		2,595
IDEXX Laboratories, Inc. *		7,416		2,449
Incyte Corp. *		4,884		508
Intuitive Surgical, Inc. *		6,436		3,667
McKesson Corp.		12,648		1,941
Pfizer, Inc.		393,424		12,865
Regeneron Pharmaceuticals, Inc. *		1,729		1,078
Royalty Pharma PLC *		18,615		904
Seattle Genetics, Inc. *		11,936		2,028
Teleflex, Inc.		8,098		2,948
Thermo Fisher Scientific, Inc.		17,816		6,455
UnitedHealth Group, Inc.		22,176		6,541


Common Stocks (98.1%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Vertex Pharmaceuticals, Inc. *		6,580		1,910
Total				86,549

Industrials (9.2%)
3M Co.		973		152
The Boeing Co.		10,306		1,889
Dover Corp.		3,946		381
Equifax, Inc.		9,579		1,646
FedEx Corp.		33,964		4,762
Fortive Corp.		59,260		4,010
General Electric Co.		4,644		32
Honeywell International, Inc.		25,773		3,726
IHS Markit, Ltd.		29,667		2,240
Illinois Tool Works, Inc.		1,953		341
Ingersoll-Rand, Inc. *		110,019		3,094
J.B. Hunt Transport Services, Inc.		50,136		6,033
Lockheed Martin Corp.		16,680		6,087
Northrop Grumman Corp.		16,455		5,059
Parker Hannifin Corp.		5,023		921
Raytheon Co.		54,335		3,348
Rockwell Automation, Inc.		11,136		2,372
Southwest Airlines Co.		38,537		1,317
Stanley Black & Decker, Inc.		7,021		979
Trane Technologies PLC		28,843		2,566
Uber Technologies, Inc. *		84,897		2,639
Wabtec Corp.		42,679		2,457
Total				56,051

Information Technology (24.0%)
Adobe Systems, Inc. *		5,246		2,284
Advanced Micro Devices, Inc. *		97,787		5,145
Apple, Inc.		91,426		33,352
Corning, Inc.		96,479		2,499
FleetCor Technologies, Inc. *		22,115		5,563
Global Payments, Inc.		51,833		8,792
Intel Corp.		25,699		1,537
KLA-Tencor Corp.		18,355		3,570
Marvell Technology Group, Ltd.		147,614		5,175
Micron Technology, Inc. *		71,217		3,669
Microsoft Corp.		172,776		35,162
PayPal Holdings, Inc. *		33,670		5,866
salesforce.com, Inc. *		30,392		5,693
ServiceNow, Inc. *		5,844		2,367

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

Large Cap Core Stock Portfolio


Common Stocks (98.1%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
Slack Technologies, Inc. - Class A *		25,829		803
Splunk, Inc. *		7,990		1,588
SS&C Technologies Holdings, Inc.		46,660		2,635
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		49,199		2,793
Texas Instruments, Inc.		41,265		5,239
Visa, Inc. - Class A		46,865		9,053
Workday, Inc. - Class A *		14,132		2,648
Total				145,433

Materials (2.6%)
Ball Corp.		37,658		2,617
Celanese Corp. - Class A		33,540		2,896
Crown Holdings, Inc. *		24,211		1,577
FMC Corp.		29,709		2,960
Linde PLC		15,395		3,265
PPG Industries, Inc.		26,052		2,763
Total				16,078

Real Estate (3.5%)
Alexandria Real Estate Equities, Inc.		19,316		3,134
American Tower Corp.		27,589		7,133
Boston Properties, Inc.		19,101		1,726
Equinix, Inc.		7,153		5,023
Prologis, Inc.		43,198		4,032
Total				21,048

Utilities (3.3%)
Duke Energy Corp.		67,308		5,377
Edison International		61,907		3,362
Exelon Corp.		186,941		6,784
NRG Energy, Inc.		64,632		2,105
Sempra Energy		22,697		2,661
Total				20,289

Total Common Stocks (Cost: $500,863)				595,648

Investment Companies (1.2%)
Investment Companies (1.2%)
SPDR S&P 500 ETF Trust		23,898		7,369
Total				7,369

Total Investment Companies (Cost: $7,234)				7,369


Short-Term Investments (0.6%)	Shares/ Par ⁺		Value $ (000’s)
Money Market Funds (0.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		3,392,892		3,393
Total				3,393

Total Short-Term Investments (Cost: $3,393)				3,393

Total Investments (99.9%) (Cost: $511,490)^@				606,410

Other Assets, Less Liabilities (0.1%)				484

Net Assets (100.0%)				606,894

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $511,490 and the net unrealized appreciation of investments based on that cost was $94,920 which is comprised of $124,881 aggregate gross unrealized appreciation and $29,961 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

Large Cap Core Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	595,648	$	—	$	—
Investment Companies		7,369		—		—
Short-Term Investments		3,393		—		—
Total Assets:	$	606,410	$	—	$	—

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

Large Cap Blend Portfolio (unaudited)


Sector Allocation 6/30/20
Sector			% of Net Assets

Financials			20.4%

Industrials			19.9%

Consumer Discretionary			18.7%

Health Care			14.4%

Consumer Staples			9.5%

Communication Services			6.1%

Short-Term Investments & Other Net Assets			4.1%

Information Technology			2.8%

Materials			2.6%

Energy			1.5%
Sector Allocation is subject to change.

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.

Large Cap Blend Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (95.9%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (6.1%)
Comcast Corp. - Class A		133,600		5,208
Omnicom Group, Inc.		73,285		4,001
Total				9,209

Consumer Discretionary (18.7%)
Booking Holdings, Inc. *		3,622		5,768
Dollar General Corp.		39,280		7,483
Dollar Tree, Inc. *		58,160		5,390
Sony Corp., ADR		76,715		5,303
The TJX Cos., Inc.		87,670		4,433
Total				28,377

Consumer Staples (9.5%)
Nestle SA, ADR		38,900		4,296
PepsiCo, Inc.		33,038		4,370
Unilever PLC, ADR		105,295		5,778
Total				14,444

Energy (1.5%)
Schlumberger, Ltd.		119,820		2,204
Total				2,204

Financials (20.4%)
Berkshire Hathaway, Inc. - Class B *		50,796		9,068
The Charles Schwab Corp.		122,950		4,148


Common Stocks (95.9%)	Shares/ Par ⁺		��	Value $ (000’s)
Financials continued
Chubb, Ltd.		43,672			5,530
JPMorgan Chase & Co.		48,586			4,570
Northern Trust Corp.		51,881			4,116
The Progressive Corp.		43,905			3,517
Total					30,949

Health Care (14.4%)
Koninklijke Philips NV		108,385			5,077
Quest Diagnostics, Inc.		63,898			7,282
Smith & Nephew PLC, ADR		97,595			3,720
UnitedHealth Group, Inc.		19,323			5,699
Total					21,778

Industrials (19.9%)
Eaton Corp. PLC		49,618			4,340
Emerson Electric Co.		28,355			1,759
Expeditors International of Washington, Inc.		47,200			3,589
HD Supply Holdings, Inc. *		101,750			3,526
Honeywell International, Inc.		32,821			4,745
Masco Corp.		154,125			7,739
PACCAR, Inc.		58,505			4,379
Total					30,077


Common Stocks (95.9%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology (2.8%)
Accenture PLC - Class A		19,754		4,242
Total				4,242

Materials (2.6%)
PPG Industries, Inc.		36,628		3,885
Total				3,885

Total Common Stocks (Cost: $127,797)				145,165

Short-Term Investments (4.0%)
Money Market Funds (4.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		6,024,419		6,024
Total				6,024

Total Short-Term Investments (Cost: $6,024)				6,024

Total Investments (99.9%) (Cost: $133,821)^@				151,189

Other Assets, Less Liabilities (0.1%)				117

Net Assets (100.0%)				151,306

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $133,821 and the net unrealized appreciation of investments based on that cost was $17,368 which is comprised of $27,669 aggregate gross unrealized appreciation and $10,301 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	145,165	$	—	$	—
Short-Term Investments		6,024		—		—
Total Assets:	$	151,189	$	—	$	—

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

Index 500 Stock Portfolio (unaudited)


Sector Allocation 6/30/20
Sector			% of Net Assets

Information Technology			27.1%

Health Care			14.4%

Consumer Discretionary			10.7%

Communication Services			10.7%

Financials			10.0%

Industrials			7.9%

Consumer Staples			6.9%

Utilities			3.0%

Real Estate			2.8%

Energy			2.8%

Materials			2.5%

Investment Companies			0.6%

Short-Term Investments & Other Net Assets			0.6%
Sector Allocation is subject to change.

“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 no representation 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.

Index 500 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (10.7%)
Activision Blizzard, Inc.		109,998		8,349
Alphabet, Inc. - Class A *		42,836		60,744
Alphabet, Inc. - Class C *		41,753		59,023
AT&T, Inc.		1,017,194		30,750
CenturyLink, Inc.		141,015		1,414
Charter Communications, Inc. - Class A *		21,517		10,975
Comcast Corp. - Class A		650,250		25,347
Discovery Communications, Inc. - Class A *		22,845		482
Discovery Communications, Inc. - Class C *		45,163		870
DISH Network Corp. - Class A *		36,712		1,267
Electronic Arts, Inc. *		41,215		5,442
Facebook, Inc. - Class A *		343,283		77,949
Fox Corp. - Class A		48,916		1,312
Fox Corp. - Class B		22,736		610
The Interpublic Group of Companies, Inc.		55,622		955
Live Nation Entertainment, Inc. *		20,283		899
Netflix, Inc. *		62,788		28,571
News Corp. - Class A		55,516		658
News Corp. - Class B		17,383		208
Omnicom Group, Inc.		30,592		1,670
Take-Two Interactive Software, Inc. *		16,267		2,270
T-Mobile US, Inc. *		135,986		8,476
Twitter, Inc. *		112,017		3,337
Verizon Communications, Inc.		590,757		32,568
ViacomCBS, Inc.		77,176		1,800
The Walt Disney Co.		257,870		28,755
Total				394,701

Consumer Discretionary (10.7%)
Advance Auto Parts, Inc.		9,865		1,405
Amazon.com, Inc. *		59,814		165,016
Aptiv PLC		38,287		2,983
AutoZone, Inc. *		3,333		3,760
Best Buy Co., Inc.		32,452		2,832
Booking Holdings, Inc. *		5,843		9,304
BorgWarner, Inc.		29,596		1,045
CarMax, Inc. *		23,234		2,081
Carnival Corp.		67,636		1,111
Chipotle Mexican Grill, Inc. *		3,663		3,855


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Consumer Discretionary continued
D.R. Horton, Inc.		47,229		2,619
Darden Restaurants, Inc.		18,542		1,405
Dollar General Corp.		35,937		6,846
Dollar Tree, Inc. *		33,868		3,139
Domino’s Pizza, Inc.		5,585		2,063
eBay, Inc.		94,299		4,946
Expedia, Inc.		19,339		1,590
Ford Motor Co.		557,663		3,391
The Gap, Inc.		30,390		383
Garmin, Ltd.		20,725		2,021
General Motors Co.		179,789		4,549
Genuine Parts Co.		20,595		1,791
H&R Block, Inc.		27,478		392
Hanesbrands, Inc.		49,687		561
Hasbro, Inc.		18,191		1,363
Hilton Worldwide Holdings, Inc.		39,583		2,907
The Home Depot, Inc.		153,546		38,465
Kohl’s Corp.		22,520		468
L Brands, Inc.		33,319		499
Las Vegas Sands Corp.		47,975		2,185
Leggett & Platt, Inc.		18,888		664
Lennar Corp. - Class A		39,206		2,416
LKQ Corp. *		43,396		1,137
Lowe’s Companies, Inc.		107,787		14,564
Marriott International, Inc. - Class A		38,423		3,294
McDonald’s Corp.		106,153		19,582
MGM Resorts International		70,414		1,183
Mohawk Industries, Inc. *		8,493		864
Newell Brands, Inc.		54,493		865
NIKE, Inc. - Class B		177,030		17,358
Norwegian Cruise Line Holdings, Ltd. *		36,596		601
NVR, Inc. *		494		1,610
O’Reilly Automotive, Inc. *		10,597		4,468
PulteGroup, Inc.		35,985		1,225
PVH Corp.		10,128		487
Ralph Lauren Corp.		6,821		495
Ross Stores, Inc.		50,736		4,325
Royal Caribbean Cruises, Ltd.		24,512		1,233
Starbucks Corp.		166,763		12,272
Tapestry, Inc.		39,417		523
Target Corp.		71,384		8,561
Tiffany & Co.		15,592		1,901
The TJX Cos., Inc.		171,014		8,646
Tractor Supply Co.		16,508		2,176
Ulta Beauty, Inc. *		8,039		1,635
Under Armour, Inc. - Class A *		26,905		262


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Consumer Discretionary continued
Under Armour, Inc. - Class C *		28,055		248
VF Corp.		45,522		2,774
Whirlpool Corp.		8,875		1,150
Wynn Resorts, Ltd.		13,860		1,032
Yum! Brands, Inc.		42,970		3,734
Total				396,260

Consumer Staples (6.9%)
Altria Group, Inc.		265,308		10,413
Archer-Daniels-Midland Co.		79,305		3,164
Brown-Forman Corp. - Class B		26,036		1,657
Campbell Soup Co.		24,157		1,199
Church & Dwight Co., Inc.		35,105		2,714
The Clorox Co.		17,860		3,918
The Coca-Cola Co.		551,841		24,656
Colgate-Palmolive Co.		122,282		8,958
Conagra Brands, Inc.		69,537		2,446
Constellation Brands, Inc. - Class A		23,978		4,195
Costco Wholesale Corp.		63,034		19,113
Coty, Inc. - Class A		42,488		190
The Estee Lauder Cos., Inc. - Class A		32,088		6,054
General Mills, Inc.		86,535		5,335
The Hershey Co.		21,043		2,728
Hormel Foods Corp.		40,010		1,931
The J.M. Smucker Co.		16,281		1,723
Kellogg Co.		35,713		2,359
Kimberly-Clark Corp.		48,618		6,872
The Kraft Heinz Co.		88,961		2,837
The Kroger Co.		112,240		3,799
Lamb Weston Holdings, Inc.		20,849		1,333
McCormick & Co., Inc.		17,652		3,167
Molson Coors Brewing Co. - Class B		26,847		922
Mondelez International, Inc.		203,790		10,420
Monster Beverage Corp. *		53,372		3,700
PepsiCo, Inc.		198,085		26,199
Philip Morris International, Inc.		222,302		15,575
The Procter & Gamble Co.		353,433		42,260
Sysco Corp.		72,470		3,961
Tyson Foods, Inc. - Class A		42,017		2,509
Walgreens Boots Alliance, Inc.		105,198		4,459

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

Index 500 Stock Portfolio


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Consumer Staples continued
Walmart, Inc.		202,151		24,214
Total				254,980

Energy (2.8%)
Apache Corp.		53,882		727
Baker Hughes		93,515		1,439
Cabot Oil & Gas Corp.		56,903		978
Chevron Corp.		266,537		23,783
Concho Resources, Inc.		28,082		1,446
ConocoPhillips		153,104		6,433
Devon Energy Corp.		54,635		620
Diamondback Energy, Inc.		22,530		942
EOG Resources, Inc.		83,095		4,210
Exxon Mobil Corp.		603,637		26,995
Halliburton Co.		125,245		1,626
Hess Corp.		37,272		1,931
HollyFrontier Corp.		21,263		621
Kinder Morgan, Inc.		277,659		4,212
Marathon Oil Corp.		112,828		690
Marathon Petroleum Corp.		92,834		3,470
National Oilwell Varco, Inc.		55,424		679
Noble Energy, Inc.		68,486		614
Occidental Petroleum Corp.		128,490		2,351
ONEOK, Inc.		62,786		2,086
Phillips 66		62,342		4,482
Pioneer Natural Resources Co.		23,536		2,299
Schlumberger, Ltd.		198,129		3,644
TechnipFMC PLC		60,046		411
Valero Energy Corp.		58,205		3,424
The Williams Cos., Inc.		173,201		3,294
Total				103,407

Financials (10.0%)
AFLAC, Inc.		102,434		3,691
The Allstate Corp.		44,844		4,349
American Express Co.		94,235		8,971
American International Group, Inc.		122,961		3,834
Ameriprise Financial, Inc.		17,465		2,620
Aon PLC		32,991		6,354
Arthur J. Gallagher & Co.		27,071		2,639
Assurant, Inc.		8,516		880
Bank of America Corp.		1,114,709		26,474
The Bank of New York Mellon Corp.		115,033		4,446
Berkshire Hathaway, Inc. - Class B *		277,537		49,543
BlackRock, Inc.		22,023		11,983
Capital One Financial Corp.		65,002		4,069
CBOE Holdings, Inc.		15,664		1,461
The Charles Schwab Corp.		163,579		5,519


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Chubb, Ltd.		64,437		8,159
Cincinnati Financial Corp.		21,541		1,379
Citigroup, Inc.		297,207		15,187
Citizens Financial Group, Inc.		60,906		1,537
CME Group, Inc.		51,193		8,321
Comerica, Inc.		19,849		756
Discover Financial Services		43,729		2,190
E*TRADE Financial Corp.		31,557		1,569
Everest Re Group, Ltd.		5,709		1,177
Fifth Third Bancorp		101,636		1,960
First Republic Bank		24,480		2,595
Franklin Resources, Inc.		39,599		830
Globe Life, Inc.		13,980		1,038
The Goldman Sachs Group, Inc.		44,185		8,732
The Hartford Financial Services Group, Inc.		51,120		1,971
Huntington Bancshares, Inc.		144,794		1,308
Intercontinental Exchange, Inc.		78,124		7,156
Invesco, Ltd.		53,721		578
JPMorgan Chase & Co.		435,005		40,917
KeyCorp		139,253		1,696
Lincoln National Corp.		27,585		1,015
Loews Corp.		34,553		1,185
M&T Bank Corp.		18,313		1,904
MarketAxess Holdings, Inc.		5,412		2,711
Marsh & McLennan Cos., Inc.		72,841		7,821
MetLife, Inc.		110,135		4,022
Moody’s Corp.		23,021		6,325
Morgan Stanley		170,960		8,257
MSCI, Inc.		12,137		4,052
Nasdaq, Inc.		16,396		1,959
Northern Trust Corp.		29,702		2,357
People’s United Financial, Inc.		60,625		701
PNC Financial Services Group, Inc.		60,569		6,372
Principal Financial Group, Inc.		36,362		1,511
The Progressive Corp.		83,559		6,694
Prudential Financial, Inc.		56,392		3,434
Raymond James Financial, Inc.		17,411		1,198
Regions Financial Corp.		136,625		1,519
S&P Global, Inc.		34,392		11,332
State Street Corp.		50,247		3,193
SVB Financial Group *		7,354		1,585
Synchrony Financial		76,666		1,699
T. Rowe Price Group, Inc.		32,486		4,012


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
The Travelers Cos., Inc.		36,096		4,117
Truist Financial Corp.		192,370		7,224
U.S. Bancorp		195,690		7,205
Unum Group		29,042		482
W.R. Berkley Corp.		20,157		1,155
Wells Fargo & Co.		532,652		13,636
Willis Towers Watson PLC		18,379		3,620
Zions Bancorporation		23,394		795
Total				368,981

Health Care (14.4%)
Abbott Laboratories		252,527		23,089
AbbVie, Inc.		251,599		24,702
ABIOMED, Inc. *		6,418		1,550
Agilent Technologies, Inc.		44,082		3,896
Alexion Pharmaceuticals, Inc. *		31,526		3,539
Align Technology, Inc. *		10,233		2,808
AmerisourceBergen Corp.		21,198		2,136
Amgen, Inc.		83,981		19,808
Anthem, Inc.		35,993		9,465
Baxter International, Inc.		72,644		6,255
Becton Dickinson and Co.		42,098		10,073
Biogen, Inc. *		23,297		6,233
Bio-Rad Laboratories, Inc. - Class A *		3,051		1,378
Boston Scientific Corp. *		203,966		7,161
Bristol-Myers Squibb Co.		323,031		18,994
Cardinal Health, Inc.		41,685		2,176
Centene Corp. *		82,679		5,254
Cerner Corp.		43,450		2,979
Cigna Corp.		52,677		9,885
The Cooper Cos., Inc.		7,014		1,989
CVS Health Corp.		186,606		12,124
Danaher Corp.		89,834		15,885
DaVita, Inc. *		12,172		963
Dentsply Sirona, Inc.		31,277		1,378
Dexcom, Inc. *		13,177		5,342
Edwards Lifesciences Corp. *		88,466		6,114
Eli Lilly & Co.		120,235		19,740
Gilead Sciences, Inc.		179,026		13,774
HCA Healthcare, Inc.		37,596		3,649
Henry Schein, Inc. *		20,380		1,190
Hologic, Inc. *		36,863		2,101
Humana, Inc.		18,874		7,318
IDEXX Laboratories, Inc. *		12,125		4,003
Illumina, Inc. *		20,986		7,772
Incyte Corp. *		25,757		2,678
Intuitive Surgical, Inc. *		16,649		9,487
IQVIA Holdings, Inc. *		25,354		3,597

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

Index 500 Stock Portfolio


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Johnson & Johnson		376,125		52,894
Laboratory Corp. of America Holdings *		13,877		2,305
McKesson Corp.		23,107		3,545
Medtronic PLC		191,457		17,557
Merck & Co., Inc.		360,351		27,866
Mettler-Toledo International, Inc. *		3,413		2,749
Mylan NV *		73,802		1,187
PerkinElmer, Inc.		15,902		1,560
Perrigo Co. PLC		19,461		1,076
Pfizer, Inc.		793,030		25,932
Quest Diagnostics, Inc.		19,092		2,176
Regeneron Pharmaceuticals, Inc. *		14,400		8,981
ResMed, Inc.		20,653		3,965
STERIS PLC		12,128		1,861
Stryker Corp.		46,020		8,292
Teleflex, Inc.		6,628		2,412
Thermo Fisher Scientific, Inc.		56,385		20,431
UnitedHealth Group, Inc.		135,395		39,935
Universal Health Services, Inc. - Class B		11,088		1,030
Varian Medical Systems, Inc. *		12,965		1,589
Vertex Pharmaceuticals, Inc. *		37,015		10,746
Waters Corp. *		8,838		1,594
West Pharmaceutical Services, Inc.		10,508		2,387
Zimmer Biomet Holdings, Inc.		29,524		3,524
Zoetis, Inc.		67,804		9,292
Total				535,371

Industrials (7.9%)
3M Co.		82,117		12,809
A.O. Smith Corp.		19,287		909
Alaska Air Group, Inc.		17,501		635
Allegion PLC		13,166		1,346
American Airlines Group, Inc.		70,960		927
AMETEK, Inc.		32,755		2,927
The Boeing Co.		76,537		14,029
C.H. Robinson Worldwide, Inc.		19,217		1,519
Carrier Global Corp.		116,237		2,583
Caterpillar, Inc.		77,269		9,775
Cintas Corp.		12,032		3,205
Copart, Inc. *		29,496		2,456
CSX Corp.		109,281		7,621
Cummins, Inc.		21,062		3,649
Deere & Co.		44,665		7,019
Delta Air Lines, Inc.		81,042		2,273
Dover Corp.		20,551		1,984
Eaton Corp. PLC		57,106		4,996


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Industrials continued
Emerson Electric Co.		85,298		5,291
Equifax, Inc.		17,329		2,978
Expeditors International of Washington, Inc.		23,760		1,807
Fastenal Co.		81,778		3,503
FedEx Corp.		34,313		4,811
Flowserve Corp.		18,578		530
Fortive Corp.		42,320		2,863
Fortune Brands Home & Security, Inc.		19,945		1,275
General Dynamics Corp.		33,173		4,958
General Electric Co.		1,248,768		8,529
Honeywell International, Inc.		100,199		14,488
Howmet Aerospace, Inc.		54,788		868
Huntington Ingalls Industries, Inc.		5,778		1,008
IDEX Corp.		10,763		1,701
IHS Markit, Ltd.		56,951		4,300
Illinois Tool Works, Inc.		41,044		7,177
Ingersoll-Rand, Inc. *		49,364		1,388
J.B. Hunt Transport Services, Inc.		12,045		1,449
Jacobs Engineering Group, Inc.		18,574		1,575
Johnson Controls International PLC		106,197		3,626
Kansas City Southern		13,565		2,025
L3Harris Technologies, Inc.		30,818		5,229
Lockheed Martin Corp.		35,232		12,857
Masco Corp.		37,654		1,891
Nielsen Holdings PLC		50,893		756
Norfolk Southern Corp.		36,573		6,421
Northrop Grumman Corp.		22,133		6,805
Old Dominion Freight Line, Inc.		13,471		2,285
Otis Worldwide Corp.		58,118		3,305
PACCAR, Inc.		49,357		3,694
Parker Hannifin Corp.		18,326		3,359
Pentair PLC		23,660		899
Quanta Services, Inc.		19,651		771
Raytheon Co.		209,975		12,939
Republic Services, Inc.		29,993		2,461
Robert Half International, Inc.		16,361		864
Rockwell Automation, Inc.		16,535		3,522
Rollins, Inc.		20,121		853
Roper Technologies, Inc.		14,904		5,787
Snap-on, Inc.		7,760		1,075
Southwest Airlines Co.		76,570		2,617
Stanley Black & Decker, Inc.		22,004		3,067
Teledyne Technologies, Inc. *		5,234		1,628
Textron, Inc.		32,500		1,070


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Industrials continued
Trane Technologies PLC		34,150		3,039
TransDigm Group, Inc.		7,179		3,173
Union Pacific Corp.		96,875		16,379
United Continental Holdings, Inc. *		36,073		1,248
United Parcel Service, Inc. - Class B		100,523		11,176
United Rentals, Inc. *		10,286		1,533
Verisk Analytics, Inc.		23,165		3,943
W.W. Grainger, Inc.		6,183		1,942
Wabtec Corp.		25,808		1,486
Waste Management, Inc.		55,430		5,871
Xylem, Inc.		25,685		1,668
Total				292,425

Information Technology (27.1%)
Accenture PLC - Class A		90,945		19,528
Adobe Systems, Inc. *		68,784		29,942
Advanced Micro Devices, Inc. *		167,204		8,797
Akamai Technologies, Inc. *		23,167		2,481
Amphenol Corp. - Class A		42,243		4,047
Analog Devices, Inc.		52,598		6,451
ANSYS, Inc. *		12,265		3,578
Apple, Inc.		581,660		212,190
Applied Materials, Inc.		130,841		7,909
Arista Networks, Inc. *		7,674		1,612
Autodesk, Inc. *		31,293		7,485
Automatic Data Processing, Inc.		61,356		9,135
Broadcom, Inc.		57,076		18,014
Broadridge Financial Solutions, Inc.		16,392		2,069
Cadence Design Systems, Inc. *		39,858		3,825
CDW Corp.		20,318		2,361
Cisco Systems, Inc.		605,445		28,238
Citrix Systems, Inc.		16,567		2,450
Cognizant Technology Solutions Corp. - Class A		77,176		4,385
Corning, Inc.		108,358		2,806
DXC Technology Co.		36,227		598
F5 Networks, Inc. *		8,694		1,213
Fidelity National Information Services, Inc.		88,204		11,827
Fiserv, Inc. *		80,286		7,838
FleetCor Technologies, Inc. *		11,964		3,009
FLIR Systems, Inc.		18,680		758
Fortinet, Inc. *		19,154		2,629
Gartner, Inc. *		12,731		1,545
Global Payments, Inc.		42,702		7,243
Hewlett Packard Enterprise Co.		183,417		1,785

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

Index 500 Stock Portfolio


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
HP, Inc.		204,146		3,558
Intel Corp.		604,463		36,165
International Business Machines Corp.		126,759		15,309
Intuit, Inc.		37,229		11,027
IPG Photonics Corp. *		5,072		814
Jack Henry & Associates, Inc.		10,938		2,013
Juniper Networks, Inc.		47,306		1,081
Keysight Technologies, Inc. *		26,702		2,691
KLA-Tencor Corp.		22,136		4,305
Lam Research Corp.		20,724		6,703
Leidos Holdings, Inc.		19,062		1,786
Mastercard, Inc. - Class A		126,176		37,310
Maxim Integrated Products, Inc.		38,065		2,307
Microchip Technology, Inc.		35,025		3,688
Micron Technology, Inc. *		158,780		8,180
Microsoft Corp.		1,082,643		220,329
Motorola Solutions, Inc.		24,279		3,402
NetApp, Inc.		31,576		1,401
NortonLifeLock, Inc.		77,365		1,534
NVIDIA Corp.		87,819		33,363
Oracle Corp.		297,144		16,423
Paychex, Inc.		45,578		3,453
Paycom Software, Inc. *		6,888		2,133
PayPal Holdings, Inc. *		167,628		29,206
Qorvo, Inc. *		16,380		1,810
QUALCOMM, Inc.		160,599		14,648
salesforce.com, Inc. *		128,630		24,096
Seagate Technology PLC		32,240		1,561
ServiceNow, Inc. *		27,226		11,028
Skyworks Solutions, Inc.		23,818		3,045
Synopsys, Inc. *		21,527		4,198
TE Connectivity, Ltd.		47,090		3,840
Texas Instruments, Inc.		131,025		16,636
Tyler Technologies, Inc. *		5,677		1,969
VeriSign, Inc. *		14,515		3,002
Visa, Inc. - Class A		240,859		46,527
Western Digital Corp.		42,786		1,889
Western Union Co.		58,662		1,268
Xerox Holdings Corp.		26,144		400
Xilinx, Inc.		34,715		3,416
Zebra Technologies Corp. - Class A *		7,580		1,940
Total				1,005,202

Materials (2.5%)
Air Products and Chemicals, Inc.		31,530		7,613
Albemarle Corp.		15,178		1,172
Amcor PLC		224,772		2,295


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Materials continued
Avery Dennison Corp.		11,892		1,357
Ball Corp.		46,541		3,234
Celanese Corp. - Class A		16,879		1,457
CF Industries Holdings, Inc.		30,522		859
Corteva, Inc.		106,840		2,862
Dow, Inc.		105,750		4,310
DuPont de Nemours, Inc.		104,760		5,566
Eastman Chemical Co.		19,401		1,351
Ecolab, Inc.		35,305		7,024
FMC Corp.		18,481		1,841
Freeport-McMoRan, Inc.		207,290		2,398
International Flavors & Fragrances, Inc.		15,254		1,868
International Paper Co.		56,112		1,976
Linde PLC		74,977		15,903
LyondellBasell Industries NV - Class A		36,684		2,411
Martin Marietta Materials, Inc.		8,886		1,836
The Mosaic Co.		49,783		623
Newmont Mining Corp.		114,580		7,074
Nucor Corp.		42,991		1,780
Packaging Corp. of America		13,540		1,351
PPG Industries, Inc.		33,681		3,572
Sealed Air Corp.		22,223		730
The Sherwin-Williams Co.		11,537		6,667
Vulcan Materials Co.		18,907		2,191
WestRock Co.		37,012		1,046
Total				92,367

Real Estate (2.8%)
Alexandria Real Estate Equities, Inc.		18,016		2,923
American Tower Corp.		63,288		16,362
Apartment Investment & Management Co. - Class A		21,252		800
AvalonBay Communities, Inc.		20,091		3,107
Boston Properties, Inc.		20,629		1,864
CBRE Group, Inc. *		47,850		2,164
Crown Castle International Corp.		59,497		9,957
Digital Realty Trust, Inc.		38,305		5,444
Duke Realty Corp.		52,592		1,861
Equinix, Inc.		12,637		8,875
Equity Residential		49,939		2,937
Essex Property Trust, Inc.		9,339		2,140
Extra Space Storage, Inc.		18,429		1,702
Federal Realty Investment Trust		10,042		856


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Real Estate continued
Healthpeak Properties, Inc.		76,845		2,118
Host Hotels & Resorts, Inc.		100,641		1,086
Iron Mountain, Inc.		41,100		1,073
Kimco Realty Corp.		61,748		793
Mid-America Apartment Communities, Inc.		16,325		1,872
Prologis, Inc.		105,443		9,841
Public Storage		21,461		4,118
Realty Income Corp.		49,027		2,917
Regency Centers Corp.		24,217		1,111
SBA Communications Corp.		15,936		4,748
Simon Property Group, Inc.		43,650		2,985
SL Green Realty Corp.		10,927		539
UDR, Inc.		42,099		1,574
Ventas, Inc.		53,262		1,950
Vornado Realty Trust		22,645		865
Welltower, Inc.		59,601		3,084
Weyerhaeuser Co.		106,531		2,393
Total				104,059

Utilities (3.0%)
The AES Corp.		94,925		1,375
Alliant Energy Corp.		35,620		1,704
Ameren Corp.		35,247		2,480
American Electric Power Co., Inc.		70,751		5,635
American Water Works Co., Inc.		25,844		3,325
Atmos Energy Corp.		17,462		1,739
CenterPoint Energy, Inc.		77,763		1,452
CMS Energy Corp.		40,862		2,387
Consolidated Edison, Inc.		47,698		3,431
Dominion Resources, Inc.		119,815		9,727
DTE Energy Co.		27,498		2,956
Duke Energy Corp.		104,911		8,381
Edison International		53,956		2,930
Entergy Corp.		28,576		2,681
Evergy, Inc.		32,370		1,919
Eversource Energy		48,032		4,000
Exelon Corp.		139,111		5,048
FirstEnergy Corp.		77,343		2,999
NextEra Energy, Inc.		69,876		16,782
NiSource, Inc.		54,649		1,243
NRG Energy, Inc.		34,846		1,135
Pinnacle West Capital Corp.		16,060		1,177
PPL Corp.		109,752		2,836
Public Service Enterprise Group, Inc.		72,185		3,549
Sempra Energy		41,763		4,896
The Southern Co.		150,753		7,816
WEC Energy Group, Inc.		45,033		3,947

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

Index 500 Stock Portfolio


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
Xcel Energy, Inc.		74,955		4,685
Total				112,235

Total Common Stocks (Cost: $1,605,704)				3,659,988

Investment Companies (0.6%)
Investment Companies (0.6%)
iShares Core S&P 500 ETF		76,720		23,802
Total				23,802

Total Investment Companies (Cost: $23,932)				23,802

Short-Term Investments (0.4%)
Commercial Paper (0.2%)
Exxon Mobil Corp.
0.000%, 7/6/20		1,500,000		1,500
0.000%, 7/9/20		1,000,000		1,000
0.000%, 7/29/20		1,000,000		1,000
0.000%, 10/6/20		1,500,000		1,499
The Walt Disney Co. 0.000%, 7/22/20 144A		3,000,000		3,000
Total				7,999

Money Market Funds (0.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		2,124,061		2,124
Total				2,124

US Government & Agencies (0.1%)
Federal Home Loan Bank
0.000%, 7/20/20 ß		2,000,000		2,000
0.000%, 9/16/20 ß		1,000,000		1,000
Total				3,000

Total Short-Term Investments (Cost: $13,119)				13,123

Total Investments (99.8%) (Cost: $1,642,755)^@				3,696,913

Other Assets, Less Liabilities (0.2%)				5,581

Net Assets (100.0%)				3,702,494

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		5		108		9/20	$	16,687	$	(151	)	$	230
													$	(151	)	$	230

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

–

230

–

+	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 June 30, 2020 the value of these securities (in thousands) was $3,000 representing 0.1% of the net assets.

#	7-Day yield as of 6/30/2020.

ß	Cash or securities with an aggregate value of $3,000 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,642,755 and the net unrealized appreciation of investments based on that cost was $2,054,007 which is comprised of $2,187,585 aggregate gross unrealized appreciation and $133,578 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	3,659,988		$	—	$	—
Investment Companies		23,802			—		—
Short-Term Investments
Money Market Funds		2,124			—		—
All Others		—			10,999		—
Total Assets:	$	3,685,914		$	10,999	$	—
Liabilities:
Other Financial Instruments^
Futures		(151	)		—		—
Total Liabilities:	$	(151	)	$	—	$	—

^ 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)


Sector Allocation 6/30/20
Sector			% of Net Assets

Health Care			19.5%

Financials			19.3%

Consumer Staples			13.0%

Industrials			12.7%

Information Technology			10.5%

Utilities			5.4%

Communication Services			5.0%

Energy			4.8%

Short-Term Investments & Other Net Assets			2.8%

Investment Companies			2.6%

Consumer Discretionary			2.0%

Materials			1.8%

Real Estate			0.6%
Sector Allocation is subject to change.

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.

The Portfolio may invest in 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.

Large Company Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (94.6%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (5.0%)
Verizon Communications, Inc.		108,620		5,988
The Walt Disney Co.		23,780		2,652
Total				8,640

Consumer Discretionary (2.0%)
Advance Auto Parts, Inc.		10,630		1,514
Honda Motor Co., Ltd., ADR		50,250		1,284
PulteGroup, Inc.		22,710		773
Total				3,571

Consumer Staples (13.0%)
Colgate-Palmolive Co.		36,050		2,641
Kimberly-Clark Corp.		29,690		4,197
Koninklijke Ahold Delhaize NV		56,420		1,536
Mondelez International, Inc.		56,800		2,904
PepsiCo, Inc.		16,870		2,231
The Procter & Gamble Co.		17,120		2,047
Unilever NV		77,640		4,136
Walmart, Inc.		24,860		2,978
Total				22,670

Energy (4.8%)
Chevron Corp.		37,100		3,311
ConocoPhillips		44,700		1,878
Total SA, ADR		82,890		3,188
Total				8,377

Financials (19.3%)
AFLAC, Inc.		76,860		2,769
Ameriprise Financial, Inc.		9,440		1,416
Bank of America Corp.		34,910		829
The Bank of New York Mellon Corp.		141,310		5,462
Berkshire Hathaway, Inc. - Class B *		40,650		7,257
BlackRock, Inc.		2,790		1,518
Chubb, Ltd.		35,190		4,456
JPMorgan Chase & Co.		37,680		3,544
PNC Financial Services Group, Inc.		15,090		1,588
Truist Financial Corp.		63,260		2,375
U.S. Bancorp		44,030		1,621
Wells Fargo & Co.		33,870		867
Total				33,702

Health Care (19.5%)
Cerner Corp.		36,990		2,536
Hologic, Inc. *		31,980		1,823
Johnson & Johnson		60,270		8,476
McKesson Corp.		9,820		1,507


Common Stocks (94.6%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Medtronic PLC		73,490		6,739
Merck & Co., Inc.		27,640		2,137
Pfizer, Inc.		183,470		5,999
Quest Diagnostics, Inc.		13,150		1,499
Zimmer Biomet Holdings, Inc.		27,650		3,300
Total				34,016

Industrials (12.7%)
ABB, Ltd.		68,940		1,550
Cummins, Inc.		7,940		1,376
Emerson Electric Co.		66,180		4,105
General Dynamics Corp.		8,740		1,306
Johnson Controls International PLC		79,180		2,703
Norfolk Southern Corp.		13,120		2,304
Raytheon Co.		29,770		1,834
Republic Services, Inc.		16,210		1,330
Siemens AG		26,270		3,086
United Parcel Service, Inc. - Class B		23,460		2,608
Total				22,202

Information Technology (10.5%)
Applied Materials, Inc.		21,110		1,276
Cisco Systems, Inc.		114,960		5,362
Intel Corp.		41,800		2,501
Maxim Integrated Products, Inc.		40,380		2,447
Oracle Corp.		40,760		2,253
TE Connectivity, Ltd.		22,570		1,841
Texas Instruments, Inc.		21,190		2,690
Total				18,370

Materials (1.8%)
Martin Marietta Materials, Inc.		8,310		1,717
Mondi PLC *		80,780		1,509
Total				3,226

Real Estate (0.6%)
Weyerhaeuser Co.		43,260		972
Total				972

Utilities (5.4%)
Eversource Energy		41,340		3,442
Pinnacle West Capital Corp.		41,300		3,027
Xcel Energy, Inc.		45,880		2,868
Total				9,337

Total Common Stocks (Cost: $167,148)				165,083


Investment Companies (2.6%)	Shares/ Par ⁺		Value $ (000’s)
Investment Companies (2.6%)
iShares Russell 1000 Value Index Fund		39,880		4,491
Total				4,491

Total Investment Companies (Cost: $4,755)				4,491

Short-Term Investments (2.0%)
Money Market Funds (2.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		3,559,971		3,560
Total				3,560

Total Short-Term Investments (Cost: $3,560)				3,560

Total Investments (99.2%) (Cost: $175,463)^@				173,134

Other Assets, Less Liabilities (0.8%)				1,351

Net Assets (100.0%)				174,485

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 Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services, Inc.		CHF		1,231		1,302		9/30/20	$	—p	$	—	$	—p
Sell	Morgan Stanley Capital Services, Inc.		EUR		9,248		10,411		9/30/20		25		—		25
Buy	Morgan Stanley Capital Services, Inc.		GBP		34		42		9/30/20		—p		—		—p
Sell	Morgan Stanley Capital Services, Inc.		GBP		1,077		1,336		9/30/20		8		—p		8
Buy	Morgan Stanley Capital Services, Inc.		JPY		3,516		33		9/30/20		—		—p		—p
Sell	Morgan Stanley Capital Services, Inc.		JPY		119,491		1,108		9/30/20		12		—		12
										$	45	$	—p	$	45


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	$	45		—	$	45		—		—		—		—

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $175,463 and the net unrealized depreciation of investments based on that cost was $2,284 which is comprised of $7,821 aggregate gross unrealized appreciation and $10,105 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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 June 30, 2020. See Note 3 for additional information on portfolio valuation.


	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks
Consumer Staples	$	21,134	$	1,536	$	—
Industrials		17,566		4,636		—
Materials		1,717		1,509		—
All Others		116,985		—		—
Investment Companies		4,491		—		—
Short-Term Investments		3,560		—		—
Other Financial Instruments^
Forward Currency Contracts		—		45		—
Total Assets:	$	165,453	$	7,726	$	—
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		—		—p		—
Total Liabilities:	$	—	$	—p	$	—

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

Domestic Equity Portfolio (unaudited)

Sector Allocation 6/30/20


Sector			% of Net Assets

Health Care			20.6%

Information Technology			15.5%

Financials			14.7%

Communication Services			11.3%

Consumer Staples			8.9%

Industrials			8.6%

Consumer Discretionary			7.3%

Materials			3.5%

Energy			3.2%

Utilities			2.6%

Real Estate			2.5%

Short-Term Investments & Other Net Assets			1.3%

Sector Allocation is subject to change.

Domestic Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (98.7%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (11.3%)
AT&T, Inc.		706,600		21,360
Comcast Corp. - Class A		590,511		23,018
Verizon Communications, Inc.		399,800		22,041
The Walt Disney Co.		207,136		23,098
Total				89,517

Consumer Discretionary (7.3%)
Dollar Tree, Inc. *		299,600		27,767
Lowe’s Companies, Inc.		221,400		29,916
Total				57,683

Consumer Staples (8.9%)
Archer-Daniels-Midland Co.		576,600		23,006
Conagra Brands, Inc.		720,733		25,348
Mondelez International, Inc.		438,500		22,421
Total				70,775

Energy (3.2%)
ConocoPhillips		609,600		25,615
Total				25,615

Financials (14.7%)
The Allstate Corp.		224,200		21,745
American International Group, Inc.		787,500		24,554
The Bank of New York Mellon Corp.		598,100		23,117


Common Stocks (98.7%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Marsh & McLennan Cos., Inc.		235,600		25,296
Truist Financial Corp.		587,600		22,065
Total				116,777

Health Care (20.6%)
Abbott Laboratories		272,600		24,924
Cardinal Health, Inc.		461,500		24,086
Cigna Corp.		120,903		22,687
CVS Health Corp.		385,700		25,059
Johnson & Johnson		168,400		23,682
Merck & Co., Inc.		287,400		22,225
Pfizer, Inc.		637,200		20,836
Total				163,499

Industrials (8.6%)
Caterpillar, Inc.		196,639		24,875
Northrop Grumman
Corp.		66,000		20,291
Raytheon Co.		370,979		22,860
Total				68,026

Information Technology (15.5%)
Broadcom, Inc.		86,600		27,332
Cisco Systems, Inc.		561,800		26,202
Cognizant Technology
Solutions Corp. - Class A		411,218		23,365
Intel Corp.		363,900		21,772
Oracle Corp.		442,800		24,474
Total				123,145


Common Stocks (98.7%)	Shares/ Par ⁺		Value $ (000’s)
Materials (3.5%)
DuPont de Nemours, Inc.		514,784		27,351
Total				27,351

Real Estate (2.5%)
Equity Residential		335,495		19,734
Total				19,734

Utilities (2.6%)
Edison International		381,300		20,708
Total				20,708

Total Common Stocks (Cost: $627,476)				782,830

Short-Term Investments (1.2%)
Money Market Funds (1.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		9,619,104		9,619
Total				9,619

Total Short-Term Investments (Cost: $9,619)				9,619

Total Investments (99.9%) (Cost: $637,095)^@				792,449

Other Assets, Less Liabilities (0.1%)				523

Net Assets (100.0%)				792,972

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $637,095 and the net unrealized appreciation of investments based on that cost was $155,354 which is comprised of $176,525 aggregate gross unrealized appreciation and $21,171 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

Domestic Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	782,830	$	—	$	—
Short-Term Investments		9,619		—		—
Total Assets:	$	792,449	$	—	$	—

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

Equity Income Portfolio (unaudited)

Sector Allocation 6/30/20


Sector			% of Net Assets

Financials			19.6%

Health Care			14.7%

Industrials			11.0%

Utilities			9.2%

Information Technology			9.0%

Energy			8.4%

Consumer Staples			8.1%

Communication Services			5.4%

Materials			5.2%

Real Estate			4.1%

Consumer Discretionary			2.8%


Short-Term Investments & Other Net Assets			2.5%

Sector Allocation is subject to change.

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.

Equity Income Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (95.3%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (5.4%)
AT&T, Inc.		46,262		1,398
Comcast Corp. - Class A		268,685		10,473
Fox Corp. - Class B		270,001		7,247
News Corp. - Class A		541,645		6,424
Verizon Communications, Inc.		85,708		4,725
The Walt Disney Co.		44,836		5,000
Total				35,267

Consumer Discretionary (2.8%)
General Motors Co.		43,700		1,106
Kohl’s Corp.		128,359		2,666
Las Vegas Sands Corp.		128,315		5,843
Mattel, Inc. *		319,803		3,092
McDonald’s Corp.		8,200		1,513
MGM Resorts International		47,600		800
Royal Caribbean Cruises, Ltd.		10,400		523
Volkswagen Group of America Finance LLC *		175,586		2,676
Total				18,219

Consumer Staples (8.1%)
Altria Group, Inc.		20,000		785
Bunge, Ltd.		43,700		1,797
Conagra Brands, Inc.		301,358		10,599
Kimberly-Clark Corp.		80,900		11,435
Mondelez International, Inc.		14,300		731
Philip Morris International, Inc.		168,989		11,839
Tyson Foods, Inc. - Class A		199,993		11,942
Walmart, Inc.		33,000		3,953
Total				53,081

Energy (8.4%)
Chevron Corp.		20,100		1,794
Enbridge, Inc.		197,260		6,001
EOG Resources, Inc.		39,800		2,016
Exxon Mobil Corp.		144,300		6,453
Halliburton Co.		273,800		3,554
Hess Corp.		22,600		1,171
Occidental Petroleum Corp.		138,900		2,542
Pioneer Natural
Resources Co.		21,000		2,052
Targa Resources Corp.		211,126		4,237
TC Energy Corp.		230,059		9,860
Total SA, ADR		389,899		14,995
Total				54,675


Common Stocks (95.3%)	Shares/ Par ⁺		Value $ (000’s)
Financials (19.4%)
American International Group, Inc.		379,960		11,847
Bank of America Corp.		69,323		1,646
Chubb, Ltd.		115,800		14,663
Equitable Holdings, Inc.		234,126		4,516
Fifth Third Bancorp		482,187		9,296
Franklin Resources, Inc.		122,928		2,578
JPMorgan Chase & Co.		92,546		8,705
Loews Corp.		231,761		7,947
Marsh & McLennan Cos., Inc.		18,347		1,970
MetLife, Inc.		318,500		11,632
Morgan Stanley		290,891		14,050
Northern Trust Corp.		14,000		1,111
PNC Financial Services Group, Inc.		38,900		4,093
Raymond James Financial, Inc.		56,900		3,916
State Street Corp.		143,000		9,088
Wells Fargo & Co.		683,973		17,510
Willis Towers Watson PLC		9,616		1,894
Total				126,462

Health Care (14.2%)
AbbVie, Inc.		130,800		12,842
Anthem, Inc.		37,949		9,980
Becton Dickinson and Co.		36,626		8,764
Bristol-Myers Squibb Co.		22,700		1,335
CVS Health Corp.		176,738		11,483
Gilead Sciences, Inc.		92,700		7,132
GlaxoSmithKline PLC		148,184		3,002
GlaxoSmithKline PLC, ADR		35,800		1,460
Johnson & Johnson		82,846		11,651
Medtronic PLC		102,145		9,367
Merck & Co., Inc.		31,800		2,459
Pfizer, Inc.		299,026		9,778
Zimmer Biomet Holdings, Inc.		26,100		3,115
Total				92,368

Industrials (11.0%)
Alaska Air Group, Inc.		52,355		1,898
The Boeing Co.		53,200		9,752
Emerson Electric Co.		67,400		4,181
Flowserve Corp. ß		14,981		427
General Electric Co.		1,845,600		12,606
Johnson Controls International PLC		95,898		3,274
L3Harris Technologies, Inc.		50,752		8,611
Nielsen Holdings PLC		306,456		4,554
nVent Electric PLC		43,800		820


Common Stocks (95.3%)	Shares/ Par ⁺		Value $ (000’s)
Industrials continued
PACCAR, Inc.		45,800		3,428
Snap-on, Inc.		26,300		3,643
Stericycle, Inc. *		92,199		5,161
United Parcel Service, Inc. - Class B		120,300		13,375
Total				71,730

Information Technology (9.0%)
Applied Materials, Inc.		119,417		7,219
Cisco Systems, Inc.		216,500		10,097
Corning, Inc.		52,500		1,360
Microsoft Corp.		48,222		9,814
NXP Semiconductors NV		16,386		1,869
QUALCOMM, Inc.		210,681		19,216
TE Connectivity, Ltd.		14,600		1,191
Texas Instruments, Inc.		56,000		7,110
Western Digital Corp.		17,000		750
Total				58,626

Materials (5.2%)
Akzo Nobel NV, ADR		43,977		1,314
CF Industries Holdings, Inc.		294,384		8,284
DuPont de Nemours, Inc.		259,334		13,778
International Paper Co.		254,237		8,952
PPG Industries, Inc.		13,900		1,474
Total				33,802

Real Estate (4.1%)
Equity Residential		133,000		7,823
Rayonier, Inc.		208,406		5,166
SL Green Realty Corp.		83,744		4,128
Weyerhaeuser Co.		428,744		9,630
Total				26,747

Utilities (7.7%)
Ameren Corp.		24,800		1,745
CenterPoint Energy, Inc.		125,700		2,347
Edison International		129,912		7,056
NextEra Energy, Inc.		21,822		5,241
NiSource, Inc.		534,891		12,163
Sempra Energy		39,907		4,678
The Southern Co.		331,192		17,172
Total				50,402

Total Common Stocks (Cost: $628,192)				621,379

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

Equity Income Portfolio


Preferred Stocks (1.2%)	Shares/ Par ⁺		Value $ (000’s)
Health Care (0.5%)
Becton Dickinson and Co., %, *		59,093		3,144
Total				3,144

Utilities (0.7%)
NextEra Energy, Inc., 5.279%, 3/1/23		49,295		2,092
The Southern Co., 6.750%, 8/1/22		66,083		2,912
Total				5,004

Total Preferred Stocks (Cost: $8,653)				8,148

Convertible Corporate Bonds (0.2%)
Financials (0.2%)
AXA SA, 7.250%, 5/15/21 144A		1,561,000		1,425
Total				1,425

Total Convertible Corporate Bonds (Cost: $1,561)				1,425

Convertible Preferred Stocks (0.8%)
Utilities (0.8%)
Sempra Energy, 6.000%, 1/15/21		38,737		3,786
Sempra Energy, 6.750%, 7/15/21		11,807		1,160
Total				4,946

Total Convertible Preferred Stocks (Cost: $5,056)				4,946

Short-Term Investments (2.6%)
Money Market Funds (2.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		17,216,755		17,217
Total				17,217

Total Short-Term Investments (Cost: $17,217)				17,217

Total Investments (100.1%) (Cost: $660,679)^@				653,115

Other Assets, Less Liabilities (-0.1%)				(958	)

Net Assets (100.0%)				652,157

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

Equity Income 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		2		34		9/20	$	5,253	$	119	$	72
													$	119	$	72

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

–

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

*	Non income producing

ß	Cash or securities with an aggregate value of $427 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

144A

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $660,679 and the net unrealized depreciation of investments based on that cost was $7,444 which is comprised of $78,118 aggregate gross unrealized appreciation and $85,562 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	8,148	$	—	$	—
Common Stocks
Health Care		89,366		3,002		—
All Others		529,011		—		—
Convertible Corporate Bonds		—		1,425		—
Convertible Preferred Stocks		4,946		—		—
Other Financial Instruments^
Futures		119		—		—
Total Assets:	$	631,590	$	4,427	$	—

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

Mid Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/20


Sector			% of Net Assets

Information Technology			28.7%

Health Care			19.6%

Industrials			16.0%

Consumer Discretionary			11.7%

Financials			10.5%

Communication Services			3.2%

Real Estate			3.0%

Materials			2.9%

Utilities			2.0%

Consumer Staples			1.7%

Energy			0.5%

Short-Term Investments & Other Net Assets			0.2%

Sector Allocation is subject to change.

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

Mid Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (99.8%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (3.2%)
Cable One, Inc.		8,293		14,719
CarGurus, Inc. *		266,747		6,762
Roku, Inc. *		91,144		10,621
Zynex, Inc. *		248,449		2,370
Total				34,472

Consumer Discretionary (11.7%)
CarMax, Inc. *		114,877		10,287
Carter’s, Inc.		126,846		10,237
Choice Hotels International, Inc.		181,666		14,333
Etsy, Inc. *		184,847		19,636
Hyatt Hotels Corp. - Class A		79,977		4,022
NVR, Inc. *		5,022		16,365
PVH Corp.		251,790		12,099
Service Corp. International		209,138		8,133
Under Armour, Inc. - Class C *		467,592		4,134
Wayfair, Inc. - Class A *		49,793		9,840
YETI Holdings, Inc. *		368,019		15,725
Total				124,811

Consumer Staples (1.7%)
Lamb Weston Holdings, Inc.		116,653		7,457
Performance Food Group Co. *		361,898		10,546
Total				18,003

Energy (0.5%)
Cabot Oil & Gas Corp.		283,174		4,865
Total				4,865

Financials (10.5%)
Alleghany Corp.		11,043		5,402
Credit Acceptance Corp. *		32,274		13,523
Cullen / Frost Bankers, Inc.		115,088		8,598
Erie Indemnity Co.		28,254		5,422
FactSet Research Systems, Inc.		8,843		2,905
First Citizens BancShares, Inc. - Class A		18,263		7,397
First Republic Bank		118,001		12,507
FNF Group		186,644		5,723
Hamilton Lane, Inc.		14,475		975
M&T Bank Corp.		66,854		6,951
Markel Corp. *		15,840		14,623
Prosperity Bancshares, Inc.		159,049		9,444
South State Corp.		107,372		5,117
W.R. Berkley Corp.		108,840		6,235


Common Stocks (99.8%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
White Mountains Insurance Group, Ltd.		8,733		7,755
Total				112,577

Health Care (19.6%)
Amedisys, Inc. *		21,302		4,229
Apellis Pharmaceuticals, Inc. *		209,269		6,835
Bio-Techne Corp.		40,667		10,739
ChemoCentryx, Inc. *		172,122		9,904
Encompass Health Corp.		224,784		13,921
Hill-Rom Holdings, Inc.		163,393		17,937
Integra LifeSciences Holdings Corp. *		244,877		11,507
Ionis Pharmaceuticals, Inc. *		90,803		5,354
LHC Group, Inc. *		6,400		1,116
Masimo Corp. *		45,809		10,444
Mettler-Toledo International, Inc. *		8,629		6,951
Molina Healthcare, Inc. *		52,545		9,352
NuVasive, Inc. *		208,622		11,612
PRA Health Sciences, Inc. *		135,370		13,170
PTC Therapeutics, Inc. *		276,439		14,027
Reata Pharmaceuticals, Inc. *		97,618		15,230
Repligen Corp. *		52,985		6,549
STERIS PLC		10,540		1,617
Tandem Diabetes Care, Inc. *		135,801		13,433
Teleflex, Inc.		28,740		10,461
Varian Medical Systems, Inc. *		119,881		14,688
Total				209,076

Industrials (16.0%)
AMERCO		28,401		8,582
Axon Enterprise, Inc. *		106,063		10,408
CoStar Group, Inc. *		9,133		6,491
Fastenal Co.		282,947		12,121
GFL Environmental, Inc.		419,016		7,865
Healthcare Services Group, Inc.		219,067		5,358
HEICO Corp. - Class A		69,567		5,652
IAA Spinco, Inc. *		302,631		11,672
IDEX Corp.		110,312		17,434
Ingersoll-Rand, Inc. *		661,745		18,608
KAR Auction Services, Inc.		875,346		12,045


Common Stocks (99.8%)	Shares/ Par ⁺		Value $ (000’s)
Industrials continued
Knight-Swift Transportation Holdings, Inc.		257,678		10,748
Lennox International, Inc.		67,994		15,842
Lincoln Electric Holdings, Inc.		128,192		10,799
PACCAR, Inc.		117,403		8,788
Watsco, Inc.		47,793		8,493
Total				170,906

Information Technology (28.7%)
Aspen Technology, Inc. *		81,565		8,451
Black Knight, Inc. *		138,583		10,056
Blackbaud, Inc.		157,415		8,985
CDW Corp.		102,210		11,875
Coherent, Inc. *		117,230		15,355
CommScope Holding Co., Inc. *		1,117,122		9,306
EPAM Systems, Inc. *		2,436		614
F5 Networks, Inc. *		103,820		14,481
Fair Isaac Corp. *		36,825		15,394
First Solar, Inc. *		258,457		12,794
Flex, Ltd. *		1,203,224		12,333
Genpact, Ltd.		651,131		23,779
Guidewire Software, Inc. *		122,087		13,533
II-VI, Inc. *		487,831		23,035
Lumentum Holdings, Inc. *		236,510		19,259
MKS Instruments, Inc.		143,701		16,273
Monolithic Power Systems		82,773		19,617
National Instruments Corp.		318,681		12,336
Q2 Holdings, Inc. *		131,595		11,290
Silicon Laboratories, Inc. *		131,171		13,153
Teradata Corp. *		576,024		11,981
WEX, Inc. *		134,419		22,180
Total				306,080

Materials (2.9%)
Ball Corp.		149,089		10,360
Element Solutions, Inc. *		471,839		5,119
Packaging Corp. of America		82,669		8,250
Silgan Holdings, Inc.		218,664		7,083
Total				30,812

Real Estate (3.0%)
Douglas Emmett, Inc.		210,856		6,465
Equity Commonwealth		237,187		7,638
PS Business Parks, Inc.		23,461		3,106

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

Mid Cap Growth Stock Portfolio


Common Stocks (99.8%)	Shares/ Par ⁺		Value $ (000’s)
Real Estate continued
Redfin Corp. *		356,721		14,950
Total				32,159

Utilities (2.0%)
Black Hills Corp.		82,323		4,664
NiSource, Inc.		156,184		3,552
UGI Corp.		425,141		13,519
Total				21,735

Total Common Stocks (Cost: $1,002,243)				1,065,496

Short-Term Investments (0.2%)
Money Market Funds (0.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		2,072,027		2,072
Total				2,072

Total Short-Term Investments (Cost: $2,072)				2,072

Total Investments (100.0%) (Cost: $1,004,315)^@				1,067,568

Other Assets, Less Liabilities (0.0%)				(261	)

Net Assets (100.0%)				1,067,307

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,004,315 and the net unrealized appreciation of investments based on that cost was $63,253 which is comprised of $157,355 aggregate gross unrealized appreciation and $94,102 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. See Note 3 for additional information on portfolio valuation.


	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,065,496	$	—	$	—
Short-Term Investments		2,072		—		—

Total Assets:	$	1,067,568	$	—	$	—

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

Index 400 Stock Portfolio (unaudited)

Sector Allocation 6/30/20


Sector			% of Net Assets

Information Technology			15.8%

Industrials			15.6%

Financials			14.7%

Consumer Discretionary			14.1%

Health Care			10.9%

Real Estate			9.6%

Materials			5.8%

Utilities			4.0%

Consumer Staples			3.7%

Short-Term Investments & Other Net Assets			2.6%

Communication Services			1.8%

Energy			1.4%

Sector Allocation is subject to change.

“Standard & Poor’s^®”, “S&P^®”, “S&P MidCap 400 Index” 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.

Index 400 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (1.8%)
AMC Networks, Inc. - Class A *		22,225		520
Cable One, Inc.		2,883		5,117
Cinemark Holdings, Inc.		58,640		677
John Wiley & Sons, Inc. - Class A		23,938		934
The New York Times Co. - Class A		79,075		3,323
TEGNA, Inc.		119,753		1,334
Telephone and Data Systems, Inc.		53,495		1,063
TripAdvisor, Inc.		55,214		1,050
World Wrestling Entertainment, Inc.- Class A		25,381		1,103
Yelp, Inc. *		35,850		829
Total				15,950

Consumer Discretionary (14.1%)
Aaron’s, Inc.		37,026		1,681
Adient PLC *		47,844		786
Adtalem Global Education, Inc. *		28,387		884
American Eagle Outfitters, Inc.		85,252		929
AutoNation, Inc. *		31,544		1,185
Boyd Gaming Corp.		43,895		917
Brunswick Corp.		43,362		2,776
Caesars Entertainment Corp. *		307,361		3,728
Carter’s, Inc.		23,899		1,929
Choice Hotels International, Inc.		17,291		1,364
Churchill Downs, Inc.		19,233		2,561
Columbia Sportswear Co.		15,580		1,255
Cracker Barrel Old Country Store, Inc.		12,984		1,440
Dana Holding Corp.		79,175		965
Deckers Outdoor Corp. *		15,343		3,013
Delphi Technologies PLC *		47,319		672
Dick’s Sporting Goods, Inc.		35,705		1,473
Dunkin’ Brands Group, Inc.		44,997		2,935
Eldorado Resorts, Inc. *		45,638		1,828
Etsy, Inc. *		65,035		6,909
Five Below, Inc. *		30,542		3,265
Foot Locker, Inc.		57,096		1,665
Gentex Corp.		134,189		3,458
The Goodyear Tire & Rubber Co.		127,512		1,141


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Consumer Discretionary continued
Graham Holdings Co. - Class B		2,342		803
Grand Canyon Education, Inc. *		25,927		2,347
GrubHub, Inc. *		50,391		3,542
Harley-Davidson, Inc.		83,938		1,995
Helen of Troy, Ltd. *		13,834		2,609
Jack in the Box, Inc.		12,424		921
KB Home		47,682		1,463
Lear Corp.		29,881		3,258
Marriott Vacations Worldwide Corp.		20,022		1,646
Mattel, Inc. *		190,098		1,838
Murphy USA, Inc. *		15,030		1,692
Nordstrom, Inc.		59,364		920
Ollie’s Bargain Outlet Holdings, Inc. *		30,988		3,026
Papa John’s International, Inc.		12,207		969
Penn National Gaming, Inc. *		70,783		2,162
Polaris Industries, Inc.		31,550		2,920
Pool Corp.		21,885		5,950
Restoration Hardware, Inc. *		9,091		2,263
Sally Beauty Holdings, Inc. *		61,853		775
Scientific Games Corp. - Class A *		30,028		464
Service Corp. International		97,622		3,797
Six Flags Entertainment Corp.		43,159		829
Skechers USA, Inc. - Class A *		74,623		2,342
Strategic Education, Inc.		12,174		1,871
Taylor Morrison Home Corp. *		71,020		1,370
Tempur Sealy International, Inc. *		23,724		1,707
Texas Roadhouse, Inc.		35,703		1,877
Thor Industries, Inc.		30,249		3,222
Toll Brothers, Inc.		63,337		2,064
TopBuild Corp. *		18,140		2,064
TRI Pointe Homes, Inc. *		71,370		1,048
Urban Outfitters, Inc. *		38,579		587
Visteon Corp. *		15,248		1,045
Weight Watchers International, Inc. *		25,536		648
The Wendy’s Co.		97,628		2,126
Williams-Sonoma, Inc.		42,612		3,495
Wyndham Destinations, Inc.		46,654		1,315


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Consumer Discretionary continued
Wyndham Hotels & Resorts, Inc.		51,014		2,174
Total				123,903

Consumer Staples (3.7%)
BJ’s Wholesale Club Holdings, Inc. *		67,601		2,519
The Boston Beer Co., Inc. - Class A *		5,291		2,839
Casey’s General Stores, Inc.		20,163		3,015
Darling Ingredients, Inc. *		89,893		2,213
Edgewell Personal Care Co. *		29,778		928
Energizer Holdings, Inc.		34,888		1,657
Flowers Foods, Inc.		105,507		2,359
Grocery Outlet Holding Corp. *		34,670		1,415
The Hain Celestial Group, Inc. *		43,020		1,356
Ingredion, Inc.		36,701		3,046
Lancaster Colony Corp.		10,855		1,682
Nu Skin Enterprises, Inc.		28,440		1,087
Pilgrim’s Pride Corp. *		28,395		480
Post Holdings, Inc. *		35,119		3,077
Sanderson Farms, Inc.		10,847		1,257
Sprouts Farmers Market, Inc. *		64,547		1,652
Tootsie Roll Industries, Inc.		9,371		321
TreeHouse Foods, Inc. *		30,926		1,355
Total				32,258

Energy (1.4%)
Antero Midstream Corp.		154,060		786
ChampionX Corp. *		101,796		993
Cimarex Energy Co.		55,951		1,538
CNX Resources Corp. *		102,507		887
EQT Corp.		140,042		1,666
Equitrans Midstream Corp.		222,720		1,851
Murphy Oil Corp.		80,043		1,105
PBF Energy, Inc.		55,890		572
Transocean, Ltd. *		316,580		579
World Fuel Services Corp.		34,698		894
WPX Energy, Inc. *		223,782		1,428
Total				12,299

Financials (14.7%)
Affiliated Managers Group, Inc.		25,886		1,930

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

Index 400 Stock Portfolio


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Alleghany Corp.		7,842		3,836
American Financial Group, Inc.		40,863		2,593
Associated Banc-Corp.		84,213		1,152
BancorpSouth Bank		53,269		1,211
Bank of Hawaii Corp.		21,926		1,346
Bank OZK		66,245		1,555
Brighthouse Financial, Inc. *		51,426		1,431
Brown & Brown, Inc.		128,903		5,254
Cathay General Bancorp		41,416		1,089
CIT Group, Inc.		53,905		1,117
CNO Financial Group, Inc.		78,701		1,225
Commerce Bancshares, Inc.		55,008		3,271
Cullen / Frost Bankers, Inc.		31,194		2,331
East West Bancorp, Inc.		77,534		2,810
Eaton Vance Corp.		62,433		2,410
Essent Group Ltd.		60,621		2,199
Evercore, Inc. - Class A		22,214		1,309
F.N.B. Corp.		177,036		1,328
FactSet Research Systems, Inc.		20,754		6,817
Federated Investors, Inc. - Class B		52,548		1,245
First American Financial Corp.		61,058		2,932
First Financial Bankshares, Inc.		77,843		2,249
First Horizon National Corp.		170,900		1,702
FirstCash, Inc.		22,709		1,532
Fulton Financial Corp.		88,662		934
Genworth Financial, Inc. - Class A *		275,816		637
Glacier Bancorp, Inc.		48,620		1,716
Hancock Holding Co.		47,283		1,002
Hanover Insurance Group, Inc.		20,823		2,110
Home BancShares, Inc.		84,166		1,294
Interactive Brokers Group, Inc. - Class A		42,060		1,757
International Bancshares Corp.		30,512		977
Janus Henderson Group PLC		84,106		1,780
Jefferies Financial Group, Inc.		123,747		1,924
Kemper Corp.		33,612		2,438
Legg Mason, Inc.		45,819		2,279
LendingTree, Inc. *		4,224		1,223
Mercury General Corp.		14,865		606
Navient Corp.		93,465		657
New York Community Bancorp, Inc.		254,235		2,593


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Old Republic International Corp.		156,592		2,554
PacWest Bancorp		63,831		1,258
Pinnacle Financial Partners, Inc.		39,071		1,641
Primerica, Inc.		22,347		2,606
Prosperity Bancshares, Inc.		50,778		3,015
Reinsurance Group of America, Inc.		37,166		2,915
RenaissanceRe Holdings, Ltd.		27,565		4,714
RLI Corp.		21,910		1,799
SEI Investments Co.		68,096		3,744
Selective Insurance Group, Inc.		32,720		1,726
Signature Bank		29,356		3,139
SLM Corp.		205,552		1,445
Sterling Bancorp		106,561		1,249
Stifel Financial Corp.		37,544		1,781
Synovus Financial Corp.		80,712		1,657
TCF Financial Corp.		83,355		2,452
Texas Capital Bancshares, Inc. *		27,633		853
Trustmark Corp.		34,755		852
UMB Financial Corp.		23,214		1,197
Umpqua Holdings Corp.		120,677		1,284
United Bankshares, Inc.		69,697		1,928
Valley National Bancorp		214,643		1,679
Washington Federal, Inc.		41,487		1,114
Webster Financial Corp.		49,413		1,414
Wintrust Financial Corp.		31,548		1,376
Total				129,193

Health Care (10.9%)
Acadia Healthcare Co., Inc. *		48,740		1,224
Amedisys, Inc. *		17,744		3,523
Arrowhead Pharmaceuticals, Inc. *		55,771		2,409
Avanos Medical, Inc. *		26,171		769
Bio-Techne Corp.		20,946		5,531
Cantel Medical Corp.		20,328		899
Catalent, Inc. *		89,019		6,525
Charles River Laboratories International, Inc. *		27,119		4,728
Chemed Corp.		8,699		3,924
Encompass Health Corp.		54,474		3,374
Exelixis, Inc. *		168,048		3,989
Globus Medical, Inc. - Class A *		41,464		1,978


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Haemonetics Corp. *		27,612		2,473
HealthEquity, Inc. *		39,126		2,296
Hill-Rom Holdings, Inc.		36,472		4,004
ICU Medical, Inc. *		10,617		1,957
Integra LifeSciences Holdings Corp. *		38,590		1,813
LHC Group, Inc. *		16,272		2,837
Ligand Pharmaceuticals, Inc. - Class B *		8,795		984
LivaNova PLC *		26,624		1,281
Masimo Corp. *		27,282		6,220
MEDNAX, Inc. *		46,804		800
Molina Healthcare, Inc. *		32,441		5,774
Nektar Therapeutics *		97,538		2,259
NuVasive, Inc. *		28,084		1,563
Patterson Cos., Inc.		47,251		1,040
Penumbra, Inc. *		18,118		3,240
PRA Health Sciences, Inc. *		34,867		3,392
Prestige Brands Holdings, Inc. *		27,446		1,031
Quidel Corp. *		20,944		4,686
Repligen Corp. *		25,797		3,189
Syneos Health, Inc. *		34,251		1,995
Tenet Healthcare Corp. *		57,383		1,039
United Therapeutics Corp. *		24,118		2,918
Total				95,664

Industrials (15.6%)
Acuity Brands, Inc.		21,723		2,080
AECOM *		87,726		3,297
AGCO Corp.		34,053		1,889
ASGN, Inc. *		28,770		1,918
Avis Budget Group, Inc. *		29,350		672
Axon Enterprise, Inc. *		34,381		3,374
The Brink’s Co.		27,666		1,259
Carlisle Cos., Inc.		30,092		3,601
Clean Harbors, Inc. *		28,021		1,681
Colfax Corp. *		46,038		1,284
CoreLogic, Inc.		43,517		2,925
Crane Co.		27,006		1,606
Curtiss-Wright Corp.		22,825		2,038
Deluxe Corp.		22,924		540
Donaldson Co., Inc.		69,118		3,215
Dycom Industries, Inc. *		17,336		709
EMCOR Group, Inc.		30,055		1,988
EnerSys		23,263		1,498
Fluor Corp.		76,815		928
FTI Consulting, Inc. *		20,330		2,329
GATX Corp.		19,125		1,166
Generac Holdings, Inc. *		34,348		4,188
Graco, Inc.		91,295		4,381
Healthcare Services Group, Inc.		40,780		997

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

Index 400 Stock Portfolio


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Industrials continued
Herman Miller, Inc.		32,206		760
Hexcel Corp.		45,753		2,069
HNI Corp.		23,370		714
Hubbell, Inc.		29,702		3,723
Insperity, Inc.		19,969		1,293
ITT, Inc.		47,292		2,778
JetBlue Airways Corp. *		147,799		1,611
KAR Auction Services, Inc.		70,809		974
Kennametal, Inc.		45,436		1,304
Kirby Corp. *		32,901		1,762
Knight-Swift Transportation Holdings, Inc.		67,005		2,795
Landstar System, Inc.		21,027		2,362
Lennox International, Inc.		19,073		4,444
Lincoln Electric Holdings, Inc.		32,544		2,741
ManpowerGroup, Inc.		31,811		2,187
MasTec, Inc. *		31,929		1,433
Mercury Systems, Inc. *		30,468		2,397
The Middleby Corp. *		30,458		2,404
MSA Safety, Inc.		19,586		2,241
MSC Industrial Direct Co., Inc. - Class A		24,894		1,812
Nordson Corp.		28,132		5,337
nVent Electric PLC		85,631		1,604
Oshkosh Corp.		37,303		2,672
Owens Corning, Inc.		59,096		3,295
Regal Beloit Corp.		22,205		1,939
Ryder System, Inc.		29,447		1,105
Stericycle, Inc. *		50,096		2,804
Terex Corp.		34,938		656
Tetra Tech, Inc.		29,606		2,342
The Timken Co.		37,022		1,684
The Toro Co.		58,731		3,896
Trex Co., Inc. *		31,703		4,124
Trinity Industries, Inc.		51,658		1,100
Univar Solutions, Inc. *		75,897		1,280
Valmont Industries, Inc.		11,704		1,330
Watsco, Inc.		17,952		3,190
Werner Enterprises, Inc.		31,428		1,368
Woodward, Inc.		31,063		2,409
XPO Logistics, Inc. *		49,937		3,858
Total				137,360

Information Technology (15.8%)
ACI Worldwide, Inc. *		63,537		1,715
Alliance Data Systems Corp.		23,229		1,048
Arrow Electronics, Inc. *		43,110		2,961
Avnet, Inc.		54,121		1,509
Belden, Inc.		20,968		683
Blackbaud, Inc.		27,192		1,552
Cabot Microelectronics Corp.		15,926		2,222


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
CACI International, Inc. - Class A *		13,747		2,981
CDK Global, Inc.		66,597		2,758
Ceridian HCM Holding, Inc. *		55,630		4,410
Ciena Corp. *		84,195		4,560
Cirrus Logic, Inc. *		31,990		1,976
Cognex Corp.		94,084		5,619
Coherent, Inc. *		13,291		1,741
CommVault Systems, Inc. *		23,277		901
Cree, Inc. *		59,271		3,508
Enphase Energy, Inc. *		44,600		2,122
Fair Isaac Corp. *		15,894		6,644
First Solar, Inc. *		41,786		2,068
II-VI, Inc. *		48,005		2,267
InterDigital, Inc.		16,852		954
j2 Global, Inc. *		24,840		1,570
Jabil Circuit, Inc.		75,159		2,411
KBR, Inc.		77,978		1,758
Littelfuse, Inc.		13,304		2,270
LiveRamp Holdings, Inc. *		35,808		1,521
LogMeIn, Inc.		26,726		2,266
Lumentum Holdings, Inc. *		41,045		3,342
Manhattan Associates, Inc. *		34,796		3,278
MAXIMUS, Inc.		33,599		2,367
MKS Instruments, Inc.		30,069		3,405
Monolithic Power Systems		22,801		5,404
National Instruments Corp.		64,409		2,493
NCR Corp. *		70,034		1,213
NetScout Systems, Inc. *		34,828		890
Paylocity Holding Corp. *		19,711		2,876
Perspecta, Inc.		74,799		1,738
PTC, Inc. *		57,060		4,439
Qualys, Inc. *		18,361		1,910
Sabre Corp.		150,985		1,217
Science Applications International Corp.		27,072		2,103
Semtech Corp. *		35,703		1,864
Silicon Laboratories, Inc. *		23,940		2,401
SolarEdge Technologies, Inc. *		27,198		3,775
Synaptics, Inc. *		18,652		1,121
SYNNEX Corp.		22,567		2,703
Teradata Corp. *		59,457		1,237
Teradyne, Inc.		90,840		7,677
Trimble Navigation, Ltd. *		136,869		5,911
Universal Display Corp.		23,233		3,476
ViaSat, Inc. *		32,013		1,228
Vishay Intertechnology, Inc.		72,636		1,109


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
WEX, Inc. *		23,844		3,935
Total				139,107

Materials (5.8%)
Allegheny Technologies, Inc. *		69,393		707
AptarGroup, Inc.		35,174		3,939
Ashland Global Holdings, Inc.		33,130		2,289
Cabot Corp.		30,936		1,146
Carpenter Technology Corp.		26,197		636
The Chemours Co.		89,991		1,381
Commercial Metals Co.		65,246		1,331
Compass Minerals International, Inc.		18,580		906
Domtar Corp.		30,245		639
Eagle Materials, Inc.		22,806		1,601
Grief, Inc. - Class A		14,490		499
Ingevity Corp. *		22,582		1,187
Louisiana-Pacific Corp.		61,489		1,577
Minerals Technologies, Inc.		18,693		877
NewMarket Corp.		3,956		1,584
O-I Glass, Inc.		85,800		771
Olin Corp.		86,502		994
PolyOne Corp.		50,085		1,314
Reliance Steel & Aluminum Co.		34,875		3,311
Royal Gold, Inc.		35,938		4,468
RPM International, Inc.		70,961		5,326
The Scotts Miracle-Gro Co. - Class A		21,595		2,904
Sensient Technologies Corp.		23,212		1,211
Silgan Holdings, Inc.		42,530		1,378
Sonoco Products Co.		54,980		2,875
Steel Dynamics, Inc.		115,261		3,007
United States Steel Corp.		120,542		870
Valvoline, Inc.		101,396		1,960
Worthington Industries, Inc.		20,090		749
Total				51,437

Real Estate (9.6%)
American Campus Communities, Inc.		75,406		2,636
Brixmor Property Group, Inc.		162,453		2,083
Camden Property Trust		53,364		4,868
CoreCivic, Inc.		65,556		614
CoreSite Realty Corp.		22,088		2,674
Corporate Office Properties Trust		61,468		1,558
Cousins Properties, Inc.		81,399		2,428
CyrusOne, Inc.		63,129		4,593
Douglas Emmett, Inc.		90,339		2,770
EastGroup Properties, Inc.		21,402		2,538

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

Index 400 Stock Portfolio


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Real Estate continued
EPR Properties		42,459		1,407
First Industrial Realty Trust, Inc.		69,710		2,680
The GEO Group, Inc.		66,506		787
Healthcare Realty Trust, Inc.		73,942		2,166
Highwoods Properties, Inc.		56,929		2,125
Hudson Pacific Properties, Inc.		84,006		2,114
JBG SMITH Properties		64,427		1,905
Jones Lang LaSalle, Inc.		28,294		2,927
Kilroy Realty Corp.		58,015		3,405
Lamar Advertising Co. - Class A		47,313		3,159
Life Storage, Inc.		25,707		2,441
The Macerich Co.		63,716		571
Mack-Cali Realty Corp.		49,647		759
Medical Properties Trust, Inc.		289,524		5,443
National Retail Properties, Inc.		94,235		3,343
OMEGA Healthcare Investors, Inc.		124,341		3,697
Park Hotels & Resorts, Inc.		129,105		1,277
Pebblebrook Hotel Trust		71,654		979
Physicians Realty Trust		111,001		1,945
Potlatch Corp.		36,689		1,395
PS Business Parks, Inc.		10,993		1,455
Rayonier, Inc.		75,878		1,881
Sabra Health Care REIT, Inc.		112,646		1,625
Service Properties Trust		90,182		639
Spirit Realty Capital, Inc.		56,411		1,966
Store Capital Corp.		121,929		2,903
Taubman Centers, Inc.		33,761		1,275
Urban Edge Properties		60,667		720
Weingarten Realty Investors		65,988		1,249
Total				85,000

Utilities (4.0%)
ALLETE, Inc.		28,379		1,550
Black Hills Corp.		34,387		1,948
Essential Utilities, Inc.		122,196		5,162
Hawaiian Electric Industries, Inc.		59,811		2,157
IDACORP, Inc.		27,649		2,416
MDU Resources Group, Inc.		109,885		2,437
National Fuel Gas Co.		49,518		2,076
New Jersey Resources Corp.		52,472		1,713
NorthWestern Corp.		27,671		1,509
OGE Energy Corp.		109,692		3,330


Common Stocks (97.4%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
ONE Gas, Inc.		28,970		2,232
PNM Resources, Inc.		43,650		1,678
Southwest Gas Holdings, Inc.		30,204		2,086
Spire, Inc.		28,077		1,845
UGI Corp.		114,129		3,629
Total				35,768

Total Common Stocks (Cost: $767,495)				857,939

Short-Term Investments (2.4%)
Commercial Paper (0.7%)
Chevron Corp. 0.000%, 8/27/20 144A		1,500,000		1,499
Exxon Mobil Corp. 0.000%, 7/6/20		750,000		750
0.000%, 8/12/20		1,000,000		1,000
Pfizer, Inc.
0.000%, 7/1/20 144A		800,000		800
0.000%, 10/5/20 144A		700,000		700
The Walt Disney Co. 0.000%, 7/22/20 144A		1,500,000		1,500
Total				6,249

Money Market Funds (1.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		10,140,028		10,140
Total				10,140

US Government & Agencies (0.5%)
Federal Home Loan Bank
0.000%, 7/20/20 ß		3,000,000		3,000
0.000%, 9/16/20 ß		1,500,000		1,499
Total				4,499

Total Short-Term Investments (Cost: $20,886)				20,888

Total Investments (99.8%) (Cost: $788,381)^@				878,827

Other Assets, Less Liabilities (0.2%)				1,687

Net Assets (100.0%)				880,514

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 of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
S&P 400 Mini Index Futures		Long		USD		12		123		9/20	$	21,883	$	(10	)	$	297
													$	(10	)	$	297

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

–

297

–

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

*	Non income producing

144A

#	7-Day yield as of 6/30/2020.

ß	Cash or securities with an aggregate value of $4,499 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $788,381 and the net unrealized appreciation of investments based on that cost was $90,436 which is comprised of $211,077 aggregate gross unrealized appreciation and $120,641 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	857,939		$	—	$	—
Short-Term Investments
Money Market Funds		10,140			—		—
All Others		—			10,748		—
Total Assets:	$	868,079		$	10,748	$	—
Liabilities:
Other Financial Instruments^
Futures		(10	)		—		—
Total Liabilities:	$	(10	)	$	—	$	—

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

Mid Cap Value Portfolio (unaudited)

Sector Allocation 6/30/20


Sector			% of Net Assets

Industrials			20.7%

Financials			15.7%

Health Care			13.5%

Utilities			9.5%

Consumer Staples			8.7%

Information Technology			7.0%

Consumer Discretionary			6.3%

Materials			4.7%

Real Estate			3.6%

Short-Term Investments & Other Net Assets			3.1%

Investment Companies			2.8%

Energy			2.4%

Communication Services			2.0%

Sector Allocation is subject to change.

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.

Mid Cap Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (94.1%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (2.0%)
Fox Corp. - Class B		185,620		4,982
Rogers Communications, Inc.		124,574		5,006
Total				9,988

Consumer Discretionary (6.3%)
Advance Auto Parts, Inc.		50,951		7,258
Aptiv PLC		45,393		3,537
BorgWarner, Inc.		96,349		3,401
Genuine Parts Co.		70,156		6,101
Honda Motor Co., Ltd., ADR		157,010		4,013
Sodexo SA		70,457		4,759
Target Corp.		14,842		1,780
Thor Industries, Inc.		5,920		631
Total				31,480

Consumer Staples (8.7%)
Conagra Brands, Inc.		214,098		7,530
The J.M. Smucker Co.		61,722		6,531
Kellogg Co.		73,086		4,828
Kimberly-Clark Corp.		26,879		3,799
Koninklijke Ahold Delhaize NV		285,403		7,772
Mondelez International, Inc.		77,637		3,970
Orkla ASA		495,530		4,343
Sysco Corp.		94,969		5,191
Total				43,964

Energy (2.4%)
Baker Hughes		152,820		2,352
Cimarex Energy Co.		60,419		1,661
ConocoPhillips		153,451		6,448
Noble Energy, Inc.		181,838		1,629
Total				12,090

Financials (15.7%)
AFLAC, Inc.		135,509		4,882
Ameriprise Financial, Inc.		39,216		5,884
Arthur J. Gallagher & Co.		40,699		3,968
The Bank of New York Mellon Corp.		100,808		3,896
BlackRock, Inc.		2,090		1,137
Brown & Brown, Inc.		23,267		948
Capitol Federal Financial, Inc.		374,725		4,126
Chubb, Ltd.		90,586		11,470
Commerce Bancshares, Inc.		104,269		6,201
M&T Bank Corp.		19,084		1,984
Northern Trust Corp.		185,286		14,701
ProAssurance Corp.		62,699		907


Common Stocks (94.1%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Reinsurance Group of America, Inc.		55,502		4,354
State Street Corp.		49,639		3,154
T. Rowe Price Group, Inc.		21,222		2,621
Truist Financial Corp.		126,371		4,745
Westamerica Bancorporation		75,038		4,309
Total				79,287

Health Care (13.5%)
Cardinal Health, Inc.		118,897		6,205
Cerner Corp.		92,145		6,317
Envista Holdings Corp. *		302,645		6,383
Henry Schein, Inc. *		98,080		5,727
Hologic, Inc. *		59,925		3,416
McKesson Corp.		46,997		7,210
Quest Diagnostics, Inc.		70,766		8,064
Siemens Healthineers AG		42,827		2,051
Universal Health Services, Inc. - Class B		83,022		7,712
Zimmer Biomet Holdings, Inc.		126,443		15,092
Total				68,177

Industrials (20.7%)
ABB, Ltd.		179,010		4,024
BAE Systems PLC		629,767		3,767
Cummins, Inc.		40,875		7,082
Emerson Electric Co.		176,686		10,960
General Dynamics Corp.		33,928		5,071
Heartland Express, Inc.		235,889		4,911
Hubbell, Inc.		75,004		9,403
IMI, PLC		436,771		4,986
Johnson Controls International PLC		266,652		9,103
Lincoln Electric Holdings, Inc.		9,626		811
MSC Industrial Direct Co., Inc. - Class A		84,803		6,175
Norfolk Southern Corp.		33,626		5,904
nVent Electric PLC		444,714		8,329
PACCAR, Inc.		86,054		6,441
Republic Services, Inc.		101,663		8,341
Southwest Airlines Co.		135,640		4,636
Textron, Inc.		141,231		4,648
Total				104,592

Information Technology (7.0%)
Applied Materials, Inc.		141,337		8,544
F5 Networks, Inc. *		44,324		6,182
HP, Inc.		303,994		5,299


Common Stocks (94.1%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
Maxim Integrated Products, Inc.		107,400		6,510
Microchip Technology, Inc.		31,262		3,292
TE Connectivity, Ltd.		66,953		5,460
Total				35,287

Materials (4.7%)
Graphic Packaging
Holding Co.		200,187		2,801
Mondi PLC		290,793		5,434
Packaging Corp. of America		61,035		6,091
Sonoco Products Co.		140,641		7,354
WestRock Co.		78,074		2,206
Total				23,886

Real Estate (3.6%)
MGM Growth Properties LLC - Class A		156,368		4,255
Piedmont Office Realty Trust, Inc. - Class A		151,938		2,524
Welltower, Inc.		81,195		4,202
Weyerhaeuser Co.		327,707		7,360
Total				18,341

Utilities (9.5%)
Ameren Corp.		35,418		2,492
Atmos Energy Corp.		36,255		3,610
CMS Energy Corp.		32,346		1,890
Edison International		128,399		6,973
Evergy, Inc.		70,343		4,171
Eversource Energy		40,974		3,412
NorthWestern Corp.		124,702		6,799
Pinnacle West Capital Corp.		110,081		8,068
Spire, Inc.		73,936		4,858
Xcel Energy, Inc.		87,407		5,463
Total				47,736

Total Common Stocks (Cost: $483,114)				474,828

Investment Companies (2.8%)
Investment Companies (2.8%)
iShares Russell Midcap Value Index Fund		189,365		14,492
Total				14,492

Total Investment Companies (Cost: $13,501)				14,492

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

Mid Cap Value Portfolio


Short-Term Investments (2.3%)	Shares/ Par ⁺		Value $ (000’s)
Money Market Funds (2.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		11,391,999		11,392
Total				11,392

Total Short-Term Investments (Cost: $11,392)				11,392

Total Investments (99.2%) (Cost: $508,007)^@				500,712

Other Assets, Less Liabilities (0.8%)				3,906

Net Assets (100.0%)				504,618

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 Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Morgan Stanley Capital Services, Inc.	CAD	145		107		9/30/20	$	—p	$	—		$	—p
Sell	Morgan Stanley Capital Services, Inc.	CAD	5,999		4,419		9/30/20		13		—			13
Buy	Morgan Stanley Capital Services, Inc.	CHF	194		205		9/30/20		—		(1	)		(1	)
Sell	Morgan Stanley Capital Services, Inc.	CHF	3,342		3,537		9/30/20		—p		—			—p
Buy	Morgan Stanley Capital Services, Inc.	EUR	487		548		9/30/20		��p		—			—p
Sell	Morgan Stanley Capital Services, Inc.	EUR	11,610		13,069		9/30/20		31		—			31
Buy	Morgan Stanley Capital Services, Inc.	GBP	280		348		9/30/20		—		(1	)		(1	)
Sell	Morgan Stanley Capital Services, Inc.	GBP	10,179		12,619		9/30/20		73		(1	)		72
Buy	Morgan Stanley Capital Services, Inc.	JPY	40,528		376		9/30/20		—		(2	)		(2	)
Sell	Morgan Stanley Capital Services, Inc.	JPY	302,330		2,803		9/30/20		28		—			28
Sell	Goldman Sachs International	NOK	35,448		3,685		9/30/20		13		—p			13
								$	158	$	(5	)	$	153


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	$	158		—	$	158	$	(5)		—		—	$	(5)

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

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

Mid Cap Value Portfolio

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $508,007 and the net unrealized depreciation of investments based on that cost was $7,142 which is comprised of $29,352 aggregate gross unrealized appreciation and $36,494 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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 June 30, 2020. See Note 3 for additional information on portfolio valuation.


	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks
Consumer Discretionary	$	26,721	$	4,759		$	—
Consumer Staples		31,849		12,115			—
Health Care		66,126		2,051			—
Industrials		91,815		12,777			—
Materials		18,452		5,434			—
All Others		202,729		—			—
Investment Companies		14,492		—			—
Short-Term Investments		11,392		—			—
Other Financial Instruments^
Forward Currency Contracts		—		158			—
Total Assets:	$	463,576	$	37,294		$	—
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		—		(5	)		—
Total Liabilities:	$	—	$	(5	)	$	—

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

Small Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/20


Sector			% of Net Assets

Health Care			33.6%

Information Technology			20.7%

Industrials			15.4%

Consumer Discretionary			12.6%

Financials			5.4%

Consumer Staples			4.0%

Materials			3.0%

Real Estate			2.8%

Communication Services			1.5%

Short-Term Investments & Other Net Assets			1.0%

Sector Allocation is subject to change.

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.

Small Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (1.5%)
Bandwidth, Inc. *		16,802		2,134
Cardlytics, Inc. *		71,895		5,031
CarGurus, Inc. *		76,176		1,931
Total				9,096

Consumer Discretionary (12.6%)
Carter’s, Inc.		35,574		2,871
Churchill Downs, Inc.		42,202		5,619
Core-Mark Holding Co., Inc.		15,331		383
Deckers Outdoor Corp. *		33,253		6,531
Dunkin’ Brands Group, Inc.		46,776		3,051
Floor & Decor Holdings, Inc. *		89,356		5,151
Foot Locker, Inc.		112,367		3,277
Fox Factory Holding Corp. *		52,334		4,323
Penn National Gaming, Inc. *		123,945		3,785
PVH Corp.		68,155		3,275
Smith & Wesson Brands, Inc. *		172,276		3,708
Steven Madden, Ltd.		177,775		4,389
Thor Industries, Inc.		51,489		5,485
TopBuild Corp. *		63,328		7,205
Under Armour, Inc. - Class C *		394,594		3,488
Wingstop, Inc.		49,254		6,845
Wolverine World Wide, Inc.		174,969		4,166
YETI Holdings, Inc. *		131,268		5,609
Total				79,161

Consumer Staples (4.0%)
BellRing Brands, Inc. *		166,484		3,320
The Boston Beer Co., Inc. - Class A *		7,723		4,145
Freshpet, Inc. *		64,062		5,359
Hostess Brands, Inc. *		355,219		4,341
Performance Food Group Co. *		167,689		4,886
The Simply Good Foods Co. *		181,122		3,365
Total				25,416

Financials (5.4%)
First Hawaiian, Inc.		125,849		2,170
James River Group Holdings, Ltd.		116,063		5,223
Kemper Corp.		56,890		4,126
MGIC Investment Corp.		408,023		3,342
OneMain Holdings, Inc.		71,940		1,765
Seacoast Banking Corp. of Florida *		42,559		868
SLM Corp.		455,215		3,200


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Sterling Bancorp		215,806		2,529
Stifel Financial Corp.		63,530		3,013
Synovus Financial Corp.		119,265		2,449
Triumph Bancorp, Inc. *		110,015		2,670
Western Alliance Bancorporation		64,217		2,432
Total				33,787

Health Care (33.6%)
Acadia Pharmaceuticals, Inc. *		51,438		2,493
Acceleron Pharma, Inc. *		16,343		1,557
Addus HomeCare Corp. *		35,859		3,319
Adverum Biotechnologies, Inc. *		122,511		2,558
Akebia Therapeutics, Inc. *		265,210		3,602
Akouos, Inc. *		12,900		290
Allakos, Inc. *		51,056		3,669
Amedisys, Inc. *		18,476		3,668
Amicus Therapeutics, Inc. *		347,027		5,233
Apellis Pharmaceuticals, Inc. *		104,633		3,417
Arena Pharmaceuticals, Inc. *		40,149		2,527
AtriCure, Inc. *		82,456		3,706
Biohaven Pharmaceutical Holding Co., Ltd. *		67,899		4,964
Blueprint Medicines Corp. *		21,844		1,704
Cardiovascular Systems, Inc. *		78,130		2,465
ChemoCentryx, Inc. *		75,829		4,363
Constellation Pharmaceuticals, Inc. *		89,008		2,675
Cytokinetics, Inc. *		139,142		3,280
Dicerna Pharmaceuticals, Inc. *		167,704		4,260
Emergent Biosolutions, Inc. *		34,207		2,705
Forma Therapeutics Holdings, Inc. *		24,800		1,153
Generation Bio, Inc. *		23,000		483
Global Blood Therapeutics, Inc. *		7,933		501


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Globus Medical, Inc. - Class A *		118,742		5,665
Haemonetics Corp. *		33,278		2,980
Heron Therapeutics, Inc. *		192,304		2,829
HMS Holdings Corp. *		184,865		5,988
ICU Medical, Inc. *		9,089		1,675
ImmunoGen, Inc. *		230,500		1,060
Integer Holdings Corp. *		71,157		5,198
Integra LifeSciences Holdings Corp. *		81,722		3,840
iRhythm Technologies, Inc. *		28,169		3,264
Karyopharm Therapeutics, Inc. *		156,020		2,955
Kodiak Sciences, Inc. *		58,805		3,183
LHC Group, Inc. *		37,215		6,487
Madrigal Pharmaceuticals, Inc. *		20,422		2,313
Mersana Therapeutics, Inc. *		95,731		2,240
Mirati Therapeutics, Inc. *		47,515		5,425
Momenta Pharmaceuticals, Inc. *		149,958		4,989
MyoKardia, Inc. *		57,604		5,566
Nanostring Technologies, Inc. *		104,620		3,071
NuVasive, Inc. *		59,586		3,317
Omnicell, Inc. *		103,219		7,289
OraSure Technologies, Inc. *		176,813		2,056
Oyster Point Pharma, Inc. *		54,700		1,580
Pacira Biosciences, Inc. *		53,824		2,824
Principia Biopharma, Inc. *		61,623		3,684
The Providence Service Corp. *		57,676		4,551
PTC Therapeutics, Inc. *		94,168		4,778
R1 RCM, Inc. *		448,308		4,999
Radius Health, Inc. *		153,902		2,098
RAPT Therapeutics, Inc. *		80,804		2,345
Reata Pharmaceuticals, Inc. *		16,094		2,511
REGENXBIO, Inc. *		40,253		1,482
Repligen Corp. *		26,543		3,281
Revance Therapeutics, Inc. *		128,368		3,135

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

Small Cap Growth Stock Portfolio


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Rhythm Pharmaceuticals, Inc. *		113,662		2,535
Tandem Diabetes Care, Inc. *		64,122		6,343
Theravance Biopharma, Inc. *		141,025		2,960
Tricida, Inc. *		87,707		2,410
Turning Point Therapeutics, Inc. *		53,099		3,430
Ultragenyx Pharmaceutical, Inc. *		42,038		3,288
Veracyte, Inc. *		136,780		3,543
Y-mAbs Therapeutics, Inc. *		85,107		3,677
Total				211,436

Industrials (15.4%)
Aerojet Rocketdyne Holdings, Inc. *		120,650		4,783
Altra Industrial Motion Corp.		99,160		3,159
Applied Industrial Technologies, Inc.		94,500		5,896
Armstrong World Industries, Inc.		32,366		2,523
ASGN, Inc. *		84,038		5,604
Axon Enterprise, Inc. *		33,367		3,274
BWX Technologies, Inc.		83,886		4,751
Clean Harbors, Inc. *		63,498		3,809
Curtiss-Wright Corp.		31,676		2,828
EnerSys		54,814		3,529
Exponent, Inc.		85,732		6,938
Hexcel Corp.		65,607		2,967
Huron Consulting Group, Inc. *		41,758		1,848
Insperity, Inc.		50,912		3,296
ITT, Inc.		82,842		4,866
John Bean Technologies Corp.		68,373		5,881
Marten Transport, Ltd.		115,472		2,905
Mercury Systems, Inc. *		48,793		3,838
MSA Safety, Inc.		26,027		2,978
Patrick Industries, Inc.		92,561		5,669
Rexnord Corp.		143,150		4,173
SPX Corp. *		121,374		4,995
SPX Flow, Inc. *		93,251		3,491
Trex Co., Inc. *		23,471		3,053
Total				97,054

Information Technology (20.7%)
Blackbaud, Inc.		60,553		3,456
CACI International, Inc. - Class A *		18,642		4,043
Cohu, Inc.		153,079		2,654
CTS Corp.		135,722		2,720
Entegris, Inc.		57,641		3,404
Everbridge, Inc. *		47,431		6,563


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
Exlservice Holdings, Inc. *		51,114		3,241
First Solar, Inc. *		101,065		5,003
Five9, Inc. *		69,457		7,687
FormFactor, Inc. *		169,741		4,979
Itron, Inc. *		73,129		4,845
LiveRamp Holdings, Inc. *		100,645		4,274
Lumentum Holdings, Inc. *		65,630		5,344
Manhattan Associates, Inc. *		41,538		3,913
Medallia, Inc. *		189,124		4,773
Mimecast, Ltd. *		130,670		5,444
MKS Instruments, Inc.		27,197		3,080
Onto Innovation, Inc. *		89,085		3,032
Paylocity Holding Corp. *		21,833		3,185
Pegasystems, Inc.		37,039		3,747
Perficient, Inc. *		131,126		4,692
Power Integrations, Inc.		30,555		3,609
Pure Storage, Inc. *		164,289		2,847
Q2 Holdings, Inc. *		72,849		6,250
Rapid7, Inc. *		111,788		5,703
Rogers Corp. *		24,870		3,099
Science Applications International Corp.		81,782		6,353
Sprout Social, Inc. *		62,223		1,680
SVMK, Inc. *		307,432		7,237
Verra Mobility Corp *		295,923		3,042
Total				129,899

Materials (3.0%)
Axalta Coating Systems, Ltd. *		139,201		3,139
Boise Cascade Co.		104,908		3,946
Graphic Packaging Holding Co.		310,283		4,341
Ingevity Corp. *		56,380		2,964
Louisiana-Pacific Corp.		180,981		4,642
Total				19,032

Real Estate (2.8%)
Columbia Property Trust, Inc.		138,303		1,817
CoreSite Realty Corp.		28,447		3,444
Corporate Office Properties Trust		105,402		2,671
Essential Properties Realty Trust, Inc.		176,695		2,622
Independence Realty Trust, Inc.		283,620		3,259
PS Business Parks, Inc.		28,688		3,798
Total				17,611

Total Common Stocks (Cost: $524,279)				622,492


Short-Term Investments (1.5%)	Shares/ Par +		Value $ (000’s)
Money Market Funds (1.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		9,320,426		9,320
Total				9,320

Total Short-Term Investments (Cost: $9,320)				9,320

Total Investments (100.5%) (Cost: $533,599)^@				631,812

Other Assets, Less Liabilities (-0.5%)				(2,970	)

Net Assets (100.0%)				628,842

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 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $533,599 and the net unrealized appreciation of investments based on that cost was $98,213 which is comprised of $135,654 aggregate gross unrealized appreciation and $37,441 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	622,492	$	—	$	—
Short-Term Investments		9,320		—		—
Total Assets:	$	631,812	$	—	$	—

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

Index 600 Stock Portfolio (unaudited)

Sector Allocation 6/30/20


Sector			% of Net Assets

Industrials			16.9%

Financials			14.2%

Consumer Discretionary			13.9%

Information Technology			13.2%

Health Care			12.4%

Real Estate			7.8%

Materials			4.7%

Short-Term Investments & Other Net Assets			4.1%

Consumer Staples			3.5%

Energy			2.8%

Communication Services			2.5%

Utilities			2.1%

Investment Companies			1.9%

Sector Allocation is subject to change.

“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.

Index 600 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (2.5%)
ATN International, Inc.		4,080		247
Cincinnati Bell, Inc. *		18,983		282
Cogent Communications Holdings, Inc.		15,754		1,219
Consolidated Communications Holdings, Inc. *		27,422		186
The E.W. Scripps Co. - Class A		20,600		180
Gannett Co., Inc.		49,593		68
Glu Mobile, Inc. *		49,407		458
Iridium Communications, Inc. *		36,735		934
The Marcus Corp.		8,684		115
Meredith Corp.		15,132		220
QuinStreet, Inc. *		17,554		184
Scholastic Corp.		11,387		341
Shenandoah Telecommunications Co.		17,589		867
Spok Holdings, Inc.		6,636		62
TechTarget, Inc. *		8,578		258
Vonage Holdings Corp. *		86,591		871
Total				6,492

Consumer Discretionary (13.9%)
Abercrombie & Fitch Co. - Class A		23,126		246
American Axle & Manufacturing Holdings, Inc. *		42,456		323
American Public Education, Inc. *		5,549		164
America’s Car-Mart, Inc. *		2,336		205
Asbury Automotive Group, Inc. *		7,242		560
Barnes & Noble Education, Inc. *		14,506		23
Bed Bath & Beyond, Inc.		47,511		504
Big Lots, Inc.		14,728		619
BJ’s Restaurants, Inc.		8,357		175
Bloomin’ Brands, Inc.		32,845		350
Boot Barn Holdings, Inc. *		10,816		233
Brinker International, Inc.		16,911		406
The Buckle, Inc.		10,758		169
Caleres, Inc.		15,105		126
Callaway Golf Co.		35,331		619
Capri Holdings, Ltd. *		56,076		876
The Cato Corp. - Class A		7,936		65


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Consumer Discretionary continued
Cavco Industries, Inc. *		3,237		624
Century Communities, Inc. *		10,762		330
The Cheesecake Factory, Inc.		15,702		360
Chico’s FAS, Inc.		45,195		62
The Children’s Place, Inc.		5,460		204
Chuy’s Holdings, Inc. *		6,249		93
Conn’s, Inc. *		7,191		73
Cooper Tire & Rubber Co.		18,877		521
Cooper-Standard Holding, Inc. *		6,339		84
Core-Mark Holding Co., Inc.		16,927		422
Crocs, Inc. *		25,294		931
Dave & Buster’s Entertainment, Inc.		17,790		237
Designer Brands, Inc.		20,393		138
DineEquity, Inc.		6,164		260
Dorman Products, Inc. *		10,840		727
El Pollo Loco Holdings, Inc. *		7,380		109
Ethan Allen Interiors, Inc.		8,653		102
Express, Inc. *		24,199		37
Fiesta Restaurant Group, Inc. *		7,602		49
Fossil Group, Inc. *		17,468		81
Fox Factory Holding Corp. *		15,388		1,271
GameStop Corp. - Class A *		24,312		106
Garrett Motion, Inc. *		28,378		157
Genesco, Inc. *		5,237		113
Gentherm, Inc. *		12,239		476
G-III Apparel Group, Ltd. *		16,236		216
Group 1 Automotive, Inc.		6,414		423
Guess?, Inc.		16,507		160
Haverty Furniture Cos., Inc.		6,483		104
Hibbett Sports, Inc. *		6,207		130
Installed Building Products, Inc. *		7,941		546
iRobot Corp. *		10,468		878
Kontoor Brands, Inc.		17,580		313
La-Z-Boy, Inc.		17,282		468
LCI Industries		9,437		1,085
LGI Homes, Inc. *		8,190		721
Liquidity Services, Inc. *		10,218		61


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Consumer Discretionary continued
Lithia Motors, Inc. - Class A		8,321		1,259
Lumber Liquidators Holdings, Inc. *		10,818		150
M.D.C. Holdings, Inc.		18,938		676
M/I Homes, Inc. *		10,708		369
Macy’s, Inc.		116,259		800
MarineMax, Inc. *		8,062		181
Meritage Homes Corp. *		13,268		1,010
The Michaels Cos., Inc. *		28,764		203
Monarch Casino & Resort, Inc. *		4,503		153
Monro Muffler Brake, Inc.		12,496		687
Motorcar Parts of America, Inc. *		7,120		126
Movado Group, Inc.		6,202		67
Office Depot, Inc.		197,602		464
Oxford Industries, Inc.		6,299		277
Perdoceo Education Corp. *		25,927		413
PetMed Express, Inc.		7,571		270
Red Robin Gourmet Burgers, Inc. *		4,846		49
Regis Corp. *		9,080		74
Rent-A-Center, Inc.		18,172		506
Ruth’s Hospitality Group, Inc.		11,811		96
Shake Shack, Inc. - Class A *		13,185		699
Shoe Carnival, Inc.		3,332		98
Shutterstock, Inc.		7,224		253
Signet Jewelers, Ltd.		19,651		202
Sleep Number Corp. *		10,375		432
Sonic Automotive, Inc. - Class A		9,046		289
Stamps.com, Inc. *		6,093		1,119
Standard Motor Products, Inc.		7,539		311
Steven Madden, Ltd.		28,721		709
Sturm, Ruger & Co., Inc.		6,235		474
Tupperware Brands Corp.		18,401		87
Unifi, Inc. *		5,471		70
Universal Electronics, Inc. *		5,223		245
Vera Bradley, Inc. *		8,627		38
Vista Outdoor, Inc. *		21,780		315
Wingstop, Inc.		11,106		1,543
Winnebago Industries, Inc.		12,651		843
Wolverine World Wide, Inc.		30,480		726

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

Index 600 Stock Portfolio


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Consumer Discretionary continued
YETI Holdings, Inc. *		25,136		1,074
Zumiez, Inc. *		7,542		206
Total				35,898

Consumer Staples (3.5%)
The Andersons, Inc.		12,352		170
B&G Foods, Inc.		24,071		587
Calavo Growers, Inc.		6,159		387
Cal-Maine Foods, Inc. *		11,370		506
Central Garden & Pet Co. *		3,606		130
Central Garden & Pet Co. - Class A *		14,720		497
The Chefs’ Warehouse, Inc. *		11,606		158
Coca-Cola Bottling Co. Consolidated		1,743		399
Fresh Del Monte Produce, Inc.		11,287		278
Inter Parfums, Inc.		6,629		319
J & J Snack Foods Corp.		5,602		712
John B. Sanfilippo & Son, Inc.		3,356		286
Medifast, Inc.		4,423		614
MGP Ingredients, Inc.		4,948		182
National Beverage Corp. *		4,375		267
PriceSmart, Inc.		8,387		506
Seneca Foods Corp. - Class A *		2,535		86
SpartanNash Co.		13,396		285
United Natural Foods, Inc. *		20,130		367
Universal Corp.		9,172		390
USANA Health Sciences, Inc. *		4,576		336
Vector Group, Ltd.		44,828		451
WD-40 Co.		5,131		1,017
Total				8,930

Energy (2.8%)
Archrock, Inc.		48,226		313
Bonanza Creek Energy, Inc. *		7,019		104
Bristow Group, Inc. *		2,505		35
Callon Petroleum Co. *		149,043		171
CONSOL Energy, Inc. *		9,772		50
Core Laboratories NV		16,690		339
Denbury Resources, Inc. *		190,148		52
DMC Global, Inc.		5,538		153
Dorian LPG, Ltd. *		10,113		78
Dril-Quip, Inc. *		13,163		392
Exterran Corp. *		10,454		56
Geospace Technologies Corp. *		5,130		39
Green Plains, Inc. *		12,526		128
Gulfport Energy Corp. *		54,618		60
Helix Energy Solutions Group, Inc. *		53,500		186


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
Helmerich & Payne, Inc.		40,328		787
Laredo Petroleum, Inc. *		3,415		47
Matador Resources Co. *		41,136		350
Matrix Service Co. *		9,814		95
Nabors Industries, Ltd.		2,549		94
Newpark Resources, Inc. *		33,751		75
Oasis Petroleum, Inc. *		109,489		82
Oceaneering International, Inc. *		37,268		238
Oil States International, Inc. *		22,879		109
Par Pacific Holdings, Inc. *		14,560		131
Patterson-UTI Energy, Inc.		70,018		243
PDC Energy, Inc. *		35,876		446
Penn Virginia Corp. *		5,065		48
ProPetro Holding Corp. *		30,914		159
QEP Resources, Inc.		90,923		117
Range Resources Corp.		79,692		449
Renewable Energy Group, Inc. *		14,660		363
REX American Resources Corp. *		2,067		143
Ring Energy, Inc. *		22,459		26
RPC, Inc. *		19,395		60
SEACOR Holdings, Inc. *		6,641		188
SM Energy Co.		39,874		150
Southwestern Energy Co. *		203,365		521
Talos Energy, Inc. *		7,605		70
US Silica Holdings, Inc.		27,709		100
Valaris PLC *		74,500		49
Total				7,296

Financials (14.2%)
Allegiance Bancshares, Inc.		7,047		179
Ambac Financial Group, Inc. *		17,187		246
American Equity
Investment Life Holding Co.		34,361		849
Ameris Bancorp		24,505		578
AMERISAFE, Inc.		7,247		443
Apollo Commercial Real Estate Finance, Inc.		53,707		527
ARMOUR Residential REIT, Inc.		24,247		228
Axos Financial, Inc. *		19,485		430
Banc of California, Inc.		16,600		180
Banner Corp.		13,199		502


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Berkshire Hills Bancorp, Inc.		16,203		179
Blucora, Inc. *		17,964		205
Boston Private Financial Holdings, Inc.		30,710		211
Brightsphere Investment Group, Inc.		23,403		292
Brookline Bancorp, Inc.		29,628		299
Cadence Bancorp		47,278		419
Capstead Mortgage Corp.		36,189		199
Central Pacific Financial Corp.		10,555		169
City Holding Co.		6,063		395
Columbia Banking System, Inc.		26,869		762
Community Bank System, Inc.		19,558		1,115
Customers Bancorp, Inc. *		10,869		131
CVB Financial Corp.		48,331		906
Dime Community Bancshares		10,753		148
Donnelley Financial Solutions, Inc. *		11,525		97
Eagle Bancorp, Inc.		12,088		396
eHealth, Inc. *		9,616		945
Employers Holdings, Inc.		11,403		344
Encore Capital Group, Inc. *		10,436		357
Enova International, Inc. *		11,277		168
EZCORP, Inc. - Class A *		19,559		123
First Bancorp		81,903		458
First Commonwealth Financial Corp.		36,843		305
First Financial Bancorp		36,778		511
First Midwest Bancorp, Inc.		42,879		572
Flagstar Bancorp, Inc.		12,992		382
Franklin Financial Network, Inc.		5,097		131
Granite Point Mortgage Trust, Inc.		20,700		149
Great Western Bancorp, Inc.		20,654		284
Green Dot Corp. - Class A *		18,299		898
Greenhill & Co., Inc.		5,500		55
Hanmi Financial Corp.		11,494		112
HCI Group, Inc.		2,366		109
Heritage Financial Corp. of Washington		13,473		269
HomeStreet, Inc.		8,784		216
Hope Bancorp, Inc.		46,250		426
Horace Mann Educators Corp.		15,502		569

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

Index 600 Stock Portfolio


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Independent Bank Corp.		12,365		830
Independent Bank Group, Inc.		13,735		556
INTL FCStone, Inc. *		6,133		337
Invesco Mortgage Capital, Inc.		67,763		253
James River Group Holdings, Ltd.		11,458		516
Kinsale Capital Group, Inc.		7,770		1,206
KKR Real Estate Finance Trust, Inc.		8,748		145
Meta Financial Group, Inc.		11,953		217
National Bank Holding Corp. - Class A		11,474		310
NBT Bancorp, Inc.		16,364		503
New York Mortgage Trust, Inc.		141,711		370
NMI Holdings, Inc. - Class A *		31,815		512
Northfield Bancorp, Inc.		16,285		188
Northwest Bancshares, Inc.		44,542		455
OFG Bancorp		19,275		258
Old National Bancorp		61,856		851
Pacific Premier Bancorp, Inc.		30,341		658
Palomar Holdings, Inc. *		6,647		570
PennyMac Mortgage
Investment Trust		37,483		657
Piper Jaffray Cos., Inc.		5,445		322
PRA Group, Inc. *		17,097		661
Preferred Bank		5,096		218
ProAssurance Corp.		20,215		292
Provident Financial Services, Inc.		22,517		325
Ready Capital Corp.		14,205		123
Redwood Trust, Inc.		43,110		302
S&T Bancorp, Inc.		14,291		335
Safety Insurance Group, Inc.		5,460		416
Seacoast Banking Corp. of Florida *		19,788		404
ServisFirst Bancshares, Inc.		17,384		622
Simmons First National Corp. - Class A		40,910		700
Southside Bancshares, Inc.		11,650		323
Stewart Information Services Corp.		8,891		289
Third Point Reinsurance, Ltd. *		30,278		227
Tompkins Financial Corp.		4,589		297
Triumph Bancorp, Inc. *		8,323		202
TrustCo Bank Corp.		36,204		229


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
United Community Banks, Inc.		29,392		591
United Fire Group, Inc.		7,983		221
United Insurance Holdings Corp.		7,746		61
Universal Insurance Holdings, Inc.		11,192		199
Veritex Holdings, Inc.		17,211		305
Virtus Investment Partners, Inc.		2,723		317
Waddell & Reed Financial, Inc. - Class A		24,637		382
Walker & Dunlop, Inc.		10,844		551
Westamerica Bancorporation		10,114		581
WisdomTree Investments, Inc.		44,632		155
World Acceptance Corp. *		1,973		129
Total				36,639

Health Care (12.4%)
Addus HomeCare Corp. *		5,082		470
Allscripts Healthcare Solutions, Inc. *		61,026		413
AMAG Pharmaceuticals, Inc. *		12,867		98
AMN Healthcare Services, Inc. *		17,636		798
Amphastar Pharmaceuticals, Inc. *		12,661		284
AngioDynamics, Inc. *		14,152		144
ANI Pharmaceuticals, Inc. *		3,564		115
Anika Therapeutics, Inc. *		5,332		201
BioTelemetry, Inc. *		12,819		579
Cardiovascular Systems, Inc. *		13,243		418
Coherus Biosciences, Inc. *		22,896		409
Community Health Systems, Inc. *		44,926		135
Computer Programs and Systems, Inc.		4,740		108
CONMED Corp.		10,713		771
Corcept Therapeutics, Inc. *		38,722		651
CorVel Corp. *		3,306		234
Covetrus, Inc. *		36,564		654
Cross Country Healthcare, Inc. *		14,064		87
CryoLife, Inc. *		14,169		272
Cutera, Inc. *		6,556		80
Cytokinetics, Inc. *		22,327		526
Eagle Pharmaceuticals, Inc. *		3,802		182


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Emergent Biosolutions, Inc. *		16,730		1,323
Enanta Pharmaceuticals, Inc. *		6,083		305
Endo International PLC *		76,751		263
Ensign Group, Inc.		18,941		793
Glaukos Corp. *		14,945		574
Hanger, Inc. *		14,189		235
HealthStream, Inc. *		9,490		210
Heska Corp. *		3,173		296
HMS Holdings Corp. *		33,193		1,075
Innoviva, Inc. *		25,105		351
Inogen, Inc. *		6,870		244
Integer Holdings Corp. *		12,327		901
Invacare Corp.		12,922		82
Lannett Co., Inc. *		12,574		91
Lantheus Holdings, Inc. *		24,793		355
LeMaitre Vascular, Inc.		6,212		164
Luminex Corp.		15,987		520
Magellan Health, Inc. *		8,343		609
Medpace Holdings, Inc. *		10,093		939
Meridian Bioscience, Inc. *		16,081		375
Merit Medical Systems, Inc. *		20,793		949
Mesa Laboratories, Inc.		1,519		329
Momenta Pharmaceuticals, Inc. *		44,191		1,470
Myriad Genetics, Inc. *		27,990		317
Natus Medical, Inc. *		12,690		277
Neogen Corp. *		19,864		1,542
NeoGenomics, Inc. *		41,220		1,277
NextGen Healthcare, Inc. *		18,365		202
Omnicell, Inc. *		16,001		1,130
OraSure Technologies, Inc. *		26,740		311
Orthofix Medical, Inc. *		7,209		231
Owens & Minor, Inc.		23,655		180
Pacira Biosciences, Inc. *		15,813		830
The Pennant Group, Inc. *		9,849		223
Phibro Animal Health Corp. - Class A		7,617		200
The Providence Service Corp. *		4,296		339
RadNet, Inc. *		15,705		249
REGENXBIO, Inc. *		11,884		438
Select Medical Holdings Corp. *		40,340		594
Simulations Plus, Inc.		4,603		275
Spectrum Pharmaceuticals, Inc. *		43,098		146

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

Index 600 Stock Portfolio


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Supernus Pharmaceuticals, Inc. *		19,725		469
Surmodics, Inc. *		5,109		221
Tabula Rasa HealthCare, Inc. *		7,692		421
Tactile Systems Technology, Inc. *		7,221		299
Tivity Health, Inc. *		16,383		186
US Physical Therapy, Inc.		4,822		391
Vanda Pharmaceuticals, Inc. *		20,364		233
Varex Imaging Corp. *		14,679		222
Xencor, Inc. *		18,619		603
Zynex, Inc. *		5,732		143
Total				32,031

Industrials (16.9%)
AAON, Inc.		15,237		827
AAR Corp.		12,387		256
ABM Industries, Inc.		25,015		908
Aegion Corp. *		11,520		183
Aerojet Rocketdyne Holdings, Inc. *		27,123		1,075
Aerovironment, Inc. *		8,108		646
Alamo Group, Inc.		3,651		375
Albany International Corp. - Class A		11,526		677
Allegiant Travel Co.		4,926		538
American Woodmark Corp. *		5,846		442
Apogee Enterprises, Inc.		9,881		228
Applied Industrial Technologies, Inc.		14,532		907
ArcBest Corp.		9,484		251
Arcosa, Inc.		18,100		764
Astec Industries, Inc.		8,479		393
Atlas Air Worldwide Holdings, Inc. *		9,809		422
AZZ, Inc.		9,821		337
Barnes Group, Inc.		17,801		704
Brady Corp. - Class A		18,179		851
Chart Industries, Inc. *		13,213		641
CIRCOR International, Inc. *		7,504		191
Comfort Systems USA, Inc.		13,692		558
Cubic Corp.		11,750		564
DXP Enterprises, Inc. *		6,055		121
Echo Global Logistics, Inc. *		9,992		216
Encore Wire Corp.		7,718		377
Enerpac Tool Group Corp.		19,964		351
EnPro Industries, Inc.		7,702		380
ESCO Technologies, Inc.		9,775		826
Exponent, Inc.		19,352		1,566


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Industrials continued
Federal Signal Corp.		22,617		672
Forrester Research, Inc. *		4,015		129
Forward Air Corp.		10,503		523
Foundation Building Materials, Inc. *		6,650		104
Franklin Electric Co., Inc.		14,385		755
Gibraltar Industries, Inc. *		12,167		584
GMS, Inc. *		15,889		391
Granite Construction, Inc.		17,548		336
The Greenbrier Cos., Inc.		12,264		279
Griffon Corp.		16,204		300
Harsco Corp. *		29,616		400
Hawaiian Holdings, Inc.		17,251		242
Heartland Express, Inc.		17,409		362
Heidrick & Struggles International, Inc.		7,236		156
Hillenbrand, Inc.		28,052		759
Hub Group, Inc. - Class A *		12,587		602
Insteel Industries, Inc.		6,870		131
Interface, Inc.		21,954		179
John Bean Technologies Corp.		11,889		1,023
Kaman Corp.		10,378		432
Kelly Services, Inc. - Class A		12,510		198
Korn Ferry		20,665		635
Lindsay Corp.		4,068		375
Lydall, Inc. *		6,643		90
Marten Transport, Ltd.		14,623		368
Matson, Inc.		16,159		470
Matthews International Corp. - Class A		11,739		224
Meritor, Inc. *		27,128		537
Moog, Inc. - Class A		11,264		597
Mueller Industries, Inc.		21,314		567
MYR Group, Inc. *		6,264		200
National Presto Industries, Inc.		1,897		166
NOW, Inc. *		41,037		354
Park Aerospace Corp.		7,318		81
Patrick Industries, Inc.		8,295		508
PGT Innovations, Inc. *		22,122		347
Pitney Bowes, Inc.		64,809		168
Powell Industries, Inc.		3,314		91
Proto Labs, Inc. *		9,991		1,124
Quanex Building Products Corp.		12,315		171
Raven Industries, Inc.		13,453		289
Resideo Technologies, Inc. *		46,233		542
Resources Connection, Inc.		11,344		136
RR Donnelley & Sons Co.		26,768		32
Saia, Inc. *		9,789		1,088


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Industrials continued
Simpson Manufacturing Co., Inc.		14,849		1,253
SkyWest, Inc.		18,824		614
SPX Corp. *		16,729		688
SPX Flow, Inc. *		16,011		599
Standex International Corp.		4,659		268
Sunrun Inc. *		29,816		588
Team, Inc. *		11,499		64
Tennant Co.		6,924		450
Titan International, Inc.		18,883		28
Triumph Group, Inc.		19,465		175
TrueBlue, Inc. *		13,563		207
UFP Industries, Inc.		22,939		1,136
UniFirst Corp.		5,724		1,024
US Ecology, Inc.		9,580		325
Veritiv Corp. *		4,706		80
Viad Corp.		7,652		146
Vicor Corp. *		6,945		500
Wabash National Corp.		19,841		211
Watts Water Technologies, Inc. - Class A		10,320		836
WESCO International, Inc. *		—		—p
Total				43,484

Information Technology (13.2%)
3D Systems Corp. *		44,630		312
8x8, Inc. *		38,910		623
ADTRAN, Inc.		18,005		197
Advanced Energy
Industries, Inc. *		14,366		974
Agilysys, Inc. *		7,555		136
Alarm.com Holdings, Inc. *		15,925		1,032
Applied Optoelectronics, Inc. *		7,254		79
Arlo Technologies, Inc. *		29,294		76
Axcelis Technologies, Inc. *		12,342		344
Badger Meter, Inc.		10,931		688
Bel Fuse, Inc. - Class B		3,800		41
Benchmark Electronics, Inc.		13,672		295
Bottomline Technologies, Inc. *		14,247		723
Brooks Automation, Inc.		27,691		1,225
CalAmp Corp. *		12,901		103
Cardtronics PLC *		13,521		324
CEVA, Inc. *		8,261		309
Cohu, Inc.		15,656		272
Comtech Telecommunications Corp.		9,285		157
CSG Systems International, Inc.		12,414		514
CTS Corp.		12,111		243

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

Index 600 Stock Portfolio


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
Daktronics, Inc.		14,046		61
Diebold, Inc. *		29,092		176
Digi International, Inc. *		10,871		127
Diodes, Inc. *		15,657		794
DSP Group, Inc. *		8,713		138
Ebix, Inc.		8,361		187
ePlus, Inc. *		5,068		358
EVERTEC, Inc.		22,393		629
Exlservice Holdings, Inc. *		12,883		817
Extreme Networks, Inc. *		45,130		196
Fabrinet *		13,786		861
FARO Technologies, Inc. *		6,652		357
FormFactor, Inc. *		28,593		839
Harmonic, Inc. *		36,259		172
Ichor Holdings, Ltd. *		8,563		228
Insight Enterprises, Inc. *		13,239		651
Itron, Inc. *		13,419		889
Knowles Corp. *		32,299		493
Kulicke and Soffa Industries, Inc.		23,437		488
LivePerson, Inc. *		23,113		958
ManTech International Corp. - Class A		10,164		696
MaxLinear, Inc. - Class A *		24,720		531
Methode Electronics, Inc. - Class A		13,925		435
MicroStrategy, Inc. - Class A *		2,902		343
MTS Systems Corp.		6,716		118
NETGEAR, Inc. *		11,094		287
NIC, Inc.		25,142		577
OneSpan, Inc. *		12,259		342
Onto Innovation, Inc. *		17,863		608
OSI Systems, Inc. *		6,289		469
PC Connection, Inc.		4,117		191
PDF Solutions, Inc. *		10,584		207
Perficient, Inc. *		12,420		444
Photronics, Inc. *		24,448		272
Plantronics, Inc.		12,525		184
Plexus Corp. *		10,957		773
Power Integrations, Inc.		11,203		1,323
Progress Software Corp.		16,815		652
Rambus, Inc. *		42,527		646
Rogers Corp. *		7,006		873
Sanmina Corp. *		25,607		641
ScanSource, Inc. *		9,516		229
SMART Global Holdings, Inc. *		5,134		140
SPS Commerce, Inc. *		13,113		985
Sykes Enterprises, Inc. *		14,142		391
TTEC Holdings, Inc.		6,648		310
TTM Technologies, Inc. *		37,095		440


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
Ultra Clean Holdings, Inc. *		14,980		339
Unisys Corp. *		19,622		214
Veeco Instruments, Inc. *		18,557		250
Viavi Solutions, Inc. *		85,587		1,090
Virtusa Corp. *		11,313		367
Xperi Holding Corp.		43,178		637
Total				34,090

Materials (4.7%)
AdvanSix, Inc. *		10,513		123
American Vanguard Corp.		9,966		137
Arconic Corp. *		36,029		502
Balchem Corp.		12,133		1,151
Boise Cascade Co.		14,716		554
Century Aluminum Co. *		18,808		134
Clearwater Paper Corp. *		6,220		225
Cleveland-Cliffs, Inc.		149,649		826
Ferro Corp. *		30,876		369
FutureFuel Corp.		9,689		116
GCP Applied Technologies, Inc. *		20,259		376
H.B. Fuller Co.		19,301		861
Hawkins, Inc.		3,539		151
Haynes International, Inc.		4,714		110
Innospec, Inc.		9,221		712
Kaiser Aluminum Corp.		5,928		436
Koppers Holdings, Inc. *		7,877		148
Kraton Corp. *		11,959		207
Livent Corp. *		54,884		338
Materion Corp.		7,625		469
Mercer International, Inc.		15,069		123
Myers Industries, Inc.		13,428		195
Neenah Paper, Inc.		6,304		312
Olympic Steel, Inc.		3,423		40
P.H. Glatfelter		16,636		267
Quaker Chemical Corp.		4,867		904
Rayonier Advanced Materials, Inc. *		18,760		53
Schweitzer-Mauduit International, Inc.		11,712		391
Stepan Co.		7,509		729
SunCoke Energy, Inc.		31,071		92
TimkenSteel Corp. *		15,024		58
Tredegar Corp.		9,310		143
Trinseo SA		14,356		318
US Concrete, Inc. *		5,946		148
Warrior Met Coal, Inc.		19,210		296
Total				12,014

Real Estate (7.8%)
Acadia Realty Trust		32,321		420
Agree Realty Corp.		20,217		1,328


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Real Estate continued
Alexander & Baldwin, Inc.		25,517		311
American Assets Trust, Inc.		18,041		502
Armada Hoffler Properties, Inc.		21,209		211
Brandywine Operating Partnership LP		63,875		696
CareTrust REIT, Inc.		35,933		617
Cedar Realty Trust, Inc.		32,421		32
Chatham Lodging Trust		17,631		108
Community Healthcare Trust, Inc.		7,731		316
DiamondRock Hospitality Co.		74,801		414
Diversified Healthcare Trust		89,312		395
Easterly Government Properties, Inc.		28,201		652
Essential Properties Realty Trust, Inc.		34,537		513
Four Corners Property Trust, Inc.		26,402		644
Franklin Street Properties Corp.		40,272		205
Getty Realty Corp.		12,898		383
Global Net Lease, Inc.		33,587		562
Hersha Hospitality Trust		13,517		78
Independence Realty Trust, Inc.		35,556		409
Industrial Logistics Properties Trust		24,473		503
Innovative Industrial Properties, Inc.		6,988		615
Investors Real Estate Trust		4,567		322
iStar, Inc.		27,282		336
Kite Realty Group Trust		31,580		364
Lexington Realty Trust		103,714		1,094
LTC Properties, Inc.		14,724		555
Marcus & Millichap, Inc. *		8,847		255
National Storage Affiliates Trust		23,281		667
NexPoint Residential Trust, Inc.		8,210		290
Office Properties Income Trust		18,096		470
Pennsylvania Real Estate Investment Trust		22,802		31
RE/MAX Holdings, Inc. - Class A		6,804		214
Realogy Holdings Corp.		43,314		321
Retail Opportunity Investments Corp.		123,954		1,083
RPT Realty		30,254		211
Safehold, Inc.		4,982		286
Saul Centers, Inc.		4,442		143

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

Index 600 Stock Portfolio


Common Stocks (94.0%)	Shares/ Par ⁺		Value $ (000’s)
Real Estate continued
SITE Centers Corp.		55,857		452
The St. Joe Co. *		11,720		228
Summit Hotel Properties, Inc.		39,646		235
Tanger Factory Outlet Centers, Inc.		35,090		250
Uniti Group, Inc.		72,877		681
Universal Health Realty Income Trust		4,752		378
Urstadt Biddle Properties, Inc. - Class A		11,261		134
Washington Prime Group, Inc.		70,340		59
Washington Real Estate Investment Trust		30,904		686
Whitestone REIT		15,819		115
Xenia Hotels & Resorts, Inc.		42,595		397
Total				20,171

Utilities (2.1%)
American States Water Co.		13,847		1,089
Avista Corp.		25,264		919
California Water Service Group		18,289		872
El Paso Electric Co.		15,293		1,025
Northwest Natural Holding Co.		11,461		639
South Jersey Industries, Inc.		34,713		868
Total				5,412

Total Common Stocks (Cost: $251,353)				242,457

Preferred Stocks (–%)
Industrials (–%)
WESCO International, Inc., 10.625%, 6/22/25 *		—		—p
Total				—p

Total Preferred Stocks (Cost: $0)				—p

Investment Companies (1.9%)
Investment Companies (1.9%)
iShares Core S&P Small-Cap ETF		74,506		5,088
Total				5,088

Total Investment Companies (Cost: $5,037)				5,088


Short-Term Investments (3.7%)	Shares/ Par ⁺		Value $ (000’s)
Commercial Paper (1.6%)
Chevron Corp. 0.000%, 10/1/20 144A		1,000,000		999
Exxon Mobil Corp.
0.000%, 7/9/20		500,000		500
0.000%, 7/29/20		500,000		500
Pfizer, Inc.
0.000%, 7/1/20 144A		500,000		500
0.000%, 10/5/20 144A		500,000		500
The Walt Disney Co.
0.000%, 7/22/20 144A		500,000		500
0.000%, 8/28/20 144A		500,000		500
Total				3,999

Money Market Funds (1.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		4,701,073		4,701
Total				4,701

US Government & Agencies (0.3%)
Federal Home Loan Bank 0.000%, 9/16/20 ß		800,000		800
Total				800

Total Short-Term Investments (Cost: $9,499)				9,500

Total Investments (99.6%) (Cost: $265,889)^@				257,045

Other Assets, Less Liabilities (0.4%)				915

Net Assets (100.0%)				257,960

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	Morgan Stanley Capital Services	1-Month USD LIBOR + 22.0 basis points	S&P SmallCap 600 Index	5/21	9,760	$	265	$	265
						$	265	$	265


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps		Total
Total Over the Counter Derivatives		—	$	265	$	265		—		—		—		—

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

*	Non income producing

p	Amount is less than one thousand.

144A

#	7-Day yield as of 6/30/2020.

ß	Cash or securities with an aggregate value of $800 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $265,889 and the net unrealized depreciation of investments based on that cost was $8,579 which is comprised of $42,799 aggregate gross unrealized appreciation and $51,378 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	242,457	$	—	$	—
Preferred Stocks		—p		—		—
Investment Companies		5,088		—		—
Short-Term Investments
Money Market Funds		4,701		—		—
All Others		—		4,799		—
Other Financial Instruments^
Total Return Swaps		—		265		—
Total Assets:	$	252,246	$	5,064	$	—

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

Small Cap Value Portfolio (unaudited)

Sector Allocation 6/30/20


Sector			% of Net Assets

Financials			27.7%

Industrials			13.3%

Consumer Discretionary			10.5%

Information Technology			10.0%

Real Estate			8.7%

Health Care			8.6%

Utilities			5.9%

Energy			4.6%

Materials			4.3%

Consumer Staples			3.1%

Communication Services			2.1%

Short-Term Investments & Other Net Assets			1.2%

Sector Allocation is subject to change.

The Portfolio may invest a portion of its assets in other investment companies, including open-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.

Small Cap Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Communication Services (2.1%)
Boston Omaha Corp. *		64,855		1,038
Cable One, Inc.		4,431		7,864
Scholastic Corp.		50,747		1,519
Total				10,421

Consumer Discretionary (10.5%)
Aaron’s, Inc.		120,839		5,486
BJ’s Restaurants, Inc.		34,300		718
Cavco Industries, Inc. *		26,298		5,072
Dorman Products, Inc. *		39,272		2,634
Express, Inc. *		347,327		535
Hanesbrands, Inc.		117,900		1,331
LCI Industries		33,360		3,836
Lumber Liquidators Holdings, Inc. *		140,838		1,952
Marriott Vacations Worldwide Corp.		22,360		1,838
Meritage Homes Corp. *		21,027		1,601
Monro Muffler Brake, Inc.		39,573		2,174
Papa John’s International, Inc.		38,222		3,035
Pool Corp.		19,262		5,237
Red Robin Gourmet Burgers, Inc. *		89,563		914
Sportsman’s Warehouse Holdings, Inc. *		266,298		3,795
Steven Madden, Ltd.		123,701		3,054
Strategic Education, Inc.		40,516		6,225
Visteon Corp. *		34,064		2,333
Total				51,770

Consumer Staples (3.1%)
Coca-Cola Bottling Co. Consolidated		7,855		1,800
Grocery Outlet Holding Corp. *		53,668		2,190
Nomad Foods, Ltd. *		278,320		5,970
Post Holdings, Inc. *		38,820		3,401
The Simply Good Foods Co. *		102,374		1,902
Total				15,263

Energy (4.6%)
Cactus, Inc.		132,639		2,736
ChampionX Corp. *		321,115		3,134
Dril-Quip, Inc. *		41,907		1,248
Frank’s International NV *		73,206		163
International Seaways, Inc.		115,885		1,894
Kimbell Royalty Partners LP		162,410		1,397


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
Kosmos Energy, Ltd.		462,966		769
Liberty Oilfield Services, Inc.		337,395		1,849
Magnolia Oil & Gas Corp. *		270,217		1,637
Matador Resources Co. *		185,757		1,579
REX American Resources Corp. *		41,554		2,883
WPX Energy, Inc. *		496,895		3,170
Total				22,459

Financials (27.7%)
Assured Guaranty, Ltd.		31,773		776
Atlantic Capital Bancshares, Inc. *		77,972		948
BankUnited, Inc.		194,555		3,940
BOK Financial Corp.		16,592		936
BRP Group, Inc. *		98,511		1,701
Cannae Holdings, Inc. *		43,326		1,781
Capstead Mortgage Corp.		397,584		2,183
Columbia Banking System, Inc.		144,245		4,089
Conyers Park II Acquisition Corp. *		77,852		911
CrossFirst Bankshares, Inc. *		166,130		1,625
East West Bancorp, Inc.		71,814		2,603
Employers Holdings, Inc.		56,408		1,701
FB Financial Corp.		106,482		2,638
Glacier Bancorp, Inc.		106,336		3,753
Green Dot Corp. - Class A *		92,408		4,535
Hamilton Lane, Inc.		9,043		609
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		151,703		4,317
HarborOne Bancorp, Inc.		306,051		2,614
Hercules Capital, Inc.		226,500		2,371
Heritage Commerce Corp.		92,262		692
Heritage Financial Corp. of Washington		84,938		1,699
Home BancShares, Inc.		464,567		7,145
Hope Bancorp, Inc.		221,726		2,044
Houlihan Lokey, Inc.		87,081		4,845
Howard Bancorp, Inc. *		158,591		1,684
Independent Bank Corp.		29,849		2,003
James River Group Holdings, Ltd.		25,270		1,137


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Financials continued
Live Oak Bancshares, Inc.		86,529		1,255
Main Street Capital Corp.		57,190		1,780
Meridian Bancorp, Inc.		180,196		2,090
National Bank Holding Corp. - Class A		129,303		3,491
Origin Bancorp, Inc.		89,054		1,959
Palomar Holdings, Inc. *		24,597		2,109
PCSB Financial Corp.		113,674		1,441
PennyMac Financial Services, Inc.		157,899		6,599
PennyMac Mortgage Investment Trust		138,436		2,427
Pinnacle Financial Partners, Inc.		107,689		4,522
Popular, Inc.		75,950		2,823
PRA Group, Inc. *		36,358		1,406
Primerica, Inc.		1,482		173
ProAssurance Corp.		87,484		1,266
Prosperity Bancshares, Inc.		62,192		3,693
Radian Group, Inc.		217,983		3,381
Redwood Trust, Inc.		133,399		934
Safety Insurance Group, Inc.		24,681		1,882
Selectquote, Inc. *		38,078		964
South State Corp.		56,644		2,700
State Auto Financial Corp.		99,486		1,776
TowneBank		201,866		3,803
Virtus Investment Partners, Inc.		24,441		2,842
Walker & Dunlop, Inc.		25,521		1,297
Webster Financial Corp.		105,776		3,026
Western Alliance Bancorporation		122,152		4,626
Wintrust Financial Corp.		21,995		959
WSFS Financial Corp.		181,453		5,208
Total				135,712

Health Care (8.6%)
Acceleron Pharma, Inc. *		5,600		533
Atrion Corp.		6,087		3,877
Avanos Medical, Inc. *		78,326		2,302
Cara Therapeutics, Inc. *		46,581		796
Ensign Group, Inc.		60,782		2,544
Envista Holdings Corp. *		110,485		2,330
Legend Biotech Corp. *		3,374		144
Mesa Laboratories, Inc.		8,710		1,888

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

Small Cap Value Portfolio


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Health Care continued
Molina Healthcare, Inc. *		7,234		1,287
Momenta Pharmaceuticals, Inc. *		87,900		2,924
Option Care Health, Inc. *		51,913		721
The Pennant Group, Inc. *		71,042		1,606
Phreesia, Inc. *		48,198		1,363
Quidel Corp. *		48,117		10,766
Radius Health, Inc. *		34,126		465
Select Medical Holdings Corp. *		213,088		3,139
Ultragenyx Pharmaceutical, Inc. *		14,085		1,102
West Pharmaceutical Services, Inc.		13,685		3,109
Xencor, Inc. *		33,798		1,095
Total				41,991

Industrials (13.3%)
Aegion Corp. *		245,007		3,888
Beacon Roofing Supply, Inc. *		97,926		2,582
Blue Bird Corp. *		92,849		1,392
Brady Corp. - Class A		46,707		2,187
CIRCOR International, Inc. *		84,032		2,141
Clarivate Analytics PLC *		140,137		3,129
Cubic Corp.		72,595		3,487
ESCO Technologies, Inc.		56,970		4,816
FTI Consulting, Inc. *		54,561		6,250
Helios Technologies, Inc.		73,281		2,730
Kirby Corp. *		23,328		1,250
Korn Ferry		19,700		605
Landstar System, Inc.		32,402		3,639
McGrath RentCorp		58,895		3,181
MSA Safety, Inc.		23,089		2,642
Parsons Corp. *		65,706		2,381
RBC Bearings, Inc. *		15,115		2,026
Rush Enterprises, Inc.		29,300		1,215
Ryder System, Inc.		39,260		1,473
SPX Corp. *		36,645		1,508
Stericycle, Inc. *		62,045		3,473
Thermon Group Holdings, Inc. *		103,670		1,511
Triumph Group, Inc.		291,611		2,627
UFP Industries, Inc.		109,008		5,397
Total				65,530

Information Technology (10.0%)
Belden, Inc.		176,755		5,753
Cabot Microelectronics Corp.		27,531		3,842
Ceridian HCM Holding, Inc. *		78,417		6,216


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
Entegris, Inc.		64,531		3,811
Harmonic, Inc. *		700,376		3,327
i3 Verticals, Inc. *		93,901		2,841
Knowles Corp. *		231,785		3,537
Littelfuse, Inc.		42,990		7,335
MaxLinear, Inc. - Class A *		148,366		3,184
Onto Innovation, Inc. *		44,544		1,516
Rosetta Stone, Inc. *		124,663		2,102
Semtech Corp. *		38,341		2,002
Shift4 Payments, Inc. *		10,351		368
Workiva, Inc. *		26,381		1,411
Zendesk, Inc. *		19,646		1,739
Total				48,984

Materials (4.3%)
Alcoa Corp. *		125,800		1,414
American Vanguard Corp.		94,762		1,304
Carpenter Technology Corp.		86,479		2,100
Clearwater Paper Corp. *		100,959		3,648
Constellium SE *		284,545		2,185
Minerals Technologies, Inc.		56,186		2,637
Myers Industries, Inc.		143,411		2,086
Quaker Chemical Corp.		17,596		3,267
Reliance Steel & Aluminum Co.		26,887		2,552
Total				21,193

Real Estate (8.7%)
Acadia Realty Trust		75,483		980
American Campus Communities, Inc.		61,287		2,142
Cedar Realty Trust, Inc.		917,169		908
Douglas Emmett, Inc.		49,547		1,519
EastGroup Properties, Inc.		37,390		4,435
Healthcare Realty Trust, Inc.		114,978		3,368
JBG SMITH Properties		142,943		4,227
Potlatch Corp.		109,904		4,180
PS Business Parks, Inc.		25,167		3,332
Saul Centers, Inc.		70,853		2,286
The St. Joe Co. *		193,928		3,766
Sunstone Hotel Investors, Inc.		368,843		3,006
Terreno Realty Corp.		122,811		6,465
Washington Real Estate Investment Trust		92,978		2,064
Total				42,678

Utilities (5.9%)
California Water Service Group		54,940		2,621
Chesapeake Utilities Corp.		72,673		6,104


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
MGE Energy, Inc.		41,702		2,690
ONE Gas, Inc.		74,536		5,743
PNM Resources, Inc.		149,647		5,752
Portland General Electric Co.		31,374		1,312
RGC Resources, Inc.		39,163		947
Southwest Gas Holdings, Inc.		52,727		3,641
Total				28,810

Total Common Stocks (Cost: $433,067)				484,811

Short-Term Investments (1.0%)
Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120% ^#		4,989,718		4,990
Total				4,990

Total Short-Term Investments (Cost: $4,990)				4,990

Total Investments (99.8%) (Cost: $438,057)^@				489,801

Other Assets, Less Liabilities (0.2%)				900

Net Assets (100.0%)				490,701

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 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $438,057 and the net unrealized appreciation of investments based on that cost was $51,744 which is comprised of $120,334 aggregate gross unrealized appreciation and $68,590 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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		$	484,811	$	—	$	—
Short-Term Investments			4,990		—		—
Total Assets:		$	489,801	$	—	$	—

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

International Growth Portfolio (unaudited)


Sector Allocation 6/30/20
Sector		% of Net Assets

Information Technology		24.5%

Industrials		19.5%

Financials		16.7%

Health Care		13.6%

Consumer Staples		7.2%

Materials		6.4%

Consumer Discretionary		6.0%

Communication Services		4.2%

Real Estate		1.2%

Short-Term Investments & Other Net Assets		0.6%

Energy		0.1%

Sector Allocation is subject to change.

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.

The Portfolio may invest a relatively high percentage of its assets in issuers located in a single 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.

International Growth Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (99.4%)	Country		Shares/ Par ⁺		Value $ (000’s)
Communication Services (4.2%)
Adevinta ASA - Class B *		Norway		271,815		2,740
Alphabet, Inc. - Class A *		United States		4,400		6,239
Rightmove PLC *		United Kingdom		502,500		3,396
Safaricom, Ltd.		Kenya		16,324,600		4,409
Schibsted ASA - Class B *		Norway		147,799		3,502
Tencent Holdings, Ltd.		Cayman Islands		202,000		12,975
Total						33,261

Consumer Discretionary (6.0%)
Alibaba Group Holding, Ltd. *		Cayman Islands		38,000		1,027
Alibaba Group Holding, Ltd., ADR *		Cayman Islands		65,279		14,081
Autoliv, Inc.		United States		51,500		3,322
InterContinental Hotels Group PLC, ADR		United Kingdom		85,884		3,810
LVMH Moet Hennessy Louis Vuitton SE *		France		43,600		19,097
USS Co., Ltd.		Japan		349,000		5,575
Total						46,912

Consumer Staples (7.2%)
BGF Retail Co., Ltd.		South Korea		12,924		1,493
Clicks Group, Ltd.		South Africa		297,852		3,609
Nestle SA		Switzerland		449,569		49,666
PriceSmart, Inc.		United States		29,000		1,750
Total						56,518

Energy (0.1%)
PrairieSky Royalty, Ltd.		Canada		102,400		647
Total						647

Financials (16.7%)
AIA Group, Ltd.		Hong Kong		2,532,688		23,572
B3 SA - Brasil, Bolsa, Balcao		Brazil		336,000		3,404
Berkshire Hathaway, Inc. - Class B *		United States		39,500		7,051
CME Group, Inc.		United States		18,300		2,974
Deutsche Borse Aktiengesellschaft		Germany		56,000		10,122
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		311,500		13,276
Housing Development Finance Corp., Ltd.		India		357,663		8,420
KBC Group NV *		Belgium		60,832		3,484
London Stock Exchange Group PLC		United Kingdom		80,900		8,369
Marsh & McLennan Cos., Inc.		United States		114,823		12,329
Moody’s Corp.		United States		43,700		12,006
MSCI, Inc.		United States		32,600		10,882
Prudential PLC		United Kingdom		232,763		3,505
S&P Global, Inc.		United States		37,900		12,487
Total						131,881


Common Stocks (99.4%)	Country		Shares/ Par ⁺		Value $ (000’s)
Health Care (13.6%)
CSL, Ltd.		Australia		132,195		26,208
Dechra Pharmaceuticals PLC		United Kingdom		59,200		2,086
Hoya Corp. *		Japan		151,200		14,480
ResMed, Inc.		United States		71,500		13,728
Roche Holding AG		Switzerland		118,152		40,908
Sanofi		France		68,700		6,989
UCB SA		Belgium		25,751		2,981
Total						107,380

Industrials (19.5%)
Assa Abloy AB - Class B		Sweden		725,300		14,727
Atlas Copco AB - Class A *		Sweden		344,200		14,555
Auckland International Airport, Ltd. *		New Zealand		532,455		2,253
BAE Systems PLC *		United Kingdom		506,200		3,028
Canadian National Railway Co.		Canada		32,900		2,911
Canadian Pacific Railway, Ltd.		Canada		21,800		5,545
Edenred		France		152,800		6,676
Epiroc AB *		Sweden		500,900		6,233
Experian PLC		Jersey		395,200		13,784
FANUC Corp.		Japan		60,200		10,757
Interpump Group SpA		Italy		145,400		4,314
KONE Oyj		Finland		105,800		7,270
Legrand SA		France		108,700		8,248
MISUMI Group, Inc.		Japan		466,300		11,650
Nabtesco Corp. *		Japan		93,500		2,880
OSG Corp. *		Japan		184,700		2,828
Prosegur Cia de Seguridad SA *		Spain		392,749		913
Recruit Holdings Co., Ltd.		Japan		334,600		11,438
Safran SA *		France		71,200		7,122
Schindler Holding AG		Switzerland		40,693		9,567
Schindler Holding AG - Registered Shares		Switzerland		6,085		1,432
SHO-BOND Holdings Co., Ltd.		Japan		120,761		5,347
Total						153,478

Information Technology (24.5%)
Amadeus IT Group SA *		Spain		180,000		9,366
ASML Holding NV		Netherlands		96,800		35,485
Aspen Technology, Inc. *		United States		32,300		3,347
Azbil Corp.		Japan		217,800		6,634
Black Knight, Inc. *		United States		83,500		6,059
Keyence Corp.		Japan		68,800		28,725
Lam Research Corp.		United States		17,000		5,499
Mastercard, Inc. - Class A		United States		67,400		19,930
Network International Holdings PLC *		United Kingdom		465,900		2,542
NICE Systems, Ltd., ADR *		United States		25,900		4,901
SAP SE		Germany		227,419		31,656
Spectris PLC *		United Kingdom		160,500		5,014

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

International Growth Portfolio

Common Stocks (99.4%)

Country

Shares/
Par ⁺

Value
$ (000’s)

Information Technology continued

Taiwan Semiconductor Manufacturing Co., Ltd. *

Taiwan

773,000

8,180

Temenos AG

Switzerland

36,100

5,597

Visa, Inc. - Class A

United States

103,725

20,037

Total

192,972

Materials (6.4%)

CRH PLC, ADR

Ireland

240,900

8,265

Franco-Nevada Corp.

Canada

39,600

5,532

Linde PLC

Ireland

97,355

20,492

Martin Marietta Materials, Inc.

United States

20,000

4,132

The Sherwin-Williams Co.

United States

18,900

10,921

Tikkurila Oyj *

Finland

86,400

1,202

Total

50,544

Common Stocks (99.4%)

Country

Shares/
Par ⁺

Value
$ (000’s)

Real Estate (1.2%)

Vonovia SE *

Germany

156,600

9,593

Total

9,593

Total Common Stocks (Cost: $590,550)

783,186

Short-Term Investments (0.6%)

Money Market Funds (0.6%)

State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#

United States

4,994,153

4,994

Total

4,994

Total Short-Term Investments (Cost: $4,994)

4,994

Total Investments (100.0%) (Cost: $595,544)^@

788,180

Other Assets, Less Liabilities (0.0%)

154

Net Assets (100.0%)

788,334


Investments Percentage by Country is based on Net Assets:
United States	20.6	%
Switzerland	13.6	%
Japan	13.0	%
Germany	6.5	%
France	6.0	%
Other	40.3	%
Total	100.0	%

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $595,544 and the net unrealized appreciation of investments based on that cost was $192,636 which is comprised of $211,390 aggregate gross unrealized appreciation and $18,754 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The 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 June 30, 2020. 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	$	6,239	$	27,022	$ —
Consumer Discretionary		21,213		25,699	—
Consumer Staples		1,750		54,768	—
Financials		61,133		70,748	—
Health Care		13,728		93,652	—
Industrials		8,456		145,022	—
Information Technology		59,773		133,199	—
Materials		28,850		21,694	—
Real Estate		—		9,593	—
All Others		647		—	—
Short-Term Investments		4,994		—	—

Total Assets:	$	206,783	$	581,397	$ —

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

Research International Core Portfolio (unaudited)


Sector Allocation 6/30/20
Sector			% of Net Assets

Financials			15.9%

Industrials			15.8%

Health Care			13.4%

Consumer Staples			10.3%

Information Technology			9.6%

Materials			8.4%

Consumer Discretionary			8.0%

Communication Services			7.3%

Utilities			3.7%

Energy			3.6%

Real Estate			2.7%

Short-Term Investments & Other Net Assets			1.3%

Sector Allocation is subject to change.

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

Research International Core Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (98.7%)	Country	Shares/ Par ⁺		Value $ (000’s)
Communication Services (7.3%)
Advanced Info Service PCL	Thailand		518,100		3,101
carsales.com, Ltd.	Australia		103,094		1,268
Hellenic Telecommunications Organization SA	Greece		269,376		3,669
KDDI Corp.	Japan		328,100		9,837
NAVER Corp.	South Korea		37,135		8,328
NetEase, Inc., ADR	Cayman Islands		15,733		6,756
SEEK, Ltd.	Australia		129,491		1,966
SoftBank Group Corp.	Japan		186,800		9,413
Tele2 AB	Sweden		304,861		4,038
Tencent Holdings, Ltd.	Cayman Islands		96,200		6,179
Total					54,555

Consumer Discretionary (8.0%)
adidas AG *	Germany		31,183		8,158
Burberry Group PLC	United Kingdom		97,779		1,935
Cie Financiere Richemont SA	Switzerland		69,019		4,395
Flutter Entertainment PLC	Ireland		25,812		3,385
Koito Manufacturing Co., Ltd.	Japan		129,000		5,193
LVMH Moet Hennessy Louis Vuitton SE	France		30,717		13,454
Techtronic Industries Co., Ltd.	Hong Kong		951,000		9,278
USS Co., Ltd.	Japan		409,300		6,539
Yamaha Corp.	Japan		41,100		1,933
Yum China Holdings, Inc.	United States		106,653		5,127
Total					59,397

Consumer Staples (10.3%)
British American Tobacco PLC	United Kingdom		268,935		10,333
Danone SA *	France		123,520		8,536
Diageo PLC	United Kingdom		298,827		9,919
Japan Tobacco, Inc.	Japan		240,900		4,470
Kao Corp.	Japan		96,200		7,616
Nestle SA	Switzerland		221,139		24,430
Reckitt Benckiser Group PLC	United Kingdom		103,209		9,498
Sugi Holdings Co.	Japan		23,400		1,583
Total					76,385

Energy (3.6%)
BP PLC	United Kingdom		1,731,792		6,581
Cairn Energy PLC *	United Kingdom		1,639,051		2,389
Eni SpA	Italy		409,506		3,899
Galp Energia SGPS SA	Portugal		420,976		4,863
Idemitsu Kosan Co., Ltd.	Japan		160,100		3,397
Oil Search, Ltd.	Papua New Guinea		1,046,964		2,306
TC Energy Corp.	Canada		74,732		3,193
Total					26,628


Common Stocks (98.7%)	Country		Shares/ Par ⁺		Value $ (000’s)
Financials (15.9%)
AIA Group, Ltd.		Hong Kong		1,453,200		13,525
AIB Group PLC *		Ireland		1,936,363		2,432
Aon PLC		Ireland		61,841		11,911
Bank Central Asia Tbk PT		Indonesia		1,509,500		3,010
BNP Paribas SA *		France		273,167		10,829
Euronext NV		Netherlands		125,284		12,547
HDFC Bank, Ltd.		India		435,931		6,218
Hiscox, Ltd.		Bermuda		526,412		5,138
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		183,100		7,803
Julius Baer Group, Ltd.		Switzerland		172,455		7,204
KBC Group NV		Belgium		148,327		8,495
Macquarie Group, Ltd.		Australia		57,731		4,752
Mitsubishi UFJ Financial Group, Inc.		Japan		1,729,100		6,763
UBS Group AG		Switzerland		864,305		9,930
Zurich Insurance Group AG		Switzerland		23,073		8,126
Total						118,683

Health Care (13.4%)
Bayer AG		Germany		144,369		10,597
Essilor International SA *		France		74,403		9,536
Kyowa Hakko Kirin Co., Ltd.		Japan		300,900		7,895
Novo Nordisk AS - Class B		Denmark		281,512		18,217
Roche Holding AG		Switzerland		77,264		26,751
Santen Pharmaceutical Co., Ltd.		Japan		654,600		12,033
Sonic Healthcare, Ltd.		Australia		232,099		4,900
Terumo Corp.		Japan		255,200		9,661
Total						99,590

Industrials (15.8%)
51job, Inc. *		Cayman Islands		49,428		3,548
Aena SA *		Spain		23,367		3,111
Brambles, Ltd.		Australia		875,232		6,584
Daikin Industries, Ltd.		Japan		83,000		13,347
GEA Group AG		Germany		197,508		6,233
Hitachi, Ltd.		Japan		253,600		8,006
Kubota Corp.		Japan		559,800		8,349
Legrand SA		France		112,871		8,564
Melrose Industries PLC		United Kingdom		1,424,947		2,008
Persol Holdings Co., Ltd.		Japan		190,200		2,613
RELX PLC		United Kingdom		158,091		3,654
Ritchie Bros Auctioneers, Inc.		Canada		112,507		4,580
Ryanair Holdings PLC *		Ireland		42,336		2,809
Schindler Holding AG		Switzerland		32,441		7,627
Schneider Electric SE		France		166,024		18,407
SMC Corp.		Japan		6,800		3,471
TOTO, Ltd.		Japan		156,200		5,986
Wolters Kluwer NV		Netherlands		108,558		8,469
Total						117,366

Information Technology (9.6%)
Amadeus IT Group SA		Spain		109,566		5,701
Cadence Design Systems, Inc. *		United States		46,879		4,499

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

Research International Core Portfolio


Common Stocks (98.7%)	Country	Shares/ Par ⁺		Value $ (000’s)
Information Technology continued
Check Point Software Technologies, Ltd. *	Israel		23,701		2,546
Constellation Software, Inc.	Canada		4,265		4,816
EPAM Systems, Inc. *	United States		26,233		6,611
Fujitsu, Ltd.	Japan		38,000		4,448
Kyocera Corp.	Japan		111,400		6,062
Nomura Research Institute, Ltd.	Japan		225,100		6,142
NXP Semiconductors NV	Netherlands		55,615		6,342
Samsung Electronics Co., Ltd.	South Korea		125,203		5,550
Scout24 AG	Germany		62,224		4,837
Silicon Motion Technology Corp., ADR	Cayman Islands		62,889		3,067
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		612,189		6,478
Visa, Inc. - Class A	United States		22,407		4,328
Total					71,427

Materials (8.4%)
Akzo Nobel NV	Netherlands		113,943		10,194
Croda International PLC	United Kingdom		131,154		8,534
Kansai Paint Co., Ltd.	Japan		158,900		3,349
Linde PLC	Ireland		82,355		17,335
Nitto Denko Corp.	Japan		103,300		5,845
Sika AG	Switzerland		40,513		7,787
Symrise AG	Germany		82,231		9,540
Total					62,584


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

Real Estate (2.7%)
Grand City Properties SA	Luxembourg		442,258		10,200
LEG Immobilien AG *	Germany		80,893		10,263
Total					20,463

Utilities (3.7%)
APA Group	Australia		454,814		3,502
China Resources Gas Group, Ltd.	Bermuda		606,000		2,949
CLP Holdings, Ltd.	Hong Kong		511,500		5,009
E.ON SE	Germany		268,805		3,022
Iberdrola, SA	Spain		812,222		9,408
Orsted A/S	Denmark		32,142		3,707
Total					27,597

Total Common Stocks (Cost: $660,942)					734,675

Short-Term Investments (1.0%)
Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#	United States		7,691,305		7,691
Total					7,691

Total Short-Term Investments (Cost: $7,691)					7,691

Total Investments (99.7%) (Cost: $668,633)^@					742,366

Other Assets, Less Liabilities (0.3%)					2,315

Net Assets (100.0%)					744,681


Investments Percentage by Country is based on Net Assets:
Japan			20.9%
Switzerland			12.9%
France			9.4%
United Kingdom			7.4%
Germany			7.1%
Netherlands			5.1%
Ireland			5.0%
Other			31.9%

Total			99.7%

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $668,633 and the net unrealized appreciation of investments based on that cost was $73,733 which is comprised of $135,018 aggregate gross unrealized appreciation and $61,285 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The 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 June 30, 2020. 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		$	6,756	$	47,799	$	—
Consumer Discretionary			5,127		54,270		—
Energy			3,193		23,435		—
Financials			11,911		106,772		—
Industrials			10,937		106,429		—
Information Technology			32,209		39,218		—
All Others			—		286,619		—
Short-Term Investments			7,691		—		—
Total Assets:		$	77,824	$	664,542	$	—

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

International Equity Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Health Care		17.7%

		Industrials		12.4%

		Information Technology		10.8%

		Materials		9.9%

		Communication Services		9.2%

		Consumer Discretionary		8.4%

		Consumer Staples		7.2%

		Financials		7.0%

		Utilities		4.9%

		Real Estate		4.7%

		Energy		3.9%

		Short-Term Investments & Other Net Assets		3.9%

Sector Allocation is subject to change.

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

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (96.1%)	Country		Shares/ Par ⁺		Value $ (000’s)
Communication Services (9.2%)
China Telecom Corp., Ltd. - Class H		China		23,855,410		6,687
Deutsche Telekom AG		Germany		3,084,630		51,598
KDDI Corp.		Japan		1,350,900		40,504
Singapore Telecommunications, Ltd.		Singapore		10,498,070		18,628
Vodafone Group PLC		United Kingdom		14,694,534		23,431

Total						140,848


Consumer Discretionary (8.4%)
adidas AG *		Germany		29,860		7,812
Alibaba Group Holding, Ltd., ADR *		Cayman Islands		51,630		11,137
Cie Generale des Etablissements Michelin *		France		224,968		23,306
Honda Motor Co., Ltd.		Japan		731,730		18,707
Isuzu Motors, Ltd.		Japan		2,727,800		24,633
Sony Corp. *		Japan		402,100		27,536
Yum China Holdings, Inc.		United States		315,390		15,161

Total						128,292


Consumer Staples (7.2%)
Kirin Holdings Co., Ltd. *		Japan		1,710,920		36,081
Matsumotokiyoshi Holdings Co., Ltd.		Japan		738,700		26,755
Seven & i Holdings Co., Ltd.		Japan		892,400		29,123
Suntory Beverage & Food, Ltd. *		Japan		457,900		17,855

Total						109,814


Energy (3.9%)
BP PLC		United Kingdom		3,055,570		11,612
Eni SpA		Italy		1,246,735		11,872
Equinor ASA *		Norway		1,161,820		16,523
TOTAL SA *		France		536,670		20,441

Total						60,448


Financials (7.0%)
AIA Group, Ltd.		Hong Kong		3,385,250		31,507
ING Groep NV *		Netherlands		1,292,482		8,979
KB Financial Group, Inc., ADR *		South Korea		602,490		16,761
Standard Chartered PLC *		United Kingdom		4,004,262		21,800
Sumitomo Mitsui Financial Group, Inc.		Japan		987,770		27,779

Total						106,826


Health Care (17.7%)
Bayer AG		Germany		695,558		51,054
Fresenius Medical Care AG & Co. *		Germany		479,200		40,856
Novartis AG *		Switzerland		504,950		43,875
Roche Holding AG		Switzerland		119,920		41,520
Sanofi		France		416,285		42,352
Sinopharm Group Co., Ltd. - Class H		China		3,735,000		9,572
Takeda Pharmaceutical Co., Ltd.		Japan		1,205,917		43,040

Total						272,269


Common Stocks (96.1%)	Country		Shares/ Par ⁺		Value $ (000’s)
Industrials (12.4%)
A.P. Moeller - Maersk AS - Class B		Denmark		9,850		11,466
BAE Systems PLC *		United Kingdom		4,797,010		28,693
CK Hutchison Holdings, Ltd.		Cayman Islands		3,262,790		20,916
East Japan Railway Co.		Japan		373,800		25,904
Hitachi, Ltd. *		Japan		477,200		15,065
Komatsu, Ltd.		Japan		1,315,800		26,901
Mitsubishi Electric Corp.		Japan		2,467,400		32,040
Siemens AG		Germany		205,900		24,187
Siemens AG, ADR		Germany		91,780		5,414

Total						190,586


Information Technology (10.8%)
Catcher Technology Co., Ltd. *		Taiwan		3,844,000		28,862
Infineon Technologies AG		Germany		466,720		10,909
Kyocera Corp.		Japan		555,700		30,236
NXP Semiconductors NV		Netherlands		232,120		26,471
Samsung Electronics Co., Ltd. *		South Korea		975,400		43,239
Taiwan Semiconductor Manufacturing Co., Ltd. *		Taiwan		2,451,785		25,945

Total						165,662


Materials (9.9%)
Air Liquide SA		France		108,250		15,598
Barrick Gold Corp.		Canada		1,052,030		28,342
Covestro AG *		Germany		420,660		15,964
Johnson Matthey PLC		United Kingdom		356,560		9,255
Sumitomo Metal Mining Co., Ltd.		Japan		984,840		27,498
Wheaton Precious Metals Corp.		Canada		711,150		31,278
Yara International ASA		Norway		707,580		24,584

Total						152,519


Real Estate (4.7%)
CK Asset Holdings, Ltd.		Cayman Islands		5,205,240		30,953
Mitsui Fudosan Co., Ltd.		Japan		855,330		15,156
Sun Hung Kai Properties		Hong Kong		1,432,740		18,259
Swire Pacific, Ltd. - Class A		Hong Kong		1,389,390		7,349

Total						71,717


Utilities (4.9%)
E.ON SE		Germany		4,532,810		50,961
Veolia Environnement SA		France		1,093,350		24,558

Total						75,519


Total Common Stocks (Cost: $1,470,729)						1,474,500

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

International Equity Portfolio

Short-Term Investments (3.7%)

Country

Shares/
Par ⁺

Value
$ (000’s)

Money Market Funds (3.4%)

State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#

United States

51,874,796

51,875

Total

51,875

Short-Term Investments (3.7%)

Country

Shares/
Par ⁺

Value $
(000’s)

US Government & Agencies (0.3%)

Federal Home Loan Bank 0.000%, 7/01/20 USD

United States

4,600,000

4,600

Total

4,600

Total Short-Term Investments (Cost: $56,475)

56,475

Total Investments (99.8%) (Cost: $1,527,204)^@

1,530,975

Other Assets, Less Liabilities (0.2%)

3,302

Net Assets (100.0%)

1,534,277

Investments Percentage by Country is based on Net Assets:


Japan			30.4%
Germany			16.8%
France			8.2%
United Kingdom			6.1%
Switzerland			5.5%
Other			32.8%

Total			99.8%

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,527,204 and the net unrealized appreciation of investments based on that cost was $3,772 which is comprised of $137,611 aggregate gross unrealized appreciation and $133,839 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. See Note 3 for additional information on portfolio valuation.


	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks
Consumer Discretionary	$	26,298	$	101,994	$	—
Financials		16,761		90,065		—
Industrials		5,414		185,172		—
Information Technology		26,471		139,191		—
Materials		59,620		92,899		—
All Others		—		730,615		—
Short-Term Investments
Money Market Funds		51,875		—		—
All Others		—		4,600		—

Total Assets:	$	186,439	$	1,344,536	$	—

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

Emerging Markets Equity Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Financials		21.1%

		Information Technology		19.9%

		Consumer Discretionary		18.2%

		Communication Services		13.3%

		Consumer Staples		7.7%

		Materials		5.9%

		Real Estate		3.6%

		Energy		3.1%

		Industrials		2.5%

		Short-Term Investments & Other Net Assets		2.5%

		Health Care		1.2%

		Utilities		1.0%

Sector Allocation is subject to change.

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

Emerging Markets Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (93.4%)	Country		Shares/ Par ⁺		Value $ (000’s)
Communication Services (13.3%)
58.com, Inc., ADR *		Cayman Islands		216,144		11,659
Autohome, Inc., ADR		Cayman Islands		110,969		8,378
China Mobile, Ltd.		Hong Kong		452,000		3,054
Tencent Holdings, Ltd.		Cayman Islands		1,089,000		69,951
Yandex NV *		Netherlands		217,937		10,901

Total						103,943


Consumer Discretionary (18.2%)
Astra International Tbk PT		Indonesia		22,617,600		7,604

China Tourism Group Duty
Free Corp, Ltd. - Class A *		China		845,097		18,511
Huazhu Group, Ltd., ADR		Cayman Islands		256,953		9,006
Meituan Dianping - Class B *		Cayman Islands		578,900		12,859
MercadoLibre, Inc. *		United States		16,610		16,374
Midea Group Co., Ltd. - Class A		China		1,651,267		13,968
Naspers, Ltd. - Class N		South Africa		100,925		18,412
New Oriental Education & Technology Group, Inc., ADR *		Cayman Islands		56,324		7,335
Prosus NV *		Netherlands		168,272		15,617
Sands China, Ltd.		Cayman Islands		2,907,600		11,378
Shenzhou International Group Holdings, Ltd.		Cayman Islands		566,600		6,812
Yum China Holdings, Inc.		United States		93,383		4,489

Total						142,365


Consumer Staples (7.7%)
BIM Birlesik Magazalar AS		Turkey		496,799		4,928
Budweiser Brewing Co. APAC, Ltd.		Cayman Islands		2,868,400		8,333
Fomento Economico Mexicano SAB de CV, ADR		Mexico		178,000		11,038
Hindustan Unilever, Ltd.		India		283,719		8,190
ITC, Ltd. *		India		3,820,222		9,910
Kweichow Moutai Co., Ltd. - Class A		China		84,080		17,401

Total						59,800


Energy (2.3%)
LUKOIL PJSC, ADR		Russia		145,725		10,810
Novatek PJSC		Russia		487,248		6,954

Total						17,764


Financials (21.1%)
AIA Group, Ltd.		Hong Kong		1,415,800		13,177
Banco Bradesco SA, ADR		Brazil		3,402,564		12,964
Bank Central Asia Tbk PT		Indonesia		5,830,900		11,628
Bank of the Philippine Islands		Philippines		3,580,636		5,210
China Merchants Bank Co., Ltd. - Class H		China		2,409,000		11,095
Grupo Financiero Banorte SAB de CV *		Mexico		2,341,660		8,103


Common Stocks (93.4%)	Country		Shares/ Par ⁺		Value $ (000’s)
Financials continued
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		376,092		16,029
Housing Development Finance Corp., Ltd.		India		830,750		19,557
Kotak Mahindra Bank, Ltd.		India		777,384		13,945
Ping An Insurance Group Co. of China, Ltd. - Class H		China		2,979,500		29,756
PT Bank Rakyat Indonesia Persero Tbk		Indonesia		32,769,700		6,995
Sberbank of Russia PJSC		Russia		2,782,576		7,958
SBI Life Insurance Co., Ltd. *		India		812,431		8,708

Total						165,125


Health Care (1.2%)
Wuxi Biologics Cayman, Inc. *		Cayman Islands		506,000		9,271

Total						9,271


Industrials (2.5%)
Grupo Aeroportuario del Sureste SAB de CV - Class B *		Mexico		356,880		3,998
Shanghai International Airport Co., Ltd. - Class A		China		919,281		9,324
WEG SA		Brazil		693,733		6,456

Total						19,778


Information Technology (16.6%)
ASML Holding NV		Netherlands		27,905		10,229
LONGi Green Energy Technology Co., Ltd. - Class A		China		1,753,907		10,110
Samsung Electronics Co., Ltd.		South Korea		752,750		33,369
Samsung SDI Co., Ltd.		South Korea		25,952		7,937
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		4,920,290		52,067
Tata Consultancy Services, Ltd.		India		570,339		15,809

Total						129,521


Materials (5.9%)
Indocement Tunggal Prakarsa Tbk PT *		Indonesia		2,576,400		2,130
LG Chem, Ltd.		South Korea		33,377		13,790
Mondi PLC *		United Kingdom		284,700		5,319
UltraTech Cement, Ltd.		India		170,064		8,821
Vale SA, ADR		Brazil		1,538,770		15,865

Total						45,925


Real Estate (3.6%)
Ayala Land, Inc.		Philippines		17,314,820		11,592
China Resources Land, Ltd.		Cayman Islands		4,460,000		16,853

Total						28,445

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

Emerging Markets Equity Portfolio

Common Stocks (93.4%)

Country

Shares/
Par ⁺

Value
$ (000’s)

Utilities (1.0%)

China Resources Gas Group, Ltd.

Bermuda

1,592,000

7,747

Total

7,747

Total Common Stocks (Cost: $641,805)

729,684

Preferred Stocks (4.1%)

Energy (0.8%)

Petroleo Brasileiro SA

Brazil

1,438,234

5,699

Total

5,699

Information Technology (3.3%)

Samsung Electronics Co., Ltd.

South Korea

663,434

25,909

Total

25,909

Total Preferred Stocks (Cost: $32,331)

31,608

Short-Term Investments (2.3%)

Country

Shares/
Par ⁺

Value
$ (000’s)

Money Market Funds (2.3%)

State Street Institutional U.S. Government Money Market Fund - Premier Class
0.120%^#

United States

17,971,116

17,971

Total

17,971

Total Short-Term Investments (Cost: $17,971)

17,971

Total Investments (99.8%) (Cost: $692,107)^@

779,263

Other Assets, Less Liabilities (0.2%)

1,770

Net Assets (100.0%)

781,033

Investments Percentage by Country is based on Net Assets:


Cayman Islands			21.8%
China			14.1%
India			10.9%
South Korea			10.4%
Taiwan			6.7%
Brazil			5.3%
United States			5.0%
Other			25.6%

Total			99.8%

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

*	Non income producing

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $692,107 and the net unrealized appreciation of investments based on that cost was $87,156 which is comprised of $152,085 aggregate gross unrealized appreciation and $64,929 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

Emerging Markets Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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
All Others	$	5,699	$	25,909	$	—
Common Stocks
Communication Services		30,938		73,005		—
Consumer Discretionary		37,204		105,161		—
Consumer Staples		11,038		48,762		—
Energy		6,100		11,664		—
Financials		21,067		144,058		—
Industrials		10,454		9,324		—
Materials		15,865		30,060		—
All Others		—		174,984		—
Short-Term Investments		17,971		—		—

Total Assets:	$	156,336	$	622,927	$	—

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

Government Money Market Portfolio (unaudited)

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.

Government Money Market Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Money Market Investments (100.0%)	Shares/ Par ⁺		Value $ (000’s)
Money Market Funds (0.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.120% ^#		467,784		468

Total				468


Repurchase Agreements (41.7%)
Tri-Party Bank of Montreal, 0.070%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $15,000,029, collateralized by various US Treasury obligations, 0.750% to 4.750%, due from 7/15/2028 to 11/15/2049, aggregate par and fair value of $11,853,171 and $15,300,002, respectively)		15,000,000		15,000
Tri-Party Bank of Nova Scotia, 0.070%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $9,000,018, collateralized by various US Treasury obligations, 0.125% to 3.875%, due from 11/30/2021 to 11/15/2043, aggregate par and fair value of $8,862,284 and $9,180,040, respectively)		9,000,000		9,000
Tri-Party BNP Paribas, 0.070%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $10,000,019, collateralized by various US Treasury obligations, 0.000% to 0.125%, due from 6/30/2022 to 2/15/2042, aggregate par and fair value of $12,717,223 and $10,200,096, respectively)		10,000,000		10,000
Tri-Party BNP Paribas, 0.090%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $40,000,100, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 0.000% to 6.500%, due from 11/15/2022 to 5/20/2050, aggregate par and fair value of $43,247,589 and $40,800,000, respectively)		40,000,000		40,000
Tri-Party Citigroup Global Markets, Inc., 0.070%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $15,000,029, collateralized by various US Treasury obligations, 0.000% to 0.125%, due from 1/28/2021 to 6/30/2022, aggregate par and fair value of $15,312,200 and $15,300,022, respectively)		15,000,000		15,000
Tri-Party Citigroup Global Markets, Inc., 0.090%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $10,000,025, collateralized by various US Treasury obligations, 0.500% to 2.500%, due from 3/31/2024 to 5/15/2024, aggregate par and fair value of $9,379,613 and $10,200,064, respectively)		10,000,000		10,000


Money Market Investments (100.0%)	Shares/ Par ⁺		Value $ (000’s)
Repurchase Agreements continued
Tri-Party Goldman Sachs Group LP, 0.090%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $20,000,050, collateralized by various US government sponsored agency obligations, 3.000% to 6.000%, due from 6/15/2033 to 6/20/2050, aggregate par and fair value of $19,139,839 and $20,400,000, respectively)		20,000,000		20,000
Tri-Party Mitsubishi UFJ, 0.090%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $10,000,025, collateralized by various US government sponsored agency obligations, 3.000% to 5.000%, due from 2/20/2034 to 5/20/2050, aggregate par and fair value of $9,534,470 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party Mizuho Securities, 0.090%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $25,000,063, collateralized by US government sponsored agency, 2.500%, due 6/1/2050, par and fair value of $24,711,215 and $25,750,000, respectively)		25,000,000		25,000
Tri-Party Natixis S.A., 0.070%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $15,000,029, collateralized by various US Treasury obligations, 0.125% to 3.750%, due from 1/15/2021 to 5/15/2048, aggregate par and fair value of $12,074,321 and $15,300,104, respectively)		15,000,000		15,000
Tri-Party Natixis S.A., 0.090%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $5,000,013, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 0.000% to 4.500%, due from 1/15/2021 to 1/1/2050, aggregate par and fair value of $5,221,839 and $5,100,648, respectively)		5,000,000		5,000
Tri-Party TD Securities, 0.090%, 7/1/20 (Purchased on 6/30/20, to be repurchased at $55,000,138, collateralized by various US government sponsored agency obligations, 3.500% to 4.500%, due from 11/1/2032 to 10/20/2049, aggregate par and fair value of $51,574,106 and $56,629,316, respectively)		55,000,000		55,000

Total				229,000


US Government & Agencies (58.2%)
Federal Farm Credit Bank, 0.000%, 7/7/20		90,000		90
Federal Farm Credit Bank, 0.000%, 8/14/20		1,725,000		1,722
Federal Farm Credit Bank, 0.000%, 9/3/20		3,795,000		3,784
Federal Farm Credit Bank, 0.000%, 9/28/20		1,040,000		1,036
Federal Farm Credit Bank, 0.000%, 10/2/20		1,280,000		1,278

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

Government Money Market Portfolio


Money Market Investments (100.0%)	Shares/ Par ⁺		Value $ (000’s)
US Government & Agencies continued
Federal Farm Credit Bank, 0.000%, 11/12/20		3,345,000		3,343
Federal Farm Credit Bank, 0.000%, 12/8/20		6,360,000		6,317
Federal Farm Credit Bank, 0.000%, 1/19/21		2,705,000		2,700
Federal Farm Credit Bank, 0.000%, 1/20/21		605,000		602
Federal Farm Credit Bank, 0.000%, 2/12/21		2,320,000		2,314
Federal Farm Credit Bank, 0.000%, 3/11/21		2,000,000		1,998
Federal Farm Credit Bank, 0.000%, 3/17/21		2,225,000		2,221
Federal Farm Credit Bank, 0.000%, 6/1/21		3,185,000		3,179
Federal Farm Credit Bank, 0.144%, (ICE LIBOR USD 1 Month less 0.050%), 8/17/20		1,445,000		1,445
Federal Farm Credit Bank, 0.148%, (ICE LIBOR USD 1 Month less 0.040%), 9/11/20		1,975,000		1,975
Federal Farm Credit Bank, 0.160%, (US SOFR plus 0.080%), 1/14/21		855,000		855
Federal Farm Credit Bank, 0.180%, (US SOFR plus 0.100%), 12/16/20		215,000		215
Federal Farm Credit Bank, 0.185%, (US SOFR plus 0.105%), 1/15/21		1,000,000		1,000
Federal Farm Credit Bank, 0.210%, (ICE LIBOR USD 1 Month plus 0.025%), 12/14/20		2,185,000		2,185
Federal Farm Credit Bank, 0.240%, (ICE LIBOR USD 1 Month plus 0.045%), 4/16/21		2,485,000		2,485
Federal Farm Credit Bank, 0.260%, (US SOFR plus 0.180%), 1/14/22		1,940,000		1,940
Federal Farm Credit Bank, 0.270%, (US SOFR plus 0.190%), 11/18/21		835,000		835
Federal Farm Credit Bank, 0.270%, (US Treasury 3 Month Bill Money Market Yield plus 0.120%), 5/2/22		735,000		735
Federal Farm Credit Bank, 0.300%, (US Treasury 3 Month Bill Money Market Yield plus 0.150%), 12/13/21		1,195,000		1,193
Federal Farm Credit Bank, 0.301%, (ICE LIBOR USD 1 Month plus 0.110%), 11/12/21		500,000		500
Federal Farm Credit Bank, 0.333%, (ICE LIBOR USD 1 Month plus 0.160%), 7/1/21		1,450,000		1,450
Federal Farm Credit Bank, 0.375%, (US Treasury 3 Month Bill Money Market Yield plus 0.225%), 7/8/21		1,015,000		1,015
Federal Farm Credit Bank, 0.410%, (US Treasury 3 Month Bill Money Market Yield plus 0.260%), 6/17/21		1,775,000		1,775
Federal Home Loan Bank, 0.000%, 7/1/20		1,725,000		1,725
Federal Home Loan Bank, 0.000%, 7/6/20		8,430,000		8,428
Federal Home Loan Bank, 0.000%, 7/8/20		3,350,000		3,350
Federal Home Loan Bank, 0.000%, 7/15/20		1,995,000		1,994
Federal Home Loan Bank, 0.000%, 7/22/20		4,930,000		4,930
Federal Home Loan Bank, 0.000%, 7/29/20		7,300,000		7,299
Federal Home Loan Bank, 0.000%, 7/31/20		7,970,000		7,960
Federal Home Loan Bank, 0.000%, 8/5/20		12,140,000		12,139
Federal Home Loan Bank, 0.000%, 8/14/20		3,140,000		3,134
Federal Home Loan Bank, 0.000%, 8/17/20		3,035,000		3,031
Federal Home Loan Bank, 0.000%, (US SOFR plus 0.020%), 8/19/20		1,165,000		1,165
Federal Home Loan Bank, 0.000%, 8/20/20		7,850,000		7,847


Money Market Investments (100.0%)	Shares/ Par ⁺		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Bank, 0.000%, 8/21/20		2,055,000		2,050
Federal Home Loan Bank, 0.000%, 8/28/20		665,000		664
Federal Home Loan Bank, 0.000%, (US SOFR plus 0.020%), 8/28/20		3,765,000		3,765
Federal Home Loan Bank, 0.000%, 9/1/20		4,405,000		4,401
Federal Home Loan Bank, 0.000%, 12/4/20		2,655,000		2,647
Federal Home Loan Bank, 0.000%, 4/12/21		2,405,000		2,401
Federal Home Loan Bank, 0.000%, 4/29/21		3,105,000		3,100
Federal Home Loan Bank, 0.000%, 6/11/21		2,360,000		2,355
Federal Home Loan Bank, 0.110%, (US SOFR plus 0.030%), 8/5/20		755,000		755
Federal Home Loan Bank, 0.110%, (US SOFR plus 0.030%), 8/21/20		540,000		540
Federal Home Loan Bank, 0.120%, (US SOFR plus 0.040%), 2/9/21		4,055,000		4,055
Federal Home Loan Bank, 0.130%, (US SOFR plus 0.050%), 1/22/21		695,000		695
Federal Home Loan Bank, 0.140%, (ICE LIBOR USD 1 Month less 0.050%), 8/20/20		1,515,000		1,515
Federal Home Loan Bank, 0.149%, (ICE LIBOR USD 1 Month less 0.030%), 8/4/20		1,240,000		1,240
Federal Home Loan Bank, 0.155%, (US SOFR plus 0.075%), 7/24/20		595,000		595
Federal Home Loan Bank, 0.155%, (US SOFR plus 0.075%), 7/8/21		1,465,000		1,465
Federal Home Loan Bank, 0.155%, (US SOFR plus 0.075%), 7/23/21		950,000		950
Federal Home Loan Bank, 0.160%, (US SOFR plus 0.080%), 3/4/21		1,250,000		1,250
Federal Home Loan Bank, 0.164%, (ICE LIBOR USD 1 Month less 0.010%), 4/5/21		3,480,000		3,480
Federal Home Loan Bank, 0.164%, (ICE LIBOR USD 1 Month less 0.020%), 4/27/21		1,825,000		1,824
Federal Home Loan Bank, 0.165%, (US SOFR plus 0.085%), 9/11/20		3,250,000		3,250
Federal Home Loan Bank, 0.165%, (US SOFR plus 0.085%), 9/10/21		4,415,000		4,415
Federal Home Loan Bank, 0.168%, (ICE LIBOR USD 1 Month less 0.010%), 5/3/21		1,770,000		1,770
Federal Home Loan Bank, 0.181%, (ICE LIBOR USD 3 Month less 0.125%), 12/21/20		2,880,000		2,880
Federal Home Loan Bank, 0.182%, (ICE LIBOR USD 1 Month plus 0.005%), 7/10/20		3,690,000		3,690
Federal Home Loan Bank, 0.185%, (US SOFR plus 0.105%), 10/1/20		2,060,000		2,060
Federal Home Loan Bank, 0.190%, (US SOFR plus 0.110%), 3/25/21		1,155,000		1,155
Federal Home Loan Bank, 0.195%, (US SOFR plus 0.115%), 3/12/21		1,885,000		1,885
Federal Home Loan Bank, 0.200%, (US SOFR plus 0.120%), 10/7/20		1,120,000		1,120
Federal Home Loan Bank, 0.200%, 6/17/21		1,310,000		1,310
Federal Home Loan Bank, 0.200%, (US SOFR plus 0.120%), 2/28/22		2,695,000		2,695
Federal Home Loan Bank, 0.210%, (US SOFR plus 0.130%), 10/16/20		9,455,000		9,455

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

Government Money Market Portfolio


Money Market Investments (100.0%)	Shares/ Par ⁺		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Bank, 0.240%, (US SOFR plus 0.160%), 5/7/21		3,865,000		3,865
Federal Home Loan Bank, 1.182%, (ICE LIBOR USD 3 Month less 0.170%), 1/8/21		1,570,000		1,570
Federal Home Loan Bank, 2.625%, 10/1/20		1,110,000		1,113
Federal Home Loan Mortgage Corp., 0.000%, 7/17/20		5,970,000		5,967
Federal Home Loan Mortgage Corp., 0.000%, 7/24/20		1,550,000		1,549
Federal Home Loan Mortgage Corp., 0.000%, 7/28/20		2,375,000		2,374
Federal Home Loan Mortgage Corp., 0.105%, (US SOFR plus 0.025%), 2/26/21		1,605,000		1,605
Federal Home Loan Mortgage Corp., 0.260%, (US SOFR plus 0.180%), 12/13/21		2,275,000		2,275
Federal Home Loan Mortgage Corp., 0.270%, (US SOFR plus 0.190%), 6/2/22		6,140,000		6,140
Federal Home Loan Mortgage Corp., 0.400%, (US SOFR plus 0.320%), 9/23/21		3,065,000		3,065
Federal National Mortgage Association, 0.000%, 7/24/20		1,575,000		1,574
Federal National Mortgage Association, 0.150%, (US SOFR plus 0.070%), 12/11/20		1,565,000		1,565
Federal National Mortgage Association, 0.370%, (US SOFR plus 0.290%), 10/4/21		8,000,000		8,000
Federal National Mortgage Association, 0.380%, (US SOFR plus 0.300%), 4/28/22		5,000,000		5,000
Federal National Mortgage Association, 0.430%, (US SOFR plus 0.350%), 4/7/22		2,740,000		2,740
Federal National Mortgage Association, 0.470%, (US SOFR plus 0.390%), 4/15/22		3,090,000		3,090
US Treasury, 0.000%, 7/7/20		8,000,000		8,000
US Treasury, 0.000%, 7/23/20		15,000,000		14,999


Money Market Investments (100.0%)	Shares/ Par ⁺		Value $ (000’s)
US Government & Agencies continued
US Treasury, 0.000%, 7/30/20		4,730,000		4,729
US Treasury, 0.000%, 8/6/20		785,000		784
US Treasury, 0.000%, 8/18/20		5,625,000		5,624
US Treasury, 0.000%, 8/27/20		2,540,000		2,537
US Treasury, 0.000%, 9/3/20		1,565,000		1,563
US Treasury, 0.000%, 9/17/20		945,000		945
US Treasury, 0.000%, 10/15/20		2,450,000		2,448
US Treasury, 0.000%, 11/10/20		3,060,000		3,058
US Treasury, 0.000%, 11/24/20		6,525,000		6,520
US Treasury, 0.000%, 12/1/20		1,645,000		1,644
US Treasury, 0.000%, 2/25/21		6,000,000		5,993
US Treasury, 0.000%, 3/25/21		5,375,000		5,368
US Treasury, 0.000%, 5/20/21		3,690,000		3,685
US Treasury, 0.193%, (US Treasury 3 Month Bill Money Market Yield plus 0.043%), 7/31/20		1,135,000		1,135
US Treasury, 0.195%, (US Treasury 3 Month Bill Money Market Yield plus 0.045%), 10/31/20		5,000,000		4,998
US Treasury, 0.289%, (US Treasury 3 Month Bill Money Market Yield plus 0.139%), 4/30/21		380,000		380
US Treasury, 0.370%, (US Treasury 3 Month Bill Money Market Yield plus 0.220%), 7/31/21		2,000,000		2,000
US Treasury, 1.625%, 11/30/20		475,000		475
US Treasury, 1.750%, 11/15/20		430,000		430
US Treasury, 2.000%, 11/30/20		280,000		280
US Treasury, 2.000%, 1/15/21		775,000		782
US Treasury, 2.625%, 11/15/20		1,180,000		1,184

Total				319,674


Total Money Market Investments (Cost: $549,142)				549,142


Total Investments (100.0%) (Cost: $549,142)				549,142


Other Assets, Less Liabilities (0.0%)				92


Net Assets (100.0%)				549,234

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

#	7-Day yield as of 6/30/2020.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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		$	468	$	—	$	—
All Others			—		548,674		—

Total Assets:		$	468	$	548,674	$	—

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

Short-Term Bond Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Corporate Bonds		53.9%

		Structured Products		33.5%

		Governments		10.8%

		Short-Term Investments & Other Net Assets		1.7%

		Municipal Bonds		0.1%

Sector Allocation is 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.

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 Portfolio may invest in derivative instruments to adjust the Portfolio’s duration and yield curve exposure, to hedge foreign currency exposure or for 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 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.

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.

Short-Term Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Basic Materials (1.3%)
Anglo American Capital PLC
3.750%, 4/10/22 144A		315,000		324
4.125%, 9/27/22 144A		295,000		308
CNAC HK Finbridge Co., Ltd.
3.000%, 7/19/20 §		390,000		390
4.125%, 3/14/21 §		360,000		365
DowDuPont, Inc.
3.766%, 11/15/20		520,000		526
Equate Petrochemical BV
3.000%, 3/3/22 §		400,000		404
International Flavors & Fragrances, Inc.
3.400%, 9/25/20		195,000		196
LyondellBasell Industries NV
6.000%, 11/15/21		790,000		834
Nucor Corp.
2.000%, 6/1/25		155,000		161
POSCO
2.375%, 11/12/22 144A		810,000		826
Syngenta Finance NV
3.933%, 4/23/21 144A		265,000		267

Total				4,601


Communications (3.0%)
Axiata SPV2 Bhd
3.466%, 11/19/20 §		400,000		402
Baidu, Inc.
2.875%, 7/6/22		405,000		415
3.500%, 11/28/22		345,000		359
Booking Holdings, Inc.
4.100%, 4/13/25		395,000		444
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
4.464%, 7/23/22 b		1,652,000		1,761
4.908%, 7/23/25 b		995,000		1,141
Comcast Corp.
3.100%, 4/1/25		125,000		137
3.700%, 4/15/24		460,000		511
Crown Castle Towers LLC
3.720%, 7/15/43 144A		300,000		314
Fox Corp.
3.050%, 4/7/25		90,000		97
3.666%, 1/25/22		420,000		440
4.030%, 1/25/24		145,000		161
The Interpublic Group of Companies, Inc.
3.500%, 10/1/20		140,000		141
JD.com, Inc.
3.125%, 4/29/21 b		1,195,000		1,210
Neptune Finco Corp.
10.875%, 10/15/25 144A		337,000		362
The Priceline Group, Inc.
2.750%, 3/15/23		150,000		157
Sky, Ltd.
3.750%, 9/16/24 144A		310,000		345
T-Mobile USA, Inc.
3.500%, 4/15/25 144A		485,000		529


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Communications continued
Verizon Communications, Inc.
2.946%, 3/15/22		325,000		339
3.376%, 2/15/25		230,000		255
5.150%, 9/15/23		350,000		398
Vodafone Group PLC
3.750%, 1/16/24		325,000		355
WPP Finance 2010
3.625%, 9/7/22		140,000		146

Total				10,419


Consumer Staples (0.2%)
China Mengniu Dairy Co., Ltd.
1.875%, 6/17/25 §		856,000		852

Total				852


Consumer, Cyclical (5.7%)
American Airlines Pass Through Trust, Series 2017-2, Class B
3.700%, 4/15/27		307,148		213
AutoZone, Inc.
3.625%, 4/15/25		235,000		263
BMW US Capital LLC
0.934%, (ICE LIBOR USD 3 Month plus 0.500%), 8/13/21 144A		390,000		388
1.721%, (ICE LIBOR USD 3 Month plus 0.410%), 4/12/21 144A		525,000		523
D.R. Horton, Inc.
2.550%, 12/1/20		240,000		242
Daimler Finance North America LLC
1.750%, 3/10/23 144A		815,000		821
2.300%, 2/12/21 144A		705,000		710
Ford Motor Credit Co. LLC
1.227%, (ICE LIBOR USD 3 Month plus 0.930%), 9/24/20 b		925,000		918
3.470%, 4/5/21		200,000		195
3.813%, 10/12/21		220,000		217
5.875%, 8/2/21		200,000		202
General Motors Co.
4.875%, 10/2/23		330,000		352
5.400%, 10/2/23		500,000		542
General Motors Financial Co., Inc.
2.170%, (ICE LIBOR USD 3 Month plus 0.850%), 4/9/21		350,000		348
2.900%, 2/26/25		845,000		842
3.200%, 7/13/20		740,000		740
3.200%, 7/6/21		385,000		389
Harley-Davidson Financial Services, Inc.
1.284%, (ICE LIBOR USD 3 Month plus 0.940%), 3/2/21 144A		470,000		467
2.550%, 6/9/22 144A		170,000		171
4.050%, 2/4/22 144A		560,000		577
Hasbro, Inc.
2.600%, 11/19/22		395,000		409
3.000%, 11/19/24		525,000		550
Hyundai Capital America
2.375%, 2/10/23 144A b		865,000		874

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

Short-Term Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Cyclical continued
2.450%, 6/15/21 144A		325,000		327
2.850%, 11/1/22 144A		228,000		233
3.000%, 6/20/22 144A		470,000		479
3.950%, 2/1/22 144A		245,000		252
McDonald’s Corp.
1.450%, 9/1/25		270,000		277
3.300%, 7/1/25		155,000		172
3.350%, 4/1/23		305,000		327
Nissan Motor Acceptance Corp.
3.650%, 9/21/21 144A		405,000		406
O’Reilly Automotive, Inc.
3.800%, 9/1/22		195,000		205
Panasonic Corp.
2.536%, 7/19/22 144A		335,000		345
QVC, Inc.
5.125%, 7/2/22		765,000		772
Ralph Lauren Corp.
1.700%, 6/15/22		100,000		102
Ross Stores, Inc.
4.600%, 4/15/25 b		1,100,000		1,263
Starbucks Corp.
2.700%, 6/15/22		205,000		213
The TJX Cos., Inc.
3.500%, 4/15/25		735,000		818
Toyota Industries Corp.
3.110%, 3/12/22 144A		435,000		448
Toyota Motor Credit Corp.
2.650%, 4/12/22 b		875,000		906
United Airlines Pass Through Trust, Series
2019-2, Class B
3.500%, 11/1/29		180,000		135
Volkswagen Group of America Finance LLC
2.500%, 9/24/21 144A		200,000		203
2.700%, 9/26/22 144A		290,000		300
2.900%, 5/13/22 144A		200,000		207
3.125%, 5/12/23 144A		200,000		210
3.875%, 11/13/20 144A		465,000		469
Walgreen Co.
3.100%, 9/15/22		195,000		204

Total				20,226


Consumer, Non-cyclical (9.2%)
AbbVie, Inc.
2.300%, 5/14/21		375,000		380
2.600%, 11/21/24 144A b		1,250,000		1,331
2.900%, 11/6/22		775,000		813
3.200%, 11/6/22		85,000		89
3.250%, 10/1/22 144A		80,000		84
3.450%, 3/15/22 144A		265,000		275
Altria Group, Inc.
3.490%, 2/14/22		490,000		511
3.800%, 2/14/24		620,000		678
Archer-Daniels-Midland Co.
2.750%, 3/27/25		240,000		260
BAT Capital Corp.
2.764%, 8/15/22 b		1,555,000		1,611
Baxalta, Inc.
3.600%, 6/23/22		125,000		132
Baxter International, Inc.
3.750%, 10/1/25 144A		425,000		484


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
Bayer US Finance II LLC
0.927%, (ICE LIBOR USD 3 Month plus 0.630%), 6/25/21 144A		580,000		579
3.500%, 6/25/21 144A		310,000		318
Becton Dickinson and Co.
2.894%, 6/6/22 b		1,322,000		1,368
3.363%, 6/6/24		570,000		615
3.734%, 12/15/24		110,000		121
Bristol-Myers Squibb Co.
2.600%, 5/16/22 144A		210,000		218
2.750%, 2/15/23 144A		300,000		316
2.875%, 2/19/21 144A		548,000		558
2.900%, 7/26/24 144A		420,000		454
3.250%, 2/20/23 144A		95,000		101
3.550%, 8/15/22 144A		300,000		319
3.625%, 5/15/24 144A		80,000		88
Bunge, Ltd. Finance Corp.
3.000%, 9/25/22 b		1,240,000		1,292
3.500%, 11/24/20 b		1,210,000		1,221
4.350%, 3/15/24		55,000		60
Cardinal Health, Inc.
2.616%, 6/15/22		50,000		52
3.079%, 6/15/24		310,000		330
3.200%, 3/15/23		395,000		418
3.500%, 11/15/24		525,000		571
Cargill, Inc.
1.375%, 7/23/23 144A		300,000		305
Cigna Corp.
0.949%, (ICE LIBOR USD 3 Month plus 0.650%), 9/17/21		315,000		315
3.000%, 7/15/23 144A		320,000		340
3.400%, 9/17/21		175,000		181
3.750%, 7/15/23		329,000		357
3.900%, 2/15/22 144A		250,000		263
CVS Health Corp.
1.033%, (ICE LIBOR USD 3 Month plus 0.720%), 3/9/21		320,000		321
2.625%, 8/15/24		150,000		160
3.350%, 3/9/21		510,000		520
3.700%, 3/9/23 b		1,200,000		1,289
Diageo Capital PLC
1.375%, 9/29/25		300,000		305
EMD Finance LLC
2.950%, 3/19/22 144A		190,000		196
Equifax, Inc.
1.262%, (ICE LIBOR USD 3 Month plus 0.870%), 8/15/21		285,000		285
2.300%, 6/1/21		465,000		472
3.600%, 8/15/21		275,000		284
Express Scripts Holding Co.
1.113%, (ICE LIBOR USD 3 Month plus 0.750%), 11/30/20		750,000		750
General Mills, Inc.
1.716%, (ICE LIBOR USD 3 Month plus 0.540%), 4/16/21		465,000		466
Global Payments, Inc.
2.650%, 2/15/25		345,000		366
Humana, Inc.
2.900%, 12/15/22		80,000		84
3.150%, 12/1/22		150,000		157
3.850%, 10/1/24		275,000		302
4.500%, 4/1/25		565,000		646

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

Short-Term Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
Imperial Brands Finance PLC
2.950%, 7/21/20 144A b		945,000		946
3.750%, 7/21/22 144A		805,000		840
Keurig Dr. Pepper, Inc.
3.551%, 5/25/21		465,000		478
McKesson Corp.
3.650%, 11/30/20		650,000		658
Moody’s Corp.
3.750%, 3/24/25		505,000		573
PayPal Holdings, Inc.
1.350%, 6/1/23		710,000		725
Pernod Ricard SA
4.450%, 1/15/22 144A		535,000		565
Perrigo Finance Unlimited Co.
3.500%, 12/15/21		400,000		399
3.900%, 12/15/24 b		865,000		920
Philip Morris International, Inc.
1.125%, 5/1/23		220,000		224
RELX Capital, Inc.
3.500%, 3/16/23		270,000		288
Reynolds American, Inc.
4.000%, 6/12/22		260,000		275
Shire Acquisitions Investments Ireland DAC
2.875%, 9/23/23		55,000		58
Takeda Pharmaceutical Co., Ltd.
4.000%, 11/26/21		780,000		814
Thermo Fisher Scientific, Inc.
4.133%, 3/25/25		180,000		206
Tyson Foods, Inc.
2.250%, 8/23/21		280,000		284

Total				32,264


Diversified (0.5%)
CK Hutchison International 17 II, Ltd.
2.750%, 3/29/23 §		650,000		672
Shanghai Electric Group Global Investment, Ltd.
2.650%, 11/21/24 §,b		1,000,000		1,033

Total				1,705


Energy (6.3%)
Aker BP ASA
3.000%, 1/15/25 144A		445,000		433
BP Capital Markets America, Inc.
2.937%, 4/6/23		470,000		498
Canadian Natural Resources, Ltd.
2.050%, 7/15/25		635,000		636
Cenovus Energy, Inc.
3.000%, 8/15/22		550,000		527
Cheniere Corpus Christi Holdings LLC
5.875%, 3/31/25		425,000		477
7.000%, 6/30/24		645,000		734
Diamondback Energy, Inc.
2.875%, 12/1/24		830,000		831
4.750%, 5/31/25		660,000		706
Energy Transfer Operating LP
2.900%, 5/15/25		115,000		118
4.200%, 9/15/23		135,000		143
4.250%, 3/15/23		310,000		327
5.875%, 1/15/24 b		1,054,000		1,179


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
Energy Transfer Partners LP
3.600%, 2/1/23		175,000		181
Eni SpA
4.000%, 9/12/23 144A		200,000		216
Enterprise Products Operating LLC
2.800%, 2/15/21		480,000		487
3.500%, 2/1/22		500,000		521
EOG Resources, Inc.
2.625%, 3/15/23		140,000		147
EQT Corp.
3.000%, 10/1/22 b		1,020,000		949
4.875%, 11/15/21		128,000		125
Equinor ASA
2.875%, 4/6/25 b		880,000		949
Exxon Mobil Corp.
0.688%, (ICE LIBOR USD 3 Month plus 0.370%), 3/6/22 b		1,110,000		1,113
1.571%, 4/15/23		355,000		364
2.992%, 3/19/25 b		1,025,000		1,115
Kinder Morgan Energy Partners LP
3.950%, 9/1/22		70,000		74
Marathon Oil Corp.
2.800%, 11/1/22		855,000		856
MPLX LP
1.213%, (ICE LIBOR USD 3 Month plus 0.900%), 9/9/21		120,000		119
1.413%, (ICE LIBOR USD 3 Month plus 1.100%), 9/9/22		380,000		374
Occidental Petroleum Corp.
2.600%, 8/13/21		430,000		420
Phillips 66
0.960%, (ICE LIBOR USD 3 Month plus 0.600%), 2/26/21		335,000		334
Plains All American Pipeline LP / PAA Finance Corp.
5.000%, 2/1/21		220,000		222
Reliance Holdings USA, Inc.
5.400%, 2/14/22 §		800,000		843
Sabine Pass Liquefaction LLC
5.625%, 4/15/23		455,000		498
6.250%, 3/15/22 b		1,115,000		1,188
Saudi Arabian Oil Co.
2.750%, 4/16/22 144A		805,000		822
Schlumberger Holdings Corp.
3.750%, 5/1/24 144A		295,000		317
Shell International Finance BV
2.375%, 4/6/25		570,000		605
Suncor Energy, Inc.
2.800%, 5/15/23		225,000		235
Sunoco Logistics Partners Operations LP
3.450%, 1/15/23		55,000		57
Valero Energy Corp.
2.700%, 4/15/23		425,000		441
Western Midstream Operating LP
4.000%, 7/1/22		800,000		797
The Williams Cos., Inc.
3.700%, 1/15/23 b		979,000		1,035
Williams Partners LP
3.350%, 8/15/22		95,000		99
4.300%, 3/4/24		145,000		157

Total				22,269

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

Short-Term Bond Portfolio


Corporate Bonds (53.9%)		Shares/ Par ⁺		Value $ (000’s)
Financial (17.7%)
ABN AMRO Bank NV
0.939%, (ICE LIBOR USD 3 Month plus 0.570%), 8/27/21 144A			760,000		763
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.950%, 2/1/22			475,000		475
4.450%, 12/16/21			605,000		611
4.500%, 9/15/23			485,000		485
4.625%, 10/30/20			300,000		301
AIA Group, Ltd.
0.826%, (ICE LIBOR USD 3 Month plus 0.520%), 9/20/21 144A			765,000		765
AIG Global Funding
3.350%, 6/25/21 144A			365,000		375
Air Lease Corp.
2.250%, 1/15/23			360,000		355
2.500%, 3/1/21			135,000		135
3.500%, 1/15/22			265,000		268
American International Group, Inc.
2.500%, 6/30/25 b			650,000		688
4.875%, 6/1/22			335,000		361
6.400%, 12/15/20			175,000		180
Aon Corp.
2.200%, 11/15/22			180,000		187
Aon PLC
2.800%, 3/15/21			570,000		580
Avolon Holdings Funding, Ltd.
2.875%, 2/15/25 144A			435,000		365
3.625%, 5/1/22 144A			670,000		632
3.950%, 7/1/24 144A			130,000		114
Banco del Estado de Chile
2.704%, 1/9/25 144A			260,000		267
Banco Santander Chile
2.500%, 12/15/20 144A			860,000		864
Banco Santander Mexico SA Institucion De Banca Multiple Grupo Financiero Santander Mexico
4.125%, 11/9/22 §			775,000		807
Banco Santander SA
2.431%, (ICE LIBOR USD 3 Month plus 1.120%), 4/12/23			400,000		394
Bank of America Corp.
0.947%, (ICE LIBOR USD 3 Month plus 0.650%), 6/25/22			410,000		410
1.423%, (ICE LIBOR USD 3 Month plus 0.380%), 1/23/22			395,000		394
2.295%, (ICE LIBOR USD 3 Month plus 1.160%), 1/20/23			665,000		671
2.503%, 10/21/22	��		280,000		287
Bank of Montreal
1.771%, (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		650
Barclays Bank PLC
1.700%, 5/12/22			285,000		290
2.650%, 1/11/21			445,000		449


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
Barclays PLC
2.936%, (ICE LIBOR USD 3 Month plus 1.625%), 1/10/23		290,000		291
BDO Unibank, Inc.
2.950%, 3/6/23 §		800,000		818
Bohai Capital Holding Co., Ltd.
3.625%, 3/15/21 144A		690,000		681
BPCE SA
1.578%, (ICE LIBOR USD 3 Month plus 1.220%), 5/22/22 144A		280,000		281
Brixmor Operating Partnership LP
3.250%, 9/15/23		595,000		608
3.875%, 8/15/22		80,000		83
Capital One Financial Corp.
2.400%, 10/30/20		300,000		301
3.200%, 1/30/23		345,000		363
3.500%, 6/15/23		245,000		262
3.900%, 1/29/24		240,000		261
The Charles Schwab Corp.
0.694%, (ICE LIBOR USD 3 Month plus 0.320%), 5/21/21		470,000		471
4.200%, 3/24/25		525,000		602
Citibank NA
2.844%, (ICE LIBOR USD 3 Month plus 0.596%), 5/20/22		620,000		632
Citigroup, Inc.
2.312%, (US SOFR plus 0.867%), 11/4/22		575,000		587
2.900%, 12/8/21		675,000		696
3.106%, (US SOFR plus 2.750%), 4/8/26		650,000		697
Citizens Bank NA
2.550%, 5/13/21		250,000		254
3.250%, 2/14/22		290,000		300
Citizens Financial Group, Inc.
2.375%, 7/28/21		35,000		35
Cooperatieve Rabobank UA
3.950%, 11/9/22		645,000		682
Credit Agricole SA
2.040%, (ICE LIBOR USD 3 Month plus 1.020%), 4/24/23 144A		315,000		315
The Credit Mutuel-CM11 Group
2.200%, 7/20/20 144A		435,000		435
Credit Suisse AG
1.000%, 5/5/23		860,000		865
2.100%, 11/12/21		635,000		648
2.800%, 4/8/22		610,000		634
Creditcorp, Ltd.
2.750%, 6/17/25 144A		200,000		199
Crown Castle International Corp.
2.250%, 9/1/21		195,000		197
3.400%, 2/15/21		385,000		391
5.250%, 1/15/23		160,000		178
Danske Bank A/S
1.226%, 6/22/24 144A b		880,000		883
3.001%, (ICE LIBOR USD 3 Month plus 1.249%), 9/20/22 144A		725,000		736
5.000%, 1/12/22 144A		465,000		489
Deutsche Bank AG
1.846%, (ICE LIBOR USD 3 Month plus 1.290%), 2/4/21		405,000		403
3.150%, 1/22/21		530,000		533
3.375%, 5/12/21		100,000		101

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

Short-Term Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
Discover Bank
3.200%, 8/9/21		470,000		480
Essex Portfolio LP
3.625%, 8/15/22		25,000		26
First Niagara Financial Group, Inc.
7.250%, 12/15/21		245,000		266
GE Capital International Funding Co. Unlimited Co.
2.342%, 11/15/20 b		1,920,000		1,932
The Goldman Sachs Group, Inc.
1.540%, (ICE LIBOR USD 3 Month plus 0.780%), 10/31/22		330,000		330
2.101%, (ICE LIBOR USD 3 Month plus 1.110%), 4/26/22		520,000		522
5.750%, 1/24/22 b		825,000		890
Highwoods Realty LP
3.625%, 1/15/23		740,000		768
HPHT Finance 17, Ltd.
2.750%, 9/11/22 §		520,000		529
HSBC Holdings PLC
0.968%, (ICE LIBOR USD 3 Month plus 0.650%), 9/11/21		320,000		320
2.099%, (US SOFR plus 1.929%), 6/4/26		810,000		818
ING Groep NV
2.525%, (ICE LIBOR USD 3 Month plus 1.150%), 3/29/22		335,000		337
JPMorgan Chase & Co.
2.083%, (US SOFR plus 1.850%), 4/22/26 b		890,000		923
KeyBank NA
1.250%, 3/10/23		580,000		589
Lincoln National Corp.
4.000%, 9/1/23		130,000		142
Lloyds Banking Group PLC
1.326%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.100%), 6/15/23		200,000		201
Marsh & McLennan Cos., Inc.
3.500%, 12/29/20		370,000		376
3.875%, 3/15/24		345,000		382
Mitsubishi UFJ Financial Group, Inc.
1.278%, (ICE LIBOR USD 3 Month plus 0.920%), 2/22/22		390,000		392
1.641%, (ICE LIBOR USD 3 Month plus 0.650%), 7/26/21		193,000		194
1.851%, (ICE LIBOR USD 3 Month plus 0.860%), 7/26/23		320,000		319
3.218%, 3/7/22		535,000		558
Morgan Stanley
2.750%, 5/19/22		485,000		504
5.500%, 7/24/20		235,000		236
NatWest Markets PLC
2.375%, 5/21/23 144A		640,000		655
New York Life Global Funding
0.821%, (ICE LIBOR USD 3 Month plus 0.320%), 8/6/21 144A		585,000		586
Park Aerospace Holdings, Ltd.
5.250%, 8/15/22 144A		375,000		352
PNC Bank NA
2.450%, 11/5/20		425,000		427
2.450%, 7/28/22		325,000		337
2.950%, 1/30/23		335,000		353


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
Regions Bank
0.934%, (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 b		895,000		897
Reinsurance Group of America, Inc.
5.000%, 6/1/21		60,000		63
Royal Bank of Scotland Group PLC
3.875%, 9/12/23		520,000		561
Santander UK Group Holdings PLC
2.875%, 10/16/20		145,000		146
Santander UK PLC
2.100%, 1/13/23		565,000		583
SBA Tower Trust
2.836%, 1/15/25 144A		440,000		454
Simon Property Group LP
2.625%, 6/15/22		495,000		509
3.375%, 10/1/24		535,000		576
Standard Chartered PLC
2.285%, (ICE LIBOR USD 3 Month plus 1.150%), 1/20/23 144A		435,000		435
2.744%, (ICE LIBOR USD 3 Month plus 1.200%), 9/10/22 144A		385,000		389
3.950%, 1/11/23 144A		200,000		207
State Street Corp.
2.825%, (US SOFR plus 2.690%), 3/30/23 144A		160,000		166
SunTrust Bank
2.800%, 5/17/22		480,000		500
Swedbank AB
1.300%, 6/2/23 144A		505,000		511
2.650%, 3/10/21 144A b		980,000		994
Synchrony Bank
3.000%, 6/15/22		250,000		255
Synchrony Financial
2.850%, 7/25/22 b		1,541,000		1,567
The Toronto-Dominion Bank
1.231%, (ICE LIBOR USD 3 Month plus 0.240%), 1/25/21		755,000		756
Trininty Acquisition PLC
3.500%, 9/15/21		315,000		323
Truist Bank
1.250%, 3/9/23 b		1,195,000		1,213
U.S. Bank NA
1.311%, (ICE LIBOR USD 3 Month plus 0.320%), 4/26/21		720,000		722
UBS AG
1.750%, 4/21/22 144A		375,000		382
UBS Group Funding AG
1.578%, (ICE LIBOR USD 3 Month plus 1.220%), 5/23/23 144A		415,000		418
UBS Group Funding Jersey, Ltd.
2.950%, 9/24/20 144A		255,000		256
3.000%, 4/15/21 144A		385,000		393
Ventas Realty LP
3.100%, 1/15/23		82,000		84
Ventas Realty LP / Ventas Capital Corp.
3.250%, 8/15/22		165,000		169

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

Short-Term Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
WEA Finance LLC / Westfield UK & Europe Finance PLC
3.250%, 10/5/20 144A		240,000		240
Wells Fargo & Co.
1.654%, (US SOFR plus 1.600%), 6/2/24		410,000		417
2.188%, (US SOFR plus 2.000%), 4/30/26		400,000		414
3.500%, 3/8/22		330,000		346
Wells Fargo Bank NA
2.082%, (ICE LIBOR USD 3 Month plus 0.650%), 9/9/22		490,000		498
3.325%, (ICE LIBOR USD 3 Month plus 0.490%), 7/23/21 b		920,000		922
Western Union Co.
2.850%, 1/10/25		570,000		594
3.600%, 3/15/22		330,000		342
Yongda Investment, Ltd.
2.250%, 6/16/25 §		643,000		646

Total				62,408


Industrial (3.7%)
Amphenol Corp.
2.050%, 3/1/25		405,000		422
Avnet, Inc.
3.750%, 12/1/21		405,000		416
Boral Finance, Ltd.
3.000%, 11/1/22 144A		65,000		65
Carrier Global Corp.
2.242%, 2/15/25 144A		835,000		856
Caterpillar Financial Services Corp.
0.598%, (ICE LIBOR USD 3 Month plus 0.280%), 9/7/21		285,000		285
2.950%, 2/26/22		495,000		516
CNH Industrial Capital LLC
3.875%, 10/15/21		460,000		471
4.375%, 11/6/20 b		895,000		903
DAE Funding LLC
4.000%, 8/1/20 144A		360,000		357
5.250%, 11/15/21 144A		305,000		299
Deere & Co.
2.750%, 4/15/25		195,000		213
Eastern Creation II Investment Holdings, Ltd.
2.750%, 9/26/20 §		645,000		646
FedEx Corp.
3.800%, 5/15/25		380,000		422
GATX Corp.
3.900%, 3/30/23		240,000		253
General Electric Co.
3.150%, 9/7/22		249,000		261
3.450%, 5/15/24		240,000		256
Honeywell International, Inc.
1.350%, 6/1/25		435,000		447
2.300%, 8/15/24		335,000		357
Jabil, Inc.
5.625%, 12/15/20		240,000		245
John Deere Capital Corp.
1.200%, 4/6/23		215,000		219
Northrop Grumman Corp.
2.550%, 10/15/22		345,000		360
Otis Worldwide Corp.
2.056%, 4/5/25 144A		485,000		508


Corporate Bonds (53.9%)		Shares/ Par ⁺		Value $ (000’s)
Industrial continued	��
Penske Truck Leasing Co. LP / PTL Finance Corp.
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		399
Roper Technologies, Inc.
2.350%, 9/15/24			165,000		174
3.000%, 12/15/20			785,000		792
3.125%, 11/15/22			660,000		691
3.650%, 9/15/23			125,000		136
SMBC Aviation Capital Finance DAC
3.550%, 4/15/24 144A			200,000		205
4.125%, 7/15/23 144A			200,000		208
Union Pacific Corp.
3.200%, 6/8/21			565,000		579
Vulcan Materials Co.
1.000%, (ICE LIBOR USD 3 Month plus 0.650%), 3/1/21			760,000		756

Total					12,992


Real Estate (0.5%)
SBA Tower Trust
2.877%, 7/10/46 144A			155,000		155
3.156%, 10/10/45 144A			635,000		636
3.168%, 4/9/47 144A			555,000		561
3.448%, 3/15/23 144A			415,000		432

Total					1,784


Technology (2.4%)
Analog Devices, Inc.
2.950%, 4/1/25			140,000		152
Apple, Inc.
2.400%, 5/3/23			540,000		571
Fiserv, Inc.
2.750%, 7/1/24			800,000		853
International Business Machines Corp.
2.500%, 1/27/22			510,000		527
2.850%, 5/13/22			350,000		366
2.875%, 11/9/22			155,000		164
Microchip Technology, Inc.
2.670%, 9/1/23 144A			490,000		504
3.922%, 6/1/21			745,000		759
Micron Technology, Inc.
2.497%, 4/24/23 b			1,230,000		1,277
4.640%, 2/6/24			155,000		171
NXP BV / NXP Funding LLC
3.875%, 9/1/22 144A			310,000		328
4.125%, 6/1/21 144A			400,000		412
4.625%, 6/1/23 144A			525,000		576
NXP BV / NXP Funding LLC / NXP USA, Inc.
2.700%, 5/1/25 144A			90,000		95
Oracle Corp.
2.500%, 4/1/25 b			1,250,000		1,344
Texas Instruments, Inc.
1.375%, 3/12/25			245,000		251

Total					8,350


Utilities (3.4%)
AES Corp.
3.300%, 7/15/25 144A			365,000		376

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

Short-Term Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
American Electric Power Co., Inc.
3.650%, 12/1/21		85,000		89
CenterPoint Energy Resources Corp.
4.500%, 1/15/21		295,000		298
CenterPoint Energy, Inc.
3.600%, 11/1/21		215,000		223
Dominion Energy, Inc.
2.579%, 7/1/20 b		1,145,000		1,145
Duke Energy Corp.
3.550%, 9/15/21		155,000		159
Edison International
3.125%, 11/15/22		290,000		299
Enel Finance International NV
2.875%, 5/25/22 144A		835,000		864
4.250%, 9/14/23 144A		400,000		435
FirstEnergy Corp.
2.850%, 7/15/22		320,000		332
NextEra Energy Capital Holdings, Inc.
0.921%, (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		285
Pacific Gas & Electric Co.
1.750%, 6/16/22 b		1,285,000		1,287
PNM Resources, Inc.
3.250%, 3/9/21		465,000		472
San Diego Gas & Electric Co.
1.914%, 2/1/22		61,430		62
Saudi Electricity Global Sukuk Co. 2
3.473%, 4/8/23 §		800,000		834
Sempra Energy
1.719%, (ICE LIBOR USD 3 Month plus 0.500%), 1/15/21		495,000		495
2.850%, 11/15/20		785,000		790
2.875%, 10/1/22		265,000		274
Sinosing Services Pte, Ltd.
2.250%, 2/20/25 §,b		1,000,000		1,021
Southern California Edison Co.
2.400%, 2/1/22		180,000		183
The Southern Co.
2.350%, 7/1/21		125,000		127
Vistra Operations Co. LLC
3.550%, 7/15/24 144A b		1,335,000		1,378
Total				12,038

Total Corporate Bonds (Cost: $185,383)				189,908

Governments (10.8%)
Governments (10.8%)
US Treasury
0.125%, 4/30/22 b		5,870,000		5,866
0.125%, 5/15/23		830,000		829
1.125%, 2/28/22 b		7,750,000		7,873
1.750%, 6/15/22 b		1,795,000		1,851
2.125%, 5/15/22 b		5,140,000		5,328
2.250%, 4/15/22 b		5,120,000		5,310
2.375%, 3/15/22 b		10,780,000		11,184
Total				38,241

Total Governments (Cost: $37,502)				38,241


Municipal Bonds (0.1%)	Shares/ Par ⁺		Value $ (000’s)
Municipal Bonds (0.1%)
State of Connecticut
1.998%, 7/1/24 GO		125,000		129
2.000%, 7/1/23 GO		50,000		51
2.098%, 7/1/25 GO		85,000		89

Total Municipal Bonds (Cost: $260)				269

Structured Products (33.5%)
Asset Backed Securities (16.7%)
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 2018-2, Class A
3.290%, 5/15/23		970,000		990
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class D
2.710%, 9/8/22		380,000		384
Americredit Automobile Receivables Trust, Series 2016-4, Class D
2.740%, 12/8/22		1,070,000		1,085
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class C
2.710%, 8/18/22		175,000		177
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class D
3.130%, 1/18/23		620,000		629
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class B
2.240%, 6/19/23		185,000		186
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class C
2.690%, 6/19/23		195,000		199
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class D
3.820%, 3/18/24		790,000		818
Americredit Automobile Receivables Trust, Series 2018-3, Class A3
3.380%, 7/18/23		760,000		773
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class B
2.130%, 7/18/25		240,000		245
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C
1.590%, 10/20/25		320,000		316
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D
1.800%, 12/18/25		315,000		305
Applebee’s Funding LLC / IHOP Funding LLC, Series 2019-1A, Class A2I
4.194%, 6/7/49 144A		300,000		266
ARI Fleet Lease Trust, Series 2017-A, Class A2
1.910%, 4/15/26 144A		481		1
ARI Fleet Lease Trust, Series 2017-A, Class A3
2.280%, 4/15/26 144A		700,000		703

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
ARI Fleet Lease Trust, Series 2018-A, Class A2
2.550%, 10/15/26 144A		85,736		86
ARI Fleet Lease Trust, Series 2020-A, Class B
2.060%, 11/15/28 144A		345,000		337
Ascentium Equipment Receivables Trust LLC, Series 2017-1A, Class A3
2.290%, 6/10/21 144A		36,010		36
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A
2.500%, 7/20/21 144A		69,167		69
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A
2.630%, 12/20/21 144A		635,000		635
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A
2.990%, 6/20/22 144A		440,000		437
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A
2.970%, 3/20/24 144A		425,000		426
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class B
3.330%, 3/20/24 144A		435,000		425
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class C
4.950%, 3/20/25 144A		195,000		185
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class B
3.700%, 3/20/23 144A		120,000		116
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A
3.350%, 9/22/25 144A		340,000		345
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A
2.330%, 8/20/26 144A		250,000		242
Babson CLO, Ltd., Series 2017-IA, Class AR
1.935%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A		690,232		679
Bayview Mortgage Fund IVc Trust, Series 2017-RT3, Class A
3.500%, (AFC), 1/28/58 144A		485,596		491
Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL5, Class A
3.500%, (AFC), 6/28/57 144A		419,630		432
Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A
3.500%, (AFC), 1/28/55 144A		142,571		145
BlueMountain CLO, Series 2015-2, Class A
2.065%, (ICE LIBOR USD 3 Month plus 0.930%), 7/18/27 144A		745,154		730
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A
3.280%, 9/26/33 144A		230,774		230
Capital Auto Receivables Asset Trust, Series 2017-1, Class B
2.430%, 5/20/22 144A		70,000		71
Capital Auto Receivables Asset Trust, Series 2017-1, Class C
2.700%, 9/20/22 144A		115,000		116


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Capital Auto Receivables Asset Trust, Series 2018-1, Class D
3.700%, 6/20/25 144A		575,000		583
Capital Auto Receivables Asset Trust, Series 2018-2, Class B
3.480%, 10/20/23 144A		180,000		183
Capital Auto Receivables Asset Trust, Series 2018-2, Class C
3.690%, 12/20/23 144A		225,000		231
Carlyle Global Market Strategies, Series 2015-3A, Class A1R
1.887%, (ICE LIBOR USD 3 Month plus 1.000%), 7/28/28 144A		760,000		750
CarMax Auto Owner Trust, Series 2017-4, Class C
2.700%, 10/16/23		95,000		96
CarMax Auto Owner Trust, Series 2019-2, Class B
3.010%, 12/16/24		455,000		469
CarMax Auto Owner Trust, Series 2019-4, Class A4
2.130%, 7/15/25		345,000		360
CarMax Auto Owner Trust, Series 2020-1, Class B
2.210%, 9/15/25		430,000		443
CarMax Auto Owner Trust, Series 2020-1, Class C
2.340%, 11/17/25		190,000		189
CIFC Funding, Ltd., Series 2020-1A, Class A1
2.134%, (ICE LIBOR USD 3 Month plus 1.700%), 7/15/32 144A		655,000		655
CNH Equipment Trust, Series 2020-A, Class A4
1.510%, 4/15/27		260,000		264
Cole Park CLO, Ltd., Series 2015-1A, Class AR
2.185%, (ICE LIBOR USD 3 Month plus 1.050%), 10/20/28 144A		760,000		751
Daimler Trucks Retail Trust, Series 2018-1, Class A4
3.030%, 11/15/24 144A		200,000		201
Daimler Trucks Retail Trust, Series 2020-1, Class A4
1.370%, 6/15/27		855,000		853
Drive Auto Receivables Trust
2.360%, 3/16/26		380,000		383
Elara HGV Timeshare Issuer, Series 2017-A, Class A
2.690%, 3/25/30 144A		85,457		85
Elara HGV Timeshare Issuer, Series 2019-A, Class A
2.610%, 1/25/34 144A		206,950		206
Enterprise Fleet Financing LLC, Series 2017- 3, Class A2
2.130%, 5/22/23 144A		82,339		83
Enterprise Fleet Financing LLC, Series 2018- 1, Class A2
2.870%, 10/20/23 144A		109,398		110
Enterprise Fleet Financing LLC, Series 2018- 2, Class A2
3.140%, 2/20/24 144A		199,279		201

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Enterprise Fleet Financing LLC, Series 2019- 1, Class A2
2.980%, 10/22/24 144A		207,355		211
Enterprise Fleet Financing LLC, Series 2019- 3, Class A2
2.060%, 5/20/25 144A		365,000		370
Ford Credit Floorplan Master Owner Trust A, Series 2017-2, Class B
2.340%, 9/15/22		1,265,000		1,268
GM Financial Automobile Leasing Trust, Series 2018-1, Class C
3.110%, 12/20/21		200,000		201
GM Financial Automobile Leasing Trust, Series 2018-1, Class D
3.370%, 10/20/22		480,000		482
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		408
GM Financial Automobile Leasing Trust, Series 2020-2, Class C
2.560%, 7/22/24		200,000		203
GM Financial Securitized Term, Series 2017- 3A, Class C
2.520%, 3/16/23 144A		475,000		481
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 2019-1, Class A
2.700%, 4/15/24 144A		355,000		363
Golub Capital Partners CLO, Series 2018- 39A, Class A1
2.285%, (ICE LIBOR USD 3 Month plus 1.150%), 10/20/28 144A		440,000		433
GreatAmerica Leasing Receivables Funding LLC, Series 2018-1, Class A3
2.600%, 6/15/21 144A		69,624		70
GS Mortgage Securities Trust 2020, Series 20-2, Class A3
1.490%, 12/16/24		160,000		164
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		341
Hardee’s Funding LLC, Series 1A, Class AI
4.250%, 6/21/48 144A		432,597		440
Hilton Grand Vacations Trust, Series 2017- AA, Class A
2.660%, 12/26/28 144A		63,039		62
Hilton Grand Vacations Trust, Series 2017- AA, Class B
2.960%, (EXE), 12/26/28 144A		36,022		33
Hilton Grand Vacations Trust, Series 2020- AA, Class A
2.740%, 2/25/39 144A		277,469		280
Huntington Auto Trust, Series 2016-1, Class A4
1.930%, 4/15/22		113,400		113


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A3
1.410%, 11/15/24		350,000		358
Hyundai Auto Receivables Trust, Series 2017- A, Class B
2.380%, 4/17/23		150,000		152
Hyundai Auto Receivables Trust, Series 2019- A, Class B
2.940%, 5/15/25		325,000		339
KKR Financial CLO, Ltd., Series 2013, Class A1R
1.976%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A		740,375		724
Kubota Credit Owner Trust, Series 2020-1A, Class A3
1.960%, 3/15/24 144A		185,000		189
Madison Park Funding, Ltd., Series 2015-18A, Class A1R
2.299%, (ICE LIBOR USD 3 Month plus 1.190%), 10/21/30 144A		690,000		679
Magnetite XVI, Ltd., Series 2015-16A, Class AR
1.935%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A		973,772		957
MetLife Securitization Trust, Series 2017-1A, Class A
3.000%, (AFC), 4/25/55 144A		191,232		199
Mill City Mortgage Loan Trust, Series 2016-1, Class A1
2.500%, (AFC), 4/25/57 144A		39,632		40
Mill City Mortgage Loan Trust, Series 2017-2, Class A1
2.750%, (AFC), 7/25/59 144A		295,013		302
MVW Owner Trust, Series 2015-1A, Class A
2.520%, 12/20/32 144A		109,053		108
MVW Owner Trust, Series 2017-1A, Class A
2.420%, 12/20/34 144A		350,284		348
MVW Owner Trust, Series 2017-1A, Class B
2.750%, 12/20/34 144A		36,872		36
MVW Owner Trust, Series 2017-1A, Class C
2.990%, 12/20/34 144A		40,559		39
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A
3.420%, 1/15/43 144A		710,000		727
Navient Private Education Refi Loan Trust, Series 2019-C, Class A1
2.820%, 2/15/68 144A		275,436		277
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A
2.640%, 5/15/68 144A		700,000		715
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A
2.460%, 11/15/68 144A		380,000		389
Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A
2.150%, 11/15/68 144A		1,205,000		1,219
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A
1.690%, 5/15/69 144A		600,000		602

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Navient Student Loan Trust, Series 2019-2A, Class A1
0.455%, (ICE LIBOR USD 1 Month plus 0.270%), 2/27/68 144A		186,554		186
Navient Student Loan Trust, Series 2019-EA, Class A1
2.390%, 5/15/68 144A		175,654		176
Navient Student Loan Trust, Series 2019-GA, Class A
2.400%, 10/15/68 144A		1,121,195		1,143
Nelnet Student Loan Trust, Series 2020-1A, Class A
0.925%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A		175,431		173
Neuberger Berman CLO, Ltd., Series 2015- 19A, Class A1R2
2.019%, (ICE LIBOR USD 3 Month plus 0.800%), 7/15/27 144A		726,474		716
Neuberger Berman CLO, Ltd., Series 2017- 16SA, Class A
2.069%, (ICE LIBOR USD 3 Month plus 0.850%), 1/15/28 144A		431,570		426
Nissan Auto Lease Trust, Series 2020-A, Class A3
1.380%, 12/16/24		205,000		209
Nissan Master Owner Trust Receivables, Series 2019-A, Class A
0.745%, (ICE LIBOR USD 1 Month plus 0.560%), 2/15/24		650,000		646
Nissan Master Owner Trust Receivables, Series 2019-B, Class A
0.615%, (ICE LIBOR USD 1 Month plus 0.430%), 11/15/23		785,000		780
OCP CLO, Ltd., Series 2015-10A, Class A1R
1.811%, (ICE LIBOR USD 3 Month plus 0.820%), 10/26/27 144A		503,871		498
OZLM VIII, Ltd., Series 2014-8A, Class A1RR
2.305%, (ICE LIBOR USD 3 Month plus 1.170%), 10/17/29 144A		482,621		475
Santander Drive Auto Receivables Trust, Series 2016-1, Class D
4.020%, 4/15/22		237,450		238
Santander Drive Auto Receivables Trust, Series 2016-3, Class C
2.460%, 3/15/22		24,795		25
Santander Drive Auto Receivables Trust, Series 2017-1, Class C
2.580%, 5/16/22		1,289		1
Santander Drive Auto Receivables Trust, Series 2018-1, Class C
2.960%, 3/15/24		100,494		101
Santander Drive Auto Receivables Trust, Series 2018-4, Class B
3.270%, 1/17/23		121,279		122
Santander Drive Auto Receivables Trust, Series 2019-1, Class B
3.210%, 9/15/23		180,000		182
Santander Drive Auto Receivables Trust, Series 2019-1, Class C
3.420%, 4/15/25		380,000		388


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Santander Drive Auto Receivables Trust, Series 2019-2, Class B
2.790%, 1/16/24		275,000		279
Santander Drive Auto Receivables Trust, Series 2019-3, Class B
2.280%, 9/15/23		490,000		496
Santander Drive Auto Receivables Trust, Series 2019-C, Class A3
1.860%, 2/21/23 144A		295,000		301
Santander Drive Auto Receivables Trust, Series 2019-C, Class B
2.170%, 11/20/23 144A		215,000		216
Santander Drive Auto Receivables Trust, Series 2019-C, Class C
2.390%, 11/20/23 144A		360,000		357
Santander Drive Auto Receivables Trust, Series 2019-C, Class D
2.880%, 6/20/24 144A		425,000		423
Santander Retail Auto Lease Trust, Series 2017-A, Class C
2.960%, 11/21/22 144A		155,000		155
Santander Retail Auto Lease Trust, Series 2019-A, Class A3
2.770%, 6/20/22 144A		395,000		403
Santander Retail Auto Lease Trust, Series 2019-A, Class C
3.300%, 5/22/23 144A		330,000		335
Santander Retail Auto Lease Trust, Series 2019-B, Class C
2.770%, 8/21/23 144A		305,000		305
Santander Retail Auto Lease Trust, Series 2020-A, Class D
2.520%, 11/20/24 144A		320,000		313
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class A
2.580%, 9/20/32 144A		84,503		84
Sierra Receivables Funding Co. LLC, Series 2016-3A, Class A
2.430%, 10/20/33 144A		106,877		107
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A
2.910%, 3/20/34 144A		30,124		30
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A
3.080%, 3/21/33 144A		109,571		109
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A
2.330%, 7/20/33 144A		31,229		31
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A
3.200%, 1/20/36 144A		143,768		147
Sierra Timeshare Receivables Funding LLC, Series 2019-2, Class A
2.590%, 5/20/36 144A		490,270		490
Sierra Timeshare Receivables Funding LLC, Series 2019-3, Class A
2.340%, 7/15/38 144A		446,770		445
SLM Student Loan Trust, Series 2007-7, Class A4
1.321%, (ICE LIBOR USD 3 Month plus 0.330%), 1/25/22		186,012		176

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
SLM Student Loan Trust, Series 2008-1, Class A4
1.641%, (ICE LIBOR USD 3 Month plus 0.650%), 1/25/22		544,525		503
SLM Student Loan Trust, Series 2008-5, Class A4
2.691%, (ICE LIBOR USD 3 Month plus 1.700%), 7/25/23		79,957		79
SLM Student Loan Trust, Series 2008-9, Class A
2.491%, (ICE LIBOR USD 3 Month plus 1.500%), 4/25/23		58,748		58
SMB Private Education Loan Trust, Series 2014-A, Class A3
1.685%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A		665,000		666
SMB Private Education Loan Trust, Series 2015-A, Class A2B
1.185%, (ICE LIBOR USD 1 Month plus 1.000%), 6/15/27 144A		93,731		93
SMB Private Education Loan Trust, Series 2016-C, Class A2B
1.285%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		453,522		450
SMB Private Education Loan Trust, Series 2018-B, Class A2A
3.600%, 1/15/37 144A		254,628		265
SMB Private Education Loan Trust, Series 2018-B, Class A2B
0.905%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A		609,288		595
Synchrony Card Funding LLC, Series 2018- A1, Class A
3.380%, 9/15/24		810,000		834
Synchrony Card Funding LLC, Series 2019- A2, Class A
2.340%, 6/16/25		840,000		864
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
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		168,330		174
Towd Point Mortgage Trust, Series 2015-4, Class A1B
2.750%, (AFC), 4/25/55 144A		86,183		87
Towd Point Mortgage Trust, Series 2015-5, Class A1B
2.750%, (AFC), 5/25/55 144A		92,129		93
Towd Point Mortgage Trust, Series 2016-1, Class A1B
2.750%, (AFC), 2/25/55 144A		55,092		56
Towd Point Mortgage Trust, Series 2016-1, Class A3B
3.000%, (AFC), 2/25/55 144A		87,030		89


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Towd Point Mortgage Trust, Series 2016-2, Class A1A
2.750%, (AFC), 8/25/55 144A		60,410		62
Towd Point Mortgage Trust, Series 2016-3, Class A1
2.250%, (AFC), 4/25/56 144A		41,612		42
Towd Point Mortgage Trust, Series 2017-1, Class A1
2.750%, (AFC), 10/25/56 144A		250,207		256
Towd Point Mortgage Trust, Series 2017-2, Class A1
2.750%, (AFC), 4/25/57 144A		157,486		160
Towd Point Mortgage Trust, Series 2017-3, Class A1
2.750%, (AFC), 7/25/57 144A		361,527		370
Towd Point Mortgage Trust, Series 2017-4, Class A1
2.750%, (AFC), 6/25/57 144A		194,919		201
Towd Point Mortgage Trust, Series 2017-6, Class A1
2.750%, (AFC), 10/25/57 144A		731,197		757
Towd Point Mortgage Trust, Series 2018-2, Class A1
3.250%, (AFC), 3/25/58 144A		928,567		976
Towd Point Mortgage Trust, Series 2018-5, Class A1A
3.250%, (AFC), 8/25/58 144A		681,486		713
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		553
Verizon Owner Trust, Series 2018-1A, Class C
3.200%, 9/20/22 144A		450,000		457
Volvo Financial Equipment LLC, Series 2018- 1A, Class B
2.910%, 1/17/23 144A		210,000		211
Volvo Financial Equipment Master Owner Trust, Series 2017-A, Class A
0.685%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/22 144A		115,000		115
World Omni Auto Receivables Trust, Series 2019-C, Class C
2.400%, 6/15/26		380,000		389
World Omni Auto Receivables Trust, Series 2020-A, Class C
1.640%, 8/17/26		225,000		224
World Omni Automobile Lease Securitization Trust, Series 2018-A, Class B
3.060%, 5/15/23		130,000		131
Total				58,921

Mortgage Securities (16.8%)
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1
3.628%, (AFC), 3/25/49 144A		310,360		318
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class M1
4.065%, (AFC), 3/25/49 144A		270,000		270

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Angel Oak Mortgage Trust I LLC, Series 2020-3, Class A1
1.618%, (AFC), 4/25/65 144A Æ		405,000		405
Atrium Hotel Portfolio Trust, Series 2017- ATRM, Class A
1.115%, (ICE LIBOR USD 1 Month plus 0.930%), 12/15/36 144A		520,000		483
Austin Fairmont Hotel Trust , Series 2019- FAIR, Class A
1.235%, (ICE LIBOR USD 1 Month plus 1.050%), 9/15/32 144A		545,000		522
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A
1.035%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A		460,000		438
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class A1
1.957%, 2/15/50		61,535		62
BANK, Series 2017-BNK4, Class A1
2.002%, 5/15/50		216,933		218
BANK, Series 2019-BNK24, Class A1
2.056%, 11/15/62		229,012		233
BX Commercial Mortgage Trust, Series 2020- BXLP, Class C
1.305%, (ICE LIBOR USD 1 Month plus 1.120%), 12/15/36 144A		360,000		351
BX Commercial Mortgage Trust, Series 2020- BXLP, Class D
1.435%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/36 144A		345,000		333
BX Trust, Series 2018-GW, Class A
0.985%, (ICE LIBOR USD 1 Month plus 0.800%), 5/15/35 144A b		1,095,000		1,037
BX Trust, Series 2019-XL, Class B
1.265%, (ICE LIBOR USD 1 Month plus 1.080%), 10/15/36 144A		358,275		352
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A
1.255%, (ICE LIBOR USD 1 Month plus 1.070%), 12/15/37 144A		325,000		321
CD Commercial Mortgage Trust, Series 2016- CD2, Class A1
1.848%, 11/10/49		95,810		96
CD Commercial Mortgage Trust, Series 2017- CD3, Class A1
1.965%, 2/10/50		54,517		55
CGDB Commercial Mortgage Trust 2019, Series MOB, Class D
1.835%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A		660,000		628
Citigroup Mortgage Loan Trust, Series 2019- IMC1, Class A1
2.720%, (AFC), 7/25/49 144A		324,918		329
COLT Funding LLC, Series 2018-3, Class A2
3.763%, (AFC), 10/26/48 144A		96,445		98
COLT Funding LLC, Series 2020-3, Class A1
1.506%, (AFC), 4/27/65 144A		250,000		250
COLT Mortgage Loan Trust, Series 2018-2, Class A1
3.470%, (AFC), 7/27/48 144A		270,844		273


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
COLT Mortgage Loan Trust, Series 2018-2, Class A2
3.542%, (AFC), 7/27/48 144A		98,683		99
COLT Mortgage Loan Trust, Series 2018-4, Class A1
4.006%, (AFC), 12/28/48 144A		154,416		157
COLT Mortgage Loan Trust, Series 2019-2, Class A1
3.337%, (AFC), 5/25/49 144A		186,685		189
COLT Mortgage Loan Trust, Series 2019-3, Class A1
2.764%, (AFC), 8/25/49 144A		423,198		428
COMM Mortgage Trust, Series 2013-300P, Class A1
4.353%, 8/10/30 144A		275,000		295
COMM Mortgage Trust, Series 2020-CBM, Class D
3.754%, (CSTR), 11/13/39 144A		235,000		209
Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class B
4.844%, (CSTR), 2/10/47		435,000		466
Commercial Mortgage Pass Through Certificates, Series 2014-CR19, Class D
4.888%, (CSTR), 8/10/47 144A		185,000		116
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class B
4.701%, 3/10/47		255,000		265
Commercial Mortgage Pass Through Certificates, Series 2015-LC23, Class A2
3.221%, 10/10/48		605,000		607
Commercial Mortgage Pass Through Certificates, Series 2016-CR28, Class A1
1.770%, 2/10/49		3,718		4
Commercial Mortgage Pass Through Certificates, Series 2017-COR2, Class A1
2.111%, 9/10/50		101,508		102
Connecticut Avenue Securities Trust, Series 2019-R06, Class 2M1
0.935%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/39 144A		44,593		45
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M1
0.985%, (ICE LIBOR USD 1 Month plus 0.800%), 1/25/40 144A		360,478		358
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class C
1.615%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A		515,000		506
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D
1.785%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		405,000		392
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4
3.718%, 8/15/48		305,000		334
CSAIL Commercial Mortgage Trust, Series 2017-CX9, Class A1
2.024%, 9/15/50		50,627		51
CSAIL Commerical Mortgage Trust, Series 2019-C16, Class A1
2.360%, 6/15/52		253,898		260

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Deephaven Residential Mortgage Trust, Series 2017-1A, Class A3
3.485%, (CSTR, AFC), 12/26/46 144A		21,344		21
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A1
2.577%, (CSTR, AFC), 10/25/47 144A		96,710		98
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A2
2.711%, (CSTR, AFC), 10/25/47 144A		16,118		16
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A3
2.813%, (CSTR, AFC), 10/25/47 144A		16,118		16
Deephaven Residential Mortgage Trust, Series 2018-1A, Class A1
2.976%, (AFC), 1/25/58 144A		104,964		106
Deephaven Residential Mortgage Trust, Series 2018-3A, Class A3
3.963%, (AFC), 8/25/58 144A		38,797		39
Deephaven Residential Mortgage Trust, Series 2019-1A, Class A1
3.743%, (AFC), 1/25/59 144A		302,671		304
Deephaven Residential Mortgage Trust, Series 2019-2A, Class A3
3.763%, (AFC), 4/25/59 144A		213,852		215
Deephaven Residential Mortgage Trust, Series 2019-2A, Class M1
3.921%, (AFC), 4/25/59 144A		195,000		189
Deephaven Residential Mortgage Trust, Series 2019-3A, Class A1
2.964%, (AFC), 7/25/59 144A		516,461		524
Ellington Financial Mortgage Trust, Series 2020-1, Class A1
2.006%, (AFC), 6/25/65 144A		180,000		180
FDIC Guaranteed Notes Trust, Series 2010- S2, Class 2A
2.570%, 7/29/47 144A		44,843		45
Federal Home Loan Bank
4.000%, 12/1/49		219,456		238
4.500%, 5/1/50		216,351		234
Federal Home Loan Mortgage Corp.
3.000%, 11/1/34		74,801		80
3.500%, 3/1/46		71,173		78
5.000%, 12/1/41		277,035		318
5.500%, 5/1/22		26,768		27
6.000%, 9/1/34		1,897		2
6.000%, 2/1/35		38,488		45
6.000%, 9/1/35		12,236		14
6.000%, 1/1/38		2,385		3
7.000%, 3/1/39		78,254		91
7.500%, 6/1/38		77,602		92
Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1
4.185%, (ICE LIBOR USD 1 Month plus 4.000%), 8/25/24		226,133		229
Federal Home Loan Mortgage Corp., Series 2016-DNA2, Class M3
4.835%, (ICE LIBOR USD 1 Month plus 4.650%), 10/25/28		363,450		378


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 2017-DNA1, Class M1
1.385%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/29		15,104		15
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1
1.385%, (ICE LIBOR USD 1 Month plus 1.200%), 10/25/29		175,550		176
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1
3.800%, (CSTR), 5/25/47 144A		38,660		39
Federal Home Loan Mortgage Corp., Series 2017-SPI1, Class M1
3.980%, 9/25/47 144A		780		1
Federal Home Loan Mortgage Corp., Series 2018-DNA2, Class M1
0.985%, (ICE LIBOR USD 1 Month plus 0.800%), 12/25/30 144A		108,869		109
Federal Home Loan Mortgage Corp., Series 2018-HQA2, Class M1
0.935%, (ICE LIBOR USD 1 Month plus 0.750%), 10/25/48 144A		30,677		31
Federal Home Loan Mortgage Corp., Series 2018-SPI2, Class M1
3.809%, 5/25/48 144A		22,187		22
Federal Home Loan Mortgage Corp., Series 3713, Class PA
2.000%, 2/15/40		229,302		235
Federal Home Loan Mortgage Corp., Series 3718, Class BC
2.000%, 2/15/25		79,049		79
Federal Home Loan Mortgage Corp., Series 4092, Class CL
1.250%, 6/15/27		659,240		665
Federal Home Loan Mortgage Corp., Series DNA3, Class M1
0.935%, (ICE LIBOR USD 1 Month plus 0.750%), 3/25/30		65,141		65
Federal National Mortgage Association
2.500%, 10/1/22		177,725		186
2.500%, 12/1/22		46,177		48
3.000%, 6/1/22		42,490		45
3.000%, 4/1/24		172,450		181
3.000%, 9/1/28		419,112		441
3.000%, 12/1/34		171,228		184
3.000%, 3/1/35		64,602		69
3.500%, 5/1/27		471,211		499
3.500%, 4/1/46		666,306		711
3.500%, 2/1/48		187,700		199
4.000%, 1/1/47		176,749		189
4.000%, 2/1/49		55,460		59
4.000%, 11/1/49		127,222		136
4.000%, 12/1/49		54,940		58
4.000%, 1/1/50		631,940		669
4.500%, 5/1/40		103,336		115
4.500%, 9/1/40		99,522		111
4.500%, 5/1/41		169,799		189
4.500%, 8/1/48		103,116		111
4.500%, 9/1/48		99,184		107
4.500%, 10/1/48		498,529		544
4.500%, 11/1/48		145,306		156

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
4.500%, 12/1/48		775,850		833
4.500%, 5/1/49		333,209		361
4.500%, 1/1/50		88,068		95
5.000%, 10/1/33		130,516		150
5.000%, 6/1/40		88,801		101
5.000%, 7/1/45		143,366		164
5.000%, 9/1/48		186,767		204
5.000%, 2/1/49		110,720		121
5.000%, 8/1/49		77,488		85
5.500%, 8/1/37		74,117		85
5.500%, 2/1/38		280,124		321
6.000%, 8/1/22		16,503		17
6.000%, 3/1/34		63,011		73
6.000%, 8/1/34		179,536		209
6.000%, 11/1/34		6,688		8
6.000%, 12/1/34		2,207		3
6.000%, 4/1/35		4,100		5
6.000%, 5/1/38		2,782		3
6.000%, 10/1/40		137,885		161
6.000%, 2/1/49		596,811		696
6.500%, 7/1/32		20,197		24
6.500%, 12/1/32		20,632		24
Federal National Mortgage Association, Series 2011-113, Class AG
2.500%, 11/25/26		124,329		128
Federal National Mortgage Association, Series 2013-74, Class AD
2.000%, 7/25/23		105,997		107
Federal National Mortgage Association, Series 2017, Class 2ED3
1.535%, (ICE LIBOR USD 1 Month plus 1.350%), 9/25/29		259,276		254
Federal National Mortgage Association, Series 2017-90, Class KA
3.000%, 11/25/47		357,960		383
Federal National Mortgage Association, Series 2017-C03, Class 1M1
1.135%, (ICE LIBOR USD 1 Month plus 0.950%), 10/25/29		72,399		72
Federal National Mortgage Association, Series 2017-C04, Class 2ED2
1.285%, (ICE LIBOR USD 1 Month plus 1.100%), 11/25/29		715,384		697
Federal National Mortgage Association, Series 2017-C05, Class 1ED3
1.385%, (ICE LIBOR USD 1 Month plus 1.200%), 1/25/30		355,755		345
Federal National Mortgage Association, Series 2018-44, Class PC
4.000%, 6/25/44		600,925		616
Federal National Mortgage Association, Series 2018-C01, Class 1ED2
1.035%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/30		650,593		626
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
1.035%, (ICE LIBOR USD 1 Month plus 0.850%), 10/25/30		660,000		637


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Flagstar Mortgage Trust, Series 2020-1INV, Class A11
1.035%, (ICE LIBOR USD 1 Month plus 0.850%), 3/25/50 144A		334,514		320
FWD Securitization Trust, Series 2020-INV1, Class A-1
2.240%, (AFC), 1/25/50 144A		721,584		734
Galton Funding Mortgage Trust, Series 2018- 1, Class A33
3.500%, (AFC), 11/25/57 144A		193,869		197
Galton Funding Mortgage Trust, Series 2019- 1, Class A32
4.000%, (AFC), 2/25/59 144A		162,216		167
Galton Funding Mortgage Trust, Series 2019- H1, Class M1
3.339%, (AFC), 10/25/59 144A		260,000		246
Galton Funding Mortgage Trust, Series 2020- H1, Class A1
2.310%, (AFC), 1/25/60 144A		299,574		301
Galton Funding Mortgage Trust, Series 2020- H1, Class M1
2.832%, (AFC), 1/25/60 144A		285,000		256
Government National Mortgage Association
3.500%, 12/20/42		7,021		8
3.500%, 9/20/43		99,952		108
4.000%, 3/20/48		213,155		233
4.000%, 8/20/48		16,139		17
4.000%, 4/20/50		457,470		502
4.500%, 7/21/50		515,000		550
5.000%, 3/20/34		369,571		418
5.000%, 1/20/48		96,093		105
5.000%, 2/20/48		519,048		568
5.500%, 6/20/37		83,951		97
5.500%, 9/15/45		261,485		306
5.500%, 3/20/48		61,361		67
5.500%, 12/20/48		55,831		61
5.500%, 2/20/49		678,258		737
Government National Mortgage Association, Series 2018-122, Class FE
0.490%, (ICE LIBOR USD 1 Month plus 0.300%), 9/20/48		102,116		102
Great Wolf Trust, Series 2019-WOLF, Class A
1.219%, (ICE LIBOR USD 1 Month plus 1.034%), 12/15/36 144A		255,000		245
Great Wolf Trust, Series 2019-WOLF, Class C
1.818%, (ICE LIBOR USD 1 Month plus 1.633%), 12/15/36 144A		270,000		250
GS Mortgage Securities Trust 2019, Series SOHO, Class A
1.085%, (ICE LIBOR USD 1 Month plus 0.900%), 6/15/36 144A		345,000		336
GS Mortgage Securities Trust, Series 2014- EB1A, Class 2A1
2.454%, (CSTR), 7/25/44 144A		19,394		19
GS Mortgage Securities Trust, Series 2016- GS3, Class A1
1.429%, 10/10/49		14,783		15
Homeward Opportunities Fund I Trust, Series 2018-1, Class A1
3.766%, (AFC), 6/25/48 144A		224,838		229

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Homeward Opportunities Fund I Trust, Series 2018-1, Class A2
3.897%, (AFC), 6/25/48 144A		181,784		185
Homeward Opportunities Fund I Trust, Series 2019-1, Class A1
3.454%, (AFC), 1/25/59 144A		419,981		427
Homeward Opportunities Fund I Trust, Series 2019-1, Class A3
3.606%, (AFC), 1/25/59 144A		281,987		286
Homeward Opportunities Fund I Trust, Series 2019-3, Class A1
2.675%, (AFC), 11/25/59 144A		424,728		429
InTown Hotel Portfolio Trust, Series 2018- STAY, Class A
0.885%, (ICE LIBOR USD 1 Month plus 0.700%), 1/15/33 144A		115,000		108
InTown Hotel Portfolio Trust, Series 2018- STAY, Class C
1.435%, (ICE LIBOR USD 1 Month plus 1.250%), 1/15/33 144A		100,000		93
JP Morgan Mortgage Trust, Series 2020- INV1, Class A11
0.998%, (ICE LIBOR USD 1 Month plus 0.830%), (AFC), 8/25/50 144A		203,354		201
JP Morgan Mortgage Trust, Series 2020- INV1, Class A15
3.500%, (AFC), 8/25/50 144A		331,041		336
JP Morgan Mortgage Trust, Series 2020- LTV1, Class A4
3.500%, (AFC), 6/25/50 144A		735,062		754
JPMCC Commercial Mortgage Securities Trust, Series 2019-BKWD, Class B
1.535%, (ICE LIBOR USD 1 Month plus 1.350%), 9/15/29 144A		790,000		750
JPMCC Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C
1.785%, (ICE LIBOR USD 1 Month plus 1.600%), 9/15/29 144A		250,000		234
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS
4.110%, (AFC), 10/15/47		185,000		196
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A1
1.389%, 9/15/49		46,566		47
Morgan Stanley Capital I Trust Series 2019- MEAD, Class D
3.177%, (CSTR), 11/10/36 144A		480,000		419
Morgan Stanley Capital I Trust, Series 2015- MS1, Class A1
1.638%, 5/15/48		7,086		7
New Orleans Hotel Trust 2019, Series HNLA, Class B
1.473%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A		790,000		727
New Residential Funding LLC, Series 2018- NQM1, Class A1
3.986%, (AFC), 11/25/48 144A		425,340		440
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1
1.650%, (AFC), 5/24/60 144A		510,000		510


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A1
2.802%, (AFC), 7/25/49 144A		443,509		450
New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A3
3.086%, (AFC), 7/25/49 144A		174,705		177
New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1
2.710%, (AFC), 11/25/59 144A		505,285		513
New Residential Mortgage Loan Trust, Series 2020-NQM1, Class A1
2.464%, (AFC), 1/26/60 144A		480,197		488
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1
4.138%, (AFC), 11/25/48 144A		256,378		261
OBX Trust, Series 2019-EXP2, Class 2A1A
1.085%, (ICE LIBOR USD 1 Month plus 0.900%), 7/25/59 144A		231,221		230
OBX Trust, Series 2019-EXP2, Class 2A2
1.385%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A		422,032		416
OBX Trust, Series 2019-EXP3, Class 2A1
1.085%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144A		532,084		529
OBX Trust, Series 2020-INV1, Class A5
3.500%, (AFC), 12/25/49 144A		211,630		218
Onslow Bay Financial LLC, Series 2020- EXP1, Class 1A8
3.500%, 2/25/60 144A		455,251		468
Onslow Bay Financial LLC, Series 2020- EXP1, Class 2A2
1.135%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A		427,574		413
RETL, Series 2019-RVP, Class A
1.335%, (ICE LIBOR USD 1 Month plus 1.150%), 3/15/36 144A		49,526		47
Sequoia Mortgage Trust, Series 2018-CH1, Class A11
3.500%, (AFC), 2/25/48 144A		248,956		251
Sequoia Mortgage Trust, Series 2018-CH2, Class A21
4.000%, (AFC), 6/25/48 144A		188,339		193
Sequoia Mortgage Trust, Series 2018-CH2, Class A3
4.000%, (AFC), 6/25/48 144A		434,435		444
Sequoia Mortgage Trust, Series 2018-CH3, Class A19
4.500%, (AFC), 8/25/48 144A		93,172		97
Sequoia Mortgage Trust, Series 2018-CH4, Class A2
4.000%, (AFC), 10/25/48 144A		148,498		153
SG Residential Mortgage Trust, Series 2019- 3, Class A2
2.877%, (AFC), 9/25/59 144A		372,460		376
Slide, Series 2018-FUN, Class D
2.035%, (ICE LIBOR USD 1 Month plus 1.850%), 6/15/31 144A		366,913		326
STACR Trust, Series 2018-DNA2, Class M2
1.135%, (ICE LIBOR USD 1 Month plus 0.950%), 12/25/30 144A		460,000		462

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

Short-Term Bond Portfolio


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
STACR Trust, Series 2018-DNA3, Class M1
0.935%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/48 144A		874		1
STACR Trust, Series 2018-DNA3, Class M2
1.085%, (ICE LIBOR USD 1 Month plus 0.900%), 9/25/48 144A		340,000		335
STACR Trust, Series 2018-HRP2, Class M2
1.435%, (ICE LIBOR USD 1 Month plus 1.250%), 2/25/47 144A		259,795		256
STACR Trust, Series 2019-HQA4, Class M1
0.955%, (ICE LIBOR USD 1 Month plus 0.770%), 11/25/49 144A		22,624		23
STACR Trust, Series 2020-DNA2, Class M1
0.935%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/50 144A		223,070		221
STACR Trust, Series 2020-DNA3, Class M1
1.671%, (ICE LIBOR USD 1 Month plus 1.500%), 6/25/50 144A		245,000		245
STACR Trust, Series 2020-HQA1, Class M1
0.935%, (ICE LIBOR USD 1 Month plus 0.750%), 1/25/50 144A		140,603		140
STACR Trust, Series 2020-HQA2, Class M1
1.285%, (ICE LIBOR USD 1 Month plus 1.100%), 3/25/50 144A		694,625		692
Starvest Emerging Markets CBO, Series 2019-IMC1, Class A1
3.468%, (AFC), 4/25/49 144A		232,663		239
Starwood Mortgage Residential Trust, Series 2019-1, Class A1
2.941%, (AFC), 6/25/49 144A		332,702		334
Starwood Mortgage Residential Trust, Series 2019-1, Class A3
3.299%, (AFC), 6/25/49 144A		237,019		232
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A1
2.610%, (AFC), 9/27/49 144A		80,020		80
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3
2.916%, (AFC), 9/27/49 144A		181,793		181
Starwood Mortgage Residential Trust, Series 2020-1, Class A2
2.408%, (AFC), 2/25/50 144A		208,100		209
Verus Securitization Trust, Series 2018-2, Class A1
3.677%, (AFC), 6/1/58 144A		286,397		290
Verus Securitization Trust, Series 2018-2,
Class A2 3.779%, (AFC), 6/1/58 144A		80,213		81
Verus Securitization Trust, Series 2018-2, Class A3
3.830%, (AFC), 6/1/58 144A		50,419		51
Verus Securitization Trust, Series 2018-3, Class A1
4.108%, (AFC), 10/25/58 144A		368,800		377
Verus Securitization Trust, Series 2019-1, Class A1
3.836%, (AFC), 2/25/59 144A		382,399		390
Verus Securitization Trust, Series 2019-2, Class A1
3.211%, (AFC), 5/25/59 144A		331,167		338


Structured Products (33.5%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Verus Securitization Trust, Series 2019-4, Class A3
3.000%, (AFC), 11/25/59 144A		286,032		291
Verus Securitization Trust, Series 2019-INV1, Class A1
3.402%, (AFC), 12/25/59 144A		180,114		184
Verus Securitization Trust, Series 2019-INV2, Class A1
2.913%, (AFC), 7/25/59 144A		626,701		638
Verus Securitization Trust, Series 2019-INV2, Class A2
3.117%, (AFC), 7/25/59 144A		377,681		384
Verus Securitization Trust, Series 2019-INV3, Class A3
1.000%, (AFC), 4/25/60 144A		105,000		105
3.100%, (AFC), 11/25/59 144A		303,378		302
Verus Securitization Trust, Series 2020-1, Class A1
2.417%, (AFC), 1/25/60 144A		731,652		742
Verus Securitization Trust, Series 2020-1, Class A3
2.724%, (AFC), 1/25/60 144A		303,936		302
Verus Securitization Trust, Series 2020-2, Class A1
2.226%, (AFC), 5/25/60 144A b		1,115,000		1,124
Vista Point Securitization Trust
1.763%, (AFC), 3/25/65 144A Æ		300,000		300
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2
3.020%, 7/15/58		149,535		152
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A1
1.968%, 7/15/50		124,419		125
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A1
1.975%, 9/15/50		94,959		96
WFRBS Commercial Mortgage Trust, Series 2012-C6, Class B
4.697%, 4/15/45		385,000		394
Total				59,298

Total Structured Products (Cost: $117,979)				118,219

Short-Term Investments (1.8%)
Commercial Paper (0.6%)
The Boeing Co.
0.000%, 11/4/20		700,000		695
0.000%, 11/16/20		680,000		675
Ford Motor Credit Co. LLC
0.000%, 7/27/20 144A		345,000		344
0.000%, 8/4/20 144A		250,000		249
Total				1,963
Consumer, Cyclical (0.0%)
General Motors Financial Co., Inc.
4.200%, 3/1/21		120,000		122
Total				122

Consumer, Non-cyclical (0.2%)
Cigna Corp.
4.125%, 9/15/20 144A		325,000		328

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

Short-Term Bond Portfolio


Short-Term Investments (1.8%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
Perrigo Finance Unlimited Co.
3.500%, 3/15/21		270,000		270

Total				598


Energy (0.1%)
Kinder Morgan, Inc.
5.000%, 2/15/21 144A		325,000		332
Sunoco Logistics Partners Operations LP
4.400%, 4/1/21		85,000		87

Total				419


Financial (0.1%)
Deutsche Bank AG
2.950%, 8/20/20		420,000		420

Total				420


Short-Term Investments (1.8%)	Shares/ Par ⁺		Value $ (000’s)
Money Market Funds (0.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#		2,915,416		2,915

Total				2,915


Total Short-Term Investments (Cost: $6,424)				6,437


Total Investments (100.1%) (Cost: $347,548)^@				353,074


Other Assets, Less Liabilities (-0.1%)				(480)


Net Assets (100.0%)				352,594

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		9,900		99		9/20	$	12,449	$	(30	)	$	3
Ten-Year US Treasury Note Future		Short		USD		8,100		81		9/20		11,273		(25	)		13
Two-Year US Treasury Note Future		Long		USD		56,600		283		9/20		62,494		8			4
													$	(47	)	$	20

Financial Derivative Assets

Financial Derivative Liabilities

Market Value

Variation Margin (000’s)

(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or

Centrally Cleared Derivatives

–

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

144A

§	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 June 30, 2020, the aggregate value of these securities was $10,262 (in thousands), representing 2.9% of net assets.

b	Cash or securities with an aggregate value of $85,449 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

Æ	Security valued using significant unobservable inputs.

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $347,548 and the net unrealized appreciation of investments based on that cost was $5,479 which is comprised of $7,192 aggregate gross unrealized appreciation and $1,713 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

Short-Term Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	—		$	269	$	—
Corporate Bonds		—			189,908		—
Governments		—			38,241		—
Structured Products
Mortgage Securities		—			58,593		705
All Others		—			58,921		—
Short-Term Investments
Money Market Funds		2,915			—		—
All Others		—			3,522		—
Other Financial Instruments^
Futures		8			—		—

Total Assets:	$	2,923		$	349,454	$	705

Liabilities:
Other Financial Instruments^
Futures		(55	)		—		—

Total Liabilities:	$	(55	)	$	—	$	—

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

100

Select Bond Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Structured Products		56.0%

		Corporate Bonds		34.2%

		Governments		17.2%

		Municipal Bonds		0.5%

		Short-Term Investments & Other Net Assets		-7.9%

Sector Allocation is 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.

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 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.

101

Select Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Basic Materials (0.9%)
Air Products and Chemicals, Inc.
2.700%, 5/15/40		521,000		553
Barrick North America Finance LLC
5.700%, 5/30/41		1,244,000		1,672
5.750%, 5/1/43		474,000		663
DowDuPont, Inc.
4.205%, 11/15/23		2,694,000		2,957
4.493%, 11/15/25		1,918,000		2,208
Georgia-Pacific LLC
1.750%, 9/30/25 144A		3,437,000		3,546
2.100%, 4/30/27 144A		1,658,000		1,721
2.300%, 4/30/30 144A		2,723,000		2,837
International Paper Co.
4.400%, 8/15/47		1,023,000		1,196
Newmont Corp.
2.250%, 10/1/30		1,629,000		1,650
Nucor Corp.
2.000%, 6/1/25		1,087,000		1,129
2.700%, 6/1/30		1,087,000		1,140
Nutrien, Ltd.
2.950%, 5/13/30		1,396,000		1,479
5.000%, 4/1/49		1,575,000		2,028
Steel Dynamics, Inc.
2.400%, 1/15/31		789,000		813
3.250%, 1/15/31		790,000		803
Teck Resources, Ltd.
3.900%, 7/15/30 144A		1,583,000		1,579
Total				27,974
Communications (3.5%)
Amazon.com, Inc.
1.500%, 6/3/30		4,337,000		4,398
2.500%, 6/3/50		1,192,000		1,206
2.700%, 6/3/60		1,084,000		1,100
AT&T, Inc.
2.300%, 6/1/27		3,270,000		3,376
2.750%, 6/1/31		3,270,000		3,383
3.000%, 2/15/22		1,565,000		1,630
3.000%, 6/30/22		2,510,000		2,621
3.400%, 5/15/25		3,942,000		4,334
3.500%, 6/1/41		1,089,000		1,144
3.600%, 2/17/23		1,884,000		2,022
3.650%, 6/1/51		1,035,000		1,080
3.850%, 6/1/60		1,089,000		1,154
3.900%, 3/11/24		1,124,000		1,241
4.300%, 2/15/30		2,353,000		2,749
4.500%, 3/9/48		1,902,000		2,232
4.850%, 3/1/39		991,000		1,195
5.150%, 2/15/50		944,000		1,210
5.250%, 3/1/37		588,000		727
5.350%, 12/15/43		492,000		620
5.375%, 10/15/41		787,000		987
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
4.464%, 7/23/22		971,000		1,035
4.800%, 3/1/50		823,000		933


Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Communications continued
Comcast Corp.
1.950%, 1/15/31		3,815,000		3,885
2.650%, 2/1/30		1,474,000		1,603
2.800%, 1/15/51		1,668,000		1,705
3.100%, 4/1/25		2,080,000		2,285
3.700%, 4/15/24		1,970,000		2,186
3.750%, 4/1/40		2,485,000		2,923
3.950%, 10/15/25		1,781,000		2,041
4.150%, 10/15/28		2,554,000		3,073
4.600%, 10/15/38		2,495,000		3,177
Discovery Communications LLC
3.625%, 5/15/30		832,000		910
Time Warner Cable LLC
6.550%, 5/1/37		703,000		925
T-Mobile USA, Inc.
1.500%, 2/15/26 144A		2,813,000		2,813
2.050%, 2/15/28 144A		3,579,000		3,581
2.550%, 2/15/31 144A		4,828,000		4,845
3.500%, 4/15/25 144A		4,426,000		4,824
3.750%, 4/15/27 144A		3,363,000		3,731
3.875%, 4/15/30 144A		2,201,000		2,453
Verizon Communications, Inc.
3.000%, 3/22/27		1,023,000		1,135
3.500%, 11/1/24		2,377,000		2,631
4.016%, 12/3/29		1,228,000		1,468
4.272%, 1/15/36		438,000		542
4.400%, 11/1/34		2,134,000		2,652
4.522%, 9/15/48		1,327,000		1,754
Viacom, Inc.
4.375%, 3/15/43		297,000		310
5.850%, 9/1/43		715,000		845
ViacomCBS, Inc.
4.200%, 5/19/32		3,206,000		3,557
4.600%, 1/15/45		192,000		203
4.750%, 5/15/25		1,688,000		1,923
4.950%, 1/15/31		1,025,000		1,199
4.950%, 5/19/50		1,077,000		1,199
Vodafone Group PLC
4.250%, 9/17/50		1,933,000		2,265
The Walt Disney Co.
3.500%, 5/13/40		1,244,000		1,355
3.600%, 1/13/51		1,117,000		1,242
3.800%, 5/13/60		775,000		887
Total				112,504
Consumer, Cyclical (2.8%)
Advance Auto Parts, Inc.
3.900%, 4/15/30 144A		3,290,000		3,519
AutoNation, Inc.
4.750%, 6/1/30		1,631,000		1,767
BorgWarner, Inc.
2.650%, 7/1/27		2,262,000		2,316
Costco Wholesale Corp.
1.600%, 4/20/30		6,143,000		6,206
1.750%, 4/20/32		1,582,000		1,606

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

102

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Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Cyclical continued
Daimler Finance North America LLC
2.125%, 3/10/25 144A		2,884,000		2,916
Dollar General Corp.
3.500%, 4/3/30		1,230,000		1,378
4.125%, 4/3/50		235,000		280
General Motors Co.
5.400%, 4/1/48		1,516,000		1,498
General Motors Financial Co., Inc.
2.750%, 6/20/25		5,738,000		5,655
2.900%, 2/26/25		2,583,000		2,573
3.950%, 4/13/24		258,000		267
4.350%, 4/9/25		592,000		625
5.200%, 3/20/23		3,376,000		3,612
Harley-Davidson Financial Services, Inc.
3.350%, 6/8/25 144A		2,088,000		2,134
The Home Depot, Inc.
2.500%, 4/15/27		1,259,000		1,379
2.700%, 4/15/30		1,267,000		1,391
2.950%, 6/15/29		580,000		651
3.125%, 12/15/49		2,895,000		3,176
3.350%, 4/15/50		1,559,000		1,778
Lowe’s Companies, Inc.
3.650%, 4/5/29		714,000		819
4.000%, 4/15/25		1,104,000		1,260
5.000%, 4/15/40		1,244,000		1,616
5.125%, 4/15/50		355,000		490
Magna International, Inc.
2.450%, 6/15/30		831,000		850
Marriott International, Inc.
4.625%, 6/15/30		2,486,000		2,585
5.750%, 5/1/25		832,000		907
McDonald’s Corp.
1.450%, 9/1/25		2,036,000		2,087
2.125%, 3/1/30		290,000		297
2.625%, 9/1/29		604,000		647
NIKE, Inc.
2.400%, 3/27/25		1,504,000		1,617
2.750%, 3/27/27		1,003,000		1,101
2.850%, 3/27/30		989,000		1,102
3.375%, 3/27/50		1,227,000		1,407
O’Reilly Automotive, Inc.
4.200%, 4/1/30		2,095,000		2,453
Ralph Lauren Corp.
1.700%, 6/15/22		1,766,000		1,797
2.950%, 6/15/30		2,169,000		2,239
Southwest Airlines Co.
4.750%, 5/4/23		2,178,000		2,249
5.125%, 6/15/27		3,268,000		3,388
Starbucks Corp.
1.300%, 5/7/22		1,295,000		1,313
2.550%, 11/15/30		1,109,000		1,163
3.350%, 3/12/50		511,000		511
3.500%, 11/15/50		1,293,000		1,358
Toyota Motor Credit Corp.
1.350%, 8/25/23		3,123,000		3,186
2.150%, 2/13/30		321,000		338
Walmart, Inc.
3.050%, 7/8/26		957,000		1,080
3.550%, 6/26/25		2,115,000		2,397
3.700%, 6/26/28		2,667,000		3,160
4.050%, 6/29/48		24,000		31
Total				88,175


Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical (5.6%)
Abbott Laboratories
3.750%, 11/30/26		1,283,000		1,493
AbbVie, Inc.
2.300%, 11/21/22 144A		5,941,000		6,141
2.600%, 11/21/24 144A		2,534,000		2,698
2.900%, 11/6/22		3,268,000		3,429
2.950%, 11/21/26 144A		1,018,000		1,114
3.200%, 11/21/29 144A		3,089,000		3,435
3.750%, 11/14/23		275,000		299
3.800%, 3/15/25 144A		4,234,000		4,721
4.050%, 11/21/39 144A		1,182,000		1,371
4.250%, 11/14/28		766,000		904
4.250%, 11/21/49 144A		1,960,000		2,349
4.450%, 5/14/46		752,000		913
Aetna, Inc.
3.875%, 8/15/47		807,000		910
Altria Group, Inc.
2.350%, 5/6/25		1,666,000		1,753
3.400%, 5/6/30		1,339,000		1,440
3.875%, 9/16/46		558,000		556
4.450%, 5/6/50		1,366,000		1,494
Amgen, Inc.
2.300%, 2/25/31		1,637,000		1,713
3.150%, 2/21/40		1,116,000		1,186
3.375%, 2/21/50		1,013,000		1,109
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.
4.150%, 1/23/25		2,144,000		2,433
4.600%, 4/15/48		1,362,000		1,590
4.700%, 2/1/36		1,847,000		2,177
4.900%, 2/1/46		297,000		363
Anthem, Inc.
2.250%, 5/15/30		2,699,000		2,777
3.125%, 5/15/50		1,084,000		1,121
3.650%, 12/1/27		1,396,000		1,591
Bacardi, Ltd.
5.300%, 5/15/48 144A		778,000		961
BAT Capital Corp.
3.557%, 8/15/27		2,035,000		2,202
4.390%, 8/15/37		152,000		166
4.700%, 4/2/27		2,178,000		2,489
Biogen, Inc.
3.150%, 5/1/50		999,000		962
Bristol-Myers Squibb Co.
3.200%, 6/15/26 144A		2,058,000		2,310
3.400%, 7/26/29 144A		1,333,000		1,554
3.450%, 11/15/27 144A		1,470,000		1,692
3.875%, 8/15/25 144A		1,133,000		1,289
3.900%, 2/20/28 144A		1,575,000		1,853
4.250%, 10/26/49 144A		829,000		1,101
4.350%, 11/15/47 144A		489,000		649
Cigna Corp.
3.400%, 9/17/21		2,242,000		2,318
3.400%, 3/1/27 144A		2,480,000		2,732
3.400%, 3/15/50		501,000		540
3.875%, 10/15/47 144A		2,161,000		2,478
4.375%, 10/15/28		512,000		606

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

103

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Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
The Coca-Cola Co.
2.600%, 6/1/50		436,000		440
Constellation Brands, Inc.
3.200%, 2/15/23		499,000		530
3.700%, 12/6/26		838,000		935
3.750%, 5/1/50		1,636,000		1,777
4.400%, 11/15/25		150,000		173
CVS Health Corp.
3.000%, 8/15/26		1,099,000		1,202
3.700%, 3/9/23		2,718,000		2,920
4.000%, 12/5/23		1,484,000		1,628
4.780%, 3/25/38		785,000		975
Danaher Corp.
3.350%, 9/15/25		1,022,000		1,140
DENTSPLY SIRONA, Inc.
3.250%, 6/1/30		1,111,000		1,164
DH Europe Finance II SARL
2.050%, 11/15/22		1,627,000		1,680
2.200%, 11/15/24		2,787,000		2,929
2.600%, 11/15/29		3,503,000		3,727
3.400%, 11/15/49		849,000		953
Element Fleet Management Corp.
3.850%, 6/15/25 144A		2,088,000		2,143
Eli Lilly & Co.
2.250%, 5/15/50		1,543,000		1,479
General Mills Inc.
2.875%, 4/15/30		3,327,000		3,617
HCA, Inc.
5.250%, 6/15/49		544,000		655
Hormel Foods Corp.
1.800%, 6/11/30		2,278,000		2,318
Ingredion, Inc.
2.900%, 6/1/30		2,647,000		2,818
3.900%, 6/1/50		985,000		1,127
Keurig Dr. Pepper, Inc.
3.800%, 5/1/50		1,062,000		1,211
The Leland Stanford Junior University
1.289%, 6/1/27		418,000		425
Merck & Co., Inc.
1.450%, 6/24/30		2,133,000		2,137
2.350%, 6/24/40		741,000		754
2.450%, 6/24/50		741,000		744
3.700%, 2/10/45		710,000		851
Mondelez International, Inc.
1.500%, 5/4/25		584,000		595
Novartis Capital Corp.
2.000%, 2/14/27		1,789,000		1,896
2.200%, 8/14/30		1,765,000		1,867
Pacific Gas & Electric Co.
3.150%, 6/15/30		2,691,000		2,714
PayPal Holdings, Inc.
1.350%, 6/1/23		2,811,000		2,869
1.650%, 6/1/25		3,935,000		4,073
PepsiCo, Inc.
2.250%, 3/19/25		1,416,000		1,515
2.625%, 3/19/27		892,000		975
Pfizer, Inc.
2.550%, 5/28/40		1,553,000		1,612
2.700%, 5/28/50		1,657,000		1,709
2.800%, 3/11/22		979,000		1,019


Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
The Procter & Gamble Co.
2.800%, 3/25/27		516,000		575
3.550%, 3/25/40		315,000		380
3.600%, 3/25/50		532,000		662
Reynolds American, Inc.
5.850%, 8/15/45		1,114,000		1,393
Shire Acquisitions Investments Ireland DAC
2.875%, 9/23/23		2,117,000		2,242
Stryker Corp.
1.150%, 6/15/25		2,181,000		2,195
1.950%, 6/15/30		1,985,000		1,993
2.900%, 6/15/50		1,528,000		1,531
Sysco Corp.
2.400%, 2/15/30		1,058,000		1,046
3.300%, 7/15/26		369,000		395
6.600%, 4/1/50		538,000		739
Takeda Pharmaceutical Co., Ltd.
2.050%, 3/31/30		3,821,000		3,782
3.175%, 7/9/50		1,724,000		1,731
3.375%, 7/9/60		709,000		709
4.400%, 11/26/23		1,858,000		2,065
Thermo Fisher Scientific, Inc.
4.497%, 3/25/30		3,798,000		4,698
UnitedHealth Group, Inc.
2.000%, 5/15/30		1,629,000		1,705
2.750%, 5/15/40		1,298,000		1,377
2.900%, 5/15/50		868,000		924
3.125%, 5/15/60		541,000		578
3.500%, 8/15/39		349,000		406
3.700%, 12/15/25		1,099,000		1,260
3.750%, 10/15/47		876,000		1,045
3.875%, 8/15/59		558,000		683
Upjohn, Inc.
2.700%, 6/22/30 144A		1,273,000		1,308
4.000%, 6/22/50 144A		928,000		993
Yale University
0.873%, 4/15/25		1,818,000		1,832
1.482%, 4/15/30		1,558,000		1,574
Total				180,099
Energy (2.9%)
BP Capital Markets America, Inc.
3.194%, 4/6/25		2,532,000		2,753
3.543%, 4/6/27		2,551,000		2,828
Chevron Corp
1.141%, 5/11/23		3,884,000		3,951
1.554%, 5/11/25		5,407,000		5,554
1.995%, 5/11/27		1,349,000		1,412
2.236%, 5/11/30		2,901,000		3,037
3.078%, 5/11/50		2,272,000		2,411
Devon Energy Corp.
5.000%, 6/15/45		540,000		484
5.600%, 7/15/41		822,000		802
Diamondback Energy, Inc.
3.250%, 12/1/26		2,595,000		2,609
Ecopetrol SA
5.875%, 5/28/45		1,084,000		1,134
6.875%, 4/29/30		1,715,000		1,974
Enbridge, Inc.
2.500%, 1/15/25		4,821,000		5,006
3.125%, 11/15/29		2,205,000		2,311

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

104

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Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
Energy Transfer Operating LP
6.125%, 12/15/45		401,000		417
Energy Transfer Partners LP
6.050%, 6/1/41		477,000		491
Enterprise Products Operating LLC
3.700%, 1/31/51		952,000		990
3.950%, 1/31/60		1,052,000		1,088
4.200%, 1/31/50		386,000		427
EOG Resources, Inc.
4.375%, 4/15/30		1,877,000		2,234
Equinor ASA
1.750%, 1/22/26		1,560,000		1,598
2.375%, 5/22/30		1,040,000		1,081
3.250%, 11/18/49		748,000		795
Exxon Mobil Corp.
1.571%, 4/15/23		4,953,000		5,079
2.992%, 3/19/25		1,035,000		1,126
Magellan Midstream Partners LP
3.250%, 6/1/30		2,083,000		2,206
Marathon Oil Corp.
4.400%, 7/15/27		1,999,000		1,962
Marathon Petroleum Corp.
3.625%, 9/15/24		2,684,000		2,862
4.500%, 4/1/48		262,000		269
4.700%, 5/1/25		1,904,000		2,131
4.750%, 12/15/23		814,000		893
Noble Energy, Inc.
3.850%, 1/15/28		515,000		497
3.900%, 11/15/24		1,191,000		1,200
4.200%, 10/15/49		1,433,000		1,182
4.950%, 8/15/47		1,278,000		1,138
ONEOK, Inc.
3.400%, 9/1/29		209,000		203
Petroleos Mexicanos
2.460%, 12/15/25		3,530,450		3,661
Plains All American Pipeline LP / PAA Finance Corp.
3.550%, 12/15/29		2,058,000		2,001
4.900%, 2/15/45		442,000		409
Schlumberger Finance Canada, Ltd.
2.650%, 11/20/22 144A		1,028,000		1,060
Suncor Energy, Inc.
2.800%, 5/15/23		2,686,000		2,805
3.100%, 5/15/25		2,161,000		2,308
Sunoco Logistics Partners Operations LP
5.300%, 4/1/44		684,000		660
5.350%, 5/15/45		130,000		126
Tennessee Gas Pipeline Co. LLC
2.900%, 3/1/30 144A		2,569,000		2,632
Total Capital International
2.986%, 6/29/41		846,000		862
3.127%, 5/29/50		1,592,000		1,625
TransCanada PipeLines, Ltd.
3.750%, 10/16/23		2,583,000		2,789
4.625%, 3/1/34		711,000		817
4.875%, 1/15/26		320,000		378
Transcontinental Gas Pipe Line Co. LLC
3.250%, 5/15/30 144A		1,077,000		1,150
3.950%, 5/15/50 144A		1,725,000		1,846


Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
The Williams Companies, Inc.
3.900%, 1/15/25		721,000		789
Williams Partners LP
5.400%, 3/4/44		1,021,000		1,135
Total				93,188
Financial (11.0%)
AerCap Ireland Capital
4.625%, 7/1/22		466,000		471
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.500%, 5/26/22		994,000		983
3.950%, 2/1/22		550,000		550
4.450%, 4/3/26		637,000		604
4.875%, 1/16/24		1,033,000		1,026
6.500%, 7/15/25		2,107,000		2,207
Affiliated Managers Group, Inc.
3.300%, 6/15/30		3,253,000		3,314
Alexandria Real Estate Equities, Inc.
4.900%, 12/15/30		725,000		903
American Financial Group, Inc.
5.250%, 4/2/30		2,623,000		3,116
American International Group, Inc.
2.500%, 6/30/25		6,170,000		6,528
3.400%, 6/30/30		2,296,000		2,487
4.200%, 4/1/28		1,528,000		1,738
4.500%, 7/16/44		1,362,000		1,586
4.750%, 4/1/48		2,112,000		2,545
Ameriprise Financial, Inc.
3.000%, 4/2/25		1,712,000		1,858
Arch Capital Group, Ltd.
3.635%, 6/30/50		1,352,000		1,415
Asian Development Bank
0.625%, 4/7/22		9,094,000		9,152
Athene Holding Ltd.
6.150%, 4/3/30		3,197,000		3,679
Banco Santander SA
2.746%, 5/28/25		2,000,000		2,072
3.490%, 5/28/30		1,000,000		1,070
Banco Santander SA, Institucion De Banca Multiple, Grupo Financiero
5.375%, 4/17/25 144A		1,378,000		1,508
Bank of America Corp.
2.456%, (ICE LIBOR USD 3 Month plus 0.870%), 10/22/25		6,197,000		6,519
2.592%, (US SOFR plus 2.150%), 4/29/31		1,057,000		1,118
3.004%, (ICE LIBOR USD 3 Month plus 0.790%), 12/20/23		5,402,000		5,682
3.093%, (ICE LIBOR USD 3 Month plus 1.090%), 10/1/25		3,864,000		4,171
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		6,960,000		7,751
4.125%, 1/22/24		342,000		379
4.183%, 11/25/27		2,883,000		3,289
4.271%, (ICE LIBOR USD 3 Month plus 1.310%), 7/23/29		5,127,000		6,034
Barclays PLC
2.645%, (US Treasury Yield Curve RateT Note Constant Maturity 1 Year plus 1.900%), 6/24/31		1,452,000		1,442
5.088%, (ICE LIBOR USD 3 Month plus 3.054%), 6/20/30		3,595,000		4,098

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

105

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Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
BNP Paribas SA
2.219%, (US SOFR plus 2.074%), 6/9/26 144A		3,251,000		3,321
2.819%, (ICE LIBOR USD 3 Month plus 1.111%), 11/19/25 144A		5,978,000		6,261
3.052%, (US SOFR plus 1.507%), 1/13/31 144A		1,178,000		1,239
Brighthouse Financial, Inc.
4.700%, 6/22/47		1,141,000		1,043
Brookfield Finance, Inc.
4.350%, 4/15/30		2,667,000		3,010
Capital One Financial Corp.
2.600%, 5/11/23		7,269,000		7,591
3.650%, 5/11/27		2,066,000		2,259
The Charles Schwab Corp.
3.250%, 5/22/29		1,559,000		1,755
4.625%, 3/22/30		1,040,000		1,297
Citigroup, Inc.
2.572%, (US SOFR plus 2.107%), 6/3/31		4,175,000		4,315
2.976%, (US SOFR plus 1.422%), 11/5/30		2,905,000		3,091
3.106%, (US SOFR plus 2.750%), 4/8/26		11,695,000		12,539
3.200%, 10/21/26		2,024,000		2,220
4.412%, (US SOFR plus 3.914%), 3/31/31		6,521,000		7,712
Credit Suisse Group AG
2.193%, (US SOFR plus 2.044%), 6/5/26 144A		3,967,000		4,017
2.997%, (3 Month LIBOR plus 1.200%), 12/14/23 144A		1,908,000		1,986
3.574%, 1/9/23 144A		5,349,000		5,549
Credit Suisse Group Funding Guernsey, Ltd.
3.800%, 6/9/23		1,719,000		1,851
Crown Castle International Corp.
3.300%, 7/1/30		2,924,000		3,192
4.000%, 3/1/27		508,000		577
Danske Bank A/S
1.226%, 6/22/24 144A		5,269,000		5,288
3.001%, (ICE LIBOR USD 3 Month plus 1.249%), 9/20/22 144A		4,976,000		5,054
3.244%, (ICE LIBOR USD 3 Month plus 1.591%), 12/20/25 144A		4,699,000		4,885
5.000%, 1/12/22 144A		2,560,000		2,692
Equinix, Inc.
2.625%, 11/18/24		1,374,000		1,463
2.900%, 11/18/26		2,868,000		3,091
Fidelity National Financial, Inc.
3.400%, 6/15/30		1,686,000		1,755
GE Capital Funding, LLC
3.450%, 5/15/25 144A		4,392,000		4,601
4.400%, 5/15/30 144A		894,000		930
GE Capital International Funding Co. Unlimited Co.
4.418%, 11/15/35		3,596,000		3,651
GLP Capital LP / GLP Financing II, Inc.
4.000%, 1/15/30		844,000		839
5.300%, 1/15/29		1,030,000		1,115
The Goldman Sachs Group, Inc.
3.272%, (ICE LIBOR USD 3 Month plus 1.201%), 9/29/25		499,000		538
3.500%, 4/1/25		12,772,000		14,005


Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
3.500%, 11/16/26		4,134,000		4,546
3.850%, 1/26/27		1,690,000		1,906
4.000%, 3/3/24		440,000		486
6.750%, 10/1/37		1,730,000		2,495
Healthpeak Properties, Inc.
2.875%, 1/15/31		1,022,000		1,049
Inter American Development Bank
0.875%, 4/3/25		4,021,000		4,099
International Lease Finance Corp.
5.875%, 8/15/22		779,000		820
JPMorgan Chase & Co.
1.514%, (US SOFR plus 1.455%), 6/1/24		10,404,000		10,572
2.182%, (US SOFR plus 1.890%), 6/1/28		3,121,000		3,228
2.950%, 10/1/26		302,000		332
2.956%, (US SOFR plus 2.515%), 5/13/31		4,323,000		4,597
3.207%, (ICE LIBOR USD 3 Month plus 0.695%), 4/1/23		3,322,000		3,459
4.493%, (US SOFR plus 3.790%), 3/24/31		1,239,000		1,514
Landwirtschaftliche Rentenbank
0.500%, 5/27/25		6,241,000		6,249
Lincoln National Corp.
3.050%, 1/15/30		3,322,000		3,497
Lloyds Banking Group PLC
1.326%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.100%), 6/15/23		2,113,000		2,125
3.870%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.500%), 7/9/25		5,555,000		6,041
Mastercard, Inc.
3.300%, 3/26/27		1,040,000		1,178
MDGH - GMTN BV
2.875%, 11/7/29 144A		1,895,000		1,983
Mid-America Apartments LP
3.600%, 6/1/27		152,000		169
3.750%, 6/15/24		2,387,000		2,585
3.950%, 3/15/29		1,025,000		1,182
4.000%, 11/15/25		1,249,000		1,387
4.300%, 10/15/23		1,045,000		1,147
Morgan Stanley
2.750%, 5/19/22		3,795,000		3,946
Nationwide Building Society
4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		1,854,000		2,006
Nationwide Financial Services, Inc.
3.900%, 11/30/49 144A		2,448,000		2,445
Nationwide Mutual Insurance Co.
4.350%, 4/30/50 144A		1,366,000		1,422
Nomura Holdings, Inc.
2.648%, 1/16/25		1,526,000		1,591
3.103%, 1/16/30		5,074,000		5,292
Prudential Financial, Inc.
4.350%, 2/25/50		1,050,000		1,260
Realty Income Corp.
3.250%, 1/15/31		2,328,000		2,518
Regency Centers LP
2.950%, 9/15/29		2,218,000		2,251

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

106

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Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
Royal Bank of Scotland Group PLC
2.359%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.150%), 5/22/24		899,000		923
3.073%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.550%), 5/22/28		1,629,000		1,710
3.754%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 2.100%), 11/1/29		1,624,000		1,683
4.445%, (ICE LIBOR USD 3 Month plus 1.871%), 5/8/30		1,645,000		1,909
Santander Holdings USA, Inc.
3.450%, 6/2/25		3,130,000		3,262
SCENTRE GROUP TRUST 1/2
3.625%, 1/28/26 144A		1,612,000		1,691
Societe Generale SA
2.625%, 10/16/24 144A		1,193,000		1,219
2.625%, 1/22/25 144A		3,998,000		4,082
3.653%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 3.000%), 7/8/35 144A		1,372,000		1,372
Spirit Realty LP
3.400%, 1/15/30		1,229,000		1,163
4.000%, 7/15/29		592,000		583
4.450%, 9/15/26		125,000		130
State Street Corp.
2.825%, (US SOFR plus 2.690%), 3/30/23 144A		2,618,000		2,717
Store Capital Corp.
4.500%, 3/15/28		3,839,000		3,910
4.625%, 3/15/29		1,300,000		1,329
Sumitomo Mitsui Financial Group, Inc.
1.474%, 7/8/25		5,714,000		5,713
2.130%, 7/8/30		1,642,000		1,645
SVB Financial Group
3.125%, 6/5/30		834,000		893
Swedish Export Credit
0.750%, 4/6/23		5,416,000		5,456
Truist Bank
2.250%, 3/11/30		481,000		486
UBS Group Funding AG
2.859%, (ICE LIBOR USD 3 Month plus 0.954%), 8/15/23 144A		5,044,000		5,225
Ventas Realty LP
4.750%, 11/15/30		1,256,000		1,411
VEREIT Operating Partnership LP
3.400%, 1/15/28		1,085,000		1,092

Total				353,008


Health Care (0.0%)
Gilead Sciences, Inc.
4.750%, 3/1/46		519,000		701

Total				701


Industrial (1.6%)
The Boeing Co.
2.700%, 2/1/27		1,563,000		1,526
2.950%, 2/1/30		1,658,000		1,619
5.805%, 5/1/50		1,165,000		1,374


Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Industrial continued
Burlington Northern Santa Fe LLC
3.050%, 2/15/51		730,000		792
Crowley Conro LLC
4.181%, 8/15/43		1,468,280		1,845
CSX Corp.
4.300%, 3/1/48		130,000		162
4.750%, 11/15/48		708,000		940
Deere & Co.
2.750%, 4/15/25		2,125,000		2,322
3.750%, 4/15/50		935,000		1,150
General Dynamics Corp.
4.250%, 4/1/40		425,000		529
General Electric Co.
3.100%, 1/9/23		356,000		372
3.450%, 5/1/27		3,030,000		3,108
3.625%, 5/1/30		1,555,000		1,556
5.875%, 1/14/38		169,000		189
Hutama Karya Persero PT
3.750%, 5/11/30 144A		1,219,000		1,274
John Deere Capital Corp.
0.550%, 7/5/22		3,116,000		3,125
1.200%, 4/6/23		2,399,000		2,443
1.750%, 3/9/27		1,438,000		1,495
Northrop Grumman Corp.
2.550%, 10/15/22		3,221,000		3,361
2.930%, 1/15/25		145,000		157
3.250%, 8/1/23		2,968,000		3,194
3.250%, 1/15/28		1,837,000		2,052
4.030%, 10/15/47		1,057,000		1,278
5.150%, 5/1/40		1,587,000		2,112
Union Pacific Corp.
2.150%, 2/5/27		1,612,000		1,701
2.400%, 2/5/30		1,995,000		2,132
2.950%, 3/1/22		1,806,000		1,877
3.150%, 3/1/24		864,000		938
3.250%, 2/5/50		2,561,000		2,801
3.750%, 2/5/70		324,000		361
4.300%, 3/1/49		268,000		343
United Technologies Corp.
3.650%, 8/16/23		209,000		226
3.950%, 8/16/25		1,467,000		1,675
4.450%, 11/16/38		1,366,000		1,671

Total				51,700


Real Estate Investment Trusts (0.1%)
Federal Realty Investments Trust
3.950%, 1/15/24		1,617,000		1,721

Total				1,721


Technology (2.6%)
Adobe, Inc.
2.300%, 2/1/30		3,619,000		3,908
Apple, Inc.
2.050%, 9/11/26		3,268,000		3,492
2.650%, 5/11/50		1,447,000		1,492
3.200%, 5/13/25		748,000		835
4.250%, 2/9/47		892,000		1,174
Broadcom Corp. / Broadcom Cayman Finance, Ltd.
3.875%, 1/15/27		2,468,000		2,668

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

107

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Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Technology continued
Broadcom, Inc.
3.150%, 11/15/25 144A		5,701,000		6,053
4.150%, 11/15/30 144A		3,432,000		3,734
4.250%, 4/15/26 144A		1,747,000		1,945
4.700%, 4/15/25 144A		2,566,000		2,889
5.000%, 4/15/30 144A		1,364,000		1,567
Fiserv, Inc.
3.200%, 7/1/26		1,747,000		1,934
3.500%, 7/1/29		1,869,000		2,099
4.200%, 10/1/28		175,000		205
HP, Inc.
2.200%, 6/17/25		3,272,000		3,381
Intel Corp.
2.450%, 11/15/29		1,202,000		1,299
4.600%, 3/25/40		1,035,000		1,366
International Business Machines Corp.
3.300%, 5/15/26		622,000		700
4.150%, 5/15/39		747,000		907
KLA-Tencor Corp.
3.300%, 3/1/50		1,386,000		1,426
Lam Research Corp.
1.900%, 6/15/30		1,860,000		1,901
2.875%, 6/15/50		1,835,000		1,896
Micron Technology, Inc.
2.497%, 4/24/23		3,216,000		3,340
Microsoft Corp.
2.525%, 6/1/50		608,000		629
2.675%, 6/1/60		1,312,000		1,369
2.875%, 2/6/24		622,000		671
4.100%, 2/6/37		1,028,000		1,326
NetApp, Inc.
1.875%, 6/22/25		2,295,000		2,325
NVIDIA Corp.
3.500%, 4/1/40		1,050,000		1,225
3.500%, 4/1/50		2,623,000		3,040
NXP BV / NXP Funding LLC / NXP USA, Inc.
2.700%, 5/1/25 144A		1,031,000		1,083
3.150%, 5/1/27 144A		1,757,000		1,864
3.400%, 5/1/30 144A		2,223,000		2,392
3.875%, 6/18/26 144A		3,611,000		4,040
4.300%, 6/18/29 144A		1,364,000		1,547
Oracle Corp.
2.625%, 2/15/23		1,349,000		1,418
2.800%, 4/1/27		3,111,000		3,397
2.950%, 11/15/24		721,000		781
3.800%, 11/15/37		737,000		850
3.850%, 4/1/60		1,717,000		2,009
4.000%, 11/15/47		1,568,000		1,858
Texas Instruments, Inc.
1.375%, 3/12/25		1,290,000		1,324

Total				83,359


Utilities (3.2%)
AEP Texas, Inc.
2.100%, 7/1/30		520,000		519
Alabama Power Co.
3.450%, 10/1/49		2,041,000		2,265
Ameren Corp.
3.500%, 1/15/31		488,000		545
Arizona Public Service Co.
3.150%, 5/15/25		2,581,000		2,833


Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
Black Hills Corp.
3.050%, 10/15/29		3,300,000		3,491
3.875%, 10/15/49		919,000		981
CenterPoint Energy Houston Electric LLC
2.900%, 7/1/50		705,000		734
CenterPoint Energy Resources Corp.
4.100%, 9/1/47		996,000		1,132
CenterPoint Energy, Inc.
2.500%, 9/1/22		206,000		213
2.500%, 9/1/24		2,223,000		2,349
2.950%, 3/1/30		967,000		1,027
Consumers Energy Co.
2.500%, 5/1/60		865,000		825
Dominion Resources, Inc.
2.000%, 8/15/21		1,435,000		1,456
2.850%, 8/15/26		1,322,000		1,418
DTE Electric Co.
2.950%, 3/1/50		2,256,000		2,358
DTE Energy Co.
2.529%, 10/1/24		1,820,000		1,904
2.950%, 3/1/30		1,366,000		1,422
3.800%, 3/15/27		2,056,000		2,266
Duke Energy Corp.
1.800%, 9/1/21		2,149,000		2,177
2.450%, 6/1/30		1,678,000		1,768
2.650%, 9/1/26		1,332,000		1,444
Duke Energy Ohio, Inc.
2.125%, 6/1/30		1,560,000		1,615
Evergy, Inc.
2.250%, 6/1/30		2,080,000		2,179
2.450%, 9/15/24		1,906,000		2,014
2.900%, 9/15/29		1,357,000		1,454
3.450%, 4/15/50		2,760,000		3,055
Exelon Corp.
4.700%, 4/15/50		2,311,000		2,936
FirstEnergy Corp.
1.600%, 1/15/26		849,000		856
2.850%, 7/15/22		447,000		464
3.900%, 7/15/27		1,906,000		2,156
4.250%, 3/15/23		2,591,000		2,802
Interstate Power & Light Co.
3.500%, 9/30/49		784,000		855
ITC Holdings Corp.
2.700%, 11/15/22		2,053,000		2,140
Metropolitan Edison Co.
4.300%, 1/15/29 144A		1,612,000		1,884
MidAmerican Energy Co.
3.650%, 8/1/48		1,084,000		1,283
Mississippi Power Co.
3.950%, 3/30/28		2,505,000		2,845
4.250%, 3/15/42		1,504,000		1,764
NextEra Energy Capital Holdings, Inc.
2.250%, 6/1/30		3,251,000		3,340
2.750%, 5/1/25		3,346,000		3,613
Oncor Electric Delivery Co. LLC
3.700%, 11/15/28		1,559,000		1,830
Pacific Gas & Electric Co.
2.100%, 8/1/27		3,668,000		3,622
2.500%, 2/1/31		5,179,000		5,063
3.300%, 8/1/40		685,000		667
3.500%, 8/1/50		668,000		645

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

108

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Corporate Bonds (34.2%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
PECO Energy Co.
2.800%, 6/15/50		895,000		923
Pennsylvania Electric Co.
3.250%, 3/15/28 144A		865,000		940
PPL Capital Funding, Inc.
3.100%, 5/15/26		2,478,000		2,683
3.400%, 6/1/23		295,000		312
4.125%, 4/15/30		2,650,000		3,015
5.000%, 3/15/44		1,366,000		1,612
Public Service Electric & Gas Co.
2.700%, 5/1/50		2,264,000		2,344
Southern California Edison Co.
2.850%, 8/1/29		1,038,000		1,097
4.125%, 3/1/48		1,663,000		1,942
4.650%, 10/1/43		489,000		598
Southern California Gas Co.
2.550%, 2/1/30		1,597,000		1,718
2.600%, 6/15/26		584,000		633
Trans-Allegheny Interstate Line Co.
3.850%, 6/1/25 144A		716,000		804

Total				100,830


Total Corporate Bonds (Cost: $1,033,587)				1,093,259


Governments (17.2%)
Governments (17.2%)
Abu Dhabi Government International Bond
2.500%, 4/16/25 144A		5,836,000		6,133
Colombia Government International Bond
3.125%, 4/15/31		3,194,000		3,167
Japan Bank for International Cooperation
1.750%, 10/17/24		2,774,000		2,900
Republic of Indonesia
4.450%, 4/15/70		1,999,000		2,298
Republic of Paraguay
4.950%, 4/28/31 144A		1,799,000		2,006
5.400%, 3/30/50 144A		2,929,000		3,390
Republic of Peru
2.392%, 1/23/26		1,232,000		1,279
2.783%, 1/23/31		716,000		764
State of Israel
3.375%, 1/15/50		1,173,000		1,285
4.500%, 4/3/20		1,077,000		1,389
State of Qatar
3.400%, 4/16/25 144A		4,123,000		4,484
3.750%, 4/16/30 144A		2,946,000		3,355
United Mexican States
3.250%, 4/16/30		3,945,000		3,910
3.900%, 4/27/25		2,615,000		2,801
4.500%, 4/22/29		5,779,000		6,285
4.600%, 2/10/48		973,000		1,009
4.750%, 3/8/44		1,354,000		1,422
5.000%, 4/27/51		1,409,000		1,518
US Treasury
0.125%, 5/31/22		10,084,000		10,077
0.125%, 6/30/22		22,958,000		22,945
0.250%, 6/15/23		30,851,000		30,916
0.250%, 6/30/25		14,075,000		14,048
0.500%, 5/31/27		10,743,000		10,754
0.500%, 6/30/27		526,000		526


Governments (17.2%)	Shares/ Par ⁺		Value $ (000’s)
Governments continued
0.625%, 5/15/30 b		8,285,000		8,260
1.125%, 5/15/40 b		42,090,000		41,692
1.250%, 5/15/50 b		22,067,000		21,185
1.375%, 1/31/21 b		50,684,000		51,032
1.375%, 5/31/21 b		58,323,000		58,956
2.000%, 2/15/50 b		11,668,000		13,355
2.125%, 5/15/22 b		1,763,000		1,827
2.250%, 4/30/21 b		15,316,000		15,580
2.375%, 3/15/22 b		7,635,000		7,921
2.500%, 2/28/26 b		10,384,000		11,626
2.625%, 3/31/25 b		642,000		713
2.750%, 11/15/42 b		46,759,000		59,877
2.875%, 5/15/43 b		40,303,000		52,640
3.125%, 8/15/44 b		39,223,000		53,469
3.125%, 5/15/21 b		14,286,000		14,653

Total				551,447


Total Governments (Cost: $540,086)				551,447


Municipal Bonds (0.5%)
Municipal Bonds (0.5%)
County of Clark Department of Aviation
6.820%, 7/1/45 RB		1,780,000		2,777
Los Angeles Community College District, Series 2010-E
6.750%, 8/1/49 GO		2,600,000		4,593
North Texas Tollway Authority, Series 2009-B
6.718%, 1/1/49 RB		1,950,000		3,440
The Ohio State University
4.800%, 6/1/11 RB		1,070,000		1,630
Port Authority of New York & New Jersey
4.458%, 10/1/62 RB		3,110,000		4,129
State of California
7.600%, 11/1/40 GO		450,000		826
The University of Texas System
2.439%, 8/15/49 RB		925,000		911

Total Municipal Bonds (Cost: $14,972)				18,306


Structured Products (56.0%)
Asset Backed Securities (9.6%)
Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A
3.070%, 9/20/23 144A		1,041,000		1,045
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A
2.360%, 3/20/26 144A		2,099,000		2,070
Capital One Multi-Asset Execution Trust
1.334%, (ICE LIBOR USD 1 Month plus 0.630%), 2/15/24		4,595,000		4,613
CNH Equipment Trust, Series 2020-A, Class A3
1.160%, 6/16/25		2,541,000		2,565
CNH Equipment Trust, Series 2020-A, Class A4
1.510%, 4/15/27		714,000		725
College Ave Student Loans, Series 2017-A, Class A1
2.597%, (ICE LIBOR USD 1 Month plus 1.650%), 11/26/46 144A		1,574,270		1,562

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

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Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
College Avenue Student Loans LLC, Series 2018-A, Class A2
4.130%, 12/26/47 144A		1,227,440		1,333
College Avenue Student Loans LLC, Series 2019-A, Class A2
3.280%, 12/28/48 144A		1,225,792		1,282
Ford Credit Auto Owner Trust, Series 2017-2, Class A
2.360%, 3/15/29 144A		6,262,000		6,444
Ford Credit Auto Owner Trust, Series 2018-1, Class A
3.190%, 7/15/31 144A		9,256,000		9,911
Ford Credit Auto Owner Trust, Series 2018-2, Class A
3.470%, 1/15/30 144A		6,955,000		7,360
Ford Credit Auto Owner Trust, Series 2019- REV1, Class A
3.520%, 7/15/30 144A		6,576,000		7,035
Ford Credit Auto Owner Trust, Series 2020-1, Class A
2.040%, 8/15/31 144A		7,921,000		8,049
Ford Credit Auto Owner Trust, Series 2020-2, Class A
1.040%, 8/15/24		3,748,000		3,787
Ford Credit Auto Owner Trust, Series 2020-B, Class A4
0.790%, 11/15/25		3,290,000		3,300
Ford Credit Floorplan Master Owner Trust, Series 2020-A, Class A
1.350%, 7/15/25		1,231,000		1,256
GM Financial Automobile Leasing Trust, Series 2020-2, Class A3
0.800%, 7/20/23		2,130,000		2,133
GM Financial Automobile Leasing Trust, Series 2020-2, Class A4
1.010%, 7/22/24		617,000		620
GS Mortgage Securities Trust 2020, Series 20-2, Class A3
1.490%, 12/16/24		1,594,000		1,629
GS Mortgage Securities Trust 2020, Series 20-2, Class A4
1.740%, 8/18/25		961,000		993
Honda Auto Receivables Owner Trust, Series 2020-2, Class A3
0.820%, 7/15/24		4,432,000		4,462
Honda Auto Receivables Owner Trust, Series 2020-2, Class A4
1.090%, 10/15/26		1,513,000		1,534
Mercedes-Benz Auto Lease Trust, Series 2020-1, Class A3
0.550%, 2/18/25		4,086,000		4,088
Mercedes-Benz Auto Lease Trust, Series 2020-1, Class A4
0.770%, 10/15/26		1,075,000		1,077
Navient Private Education Loan Trust, Series 2018-BA, Class A2A
3.610%, 12/15/59 144A		2,425,701		2,480
Navient Private Education Refi Loan Trust, Series 2018-A, Class A2
3.190%, 2/18/42 144A		1,144,393		1,171


Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Navient Private Education Refi Loan Trust, Series 2018-C, Class A2
3.520%, 6/16/42 144A		1,296,000		1,337
Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A
4.000%, 12/15/59 144A		5,609,000		5,906
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A
3.420%, 1/15/43 144A		6,611,000		6,770
Navient Private Education Refi Loan Trust, Series 2019-C, Class A2
3.130%, 2/15/68 144A		3,578,000		3,691
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A
3.010%, 12/15/59 144A		5,542,000		5,728
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A
2.460%, 11/15/68 144A		3,026,000		3,095
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2B
1.605%, (ICE LIBOR USD 1 Month plus 0.900%), 11/15/68 144A		2,623,000		2,565
Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2
2.120%, 1/15/69 144A		2,369,000		2,406
Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A
2.150%, 11/15/68 144A		2,292,000		2,319
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A
1.690%, 5/15/69 144A		2,653,000		2,663
Navient Student Loan Trust, Series 2014-1, Class A3
1.457%, (ICE LIBOR USD 1 Month plus 0.510%), 6/25/31		2,176,612		2,093
Navient Student Loan Trust, Series 2015-1, Class A2
1.547%, (ICE LIBOR USD 1 Month plus 0.600%), 4/25/40		787,207		755
Navient Student Loan Trust, Series 2016-1A, Class A
1.647%, (ICE LIBOR USD 1 Month plus 0.700%), 2/25/70 144A		636,058		603
Navient Student Loan Trust, Series 2016-3A, Class A2
1.797%, (ICE LIBOR USD 1 Month plus 0.850%), 6/25/65 144A		270,797		271
Navient Student Loan Trust, Series 2016-AA, Class A2B
2.855%, (ICE LIBOR USD 1 Month plus 2.150%), 12/15/45 144A		1,171,076		1,187
Navient Student Loan Trust, Series 2019 EA, Class A2
4.000%, 12/15/59 144A		3,615,000		3,766
Navient Student Loan Trust, Series 2019-BA, Class A2A
3.390%, 12/15/59 144A		4,423,000		4,577
Navient Student Loan Trust, Series 2019-FA, Class A2
2.600%, 8/15/68 144A		6,457,000		6,634

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

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Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Navient Student Loan Trust, Series 2019-GA, Class A
2.400%, 10/15/68 144A		5,584,870		5,694
Nelnet Student Loan Trust, Series 2004-3, Class A5
1.974%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36		685,284		671
Nelnet Student Loan Trust, Series 2004-4, Class A5
1.954%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37		3,635,871		3,498
Nelnet Student Loan Trust, Series 2005-1, Class A5
1.904%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33		10,551,348		9,988
Nelnet Student Loan Trust, Series 2005-2, Class A5
1.295%, (ICE LIBOR USD 3 Month plus 0.100%), 3/23/37		10,181,117		9,639
Nelnet Student Loan Trust, Series 2005-3, Class A5
1.315%, (ICE LIBOR USD 3 Month plus 0.120%), 12/24/35		7,798,202		7,459
Nelnet Student Loan Trust, Series 2005-4, Class A4
1.375%, (ICE LIBOR USD 3 Month plus 0.180%), 3/22/32		1,292,880		1,203
Nelnet Student Loan Trust, Series 2012-2, Class A
1.747%, (ICE LIBOR USD 1 Month plus 0.800%), 12/26/33 144A		1,320,549		1,304
Nelnet Student Loan Trust, Series 2014-1A, Class A
1.517%, (ICE LIBOR USD 1 Month plus 0.570%), 9/25/41 144A		1,000,302		962
Santander Retail Auto Lease Trust, Series 2020-1, Class A3
2.030%, 2/15/24		1,231,000		1,254
Santander Revolving Auto Loan Trust, Series 2019-A, Class A
2.510%, 1/26/32 144A		6,604,000		6,906
SLC Student Loan Trust, Series 2008-1, Class A4A
2.341%, (ICE LIBOR USD 3 Month plus 1.600%), 12/15/32		1,770,628		1,749
SLM Student Loan Trust, Series 2003-1, Class A5C
1.491%, (ICE LIBOR USD 3 Month plus 0.750%), 12/15/32 144A		1,445,141		1,334
SLM Student Loan Trust, Series 2007-2, Class A4
1.854%, (ICE LIBOR USD 3 Month plus 0.060%), 7/25/22		4,840,200		4,505
SLM Student Loan Trust, Series 2012-1, Class A3
1.897%, (ICE LIBOR USD 1 Month plus 0.950%), 9/25/28		6,006,007		5,693
SLM Student Loan Trust, Series 2012-2, Class A
1.647%, (ICE LIBOR USD 1 Month plus 0.700%), 1/25/29		5,193,733		4,825


Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
SLM Student Loan Trust, Series 2012-6, Class A3
1.697%, (ICE LIBOR USD 1 Month plus 0.750%), 5/26/26		2,324,833		2,144
SMB Private Education Loan Trust 2020-PT-A
1.600%, 9/15/54 144A		13,402,000		13,216
SMB Private Education Loan Trust, Series 2015-A, Class A2B
1.705%, (ICE LIBOR USD 1 Month plus 1.000%), 6/15/27 144A		1,278,827		1,272
SMB Private Education Loan Trust, Series 2015-C, Class A2B
2.105%, (ICE LIBOR USD 1 Month plus 1.400%), 7/15/27 144A		591,374		593
SMB Private Education Loan Trust, Series 2016-A, Class A2A
2.700%, 5/15/31 144A		3,466,610		3,545
SMB Private Education Loan Trust, Series 2016-B, Class A2A
2.430%, 2/17/32 144A		1,723,624		1,761
SMB Private Education Loan Trust, Series 2016-B, Class A2B
2.155%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A		4,708,052		4,720
SMB Private Education Loan Trust, Series 2016-C, Class A2B
1.805%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		1,842,280		1,828
SMB Private Education Loan Trust, Series 2017-A, Class A2B
1.605%, (ICE LIBOR USD 1 Month plus 0.900%), 9/15/34 144A		1,375,386		1,359
SMB Private Education Loan Trust, Series 2017-B, Class A2B
1.455%, (ICE LIBOR USD 1 Month plus 0.750%), 10/15/35 144A		1,519,672		1,505
SMB Private Education Loan Trust, Series 2018-C, Class A2A
3.630%, 11/15/35 144A		2,113,316		2,214
SMB Private Education Loan Trust, Series 2019-A, Class A2A
3.440%, 7/15/36 144A		8,755,000		9,151
SoFi Professional Loan Program 2020-C Trust - Class AFX
1.950%, 2/15/46 144A		5,326,000		5,405
SoFi Professional Loan Program LLC, Series 2016-A, Class A2
2.760%, 12/26/36 144A		985,040		991
SoFi Professional Loan Program LLC, Series 2016-D, Class A1
1.897%, (ICE LIBOR USD 1 Month plus 0.950%), 1/25/39 144A		174,296		174
SoFi Professional Loan Program LLC, Series 2016-E, Class A1
1.797%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/39 144A		307,681		307
SoFi Professional Loan Program LLC, Series 2017-A, Class A1
1.647%, (ICE LIBOR USD 1 Month plus 0.700%), 3/26/40 144A		344,740		342

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

111

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Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX
2.650%, 9/25/40 144A		256,914		263
SoFi Professional Loan Program LLC, Series 2017-E, Class A1
1.447%, (ICE LIBOR USD 1 Month plus 0.500%), 11/26/40 144A		216,509		216
SoFi Professional Loan Program LLC, Series 2017-E, Class A2B
2.720%, 11/26/40 144A		5,282,000		5,374
SoFi Professional Loan Program LLC, Series 2018-A, Class A2B
2.950%, 2/25/42 144A		1,648,000		1,689
SoFi Professional Loan Program LLC, Series 2018-B, Class A2FX
3.340%, 8/26/47 144A		4,753,000		4,915
SoFi Professional Loan Program LLC, Series 2020-A, Class A2FX
2.540%, 5/15/46 144A		5,620,000		5,823
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A
1.350%, 5/25/33 144A		15,524,000		15,756
Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3
1.360%, 8/15/24		2,944,000		2,999
Verizon Owner Trust, Series 2019-C, Class A1A
1.940%, 4/22/24		2,386,000		2,448
Verizon Owner Trust, Series 2020-A, Class A1A
1.850%, 7/22/24		5,496,000		5,641
Volkswagen Auto Loan Enhanced Trust, Series 2020-1, Class A3
0.980%, 11/20/24		3,207,000		3,239
Volkswagen Auto Loan Enhanced Trust, Series 2020-1, Class A4
1.260%, 8/20/26		1,203,000		1,224

Total				305,688


Mortgage Securities (46.4%)
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1
3.628%, (AFC), 3/25/49 144A		1,248,534		1,279
Angel Oak Mortgage Trust I LLC, Series 2020-2, Class A1A
2.531%, (AFC), 1/26/65 144A		4,922,963		5,012
Benchmark Mortgage Trust, Series 2018-B1, Class ASB
3.602%, (AFC), 1/15/51		854,000		937
Bunker Hill Loan Depositary Trust, Series 2019-1, Class A1
3.613%, (AFC), 10/26/48 144A		1,613,555		1,655
Bunker Hill Loan Depositary Trust, Series 2019-2, Class A1
2.879%, (AFC), 7/25/49 144A		2,820,574		2,877
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1
2.724%, (AFC), 11/25/59 144A		3,288,284		3,348
CD Commercial Mortgage Trust, Series 2017- CD4, Class A4
3.514%, (AFC), 5/10/50		1,610,000		1,791


Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
CD Commercial Mortgage Trust, Series 2017-CD6, Class ASB
3.332%, 11/13/50		2,821,000		3,044
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A1
1.793%, (CSTR, AFC), 1/10/48		278,262		279
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class A1
1.964%, 6/15/50		182,014		182
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB
3.367%, 6/15/50		1,226,000		1,315
Citibank NA
1.410%, 10/10/49		51,731		52
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2016-CD1, Class A1
1.443%, 8/10/49		307,042		307
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2017-C6, Class ASB
3.121%, 6/10/50		694,000		740
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2017-CD4, Class ASB
3.317%, 5/10/50		1,173,000		1,261
Citigroup Mortgage Loan Trust, Series 2005- 1, Class 3A1
6.500%, 4/25/35		130,680		137
COLT Funding LLC, Series 2019-4, Class A1
2.579%, (AFC), 11/25/49 144A		2,413,983		2,438
COLT Mortgage Loan Trust, Series 2019-1, Class A1
3.705%, (AFC), 3/25/49 144A		1,010,331		1,021
COLT Mortgage Loan Trust, Series 2019-2, Class A1
3.337%, (AFC), 5/25/49 144A		1,927,281		1,950
COLT Mortgage Loan Trust, Series 2020-2, Class A1
1.853%, (AFC), 3/25/65 144A		2,678,598		2,681
Commercial Mortgage Pass Through Certificates, Series 2016-COR1, Class ASB
2.972%, 10/10/49		1,155,000		1,217
Commercial Mortgage Trust
3.708%, 7/10/48		980,000		1,077
Commercial Mortgage Trust Pass Through Certificates
3.774%, 10/10/48		1,960,000		2,169
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A4
3.504%, 6/15/57		1,587,000		1,715
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A4
3.807%, 11/15/48		2,233,000		2,461
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class ASB
3.532%, 11/15/48		582,000		616
Federal Home Loan Bank
3.500%, 11/1/49		9,856,723		10,361
4.000%, 11/1/49		5,189,001		5,774
Federal Home Loan Mortgage Corp.
2.500%, 5/1/31		256,914		273
3.000%, 2/1/50		559,553		599

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

112

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Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
3.500%, 2/1/48		1,405,031		1,526
3.500%, 4/1/49		3,248,129		3,548
3.500%, 8/1/49		2,948,206		3,220
4.000%, 1/1/35		100,031		110
4.000%, 1/1/36		148,859		160
4.000%, 10/1/36		1,068,442		1,150
4.000%, 3/1/37		503,347		547
4.000%, 8/1/38		6,766,181		7,235
4.000%, 4/1/47		10,747,702		11,741
4.000%, 1/1/48		906,400		1,008
4.000%, 7/1/48		9,390,277		10,280
4.000%, 9/1/48		962,580		1,051
4.000%, 11/1/48		7,612,612		8,329
4.000%, 1/1/49		4,431,931		4,813
4.000%, 2/1/49		6,354,635		6,908
4.000%, 3/1/49		2,244,315		2,480
4.000%, 7/1/49		35,698,769		39,158
4.500%, 6/1/39		110,763		128
4.500%, 7/1/39		134,436		157
4.500%, 11/1/48		3,893,907		4,361
4.500%, 3/1/49		1,605,856		1,797
4.500%, 4/1/49		16,855,353		18,442
4.500%, 8/1/49		15,497,666		17,176
5.000%, 5/1/48		4,902,875		5,609
5.000%, 9/1/48		3,548,750		3,903
5.000%, 3/1/49		10,411,767		11,744
Federal Home Loan Mortgage Corp., Series 2012-264, Class 30
3.000%, 7/15/42		7,307,194		7,904
Federal Home Loan Mortgage Corp., Series 2015-343, Class F4
2.852%, (ICE LIBOR USD 1 Month plus 0.350%), 10/15/37		2,811,600		2,800
Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA
3.000%, 10/15/47		8,305,578		8,820
Federal Home Loan Mortgage Corp., Series 2018-4767, Class KA
3.000%, 3/15/48		1,884,868		2,042
Federal Home Loan Mortgage Corp., Series 2018-4786, Class DP
4.500%, 7/15/42		1,130,279		1,144
Federal Home Loan Mortgage Corp., Series 2439, Class LH
6.000%, 4/15/32		327,409		378
Federal Home Loan Mortgage Corp., Series 4205, Class PA
1.750%, 5/15/43		1,973,697		2,034
Federal Home Loan Mortgage Corp., Series 4426, Class QC
1.750%, 7/15/37		3,215,594		3,321
Federal Home Loan Mortgage Corp., Series 4705, Class A
4.500%, 9/15/42		2,280,860		2,368
Federal Home Loan Mortgage Corp., Series 4763, Class CA
3.000%, 9/15/38		826,176		891
Federal Home Loan Mortgage Corp., Series 4880, Class DA
3.000%, 5/15/50		4,164,499		4,467


Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4897, Class F
1.055%, (ICE LIBOR USD 1 Month plus 0.350%), 12/15/48		882,987		882
Federal Home Loan Mortgage Corp., Series 4988, Class AF
0.540%, (ICE LIBOR USD 1 Month plus 0.350%), 10/15/37		10,200,000		10,179
Federal National Mortgage Association
2.500%, 11/1/28		956,247		1,003
2.500%, 1/1/30		720,694		756
2.500%, 4/1/30		370,762		389
2.500%, 8/1/31		2,278,670		2,388
2.661%, (ICE LIBOR USD 12 Month plus 1.585%), 1/1/46		8,646,400		8,975
2.746%, (ICE LIBOR USD 12 Month plus 1.579%), 6/1/45		2,427,724		2,519
3.000%, 12/1/34		3,200,980		3,385
3.000%, 1/1/43		3,946,494		4,211
3.000%, 2/1/50		472,271		506
3.500%, 9/1/32		4,064,625		4,274
3.500%, 6/1/49		1,109,006		1,176
3.500%, 11/1/49		17,279,764		18,164
4.000%, 7/1/33		1,309,869		1,397
4.000%, 9/1/33		2,162,282		2,292
4.000%, 12/1/36		172,926		186
4.000%, 10/1/37		1,211,813		1,304
4.000%, 5/1/38		401,237		429
4.000%, 2/1/42		1,820,560		2,003
4.000%, 9/1/45		956,833		1,082
4.000%, 1/1/46		4,430,577		5,009
4.000%, 10/1/46		327,921		355
4.000%, 12/1/46		2,194,579		2,371
4.000%, 1/1/47		3,032,127		3,257
4.000%, 2/1/47		3,163,453		3,522
4.000%, 4/1/47		1,325,135		1,451
4.000%, 9/1/47		1,574,225		1,694
4.000%, 10/1/47		1,951,734		2,136
4.000%, 11/1/47		13,418,165		14,303
4.000%, 2/1/48		2,168,832		2,413
4.000%, 3/1/48		10,217,255		11,539
4.000%, 4/1/48		8,298,879		9,198
4.000%, 7/1/48		14,613,480		15,881
4.000%, 9/1/48		4,002,928		4,422
4.000%, 10/1/48		3,460,662		3,778
4.000%, 11/1/48		3,513,563		3,881
4.000%, 12/1/48		2,298,910		2,596
4.000%, 1/1/49		4,029,621		4,452
4.000%, 2/1/49		4,859,182		5,415
4.000%, 3/1/49		1,631,244		1,764
4.000%, 4/1/49		2,101,369		2,275
4.000%, 5/1/49		11,941,089		13,317
4.000%, 6/1/49		3,205,075		3,465
4.000%, 11/1/49		2,958,901		3,293
4.000%, 12/1/49		6,752,042		7,582
4.000%, 1/1/50		–		–Õ
4.000%, 1/1/59		12,393,804		13,726
4.500%, 5/1/34		66,289		73
4.500%, 6/1/41		156,149		175
4.500%, 3/1/43		1,741,370		1,947

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

113

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Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
4.500%, 3/1/44		1,330,909		1,489
4.500%, 10/1/45		2,734,187		3,058
4.500%, 2/1/46		99,679		111
4.500%, 2/1/48		3,284,053		3,629
4.500%, 3/1/48		996,860		1,098
4.500%, 4/1/48		2,136,198		2,350
4.500%, 5/1/48		1,300,689		1,433
4.500%, 6/1/48		1,155,380		1,327
4.500%, 7/1/48		3,362,820		3,727
4.500%, 8/1/48		6,424,972		7,240
4.500%, 10/1/48		16,401,232		18,272
4.500%, 11/1/48		1,682,511		1,928
4.500%, 1/1/49		10,193,071		11,405
4.500%, 2/1/49		5,673,408		6,392
4.500%, 4/1/49		1,722,076		1,897
4.500%, 5/1/49		670,334		738
4.500%, 6/1/49		4,533,929		5,108
4.500%, 7/1/49		10,746,376		12,061
4.500%, 8/1/49		3,927,981		4,425
4.500%, 2/1/50		1,203,851		1,328
4.500%, 3/1/50		12,453,804		13,964
4.500%, 4/1/50		4,900,863		5,555
4.500%, 1/1/59		6,605,574		7,423
5.000%, 7/1/44		260,751		289
5.000%, 6/1/48		7,409,689		8,546
5.000%, 9/1/48		4,230,291		4,715
5.000%, 10/1/48		4,880,545		5,606
5.000%, 11/1/48		2,523,048		2,774
5.000%, 12/1/48		3,540,506		3,926
5.000%, 1/1/49		5,451,699		6,079
5.000%, 2/1/49		13,208,440		15,234
5.000%, 6/1/49		22,917,427		25,993
5.000%, 8/1/49		46,034,288		52,823
5.000%, 11/1/49		4,738,946		5,285
5.500%, 12/1/48		3,511,582		4,006
5.500%, 6/1/49		8,798,073		10,216
Federal National Mortgage Association Stripped, Series 414, Class A35
3.500%, 10/25/42		5,840,904		6,227
Federal National Mortgage Association TBA
2.000%, 7/16/35		6,600,000		6,826
2.000%, 9/17/35		45,800,000		47,217
2.000%, 8/13/50		5,500,000		5,613
2.000%, 9/14/50		7,400,000		7,535
2.000%, 8/17/35		42,700,000		44,094
2.500%, 7/16/35		1,600,000		1,675
2.500%, 7/14/50		59,500,000		62,003
2.500%, 8/13/50		74,000,000		76,972
2.500%, 9/14/50		104,000,000		107,946
3.000%, 7/14/50		28,200,000		29,691
Federal National Mortgage Association, Series 2012-151, Class NX
1.500%, 1/25/43		2,516,321		2,596
Federal National Mortgage Association, Series 2013-11, Class AP
1.500%, 1/25/43		6,114,274		6,244
Federal National Mortgage Association, Series 2013-30, Class CA
1.500%, 4/25/43		780,700		797


Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2013-43, Class BP
1.750%, 5/25/43		2,823,884		2,934
Federal National Mortgage Association, Series 2014-73, Class MA
2.500%, 11/25/44		1,702,101		1,814
Federal National Mortgage Association, Series 2015-84, Class PA
1.700%, 8/25/33		7,939,680		8,205
Federal National Mortgage Association, Series 2016-48, Class MA
2.000%, 6/25/38		10,460,676		10,832
Federal National Mortgage Association, Series 2016-57, Class PC
1.750%, 6/25/46		14,894,374		15,377
Federal National Mortgage Association, Series 2017-13, Class PA
3.000%, 8/25/46		2,560,718		2,740
Federal National Mortgage Association, Series 2017-42, Class H
3.000%, 11/25/43		2,030,220		2,101
Federal National Mortgage Association, Series 2017-M7, Class A2
2.961%, (AFC), 2/25/27		1,102,000		1,221
Federal National Mortgage Association, Series 2018-14, Class KC
3.000%, 3/25/48		4,612,633		4,969
Federal National Mortgage Association, Series 2018-15, Class AB
3.000%, 3/25/48		1,003,952		1,081
Federal National Mortgage Association, Series 2018-8, Class KL
2.500%, 3/25/47		3,391,930		3,555
Federal National Mortgage Association, Series 2019-25, Class PA
3.000%, 5/25/48		4,827,352		5,187
Federal National Mortgage Association, Series 2019-35, Class A
3.000%, 7/25/49		2,427,024		2,556
Federal National Mortgage Association, Series 2019-35, Class MB
3.000%, 7/25/49		3,381,848		3,630
GCAT LLC, Series 2019-NQM1, Class A1
2.985%, (AFC), 2/25/59 144A		1,019,324		1,031
Government National Mortgage Association
3.000%, 2/20/50		11,568,026		12,293
3.000%, 3/20/50		2,485,975		2,656
3.000%, 9/21/50		7,000,000		7,386
3.500%, 1/20/48		3,027,146		3,258
3.500%, 8/20/49		5,518,219		5,946
4.000%, 6/20/47		31,358,613		33,686
4.000%, 10/20/47		834,171		904
4.000%, 1/20/48		1,399,788		1,500
4.000%, 3/20/48		942,593		1,017
4.000%, 4/20/48		7,112,194		7,640
4.000%, 5/20/48		10,216,568		10,926
4.000%, 5/20/49		1,715,405		1,862
4.000%, 6/20/49		5,734,593		6,225
4.000%, 7/20/49		4,272,214		4,639
4.500%, 8/15/47		749,249		830
4.500%, 6/20/48		4,627,527		4,988

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

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Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
4.500%, 2/20/49		4,895,534		5,442
4.500%, 3/20/49		3,897,103		4,268
4.500%, 4/20/49		1,452,213		1,588
4.500%, 5/20/49		3,762,388		4,120
5.000%, 12/20/39		105,099		121
5.000%, 11/20/45		252,088		285
5.000%, 3/20/48		9,112,468		9,985
5.000%, 5/20/48		4,710,074		5,134
5.000%, 6/20/48		14,271,413		15,551
5.000%, 7/20/48		3,193,612		3,481
5.000%, 8/20/48		5,183,850		5,648
5.000%, 12/20/48		3,750,929		4,075
5.000%, 1/20/49		5,010,299		5,642
5.000%, 2/20/49		1,005,229		1,117
5.000%, 3/20/49		1,436,089		1,597
Government National Mortgage Association TBA
2.000%, 8/20/50		5,600,000		5,794
2.500%, 9/21/50		10,100,000		10,584
Government National Mortgage Association, Series 2012-141, Class WA
4.526%, 11/16/41		741,219		820
Government National Mortgage Association, Series 2017-167, Class BQ
2.500%, 8/20/44		3,396,845		3,519
Government National Mortgage Association, Series 2019-31, Class JC
3.500%, 3/20/49		2,929,321		3,092
Government National Mortgage Association, Series 2019-32, Class NA
3.500%, 9/20/49		4,829,457		5,023
GS Mortgage Securities Trust, Series 2012- GCJ7, Class AAB
2.935%, 5/10/45		60,716		61
GS Mortgage Securities Trust, Series 2014- GC18, Class A3
3.801%, 1/10/47		947,075		1,009
GS Mortgage Securities Trust, Series 2015- GC28, Class A5
3.396%, 2/10/48		1,918,000		2,062
GS Mortgage Securities Trust, Series 2015- GC34, Class A4
3.506%, 10/10/48		1,802,000		1,968
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010- 1, Class A1
5.314%, 1/25/51 144A		3,462,525		3,710
JPMBB Commercial Mortgage Securities Trust
3.611%, 5/15/48		1,470,000		1,602
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4
3.669%, 9/15/47		1,323,000		1,425
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class A4
3.494%, 1/15/48		1,906,000		2,061
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3
2.912%, 10/15/48		5,578,517		5,845


Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A4
3.769%, 12/15/48		838,000		928
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class ASB
3.282%, 7/15/50		1,306,000		1,405
JPMDB Commercial Mortgage Securities Trust, 2020-COR7, Class A5
2.180%, 5/15/53		1,609,000		1,660
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class ASB
3.491%, 3/15/50		463,000		499
JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class ASB
4.145%, 6/15/51		1,453,000		1,635
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1
5.250%, 12/25/24		82,954		84
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4
4.083%, (CSTR), 7/15/46		290,000		311
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4
3.249%, 2/15/48		434,000		461
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class ASB
3.383%, 10/15/48		936,000		984
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class A4
3.753%, 12/15/47		393,000		434
Morgan Stanley Capital I Trust, Series 2016- UB11, Class A1
1.445%, 8/15/49		583,649		584
Morgan Stanley Capital I Trust, Series 2016- UB11, Class ASB
2.606%, 8/15/49		1,289,000		1,337
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1
3.600%, (AFC), 4/25/49 144A		1,334,354		1,361
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1
2.492%, (AFC), 9/25/59 144A		2,230,503		2,246
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1
4.500%, 10/25/20		2,120		2
SG Residential Mortgage Trust, Series 2019-3, Class A1
2.703%, (AFC), 9/25/59 144A		2,282,583		2,301
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A1
2.610%, (AFC), 9/27/49 144A		2,463,822		2,472
Starwood Mortgage Residential Trust, Series 2020-1, Class A1
2.275%, (AFC), 2/25/50 144A		4,400,854		4,438
Verus Securitization Trust, Series 2019-1, Class A1
3.836%, (AFC), 2/25/59 144A		1,040,235		1,060
Verus Securitization Trust, Series 2019-2, Class A1
3.211%, (AFC), 5/25/59 144A		3,630,124		3,702

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

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Structured Products (56.0%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Verus Securitization Trust, Series 2019-3, Class A1
2.784%, (AFC), 7/25/59 144A		4,713,191		4,806
Verus Securitization Trust, Series 2019-4, Class A1
2.642%, (AFC), 11/25/59 144A		6,711,780		6,821
Verus Securitization Trust, Series 2019-INV1, Class A1
3.402%, (AFC), 12/25/59 144A		1,929,795		1,974
Verus Securitization Trust, Series 2019-INV2, Class A1
2.913%, (AFC), 7/25/59 144A		2,492,691		2,536
Verus Securitization Trust, Series 2019-INV3, Class A1
2.692%, (AFC), 11/25/59 144A		1,563,091		1,582
Verus Securitization Trust, Series 2020-1, Class A1
2.417%, (AFC), 1/25/60 144A		1,495,926		1,517
Verus Securitization Trust, Series 2020-2, Class A1
2.226%, (AFC), 5/25/60 144A		5,758,000		5,803
Visio Trust, Series 2019-1, Class A1
3.572%, (AFC), 6/25/54 144A		1,271,134		1,288

Total				1,484,843


Total Structured Products (Cost: $1,753,944)				1,790,531


Short-Term Investments (4.4%)	Shares/ Par ⁺		Value $ (000’s)

Money Market Funds (4.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%#		139,449,103		139,449

Total				139,449


Total Short-Term Investments (Cost: $139,449)				139,449



Total Investments (112.3%) (Cost: $3,482,038)^@				3,592,992



Other Assets, Less Liabilities (-12.3%)				(394,079	)



Net Assets (100.0%)				3,198,913

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

144A

b	Cash or securities with an aggregate value of $412,786 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

p	Amount is less than one thousand.

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,482,497 and the net unrealized appreciation of investments based on that cost was $110,998 which is comprised of $117,778 aggregate gross unrealized appreciation and $6,780 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	—	$	18,306	$	—
Corporate Bonds		—		1,093,259		—
Governments		—		551,447		—
Structured Products		—		1,790,531		—
Short-Term Investments		139,449		—		—

Total Assets:	$	139,449	$	3,453,543	$	—

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

116

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

Sector Allocation 6/30/20



		Sector		% of Total Investments

		Governments		87.1%

		Structured Products		10.7%

		Corporate Bonds		0.6%

		Short-Term Investments		1.6%

Sector Allocation is 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.

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.

117

Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Corporate Bonds (0.9%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Cyclical (0.2%)
United Airlines Pass Through Trust, Series 2016-2, Class A
3.100%, 4/7/30		173,569		145
United Airlines Pass Through Trust, Series 2016-2, Class AA
2.875%, 4/7/30		173,569		162
Total				307

Financial (0.2%)
MET Tower Global Funding
0.602%, (US SOFR plus 0.550%), 1/17/23 144A		300,000		298
Total				298

Industrial (0.4%)
Vessel Management Services, Inc.
3.432%, 8/15/36		459,000		532
Total				532

Utilities (0.1%)
Duke Energy Florida LLC
2.500%, 12/1/29		200,000		216
Total				216

Total Corporate Bonds (Cost: $1,306)				1,353

Governments (125.9%)
Governments (125.9%)
Federal National Mortgage Association
5.625%, 4/17/28		100,000		135
Residual Funding Corp. Stripped
0.000%, 4/15/30		4,800,000		4,229
0.000%, 10/15/20		2,000,000		1,998
Resolution Funding Corp. Stripped
0.000%, 4/15/28		400,000		368
Tennessee Valley Authority Stripped
0.000%, 5/1/30		500,000		432
US Treasury
0.375%, 4/30/25		8,000,000		8,036
1.250%, 5/15/50		900,000		864
1.500%, 2/15/30		17,230,000		18,624
1.875%, 7/31/22		8,000,000		8,284
2.000%, 2/15/50 b		91,680,000		104,938
2.000%, 10/31/21 b		3,800,000		3,893
2.000%, 6/30/24		700,000		749
2.125%, 8/15/21		400,000		409
2.125%, 3/31/24		1,000,000		1,071
2.125%, 5/15/25		410,000		446
2.500%, 2/15/46		940,000		1,164
2.625%, 12/31/23		400,000		434
2.875%, 5/15/49		1,350,000		1,825
3.000%, 11/15/44		820,000		1,098
3.000%, 11/15/45		370,000		499
3.000%, 2/15/48		330,000		452
3.000%, 8/15/48		700,000		962
3.000%, 9/30/25		100,000		114
3.000%, 10/31/25		120,000		137


Governments (125.9%)	Shares/ Par ⁺		Value $ (000’s)
Governments continued
3.125%, 8/15/44		3,970,000		5,412
3.125%, 5/15/48		2,430,000		3,404
3.500%, 2/15/39		50,000		71
3.875%, 8/15/40		40,000		60
4.250%, 11/15/40		1,800,000		2,812
4.375%, 2/15/38		2,240,000		3,481
4.500%, 5/15/38		1,440,000		2,271
US Treasury Inflation Index Bond
0.125%, 4/15/22		316,347		321
0.375%, 1/15/27		74,314		80
0.375%, 7/15/27		639,494		696
0.500%, 1/15/28		1,081,236		1,185
0.625%, 1/15/26		32,378		35
0.750%, 7/15/28		1,338,335		1,510
0.875%, 1/15/29		497,654		567
1.000%, 2/15/48		207,988		275
1.375%, 2/15/44		143,046		195
1.750%, 1/15/28		440,680		526
2.500%, 1/15/29		406,110		521
3.625%, 4/15/28		158,555		214
US Treasury Stripped
0.000%, 8/15/34		850,000		733
0.000%, 11/15/43		700,000		500
Total				186,030

Total Governments (Cost: $182,709)				186,030

Structured Products (15.4%)
Asset Backed Securities (0.8%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A
0.935%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A		67,081		65
Massachusetts Educational Financing Authority, Series 2008-1, Class A1
1.941%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38		39,717		39
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A
3.430%, 12/16/24 144A		600,000		608
SLM Student Loan Trust, Series 2003-7A, Class A5A
1.513%, (ICE LIBOR USD 3 Month plus 1.200%), 12/15/33 144A		104,488		101
Towd Point Mortgage Trust, Series 2019-4, Class A1
2.900%, (AFC), 10/25/59 144A		180,518		190
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1
3.000%, (AFC), 11/25/59 144A		240,238		244
Total				1,247

Mortgage Securities (14.6%)
BWAY Mortgage Trust, Series 2013-1515, Class A2
3.454%, 3/10/33 144A		300,000		321

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

118

Long-Term U.S. Government Bond Portfolio


Structured Products (15.4%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A
2.871%, (CSTR), 11/10/31 144A		600,000		611
COMM Mortgage Trust, Series 2018-HOME, Class A
3.942%, (AFC), 4/10/33 144A		200,000		226
Commercial Mortgage Pass Through Certificates, Series 2016-667M, Class A
3.140%, 10/10/36 144A		700,000		744
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3
3.303%, (CSTR), 7/25/33		738		1
DBWF Mortgage Trust, Series 2016-85T, Class A
3.791%, 12/10/36 144A		800,000		888
Federal Home Loan Mortgage Corp., Series 2752, Class EZ
5.500%, 2/15/34		215,834		247
Federal Home Loan Mortgage Corp., Series 3759, Class FB
0.685%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40		40,904		41
Federal Home Loan Mortgage Corp., Series 4092, Class AY
3.000%, 8/15/32		2,200,000		2,403
Federal Home Loan Mortgage Corp., Series 4387, Class AZ
4.000%, 9/15/44		2,516,237		2,831
Federal Home Loan Mortgage Corp., Series 4398, Class ZX
4.000%, 9/15/54		752,363		915
Federal Home Loan Mortgage Corp., Series 4830, Class ZG
3.000%, 4/15/53		714,592		745
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1
2.904%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus
1.400%), 7/25/44		7,939		8
Federal National Mortgage Association
3.600%, 2/1/40		611,117		657
5.000%, 6/1/35		43,608		50
5.000%, 2/1/36		67,926		78
5.500%, 5/1/49		68,534		76
Federal National Mortgage Association TBA
2.500%, 8/13/50		800,000		832
2.500%, 9/14/50		1,700,000		1,765
3.000%, 9/14/50		1,500,000		1,574
Federal National Mortgage Association, Series 2007-39, Class NZ
4.250%, 5/25/37		195,255		209
Federal National Mortgage Association, Series 2012-101, Class FC
0.685%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42		65,243		65
Federal National Mortgage Association, Series 2016-61, Class ML
3.000%, 9/25/46		900,000		994


Structured Products (15.4%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2
4.325%, (CSTR), 10/25/52 144A		577,190		661
Government National Mortgage Association, Series 2010-26, Class OW
0.000%, 2/20/40		511,691		467
Government National Mortgage Association, Series 2010-75, Class OA
0.000%, 9/20/35		372,870		349
GS Mortgage Securities Trust, Series 2015- 590M, Class B
3.932%, (CSTR), 10/10/35 144A		300,000		315
Hilton USA Trust, Series 2016-HHV, Class A
3.719%, 11/5/38 144A		300,000		307
Hilton USA Trust, Series 2016-HHV, Class C
4.333%, (CSTR), 11/5/38 144A		400,000		388
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A
3.868%, (CSTR, AFC), 5/25/33		987		1
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class ASB
3.514%, 12/15/49		700,000		752
Morgan Stanley Capital I Trust, Series 2018- MP, Class A
4.418%, (CSTR), 7/11/40 144A		100,000		108
MSSG Trust, Series 2017-237P, Class A
3.397%, 9/13/39 144A		700,000		742
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1
2.750%, (AFC), 11/25/59 144A		191,154		200
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1
0.854%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34		3,364		3
VNDO Trust, Series 2016-350P, Class A
3.805%, 1/10/35 144A		800,000		889
WaMu Mortgage Pass-Through Certificates, Series 2004-AR1, Class A
3.838%, (CSTR, AFC), 3/25/34		7,684		8
Worldwide Plaza Trust, Series 2017-WWP, Class A
3.526%, 11/10/36 144A		100,000		110
Total				21,581

Total Structured Products (Cost: $21,646)				22,828

Short-Term Investments (2.3%)
Money Market Funds (2.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#		3,438,965		3,439

Total				3,439


Total Short-Term Investments (Cost: $3,439)				3,439


Total Investments (144.5%) (Cost: $209,100)^@				213,650


Other Assets, Less Liabilities (-44.5%)				(65,840	)


Net Assets (100.0%)				147,810

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

119

Long-Term U.S. Government Bond Portfolio

Securities Sold Short


Description	Coupon			Maturity Date		Principal Amount (000’s)			Proceeds (000’s)			Value (000’s)
Federal National Mortgage Association TBA		3.500	%		7/14/50	$	(1,600)		$	(1,685)		$	(1,683)
Federal National Mortgage Association TBA		3.500	%		8/13/50		(3,000	)		(3,151	)		(3,155)
						$	(4,600	)	$	(4,836	)	$	(4,838)

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		4,800		48		9/20	$	6,036	$	(13	)	$	1
Ten-Year US Treasury Note Future		Long		USD		300		3		9/20		417		2			(1	)
Ultra Long Term US Treasury Bond Future		Short		USD		13,500		135		9/20		24,106		(55	)		63
Ultra Ten-Year US Treasury Note Future		Short		USD		800		8		9/20		1,260		(5	)		2
													$	(71	)	$	65

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-Month USD-LIBOR		1.250	%		6/25		1,400		USD	$	(5	)	$	(59	)	$	(64	)	$	1
3-Month USD-LIBOR		1.750	%		12/26		3,110		USD		103			(368	)		(265	)		3
3-Month USD-LIBOR		2.250	%		6/28		1,800		USD		20			(265	)		(245	)		3
3-Month USD-LIBOR		2.000	%		2/45		1,500		USD		(27	)		(347	)		(374	)		11
3-Month USD-LIBOR		1.750	%		6/47		600		USD		99			(223	)		(124	)		5
3-Month USD-LIBOR		2.384	%		9/47		2,000		USD		97			(832	)		(735	)		17
3-Month USD-LIBOR		2.750	%		12/47		800		USD		(25	)		(346	)		(371	)		7
										$	262		$	(2,440	)	$	(2,178	)	$	47


	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	$	47	$	66	$	113	$	–	$	(1)	$	(1)	$	–

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

144A

b	Cash or securities with an aggregate value of $108,831 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $204,896 and the net unrealized appreciation of investments based on that cost was $1,666 which is comprised of $4,783 aggregate gross unrealized appreciation and $3,117 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

120

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 June 30, 2020. 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	$	—		$	1,353		$	—
Governments		—			186,030			—
Structured Products		—			22,828			—
Short-Term Investments		3,439			—			—
Other Financial Instruments^
Futures		2			—			—

Total Assets:	$	3,441		$	210,211		$	—

Liabilities:
Other Financial Instruments^
Futures		(73	)		—			—
Interest Rate Swaps		—			(2,178	)		—
Securities Sold Short		—			(4,838	)		—

Total Liabilities:	$	(73	)	$	(7,016	)	$	—

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

121

Inflation Protection Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Governments		59.2%

		Structured Products		26.4%

		Corporate Bonds		12.7%

		Short-Term Investments & Other Net Assets		1.5%

		Municipal Bonds		0.2%

Sector Allocation is subject to change.

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

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.

122

Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Corporate Bonds (12.7%)	Shares/ Par ⁺		Value $ (000’s)
Basic Materials (0.0%)
The Dow Chemical Co.
3.500%, 10/1/24		200,000		216

Total				216


Communications (2.2%)
AT&T, Inc.
2.300%, 6/1/27		160,000		165
2.750%, 6/1/31		200,000		207
3.500%, 6/1/41		100,000		105
3.800%, 2/15/27		300,000		338
4.050%, 12/15/23		150,000		166
4.450%, 4/1/24		100,000		112
4.800%, 6/15/44		280,000		331
5.150%, 11/15/46		41,000		52
CBS Corp.
3.700%, 6/1/28		170,000		185
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
6.484%, 10/23/45		530,000		704
Comcast Corp.
1.950%, 1/15/31		260,000		265
2.800%, 1/15/51		190,000		194
3.750%, 4/1/40		100,000		118
6.500%, 11/15/35		350,000		532
Deutsche Telekom International Finance
3.600%, 1/19/27 144A		450,000		504
Discovery Communications LLC
3.625%, 5/15/30		100,000		109
T-Mobile USA, Inc.
2.550%, 2/15/31 144A		405,000		406
3.500%, 4/15/25 144A		1,850,000		2,017
3.875%, 4/15/30 144A		488,000		544
Verizon Communications, Inc.
5.012%, 8/21/54		300,000		435
ViacomCBS, Inc.
4.200%, 5/19/32		220,000		244
The Walt Disney Co.
2.200%, 1/13/28		400,000		417
3.600%, 1/13/51		160,000		178

Total				8,328


Consumer, Cyclical (0.6%)
Costco Wholesale Corp.
1.600%, 4/20/30		800,000		808
Ford Motor Credit Co. LLC
4.389%, 1/8/26		300,000		285
General Motors Co.
5.150%, 4/1/38		650,000		623
General Motors Financial Co., Inc.
2.750%, 6/20/25		460,000		453

Total				2,169


Consumer, Non-cyclical (1.3%)
AbbVie, Inc.
3.850%, 6/15/24 144A		150,000		165


Corporate Bonds (12.7%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
4.450%, 5/14/46		350,000		425
4.550%, 3/15/35 144A		270,000		332
Aetna, Inc.
2.750%, 11/15/22		230,000		240
Amgen, Inc.
3.625%, 5/22/24		240,000		263
Anthem, Inc.
2.375%, 1/15/25		110,000		116
Bristol-Myers Squibb Co.
3.625%, 5/15/24 144A		50,000		55
Cigna Corp.
4.500%, 2/25/26 144A		80,000		93
4.900%, 12/15/48		200,000		264
CVS Health Corp.
4.780%, 3/25/38		180,000		224
Duke University Health System, Inc.
3.920%, 6/1/47		268,000		334
Gilead Sciences, Inc.
3.650%, 3/1/26		200,000		229
The Kroger Co.
3.875%, 10/15/46		400,000		448
Mondelez International, Inc.
2.750%, 4/13/30		153,000		165
PayPal Holdings, Inc.
2.300%, 6/1/30		270,000		281
PepsiCo, Inc.
1.625%, 5/1/30		190,000		194
Pfizer, Inc.
1.700%, 5/28/30		230,000		234
Stryker Corp.
1.950%, 6/15/30		380,000		382
UnitedHealth Group, Inc.
1.250%, 1/15/26		134,000		136
Upjohn, Inc.
2.700%, 6/22/30 144A		340,000		349
4.000%, 6/22/50 144A		140,000		150

Total				5,079


Energy (1.2%)
Chevron Corp
1.995%, 5/11/27		260,000		272
Enbridge, Inc.
3.500%, 6/10/24		150,000		163
3.700%, 7/15/27		200,000		221
Energy Transfer Operating LP
5.300%, 4/15/47		455,000		439
Energy Transfer Partners LP
3.600%, 2/1/23		100,000		103
Enterprise Products Operating LLC
4.850%, 3/15/44		100,000		116
Equinor ASA
1.750%, 1/22/26		260,000		266
Magellan Midstream Partners LP
5.150%, 10/15/43		150,000		166
MPLX LP
4.500%, 4/15/38		200,000		200

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

123

Inflation Protection Portfolio


Corporate Bonds (12.7%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
5.200%, 3/1/47		200,000		215
Petroleos Mexicanos
3.500%, 1/30/23		130,000		124
4.875%, 1/18/24		400,000		384
Phillips 66
2.150%, 12/15/30		390,000		377
Sabine Pass Liquefaction LLC
5.625%, 3/1/25		500,000		571
Schlumberger Investment S.A.
2.650%, 6/26/30		240,000		246
Transcontinental Gas Pipe Line Co. LLC
3.250%, 5/15/30 144A		260,000		278
Williams Partners LP
4.125%, 11/15/20		80,000		80
4.300%, 3/4/24		300,000		326

Total				4,547


Financial (4.9%)
American International Group, Inc.
4.500%, 7/16/44		315,000		367
Bank of America Corp.
2.496%, (ICE LIBOR USD 3 Month plus 0.990%), 2/13/31		1,124,000		1,178
3.300%, 1/11/23		425,000		453
Barclays PLC
2.645%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.900%), 6/24/31		300,000		298
Capital One Financial Corp.
3.750%, 3/9/27		330,000		364
Citigroup, Inc.
2.350%, 8/2/21		300,000		306
2.572%, (US SOFR plus 2.107%), 6/3/31		410,000		424
4.050%, 7/30/22		450,000		478
4.075%, (ICE LIBOR USD 3 Month plus 1.192%), 4/23/29		300,000		342
Cooperatieve Rabobank UA
1.339%, (US Treasury Yield Curve Rate plus 1.000%), 6/24/26 144A		570,000		570
3.950%, 11/9/22		250,000		265
Credit Suisse AG
2.800%, 4/8/22		370,000		384
3.625%, 9/9/24		250,000		276
Credit Suisse Group AG
2.193%, (US SOFR plus 2.044%), 6/5/26 144A		555,000		562
Crown Castle International Corp.
2.250%, 1/15/31		100,000		101
3.300%, 7/1/30		567,000		619
Discover Bank
3.450%, 7/27/26		300,000		324
Equinix, Inc.
1.250%, 7/15/25		310,000		310
1.800%, 7/15/27		170,000		170
Five Corners Funding Trust II
2.850%, 5/15/30 144A		445,000		459
The Goldman Sachs Group, Inc.
2.600%, 2/7/30		407,000		425
3.500%, 11/16/26		400,000		440
3.750%, 5/22/25		850,000		942


Corporate Bonds (12.7%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
The Hartford Financial Services Group, Inc.
3.600%, 8/19/49		81,000		85
HSBC Holdings PLC
4.041%, (ICE LIBOR USD 3 Month plus 1.546%), 3/13/28		230,000		254
Huntington Bancshares, Inc.
4.350%, 2/4/23		355,000		382
JPMorgan Chase & Co.
2.182%, (US SOFR plus 1.890%), 6/1/28		530,000		548
3.897%, (ICE LIBOR USD 3 Month plus 1.220%), 1/23/49		400,000		483
4.500%, 1/24/22		750,000		797
Kilroy Realty LP
3.800%, 1/15/23		120,000		124
Lloyds Banking Group PLC
2.438%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.000%), 2/5/26		200,000		207
Metropolitan Life Global Funding I
0.900%, 6/8/23 144A		398,000		400
Morgan Stanley
2.188%, (US SOFR plus 1.990%), 4/28/26		801,000		833
2.699%, (US SOFR plus 1.143%), 1/22/31		190,000		202
3.875%, 1/27/26		250,000		283
New York Life Global Funding
2.900%, 1/17/24 144A		710,000		761
Nordea Bank Abp
1.000%, 6/9/23 144A		240,000		243
Royal Bank of Scotland Group PLC
2.359%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.150%), 5/22/24		330,000		339
Teachers Insurance & Annuity Association of America
3.300%, 5/15/50 144A		267,000		275
Truist Bank
2.250%, 3/11/30		593,000		599
Ventas Realty LP / Ventas Capital Corp.
3.250%, 8/15/22		250,000		256
Wells Fargo & Co.
1.654%, (US SOFR plus 1.600%), 6/2/24		200,000		203
2.393%, (US SOFR plus 2.100%), 6/2/28		150,000		155
3.550%, 9/29/25		175,000		195
4.100%, 6/3/26		330,000		372
4.125%, 8/15/23		220,000		240
Welltower, Inc.
2.750%, 1/15/31		340,000		338

Total				18,631


Industrial (0.8%)
Agilent Technologies, Inc.
2.100%, 6/4/30		190,000		195
The Boeing Co.
5.150%, 5/1/30		400,000		446
Burlington Northern Santa Fe LLC
3.000%, 4/1/25		200,000		220
3.750%, 4/1/24		200,000		221
4.950%, 9/15/41		100,000		131
Lockheed Martin Corp.
3.800%, 3/1/45		200,000		243

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

124

Inflation Protection Portfolio


Corporate Bonds (12.7%)	Shares/ Par ⁺		Value $ (000’s)
Industrial continued
Norfolk Southern Corp.
3.050%, 5/15/50		400,000		412
Raytheon Co.
2.250%, 7/1/30		380,000		396
Republic Services, Inc.
2.300%, 3/1/30		410,000		428
Union Pacific Corp.
2.750%, 4/15/23		100,000		105
WRKCo, Inc.
3.000%, 6/15/33		170,000		177

Total				2,974


Technology (0.8%)
Adobe, Inc.
2.300%, 2/1/30		615,000		664
Apple, Inc.
1.125%, 5/11/25		120,000		122
Broadcom Corp. / Broadcom Cayman Finance, Ltd.
3.125%, 1/15/25		138,000		147
Fiserv, Inc.
2.250%, 6/1/27		270,000		282
Infor, Inc.
1.450%, 7/15/23 144A		90,000		91
1.750%, 7/15/25 144A		110,000		110
International Business Machines Corp.
1.700%, 5/15/27		300,000		306
1.950%, 5/15/30		200,000		205
NetApp, Inc.
1.875%, 6/22/25		100,000		101
NXP BV / NXP Funding LLC / NXP USA, Inc.
2.700%, 5/1/25 144A		70,000		74
3.150%, 5/1/27 144A		256,000		272
Oracle Corp.
2.500%, 10/15/22		300,000		314
2.650%, 7/15/26		150,000		162
QUALCOMM, Inc.
2.150%, 5/20/30		300,000		312

Total				3,162


Utilities (0.9%)
AEP Transmission Co., LLC
3.750%, 12/1/47		200,000		229
American Electric Power Co., Inc.
3.200%, 11/13/27		200,000		220
Dominion Resources, Inc.
4.900%, 8/1/41		320,000		399
Duke Energy Corp.
3.150%, 8/15/27		150,000		166
Duke Energy Florida LLC
1.750%, 6/15/30		400,000		404
Essential Utilities, Inc.
2.704%, 4/15/30		370,000		387
FirstEnergy Corp.
4.850%, 7/15/47		300,000		380
NextEra Energy Capital Holdings, Inc.
3.550%, 5/1/27		200,000		227
Sempra Energy
3.250%, 6/15/27		250,000		275
Southern Co. Gas Capital Corp.
3.950%, 10/1/46		200,000		220


Corporate Bonds (12.7%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
Xcel Energy, Inc.
3.400%, 6/1/30		510,000		586

Total				3,493


Total Corporate Bonds (Cost: $45,812)				48,599


Governments (59.2%)
Governments (59.2%)
Australian Government Inflation Linked Bond
4.000%, 8/20/20 AUD §,¥		715,000		875
Canadian Government Real Return Bond
3.000%, 12/1/36 CAD ¥		3,624,143		4,013
4.000%, 12/1/31 CAD ¥		1,782,360		1,971
4.250%, 12/1/21 CAD ¥		784,214		610
4.250%, 12/1/26 CAD ¥		14,759,048		14,105
Tennessee Valley Authority
4.700%, 7/15/33		1,658,000		2,297
US Treasury
0.125%, 4/15/25		2,002,740		2,100
0.250%, 7/15/29		13,935,445		15,254
US Treasury Inflation Index Bond
0.125%, 1/15/30 b		18,290,363		19,775
0.125%, 4/15/22		5,272,450		5,355
0.125%, 1/15/23		1,944,268		1,994
0.125%, 7/15/26		4,867,863		5,175
0.250%, 2/15/50		3,162,012		3,550
0.250%, 1/15/25		10,718,928		11,289
0.375%, 7/15/23		13,554,108		14,128
0.375%, 7/15/25		4,217,460		4,509
0.375%, 1/15/27		8,386,877		9,047
0.375%, 7/15/27		3,931,313		4,277
0.500%, 1/15/28		727,755		798
0.625%, 2/15/43		7,417,543		8,745
0.625%, 1/15/24		10,715,933		11,296
0.625%, 1/15/26		9,335,686		10,119
0.750%, 2/15/42		7,291,861		8,736
0.750%, 2/15/45		8,494,434		10,396
0.750%, 7/15/28		6,589,514		7,434
0.875%, 2/15/47		2,709,018		3,457
1.000%, 2/15/46		1,244,657		1,610
1.000%, 2/15/48		1,195,931		1,582
1.000%, 2/15/49		2,648,693		3,537
1.375%, 2/15/44		6,249,988		8,533
1.750%, 1/15/28		3,176,565		3,792
2.000%, 1/15/26		3,165,572		3,683
2.125%, 2/15/40		2,491,629		3,675
2.125%, 2/15/41		4,432,548		6,625
2.375%, 1/15/25		2,244,792		2,587
2.375%, 1/15/27		4,355,401		5,293
2.500%, 1/15/29		854,025		1,095
3.625%, 4/15/28		2,378,325		3,202

Total				226,519


Total Governments (Cost: $205,727)				226,519


Municipal Bonds (0.2%)
Municipal Bonds (0.2%)
Energy Northwest
5.000%, 7/1/39 RB		305,000		402
Santa Clara Valley Transportation Authority
5.876%, 4/1/32 RB		50,000		63

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

125

Inflation Protection Portfolio


Municipal Bonds (0.2%)	Shares/ Par ⁺		Value $ (000’s)
Municipal Bonds continued
University of Texas System
5.000%, 8/15/40 RB		240,000		369

Total Municipal Bonds (Cost: $794)				834


Structured Products (26.4%)
Asset Backed Securities (9.7%)
Bean Creek CLO, Ltd., Series 2018-1A, Class AR
2.155%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A		1,250,000		1,200
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A
2.940%, 5/25/29 144A		255,354		253
CIFC Funding, Ltd., Series 2013-3RA, Class A1
2.000%, (ICE LIBOR USD 3 Month plus 0.980%), 4/24/31 144A		1,000,000		973
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR
2.255%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A		1,125,000		1,102
Hertz Fleet Lease Funding LP, Series 2018-1, Class A2
3.230%, 5/10/32 144A		2,393,188		2,405
Hilton Grand Vacations Trust, Series 2014- AA, Class A
1.770%, 11/25/26 144A		78,619		78
Hilton Grand Vacations Trust, Series 2017- AA, Class A
2.660%, 12/26/28 144A		1,080,675		1,067
Hilton Grand Vacations Trust, Series 2019- AA, Class B
2.540%, 7/25/33 144A		1,594,904		1,524
KKR CLO, Ltd., Series 2018-22A, Class A
2.285%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A		1,500,000		1,446
Magnetite VIII, Ltd., Series 2018-8A, Class AR2
2.199%, (ICE LIBOR USD 3 Month plus 0.980%), 4/15/31 144A		1,750,000		1,703
MVW Owner Trust, Series 2015-1A, Class A
2.520%, 12/20/32 144A		185,705		184
MVW Owner Trust, Series 2016-1A, Class A
2.250%, 12/20/33 144A		158,042		156
MVW Owner Trust, Series 2019-2A, Class A
2.220%, 10/20/38 144A		1,298,131		1,298
Progress Residential Trust, Series 2018- SFR1, Class A
3.255%, 3/17/35 144A		4,244,834		4,293
Progress Residential Trust, Series 2019- SFR1, Class A
3.422%, 8/17/35 144A		1,998,027		2,068
Progress Residential Trust, Series 2019- SFR3, Class A
2.271%, 9/17/36 144A		3,800,000		3,876
Progress Residential Trust, Series 2019- SFR4, Class B
2.937%, 11/17/36 144A		2,400,000		2,447


Structured Products (26.4%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Progress Residential Trust, Series 2020- SFR2, Class A
2.078%, 6/18/37 144A		1,100,000		1,131
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A
3.080%, 3/21/33 144A		127,738		128
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A
3.200%, 1/20/36 144A		679,633		693
Sierra Timeshare Receivables Funding LLC, Series 2019-3, Class B
2.750%, 7/15/38 144A		2,638,408		2,481
Sounds Point CLO IV-R, Ltd., Series 2013- 3RA, Class A
2.285%, (ICE LIBOR USD 3 Month plus 1.150%), 4/18/31 144A		1,400,000		1,347
Towd Point Mortgage Trust, Series 2017-2, Class A2
3.250%, (AFC), 4/25/57 144A		2,500,000		2,599
Towd Point Mortgage Trust, Series 2018-4, Class A1
3.000%, (AFC), 6/25/58 144A		796,478		840
Treman Park CLO, Ltd., Series 2015-1A, Class ARR
2.205%, (ICE LIBOR USD 3 Month plus 1.070%), 10/20/28 144A		1,500,000		1,478
VSE VOI Mortgage LLC, Series 2017-A, Class A
2.330%, 3/20/35 144A		522,660		524

Total				37,294


Mortgage Securities (16.7%)
Agate Bay Mortgage Trust, Series 2014-3, Class A2
3.500%, (AFC), 11/25/44 144A		475,559		490
Agate Bay Mortgage Trust, Series 2015-7, Class A3
3.500%, (AFC), 10/25/45 144A		922,915		951
Agate Bay Mortgage Trust, Series 2016-1, Class A3
3.500%, (AFC), 12/25/45 144A		675,163		682
Agate Bay Mortgage Trust, Series 2016-3, Class A3
3.500%, (AFC), 8/25/46 144A		485,618		499
Angel Oak Mortgage Trust I LLC 2019-4
3.301%, (AFC), 7/26/49 144A		601,772		605
Arroyo Mortgage Trust, Series 2020-1, Class A1B
2.100%, 3/25/55 144A		758,000		758
Bunker Hill Loan Depositary Trust, Series 2020-1, Class A1
1.000%, (CSTR, AFC), 2/25/55 144A		2,100,000		2,100
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3
6.000%, 9/25/37		27,376		28
Citigroup Mortgage Loan Trust, Series 2019- IMC1, Class A1
2.720%, (AFC), 7/25/49 144A		776,977		787

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

126

Inflation Protection Portfolio


Structured Products (26.4%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Connecticut Avenue Securities, Series 2014- C04, Class 2M2
5.185%, (ICE LIBOR USD 1 Month plus 5.000%), 11/25/24		351,583		361
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10
3.500%, (AFC), 12/25/44 144A		290,659		299
Credit Suisse Mortgage Trust, Series 2019- NQM1, Class A1
2.656%, (AFC), 10/25/59 144A		1,581,429		1,611
CSMC Commerical Mortgage Trust, Series 2019-AFC1, Class A1
2.573%, (AFC), 7/25/49 144A		822,199		839
Federal Home Loan Mortgage Corp.
4.000%, 5/1/42		2,763,055		3,036
4.500%, 4/1/41		2,151,498		2,393
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series 2019-K088, Class A2
3.690%, 1/25/29		3,000,000		3,583
Federal Home Loan Mortgage Corp., Series 2014-DNA1, Class M2
2.385%, (ICE LIBOR USD 1 Month plus 2.200%), 2/25/24		718,714		720
Federal Home Loan Mortgage Corp., Series 2015-DNA1, Class M3
3.485%, (ICE LIBOR USD 1 Month plus 3.300%), 10/25/27		2,938,728		2,983
Federal Home Loan Mortgage Corp., Series K108, Class A2
1.517%, 3/25/30		4,000,000		4,161
Federal National Mortgage Association
2.500%, 4/1/50		7,400,000		7,718
2.500%, 6/1/50		7,700,000		8,025
4.000%, 2/1/46		3,168,680		3,412
Federal National Mortgage Association, Series 2018-C03, Class 1EB2
2.785%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24		973,464		859
Galton Funding Mortgage Trust, Series 2020- H1, Class A1
2.310%, (AFC), 1/25/60 144A		637,008		639
JP Morgan Mortgage Trust, Series 2013-1, Class 2A2
2.500%, (AFC), 3/25/43 144A		387,334		396
JP Morgan Mortgage Trust, Series 2014-5, Class A1
2.960%, (AFC), 10/25/29 144A		537,724		558
JP Morgan Mortgage Trust, Series 2016-1, Class A7
3.500%, 5/25/46 144A		1,750,000		1,803
JP Morgan Mortgage Trust, Series 2017-1, Class A2
3.500%, (AFC), 1/25/47 144A		1,281,288		1,314
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3
4.000%, (CSTR), 3/25/57 144A		819,795		881
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1
1.685%, (ICE LIBOR USD 1 Month plus 1.500%), (AFC), 6/25/57 144A		849,223		850


Structured Products (26.4%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Sequoia Mortgage Trust, Series 2014-3, Class A14
3.000%, (AFC), 10/25/44 144A		72,030		72
Sequoia Mortgage Trust, Series 2014-4, Class A2
3.500%, (AFC), 11/25/44 144A		43,520		44
Sequoia Mortgage Trust, Series 2017-7, Class A7
3.500%, (AFC), 10/25/47 144A		2,250,000		2,326
Sequoia Mortgage Trust, Series 2017-CH1, Class A1
4.000%, (AFC), 10/25/47 144A		619,646		632
Sequoia Mortgage Trust, Series 2019-4, Class A7
3.500%, (AFC), 11/25/49 144A		3,750,000		3,925
Thornburg Mortgage Securities Trust, Series 2004-3, Class A
0.925%, (ICE LIBOR USD 1 Month plus 0.740%), (AFC), 9/25/44		200,645		187
Verus Securitization Trust, Series 2019-4, Class A3
3.000%, (AFC), 11/25/59 144A		1,232,136		1,254
Verus Securitization Trust, Series 2020-1, Class A3
2.724%, (AFC), 1/25/60 144A		759,840		756
Vista Point Securitization Trust
2.770%, (AFC), 3/25/65 144A		1,200,000		1,200

Total				63,737


Total Structured Products (Cost: $99,779)				101,031


Short-Term Investments (3.7%)
Financial (0.2%)
American Tower Corp.
3.300%, 2/15/21		925,000		941

Total				941


Money Market Funds (3.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#		13,364,741		13,365

Total				13,365


Total Short-Term Investments (Cost: $14,299)				14,306


Total Investments (102.2%) (Cost: $366,411)^@				391,289


Other Assets, Less Liabilities (-2.2%)				(8,305	)


Net Assets (100.0%)				382,984

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

127

Inflation Protection Portfolio

Exchange Traded or Centrally Cleared Derivatives

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 Index - 3 Month USD LIBOR		1.777	%		6/24		11,000		USD	$	–		$	(335	)	$	(335	)	$	8
U.S. Consumer Price Index - 3 Month USD LIBOR		1.715	%		6/24		7,400		USD		–			(209	)		(209	)		6
U.S. Consumer Price Index - 3 Month USD LIBOR		1.860	%		7/24		7,500		USD		–			(277	)		(277	)		6
U.S. Consumer Price Index - 3 Month USD LIBOR		1.858	%		8/24		12,700		USD		(1	)		(466	)		(467	)		10
U.S. Consumer Price Index - 3 Month USD LIBOR		1.616	%		10/24		7,500		USD		–			(176	)		(176	)		6
U.S. Consumer Price Index - 3 Month USD LIBOR		2.073	%		8/27		3,500		USD		–			(213	)		(213	)		5
U.S. Consumer Price Index - 3 Month USD LIBOR		2.145	%		11/27		5,000		USD		(1	)		(364	)		(365	)		7
U.S. Consumer Price Index - 3 Month USD LIBOR		1.793	%		10/29		3,700		USD		(1	)		(136	)		(137	)		5
U.S. Consumer Price Index - 3 Month USD LIBOR		1.800	%		10/29		3,700		USD		(1	)		(138	)		(139	)		5
U.S. Consumer Price Index - 3 Month USD LIBOR		1.884	%		11/29		2,000		USD		(1	)		(91	)		(92	)		3
U.S. Consumer Price Index - 3 Month USD LIBOR		1.078	%		6/25		3,000		USD		–			26			26			3
U.S. Consumer Price Index - 3 Month USD LIBOR		1.291	%		5/30		2,000		USD		–			41			41			2
U.S. Consumer Price Index - 3 Month USD LIBOR		1.498	%		6/30		3,000		USD		1			11			12			4
U.S. Consumer Price Index - 3 Month USD LIBOR		1.629	%		6/30		2,000		USD		1			(9	)		(8	)		3
										$	(3	)	$	(2,336	)	$	(2,339	)	$	73

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

–

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

128

Inflation Protection 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 Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services, Inc.	AUD		1,247		861		9/23/20	$	13	$	—	$	13
Sell	Morgan Stanley Capital Services, Inc.	CAD		27,362		20,158		9/23/20		246		—		246
									$	259	$	—	$	259

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		2.670%		4/22		3,000	$	(506	)	$	(506	)
CPURNSA	Bank of America NA		2.763%		3/23		700		(116	)		(116	)
CPURNSA	Bank of America NA		2.528%		8/24		2,750		(394	)		(394	)
CPURNSA	Bank of America NA		2.140%		7/25		2,900		(210	)		(210	)
CPURNSA	Bank of America NA		1.790%		8/25		1,500		(55	)		(55	)
CPURNSA	Bank of America NA		2.240%		4/27		3,500		(306	)		(306	)
CPURNSA	Bank of America NA		2.218%		4/27		2,000		(170	)		(170	)
CPURNSA	Bank of America NA		2.235%		4/27		2,000		(173	)		(173	)
CPURNSA	Bank of America NA		2.235%		5/27		5,000		(432	)		(432	)
CPURNSA	Barclays Bank PLC		2.526%		5/23		5,500		(776	)		(776	)
CPURNSA	Barclays Bank PLC		2.535%		5/23		1,000		(142	)		(142	)
CPURNSA	Barclays Bank PLC		2.589%		7/24		1,400		(210	)		(210	)
CPURNSA	Barclays Bank PLC		2.385%		9/24		4,000		(500	)		(500	)
CPURNSA	Barclays Bank PLC		2.363%		9/24		3,500		(427	)		(427	)
CPURNSA	Barclays Bank PLC		2.310%		9/24		1,400		(162	)		(162	)
CPURNSA	Barclays Bank PLC		2.895%		12/27		1,700		(663	)		(663	)
CPURNSA	Barclays Bank PLC		2.784%		7/44		1,400		(777	)		(777	)
CPURNSA	Goldman Sachs International		1.870%		5/26		8,500		(274	)		(274	)
CPURNSA	Goldman Sachs International		1.920%		5/26		7,000		(267	)		(267	)
CPURNSA	Goldman Sachs International		1.770%		6/26		6,000		(129	)		(129	)
CPURNSA	Goldman Sachs International		2.245%		11/26		3,000		(243	)		(243	)
CPURNSA	Goldman Sachs International		2.280%		11/26		3,000		(256	)		(256	)
CPURNSA	Goldman Sachs International		2.280%		11/26		4,000		(342	)		(342	)
								$	(7,530	)	$	(7,530	)


	Financial Derivative Assets (000’s)					Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps	Total		Forward Contracts	Options		Swaps			Total
Total Over the Counter Derivatives	$	259	—	$	259	—		—	$	(7,530	)	$	(7,530)

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

144A

¥	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 June 30, 2020, the aggregate value of these securities was $875 (in thousands), representing 0.2% of net assets.

b	Cash or securities with an aggregate value of $19,775 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

#	7-Day yield as of 6/30/2020.

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

129

Inflation Protection Portfolio

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $366,408 and the net unrealized appreciation of investments based on that cost was $15,271 which is comprised of $26,652 aggregate gross unrealized appreciation and $11,381 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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		$	—	$	834		$	—
Corporate Bonds			—		48,599			—
Governments			—		226,519			—
Structured Products
Mortgage Securities			—		61,779			1,958
All Others			—		37,294			—
Short-Term Investments
Money Market Funds			13,365		—			—
All Others			—		941			—
Other Financial Instruments^
Forward Currency Contracts			—		259			—
Total Return Swaps			—		79			—

Total Assets:		$	13,365	$	376,304		$	1,958

Liabilities:
Other Financial Instruments^
Total Return Swaps			—		(9,948	)		—

Total Liabilities:		$	—	$	(9,948	)	$	—

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

130

High Yield Bond Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Consumer, Non-Cyclical		19.5%

		Communications		17.1%

		Consumer, Cyclical		13.7%

		Energy		13.4%

		Industrial		12.6%

		Financial		6.8%

		Technology		6.0%

		Short-Term Investments & Other Net Assets		4.3%

		Basic Materials		4.0%

		Utilities		2.4%

		Diversified		0.1%

		Materials		0.1%

		Other Holdings		–%

Sector Allocation is subject to change.

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.

131

High Yield Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Common Stocks (0.1%)	Shares/ Par ⁺		Value $ (000’s)
Communications (0.0%)
iHeartMedia, Inc. *		22,266		186

Total				186


Materials (0.1%)
Hexion Holdings Corp. *		42,192		285

Total				285


Total Common Stocks (Cost: $1,182)				471


Corporate Bonds (95.4%)
Basic Materials (4.0%)
Alpha 2 BV
8.750%, 6/1/23 144A		1,050,000		1,047
Alpha 3 BV / Alpha US Bidco, Inc.
6.250%, 2/1/25 144A		2,900,000		2,857
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding
4.750%, 6/15/27 144A		350,000		352
Clearwater Paper Corp.
5.375%, 2/1/25 144A		3,300,000		3,325
Compass Minerals International, Inc.
4.875%, 7/15/24 144A		2,500,000		2,506
6.750%, 12/1/27 144A		1,625,000		1,706
Freeport-McMoRan, Inc.
3.875%, 3/15/23		2,100,000		2,103
4.125%, 3/1/28		700,000		679
5.000%, 9/1/27		925,000		929
5.250%, 9/1/29		725,000		743
5.400%, 11/14/34		1,775,000		1,755
Hexion, Inc.
7.875%, 7/15/27 144A		2,025,000		1,843
HudBay Minerals, Inc.
7.250%, 1/15/23 144A		600,000		591
7.625%, 1/15/25 144A		2,525,000		2,418
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.
9.000%, 7/1/28 144A		175,000		182
Platform Specialty Products Corp.
5.875%, 12/1/25 144A		2,050,000		2,070
PQ Corp.
5.750%, 12/15/25 144A		1,000,000		1,008
6.750%, 11/15/22 144A		550,000		560
Starfruit Finco BV / Starfruit US Holdco LLC
8.000%, 10/1/26 144A		3,425,000		3,506
W.R. Grace & Co.
4.875%, 6/15/27 144A		875,000		886

Total				31,066


Communications (17.1%)
Altice France SA
8.125%, 2/1/27 144A		275,000		301
AMC Networks, Inc.
4.750%, 8/1/25		1,500,000		1,474
5.000%, 4/1/24		2,275,000		2,252
Cablevision Systems Corp.
5.875%, 9/15/22		2,225,000		2,325


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Communications continued
CBS Radio, Inc.
7.250%, 11/1/24 144A		2,275,000		1,979
CCO Holdings LLC / CCO Holdings Capital Corp.
4.500%, 8/15/30 144A		2,175,000		2,220
4.750%, 3/1/30 144A		3,600,000		3,683
5.000%, 2/1/28 144A		2,000,000		2,065
5.125%, 5/1/27 144A		1,975,000		2,043
5.375%, 5/1/25 144A		650,000		666
5.375%, 6/1/29 144A		1,050,000		1,108
5.500%, 5/1/26 144A		550,000		570
5.750%, 2/15/26 144A		2,350,000		2,431
5.875%, 4/1/24 144A		575,000		593
5.875%, 5/1/27 144A		1,650,000		1,722
CSC Holdings LLC
4.125%, 12/1/30 144A		950,000		942
5.250%, 6/1/24		1,650,000		1,752
5.375%, 7/15/23 144A		1,100,000		1,116
5.500%, 5/15/26 144A		650,000		667
5.500%, 4/15/27 144A		2,425,000		2,523
5.750%, 1/15/30 144A		2,525,000		2,637
6.500%, 2/1/29 144A		675,000		737
6.625%, 10/15/25 144A		1,250,000		1,298
7.500%, 4/1/28 144A		1,750,000		1,910
7.750%, 7/15/25 144A		2,250,000		2,340
Cumulus Media New Holdings, Inc.
6.750%, 7/1/26 144A		1,025,000		947
Diamond Sports Group LLC / Diamond Sports Finance Co.
5.375%, 8/15/26 144A		1,775,000		1,287
6.625%, 8/15/27 144A		2,600,000		1,394
DISH DBS Corp.
5.875%, 11/15/24		2,925,000		2,908
7.375%, 7/1/28 144A		500,000		497
7.750%, 7/1/26		2,000,000		2,120
Dolya Holdco 18 Designated Activity Co.
5.000%, 7/15/28 144A		975,000		963
Entercom Media Corp.
6.500%, 5/1/27 144A		2,025,000		1,817
Go Daddy Operating Co. LLC / GD Finance Co., Inc.
5.250%, 12/1/27 144A		950,000		967
Gray Escrow, Inc.
7.000%, 5/15/27 144A		750,000		769
Gray Television, Inc.
5.125%, 10/15/24 144A		325,000		325
5.875%, 7/15/26 144A		2,575,000		2,565
iHeartCommunications, Inc.
4.750%, 1/15/28 144A		425,000		392
5.250%, 8/15/27 144A		825,000		790
6.375%, 5/1/26		375,901		372
8.375%, 5/1/27		4,678,194		4,287
Intelsat Jackson Holdings SA
5.500%, 8/1/23 j		1,525,000		869
8.500%, 10/15/24 144A j		1,775,000		1,067
9.750%, 7/15/25 144A j		950,000		584

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

132

High Yield Bond Portfolio


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Communications continued
Lamar Media Corp.
4.875%, 1/15/29 144A		575,000		578
Match Group, Inc.
4.125%, 8/1/30 144A		2,675,000		2,619
4.625%, 6/1/28 144A		1,450,000		1,466
5.000%, 12/15/27 144A		825,000		858
Nexstar Broadcasting, Inc.
5.625%, 8/1/24 144A		2,825,000		2,846
5.625%, 7/15/27 144A		3,000,000		3,000
Outfront Media Capital LLC / Outfront Media Capital Corp.
4.625%, 3/15/30 144A		175,000		160
Scripps Escrow, Inc.
5.875%, 7/15/27 144A		1,725,000		1,634
SFR Group SA
7.375%, 5/1/26 144A		5,775,000		6,029
Sinclair Television Group, Inc.
5.125%, 2/15/27 144A		2,875,000		2,616
5.625%, 8/1/24 144A		825,000		792
5.875%, 3/15/26 144A		575,000		566
Sirius XM Radio, Inc.
3.875%, 8/1/22 144A		425,000		428
4.125%, 7/1/30 144A		1,775,000		1,751
4.625%, 5/15/23 144A		550,000		553
4.625%, 7/15/24 144A		1,825,000		1,874
5.375%, 4/15/25 144A		1,100,000		1,130
5.375%, 7/15/26 144A		1,675,000		1,730
5.500%, 7/1/29 144A		925,000		978
Sprint Capital Corp.
6.875%, 11/15/28		1,875,000		2,285
Sprint Corp.
7.125%, 6/15/24		1,150,000		1,299
7.625%, 2/15/25		1,525,000		1,759
7.625%, 3/1/26		500,000		590
7.875%, 9/15/23		3,240,000		3,649
TEGNA, Inc.
4.625%, 3/15/28 144A		600,000		552
5.000%, 9/15/29 144A		3,100,000		2,921
5.500%, 9/15/24 144A		495,000		500
Telenet Finance Luxembourg Notes SARL
5.500%, 3/1/28 144A		4,400,000		4,587
Terrier Media Buyer, Inc.
8.875%, 12/15/27 144A		3,900,000		3,739
T-Mobile USA, Inc.
4.500%, 2/1/26		525,000		531
5.125%, 4/15/25		2,700,000		2,761
6.000%, 3/1/23		750,000		753
6.375%, 3/1/25		1,685,000		1,731
6.500%, 1/15/24		425,000		434
6.500%, 1/15/26		875,000		914
Virgin Media Finance PLC
5.000%, 7/15/30 144A		1,475,000		1,440
Virgin Media Secured Finance PLC
4.500%, 8/15/30 144A		400,000		400
5.500%, 8/15/26 144A		425,000		435
5.500%, 5/15/29 144A		475,000		501
Ziggo Bond Co. BV
5.125%, 2/28/30 144A		575,000		571
6.000%, 1/15/27 144A		2,200,000		2,233


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Communications continued
Ziggo BV
4.875%, 1/15/30 144A		200,000		201
5.500%, 1/15/27 144A		2,180,000		2,216

Total				134,884


Consumer, Cyclical (13.7%)
1011778 BC ULC / New Red Finance, Inc.
3.875%, 1/15/28 144A		225,000		218
4.250%, 5/15/24 144A		1,400,000		1,402
4.375%, 1/15/28 144A		1,175,000		1,152
5.000%, 10/15/25 144A		4,700,000		4,677
Adient Global Holdings, Ltd.
4.875%, 8/15/26 144A		2,900,000		2,392
Adient US LLC
7.000%, 5/15/26 144A		375,000		388
9.000%, 4/15/25 144A		150,000		162
American Axle & Manufacturing, Inc.
6.250%, 3/15/26		200,000		192
6.500%, 4/1/27		2,500,000		2,427
American Builders & Contractors Supply Co., Inc.
4.000%, 1/15/28 144A		725,000		705
5.875%, 5/15/26 144A		3,275,000		3,242
Aramark Services, Inc.
5.000%, 4/1/25 144A		1,450,000		1,428
5.000%, 2/1/28 144A		2,100,000		1,995
6.375%, 5/1/25 144A		2,525,000		2,607
Boyd Gaming Corp.
4.750%, 12/1/27 144A		1,400,000		1,201
6.000%, 8/15/26		1,350,000		1,255
6.375%, 4/1/26		1,025,000		974
8.625%, 6/1/25 144A		200,000		209
CD&R Waterworks Merger Sub LLC
6.125%, 8/15/25 144A		3,875,000		3,862
Clarios Global LP
6.750%, 5/15/25 144A		150,000		156
Colt Merger Sub, Inc.
5.750%, 7/1/25 144A		275,000		276
6.250%, 7/1/25 144A		1,600,000		1,588
8.125%, 7/1/27 144A		1,725,000		1,678
CRC Escrow Issuer LLC / CRC Finco, Inc.
5.250%, 10/15/25 144A		1,075,000		935
Dana Financing Luxembourg Sarl
5.750%, 4/15/25 144A		650,000		660
6.500%, 6/1/26 144A		2,575,000		2,665
Dana, Inc.
5.375%, 11/15/27		350,000		347
5.625%, 6/15/28		175,000		174
Eldorado Resorts, Inc.
6.000%, 4/1/25		2,275,000		2,368
6.000%, 9/15/26		325,000		351
Ferrellgas LP / Ferrellgas Finance Corp.
6.750%, 1/15/22		1,200,000		1,008
6.750%, 6/15/23		575,000		474
Ford Motor Credit Co. LLC
3.096%, 5/4/23		350,000		332
3.336%, 3/18/21		1,450,000		1,435
3.813%, 10/12/21		1,900,000		1,874
4.063%, 11/1/24		1,700,000		1,621
4.140%, 2/15/23		800,000		783
4.271%, 1/9/27		1,675,000		1,566

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

133

High Yield Bond Portfolio


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Cyclical continued
4.389%, 1/8/26		1,200,000		1,138
5.113%, 5/3/29		2,400,000		2,341
5.125%, 6/16/25		825,000		827
The Goodyear Tire & Rubber Co.
4.875%, 3/15/27		775,000		710
5.000%, 5/31/26		1,350,000		1,258
Hanesbrands, Inc.
4.875%, 5/15/26 144A		700,000		705
Hilton Domestic Operating Co. Inc.
5.750%, 5/1/28 144A		550,000		556
Hilton Domestic Operating Co., Inc.
4.875%, 1/15/30		500,000		492
5.125%, 5/1/26		1,825,000		1,817
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.
4.625%, 4/1/25		725,000		709
IAA Spinco, Inc.
5.500%, 6/15/27 144A		450,000		465
IHO Verwaltungs GmbH
4.750%, 9/15/26 144A		2,925,000		2,867
6.000%, 5/15/27 144A		800,000		813
6.375%, 5/15/29 144A		900,000		914
JB Poindexter & Co., Inc.
7.125%, 4/15/26 144A		2,125,000		2,146
KAR Auction Services, Inc.
5.125%, 6/1/25 144A		1,425,000		1,404
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC
4.750%, 6/1/27 144A		550,000		564
5.000%, 6/1/24 144A		800,000		815
5.250%, 6/1/26 144A		1,600,000		1,640
MGM Resorts International
4.625%, 9/1/26		115,000		105
5.500%, 4/15/27		262,000		253
5.750%, 6/15/25		771,000		762
6.000%, 3/15/23		2,275,000		2,298
6.750%, 5/1/25		675,000		668
Michaels Stores, Inc.
8.000%, 7/15/27 144A		1,775,000		1,543
Mohegan Tribal Gaming Authority
7.875%, 10/15/24 144A		2,800,000		2,324
Newell Brands, Inc.
4.875%, 6/1/25		425,000		445
Panther BF Aggregator 2 LP / Panther Finance Co., Inc.
6.250%, 5/15/26 144A		300,000		309
8.500%, 5/15/27 144A		5,675,000		5,703
Party City Holdings, Inc.
6.125%, 8/15/23 144A		2,600,000		559
6.625%, 8/1/26 144A		2,525,000		543
Red Rock Resorts, Inc.
5.000%, 10/1/25 144A		2,150,000		1,892
Six Flags Entertainment Corp.
5.500%, 4/15/27 144A		3,575,000		3,195
7.000%, 7/1/25 144A		275,000		284
Stars Group Holdings BV
7.000%, 7/15/26 144A		3,950,000		4,164
Station Casinos LLC
4.500%, 2/15/28 144A		900,000		756


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Cyclical continued
Suburban Propane Partners LP / Suburban Energy Finance Corp.
5.500%, 6/1/24		3,275,000		3,242
5.750%, 3/1/25		275,000		275
5.875%, 3/1/27		900,000		891
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp.
5.875%, 5/15/25 144A		625,000		609
Vail Resorts, Inc.
6.250%, 5/15/25 144A		175,000		183
Viking Cruises, Ltd.
6.250%, 5/15/25 144A		300,000		171
VOC Escrow, Ltd.
5.000%, 2/15/28 144A		1,400,000		1,040
The William Carter Co.
5.500%, 5/15/25 144A		400,000		413
5.625%, 3/15/27 144A		225,000		232
WMG Acquisition Corp.
3.875%, 7/15/30 144A		575,000		581
Wyndham Hotels & Resorts, Inc.
5.375%, 4/15/26 144A		550,000		529
Yum! Brands, Inc.
4.750%, 1/15/30 144A		725,000		736
7.750%, 4/1/25 144A		350,000		378

Total				108,043


Consumer, Non-cyclical (19.4%)
Acadia Healthcare Co., Inc.
5.500%, 7/1/28 144A		225,000		226
5.625%, 2/15/23		975,000		975
6.500%, 3/1/24		3,975,000		4,045
Air Medical Merger Sub Corp.
6.375%, 5/15/23 144A		3,125,000		2,875
Albertsons Cos. LLC / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC
3.500%, 2/15/23 144A		325,000		329
4.875%, 2/15/30 144A		450,000		460
Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC
5.750%, 3/15/25		4,575,000		4,675
5.875%, 2/15/28 144A		700,000		722
6.625%, 6/15/24		1,300,000		1,332
7.500%, 3/15/26 144A		625,000		677
Allied Universal Holdco LLC
6.625%, 7/15/26 144A		1,125,000		1,181
9.750%, 7/15/27 144A		6,100,000		6,428
Avantor, Inc.
6.000%, 10/1/24 144A		825,000		862
9.000%, 10/1/25 144A		4,200,000		4,525
B&G Foods, Inc.
5.250%, 4/1/25		750,000		756
Bausch Health Cos., Inc.
5.000%, 1/30/28 144A		1,125,000		1,059
5.750%, 8/15/27 144A		775,000		821
6.250%, 2/15/29 144A		1,200,000		1,206
7.250%, 5/30/29 144A		1,950,000		2,046
The Brink’s Co.
5.500%, 7/15/25 144A		400,000		407
Centene Corp.
3.375%, 2/15/30		900,000		909
4.250%, 12/15/27		2,125,000		2,193

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

134

High Yield Bond Portfolio


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
4.625%, 12/15/29		2,425,000		2,568
4.750%, 1/15/25		2,175,000		2,226
5.250%, 4/1/25 144A		375,000		386
5.375%, 8/15/26 144A		800,000		832
Centene Escrow I Corp.
5.375%, 6/1/26 144A		1,550,000		1,607
Charles River Laboratories International, Inc.
5.500%, 4/1/26 144A		600,000		624
CHS / Community Health Systems, Inc.
6.250%, 3/31/23		2,525,000		2,378
6.625%, 2/15/25 144A		525,000		493
8.000%, 3/15/26 144A		1,050,000		992
8.625%, 1/15/24 144A		750,000		733
Edgewell Personal Care Co.
5.500%, 6/1/28 144A		875,000		900
Endo Finance LLC / Endo Finco, Inc.
6.000%, 6/30/28 144A		2,253,000		1,453
9.500%, 7/31/27 144A		1,545,000		1,634
Financial & Risk US Holdings, Inc.
6.250%, 5/15/26 144A		600,000		636
8.250%, 11/15/26 144A		4,750,000		5,144
Garda World Security Corp.
4.625%, 2/15/27 144A		875,000		862
Gartner, Inc.
4.500%, 7/1/28 144A		250,000		253
5.125%, 4/1/25 144A		850,000		870
GW B-CR Security Corp.
9.500%, 11/1/27 144A		4,619,000		4,885
HCA, Inc.
3.500%, 9/1/30		1,850,000		1,781
5.375%, 2/1/25		2,250,000		2,410
5.375%, 9/1/26		975,000		1,062
5.625%, 9/1/28		650,000		725
5.875%, 5/1/23		1,870,000		2,024
5.875%, 2/15/26		2,525,000		2,771
5.875%, 2/1/29		550,000		622
Jaguar Holding Co. II / Pharmaceutical Product Development LLC
4.625%, 6/15/25 144A		1,250,000		1,272
5.000%, 6/15/28 144A		1,000,000		1,024
Kraft Heinz Foods Co.
4.375%, 6/1/46		1,850,000		1,818
Lamb Weston Holdings, Inc.
4.875%, 11/1/26 144A		700,000		725
4.875%, 5/15/28 144A		300,000		318
LifePoint Health, Inc.
4.375%, 2/15/27 144A		625,000		591
6.750%, 4/15/25 144A		825,000		852
Mallinckrodt International Finance SA / Mallinckrodt CB LLC
5.500%, 4/15/25 144A		4,600,000		759
5.625%, 10/15/23 144A		2,775,000		541
MEDNAX, Inc.
6.250%, 1/15/27 144A		1,700,000		1,700
MPH Acquisition Holdings LLC
7.125%, 6/1/24 144A		5,375,000		4,999
The Nielsen Co. Luxembourg SARL
5.000%, 2/1/25 144A		1,275,000		1,268
Nielsen Finance LLC / Nielsen Finance Co.
5.000%, 4/15/22 144A		2,300,000		2,294


Corporate Bonds (95.4%)		Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
Par Pharmaceutical, Inc.
7.500%, 4/1/27 144A			325,000		334
Polaris Intermediate Corp.
8.500%, 12/1/22 144A			2,200,000		1,936
Post Holdings, Inc.
4.625%, 4/15/30 144A			925,000		908
5.000%, 8/15/26 144A			975,000		979
5.500%, 12/15/29 144A			375,000		388
5.625%, 1/15/28 144A			975,000		1,009
5.750%, 3/1/27 144A			3,775,000		3,907
Prestige Brands, Inc.
5.125%, 1/15/28 144A			425,000		419
6.375%, 3/1/24 144A	��		3,600,000		3,708
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc.
9.750%, 12/1/26 144A			3,325,000		3,392
Team Health Holdings, Inc.
6.375%, 2/1/25 144A			4,625,000		2,683
Teleflex, Inc.
4.250%, 6/1/28 144A			250,000		256
4.625%, 11/15/27			450,000		476
Tenet Healthcare Corp.
4.625%, 7/15/24			1,400,000		1,372
4.625%, 6/15/28 144A			125,000		122
4.875%, 1/1/26 144A			1,200,000		1,175
5.125%, 5/1/25			2,400,000		2,317
5.125%, 11/1/27 144A			1,450,000		1,431
6.750%, 6/15/23			2,100,000		2,084
7.000%, 8/1/25			1,625,000		1,593
7.500%, 4/1/25 144A			250,000		266
United Rentals North America, Inc.
3.875%, 11/15/27			325,000		324
4.000%, 7/15/30			525,000		508
4.875%, 1/15/28			1,525,000		1,563
5.250%, 1/15/30			425,000		439
5.500%, 7/15/25			225,000		231
5.500%, 5/15/27			800,000		824
5.875%, 9/15/26			850,000		891
6.500%, 12/15/26			600,000		630
US Foods, Inc.
5.875%, 6/15/24 144A			3,225,000		3,064
Valeant Pharmaceuticals International, Inc.
5.500%, 3/1/23 144A			403,000		401
5.500%, 11/1/25 144A			725,000		741
5.875%, 5/15/23 144A			165,000		165
6.125%, 4/15/25 144A			5,300,000		5,376
7.000%, 3/15/24 144A			700,000		726
8.500%, 1/31/27 144A			2,175,000		2,308
9.000%, 12/15/25 144A			850,000		916
9.250%, 4/1/26 144A			525,000		570
Vizient, Inc.
6.250%, 5/15/27 144A			675,000		707
West Street Merger Sub, Inc.
6.375%, 9/1/25 144A			4,325,000		4,184

Total					153,064


Diversified (0.1%)
Stena International SA
6.125%, 2/1/25 144A			1,100,000		1,050

Total					1,050

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

135

High Yield Bond Portfolio


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Energy (13.3%)
Antero Midstream Partners LP / Antero Midstream Finance Corp.
5.375%, 9/15/24		2,000,000		1,704
5.750%, 3/1/27 144A		2,200,000		1,738
5.750%, 1/15/28 144A		2,600,000		2,054
Antero Resources Corp.
5.125%, 12/1/22		340,000		246
5.625%, 6/1/23		1,450,000		928
Archrock Partners LP
6.250%, 4/1/28 144A		775,000		709
6.875%, 4/1/27 144A		2,800,000		2,638
Ascent Resources Utica Holdings LLC / ARU Finance Corp.
7.000%, 11/1/26 144A		400,000		256
10.000%, 4/1/22 144A		1,275,000		1,087
Berry Petroleum Co. LLC
7.000%, 2/15/26 144A		1,200,000		972
Buckeye Partners LP
4.125%, 3/1/25 144A		1,225,000		1,175
4.500%, 3/1/28 144A		1,750,000		1,645
Callon Petroleum Co.
6.125%, 10/1/24		1,502,000		511
6.375%, 7/1/26		1,050,000		346
Carrizo Oil & Gas, Inc.
6.250%, 4/15/23		1,750,000		663
8.250%, 7/15/25		425,000		149
Centennial Resource Production LLC
6.875%, 4/1/27 144A		1,400,000		742
Cheniere Energy Partners LP
5.250%, 10/1/25		2,100,000		2,093
5.625%, 10/1/26		1,200,000		1,188
Chesapeake Energy Corp.
7.000%, 10/1/24 j		1,000,000		25
11.500%, 1/1/25 144A j		2,169,000		228
CNX Midstream Finance Corp.
6.500%, 3/15/26 144A		3,200,000		2,944
Coeur Mining, Inc.
5.875%, 6/1/24		2,075,000		1,992
Continental Resources, Inc.
4.375%, 1/15/28		1,050,000		924
CrownRock LP / CrownRock Finance, Inc.
5.625%, 10/15/25 144A		3,025,000		2,711
Endeavor Energy Resources LP / EER Finance, Inc.
5.750%, 1/30/28 144A		1,000,000		960
6.625%, 7/15/25 144A		625,000		630
Enviva Partners LP / Enviva Partners Finance Corp.
6.500%, 1/15/26 144A		4,150,000		4,316
EP Energy LLC / Everest Acquisition Finance, Inc.
8.000%, 11/29/24 144A j		1,850,000		37
EQM Midstream Partners, LP
4.750%, 7/15/23		650,000		656
5.500%, 7/15/28		1,525,000		1,453
6.000%, 7/1/25 144A		900,000		909
6.500%, 7/1/27 144A		1,450,000		1,485
6.500%, 7/15/48		375,000		342
EQT Corp.
4.875%, 11/15/21		450,000		441


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
6.125%, 2/1/25		1,300,000		1,295
7.000%, 2/1/30		800,000		824
Gulfport Energy Corp.
6.000%, 10/15/24		550,000		280
6.375%, 5/15/25		1,025,000		511
6.375%, 1/15/26		425,000		205
6.625%, 5/1/23		225,000		134
Hess Midstream Partners LP
5.125%, 6/15/28 144A		1,300,000		1,251
Holly Energy Partners LP / Holly Energy Finance Corp.
5.000%, 2/1/28 144A		1,225,000		1,167
Jagged Peak Energy LLC
5.875%, 5/1/26		1,475,000		1,431
MPLX LP
6.250%, 10/15/22		503,000		509
6.375%, 5/1/24		575,000		594
Nabors Industries, Ltd.
7.250%, 1/15/26 144A		550,000		338
7.500%, 1/15/28 144A		325,000		200
NuStar Logistics LP
5.625%, 4/28/27		2,925,000		2,827
6.000%, 6/1/26		700,000		686
Oasis Petroleum, Inc.
6.250%, 5/1/26 144A		2,275,000		375
6.875%, 3/15/22		986,000		163
Occidental Petroleum Corp.
2.900%, 8/15/24		1,475,000		1,261
3.500%, 6/15/25		1,600,000		1,352
4.100%, 2/15/47		675,000		455
4.300%, 8/15/39		1,250,000		862
4.400%, 8/15/49		725,000		504
6.450%, 9/15/36		1,500,000		1,284
8.000%, 7/15/25		900,000		903
8.875%, 7/15/30		1,700,000		1,698
Parsley Energy LLC / Parsley Finance Corp.
5.250%, 8/15/25 144A		225,000		216
5.625%, 10/15/27 144A		525,000		517
PDC Energy, Inc.
5.750%, 5/15/26		1,525,000		1,388
6.125%, 9/15/24		575,000		535
Precision Drilling Corp.
5.250%, 11/15/24		225,000		150
7.125%, 1/15/26 144A		1,025,000		625
7.750%, 12/15/23		475,000		325
QEP Resources, Inc.
5.250%, 5/1/23		1,000,000		660
5.625%, 3/1/26		975,000		619
Range Resources Corp.
4.875%, 5/15/25		1,575,000		1,182
5.000%, 3/15/23		150,000		128
9.250%, 2/1/26 144A		500,000		449
SESI LLC
7.125%, 12/15/21		1,750,000		604
7.750%, 9/15/24		2,200,000		803
Shelf Drilling Holdings, Ltd.
8.250%, 2/15/25 144A		1,900,000		855
SM Energy Co.
5.625%, 6/1/25		1,000,000		530
6.625%, 1/15/27		250,000		122

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

136

High Yield Bond Portfolio


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
6.750%, 9/15/26		1,300,000		654
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
5.500%, 8/15/22		2,500,000		1,650
5.750%, 4/15/25		2,275,000		1,274
Sunoco LP / Sunoco Finance Corp.
5.500%, 2/15/26		775,000		752
5.875%, 3/15/28		900,000		893
Targa Resources Partners LP / Targa Resources Partners Finance Corp.
5.000%, 1/15/28		1,925,000		1,810
5.125%, 2/1/25		1,425,000		1,372
5.375%, 2/1/27		2,150,000		2,075
5.500%, 3/1/30 144A		2,250,000		2,173
5.875%, 4/15/26		1,350,000		1,336
6.500%, 7/15/27		300,000		301
TerraForm Power Operating LLC
4.250%, 1/31/23 144A		175,000		176
4.750%, 1/15/30 144A		1,725,000		1,751
5.000%, 1/31/28 144A		3,000,000		3,135
TransMontaigne Partners LP / TLP Finance Corp.
6.125%, 2/15/26		1,175,000		1,134
Ultra Resources, Inc.
7.125%, 4/15/25 144A j		1,325,000		3
USA Compression Finance Corp.
6.875%, 4/1/26		3,275,000		3,164
USA Compression Partners LP / USA Compression Finance Corp.
6.875%, 9/1/27		1,025,000		974
Western Gas Partners LP
4.500%, 3/1/28		800,000		752
5.300%, 3/1/48		3,500,000		2,839
5.450%, 4/1/44		325,000		271
5.500%, 8/15/48		400,000		324
Western Midstream Operating LP
4.000%, 7/1/22		850,000		847
4.650%, 7/1/26		175,000		168
Western Midstream Operating, LP
4.050%, 2/1/30		675,000		650
Whiting Petroleum Corp.
6.250%, 4/1/23 j		1,150,000		200
6.625%, 1/15/26 j		1,600,000		284
WPX Energy, Inc.
4.500%, 1/15/30		900,000		795
5.250%, 10/15/27		325,000		304
5.750%, 6/1/26		825,000		800
5.875%, 6/15/28		150,000		144

Total				104,719


Financial (6.8%)
Acrisure LLC / Acrisure Finance, Inc.
7.000%, 11/15/25 144A		300,000		287
8.125%, 2/15/24 144A		375,000		390
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
6.750%, 10/15/27 144A		3,125,000		3,114
AmWINS Group, Inc.
7.750%, 7/1/26 144A		3,950,000		4,147
Ardonagh Midco 2 PLC
11.500%, 1/15/27 144A		1,450,000		1,457


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
AssuredPartners, Inc.
7.000%, 8/15/25 144A		3,250,000		3,250
Cushman & Wakefield US Borrower LLC
6.750%, 5/15/28 144A		950,000		990
GTCR AP Finance, Inc.
8.000%, 5/15/27 144A		1,550,000		1,596
HUB International, Ltd.
7.000%, 5/1/26 144A		9,775,000		9,775
KIRS Midco 3 PLC
8.625%, 7/15/23 144A		1,075,000		1,123
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc.
4.500%, 9/1/26		450,000		447
4.625%, 6/15/25 144A		400,000		392
5.625%, 5/1/24		475,000		494
5.750%, 2/1/27		300,000		307
National Financial Partners Corp.
6.875%, 7/15/25 144A		4,375,000		4,198
7.000%, 5/15/25 144A		275,000		289
8.000%, 7/15/25 144A		650,000		635
Navient Corp.
5.000%, 10/26/20		375,000		373
5.000%, 3/15/27		450,000		378
5.875%, 10/25/24		1,850,000		1,738
6.125%, 3/25/24		1,075,000		1,021
6.750%, 6/25/25		1,625,000		1,554
6.750%, 6/15/26		350,000		325
7.250%, 9/25/23		550,000		538
Quicken Loans, Inc.
5.250%, 1/15/28 144A		1,850,000		1,924
5.750%, 5/1/25 144A		4,975,000		5,086
Ryman Hospitality Properties, Inc.
4.750%, 10/15/27 144A		925,000		819
USIS Merger Sub, Inc.
6.875%, 5/1/25 144A		4,525,000		4,565
VICI Properties LP / VICI Note Co., Inc.
3.500%, 2/15/25 144A		125,000		118
3.750%, 2/15/27 144A		200,000		188
4.125%, 8/15/30 144A		125,000		119
4.250%, 12/1/26 144A		1,125,000		1,080
4.625%, 12/1/29 144A		775,000		756

Total				53,473


Industrial (12.6%)
ARD Finance SA
6.500%, 6/30/27 144A		4,200,000		4,155
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
5.250%, 8/15/27 144A		2,375,000		2,331
6.000%, 2/15/25 144A		2,975,000		3,046
Berry Global Escrow Corp.
4.875%, 7/15/26 144A		1,950,000		1,979
5.625%, 7/15/27 144A		1,150,000		1,182
Berry Plastics Corp.
5.125%, 7/15/23		1,150,000		1,157
5.500%, 5/15/22		1,330,000		1,332
6.000%, 10/15/22		137,000		137
BWAY Holding Co.
5.500%, 4/15/24 144A		1,775,000		1,743
7.250%, 4/15/25 144A		5,500,000		4,987

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

137

High Yield Bond Portfolio


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Industrial continued
CFX Escrow Corp.
6.000%, 2/15/24 144A		525,000		541
6.375%, 2/15/26 144A		450,000		470
Crown Americas LLC / Crown Americas Capital Corp. VI
4.750%, 2/1/26		1,175,000		1,197
Energizer Holdings, Inc.
4.750%, 6/15/28 144A		475,000		466
5.500%, 6/15/25 144A		225,000		229
6.375%, 7/15/26 144A		1,400,000		1,448
7.750%, 1/15/27 144A		600,000		640
Flex Acquisition Co., Inc.
6.875%, 1/15/25 144A		4,825,000		4,656
7.875%, 7/15/26 144A		4,175,000		4,050
Gates Global LLC / Gates Global Co.
6.250%, 1/15/26 144A		3,500,000		3,466
Graphic Packaging International LLC
3.500%, 3/15/28 144A		425,000		422
4.750%, 7/15/27 144A		650,000		686
Greif, Inc.
6.500%, 3/1/27 144A		450,000		458
Koppers, Inc.
6.000%, 2/15/25 144A		4,075,000		3,963
Masonite International Corp.
5.750%, 9/15/26 144A		700,000		721
Owens-Brockway Glass Container, Inc.
5.375%, 1/15/25 144A		2,075,000		2,096
5.875%, 8/15/23 144A		900,000		929
6.375%, 8/15/25 144A		1,250,000		1,322
6.625%, 5/13/27 144A		500,000		520
Park Aerospace Holdings, Ltd.
5.500%, 2/15/24 144A		2,500,000		2,287
Pisces Midco, Inc.
8.000%, 4/15/26 144A		3,000,000		3,022
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LU
7.000%, 7/15/24 144A		2,575,000		2,582
Sealed Air Corp.
5.125%, 12/1/24 144A		1,950,000		2,082
Sensata Technologies BV
5.625%, 11/1/24 144A		950,000		1,007
Sensata Technologies, Inc.
4.375%, 2/15/30 144A		325,000		322
Standard Industries, Inc.
4.375%, 7/15/30 144A		550,000		544
4.750%, 1/15/28 144A		625,000		634
5.000%, 2/15/27 144A		3,375,000		3,417
6.000%, 10/15/25 144A		1,625,000		1,673
Stevens Holding Co., Inc.
6.125%, 10/1/26 144A		450,000		470
Tervita Escrow Corp.
7.625%, 12/1/21 144A		2,000,000		1,570
TransDigm UK Holdings PLC
6.875%, 5/15/26		625,000		581
TransDigm, Inc.
5.500%, 11/15/27		1,250,000		1,091
6.250%, 3/15/26 144A		2,250,000		2,249
6.375%, 6/15/26		1,850,000		1,688
6.500%, 7/15/24		4,875,000		4,691
6.500%, 5/15/25		300,000		280


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Industrial continued
7.500%, 3/15/27		350,000		336
Trident Merger Sub, Inc.
6.625%, 11/1/25 144A		2,225,000		2,114
Trident TPI Holdings, Inc.
9.250%, 8/1/24 144A		1,450,000		1,486
Trivium Packaging Finance BV
5.500%, 8/15/26 144A		525,000		530
8.500%, 8/15/27 144A		2,525,000		2,699
TTM Technologies, Inc.
5.625%, 10/1/25 144A		1,800,000		1,785
Vertical Holdco GmbH
7.625%, 7/15/28 144A		275,000		275
Vertical U.S. Newco, Inc.
5.250%, 7/15/27 144A		1,575,000		1,575
Watco Cos LLC / Watco Finance Corp.
6.500%, 6/15/27 144A		1,300,000		1,332
WESCO Distribution, Inc.
5.375%, 12/15/21		2,905,000		2,908
5.375%, 6/15/24		1,750,000		1,742
7.125%, 6/15/25 144A		525,000		554
7.250%, 6/15/28 144A		1,075,000		1,134

Total				98,989


Other Holdings (–%)
General Motors Co. Escrow
7.200%, 1/15/49 *,Æ		610,000		–
8.375%, 7/15/49 *,Æ		4,865,000		–

Total				–


Technology (6.0%)
AMG AG
7.000%, 7/31/25 144A		1,425,000		1,411
Banff Merger Sub, Inc.
9.750%, 9/1/26 144A		775,000		780
CDW LLC / CDW Finance Corp.
4.250%, 4/1/28		300,000		306
5.000%, 9/1/25		350,000		360
5.500%, 12/1/24		1,375,000		1,495
Diamond 1 Finance Corp. / Diamond 2
Finance Corp.
5.875%, 6/15/21 144A		298,000		298
7.125%, 6/15/24 144A		4,625,000		4,791
Entegris, Inc.
4.625%, 2/10/26 144A		850,000		863
Fair Isaac Corp.
4.000%, 6/15/28 144A		325,000		326
IMS Health, Inc.
5.000%, 10/15/26 144A		2,250,000		2,315
Inception Merger Sub, Inc. / Rackspace Hosting, Inc.
8.625%, 11/15/24 144A		4,100,000		4,174
IQVIA, Inc.
5.000%, 5/15/27 144A		750,000		767
JDA Escrow LLC / JDA Bond Finance, Inc.
7.375%, 10/15/24 144A		3,300,000		3,292
Microchip Technology, Inc.
4.250%, 9/1/25 144A		1,225,000		1,235
NCR Corp.
5.750%, 9/1/27 144A		1,025,000		1,025
6.375%, 12/15/23		520,000		528
8.125%, 4/15/25 144A		325,000		344

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

138

High Yield Bond Portfolio


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Technology continued
Nuance Communications, Inc.
5.625%, 12/15/26		1,050,000		1,092
Open Text Corp.
3.875%, 2/15/28 144A		800,000		770
4.125%, 2/15/30 144A		800,000		786
PTC, Inc.
4.000%, 2/15/28 144A		500,000		496
Qorvo, Inc.
4.375%, 10/15/29 144A		1,350,000		1,383
5.500%, 7/15/26		250,000		260
Science Applications International Corp.
4.875%, 4/1/28 144A		100,000		100
Sensata Technologies UK Financing Co. PLC
6.250%, 2/15/26 144A		500,000		519
Sophia LP / Sophia Finance, Inc.
9.000%, 9/30/23 144A		1,250,000		1,262
SS&C Technologies, Inc.
5.500%, 9/30/27 144A		3,600,000		3,666
Star Merger Sub, Inc.
6.875%, 8/15/26 144A		975,000		1,033
10.250%, 2/15/27 144A		4,425,000		4,912
Tempo Acquisition LLC / Tempo Acquisition Finance Corp.
6.750%, 6/1/25 144A		6,075,000		6,151
Western Digital Corp.
4.750%, 2/15/26		350,000		362

Total				47,102


Utilities (2.4%)
AmeriGas Partners LP / AmeriGas Finance Corp.
5.500%, 5/20/25		350,000		361
5.625%, 5/20/24		425,000		441
5.750%, 5/20/27		550,000		582
5.875%, 8/20/26		2,350,000		2,479
Calpine Corp.
4.500%, 2/15/28 144A		1,575,000		1,544
5.125%, 3/15/28 144A		825,000		806
5.250%, 6/1/26 144A		900,000		909
5.750%, 1/15/25		2,800,000		2,827
DPL, Inc.
4.125%, 7/1/25 144A		400,000		400
NRG Energy, Inc.
5.250%, 6/15/29 144A		775,000		816
5.750%, 1/15/28		225,000		237
6.625%, 1/15/27		2,050,000		2,142
7.250%, 5/15/26		1,525,000		1,609
Vistra Operations Co. LLC
5.000%, 7/31/27 144A		1,100,000		1,118


Corporate Bonds (95.4%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
5.500%, 9/1/26 144A		900,000		921
5.625%, 2/15/27 144A		1,925,000		1,977

Total				19,169


Total Corporate Bonds (Cost: $791,234)				751,559


Convertible Corporate Bonds (0.1%)
Energy (0.1%)
Cheniere Energy, Inc.
4.875%, 5/28/21 144A Þ		925,000		934

Total				934


Total Convertible Corporate Bonds (Cost: $925)				934


Bank Loan Obligations (0.1%)
Consumer, Non-cyclical (0.1%)
Envision Healthcare Corp., 5.491%, (ICE LIBOR USD 3 Month plus 4.500%), 10/10/25		1,705,000		938

Total Bank Loan Obligations (Cost: $2,950)				938


Short-Term Investments (3.8%)
Money Market Funds (3.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#		30,248,983		30,249

Total				30,249


Total Short-Term Investments (Cost: $30,249)				30,249


Total Investments (99.5%) (Cost: $826,540)^@				784,151


Other Assets, Less Liabilities (0.5%)				3,643


Net Assets (100.0%)				787,794

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

*	Non income producing

144A

j	Defaulted Security

Æ	Security valued using significant unobservable inputs.

Þ	PIK - Payment In Kind. PIK rate of Cheniere Energy, Inc. 4.875%.

#	7-Day yield as of 6/30/2020.

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

139

High Yield Bond Portfolio

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $826,540 and the net unrealized depreciation of investments based on that cost was $42,389 which is comprised of $16,163 aggregate gross unrealized appreciation and $58,552 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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		$	—	$	938	$	—
Common Stocks			471		—		—
Convertible Corporate Bonds			—		934		—
Corporate Bonds			—		751,559		—
Short-Term Investments			30,249		—		—

Total Assets:		$	30,720	$	753,431	$	—

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

140

Multi-Sector Bond Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Corporate Bonds		55.7%

		Governments		23.0%

		Structured Products		15.8%

		Bank Loan Obligations		3.2%

		Short-Term Investments & Other Net Assets		1.2%

		Municipal Bonds		1.0%

		Convertible Corporate Bonds		0.1%

Sector Allocation is subject to change.

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 floating-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.

141

Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Corporate Bonds (55.7%)	Shares/ Par ⁺			Value $ (000’s)
Basic Materials (2.5%)
ALROSA Finance SA
3.100%, 6/25/27 144A		8,500,000			8,479
4.650%, 4/9/24 144A		500,000			533
Arconic Rolled Products Corp.
6.125%, 2/15/28 144A		100,000			100
Georgia-Pacific LLC
8.875%, 5/15/31		200,000			320
INEOS Finance PLC
2.875%, 5/1/26 144A EUR ¥		2,700,000			2,889
INEOS Styrolution Group GmbH
2.250%, 1/16/27 144A EUR ¥		200,000			205
MMK International Capital DAC
4.375%, 6/13/24 144A		1,400,000			1,487
Sappi Papier Holding GmbH
3.125%, 4/15/26 EUR §,¥		300,000			286
Sasol Financing USA LLC
5.875%, 3/27/24		500,000	��		445
Syngenta Finance NV
4.441%, 4/24/23 144A		200,000			210
4.892%, 4/24/25 144A		5,900,000			6,203
5.182%, 4/24/28 144A		2,800,000			2,986
Teck Resources, Ltd.
3.900%, 7/15/30 144A		300,000			299

Total					24,442


Communications (6.4%)
Altice Financing SA
5.000%, 1/15/28 144A		200,000			199
7.500%, 5/15/26 144A		5,171,000			5,429
Altice France Holding SA
8.000%, 5/15/27 EUR §,¥		1,000,000			1,184
Altice France SA
8.125%, 2/1/27 144A		3,200,000			3,504
AT&T, Inc.
3.400%, 5/15/25		400,000			440
4.125%, 2/17/26		500,000			570
4.900%, 8/15/37		200,000			240
5.300%, 8/15/58 b		6,200,000			8,065
Baidu, Inc.
3.875%, 9/29/23		200,000			213
CenturyLink, Inc.
4.000%, 2/15/27 144A		100,000			97
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
4.200%, 3/15/28		1,700,000			1,906
4.464%, 7/23/22		2,400,000			2,559
4.800%, 3/1/50		200,000			227
5.125%, 7/1/49 b		3,300,000			3,810
5.375%, 4/1/38		100,000			122
CommScope Technologies LLC
5.000%, 3/15/27 144A		100,000			90
Connect Finco SARL / Connect US Finco LLC
6.750%, 10/1/26 144A		1,800,000			1,701
Deutsche Telekom International Finance
8.750%, 6/15/30		700,000			1,090


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Communications continued
DISH DBS Corp.
6.750%, 6/1/21		3,200,000		3,260
Dolya Holdco 18 Designated Activity Co.
5.000%, 7/15/28 144A		2,100,000		2,073
Intelsat Jackson Holdings SA
5.500%, 8/1/23 j		700,000		399
8.500%, 10/15/24 144A j		200,000		120
9.750%, 7/15/25 144A j		100,000		61
Koninklijke KPN NV
5.750%, 9/17/29 GBP §,¥		750,000		1,167
Qwest Corp.
7.250%, 9/15/25		500,000		567
RCS & RDS SA
3.250%, 2/5/28 144A EUR ¥		100,000		105
SFR Group SA
7.375%, 5/1/26 144A		7,600,000		7,934
Sprint Communications, Inc.
11.500%, 11/15/21		400,000		443
Sprint Corp.
7.125%, 6/15/24		100,000		113
7.250%, 9/15/21		700,000		734
7.875%, 9/15/23		500,000		563
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC
5.152%, 3/20/28 144A		1,300,000		1,495
Telecom Italia Capital SA
6.000%, 9/30/34		400,000		435
Tencent Holdings, Ltd.
1.810%, 1/26/26 144A		1,400,000		1,416
Time Warner Cable LLC
5.875%, 11/15/40		300,000		369
6.750%, 6/15/39		200,000		266
T-Mobile USA, Inc.
3.875%, 4/15/30 144A		100,000		111
UPCB Finance IV, Ltd.
4.000%, 1/15/27 EUR §,¥		315,000		356
Verizon Communications, Inc.
4.522%, 9/15/48		100,000		132
4.672%, 3/15/55		1,119,000		1,520
5.012%, 4/15/49 b		2,449,000		3,414
5.250%, 3/16/37		200,000		271
Virgin Media Secured Finance PLC
4.500%, 8/15/30 144A		3,900,000		3,902
5.000%, 4/15/27 144A GBP ¥		500,000		643

Total				63,315


Consumer, Cyclical (5.3%)
Adient Global Holdings, Ltd.
3.500%, 8/15/24 EUR §,¥		100,000		99
Alaska Airlines Pass Through Trust, Series 2020-1, Class A
4.800%, 2/15/29 144A		200,000		202
American Airlines Pass Through Trust, Series 2011-1, Class A
5.250%, 7/31/22		65,092		57

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

142

Multi-Sector Bond Portfolio


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Cyclical continued
BMW Finance NV
2.250%, 8/12/22 144A		400,000		413
Colt Merger Sub, Inc.
5.750%, 7/1/25 144A		400,000		402
Continental Airlines Pass Through Trust, Series 2010-1, Class A
4.750%, 7/12/22		40,763		40
Daimler Finance North America LLC
2.000%, 7/6/21 144A		200,000		202
2.200%, 10/30/21 144A		200,000		203
3.875%, 9/15/21 144A		600,000		618
FCE Bank PLC
0.221%, (Euribor 3 Month ACT/360 plus 0.500%), 8/26/20 EUR §,¥		100,000		111
0.869%, 9/13/21 EUR §,¥		400,000		433
1.875%, 6/24/21 EUR §,¥		100,000		110
Ford Motor Credit Co. LLC
0.050%, (Euribor 3 Month ACT/360 plus 0.370%), 12/1/21 EUR ¥		1,200,000		1,263
0.068%, (Euribor 3 Month ACT/360 plus 0.420%), 12/7/22 EUR ¥		400,000		407
0.185%, (Euribor 3 Month ACT/360 plus 0.430%), 5/14/21 EUR ¥		200,000		216
1.627%, (ICE LIBOR USD 3 Month plus 1.235%), 2/15/23		200,000		177
2.191%, (ICE LIBOR USD 3 Month plus 0.880%), 10/12/21		200,000		190
3.021%, 3/6/24 EUR ¥		900,000		966
3.096%, 5/4/23		500,000		474
3.350%, 11/1/22		1,400,000		1,341
4.063%, 11/1/24		3,200,000		3,051
4.527%, (ICE LIBOR USD 3 Month plus 3.140%), 1/7/22		200,000		192
5.584%, 3/18/24		600,000		606
5.596%, 1/7/22		1,500,000		1,511
General Motors Financial Co., Inc.
2.900%, 2/26/25		600,000		598
3.450%, 4/10/22		300,000		306
5.100%, 1/17/24		1,200,000		1,283
IHO Verwaltungs GmbH
3.625%, 5/15/25 EUR §,¥		800,000		893
3.750%, 9/15/26 EUR §,¥		4,600,000		5,039
Jaguar Land Rover Automotive PLC
3.875%, 3/1/23 GBP §,¥		100,000		108
5.875%, 11/15/24 EUR §,¥		2,300,000		2,224
6.875%, 11/15/26 EUR ¥		3,200,000		3,052
John Lewis PLC
4.250%, 12/18/34 GBP §,¥		700,000		724
Las Vegas Sands Corp.
3.500%, 8/18/26		100,000		100
3.900%, 8/8/29		100,000		98
Marks & Spencer PLC
3.000%, 12/8/23 GBP §,¥		300,000		372
4.750%, 6/12/25 GBP §,¥		900,000		1,192
Marriott Ownership Resorts, Inc.
6.500%, 9/15/26		150,000		151
Melco Resorts Finance, Ltd.
4.875%, 6/6/25 144A		400,000		402
5.375%, 12/4/29 144A		300,000		298


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Cyclical continued
MGM Resorts International
7.750%, 3/15/22		300,000		305
Mitchells & Butlers Finance PLC
0.643%, (ICE LIBOR GBP 3 Month plus 0.450%), 12/15/30 GBP §,¥		1,244,100		1,341
0.763%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §		226,200		199
6.469%, 9/15/32 GBP §,¥		200,000		273
Nissan Motor Acceptance Corp.
3.875%, 9/21/23 144A		600,000		601
QVC, Inc.
4.375%, 3/15/23		1,075,000		1,075
Sands China, Ltd.
4.600%, 8/8/23		300,000		316
5.400%, 8/8/28 b		3,200,000		3,532
Toll Brothers Finance Corp.
4.350%, 2/15/28		100,000		104
4.875%, 3/15/27		1,200,000		1,289
Travis Perkins PLC
4.375%, 9/15/21 GBP §,¥		200,000		243
4.500%, 9/7/23 GBP §,¥		1,900,000		2,329
US Airways Pass-Through Trust, Series 2012-1, Class A
5.900%, 4/1/26		826,990		761
Volkswagen Bank GmbH
1.250%, 6/10/24 EUR §,¥		800,000		898
Volkswagen Financial Services Aktiengesellschaft
0.875%, 4/12/23 EUR ¥		200,000		223
Volkswagen Group of America Finance LLC
4.000%, 11/12/21 144A		2,500,000		2,603
Volkswagen Leasing GmbH
2.625%, 1/15/24 EUR §,¥		1,800,000		2,121
Wynn Macau, Ltd.
5.125%, 12/15/29 144A		1,100,000		1,067
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.
5.125%, 10/1/29 144A		800,000		715
ZF North America Capital, Inc.
4.500%, 4/29/22 144A		436,000		448
4.750%, 4/29/25 144A		2,232,000		2,232

Total				52,799


Consumer, Non-cyclical (2.9%)
AA Bond Co., Ltd.
2.750%, 7/31/43 GBP §,¥		100,000		116
2.875%, 7/31/43 GBP §,¥		2,900,000		3,482
4.248%, 7/31/43 GBP §,¥		800,000		989
4.875%, 7/31/43 GBP §,¥		200,000		241
AbbVie, Inc.
1.500%, 11/15/23 144A EUR ¥		400,000		463
Adani Ports & Special Economic Zone Ltd.
4.000%, 7/30/27 §		300,000		288
Albertsons Cos. LLC / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC
4.875%, 2/15/30 144A		200,000		205
Amgen, Inc.
4.663%, 6/15/51		1,041,000		1,381
Bacardi, Ltd.
4.700%, 5/15/28 144A		2,900,000		3,279

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

143

Multi-Sector Bond Portfolio


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Consumer, Non-cyclical continued
BAT Capital Corp.
3.222%, 8/15/24		100,000		107
3.557%, 8/15/27		500,000		541
Centene Corp.
4.250%, 12/15/27		200,000		206
4.625%, 12/15/29		500,000		529
4.750%, 1/15/25		200,000		205
Constellation Brands, Inc.
3.700%, 12/6/26		200,000		223
CVS Pass-Through Trust
4.704%, 1/10/36 144A		402,838		431
5.926%, 1/10/34 144A		682,590		763
7.507%, 1/10/32 144A		70,217		88
DaVita HealthCare Partners, Inc.
4.625%, 6/1/30 144A		1,400,000		1,392
Hamilton College
4.750%, 7/1/13		100,000		121
HCA, Inc.
4.500%, 2/15/27		100,000		112
4.750%, 5/1/23		2,655,000		2,881
5.875%, 2/1/29		100,000		113
Imperial Brands Finance PLC
3.500%, 7/26/26 144A		200,000		214
Kraft Heinz Foods Co.
3.950%, 7/15/25		63,000		67
Pacific Gas & Electric Co.
3.150%, 6/15/30		200,000		202
RAC Bond Co. PLC
4.870%, 5/6/46 GBP §,¥		500,000		614
Sysco Corp.
5.650%, 4/1/25		1,100,000		1,287
Takeda Pharmaceutical Co., Ltd.
2.050%, 3/31/30		600,000		594
Teva Pharmaceutical Finance Co. BV
3.650%, 11/10/21		2,600,000		2,582
Teva Pharmaceutical Finance IV BV
3.650%, 11/10/21		700,000		699
Teva Pharmaceutical Finance Netherlands II BV
1.125%, 10/15/24 EUR §,¥		600,000		590
1.250%, 3/31/23 EUR §,¥		720,000		750
3.250%, 4/15/22 EUR ¥		800,000		894
6.000%, 1/31/25 144A EUR ¥		1,500,000		1,778

Total				28,427


Diversified (0.1%)
Co-operative Group Holdings 2011, Ltd.
6.875%, 7/8/20 GBP §,¥		600,000		741
Stena International SA
6.125%, 2/1/25 144A		400,000		382

Total				1,123


Energy (10.5%)
Aker BP ASA
4.750%, 6/15/24 144A		1,000,000		1,007
Cheniere Corpus Christi Holdings LLC
5.125%, 6/30/27		100,000		110
CNOOC Finance 2013, Ltd.
3.000%, 5/9/23		1,300,000		1,356
Constellation Oil Services Holding SA
10.000%, 11/9/24 144A		241,190		60


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
Continental Resources, Inc.
4.375%, 1/15/28		1,400,000		1,232
Dolphin Energy, Ltd.
5.500%, 12/15/21 144A		1,000,000		1,045
El Paso Natural Gas Co. LLC
8.375%, 6/15/32		200,000		267
Enable Midstream Partners LP
4.950%, 5/15/28		1,200,000		1,113
Energy Transfer Operating LP
2.900%, 5/15/25		100,000		102
3.750%, 5/15/30		200,000		198
4.650%, 6/1/21		200,000		204
5.000%, 5/15/50		200,000		189
5.250%, 4/15/29		100,000		109
7.500%, 7/1/38		1,700,000		1,999
Energy Transfer Partners LP
3.600%, 2/1/23		100,000		103
EQT Corp.
6.125%, 2/1/25 b		5,500,000		5,481
Gazprom Neft OAO Via GPN Capital SA
6.000%, 11/27/23 §		3,000,000		3,330
Greenko Solar Mauritius Ltd.
5.550%, 1/29/25 144A		1,000,000		985
Harvest Operations Corp.
2.330%, 4/14/21 144A		2,970,000		3,007
Kinder Morgan Energy Partners LP
6.550%, 9/15/40		2,382,000		3,002
Kinder Morgan, Inc.
7.750%, 1/15/32		1,216,000		1,699
MPLX LP
4.250%, 12/1/27		100,000		108
Newfield Exploration Co.
5.625%, 7/1/24		2,100,000		1,995
NGPL PipeCo LLC
7.768%, 12/15/37 144A		3,900,000		4,759
Noble Holding International, Ltd.
7.875%, 2/1/26 144A		400,000		104
Novatek OAO via Novatek Finance, Ltd.
6.604%, 2/3/21 §		200,000		206
NuStar Logistics LP
5.625%, 4/28/27		1,400,000		1,353
6.000%, 6/1/26		200,000		196
Occidental Petroleum Corp.
1.398%, (ICE LIBOR USD 3 Month plus 0.950%), 2/8/21		100,000		99
Odebrecht Drilling Norbe VIII/IX, Ltd.
6.350%, 12/1/21 §		283,356		241
7.350%, 12/1/26 §,Þ		1,563,961		454
Odebrecht Oil & Gas Finance, Ltd.
0.000%, 2/9/18 §		782,000		1
Patterson-UTI Energy, Inc.
5.150%, 11/15/29		600,000		455
Pertamina Persero PT
6.500%, 11/7/48 144A		3,800,000		4,966
Petrobras Global Finance BV
5.375%, 10/1/29 GBP ¥		1,800,000		2,212
6.625%, 1/16/34 GBP ¥		300,000		378
6.900%, 3/19/49		300,000		316
Petroleos de Venezuela SA
5.375%, 4/12/27 §,j		6,500,000		156

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

144

Multi-Sector Bond Portfolio


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
5.500%, 4/12/37 §,j		4,300,000		103
Petroleos Mexicanos
2.750%, 4/21/27 EUR §,¥		1,100,000		970
3.750%, 2/21/24 EUR §,¥		400,000		413
4.750%, 2/26/29 EUR §,¥		7,300,000		6,880
4.875%, 2/21/28 EUR §,¥		600,000		583
5.625%, 1/23/46		378,000		268
5.950%, 1/28/31 144A		100,000		83
6.490%, 1/23/27 144A		700,000		639
6.500%, 3/13/27		3,200,000		2,888
6.625%, 6/15/35		1,600,000		1,302
6.625%, 6/15/38		2,000,000		1,556
6.750%, 9/21/47		1,600,000		1,230
6.840%, 1/23/30 144A		1,500,000		1,315
6.840%, 1/23/30 §		100,000		88
7.690%, 1/23/50 144A		1,880,000		1,558
Petronas Capital Ltd
7.875%, 5/22/22 §		800,000		896
Plains All American Pipeline LP / PAA Finance Corp.
4.300%, 1/31/43		300,000		261
4.900%, 2/15/45		2,500,000		2,312
5.150%, 6/1/42		1,300,000		1,258
6.650%, 1/15/37		277,000		301
QEP Resources, Inc.
5.625%, 3/1/26		700,000		444
Ras Laffan Liquefied Natural Gas Co., Ltd. III
5.838%, 9/30/27 144A		2,300,000		2,668
Regency Energy Partners LP / Regency Energy Finance Corp.
4.500%, 11/1/23		300,000		322
5.000%, 10/1/22		1,100,000		1,171
5.875%, 3/1/22		800,000		845
Reliance Holdings USA, Inc.
4.500%, 10/19/20 §		300,000		302
Rio Oil Finance Trust, Series 2014-1
9.250%, 7/6/24 144A		1,282,109		1,308
9.250%, 7/6/24 §		1,121,845		1,144
Rio Oil Finance Trust, Series 2014-3
9.750%, 1/6/27 §		428,054		442
Sabine Pass Liquefaction LLC
4.500%, 5/15/30 144A		700,000		773
5.625%, 3/1/25 b		4,900,000		5,600
5.750%, 5/15/24		800,000		901
5.875%, 6/30/26		400,000		470
Sunoco LP / Sunoco Finance Corp.
4.875%, 1/15/23		100,000		98
Tallgrass Energy Partners LP
5.500%, 1/15/28 144A		8,400,000		7,266
Targa Resources Partners LP / Targa Resources Partners Finance Corp.
5.500%, 3/1/30 144A		1,200,000		1,159
Transocean Guardian, Ltd.
5.875%, 1/15/24 144A		4,926,500		4,285
Transocean Poseidon, Ltd.
6.875%, 2/1/27 144A		200,000		170
Transocean, Inc.
8.000%, 2/1/27 144A		100,000		55
Valaris PLC
5.750%, 10/1/44		200,000		15


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Energy continued
8.000%, 1/31/24		80,000		6
Western Midstream Operating, LP
3.100%, 2/1/25		1,200,000		1,135
5.250%, 2/1/50		1,900,000		1,646
Williams Partners LP
3.600%, 3/15/22		2,500,000		2,598

Total				104,324


Financial (24.8%)
AerCap Ireland Capital DAC / AerCap Global
Aviation Trust
3.650%, 7/21/27		500,000		442
4.450%, 12/16/21		150,000		151
4.450%, 4/3/26		900,000		853
4.875%, 1/16/24		1,200,000		1,192
5.000%, 10/1/21 b		3,450,000		3,489
Aircastle, Ltd.
4.250%, 6/15/26		300,000		275
Ally Financial, Inc.
3.050%, 6/5/23		400,000		406
4.250%, 4/15/21		246,000		250
8.000%, 11/1/31		1,371,000		1,769
Avolon Holdings Funding, Ltd.
5.125%, 10/1/23 144A		500,000		462
5.500%, 1/15/23 144A		800,000		753
Banca Monte dei Paschi di Siena SpA
5.375%, 1/18/28 EUR §,¥		5,300,000		5,311
Banco Bradesco SA
2.850%, 1/27/23 144A		600,000		593
Banco BTG Pactual SA
4.500%, 1/10/25 144A		500,000		490
Banco do Brasil SA
4.625%, 1/15/25 144A		1,100,000		1,139
Banco Votorantim SA
4.500%, 9/24/24 §		200,000		200
Bank of America Corp.
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		973,000		1,084
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 12/31/99 b		4,500,000		4,597
Barclays Bank PLC
7.625%, 11/21/22		2,000,000		2,178
Barclays PLC
2.375%, (GBP Swap Semi-Annual 1 Year plus 1.320%), 10/6/23 GBP §,¥		200,000		251
3.250%, 2/12/27 GBP §,¥		1,500,000		1,972
3.650%, 3/16/25		3,100,000		3,361
4.610%, (ICE LIBOR USD 3 Month plus 1.400%), 2/15/23		3,100,000		3,264
8.000%, (Euro Swap Annual 5 Year plus 6.750%), 12/15/49 EUR ¥		1,300,000		1,462
BNP Paribas SA
2.219%, (US SOFR plus 2.074%), 6/9/26 144A		200,000		204
4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A		6,400,000		7,084
BPCE SA
2.375%, 1/14/25 144A		200,000		207
Cantor Fitzgerald LP
4.875%, 5/1/24 144A		100,000		108
6.500%, 6/17/22 144A		200,000		212

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

145

Multi-Sector Bond Portfolio


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
China Evergrande Group
8.250%, 3/23/22 §		3,100,000		2,867
Chubb INA Holdings, Inc.
0.875%, 6/15/27 EUR ¥		200,000		226
CIT Group, Inc.
5.000%, 8/15/22		272,000		278
5.000%, 8/1/23		100,000		102
Citigroup, Inc.
3.400%, 5/1/26		600,000		665
Cooperatieve Rabobank UA
6.625%, (Euro Swap Annual 5 Year plus 6.697%), 12/29/49 EUR §,¥		2,600,000		2,998
Country Garden Holdings Co., Ltd.
6.500%, 4/8/24 §		600,000		638
CPI Property Group SA
1.625%, 4/23/27 EUR §,¥		400,000		426
2.125%, 10/4/24 EUR §,¥		400,000		450
4.750%, 3/8/23 §		1,300,000		1,369
Credit Agricole Assurances SA
4.250%, (Euro Swap Annual 5 Year plus 4.500%), 12/31/49 EUR §,¥		2,000,000		2,410
Credit Agricole SA
1.907%, 6/16/26 144A		500,000		507
Credit Suisse AG
6.500%, 8/8/23 144A		7,400,000		8,068
6.500%, 8/8/23 §		1,700,000		1,853
Deutsche Annington Finance BV
5.000%, 10/2/23 144A		300,000		322
Deutsche Bank AG
0.148%, (Euribor 3 Month ACT/360 plus 0.500%), 12/7/20 EUR §,¥		700,000		784
1.599%, (ICE LIBOR USD 3 Month plus 1.230%), 2/27/23		2,200,000		2,115
3.150%, 1/22/21		400,000		402
3.375%, 5/12/21		2,000,000		2,020
3.961%, (US SOFR plus 2.581%), 11/26/25		1,000,000		1,049
4.250%, 2/4/21		900,000		910
4.250%, 10/14/21 b		4,500,000		4,618
5.000%, 2/14/22 b		6,000,000		6,263
5.882%, (US SOFR plus 5.438%), 7/8/31		400,000		398
The Doctors Co.
6.500%, 10/15/23 144A		300,000		326
Emerald Bay SA
0.000%, 10/15/20 144A EUR ¥		3,796,000		4,154
EPR Properties
3.750%, 8/15/29 b		100,000		87
Equinix, Inc.
2.875%, 3/15/24 EUR §,¥		1,200,000		1,370
Fairfax Financial Holdings, Ltd.
2.750%, 3/29/28 144A EUR ¥		500,000		578
2.750%, 3/29/28 EUR ¥		100,000		116
Fairstone Financial, Inc.
7.875%, 7/15/24 144A		100,000		98
Fidelity National Financial, Inc.
3.400%, 6/15/30		200,000		208
Freedom Mortgage Corp.
8.125%, 11/15/24 144A		3,690,000		3,579
8.250%, 4/15/25 144A		1,000,000		990
10.750%, 4/1/24 144A		900,000		927


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
GE Capital International Funding Co.
Unlimited Co.
4.418%, 11/15/35		500,000		508
Globalworth Real Estate Investments, Ltd.
3.000%, 3/29/25 EUR §,¥		2,000,000		2,253
GLP Capital LP / GLP Financing II, Inc.
3.350%, 9/1/24		100,000		100
5.750%, 6/1/28		400,000		441
The Goldman Sachs Group, Inc.
0.222%, 9/26/23 EUR §,¥		300,000		332
0.307%, 4/21/23 EUR §,¥		900,000		997
1.513%, (ICE LIBOR USD 3 Month plus 1.200%), 9/15/20		200,000		200
2.130%, (ICE LIBOR USD 3 Month plus 1.770%), 2/25/21		200,000		202
3.750%, 5/22/25		2,700,000		2,992
3.850%, 7/8/24		1,000,000		1,103
4.000%, 3/3/24		400,000		442
5.750%, 1/24/22		400,000		432
Growthpoint Properties International Pty, Ltd.
5.872%, 5/2/23 144A		300,000		294
Guardian Life Global Funding
1.100%, 6/23/25 144A		100,000		100
Hammerson PLC
1.750%, 3/15/23 EUR §,¥		400,000		382
HBOS PLC
5.374%, 6/30/21 EUR ¥		600,000		687
Hospitality Properties Trust
4.350%, 10/1/24		200,000		180
4.750%, 10/1/26 b		4,900,000		4,335
The Howard Hughes Corp.
5.375%, 3/15/25 144A		300,000		279
HSBC Holdings PLC
2.099%, (US SOFR plus 1.929%), 6/4/26 b		200,000		202
3.600%, 5/25/23 b		2,100,000		2,255
3.900%, 5/25/26 b		2,600,000		2,887
4.300%, 3/8/26 b		3,000,000		3,386
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		1,787
6.750%, (5 Year ICE Swap Rate plus 4.204%), 12/31/99 §		900,000		920
International Lease Finance Corp.
5.875%, 8/15/22		400,000		421
8.250%, 12/15/20		2,100,000		2,149
8.625%, 1/15/22		400,000		430
Intesa Sanpaolo SpA
3.250%, 9/23/24 144A		300,000		307
4.000%, 9/23/29 144A		200,000		211
5.017%, 6/26/24 144A		2,700,000		2,767
6.500%, 2/24/21 144A		4,100,000		4,215
Itau Unibanco Holding SA
2.900%, 1/24/23 144A		200,000		198
Jefferies Finance LLC / JFIN Co-Issuer Corp.
6.250%, 6/3/26 144A		1,400,000		1,306
7.250%, 8/15/24 144A		1,600,000		1,408
JPMorgan Chase & Co.
1.933%, (ICE LIBOR USD 3 Month plus 0.890%), 7/23/24		700,000		701

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

146

Multi-Sector Bond Portfolio


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
Kennedy Wilson Europe Real Estate PLC
3.950%, 6/30/22 GBP §,¥		2,700,000		3,243
LeasePlan Corp NV
2.875%, 10/24/24 144A		300,000		308
Liberty Mutual Finance Europe DAC
1.750%, 3/27/24 EUR §,¥		100,000		117
Lloyds Banking Group PLC
2.250%, 10/16/24 GBP §,¥		2,000,000		2,554
4.450%, 5/8/25 b		3,500,000		3,969
Logicor Financing SARL
3.250%, 11/13/28 EUR §,¥		600,000		734
Macquarie Group, Ltd.
6.250%, 1/14/21 144A		300,000		309
Marsh & McLennan Cos., Inc.
1.349%, 9/21/26 EUR ¥		100,000		117
Mitsubishi UFJ Financial Group, Inc.
3.407%, 3/7/24		700,000		756
Morgan Stanley
4.000%, 7/23/25 b		3,600,000		4,082
Nationwide Building Society
4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		4,500,000		4,868
Navient Corp.
6.625%, 7/26/21		1,300,000		1,274
7.250%, 1/25/22		400,000		401
NN Group NV
1.625%, 6/1/27 EUR §,¥		100,000		119
4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,¥		2,600,000		3,177
OMEGA Healthcare Investors, Inc.
4.500%, 1/15/25		100,000		103
4.950%, 4/1/24		100,000		105
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc.
6.375%, 12/15/22 144A		200,000		184
Pacific Life Global Funding II
1.200%, 6/24/25 144A		200,000		201
Park Aerospace Holdings, Ltd.
4.500%, 3/15/23 144A		3,900,000		3,558
5.250%, 8/15/22 144A		650,000		610
5.500%, 2/15/24 144A		400,000		366
Principal Life Global Funding II
1.250%, 6/23/25 144A		100,000		100
Quicken Loans, Inc.
5.250%, 1/15/28 144A		1,450,000		1,508
Royal Bank of Scotland Group PLC
2.000%, (Euribor 3 Month ACT/360 plus 2.039%), 3/8/23 EUR §,¥		1,600,000		1,827
2.500%, 3/22/23 EUR §,¥		100,000		117
4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24		200,000		217
4.800%, 4/5/26		2,800,000		3,240
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 b		3,700,000		4,361
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 5.625%), 12/31/99		500,000		507
7.500%, (USD Swap Semi-Annual 5 Year plus 5.800%), 12/29/49		2,600,000		2,609
8.625%, (USD 5 Year Swap Rate plus 7.598%), 12/29/49		2,100,000		2,183


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Financial continued
Santander UK Group Holdings PLC
3.125%, 1/8/21		2,100,000		2,126
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 b		4,000,000		4,408
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 12/31/99 GBP §,¥		1,390,000		1,750
Santander UK PLC
2.100%, 1/13/23		1,000,000		1,032
Sberbank of Russia Via SB Capital SA
6.125%, 2/7/22 §		1,700,000		1,806
Springleaf Finance Corp.
6.125%, 3/15/24		500,000		508
6.875%, 3/15/25		1,900,000		1,949
7.125%, 3/15/26		1,700,000		1,759
7.750%, 10/1/21		100,000		104
Sunac China Holdings, Ltd.
7.350%, 7/19/21 §		200,000		203
8.350%, 4/19/23 §		1,600,000		1,646
8.375%, 1/15/21 §		2,400,000		2,439
8.625%, 7/27/20 §		600,000		602
Synovus Bank
2.289%, (US SOFR plus 0.945%), 2/10/23		250,000		253
Tesco Property Finance 3 PLC
5.744%, 4/13/40 GBP §,¥		96,378		160
Tesco Property Finance 6 PLC
5.411%, 7/13/44 GBP §,¥		2,654,825		4,322
TP ICAP PLC
5.250%, 1/26/24 GBP §,¥		3,700,000		4,918
TrustCo Bank Corp.
6.390%, 1/15/50 144A		200,000		210
UBS AG
7.625%, 8/17/22 b		4,400,000		4,907
UBS Group Funding AG
4.125%, 9/24/25 144A		700,000		793
UniCredit SpA
3.750%, 4/12/22 144A		200,000		205
5.211%, (ICE LIBOR USD 3 Month plus 3.900%), 1/14/22 144A		1,550,000		1,565
6.572%, 1/14/22 144A		700,000		740
7.830%, 12/4/23 144A		5,650,000		6,511
The Unique Pub Finance Co. PLC
5.659%, 6/30/27 GBP §,¥		416,418		524
7.395%, 3/28/24 GBP §,¥		400,000		514
Virgin Money UK PLC
3.125%, 6/22/25 GBP §,¥		100,000		121
3.375%, 4/24/26 GBP §,¥		100,000		122
4.000%, 9/25/26 GBP §,¥		500,000		628
4.000%, 9/3/27 GBP §,¥		200,000		250
VIVAT NV
2.375%, 5/17/24 EUR §,¥		700,000		812
7.000%, 12/31/99 EUR §,¥		200,000		228
Wells Fargo & Co.
1.654%, (US SOFR plus 1.600%), 6/2/24 b		8,300,000		8,434
Weyerhaeuser Co.
7.375%, 3/15/32		1,500,000		2,074

Total				246,186


Industrial (1.0%)
Aeropuerto Internacional de Tocumen SA
6.000%, 11/18/48 144A		298,674		327

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

147

Multi-Sector Bond Portfolio


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Industrial continued
Bombardier, Inc.
6.000%, 10/15/22 144A		200,000		139
6.125%, 1/15/23 144A		400,000		275
DAE Funding LLC
4.000%, 8/1/20 144A		3,020,000		2,997
5.000%, 8/1/24 144A		400,000		375
Flex, Ltd.
3.750%, 2/1/26		700,000		742
Fortress Transportation & Infrastructure
6.750%, 3/15/22 144A		900,000		865
General Electric Co.
0.875%, 5/17/25 EUR ¥		100,000		108
5.550%, 1/5/26		200,000		232
5.875%, 1/14/38		100,000		112
6.875%, 1/10/39		100,000		123
Greif, Inc.
6.500%, 3/1/27 144A		300,000		305
Lima Metro Line 2 Finance, Ltd.
5.875%, 7/5/34 144A		322,988		381
Pacific National Finance Pty, Ltd.
4.625%, 9/23/20 144A		500,000		503
SIG Combibloc PurchaseCo Sarl
2.125%, 6/18/25 144A EUR ¥		300,000		342
Standard Industries, Inc.
2.250%, 11/21/26 144A EUR ¥		1,300,000		1,372
4.750%, 1/15/28 144A		950,000		963

Total				10,161


Technology (1.5%)
Dell International LLC / EMC Corp.
4.420%, 6/15/21 144A		2,300,000		2,364
5.300%, 10/1/29 144A		4,300,000		4,760
6.020%, 6/15/26 144A		300,000		344
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.
5.450%, 6/15/23 144A		1,100,000		1,203
8.100%, 7/15/36 144A		300,000		391
Infor, Inc.
1.750%, 7/15/25 144A		400,000		402
Micron Technology, Inc.
4.663%, 2/15/30		100,000		117
NetApp, Inc.
1.875%, 6/22/25		300,000		304
NXP BV / NXP Funding LLC
4.875%, 3/1/24 144A		1,700,000		1,899
5.350%, 3/1/26 144A		1,600,000		1,902
Quintiles IMS, Inc.
3.250%, 3/15/25 144A EUR ¥		500,000		566
VMware, Inc.
4.500%, 5/15/25		300,000		328
4.650%, 5/15/27		200,000		221
4.700%, 5/15/30		100,000		110

Total				14,911


Utilities (0.7%)
Adani Electricity Mumbai, Ltd.
3.949%, 2/12/30 144A		300,000		279
Centrais Eletricas Brasileiras SA
4.625%, 2/4/30 144A		300,000		286
Edison International
5.750%, 6/15/27		100,000		115


Corporate Bonds (55.7%)	Shares/ Par ⁺		Value $ (000’s)
Utilities continued
Electricite de France SA
4.500%, 9/21/28 144A		900,000		1,048
Exelon Generation Co. LLC
4.250%, 6/15/22		500,000		530
FirstEnergy Corp.
7.375%, 11/15/31		400,000		584
Nakilat, Inc.
6.067%, 12/31/33 §		1,000,000		1,220
6.267%, 12/31/33 144A		528,766		624
National Fuel Gas Co.
5.200%, 7/15/25		300,000		318
Pacific Gas & Electric Co.
3.300%, 8/1/40		100,000		97
Perusahaan Listrik Negara PT
3.000%, 6/30/30 144A		1,500,000		1,485
Puget Energy, Inc.
5.625%, 7/15/22		200,000		213

Total				6,799


Total Corporate Bonds (Cost: $548,815)				552,487


Convertible Corporate Bonds (0.1%)
Financial (0.1%)
Corestate Capital Holding SA
1.375%, 11/28/22 EUR §,¥		800,000		650

Total				650


Total Convertible Corporate Bonds (Cost: $822)				650


Governments (23.0%)
Governments (23.0%)
Abu Dhabi Government International Bond
3.875%, 4/16/50 144A		1,500,000		1,771
Albania Government International Bond
3.500%, 6/16/27 144A EUR ¥		1,400,000		1,563
Angolan Government International Bond
8.000%, 11/26/29 144A		1,600,000		1,312
Arab Republic of Egypt
5.625%, 4/16/30 144A EUR ¥		1,550,000		1,567
Argentine Republic Government International Bond
3.375%, 1/15/23 EUR ¥		950,000		404
4.740%, 12/31/38 EUR ¥		11,130,000		4,656
5.000%, 1/15/27 EUR §,¥		4,900,000		2,020
5.250%, 1/15/28 EUR §,¥		250,000		103
Australian Government
4.250%, 4/21/26 AUD §,¥		2,400,000		2,012
Autonomous Community of Catalonia
4.900%, 9/15/21 EUR ¥		800,000		947
Banque Centrale de Tunisie International Bond
5.625%, 2/17/24 EUR §,¥		300,000		309
Colombia Government International Bond
5.000%, 6/15/45 b		6,000,000		6,735
Dominican Republic International Bond
6.500%, 2/15/48 144A		2,800,000		2,579
6.500%, 2/15/48 §		400,000		368
6.875%, 1/29/26 §		500,000		524
Ecuador Government International Bond
8.875%, 10/23/27 144A		900,000		378
8.875%, 10/23/27 §		1,500,000		630

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

148

Multi-Sector Bond Portfolio


Governments (23.0%)	Shares/ Par ⁺		Value $ (000’s)
Governments continued
9.650%, 12/13/26 144A		1,000,000		429
9.650%, 12/13/26 §		400,000		171
10.750%, 1/31/29 144A		1,600,000		658
Egypt Government International Bond
4.750%, 4/11/25 144A EUR ¥		800,000		870
6.375%, 4/11/31 144A EUR ¥		400,000		415
6.375%, 4/11/31 EUR §,¥		2,000,000		2,073
Export-Import Bank of India
3.375%, 8/5/26 §		600,000		617
Federal Republic of Nigeria
7.875%, 2/16/32 §		2,800,000		2,633
Ghana Government International Bond
7.875%, 3/26/27 144A		600,000		593
8.125%, 3/26/32 144A		400,000		375
8.950%, 3/26/51 144A		600,000		548
8.950%, 3/26/51 §		200,000		183
Indonesia Government International Bond
1.400%, 10/30/31 EUR ¥		200,000		212
Ivory Coast Government International Bond
5.875%, 10/17/31 144A EUR ¥		300,000		316
6.875%, 10/17/40 144A EUR ¥		400,000		419
Kenya Government International Bond
8.000%, 5/22/32 144A		700,000		689
Kingdom of Jordan
4.950%, 7/7/25 144A		300,000		300
5.850%, 7/7/30 144A		400,000		400
North Macedonia
3.675%, 6/3/26 144A EUR ¥		500,000		571
Oman Government International Bond
6.500%, 3/8/47 §		1,800,000		1,553
6.750%, 1/17/48 144A		2,600,000		2,242
6.750%, 1/17/48 §		1,500,000		1,294
Panama Government International Bond
6.700%, 1/26/36		1,900,000		2,734
8.125%, 4/28/34		100,000		144
Perusahaan Penerbit SBSN Indonesia III
3.400%, 3/29/22 144A		600,000		618
Provincia de Buenos Aires
37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,¥,j		740,000		6
Republic of Belarus Ministry of Finance
5.875%, 2/24/26 144A		600,000		581
6.378%, 2/24/31 144A		400,000		386
Republic of Costa Rica
7.158%, 3/12/45 §		800,000		666
Republic of Croatia
6.625%, 7/14/20 §		5,000,000		5,006
Republic of Indonesia
3.375%, 7/30/25 144A EUR ¥		800,000		975
3.750%, 6/14/28 144A EUR ¥		1,900,000		2,431
3.750%, 6/14/28 EUR §,¥		2,200,000		2,814
4.125%, 1/15/25 §		1,900,000		2,063
4.625%, 4/15/43 §		2,700,000		3,091
5.125%, 1/15/45 §		800,000		979
Republic of Kazakhstan
5.125%, 7/21/25 §		5,200,000		6,026
Republic of Paraguay
5.600%, 3/13/48 §		600,000		700
6.100%, 8/11/44 §		300,000		369


Governments (23.0%)	Shares/ Par ⁺		Value $ (000’s)
Governments continued
Republic of South Africa Government International Bond
4.850%, 9/30/29		1,200,000		1,135
4.875%, 4/14/26		600,000		599
5.750%, 9/30/49		500,000		434
5.875%, 9/16/25 b		5,900,000		6,254
The Republic of Trinidad & Tobago
4.500%, 8/4/26 §		400,000		403
Romanian Government International Bond
4.125%, 3/11/39 EUR §,¥		1,500,000		1,857
Russian Federation
5.625%, 4/4/42 §		2,000,000		2,713
Saudi International Bond
2.875%, 3/4/23 §		600,000		626
4.000%, 4/17/25 §		3,900,000		4,324
4.500%, 10/26/46 §		9,300,000		10,681
Senegal Government International Bond
4.750%, 3/13/28 144A EUR ¥		100,000		108
4.750%, 3/13/28 EUR §,¥		400,000		434
6.250%, 5/23/33 144A		400,000		407
Sri Lanka Government International Bond
7.550%, 3/28/30 §		1,600,000		1,036
7.850%, 3/14/29 §		500,000		326
State of Qatar
4.400%, 4/16/50 144A		1,200,000		1,485
4.400%, 4/16/50 §		2,400,000		2,970
4.500%, 4/23/28 §		1,100,000		1,296
4.817%, 3/14/49 §		800,000		1,051
5.103%, 4/23/48 §		1,200,000		1,631
Turkey Government International Bond
4.250%, 3/13/25		800,000		745
4.625%, 3/31/25 EUR ¥		1,000,000		1,119
4.875%, 10/9/26		4,000,000		3,705
5.125%, 3/25/22 b		12,600,000		12,616
5.125%, 2/17/28 b		4,300,000		3,952
5.600%, 11/14/24		400,000		393
5.750%, 5/11/47		400,000		326
5.750%, 3/22/24		3,300,000		3,273
6.125%, 10/24/28		400,000		388
7.250%, 12/23/23		500,000		520
7.625%, 4/26/29		1,600,000		1,683
Ukraine Government International Bond
4.375%, 1/27/30 144A EUR ¥		1,600,000		1,545
4.375%, 1/27/30 EUR §,¥		200,000		193
6.750%, 6/20/26 144A EUR ¥		600,000		684
7.375%, 9/25/32 §		300,000		301
7.750%, 9/1/20 §		5,400,000		5,403
7.750%, 9/1/21 §		4,600,000		4,736
8.994%, 2/1/24 144A		1,000,000		1,073
9.750%, 11/1/28 144A		1,300,000		1,481
United Mexican States
4.500%, 1/31/50		600,000		617
4.600%, 1/23/46 b		4,700,000		4,850
US Treasury
1.875%, 8/31/24 b		7,310,000		7,808
2.125%, 3/31/24 b		3,970,000		4,254
2.125%, 11/30/24 b		3,400,000		3,680
2.250%, 11/15/24 b		15,910,000		17,297
2.250%, 2/15/27		150,000		168
2.375%, 8/15/24 b		3,700,000		4,025

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

149

Multi-Sector Bond Portfolio


Governments (23.0%)	Shares/ Par ⁺		Value $ (000’s)
Governments continued
2.500%, 1/31/24 b		10,590,000		11,457
2.750%, 2/15/24 b		8,700,000		9,499
2.875%, 11/30/23 b		4,230,000		4,615
Venezuela Government International Bond
6.000%, 12/9/20 §,j		32,000		2
7.000%, 3/31/38 §,j		204,000		12
7.650%, 4/21/25 §,j		1,955,000		112
8.250%, 10/13/24 §,j		356,000		20
9.000%, 5/7/23 §,j		32,000		2
9.250%, 5/7/28 §,j		1,241,000		71
9.375%, 1/13/34 j		1,400,000		80

Total				227,503


Total Governments (Cost: $235,535)				227,503


Municipal Bonds (1.0%)
Municipal Bonds (1.0%)
American Municipal Power, Inc., Series 2010-B
7.834%, 2/15/41 RB		100,000		163
Bay Area Toll Authority, California, Series 2010
6.918%, 4/1/40 RB		200,000		316
City of Riverside CA Electric Revenue
7.605%, 10/1/40 RB		200,000		330
Irvine Ranch California Water District
6.622%, 5/1/40 RB		100,000		156
Los Angeles County California Public Works Financing Authority
7.618%, 8/1/40 RB		200,000		335
Metropolitan Government of Nashville & Davidson County Tennessee
6.568%, 7/1/37 RB		100,000		146
Municipal Electric Authority of Georgia
6.655%, 4/1/57 RB		98,000		144
New York City Transitional Finance Authority
5.508%, 8/1/37 RB		300,000		420
New York State Urban Development Corp.
5.770%, 3/15/39 RB		100,000		127
Port Authority of New York & New Jersey, Series 165
5.647%, 11/1/40 RB		1,100,000		1,570
Port Authority of New York & New Jersey, Series 168
4.926%, 10/1/51 RB		200,000		278
San Diego County Regional Airport Authority, Series C
6.628%, 7/1/40 RB		100,000		100
San Diego Redevelopment Agency, Series A
7.625%, 9/1/30 RB		100,000		101
State of California
7.950%, 3/1/36 GO		95		–p
State of Illinois
6.630%, 2/1/35 GO		245,000		270
6.725%, 4/1/35 GO		95,000		104
7.350%, 7/1/35 GO		200,000		227
Texas Public Finance Authority
8.250%, 7/1/24 RB		150,000		150


Municipal Bonds (1.0%)	Shares/ Par ⁺		Value $ (000’s)
Municipal Bonds continued
Tobacco Settlement Finance Authority of West Virginia, Series A
7.467%, 6/1/47 RB		970,000		977
Tobacco Settlement Financing Corp. of Virginia, Series 2007-A
6.706%, 6/1/46 RB		3,205,000		3,069
Triborough Bridge & Tunnel Authority
5.550%, 11/15/40 RB		800,000		1,107

Total Municipal Bonds (Cost: $7,443)				10,090


Structured Products (15.8%)
Asset Backed Securities (5.5%)
Accredited Mortgage Loan Trust, Series 2005-3, Class M3
0.665%, (ICE LIBOR USD 1 Month plus 0.480%), 9/25/35		50,000		47
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1
1.085%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34		71,249		67
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2
0.980%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35		44,919		43
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4
1.160%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35		95,737		95
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C
0.335%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36		7,650,408		2,567
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2
1.185%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35		133,872		127
Aircraft Certificate Owner Trust, Series 2003- 1A, Class E
7.001%, 9/20/22 144A		19,718		20
AlbaCore EURO CLO I DAC
1.530%, 7/18/31 144A EUR ¥,Æ		250,000		281
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1
1.055%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34		26,065		26
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE4, Class M1
1.430%, (ICE LIBOR USD 1 Month plus 1.245%), 8/15/33		27,583		27
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4
1.085%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35		200,000		194
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2
0.385%, (ICE LIBOR USD 1 Month plus 0.200%), 12/25/36		26,291		26
Bear Stearns Asset Backed Securities I Trust, Series 2007-AQ1, Class A1
0.295%, (ICE LIBOR USD 1 Month plus 0.110%), 4/25/31		4,885		8

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

150

Multi-Sector Bond Portfolio


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A2
0.385%, (ICE LIBOR USD 1 Month plus 0.200%), 4/25/37		8,925		49
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1
1.435%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37		151,127		147
Carlyle Global Market Strategies, Series 2015-1A, Class A2MZ
0.765%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35		784,058		750
Citigroup Mortgage Loan Trust, Series 2007- AHL1, Class A2C
0.395%, (ICE LIBOR USD 1 Month plus 0.210%), 12/25/36		100,000		91
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4
1.760%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34		100,000		95
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6
4.740%, (AFC), 10/25/35		1,791		2
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4
0.535%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/36		81,855		69
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5
4.642%, (AFC), 7/25/36		100,000		100
Countrywide Asset-Backed Certificates, Series 2006-23, Class 2A3
0.355%, (ICE LIBOR USD 1 Month plus 0.170%), 5/25/37		21,166		21
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A
0.325%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37		545,672		482
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3
0.475%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/36		36,385		36
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3
0.475%, (ICE LIBOR USD 1 Month plus 0.290%), 8/25/36		66,589		65
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2
0.505%, (ICE LIBOR USD 1 Month plus 0.320%), 2/25/37		900,000		647
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3
0.325%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37		32,368		30
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A
1.025%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47		2,199,248		2,123


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A
0.385%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47		990,292		863
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1
0.735%, (ICE LIBOR USD 1 Month plus 0.550%), (AFC), 5/25/47 144A		1,531,272		1,268
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1
0.805%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32		4,424		4
Ellington Loan Acquisition Trust, Series 2007- 2, Class A1
1.235%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A		316,218		306
Fair Oaks Loan Funding II, Series 2A, Class A
1.900%, 7/15/31 144A EUR ¥		750,000		846
First Franklin Mortgage Loan Trust, Series 2006-FF12, Class A4
0.325%, (ICE LIBOR USD 1 Month plus 0.140%), 9/25/36		41,917		41
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A5
04/25/36		200,000		193
Fremont Home Loan Trust, Series 2005-2, Class M4
1.115%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35		300,000		269
GSAA Home Equity Trust, Series 2006-17, Class A1
0.245%, (ICE LIBOR USD 1 Month plus 0.060%), 11/25/36		56,427		21
GSAMP Trust, Series 2004-WF, Class M2
1.835%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34		23,819		24
GSAMP Trust, Series 2007-FM2, Class A2B
0.275%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37		196,468		123
GSAMP Trust, Series 2007-NC1, Class A2A
0.235%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46		15,481		9
Gulf Stream Meridian 2, Ltd., Series 2020-IIA, Class A1A
2.478%, (ICE LIBOR USD 3 Month plus 2.200%), 10/15/29 144A		4,700,000		4,720
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4
0.525%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37		500,000		376
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-B, Class 2A2
0.345%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37		380,319		226
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4
0.575%, (ICE LIBOR USD 1 Month plus 0.390%), 11/25/35		246,024		236

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

151

Multi-Sector Bond Portfolio


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Lehman XS Trust, Series 2005-4, Class 1A3
0.985%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35		9,651		10
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4
0.485%, (ICE LIBOR USD 1 Month plus 0.300%), 2/25/36		66,974		57
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4
0.455%, (ICE LIBOR USD 1 Month plus 0.270%), 5/25/46		313,701		144
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A
0.335%, (ICE LIBOR USD 1 Month plus 0.150%), 5/25/36		1,351,470		901
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1
1.085%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34		120,010		117
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1
0.335%, (ICE LIBOR USD 1 Month plus 0.150%), 3/25/36 b		12,764,843		10,942
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2
0.285%, (ICE LIBOR USD 1 Month plus 0.100%), 8/25/36		2,216,533		835
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5
0.335%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36		974,345		398
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1
0.635%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47		903,930		620
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2
0.890%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35		162,120		150
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5
1.175%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35		264,346		263
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C
0.345%, (ICE LIBOR USD 1 Month plus 0.160%), 9/25/36		71,219		37
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C
0.325%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36		67,316		34
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C
0.435%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37		66,007		33
Morgan Stanley Dean Witter Capital I, Inc., Series 2002-HE1, Class M1
1.085%, (ICE LIBOR USD 1 Month plus 0.900%), 7/25/32		1,156		1


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Asset Backed Securities continued
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1
1.760%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32		60,897		60
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1
1.535%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33		26,689		26
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B
0.345%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37		480,874		464
People’s Choice Home Loan Securities Trust, Series 2005-3, Class M2
0.980%, (ICE LIBOR USD 1 Month plus 0.795%), (AFC), 8/25/35		57,034		57
Popular Mortgage Pass Through Trust, Series 2006-A, Class M1
0.575%, (ICE LIBOR USD 1 Month plus 0.390%), (AFC), 2/25/36		144,117		142
RAAC Series, Series 2007-RP4, Class A
0.535%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A		268,409		246
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, Class M3
0.665%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 9/25/35		179,150		178
Residential Asset Securities Corp., Series 2006-EMX1, Class M1
0.595%, (ICE LIBOR USD 1 Month plus 0.410%), (AFC), 1/25/36		63,873		64
Residential Asset Securities Corp., Series 2007-KS1, Class A3
0.335%, (ICE LIBOR USD 1 Month plus 0.150%), (AFC), 1/25/37		124,049		122
Residential Asset Securities Corp., Series 2007-KS3, Class AI4
0.525%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37		1,600,000		1,446
Saxon Asset Securities Trust, Series 2006-1, Class M1
0.650%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36		352,523		337
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2
1.145%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36		65,633		54
SLM Private Education Loan Trust, Series 2011-B, Class A3
2.435%, (ICE LIBOR USD 1 Month plus 2.250%), 6/16/42 144A		29,241		29
Soundview Home Loan Trust, Series 2005-3, Class M3
1.010%, (ICE LIBOR USD 1 Month plus 0.825%), 6/25/35		67,172		67
Soundview Home Loan Trust, Series 2006-2, Class M2
0.535%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/36		400,000		380

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

152

Multi-Sector Bond Portfolio


Structured Products (15.8%)	Shares/ Par ⁺			Value $ (000’s)
Asset Backed Securities continued
Soundview Home Loan Trust, Series 2006-3, Class A3
0.345%, (ICE LIBOR USD 1 Month plus 0.160%), 11/25/36		128,427			127
Soundview Home Loan Trust, Series 2006- OPT2, Class A4
0.465%, (ICE LIBOR USD 1 Month plus 0.280%), 5/25/36		200,000			188
Soundview Home Loan Trust, Series 2006- OPT3, Class M1
0.495%, (ICE LIBOR USD 1 Month plus 0.310%), 6/25/36 b		6,657,103			5,375
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3
1.160%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35		230,958			227
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1
1.160%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33		132,773			132
Structured Asset Investment Loan Trust, Series 2005-7, Class M2
0.950%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35		500,000			474
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3
0.335%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36		19,215			18
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2001-WF1, Class A 6			��
0.395%, (ICE LIBOR USD 1 Month plus 0.210%), 2/25/37		98,819			92
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4
0.355%, (ICE LIBOR USD 1 Month plus 0.170%), 12/25/36		312,398			299
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A
0.445%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A		1,164,046			1,139
Vendome Funding DAC
1.860%, 7/20/31 144A EUR ¥,Æ		500,000			561
Venture XIV CLO, Ltd., Series 14A, Class ARR
1.401%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A		5,500,000			5,359
Venture XXV CLO Ltd., Series 25A, Class AR		144A			144A
2.365%, (ICE LIBOR USD 3 Month plus 1.230%), 4/20/29 144A		5,000,000			4,912
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A
0.335%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37		163,251			136

Total					55,013


Mortgage Securities (10.3%)
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1
2.015%, (ICE LIBOR USD 6 Month plus 1.500%), (AFC), 9/25/45		1,288			1


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Banc of America Funding Trust, Series 2005- H, Class 5A1
4.071%, (CSTR), 11/20/35		134,326		124
Banc of America Funding Trust, Series 2006- J, Class 4A1
4.185%, (CSTR), 1/20/47		53,101		50
Banc of America Funding Trust, Series 2007- 6, Class A1
0.475%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37		68,797		63
Barclays Capital LLC, Series 2009-RR14, Class 2A2
3.610%, (CSTR), 7/26/36 144A		27,615		24
Barclays Capital LLC, Series 2009-RR5, Class 3A3
6.250%, (CSTR), 8/26/36 144A		2,651,639		1,751
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A
3.205%, (CSTR), 7/25/34		2,597		3
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1
3.938%, (CSTR), 11/25/36		166,404		121
Bear Stearns ARM Trust, Series 2007-4, Class 22A1
3.673%, (CSTR), 6/25/47		110,651		100
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3
6.000%, 9/25/37		4,563		5
Citigroup Mortgage Loan Trust, Series 2007- 10, Class 22AA
3.934%, (CSTR), 9/25/37		12,634		12
Citigroup Mortgage Loan Trust, Series 2007- 10, Class 2A3A
4.382%, (CSTR), 9/25/37		53,928		51
Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A
3.643%, (CSTR), 3/25/37		454,599		392
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1
5.750%, 1/25/35		17,826		18
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1
6.000%, 3/25/35		322,781		224
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1
0.520%, (ICE LIBOR USD 1 Month plus 0.330%), 11/20/35		6,405		6
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1
2.984%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		16,939		16
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3
5.500%, 1/25/36		180,096		150
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8
5.500%, 2/25/35		173,618		176
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1
6.500%, 8/25/32		4,334		4

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

153

Multi-Sector Bond Portfolio


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13
5.500%, 11/25/35		228,395		187
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13
6.000%, 2/25/37		133,857		81
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1
0.685%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36		427,936		153
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1
3.610%, (CSTR), 5/25/36		13,373		12
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B
0.380%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46		16,190		14
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A
0.385%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46		32,786		26
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1
0.400%, (ICE LIBOR USD 1 Month plus 0.210%), 5/20/46		432,116		330
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A
0.400%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46		10,805		8
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2
6.000%, 5/25/37		241,190		135
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1
0.325%, (ICE LIBOR USD 1 Month plus 0.140%), 4/25/47		40,540		36
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-22, Class 3A1
3.387%, (CSTR), 10/25/35		14,249		12
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1
3.558%, (CSTR), 12/20/35		5,733		5
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-16, Class 2A1
6.500%, 11/25/36		20,069		12
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-9, Class A1
6.000%, 5/25/36		150,542		108
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A1
2.464%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		39,420		17
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A2
0.455%, (ICE LIBOR USD 1 Month plus 0.270%), 4/25/46		1,044,618		400


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HYB1, Class 3A1
3.462%, (CSTR), 3/25/37		11,807		10
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1
6.500%, 4/25/33		1,056		1
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3
5.500%, 12/25/35		449,733		433
EMF-NL BV, Series 2008-APRX, Class A2
0.407%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,¥		149,119		154
Eurosail-NL BV, Series 2007-NL2X, Class A
1.250%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,¥		86,885		98
Federal National Mortgage Association TBA
2.500%, 7/14/50		12,700,000		13,234
2.500%, 9/14/50		1,700,000		1,764
3.000%, 9/14/50		36,300,000		38,099
4.000%, 8/13/50		33,600,000		35,620
Federal National Mortgage Association, Series 2003-W6, Class F
0.518%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42		21,779		22
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5
5.750%, 5/25/37		238,104		158
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1
4.121%, (CSTR), 9/25/35		3,718		4
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6
6.000%, 2/25/36		110,782		81
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1
3.852%, (CSTR), 1/25/36		1,876		2
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1
3.747%, (CSTR), 3/25/47		10,317		8
Harborview Mortgage Loan Trust, Series 2005-10, Class 2A1A
0.504%, (ICE LIBOR USD 1 Month plus 0.310%), (AFC), 11/19/35		11,234		10
Harborview Mortgage Loan Trust, Series 2005-3, Class 2A1A
0.674%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35		20,155		20
HomeBanc Mortgage Trust, Series 2005-1, Class A1
0.435%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/35		6,195		5
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A
0.405%, (ICE LIBOR USD 1 Month plus 0.220%), 11/25/35		1,140,792		998
Impac Secured Assets Trust, Series 2007-1, Class A2
0.345%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 3/25/37		62,713		59

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

154

Multi-Sector Bond Portfolio


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1
4.015%, (CSTR), 10/25/34		20,565		20
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A
0.665%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35		1,882		2
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A
0.485%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/35		13,093		12
JP Morgan Mortgage Trust, Series 2005- ALT1, Class 2A1
3.685%, (CSTR), 10/25/35		10,494		9
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1
3.790%, (CSTR), 7/25/35		9,763		9
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1
3.394%, (CSTR), 6/25/37		58,601		47
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1, Class A1
0.338%, (ICE LIBOR USD 1 Month plus 0.170%), 2/25/37		117		–p
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A3
0.565%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/35		10,161		10
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1
3.608%, (CSTR), 12/25/35		147,568		126
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A
3.479%, (CSTR), 2/25/36		3,540		3
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1
3.397%, (CSTR), 5/25/36		12,658		11
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 4A
3.324%, (CSTR), 7/25/35		34,387		32
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1
3.932%, (CSTR), 8/25/35		4,835		5
Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1
0.375%, (ICE LIBOR USD 1 Month plus 0.190%), 8/25/36		9,478		9
Residential Accredit Loans, Inc., Series 2006- QA8, Class A1
0.375%, (ICE LIBOR USD 1 Month plus 0.190%), 9/25/36		22,077		19
Residential Accredit Loans, Inc., Series 2007- QA1, Class A1
0.325%, (ICE LIBOR USD 1 Month plus 0.140%), 1/25/37		16,388		16
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2
6.500%, 4/25/37		3,419,149		1,407


Structured Products (15.8%)	Shares/ Par ⁺		Value $ (000’s)
Mortgage Securities continued
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1
0.505%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35		57,628		53
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2
3.625%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36		513,629		480
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1
0.365%, (ICE LIBOR USD 1 Month plus 0.180%), (AFC), 7/25/46		232,809		190
Suntrust Alternative Loan Trust, Series 2005- 1F, Class 1A1
0.835%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35		15,499		13
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1
1.677%, (ICE LIBOR GBP 3 Month plus 1.025%), 10/20/51 144A GBP ¥		2,380,499		2,946
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6
3.771%, (CSTR, AFC), 2/25/33		949		1
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3
3.601%, (CSTR), 10/25/36		25,076		22
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1
3.692%, (CSTR), 3/25/36		206,935		190
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1
3.874%, (CSTR), 8/25/36		11,480		10
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1
3.649%, (CSTR), 2/25/37		4,058		4
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2
2.204%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		350,379		285
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1
3.667%, (CSTR), 7/25/37		47,594		42
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1
3.995%, (CSTR), 4/25/36		54,374		51
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1
4.427%, (CSTR), 11/25/37		44,803		38

Total				101,669


Total Structured Products (Cost: $155,457)				156,682


Bank Loan Obligations (3.2%)
Bank Loan Obligations (3.2%)
Altice Financing SA, 2.910%, 01/31/26		1,190,840		1,122
Altice France SA, 2.910%, (US LIBOR plus 2.750%), 7/31/25		197,455		187
CenturyLink, Inc., 2.410%, (ICE LIBOR USD 1 Month plus 2.250%), 3/15/27b		5,366,257		5,043

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

155

Multi-Sector Bond Portfolio


Bank Loan Obligations (3.2%)	Shares/ Par ⁺		Value $ (000’s)
Bank Loan Obligations continued
Charter Communications Operating LLC, 1.910%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27		3,433,057		3,293
CommScope, Inc., 3.410%, (US LIBOR plus 3.250%), 4/6/26		496,250		469
Connect Finco SARL, 4.660%, (ICE LIBOR USD 1 Month plus 4.500%), 12/11/26		1,197,000		1,123
Dell International LLC, 2.160%, (ICE LIBOR USD 1 Month plus 2.000%), 9/19/25		1,458,497		1,419
Enterprise Merger Sub, Inc., 3.910%, (US LIBOR plus 3.750%), 10/10/25		492,500		325
Financial & Risk US Holdings, Inc., 3.210%, (Euribor 3 Month ACT/360 plus 3.250%), 10/1/25 EUR¥		994,950		1,095
Grifols SA, 2.210%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR¥		1,990,000		2,183
Hilton Worldwide Finance LLC, 1.910%, (US LIBOR plus 1.750%), 6/22/26		1,120,295		1,042
INEOS Finance PLC, 1.960%, (Euribor 3 Month plus 2.000%), 4/1/24 EUR¥		3,412,500		3,693
Jefferies Finance LLC, 3.160%, (ICE LIBOR USD 3 Month plus 3.000%), 6/3/26		99,000		93
MPH Acquisition Holdings LLC, 2.910%, (ICE LIBOR USD 3 Month plus 2.750%), 6/7/23		1,000,000		946
Pacific Gas & Electric Co., 2.410%, (US LIBOR plus 3.970%), 12/31/20		3,375,000		3,354
PCF GmbH, 4.960%, 08/1/24 EUR¥		2,800,000		2,679
Sigma Bidco BV, 3.460%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR¥		1,600,000		1,712
Valeant Pharmaceuticals International, Inc., 3.160%, (US LIBOR plus 3.000%), 6/2/25		310,814		301
Ziggo Finance Partnership BV, 2.660%, (ICE LIBOR USD 1 Month plus 2.500%), 4/30/28		1,555,228		1,466

Total Bank Loan Obligations (Cost: $33,847)				31,545


Short-Term Investments (9.0%)
Bank Loan Obligations (0.1%)
Pacific Gas & Electric Co. 2.410%, (US LIBOR plus 2.250%), 12/31/20		1,125,000		1,118

Total				1,118


Consumer, Cyclical (0.0%)
Daimler Finance North America LLC 1.106%, (ICE LIBOR USD 3 Month plus 0.550%), 5/4/21 144A		200,000		199

Total				199


Short-Term Investments (9.0%)	Shares/ Par ⁺		Value $ (000’s)
Energy (0.0%)
Sinopec Group Overseas Development (2016) Limited
2.750%, 5/3/21§		200,000		202

Total				202


Financial (0.1%)
Huarong Finance II Co., Ltd.
3.250%, 6/3/21§		200,000		201
ICBCIL Finance Co., Ltd.
3.200%, 11/10/20§		300,000		302
Springleaf Finance Corp.
8.250%, 12/15/20		100,000		103

Total				606


Governments (5.3%)
Argentine Republic Treasury Bill
30.362%, 8/28/20 ARS¥		662,000		7
US Treasury
0.000%, 7/23/20		2,700,000		2,700
0.000%, 7/28/20b		15,800,000		15,799
0.000%, 8/6/20b		4,800,000		4,799
0.000%, 9/10/20b		29,000,000		28,992

Total				52,297


Money Market Funds (0.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#,b		3,887,710		3,888

Total				3,888


Repurchase Agreements (3.1%)
JP Morgan repurchase (Purchased on 6/30/20, to be repurchased at $30,800,111, collateralized by US Treasury Bond, 0.301%, due 6/30/25, par and fair value of $31,469,000 and $31,408,766, respectively) 0.130%, 7/1/20b		30,800,000		30,800

Total				30,800


Total Short-Term Investments (Cost: $89,110)				89,110


Total Investments (107.8%) (Cost: $1,071,029)^@				1,068,067


Other Assets, Less Liabilities (-7.8%)				(76,990	)


Net Assets (100.0%)				991,077

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		7,100		71		9/20	$	10,767	$	35		$	(2	)
Euro-Bund Future		Long	EUR		6,500		65		9/20		12,891		72			(10	)
Euro-Buxl Future		Long	EUR		1,800		18		9/20		4,448		77			(15	)
Ten-Year US Treasury Note Future		Long	USD		83,300		833		9/20		115,930		368			(133	)
Two-Year US Treasury Note Future		Long	USD		11,200		56		9/20		12,366		2			1
Ultra Long Term US Treasury Bond Future		Long	USD		22,000		220		9/20		47,994		(37	)		(227	)
												$	517		$	(386	)

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

156

Multi-Sector Bond Portfolio

Centrally Cleared Interest Rate Swaps - Receive Floating Rate


Floating Rate Index	Fixed Rate			Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
3-Month USD-LIBOR		1.250	%		6/25		28,700		USD	$	(1,255	)	$	(63	)	$	(1,318	)	$	12
3-Month USD-LIBOR		1.000	%		12/25		11,800		USD		(333	)		(41	)		(374	)		6
3-Month USD-LIBOR		2.500	%		12/24		27,900		USD		(918	)		(1,831	)		(2,749	)		8
6-Month GBP-LIBOR		0.500	%		12/30		600		GBP		1			(10	)		(9	)		1
6-Month GBP-LIBOR		0.500	%		12/50		600		GBP		(3	)		(11	)		(14	)		7

										$	(2,508	)	$	(1,956	)	$	(4,464	)	$	34

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		8,000		CAD	$	160	$	631	$	791	$	–p
3-Month USD-LIBOR		2.995	%		5/28		300		USD		–		58		58		–p
6-Month Euribor		(0.150	)%		12/25		13,000		EUR		8		137		145		5
6-Month Euribor		0.250	%		12/30		1,700		EUR		70		8		78		(2	)
6-Month Euribor		(0.050	)%		10/29		1,800		EUR		–		29		29		(1	)
										$	238	$	863	$	1,101	$	2

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		1.763	%		5,358		USD	$	(201	)	$	45		$	(156	)	$	7
Markit CDX North America High Yield Index		5.000	%		6/24		4.975	%		21,021		USD		901			(858	)		43			538
Markit CDX North America High Yield Index		5.000	%		12/24		5.157	%		16,008		USD		615			(696	)		(81	)		351
Markit CDX North America High Yield Index		5.000	%		6/25		5.175	%		38,285		USD		391			(641	)		(250	)		389
Markit CDX North America Investment Grade Index		1.000	%		12/24		1.841	%		23,250		USD		(1,217	)		382			(835	)		57
Markit CDX North America Investment Grade Index		1.000	%		12/24		0.736	%		47,300		USD		823			(254	)		569			88
Markit CDX North America Investment Grade Index		1.000	%		6/25		0.764	%		31,500		USD		(477	)		849			372			63
Markit CDX North America Investment Grade Index		1.000	%		6/25		2.001	%		44,270		USD		(4,769	)		2,692			(2,077	)		108
													$	(3,934	)	$	1,519		$	(2,415	)	$	1,601

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

157

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		0.996	%		300	USD	$	(1	)	$	1		$	–	p	$	–p
AT&T, Inc.		1.000	%	6/25		1.145	%		100	USD		(4	)		3			(1	)		–p
Atlantia SpA		1.000	%	12/20		3.891	%		1,300	EUR		(17	)		(2	)		(19	)		–p
Casino Guichard Perrachon SA		1.000	%	12/20		5.473	%		2,600	EUR		(44	)		(7	)		(51	)		4
Casino Guichard Perrachon SA		1.000	%	12/21		5.779	%		1,000	EUR		(35	)		(43	)		(78	)		(2	)
Casino Guichard Perrachon SA		5.000	%	12/22		6.120	%		1,100	EUR		(9	)		(21	)		(30	)		(1	)
Ford Motor Co.		5.000	%	6/23		4.641	%		2,900	USD		294			(265	)		29			(2	)
Ford Motor Co.		5.000	%	12/23		4.834	%		200	USD		26			(25	)		1			–p
Ford Motor Co.		5.000	%	12/23		4.834	%		700	USD		71			(68	)		3			(1	)
Ford Motor Credit Co.		5.000	%	12/23		3.670	%		400	USD		36			(19	)		17			(2	)
General Electric Co.		1.000	%	12/23		1.476	%		2,800	USD		(96	)		52			(44	)		12
General Electric Co.		1.000	%	6/24		1.557	%		900	USD		(7	)		(12	)		(19	)		4
General Electric Co.		1.000	%	12/24		1.682	%		500	USD		(7	)		(7	)		(14	)		3
Marks & Spencer PLC		1.000	%	12/23		2.837	%		200	EUR		(4	)		(10	)		(14	)		–p
Marks & Spencer PLC		1.000	%	12/24		3.121	%		2,900	EUR		(127	)		(158	)		(285	)		1
Telefonica Emisiones SAU		1.000	%	6/24		0.759	%		1,000	EUR		13			(2	)		11			1
Telefonica Emisiones SAU		1.000	%	12/24		0.833	%		3,200	EUR		63			(36	)		27			2
Volkswagen International Finance		1.000	%	6/24		1.107	%		700	EUR		3			(6	)		(3	)		–p
											$	155		$	(625	)	$	(470	)	$	19


	Financial Derivative Assets									Financial Derivative Liabilities
																Market Value
	Variation Margin (000’s)						Variation Margin (000’s)									(000’s)
	Swaps		Futures		Total		Swaps			Futures			Total			Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	1,667	$	1	$	1,668	$	(11	)	$	(387	)	$	(398	)	$	–

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 Date	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	JP Morgan Chase Bank NA	AUD		2,517		1,737	7/2/20	$	—	$	(40	)	$	(40)
Buy	Goldman Sachs International	COP		212,965		57	7/17/20		—		(2	)		(2)
Buy	Barclays Bank PLC	EUR		563		633	7/2/20		—		(3	)		(3)
Buy	BNP Paribas	EUR		788		885	7/2/20		1		—			1
Sell	BNP Paribas	EUR		96,026		107,886	7/2/20		—		(1,232	)		(1,232)
Sell	JP Morgan Chase Bank NA	EUR		1,327		1,491	7/2/20		8		—			8
Sell	UBS AG	EUR		5,397		6,063	7/2/20		3		(35	)		(32)
Sell	BNP Paribas	EUR		101,399		114,004	8/4/20		—		(36	)		(36)
Buy	Barclays Bank PLC	GBP		1,040		1,289	7/2/20		—		(16	)		(16)
Buy	HSBC Bank USA NA	GBP		4,414		5,470	7/2/20		22		(3	)		19
Sell	Goldman Sachs International	GBP		38,045		47,142	7/2/20		—		(215	)		(215)
Sell	Goldman Sachs International	GBP		1,033		1,280	7/2/20		1		—			1
Sell	HSBC Bank USA NA	GBP		33,624		41,672	8/4/20		—		(438	)		(438)
Sell	HSBC Bank USA NA	PLN		30		8	9/10/20		—p		—			—p
								$	35	$	(2,020	)	$	(1,985)

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

158

Multi-Sector Bond Portfolio

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)
Avolon Holdings Ltd.Æ		UBS AG	5.000%	7/20		422.786	%	USD		200	$	–		$	–		$	–p
Intrum AB		Barclays Bank PLC	5.000%	12/24		7.170	%	EUR		100		8			(17	)		(9	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		200		19			(36	)		(17	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		200		15			(32	)		(17	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		200		17			(34	)		(17	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		300		29			(55	)		(26	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		300		31			(57	)		(26	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		400		41			(76	)		(35	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		400		41			(76	)		(35	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		500		39			(82	)		(43	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		600		61			(113	)		(52	)
Intrum AB		Goldman Sachs International	5.000%	12/24		7.170	%	EUR		600		52			(104	)		(52	)
Intrum AB		JP Morgan Chase Bank NA	5.000%	12/24		7.170	%	EUR		800		63			(132	)		(69	)
Intrum AB		Morgan Stanley Capital Services	5.000%	12/24		7.170	%	EUR		100		8			(17	)		(9	)
Intrum AB		Morgan Stanley Capital Services	5.000%	12/24		7.170	%	EUR		100		8			(17	)		(9	)
Intrum AB		Morgan Stanley Capital Services	5.000%	12/24		7.170	%	EUR		200		20			(37	)		(17	)
Republic of Indonesia		HSBC Bank USA NA	1.000%	12/24		1.206	%	USD		7,400		(37	)		(30	)		(67	)
Republic of Peru		Barclays Bank PLC	1.000%	3/23		0.513	%	USD		1,100		(8	)		22			14
United Mexican States		BNP Paribas	1.000%	6/24		1.289	%	USD		100		(1	)		–			(1	)
United Mexican States		Goldman Sachs International	1.000%	12/24		1.444	%	USD		200		(1	)		(3	)		(4	)
United Mexican States		HSBC Bank USA NA	1.000%	6/24		1.289	%	USD		400		(4	)		–			(4	)
United Mexican States		Morgan Stanley Capital Services	1.000%	12/24		1.444	%	USD		1,200		(6	)		(16	)		(22	)

											$	395		$	(912	)	$	(517	)

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-Month USD-LIBOR	iBoxx USD Liquid High Yield Index	12/20		6	$	(84	)	$	(84	)

									$	(84	)	$	(84	)

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

159

Multi-Sector Bond Portfolio


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps		Total

Total Over the Counter Derivatives	$	35	$	14	$	49	$	(2,020)		—	$	(615)	$	(2,635)

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

144A

¥	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 June 30, 2020, the aggregate value of these securities was $184,128 (in thousands), representing 18.6% of net assets.

b	Cash or securities with an aggregate value of $294,862 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

f	Defaulted Security

Þ	PIK - Payment In Kind. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%.

p	Amount is less than one thousand.

Æ	Security valued using significant unobservable inputs.

#	7-Day yield as of 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,065,375 and the net unrealized depreciation of investments based on that cost was $5,624 which is comprised of $51,652 aggregate gross unrealized appreciation and $57,276 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

160

Multi-Sector Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	—		$	31,545		$	—
Convertible Corporate Bonds		—			650			—
Municipal Bonds		—			10,090			—
Corporate Bonds		—			552,487			—
Governments		—			227,503			—
Structured Products
Asset Backed Securities		—			54,171			842
All Others		—			101,669			—
Short-Term Investments
Money Market Funds		3,888			—			—
All Others		—			85,222			—
Other Financial Instruments^
Futures		554			—			—
Forward Currency Contracts		—			35			—
Interest Rate Swaps		—			1,101			—
Credit Default Swaps		—			1,086			—	p

Total Assets:	$	4,442		$	1,065,559		$	842

Liabilities:
Other Financial Instruments^
Futures		(37	)		—			—
Forward Currency Contracts		—			(2,020	)		—
Total Return Swaps		—			(84	)		—
Interest Rate Swaps		—			(4,464	)		—
Credit Default Swaps		—			(4,488	)		—

Total Liabilities:	$	(37	)	$	(11,056	)	$	—

For the period ended June 30, 2020, there were transfers from Level 3 to Level 2 in the amount of $60 (in thousands). These transfers were the result of an increase in the quantity of observable inputs for securities that were previously not priced by a third party vendor.

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

161

Balanced Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Fixed Income		46.7%

		Domestic Equity		37.9%

		Foreign Equity		11.2%

		Short-Term Investments & Other Net Assets		4.2%

Sector Allocation is subject to change.

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 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.

The U.S. federal funds rate has been subject to moderate increases over the course of the last three 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.

162

Balanced Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Investment Companies (95.8%)	Shares/ Par ⁺		Value $ (000’s)
Domestic Equity (37.9%)
iShares Core S&P 500 ETF		5,000		1,549
iShares Core S&P Mid-Cap ETF		90,650		16,119
iShares Russell 2000 ETF		146,700		21,005
iShares Russell Mid-Cap ETF		12,400		665
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		41,921,622		62,337
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		41,433,492		59,789
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		22,502,544		78,579
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		44,313,881		156,605
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		60,727,131		65,342
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		44,051,910		70,615
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		71,593,789		62,931
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		28,854,014		93,862
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		62,017,196		85,708
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		9,246,089		24,003
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		11,409,073		20,365

Total				819,474


Fixed Income (46.7%)
iShares Core U.S. Aggregate Bond ETF		145,100		17,152
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		175,210,641		126,327
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		617,966,999		854,648
Northwestern Mutual Series Fund, Inc., Short-Term Bond Portfolio £		9,775,171		10,577

Total				1,008,704


Foreign Equity (11.2%)
iShares MSCI EAFE ETF		166,000		10,104


Investment Companies (95.8%)	Shares/ Par ⁺		Value $ (000’s)
Foreign Equity continued
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		20,764,216		20,910
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		27,863,328		38,786
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		29,020,120		52,352
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		118,277,752		119,934

Total				242,086


Total Investment Companies (Cost: $1,930,276)				2,070,264


Short-Term Investments (4.2%)
Commercial Paper (1.8%)
Chevron Corp. 0.000%, 8/27/20 144A		10,000,000		9,997
Exxon Mobil Corp. 0.000%, 7/29/20		10,000,000		9,999
Pfizer, Inc. 0.000%, 7/1/20 144A		10,000,000		10,000
The Walt Disney Co. 0.000%, 7/22/20 144A		10,000,000		9,999

Total				39,995


Money Market Funds (2.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#		42,885,553		42,886

Total				42,886


US Government & Agencies (0.4%)
Federal Home Loan Bank
0.000%, 7/20/20b		3,000,000		3,000
0.000%, 7/31/20b		3,000,000		2,999
0.000%, 9/16/20b		3,000,000		2,999

Total				8,998


Total Short-Term Investments (Cost: $91,859)				91,879


Total Investments (100.0%) (Cost: $2,022,135)^@				2,162,143


Other Assets, Less Liabilities (0.0%)				(592	)


Net Assets (100.0%)				2,161,551

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		4		73	9/20	$	11,279	$	(102	)	$	155

											$	(102	)	$	155

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

163

Balanced Portfolio

Financial Derivative Assets

Financial Derivative Liabilities

Market Value

Variation Margin (000’s)

(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or

Centrally Cleared Derivatives

–

155

–

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

£	Affiliated Company

144A

#	7-Day yield as of 6/30/2020.

b	Cash or securities with an aggregate value of $8,998 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,022,135 and the net unrealized appreciation of investments based on that cost was $139,906 which is comprised of $188,126 aggregate gross unrealized appreciation and $48,220 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2020. 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	$	2,070,264		$	—	$	—
Short-Term Investments
Money Market Funds		42,886			—		—
All Others		—			48,993		—

Total Assets:	$	2,113,150		$	48,993	$	—

Liabilities:
Other Financial Instruments^
Futures		(102	)		—		—

Total Liabilities:	$	(102	)	$	—	$	—

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

164

Asset Allocation Portfolio (unaudited)

Sector Allocation 6/30/20



		Sector		% of Net Assets

		Domestic Equity		49.2%

		Fixed Income		31.5%

		Foreign Equity		16.1%

		Short-Term Investments & Other Net Assets		3.2%

Sector Allocation is subject to change.

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.

165

Asset Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2020 (unaudited)


Investment Companies (96.8%)	Shares/ Par ⁺		Value $ (000’s)
Domestic Equity (49.2%)
iShares Core S&P Mid-Cap ETF		14,550		2,587
iShares Russell 2000 ETF		14,500		2,076
iShares Russell Mid-Cap ETF		14,000		750
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		6,588,977		9,798
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		6,472,503		9,340
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		3,511,005		12,260
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		6,918,672		24,451
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		10,615,513		11,422
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		7,769,379		12,454
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		11,162,406		9,812
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		4,305,449		14,006
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		9,081,083		12,550
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		2,384,289		6,190
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		2,982,156		5,323

Total				133,019


Fixed Income (31.5%)
iShares Core U.S. Aggregate Bond ETF		34,800		4,114
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		29,223,686		21,070
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		42,559,518		58,860
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		977,517		1,057

Total				85,101


Foreign Equity (16.1%)
iShares MSCI EAFE ETF		20,700		1,260
iShares MSCI Emerging Markets ETF		6,600		264
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		3,410,934		3,435
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		5,215,382		7,260
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		5,711,992		10,304
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		20,632,725		20,922

Total				43,445


Total Investment Companies (Cost: $245,732)				261,565


Short-Term Investments (3.2%)
Commercial Paper (1.5%)
Chevron Corp.
0.000%, 8/27/20 144A		1,000,000		999
Exxon Mobil Corp.


Short-Term Investments (3.2%)	Shares/ Par ⁺		Value $ (000’s)
Commercial Paper continued
0.000%, 7/29/20		1,000,000		1,000
Pfizer, Inc. 0.000%, 7/1/20 144A		1,000,000		1,000
The Walt Disney Co. 0.000%, 7/22/20 144A		1,000,000		1,000

Total				3,999


Money Market Funds (0.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.120%^#		1,612,024		1,612

Total				1,612


US Government & Agencies (1.1%)
Federal Home Loan Bank
0.000%, 7/20/20b		1,000,000		1,000
0.000%, 7/31/20b		1,000,000		1,000
0.000%, 9/16/20b		1,000,000		1,000

Total				3,000


Total Short-Term Investments (Cost: $8,609)				8,611


Total Investments (100.0%) (Cost: $254,341)^@				270,176


Other Assets, Less Liabilities (0.0%)				27


Net Assets (100.0%)				270,203

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

166

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		9/20	$	463	$	(4	)	$	6

														$	(4	)	$	6

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

–

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

£	Affiliated Company

144A

#	7-Day yield as of 6/30/2020.

b	Cash or securities with an aggregate value of $3,000 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2020.

At June 30, 2020, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $254,341 and the net unrealized appreciation of investments based on that cost was $15,831 which is comprised of $23,933 aggregate gross unrealized appreciation and $8,102 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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 June 30, 2020. 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		$	261,565		$	—	$	—
Short-Term Investments
Money Market Funds			1,612			—		—
All Others			—			6,999		—

Total Assets:		$	263,177		$	6,999	$	—

Liabilities:
Other Financial Instruments^
Futures			(4	)		—		—

Total Liabilities:		$	(4	)	$	—	$	—

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

167

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (unaudited) (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)	$	1,158,076	$	1,052,447	$	606,410	$	151,189	$	3,696,913
Cash		—		—		—		—		30
Receivable for Portfolio Shares Sold		66		29		12		4		625
Receivable for Investment Securities Sold		1,911		—		3,862		—		3,309
Variation Margin Receivable		—		—		—		—		230
Prepaid Expenses and Other Assets		20		20		16		13		47
Dividends and Interest Receivable		162		776		383		332		2,887

Total Assets		1,160,235		1,053,272		610,683		151,538		3,704,041


Liabilities
Payable for Portfolio Shares Redeemed		131		331		1,008		106		796
Payable for Investment Securities Purchased		1,728		—		2,519		—		—
Investment Advisory Fees		408		556		223		99		617
Compliance Fees Payable		2		3		2		2		4
Accrued Expenses		39		44		37		25		130

Total Liabilities		2,308		934		3,789		232		1,547

Net Assets	$	1,157,927	$	1,052,338	$	606,894	$	151,306	$	3,702,494


Represented By:
Aggregate Paid in Capital (10) (11)	$	661,151	$	515,674	$	474,348	$	116,335	$	1,463,739
Total Distributable Earnings (Loss)		496,776		536,664		132,546		34,971		2,238,755

Net Assets for Shares Outstanding (10) (11)	$	1,157,927	$	1,052,338	$	606,894	$	151,306	$	3,702,494

Net Asset Value, Offering and Redemption Price per Share	$	3.53	$	3.49	$	1.60	$	1.08	$	5.60

(1) Unaffiliated Investments, at Cost	$	844,739	$	609,436	$	511,490	$	133,821	$	1,642,755
(10) Shares Outstanding		327,649		301,325		378,598		140,573		660,805
(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.

168

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (unaudited) (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)	$	173,134	$	792,449		$	653,115	$	1,067,568	$	878,827
Cash		23		—			—		62		—
Cash Collateral for Derivative Positions		567		—			477		—		—
Receivable for Portfolio Shares Sold		3		171			126		122		183
Receivable for Investment Securities Sold		644		—			242		3,537		2,831
Variation Margin Receivable		—		—			72		—		297
Receivable for Foreign Currency		45		—	��		—		—		—
Prepaid Expenses and Other Assets		13		19			18		21		29
Dividends and Interest Receivable		319		984			1,527		578		873

Total Assets		174,748		793,623			655,577		1,071,888		883,040


Liabilities
Payable for Portfolio Shares Redeemed		70		255			284		479		241
Payable for Investment Securities Purchased		52		—			2,754		3,567		2,027
Collateral from Counterparty		—		—			—		—		12
Investment Advisory Fees		105		358			331		487		178
Compliance Fees Payable		2		2			2		2		2
Accrued Expenses		34		36			49		46		66

Total Liabilities		263		651			3,420		4,581		2,526

Net Assets	$	174,485	$	792,972		$	652,157	$	1,067,307	$	880,514


Represented By:
Aggregate Paid in Capital (10) (11)	$	172,304	$	612,617		$	594,317	$	893,556	$	710,215
Total Distributable Earnings (Loss)		2,181		180,355			57,840		173,751		170,299

Net Assets for Shares Outstanding (10) (11)	$	174,485	$	792,972		$	652,157	$	1,067,307	$	880,514

Net Asset Value, Offering and Redemption Price per Share	$	0.88	$	1.49		$	1.44	$	3.25	$	1.76

(1) Unaffiliated Investments, at Cost	$	175,463	$	637,095		$	660,679	$	1,004,315	$	788,381
(10) Shares Outstanding		198,584		533,158			452,022		328,114		500,587
(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.

169

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (unaudited) (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)	$	500,712		$	631,812	$	257,045	$	489,801	$	788,180
Cash		24			—		32		—		—
Foreign Currency, at Value (4)		—			—		—		—		12
Cash Collateral for Derivative Positions		1,885			—		—		—		—
Receivable for Portfolio Shares Sold		147			36		237		60		201
Receivable for Investment Securities Sold		2,981			15,424		2,098		1,019		—
Outstanding Swap Contracts, at Value (8)		—			—		265		—		—
Receivable for Foreign Currency		158			—		—		—		—
Prepaid Expenses and Other Assets		16			17		26		16		18
Dividends and Interest Receivable		936			237		233		394		1,513

Total Assets		506,859			647,526		259,936		491,290		789,924


Liabilities
Payable for Portfolio Shares Redeemed		71			177		49		163		171
Payable for Investment Securities Purchased		1,791			18,171		1,830		—		913
Payable for Foreign Currency		5			—		—		—		—
Investment Advisory Fees		316			292		54		366		409
Compliance Fees Payable		2			2		2		2		2
Accrued Expenses		56			42		41		57		95

Total Liabilities		2,241			18,684		1,976		588		1,590

Net Assets	$	504,618		$	628,842	$	257,960	$	490,702	$	788,334


Represented By:
Aggregate Paid in Capital (10) (11)	$	520,510		$	476,138	$	252,977	$	400,451	$	566,049
Total Distributable Earnings (Loss)		(15,892	)		152,704		4,983		90,250		222,285

Net Assets for Shares Outstanding (10) (11)	$	504,618		$	628,842	$	257,960	$	490,701	$	788,334

Net Asset Value, Offering and Redemption Price per Share	$	1.38		$	2.60	$	1.17	$	1.78	$	1.80

(1) Unaffiliated Investments, at Cost	$	508,007		$	533,599	$	265,889	$	438,057	$	595,544
(4) Foreign Currency, at Cost		—			—		—		—		12
(10) Shares Outstanding		365,045			242,190		219,546		274,936		436,909
(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.

170

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (unaudited) (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)	$	742,366	$	1,530,975		$	779,263	$	320,142	$	353,074
Investments in Repurchase Agreements, at Value (3)		—		—			—		229,000		—
Cash		—		—			—		—		47
Foreign Currency, at Value (4)		123		432			2		—		—
Cash Collateral for Derivative Positions		—		—			—		—		44
Receivable for Portfolio Shares Sold		189		197			164		416		129
Receivable for Investment Securities Sold		—		2,433			2,073		—		30
Variation Margin Receivable		—		—			—		—		20
Prepaid Expenses and Other Assets		18		35			18		14		14
Dividends and Interest Receivable		2,736		6,015			1,921		62		1,794

Total Assets		745,432		1,540,087			783,441		549,634		355,152


Liabilities
Payable for Portfolio Shares Redeemed		150		405			205		221		60
Payable for Investment Securities Purchased		—		4,537			1,260		—		2,339
Accrued Foreign Capital Gains Tax		49		—			218		—		—
Payable for Foreign Currency		—		37			8		—		—
Investment Advisory Fees		467		689			613		138		100
Compliance Fees Payable		2		3			2		2		2
Accrued Expenses		83		139			102		39		57

Total Liabilities		751		5,810			2,408		400		2,558

Net Assets	$	744,681	$	1,534,277		$	781,033	$	549,234	$	352,594


Represented By:
Aggregate Paid in Capital (10) (11)	$	638,238	$	1,713,771		$	739,486	$	549,232	$	335,305
Total Distributable Earnings (Loss)		106,443		(179,494	)		41,547		2		17,289

Net Assets for Shares Outstanding (10) (11)	$	744,681	$	1,534,277		$	781,033	$	549,234	$	352,594

Net Asset Value, Offering and Redemption Price per Share	$	1.01	$	1.39		$	1.01	$	1.00	$	1.08

(1) Unaffiliated Investments, at Cost	$	668,633	$	1,527,204		$	692,107	$	320,142	$	347,548
(3) Investments in Repurchase Agreements, at Cost		—		—			—		229,000		—
(4) Foreign Currency, at Cost		123		433			2		—		—
(10) Shares Outstanding		734,441		1,101,932			775,812		549,230		325,756
(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.

171

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (unaudited) (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)	$	3,592,992	$	213,650	$	391,289	$	784,151	$	1,037,267
Investments in Repurchase Agreements, at Value (3)		—		—		—		—		30,800
Cash		725		—		14		—		121
Foreign Currency, at Value (4)		—		—		—		—		1,257
Cash Collateral for Derivative Positions		—		396		—		—		4,769
Receivable for Portfolio Shares Sold		2,048		5		62		81		264
Receivable for Investment Securities Sold		462,119		23,142		1,254		5,475		132,446
Receivable for Financing Transactions		—		122,002		—		—		—
Variation Margin Receivable		—		113		73		—		1,668
Outstanding Swap Contracts, at Value (8)		—		—		—		—		14
Receivable for Foreign Currency		—		—		259		—		508
Prepaid Expenses and Other Assets		37		13		14		35		19
Dividends and Interest Receivable		12,823		1,145		1,199		12,983		10,961

Total Assets		4,070,744		360,466		394,164		802,725		1,220,094


Liabilities
Payable for Portfolio Shares Redeemed		553		190		74		123		291
Payable for Investment Securities Purchased		869,153		22,473		3,341		14,443		224,866
Payable for Financing Transactions		—		185,021		—		—		—
Accrued Foreign Capital Gains Tax		—		—		—		—		1
Variation Margin Payable		—		1		—		—		398
Payable to Custodian		—		2		—		—		—
Securities Sold Short, at Value (7)		—		4,838		—		—		—
Outstanding Swap Contracts, at Value (9)		—		—		7,530		—		615
Payable for Foreign Currency		—		—		—		—		2,020
Collateral from Counterparty		1,226		—		14		—		130
Investment Advisory Fees		813		69		165		292		590
Compliance Fees Payable		3		2		2		2		3
Deferred Income for Financing Transactions		—		20		—		—		—
Accrued Expenses		104		40		54		71		103

Total Liabilities		871,852		212,656		11,180		14,931		229,017

Net Assets	$	3,198,892	$	147,810	$	382,984	$	787,794	$	991,077


Represented By:
Aggregate Paid in Capital (10) (11)	$	2,844,397	$	117,953	$	362,892	$	765,989	$	936,973
Total Distributable Earnings (Loss)		354,495		29,857		20,092		21,805		54,104

Net Assets for Shares Outstanding (10) (11)	$	3,198,892	$	147,810	$	382,984	$	787,794	$	991,077

Net Asset Value, Offering and Redemption Price per Share	$	1.38	$	1.35	$	1.17	$	0.72	$	1.13

(1) Unaffiliated Investments, at Cost	$	3,482,039	$	209,100	$	366,411	$	826,540	$	1,040,229
(3) Investments in Repurchase Agreements, at Cost		—		—		—		—		30,800
(4) Foreign Currency, at Cost		—		—		—		—		1,028
(7) Proceeds Received from Short Sales		—		4,836		—		—		—
(8) Premiums Paid on Swap Contracts		—		319		—		—		3,928
(9) Premiums Received from Swap Contracts		—		57		—		—		9,582
(10) Shares Outstanding		2,313,136		109,320		327,639		1,093,345		880,195
(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.

172

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (unaudited) (in thousands)


	Balanced Portfolio		Asset Allocation Portfolio

Assets
Unaffiliated Investments, at Value (1)	$	158,473	$	19,662
Affiliated Investments, at Value (2)		2,003,670		250,514
Receivable for Portfolio Shares Sold		292		70
Receivable for Investment Securities Sold		4,748		673
Variation Margin Receivable		155		6
Prepaid Expenses and Other Assets		30		14
Dividends and Interest Receivable		5		—

Total Assets		2,167,373		270,939


Liabilities
Payable for Portfolio Shares Redeemed		906		20
Payable for Investment Securities Purchased		4,773		675
Investment Advisory Fees		95		12
Compliance Fees Payable		3		2
Accrued Expenses		45		27

Total Liabilities		5,822		736

Net Assets	$	2,161,551	$	270,203


Represented By:
Aggregate Paid in Capital (10) (11)	$	1,877,768	$	235,550
Total Distributable Earnings (Loss)		283,783		34,653

Net Assets for Shares Outstanding (10) (11)	$	2,161,551	$	270,203

Net Asset Value, Offering and Redemption Price per Share	$	1.48	$	1.18

(1) Unaffiliated Investments, at Cost	$	152,349	$	18,857
(2) Affiliated Investments, at Cost		1,869,786		235,484
(10) Shares Outstanding		1,459,364		228,466
(11) Shares Authorized, $.01 Par Value		4,000,000		2,000,000

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

173

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2020 (unaudited) (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)	$	16	$	32	$	10	$	37	$	178
Unaffiliated Dividends (1)		2,701		5,334		4,677		1,439		36,138

Total Income		2,717		5,366		4,687		1,476		36,316


Expenses
Investment Advisory Fees		2,178		3,559		1,248		582		3,561
Custodian Fees		18		30		14		9		18
Shareholder Reporting Fees		13		19		11		4		38
Audit Fees		14		13		13		12		18
Valuation Services		1		—		1		—		3
Compliance Fees		5		5		4		4		8
Directors Fees		23		23		20		18		38
Professional Fees		7		5		5		4		8
Trade Name Fees		—		—		—		—		27
Other Expenses		10		9		6		2		33

Total Expenses		2,269		3,663		1,322		635		3,752


Less Waived Fees:
Paid by Affiliate		(43)		(590)		(14)		(13)		(157)

Net Expenses		2,226		3,073		1,308		622		3,595

Net Investment Income (Loss)		491		2,293		3,379		854		32,721

Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(12,832)		41,914		10,627		6,781		17,378
Futures Contracts		—		—		—		—		(2,507)

Net Realized Gain (Loss) on Investments		(12,832)		41,914		10,627		6,781		14,871


Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		128,554		51,141		(20,652)		(27,865)		(170,192)
Futures Contracts		—		—		—		—		(500)

Net Change in Unrealized Appreciation (Depreciation) of Investments		128,554		51,141		(20,652)		(27,865)		(170,692)

Net Gain (Loss) on Investments		115,722		93,055		(10,025)		(21,084)		(155,821)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	116,213	$	95,348	$	(6,646)	$	(20,230)	$	(123,100)

(1) Net of Foreign Tax	$	2	$	503	$	11	$	24	$	—

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

174

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2020 (unaudited) (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)	$	18	$	33	$	86	$	11	$	100
Unaffiliated Dividends (1)		2,550		11,353		11,488		3,886		7,784

Total Income		2,568		11,386		11,574		3,897		7,884


Expenses
Investment Advisory Fees		621		2,103		2,157		2,686		1,070
Custodian Fees		27		9		17		15		13
Shareholder Reporting Fees		4		19		18		18		24
Audit Fees		12		13		13		14		13
Valuation Services		4		—		1		1		3
Compliance Fees		4		5		4		5		5
Directors Fees		18		22		21		23		23
Professional Fees		4		5		5		5		5
Trade Name Fees		—		—		—		—		46
Other Expenses		2		8		8		11		9

Total Expenses		696		2,184		2,244		2,778		1,211


Less Waived Fees:
Paid by Affiliate		(18)		(64)		(191)		(4)		(90)

Net Expenses		678		2,120		2,053		2,774		1,121

Net Investment Income (Loss)		1,890		9,266		9,521		1,123		6,763

Realized and Unrealized Gain (Loss) on Investments

Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(5,339)		(42,198)		(6,994)		58,881		17,363
Futures Contracts		—		—		—		—		10
Foreign Currency Transactions		(43)		—		1		—		—

Net Realized Gain (Loss) on Investments		(5,382)		(42,198)		(6,993)		58,881		17,373


Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(27,180)		(102,278)		(153,018)		(119,001)		(147,517)
Futures Contracts		—		—		120		—		(166)
Foreign Currency Transactions		85		—		(2)		—		—

Net Change in Unrealized Appreciation (Depreciation) of Investments		(27,095)		(102,278)		(152,900)		(119,001)		(147,683)

Net Gain (Loss) on Investments		(32,477)		(144,476)		(159,893)		(60,120)		(130,310)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(30,587)	$	(135,210)	$	(150,372)	$	(58,997)	$	(123,547)

(1) Net of Foreign Tax	$	65	$	—	$	199	$	1	$	1

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

175

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2020 (unaudited) (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)	$	49	$	24	$	58	$	33	$	20
Unaffiliated Dividends (1)		6,807		2,147		1,944		4,007		6,760

Total Income		6,856		2,171		2,002		4,040		6,780


Expenses
Investment Advisory Fees		2,151		1,596		295		2,106		2,243
Custodian Fees		34		14		17		21		76
Shareholder Reporting Fees		25		21		12		26		29
Audit Fees		13		13		12		12		14
Valuation Services		8		1		4		1		8
Compliance Fees		4		4		4		4		5
Directors Fees		20		21		18		20		21
Professional Fees		5		5		5		5		11
Trade Name Fees		—		—		13		—		—
Other Expenses		5		6		2		6		8

Total Expenses		2,265		1,681		382		2,201		2,415


Less Waived Fees:
Paid by Affiliate		(358)		—		—		(8)		—

Net Expenses		1,907		1,681		382		2,193		2,415

Net Investment Income (Loss)		4,949		490		1,620		1,847		4,365

Realized and Unrealized Gain (Loss) on Investments

Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(17,528)		14,723		(944)		2,391		10,382
Swap Contracts		—		—		(2,019)		—		—
Foreign Currency Transactions		1,287		—		—		—		(4)

Net Realized Gain (Loss) on Investments		(16,241)		14,723		(2,963)		2,391		10,378


Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(84,017)		(46,888)		(48,442)		(108,502)		(34,549)
Swap Contracts		—		—		(231)		—		—
Foreign Currency Transactions		361		—		—		—		30

Net Change in Unrealized Appreciation (Depreciation) of Investments		(83,656)		(46,888)		(48,673)		(108,502)		(34,519)

Net Gain (Loss) on Investments		(99,897)		(32,165)		(51,636)		(106,111)		(24,141)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(94,948)	$	(31,675)	$	(50,016)	$	(104,264)	$	(19,776)

(1) Net of Foreign Tax	$	101	$	—	$	2	$	6	$	278

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

176

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2020 (unaudited) (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)	$	34	$	211	$	63	$	2,244	$	4,390
Unaffiliated Dividends (1)		9,888		31,710		6,169		—		—

Total Income		9,922		31,921		6,232		2,244		4,390


Expenses
Investment Advisory Fees		2,740		5,066		3,895		752		557
Custodian Fees		73		114		79		21		28
Shareholder Reporting Fees		24		49		30		8		14
Audit Fees		14		16		14		12		15
Valuation Services		8		8		8		6		23
Compliance Fees		5		6		4		4		4
Directors Fees		21		27		22		20		19
Professional Fees		11		9		17		7		5
Other Expenses		7		18		8		2		3

Total Expenses		2,903		5,313		4,077		832		668


Less Waived Fees:
Paid by Affiliate		(178)		(1,070)		(480)		(6)		—

Net Expenses		2,725		4,243		3,597		826		668

Net Investment Income (Loss)		7,197		27,678		2,635		1,418		3,722

Realized and Unrealized Gain (Loss) on Investments

Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(689)		(225,448)		(39,486)		2		1,391
Futures Contracts		—		—		—		—		880
Swap Contracts		—		—		—		—		79
Foreign Currency Transactions		(11)		(460)		(317)		—		—

Net Realized Gain (Loss) on Investments		(700)		(225,908)		(39,803)		2		2,350


Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(55,116)		(77,557)		(43,395)		—		3,016
Futures Contracts		—		—		—		—		(46)
Foreign Currency Transactions		44		(33)		(36)		—		—

Net Change in Unrealized Appreciation (Depreciation) of Investments		(55,072)		(77,590)		(43,431)		—		2,970

Net Gain (Loss) on Investments		(55,772)		(303,498)		(83,234)		2		5,320

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(48,575)	$	(275,820)	$	(80,599)	$	1,420	$	9,042

(1) Net of Foreign Tax	$	278	$	806	$	171	$	—	$	—

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

177

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2020 (unaudited) (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)	$	38,563	$	1,958	$	2,061	$	23,989	$	19,846

Total Income		38,563		1,958		2,061		23,989		19,846


Expenses
Investment Advisory Fees		4,764		385		1,015		1,645		3,778
Custodian Fees		59		18		19		13		80
Shareholder Reporting Fees		35		5		22		32		25
Audit Fees		20		19		15		20		22
Valuation Services		26		4		8		16		27
Compliance Fees		8		4		4		4		5
Directors Fees		35		17		19		22		23
Professional Fees		7		5		5		5		8
Interest Expense		—		395		—		—		24
Other Expenses		31		1		3		8		9

Total Expenses		4,985		853		1,110		1,765		4,001


Less Waived Fees:
Paid by Affiliate		(119)		—		(72)		—		(437)

Net Expenses		4,866		853		1,038		1,765		3,564

Net Investment Income (Loss)		33,697		1,105		1,023		22,224		16,282

Realized and Unrealized Gain (Loss) on Investments

Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		104,929		33,558		3,280		(2,792)		1,216
Futures Contracts		—		(3,725)		82		—		11,799
Options Written		—		10		—		—		222
Swap Contracts		—		(44)		(1,602)		—		(13,051)
Foreign Currency Transactions		—		—		(332)		—		3,776

Net Realized Gain (Loss) on Investments		104,929		29,799		1,428		(2,792)		3,962


Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		67,098		(2,737)		16,095		(51,124)		(32,791)
Futures Contracts		—		(389)		11		—		2,974
Options Written		—		(7)		—		—		(43)
Short Sales		—		3		—		—		—
Swap Contracts		—		(1,961)		(6,111)		—		(6,464)
Foreign Currency Transactions		—		—		297		—		1,190

Net Change in Unrealized Appreciation (Depreciation) of Investments		67,098		(5,091)		10,292		(51,124)		(35,134)

Net Gain (Loss) on Investments		172,027		24,708		11,720		(53,916)		(31,172)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	205,724	$	25,813	$	12,743	$	(31,692)	$	(14,890)

(1) Net of Foreign Tax	$	—	$	—	$	—	$	—	$	63

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

178

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2020 (unaudited) (in thousands)


	Balanced Portfolio			Asset Allocation Portfolio

Investment Income
Income
Interest (1)	$	443		$	44
Unaffiliated Dividends (1)		468			84

Total Income		911			128


Expenses
Investment Advisory Fees		3,183			702
Custodian Fees		12			9
Shareholder Reporting Fees		13			4
Audit Fees		18			14
Valuation Services		1			—
Compliance Fees		6			4
Directors Fees		30			19
Professional Fees		6			5
Other Expenses		21			3

Total Expenses		3,290			760


Less Waived Fees:
Paid by Affiliate		(2,652	)		(636	)

Net Expenses		638			124

Net Investment Income (Loss)		273			4

Realized and Unrealized Gain (Loss) on Investments

Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(5,348	)		(686	)
Affiliated Investment Securities		12,071			1,212
Futures Contracts		5,099			188

Net Realized Gain (Loss) on Investments		11,822			714


Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		4,638			508
Affiliated Investment Securities		(27,961	)		(9,619	)
Futures Contracts		(102	)		(5	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		(23,425	)		(9,116	)

Net Gain (Loss) on Investments		(11,603	)		(8,402	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(11,330	)	$	(8,398	)

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

179

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Growth Stock Portfolio				Focused Appreciation Portfolio				Large Cap Core Stock Portfolio
	For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019

Change in Net Assets

Operations
Net Investment Income (Loss)	$	491	$	7,240	$	2,293	$	5,527	$	3,379	$	6,986
Net Realized Gain (Loss) on Investments		(12,832)		188,618		41,914		44,694		10,627		17,279
Net Change in Unrealized Appreciation (Depreciation) of Investments		128,554		63,949		51,141		211,091		(20,652)		132,939

Net Increase (Decrease) in Net Assets Resulting from Operations		116,213		259,807		95,348		261,312		(6,646)		157,204


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(113,204)		—		(60,549)		—		(36,070)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(113,204)		—		(60,549)		—		(36,070)


Capital Transactions:
Shares Sold		14,971		25,555		22,228		32,210		12,755		16,596
Reinvestment of Distributions Paid		—		113,204		—		60,549		—		36,070
Shares Redeemed		(56,581)		(100,664)		(77,862)		(130,067)		(32,423)		(59,563)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(41,610)		38,095		(55,634)		(37,308)		(19,668)		(6,897)

Total Increase (Decrease) in Net Assets		74,603		184,698		39,714		163,455		(26,314)		114,237

Net Assets
Beginning of Period		1,083,324		898,626		1,012,624		849,169		633,208		518,971

End of Period	$	1,157,927	$	1,083,324	$	1,052,338	$	1,012,624	$	606,894	$	633,208


Portfolio Share Transactions:
Shares Sold		4,745		8,167		7,117		10,784		8,415		10,992
Reinvestment of Distributions Paid		—		38,426		—		20,539		—		24,031
Shares Redeemed		(18,027)		(31,910)		(24,842)		(43,119)		(21,023)		(39,195)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(13,282)		14,683		(17,725)		(11,796)		(12,608)		(4,172)

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

180

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Large Cap Blend Portfolio				Index 500 Stock Portfolio				Large Company Value Portfolio

	For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019


Change in Net Assets

Operations
Net Investment Income (Loss)	$	854	$	8,274	$	32,721	$	63,286	$	1,890	$	3,608
Net Realized Gain (Loss) on Investments		6,781		2,310		14,871		75,221		(5,382)		6,400
Net Change in Unrealized Appreciation (Depreciation) of Investments		(27,865)		25,254		(170,692)		792,024		(27,095)		36,759

Net Increase (Decrease) in Net Assets Resulting from Operations		(20,230)		35,838		(123,100)		930,531		(30,587)		46,767


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(17,396)		—		(139,383)		—		(17,988)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(17,396)		—		(139,383)		—		(17,988)


Capital Transactions:
Shares Sold		3,149		5,510		128,016		233,669		7,624		8,780
Reinvestment of Distributions Paid		—		17,396		—		139,383		—		17,988
Shares Redeemed		(6,567)		(20,830)		(169,702)		(306,061)		(8,102)		(23,347)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(3,418)		2,076		(41,686)		66,991		(478)		3,421

Total Increase (Decrease) in Net Assets		(23,648)		20,518		(164,786)		858,139		(31,065)		32,200

Net Assets
Beginning of Period		174,953		154,435		3,867,280		3,009,141		205,550		173,350

End of Period	$	151,305	$	174,953	$	3,702,494	$	3,867,280	$	174,485	$	205,550


Portfolio Share Transactions:
Shares Sold		2,977		4,586		24,195		44,202		8,776		8,809
Reinvestment of Distributions Paid		—		14,894		—		26,067		—		18,544
Shares Redeemed		(6,062)		(16,989)		(31,777)		(57,650)		(9,100)		(23,284)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(3,085)		2,491		(7,582)		12,619		(324)		4,069

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

181

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Domestic Equity Portfolio				Equity Income Portfolio				Mid Cap Growth Stock Portfolio

	For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019


Change in Net Assets

Operations
Net Investment Income (Loss)	$	9,266	$	17,733	$	9,521	$	32,499	$	1,123	$	3,099
Net Realized Gain (Loss) on Investments		(42,198)		40,200		(6,993)		31,386		58,881		48,149
Net Change in Unrealized Appreciation (Depreciation) of Investments		(102,278)		101,492		(152,900)		116,745		(119,001)		251,921

Net Increase (Decrease) in Net Assets Resulting from Operations		(135,210)		159,425		(150,372)		180,630		(58,997)		303,169


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(56,580)		—		(65,431)		—		(48,747)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(56,580)		—		(65,431)		—		(48,747)


Capital Transactions:
Shares Sold		43,826		67,280		25,282		24,288		15,299		26,236
Reinvestment of Distributions Paid		—		56,580		—		65,431		—		48,748
Shares Redeemed		(36,420)		(78,394)		(37,005)		(95,340)		(42,752)		(119,019)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		7,406		45,466		(11,723)		(5,621)		(27,453)		(44,035)

Total Increase (Decrease) in Net Assets		(127,804)		148,311		(162,095)		109,578		(86,450)		210,387

Net Assets
Beginning of Period		920,776		772,465		814,252		704,674		1,153,757		943,370

End of Period	$	792,972	$	920,776	$	652,157	$	814,252	$	1,067,307	$	1,153,757


Portfolio Share Transactions:
Shares Sold		30,240		39,915		18,134		14,304		4,984		8,175
Reinvestment of Distributions Paid		—		34,105		—		39,322		—		14,898
Shares Redeemed		(23,331)		(46,398)		(23,991)		(55,588)		(13,788)		(36,703)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		6,909		27,622		(5,857)		(1,962)		(8,804)		(13,630)

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

182

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Index 400 Stock Portfolio				Mid Cap Value Portfolio				Small Cap Growth Stock Portfolio
	For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019

Change in Net Assets

Operations
Net Investment Income (Loss)	$	6,763	$	12,712	$	4,949	$	9,457	$	490	$	779
Net Realized Gain (Loss) on Investments		17,373		42,521		(16,241)		(762)		14,723		38,612
Net Change in Unrealized Appreciation (Depreciation) of Investments		(147,683)		149,963		(83,656)		127,414		(46,888)		142,894

Net Increase (Decrease) in Net Assets Resulting from Operations		(123,547)		205,196		(94,948)		136,109		(31,675)		182,285


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(71,654)		—		(58,194)		—		(88,795)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(71,654)		—		(58,194)		—		(88,795)


Capital Transactions:
Shares Sold		49,632		72,548		28,865		37,275		16,890		34,695
Reinvestment of Distributions Paid		—		71,654		—		58,194		—		88,795
Shares Redeemed		(38,861)		(77,234)		(20,813)		(53,813)		(28,244)		(65,732)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		10,771		66,968		8,052		41,656		(11,354)		57,758

Total Increase (Decrease) in Net Assets		(112,776)		200,510		(86,896)		119,571		(43,029)		151,248

Net Assets
Beginning of Period		993,290		792,780		591,514		471,943		671,870		520,622

End of Period	$	880,514	$	993,290	$	504,618	$	591,514	$	628,841	$	671,870


Portfolio Share Transactions:
Shares Sold		30,759		37,040		21,869		23,199		7,094		13,107
Reinvestment of Distributions Paid		—		37,476		—		37,424		—		35,718
Shares Redeemed		(22,272)		(39,222)		(14,437)		(33,386)		(11,508)		(24,149)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		8,487		35,294		7,432		27,237		(4,414)		24,676

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

183

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Index 600 Stock Portfolio				Small Cap Value Portfolio				International Growth Portfolio
	For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019

Change in Net Assets

Operations
Net Investment Income (Loss)	$	1,620	$	3,276	$	1,847	$	2,758	$	4,365	$	13,008
Net Realized Gain (Loss) on Investments		(2,963)		12,161		2,391		32,321		10,378		4,589
Net Change in Unrealized Appreciation (Depreciation) of Investments		(48,673)		35,968		(108,502)		97,406		(34,519)		197,373

Net Increase (Decrease) in Net Assets Resulting from Operations		(50,016)		51,405		(104,264)		132,485		(19,776)		214,970


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(18,910)		—		(91,498)		—		(11,555)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(18,910)		—		(91,498)		—		(11,555)


Capital Transactions:
Shares Sold		32,330		41,873		16,733		24,975		30,676		56,589
Reinvestment of Distributions Paid		—		18,910		—		91,498		—		11,555
Shares Redeemed		(14,465)		(24,970)		(27,302)		(81,998)		(38,679)		(81,528)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		17,865		35,813		(10,569)		34,475		(8,003)		(13,384)

Total Increase (Decrease) in Net Assets		(32,151)		68,308		(114,833)		75,462		(27,779)		190,031

Net Assets
Beginning of Period		290,111		221,803		605,534		530,072		816,113		626,082

End of Period	$	257,960	$	290,111	$	490,701	$	605,534	$	788,334	$	816,113


Portfolio Share Transactions:
Shares Sold		29,362		30,152		10,342		11,416		18,228		34,640
Reinvestment of Distributions Paid		—		13,894		—		44,546		—		6,891
Shares Redeemed		(12,323)		(17,963)		(14,619)		(36,079)		(22,356)		(49,535)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		17,039		26,083		(4,277)		19,883		(4,128)		(8,004)

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

184

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Research International Core Portfolio				International Equity Portfolio				Emerging Markets Equity Portfolio
	For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019		For the Six Months Ended June 30, 2020 (unaudited)		For the Year Ended December 31, 2019

Change in Net Assets

Operations
Net Investment Income (Loss)	$	7,197	$	16,017	$	27,678	$	56,597	$	2,635	$	18,016
Net Realized Gain (Loss) on Investments		(700)		14,459		(225,908)		(40,915)		(39,803)		2,200
Net Change in Unrealized Appreciation (Depreciation) of Investments		(55,072)		140,464		(77,590)		186,767		(43,431)		119,317

Net Increase (Decrease) in Net Assets Resulting from Operations		(48,575)		170,940		(275,820)		202,449		(80,599)		139,533


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(30,579)		—		(121,837)		—		(8,489)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(30,579)		—		(121,837)		—		(8,489)


Capital Transactions:
Shares Sold		36,847		82,088		78,216		135,633		59,356		91,156
Reinvestment of Distributions Paid		—		30,579		—		121,837		—		8,489
Shares Redeemed		(28,476)		(63,728)		(61,153)		(149,116)		(31,733)		(72,029)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		8,371		48,939		17,063		108,354		27,623		27,616

Total Increase (Decrease) in Net Assets		(40,204)		189,300		(258,757)		188,966		(52,976)		158,660

Net Assets
Beginning of Period		784,885		595,585		1,793,034		1,604,068		834,010		675,350

End of Period	$	744,681	$	784,885	$	1,534,277	$	1,793,034	$	781,034	$	834,010


Portfolio Share Transactions:
Shares Sold		38,467		82,156		57,474		82,824		64,174		86,825
Reinvestment of Distributions Paid		—		31,076		—		79,737		—		8,108
Shares Redeemed		(29,293)		(63,528)		(42,344)		(91,119)		(32,384)		(69,290)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		9,174		49,704		15,130		71,442		31,790		25,643
													��

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

185

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Government Money Market Portfolio						Short-Term Bond Portfolio						Select Bond Portfolio
	For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019			For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019			For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019

Change in Net Assets

Operations
Net Investment Income (Loss)	$	1,418		$	8,380		$	3,722		$	7,966		$	33,697		$	86,025
Net Realized Gain (Loss) on Investments		2			6			2,350			1,432			104,929			120,013
Net Change in Unrealized Appreciation (Depreciation) of Investments		—			—			2,970			4,310			67,098			51,048

Net Increase (Decrease) in Net Assets Resulting from Operations		1,420			8,386			9,042			13,708			205,724			257,086


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(1,418	)		(8,386	)		—			(6,513	)		—			(85,804	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(1,418	)		(8,386	)		—			(6,513	)		—			(85,804	)


Capital Transactions:
Shares Sold		242,024			216,196			38,816			64,924			155,748			240,747
Reinvestment of Distributions Paid		1,418			8,386			—			6,513			—			85,804
Shares Redeemed		(140,727	)		(221,539	)		(29,838	)		(50,599	)		(354,630	)		(273,776	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		102,715			3,043			8,978			20,838			(198,882	)		52,775

Total Increase (Decrease) in Net Assets		102,717			3,043			18,020			28,033			6,842			224,057

Net Assets
Beginning of Period		446,517			443,474			334,574			306,541			3,192,050			2,967,993

End of Period	$	549,234		$	446,517		$	352,594		$	334,574		$	3,198,892		$	3,192,050


Portfolio Share Transactions:
Shares Sold		242,024			216,196			36,926			61,913			116,508			188,816
Reinvestment of Distributions Paid		1,418			8,386			—			6,221			—			66,669
Shares Redeemed		(140,727	)		(221,539	)		(28,267	)		(48,296	)		(266,376	)		(213,032	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		102,715			3,043			8,659			19,838			(149,868	)		42,453

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

186

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Long-Term U.S. Government Bond Portfolio						Inflation Protection Portfolio						High Yield Bond Portfolio
	For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019			For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019			For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019

Change in Net Assets

Operations
Net Investment Income (Loss)	$	1,105		$	2,456		$	1,023		$	7,833		$	22,224		$	47,147
Net Realized Gain (Loss) on Investments		29,799			3,309			1,428			(286	)		(2,792	)		638
Net Change in Unrealized Appreciation (Depreciation) of Investments		(5,091	)		8,697			10,292			23,819			(51,124	)		65,178

Net Increase (Decrease) in Net Assets Resulting from Operations		25,813			14,462			12,743			31,366			(31,692	)		112,963


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(2,528	)		—			(9,618	)		—			(45,460	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(2,528	)		—			(9,618	)		—			(45,460	)


Capital Transactions:
Shares Sold		20,985			15,239			20,263			39,741			26,020			47,523
Reinvestment of Distributions Paid		—			2,528			—			9,618			—			45,460
Shares Redeemed		(21,842	)		(18,315	)		(31,155	)		(39,546	)		(52,661	)		(77,725	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(857	)		(548	)		(10,892	)		9,813			(26,641	)		15,258

Total Increase (Decrease) in Net Assets		24,956			11,386			1,851			31,561			(58,333	)		82,761

Net Assets
Beginning of Period		122,854			111,468			381,132			349,571			846,127			763,366

End of Period	$	147,810		$	122,854		$	382,983		$	381,132		$	787,794		$	846,127


Portfolio Share Transactions:
Shares Sold		16,256			13,791			17,734			35,689			36,677			64,387
Reinvestment of Distributions Paid		—			2,194			—			8,603			—			62,790
Shares Redeemed		(16,773	)		(16,666	)		(27,731	)		(35,493	)		(75,273	)		(105,722	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(517	)		(681	)		(9,997	)		8,799			(38,596	)		21,455

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

187

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2020 (in thousands)


	Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
	For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019			For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019			For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019

Change in Net Assets

Operations
Net Investment Income (Loss)	$	16,282		$	33,761		$	273		$	47,064		$	4		$	5,369
Net Realized Gain (Loss) on Investments		3,962			31,714			11,822			86,806			714			13,035
Net Change in Unrealized Appreciation (Depreciation) of Investments		(35,134	)		57,915			(23,425	)		225,247			(9,116	)		33,252

Net Increase (Decrease) in Net Assets Resulting from Operations		(14,890	)		123,390			(11,330	)		359,117			(8,398	)		51,656


Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(44,581	)		—			(163,253	)		—			(23,174	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(44,581	)		—			(163,253	)		—			(23,174	)


Capital Transactions:
Shares Sold		51,847			115,642			41,981			102,159			8,316			18,019
Reinvestment of Distributions Paid		—			44,581			—			163,253			—			23,173
Shares Redeemed		(67,704	)		(92,151	)		(123,335	)		(272,394	)		(17,453	)		(31,447	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(15,857	)		68,072			(81,354	)		(6,982	)		(9,137	)		9,745

Total Increase (Decrease) in Net Assets		(30,747	)		146,881			(92,684	)		188,882			(17,535	)		38,227

Net Assets
Beginning of Period		1,021,824			874,943			2,254,235			2,065,353			287,738			249,511

End of Period	$	991,077		$	1,021,824		$	2,161,551		$	2,254,235		$	270,203		$	287,738


Portfolio Share Transactions:
Shares Sold		46,587			103,219			29,140			69,385			7,334			15,009
Reinvestment of Distributions Paid		—			40,019			—			114,243			—			20,012
Shares Redeemed		(63,123	)		(82,440	)		(86,486	)		(185,487	)		(15,258	)		(26,372	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(16,536	)		60,798			(57,346	)		(1,859	)		(7,924	)		8,649

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

188

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2020 (unaudited) (in thousands)


	Long-Term U.S. Government Bond Portfolio

Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations		$	25,813
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from
Operations to Net Cash from Operating Activities
Purchase of Investment Securities			(325,199	)
Proceeds from Disposition of Investment Securities			295,590
Proceeds from Disposition (Purchase) of Short-Term Investments, net			275
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps			(6,134	)
Proceeds from Securities Sold Short			37,060
Amortization (Accretion) of Premium/Discount, net			270
(Increase) Decrease in:
Receivable for Investment Securities Sold			(6,167	)
Prepaid Expenses and Other Assets			(11	)
Dividends and Interest Receivable			(187	)
Increase (Decrease) in:
Payable for Investment Advisory Fees			4
Accrued Expenses			11
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities			2,737
Futures Contracts			389
Options Written			7
Short Sales			(3	)
Swap Contracts			1,961
Net Realized (Gain) Loss from:
Investment Securities			(33,672	)
Futures Contracts			3,725
Options Written			(10	)
Paydowns			(9	)
Short Sales			115
Swap Contracts			44

Total Adjustments			(29,204	)

Net Cash (Used in) Provided by Operating Activities			(3,391	)


Cash Flows from Financing Activities
Cash Received from Financing Transactions			3,437,990
Cash (Used for) Financing Transactions			(3,408,348	)
Proceeds from Reverse Repurchase Agreements			1,093
Payments from Reverse Repurchase Agreements			(26,448	)
Proceeds from Portfolio Shares Sold			21,016
Payment on Portfolio Shares Redeemed			(21,667	)

Net Cash (Used in) Provided by Financing Activities			3,636


Net Increase (Decrease) in Cash and Cash Equivalents			245
Cash and Restricted Cash, Beginning of Period			151

Cash and Restricted Cash, End of Period		$	396

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:

Interest paid was $599 for the period ended June 30, 2020.

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

189

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
2020^(j)	$	3.18	$	0.00	^(e)	$	0.35		$	0.35		$	—		$	—
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
2020^(j)	$	3.17	$	0.01		$	0.31		$	0.32		$	—		$	—
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
2020^(j)	$	1.62	$	0.01		$	(0.03	)	$	(0.02	)	$	—		$	—
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
2020^(j)	$	1.22	$	0.01		$	(0.15	)	$	(0.14	)	$	—		$	—
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
2020^(j)	$	5.79	$	0.05		$	(0.24	)	$	(0.19	)	$	—		$	—
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
2020^(j)	$	1.03	$	0.01		$	(0.16	)	$	(0.15	)	$	—		$	—
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
2020^(j)	$	1.75	$	0.02		$	(0.28	)	$	(0.26	)	$	—		$	—
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.

^(j)	For the six months ended June 30, 2020. (Unaudited)

^(e)	Amount is less than $0.005.

^(c)	Computed on an annualized basis.

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

190


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

$	—		$	3.53		11.20	%	$	1,157,927		0.43	%^(c)		0.42	%^(c)		0.09	%^(c)		12.56	%
	(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

$	—		$	3.49		10.02	%	$	1,052,338		0.75	%^(c)		0.63	%^(c)		0.47	%^(c)		13.44	%
	(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

$	—		$	1.60		(0.99	)%	$	606,894		0.45	%^(c)		0.45	%^(c)		1.15	%^(c)		38.23	%
	(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

$	—		$	1.08		(11.66	)%	$	151,306		0.84	%^(c)		0.82	%^(c)		1.12	%^(c)		20.64	%
	(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

$	—		$	5.60		(3.16	)%	$	3,702,494		0.21	%^(c)		0.20	%^(c)		1.84	%^(c)		1.64	%
	(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

$	—		$	0.88		(14.91	)%	$	174,485		0.78	%^(c)		0.76	%^(c)		2.13	%^(c)		46.34	%
	(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

$	—		$	1.49		(15.03	)%	$	792,972		0.55	%^(c)		0.53	%^(c)		2.33	%^(c)		14.51	%
	(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.

191

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
2020^(j)	$	1.78	$	0.02		$	(0.36	)	$	(0.34	)	$	—		$	—
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
2020^(j)	$	3.42	$	0.00	^(e)	$	(0.17	)	$	(0.17	)	$	—		$	—
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
2020^(j)	$	2.02	$	0.01		$	(0.27	)	$	(0.26	)	$	—		$	—
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
2020^(j)	$	1.65	$	0.01		$	(0.28	)	$	(0.27	)	$	—		$	—
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
2020^(j)	$	2.72	$	0.00	^(e)	$	(0.12	)	$	(0.12	)	$	—		$	—
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
2020^(j)	$	1.43	$	0.01		$	(0.27	)	$	(0.26	)	$	—		$	—
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
2020^(j)	$	2.17	$	0.01		$	(0.40	)	$	(0.39	)	$	—		$	—
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.

^(j)	For the six months ended June 30, 2020. (Unaudited)

^(c)	Computed on an annualized basis.

^(e)	Amount is less than $0.005.

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

192


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

$	—		$	1.44		(18.84	)%	$	652,157		0.66	%^(c)		0.61	%^(c)		2.81	%^(c)		18.88	%
	(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

$	—		$	3.25		(4.99	)%	$	1,067,307		0.54	%^(c)		0.54	%^(c)		0.22	%^(c)		24.69	%
	(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

$	—		$	1.76		(12.83	)%	$	880,514		0.28	%^(c)		0.26	%^(c)		1.58	%^(c)		9.96	%
	(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

$	—		$	1.38		(16.44	)%	$	504,618		0.90	%^(c)		0.75	%^(c)		1.96	%^(c)		44.20	%
	(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

$	—		$	2.60		(4.70	)%	$	628,842		0.57	%^(c)		0.57	%^(c)		0.17	%^(c)		35.00	%
	(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

$	—		$	1.17		(18.00	)%	$	257,960		0.31	%^(c)		0.31	%^(c)		1.32	%^(c)		16.75	%
	(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

$	—		$	1.78		(17.70	)%	$	490,701		0.89	%^(c)		0.89	%^(c)		0.75	%^(c)		11.04	%
	(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.

193

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
2020^(j)	$	1.85	$	0.01		$	(0.06	)	$	(0.05	)	$	—		$	—
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
2020^(j)	$	1.08	$	0.01		$	(0.08	)	$	(0.07	)	$	—		$	—
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
2020^(j)	$	1.65	$	0.03		$	(0.29	)	$	(0.26	)	$	—		$	—
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
2020^(j)	$	1.12	$	0.00	^(e)	$	(0.11	)	$	(0.11	)	$	—		$	—
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
2020^(j)	$	1.00	$	0.00	^(e)	$	—		$	0.00	^(e)	$	(0.00	)^(e)	$	—
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
2020^(j)	$	1.06	$	0.01		$	0.01		$	0.02		$	—		$	—
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
2020^(j)	$	1.30	$	0.01		$	0.07		$	0.08		$	—		$	—
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.

^(j)	For the six months ended June 30, 2020. (Unaudited)

^(c)	Computed on an annualized basis.

^(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.

194


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

$	—		$	1.80		(2.49	)%	$	788,334		0.64	%^(c)		0.64	%^(c)		1.16	%^(c)		13.78	%
	(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

$	—		$	1.01		(6.28	)%	$	744,681		0.82	%^(c)		0.77	%^(c)		2.03	%^(c)		12.48	%
	(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

$	—		$	1.39		(15.64	)%	$	1,534,277		0.69	%^(c)		0.55	%^(c)		3.59	%^(c)		33.27	%
	(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

$	—		$	1.01		(10.17	)%	$	781,033		1.11	%^(c)		0.98	%^(c)		0.72	%^(c)		14.74	%
	(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

$	(0.00	)^(e)	$	1.00		0.31	%	$	549,234		0.33	%^(c)		0.33	%^(c)		0.57	%^(c)		—	%
	(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			—

$	—		$	1.08		2.56	%	$	352,594		0.39	%^(c)		0.39	%^(c)		2.19	%^(c)		31.86	%^(g)
	(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

$	—		$	1.38		6.71	%	$	3,198,892		0.31	%^(c)		0.31	%^(c)		2.12	%^(c)		225.98	%^(g)
	(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.

195

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)
2020^(j)	$	1.12	$	0.01		$	0.22		$	0.23		$	—		$	—
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
2020^(j)	$	1.13	$	0.00	^(e)	$	0.04		$	0.04		$	—		$	—
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
2020^(j)	$	0.75	$	0.02		$	(0.05	)	$	(0.03	)	$	—		$	—
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)
2020^(j)	$	1.14	$	0.02		$	(0.03	)	$	(0.01	)	$	—		$	—
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
2020^(j)	$	1.49	$	0.00	^(e)	$	(0.01	)	$	(0.01	)	$	—		$	—
2019		1.36		0.03			0.21			0.24			(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
2020^(j)	$	1.22	$	0.00	^(e)	$	(0.04	)	$	(0.04	)	$	—		$	—
2019		1.10		0.02			0.20			0.22			(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 0.65% and 0.65% respectively for the period ended June 30, 2020, 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, and 0.67% and 0.64% respectively in 2015. The ratios for the Multi-Sector Bond Portfolio would be 0.81% and 0.72% respectively for the period ended June 30, 2020, 0.82% and 0.73% respectively for the period ended December 31, 2019, and 0.81% and 0.74% respectively in 2018.

^(j)	For the six months ended June 30, 2020. (Unaudited)

^(c)	Computed on an annualized basis.

^(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.

196


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

$	—		$	1.35		20.82	%	$	147,810		1.21	%^(c)		1.21	%^(c)		1.56	%^(c)		87.76	%^(g)
	(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)

$	—		$	1.17		3.54	%	$	382,984		0.59	%^(c)		0.55	%^(c)		0.54	%^(c)		40.05	%
	(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

$	—		$	0.72		(3.48	)%	$	787,794		0.45	%^(c)		0.45	%^(c)		5.66	%^(c)		19.52	%
	(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

$	—		$	1.13		(1.23	)%	$	991,077		0.82	%^(c)		0.73	%^(c)		3.34	%^(c)		11.40	%^(g)
	(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)

$	—		$	1.48		(0.34	)%	$	2,161,551		0.31	%^(c)		0.06	%^(c)		0.03	%^(c)		10.53	%
	(0.11	)		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

$	—		$	1.18		(2.79	)%	$	270,203		0.57	%^(c)		0.09	%^(c)		0.00	%^(c)		9.52	%
	(0.10	)		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.

197

Notes to Financial Statements (unaudited)

NOTE 1. ORGANIZATION

Northwestern Mutual Series Fund, Inc. (the “Series Fund”) is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is also considered an investment company following the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Series Fund consists of the Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (each, a “Portfolio” or collectively, the “Portfolios”). All of the outstanding shares of each Portfolio are held by an affiliate, The Northwestern Mutual Life Insurance Company (“Northwestern Mutual”), for its segregated asset accounts (either directly or indirectly through one or more underlying Portfolios operating as affiliated fund of funds). The Government Money Market Portfolio is a government money market fund under Rule 2a-7 of the 1940 Act.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Series Fund in the preparation of its financial statements.

A. Use of Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

B. Foreign Income and Capital Gains Taxes — The Portfolios may be subject to income taxes imposed by certain countries in which they invest. Foreign withholding taxes on dividends and interest are netted against income and separately disclosed in the Statements of Operations.

Some of the Portfolios may be subject to capital gains taxes imposed by certain countries in which they invest. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

C. Federal Income Taxes — The Portfolios’ policy is to continue to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute all of their taxable income to their respective shareholders. The Portfolios also intend to distribute sufficient net investment income and net capital gains, if any, so that they will not be subject to excise tax, as applicable, on distributable income and gains.

In accordance with the authoritative guidance for uncertainty in income taxes, management of the Series Fund has reviewed all open tax years (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 the ex-dividend date or as soon as information from issuers is available. Where applicable, dividends are recorded net of foreign withholding tax. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method. Expenses directly attributable to a Portfolio are incurred by the respective Portfolio. Expenses that are not directly attributable to one

198

Notes to Financial Statements (unaudited)

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 August 2018, the FASB issued Accounting Standards Update 2018-13, “Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement” (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. The ASU has been adopted, and the impacts are reflected in the financial statements.

In March 2020, the FASB issued Accounting Standards Update 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting” (“ASU 2020-04”) which provides optional guidance to ease the potential accounting burden associated with transitioning away from the London Interbank Offered Rate and other reference rates that are expected to be discontinued. ASU 2020-04 is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. Management is evaluating implications of this guidance on the financial statements in light of the status of the reference rate transitioning described herein.

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.

199

Notes to Financial Statements (unaudited)

•

Fixed income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, and non-U.S. bonds are generally valued on the basis of service provider prices that use broker dealer quotations or valuation estimates from internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, call features, maturities, credit risks/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

•

Fixed income securities purchased on a delayed delivery basis are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 in the fair value hierarchy.

•

Mortgage related and asset backed securities are generally issued as separate tranches, or classes, of securities within each deal. These securities are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage related and asset backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

•

Investments in open-end mutual funds (including other Portfolios) 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 and over-the-counter financial derivatives, such as foreign currency contracts, options contracts, or swap agreements derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These derivatives are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Depending on the product and the terms of the transaction, the value of the derivatives can be estimated using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

The following is a description of the valuation techniques and significant inputs used in determining the value the Portfolios’ investments classified as Level 3 in the fair value hierarchy:

•

Securities and other assets for which market quotes are not readily available are valued at fair market value as determined in good faith in accordance with procedures adopted by the Series Fund’s Board of Directors (“Board”). Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g. trade information or broker quotes). The factors considered in reaching these values at June 30, 2020 included, but were not limited to, broker quotes, analysis of the likely outcome of pending litigation, liquidity, prepayment speed, duration and recoverability.

200

Notes to Financial Statements (unaudited)

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 June 30, 2020, 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 the day-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 and day-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 designated sub-custodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed at all times the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. If the counterparty should default, a Portfolio will seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

C. Restricted Securities — Certain Portfolios may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from registration before being sold to the public. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.

D. Foreign Currency Transactions — Certain Portfolios may have securities and other assets and liabilities denominated in foreign currencies which are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. When the Portfolios purchase or sell a foreign security they may enter into a foreign currency exchange contract to minimize exchange rate risk from the trade date to the settlement date of such transaction. Such foreign currency exchange contracts are marked to market daily.

The Portfolios do not separately report the results of operations due to fluctuations in foreign exchange rates on investments from the changes arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

201

Notes to Financial Statements (unaudited)

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 period ended June 30, 2020, 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

202

Notes to Financial Statements (unaudited)

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 June 30, 2020, 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.

NOTE 5. DERIVATIVE INSTRUMENTS

The Portfolios may use derivative instruments for various purposes, including as a cash management strategy, to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the Portfolio, to hedge exposure to a foreign currency, or as an alternative to direct investments. Because the Portfolios are required to account for derivative instruments at fair value and recognize changes in fair value through the Statements of Operations, the Portfolios’ derivatives do not qualify for hedge accounting treatment.

Certain Portfolios segregate cash to cover margin requirements for derivative positions. These amounts are denoted as “Cash Collateral for Derivative Positions” on the Statements of Assets and Liabilities.

A. Futures Contracts — Certain Portfolios invest in futures contracts as an alternative to investing in individual securities and could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are marked to market daily based upon quoted settlement prices. The Portfolios receive from or pay to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the “variation margin,” are recorded by the Portfolios as unrealized gains or losses. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

B. Forward Foreign Currency Contracts — The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies or as part of an investment strategy. Contracts are valued at the contractual forward rate and are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is recorded. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counterparties to meet the terms of their contracts.

C. Options — Certain Portfolios may write call and put options on futures, swaps, securities or currencies they own or in which they may invest. Writing put options tends to increase a Portfolio’s exposure to the underlying instrument. Writing

203

Notes to Financial Statements (unaudited)

call options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio writes a put option, it is exposed to a decline in the price of the underlying security. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying future, swap, security or currency may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.

Certain Portfolios may also purchase call and put options on futures, swaps, securities or currencies they own or in which they may invest. Purchasing call options tends to increase a Portfolio’s exposure to the underlying instrument. Purchasing put options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio pays a premium on the purchase of a put option but receives the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio purchases a call option, it is exposed to a decline in the price of the underlying security. Premiums paid are reflected in the Statements of Assets and Liabilities as an investment and are subsequently marked to market to reflect the current value of the option. Premiums paid from purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying future, swap, security or currency transaction to determine realized gain or loss. The risk associated with a Portfolio purchasing call or put options is limited to the premium paid.

D. Swap Agreements — The Portfolios may enter into swap agreements on interest rate, total return and credit default to manage their exposure to interest rates, foreign currencies, investment style risk and credit risk or as an alternative to direct investing. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).

Swaps are marked to market daily based upon quotations from market makers or values from third party vendors, which may include a registered commodities exchange, and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Daily changes in the valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. OTC swap payments received or made at the beginning of the measurement period of the swap are reflected on the Statements of Assets and Liabilities. Upfront payments are amortized to realized gain or loss. Upon termination of the swap, unamortized upfront payments are recorded as realized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments received by the Portfolios are included as part of realized gain (loss) on the Statements of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in interest rates.

Interest Rate Swaps — Interest rate swap agreements involve the exchange by a Portfolio with another party to pay or receive a set of cash flows, e.g., an exchange of floating rate payments for fixed rate payments based on a notional amount of principal.

Total Return Swaps — Total return swap agreements involve commitments to pay or receive a financing rate in exchange for the total return of an underlying reference entity, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

204

Notes to Financial Statements (unaudited)

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 June 30, 2020, are (amounts in thousands):

Asset Derivatives

Liability Derivatives

Portfolio

Statement of Assets and Liabilities

Location

Value

Statement of Assets and Liabilities

Location

Value

Index 500 Stock Portfolio

Equity contracts

Receivables – Variation Margin

230

Payables – Variation Margin

Large Company Value Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Equity Income Portfolio

Equity contracts

Receivables – Variation Margin

Payables – Variation Margin

Index 400 Stock Portfolio

Equity contracts

Receivables – Variation Margin

297

Payables – Variation Margin

205

Notes to Financial Statements (unaudited)

Asset Derivatives

Liability Derivatives

Portfolio

Statement of Assets and Liabilities

Location

Value

Statement of Assets and Liabilities

Location

Value

Mid Cap Value Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

158

Payables – Foreign Currency

Index 600 Portfolio

Equity contracts

Receivables – Outstanding Swap Contracts, at Value

265

Payables – Outstanding Swap Contracts, at Value

International Equity Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Emerging Markets Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Short-Term Bond Portfolio

Interest rate contracts

Receivables – Variation Margin

Payables – Variation Margin

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

Receivables – Variation Margin

113

Payables – Variation Margin

Inflation Protection Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

259

Payables – Foreign Currency

Inflation contracts

Receivables – Variation Margin

Payables – Variation Margin

Inflation contracts

Receivables – Outstanding Swap Contracts, at Value

Payables – Outstanding Swap Contracts, at Value

7,530

Multi-Sector Bond Portfolio

Credit contracts

Receivables – Outstanding Swap Contracts, at Value

Payables – Outstanding Swap Contracts, at Value

615

Credit contracts

Receivables – Variation Margin

1,628

Payables – Variation Margin

Foreign exchange contracts

Receivables – Foreign Currency

508

Payables – Foreign Currency

2,020

Interest rate contracts

Receivables – Variation Margin

Payables – Variation Margin

390

Balanced Portfolio

Equity contracts

Receivables – Variation Margin

155

Payables – Variation Margin

Asset Portfolio

Equity contracts

Receivables – Variation Margin

Payables – Variation Margin

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended June 30, 2020 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

–

(2,507

)

–

(2,507

)

Large Company Value Portfolio

Foreign currency exchange contracts

–

(43

)

–

(43

)

Equity Income Portfolio

Foreign currency exchange contracts

–

Index 400 Stock Portfolio

Equity contracts

–

Mid Cap Value Portfolio

Foreign currency exchange contracts

–

1,287

–

1,287

Index 600 Stock Portfolio

Equity contracts

–

(2,019

)

(2,019

)

International Growth Portfolio

Foreign currency exchange contracts

–

)

–

)

Research International Core Portfolio

Foreign currency exchange contracts

–

(11

)

–

(11

)

206

Notes to Financial Statements (unaudited)


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options Written		Futures			Forward Currency Contracts			Swaps			Total
International Equity Portfolio
Foreign currency exchange contracts	$	–	$	–		$	(460	)	$	–		$	(460	)
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		–		–			(317	)		–			(317	)
Short-Term Bond Portfolio
Credit contracts		–		–			–			79			79
Interest rate contracts		–		880			–			–			880
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		10		(3,725	)		–			(44	)		(3,759	)
Inflation Protection Portfolio
Credit contracts		–		–			–			(830	)		(830	)
Foreign currency exchange contracts		–		–			(332	)		–			(332	)
Inflation contracts		–		–			–			(772	)		(772	)
Interest rate contracts		–		82			–			–			82
Multi-Sector Bond Portfolio
Credit contracts		–		–			–			(12,644	)		(12,644	)
Foreign currency exchange contracts		–		–			3,776			–			3,776
Interest rate contracts		222		11,799			–			(407	)		11,614
Balanced Portfolio
Equity contracts		–		5,099			–			–			5,099
Asset Allocation Portfolio
Equity contracts		–		188			–			–			188

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the period ended June 30, 2020 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	$	–		$	(500	)	$	–		$	–		$	(500	)
Large Company Value Portfolio
Foreign currency exchange contracts		–			–			85			–			85
Equity Income Portfolio
Equity contracts		–			120			–			–			120
Foreign currency exchange contracts		–			–			(2	)		–			(2	)
Index 400 Stock Portfolio
Equity contracts		–			(166	)		–			–			(166	)
Mid Cap Value Portfolio
Foreign currency exchange contracts		–			–			361			–			361
Index 600 Stock Portfolio
Equity Contracts		–			–			–			(231	)		(231	)
International Growth Portfolio
Foreign currency exchange contracts		–			–			30			–			30
Research International Core Portfolio
Foreign currency exchange contracts		–			–			43			–			43
International Equity Portfolio
Foreign currency exchange contracts		–			–			(33	)		–			(33	)
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		–			–			(37	)		–			(37	)
Short-Term Bond Portfolio
Interest rate contracts		–			(46	)		–			–			(46	)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		(7	)		(389	)		–			(1,961	)		(2,357	)

207

Notes to Financial Statements (unaudited)


	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options Written			Futures			Forward Currency Contracts		Swaps			Total
Inflation Protection Portfolio
Foreign currency exchange contracts	$	–		$	–		$	297	$	–		$	297
Interest rate contracts		–			11			–		–			11
Inflation contracts		–			–			–		(6,111	)		(6,111	)
Multi-Sector Bond Portfolio
Credit contracts		–			–			–		(4,060	)		(4,060	)
Foreign currency exchange contracts		–			–			1,190		–			1,190
Interest rate contracts		(43	)		2,974			–		(2,404	)		527
Balanced Portfolio
Equity contracts		–			(102	)		–		–			(102	)
Asset Allocation Portfolio
Equity contracts		–			(5	)		–		–			(5	)

Volumes on derivative instruments by contract type and primary risk exposure, for the period ended June 30, 2020 are:

Volume of Derivative Instruments Held

Average Number of
Contracts

Average Notional
(Amounts in Thousands)

Portfolio

Exchange Traded

Options

Futures

Forward Currency

Contracts

Swaps

Over the

Counter

Options

Index 500 Stock Portfolio

Equity contracts

–

145

–

Large Company Value Portfolio

Foreign currency exchange contracts

–

14,013

–

Equity Income Portfolio

Equity contracts

–

Index 400 Stock Portfolio

Equity contracts

–

113

–

Mid Cap Value Portfolio

Foreign currency exchange contracts

–

48,426

–

Index 600 Stock Portfolio

Equity contracts

–

International Growth Portfolio

Foreign currency exchange contracts

–

426

–

Research International Core Portfolio

Foreign currency exchange contracts

–

International Equity Portfolio

Foreign currency exchange contracts

–

Emerging Markets Equity Portfolio

Foreign currency exchange contracts

–

Short-Term Bond Portfolio

Credit contracts

–

573

–

Interest rate contracts

–

427

–

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

–

239

–

10,977

–

208

Notes to Financial Statements (unaudited)

Volume of Derivative Instruments Held

Average Number of

Contracts

Average Notional

(Amounts in Thousands)

Portfolio

Exchange Traded
Options

Futures

Forward Currency

Contracts

Swaps

Over the
Counter
Options

Inflation Protection Portfolio

Foreign currency exchange contracts

–

16,528

–

Credit contracts

–

4,933

–

Interest rate contracts

–

Inflation contracts

–

149,017

–

Multi-Sector Bond Portfolio

Credit contracts

–

249,059

–

Foreign currency exchange contracts

–

517,006

–

Interest rate contracts

933

–

79,681

15,067

Balanced Portfolio

Equity contracts

–

198

–

Asset Allocation Portfolio

Equity contracts

–

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 including to-be-announced securities, delayed-delivery or sale-buyback financing transactions. Customer Account Agreements and related addenda are in place that govern certain cleared derivative transactions including futures and cleared OTC derivatives. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA agreements”) are in place that governs certain OTC financial derivative transactions. ISDA agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA agreement. The terms of Master Agreements may reduce counterparty risk with respect to transactions governed by the Master Agreement under certain circumstances. Certain Portfolios have agreements with counterparties that contain provisions, or contingency features, that allow net settlement in the event of contract termination and permit termination by either party prior to maturity upon the occurrence of certain stated events, such as failure to pay or bankruptcy. In addition, certain agreements specify other events, the occurrence of which would allow one of the parties to terminate. For example, a downgrade in credit rating of a counterparty would allow the 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.

209

Notes to Financial Statements (unaudited)

Offsetting Assets and Liabilities

Certain Portfolios are parties to enforceable master netting or similar agreements which provide for the right of offset under certain circumstances. The Portfolios have made an accounting policy election not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities. As such, all financial and derivative instruments are presented on a gross basis on the Statements of Assets and Liabilities. The impacts of netting arrangements that provide the right to offset are detailed below (amounts in thousands). The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing transactions such as repurchase agreements and certain forward settling transactions can only be netted across transactions governed under the same Master Agreement with the same legal entity. For certain Portfolios, derivative amounts do not reconcile to the Statements of Assets and Liabilities due to the Statements of Assets and Liabilities including derivatives that are not covered under master netting or similar agreements. The amount of collateral, for the period ended June 30, 2020, 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, Inc.	$	45	$	-	$	45	$	-		$	-	$	-		$	45	$	-	$	45
Total	$	45	$	-	$	45	$	-		$	-	$	-		$	45	$	-	$	45

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	$	13	$	-	$	13	$	-		$	-	$	-		$	13	$	-	$	13
Morgan Stanley Capital Services, Inc.		145		-		145		(5	)		-		(5	)		140		-		140
Total	$	158	$	-	$	158	$	(5	)	$	-	$	(5)		$	153	$	-	$	153

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
Morgan Stanley Capital Services, Inc.	$	-	$	265	$	265	$	-		$	-	$	-		$	265	$	-	$	265
Total	$	-	$	265	$	265	$	-		$	-	$	-		$	265	$	-	$	265

210

Notes to Financial Statements (unaudited)

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	$	-	$	-	$	-	$	-	$	(2,362	)	$	(2,362	)	$	(2,362	)	$	2,202	$	(160	)
Barclays Bank PLC		-		-		-		-		(3,657	)		(3,657	)		(3,657	)		-		(3,657	)
Goldman Sachs International		-		-		-		-		(1,511	)		(1,511	)		(1,511	)		-		(1,511	)
Morgan Stanley Capital Services, Inc.		259		-		259		-		-			-			259			-		259
Total	$	259	$	-	$	259	$	-	$	(7,530)		$	(7,530)		$	(7,271)		$	2,202	$	(5,069)

Multi-Sector Bond Portfolio


	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward Contacts			Written Options		Swaps			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Barclays Bank PLC	$	-	$	14	$	14	$	(19	)	$	-	$	(93	)	$	(112	)	$	(98	)	$	59	$	(39	)
BNP Paribas SA		36		-		36		(1,268	)		-		(1	)		(1,269	)		(1,233	)		1,097		(136	)
Goldman Sachs International		1		-		1		(217	)		-		(324	)		(541	)		(540	)		150		(390	)
HSBC Bank USA NA		460		-		460		(441	)		-		(71	)		(512	)		(52	)		52		-
JP Morgan Chase Bank NA		8		-		8		(40	)		-		(69	)		(109	)		(101	)		101		-
Morgan Stanley Capital Services, Inc.		-		-		-		-			-		(57	)		(57	)		(57	)		57		-
UBS AG		3		-		3		(35	)		-		-			(35	)		(32	)		32		-
Total	$	508	$	14	$	522	$	(2,020)		$	—	$	(615)		$	(2,635)		$	(2,113)		$	1,548	$	(565)

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		50,000		-		-		50,000		(50,000	)		-
Citigroup Global Markets		25,000		-		-		25,000		(25,000	)		-
Goldman Sachs International		20,000		-		-		20,000		(20,000	)		-
Mitsubishi UFJ Securities USA		10,000		-		-		10,000		(10,000	)		-
Mizuho Bank		25,000		-		-		25,000		(25,000	)		-
Natixis SA		20,000		-		-		20,000		(20,000	)		-
TD Securities USA		55,000		-		-		55,000		(55,000	)		-
Total	$	229,000	$	-	$	-	$	229,000	$	(229,000)		$	-

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
Goldman Sachs International	$	(1,683	)	$	-	$	(185,021	)	$	(186,704	)	$	186,704		$ -
Morgan Stanley Capital
Services, Inc.		(3,155	)		-		-			(3,155	)		-		(3,155	)
Total	$	(4,838	)	$	-	$	(185,021	)	$	(189,859	)	$	186,704		$ (3,155)

The Long-Term US Government Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2020 was $79,501 (amount in thousands) at a weighted average interest rate of 0.307%. Average borrowings include reverse repurchase agreements and sale-buyback transactions, if held during the period.

211

Notes to Financial Statements (unaudited)

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
JP Morgan Chase Bank NA	$	30,800	$	-	$	-	$	30,800	$	(30,800	)	$	-

Total	$	30,800	$	-	$	-	$	30,800	$	(30,800)		$	-

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%

212

Notes to Financial Statements (unaudited)

Portfolio

First $200

Million

Excess

Over $200

Million

Index 600 Stock Portfolio

0.25%

0.20%

Portfolio

First $50

Million

Excess

Over $50

Million

International Equity Portfolio

0.85%

0.65%

Portfolio

First $250

Million

Next $250

Million

Next $500

Million

Excess Over

$1.0 Billion

Emerging Markets Equity Portfolio

1.14%

1.08%

0.96%

0.78%

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 such non-recurring and extraordinary expenses as they may arise) will not exceed the following amounts:


Portfolio		Expiration
Focused Appreciation Portfolio	0.90%		April 30, 2021
Large Cap Blend Portfolio	0.85%		April 30, 2021
Large Company Value Portfolio	0.80%		April 30, 2021
Domestic Equity Portfolio	0.75%		April 30, 2021
Equity Income Portfolio	0.75%		April 30, 2021
Mid Cap Value Portfolio	1.00%		April 30, 2021
Index 600 Stock Portfolio	0.35%		April 30, 2021
Small Cap Value Portfolio	1.00%		April 30, 2021
International Growth Portfolio	1.10%		April 30, 2021
Research International Core Portfolio	1.15%		April 30, 2021
Emerging Markets Equity Portfolio	1.50%		April 30, 2021
Short-Term Bond Portfolio	0.45%		April 30, 2021
Long-Term U.S. Government Bond Portfolio	0.65%		April 30, 2021
Inflation Protection Portfolio	0.65%		April 30, 2021
Multi-Sector Bond Portfolio	0.90%		April 30, 2021
Asset Allocation Portfolio	0.75%		April 30, 2021

Growth Stock Portfolio – For the period from January 1, 2020 through April 30, 2020, MSA agreed to waive a portion of its management fee such that the management fee was 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. Effective May 1, 2020, MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.38% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2021.

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, 2021.

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, 2021.

Large Cap Blend Portfolio – For the period from January 1, 2020 through April 30, 2020, MSA agreed to waive a portion of its management fee such that the management fee was 0.76% on the Portfolio’s first $150 million of average net assets,

213

Notes to Financial Statements (unaudited)

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. Effective May 1, 2020, MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $150 million of average net assets, 0.67% 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, 2021.

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, 2021.

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, 2021.

Domestic Equity Portfolio – For the period from January 1, 2020 through April 30, 2020, 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, 0.46% on the next $500 million, and 0.44% on the average net assets in excess of $1 billion. Effective May 1, 2020, 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, 0.45% on the next $500 million, and 0.43% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2021.

Equity Income Portfolio – For the period from January 1, 2020 through April 30, 2020, MSA agreed to waive a portion of its management fee such that the management fee was 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. Effective May 1, 2020, MSA has agreed to waive a portion of its management fee such that the management fee is 0.58% on the Portfolio’s first $500 million of average net assets, 0.53% on the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2021.

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, 2021.

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, 2021.

Mid Cap Value Portfolio – For the period from January 1, 2020 through April 30, 2020, 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, 0.68% on the next $350 million, and 0.65% on the average net assets in excess of $500 million. Effective May 1, 2020, MSA has agreed to waive a portion of its management fee such that the management fee is 0.79% on the Portfolio’s first $150 million of average net assets, 0.67% on the next $350 million, and 0.64% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2021.

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, 2021.

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, 2021.

214

Notes to Financial Statements (unaudited)

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, 2021.

International Equity Portfolio – For the period from January 1, 2020 through April 30, 2020, 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, 0.46% on the next $500 million, and 0.40% on the average net assets in excess of $1.5 billion. Effective May 1, 2020, MSA has agreed to waive a portion of its management fee such that the management fee is 0.69% on the Portfolio’s first $50 million of average net assets, 0.54% on the next $450 million, 0.52% 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, 2021.

Emerging Markets Equity Portfolio – For the period from January 1, 2020 through April 30, 2020, MSA agreed to waive a portion of its management fee such that its management fee such was 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. For the period from May 1, 2020 through June 30, 2020, MSA agreed to waive a portion of its management fee such that its management fee was 0.98% on the Portfolio’s first $250 million of average net assets, 0.90% on the next $250 million, 0.87% on the next $500 million, and 0.78% on average net assets in excess of $1 billion. See Note 13, for changes in this waiver effective after the date of this report.

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, 2021. In addition, MSA has voluntarily agreed to waive its advisory fee and/or reimburse expenses in excess of the Government Money Market Portfolio’s daily yield so as to maintain a zero or positive yield for the Portfolio. This voluntary waiver is reviewed periodically by MSA in light of market and economic developments and may be revised or discontinued at any time without advance notice.

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, 2021.

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, 2021.

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, 2021.

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, 2021.

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, 2021.

Multi-Sector Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $100 million of average net assets, 0.73% on the next $150 million, 0.70% on the next $250 million, and 0.65% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2021.

215

Notes to Financial Statements (unaudited)

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, 2021.

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, 2021.

Waivers are not recoupable in future periods.

With respect to certain Portfolios, MSA has engaged and oversees unaffiliated sub-advisers who manage the day-to-day investment operations of such Portfolios. MSA pays each sub-adviser a fee based on the average daily net assets of each such Portfolio out of its investment management fee.

Compliance fees are paid to Northwestern Mutual, an affiliate of the Series Fund. The compliance fees paid are for the compensation, benefits and expenses of the Chief Compliance Officer and compliance staff. The amounts paid relate only to the Chief Compliance Officer and compliance staffs’ duties and functions performed for the Series Fund.

NOTE 8. FEDERAL INCOME TAX MATTERS

Taxable distributions from net investment income and realized capital gains in the Portfolios may differ from book amounts earned during the period due to differences in the timing of capital gains recognition and due to the reclassification of certain gains or losses between capital and income. The differences between cost amounts for book purposes and tax purposes are primarily due to the tax treatment of deferred losses, passive foreign investment companies, and financing transactions.

It is the policy of the Portfolios to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the Statements of Assets and Liabilities. Permanent differences primarily relate to character differences with respect to income on swaps, foreign currency transactions, foreign bond sales, passive foreign investment companies and paydowns on structured product investments.

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.

216

Notes to Financial Statements (unaudited)

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 period ended December 31, 2019 was as follows:


	2019 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain
	(Amounts in thousands)
Growth Stock Portfolio	$	6,805	$	106,399
Focused Appreciation Portfolio		6,173		54,376
Large Cap Core Stock Portfolio		13,646		22,424
Large Cap Blend Portfolio		2,532		14,864
Index 500 Stock Portfolio		56,663		82,720
Large Company Value Portfolio		6,196		11,792
Domestic Equity Portfolio		16,003		40,576
Equity Income Portfolio		18,939		46,492
Mid Cap Growth Stock Portfolio		39,746		9,001
Index 400 Stock Portfolio		14,492		57,161
Mid Cap Value Portfolio		14,500		43,694
Small Cap Growth Stock Portfolio		16,390		72,405
Index 600 Stock Portfolio		3,823		15,086
Small Cap Value Portfolio		3,918		87,580
International Growth Portfolio		9,182		2,373
Research International Core Portfolio		11,737		18,842
International Equity Portfolio		43,077		78,760
Emerging Markets Equity Portfolio		8,489		—
Government Money Market Portfolio		8,386		—
Short-Term Bond Portfolio		6,513		—
Select Bond Portfolio		85,804		—
Long-Term U.S. Government Bond Portfolio		2,528		—
Inflation Protection Portfolio		9,618		—
High Yield Bond Portfolio		45,460		—
Multi-Sector Bond Portfolio		44,581		—
Balanced Portfolio		51,405		111,848
Asset Allocation Portfolio		6,129		17,044

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

217

Notes to Financial Statements (unaudited)


Portfolio	Undistributed Ordinary Income		Undistributed Long-Term Gains		Accumulated Losses			Unrealized Appreciation (Depreciation)
			(Amounts in thousands)
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.

Voluntary reimbursements for the period ended June 30, 2020 are summarized below (amounts in thousands):


Portfolio	2020 Reimbursements
International Growth Portfolio	$	1,073
International Equity Portfolio		3,031
Research International Core Portfolio		942
Emerging Markets Equity Portfolio		643

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 period ended June 30, 2020, 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	$	132,859	$	—	$	174,372	$	—
Focused Appreciation Portfolio		130,887		—		184,576		—
Large Cap Core Stock Portfolio		224,973		—		243,247		—
Large Cap Blend Portfolio		32,408		—		30,123		—
Index 500 Stock Portfolio		77,108		—		58,488		—
Large Company Value Portfolio		83,639		—		81,120		—
Domestic Equity Portfolio		132,492		—		115,320		—
Equity Income Portfolio		127,419		—		129,942		—
Mid Cap Growth Stock Portfolio		257,510		—		277,723		—
Index 400 Stock Portfolio		101,740		—		84,776		—
Mid Cap Value Portfolio		234,625		—		221,825		—
Small Cap Growth Stock Portfolio		209,726		—		218,208		—
Index 600 Stock Portfolio		60,429		—		40,394		—
Small Cap Value Portfolio		55,077		—		57,207		—
International Growth Portfolio		103,608		—		108,315		—
Research International Core Portfolio		108,443		—		88,638		—
International Equity Portfolio		552,707		—		499,458		—
Emerging Markets Equity Portfolio		134,796		—		106,773		—

218

Notes to Financial Statements (unaudited)


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)
Short-Term Bond Portfolio	$	115,636	$	22,397	$	61,353	$	46,475
Select Bond Portfolio		2,519,233		4,540,784		2,258,430		4,936,470
Long-Term U.S. Government Bond Portfolio		55,537		121,885		63,221		115,433
Inflation Protection Portfolio		99,590		47,475		82,856		62,853
High Yield Bond Portfolio		153,866		—		146,767		—
Multi-Sector Bond Portfolio		71,142		117,083		36,113		65,140
Balanced Portfolio		215,094		—		303,039		—
Asset Allocation Portfolio		24,533		—		33,193		—

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 period ended June 30, 2020 are as follows:


Portfolio	Value at 12/31/2019		Purchases		Sales		Value at 6/30/2020		Change in Unrealized Appreciation/ Depreciation			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions			% Ownership, 6/30/2020
									(Amounts in thousands)
Balanced:
Growth Stock	$	148,423	$	-	$	8,000	$	156,605	$	14,428		$	1,755		$	-	$	-			13.5	%
Focused Appreciation		74,798		-		3,500		78,579		6,180			1,101			-		-			7.5	%
Large Cap Core Stock		74,685		-		3,500		70,615		(896	)		326			-		-			11.6	%
Large Cap Blend		74,166		-		200		65,342		(8,666	)		42			-		-			43.2	%
Large Company Value		74,455		-		500		62,931		(11,052	)		29			-		-	��		36.1	%
Domestic Equity		75,145		-		1,800		62,337		(11,639	)		632			-		-			7.9	%
Equity Income		74,664		-		1,000		59,789		(14,012	)		137			-		-			9.2	%
Mid Cap Growth Stock		98,796		-		-		93,862		(4,934	)		-			-		-			8.8	%
Mid Cap Value		102,576		-		-		85,708		(16,869	)		-			-		-			17.0	%
Small Cap Growth Stock		25,186		-		-		24,003		(1,183	)		-			-		-			3.8	%
Small Cap Value		24,746		-		-		20,365		(4,381	)		-			-		-			4.1	%
International Growth		53,687		-		-		52,352		(1,135	)		-			-		-			6.6	%
Research International Core		127,977		-		-		119,934		(8,043	)		-			-		-			16.1	%
International Equity		45,974		-		-		38,786		(7,189	)		-			-		-			2.5	%
Emerging Markets Equity		23,277		-		-		20,910		(2,367	)		-			-		-			2.7	%
Short-Term Bond		-		10,000		-		10,577		576			-			-		-			3.0	%
Select Bond		886,562		50,000		138,000		854,648		47,977			8,110			-		-			26.7	%
High Yield Bond		138,443		-		7,500		126,327		(4,556	)		(61	)		-		-			16.0	%

	$	2,123,560	$	60,000	$	164,000	$	2,003,670	$	(27,961	)	$	12,071		$	-	$	-

219

Notes to Financial Statements (unaudited)


Portfolio	Value at 12/31/2019		Purchases		Sales		Value at 6/30/2020		Change in Unrealized Appreciation/ Depreciation			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2020
									(Amounts in thousands)
Asset Allocation:
Growth Stock	$	23,079	$	-	$	1,150	$	24,451	$	2,269		$	252		$	-	$	-		2.1	%
Focused Appreciation		11,626		-		500		12,260		977			157			-		-		1.2	%
Large Cap Core Stock		13,059		-		500		12,454		(152	)		47			-		-		2.1	%
Large Cap Blend		12,980		-		50		11,422		(1,518	)		11			-		-		7.6	%
Large Company Value		11,581		-		50		9,812		(1,722	)		3			-		-		5.6	%
Domestic Equity		11,679		-		150		9,798		(1,784	)		53			-		-		1.2	%
Equity Income		11,608		-		100		9,340		(2,181	)		14			-		-		1.4	%
Mid Cap Growth Stock		14,742		-		-		14,006		(736	)		-			-		-		1.3	%
Mid Cap Value		15,020		-		-		12,550		(2,470	)		-			-		-		2.5	%
Small Cap Growth Stock		6,495		-		-		6,190		(305	)		-			-		-		1.0	%
Small Cap Value		6,468		-		-		5,323		(1,145	)		-			-		-		1.1	%
International Growth		10,567		-		-		10,304		(263	)		-			-		-		1.3	%
Research International Core		22,325		-		-		20,922		(1,403	)		-			-		-		2.8	%
International Equity		8,605		-		-		7,260		(1,346	)		-			-		-		0.5	%
Emerging Markets Equity		3,824		-		-		3,435		(389	)		-			-		-		0.4	%
Short-Term Bond		-		1,000		-		1,057		58			-			-		-		0.3	%
Select Bond		62,926		5,500		13,500		58,860		3,250			684			-		-		1.8	%
High Yield Bond		22,838		-		1,000		21,070		(759	)		(9	)		-		-		2.7	%

	$	269,422	$	6,500	$	17,000	$	250,514	$	(9,619	)	$	1,212		$	-	$	-

The Series Fund and its Portfolios are permitted to purchase securities from, and sell securities to (so called “cross-trades”), (i) other Portfolios, (ii) any registered investment company which is an affiliate, or an affiliate of an affiliate, or (iii) any person which is an affiliate, or an affiliate of an affiliate, of the Series Fund or the Portfolio solely by reason of having a common investment adviser or sub-adviser (or affiliated investment advisers) or common directors and/or officers, pursuant to procedures adopted by the Board under Rule 17a-7 of the 1940 Act (“Procedures”). These Procedures have been designed to ensure that any cross-trade of securities by a Portfolio complies with Rule 17a-7 of the 1940 Act. Each cross-trade is effected at the current market price as defined under the Procedures. Pursuant to the Procedures, for the period ended June 30, 2020, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):


Portfolio	Cross Trade Purchases
Growth Stock Portfolio	$	403
Large Cap Core Portfolio		493
Large Company Value Portfolio		985
Mid Cap Value Portfolio		207
International Growth Portfolio		10,669
Research International Core Portfolio		248
Short-Term Bond Portfolio		181
High Yield Bond Portfolio		485


	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gain (Loss) on Sales
Growth Stock Portfolio	$	346	$	7
Large Cap Core Stock Portfolio		3,176		900
Large Company Value Portfolio		247		2
Mid Cap Value Portfolio		438		63
Small Cap Growth Stock Portfolio		23		(37	)
Small Cap Value Portfolio		129		2
International Growth Portfolio		3,778		1,155
Research International Core Portfolio		291		(217	)
High Yield Bond Portfolio		721		(4	)

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. leveraged buy-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

220

Notes to Financial Statements (unaudited)

District Court for the Southern District of New York, the district court judge granted the motion to dismiss the constructive fraud lawsuit. The appeal of the dismissal of the constructive fraud lawsuit was subsequently affirmed by the U.S. Court of Appeals for the Second Circuit and then re-affirmed following a motion for reconsideration. Plaintiffs in the constructive fraud lawsuit have filed a petition for review with the U.S. Supreme Court. 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 June 30, 2020, were: Index 500 Stock Portfolio $977,000 (0.03% of net assets); Small Cap Value Portfolio $618,000 (0.13% of net assets); and Equity Income Portfolio $2,873,000 (0.44% of net assets). Management has not concluded that a loss is reasonably likely to occur, and therefore no loss accrual has been recorded.

NOTE 13. SUBSEQUENT EVENT

Effective July 1, 2020, in the Emerging Markets Equity Portfolio, MSA has agreed to waive a portion of its management fee such that its management fee is 0.95% on the Portfolio’s first $250 million of average net assets, 0.87% on the next $250 million, 0.84% 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, 2021.

221

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
CNY		Chinese Yuan Renminbi
COP		Colombian Peso
DKK		Danish Krone
EUR		Euro
GBP		British Pound
HKD		Hong Kong Dollar
IDR		Indonesian Rupiah
INR		Indian Rupee
JPY		Japanese Yen
KES		Kenyan Shilling
KRW		South Korean Won
MXN		Mexican New Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PHP		Philippines Peso
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

222

Proxy Voting and Portfolio Holdings (unaudited)

Proxy Voting Guidelines

A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

Quarterly Filing of Portfolio Holdings

Each Portfolio, other than the Government Money Market Portfolio, files its complete schedule of portfolio holdings on a monthly basis with the Securities and Exchange Commission (SEC) as an exhibit to its reports on Form N-PORT. Each Portfolio’s holdings reported on Form N-PORT for the first and third quarters of the fiscal year are available on the SEC’s website at http://www.sec.gov. Portfolios that file their holdings on Form N-PORT also make their complete schedule of portfolio holdings for the most recent quarter of their fiscal year available on the Internet at www.northwesternmutual.com.

The Government Money Market Portfolio files its complete schedule of portfolio holdings on a monthly basis with the SEC on Form N-MFP. Form N-MFP is available on the SEC’s website at http://www.sec.gov. The Government Money Market Portfolio also makes its complete schedule of portfolio holdings for the most recent month available on the Internet at www. northwesternmutual.com.

223

Statement Regarding Liquidity Risk Management Program (unaudited)

Each series/portfolio of Northwestern Mutual Series Fund, Inc. (“Series Fund”) other than the Government Money Market Portfolio (each, a “Portfolio”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Portfolio’s liquidity risk (which is defined as the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) the assessment, management and periodic review of liquidity risk; (ii) the classification of portfolio holdings; (iii) the establishment of a highly liquid investment minimum, as applicable; (iv) limitations on illiquid investments; and (v) related reporting, disclosure and recordkeeping.

The Board of Directors of the Series Fund (“Board”) has designated a multi-disciplinary committee to act as administrator of the Program (“Program Administrator” or “Committee”). The Committee’s membership includes representatives of the Series Fund’s investment adviser, Mason Street Advisors, LLC (“MSA”) as well as the Mutual Fund Administration and Managed Investments Compliance divisions of The Northwestern Mutual Life Insurance Company. Under the Program, the Program Administrator assesses, manages and periodically reviews each Portfolio’s liquidity risk and classifies each investment held by each Portfolio as a “highly liquid investment,” “moderately liquid investment,” “less liquid investment” or “illiquid investment.” The classification is based on a determination of the number of days it is reasonably expected to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the market value of the investment. The liquidity of a Portfolio’s portfolio investments is determined based on the varying levels at which the Portfolio expects to trade in a particular investment or asset class (the reasonably anticipated trading size) and other relevant market, trading and investment-specific considerations under the Program. In addition to the foregoing, the Program Administrator determines the need for, and if applicable, establishes highly liquid investment minimums (“HLIM”) (a minimum percentage of net assets that must be invested in highly liquid investments that are assets), oversees the preparation of reports to the Board and the Securities and Exchange Commission required by the Liquidity Rule, and prepares required written annual reports on the operation and adequacy of the Program.

Pursuant to the Liquidity Rule, no Portfolio may acquire any illiquid investment if, after the acquisition, the Portfolio would have invested more than 15% of its assets in illiquid investments that are assets. In addition, the Liquidity Rule requires funds that do not primarily hold assets that are highly liquid investments to adopt an HLIM. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirements, as applicable. The Program contemplates the use of a third-party liquidity classification tool to aid the Program Administrator in assigning liquidity classifications and monitoring the Portfolios’ level of investments in each liquidity category.

During the six months ended June 30, 2020, the Board received and reviewed the annual written report of the Program Administrator (the “Report”), concerning the operation of the Program for the period from December 1, 2018 to December 31, 2019 (the “Reporting Period”). The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in reviewing the adequacy and effectiveness of the Program’s implementation with respect to each Portfolio during the Reporting Period. Such information and factors included, among other things:

•

Each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Portfolio’s investment strategy was appropriate for an open-end fund; (ii) the extent to which the Portfolio’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) whether the Portfolio’s strategy involves holdings that are particularly sensitive to stressed market conditions; and (iv) the Portfolio’s use of derivatives;

•

Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and

•

Holdings of cash and cash equivalents, as well as other sources of liquidity.

224

Statement Regarding Liquidity Risk Management Program (unaudited)

In addition, the Program Administrator sought and considered the input of MSA and the sub-advisers as to whether any Portfolio had been impacted by market or sector-wide developments, changes in operations or other Portfolio specific circumstances that did, or could, materially impact the Portfolio’s liquidity risk profile. During the Reporting Period, each of the Portfolios qualified as a fund that primarily holds assets that are highly liquid investments, and, therefore, no Portfolio was required to establish or comply with an HLIM as set forth in the Program.

Based on the information considered, the Report concluded that (i) the Program was reasonably designed to assess and manage liquidity risk; (ii) the Program was adequately and effectively implemented during the Reporting Period; (iii) each Portfolio’s investment strategy continues to be appropriate for an open-end fund; (iv) an HLIM continued to not be required or warranted for any of the Portfolios, and (v) each Portfolio was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Portfolio during the Reporting Period. There were no material changes to the Program during the Reporting Period.

There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to the Series Fund’s prospectus for more information regarding each Portfolio’s exposure to illiquidity risk and other risks to which it may be subject.

225

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

Northwestern Mutual Series Fund, Inc.

Annual Contract Review Process

Under Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), contracts for investment advisory services are required to be reviewed, evaluated and approved by a majority of an investment company’s independent directors each year. In addition, each investment company is required to disclose in its annual or semi-annual report, as applicable, the material factors and conclusions that formed the basis for the board’s approval or renewal of any investment advisory agreements within the investment company’s most recently completed fiscal half-year period.

At least annually, the Board of Directors (the “Board”) of Northwestern Mutual Series Fund, Inc. (the “Series Fund”) considers and votes upon the renewal of the investment advisory agreement between Mason Street Advisors, LLC (“Mason Street Advisors”) and the Series Fund with respect to the portfolios of the Series Fund (each, a “Portfolio” and collectively, the “Portfolios”), as well as the investment sub-advisory agreements between Mason Street Advisors and each of the sub-advisers of those Portfolios for which Mason Street Advisors and the Board have appointed a sub-adviser. In order to afford the Board the opportunity to focus on a smaller number of relationships at any one meeting, the Board considers the annual continuation of the sub-advisory agreements on a staggered basis during the course of the year.

Board Approvals During the Six-Month Period Ended June 30, 2020

At its February 27, 2020 meeting, the Board, including the directors who are not “interested persons” (as that term is defined in the 1940 Act) of the Series Fund or Mason Street Advisors (the “Independent Directors”), unanimously approved the continuance of the Amended and Restated Advisory Agreement between the Series Fund and Mason Street Advisors with respect to each of the Series Fund’s Portfolios (the “Advisory Agreement”).

Also at its February 27, 2020 meeting, the Board, including the Independent Directors, unanimously approved the continuance of a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Wellington Management Company LLP (“Wellington”) relating to the Series Fund’s Small Cap Growth Stock, Large Cap Core Stock and Mid Cap Growth Stock Portfolios.

At its June 4, 2020 meeting, the Board, including the Independent Directors, unanimously approved the continuance of (1) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Massachusetts Financial Services Company (“MFS”) relating to the Series Fund’s Research International Core Portfolio, (2) a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and FIAM LLC (“FIAM”) relating to the Series Fund’s International Growth Portfolio, (3) a Fourth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Templeton Investment Counsel, LLC (“Templeton”) relating to the Series Fund’s International Equity Portfolio, (4) a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Fiduciary Management, Inc. (“FMI”) relating to the Series Fund’s Large Cap Blend Portfolio, and (5) an Amended Investment Sub-Advisory Agreement between Mason Street Advisors and Aberdeen Asset Managers Limited (“Aberdeen”) relating to the Series Fund’s Emerging Markets Equity Portfolio. Wellington, MFS, FIAM, Templeton, FMI and Aberdeen are sometimes collectively referred to herein as the “Sub-Advisers,” their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios” and the respective Investment Sub-Advisory Agreements with the Sub-Advisers are collectively referred to herein as the “Sub-Advisory Agreements.”

In determining whether to approve the continuance of the Advisory Agreement and the Sub-Advisory Agreements on behalf of the Series Fund, the Board requested and received detailed information from Mason Street Advisors and the Sub-Advisers in advance of each meeting to assist them in their evaluation, including information compiled by certain independent providers of evaluative data. 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 Mason Street Advisors and the Sub-Advisers and the nature, extent and quality of the services they provide to the Portfolios is an ongoing one. As a result, the Board’s consideration of such services, and the performance, fees, costs and other relevant factors was also based upon information provided and deliberations that occurred at other meetings throughout the year.

226

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the review of the Advisory Agreement and Sub-Advisory Agreements, and summarizing the legal standards governing the review and approval of these Agreements. The Independent Directors reviewed these standards with their counsel during the course of the meetings, including how these standards should be applied to the review of information relating to sub-advisers under the Series Fund’s manager of managers structure. During the course of their deliberations, the Independent Directors had the opportunity to meet privately without representatives of Mason Street Advisors and the Sub-Advisers, and were represented throughout the process by legal counsel.

Continuation of the Advisory Agreement between the Series Fund and Mason Street Advisors

At its February 27, 2020 meeting, the Board, including the Independent Directors, unanimously approved the continuance of the Advisory Agreement with respect to each Series Fund Portfolio. In addition to the information presented by and about Mason Street Advisors during the course of that meeting, the materials provided to the directors in advance of the meeting included Mason Street Advisor’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from Mason Street Advisors designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Advisory Agreement. Those materials also included an independent report prepared by Broadridge (“Broadridge Report”) for each of the Portfolios. The Broadridge Report provided details regarding the fees, expenses, and performance returns captured over a variety of measurement periods, as well as comparative information associated with a Broadridge peer group for each Portfolio as selected by Broadridge based on the Portfolio’s investment style, characteristics and asset levels, and further customized to filter out funds with different share class characteristics and fund structures. The Broadridge Report included an executive summary of the performance and expense information compiled by Broadridge to facilitate the directors’ review. The materials provided to the Independent Directors included a summary from the Mason Street Advisors’ Chief Compliance Officer (“CCO”) of Mason Street Advisors’ compliance program, as well as the CCO’s Annual Compliance Report summarizing the results of his review and assessment of the adequacy of Mason Street Advisors’ compliance program. In addition to the information presented at the February 27, 2020 meeting, the directors’ considerations were informed by the information regularly provided to them throughout the year regarding the Portfolios and Mason Street Advisors, their experience with and knowledge of the nature and quality of services provided by Mason Street Advisors to the Portfolios and their interactions with representatives of Mason Street Advisors and its affiliates.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of the Advisory Agreement include those discussed below. The directors evaluated the information they deemed relevant on a Portfolio-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 directors. 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 Mason Street Advisors’ services, factors considered by the directors included Mason Street Advisors’ overall business, organization and management structure, and the tenure and experience of Mason Street Advisors’ investment personnel. The directors considered the performance of each Portfolio over various time periods as presented at the February 27, 2020 meeting and at each of the quarterly meetings prior thereto.

Included as part of their review were the presentations and information provided by Mason Street Advisors regarding the services provided by Mason Street Advisors to the Portfolios. These services include the investment management services rendered by Mason Street Advisors’ portfolio managers in providing day-to-day portfolio management services for the Asset Allocation Portfolio, Balanced Portfolio and three index-based Portfolios (Index 400 Stock, Index 500 Stock and Index 600 Stock Portfolios). The directors considered the effectiveness of Mason Street Advisors’ portfolio managers in providing day-to-day portfolio management services for the foregoing Portfolios. The directors also considered the

227

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

investment management, administrative and supervisory services related to Mason Street Advisors’ oversight, evaluation and ongoing monitoring of the various sub-advisers appointed to manage the majority of the Series Fund’s Portfolios. The directors considered the effectiveness and coverage of Mason Street Advisors supervisory oversight of the appointed sub-advisors, including its monitoring and assessment of sub-advisory investment performance, sub-advisory organizational and personnel developments, sub-advisory investment strategies and execution as well as Mason Street Advisors’ overall level of engagement with the sub-advisory investment teams. The directors recognized that in addition to the investment advisory services provided, Mason Street Advisors and its affiliates provided administrative services critical to the operation of the Portfolios and the servicing of the Series Fund’s investors. The risk management infrastructure implemented by Mason Street Advisors, the Series Fund’s compliance program and compliance infrastructure, and its various compliance policies and procedures, oversight of brokerage and trading, and succession planning were also considered by the directors.

Based on their review of these factors, and reflecting upon their experience with Mason Street Advisors’ services provided to the Portfolios, the Board concluded, as part of their overall evaluation of the Advisory Agreement, that they were satisfied with the nature, extent and quality of services provided by Mason Street Advisors with respect to each Portfolio, including the resources committed by Mason Street Advisors and its affiliates in providing those services, and the experience and capabilities of the personnel rendering such services.

Investment Performance. The directors considered the investment performance of each of the Portfolios over a variety of periods. The Broadridge Report assisted the Board in its evaluation of the performance of the Portfolios. In addition to considering performance for each Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Portfolio’s one-, three-, and five-year performance to the returns of appropriate index benchmarks, and to the performance averages of each Portfolio’s respective Broadridge/Morningstar and Lipper fund group categories for the same periods; (ii) a comparison of each Portfolio’s one-, three-, five- and ten-year performance to the performance median of each Portfolio’s respective Broadridge/Morningstar peer group and fund group category for the same periods; (iii) the Broadridge/Morningstar overall star rating and Lipper quintile rating for each Portfolio; and (iv) the Broadridge/Morningstar and Lipper performance rankings for each Portfolio for the one-, three- and five-year time periods. The directors evaluated each Portfolio’s performance against these peer groups and index benchmarks. They viewed this information as providing an objective comparative measure against which they could assess the performance of the Portfolios. The directors were also presented with information from Mason Street Advisors regarding the relevant market conditions and other factors affecting the performance of each Portfolio. The directors evaluated a chart provided by Broadridge regarding each Portfolio’s net returns relative to net expenses for the five-year period ended December 31, 2019, focusing in particular on those Portfolios in the bottom half for performance returns on a comparative basis. The directors considered the Mason Street Advisor’s oversight efforts and steps that had been taken to improve the performance of those Portfolios, which included the appointment of new sub-advisers for certain of the Portfolios.

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. The directors gave weight to their ongoing discussions with senior management at Mason Street Advisors concerning Portfolio performance, as well as discussions among the Board, the Sub-Advisers and the portfolio managers of the Portfolios regarding investment strategies and Portfolio performance that occurred at meetings from time to time. While attentive to short-term performance and what it might indicate, the directors generally placed greater emphasis on longer-term performance.

The directors considered the performance returns of the Portfolios as reported by Broadridge, which indicated that 12 of the 27 Portfolios were ranked in the first quartile of their respective Broadridge category peer groups for the one-year period ended December 31, 2019, that 15 of the 27 Portfolios were ranked in the first or second quartile for each of the one-, three-and five-year periods ended December 31, 2019, and that 20 of the 27 Portfolios were ranked in the first or second quartile for the five-year period ended December 31, 2019. The directors also considered the performance returns of the Portfolios as reported by Lipper, which indicated that 21 of the 27 Portfolios were ranked in either the first or second quartile for the one-year period ended December 31, 2019, and that 21 of the 27 Portfolios were ranked in the first or second quartile for the three-year period ended December 31, 2019.

228

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

Based on the Board’s review of investment performance over various periods and an analysis of the factors resulting in the performance of certain of the Portfolios, the Board concluded that, considering investment performance within the context of its overall determinations regarding the Advisory Agreement, it was satisfied with the relative investment performance of each Portfolio over time.

Management Fees and Other Expenses. The Broadridge Report assisted the Board in the evaluation of the relative expenses of the Portfolios. The directors reviewed a comparison of the management fees of the Portfolios and those of an independently selected peer group of mutual funds for each of the Portfolios. The directors further considered the expenses of each Portfolio and a comparison of those expenses with each Portfolio’s respective peer group and fund category group as a guide to help assess the reasonableness of each Portfolio’s advisory fees and net and total expense ratios. The Broadridge Report also included additional comparative information relating to other fee components, including costs relating to custodial services, shareholder reporting, audit expenses and advisory fees. The directors used the comparative data to help assess the reasonableness of each Portfolio’s advisory fee, although they acknowledged that it was difficult to make precise comparisons with other funds because of the differing manner in which service providers bundle the services they provide and the fees they charge.

In evaluating the level of management fees paid by each Portfolio, the directors considered the structure and size of the Portfolios, the fees paid by each Portfolio under the Advisory Agreement, the expense cap and fee waiver agreements in place for certain Portfolios, and the amounts waived or reimbursed by Mason Street Advisors under such agreements. In considering Mason Street Advisors’ management fees on a stand-alone basis, the directors took into consideration that the management fees compensated Mason Street Advisors for a broader range of services (both investment management and administrative services) than may be included under a typical investment management contract, and concluded that as a result of these additional services, viewing Mason Street Advisors’ management fees in light of Broadridge-reported averages might not provide the most accurate frame of reference for comparative purposes.

The directors considered information made available regarding compensation paid to Mason Street Advisors by other clients and differences between the fees paid by these clients and the fees paid by the Series Fund. The directors recognized that Mason Street Advisors’ other clients were affiliated institutional accounts. The directors were informed that the advisory fees charged to these other clients were based on different factors and considerations, including differences in the level and nature of services provided by Mason Street Advisors, differences in the applicable regulatory structure, differences in the investment objectives and policies of these other clients and, moreover, the affiliated nature of the other relationships. Accordingly, the directors did not consider the advisory fees charged to these other clients as particularly relevant in assessing the advisory fees charged under the Advisory Agreement.

The directors also evaluated each Portfolio’s total operating expenses over various periods. The directors observed favorably that all but one of the Portfolios were ranked in Broadridge’s first or second quartile (meaning lowest expenses) for total expenses within their respective category groups at December 31, 2019, with 23 of the Portfolios ranking in the first quartile. With respect to the Large Cap Blend Portfolio, which had ranked in the 56th percentile in expenses for the year ended December 31, 2019, the directors considered that Mason Street Advisors had increased the advisory fee waiver that was in place for the Portfolio to help improve the Portfolio’s expense ranking.

Based on their review of the management fees and other expenses, the comparative data, the performance of each Portfolio, and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Portfolios (as modified by the applicable expense waivers and fee caps) were reasonable in relation to the nature, scope and quality of advisory services provided by Mason Street Advisors and the performance of the Portfolios.

Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors based upon its relationship with the Portfolios. The directors considered Mason Street Advisors’ pricing methodology for its services as investment adviser. The directors considered Mason Street Advisors’ presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to the Portfolios on an aggregate and a per Portfolio basis, and reviewed Mason Street Advisors’ allocation

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methodology with respect to its revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by information regarding the range of expenses in each Portfolio’s respective Broadridge peer group and fund group category and the ranking of each Portfolio within the applicable peer group and fund group category. In connection with its review of the profitability of Mason Street Advisors’ services to the Portfolios, the directors considered services provided by affiliates of Mason Street Advisors.

The directors considered the allocation of fees as between Mason Street Advisors and each sub-adviser as well as asset levels, breakpoints, total expenses and management fee waivers (as applicable) for each of the Portfolios. As part of the allocation of fees, the Board considered Mason Street Advisors’ decision for the upcoming year to increase advisory fee waivers with respect to six of the Portfolios, to decrease the advisory fee waiver with respect to the Growth Stock Portfolio, and to retain all other existing fee waivers and expense caps at their current level for an additional one-year period.

The directors also received information on soft dollar arrangements and any other benefits to Mason Street Advisors or its affiliates arising from its relationship with the Portfolios, including (as applicable) the participation of fund families advised by certain sub-advisers to the Portfolios on the retail brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in a mutual fund partner program offered by such brokerage affiliate of Mason Street Advisors, 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 also considered that the assets of some of the Portfolios are invested in certain exchange traded funds (“ETFs”) beyond the limitations of the 1940 Act, in reliance on the relief granted in exemptive orders issued by the Securities and Exchange Commission to such ETFs. The Board concluded that the advisory fees payable to Mason Street Advisors by such Portfolios were based on services that were in addition to, and not duplicative of, services provided by the ETFs. The Board also considered the fund of funds model employed by the Asset Allocation and Balanced Portfolios in connection with their operation as funds of funds in consideration for these reduced advisory fees.

The directors recognized the difficulty in obtaining reliable comparative data about mutual fund managers’ profitability, since such information generally is not publicly available and may be impacted by numerous factors specific to the investment adviser and its method of allocating revenues and expenses. Based on their review of the profitability provided for each Portfolio, the Board concluded that they were satisfied that Mason Street Advisors’ level of profitability arising from each Portfolio was not excessive.

Economies of Scale. The directors also considered whether each Portfolio’s expense structure permitted economies of scale to be shared with Portfolio investors. The directors considered that breakpoints are contained in the management fee schedules for 20 of the 27 Portfolios and further considered the extent to which the Portfolios may benefit from economies of scale through those breakpoints. The directors also considered Mason Street Advisors’ explanation of why breakpoints for the remaining Portfolios had not been established, including that those Portfolios were ranked the lowest or close to the lowest in terms of total expenses of each Portfolio’s respective peer group as determined by Broadridge or benefited from advisory fee waivers and/or expense limitation agreements put in place by Mason Street Advisors. Also considered was Mason Street Advisors’ commitment to continue to regularly work with the Board to evaluate the need for additional breakpoints or fee waivers as each Portfolio’s assets grow over time. In particular, the directors considered that Mason Street Advisors had agreed to increase fee waivers with respect to six of the Portfolios. Based on this information, the Board concluded that, within the context of its overall determinations regarding the Advisory Agreement, each Portfolio’s fee structure reflected appropriate economies of scale for the benefit of Portfolio investors.

Continuation of the Sub-Advisory Agreements between Mason Street Advisors and Certain Sub-Advisers

At its February 27, 2020 and June 4, 2020 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the Sub-Advisory Agreements with respect to the Sub-Advised Portfolios. At those meetings, the directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about the Sub-Advisers during the course of those meetings, the

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

directors also had each Sub-Adviser’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from the Sub-Advisers designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Sub-Advisory Agreements. The directors also had Mason Street Advisors’ Executive Summary and Overview of each Sub-Adviser and other materials prepared by Mason Street Advisors. The materials contained detailed information on organizational and management structures, client base, performance over multiple time periods, expenses, brokerage commissions, portfolio turnover, style consistency, key portfolio statistics and metrics, and other factors with respect to each of the Sub-Advised Portfolios. The materials also contained an analysis of the Sub-Advisers’ responses to the compliance questions contained in the Section 15(c) Report and the observations of the Series Fund’s Chief Compliance Officer regarding the compliance structure and practices of each Sub-Adviser. The directors also considered their experience with and knowledge of the nature and quality of the services provided by the Sub-Advisers and their ongoing discussions with representatives of Mason Street Advisors, its affiliates and each Sub-Adviser.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of each of the Sub-Advisory Agreements include those discussed below. The directors evaluated a variety of information they deemed relevant on a Portfolio-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 each Sub-Adviser’s services, the directors reviewed each Sub-Adviser’s financial strength and stability, assets under management and overall reputation. The directors evaluated the investment strategies employed by each Sub-Adviser, as well as the personnel providing such services with respect to the Sub-Advised Portfolio. In particular, the directors considered presentations given by the portfolio managers and how the Sub-Advised Portfolios were being positioned in the current market environment. The directors also considered Mason Street Advisors’ reports on due diligence visits and conference calls that had been conducted with the Sub-Advisers.

With respect to the Sub-Advisory Agreements reviewed in February, the directors commented favorably on the investment strategies employed by Wellington for the Small Cap Growth Stock and Large Cap Core Stock Portfolios. The directors also noted positively that the portfolio manager for the Mid Cap Growth Stock Portfolio had adhered to the articulated investment strategy in a consistent fashion.

With respect to the Sub-Advisory Agreements considered for continuance in June, the directors considered the ongoing impact to Aberdeen of the 2017 merger of Aberdeen’s parent company with Standard Life plc, as well as the loss of several clients in Aberdeen’s emerging markets mandate. In connection therewith the directors took into consideration Aberdeen’s representation that, despite the decrease in assets under management, the firm remained committed, and had not decreased resources allocated, to the emerging markets mandate. With respect to the the International Equity Portfolio, for which Templeton serves as sub-adviser, the directors considered positive reports from Mason Street Advisors regarding Templeton’s investment analysts and their view of the impact of organizational changes made by the firm in its global equity group and research platform. The directors also commented favorably on recent improvements made by Templeton with respect to their investment management process. With respect to FMI, the sub-adviser to the Large Cap Blend Portfolio, the directors considered FMI’s representations regarding succession planning in light of the firm’s dependence on the current portfolio manager.

The directors also considered each Sub-Adviser’s investment philosophy and process and the scope of services provided by the Sub-Advisers. The directors commented positively about the investment process employed by Aberdeen for the Emerging Markets Equity Portfolio and noted that the firm’s current Portfolio positioning was reflective of the firm’s investment philosophy. Consideration was also given to the Sub-Advisers’ respective reputations and experience in providing investment management services and the performance of each Sub-Advised Portfolio. Based on their review of these factors, their discussions with the Sub-Advisers, and their experience with the services provided by the Sub-Advisers for the respective Sub-Advised Portfolios, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

Agreements, that they were satisfied with the nature, extent and quality of services, and the resources committed by each Sub-Adviser in providing those services, and were satisfied with the experience and capabilities of the Sub-Advisers and the personnel associated with the Sub-Advised Portfolios.

Investment Performance. The directors reviewed the investment performance of each of the Sub-Advised Portfolios over a variety of time periods. In addition to considering performance for each Sub-Advised Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Sub-Advised Portfolio’s one-, three-, and five-year performance to the returns of appropriate index benchmarks, and to the performance averages of each Sub-Advised Portfolio’s respective Broadridge/Morningstar and Lipper fund group categories for the same periods; (ii) a comparison of each Sub-Advised Portfolio’s one-, three-, five-, and ten-year performance to the performance median of each Sub-Advised Portfolio’s respective Broadridge/Morningstar peer group and fund group category for the same periods; (iii) the Broadridge/Morningstar overall star rating and Lipper quintile rating for each Sub-Advised Portfolio; and (iv) the Broadridge/Morningstar and Lipper performance rankings for each Sub-Advised Portfolio for the one-, three- and five-year time periods. The directors evaluated each Sub-Advised Portfolio’s performance against these peer groups and index benchmarks, and viewed this information as providing an objective comparative measure against which they could assess the performance of the Sub-Advised Portfolios. The directors also considered the performance of accounts managed in a similar manner by each of the Sub-Advisers and information from the Sub-Advisers regarding any significant differences in the performance of those accounts from that of the Sub-Advised Portfolios.

With respect to the Portfolios managed by Wellington, the directors considered allocation adjustments made to the Large Cap Core Stock Portfolio as well as the recent addition of sector analysts. The directors were favorably impressed with the investment approaches for the Large Cap Core Stock and Small Cap Growth Stock Portfolios, and the positioning of the Small Cap Growth Stock Portfolio in the current market environment. The directors considered Wellington’s discussion of certain process enhancements for the Mid Cap Growth Stock Portfolio and commented favorably on the portfolio manager’s high conviction investment process for the Portfolio. With respect to the Mid Cap Growth Stock Portfolio, the directors considered the portfolio manager’s explanation for the Portfolio’s underperformance, and also noted that the Portfolio’s near-term performance had improved.

The directors identified no performance concerns with respect to the Research International Core Portfolio or the International Growth Portfolio, noting that each had achieved strong performance during the respective Sub-Adviser’s tenure. With respect to the International Equity Portfolio sub-advised by Templeton the directors noted favorably the recent strong performance, which had improved the Portfolio’s comparative performance rankings across multiple time periods. With respect to the Large Cap Blend Portfolio managed by FMI, the directors considered the impact of the portfolio manager’s value-driven investment philosophy on the Portfolio’s performance and FMI’s continued commitment to a value-oriented investment strategy. The directors acknowledged that the Portfolio continued to perform as expected given its stated investment strategy. With respect to the Emerging Markets Equity Portfolio, the directors considered Aberdeen’s explanation for the performance of the Portfolio, which had experienced mixed results during the firm’s tenure as sub-adviser. The directors noted the Portfolio’s outperformance in 2018, and the portfolio manager’s confidence in the Portfolio’s current positioning. The directors also considered the indication by Mason Street Advisors that it would continue to closely monitor the effectiveness of Aberdeen’s investment strategy on future performance.

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. While attentive to short term performance and what it might indicate, the directors generally placed greater emphasis on longer-term performance. For the reasons set forth above, the Board concluded that, considering investment performance within the context of its overall determinations regarding the Sub-Advisory Agreements, it was satisfied with the relative investment performance of the Sub-Advised Portfolios.

Management Fees and Other Expenses. The directors evaluated the reasonableness of the management fees and total expenses paid by the Sub-Advised Portfolios under the Sub-Advisory Agreements. The directors considered the fees paid by each Sub-Advised Portfolio. The directors also considered the sub-advisory fees paid by Mason Street Advisors out of

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

its management fee, including a comparison of those fees with fees charged by the respective Sub-Advisers for similarly-managed accounts. In considering the level of management fees, the directors evaluated the size of the Sub-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 certain Sub-Advised Portfolios.

As part of their evaluation, the directors reviewed an independent analysis prepared by Broadridge of comparative expense data for each Sub-Advised Portfolio. Broadridge provided data as of December 31, 2019 comparing each Sub-Advised Portfolio’s net and total expenses with those of a peer group of funds utilized in connection with variable insurance products sharing a similar investment classification, objective and asset allocation, each as selected by Broadridge. The directors considered the comparative data as a guide to help assess the reasonableness of each Sub-Advised Portfolio’s net and total expense ratios. The directors considered that six of the seven Sub-Advised Portfolios at issue were ranked in Broadridge’s first quartile for total expenses for the period ended December 31, 2019. The directors considered that the remaining Sub-Advised Portfolio (the Large Cap Blend Portfolio) was ranked in the 56th percentile for net total expenses. With respect to the Large Cap Blend Portfolio, the directors considered that Mason Street Advisors had increased the amount of its advisory fee waiver for the Portfolio efffective May 1, 2020. The directors noted that, in connection with the renewal of the Sub-Advisory Agreement with Aberdeen, the Sub-Advisory Agreement was amended to incorporate an adjustment to the sub-advisory fee schedule to be effective as of July 1, 2020.

The directors also reviewed the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios. The directors took into consideration the advisory fee waiver and/or expense limitation agreements that were in place with respect to each of the Sub-Advised Portfolios, except for the Small Cap Growth Stock Portfolio, which ranked in the first quartile of its peer group for both net and total expenses (meaning lowest expenses).

Based on their review of the above information and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Sub-Advised Portfolios were reasonable in relation to the nature, scope and quality of services provided and the performance of the Sub-Advised Portfolios.

Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors from the Sub-Advised Portfolios. The directors considered Mason Street Advisors’ presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to the Sub-Advised Portfolios on an aggregate and a per Portfolio basis, and Mason Street Advisors’ allocation methodology with respect to revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by the aforementioned information regarding the expense-based rankings of each Sub-Advised Portfolio within the Portfolio’s respective Broadridge peer group category. The directors also considered the profitability information related to certain of the Sub-Advised Portfolios where such information had been provided. In all instances, including those where profitability information had not been provided, the directors recognized that sub-advisory fees were the result of arm’s-length negotiations between Mason Street Advisors and each Sub-Adviser. The directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as the Sub-Advisers, and that it is difficult to make comparisons of profitability among investment advisers because comparative information is not generally publicly available and, when available, such information is developed using a variety of assumptions and factors. The directors concluded that they had received sufficient information to evaluate the Sub-Advisers’ costs and profitability.

The directors considered certain fall-out benefits that may be realized by Mason Street Advisors and its affiliates due to their relationship with the Sub-Advised Portfolios, including (as applicable) the participation of fund families advised by certain Sub-Advisers to the Sub-Advised Portfolios on the retail brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in certain a mutual fund partner program 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 also reviewed information concerning certain of the Sub-Advisers’ soft dollar arrangements and any other benefits to the Sub-Advisers arising from their relationships with the Sub-Advised Portfolios. Based on their review, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory Agreements, that they were satisfied that the fees paid by each of the Sub-Advised Portfolios, and the profits realized by Mason Street Advisors and the Sub-Advisers due to their relationship with the Sub-Advised Portfolios, were not excessive.

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Economies of Scale. The directors also considered whether each Sub-Advised Portfolio’s expense structure permitted economies of scale to be shared with such Portfolio’s investors. The directors considered the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios and the extent to which the Sub-Advised Portfolios may benefit from economies of scale through those breakpoints. The directors also took into account the expense limitation arrangements in place for the Large Cap Blend, International Growth, Research International Core and Emerging Markets Equity Portfolios, and the fee waiver arrangements in place with respect to the Large Cap Core Stock, Mid Cap Growth Stock, Large Cap Blend, International Growth, Research International Core, International Equity and Emerging Markets Equity Portfolios. The directors also considered the total assets and expense ratio of each Sub-Advised Portfolio. Based on this information, the Board concluded, within the context of its overall determinations regarding the Sub-Advisory Agreements, that each Sub-Advised Portfolio’s fee structure reflected appropriate economies of scale for the benefit of such Portfolio’s investors.

Other Information

The directors were presented with other information to assist them in their consideration of the continuation of the Advisory Agreement and Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Portfolios and information regarding Mason Street Advisors’ and the Sub-Advisers’ brokerage practices and commissions. The directors took into consideration reports from Mason Street Advisors on its review of the respective compliance programs of the Sub-Advisers, including any recent compliance exceptions noted and the applicable Sub-Adviser’s response. Also considered were key affiliations and business relationships between the Sub-Advisers and their affiliates and Mason Street Advisors’ parent company and affiliates. Their review further included information relating to each Sub-Adviser’s risk management infrastructure, pending or recent litigation or regulatory actions to which a Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser’s responses to those actions. The directors also considered information regarding each Sub-Adviser’s code of ethics and business continuity plans, portfolio manager compensation, portfolio turnover, succession planning and other matters they deemed relevant.

Conclusions of the Directors

Based on a consideration of the foregoing, 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 Advisory Agreement and the Sub-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.

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Item 2.

Code of Ethics

Not applicable to semi-annual reports.

Item 3.

Audit Committee Financial Expert

Not applicable to semi-annual reports.

Item 4.

Principal Accountant Fees and Services

Not applicable to semi-annual reports.

Item 5.

Audit Committee of Listed Registrants

Not applicable.

Item 6.

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.

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.

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13.

Exhibits

(a)(1) Not applicable.

(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:		August 7, 2020

Pursuant to the requirements of the Securities and Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:		/s/ Kate M. Fleming
		Kate M. Fleming, President

Date:		August 7, 2020




By:		/s/ Todd M. Jones
		Todd M. Jones, Vice President,
		Chief Financial Officer and Treasurer

Date:		August 8, 2020

Northwestern Mutual Series Fund N-CSRSCertified semi-annual shareholder report (management investment company)