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)

Phil J. Rinzel, 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, 2022

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

(a)

The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

Semi-Annual Report June 30, 2022

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering 27 Portfolios

•

Growth Stock Portfolio

•

Focused Appreciation Portfolio

•

Large Cap Core Stock Portfolio

•

Large Cap Blend Portfolio

•

Index 500 Stock Portfolio

•

Large Company Value Portfolio

•

Domestic Equity Portfolio

•

Equity Income Portfolio

•

Mid Cap Growth Stock Portfolio

•

Index 400 Stock Portfolio

•

Mid Cap Value Portfolio

•

Small Cap Growth Stock Portfolio

•

Index 600 Stock Portfolio

•

Small Cap Value Portfolio

•

International Growth Portfolio

•

Research International Core Portfolio

•

International Equity Portfolio

•

Emerging Markets Equity Portfolio

•

Government Money Market Portfolio

•

Short-Term Bond Portfolio

•

Select Bond Portfolio

•

Long-Term U.S. Government Bond Portfolio

•

Inflation Protection Portfolio

•

High Yield Bond Portfolio

•

Multi-Sector Bond Portfolio

•

Balanced Portfolio

•

Asset Allocation Portfolio

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports are no longer sent by mail unless you specifically request paper copies of the reports from Northwestern Mutual, the issuer of your variable annuity and/or variable life insurance contract. 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 all future reports in paper free of charge by informing Northwestern Mutual that you wish to continue receiving paper copies of your shareholder reports. 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			7

Large Cap Core Stock Portfolio			10

Large Cap Blend Portfolio			14

Index 500 Stock Portfolio			17

Large Company Value Portfolio			24

Domestic Equity Portfolio			28

Equity Income Portfolio			31

Mid Cap Growth Stock Portfolio			35

Index 400 Stock Portfolio			39

Mid Cap Value Portfolio			45

Small Cap Growth Stock Portfolio			49

Index 600 Stock Portfolio			53

Small Cap Value Portfolio			61

International Growth Portfolio			65

Research International Core Portfolio			68

International Equity Portfolio			72

Emerging Markets Equity Portfolio			76

Government Money Market Portfolio			80

Short-Term Bond Portfolio			84

Select Bond Portfolio			104

Long-Term U.S. Government Bond Portfolio			120

Inflation Protection Portfolio			125

High Yield Bond Portfolio			135

Multi-Sector Bond Portfolio			145

Balanced Portfolio			168

Asset Allocation Portfolio			171

Statements of Assets and Liabilities			174

Statements of Operations			180

Statements of Changes in Net Assets			186

Statement of Cash Flows			195

Financial Highlights			196

Notes to Financial Statements			203

Abbreviations			226

Proxy Voting and Portfolio Holdings			227

Statement Regarding Liquidity Risk Management Program			228

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements			230

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, 2022 to June 30, 2022).

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, 2022		Ending Account Value June 30, 2022		Expenses Paid During Period January 1, 2022 to June 30, 2022*		Annualized Expense Ratio

Growth Stock Portfolio
Actual		$1,000.00		$654.22		$1.76		0.43	%
Hypothetical (5% return before expenses)		1,000.00		1,022.66		2.16		0.43

Focused Appreciation Portfolio
Actual		1,000.00		711.74		2.63		0.62
Hypothetical (5% return before expenses)		1,000.00		1,021.72		3.11		0.62

Large Cap Core Stock Portfolio
Actual		1,000.00		794.48		1.91		0.43
Hypothetical (5% return before expenses)		1,000.00		1,022.66		2.16		0.43

Large Cap Blend Portfolio
Actual		1,000.00		819.62		3.52		0.78
Hypothetical (5% return before expenses)		1,000.00		1,020.93		3.91		0.78

Index 500 Stock Portfolio
Actual		1,000.00		799.56		0.89		0.20
Hypothetical (5% return before expenses)		1,000.00		1,023.80		1.00		0.20

Expense Examples (unaudited)


	Beginning Account Value January 1, 2022		Ending Account Value June 30, 2022		Expenses Paid During Period January 1, 2022 to June 30, 2022*		Annualized Expense Ratio

Large Company Value Portfolio
Actual		$1,000.00		$926.24		$3.49		0.73	%
Hypothetical (5% return before expenses)		1,000.00		1,021.17		3.66		0.73

Domestic Equity Portfolio
Actual		1,000.00		903.83		2.36		0.50
Hypothetical (5% return before expenses)		1,000.00		1,022.32		2.51		0.50

Equity Income Portfolio
Actual		1,000.00		916.58		2.71		0.57
Hypothetical (5% return before expenses)		1,000.00		1,021.97		2.86		0.57

Mid Cap Growth Stock Portfolio
Actual		1,000.00		737.23		2.28		0.53
Hypothetical (5% return before expenses)		1,000.00		1,022.17		2.66		0.53

Index 400 Stock Portfolio
Actual		1,000.00		803.73		1.07		0.24
Hypothetical (5% return before expenses)		1,000.00		1,023.60		1.20		0.24

Mid Cap Value Portfolio
Actual		1,000.00		919.88		3.38		0.71
Hypothetical (5% return before expenses)		1,000.00		1,021.27		3.56		0.71

Small Cap Growth Stock Portfolio
Actual		1,000.00		693.05		2.31		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.07		2.76		0.55

Index 600 Stock Portfolio
Actual		1,000.00		808.88		1.26		0.28
Hypothetical (5% return before expenses)		1,000.00		1,023.41		1.40		0.28

Small Cap Value Portfolio
Actual		1,000.00		794.88		3.87		0.87
Hypothetical (5% return before expenses)		1,000.00		1,020.48		4.36		0.87

International Growth Portfolio
Actual		1,000.00		727.92		2.66		0.62
Hypothetical (5% return before expenses)		1,000.00		1,021.72		3.11		0.62

Research International Core Portfolio
Actual		1,000.00		793.80		3.29		0.74
Hypothetical (5% return before expenses)		1,000.00		1,021.12		3.71		0.74

International Equity Portfolio
Actual		1,000.00		901.89		2.74		0.58
Hypothetical (5% return before expenses)		1,000.00		1,021.92		2.91		0.58

Emerging Markets Equity Portfolio
Actual		1,000.00		765.51		3.98		0.91
Hypothetical (5% return before expenses)		1,000.00		1,020.28		4.56		0.91

Expense Examples (unaudited)


	Beginning Account Value January 1, 2022		Ending Account Value June 30, 2022		Expenses Paid During Period January 1, 2022 to June 30, 2022*		Annualized Expense Ratio

Government Money Market Portfolio
Actual		$1,000.00		$1,001.05		$1.19		0.24	%
Hypothetical (5% return before expenses)		1,000.00		1,023.60		1.20		0.24

Short-Term Bond Portfolio
Actual		1,000.00		961.10		1.85		0.38
Hypothetical (5% return before expenses)		1,000.00		1,022.91		1.91		0.38

Select Bond Portfolio
Actual		1,000.00		893.31		1.46		0.31
Hypothetical (5% return before expenses)		1,000.00		1,023.26		1.56		0.31

Long-Term U.S. Government Bond Portfolio
Actual		1,000.00		791.27		3.24		0.73
Hypothetical (5% return before expenses)		1,000.00		1,021.17		3.66		0.73

Inflation Protection Portfolio
Actual		1,000.00		902.97		2.50		0.53
Hypothetical (5% return before expenses)		1,000.00		1,022.17		2.66		0.53

High Yield Bond Portfolio
Actual		1,000.00		864.00		2.08		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.56		2.26		0.45

Multi-Sector Bond Portfolio
Actual		1,000.00		827.56		3.22		0.71
Hypothetical (5% return before expenses)		1,000.00		1,021.27		3.56		0.71

Balanced Portfolio
Actual		1,000.00		847.52		0.27		0.06
Hypothetical (5% return before expenses)		1,000.00		1,024.50		0.30		0.06

Asset Allocation Portfolio
Actual		1,000.00		830.57		0.41		0.09
Hypothetical (5% return before expenses)		1,000.00		1,024.35		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 181/365 (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 6/30/22


Sector	% of Net Assets
Information Technology	40.3	%
Consumer Discretionary	20.7	%
Communication Services	18.6	%
Health Care	14.7	%
Financials	3.7	%
Materials	1.0	%
Industrials	0.7	%
Short-Term Investments & Other Net Assets	0.2	%
Real Estate	0.1	%

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, 2022 (unaudited)


Common Stocks (99.8%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (18.6%)
Alphabet, Inc. - Class A *		8,435		18,382
Alphabet, Inc. - Class C *		37,505		82,040
Meta Platforms, Inc. - Class A *		182,217		29,383
Netflix, Inc. *		20,080		3,511
Pinterest, Inc. *		80,004		1,453
Sea, Ltd., ADR *		104,113		6,961
Snap, Inc. *		368,199		4,834
Spotify Technology SA *		17,348		1,628
Tencent Holdings, Ltd.		100,900		4,557
T-Mobile US, Inc. *		21,671		2,916
The Walt Disney Co. *		29,941		2,826

Total				158,491


Consumer Discretionary (20.7%)
Amazon.com, Inc. *		835,421		88,730
Booking Holdings, Inc. *		2,851		4,986
Carvana Co. *		79,495		1,795
Chipotle Mexican Grill, Inc. *		5,782		7,559
Dollar General Corp.		39,831		9,776
DoorDash, Inc. *		71,274		4,574
Lululemon Athletica, Inc. *		20,094		5,478
NIKE, Inc. - Class B		66,129		6,758
Ross Stores, Inc.		89,311		6,272
Tesla, Inc. *		57,315		38,597
The TJX Cos., Inc.		35,424		1,979

Total				176,504


Financials (3.7%)
The Charles Schwab Corp.		88,274		5,577
Chubb, Ltd.		20,447		4,019
The Goldman Sachs Group, Inc.		34,489		10,244
Marsh & McLennan Cos., Inc.		26,657		4,139
MSCI, Inc.		3,149		1,298
S&P Global, Inc.		17,794		5,998

Total				31,275


Health Care (14.7%)
Align Technology, Inc. *		5,631		1,333
AstraZeneca PLC, ADR		52,184		3,448
Danaher Corp.		50,091		12,699
Eli Lilly & Co.		56,175		18,213
Humana, Inc.		17,538		8,209
Intuitive Surgical, Inc. *		63,416		12,728


Common Stocks (99.8%)	Shares/ Par ⁺		Value $ (000’s)

Health Care continued
Stryker Corp.		35,739		7,109
Teleflex, Inc.		9,514		2,339
Thermo Fisher Scientific, Inc.		13,394		7,277
UnitedHealth Group, Inc.		82,047		42,142
Veeva Systems, Inc. - Class A *		14,532		2,878
Zoetis, Inc.		37,220		6,398

Total				124,773


Industrials (0.7%)
Cintas Corp.		3,703		1,383
General Electric Co.		37,927		2,415
TransUnion		21,730		1,738

Total				5,536


Information Technology (40.3%)
Advanced Micro
Devices, Inc. *		123,720		9,461
Adyen NV *		87,000		1,271
Affirm Holdings, Inc. *		45,567		823
Apple, Inc.		474,049		64,812
ASML Holding NV		14,833		7,059
Atlassian Corp. PLC *		25,539		4,786
Bill.com Holdings, Inc. *		33,336		3,665
Block, Inc. *		48,412		2,975
Confluent, Inc. - Class A *		41,100		955
CrowdStrike Holdings, Inc. *		6,527		1,100
Datadog, Inc. *		20,147		1,919
Fortinet, Inc. *		119,576		6,766
HashiCorp, Inc. - Class A *		10,613		312
Intuit, Inc.		41,243		15,897
Marvell Technology, Inc.		77,531		3,375
Mastercard, Inc. - Class A		70,850		22,352
Microsoft Corp.		290,699		74,660
MongoDB, Inc. *		18,469		4,793
Monolithic Power Systems, Inc.		9,573		3,676
NVIDIA Corp.		155,806		23,619
Paycom Software, Inc. *		2,744		769
PayPal Holdings, Inc. *		30,132		2,104
Roper Technologies, Inc.		13,245		5,227
ServiceNow, Inc. *		49,718		23,642
Shopify, Inc. *		103,590		3,236
Snowflake, Inc. *		13,034		1,812


Common Stocks (99.8%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology continued
Synopsys, Inc. *		39,759		12,075
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		38,691		3,163
TE Connectivity, Ltd.		16,708		1,891
Texas Instruments, Inc.		31,906		4,902
Visa, Inc. - Class A		150,670		29,665

Total				342,762


Materials (1.0%)
Linde PLC		15,754		4,530
The Sherwin-Williams Co.		16,441		3,681

Total				8,211


Real Estate (0.1%)
Opendoor Technologies, Inc. *		192,500		907

Total				907


Total Common Stocks
(Cost: $766,802)				848,459


Short-Term Investments (0.6%)

Money Market Funds (0.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		5,407,649		5,408

Total				5,408


Total Short-Term Investments
(Cost: $5,408)				5,408


Total Investments (100.4%)
(Cost: $772,210)^@				853,867

Other Assets, Less Liabilities (-0.4%)				(3,172	)

Net Assets (100.0%)				850,695

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

Growth Stock Portfolio

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $772,210 and the net unrealized appreciation of investments based on that cost was $81,657 which is comprised of $234,342 aggregate gross unrealized appreciation and $152,685 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 Investments at June 30, 2022. 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	$	848,459	$	-	$	-
Short-Term Investments		5,408		-		-
Total Assets:	$	853,867	$	-	$	-

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

Focused Appreciation Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Information Technology	34.2	%
Communication Services	17.1	%
Health Care	16.2	%
Consumer Discretionary	14.7	%
Industrials	8.2	%
Consumer Staples	4.0	%
Financials	3.5	%
Short-Term Investments & Other Net Assets	2.1	%

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, 2022 (unaudited)


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

Communication Services (17.1%)
Alphabet, Inc. - Class A *		17,970		39,161
Alphabet, Inc. - Class C *		14,373		31,440
Meta Platforms, Inc. - Class A *		258,986		41,762
Netflix, Inc. *		131,049		22,917
The Walt Disney Co. *		290,936		27,464

Total				162,744


Consumer Discretionary (14.7%)
Alibaba Group Holding, Ltd., ADR *		155,309		17,655
Amazon.com, Inc. *		500,846		53,195
Starbucks Corp.		257,883		19,700
Tesla, Inc. *		39,304		26,468
Yum China Holdings, Inc.		169,925		8,241
Yum! Brands, Inc.		126,430		14,351

Total				139,610


Consumer Staples (4.0%)
Monster Beverage Corp. *		411,053		38,105

Total				38,105


Financials (3.5%)
FactSet Research Systems, Inc.		48,143		18,515


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

Financials continued
SEI Investments Co.		274,256		14,815

Total				33,330


Health Care (16.2%)
Illumina, Inc. *		90,879		16,755
Intuitive Surgical, Inc. *		50,777		10,191
Novartis AG, ADR		376,345		31,812
Novo Nordisk A/S, ADR		137,317		15,301
Regeneron Pharmaceuticals, Inc. *		42,688		25,234
Roche Holding AG, ADR		543,808		22,682
Vertex Pharmaceuticals, Inc. *		112,373		31,666

Total				153,641


Industrials (8.2%)
The Boeing Co. *		331,469		45,318
Deere & Co.		48,830		14,623
Expeditors International of Washington, Inc.		180,183		17,561

Total				77,502


Information Technology (34.2%)
Autodesk, Inc. *		184,234		31,681
Block, Inc. - Class A *		168,776		10,373
Microsoft Corp.		199,325		51,193
NVIDIA Corp.		298,180		45,201
Oracle Corp.		540,994		37,799


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

Information Technology continued
PayPal Holdings, Inc. *		172,400		12,040
QUALCOMM, Inc.		175,094		22,367
Salesforce, Inc. *		192,679		31,800
Shopify, Inc. *		363,580		11,358
Visa, Inc. - Class A		317,064		62,427
Workday, Inc. - Class A *		64,188		8,959

Total				325,198


Total Common Stocks
(Cost: $714,217)				930,130


Short-Term Investments (2.1%)

Money Market Funds (2.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		20,068,936		20,069

Total				20,069


Total Short-Term Investments
(Cost: $20,069)				20,069


Total Investments (100.0%)
(Cost: $734,286)^@				950,199

Other Assets, Less Liabilities (0.0%)				(199	)

Net Assets (100.0%)				950,000

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $734,286 and the net unrealized appreciation of investments based on that cost was $215,913 which is comprised of $311,520 aggregate gross unrealized appreciation and $95,607 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 Investments at June 30, 2022. 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	$	930,130	$	-	$	-
Short-Term Investments		20,069		-		-
Total Assets:	$	950,199	$	-	$	-

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

Large Cap Core Stock Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Information Technology		19.6	%
Health Care		16.8	%
Financials		11.7	%
Communication Services		11.3	%
Consumer Discretionary		10.3	%
Industrials		7.8	%
Consumer Staples		7.3	%
Energy		4.8	%
Utilities		3.7	%
Materials		2.7	%
Real Estate		2.6	%
Short-Term Investments & Other Net Assets		0.8	%
Investment Companies		0.6	%

Sector Allocation is subject to change.

Large Cap Core Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Common Stocks (98.6%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (11.3%)
Alphabet, Inc. - Class A *		12,148		26,474
AT&T, Inc.		162,903		3,414
Charter Communications, Inc. - Class A *		13,045		6,112
Electronic Arts, Inc.		6,874		836
Match Group, Inc. *		41,339		2,881
Meta Platforms, Inc. - Class A *		71,635		11,551
Omnicom Group, Inc.		93,427		5,943
Roku, Inc. *		30,341		2,492
Snap, Inc. *		94,340		1,239
T-Mobile US, Inc. *		54,416		7,321

Total				68,263


Consumer Discretionary (10.3%)
Airbnb, Inc. *		59,578		5,307
Amazon.com, Inc. *		228,491		24,268
Chipotle Mexican Grill, Inc. *		1,730		2,261
Etsy, Inc. *		85,999		6,296
Ford Motor Co.		188,887		2,102
Starbucks Corp.		65,164		4,978
Tesla, Inc. *		6,908		4,652
The TJX Cos., Inc.		114,891		6,417
Ulta Beauty, Inc. *		16,350		6,303

Total				62,584


Consumer Staples (7.3%)
Constellation Brands, Inc. - Class A		23,274		5,424
The Hershey Co.		18,868		4,060
Mondelez International, Inc.		116,795		7,252
Monster Beverage Corp. *		46,060		4,270
Philip Morris International, Inc.		77,580		7,660
Sysco Corp.		184,020		15,588

Total				44,254


Energy (4.8%)
ConocoPhillips		65,699		5,900
Marathon Petroleum Corp.		36,194		2,976
Pioneer Natural Resources Co.		9,608		2,143
Schlumberger NV		47,780		1,709
Shell PLC		315,797		16,513

Total				29,241


Common Stocks (98.6%)	Shares/ Par ⁺		Value $ (000’s)

Financials (11.7%)
American International Group, Inc.		81,876		4,186
Ares Management Corp. - Class A		100,587		5,719
Berkshire Hathaway, Inc. - Class B *		13,219		3,609
The Charles Schwab Corp.		145,750		9,208
Chubb, Ltd.		25,052		4,925
CME Group, Inc.		28,175		5,767
Equitable Holdings, Inc.		174,878		4,559
The Hartford Financial Services Group, Inc.		40,177		2,629
Host Hotels & Resorts, Inc.		170,013		2,666
Marsh & McLennan Cos., Inc.		25,446		3,951
MetLife, Inc.		27,507		1,727
Morgan Stanley		106,834		8,126
The PNC Financial Services Group, Inc.		36,272		5,723
S&P Global, Inc.		24,376		8,216

Total				71,011


Health Care (16.8%)
Agilent Technologies, Inc.		23,353		2,774
Align Technology, Inc. *		5,527		1,308
AstraZeneca PLC, ADR		78,446		5,183
Baxter International, Inc.		41,465		2,663
Biogen, Inc. *		4,570		932
Boston Scientific Corp. *		91,472		3,409
Bristol-Myers Squibb Co.		93,222		7,178
Centene Corp. *		32,669		2,764
Danaher Corp.		25,162		6,379
Dexcom, Inc. *		10,323		769
Edwards Lifesciences Corp. *		25,241		2,400
Elevance Health, Inc.		7,758		3,744
Eli Lilly & Co.		33,660		10,914
Exact Sciences Corp. *		6,542		258
HCA Healthcare, Inc.		13,219		2,222
Horizon Therapeutics PLC *		7,833		625
Humana, Inc.		13,219		6,187
Illumina, Inc. *		5,445		1,004
Incyte Corp. *		9,294		706
Insulet Corp. *		5,712		1,245
Laboratory Corp. of America Holdings		6,192		1,451
McKesson Corp.		6,688		2,182


Common Stocks (98.6%)	Shares/ Par ⁺		Value $ (000’s)

Health Care continued
Moderna, Inc. *		1,513		216
Novartis AG, ADR		19,052		1,611
Pfizer, Inc.		213,888		11,214
Regeneron Pharmaceuticals, Inc. *		2,675		1,581
Seagen, Inc. *		8,529		1,509
Stryker Corp.		16,484		3,279
Teleflex, Inc.		7,241		1,780
UnitedHealth Group, Inc.		8,482		4,357
Vertex Pharmaceuticals, Inc. *		10,669		3,006
Waters Corp. *		4,248		1,406
Zoetis, Inc.		32,983		5,670

Total				101,926


Industrials (7.8%)
The Boeing Co. *		13,706		1,874
Canadian Pacific Railway, Ltd.		20,572		1,437
Caterpillar, Inc.		12,935		2,312
Emerson Electric Co.		19,781		1,573
Equifax, Inc.		6,792		1,241
Expeditors International of Washington, Inc.		5,419		528
FedEx Corp.		13,729		3,113
Fortive Corp.		46,092		2,506
General Dynamics Corp.		15,348		3,396
Honeywell International, Inc.		17,397		3,024
Ingersoll-Rand, Inc.		79,537		3,347
Johnson Controls International PLC		75,078		3,595
L3Harris Technologies, Inc.		10,417		2,518
PACCAR, Inc.		45,745		3,767
Raytheon Technologies Corp.		50,262		4,831
Southwest Airlines Co. *		50,970		1,841
Waste Connections, Inc.		11,983		1,485
Westinghouse Air Brake Technologies Corp.		59,420		4,877

Total				47,265


Information Technology (19.6%)
Adobe, Inc. *		4,587		1,679
Advanced Micro Devices, Inc. *		60,113		4,597

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

Large Cap Core Stock Portfolio


Common Stocks (98.6%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology continued
Apple, Inc.		159,865		21,857
Block, Inc. - Class A *		34,461		2,118
Ceridian HCM Holding, Inc. *		36,588		1,722
FLEETCOR Technologies, Inc. *		18,537		3,895
Global Payments, Inc.		51,694		5,719
GoDaddy, Inc. *		26,400		1,836
HashiCorp, Inc. - Class A *		31,614		931
KLA Corp.		10,339		3,299
Marvell Technology, Inc.		56,149		2,444
Micron Technology, Inc.		67,477		3,730
Microsoft Corp.		141,973		36,463
Nuvei Corp. *		19,452		704
NVIDIA Corp.		12,672		1,921
Okta, Inc. *		2,670		241
Palo Alto Networks, Inc. *		1,601		791
PayPal Holdings, Inc. *		8,617		602
Qualtrics International, Inc. - Class A *		30,231		378
Salesforce, Inc. *		24,722		4,080
SentinelOne, Inc. *		8,042		188
ServiceNow, Inc. *		5,618		2,671
Snowflake, Inc. *		1,782		248
Teradyne, Inc.		29,973		2,684
Texas Instruments, Inc.		46,532		7,150
UiPath, Inc. - Class A *		25,262		459
Visa, Inc. - Class A		25,257		4,973
Workday, Inc. - Class A *		9,526		1,330

Total				118,710


Materials (2.7%)
Ball Corp.		20,637		1,419
Celanese Corp. - Class A		26,421		3,107
Crown Holdings, Inc.		16,062		1,480
FMC Corp.		32,889		3,520
Linde PLC		14,462		4,158
PPG Industries, Inc.		21,739		2,486

Total				16,170


Real Estate (2.6%)
American Tower Corp.		16,476		4,211
AvalonBay Communities, Inc.		11,661		2,265
Prologis, Inc.		37,893		4,458
Welltower, Inc.		60,553		4,987

Total				15,921


Utilities (3.7%)
Constellation Energy Corp.		31,756		1,818
Duke Energy Corp.		60,963		6,536


Common Stocks (98.6%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
Edison International		60,254		3,811
Exelon Corp.		100,177		4,540
FirstEnergy Corp.		147,308		5,655

Total				22,360


Total Common Stocks
(Cost: $560,052)				597,705


Investment Companies (0.6%)

Investment Companies (0.6%)
SPDR S&P 500 ETF Trust		9,933		3,747

Total				3,747


Total Investment Companies
(Cost: $3,850)				3,747


Short-Term Investments (0.9%)

Money Market Funds (0.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		5,527,621		5,528

Total				5,528

Total Short-Term Investments
(Cost: $5,528)				5,528


Total Investments (100.1%)
(Cost: $569,430)^@				606,980

Other Assets, Less Liabilities (-0.1%)				(488	)

Net Assets (100.0%)				606,492

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

Large Cap Core Stock Portfolio

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $569,430 and the net unrealized appreciation of investments based on that cost was $37,550 which is comprised of $95,503 aggregate gross unrealized appreciation and $57,953 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 Investments at June 30, 2022. 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	$	597,705	$	-	$	-
Investment Companies		3,747		-		-
Short-Term Investments		5,528		-		-
Total Assets:	$	606,980	$	-	$	-

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

Large Cap Blend Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Financials		22.6	%
Consumer Discretionary		21.8	%
Industrials		14.9	%
Communication Services		11.2	%
Health Care		10.9	%
Information Technology		9.0	%
Consumer Staples		3.5	%
Materials		3.0	%
Short-Term Investments & Other Net Assets		1.6	%
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, 2022 (unaudited)


Common Stocks (98.4%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (11.2%)
Alphabet, Inc. - Class A *		3,467		7,556
Comcast Corp. - Class A		135,982		5,336
Meta Platforms, Inc. - Class A *		16,816		2,712
Omnicom Group, Inc.		74,995		4,770

Total				20,374


Consumer Discretionary (21.8%)
Booking Holdings, Inc. *		3,742		6,545
CarMax, Inc. *		39,771		3,599
Dollar General Corp.		44,091		10,822
Dollar Tree, Inc. *		52,296		8,150
Sony Group Corp., ADR		84,038		6,872
The TJX Cos., Inc.		65,577		3,662

Total				39,650


Consumer Staples (3.5%)
Unilever PLC, ADR		138,041		6,326

Total				6,326


Energy (1.5%)
Schlumberger, Ltd.		73,699		2,636

Total				2,636


Common Stocks (98.4%)	Shares/ Par ⁺		Value $ (000’s)

Financials (22.6%)
Arch Capital Group, Ltd. *		95,521		4,345
Berkshire Hathaway, Inc. - Class B *		35,720		9,752
The Charles Schwab Corp.		125,191		7,910
Chubb, Ltd.		19,485		3,830
JPMorgan Chase & Co.		35,304		3,976
Northern Trust Corp.		53,600		5,171
The Progressive Corp.		52,847		6,145

Total				41,129


Health Care (10.9%)
Fresenius Medical Care AG & Co. KGaA, ADR		154,108		3,843
Koninklijke Philips NV		169,863		3,657
Smith & Nephew PLC, ADR		172,405		4,814
UnitedHealth Group, Inc.		14,505		7,450

Total				19,764


Industrials (14.9%)
Carlisle Cos., Inc.		21,180		5,054
Eaton Corp. PLC		29,925		3,770
Ferguson PLC		46,000		5,093
Masco Corp.		140,912		7,130
PACCAR, Inc.		73,531		6,054

Total				27,101


Common Stocks (98.4%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology (9.0%)
CDW Corp.		34,100		5,373
Micron Technology, Inc.		105,812		5,849
SAP SE, ADR		57,586		5,224

Total				16,446


Materials (3.0%)
Avery Dennison Corp.		33,900		5,487

Total				5,487


Total Common Stocks
(Cost: $165,879)				178,913


Short-Term Investments (1.2%)

Money Market Funds (1.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		2,251,096		2,251

Total				2,251

Total Short-Term Investments
(Cost: $2,251)				2,251


Total Investments (99.6%)
(Cost: $168,130)^@				181,164

Other Assets, Less Liabilities (0.4%)				775

Net Assets (100.0%)				181,939

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $168,130 and the net unrealized appreciation of investments based on that cost was $13,034 which is comprised of $30,668 aggregate gross unrealized appreciation and $17,634 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 Blend Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	178,913	$	-	$	-
Short-Term Investments		2,251		-		-
Total Assets:	$	181,164	$	-	$	-

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

Index 500 Stock Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Information Technology		26.5	%
Health Care		14.9	%
Financials		10.7	%
Consumer Discretionary		10.4	%
Communication Services		8.8	%
Industrials		7.7	%
Consumer Staples		6.9	%
Energy		4.3	%
Utilities		3.1	%
Real Estate		2.9	%
Materials		2.6	%
Short-Term Investments & Other Net Assets		1.2	%

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 exchange traded funds and derivative instruments, such as equity index futures for cash management and liquidity purposes 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, 2022 (unaudited)


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (8.8%)
Activision Blizzard, Inc.		106,042		8,256
Alphabet, Inc. - Class A *		40,791		88,894
Alphabet, Inc. - Class C *		37,401		81,813
AT&T, Inc.		970,932		20,351
Charter Communications, Inc. - Class A *		15,708		7,360
Comcast Corp. - Class A		606,317		23,792
DISH Network Corp. - Class A *		34,111		612
Electronic Arts, Inc.		38,140		4,640
Fox Corp. - Class A		42,670		1,372
Fox Corp. - Class B		19,610		582
The Interpublic Group of Companies, Inc.		53,804		1,481
Live Nation Entertainment, Inc. *		18,573		1,534
Lumen Technologies, Inc.		122,755		1,339
Match Group, Inc. *		38,733		2,699
Meta Platforms, Inc. - Class A *		311,056		50,158
Netflix, Inc. *		60,203		10,528
News Corp. - Class A		53,931		840
News Corp. - Class B		16,798		267
Omnicom Group, Inc.		27,902		1,775
Paramount Global - Class B		82,545		2,037
Take-Two Interactive Software, Inc. *		21,634		2,651
T-Mobile US, Inc. *		79,908		10,751
Twitter, Inc. *		103,451		3,868
Verizon Communications, Inc.		569,572		28,906
The Walt Disney Co. *		247,037		23,320
Warner Bros. Discovery, Inc. *		299,918		4,025

Total				383,851


Consumer Discretionary (10.4%)
Advance Auto Parts,
Inc.		8,285		1,434
Amazon.com, Inc. *		1,186,708		126,040
Aptiv PLC *		36,432		3,245
AutoZone, Inc. *		2,692		5,785
Bath & Body Works, Inc.		32,936		887
Best Buy Co., Inc.		27,460		1,790
Booking Holdings, Inc. *		5,531		9,674
BorgWarner, Inc.		32,487		1,084


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Consumer Discretionary continued
Caesars Entertainment, Inc. *		28,727		1,100
CarMax, Inc. *		21,680		1,962
Carnival Corp. *		109,318		946
Chipotle Mexican Grill, Inc. *		3,777		4,938
D.R. Horton, Inc.		43,442		2,875
Darden Restaurants, Inc.		16,917		1,914
Dollar General Corp.		31,029		7,616
Dollar Tree, Inc. *		30,530		4,758
Domino’s Pizza, Inc.		4,889		1,905
eBay, Inc.		75,928		3,164
Etsy, Inc. *		17,231		1,262
Expedia Group, Inc. *		20,310		1,926
Ford Motor Co.		535,567		5,961
Garmin, Ltd.		20,577		2,022
General Motors Co. *		197,743		6,280
Genuine Parts Co.		19,204		2,554
Hasbro, Inc.		17,580		1,439
Hilton Worldwide Holdings, Inc.		37,748		4,207
The Home Depot, Inc.		140,149		38,439
Las Vegas Sands Corp. *		45,538		1,530
Lennar Corp. - Class A		34,697		2,449
LKQ Corp.		35,613		1,748
Lowe’s Companies, Inc.		89,664		15,662
Marriott International, Inc. - Class A		37,287		5,071
McDonald’s Corp.		100,300		24,762
MGM Resorts International		49,194		1,424
Mohawk Industries, Inc. *		6,980		866
Newell Brands, Inc.		49,793		948
NIKE, Inc. - Class B		172,074		17,586
Norwegian Cruise Line Holdings, Ltd. *		57,774		642
NVR, Inc. *		419		1,678
O’Reilly Automotive, Inc. *		8,914		5,632
Penn National Gaming, Inc. *		22,170		674
Pool Corp.		5,435		1,909
PulteGroup, Inc.		32,228		1,277
PVH Corp.		9,105		518
Ralph Lauren Corp.		6,652		596
Ross Stores, Inc.		47,835		3,360
Royal Caribbean Cruises, Ltd. *		29,997		1,047
Starbucks Corp.		155,509		11,879
Tapestry, Inc.		34,111		1,041
Target Corp.		62,715		8,857


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Consumer Discretionary continued
Tesla, Inc. *		113,811		76,643
The TJX Cos., Inc.		159,281		8,896
Tractor Supply Co.		15,233		2,953
Ulta Beauty, Inc. *		7,083		2,730
VF Corp.		44,116		1,949
Whirlpool Corp.		7,622		1,180
Wynn Resorts, Ltd. *		14,416		821
Yum! Brands, Inc.		39,039		4,431

Total				455,966


Consumer Staples (6.9%)
Altria Group, Inc.		245,555		10,257
Archer-Daniels-Midland Co.		76,067		5,903
Brown-Forman Corp. - Class B		25,179		1,767
Campbell Soup Co.		27,937		1,342
Church & Dwight Co., Inc.		32,504		3,012
The Clorox Co.		16,542		2,332
The Coca-Cola Co.		529,141		33,288
Colgate-Palmolive Co.		113,645		9,108
Conagra Brands, Inc.		65,083		2,228
Constellation Brands, Inc. - Class A		22,089		5,148
Costco Wholesale Corp.		60,112		28,810
The Estee Lauder Cos., Inc. - Class A		31,262		7,962
General Mills, Inc.		81,964		6,184
The Hershey Co.		19,800		4,260
Hormel Foods Corp.		38,729		1,834
The J.M. Smucker Co.		14,454		1,850
Kellogg Co.		34,368		2,452
Keurig Dr. Pepper, Inc.		100,042		3,541
Kimberly-Clark Corp.		45,951		6,210
The Kraft Heinz Co.		95,849		3,656
The Kroger Co.		88,977		4,211
Lamb Weston Holdings, Inc.		19,529		1,396
McCormick & Co., Inc.		34,058		2,835
Molson Coors Beverage Co. - Class B		25,954		1,415
Mondelez International, Inc.		187,693		11,654
Monster Beverage Corp. *		51,114		4,738
PepsiCo, Inc.		187,589		31,264
Philip Morris International, Inc.		210,232		20,758
The Procter & Gamble Co.		325,402		46,790
Sysco Corp.		68,602		5,811

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
Tyson Foods, Inc. - Class A		39,540		3,403
Walgreens Boots Alliance, Inc.		97,233		3,685
Walmart, Inc.		190,405		23,149

Total				302,253


Energy (4.3%)
APA Corp.		45,872		1,601
Baker Hughes		126,856		3,662
Chevron Corp.		266,476		38,580
ConocoPhillips		175,423		15,755
Coterra Energy, Inc.		109,286		2,818
Devon Energy Corp.		83,246		4,588
Diamondback Energy, Inc.		22,628		2,741
EOG Resources, Inc.		79,437		8,773
Exxon Mobil Corp.		571,322		48,928
Halliburton Co.		121,947		3,824
Hess Corp.		37,700		3,994
Kinder Morgan, Inc.		262,116		4,393
Marathon Oil Corp.		95,980		2,158
Marathon Petroleum Corp.		73,372		6,032
Occidental Petroleum Corp.		120,750		7,110
ONEOK, Inc.		60,900		3,380
Phillips 66		65,249		5,350
Pioneer Natural Resources Co.		30,582		6,822
Schlumberger, Ltd.		191,699		6,855
Valero Energy Corp.		53,923		5,731
The Williams Cos., Inc.		165,192		5,156

Total				188,251


Financials (10.7%)
Aflac, Inc.		79,603		4,404
The Allstate Corp.		37,294		4,726
American Express Co.		82,728		11,468
American International Group, Inc.		107,440		5,493
Ameriprise Financial, Inc.		14,939		3,551
Aon PLC		28,804		7,768
Arthur J. Gallagher & Co.		28,490		4,645
Assurant, Inc.		7,147		1,235
Bank of America Corp.		960,991		29,916
The Bank of New York Mellon Corp.		100,792		4,204
Berkshire Hathaway, Inc. - Class B *		245,368		66,990
BlackRock, Inc.		19,314		11,763
Brown & Brown, Inc.		31,816		1,856
Capital One Financial Corp.		53,307		5,554
Cboe Global Markets, Inc.		14,402		1,630
The Charles Schwab Corp.		204,542		12,923


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Financials continued
Chubb, Ltd.		57,465		11,296
Cincinnati Financial Corp.		20,226		2,407
Citigroup, Inc.		263,371		12,112
Citizens Financial Group, Inc.		66,522		2,374
CME Group, Inc.		48,786		9,987
Comerica, Inc.		17,341		1,273
Discover Financial Services		38,541		3,645
Everest Re Group, Ltd.		5,448		1,527
FactSet Research Systems, Inc.		5,082		1,954
Fifth Third Bancorp		94,118		3,162
First Republic Bank		24,341		3,510
Franklin Resources, Inc.		37,588		876
Globe Life, Inc.		12,303		1,199
The Goldman Sachs Group, Inc.		46,580		13,835
The Hartford Financial Services Group, Inc.		44,899		2,938
Huntington Bancshares, Inc.		195,187		2,348
Intercontinental Exchange, Inc.		75,714		7,120
Invesco, Ltd.		45,792		739
JPMorgan Chase & Co.		398,334		44,856
KeyCorp		126,465		2,179
Lincoln National Corp.		22,714		1,062
Loews Corp.		26,369		1,563
M&T Bank Corp.		24,333		3,878
MarketAxess Holdings, Inc.		5,237		1,341
Marsh & McLennan Cos., Inc.		67,981		10,554
MetLife, Inc.		93,747		5,886
Moody’s Corp.		21,804		5,930
Morgan Stanley		189,796		14,436
MSCI, Inc.		11,002		4,535
Nasdaq, Inc.		15,840		2,416
Northern Trust Corp.		28,671		2,766
The PNC Financial Services Group, Inc.		56,092		8,850
Principal Financial Group, Inc.		31,872		2,129
The Progressive Corp.		79,305		9,221
Prudential Financial, Inc.		50,859		4,866
Raymond James Financial, Inc.		26,365		2,357
Regions Financial Corp.		125,448		2,352
S&P Global, Inc.		47,075		15,867
Signature Bank		8,681		1,556
State Street Corp.		49,363		3,043
SVB Financial Group *		7,985		3,154
Synchrony Financial		68,014		1,879


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Financials continued
T. Rowe Price Group, Inc.		30,827		3,502
The Travelers Cos., Inc.		32,544		5,504
Truist Financial Corp.		180,785		8,575
U.S. Bancorp		183,367		8,439
W.R. Berkley Corp.		28,414		1,940
Wells Fargo & Co.		514,063		20,136
Willis Towers Watson PLC		15,120		2,985
Zions Bancorp NA		20,072		1,022

Total				469,207


Health Care (14.9%)
Abbott Laboratories		237,470		25,801
AbbVie, Inc.		239,615		36,699
ABIOMED, Inc. *		6,234		1,543
Agilent Technologies, Inc.		40,703		4,834
Align Technology, Inc. *		9,937		2,352
AmerisourceBergen Corp.		20,286		2,870
Amgen, Inc.		72,450		17,627
Baxter International, Inc.		68,291		4,386
Becton Dickinson and Co.		38,498		9,491
Biogen, Inc. *		19,862		4,051
Bio-Rad Laboratories, Inc. - Class A *		2,969		1,470
Bio-Techne Corp.		5,298		1,837
Boston Scientific Corp. *		193,516		7,212
Bristol-Myers Squibb Co.		288,752		22,234
Cardinal Health, Inc.		36,935		1,931
Catalent, Inc. *		23,939		2,568
Centene Corp. *		79,747		6,747
Charles River Laboratories International, Inc. *		6,814		1,458
Cigna Corp.		43,030		11,339
The Cooper Cos., Inc.		6,765		2,118
CVS Health Corp.		177,845		16,479
Danaher Corp.		87,762		22,249
DaVita, Inc. *		8,211		657
DENTSPLY SIRONA, Inc.		30,149		1,077
Dexcom, Inc. *		53,233		3,967
Edwards Lifesciences Corp. *		84,512		8,036
Elevance Health, Inc.		32,776		15,817
Eli Lilly & Co.		106,958		34,679
Gilead Sciences, Inc.		170,115		10,515
HCA Healthcare, Inc.		30,858		5,186
Henry Schein, Inc. *		18,723		1,437
Hologic, Inc. *		33,547		2,325
Humana, Inc.		17,155		8,030

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
IDEXX Laboratories, Inc. *		11,391		3,995
Illumina, Inc. *		21,102		3,890
Incyte Corp. *		25,678		1,951
Intuitive Surgical, Inc. *		48,666		9,768
IQVIA Holdings, Inc. *		25,829		5,605
Johnson & Johnson		356,881		63,350
Laboratory Corp. of America Holdings		12,378		2,901
McKesson Corp.		19,715		6,431
Medtronic PLC		182,169		16,350
Merck & Co., Inc.		342,967		31,268
Mettler-Toledo International, Inc. *		3,076		3,534
Moderna, Inc. *		46,933		6,704
Molina Healthcare, Inc. *		7,880		2,203
Organon & Co.		34,671		1,170
PerkinElmer, Inc.		17,038		2,423
Pfizer, Inc.		760,972		39,898
Quest Diagnostics, Inc.		15,918		2,117
Regeneron Pharmaceuticals, Inc. *		14,651		8,661
ResMed, Inc.		19,840		4,159
STERIS PLC		13,580		2,800
Stryker Corp.		45,645		9,080
Teleflex, Inc.		6,424		1,579
Thermo Fisher Scientific, Inc.		53,092		28,844
UnitedHealth Group, Inc.		127,237		65,353
Universal Health Services, Inc. - Class B		9,104		917
Vertex Pharmaceuticals, Inc. *		34,687		9,774
Viatris, Inc.		166,424		1,742
Waters Corp. *		8,069		2,671
West Pharmaceutical Services, Inc.		10,046		3,038
Zimmer Biomet Holdings, Inc.		28,593		3,004
Zoetis, Inc.		63,912		10,986

Total				655,188


Industrials (7.7%)
3M Co.		76,979		9,962
A.O. Smith Corp.		17,636		964
Alaska Air Group, Inc. *		17,059		683
Allegion PLC		11,527		1,129
American Airlines Group, Inc. *		88,090		1,117
AMETEK, Inc.		31,317		3,441
The Boeing Co. *		75,426		10,312
C.H. Robinson Worldwide, Inc.		17,342		1,758
Carrier Global Corp.		115,143		4,106
Caterpillar, Inc.		72,338		12,931


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Cintas Corp.		11,707		4,373
Copart, Inc. *		28,665		3,115
CSX Corp.		294,882		8,569
Cummins, Inc.		19,166		3,709
Deere & Co.		37,807		11,322
Delta Air Lines, Inc. *		87,814		2,544
Dover Corp.		19,552		2,372
Eaton Corp. PLC		53,986		6,802
Emerson Electric Co.		80,561		6,408
Equifax, Inc.		16,592		3,033
Expeditors International of Washington, Inc.		22,751		2,217
Fastenal Co.		78,066		3,897
FedEx Corp.		32,339		7,332
Fortive Corp.		48,784		2,653
Fortune Brands Home & Security, Inc.		17,741		1,062
Generac Holdings, Inc. *		8,613		1,814
General Dynamics Corp.		31,323		6,930
General Electric Co.		149,277		9,504
Honeywell International, Inc.		92,475		16,073
Howmet Aerospace, Inc.		51,011		1,604
Huntington Ingalls Industries, Inc.		5,379		1,172
IDEX Corp.		10,443		1,897
Illinois Tool Works, Inc.		38,438		7,005
Ingersoll-Rand, Inc.		55,152		2,321
J.B. Hunt Transport Services, Inc.		11,517		1,814
Jacobs Engineering Group, Inc.		17,445		2,218
Johnson Controls International PLC		94,349		4,517
L3Harris Technologies, Inc.		26,158		6,322
Leidos Holdings, Inc.		18,535		1,867
Lockheed Martin Corp.		32,121		13,811
Masco Corp.		31,999		1,619
Nielsen Holdings PLC		49,247		1,144
Nordson Corp.		7,294		1,477
Norfolk Southern Corp.		32,226		7,325
Northrop Grumman Corp.		19,817		9,484
Old Dominion Freight Line, Inc.		12,453		3,191
Otis Worldwide Corp.		57,341		4,052
PACCAR, Inc.		47,137		3,881
Parker Hannifin Corp.		17,285		4,253
Pentair PLC		22,947		1,050
Quanta Services, Inc.		19,155		2,401
Raytheon Technologies Corp.		202,080		19,422
Republic Services, Inc.		28,276		3,701
Robert Half International, Inc.		14,988		1,122


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Rockwell Automation, Inc.		15,768		3,143
Rollins, Inc.		30,518		1,066
Snap-on, Inc.		7,239		1,426
Southwest Airlines Co. *		80,951		2,924
Stanley Black & Decker, Inc.		20,474		2,147
Textron, Inc.		29,542		1,804
Trane Technologies PLC		31,717		4,119
TransDigm Group, Inc. *		7,033		3,774
Union Pacific Corp.		85,175		18,166
United Continental Holdings, Inc. *		43,638		1,546
United Parcel Service, Inc. - Class B		99,607		18,182
United Rentals, Inc. *		9,712		2,359
Verisk Analytics, Inc.		21,607		3,740
W.W. Grainger, Inc.		5,865		2,665
Waste Management, Inc.		51,807		7,925
Westinghouse Air Brake Technologies Corp.		24,771		2,033
Xylem, Inc.		24,425		1,910

Total				337,731


Information Technology (26.5%)
Accenture PLC - Class A		85,904		23,851
Adobe, Inc. *		64,082		23,458
Advanced Micro Devices, Inc. *		219,780		16,807
Akamai Technologies, Inc. *		21,741		1,986
Amphenol Corp. - Class A		80,405		5,176
Analog Devices, Inc.		71,019		10,375
ANSYS, Inc. *		11,847		2,835
Apple, Inc.		2,085,344		285,108
Applied Materials, Inc.		120,047		10,922
Arista Networks, Inc. *		30,060		2,818
Autodesk, Inc. *		29,502		5,073
Automatic Data Processing, Inc.		56,657		11,900
Broadcom, Inc.		55,373		26,901
Broadridge Financial Solutions, Inc.		15,949		2,274
Cadence Design Systems, Inc. *		37,299		5,596
CDW Corp.		18,325		2,887
Ceridian HCM Holding, Inc. *		18,359		864
Cisco Systems, Inc.		563,405		24,024
Citrix Systems, Inc.		16,985		1,650
Cognizant Technology Solutions Corp. - Class A		70,684		4,770

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
Corning, Inc.		103,095		3,249
DXC Technology Co. *		33,157		1,005
Enphase Energy, Inc. *		18,313		3,575
EPAM Systems, Inc. *		7,646		2,254
F5, Inc. *		8,201		1,255
Fidelity National Information Services, Inc.		82,835		7,594
Fiserv, Inc. *		78,900		7,020
FLEETCOR Technologies, Inc. *		10,489		2,204
Fortinet, Inc. *		90,450		5,118
Gartner, Inc. *		10,923		2,642
Global Payments, Inc.		38,368		4,245
Hewlett Packard Enterprise Co.		177,540		2,354
HP, Inc.		142,862		4,683
Intel Corp.		554,566		20,746
International Business Machines Corp.		121,941		17,217
Intuit, Inc.		38,245		14,741
Jack Henry & Associates, Inc.		9,805		1,765
Juniper Networks, Inc.		44,995		1,282
Keysight Technologies, Inc. *		24,680		3,402
KLA Corp.		20,240		6,458
Lam Research Corp.		18,813		8,017
Mastercard, Inc. - Class A		116,471		36,744
Microchip Technology, Inc.		75,655		4,394
Micron Technology, Inc.		151,613		8,381
Microsoft Corp.		1,014,336		260,512
Monolithic Power Systems, Inc.		5,845		2,245
Motorola Solutions, Inc.		22,707		4,759
NetApp, Inc.		30,765		2,007
NortonLifeLock, Inc.		77,998		1,713
NVIDIA Corp.		339,604		51,481
NXP Semiconductors NV		35,610		5,271
ON Semiconductor Corp. *		58,929		2,965
Oracle Corp.		213,000		14,882
Paychex, Inc.		43,577		4,962
Paycom Software, Inc. *		6,429		1,801
PayPal Holdings, Inc. *		157,246		10,982
PTC, Inc. *		14,404		1,532
Qorvo, Inc. *		14,926		1,408
QUALCOMM, Inc.		151,899		19,404
Roper Technologies, Inc.		14,364		5,669
Salesforce, Inc. *		134,746		22,238
Seagate Technology Holdings PLC		26,807		1,915
ServiceNow, Inc. *		27,219		12,943


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology continued
Skyworks Solutions, Inc.		22,141		2,051
SolarEdge Technologies, Inc. *		7,512		2,056
Synopsys, Inc. *		20,764		6,306
TE Connectivity, Ltd.		43,695		4,944
Teledyne Technologies, Inc. *		6,386		2,395
Teradyne, Inc.		21,347		1,912
Texas Instruments, Inc.		125,063		19,216
Trimble, Inc. *		34,306		1,998
Tyler Technologies, Inc. *		5,563		1,850
VeriSign, Inc. *		12,923		2,162
Visa, Inc. - Class A		223,199		43,946
Western Digital Corp. *		41,969		1,881
Zebra Technologies Corp. - Class A *		7,122		2,094

Total				1,161,120


Materials (2.6%)
Air Products and Chemicals, Inc.		29,902		7,191
Albemarle Corp.		15,981		3,340
Amcor PLC		203,784		2,533
Avery Dennison Corp.		11,082		1,794
Ball Corp.		43,463		2,989
Celanese Corp. - Class A		14,689		1,728
CF Industries Holdings, Inc.		27,968		2,398
Corteva, Inc.		98,151		5,314
Dow, Inc.		98,748		5,096
DuPont de Nemours, Inc.		68,968		3,833
Eastman Chemical Co.		17,316		1,554
Ecolab, Inc.		33,559		5,160
FMC Corp.		17,080		1,828
Freeport-McMoRan, Inc.		197,109		5,767
International Flavors & Fragrances, Inc.		34,424		4,101
International Paper Co.		50,266		2,103
Linde PLC		68,257		19,626
LyondellBasell Industries NV - Class A		35,469		3,102
Martin Marietta Materials, Inc.		8,458		2,531
The Mosaic Co.		49,525		2,339
Newmont Corp.		108,025		6,446
Nucor Corp.		36,084		3,767
Packaging Corp. of America		12,708		1,747
PPG Industries, Inc.		32,034		3,663
Sealed Air Corp.		19,812		1,143
The Sherwin-Williams Co.		32,606		7,301
Vulcan Materials Co.		18,022		2,561


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Materials continued
WestRock Co.		34,564		1,377

Total				112,332


Real Estate (2.9%)
Alexandria Real Estate Equities, Inc.		20,214		2,932
American Tower Corp.		63,024		16,108
AvalonBay Communities, Inc.		18,963		3,684
Boston Properties, Inc.		19,540		1,739
Camden Property Trust		14,447		1,943
CBRE Group, Inc. - Class A *		44,330		3,263
Crown Castle International Corp.		58,597		9,867
Digital Realty Trust, Inc.		38,778		5,034
Duke Realty Corp.		51,310		2,819
Equinix, Inc.		12,345		8,111
Equity Residential		46,410		3,352
Essex Property Trust, Inc.		8,971		2,346
Extra Space Storage, Inc.		18,212		3,098
Federal Realty Investment Trust		9,496		909
Healthpeak Properties, Inc.		74,265		1,924
Host Hotels & Resorts, Inc.		97,298		1,526
Iron Mountain, Inc.		39,752		1,935
Kimco Realty Corp.		81,888		1,619
Mid-America Apartment Communities, Inc.		15,777		2,756
Prologis, Inc.		100,493		11,823
Public Storage		20,711		6,476
Realty Income Corp.		81,591		5,569
Regency Centers Corp.		21,039		1,248
SBA Communications Corp.		14,624		4,680
Simon Property Group, Inc.		44,207		4,196
UDR, Inc.		40,457		1,863
Ventas, Inc.		54,208		2,788
VICI Properties, Inc.		130,606		3,891
Vornado Realty Trust		21,635		618
Welltower, Inc.		61,569		5,070
Weyerhaeuser Co.		100,972		3,344

Total				126,531


Utilities (3.1%)
The AES Corp.		91,753		1,928
Alliant Energy Corp.		34,454		2,019
Ameren Corp.		35,022		3,165
American Electric Power Co., Inc.		69,649		6,682
American Water Works Co., Inc.		24,650		3,667
Atmos Energy Corp.		18,854		2,114

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
CenterPoint Energy, Inc.		85,021		2,515
CMS Energy Corp.		39,499		2,666
Consolidated Edison, Inc.		48,051		4,570
Constellation Energy Corp.		43,820		2,509
Dominion Energy, Inc.		110,028		8,781
DTE Energy Co.		26,492		3,358
Duke Energy Corp.		104,417		11,195
Edison International		52,029		3,290
Entergy Corp.		27,582		3,107
Evergy, Inc.		31,291		2,042
Eversource Energy		46,736		3,948
Exelon Corp.		132,940		6,025
FirstEnergy Corp.		77,084		2,959
NextEra Energy, Inc.		266,433		20,638


Common Stocks (98.8%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
NiSource, Inc.		55,036		1,623
NRG Energy, Inc.		32,181		1,228
Pinnacle West Capital Corp.		15,533		1,136
PPL Corp.		100,820		2,735
Public Service Enterprise Group, Inc.		67,691		4,283
Sempra Energy		42,913		6,449
The Southern Co.		144,104		10,276
WEC Energy Group, Inc.		42,781		4,305
Xcel Energy, Inc.		73,868		5,227

Total				134,440


Total Common Stocks
(Cost: $1,727,114)				4,326,870


Short-Term Investments (1.1%)	Shares/ Par ⁺		Value $ (000’s)

Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#,b		46,516,896		46,517

Total				46,517

Total Short-Term Investments
(Cost: $46,517)				46,517


Total Investments (99.9%)
(Cost: $1,773,631)^@				4,373,387

Other Assets, Less Liabilities (0.1%)				5,130

Net Assets (100.0%)				4,378,517

Exchange Traded or Centrally Cleared Derivatives Futures


Issuer	Long/Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
E-mini S&P 500 Futures		Long		USD		14		271		9/22	$	51,348	$	(2,093	)	$	(430	)

													$	(2,093	)	$	(430	)


	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	$	-	$	-	$	-	$	-	$	(430	)	$	(430	)	$	-

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

*	Non income producing

b	Cash or securities with an aggregate value of $46,517 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2022.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,773,631 and the net unrealized appreciation of investments based on that cost was $2,598,093 which is comprised of $2,707,471 aggregate gross unrealized appreciation and $109,378 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 Accompanying Notes are an Integral Part of the Financial Statements.

Index 500 Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	4,326,870		$	-	$	-
Short-Term Investments		46,517			-		-
Total Assets:	$	4,373,387		$	-	$	-
Liabilities:
Other Financial Instruments^
Futures		(2,093	)		-		-
Total Liabilities:	$	(2,093	)	$	-	$	-

^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.

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

Large Company Value Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Health Care	21.9	%
Financials	19.9	%
Consumer Staples	12.7	%
Industrials	9.9	%
Information Technology	7.0	%
Energy	6.6	%
Utilities	6.5	%
Communication Services	5.1	%
Consumer Discretionary	4.1	%
Materials	2.5	%
Short-Term Investments & Other Net Assets	2.3	%
Real Estate	0.8	%
Investment Companies	0.7	%

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, 2022 (unaudited)


Common Stocks (96.5%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (5.1%)
Comcast Corp. - Class A		34,806		1,366
Verizon
Communications, Inc.		111,474		5,657
The Walt Disney Co. *		18,183		1,717

Total				8,740


Consumer Discretionary (3.6%)
Advance Auto Parts, Inc.		10,656		1,845
Dollar Tree, Inc. *		18,673		2,910
Sodexo SA		20,851		1,465

Total				6,220


Consumer Staples (12.7%)
Colgate-Palmolive Co.		16,002		1,282
Conagra Brands, Inc.		99,955		3,423
Henkel AG & Co. KGaA		23,019		1,418
Kimberly-Clark Corp.		26,290		3,553
Koninklijke Ahold Delhaize NV		65,970		1,719
Mondelez International, Inc.		34,855		2,164
PepsiCo, Inc.		8,856		1,476
The Procter & Gamble Co.		9,045		1,301
Unilever PLC, ADR		76,743		3,517
Walmart, Inc.		16,107		1,958

Total				21,811


Energy (6.6%)
Baker Hughes		49,895		1,440
Chevron Corp.		8,335		1,207
ConocoPhillips		17,531		1,574
Exxon Mobil Corp.		50,094		4,290
TotalEnergies SE, ADR		54,176		2,852

Total				11,363


Financials (19.9%)
Aflac, Inc.		32,268		1,785
The Allstate Corp.		35,751		4,531
Ameriprise Financial, Inc.		7,441		1,769
The Bank of New York Mellon Corp.		106,312		4,434
Berkshire Hathaway, Inc. - Class B *		13,300		3,631
BlackRock, Inc.		3,673		2,237
Chubb, Ltd.		5,786		1,137
JPMorgan Chase & Co.		42,604		4,798
MetLife, Inc.		20,409		1,281
Northern Trust Corp.		19,487		1,880


Common Stocks (96.5%)	Shares/ Par ⁺		Value $ (000’s)

Financials continued
Truist Financial Corp.		70,515		3,345
U.S. Bancorp		69,710		3,208

Total				34,036

Health Care (21.9%)
Becton Dickinson and Co.		8,283		2,042
Cigna Corp.		6,577		1,733
CVS Health Corp.		22,975		2,129
Henry Schein, Inc. *		27,026		2,074
Johnson & Johnson		43,568		7,734
Medtronic PLC		81,820		7,343
Merck & Co., Inc.		27,447		2,502
Pfizer, Inc.		34,901		1,830
Quest Diagnostics, Inc.		14,910		1,983
Roche Holding AG		4,548		1,518
Universal Health Services, Inc. - Class B		19,415		1,955
Zimmer Biomet Holdings, Inc.		44,436		4,668

Total				37,511


Industrials (9.9%)
Emerson Electric Co.		34,458		2,741
General Dynamics Corp.		5,106		1,130
Norfolk Southern Corp.		5,779		1,314
nVent Electric PLC		63,463		1,988
Oshkosh Corp.		23,970		1,969
Raytheon Technologies Corp.		44,737		4,300
Siemens AG		14,215		1,446
Southwest Airlines Co. *		58,595		2,116

Total				17,004


Information Technology (7.0%)
Applied Materials, Inc.		9,353		851
Automatic Data Processing, Inc.		7,113		1,494
Cisco Systems, Inc.		94,116		4,013
F5, Inc. *		14,411		2,206
TE Connectivity, Ltd.		16,825		1,904
Texas Instruments, Inc.		9,609		1,476

Total				11,944


Materials (2.5%)
Akzo Nobel NV		13,426		881
Mondi PLC		50,996		903


Common Stocks (96.5%)	Shares/ Par ⁺		Value $ (000’s)

Materials continued
Sonoco Products Co.		42,636		2,432

Total				4,216


Real Estate (0.8%)
Healthpeak Properties, Inc.		50,299		1,303

Total				1,303


Utilities (6.5%)
Duke Energy Corp.		21,237		2,277
Edison International		23,763		1,503
Eversource Energy		18,876		1,595
Pinnacle West Capital Corp.		36,383		2,660
Xcel Energy, Inc.		44,097		3,120

Total				11,155


Total Common Stocks
(Cost: $163,311)				165,303


Preferred Stocks (0.5%)

Consumer Discretionary (0.5%)
Volkswagen AG, 4.860%		6,233		832

Total				832


Total Preferred Stocks
(Cost: $1,348)				832


Investment Companies (0.7%)

Investment Companies (0.7%)
iShares Russell 1000 Value ETF		7,515		1,090

Total				1,090


Total Investment Companies
(Cost: $1,236)				1,090

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

Large Company Value Portfolio


Short-Term Investments (2.5%)	Shares/ Par ⁺		Value $ (000’s)

Money Market Funds (2.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		4,327,061		4,327

Total				4,327


Total Short-Term Investments
(Cost: $4,327)				4,327

Total Investments (100.2%)
(Cost: $170,222)^@				171,552

Other Assets, Less Liabilities (-0.2%)				(297	)

Net Assets (100.0%)				171,255

Over the Counter Derivatives

Forward Foreign Currency Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)	Settlement Date	Unrealized Appreciation (000’s)				Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Morgan Stanley Capital Services, Inc.	CHF	42	44	9/30/2022	$	-	π		$	-		$	-	π
Sell	Morgan Stanley Capital Services, Inc.	CHF	1,289	1,359	9/30/2022		-		��		(11	)		(11	)
Buy	Goldman Sachs International	EUR	290	305	9/30/2022		-				-	π		-	π
Sell	Goldman Sachs International	EUR	9,060	9,554	9/30/2022		39				-			39
Buy	Bank of America NA	GBP	284	346	9/30/2022		1				-			1
Sell	Bank of America NA	GBP	3,368	4,106	9/30/2022		31				-			31

						$	71			$	(11	)	$	60


	Financial Derivative Assets (000’s)					Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts		Swaps	Total		Forward Foreign Currency Contracts			Options	Swaps	Total
Total Over the Counter Derivatives	$	71	-	$	71	$	(11	)	-	-	$	(11)

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $170,222 and the net unrealized appreciation of investments based on that cost was $1,390 which is comprised of $12,112 aggregate gross unrealized appreciation and $10,722 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

π	Amount is less than one thousand.

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

Large Company Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	832	$	-		$	-
Common Stocks		165,303		-			-
Investment Companies		1,090		-			-
Short-Term Investments		4,327		-			-
Other Financial Instruments^
Forward Foreign Currency Contracts		-		71			-
Total Assets:	$	171,552	$	71		$	-
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		-		(11	)		-
Total Liabilities:	$	-	$	(11	)	$	-

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

Domestic Equity Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Health Care	19.0	%
Information Technology	16.8	%
Financials	14.1	%
Industrials	12.6	%
Consumer Discretionary	9.8	%
Communication Services	8.6	%
Consumer Staples	6.1	%
Utilities	3.1	%
Energy	3.0	%
Materials	2.8	%
Real Estate	2.8	%
Short-Term Investments & Other Net Assets	1.3	%

Sector Allocation is subject to change.

Domestic Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


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

Communication Services (8.6%)
Comcast Corp. - Class A		712,711		27,967
Verizon Communications, Inc.		576,800		29,272
The Walt Disney Co. *		283,136		26,728

Total				83,967

Consumer Discretionary (9.8%)
Dollar General Corp.		141,340		34,691
Dollar Tree, Inc. *		223,100		34,770
The TJX Cos., Inc.		476,100		26,590

Total				96,051


Consumer Staples (6.1%)
Archer-Daniels-Midland Co.		339,800		26,369
Conagra Brands, Inc.		968,233		33,152

Total				59,521


Energy (3.0%)
ConocoPhillips		330,700		29,700

Total				29,700


Financials (14.1%)
American International Group, Inc.		542,100		27,718
Discover Financial Services		278,613		26,351
MetLife, Inc.		488,532		30,675
Truist Financial Corp.		560,000		26,561
U.S. Bancorp		577,100		26,558

Total				137,863


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

Health Care (19.0%)
Baxter International, Inc.		433,400		27,837
Cigna Corp.		126,103		33,231
CVS Health Corp.		335,400		31,078
Hologic, Inc. *		406,088		28,142
Johnson & Johnson		180,700		32,076
Merck & Co., Inc.		370,400		33,770

Total				186,134


Industrials (12.6%)
Dover Corp.		227,142		27,557
Honeywell International, Inc.		161,860		28,133
Northrop Grumman Corp.		75,600		36,180
Raytheon Technologies Corp.		324,479		31,185

Total				123,055


Information Technology (16.8%)
Broadcom, Inc.		56,200		27,303
Cisco Systems, Inc.		607,600		25,908
Cognizant Technology Solutions Corp. - Class A		417,118		28,151
Fidelity National Information Services, Inc.		296,427		27,173
Motorola Solutions, Inc.		133,700		28,024
Oracle Corp.		407,000		28,437

Total				164,996


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

Materials (2.8%)
DuPont de Nemours, Inc.		499,284		27,750

Total				27,750


Real Estate (2.8%)
Equity Residential		378,195		27,313

Total				27,313


Utilities (3.1%)
Edison International		485,700		30,716

Total				30,716

Total Common Stocks
(Cost: $798,006)				967,066


Short-Term Investments (1.9%)

Money Market Funds (1.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		18,219,462		18,219


Total				18,219


Total Short-Term Investments
(Cost: $18,219)				18,219


Total Investments (100.6%)
(Cost: $816,225)^@				985,285

Other Assets, Less Liabilities (-0.6%)				(5,669	)

Net Assets (100.0%)				979,616

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $816,225 and the net unrealized appreciation of investments based on that cost was $169,060 which is comprised of $221,420 aggregate gross unrealized appreciation and $52,360 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 Investments at June 30, 2022. 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	$	967,066	$	-	$	-
Short-Term Investments		18,219		-		-
Total Assets:	$	985,285	$	-	$	-

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

Equity Income Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Financials	19.8	%
Health Care	18.0	%
Utilities	10.2	%
Industrials	10.0	%
Information Technology	7.6	%
Energy	7.5	%
Consumer Staples	7.1	%
Materials	5.3	%
Communication Services	5.1	%
Real Estate	4.4	%
Consumer Discretionary	3.7	%
Short-Term Investments & Other Net Assets	1.3	%

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, 2022 (unaudited)


Common Stocks (97.1%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (5.1%)
AT&T, Inc.		98,163		2,058
Comcast Corp. - Class A		232,904		9,139
Fox Corp. - Class B		73,590		2,186
Meta Platforms, Inc. - Class A *		28,902		4,660
News Corp. - Class A		584,739		9,110
Verizon Communications, Inc.		16,925		859
The Walt Disney Co. *		85,868		8,106
Warner Bros.
Discovery, Inc. *		35,330		474

Total				36,592


Consumer Discretionary (3.7%)
Best Buy Co., Inc.		14,830		967
Kohl’s Corp.		106,983		3,818
Las Vegas Sands Corp. *		154,415		5,187
Mattel, Inc. *		248,404		5,547
The TJX Cos., Inc.		89,168		4,980
Volkswagen AG, ADR		448,574		5,943

Total				26,442


Consumer Staples (7.1%)
The Coca-Cola Co.		35,941		2,261
Conagra Brands, Inc.		331,615		11,354
Kimberly-Clark Corp.		87,756		11,860
Mondelez International, Inc.		14,200		882
Philip Morris International, Inc.		113,617		11,219
Tyson Foods, Inc. - Class A		101,709		8,753
Walmart, Inc.		41,012		4,986

Total				51,315


Energy (7.5%)
Chevron Corp.		9,875		1,430
Enbridge, Inc.		45,534		1,924
EOG Resources, Inc.		68,423		7,557
Exxon Mobil Corp.		102,585		8,785
Hess Corp.		37,400		3,962
Occidental Petroleum Corp.		30,871		1,818
Targa Resources Corp.		5,189		309
TC Energy Corp.		162,650		8,427
TotalEnergies SE, ADR		384,688		20,250

Total				54,462


Financials (19.8%)
American International
Group, Inc.		306,341		15,663
Apollo Global Management, Inc.		22,464		1,089
Bank of America Corp.		101,159		3,149


Common Stocks (97.1%)	Shares/ Par ⁺		Value $ (000’s)

Financials continued
The Bank of New York Mellon Corp.		17,200		717
The Charles Schwab Corp.		55,644		3,516
Chubb, Ltd.		69,912		13,743
Citigroup, Inc.		84,621		3,892
Equitable Holdings, Inc.		405,169		10,563
Fifth Third Bancorp		208,080		6,992
Franklin Resources, Inc.		26,128		609
The Goldman Sachs Group, Inc.		32,019		9,510
The Hartford Financial Services Group, Inc.		55,458		3,629
Huntington Bancshares, Inc.		674,330		8,112
JPMorgan Chase & Co.		36,788		4,143
Loews Corp.		172,157		10,202
Marsh & McLennan Cos., Inc.		5,345		830
MetLife, Inc.		158,151		9,930
Morgan Stanley		68,682		5,224
The PNC Financial Services Group, Inc.		13,789		2,176
Raymond James Financial, Inc.		5,606		501
State Street Corp.		111,669		6,884
Wells Fargo & Co.		561,802		22,006

Total				143,080


Health Care (17.6%)
AbbVie, Inc.		103,866		15,908
AstraZeneca PLC, ADR		63,900		4,222
Becton Dickinson and Co.		50,520		12,455
Biogen, Inc. *		7,534		1,536
Cardinal Health, Inc.		69,673		3,642
Centene Corp. *		60,060		5,082
Cigna Corp.		27,497		7,246
CVS Health Corp.		104,501		9,683
Elevance Health, Inc.		33,921		16,370
Gilead Sciences, Inc.		8,477		524
GSK PLC		38,944		837
Johnson & Johnson		66,926		11,880
Medtronic PLC		94,335		8,466
Merck & Co., Inc.		75,329		6,868
Pfizer, Inc.		182,036		9,544
Sanofi		157,738		7,892
Zimmer Biomet Holdings, Inc.		48,053		5,048

Total				127,203


Industrials (10.0%)
3M Co.		9,500		1,229
The Boeing Co. *		38,500		5,264


Common Stocks (97.1%)	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Cummins, Inc.		7,167		1,387
Flowserve Corp.		23,281		667
General Electric Co.		253,839		16,162
L3Harris Technologies, Inc.		57,502		13,898
Nielsen Holdings PLC		31,957		742
PACCAR, Inc.		32,541		2,679
Siemens AG, ADR		93,413		4,772
Southwest Airlines Co. *		48,600		1,756
Stanley Black & Decker, Inc.		7,927		831
Stericycle, Inc. *		118,313		5,188
United Parcel Service, Inc. - Class B		98,635		18,005

Total				72,580


Information Technology (7.6%)
Applied Materials, Inc.		54,629		4,970
Cisco Systems, Inc.		70,695		3,014
Citrix Systems, Inc.		42,329		4,113
Fiserv, Inc. *		56,947		5,067
Microsoft Corp.		38,061		9,775
NXP Semiconductors NV		9,733		1,441
QUALCOMM, Inc.		135,458		17,303
TE Connectivity, Ltd.		16,473		1,864
Texas Instruments, Inc.		46,174		7,095

Total				54,642


Materials (5.3%)
Akzo Nobel NV, ADR		82,334		1,802
CF Industries Holdings, Inc.		162,385		13,921
DuPont de Nemours, Inc.		7,565		421
International Flavors & Fragrances, Inc.		64,456		7,678
International Paper Co.		294,712		12,328
RPM International, Inc.		23,300		1,834

Total				37,984


Real Estate (4.4%)
Equity Residential		158,384		11,439
Rayonier, Inc.		159,703		5,970
Vornado Realty Trust		22,600		646
Welltower, Inc.		26,877		2,213
Weyerhaeuser Co.		355,138		11,762

Total				32,030


Utilities (9.0%)
Ameren Corp.		58,192		5,258
Dominion Energy, Inc.		108,591		8,667
NextEra Energy, Inc.		49,432		3,829
NiSource, Inc.		256,987		7,579
PG&E Corp. *		49,000		489

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

Equity Income Portfolio


Common Stocks (97.1%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
Sempra Energy		100,908		15,163
The Southern Co.		288,001		20,537
Xcel Energy, Inc.		53,321		3,773

Total				65,295


Total Common Stocks
(Cost: $580,165)				701,625


Preferred Stocks (0.4%)

Utilities (0.4%)
NiSource, Inc., 7.750%,		23,878		2,715

Total				2,715


Total Preferred Stocks
(Cost: $2,387)				2,715


Convertible Preferred Stocks (1.2%)

Health Care (0.4%)
Becton Dickinson and Co., 6.000%, 6/1/23		59,093		2,923

Total				2,923


Utilities (0.8%)
NextEra Energy, Inc., 5.279%, 3/1/23		49,295		2,447
The Southern Co., 6.750%, 8/1/22		66,083		3,501

Total				5,948


Total Convertible Preferred Stocks
(Cost: $8,653)				8,871


Short-Term Investments (1.1%)

Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		7,771,812		7,772

Total				7,772


Total Short-Term Investments
(Cost: $7,772)				7,772


Total Investments (99.8%)
(Cost: $598,977)^@				720,983

Other Assets, Less Liabilities (0.2%)				1,806

Net Assets (100.0%)				722,789

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

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

Equity Income Portfolio

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $598,977 and the net unrealized appreciation of investments based on that cost was $122,006 which is comprised of $161,213 aggregate gross unrealized appreciation and $39,207 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 Investments at June 30, 2022. 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	$	2,715	$	-	$	-
Common Stocks		701,625		-		-
Convertible Preferred Stocks		8,871		-		-
Short-Term Investments		7,772		-		-
Total Assets:	$	720,983	$	-	$	-

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

Mid Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Information Technology		24.7	%
Industrials		19.5	%
Health Care		16.9	%
Financials		12.1	%
Consumer Discretionary		10.3	%
Materials		4.5	%
Energy		4.2	%
Communication Services		3.1	%
Utilities		2.7	%
Short-Term Investments & Other Net Assets		1.2	%
Real Estate		0.8	%

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, 2022 (unaudited)


Common Stocks (98.8%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (3.1%)
Cable One, Inc.		13,376		17,246
CarGurus, Inc. *		328,972		7,070
Roku, Inc. *		75,856		6,231

Total				30,547


Consumer Discretionary (10.3%)
Arrival SA *		246,833		390
CarMax, Inc. *		134,054		12,129
Carter’s, Inc.		137,179		9,668
Chewy, Inc. *		284,995		9,895
Choice Hotels International, Inc.		134,668		15,033
Etsy, Inc. *		147,263		10,781
Hyatt Hotels Corp. - Class A *		78,781		5,823
NVR, Inc. *		4,689		18,775
Under Armour, Inc. - Class C *		338,012		2,562
Vizio Holding Corp. *		396,195		2,702
Wingstop, Inc.		31,745		2,374
YETI Holdings, Inc. *		281,546		12,183

Total				102,315


Energy (4.2%)
Coterra Energy, Inc.		368,500		9,504
Marathon Oil Corp.		428,288		9,628
Ovintiv, Inc.		108,584		4,798
PDC Energy, Inc.		80,569		4,964
Targa Resources Corp.		209,255		12,486

Total				41,380


Financials (12.1%)
Credit Acceptance Corp. *		39,613		18,753
First Citizens BancShares, Inc. - Class A		19,816		12,955
First Republic Bank		87,521		12,621
Globe Life, Inc.		93,548		9,118
Hamilton Lane, Inc.		75,328		5,061
Host Hotels & Resorts, Inc.		261,458		4,100
Kimco Realty Corp.		267,321		5,285
M&T Bank Corp.		94,454		15,055
Markel Corp. *		14,634		18,925
W.R. Berkley Corp.		122,310		8,349
White Mountains Insurance Group, Ltd.		7,733		9,636

Total				119,858


Common Stocks (98.8%)	Shares/ Par⁺		Value $ (000’s)

Health Care (16.9%)
Alnylam Pharmaceuticals, Inc. *		21,010		3,064
Apellis Pharmaceuticals, Inc. *		221,336		10,009
Bio-Techne Corp.		29,059		10,073
Exact Sciences Corp. *		68,185		2,686
ICON PLC *		46,512		10,079
Inari Medical, Inc. *		172,030		11,696
Insulet Corp. *		53,990		11,767
Integra LifeSciences Holdings Corp. *		241,932		13,072
Jazz Pharmaceuticals PLC *		144,028		22,470
PTC Therapeutics, Inc. *		193,646		7,757
Reata Pharmaceuticals, Inc. *		176,613		5,367
Repligen Corp. *		24,911		4,046
Sage Therapeutics, Inc. *		145,480		4,699
Syneos Health, Inc. *		119,918		8,596
Teleflex, Inc.		47,624		11,708
Ultragenyx Pharmaceutical, Inc. *		181,514		10,829
United Therapeutics Corp. *		87,196		20,547

Total				168,465


Industrials (19.5%)
AMERCO		23,843		11,402
Axon Enterprise, Inc. *		127,299		11,860
Builders FirstSource, Inc. *		131,939		7,085
C.H. Robinson Worldwide, Inc.		72,873		7,387
Dun & Bradstreet Holdings, Inc. *		706,502		10,619
Expeditors International of Washington, Inc.		76,482		7,454
GFL Environmental, Inc.		294,154		7,589
Graco, Inc.		129,313		7,682
IDEX Corp.		93,793		17,036
Ingersoll-Rand, Inc.		401,680		16,903
J.B. Hunt Transport Services, Inc.		71,233		11,217
Knight-Swift Transportation Holdings, Inc.		212,087		9,818


Common Stocks (98.8%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Lennox International, Inc.		60,076		12,411
Lincoln Electric Holdings, Inc.		96,525		11,907
The Middleby Corp. *		44,963		5,637
Robert Half International, Inc.		53,165		3,982
Science Applications International Corp.		82,140		7,647
TransUnion		81,773		6,541
Watsco, Inc.		33,390		7,974
Westinghouse Air Brake Technologies Corp.		148,331		12,175

Total				194,326


Information Technology (24.7%)
CDW Corp.		63,028		9,931
CommScope Holding Co., Inc. *		1,045,707		6,400
Dynatrace, Inc. *		284,962		11,239
F5, Inc. *		115,187		17,628
Fair Isaac Corp. *		13,920		5,581
Flex, Ltd. *		1,129,675		16,346
Genpact, Ltd.		523,867		22,191
Guidewire Software, Inc. *		118,184		8,390
II-VI, Inc. *		328,578		16,741
Informatica, Inc. *		524,801		10,900
LiveRamp Holdings, Inc. *		177,276		4,575
Lumentum Holdings, Inc. *		236,553		18,787
MKS Instruments, Inc.		123,419		12,666
MongoDB, Inc. *		24,300		6,306
Nuvei Corp. *		187,051		6,766
Olo, Inc. *		450,372		4,445
Q2 Holdings, Inc. *		127,233		4,907
Shift4 Payments, Inc. *		291,622		9,641
Synaptics, Inc. *		92,549		10,925
Teradata Corp. *		390,692		14,460
VeriSign, Inc. *		29,123		4,873
WEX, Inc. *		141,705		22,044

Total				245,742


Materials (4.5%)
Element Solutions, Inc.		746,853		13,294
FMC Corp.		99,233		10,619
Silgan Holdings, Inc.		269,502		11,144
Steel Dynamics, Inc.		148,186		9,802

Total				44,859

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

Mid Cap Growth Stock Portfolio


Common Stocks (98.8%)	Shares/ Par⁺		Value $ (000’s)

Real Estate (0.8%)
Redfin Corp. *		182,800		1,506
Rexford Industrial Realty, Inc.		115,236		6,637

Total				8,143


Utilities (2.7%)
Black Hills Corp.		124,677		9,073
NiSource, Inc.		196,639		5,799
UGI Corp.		302,487		11,679

Total				26,551


Total Common Stocks
(Cost: $1,012,123)				982,186


Short-Term Investments (0.3%)

Money Market Funds (0.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		2,706,352		2,706

Total				2,706


Total Short-Term Investments
(Cost: $2,706)				2,706


Total Investments (99.1%)
(Cost: $1,014,829)^@				984,892

Other Assets, Less Liabilities (0.9%)				9,012

Net Assets (100.0%)				993,904

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,014,829 and the net unrealized depreciation of investments based on that cost was $29,937 which is comprised of $102,776 aggregate gross unrealized appreciation and $132,713 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.

Mid Cap Growth Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	982,186	$	-	$	-
Short-Term Investments		2,706		-		-
Total Assets:	$	984,892	$	-	$	-

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

Index 400 Stock Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Industrials		18.1	%
Financials		14.7	%
Consumer Discretionary		13.4	%
Information Technology		12.6	%
Health Care		10.1	%
Real Estate		9.1	%
Materials		7.1	%
Utilities		4.1	%
Consumer Staples		3.9	%
Energy		3.9	%
Communication Services		1.6	%
Short-Term Investments & Other Net Assets		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.

Index 400 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (1.6%)
Cable One, Inc.		2,682		3,458
Iridium Communications, Inc. *		69,866		2,624
John Wiley & Sons, Inc. - Class A		23,680		1,131
The New York Times Co. - Class A		90,860		2,535
TEGNA, Inc.		121,063		2,539
TripAdvisor, Inc. *		54,704		974
World Wrestling Entertainment, Inc.- Class A		23,565		1,472
Ziff Davis, Inc. *		25,832		1,925

Total				16,658


Consumer Discretionary (13.4%)
Adient PLC *		51,532		1,527
American Eagle Outfitters, Inc.		84,306		943
AutoNation, Inc. *		19,418		2,170
Boyd Gaming Corp.		43,640		2,171
Brunswick Corp.		41,345		2,703
Callaway Golf Co. *		63,732		1,300
Capri Holdings, Ltd. *		80,592		3,305
Carter’s, Inc.		22,005		1,551
Choice Hotels International, Inc.		17,963		2,005
Churchill Downs, Inc.		18,718		3,585
Columbia Sportswear Co.		18,179		1,301
Cracker Barrel Old Country Store, Inc.		12,627		1,054
Crocs, Inc. *		33,615		1,636
Dana Holding Corp.		78,445		1,104
Deckers Outdoor Corp. *		14,873		3,798
Dick’s Sporting Goods, Inc.		31,696		2,389
Five Below, Inc. *		30,303		3,437
Foot Locker, Inc.		45,649		1,153
Fox Factory Holding Corp. *		23,084		1,859
GameStop Corp. - Class A *		33,756		4,128
The Gap, Inc.		115,126		949
Gentex Corp.		127,931		3,578
The Goodyear Tire & Rubber Co. *		154,229		1,652
Graham Holdings Co. - Class B		2,139		1,212
Grand Canyon Education, Inc. *		17,639		1,661
H&R Block, Inc.		87,087		3,076


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Hanesbrands, Inc.		189,889		1,954
Harley-Davidson, Inc.		80,465		2,548
Helen of Troy, Ltd. *		13,016		2,114
KB Home		47,412		1,349
Kohl’s Corp.		70,205		2,506
Lear Corp.		32,636		4,109
Leggett & Platt, Inc.		72,973		2,523
Lithia Motors, Inc. - Class A		15,794		4,340
Macy’s, Inc.		155,510		2,849
Marriott Vacations Worldwide Corp.		22,615		2,628
Mattel, Inc. *		192,393		4,296
Murphy USA, Inc.		12,149		2,829
Nordstrom, Inc.		60,645		1,281
Ollie’s Bargain Outlet Holdings, Inc. *		31,933		1,876
Papa John’s International, Inc.		17,394		1,453
Polaris, Inc.		30,530		3,031
RH *		9,601		2,038
Scientific Games Corp. - Class A *		52,163		2,451
Service Corp. International		86,599		5,986
Six Flags Entertainment Corp. *		42,737		927
Skechers USA, Inc. - Class A *		73,760		2,624
Taylor Morrison Home Corp. *		65,298		1,525
Tempur Sealy International, Inc.		95,862		2,049
Texas Roadhouse, Inc.		37,225		2,725
Thor Industries, Inc.		30,037		2,245
Toll Brothers, Inc.		60,169		2,684
TopBuild Corp. *		17,904		2,993
Travel + Leisure Co.		46,575		1,808
Under Armour, Inc. - Class A *		103,302		861
Under Armour, Inc. - Class C *		110,389		837
Victoria’s Secret & Co. *		37,088		1,037
Visteon Corp. *		15,370		1,592
The Wendy’s Co.		93,607		1,767
Williams-Sonoma, Inc.		38,230		4,242
Wingstop, Inc.		16,218		1,213
Wyndham Hotels & Resorts, Inc.		50,266		3,303
YETI Holdings, Inc. *		47,035		2,035

Total				143,875


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer Staples (3.9%)
BellRing Brands, Inc. *		59,529		1,482
BJ’s Wholesale Club Holdings, Inc. *		73,616		4,588
The Boston Beer Co., Inc. - Class A *		5,106		1,547
Casey’s General Stores, Inc.		20,260		3,748
Coty, Inc. - Class A *		187,024		1,498
Darling Ingredients, Inc. *		88,188		5,274
Energizer Holdings, Inc.		35,688		1,012
Flowers Foods, Inc.		108,693		2,861
Grocery Outlet Holding Corp. *		47,935		2,043
The Hain Celestial Group, Inc. *		49,028		1,164
Ingredion, Inc.		36,188		3,190
Lancaster Colony Corp.		10,854		1,398
Nu Skin Enterprises, Inc.		27,449		1,188
Performance Food Group Co. *		84,615		3,891
Pilgrim’s Pride Corp. *		26,436		825
Post Holdings, Inc. *		30,503		2,512
Sanderson Farms, Inc.		11,607		2,502
Sprouts Farmers Market, Inc. *		59,816		1,514

Total				42,237


Energy (3.9%)
Antero Midstream Corp.		178,059		1,611
ChampionX Corp.		111,052		2,204
CNX Resources Corp. *		106,482		1,753
DT Midstream, Inc.		52,888		2,593
EQT Corp.		161,375		5,551
Equitrans Midstream Corp.		221,060		1,406
HF Sinclair Corp.		81,630		3,686
Matador Resources Co.		60,594		2,823
Murphy Oil Corp.		79,726		2,407
NOV, Inc.		214,491		3,627
PDC Energy, Inc.		52,090		3,209
Range Resources Corp. *		141,477		3,502
Targa Resources Corp.		124,495		7,429

Total				41,801


Financials (14.7%)
Affiliated Managers Group, Inc.		21,107		2,461

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

Index 400 Stock Portfolio


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Alleghany Corp. *		7,345		6,119
American Financial Group, Inc.		36,229		5,029
Associated Banc-Corp.		82,168		1,500
Bank of Hawaii Corp.		22,091		1,644
Bank OZK		61,587		2,311
Brighthouse Financial, Inc. *		40,900		1,678
Cadence Bank		100,100		2,350
Cathay General Bancorp		41,194		1,613
CNO Financial Group, Inc.		63,292		1,145
Commerce Bancshares, Inc.		60,077		3,944
Cullen / Frost Bankers, Inc.		31,123		3,624
East West Bancorp, Inc.		77,434		5,018
Essent Group, Ltd.		58,723		2,284
Evercore, Inc. - Class A		22,167		2,075
F.N.B. Corp.		184,880		2,008
Federated Hermes, Inc.		50,006		1,590
First American Financial Corp.		58,640		3,103
First Financial Bankshares, Inc.		70,141		2,754
First Horizon Corp.		291,971		6,382
FirstCash Holdings, Inc.		21,505		1,495
Fulton Financial Corp.		87,771		1,268
Glacier Bancorp, Inc.		59,312		2,813
Hancock Whitney Corp.		47,215		2,093
The Hanover Insurance Group, Inc.		19,443		2,844
Home BancShares, Inc.		103,185		2,143
Interactive Brokers Group, Inc. - Class A		47,778		2,628
International Bancshares Corp.		29,122		1,167
Janus Henderson Group PLC		91,300		2,146
Jefferies Financial Group, Inc.		104,618		2,890
Kemper Corp.		32,874		1,575
Kinsale Capital Group, Inc.		11,749		2,698
Mercury General Corp.		14,472		641
MGIC Investment Corp.		168,920		2,128
Navient Corp.		80,811		1,131
New York Community Bancorp, Inc.		254,930		2,327
Old National Bancorp		159,558		2,360
Old Republic International Corp.		156,457		3,498
PacWest Bancorp		64,149		1,710
Pinnacle Financial Partners, Inc.		41,678		3,014


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Primerica, Inc.		20,999		2,513
Prosperity Bancshares, Inc.		50,343		3,437
Reinsurance Group of America, Inc.		36,526		4,284
RenaissanceRe Holdings, Ltd.		24,121		3,772
RLI Corp.		21,798		2,541
SEI Investments Co.		56,912		3,074
Selective Insurance Group, Inc.		32,940		2,864
SLM Corp.		146,901		2,342
Stifel Financial Corp.		58,173		3,259
Synovus Financial Corp.		79,326		2,860
Texas Capital
Bancshares, Inc. *		27,539		1,450
UMB Financial Corp.		23,435		2,018
Umpqua Holdings Corp.		118,718		1,991
United Bankshares, Inc.		74,168		2,601
Unum Group		109,773		3,734
Valley National Bancorp		229,161		2,386
Voya Financial, Inc.		55,780		3,321
Washington Federal, Inc.		35,504		1,066
Webster Financial Corp.		97,183		4,096
Wintrust Financial Corp.		32,897		2,637

Total				157,447


Health Care (10.1%)
Acadia Healthcare Co., Inc. *		49,419		3,342
Amedisys, Inc. *		17,728		1,864
Arrowhead Pharmaceuticals, Inc. *		57,886		2,038
Azenta, Inc.		40,952		2,953
Bruker Corp.		54,585		3,426
Chemed Corp.		8,171		3,835
Encompass Health Corp.		54,530		3,056
Enovis Corp. *		25,684		1,413
Envista Holdings Corp. *		88,786		3,422
Exelixis, Inc. *		175,084		3,645
Globus Medical, Inc. - Class A *		43,294		2,431
Haemonetics Corp. *		27,794		1,812
Halozyme Therapeutics, Inc. *		75,280		3,312
HealthEquity, Inc. *		46,048		2,827
ICU Medical, Inc. *		10,962		1,802
Inari Medical, Inc. *		18,559		1,262


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Integra LifeSciences Holdings Corp. *		39,039		2,109
Jazz Pharmaceuticals PLC *		34,018		5,307
LHC Group, Inc. *		16,938		2,638
LivaNova PLC *		29,182		1,823
Masimo Corp. *		27,877		3,643
Medpace Holdings, Inc. *		14,691		2,199
Neogen Corp. *		58,602		1,412
Neurocrine Biosciences, Inc. *		52,165		5,085
NuVasive, Inc. *		28,445		1,398
Option Care Health, Inc. *		75,866		2,108
Patterson Cos., Inc.		47,181		1,430
Penumbra, Inc. *		19,341		2,408
Perrigo Co. PLC		73,456		2,980
Progyny, Inc. *		38,648		1,123
QuidelOrtho Corp. *		27,335		2,656
R1 RCM, Inc. *		73,375		1,538
Repligen Corp. *		28,141		4,570
Shockwave Medical, Inc. *		19,536		3,735
Sotera Health Co. *		53,981		1,057
STAAR Surgical Co. *		26,119		1,853
Syneos Health, Inc. *		56,004		4,014
Tandem Diabetes Care, Inc. *		34,925		2,067
Tenet Healthcare Corp. *		58,826		3,092
United Therapeutics Corp. *		24,725		5,826

Total				108,511


Industrials (18.1%)
Acuity Brands, Inc.		18,877		2,908
AECOM		77,147		5,032
AGCO Corp.		33,365		3,293
ASGN, Inc. *		27,899		2,518
Avis Budget Group, Inc. *		18,716		2,753
Axon Enterprise, Inc. *		38,763		3,612
The Brink’s Co.		25,663		1,558
Builders FirstSource, Inc. *		94,308		5,064
CACI International, Inc. - Class A *		12,779		3,601
Carlisle Cos., Inc.		28,210		6,731
Chart Industries, Inc. *		19,571		3,276
Clean Harbors, Inc. *		27,389		2,401
Crane Holdings Co.		26,005		2,277
Curtiss-Wright Corp.		20,972		2,770
Donaldson Co., Inc.		67,495		3,249
Dycom Industries, Inc. *		16,172		1,505
EMCOR Group, Inc.		27,920		2,875
EnerSys		22,442		1,323
ESAB Corp.		24,976		1,093

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

Index 400 Stock Portfolio


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Flowserve Corp.		71,354		2,043
Fluor Corp. *		77,522		1,887
FTI Consulting, Inc. *		18,802		3,400
GATX Corp.		19,454		1,832
Graco, Inc.		92,417		5,490
GXO Logistics, Inc. *		55,635		2,407
Hexcel Corp.		45,914		2,402
Hubbell, Inc.		29,292		5,231
IAA, Inc. *		73,327		2,403
Insperity, Inc.		19,386		1,935
ITT, Inc.		45,580		3,065
JetBlue Airways Corp. *		175,306		1,467
KBR, Inc.		76,280		3,691
Kennametal, Inc.		45,227		1,051
Kirby Corp. *		32,920		2,003
Knight-Swift Transportation Holdings, Inc.		89,289		4,133
Landstar System, Inc.		20,258		2,946
Lennox International, Inc.		18,042		3,727
Lincoln Electric Holdings, Inc.		31,699		3,910
ManpowerGroup, Inc.		28,801		2,201
MasTec, Inc. *		31,196		2,235
MDU Resources Group, Inc.		111,182		3,001
Mercury Systems, Inc. *		31,478		2,025
The Middleby Corp. *		29,690		3,722
MillerKnoll, Inc.		41,197		1,082
MSA Safety, Inc.		19,959		2,416
MSC Industrial Direct Co., Inc. - Class A		25,823		1,940
nVent Electric PLC		90,793		2,845
Oshkosh Corp.		35,925		2,951
Owens Corning, Inc.		52,994		3,938
Regal Rexnord Corp.		36,579		4,152
Ryder System, Inc.		27,915		1,984
Saia, Inc. *		14,415		2,710
Science Applications International Corp.		30,466		2,836
Simpson Manufacturing Co., Inc.		23,621		2,376
Stericycle, Inc. *		50,307		2,206
Sunrun, Inc. *		114,706		2,680
Terex Corp.		37,785		1,034
Tetra Tech, Inc.		29,361		4,009
The Timken Co.		36,837		1,954
The Toro Co.		57,046		4,324
Trex Co., Inc. *		61,795		3,363
Univar Solutions, Inc. *		92,357		2,297
Valmont Industries, Inc.		11,629		2,612
Vicor Corp. *		11,664		638
Watsco, Inc.		18,103		4,323
Watts Water Technologies, Inc. - Class A		14,985		1,841


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Werner Enterprises, Inc.		32,177		1,240
Woodward, Inc.		33,109		3,062
XPO Logistics, Inc. *		54,019		2,602

Total				193,461


Information Technology (12.6%)
ACI Worldwide, Inc. *		62,673		1,623
Alliance Data Systems Corp.		27,088		1,004
Amkor Technology, Inc.		54,512		924
Arrow Electronics, Inc. *		36,055		4,041
Aspen Technology, Inc. *		15,304		2,811
Avnet, Inc.		53,322		2,286
Belden, Inc.		24,133		1,286
Blackbaud, Inc. *		24,844		1,443
Calix, Inc. *		30,339		1,036
CDK Global, Inc.		63,773		3,493
Ciena Corp. *		83,065		3,796
Cirrus Logic, Inc. *		31,350		2,274
Cognex Corp.		94,851		4,033
Coherent, Inc. *		13,543		3,605
CommVault Systems, Inc. *		24,233		1,524
Concentrix Corp.		23,483		3,185
Envestnet, Inc. *		30,123		1,590
Euronet Worldwide, Inc. *		27,595		2,776
Fair Isaac Corp. *		14,155		5,675
First Solar, Inc. *		54,115		3,687
Genpact, Ltd.		93,073		3,943
II-VI, Inc. *		58,110		2,961
IPG Photonics Corp. *		18,984		1,787
Jabil, Inc.		77,073		3,947
Kyndryl Holdings, Inc. *		98,622		965
Lattice Semiconductor Corp. *		75,107		3,643
Littelfuse, Inc.		13,504		3,431
Lumentum Holdings, Inc. *		37,673		2,992
Manhattan Associates, Inc. *		34,479		3,951
MAXIMUS, Inc.		33,407		2,088
MKS Instruments, Inc.		30,392		3,119
National Instruments Corp.		71,718		2,240
NCR Corp. *		74,586		2,320
Paylocity Holding Corp. *		21,669		3,779
Power Integrations, Inc.		31,826		2,387
Qualys, Inc. *		18,279		2,306
Sabre Corp. *		178,475		1,041
SailPoint Technologies Holdings, Inc. *		51,459		3,225
Semtech Corp. *		34,647		1,905
Silicon Laboratories, Inc. *		19,964		2,799


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
SiTime Corp. *		8,497		1,385
SunPower Corp. *		45,152		714
Synaptics, Inc. *		21,622		2,552
TD Synnex Corp.		22,539		2,053
Teradata Corp. *		57,157		2,115
Universal Display Corp.		23,716		2,399
ViaSat, Inc. *		40,451		1,239
Vishay Intertechnology, Inc.		72,174		1,286
Vontier Corp.		87,894		2,021
Western Union Co.		210,773		3,471
WEX, Inc. *		24,558		3,820
Wolfspeed, Inc. *		67,497		4,283
Xerox Holdings Corp.		65,186		968

Total				135,227


Materials (7.1%)
Alcoa Corp.		100,684		4,589
AptarGroup, Inc.		35,795		3,694
Ashland Global Holdings, Inc.		27,690		2,853
Avient Corp.		49,755		1,994
Cabot Corp.		30,768		1,963
The Chemours Co.		84,877		2,718
Cleveland-Cliffs, Inc. *		260,817		4,009
CMC Materials, Inc.		15,625		2,726
Commercial Metals Co.		66,459		2,200
Eagle Materials, Inc.		21,607		2,376
Grief, Inc. - Class A		14,433		900
Ingevity Corp. *		21,150		1,335
Louisiana-Pacific Corp.		44,835		2,350
Minerals Technologies, Inc.		17,878		1,097
NewMarket Corp.		3,719		1,119
Olin Corp.		75,768		3,507
Reliance Steel & Aluminum Co.		33,810		5,743
Royal Gold, Inc.		35,835		3,827
RPM International, Inc.		70,711		5,566
The Scotts Miracle-Gro Co.		22,065		1,743
Sensient Technologies Corp.		22,849		1,841
Silgan Holdings, Inc.		45,965		1,901
Sonoco Products Co.		53,189		3,034
Steel Dynamics, Inc.		97,788		6,469
United States Steel Corp.		142,623		2,554
Valvoline, Inc.		97,512		2,811
Worthington Industries, Inc.		17,372		766

Total				75,685


Real Estate (9.1%)
American Campus Communities, Inc.		76,123		4,908
Apartment Income REIT Corp.		85,741		3,567

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

Index 400 Stock Portfolio


Common Stocks (98.6%)	Shares/ Par ⁺		Value $ (000’s)

Real Estate continued
Brixmor Property Group, Inc.		163,424		3,303
Corporate Office Properties Trust		61,076		1,600
Cousins Properties, Inc.		81,354		2,378
Douglas Emmett, Inc.		96,079		2,150
EastGroup Properties, Inc.		22,743		3,510
EPR Properties		41,023		1,925
First Industrial Realty Trust, Inc.		71,986		3,418
Healthcare Realty Trust, Inc.		82,770		2,251
Highwoods Properties, Inc.		57,479		1,965
Hudson Pacific Properties, Inc.		79,064		1,173
Independence Realty Trust, Inc.		120,703		2,502
JBG SMITH Properties		59,363		1,403
Jones Lang LaSalle, Inc. *		26,678		4,665
Kilroy Realty Corp.		57,417		3,005
Kite Realty Group Trust		119,953		2,074
Lamar Advertising Co. - Class A		47,528		4,181
Life Storage, Inc.		46,039		5,141
The Macerich Co.		117,469		1,023
Medical Properties Trust, Inc.		327,605		5,003
National Retail Properties, Inc.		95,982		4,127
National Storage Affiliates Trust		45,909		2,299
Omega Healthcare Investors, Inc.		128,421		3,620
Park Hotels & Resorts, Inc.		127,446		1,729
Pebblebrook Hotel Trust		71,458		1,184
Physicians Realty Trust		122,940		2,145
PotlatchDeltic Corp.		37,883		1,674
PS Business Parks, Inc.		11,013		2,061
Rayonier, Inc.		79,811		2,983
Rexford Industrial Realty, Inc.		90,060		5,187
Sabra Health Care REIT, Inc.		126,119		1,762
SL Green Realty Corp.		34,858		1,609
Spirit Realty Capital, Inc.		73,347		2,771
STORE Capital Corp.		137,847		3,595

Total				97,891


Utilities (4.1%)
ALLETE, Inc.		31,066		1,826
Black Hills Corp.		35,340		2,572


Common Stocks (98.6%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
Essential Utilities, Inc.		125,572		5,757
Hawaiian Electric Industries, Inc.		59,823		2,447
IDACORP, Inc.		27,616		2,925
National Fuel Gas Co.		49,935		3,298
New Jersey Resources Corp.		52,586		2,342
NorthWestern Corp.		29,689		1,750
OGE Energy Corp.		109,241		4,212
ONE Gas, Inc.		29,498		2,395
PNM Resources, Inc.		47,011		2,246
Portland General Electric Co.		48,600		2,349
Southwest Gas Holdings, Inc.		36,476		3,176
Spire, Inc.		28,399		2,112
UGI Corp.		114,607		4,425

Total				43,832


Total Common Stocks (Cost: $885,805)				1,056,625


Short-Term Investments (1.3%)

Governments (0.1%)
US Treasury 0.000%, 11/25/22 b		1,255,000		1,245

Total				1,245


Money Market Funds (1.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		12,775,807		12,776

Total				12,776


Total Short-Term Investments
(Cost: $14,022)				14,021


Total Investments (99.9%)
(Cost: $899,827)^@				1,070,646

Other Assets, Less Liabilities (0.1%)				1,018

Net Assets (100.0%)				1,071,664

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)

E-Mini S&P MidCap 400 Futures

Long

USD

9/22

$14,969

$(619)

$(151)

$(619)

$(151)

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

$–

$(151)

$–

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

*	Non income producing

b	Cash or securities with an aggregate value of $1,245 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2022.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $899,827 and the net unrealized appreciation of investments based on that cost was $170,200 which is comprised of $259,968 aggregate gross unrealized appreciation and $89,768 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 Investments at June 30, 2022. 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	$	1,056,625		$	-	$	-
Short-Term Investments
Money Market Funds		12,776			-		-
All Others		-			1,245		-
Total Assets:	$	1,069,401		$	1,245	$	-
Liabilities:
Other Financial Instruments^
Futures		(619	)		-		-
Total Liabilities:	$	(619	)	$	-	$	-

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

Mid Cap Value Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Financials	20.8	%
Industrials	16.2	%
Health Care	12.8	%
Consumer Staples	8.6	%
Real Estate	8.2	%
Consumer Discretionary	7.8	%
Utilities	7.5	%
Information Technology	5.6	%
Energy	5.0	%
Materials	4.7	%
Communication Services	1.4	%
Short-Term Investments & Other Net Assets	1.4	%

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, 2022 (unaudited)


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (1.4%)
Fox Corp. - Class B		297,009		8,821

Total				8,821


Consumer Discretionary (7.8%)
Advance Auto Parts, Inc.		66,461		11,504
Aptiv PLC *		24,648		2,195
BorgWarner, Inc.		262,994		8,776
Bridgestone Corp.		52,700		1,923
Cracker Barrel Old Country Store, Inc.		27,722		2,314
Dollar Tree, Inc. *		73,485		11,453
Polaris, Inc.		39,553		3,927
Sodexo SA		89,778		6,309

Total				48,401


Consumer Staples (8.6%)
Conagra Brands, Inc.		395,335		13,536
General Mills, Inc.		29,239		2,206
Henkel AG & Co. KGaA		55,679		3,430
The J.M. Smucker Co.		48,258		6,178
Kellogg Co.		31,144		2,222
Kimberly-Clark Corp.		76,997		10,406
Koninklijke Ahold
Delhaize NV		444,319		11,575
Orkla ASA		503,896		4,027

Total				53,580


Energy (5.0%)
Baker Hughes		190,330		5,495
Devon Energy Corp.		105,747		5,828
Diamondback Energy, Inc.		26,297		3,186
Enterprise Products Partners LP		305,226		7,438
Phillips 66		62,115		5,093
Pioneer Natural Resources Co.		18,225		4,065

Total				31,105


Financials (20.8%)
Aflac, Inc.		144,744		8,009
The Allstate Corp.		106,036		13,438
Ameriprise Financial, Inc.		29,801		7,083
The Bank of New York Mellon Corp.		367,422		15,325
Capitol Federal Financial, Inc.		285,563		2,621
Chubb, Ltd.		16,018		3,149
Commerce Bancshares, Inc.		14,153		929


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
First Hawaiian, Inc.		399,365		9,070
The Hanover Insurance Group, Inc.		34,398		5,031
Northern Trust Corp.		166,058		16,021
Prosperity Bancshares, Inc.		141,445		9,656
Reinsurance Group of America, Inc.		98,980		11,609
State Street Corp.		37,613		2,319
T. Rowe Price Group, Inc.		94,143		10,696
Truist Financial Corp.		217,774		10,329
Westamerica Bancorporation		73,207		4,075

Total				129,360


Health Care (12.8%)
AmerisourceBergen Corp.		52,563		7,437
Baxter International, Inc.		48,114		3,090
Becton Dickinson and Co.		13,138		3,239
Cardinal Health, Inc.		84,663		4,425
DENTSPLY SIRONA, Inc.		114,258		4,082
Embecta Corp. *		148,061		3,749
Henry Schein, Inc. *		128,535		9,864
Koninklijke Philips NV		120,393		2,592
Quest Diagnostics, Inc.		92,809		12,342
Universal Health Services, Inc. - Class B		95,066		9,574
Zimmer Biomet Holdings, Inc.		186,845		19,630

Total				80,024


Industrials (16.2%)
Atkore, Inc. *		35,811		2,973
Beacon Roofing Supply, Inc. *		77,928		4,003
Cie de Saint-Gobain		124,630		5,348
Cummins, Inc.		32,806		6,349
Emerson Electric Co.		163,287		12,988
Heartland Express, Inc.		282,822		3,934
Hubbell, Inc.		13,278		2,371
Huntington Ingalls Industries, Inc.		31,376		6,834
IMI PLC		202,420		2,890
MSC Industrial Direct Co., Inc. - Class A		138,840		10,428
nVent Electric PLC		320,909		10,054
Oshkosh Corp.		117,364		9,640


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
PACCAR, Inc.		34,603		2,849
Republic Services, Inc.		23,233		3,041
Southwest Airlines Co. *		310,244		11,206
Stanley Black & Decker, Inc.		24,768		2,597
VINCI SA		38,956		3,469

Total				100,974


Information Technology (5.6%)
Amdocs, Ltd.		65,566		5,462
Applied Materials, Inc.		25,036		2,278
F5, Inc. *		41,967		6,423
HP, Inc.		181,714		5,957
Juniper Networks, Inc.		73,911		2,106
Open Text Corp.		164,017		6,206
TE Connectivity, Ltd.		57,549		6,512

Total				34,944


Materials (4.7%)
Akzo Nobel NV		72,765		4,775
Amcor PLC		156,769		1,949
Axalta Coating Systems, Ltd. *		222,704		4,924
Mondi PLC		259,377		4,594
Packaging Corp. of America		49,964		6,870
Sonoco Products Co.		114,235		6,516

Total				29,628


Real Estate (8.2%)
Equinix, Inc.		12,782		8,398
Essex Property Trust, Inc.		21,300		5,570
Healthcare Trust of America, Inc.		244,249		6,817
Healthpeak Properties, Inc.		369,010		9,561
Realty Income Corp.		78,046		5,327
Regency Centers Corp.		131,809		7,818
VICI Properties, Inc.		191,356		5,700
Weyerhaeuser Co.		66,895		2,216

Total				51,407


Utilities (7.5%)
Atmos Energy Corp.		21,434		2,403
Edison International		209,071		13,222
Evergy, Inc.		30,983		2,022
Eversource Energy		30,536		2,579
NorthWestern Corp.		152,654		8,996
Pinnacle West Capital Corp.		100,783		7,369

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

Mid Cap Value Portfolio


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Spire, Inc.		135,218		10,056

Total				46,647


Total Common Stocks
(Cost: $640,669)				614,891


Short-Term Investments (3.0%)

Money Market Funds (3.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		18,592,275		18,592

Total				18,592


Total Short-Term Investments
(Cost: $18,592)				18,592


Total Investments (101.6%)
(Cost: $659,261)^@				633,483

Other Assets, Less Liabilities (-1.6%)				(10,193	)

Net Assets (100.0%)				623,290

Over the Counter Derivatives Forward Foreign Currency Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)	Settlement Date	Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Goldman Sachs International	EUR	30,716	32,390	9/30/2022	$	134		$	—		$	134
Buy	Bank of America, NA	GBP	182	222	9/30/2022		—			(2	)		(2	)
Sell	Bank of America, NA	GBP	5,578	6,802	9/30/2022		50			—			50
Buy	Bank of America, NA	JPY	7,839	58	9/30/2022		—	π		—			—	π
Sell	Bank of America, NA	JPY	231,142	1,714	9/30/2022		9			—			9
Sell	Goldman Sachs International	NOK	33,014	3,358	9/30/2022		—	π		(43	)		(43	)
						$	193		$	(45	)	$	148


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts		Swaps		Total		Forward Foreign Currency Contracts			Options		Swaps		Total
Total Over the Counter Derivatives	$	193		—	$	193	$	(45	)		—		—	$	(45	)

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

*	Non income producing

#	7-Day yield as of 6/30/2022.

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

Mid Cap Value Portfolio

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $659,261 and the net unrealized depreciation of investments based on that cost was $25,630 which is comprised of $26,333 aggregate gross unrealized appreciation and $51,963 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

π	Amount is less than one thousand.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	614,891	$	-		$	-
Short-Term Investments		18,592		-			-
Other Financial Instruments^
Forward Foreign Currency Contracts		-		193			-
Total Assets:	$	633,483	$	193		$	-
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		-		(45	)		-
Total Liabilities:	$	-	$	(45	)	$	-

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

Small Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Information Technology		23.0	%
Health Care		22.6	%
Industrials		17.3	%
Consumer Discretionary		11.6	%
Energy		5.1	%
Consumer Staples		5.1	%
Financials		4.7	%
Real Estate		3.3	%
Materials		3.1	%
Communication Services		2.1	%
Short-Term Investments & Other Net Assets		1.2	%
Investment Companies		0.9	%

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, 2022 (unaudited)


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

Communication Services (2.1%)
Bumble, Inc. *		140,968		3,968
Cardlytics, Inc. *		104,368		2,329
Ziff Davis, Inc. *		77,308		5,762

Total				12,059


Consumer Discretionary (11.6%)
BJ’s Restaurants, Inc. *		130,925		2,838
Churchill Downs, Inc.		22,548		4,318
Crocs, Inc. *		76,893		3,742
Deckers Outdoor Corp. *		17,358		4,432
Fox Factory Holding Corp. *		67,812		5,461
GAN, Ltd. *		221,219		655
Mister Car Wash, Inc. *		323,779		3,523
Ollie’s Bargain Outlet Holdings, Inc. *		83,229		4,890
Patrick Industries, Inc.		85,238		4,419
Penn National Gaming, Inc. *		87,596		2,665
PVH Corp.		31,969		1,819
Shutterstock, Inc.		46,270		2,652
Texas Roadhouse, Inc.		103,596		7,583
Thor Industries, Inc.		50,731		3,791
TopBuild Corp. *		29,359		4,908
Wingstop, Inc.		78,637		5,880
YETI Holdings, Inc. *		83,078		3,595

Total				67,171


Consumer Staples (5.1%)
The Beauty Health Co. *		244,389		3,143
The Boston Beer Co., Inc. - Class A *		7,735		2,344
Freshpet, Inc. *		56,259		2,919
Lancaster Colony Corp.		34,805		4,482
Performance Food Group Co. *		171,584		7,889
The Simply Good Foods Co. *		107,580		4,063
Sovos Brands, Inc. *		298,982		4,745

Total				29,585


Energy (5.1%)
Helmerich & Payne, Inc.		118,785		5,115
Magnolia Oil & Gas Corp.		250,428		5,256
Ovintiv, Inc.		114,043		5,040
PDC Energy, Inc.		83,671		5,155
SM Energy Co.		139,993		4,786


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

Energy continued
Whiting Petroleum Corp.		63,635		4,329

Total				29,681


Financials (4.7%)
James River Group Holdings, Ltd.		102,355		2,536
MGIC Investment Corp.		378,961		4,775
OneMain Holdings, Inc.		118,280		4,421
Stifel Financial Corp.		82,779		4,637
Synovus Financial Corp.		108,147		3,899
Triumph Bancorp, Inc. *		65,325		4,087
Western Alliance Bancorp		43,661		3,083

Total				27,438


Health Care (22.6%)
Aclaris Therapeutics, Inc. *		166,986		2,331
Amedisys, Inc. *		20,088		2,112
Apellis Pharmaceuticals, Inc. *		85,187		3,852
Arrowhead Pharmaceuticals, Inc. *		28,167		992
Arvinas, Inc. *		80,671		3,395
AtriCure, Inc. *		58,349		2,384
Avidity Biosciences, Inc. *		101,581		1,476
Blueprint Medicines Corp. *		73,355		3,705
Celldex Therapeutics, Inc. *		97,413		2,626
Covetrus, Inc. *		168,340		3,493
Crinetics Pharmaceuticals, Inc. *		123,661		2,306
Cytokinetics, Inc. *		90,043		3,538
Glaukos Corp. *		75,074		3,410
Globus Medical, Inc. - Class A *		96,950		5,443
Haemonetics Corp. *		65,089		4,242
Harmony Biosciences Holdings, Inc. *		63,321		3,088
Health Catalyst, Inc. *		112,160		1,625
ImmunoGen, Inc. *		458,205		2,062
Inari Medical, Inc. *		53,748		3,654
Integra LifeSciences
Holdings Corp. *		102,736		5,551
Intellia Therapeutics, Inc. *		18,093		936


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

Health Care continued
Intra-Cellular
Therapies, Inc. *		67,074		3,829
Karuna Therapeutics, Inc. *		23,350		2,954
Kymera Therapeutics, Inc. *		69,577		1,370
LHC Group, Inc. *		28,882		4,498
Mirati Therapeutics, Inc. *		19,192		1,288
ModivCare, Inc. *		19,934		1,684
Morphic Holding, Inc. *		117,133		2,542
Nanostring Technologies, Inc. *		102,500		1,302
Neurocrine Biosciences, Inc. *		22,558		2,199
Nevro Corp. *		40,809		1,789
Omnicell, Inc. *		64,051		7,286
Owens & Minor, Inc.		172,883		5,437
Pacira Biosciences, Inc. *		58,247		3,396
PTC Therapeutics, Inc. *		85,518		3,426
R1 RCM, Inc. *		410,711		8,609
Revolution Medicines, Inc. *		139,460		2,718
Stoke Therapeutics, Inc. *		105,212		1,390
Syndax Pharmaceuticals, Inc. *		133,563		2,570
Tandem Diabetes Care, Inc. *		46,017		2,724
Turning Point Therapeutics, Inc. *		31,136		2,343
United Therapeutics Corp. *		10,121		2,385
Veracyte, Inc. *		70,194		1,397
Zentalis Pharmaceuticals, Inc. *		70,097		1,970

Total				131,327


Industrials (17.3%)
Altra Industrial Motion Corp.		81,572		2,876
Applied Industrial
Technologies, Inc.		85,821		8,253
Armstrong World
Industries, Inc.		52,562		3,940
ASGN, Inc. *		78,856		7,117
Boise Cascade Co.		36,765		2,187
CACI International, Inc. - Class A *		28,943		8,156

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

Small Cap Growth Stock Portfolio


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

Industrials continued
Casella Waste Systems, Inc. - Class A *		60,347		4,386
Chart Industries, Inc. *		47,564		7,961
Clean Harbors, Inc. *		32,498		2,849
Curtiss-Wright Corp.		37,301		4,926
Exponent, Inc.		49,097		4,491
Hydrofarm Holdings Group, Inc. *		149,546		521
Insperity, Inc.		60,634		6,053
ITT, Inc.		65,502		4,404
John Bean Technologies Corp.		62,924		6,948
SPX Corp. *		98,849		5,223
Tetra Tech, Inc.		30,197		4,123
WillScot Mobile Mini Holdings Corp. *		272,050		8,820
Zurn Water Solutions Corp.		252,455		6,877

Total				100,111


Information Technology (23.0%)
Alarm.com Holdings, Inc. *		70,913		4,387
Axcelis Technologies, Inc. *		91,707		5,029
Blackbaud, Inc. *		78,519		4,560
Cirrus Logic, Inc. *		55,584		4,032
Concentrix Corp.		49,332		6,691
Consensus Cloud Solutions, Inc. *		52,819		2,307
Digital Turbine, Inc. *		99,447		1,737
DigitalOcean Holdings, Inc. *		96,718		4,000
ExlService Holdings, Inc. *		48,937		7,210
Fabrinet *		63,276		5,132
Five9, Inc. *		38,866		3,542
II-VI, Inc. *		46,202		2,354
Insight Enterprises, Inc. *		53,654		4,629
Lattice Semiconductor Corp. *		75,272		3,651
LiveRamp Holdings, Inc. *		63,160		1,630
Lumentum Holdings, Inc. *		62,349		4,952
Manhattan Associates, Inc. *		52,158		5,977
MKS Instruments, Inc.		19,659		2,018
Olo, Inc. *		232,713		2,297
Perficient, Inc. *		78,250		7,175
Power Integrations, Inc.		96,349		7,227
Q2 Holdings, Inc. *		45,175		1,742
Rapid7, Inc. *		85,107		5,685
Repay Holdings Corp. *		300,418		3,860
Shift4 Payments, Inc. *		105,962		3,503
Silicon Laboratories, Inc. *		24,826		3,481


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

Information Technology continued
Sprout Social, Inc. *		87,835		5,101
Synaptics, Inc. *		44,871		5,297
Varonis Systems, Inc. *		135,977		3,987
Verra Mobility Corp. *		494,322		7,766
Workiva, Inc. *		40,484		2,672

Total				133,631


Materials (3.1%)
Axalta Coating Systems, Ltd. *		236,555		5,230
Cabot Corp.		43,664		2,785
Ingevity Corp. *		38,666		2,441
Livent Corp. *		194,187		4,406
Louisiana-Pacific Corp.		36,608		1,919
Ranpak Holdings Corp. *		175,648		1,230

Total				18,011


Real Estate (3.3%)
Essential Properties Realty Trust, Inc.		185,720		3,991
Independence Realty Trust, Inc.		271,179		5,621
Phillips Edison & Co., Inc.		108,447		3,623
Ryman Hospitality Properties, Inc. *		74,544		5,668

Total				18,903


Total Common Stocks
(Cost: $590,293)				567,917


Investment Companies (0.9%)

Investment Companies (0.9%)
iShares Russell 2000 Growth ETF		24,232		4,999

Total				4,999


Total Investment Companies
(Cost: $5,491)				4,999


Short-Term Investments (1.3%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (1.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		7,384,768		7,385

Total				7,385


Total Short-Term Investments
(Cost: $7,385)				7,385


Total Investments (100.1%)
(Cost: $603,169)^@				580,301

Other Assets, Less Liabilities (-0.1%)				(312	)

Net Assets (100.0%)				579,989

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 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $603,169 and the net unrealized depreciation of investments based on that cost was $22,868 which is comprised of $82,949 aggregate gross unrealized appreciation and $105,817 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 Investments at June 30, 2022. 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	$	567,917	$	-	$	-
Investment Companies		4,999		-		-
Short-Term Investments		7,385		-		-
Total Assets:	$	580,301	$	-	$	-

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

Index 600 Stock Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Financials		17.9	%
Industrials		16.0	%
Information Technology		13.3	%
Health Care		12.3	%
Consumer Discretionary		11.3	%
Real Estate		7.5	%
Consumer Staples		5.5	%
Materials		5.3	%
Energy		5.2	%
Utilities		2.3	%
Communication Services		2.0	%
Short-Term Investments & Other Net Assets		1.4	%

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 equity index futures for cash management and liquidity 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, 2022 (unaudited)


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (2.0%)
AMC Networks, Inc. - Class A *		12,372		360
ATN International, Inc.		4,507		212
Cars.com, Inc. *		26,997		255
Cinemark Holdings, Inc. *		44,420		667
Cogent Communications Holdings, Inc.		17,681		1,074
Consolidated Communications Holdings, Inc. *		29,458		206
The E.W. Scripps Co. - Class A *		23,666		295
Gannett Co., Inc. *		60,033		174
Gogo, Inc. *		28,301		458
Loyalty Ventures, Inc. *		8,185		29
The Marcus Corp. *		8,995		133
QuinStreet, Inc. *		21,202		213
Scholastic Corp.		12,538		451
Shenandoah Telecommunications Co.		20,670		459
TechTarget, Inc. *		11,017		724
Telephone and Data Systems, Inc.		40,869		645
Thryv Holdings, Inc. *		6,948		156
Yelp, Inc. *		27,600		767

Total				7,278


Consumer Discretionary (11.3%)
The Aaron’s Co., Inc.		12,729		185
Abercrombie & Fitch Co. - Class A *		20,884		353
Academy Sports & Outdoors, Inc.		35,372		1,257
Adtalem Global Education, Inc. *		18,700		673
American Axle & Manufacturing Holdings, Inc. *		47,427		357
American Public Education, Inc. *		7,691		124
America’s Car-Mart, Inc. *		2,530		255
Asbury Automotive Group, Inc. *		9,166		1,552
Bed Bath & Beyond, Inc. *		33,084		164
Big Lots, Inc.		11,832		248
BJ’s Restaurants, Inc. *		9,703		210
Bloomin’ Brands, Inc.		33,443		556
Boot Barn Holdings, Inc. *		12,359		852


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Brinker International, Inc. *		18,164		400
The Buckle, Inc.		12,184		337
Caleres, Inc.		15,811		415
The Cato Corp. - Class A		7,262		84
Cavco Industries, Inc. *		3,554		697
Century Communities, Inc.		12,004		540
The Cheesecake Factory, Inc.		20,338		537
Chico’s FAS, Inc. *		51,131		254
The Children’s Place, Inc.*		5,334		208
Chuy’s Holdings, Inc. *		7,852		156
Conn’s, Inc. *		6,415		52
Dave & Buster’s Entertainment, Inc. *		16,007		525
Designer Brands, Inc.		25,142		328
Dine Brands Global, Inc.		6,940		452
Dorman Products, Inc.*		11,721		1,286
El Pollo Loco Holdings, Inc.*		7,938		78
Ethan Allen Interiors, Inc.		9,015		182
Fossil Group, Inc. *		19,826		103
Genesco, Inc. *		5,351		267
Gentherm, Inc. *		13,722		856
G-III Apparel Group, Ltd.*		17,834		361
Golden Entertainment, Inc.*		8,423		333
Group 1 Automotive, Inc.		6,874		1,167
Guess?, Inc.		14,861		253
Haverty Furniture Cos., Inc.		5,753		133
Hibbett, Inc.		5,052		221
Installed Building Products, Inc.		9,587		797
iRobot Corp. *		11,141		410
Jack in the Box, Inc.		8,717		489
Kontoor Brands, Inc.		19,263		643
La-Z-Boy, Inc.		17,911		425
LCI Industries		10,524		1,177
LGI Homes, Inc. *		8,627		750
Liquidity Services, Inc.*		10,877		146
LL Flooring Holdings, Inc.*		12,354		116
M.D.C. Holdings, Inc.		23,577		762
M/I Homes, Inc. *		11,724		465
MarineMax, Inc. *		8,921		322


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Meritage Homes Corp.*		15,198		1,102
Monarch Casino & Resort, Inc. *		5,435		319
Monro, Inc.		13,853		594
Motorcar Parts of America, Inc. *		7,944		104
Movado Group, Inc.		6,672		206
National Vision Holdings, Inc. *		33,727		928
The ODP Corp. *		18,139		549
Oxford Industries, Inc.		6,365		565
Patrick Industries, Inc.		9,054		469
Perdoceo Education Corp.*		28,511		336
PetMed Express, Inc.		8,584		171
Rent-A-Center, Inc.		22,294		434
Ruth’s Hospitality Group, Inc.		12,939		210
Sally Beauty Holdings, Inc.*		44,330		528
Shake Shack, Inc. - Class A *		16,180		639
Shoe Carnival, Inc.		7,088		153
Shutterstock, Inc.		9,623		552
Signet Jewelers, Ltd.		19,629		1,049
Sleep Number Corp. *		9,211		285
Sonic Automotive, Inc. - Class A		8,098		297
Sonos, Inc. *		53,157		959
Standard Motor Products, Inc.		7,940		357
Steven Madden, Ltd.		31,094		1,002
Strategic Education, Inc.		9,511		671
Sturm, Ruger & Co., Inc.		7,270		463
TRI Pointe Homes, Inc. *		42,854		723
Tupperware Brands Corp. *		19,003		121
Unifi, Inc. *		5,703		80
Universal Electronics, Inc. *		5,355		137
Urban Outfitters, Inc. *		26,557		496
Vista Outdoor, Inc. *		23,234		648
Winnebago Industries, Inc.		13,578		659
Wolverine World Wide, Inc.		33,446		674
WW International, Inc. *		21,810		139
XPEL, Inc. *		6,887		316

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

Index 600 Stock Portfolio


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer Discretionary continued
Zumiez, Inc. *		6,850		178

Total				40,626


Consumer Staples (5.5%)
The Andersons, Inc.		13,032		430
B&G Foods, Inc.		28,533		679
Calavo Growers, Inc.		7,366		307
Cal-Maine Foods, Inc.		15,626		772
Celsius Holdings, Inc. *		15,924		1,039
Central Garden & Pet Co.*		3,980		169
Central Garden & Pet Co. - Class A *		16,471		659
The Chefs’ Warehouse, Inc.*		13,471		524
Coca-Cola Consolidated, Inc.		1,906		1,075
e.l.f. Beauty, Inc. *		19,831		608
Edgewell Personal Care Co.		21,872		755
Fresh Del Monte Produce, Inc.		13,829		408
Hostess Brands, Inc. *		57,357		1,217
Inter Parfums, Inc.		7,340		536
J & J Snack Foods Corp.		6,158		860
John B. Sanfilippo & Son, Inc.		3,709		269
Medifast, Inc.		4,769		861
MGP Ingredients, Inc.		5,178		518
National Beverage Corp.		9,657		473
PriceSmart, Inc.		9,973		714
Seneca Foods Corp. - Class A *		2,493		138
The Simply Good Foods Co. *		36,582		1,382
SpartanNash Co.		14,862		448
Tootsie Roll Industries, Inc.		7,433		263
TreeHouse Foods, Inc. *		23,203		970
United Natural Foods, Inc. *		24,204		954
Universal Corp.		10,162		615
USANA Health Sciences, Inc. *		4,770		345
Vector Group, Ltd.		54,552		573
WD-40 Co.		5,658		1,139

Total				19,700


Energy (5.2%)
Archrock, Inc.		56,056		463
Bristow Group, Inc. *		9,642		225
Callon Petroleum Co. *		19,692		772
Civitas Resources, Inc.		29,865		1,562
CONSOL Energy, Inc. *		13,265		655
Core Laboratories NV		19,369		384


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
DMC Global, Inc. *		7,888		142
Dorian LPG, Ltd.		11,296		172
Dril-Quip, Inc. *		14,299		369
Green Plains, Inc. *		22,294		606
Helix Energy Solutions Group, Inc. *		58,562		181
Helmerich & Payne, Inc.		43,605		1,878
Laredo Petroleum, Inc. *		6,020		415
Nabors Industries, Ltd. *		3,665		491
Oceaneering International, Inc. *		41,774		446
Oil States International, Inc. *		26,001		141
Par Pacific Holdings, Inc. *		19,049		297
Patterson-UTI Energy, Inc.		89,543		1,411
PBF Energy, Inc. *		39,445		1,145
ProPetro Holding Corp. *		35,487		355
Ranger Oil Corp. - Class A *		8,765		288
REX American Resources Corp. *		2,132		181
RPC, Inc. *		29,146		201
SM Energy Co.		50,481		1,726
Southwestern Energy Co. *		462,672		2,892
Talos Energy, Inc. *		17,196		266
US Silica Holdings, Inc. *		31,267		357
World Fuel Services Corp.		26,092		534

Total				18,555


Financials (17.9%)
Allegiance Bancshares, Inc.		7,858		297
Ambac Financial Group, Inc. *		18,880		214
American Equity Investment Life Holding Co.		31,991		1,170
Ameris Bancorp		27,326		1,098
AMERISAFE, Inc.		8,030		418
Apollo Commercial Real Estate Finance, Inc.		54,652		571
ARMOUR Residential REIT, Inc.		42,879		302
Assured Guaranty, Ltd.		26,546		1,481
Axos Financial, Inc. *		22,142		794
B. Riley Financial, Inc.		6,672		282
Banc of California, Inc.		21,991		387
BancFirst Corp.		7,865		753
The Bancorp, Inc. *		23,424		457


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
BankUnited, Inc.		33,882		1,205
Banner Corp.		14,288		803
Berkshire Hills Bancorp, Inc.		19,617		486
Blucora, Inc. *		19,578		361
Brightsphere Investment Group, Inc.		13,395		241
Brookline Bancorp, Inc.		32,077		427
Capitol Federal Financial, Inc.		53,319		489
Central Pacific Financial Corp.		11,530		247
City Holding Co.		6,245		499
Columbia Banking System, Inc.		32,170		922
Community Bank System, Inc.		22,332		1,413
Customers Bancorp, Inc. *		12,509		424
CVB Financial Corp.		54,918		1,363
Dime Community Bancshares, Inc.		13,337		395
Donnelley Financial Solutions, Inc. *		11,588		339
Eagle Bancorp, Inc.		13,339		632
eHealth, Inc. *		9,654		90
Ellington Financial, Inc.		23,520		345
Employers Holdings, Inc.		11,554		484
Encore Capital Group, Inc. *		10,049		581
Enova International, Inc. *		13,490		389
EZCORP, Inc. - Class A *		22,024		165
FB Financial Corp.		14,737		578
First Bancorp		96,101		1,555
First Commonwealth Financial Corp.		38,879		522
First Financial Bancorp		39,272		762
First Hawaiian, Inc.		53,086		1,206
Flagstar Bancorp, Inc.		21,993		780
Franklin BSP Realty Trust, Inc.		34,695		468
Genworth Financial, Inc. - Class A *		211,593		747
Granite Point Mortgage Trust, Inc.		21,980		210
Green Dot Corp. - Class A *		22,609		568
Hanmi Financial Corp.		12,648		284
HCI Group, Inc.		3,281		222
Heritage Financial Corp. of Washington		14,549		366
Hilltop Holdings, Inc.		20,596		549
HomeStreet, Inc.		7,754		269
Hope Bancorp, Inc.		49,730		688

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

Index 600 Stock Portfolio


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Horace Mann Educators Corp.		17,141		658
Independent Bank Corp.		19,375		1,539
Independent Bank Group, Inc.		15,062		1,023
Invesco Mortgage Capital, Inc.		13,706		201
James River Group Holdings, Ltd.		15,466		383
KKR Real Estate Finance Trust, Inc.		20,565		359
Lakeland Financial Corp.		10,453		694
LendingTree, Inc. *		4,550		199
Meta Financial Group, Inc.		12,171		471
Mr. Cooper Group, Inc.*		30,610		1,125
National Bank Holding Corp. - Class A		12,387		474
NBT Bancorp, Inc.		17,759		668
New York Mortgage Trust, Inc.		156,794		433
NMI Holdings, Inc. - Class A *		35,449		590
Northfield Bancorp, Inc.		17,744		231
Northwest Bancshares, Inc.		52,463		672
OFG Bancorp		20,142		512
Pacific Premier Bancorp, Inc.		39,306		1,149
Palomar Holdings, Inc.*		9,981		643
Park National Corp.		5,983		725
PennyMac Mortgage Investment Trust		38,145		528
Piper Sandler Cos.		5,883		667
PRA Group, Inc. *		16,485		599
Preferred Bank		5,596		381
ProAssurance Corp.		22,304		527
PROG Holdings, Inc. *		22,390		369
Provident Financial Services, Inc.		31,235		695
Ready Capital Corp.		27,855		332
Redwood Trust, Inc.		49,867		384
Renasant Corp.		23,053		664
S&T Bancorp, Inc.		16,291		447
Safety Insurance Group, Inc.		5,799		563
Seacoast Banking Corp. of Florida		25,376		838
Selectquote, Inc. *		51,250		127
ServisFirst Bancshares, Inc.		20,238		1,597
Simmons First National Corp. - Class A		52,581		1,118
SiriusPoint, Ltd. *		35,144		190


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Southside Bancshares, Inc.		13,360		500
Stewart Information Services Corp.		11,120		553
StoneX Group, Inc. *		7,072		552
Tompkins Financial Corp.		4,849		350
Triumph Bancorp, Inc. *		9,775		612
Trupanion, Inc. *		14,303		862
TrustCo Bank Corp.		8,012		247
Trustmark Corp.		25,481		744
Two Harbors Investment Corp.		142,197		708
United Community Banks, Inc.		43,459		1,312
United Fire Group, Inc.		9,003		308
Universal Insurance Holdings, Inc.		11,460		149
Veritex Holdings, Inc.		22,348		654
Virtus Investment Partners, Inc.		2,910		498
Walker & Dunlop, Inc.		12,625		1,216
Westamerica Bancorporation		11,096		618
WisdomTree Investments, Inc.		45,301		230
World Acceptance Corp. *		1,514		170
WSFS Financial Corp.		26,816		1,075

Total				64,431


Health Care (12.3%)
Addus HomeCare Corp. *		6,658		555
Allscripts Healthcare Solutions, Inc. *		48,056		713
AMN Healthcare Services, Inc. *		18,521		2,032
Amphastar Pharmaceuticals, Inc.*		15,576		542
AngioDynamics, Inc. *		16,055		311
ANI Pharmaceuticals, Inc. *		5,429		161
Anika Therapeutics, Inc. *		5,925		132
Apollo Medical Holdings, Inc. *		15,787		609
Arcus Biosciences, Inc. *		19,310		489
Artivion, Inc. *		16,657		315
Avanos Medical, Inc. *		19,611		536
Avid Bioservices, Inc. *		25,490		389
BioLife Solutions, Inc. *		12,748		176
Cara Therapeutics, Inc. *		17,168		157
Cardiovascular Systems, Inc. *		16,843		242


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Coherus Biosciences, Inc.*		26,590		193
Collegium Pharmaceutical, Inc.*		14,079		250
Community Health Systems, Inc. *		52,458		197
Computer Programs and Systems, Inc. *		6,198		198
CONMED Corp.		12,229		1,171
Corcept Therapeutics, Inc. *		39,777		946
CorVel Corp. *		3,880		571
Covetrus, Inc. *		43,307		899
Cross Country Healthcare, Inc. *		14,708		306
Cutera, Inc. *		6,764		254
Cytokinetics, Inc. *		35,475		1,394
Dynavax Technologies Corp. *		48,656		613
Eagle Pharmaceuticals, Inc. *		4,626		206
Embecta Corp. *		23,941		606
Emergent BioSolutions, Inc. *		18,525		575
Enanta Pharmaceuticals, Inc. *		7,541		356
Ensign Group, Inc.		21,842		1,605
Fulgent Genetics, Inc. *		8,165		445
Glaukos Corp. *		19,561		888
Hanger, Inc. *		15,292		219
Harmony Biosciences Holdings, Inc. *		9,429		460
HealthStream, Inc. *		10,058		218
Heska Corp. *		4,428		419
Innoviva, Inc. *		25,866		382
Inogen, Inc. *		8,638		209
Integer Holdings Corp.*		13,759		972
Ironwood Pharmaceuticals, Inc. *		63,717		735
iTeos Therapeutics, Inc. *		8,231		170
The Joint Corp. *		5,907		90
Lantheus Holdings, Inc. *		28,427		1,877
LeMaitre Vascular, Inc.		7,977		363
Ligand Pharmaceuticals, Inc. - Class B *		6,984		623
MEDNAX, Inc. *		35,589		748
Meridian Bioscience, Inc. *		18,021		548
Merit Medical Systems, Inc. *		21,157		1,148
Mesa Laboratories, Inc.		2,167		442
ModivCare, Inc. *		5,094		430

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

Index 600 Stock Portfolio


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Myriad Genetics, Inc. *		33,322		605
Natus Medical, Inc. *		14,326		469
Nektar Therapeutics *		76,597		291
NeoGenomics, Inc. *		51,696		421
NextGen Healthcare, Inc. *		23,228		405
Omnicell, Inc. *		18,278		2,079
OptimizeRx Corp. *		7,518		206
OraSure Technologies, Inc.*		29,550		80
Organogenesis Holdings, Inc. *		25,760		126
Orthofix Medical, Inc. *		8,238		194
Owens & Minor, Inc.		31,433		989
Pacira Biosciences, Inc.*		18,822		1,097
The Pennant Group, Inc.*		11,097		142
Phibro Animal Health Corp. - Class A		8,328		159
Prestige Consumer Healthcare, Inc. *		20,907		1,229
RadNet, Inc. *		19,343		334
REGENXBIO, Inc. *		15,568		385
Select Medical Holdings Corp.		42,749		1,010
Simulations Plus, Inc.		6,543		323
Supernus Pharmaceuticals, Inc.*		21,986		636
Surmodics, Inc. *		5,836		217
uniQure NV *		15,235		284
US Physical Therapy, Inc.		5,382		588
Vanda Pharmaceuticals, Inc.*		23,511		256
Varex Imaging Corp. *		16,417		351
Vericel Corp. *		19,353		487
Vir Biotechnology, Inc. *		30,704		782
Xencor, Inc. *		24,667		675
Zimvie, Inc. *		8,566		137
Zynex, Inc.		9,180		73

Total				44,115


Industrials (16.0%)
AAON, Inc.		17,367		951
AAR Corp. *		13,771		576
ABM Industries, Inc.		27,691		1,202
Aerojet Rocketdyne Holdings, Inc. *		30,994		1,258
Aerovironment, Inc. *		9,600		789
Alamo Group, Inc.		4,087		476
Albany International Corp. - Class A		13,050		1,028
Allegiant Travel Co. *		6,333		716
American Woodmark Corp.*		6,887		310


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Apogee Enterprises, Inc.		9,200		361
Applied Industrial Technologies, Inc.		15,924		1,531
ArcBest Corp.		10,140		714
Arcosa, Inc.		20,016		929
Astec Industries, Inc.		9,443		385
Atlas Air Worldwide Holdings, Inc. *		10,856		670
AZZ, Inc.		10,199		416
Barnes Group, Inc.		19,258		600
Boise Cascade Co.		16,375		974
Brady Corp. - Class A		19,904		940
CIRCOR International, Inc.*		8,286		136
Comfort Systems USA, Inc.		14,904		1,239
CoreCivic, Inc. *		50,364		560
Deluxe Corp.		17,850		387
DXP Enterprises, Inc. *		7,065		216
Encore Wire Corp.		8,171		849
Enerpac Tool Group Corp.		24,923		474
EnPro Industries, Inc.		8,592		704
ESCO Technologies, Inc.		10,752		735
Exponent, Inc.		21,462		1,963
Federal Signal Corp.		25,112		894
Forrester Research, Inc.*		4,528		217
Forward Air Corp.		11,121		1,023
Franklin Electric Co., Inc.		16,116		1,181
The GEO Group, Inc. *		50,901		336
Gibraltar Industries, Inc.*		13,527		524
GMS, Inc. *		17,832		793
Granite Construction, Inc.		18,770		547
The Greenbrier Cos., Inc.		13,449		484
Griffon Corp.		19,844		556
Harsco Corp. *		32,857		234
Hawaiian Holdings, Inc.*		21,216		304
Healthcare Services Group, Inc.		30,810		536
Heartland Express, Inc.		19,063		265
Heidrick & Struggles International, Inc.		8,144		264
Hillenbrand, Inc.		29,707		1,217
HNI Corp.		17,554		609
Hub Group, Inc. - Class A *		14,128		1,002
Insteel Industries, Inc.		8,063		271
Interface, Inc.		24,540		308
John Bean Technologies Corp.		13,165		1,454
Kaman Corp.		11,511		360


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
KAR Auction Services, Inc. *		50,075		740
Kelly Services, Inc. - Class A		14,317		284
Korn Ferry		22,321		1,295
Lindsay Corp.		4,533		602
ManTech International Corp. - Class A		11,448		1,093
Marten Transport, Ltd.		24,415		411
Matson, Inc.		16,789		1,224
Matthews International Corp. - Class A		13,052		374
Meritor, Inc. *		29,445		1,070
Moog, Inc. - Class A		12,013		954
Mueller Industries, Inc.		23,568		1,256
MYR Group, Inc. *		7,045		621
National Presto Industries, Inc.		2,080		136
NOW, Inc. *		45,680		447
NV5 Global, Inc. *		4,944		577
Park Aerospace Corp.		7,997		102
PGT Innovations, Inc. *		24,675		411
Pitney Bowes, Inc.		67,551		245
Powell Industries, Inc.		3,664		86
Proto Labs, Inc. *		11,413		546
Quanex Building Products Corp.		13,911		316
Resideo Technologies, Inc.*		60,105		1,167
Resources Connection, Inc.		12,884		262
SkyWest, Inc. *		20,823		442
SPX Corp. *		18,968		1,002
Standex International Corp.		5,005		424
Tennant Co.		7,651		453
Titan International, Inc.*		21,294		322
Trinity Industries, Inc.		28,999		702
Triumph Group, Inc. *		26,697		355
TrueBlue, Inc. *		13,785		247
UFP Industries, Inc.		25,984		1,771
UniFirst Corp.		6,286		1,082
Veritiv Corp. *		5,764		626
Viad Corp. *		8,538		236
Wabash National Corp.		20,572		279

Total				57,628


Information Technology (13.3%)
3D Systems Corp. *		53,990		524
8x8, Inc. *		48,941		252
A10 Networks, Inc.		24,185		348
ADTRAN, Inc.		20,366		357
Advanced Energy Industries, Inc.		15,558		1,135
Agilysys, Inc. *		8,128		384
Alarm.com Holdings, Inc.*		19,086		1,181

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

Index 600 Stock Portfolio


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
Alpha & Omega Semiconductor, Ltd. *		8,971		299
Arlo Technologies, Inc. *		35,988		226
Axcelis Technologies, Inc. *		13,678		750
Badger Meter, Inc.		12,123		981
Benchmark Electronics, Inc.		14,609		330
CalAmp Corp. *		14,807		62
Cerence, Inc. *		16,195		409
CEVA, Inc. *		9,541		320
Cohu, Inc. *		20,130		559
Comtech Telecommunications Corp.		10,735		97
Consensus Cloud Solutions, Inc. *		6,608		289
Corsair Gaming, Inc. *		13,869		182
CSG Systems International, Inc.		12,890		769
CTS Corp.		13,328		454
Diebold, Inc. *		29,881		68
Digi International, Inc. *		14,701		356
Digital Turbine, Inc. *		36,528		638
Diodes, Inc. *		18,739		1,210
Ebix, Inc.		9,916		168
ePlus, Inc. *		11,110		590
EVERTEC, Inc.		24,591		907
ExlService Holdings, Inc. *		13,802		2,033
Extreme Networks, Inc. *		54,208		483
Fabrinet *		15,236		1,236
FARO Technologies, Inc. *		7,556		233
FormFactor, Inc. *		32,337		1,252
Harmonic, Inc. *		43,291		375
Ichor Holdings, Ltd. *		11,800		306
Insight Enterprises, Inc. *		14,521		1,253
InterDigital, Inc.		12,788		777
Itron, Inc. *		18,725		926
Knowles Corp. *		37,953		658
Kulicke and Soffa Industries, Inc.		24,491		1,048
LivePerson, Inc. *		28,694		406
LiveRamp Holdings, Inc.*		28,246		729
MaxLinear, Inc. - Class A *		29,418		1,000
Methode Electronics, Inc. - Class A		15,277		566
NETGEAR, Inc. *		11,914		221
NetScout Systems, Inc.*		30,578		1,035
OneSpan, Inc. *		14,054		167
Onto Innovation, Inc. *		20,503		1,430
OSI Systems, Inc. *		6,568		561


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
PC Connection, Inc.		4,503		198
PDF Solutions, Inc. *		12,442		268
Perficient, Inc. *		14,352		1,316
Photronics, Inc. *		25,542		497
Plantronics, Inc. *		17,682		702
Plexus Corp. *		11,485		901
Progress Software Corp.		18,127		821
Rambus, Inc. *		45,555		979
Rogers Corp. *		7,761		2,034
Sanmina Corp. *		25,206		1,027
ScanSource, Inc. *		10,458		326
SMART Global Holdings, Inc. *		19,407		318
SPS Commerce, Inc. *		14,943		1,689
TTEC Holdings, Inc.		7,578		514
TTM Technologies, Inc.*		41,861		523
Ultra Clean Holdings, Inc.*		18,560		552
Unisys Corp. *		27,754		334
Veeco Instruments, Inc. *		21,245		412
Viavi Solutions, Inc. *		94,379		1,249
Vonage Holdings Corp.*		104,826		1,975
Xperi Holding Corp.		43,230		624

Total				47,799


Materials (5.3%)
AdvanSix, Inc.		11,617		388
Allegheny Technologies, Inc. *		51,414		1,168
American Vanguard Corp.		11,211		251
Arconic Corp. *		43,817		1,229
Balchem Corp.		13,302		1,726
Carpenter Technology Corp.		19,937		556
Century Aluminum Co. *		20,890		154
Clearwater Paper Corp. *		6,851		230
Compass Minerals International, Inc.		14,075		498
FutureFuel Corp.		10,628		77
GCP Applied Technologies, Inc. *		22,298		698
Glatfelter Corp.		18,208		125
H.B. Fuller Co.		21,989		1,324
Hawkins, Inc.		7,815		282
Haynes International, Inc.		5,195		170
Innospec, Inc.		10,269		984
Kaiser Aluminum Corp.		6,555		518
Koppers Holdings, Inc.		8,705		197
Livent Corp. *		66,993		1,520
Materion Corp.		8,532		629


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Materials continued
Mercer International, Inc.		16,499		217
Myers Industries, Inc.		15,061		342
Neenah, Inc.		7,053		241
O-I Glass, Inc. *		64,871		908
Olympic Steel, Inc.		3,821		98
Quaker Chemical Corp.		5,549		830
Rayonier Advanced Materials, Inc. *		26,149		69
Schweitzer-Mauduit International, Inc.		13,048		328
Stepan Co.		8,802		892
SunCoke Energy, Inc.		34,558		235
Sylvamo Corp.		14,581		477
TimkenSteel Corp. *		17,061		319
Tredegar Corp.		10,488		105
Trinseo PLC		14,976		576
Warrior Met Coal, Inc.		21,459		657

Total				19,018


Real Estate (7.5%)
Acadia Realty Trust		39,318		614
Agree Realty Corp.		31,131		2,245
Alexander & Baldwin, Inc.		29,952		538
American Assets Trust, Inc.		21,769		647
Armada Hoffler Properties, Inc.		28,236		363
Brandywine Realty Trust		70,859		683
CareTrust REIT, Inc.		40,148		740
Centerspace		6,366		519
Chatham Lodging Trust *		20,284		212
Community Healthcare Trust, Inc.		9,729		352
DiamondRock Hospitality Co. *		87,083		715
Diversified Healthcare Trust		98,165		179
Douglas Elliman, Inc.		28,636		137
Easterly Government Properties, Inc.		37,612		716
Essential Properties Realty Trust, Inc.		54,326		1,167
Four Corners Property Trust, Inc.		33,292		885
Franklin Street Properties Corp.		38,915		162
Getty Realty Corp.		16,853		447
Global Net Lease, Inc.		42,882		607
Hersha Hospitality Trust *		13,436		132
Industrial Logistics Properties Trust		27,043		381
Innovative Industrial Properties, Inc.		11,586		1,273
iStar, Inc.		34,323		471

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

Index 600 Stock Portfolio


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Real Estate continued
LTC Properties, Inc.		16,278		625
LXP Industrial Trust		118,726		1,275
Marcus & Millichap, Inc.		10,151		375
NexPoint Residential Trust, Inc.		9,582		599
Office Properties Income Trust		20,044		400
Orion Office REIT, Inc.		23,793		261
RE/MAX Holdings, Inc. - Class A		7,998		196
Realogy Holdings Corp. *		48,958		481
Retail Opportunity Investments Corp.		51,501		813
RPT Realty		35,334		347
Safehold, Inc.		6,417		227
Saul Centers, Inc.		5,424		256
Service Properties Trust		68,312		357
SITE Centers Corp.		75,302		1,014
The St. Joe Co.		13,629		539
Summit Hotel Properties, Inc. *		44,044		320
Tanger Factory Outlet Centers, Inc.		43,369		617
Uniti Group, Inc.		98,363		927
Universal Health Realty Income Trust		5,330		284
Urban Edge Properties		45,909		698
Urstadt Biddle Properties, Inc. - Class A		12,584		204
Veris Residential, Inc. *		33,093		438
Washington Real Estate Investment Trust		36,219		772
Whitestone REIT		19,470		209
Xenia Hotels & Resorts, Inc. *		47,614		692

Total				27,111


Utilities (2.3%)
American States Water Co.		15,305		1,248
Avista Corp.		29,998		1,305
California Water Service Group		22,272		1,237
Chesapeake Utilities Corp.		7,350		952
Middlesex Water Co.		7,229		634
Northwest Natural Holding Co.		14,188		753
South Jersey Industries, Inc.		50,698		1,731


Common Stocks (98.6%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Unitil Corp.		6,633		390

Total				8,250


Total Common Stocks
(Cost: $325,711)				354,511


Short-Term Investments (1.1%)

Governments (0.1%)
US Treasury 0.010%, 11/25/22 b		495,000		491

Total				491


Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		3,472,328		3,472

Total				3,472


Total Short-Term Investments
(Cost: $3,964)				3,963


Total Investments (99.7%)
(Cost: $329,675)^@				358,474

Other Assets, Less Liabilities (0.3%)				918

Net Assets (100.0%)				359,392

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

Index 600 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 Russell 2000 Index Futures	Long	USD	3	56	9/22 $	4,782	$	(110	)	$	(39	)
							$	(110	)	$	(39	)

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

–

(39

)

(39

)

–

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

*	Non income producing

b	Cash or securities with an aggregate value of $491 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2022.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $329,675 and the net unrealized appreciation of investments based on that cost was $28,689 which is comprised of $74,740 aggregate gross unrealized appreciation and $46,051 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 Investments at June 30, 2022. 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	$	354,511		$	-	$	-
Short-Term Investments
Money Market Funds		3,472			-		-
All Others		-			491		-
Total Assets:	$	357,983		$	491	$	-
Liabilities:
Other Financial Instruments^
Futures		(110	)		-		-
Total Liabilities:	$	(110	)	$	-	$	-

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

Small Cap Value Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Financials		25.9	%
Industrials		14.3	%
Health Care		10.6	%
Real Estate		9.6	%
Consumer Discretionary		8.2	%
Information Technology		6.9	%
Energy		6.0	%
Utilities		5.7	%
Materials		4.6	%
Consumer Staples		3.4	%
Short-Term Investments & Other Net Assets		2.6	%
Communication Services		2.2	%

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, 2022 (unaudited)


Common Stocks (97.4%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (2.2%)
Advantage Solutions, Inc. *		312,514		1,188
Boston Omaha Corp. *		109,275		2,256
Cable One, Inc.		4,332		5,585
Integral Ad Science Holding Corp. *		65,946		655
Scholastic Corp.		56,020		2,015

Total				11,699


Consumer Discretionary (8.2%)
BJ’s Restaurants, Inc. *		74,353		1,612
Cavco Industries, Inc. *		20,058		3,931
Dorman Products, Inc. *		34,024		3,733
Farfetch, Ltd. *		177,400		1,270
Floor & Decor Holdings, Inc. *		4,500		283
Hibbett, Inc.		27,616		1,207
LCI Industries		25,422		2,844
LL Flooring Holdings, Inc. *		150,231		1,408
Marriott Vacations Worldwide Corp.		25,547		2,969
Meritage Homes Corp. *		34,352		2,491
Monro, Inc.		52,817		2,265
Ollie’s Bargain Outlet Holdings, Inc. *		12,900		758
Papa John’s International, Inc.		41,252		3,445
Petco Health & Wellness Co., Inc. *		105,583		1,556
Pool Corp.		3,556		1,249
Rent the Runway, Inc. *		19,915		61
Steven Madden, Ltd.		115,954		3,735
Strategic Education, Inc.		77,004		5,435
Visteon Corp. *		27,047		2,802
Warby Parker, Inc. *		40,144		452
Xometry, Inc. *		6,139		208

Total				43,714


Consumer Staples (3.4%)
BellRing Brands, Inc. *		27,904		695
Coca-Cola Consolidated, Inc.		8,611		4,856
Grocery Outlet Holding Corp. *		51,155		2,181
Nomad Foods, Ltd. *		260,194		5,201
Post Holdings, Inc. *		32,343		2,663
The Simply Good Foods Co. *		71,436		2,698

Total				18,294


Common Stocks (97.4%)	Shares/ Par⁺		Value $ (000’s)

Energy (6.0%)
Cactus, Inc.		128,954		5,193
ChampionX Corp.		256,754		5,097
International Seaways, Inc.		69,472		1,473
Liberty Oilfield Services, Inc. *		243,099		3,102
Magnolia Oil & Gas Corp.		309,953		6,506
Matador Resources Co.		201,257		9,376
REX American Resources Corp. *		13,326		1,130

Total				31,877


Financials (25.9%)
BankUnited, Inc.		163,440		5,814
BRP Group, Inc. *		192,350		4,645
Columbia Banking System, Inc.		115,649		3,313
CrossFirst Bankshares, Inc. *		160,925		2,124
Eastern Bankshares, Inc.		135,343		2,498
FB Financial Corp.		118,122		4,633
Glacier Bancorp, Inc.		85,178		4,039
Green Dot Corp. - Class A *		69,655		1,749
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		120,482		4,562
HarborOne Bancorp, Inc.		238,355		3,287
Hercules Capital, Inc.		117,845		1,590
Home BancShares, Inc.		294,037		6,107
Houlihan Lokey, Inc.		59,035		4,660
Independent Bank Corp.		62,762		4,985
James River Group Holdings, Ltd.		127,117		3,150
Live Oak Bancshares, Inc.		126,638		4,292
National Bank Holding Corp. - Class A		109,117		4,176
NerdWallet, Inc. *		68,419		543
Origin Bancorp, Inc.		90,930		3,528
Palomar Holdings, Inc. *		40,676		2,620
PCSB Financial Corp.		77,169		1,473
PennyMac Financial Services, Inc.		77,708		3,397
PennyMac Mortgage Investment Trust		190,263		2,631


Common Stocks (97.4%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Pinnacle Financial
Partners, Inc.		95,476		6,904
Popular, Inc.		63,629		4,895
PRA Group, Inc. *		34,538		1,256
ProAssurance Corp.		119,185		2,816
PROG Holdings, Inc. *		57,217		944
Radian Group, Inc.		204,856		4,025
Ryan Specialty Group Holdings, Inc. *		67,839		2,659
Southern First Bancshares, Inc. *		65,527		2,856
StepStone Group, Inc.		80,150		2,086
Texas Capital Bancshares, Inc. *		40,100		2,111
Towne Bank		161,854		4,394
Veritex Holdings, Inc.		31,097		910
Virtus Investment Partners, Inc.		20,542		3,513
Walker & Dunlop, Inc.		32,663		3,147
Webster Financial Corp.		73,572		3,101
Western Alliance Bancorp		108,573		7,665
WSFS Financial Corp.		146,150		5,859

Total				138,957


Health Care (10.6%)
Agiliti, Inc. *		139,793		2,867
Apellis Pharmaceuticals, Inc. *		51,247		2,317
Arvinas, Inc. *		31,811		1,339
Ascendis Pharma A/S *		11,800		1,097
Atrion Corp.		7,220		4,540
Blueprint Medicines Corp. *		34,350		1,735
CRISPR Therapeutics AG *		20,400		1,240
Embecta Corp. *		68,310		1,730
Ensign Group, Inc.		41,807		3,072
Fate Therapeutics, Inc. *		41,000		1,016
FIGS, Inc. *		172,787		1,574
Insmed, Inc. *		101,510		2,002
Ionis Pharmaceuticals, Inc. *		47,900		1,773
Karuna Therapeutics, Inc. *		13,763		1,741
Kymera Therapeutics, Inc. *		50,238		989
Molina Healthcare, Inc. *		4,505		1,260
MultiPlan Corp. *		222,000		1,219
Nkarta, Inc. *		111,412		1,373

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

Small Cap Value Portfolio


Common Stocks (97.4%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Option Care Health, Inc. *		211,048		5,865
Pacific Biosciences of California, Inc. *		111,824		494
The Pennant Group, Inc. *		76,204		976
Phreesia, Inc. *		81,608		2,041
Prothena Corp. PLC *		38,900		1,056
QuidelOrtho Corp. *		25,745		2,502
Replimune Group, Inc. *		25,110		439
Select Medical Holdings Corp.		246,413		5,820
Ultragenyx Pharmaceutical, Inc. *		23,685		1,413
Xencor, Inc. *		77,623		2,125
Zentalis Pharmaceuticals, Inc. *		46,309		1,301

Total				56,916


Industrials (14.3%)
ABM Industries, Inc.		33,030		1,434
Alamo Group, Inc.		15,775		1,837
Allegiant Travel Co. *		17,590		1,989
Aris Water Solutions, Inc.		100,087		1,670
Beacon Roofing Supply, Inc. *		102,596		5,269
Blue Bird Corp. *		77,902		718
Brady Corp. - Class A		72,374		3,419
CIRCOR International, Inc. *		102,039		1,672
Enerpac Tool Group Corp.		73,330		1,395
ESCO Technologies, Inc.		48,535		3,318
FTI Consulting, Inc. *		10,757		1,945
Helios Technologies, Inc.		70,153		4,648
Herc Holdings, Inc.		9,500		856
JELD-WEN Holding, Inc. *		92,210		1,345
Landstar System, Inc.		29,032		4,222
McGrath RentCorp		38,841		2,952
MSA Safety, Inc.		17,592		2,130
Parsons Corp. *		57,441		2,322
RBC Bearings, Inc. *		11,800		2,182
Regal Rexnord Corp.		29,930		3,398
Shoals Technologies Group, Inc. *		154,797		2,551
SPX Corp. *		62,666		3,311
Stericycle, Inc. *		30,808		1,351
The Timken Co.		23,180		1,230
Triumph Group, Inc. *		326,230		4,336
UFP Industries, Inc.		107,021		7,292
Univar Solutions, Inc. *		138,045		3,433
Valmont Industries, Inc.		9,900		2,224


Common Stocks (97.4%)	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Zurn Water Solutions Corp.		68,200		1,858

Total				76,307


Information Technology (6.9%)
Belden, Inc.		125,531		6,687
Clearwater Analytics Holdings, Inc. *		34,565		416
Conduent, Inc. *		242,100		1,046
Entegris, Inc.		20,388		1,878
Harmonic, Inc. *		655,069		5,680
Knowles Corp. *		61,300		1,062
Littelfuse, Inc.		31,754		8,067
MaxLinear, Inc. - Class A *		55,443		1,884
nCino, Inc. *		54,016		1,670
Onto Innovation, Inc. *		26,140		1,823
PAR Technology Corp. *		30,659		1,149
Paycor HCM, Inc. *		111,000		2,886
Payoneer Global, Inc. *		426,900		1,674
Workiva, Inc. *		19,069		1,258

Total				37,180


Materials (4.6%)
Carpenter Technology Corp.		88,496		2,470
Clearwater Paper Corp. *		84,441		2,840
Constellium SE *		253,757		3,352
Element Solutions, Inc.		200,700		3,572
Myers Industries, Inc.		151,345		3,440
Orion Engineered Carbons SA		150,258		2,333
Quaker Chemical Corp.		21,212		3,172
Reliance Steel & Aluminum Co.		19,927		3,385

Total				24,564


Real Estate (9.6%)
American Campus Communities, Inc.		39,061		2,518
Apple Hospitality REIT, Inc.		331,554		4,864
EastGroup Properties, Inc.		31,203		4,816
Essential Properties Realty Trust, Inc.		117,907		2,534
eXp World Holdings, Inc.		38,100		448
FirstService Corp.		15,400		1,867
JBG SMITH Properties		165,099		3,903
NexPoint Residential Trust, Inc.		13,400		838
Opendoor Technologies, Inc. *		249,400		1,175
PotlatchDeltic Corp.		91,628		4,049
PS Business Parks, Inc.		11,377		2,129
Safehold, Inc.		60,542		2,141


Common Stocks (97.4%)	Shares/ Par⁺		Value $ (000’s)

Real Estate continued
Saul Centers, Inc.		96,274		4,535
The St. Joe Co.		121,306		4,799
Terreno Realty Corp.		98,732		5,502
Tricon Residential, Inc.		187,194		1,898
Washington Real Estate Investment Trust		159,130		3,391

Total				51,407


Utilities (5.7%)
California Water Service Group		72,610		4,033
Chesapeake Utilities Corp.		58,217		7,542
IDACORP, Inc.		74,088		7,847
MGE Energy, Inc.		83,421		6,493
NorthWestern Corp.		79,705		4,697

Total				30,612


Total Common Stocks
(Cost: $443,534)				521,527


Warrants (0.0%)

Communication Services (0.0%)
Advantage Solutions, Inc. *		19,088		5

Total				5

Total Warrants (Cost: $25)				5


Short-Term Investments (2.4%)

Money Market Funds (2.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450% ^#		13,003,498		13,003

Total				13,003


Total Short-Term Investments
(Cost: $13,003)				13,003


Total Investments (99.8%)
(Cost: $456,562)^@				534,535

Other Assets, Less Liabilities (0.2%)				1,224

Net Assets (100.0%)				535,759

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 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $456,562 and the net unrealized appreciation of investments based on that cost was $77,973 which is comprised of $130,190 aggregate gross unrealized appreciation and $52,217 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 Investments at June 30, 2022. 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	$	521,527	$	-	$	-
Short-Term Investments		13,003		-		-
Warrants		5		-		-
Total Assets:	$	534,535	$	-	$	-

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

International Growth Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Industrials		26.4	%
Information Technology		19.8	%
Financials		13.8	%
Health Care		10.1	%
Consumer Discretionary		9.1	%
Consumer Staples		6.2	%
Materials		6.2	%
Short-Term Investments & Other Net Assets		4.8	%
Communication Services		2.2	%
Real Estate		0.7	%
Energy		0.7	%

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.

International Growth Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Common Stocks (95.2%)	Country	Shares/ Par⁺		Value $ (000’s)

Communication Services (2.2%)
Adevinta ASA - Class B *	France		279,857		2,022
Alphabet, Inc. - Class A *	United States		2,100		4,576
Rightmove PLC	United Kingdom		815,000		5,639
Safaricom PLC	Kenya		16,824,600		3,560
Schibsted ASA - Class B	Norway		162,799		2,653

Total					18,450


Consumer Discretionary (9.1%)
Autoliv, Inc.	Sweden		76,700		5,490
Compass Group PLC	United Kingdom		755,600		15,453
InterContinental Hotels Group PLC, ADR	United Kingdom		128,684		6,955
LVMH Moet Hennessy Louis Vuitton SE	France		55,900		34,076
PRADA SpA	Italy		1,263,300		7,076
USS Co., Ltd.	Japan		306,500		5,306

Total					74,356


Consumer Staples (6.2%)
Clicks Group, Ltd.	South Africa		117,852		1,980
Nestle SA	United States		393,549		45,941
PriceSmart, Inc.	United States		37,100		2,657

Total					50,578


Energy (0.7%)
Reliance Industries, Ltd. *	India		60,000		1,972
Reliance Industries, Ltd., GDR *144A	India		55,300		3,597

Total					5,569


Financials (13.8%)
AIA Group, Ltd.	Hong Kong		2,351,688		25,490
Deutsche Borse AG	Germany		68,000		11,373
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		209,300		10,296
Housing Development Finance Corp., Ltd.	India		163,863		4,504
Kotak Mahindra Bank, Ltd.	India		175,000		3,681
Marsh & McLennan Cos., Inc.	United States		148,123		22,996
Moody’s Corp.	United States		38,800		10,553
MSCI, Inc.	United States		31,300		12,900
S&P Global, Inc.	United States		32,300		10,887

Total					112,680


Health Care (10.1%)
Dechra Pharmaceuticals PLC	United Kingdom		79,600		3,351
Hoya Corp.	Japan		171,500		14,643
ResMed, Inc.	United States		79,500		16,666
Roche Holding AG	United States		114,082		38,067
Sanofi	France		44,100		4,452
UCB SA	Belgium		63,500		5,366

Total					82,545


Common Stocks (95.2%)	Country		Shares/ Par⁺		Value $ (000’s)

Industrials (26.4%)
Aalberts NV		Netherlands		45,000		1,754
Airbus SE		France		156,600		15,172
Assa Abloy AB - Class B		Sweden		834,000		17,716
Atlas Copco AB - Class A		Sweden		1,824,400		17,044
Auckland International Airport, Ltd. *		New Zealand		505,655		2,268
Azelis Group NV		Belgium		105,185		2,302
BAE Systems PLC		United Kingdom		640,000		6,468
CAE, Inc. *		Canada		229,200		5,648
Canadian Pacific Railway, Ltd.		Canada		205,700		14,368
Cellnex Telecom SA 144A		Spain		149,139		5,787
Edenred		France		154,300		7,272
Epiroc AB		Sweden		668,332		10,319
Experian PLC		United Kingdom		401,800		11,768
FANUC Corp.		Japan		65,400		10,238
IMCD NV		Netherlands		38,100		5,228
Interpump Group SpA		Italy		122,400		4,666
KONE Oyj		Finland		89,300		4,245
Legrand SA		France		157,900		11,659
MISUMI Group, Inc.		Japan		461,700		9,732
OSG Corp.		Japan		136,200		1,582
Otis Worldwide Corp.		United States		58,900		4,163
Recruit Holdings Co., Ltd.		Japan		607,800		17,896
Safran SA		France		117,700		11,620
Schindler Holding AG		Switzerland		19,488		3,538
SHO-BOND Holdings Co., Ltd.		Japan		130,661		5,749
Vestas Wind Systems A/S		Denmark		359,700		7,597

Total						215,799


Information Technology (19.8%)
Amadeus IT Group SA *		Spain		334,400		18,629
ASML Holding NV		Netherlands		81,000		38,694
Azbil Corp.		Japan		319,400		8,392
Keyence Corp.		Japan		64,700		22,117
Lam Research Corp.		United States		19,700		8,395
Lasertec Corp.		Japan		61,700		7,344
Lectra		France		65,500		2,402
Mastercard, Inc. - Class A		United States		39,150		12,351
NICE, Ltd., ADR *		Israel		53,700		10,335
SAP SE		Germany		80,119		7,299
Spectris PLC		United Kingdom		203,900		6,729
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		659,000		10,550
Visa, Inc. - Class A		United States		44,425		8,747

Total						161,984


Materials (6.2%)
CRH PLC, ADR		Ireland		365,200		12,716
Franco-Nevada Corp.		Canada		51,000		6,709
Linde PLC		United Kingdom		90,455		25,968
The Sherwin-Williams Co.		United States		22,800		5,105

Total						50,498

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

International Growth Portfolio

Common Stocks (95.2%)

Country

Shares/

Par⁺

Value

$ (000’s)

Real Estate (0.7%)

Vonovia SE

Germany

188,560

5,810

Total

5,810

Total Common Stocks

(Cost: $720,689)

778,269

Short-Term Investments (5.9%)

Money Market Funds (5.9%)

State Street Institutional U.S. Government Money Market Fund - Premier Class

Short-Term Investments (5.9%)

Country

Shares/

Par⁺

Value

$ (000’s)

Money Market Funds continued

1.450%^#

United
States

47,797,921

47,798

Total

47,798

Total Short-Term Investments

(Cost: $47,798)

47,798

Total Investments (101.1%)

(Cost: $768,487)^@

826,067

Other Assets, Less

Liabilities (-1.1%)

(9,014

)

Net Assets (100.0%)

817,053


Investments by Country of Risk as a Percentage on Net Assets:
United States			30.8%
Japan			12.5%
France			10.8%
United Kingdom			10.0%
Sweden			6.3%
Netherlands			5.5%
Other			25.2%
Total			101.1%

+	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, 2022 the value of these securities (in thousands) was $9,384 representing 1.2% of the net assets.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $768,487 and the net unrealized appreciation of investments based on that cost was $57,580 which is comprised of $121,054 aggregate gross unrealized appreciation and $63,474 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 Investments at June 30, 2022. 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	$	778,269	$	-	$	-
Short-Term Investments		47,798		-		-
Total Assets:	$	826,067	$	-	$	-

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

Research International Core Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Financials		17.6	%
Industrials		14.7	%
Health Care		13.3	%
Consumer Discretionary		9.8	%
Consumer Staples		9.7	%
Materials		8.9	%
Information Technology		8.7	%
Communication Services		6.0	%
Energy		4.6	%
Utilities		3.4	%
Real Estate		2.1	%
Short-Term Investments & Other Net Assets		1.2	%

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.

Research International Core Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Common Stocks (98.8%)	Country	Shares/ Par⁺		Value $ (000’s)

Communication Services (6.0%)
Advanced Info Service PCL - Foreign Shares	Thailand		611,300		3,363
carsales.com, Ltd.	Australia		148,853		1,890
carsales.com, Ltd.- Entitlement Shares *	Australia		35,782		454
Hellenic Telecommunications Organization SA	Greece		201,605		3,501
KDDI Corp.	Japan		273,200		8,636
NAVER Corp.	South Korea		22,048		4,075
NetEase, Inc., ADR	China		105,805		9,878
SEEK, Ltd.	Australia		129,604		1,879
SoftBank Group Corp.	Japan		110,500		4,263
Tencent Holdings, Ltd.	China		135,100		6,102

Total					44,041


Consumer Discretionary (9.8%)
adidas AG	Germany		40,130		7,097
Aristocrat Leisure, Ltd.	Australia		133,814		3,176
Bridgestone Corp.	Japan		115,000		4,196
Burberry Group PLC	United Kingdom		105,543		2,108
Cie Financiere Richemont SA	Switzerland		69,369		7,386
Compagnie Generale des Etablissements Michelin	France		46,430		1,264
Continental AG	Germany		37,523		2,615
Flutter Entertainment PLC *	Ireland		27,178		2,728
Koito Manufacturing Co., Ltd.	Japan		142,600		4,525
LVMH Moet Hennessy Louis Vuitton SE	France		26,597		16,213
Techtronic Industries Co., Ltd.	Hong Kong		601,500		6,274
Whitbread PLC	United Kingdom		97,070		2,928
Yamaha Corp.	Japan		85,100		3,512
Yum China Holdings, Inc.	China		134,274		6,512
ZOZO, Inc.	Japan		118,700		2,139

Total					72,673


Consumer Staples (9.7%)
British American Tobacco PLC	United Kingdom		276,765		11,858
Danone SA	France		89,787		5,011
Diageo PLC	United Kingdom		253,154		10,880
Kao Corp.	Japan		106,500		4,295
Kirin Holdings Co., Ltd.	Japan		292,300		4,605
Nestle SA	United States		202,332		23,619
Ocado Group PLC *	United Kingdom		133,047		1,265
Reckitt Benckiser Group PLC	United Kingdom		108,623		8,159
Sugi Holdings Co., Ltd.	Japan		42,900		1,881

Total					71,573


Energy (4.6%)
Eni SpA	Italy		677,344		8,041
Galp Energia SGPS SA	Portugal		719,746		8,437
Idemitsu Kosan Co., Ltd.	Japan		193,200		4,656
TC Energy Corp.	Canada		102,318		5,300


Common Stocks (98.8%)	Country	Shares/ Par⁺		Value $ (000’s)

Energy continued
Woodside Energy Group, Ltd.	Australia		357,152		7,849

Total					34,283


Financials (17.6%)
AIA Group, Ltd.	Hong Kong		1,143,400		12,393
Aon PLC	United States		39,347		10,611
Barclays PLC	United Kingdom		3,405,700		6,348
Beazley PLC	United Kingdom		680,675		4,135
BNP Paribas SA	France		204,593		9,726
Euronext NV	Netherlands		114,740		9,367
HDFC Bank, Ltd.	India		335,346		5,724
Hiscox, Ltd.	United Kingdom		322,754		3,703
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		177,300		8,722
Julius Baer Group, Ltd.	Switzerland		115,531		5,330
London Stock Exchange Group PLC	United Kingdom		120,438		11,189
Macquarie Group, Ltd.	Australia		59,275		6,731
Mitsubishi UFJ Financial Group, Inc.	Japan		629,900		3,386
Natwest Group PLC	United Kingdom		3,757,925		9,986
UBS Group AG	Switzerland		640,930		10,333
Willis Towers Watson PLC	United States		18,726		3,696
Zurich Insurance Group AG	Switzerland		19,801		8,612

Total					129,992


Health Care (13.3%)
Bayer AG	Germany		102,870		6,115
ConvaTec Group PLC	United Kingdom		1,553,446		4,243
Koninklijke Philips NV	Netherlands		231,099		4,978
Kyowa Kirin Co., Ltd.	Japan		375,800		8,448
Merck KGaA	Germany		21,759		3,671
Novo Nordisk AS - Class B	Denmark		234,211		25,977
Qiagen NV *	United States		203,425		9,529
Roche Holding AG	United States		78,785		26,289
Santen Pharmaceutical Co., Ltd.	Japan		592,900		4,649
Terumo Corp.	Japan		154,000		4,640

Total					98,539


Industrials (14.7%)
Cellnex Telecom SA	Spain		109,617		4,254
Daikin Industries, Ltd.	Japan		62,000		9,939
GEA Group AG	Germany		213,435		7,356
Hitachi, Ltd.	Japan		262,100		12,437
Kubota Corp.	Japan		459,200		6,860
Legrand SA	France		102,815		7,592
MTU Aero Engines AG	Germany		30,313		5,518
Persol Holdings Co., Ltd.	Japan		141,200		2,566
Ritchie Bros Auctioneers, Inc.	Canada		53,122		3,456
Ryanair Holdings PLC *	Ireland		43,424		2,920
Schindler Holding AG	Switzerland		29,890		5,451
Schneider Electric SE	United States		136,630		16,165
Secom Co., Ltd.	Japan		34,500		2,132
SMC Corp.	Japan		20,000		8,914

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

Research International Core Portfolio


Common Stocks (98.8%)	Country	Shares/ Par⁺		Value $ (000’s)

Industrials continued
Toyota Industries Corp.	Japan		99,300		6,148
Weir Group PLC	United Kingdom		203,249		3,372
Wolters Kluwer NV	Netherlands		35,428		3,436

Total					108,516


Information Technology (8.7%)
Amadeus IT Group SA *	Spain		114,344		6,370
ASML Holding NV	Netherlands		5,417		2,588
Cadence Design Systems, Inc. *	United States		40,334		6,051
Constellation Software, Inc.	Canada		5,027		7,463
Fujitsu, Ltd.	Japan		57,700		7,214
Kyocera Corp.	Japan		88,100		4,711
Nomura Research Institute, Ltd.	Japan		250,900		6,676
NXP Semiconductors NV	China		29,041		4,299
Samsung Electronics Co., Ltd.	South Korea		128,808		5,655
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		390,189		6,246
Visa, Inc. - Class A	United States		36,323		7,152

Total					64,425


Materials (8.9%)
Akzo Nobel NV	Netherlands		98,670		6,475
Croda International PLC	United Kingdom		93,909		7,399
Glencore PLC *	Australia		1,696,203		9,190
Kansai Paint Co., Ltd.	Japan		177,000		2,257
Linde PLC	United Kingdom		68,621		19,700
Nitto Denko Corp.	Japan		99,500		6,439
Sika AG	Switzerland		29,447		6,786
Symrise AG	Germany		69,286		7,540

Total					65,786


Real Estate (2.1%)
ESR Cayman, Ltd. *	China		1,470,600		3,973
Grand City Properties SA	Germany		281,526		3,800


Common Stocks (98.8%)	Country	Shares/ Par⁺		Value $ (000’s)

Real Estate continued
LEG Immobilien SE	Germany		90,104		7,471

Total					15,244


Utilities (3.4%)
APA Group	Australia		411,876		3,204
China Resources Gas Group, Ltd.	China		782,300		3,644
CLP Holdings, Ltd.	Hong Kong		463,000		3,841
E.ON SE	Germany		383,029		3,214
Iberdrola SA	Spain		770,433		7,990
Orsted A/S	Denmark		29,107		3,043

Total					24,936


Total Common Stocks
(Cost: $701,747)					730,008


Warrants (0.0%)

Consumer Discretionary (0.0%)
Cie Financiere Richemont SA *	Switzerland		136,342		74

Total					74


Total Warrants
(Cost: $–)					74


Short-Term Investments (1.0%)

Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#	United States		7,156,918		7,157


Total					7,157


Total Short-Term Investments
(Cost: $7,157)					7,157


Total Investments (99.8%)
(Cost: $708,904)^@					737,239

Other Assets, Less Liabilities (0.2%)					1,550

Net Assets (100.0%)					738,789


Investments by Country of Risk as a Percentage on Net Assets:
Japan			18.8%
United States			15.0%
United Kingdom			14.7%
Germany			7.2%
Switzerland			5.9%
France			5.4%
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 6/30/2022.

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

Research International Core Portfolio

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $708,904 and the net unrealized appreciation of investments based on that cost was $28,335 which is comprised of $103,246 aggregate gross unrealized appreciation and $74,911 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 Investments at June 30, 2022. 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	$	40,224	$	3,817	$	-
All Others		685,967		-		-
Short-Term Investments		7,157		-		-
Warrants		74		-		-
Total Assets:	$	733,422	$	3,817	$	-

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

International Equity Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Financials		25.9	%
Health Care		18.5	%
Consumer Discretionary		11.4	%
Materials		10.0	%
Energy		8.4	%
Industrials		5.8	%
Information Technology		5.7	%
Consumer Staples		5.2	%
Communication Services		4.6	%
Real Estate		2.2	%
Short-Term Investments & Other Net Assets		1.8	%
Utilities		0.5	%

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.

International Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Common Stocks (93.8%)	Country		Shares/ Par⁺		Value $ (000’s)

Communication Services (4.6%)
Baidu, Inc., ADR *		China		166,500		24,764
Grupo Televisa SA, ADR		Mexico		1,850,000		15,133
Liberty Global PLC - Class A *		United Kingdom		175,000		3,684
Liberty Global PLC - Class C *		United Kingdom		327,000		7,223
Millicom International Cellular, SDR *		Colombia		374,000		5,338
NetEase, Inc., ADR		China		207,000		19,325

Total						75,467


Consumer Discretionary (11.4%)
Alibaba Group Holding, Ltd., ADR *		China		320,000		36,377
Booking Holdings, Inc. *		United States		7,300		12,768
Entain PLC *		United Kingdom		696,752		10,559
Honda Motor Co., Ltd.		Japan		1,324,900		32,156
JD.com, Inc., ADR		China		450,000		28,899
Prosus NV *		China		970,000		63,512
Stellantis NV		United States		160,850		1,988
Yamaha Motor Co., Ltd.		Japan		180,000		3,298

Total						189,557


Consumer Staples (5.2%)
Anheuser-Busch InBev SA/NV		Belgium		475,000		25,566
Beiersdorf AG		Germany		137,000		13,995
Imperial Brands PLC		United Kingdom		1,625,000		36,318
Magnit PJSC Æ		Russia		135,000		–
Seven & i Holdings Co., Ltd.		Japan		280,000		10,870

Total						86,749


Energy (8.4%)
Equinor ASA		Norway		395,000		13,737
Ovintiv, Inc.		United States		475,500		21,012
Schlumberger, Ltd.		United States		110,000		3,934
Suncor Energy, Inc.		Canada		1,120,000		39,278
TC Energy Corp.		Canada		400,000		20,724
TotalEnergies SE		France		755,000		39,853

Total						138,538


Financials (23.9%)
Aegon NV		Netherlands		2,100,000		9,084
Aviva PLC		United Kingdom		4,301,600		21,013
Axis Bank, Ltd. *		India		4,100,000		33,061
Banco Santander SA		Spain		15,600,000		43,943
Barclays PLC		United Kingdom		18,700,000		34,855
BNP Paribas SA		France		905,000		43,024
Credicorp, Ltd.		Peru		135,000		16,188
Credit Suisse Group AG		Switzerland		3,500,000		19,871
ICICI Bank, Ltd.		India		3,920,000		35,104
Mitsubishi UFJ Financial
Group, Inc.		Japan		3,000,000		16,128
Prudential PLC		Hong Kong		1,650,000		20,407
Standard Chartered PLC		United Kingdom		4,225,000		31,815
UBS Group AG		Switzerland		3,500,000		56,424


Common Stocks (93.8%)	Country		Shares/ Par⁺		Value $ (000’s)

Financials continued
XP, Inc. - Class A *		Brazil		810,000		14,548

Total						395,465


Health Care (18.5%)
Bayer AG		Germany		480,000		28,531
Euroapi SA *		France		30,434		480
Fresenius Medical Care AG & Co.		Germany		360,000		17,969
GSK PLC		United States		3,260,000		70,066
Novartis AG		Switzerland		695,000		58,860
Olympus Corp.		Japan		725,100		14,571
Roche Holding AG		United States		140,000		46,715
Sanofi		France		682,200		68,875

Total						306,067


Industrials (5.8%)
Johnson Controls International PLC		United States		605,000		28,967
Mitsubishi Electric Corp.		Japan		3,300,000		35,291
Nidec Corp.		Japan		115,000		7,103
Schneider Electric SE		United States		98,000		11,595
Smiths Group PLC		United Kingdom		765,000		13,033

Total						95,989


Information Technology (3.3%)
Brother Industries, Ltd.		Japan		385,000		6,768
Kyocera Corp.		Japan		332,000		17,755
Micro Focus International PLC		United Kingdom		515,000		1,754
Murata Manufacturing Co., Ltd.		Japan		205,000		11,175
TE Connectivity, Ltd.		Switzerland		155,000		17,538

Total						54,990


Materials (10.0%)
Akzo Nobel NV		Netherlands		345,000		22,640
Glencore PLC *		Australia		4,200,000		22,757
Holcim, Ltd. *		Switzerland		830,000		35,516
Linde PLC		United Kingdom		50,000		14,354
Mitsubishi Chemical Holdings Corp.		Japan		4,375,600		23,768
Nutrien, Ltd.		Canada		325,000		25,899
Teck Resources, Ltd.		Canada		685,000		20,940

Total						165,874


Real Estate (2.2%)
CK Asset Holdings, Ltd.		Hong Kong		2,534,900		17,929
Daito Trust Construction Co., Ltd.		Japan		126,000		10,875
Hang Lung Group, Ltd.		Hong Kong		4,000,000		7,544

Total						36,348

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

International Equity Portfolio


Common Stocks (93.8%)	Country	Shares/ Par⁺		Value $ (000’s)

Utilities (0.5%)
Engie SA *	France		700,000		8,044

Total					8,044


Total Common Stocks
(Cost: $1,794,276)					1,553,088


Preferred Stocks (4.4%)

Financials (2.0%)
Itau Unibanco Holding SA	Brazil		7,792,200		33,754

Total					33,754


Information Technology (2.4%)
Samsung Electronics Co., Ltd.South Korea			975,000		39,048

Total					39,048


Total Preferred Stocks
(Cost: $87,015)					72,802

Short-Term Investments (1.5%)

Country

Shares/

Par⁺

Value

$ (000’s)

Money Market Funds (1.5%)

State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#

United
States

24,150,050

24,150

Total

24,150

Total Short-Term Investments

(Cost: $24,150)

24,150

Total Investments (99.7%)

(Cost: $1,905,441)^@

1,650,040

Other Assets, Less

Liabilities (0.3%)

5,442

Net Assets (100.0%)

1,655,482


Investments by Country of Risk as a Percentage on Net Assets:
Japan			11.5%
Switzerland			11.3%
United Kingdom			10.6%
China			10.5%
France			9.7%
Canada			6.5%
Other			39.6%
Total			99.7%

Over the Counter Derivatives

Forward Foreign Currency Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)	Settlement Date	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	JP Morgan Chase Bank NA	CNH	219,779	32,825	8/10/22	$	1,134	$	-		$	1,134
Sell	Bank of America NA	CNH	36,000	5,379	12/7/22		153		-			153
Sell	HSBC Bank USA	CNH	219,778	32,840	12/7/22		842		-			842
Sell	HSBC Bank USA	CNH	28,450	4,253	1/11/23		147		-			147
Sell	JP Morgan Chase Bank NA	CNH	10,350	1,547	1/11/23		49		-			49
Sell	Standard Chartered Bank	CNH	18,100	2,706	1/11/23		98		-			98
Sell	HSBC Bank USA	CNH	36,500	5,458	2/8/23		193		-			193
Sell	Citibank NA	CNH	20,150	3,014	3/22/23		104		-			104
Sell	HSBC Bank USA	CNH	34,079	5,098	3/22/23		97		-			97
Sell	JP Morgan Chase Bank NA	CNH	37,650	5,632	3/22/23		187		-			187
Sell	Standard Chartered Bank	CNH	17,500	2,618	3/22/23		83		-			83
Sell	Bank of America NA	CNH	23,484	3,516	6/7/23		-		(4	)		(4	)
Sell	Citibank NA	CNH	14,673	2,196	6/7/23		-		(3	)		(3	)
Sell	HSBC Bank USA	CNH	14,673	2,196	6/7/23		-		(2	)		(2	)
Sell	UBS AG	CNH	81,270	12,166	6/7/23		-		(6	)		(6	)
Sell	Goldman Sachs Bank USA	CNY	55,000	8,231	1/11/23		274		-			274

						$	3,361	$	(15	)	$	3,346

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

International Equity Portfolio


	Financial Derivative Assets (000’s)			Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts	Swaps	Total	Forward Foreign Currency Contracts	Options	Swaps	Total
Total Over the Counter Derivatives	$3,361	-	$3,361	$(15)	-	-	$(15)

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,905,441 and the net unrealized depreciation of investments based on that cost was $252,055 which is comprised of $53,760 aggregate gross unrealized appreciation and $305,815 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 Investments at June 30, 2022. 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	$	72,802	$	-		$	-
Common Stocks
Consumer Staples		86,749		-			-
Utilities		-		8,044
All Others		1,458,295		-			-
Short-Term Investments		24,150		-			-
Other Financial Instruments^
Forward Foreign Currency Contracts		-		3,361			-
Total Assets:	$	1,641,996	$	11,405		$	-
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		-		(15	)		-
Total Liabilities:	$	-	$	(15	)	$	-

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2022.

For the period ended June 30, 2022, there was a transfer from Level 2 to Level 3 in the amount of $0 (in thousands). This transfer was the result of the third party vendor not being able to provide a daily price due to the liquidity and current market conditions in Russia.

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

Emerging Markets Equity Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Financials	23.8	%
Information Technology	23.0	%
Consumer Discretionary	14.0	%
Materials	8.9	%
Consumer Staples	7.8	%
Communication Services	7.1	%
Industrials	6.0	%
Short-Term Investments & Other Net Assets	3.5	%
Energy	1.7	%
Health Care	1.6	%
Utilities	1.3	%
Real Estate	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.

Emerging Markets Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Common Stocks (92.6%)	Country		Shares/ Par⁺		Value $ (000’s)

Communication Services (7.1%)
Sea, Ltd., ADR *		Singapore		67,719		4,528
Tencent Holdings, Ltd.		China		1,134,400		51,235
Vodacom Group, Ltd.		South Africa		409,463		3,300

Total						59,063


Consumer Discretionary (14.0%)
Alibaba Group Holding, Ltd. *		China		2,974,100		42,412
China Tourism Group Duty Free Corp., Ltd. - Class A *		China		345,886		12,035
JD.com, Inc. - Class A		China		589,700		18,998
Maruti Suzuki India, Ltd.		India		91,024		9,763
MercadoLibre, Inc. *		Brazil		6,185		3,939
Midea Group Co., Ltd. - Class A		China		1,212,667		10,940
Shenzhou International Group Holdings, Ltd.		China		626,000		7,583
Zhongsheng Group Holdings, Ltd.		China		1,551,000		10,941

Total						116,611


Consumer Staples (7.8%)
Budweiser Brewing Co. APAC, Ltd.		China		4,414,400		13,220
Fomento Economico Mexicano SAB de CV, ADR		Mexico		220,713		14,896
Foshan Haitian Flavouring and Food Co., Ltd. - Class A		China		654,971		8,841
Hindustan Unilever, Ltd.		India		446,991		12,625
Kweichow Moutai Co., Ltd. - Class A		China		31,473		9,615
Raia Drogasil SA		Brazil		1,639,141		6,014

Total						65,211


Energy (1.7%)
LUKOIL PJSC, ADR Æ		Russia		225,143		–
NovaTek PJSC Æ		Russia		795,201		–
PTT Exploration & Production PCL - Foreign Shares		Thailand		3,068,800		13,845

Total						13,845


Financials (23.8%)
AIA Group, Ltd.		Hong Kong		1,607,000		17,418
B3 SA - Brasil, Bolsa, Balcao		Brazil		3,857,830		8,079
Banco Bradesco SA, ADR		Brazil		4,416,757		14,399
Banco Santander Chile, ADR		Chile		440,748		7,180
Bank Central Asia Tbk PT		Indonesia		32,537,000		15,834
Bank of the Philippine Islands		Philippines		2,680,376		4,134
China Merchants Bank Co., Ltd. - Class H		China		2,334,500		15,619
Credicorp, Ltd.		Peru		30,500		3,657
Grupo Financiero Banorte SAB de CV		Mexico		2,977,752		16,610
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		233,492		11,486


Common Stocks (92.6%)	Country		Shares/ Par⁺			Value $ (000’s)

Financials continued
Housing Development Finance Corp., Ltd.		India		956,974			26,306
Kasikornbank PCL - Foreign Shares		Thailand		1,970,100			8,442
Kotak Mahindra Bank, Ltd.		India		734,791			15,455
PT Bank Rakyat Indonesia Persero Tbk		Indonesia		43,958,756			12,246
Sanlam, Ltd.		South Africa		2,130,060			6,922
Sberbank of Russia PJSC *,Æ		Russia		1,471,064			–
SBI Life Insurance Co., Ltd.		India		1,114,204			15,260

Total							199,047


Health Care (1.6%)
Wuxi Biologics Cayman, Inc. *		China		1,431,500			13,099

Total					��		13,099


Industrials (6.0%)
Grupo Aeroportuario del Sureste SAB de CV - Class B		Mexico		298,110			5,859
NARI Technology Co., Ltd. - Class A		China		3,746,832			15,112
Rumo SA		Brazil		2,410,817			7,357
Samsung Engineering Co., Ltd. *		South Korea		509,856			8,462
Sungrow Power Supply Co., Ltd. - Class A		China		556,997			8,175
WEG SA		Brazil		1,097,046			5,544

Total							50,509


Information Technology (19.1%)
ASM International NV		Netherlands		21,243			5,312
ASML Holding NV		Netherlands		15,815			7,555
Delta Electronics, Inc.		Taiwan		1,115,000			8,306
Globant SA *		United States		34,929			6,078
Hon Hai Precision Industry Co., Ltd.		Taiwan		3,645,000			13,362
LONGi Green Energy Technology Co., Ltd. - Class A		China		1,767,042			17,588
Samsung Electronics Co., Ltd.South Korea				408,055			17,914
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		4,040,290			64,680
Tata Consultancy Services, Ltd.		India		362,588			15,000
Yonyou Network Technology Co., Ltd. - Class A		China		1,237,380			4,013

Total							159,808


Materials (8.9%)
Anglo American Platinum, Ltd.		South Africa		175,588			15,380
Grupo Mexico SAB de CV		Mexico		4,236,628			17,543
LG Chem, Ltd.		South Korea		37,623			14,952
Mondi PLC		Austria		637,587			11,333
UltraTech Cement, Ltd.		India		108,458			7,701

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

Emerging Markets Equity Portfolio

Common Stocks (92.6%)

Country

Shares/

Par⁺

Value

$ (000’s)

Materials continued

Yunnan Energy New Material Co., Ltd. - Class A

China

206,285

7,718

Total

74,627

Real Estate (1.3%)

China Resources Land, Ltd.

China

2,320,000

10,821

Total

10,821

Utilities (1.3%)

Power Grid Corp. of India, Ltd.

India

4,092,090

10,980

Total

10,980

Total Common Stocks

(Cost: $805,269)

773,621

Preferred Stocks (3.9%)

Country

Shares/

Par⁺

Value

$ (000’s)

Information Technology (3.9%)

Samsung Electronics Co., Ltd.

South Korea

809,516

32,420

Total

32,420

Total Preferred Stocks

(Cost: $31,441)

32,420

Short-Term Investments (3.5%)

Money Market Funds (3.5%)

State Street Institutional U.S. Government Money Market Fund - Premier
Class 1.450%^#

United States

29,306,680

29,307

Total

29,307

Total Short-Term Investments

(Cost: $29,307)

29,307

Total Investments (100.0%)

(Cost: $866,017)^@

835,348

Other Assets, Less

Liabilities (0.0%)

Net Assets (100.0%)

835,396


Investments by Country of Risk as a Percentage on Net Assets:
China	33.3	%
India	13.4	%
Taiwan	10.3	%
South Korea	8.9	%
Mexico	6.6	%
Brazil	5.4	%
Other	22.1	%
Total	100.0	%

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $866,017 and the net unrealized depreciation of investments based on that cost was $30,669 which is comprised of $117,701 aggregate gross unrealized appreciation and $148,370 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 Investments at June 30, 2022. 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	$	32,420	$	-	$	-
Common Stocks
Energy		-		13,845		-
Financials		199,047		-		-
All Others		560,729		-		-
Short-Term Investments		29,307		-		-
Total Assets:	$	821,503	$	13,845	$	-

For the period June 30, 2022, there were transfers from Level 1 to level 3 and Level 2 to Level 3 in the amount of $0 (in thousands). These transfers were the result of the third party vendor not being able to provide a daily price due to the liquidity and current market conditions in Russia.

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, 2022 (unaudited)


Money Market Investments (99.8%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (0.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.450% ^#		29,100		29

Total				29


Repurchase Agreements (53.4%)
Tri-Party Bank of Montreal, 1.480%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $15,000,617, collateralized by various US Treasury obligations, 0.000% to 3.000%, due from 12/8/2022 to 2/15/2052, aggregate par and fair value of $16,359,047 and $15,300,000, respectively)		15,000,000		15,000
Tri-Party Bank of Nova Scotia, 1.500%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $37,001,542, collateralized by various US Treasury obligations, 0.125% to 3.750%, due from 10/31/2022 to 11/15/2043, aggregate par and fair value of $39,926,983 and $37,741,623, respectively)		37,000,000		37,000
Tri-Party BNP Paribas Repurchase Agreement, 1.480%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $27,001,110, collateralized by various US Treasury obligations, 0.250% to 3.000%, due from 5/15/2024 to 6/30/2024, aggregate par and fair value of $28,394,805 and $27,540,000, respectively)		27,000,000		27,000
Tri-Party BNP Paribas Repurchase Agreement, 1.550%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $13,000,560, collateralized by various US government sponsored agency obligations, 0.000% to 5.625%, due from 6/4/2035 to 6/20/2052, aggregate par and fair value of $13,623,485 and $13,260,006, respectively)		13,000,000		13,000
Tri-Party Citigroup Global Markets, Inc., 1.520%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $15,000,633, collateralized by various US Treasury obligations, 0.750% to 3.625%, due from 8/15/2043 to 2/15/2045, aggregate par and fair value of $16,903,411 and $15,300,017, respectively)		15,000,000		15,000
Tri-Party Citigroup Global Markets, Inc., 1.550%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $21,000,904, collateralized by US Treasury Note, 3.250%, due 6/30/2027, par and fair value of $21,326,700 and $21,420,004, respectively)		21,000,000		21,000


Money Market Investments (99.8%)	Shares/ Par⁺		Value $ (000’s)

Repurchase Agreements continued
Tri-Party Goldman Sachs Group LP, 1.550%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $41,001,765, collateralized by US government sponsored agency, 3.500%, due 3/20/2052, par and fair value of $43,196,679 and $41,820,000, respectively)		41,000,000		41,000
Tri-Party Mitsubishi UFJ, 1.520%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $25,001,056, collateralized by US government sponsored agency and various US government sponsored agency obligations, 2.500% to 5.000%, due from 6/15/2025 to 6/20/2052, aggregate par and fair value of $26,856,491 and $25,500,003, respectively)		25,000,000		25,000
Tri-Party Mizuho Securities, 1.550%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $29,001,249, collateralized by US Treasury Note, 0.750%, due 5/31/2026, par and fair value of $32,477,807 and $29,580,040, respectively)		29,000,000		29,000
Tri-Party Morgan Stanley, 1.550%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $15,000,646, collateralized by various US government sponsored agency obligations, 1.500% to 6.000%, due from 1/1/2024 to 7/1/2052, aggregate par and fair value of $16,763,176 and $15,450,000, respectively)		15,000,000		15,000
Tri-Party Natixis SA, 1.480%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $20,000,822, collateralized by various US Treasury obligations, 0.125% to 3.000%, due from 11/15/2023 to 11/15/2046, aggregate par and fair value of $21,028,295 and $20,400,026, respectively)		20,000,000		20,000
Tri-Party TD Securities, 1.550%, 7/1/22 (Purchased on 6/30/22, to be repurchased at $23,000,990, collateralized by various US government sponsored agency obligations, 3.000% to 3.500%, due from 4/1/2047 to 6/1/2050, aggregate par and fair value of $25,165,909 and $23,690,000, respectively)		23,000,000		23,000

Total				281,000


US Government & Agencies (46.4%)
Federal Farm Credit Bank, 0.000%, 9/1/22		1,725,000		1,721
Federal Farm Credit Bank, 0.000%, 11/1/22		2,000,000		1,997
Federal Farm Credit Bank, 0.000%, 11/14/22		2,685,000		2,672
Federal Farm Credit Bank, 0.070%, 8/10/22		6,915,000		6,915
Federal Farm Credit Bank, 1.525%, (US SOFR plus 0.015%), 5/16/23		3,410,000		3,410

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

Government Money Market Portfolio


Money Market Investments (99.8%)	Shares/ Par⁺		Value $ (000’s)

US Government & Agencies continued
Federal Farm Credit Bank, 1.540%, (US SOFR plus 0.030%), 7/25/23		1,485,000		1,485
Federal Farm Credit Bank, 1.545%, (US SOFR plus 0.035%), 7/12/23		360,000		360
Federal Farm Credit Bank, 1.550%, (US SOFR plus 0.040%), 3/10/23		1,325,000		1,325
Federal Farm Credit Bank, 1.555%, (US SOFR plus 0.045%), 10/16/23		2,970,000		2,970
Federal Farm Credit Bank, 1.555%, (US SOFR plus 0.045%), 2/20/24		4,010,000		4,010
Federal Farm Credit Bank, 1.560%, (US SOFR plus 0.050%), 2/17/23		2,270,000		2,270
Federal Farm Credit Bank, 1.560%, (US SOFR plus 0.050%), 8/22/23		2,720,000		2,720
Federal Farm Credit Bank, 1.560%, (US SOFR plus 0.050%), 9/28/23		1,830,000		1,830
Federal Farm Credit Bank, 1.560%, (US SOFR plus 0.050%), 5/9/24		2,425,000		2,425
Federal Farm Credit Bank, 1.565%, (US SOFR plus 0.055%), 1/10/24		505,000		505
Federal Farm Credit Bank, 1.570%, (US SOFR plus 0.060%), 1/20/23		550,000		550
Federal Farm Credit Bank, 1.570%, (US SOFR plus 0.060%), 11/22/23		3,350,000		3,350
Federal Farm Credit Bank, 1.585%, (US SOFR plus 0.075%), 11/3/22		1,050,000		1,050
Federal Farm Credit Bank, 1.595%, (US SOFR plus 0.085%), 10/7/22		1,985,000		1,985
Federal Farm Credit Bank, 1.605%, (US SOFR plus 0.095%), 9/2/22		2,535,000		2,535
Federal Farm Credit Bank, 1.700%, (US SOFR plus 0.190%), 7/14/22		1,630,000		1,630
Federal Farm Credit Bank, 1.760%, (US SOFR plus 0.180%), 7/20/22		5,575,000		5,575
Federal Home Loan Bank, 0.000%, 7/8/22		5,200,000		5,199
Federal Home Loan Bank, 0.000%, 7/15/22		3,595,000		3,594
Federal Home Loan Bank, 0.000%, 8/5/22		4,160,000		4,154
Federal Home Loan Bank, 0.000%, 8/24/22		11,645,000		11,623
Federal Home Loan Bank, 0.000%, 9/20/22		10,680,000		10,634
Federal Home Loan Bank, 0.000%, 10/3/22		1,950,000		1,944
Federal Home Loan Bank, 1.510%, (US SOFR), 8/19/22		5,010,000		5,010
Federal Home Loan Bank, 1.515%, (US SOFR plus 0.005%), 10/21/22		5,450,000		5,450
Federal Home Loan Bank, 1.520%, (US SOFR plus 0.010%), 8/2/22		11,585,000		11,585
Federal Home Loan Bank, 1.520%, (US SOFR plus 0.010%), 8/4/22		15,000,000		15,000
Federal Home Loan Bank, 1.520%, (US SOFR plus 0.010%), 9/6/22		2,925,000		2,925
Federal Home Loan Bank, 1.525%, (US SOFR plus 0.015%), 12/16/22		5,915,000		5,915
Federal Home Loan Bank, 1.525%, (US SOFR plus 0.010%), 3/2/23		8,220,000		8,220
Federal Home Loan Mortgage Corp., 0.125%, 7/25/22		2,110,000		2,110
Federal Home Loan Mortgage Corp., 1.575%, (US SOFR plus 0.065%), 11/10/22		1,605,000		1,605
US Treasury, 0.000%, 7/5/22		12,030,000		12,029
US Treasury, 0.000%, 7/28/22		1,290,000		1,290


Money Market Investments (99.8%)	Shares/ Par⁺		Value $ (000’s)

US Government & Agencies continued
US Treasury, 0.000%, 8/2/22		6,125,000		6,121
US Treasury, 0.000%, 8/18/22		1,480,000		1,479
US Treasury, 0.000%, 9/1/22		3,310,000		3,306
US Treasury, 0.000%, 9/8/22		17,379,200		17,358
US Treasury, 0.000%, 9/15/22		2,465,000		2,461
US Treasury, 0.000%, 9/22/22		1,965,000		1,961
US Treasury, 0.000%, 9/29/22		1,820,000		1,815
US Treasury, 0.000%, 10/6/22		3,810,600		3,799
US Treasury, 0.000%, 12/29/22		3,860,000		3,819
US Treasury, 0.000%, 1/26/23		2,470,000		2,461
US Treasury, 0.000%, 2/23/23		2,145,000		2,129
US Treasury, 0.000%, 5/18/23		1,490,000		1,462
US Treasury, 0.125%, 2/28/23		10,085,000		9,960
US Treasury, 1.625%, 12/15/22		2,000,000		2,002
US Treasury, 1.750%, 5/15/23		1,260,000		1,255
US Treasury, 1.793%, (US Treasury 3 Month Bill Money Market Yield plus 0.035%), 10/31/23		7,140,000		7,140
US Treasury, 1.807%, (US Treasury 3 Month Bill Money Market Yield plus 0.049%), 1/31/23		9,500,000		9,500
US Treasury, 2.625%, 2/28/23		4,510,000		4,549

Total				244,154


Total Money Market Investments
(Cost: $525,183)				525,183


Total Investments (99.8%)
(Cost: $525,183)				525,183

Other Assets, Less Liabilities (0.2%)				893

Net Assets (100.0%)				526,076

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

Government Money Market Portfolio

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

#	7-Day yield as of 6/30/2022.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	29	$	-	$	-
All Others		-		525,154		-
Total Assets:	$	29	$	525,154	$	-

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

Short-Term Bond Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Corporate Bonds		47.8	%
Structured Products		33.8	%
Governments		15.3	%
Short-Term Investments & Other Net Assets		2.7	%
Municipal Bonds		0.4	%

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, 2022 (unaudited)


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials (0.7%)
ArcelorMittal 3.600%, 7/16/24		225,000		221
Celulosa Arauco y Constitucion SA 4.500%, 8/1/24		365,000		362
Ecolab, Inc. 1.650%, 2/1/27		215,000		197
LYB International Finance III, LLC 1.250%, 10/1/25		373,000		338
Nucor Corp. 2.000%, 6/1/25		155,000		146
3.950%, 5/23/25		275,000		273
POSCO 2.375%, 11/12/22 144A		810,000		808
Steel Dynamics, Inc. 2.800%, 12/15/24		200,000		195
Westlake Chemical Corp. 0.875%, 8/15/24		100,000		95

Total				2,635


Communications (3.2%)
AT&T, Inc. 0.900%, 3/25/24 ß		1,060,000		1,011
Booking Holdings, Inc. 2.750%, 3/15/23		150,000		150
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 4.908%, 7/23/25 ß		2,090,000		2,095
Comcast Corp. 3.700%, 4/15/24		460,000		461
Cox Communications, Inc. 3.150%, 8/15/24 144A		953,000		930
NBN Co., Ltd. 1.450%, 5/5/26 144A		1,000,000		902
NTT Finance Corp. 0.373%, 3/3/23 144A		660,000		648
0.583%, 3/1/24 144A		265,000		252
Rogers Communications, Inc. 3.200%, 3/15/27 144A		690,000		654
SES SA 3.600%, 4/4/23 144A		555,000		548
Sky, Ltd. 3.750%, 9/16/24 144A		1,450,000		1,445
T-Mobile USA, Inc. 2.250%, 2/15/26		470,000		423
3.500%, 4/15/25		595,000		582
Verizon Communications, Inc. 0.850%, 11/20/25		500,000		453
1.450%, 3/20/26		650,000		595
2.625%, 8/15/26 ß		845,000		798
3.376%, 2/15/25		230,000		228
The Walt Disney Co. 1.750%, 1/13/26		395,000		367

Total				12,542


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical (5.1%)
7-Eleven, Inc. 0.625%, 2/10/23 144A		200,000		196
0.800%, 2/10/24 144A		325,000		308
American Airlines Pass Through Trust, Series 2017-2, Class B
3.700%, 4/15/27		229,296		204
Aptiv PLC / Aptiv Corp. 2.396%, 2/18/25		130,000		124
AutoZone, Inc. 3.125%, 4/18/24		200,000		197
3.625%, 4/15/25		235,000		232
Brunswick Corp. 0.850%, 8/18/24		685,000		633
Daimler Finance North America LLC 1.625%, 12/13/24 144A		580,000		545
1.750%, 3/10/23 144A		815,000		805
General Motors Co. 4.875%, 10/2/23		530,000		535
5.400%, 10/2/23		500,000		508
General Motors Financial Co., Inc. 2.900%, 2/26/25 ß		965,000		921
Genuine Parts Co. 1.750%, 2/1/25		220,000		207
Hasbro, Inc. 3.000%, 11/19/24 ß		1,030,000		1,003
Hyatt Hotels Corp. 1.300%, 10/1/23		325,000		315
Hyundai Capital America 0.800%, 1/8/24 144A		390,000		370
0.875%, 6/14/24 144A		510,000		477
1.000%, 9/17/24 144A		255,000		237
1.150%, 11/10/22 144A		385,000		382
2.375%, 2/10/23 144A		865,000		854
2.850%, 11/1/22 144A		228,000		227
Hyundai Motor Co. 2.125%, 4/24/25 144A		200,000		189
Lowe’s Companies, Inc. 3.350%, 4/1/27		175,000		168
Magallanes, Inc. 3.755%, 3/15/27 144A		1,545,000		1,449
Marriott International, Inc. 2.125%, 10/3/22		200,000		199
3.125%, 2/15/23		170,000		170
3.600%, 4/15/24 ß		1,160,000		1,149
McDonald’s Corp. 1.450%, 9/1/25		270,000		251
3.300%, 7/1/25		155,000		154
3.350%, 4/1/23		305,000		306
Nissan Motor Acceptance Corp. 2.600%, 9/28/22 144A		1,010,000		1,005
2.650%, 7/13/22 144A		215,000		215
3.875%, 9/21/23 144A		235,000		233
Nissan Motor Co., Ltd. 3.043%, 9/15/23 144A		1,100,000		1,081
Nordstrom, Inc. 2.300%, 4/8/24		85,000		81

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

Short-Term Bond Portfolio


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
O’Reilly Automotive, Inc. 3.800%, 9/1/22		195,000		195
Panasonic Corp. 2.536%, 7/19/22 144A		335,000		335
QVC, Inc. 4.850%, 4/1/24		300,000		281
Ross Stores, Inc. 0.875%, 4/15/26		350,000		309
4.600%, 4/15/25 ß		1,100,000		1,112
Stellantis Finance US, Inc. 1.711%, 1/29/27 144A		260,000		226
Toyota Motor Credit Corp. 3.050%, 3/22/27		325,000		313
United Airlines Pass Through Trust, Series 2019-2, Class B 3.500%, 11/1/29		139,570		121
Volkswagen Group of America Finance LLC 0.750%, 11/23/22 144A		360,000		357
0.875%, 11/22/23 144A		345,000		331
2.700%, 9/26/22 144A		290,000		290
3.125%, 5/12/23 144A		200,000		199
3.950%, 6/6/25 144A		390,000		383

Total				20,382


Consumer, Non-cyclical (7.7%)
AbbVie, Inc. 2.600%, 11/21/24 ß		1,935,000		1,873
2.900%, 11/6/22		775,000		775
2.950%, 11/21/26 ß		1,120,000		1,061
3.200%, 11/6/22		85,000		85
3.200%, 5/14/26		100,000		96
3.250%, 10/1/22		80,000		80
Aetna, Inc. 2.800%, 6/15/23		275,000		272
AmerisourceBergen Corp. 0.737%, 3/15/23		706,000		692
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 3.650%, 2/1/26		250,000		246
AstraZeneca Finance LLC 1.200%, 5/28/26		805,000		728
BAT International Finance PLC 1.668%, 3/25/26		475,000		420
4.448%, 3/16/28 ß		1,010,000		956
Bayer US Finance II LLC 3.875%, 12/15/23 144A		505,000		504
Becton Dickinson and Co. 3.363%, 6/6/24		495,000		490
3.734%, 12/15/24		100,000		100
Bristol-Myers Squibb Co. 2.900%, 7/26/24		268,000		265
Bunge, Ltd. Finance Corp. 3.000%, 9/25/22 ß		2,000,000		2,000
Cardinal Health, Inc. 3.079%, 6/15/24		310,000		305
3.200%, 3/15/23		395,000		395
3.500%, 11/15/24		525,000		519
Cigna Corp. 0.613%, 3/15/24		190,000		181
3.000%, 7/15/23		320,000		318


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
3.750%, 7/15/23		179,000		179
Coca-Cola European Partners PLC 0.800%, 5/3/24 144A		1,135,000		1,073
CommonSpirit Health 1.547%, 10/1/25		365,000		337
Constellation Brands, Inc. 3.600%, 5/9/24		485,000		483
CSL Finance PLC 3.850%, 4/27/27 144A		200,000		198
CVS Health Corp. 2.625%, 8/15/24		150,000		147
2.875%, 6/1/26		265,000		252
3.000%, 8/15/26		220,000		210
Diageo Capital PLC 1.375%, 9/29/25		300,000		280
HCA, Inc. 3.125%, 3/15/27 144A		580,000		527
Health Care Service Corp., a Mutual Legacy Reserve Co. 1.500%, 6/1/25 144A		780,000		721
HPHT Finance 19, Ltd. 2.875%, 11/5/24 §		500,000		489
Humana, Inc. 0.650%, 8/3/23		320,000		310
1.350%, 2/3/27		75,000		66
2.900%, 12/15/22		140,000		140
3.150%, 12/1/22		150,000		150
3.850%, 10/1/24		545,000		544
4.500%, 4/1/25		565,000		569
Imperial Brands Finance PLC 3.125%, 7/26/24 144A		1,055,000		1,022
3.500%, 2/11/23 144A		1,210,000		1,203
4.250%, 7/21/25 144A		200,000		198
JDE Peet’s NV 0.800%, 9/24/24 144A		295,000		274
Mondelez International, Inc. 2.125%, 3/17/24		410,000		400
2.625%, 3/17/27		415,000		388
Moody’s Corp. 3.750%, 3/24/25		505,000		505
PeaceHealth Obligated Group 1.375%, 11/15/25		105,000		97
PerkinElmer, Inc. 0.550%, 9/15/23		390,000		376
0.850%, 9/15/24		745,000		689
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 ß		1,570,000		1,470
Philip Morris International, Inc. 1.125%, 5/1/23		220,000		216
RELX Capital, Inc. 3.500%, 3/16/23		270,000		270
Royalty Pharma PLC 0.750%, 9/2/23		425,000		409
S&P Global, Inc. 2.450%, 3/1/27 144A		1,120,000		1,048
Shire Acquisitions Investments Ireland DAC 2.875%, 9/23/23		397,000		393
Stryker Corp. 0.600%, 12/1/23		190,000		182

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

Short-Term Bond Portfolio


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Thermo Fisher Scientific, Inc. 0.797%, 10/18/23 ß		1,050,000		1,017
Triton Container International, Ltd. 0.800%, 8/1/23 144A		780,000		739
UnitedHealth Group, Inc. 3.700%, 5/15/27		605,000		603
Viatris, Inc. 1.650%, 6/22/25		230,000		208

Total				30,743


Diversified (0.2%)
CK Hutchison International 17 II, Ltd. 2.750%, 3/29/23 §		650,000		648

Total				648


Energy (4.0%)
Aker BP ASA 3.000%, 1/15/25 144A		445,000		430
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc. 1.231%, 12/15/23		210,000		204
Canadian Natural Resources, Ltd. 2.050%, 7/15/25		760,000		711
Cheniere Corpus Christi Holdings LLC 5.875%, 3/31/25		425,000		435
7.000%, 6/30/24 ß		1,110,000		1,150
Devon Energy Corp. 8.250%, 8/1/23		290,000		301
Enbridge, Inc. 1.302%, (US SOFR plus 0.400%), 2/17/23		205,000		204
2.150%, 2/16/24		275,000		267
2.500%, 1/15/25		640,000		616
2.500%, 2/14/25		330,000		317
4.000%, 10/1/23		365,000		366
Energy Transfer LP 2.900%, 5/15/25		115,000		109
3.450%, 1/15/23		55,000		55
3.600%, 2/1/23		175,000		175
4.200%, 9/15/23		135,000		135
4.250%, 3/15/23		780,000		780
4.250%, 4/1/24		35,000		35
4.900%, 2/1/24		425,000		427
5.875%, 1/15/24 ß		1,054,000		1,075
Eni SpA 4.000%, 9/12/23 144A		955,000		950
EOG Resources, Inc. 2.625%, 3/15/23		140,000		139
Equinor ASA 2.875%, 4/6/25 ß		880,000		864
Florida Gas Transmission LLC 3.875%, 7/15/22 144A		250,000		250
Gray Oak Pipeline LLC 2.000%, 9/15/23 144A		295,000		287
2.600%, 10/15/25 144A		205,000		191
Pioneer Natural Resources Co. 0.550%, 5/15/23		350,000		341
Plains All American Pipeline LP / PAA Finance Corp. 2.850%, 1/31/23		725,000		722


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Sabine Pass Liquefaction LLC 5.625%, 4/15/23 ß		1,370,000		1,383
5.625%, 3/1/25		260,000		265
5.750%, 5/15/24		530,000		541
Schlumberger Finance Canada, Ltd. 1.400%, 9/17/25		155,000		144
Schlumberger Holdings Corp. 3.750%, 5/1/24 144A		865,000		861
4.000%, 12/21/25 144A		170,000		169
The Williams Cos., Inc. 3.700%, 1/15/23 ß		979,000		981
Williams Partners LP 4.300%, 3/4/24		145,000		146

Total				16,026


Financial (19.0%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.650%, 10/29/24		770,000		711
4.125%, 7/3/23 ß		960,000		950
4.500%, 9/15/23		485,000		483
4.875%, 1/16/24		550,000		547
AIB Group PLC 4.750%, 10/12/23 144A		600,000		600
Air Lease Corp. 2.250%, 1/15/23		360,000		356
American Express Co. 2.250%, 3/4/25 ß		975,000		937
3.375%, 5/3/24		415,000		412
American International Group, Inc. 2.500%, 6/30/25		650,000		620
American Tower Corp. 2.400%, 3/15/25		360,000		340
5.000%, 2/15/24		225,000		228
Aon Corp. 2.200%, 11/15/22		180,000		180
Athene Global Funding 1.716%, 1/7/25 144A		930,000		868
2.514%, 3/8/24 144A		1,165,000		1,126
Avolon Holdings Funding, Ltd. 2.125%, 2/21/26 144A		610,000		527
2.875%, 2/15/25 144A		435,000		400
3.950%, 7/1/24 144A		130,000		124
Banco Bilbao Vizcaya Argentaria SA 0.875%, 9/18/23 ß		1,000,000		965
Banco del Estado de Chile 2.704%, 1/9/25 144A		260,000		246
Banco Santander Mexico SA Institucion De Banca Multiple Grupo Financiero Santander Mexico 4.125%, 11/9/22 §		775,000		775
Banco Santander SA 0.701%, (US Treasury Yield Curve Rate
T Note Constant Maturity 1 Year plus 0.450%), 6/30/24		600,000		578
3.496%, 3/24/25		600,000		586
Bank of America Corp. 0.810%, (US SOFR plus 0.740%), 10/24/24		695,000		662
0.976%, (US SOFR plus 0.690%), 4/22/25		605,000		569
1.734%, (US SOFR plus 0.960%), 7/22/27		450,000		400

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

Short-Term Bond Portfolio


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
1.843%, (US SOFR plus 0.670%), 2/4/25		460,000		443
3.384%, (US SOFR plus 1.330%), 4/2/26		580,000		562
3.841%, (US SOFR plus 1.110%), 4/25/25		415,000		413
Bank of Ireland Group PLC 4.500%, 11/25/23 144A		1,540,000		1,536
Bank of Montreal 3.700%, 6/7/25		775,000		768
Banque Federative du Credit Mutuel SA 0.650%, 2/27/24 144A		505,000		480
0.998%, 2/4/25 144A		665,000		612
2.125%, 11/21/22 144A		630,000		628
Barclays PLC 1.007%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.800%), 12/10/24		555,000		527
4.338%, (ICE LIBOR USD 3 Month plus 1.356%), 5/16/24		370,000		370
BDO Unibank, Inc. 2.950%, 3/6/23 §		800,000		799
BNP Paribas SA 2.591%, (US SOFR plus 1.228%), 1/20/28 144A		615,000		553
BPCE SA 5.700%, 10/22/23 144A		1,680,000		1,705
Brighthouse Financial Global Funding 0.600%, 6/28/23 144A		1,315,000		1,273
1.000%, 4/12/24 144A		495,000		467
Capital One Financial Corp. 2.636%, (US SOFR plus 1.290%), 3/3/26		585,000		552
3.200%, 1/30/23		345,000		345
3.500%, 6/15/23		245,000		244
3.900%, 1/29/24		240,000		240
The Charles Schwab Corp. 2.450%, 3/3/27 ß		1,090,000		1,017
4.200%, 3/24/25		525,000		532
Citigroup, Inc. 0.981%, (US SOFR plus 0.669%), 5/1/25		500,000		468
3.106%, (US SOFR plus 2.842%), 4/8/26		650,000		624
4.140%, (US SOFR plus 1.372%), 5/24/25		555,000		553
CNO Global Funding 1.650%, 1/6/25 144A		525,000		495
1.750%, 10/7/26 144A		680,000		601
Corebridge Financial, Inc. 3.500%, 4/4/25 144A		455,000		442
Credit Agricole SA 2.204%, (ICE LIBOR USD 3 Month plus
1.020%), 4/24/23 144A		315,000		315
Credit Suisse AG 0.495%, 2/2/24		485,000		457
1.000%, 5/5/23 ß		860,000		842
Credit Suisse Group AG 2.997%, (3 Month LIBOR plus 1.200%), 12/14/23 144A		500,000		497
Creditcorp, Ltd. 2.750%, 6/17/25 144A		200,000		186
Crown Castle International Corp. 1.050%, 7/15/26		615,000		532
2.900%, 3/15/27		485,000		447
3.150%, 7/15/23		430,000		425


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Danske Bank A/S 1.226%, 6/22/24 144A		880,000		828
3.773%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.450%), 3/28/25 144A		405,000		398
5.375%, 1/12/24 144A		455,000		459
Equitable Financial Life Global Funding 0.500%, 4/6/23 144A		1,145,000		1,119
1.100%, 11/12/24 144A		530,000		496
Essex Portfolio LP 3.875%, 5/1/24		600,000		598
The Goldman Sachs Group, Inc. 0.627%, (US SOFR plus 0.538%), 11/17/23		115,000		114
0.657%, (US SOFR plus 0.505%), 9/10/24		335,000		321
0.673%, (US SOFR plus 0.572%), 3/8/24		335,000		327
0.925%, (US SOFR plus 0.486%), 10/21/24		315,000		301
1.757%, (US SOFR plus 0.730%), 1/24/25		565,000		543
3.500%, 4/1/25		490,000		480
Highwoods Realty LP 3.625%, 1/15/23		740,000		741
HPHT Finance 17, Ltd. 2.750%, 9/11/22 §		765,000		764
HSBC Holdings PLC 1.162%, (US SOFR plus 0.580%), 11/22/24		420,000		401
1.645%, (US SOFR plus 1.538%), 4/18/26 ß		910,000		834
2.099%, (US SOFR plus 1.929%), 6/4/26		320,000		296
4.180%, (US SOFR plus 1.510%), 12/9/25		225,000		221
Jackson Financial, Inc. 1.125%, 11/22/23 144A		620,000		596
Jackson National Life Global Funding 1.750%, 1/12/25 144A		620,000		585
JPMorgan Chase & Co. 0.824%, (US SOFR plus 0.540%), 6/1/25		560,000		523
1.629%, (US SOFR plus 0.885%), 4/22/27		350,000		333
2.083%, (US SOFR plus 1.850%), 4/22/26 ß		890,000		832
4.080%, (US SOFR plus 1.320%), 4/26/26 ß		865,000		854
KeyBank NA 1.250%, 3/10/23		580,000		572
KeyCorp 3.878%, (US SOFR plus 1.250%), 5/23/25		115,000		114
Kilroy Realty LP 4.375%, 10/1/25		180,000		178
LeasePlan Corp. NV 2.875%, 10/24/24 144A		600,000		575
Lincoln National Corp. 4.000%, 9/1/23		130,000		131
LSEGA Financing PLC 0.650%, 4/6/24 144A		765,000		722
Marsh & McLennan Cos., Inc. 3.875%, 3/15/24		345,000		346
Metropolitan Life Global Funding I 0.400%, 1/7/24 144A		430,000		410
Mitsubishi UFJ Financial Group, Inc. 0.953%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.550%), 7/19/25 ß		985,000		919
Mizuho Financial Group Cayman 2, Ltd. 4.200%, 7/18/22 §		930,000		930
Morgan Stanley 0.529%, (US SOFR plus 0.455%), 1/25/24		450,000		441

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

Short-Term Bond Portfolio


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
0.560%, (US SOFR plus 0.466%), 11/10/23		640,000		633
0.731%, (US SOFR plus 0.616%), 4/5/24		560,000		546
1.164%, (US SOFR plus 0.560%), 10/21/25		445,000		412
2.630%, (US SOFR plus 0.940%), 2/18/26		545,000		520
3.620%, (US SOFR plus 1.160%), 4/17/25		390,000		385
4.100%, 5/22/23		160,000		161
4.875%, 11/1/22		375,000		378
Nasdaq, Inc. 0.445%, 12/21/22		415,000		410
Nationwide Building Society 3.766%, (ICE LIBOR USD 3 Month plus 1.064%), 3/8/24 144A		260,000		259
NatWest Group PLC 3.875%, 9/12/23		520,000		518
NatWest Markets PLC 0.800%, 8/12/24 144A		390,000		362
2.375%, 5/21/23 144A		640,000		631
3.479%, 3/22/25 144A		610,000		595
Park Aerospace Holdings, Ltd. 4.500%, 3/15/23 144A		525,000		523
5.250%, 8/15/22 144A		375,000		375
PNC Bank NA 2.950%, 1/30/23		335,000		334
Principal Life Global Funding II 0.750%, 4/12/24 144A		530,000		501
Public Storage 1.221%, (US SOFR plus 0.470%), 4/23/24		280,000		276
QNB Finance, Ltd. 3.500%, 3/28/24 §		880,000		875
Santander Holdings USA, Inc. 2.490%, (US SOFR plus 1.249%), 1/6/28		410,000		362
SBA Tower Trust 1.631%, 5/15/51 144A		280,000		250
1.884%, 7/15/50 144A		160,000		148
2.836%, 1/15/50 144A		440,000		425
3.448%, 3/15/23 144A		775,000		769
3.869%, 10/15/49 144A		120,000		118
Simon Property Group LP 2.000%, 9/13/24		225,000		215
3.375%, 10/1/24		450,000		444
Standard Chartered PLC 0.991%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.780%), 1/12/25 144A		220,000		208
1.319%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.170%), 10/14/23 144A		455,000		452
1.822%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 11/23/25 144A		255,000		236
3.950%, 1/11/23 144A		1,000,000		998
3.971%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.650%), 3/30/26 144A		345,000		337
Svenska Handelsbanken AB 0.550%, 6/11/24 144A		420,000		394
1.418%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.630%), 6/11/27 144A		400,000		356
Swedbank AB 1.300%, 6/2/23 144A		505,000		494


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Synchrony Financial 4.250%, 8/15/24 ß		1,130,000		1,123
The Toronto-Dominion Bank 0.550%, 3/4/24 ß		1,015,000		966
Trininty Acquisition PLC 4.625%, 8/15/23		200,000		201
Truist Financial Corp. 1.473%, (US SOFR plus 0.400%), 6/9/25		410,000		398
UBS AG 0.700%, 8/9/24 144A		280,000		262
UBS Group AG 1.008%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.830%), 7/30/24 144A		620,000		600
1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A		215,000		188
4.488%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.550%), 5/12/26 144A		200,000		199
Wells Fargo & Co. 1.654%, (US SOFR plus 1.600%), 6/2/24		410,000		400
2.188%, (US SOFR plus 2.000%), 4/30/26		400,000		374
3.526%, (US SOFR plus 1.510%), 3/24/28		375,000		355
3.908%, (US SOFR plus 1.320%), 4/25/26		610,000		600
The Western Union Co. 2.850%, 1/10/25 ß		820,000		786
WP Carey, Inc. 4.600%, 4/1/24		405,000		407

Total				75,201


Industrial (2.3%)
Amcor Flexibles North America, Inc. 4.000%, 5/17/25		405,000		400
Amphenol Corp. 2.050%, 3/1/25		405,000		387
Boral Finance, Ltd. 3.000%, 11/1/22 144A		345,000		344
Canadian Pacific Railway Co. 1.350%, 12/2/24		725,000		682
1.750%, 12/2/26		315,000		285
Carrier Global Corp. 2.242%, 2/15/25		117,000		111
DAE Funding LLC 1.550%, 8/1/24 144A		265,000		248
Deere & Co. 2.750%, 4/15/25		195,000		191
GATX Corp. 3.900%, 3/30/23		360,000		360
4.350%, 2/15/24		772,000		774
Honeywell International, Inc. 1.350%, 6/1/25		335,000		315
Kansas City Southern 3.000%, 5/15/23		565,000		563
Martin Marietta Materials, Inc. 0.650%, 7/15/23		475,000		459
Otis Worldwide Corp. 2.056%, 4/5/25		485,000		459
Parker Hannifin Corp. 3.650%, 6/15/24 ß		875,000		869

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

Short-Term Bond Portfolio


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
Republic Services, Inc. 0.875%, 11/15/25		120,000		109
2.500%, 8/15/24		495,000		479
Roper Technologies, Inc. 0.450%, 8/15/22		100,000		100
1.000%, 9/15/25		115,000		104
2.350%, 9/15/24		165,000		160
3.125%, 11/15/22		660,000		660
3.650%, 9/15/23		125,000		125
SMBC Aviation Capital Finance DAC 3.550%, 4/15/24 144A		200,000		195
4.125%, 7/15/23 144A		200,000		198
Sydney Airport Finance Co. Pty, Ltd. 3.900%, 3/22/23 144A		643,000		644

Total				9,221


Technology (2.8%)
Analog Devices, Inc. 0.884%, (US SOFR plus 0.250%), 10/1/24		170,000		166
2.950%, 4/1/25		140,000		137
CDW LLC / CDW Finance Corp. 5.500%, 12/1/24		180,000		181
Fidelity National Information Services, Inc. 0.375%, 3/1/23		650,000		637
0.600%, 3/1/24		310,000		293
Fiserv, Inc. 2.750%, 7/1/24		800,000		780
3.800%, 10/1/23		470,000		470
Fortinet, Inc. 1.000%, 3/15/26		380,000		334
HCL America, Inc. 1.375%, 3/10/26 144A		1,000,000		900
International Business Machines Corp. 2.875%, 11/9/22		155,000		155
Marvell Technology, Inc. 4.200%, 6/22/23		590,000		589
Microchip Technology, Inc. 0.972%, 2/15/24		685,000		650
0.983%, 9/1/24		560,000		522
2.670%, 9/1/23		640,000		629
NXP BV / NXP Funding LLC 4.875%, 3/1/24		400,000		404
NXP BV / NXP Funding LLC / NXP USA, Inc. 2.700%, 5/1/25		325,000		309
3.875%, 6/18/26		245,000		236
4.400%, 6/1/27		80,000		79
Oracle Corp. 2.400%, 9/15/23		745,000		733
2.500%, 4/1/25 ß		1,250,000		1,188
Qorvo, Inc. 1.750%, 12/15/24 144A		275,000		257
Skyworks Solutions, Inc. 0.900%, 6/1/23		175,000		169
Take-Two Interactive Software, Inc. 3.300%, 3/28/24		480,000		474
3.550%, 4/14/25		160,000		157
VMware, Inc. 0.600%, 8/15/23		385,000		372


Corporate Bonds (47.8%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
Workday, Inc. 3.500%, 4/1/27		265,000		254

Total				11,075


Utilities (2.8%)
The AES Corp. 3.300%, 7/15/25 144A		365,000		342
Alexander Funding Trust 1.841%, 11/15/23 144A		530,000		507
APT Pipelines, Ltd. 4.200%, 3/23/25 144A		930,000		922
Edison International 2.950%, 3/15/23		310,000		307
3.125%, 11/15/22		290,000		290
Enel Finance International NV 1.375%, 7/12/26 144A		645,000		566
2.650%, 9/10/24 144A		1,000,000		968
Korea Hydro & Nuclear Power Co., Ltd. 1.250%, 4/27/26 144A		795,000		722
NextEra Energy Capital Holdings, Inc. 1.875%, 1/15/27		685,000		618
4.450%, 6/20/25		540,000		544
NRG Energy, Inc. 3.750%, 6/15/24 144A		270,000		265
Pacific Gas & Electric Co. 2.050%, (US SOFR Index plus 1.150%), 11/14/42		100,000		100
3.500%, 6/15/25		555,000		526
Saudi Electricity Global Sukuk Co. 2 3.473%, 4/8/23 §		800,000		800
Sempra Energy 3.300%, 4/1/25		385,000		376
Southern California Gas Co. 2.950%, 4/15/27 ß		410,000		388
Vistra Operations Co. LLC 3.550%, 7/15/24 144A		2,305,000		2,225
5.125%, 5/13/25 144A		610,000		604

Total				11,070


Total Corporate Bonds
(Cost: $197,390)				189,543


Governments (15.3%)

Governments (15.3%)
US Treasury 0.125%, 4/30/23 ß		320,000		313
0.125%, 8/31/23 ß		50,000		48
0.375%, 8/15/24 ß		625,000		591
1.750%, 3/15/25 ß		14,570,000		14,086
2.250%, 3/31/24 ß		14,000,000		13,824
2.500%, 4/30/24 ß		14,060,000		13,938
2.750%, 5/15/25 ß		17,985,000		17,847

Total				60,647


Total Governments
(Cost: $61,199)				60,647

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

Short-Term Bond Portfolio


Municipal Bonds (0.4%)	Shares/ Par⁺		Value $ (000’s)

Municipal Bonds (0.4%)
Golden State Tobacco Securitization Corp. 1.711%, 6/1/24 RB		435,000		418
Long Island Power Authority 0.764%, 3/1/23 RB		160,000		157
State of Illinois 2.250%, 10/1/22 GO b		885,000		884

Total Municipal Bonds
(Cost: $1,480)				1,459


Structured Products (33.8%)

Asset Backed Securities (14.1%)
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class D 3.820%, 3/18/24 b		790,000		793
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class B 2.130%, 7/18/25		220,336		220
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C 1.590%, 10/20/25		320,000		309
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D 1.800%, 12/18/25		315,000		300
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C 1.060%, 8/18/26		245,000		233
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C 0.890%, 10/19/26		430,000		402
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D 1.210%, 12/18/26		270,000		253
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class D 1.290%, 6/18/27		575,000		529
Applebee’s Funding LLC / IHOP Funding LLC, Series 2019-1A, Class A2I 4.194%, 6/7/49 144A		1,138,500		1,104
Arbor Realty Collateralized Loan Obligation, Ltd., Series 2021-FL4, Class A 2.674%, (ICE LIBOR USD 1 Month plus 1.350%), 11/15/36 144A		465,000		450
Arbor Realty Commercial Real Estate Notes, Series 2021-FL3, Class A 2.394%, (ICE LIBOR USD 1 Month plus 1.070%), 8/15/34 144A		640,000		613
ARI Fleet Lease Trust, Series 2020-A, Class B 2.060%, 11/15/28 144A		345,000		339
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A 2.970%, 3/20/24 144A		425,000		424
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class B 3.330%, 3/20/24 144A		435,000		433
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class C 4.950%, 3/20/25 144A		195,000		195


Structured Products (33.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A 3.350%, 9/22/25 144A		340,000		334
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A		250,000		238
Babson CLO, Ltd., Series 2017-IA, Class AR 1.863%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A		550,136		543
Bayview Mortgage Fund IVc Trust, Series 2017-RT3, Class A 3.500%, (AFC), 1/28/58 144A		224,483		220
Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL5, Class A 3.500%, (AFC), 6/28/57 144A		193,339		192
Blackbird Capital Aircraft, Series 2016-1A, Class A4 2.487%, 12/16/41 144A S		262,574		245
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280%, 9/26/33 144A		131,380		126
BSPRT Issuer, Ltd., Series 2022-FL8, Class A 2.279%, (US 30 Day Average SOFR plus 1.500%), 2/15/37 144A		815,000		784
CarMax Auto Owner Trust, Series 2019-2, Class B 3.010%, 12/16/24		455,000		452
CarMax Auto Owner Trust, Series 2019-4, Class A4 2.130%, 7/15/25		345,000		338
CarMax Auto Owner Trust, Series 2020-1, Class B 2.210%, 9/15/25		430,000		419
CarMax Auto Owner Trust, Series 2020-1, Class C 2.340%, 11/17/25		190,000		185
CarMax Auto Owner Trust, Series 2020-4, Class D 1.750%, 4/15/27		300,000		281
Cedar Funding, Ltd., Series 2021-14A, Class A 2.144%, (ICE LIBOR USD 3 Month plus 1.100%), 7/15/33 144A		695,000		679
CIFC Funding, Ltd., Series 2014-2RA, Class A1 2.234%, (ICE LIBOR USD 3 Month plus 1.050%), 4/24/30 144A		915,000		901
CIFC Funding, Ltd., Series 2021-4A, Class A 2.094%, (ICE LIBOR USD 3 Month plus 1.050%), 7/15/33 144A		905,000		881
CNH Equipment Trust, Series 2020-A, Class A4 1.510%, 4/15/27		260,000		250
Daimler Trucks Retail Trust, Series 2020-1, Class A4 1.370%, 6/15/27 b		855,000		846
Drive Auto Receivables Trust, Series 2020-1, Class C 2.360%, 3/16/26		213,915		214
Drive Auto Receivables Trust, Series 2021-2, Class D 1.390%, 3/15/29		445,000		409

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Dryden Senior Loan Fund, Series 2020-86A, Class A1R 2.144%, (ICE LIBOR USD 3 Month plus 1.100%), 7/17/34 144A		610,000		589
Elara HGV Timeshare Issuer, Series 2017-A, Class A 2.690%, 3/25/30 144A		42,621		42
Elara HGV Timeshare Issuer, Series 2019-A, Class A 2.610%, 1/25/34 144A		105,995		101
Enterprise Fleet Financing LLC, Series 2019- 3, Class A2 2.060%, 5/20/25 144A		69,037		69
Exeter Automobile Receivables Trust, Series 2021-2A, Class C 0.980%, 6/15/26		265,000		255
Exeter Automobile Receivables Trust, Series 2021-3A, Class D 1.550%, 6/15/27		335,000		314
Exeter Automobile Receivables Trust, Series 2022-1A, Class D 3.020%, 6/15/28		730,000		678
Exeter Automobile Receivables Trust, Series 2022-2A, Class C 3.850%, 7/17/28		655,000		637
Exeter Automobile Receivables Trust, Series 2022-3A, Class C 5.300%, 9/15/27		190,000		191
Ford Credit Auto Owner Trust, Series 2020-2, Class C 1.740%, 4/15/33 144A		310,000		278
Ford Credit Auto Owner Trust, Series 2022-A, Class C 4.180%, 10/15/25 b		1,020,000		1,007
Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class C 1.420%, 9/15/25		440,000		424
GM Financial Automobile Leasing Trust, Series 2020-2, Class C 2.560%, 7/22/24		265,000		263
GM Financial Consumer Automobile Receivables Trust, Series 2020-4, Class C 1.050%, 5/18/26		225,000		213
GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3 1.490%, 12/16/24		84,789		84
Hardee’s Funding LLC, Series 2018-1A, Class A21I 4.959%, 6/20/48 144A		303,188		295
Hilton Grand Vacations Trust, Series 2017-AA, Class A 2.660%, 12/26/28 144A		414,764		409
Hilton Grand Vacations Trust, Series 2017-AA, Class B 2.960%, (EXE), 12/26/28 144A		90,508		89
Hilton Grand Vacations Trust, Series 2020-AA, Class A 2.740%, 2/25/39 144A		311,656		300
Home Partners of America Trust, Series 2022- 1, Class A 3.930%, 4/17/39 144A		405,658		396


Structured Products (33.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Hyundai Auto Receivables Trust, Series 2019- A, Class B 2.940%, 5/15/25		325,000		324
Hyundai Auto Receivables Trust, Series 2020- A, Class A3 1.410%, 11/15/24		238,714		236
JPMorgan Chase Bank NA, Series 2021-2, Class D 1.138%, 12/26/28 144A		253,991		245
KKR Financial CLO, Ltd., Series 2018-13, Class A1R 1.844%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A		248,665		247
KKR Financial CLO, Ltd., Series 2021-29A, Class A 2.244%, (ICE LIBOR USD 3 Month plus 1.200%), 1/15/32 144A		1,000,000		979
Kubota Credit Owner Trust, Series 2020-1A, Class A3 1.960%, 3/15/24 144A		113,307		113
Madison Park Funding, Ltd., Series 2017-23A, Class AR 2.195%, (ICE LIBOR USD 3 Month plus 0.970%), 7/27/31 144A		715,000		703
Madison Park Funding, Ltd., Series 2017-23A, Class BR 2.775%, (ICE LIBOR USD 3 Month plus 1.550%), 7/27/31 144A		460,000		443
Madison Park Funding, Ltd., Series 2019-37A, Class AR 2.114%, (ICE LIBOR USD 3 Month plus 1.070%), 7/15/33 144A		450,000		439
Madison Park Funding, Ltd., Series 2022-33A, Class AR 2.136%, (US SOFR 3 Month plus 1.290%), 10/15/32 144A		1,025,000		1,000
Magnetite CLO, Ltd., Series 2020-25A, Class A 2.384%, (ICE LIBOR USD 3 Month plus 1.200%), 1/25/32 144A		655,000		641
Magnetite XVI, Ltd., Series 2015-16A, Class AR 1.844%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A		894,803		884
MetLife Securitization Trust, Series 2017-1A, Class A 3.000%, (AFC), 4/25/55 144A		91,729		89
MF1, Series 2021-FL7, Class A 2.692%, (ICE LIBOR USD 1 Month plus 1.080%), 10/16/36 144A		465,000		447
Mill City Mortgage Loan Trust, Series 2017-2, Class A1 2.750%, (AFC), 7/25/59 144A		58,075		58
MVW Owner Trust, Series 2017-1A, Class A 2.420%, 12/20/34 144A		150,138		147
MVW Owner Trust, Series 2017-1A, Class B 2.750%, 12/20/34 144A		15,804		15
MVW Owner Trust, Series 2017-1A, Class C 2.990%, 12/20/34 144A		17,384		17
MVW Owner Trust, Series 2019-2A, Class A 2.440%, 10/20/38 144A		87,709		82

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
MVW Owner Trust, Series 2020-1A, Class A 1.740%, 10/20/37 144A		146,376		137
MVW Owner Trust, Series 2020-1A, Class B 2.730%, 10/20/37 144A		199,815		190
MVW Owner Trust, Series 2021-1WA, Class C 1.940%, 1/22/41 144A		130,700		120
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A		234,562		230
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A		235,266		226
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A 2.640%, 5/15/68 144A		361,419		349
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A 2.460%, 11/15/68 144A		329,083		312
Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A 2.150%, 11/15/68 144A		1,171,419		1,085
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A		219,562		207
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A		137,783		129
Navient Private Education Refi Loan Trust, Series 2022-A, Class A 2.230%, 7/15/70 144A		919,354		856
Navient Student Loan Trust, Series 2019-GA, Class A 2.400%, 10/15/68 144A		499,253		481
Navient Student Loan Trust, Series 2020-HA, Class A 1.310%, 1/15/69 144A		77,716		72
Navient Student Loan Trust, Series 2021-BA, Class A 0.940%, 7/15/69 144A		399,283		363
Navient Student Loan Trust, Series 2021-EA, Class A 0.970%, 12/16/69 144A		233,200		209
Navistar Financial Dealer Note Master Trust, Series 2020-1, Class A 2.574%, (ICE LIBOR USD 1 Month plus 0.950%), 7/25/25 144A		395,000		395
Nelnet Student Loan Trust, Series 2020-1A, Class A 2.364%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A		135,507		131
Nelnet Student Loan Trust, Series 2021-CA, Class AFX 1.320%, 4/20/62 144A		833,888		766
Nelnet Student Loan Trust, Series 2021-DA, Class AFX 1.630%, 4/20/62 144A		283,872		264
Neuberger Berman CLO, Ltd., Series 2017- 26A, Class BR 2.444%, (ICE LIBOR USD 3 Month plus 1.400%), 10/18/30 144A		500,000		477


Structured Products (33.8%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
Neuberger Berman CLO, Ltd., Series 2019- 32A, Class AR 2.034%, (ICE LIBOR USD 3 Month plus 0.990%), 1/20/32 144A		955,000		931
Neuberger Berman CLO, Ltd., Series 2021- 40A, Class A 2.104%, (ICE LIBOR USD 3 Month plus 1.060%), 4/16/33 144A		270,000		264
Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3 1.380%, 12/16/24		120,865		120
OCP CLO, Ltd., Series 2017-13A, Class A2R 2.594%, (ICE LIBOR USD 3 Month plus 1.550%), 7/15/30 144A		760,000		731
Octane Receivables Trust, Series 2021-2A, Class A 1.210%, 9/20/28 144A		306,853		297
Octane Receivables Trust, Series 2022-1A, Class B 4.900%, 5/22/28 144A		395,000		388
Palmer Square CLO, Ltd., Series 2020-3A, Class A1AR 2.491%, (ICE LIBOR USD 3 Month plus 1.080%), 11/15/31 144A		1,285,000		1,254
Planet Fitness Master Issuer LLC, Series 2018-A1, Class A2II 4.666%, 9/5/48 144A		818,125		796
Santander Bank Auto Credit-Linked Notes, Series 2021-1A, Class B 1.833%, 12/15/31 144A		182,977		178
Santander Consumer Auto Receivables Trust, Series 2020-BA, Class C 1.290%, 4/15/26 144A		650,000		622
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class D 1.570%, 1/15/27 144A		450,000		414
Santander Drive Auto Receivables Trust, Series 2020-3, Class B 0.690%, 3/17/25		64,374		64
Santander Drive Auto Receivables Trust, Series 2020-4, Class C 1.010%, 1/15/26		400,000		394
Santander Drive Auto Receivables Trust, Series 2021-3, Class D 1.330%, 9/15/27		560,000		529
Santander Drive Auto Receivables Trust, Series 2021-4, Class D 1.670%, 10/15/27		450,000		419
Santander Drive Auto Receivables Trust, Series 2022-1, Class C 2.560%, 4/17/28 b		885,000		842
Santander Retail Auto Lease Trust, Series 2019-B, Class C 2.770%, 8/21/23 144A		53,500		54
Santander Retail Auto Lease Trust, Series 2019-C, Class B 2.170%, 11/20/23 144A		215,000		215
Santander Retail Auto Lease Trust, Series 2019-C, Class C 2.390%, 11/20/23 144A		360,000		360

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
Santander Retail Auto Lease Trust, Series 2019-C, Class D 2.880%, 6/20/24 144A		425,000		424
Santander Retail Auto Lease Trust, Series 2020-A, Class D 2.520%, 11/20/24 144A		320,000		313
Santander Retail Auto Lease Trust, Series 2021-A, Class C 1.140%, 3/20/26 144A		1,030,000		966
Santander Retail Auto Lease Trust, Series 2021-B, Class D 1.410%, 11/20/25 144A		440,000		409
Santander Retail Auto Lease Trust, Series 2021-C, Class C 1.110%, 3/20/26 144A		365,000		341
Santander Retail Auto Lease Trust, Series 2022-B, Class B 3.850%, 3/22/27 144A		150,000		147
Sierra Receivables Funding Co. LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A		57,971		57
Sierra Receivables Funding Co. LLC, Series 2019-2A, Class A 2.590%, 5/20/36 144A		191,584		187
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class A 2.340%, 8/20/36 144A		470,400		452
Sierra Receivables Funding Co. LLC, Series 2020-2A, Class C 3.510%, 7/20/37 144A		108,667		104
SMB Private Education Loan Trust, Series 2014-A, Class A3 2.824%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A		417,085		417
SMB Private Education Loan Trust, Series 2016-C, Class A2B 2.424%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		234,510		234
SMB Private Education Loan Trust, Series 2018-B, Class A2A 3.600%, 1/15/37 144A		151,027		147
SMB Private Education Loan Trust, Series 2018-B, Class A2B 2.044%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A		361,386		354
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A		146,836		133
SMB Private Education Loan Trust, Series 2021-BA, Class 144A 1.310%, 7/17/51 144A		745,606		692
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A		1,061,819		974
Symphony CLO I, Ltd., Series 2021-1A, Class B 2.634%, (ICE LIBOR USD 3 Month plus 1.450%), 10/25/29 144A		815,000		781


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
Symphony CLO XXIII, Ltd., Series 2021-23A, Class AR 2.064%, (ICE LIBOR USD 3 Month plus 1.020%), 1/15/34 144A		1,045,000		1,020
Symphony CLO XXVI, Ltd., Series 2021-26A, Class AR 2.143%, (ICE LIBOR USD 3 Month plus 1.080%), 4/20/33 144A		285,000		279
Towd Point Mortgage Trust, Series 2015-1, Class A1 3.000%, (AFC), 1/25/58 144A		68,154		67
Towd Point Mortgage Trust, Series 2016-1, Class A3B 3.000%, (AFC), 2/25/55 144A		5,334		5
Towd Point Mortgage Trust, Series 2017-1, Class A1 2.750%, (AFC), 10/25/56 144A		54,785		54
Towd Point Mortgage Trust, Series 2017-2, Class A1 2.750%, (AFC), 4/25/57 144A		35,511		35
Towd Point Mortgage Trust, Series 2017-3, Class A1 2.750%, (AFC), 7/25/57 144A		111,126		110
Towd Point Mortgage Trust, Series 2017-4, Class A1 2.750%, (AFC), 6/25/57 144A		85,392		83
Towd Point Mortgage Trust, Series 2017-6, Class A1 2.750%, (AFC), 10/25/57 144A		310,912		304
Towd Point Mortgage Trust, Series 2018-2, Class A1 3.250%, (AFC), 3/25/58 144A		431,684		423
Towd Point Mortgage Trust, Series 2018-5, Class A1A 3.250%, (AFC), 8/25/58 144A		263,273		258
World Omni Auto Receivables Trust, Series 2019-C, Class C 2.400%, 6/15/26		380,000		374
World Omni Auto Receivables Trust, Series 2020-A, Class C 1.640%, 8/17/26		225,000		217
World Omni Auto Receivables Trust, Series 2022-A, Class C 2.550%, 9/15/28		325,000		309
World Omni Select Auto Trust, Series 2020-A, Class B 0.840%, 6/15/26		270,000		262
World Omni Select Auto Trust, Series 2020-A, Class C 1.250%, 10/15/26		310,000		299

Total				55,979


Mortgage Securities (19.7%)
Angel Oak Mortgage Trust, Series 2019-2, Class A1 3.628%, (AFC), 3/25/49 144A		16,235		16
Angel Oak Mortgage Trust, Series 2019-2, Class M1 4.065%, (AFC), 3/25/49 144A		270,000		266

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
Angel Oak Mortgage Trust, Series 2019-4, Class A 3.301%, (AFC), 7/26/49 144A		36,550		36
Angel Oak Mortgage Trust, Series 2020-3, Class A1 1.691%, (AFC), 4/25/65 144A		180,157		172
Angel Oak Mortgage Trust, Series 2020-3, Class A3 2.872%, (AFC), 4/25/65 144A		67,223		64
Angel Oak Mortgage Trust, Series 2020-5, Class A2 1.579%, (AFC), 5/25/65 144A		94,268		89
Angel Oak Mortgage Trust, Series 2020-6, Class A1 1.261%, (AFC), 5/25/65 144A		142,442		136
Angel Oak Mortgage Trust, Series 2021-1, Class A1 0.909%, (AFC), 1/25/66 144A		358,933		333
Angel Oak Mortgage Trust, Series 2021-1, Class A2 1.115%, (AFC), 1/25/66 144A		105,007		97
Angel Oak Mortgage Trust, Series 2021-2, Class A1 0.985%, (AFC), 4/25/66 144A		330,883		301
Angel Oak Mortgage Trust, Series 2021-2, Class A2 1.190%, (AFC), 4/25/66 144A		104,355		95
Angel Oak Mortgage Trust, Series 2021-3, Class A1 1.068%, (AFC), 5/25/66 144A		243,341		220
Atrium Hotel Portfolio Trust, Series 2017- ATRM, Class A 2.254%, (ICE LIBOR USD 1 Month plus 0.930%), 12/15/36 144A		520,000		506
Austin Fairmont Hotel Trust , Series 2019- FAIR, Class A 2.374%, (ICE LIBOR USD 1 Month plus 1.050%), 9/15/32 144A		545,000		532
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A 2.174%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A		460,000		448
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C 3.324%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/38 144A		435,000		418
BANK, Series 2019-BNK24, Class A1 2.056%, 11/15/62		139,872		136
Barclays Mortgage Loan Trust, Series 2021- NQM1, Class A1 1.747%, (AFC), 9/25/51 144A		639,833		594
Bayview MSR Opportunity Master Fund Trust, Series 2021-2, Class A5 2.500%, (AFC), 6/25/51 144A		506,491		465
Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A5 2.500%, (AFC), 11/25/51 144A		376,672		345
Bayview MSR Opportunity Master Fund Trust, Series 2022-1, Class A5 2.500%, (AFC), 12/25/51 144A		473,245		432


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
BCP Trust, Series 2021-330N, Class A 2.123%, (ICE LIBOR USD 1 Month plus 0.799%), 6/15/38 144A		290,000		279
BIG Commercial Mortgage Trust, Series 2022- BIG, Class C 3.619%, (US SOFR 1 Month plus 2.340%), 2/15/39 144A		225,000		217
BINOM Securitization Trust, Series 2021-INV1, Class A3 2.625%, (AFC), 6/25/56 144A		217,936		201
BPR Trust, Series 2021-TY, Class B 2.474%, (ICE LIBOR USD 1 Month plus 1.150%), 9/25/38 144A		450,000		428
BRAVO Residential Funding Trust, Series 2021-NQM3, Class A1 1.699%, (AFC), 4/25/60 144A		379,697		365
BSREP Commercial Mortgage Trust, Series 2021-DC, Class D 3.225%, (ICE LIBOR USD 1 Month plus 1.900%), 8/15/38 144A		200,000		186
BX Commercial Mortgage Trust, Series 2019- XL, Class A 2.244%, (ICE LIBOR USD 1 Month plus 0.920%), 10/15/36 144A		256,845		252
BX Commercial Mortgage Trust, Series 2019- XL, Class B 2.404%, (ICE LIBOR USD 1 Month plus 1.080%), 10/15/36 144A		318,750		311
BX Commercial Mortgage Trust, Series 2021- SOAR, Class D 2.725%, (ICE LIBOR USD 1 Month plus 1.400%), 6/15/38 144A		372,181		352
BX Commercial Mortgage Trust, Series 2022- CSMO, Class B 3.891%, (US SOFR 1 Month plus 3.141%), 6/15/27 144A		570,000		560
BX Trust, Series 2018-GW, Class A 2.124%, (ICE LIBOR USD 1 Month plus 0.800%), 5/15/35 144A		1,095,000		1,065
BX Trust, Series 2021-ARIA, Class C 2.970%, (ICE LIBOR USD 1 Month plus 1.646%), 10/15/36 144A		330,000		308
BX Trust, Series 2021-VIEW, Class A 2.604%, (ICE LIBOR USD 1 Month plus 1.280%), 6/15/36 144A		255,000		246
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class D 2.974%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A		660,000		639
CIM Trust, Series 2020-INV1, Class A2 2.500%, (AFC), 4/25/50 144A		313,303		276
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B 3.635%, (CSTR), 5/10/35 144A		435,000		421
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C 3.635%, (CSTR), 5/10/35 144A		255,000		244
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A3 2.500%, 8/25/50 144A		326,749		287

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A4 2.500%, (AFC), 8/25/50 144A		453,818		397
Cold Storage Trust, Series 2020-ICE5, Class B 2.624%, (ICE LIBOR USD 1 Month plus 1.300%), 11/15/37 144A		953,501		928
COLT Mortgage Loan Trust, Series 2020-3, Class A1 1.506%, (AFC), 4/27/65 144A		44,629		43
COLT Mortgage Loan Trust, Series 2021-1, Class A2 1.167%, (AFC), 6/25/66 144A		301,361		267
COLT Mortgage Loan Trust, Series 2021-3, Class A3 1.419%, (AFC), 9/27/66 144A		220,945		191
COLT Mortgage Loan Trust, Series 2022-3, Class A1 3.901%, (AFC), 2/25/67 144A		948,755		916
COMM Mortgage Trust, Series 2013-300P, Class A1 4.353%, 8/10/30 144A		275,000		273
COMM Mortgage Trust, Series 2014-CR15, Class B 4.772%, (CSTR), 2/10/47		435,000		434
COMM Mortgage Trust, Series 2014-CR19, Class AM 4.080%, 8/10/47		495,000		487
COMM Mortgage Trust, Series 2014-CR19, Class D 4.854%, (CSTR), 8/10/47 144A		185,000		169
COMM Mortgage Trust, Series 2014-UBS2, Class B 4.701%, 3/10/47		480,000		476
COMM Mortgage Trust, Series 2014-UBS5, Class A4 3.838%, 9/10/47		630,000		624
COMM Mortgage Trust, Series 2015-CR22, Class B 3.926%, (AFC), 3/10/48		235,000		226
COMM Mortgage Trust, Series 2015-CR22, Class C 4.207%, (CSTR), 3/10/48		440,000		416
COMM Mortgage Trust, Series 2015-LC23, Class A2 3.221%, 10/10/48		344,941		344
COMM Mortgage Trust, Series 2020-CBM, Class D 3.754%, (CSTR), 2/10/37 144A		235,000		216
Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1 1.926%, (US 30 Day Average SOFR plus 1.000%), 12/25/41 144A		367,240		359
Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1 2.126%, (US 30 Day Average SOFR plus 1.200%), 1/25/42 144A		841,207		819
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1 3.026%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		533,866		524


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1 2.926%, (US 30 Day Average SOFR plus 2.000%), 3/25/42 144A		344,769		338
Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M1 2.826%, (US 30 Day Average SOFR plus 1.900%), 4/25/42 144A		641,567		631
Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1 4.124%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A		465,000		466
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class C 2.754%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A		515,000		502
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class D 2.924%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		405,000		394
Credit Suisse Mortgage Trust, Series 2020- NET, Class A 2.256%, 8/15/37 144A		200,661		185
Credit Suisse Mortgage Trust, Series 2020- NET, Class D 3.828%, (CSTR), 8/15/37 144A		445,000		402
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4 3.718%, 8/15/48		305,000		300
CSAIL Commerical Mortgage Trust, Series 2019-C16, Class A1 2.360%, 6/15/52		141,199		138
Deephaven Residential Mortgage Trust, Series 2021-1A, Class A3 1.128%, (AFC), 5/25/65 144A		89,509		86
Deephaven Residential Mortgage Trust, Series 2021-2, Class A1 0.899%, (AFC), 4/25/66 144A		135,633		120
Deephaven Residential Mortgage Trust, Series 2021-2, Class A3 1.260%, (AFC), 4/25/66 144A		152,174		137
Eagle RE, Ltd., Series 2021-2, Class M1A 2.476%, (US 30 Day Average SOFR plus 1.550%), 4/25/34 144A		255,000		253
Ellington Financial Mortgage Trust, Series 2019-2, Class A3 3.046%, (AFC), 11/25/59 144A		60,784		59
Ellington Financial Mortgage Trust, Series 2020-1, Class A1 2.006%, (AFC), 5/25/65 144A		126,143		123
Ellington Financial Mortgage Trust, Series 2021-1, Class A1 0.797%, (AFC), 2/25/66 144A		83,869		76
Ellington Financial Mortgage Trust, Series 2021-1, Class A3 1.106%, (AFC), 2/25/66 144A		69,550		62
Ellington Financial Mortgage Trust, Series 2021-2, Class A1 0.931%, (AFC), 6/25/66 144A		593,691		537

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
Ellington Financial Mortgage Trust, Series 2021-2, Class A3 1.291%, (AFC), 6/25/66 144A		175,409		158
Ellington Financial Mortgage Trust, Series 2021-3, Class A1 1.241%, (AFC), 9/25/66 144A		245,651		216
Ellington Financial Mortgage Trust, Series 2021-3, Class A3 1.550%, (AFC), 9/25/66 144A		184,238		162
Extended Stay America Trust, Series 2021- ESH, Class C 3.025%, (ICE LIBOR USD 1 Month plus 1.700%), 7/15/38 144A		477,064		461
Federal Home Loan Bank 2.500%, 1/1/52		615,109		556
4.000%, 12/1/49		99,461		99
4.500%, 5/1/50		62,521		63
Federal Home Loan Mortgage Corp. 3.000%, 11/1/34		42,710		42
3.500%, 3/1/46		37,057		36
3.500%, 12/1/47		328,036		321
5.000%, 12/1/41		128,716		132
6.000%, 9/1/34		1,194		1
6.000%, 2/1/35		24,238		26
6.000%, 9/1/35		7,606		8
7.000%, 3/1/39		49,345		53
7.500%, 6/1/38		47,004		51
Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1 5.624%, (ICE LIBOR USD 1 Month plus 4.000%), 8/25/24		64,313		65
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1 3.850%, (CSTR), 5/25/47 144A		25,897		26
Federal Home Loan Mortgage Corp., Series 3713, Class PA 2.000%, 2/15/40		87,009		85
Federal Home Loan Mortgage Corp., Series 4092, Class CL 1.250%, 6/15/27		270,571		263
Federal National Mortgage Association 2.000%, 10/1/50		232,227		203
2.500%, 10/1/22		7,294		7
2.500%, 12/1/22		3,207		3
2.500%, 1/1/52		572,870		516
3.000%, 4/1/24		34,618		34
3.000%, 9/1/28		194,715		194
3.000%, 12/1/34		97,737		97
3.000%, 3/1/35		40,411		40
3.000%, 6/1/52 ß		1,205,000		1,123
3.500%, 5/1/27		207,890		208
3.500%, 4/1/46		219,554		215
3.500%, 2/1/48		390,684		382
3.500%, 1/1/52		153,483		148
4.000%, 1/1/47		63,633		64
4.000%, 2/1/49		13,794		14
4.000%, 11/1/49		37,213		37
4.000%, 12/1/49		12,462		12
4.500%, 5/1/40		48,595		50
4.500%, 9/1/40		42,862		44


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
4.500%, 5/1/41		84,018		86
4.500%, 8/1/48		25,230		25
4.500%, 9/1/48		24,595		25
4.500%, 10/1/48		166,058		169
4.500%, 11/1/48		36,018		36
4.500%, 12/1/48		185,708		187
4.500%, 5/1/49		103,590		105
4.500%, 1/1/50		21,180		21
5.000%, 10/1/33		76,991		81
5.000%, 6/1/40		42,681		45
5.000%, 7/1/45		61,114		64
5.000%, 9/1/48		58,971		61
5.000%, 2/1/49		29,967		31
5.000%, 8/1/49		22,753		23
5.500%, 8/1/37		45,010		48
5.500%, 2/1/38		170,602		183
6.000%, 8/1/22		181		–	P
6.000%, 3/1/34		39,558		43
6.000%, 8/1/34		107,539		116
6.000%, 11/1/34		3,882		4
6.000%, 12/1/34		1,440		2
6.000%, 4/1/35		2,512		3
6.000%, 5/1/38		1,639		2
6.000%, 10/1/40		83,376		90
6.000%, 2/1/49		353,697		393
6.500%, 7/1/32		12,697		14
6.500%, 12/1/32		12,559		13
Federal National Mortgage Association, Series 2011-113, Class AG 2.500%, 11/25/26		48,310		48
Federal National Mortgage Association, Series 2013-74, Class AD 2.000%, 7/25/23		9,253		9
Federal National Mortgage Association, Series 2017-90, Class KA 3.000%, 11/25/47		208,877		204
Federal National Mortgage Association, Series 2017-C02, Class 2ED3 2.974%, (ICE LIBOR USD 1 Month plus 1.350%), 9/25/29		10,783		11
Federal National Mortgage Association, Series 2017-C04, Class 2ED2 2.724%, (ICE LIBOR USD 1 Month plus 1.100%), 11/25/29		457,277		452
Federal National Mortgage Association, Series 2017-C05, Class 1ED3 2.824%, (ICE LIBOR USD 1 Month plus 1.200%), 1/25/30		18,022		18
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 2.474%, (ICE LIBOR USD 1 Month plus 0.850%), 10/25/30		527,279		523
Federal National Mortgage Association, Series 2022-R06, Class 1M1 3.676%, (US 30 Day Average SOFR plus 2.750%), 5/25/42 144A		570,907		569
Flagstar Mortgage Trust, Series 2020-1INV, Class A11 2.474%, (ICE LIBOR USD 1 Month plus 0.850%), 3/25/50 144A		118,759		112

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class B 3.447%, 12/10/36 144A		605,000		580
FWD Securitization Trust, Series 2020-INV1, Class A-1 2.240%, (AFC), 1/25/50 144A		242,964		235
Galton Funding Mortgage Trust, Series 2018- 1, Class A33 3.500%, (AFC), 11/25/57 144A		36,144		35
Galton Funding Mortgage Trust, Series 2019- 1, Class A21 4.500%, (AFC), 2/25/59 144A		50,494		50
Galton Funding Mortgage Trust, Series 2019- 1, Class A32 4.000%, (AFC), 2/25/59 144A		21,968		22
Galton Funding Mortgage Trust, Series 2019- H1, Class M1 3.339%, (AFC), 10/25/59 144A		260,000		248
Galton Funding Mortgage Trust, Series 2020- H1, Class M1 2.832%, (AFC), 1/25/60 144A		285,000		262
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A 2.124%, (ICE LIBOR USD 1 Month plus 0.800%), 2/15/38 144A		335,000		324
Government National Mortgage Association 3.000%, 9/20/47		557,078		532
3.500%, 12/20/42		3,578		4
3.500%, 9/20/43		48,486		48
3.500%, 8/20/44		94,667		92
3.500%, 10/20/46		621		1
3.500%, 11/20/46		37,784		37
3.500%, 1/20/47		40,823		40
3.500%, 7/21/52 ß		1,119,000		1,087
4.000%, 3/20/48		79,094		80
4.000%, 4/20/50		283,410		284
4.000%, 10/20/50		180,846		181
4.500%, 7/20/41		200,232		209
4.500%, 7/21/52		595,000		604
5.000%, 3/20/34		219,189		233
5.000%, 1/20/48		35,891		37
5.000%, 2/20/48		163,223		170
5.500%, 6/20/37		47,647		51
5.500%, 9/15/45		146,082		161
5.500%, 3/20/48		26,222		28
5.500%, 12/20/48		15,081		16
5.500%, 2/20/49		190,552		199
Great Wolf Trust, Series 2019-WOLF, Class A 2.358%, (ICE LIBOR USD 1 Month plus 1.034%), 12/15/36 144A		255,000		248
Great Wolf Trust, Series 2019-WOLF, Class C 2.957%, (ICE LIBOR USD 1 Month plus 1.633%), 12/15/36 144A		270,000		260
GS Mortgage Backed Securities Trust, Series 2014-EB1A, Class 2A1 1.894%, (CSTR), 7/25/44 144A		4,303		4
GS Mortgage Backed Securities Trust, Series 2021-GR2, Class A6 2.500%, (AFC), 2/25/52 144A		365,463		333


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
GS Mortgage Backed Securities Trust, Series 2021-HP1, Class A6 2.500%, 1/25/52 144A		308,424		281
GS Mortgage Backed Securities Trust, Series 2021-NQM1, Class A1 1.017%, (AFC), 7/25/61 144A		166,114		155
GS Mortgage Backed Securities Trust, Series 2021-PJ5, Class A8 2.500%, 10/25/51 144A		746,110		676
GS Mortgage Backed Securities Trust, Series 2022-GR1, Class A5 2.500%, (AFC), 6/25/52 144A		990,676		903
GS Mortgage Securities Trust, Series 2021- ROSS, Class B 2.925%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/26 144A		390,000		372
Homeward Opportunities Fund I Trust, Series 2020-2, Class A1 1.657%, (AFC), 5/25/65 144A		27,746		28
Hundred Acre Wood Trust, Series 2021-INV1, Class A9 2.500%, 7/25/51 144A		490,644		452
Imperial Fund Mortgage Trust, Series 2021- NQM2, Class A3 1.516%, (AFC), 9/25/56 144A		295,574		262
Imperial Fund Mortgage Trust, Series 2022- NQM4, Class A1 4.767%, (AFC), 6/25/67 144A S		816,695		810
InTown Hotel Portfolio Trust, Series 2018- STAY, Class A 2.425%, (ICE LIBOR USD 1 Month plus 1.100%), 1/15/33 144A		115,000		114
InTown Hotel Portfolio Trust, Series 2018- STAY, Class C 2.975%, (ICE LIBOR USD 1 Month plus 1.650%), 1/15/33 144A		100,000		99
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class B 2.674%, (ICE LIBOR USD 1 Month plus 1.350%), 9/15/29 144A		790,000		764
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C 2.924%, (ICE LIBOR USD 1 Month plus 1.600%), 9/15/29 144A		250,000		241
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B 3.095%, (ICE LIBOR USD 1 Month plus 1.770%), 10/15/33 144A		540,000		517
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class C 3.495%, (ICE LIBOR USD 1 Month plus 2.170%), 10/15/33 144A		440,000		416
JP Morgan Mortgage Trust, Series 2020-INV1, Class A11 1.498%, (ICE LIBOR USD 1 Month plus 0.830%), (AFC), 8/25/50 144A		51,758		49
JP Morgan Mortgage Trust, Series 2020-INV1, Class A15 3.500%, (AFC), 8/25/50 144A		84,257		80

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A5 3.934%, 9/15/47		540,000		537
KIND Trust, Series 2021-KIND, Class C 3.074%, (ICE LIBOR USD 1 Month plus 1.750%), 8/15/38 144A		580,000		545
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class C 2.324%, (ICE LIBOR USD 1 Month plus 1.000%), 12/15/37 144A		157,500		150
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class D 2.574%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/37 144A		116,250		110
LSTAR Commercial Mortgage Trust, Series 2017-5, Class AS 4.021%, 3/10/50 144A		340,000		329
Mello Mortgage Capital Acceptance, Series 2021-INV3, Class A4 2.500%, (AFC), 10/25/51 144A		429,685		392
MFRA Trust, Series 2021-INV1, Class A1 0.852%, (AFC), 1/25/56 144A		174,957		164
MFRA Trust, Series 2021-NQM2, Class A2 1.317%, (AFC), 11/25/64 144A		148,997		134
MHC Trust, Series 2021-MHC2, Class B 2.424%, (ICE LIBOR USD 1 Month plus 1.100%), 5/15/23 144A		380,000		363
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS 4.110%, (AFC), 10/15/47		185,000		181
Morgan Stanley Capital I Trust, Series 2014- 150E, Class A 3.912%, 9/9/32 144A		610,000		592
Morgan Stanley Capital I Trust, Series 2019- MEAD, Class D 3.283%, (CSTR), 11/10/36 144A		480,000		428
Morgan Stanley Capital I Trust, Series 2019- NUGS, Class D 3.300%, (ICE LIBOR USD 1 Month plus 1.800%), 12/15/36 144A		315,000		300
Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class A4 2.500%, (AFC), 5/25/51 144A		156,876		143
New Orleans Hotel Trust, Series 2019-HNLA, Class B 2.613%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A		606,569		579
New Residential Mortgage Loan Trust , Series 2021-NQ1R, Class A 0.943%, (AFC), 7/25/55 144A		284,992		270
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1 1.650%, (AFC), 5/24/60 144A		125,802		121
New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1 2.710%, (AFC), 11/25/59 144A		154,425		146
New Residential Mortgage Loan Trust, Series 2020-NQM1, Class A1 2.464%, (AFC), 1/26/60 144A		127,615		123


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
New Residential Mortgage Loan Trust, Series 2021-INV1, Class A6 2.500%, (AFC), 6/25/51 144A		319,879		292
New Residential Mortgage Loan Trust, Series 2021-INV2, Class A7 2.500%, (AFC), 9/25/51 144A		915,475		835
NMLT Trust, Series 2021-INV2, Class A1 1.162%, (AFC), 8/25/56 144A		982,824		889
NMLT Trust, Series 2021-INV2, Class A3 1.520%, (AFC), 8/25/56 144A		254,482		230
OBX Trust, Series 2019-EXP2, Class 2A2 2.824%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A		107,449		105
OBX Trust, Series 2019-EXP3, Class 2A1 2.524%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144A		103,599		102
OBX Trust, Series 2020-EXP1, Class 1A8 3.500%, 2/25/60 144A		175,063		165
OBX Trust, Series 2020-EXP1, Class 2A1 2.374%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/60 144A		170,835		166
OBX Trust, Series 2020-EXP1, Class 2A2 2.574%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A		101,662		100
OBX Trust, Series 2020-EXP3, Class 1A8 3.000%, (AFC), 1/25/60 144A		187,449		178
OBX Trust, Series 2020-INV1, Class A5 3.500%, (AFC), 12/25/49 144A		47,802		46
OBX Trust, Series 2021-J1, Class A4 2.500%, (AFC), 5/25/51 144A		544,460		495
OBX Trust, Series 2021-NQM1, Class A1 1.072%, (AFC), 2/25/66 144A		392,558		369
OBX Trust, Series 2021-NQM3, Class A1 1.054%, (AFC), 7/25/61 144A		229,437		198
OBX Trust, Series 2020-EXP2, Class A8 3.000%, (AFC), 5/25/60 144A		210,061		197
OBX Trust, Series 2020-EXP2, Class A9 3.000%, (AFC), 5/25/60 144A		52,515		49
ONE Park Mortgage Trust, Series 2021-PARK, Class B 2.274%, (ICE LIBOR USD 1 Month plus 0.950%), 3/15/36 144A		755,000		716
ONE Park Mortgage Trust, Series 2021-PARK, Class C 2.424%, (ICE LIBOR USD 1 Month plus 1.100%), 3/15/36 144A		405,000		381
PSMC Trust, Series 2021-1, Class A11 2.500%, (AFC), 3/25/51 144A		771,392		701
PSMC Trust, Series 2021-2, Class A3 2.500%, (AFC), 5/25/51 144A		610,372		556
Sequoia Mortgage Trust, Series 2018-CH2, Class A21 4.000%, (AFC), 6/25/48 144A		24,952		24
Sequoia Mortgage Trust, Series 2018-CH2, Class A3 4.000%, (AFC), 6/25/48 144A		57,557		57
Sequoia Mortgage Trust, Series 2018-CH3, Class A19 4.500%, (AFC), 8/25/48 144A		5,854		6

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

Short-Term Bond Portfolio


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
Sequoia Mortgage Trust, Series 2018-CH4, Class A2 4.000%, (AFC), 10/25/48 144A		9,794		10
SG Residential Mortgage Trust, Series 2019-3, Class A2 2.877%, (AFC), 9/25/59 144A		151,812		150
SG Residential Mortgage Trust, Series 2020-2, Class A1 1.381%, (AFC), 5/25/65 144A		129,521		123
SG Residential Mortgage Trust, Series 2022-1, Class A1 3.166%, (AFC), 3/27/62 144A		606,583		578
Shelter Growth CRE Issuer, Ltd., Series 2021- FL3, Class A 2.404%, (ICE LIBOR USD 1 Month plus 1.080%), 9/15/36 144A		214,700		207
Slide, Series 2018-FUN, Class D 3.424%, (ICE LIBOR USD 1 Month plus 2.100%), 6/15/31 144A		353,178		340
STACR Trust, Series 2018-HRP2, Class M2 2.874%, (ICE LIBOR USD 1 Month plus 1.250%), 2/25/47 144A		25,220		25
STACR Trust, Series 2020-DNA6, Class M1 1.826%, (US 30 Day Average SOFR plus 0.900%), 12/25/50 144A		344		–	π
STACR Trust, Series 2021-DNA2, Class M1 1.726%, (US 30 Day Average SOFR plus 0.800%), 8/25/33 144A		126,801		126
STACR Trust, Series 2021-DNA3, Class M2 3.026%, (US 30 Day Average SOFR plus 2.100%), 10/25/33 144A		395,000		365
STACR Trust, Series 2021-DNA5, Class M2 2.576%, (US 30 Day Average SOFR plus 1.650%), 1/25/34 144A		245,651		237
STACR Trust, Series 2021-DNA6, Class M2 2.426%, (US 30 Day Average SOFR plus 1.500%), 10/25/41 144A		325,000		297
STACR Trust, Series 2021-DNA7, Class M1 1.776%, (US 30 Day Average SOFR plus 0.850%), 11/25/41 144A		255,000		247
STACR Trust, Series 2021-DNA7, Class M2 2.726%, (US 30 Day Average SOFR plus 1.800%), 11/25/41 144A		375,000		338
STACR Trust, Series 2021-HQA1, Class M1 1.626%, (US 30 Day Average SOFR plus 0.700%), 8/25/33 144A		179,789		178
STACR Trust, Series 2021-HQA3, Class M1 1.776%, (US 30 Day Average SOFR plus 0.850%), 9/25/41 144A		249,535		241
STACR Trust, Series 2021-HQA4, Class M1 1.876%, (US 30 Day Average SOFR plus 0.950%), 12/25/41 144A		500,000		484
STACR Trust, Series 2022-DNA2, Class M1A 2.226%, (US 30 Day Average SOFR plus 1.300%), 2/25/42 144A		312,759		306
STACR Trust, Series 2022-DNA3, Class M1A 2.926%, (US 30 Day Average SOFR plus 2.000%), 4/25/42 144A		690,754		680
STACR Trust, Series 2022-DNA4, Class M1A 2.551%, (US 30 Day Average SOFR plus 2.200%), 5/25/42 144A		745,321		736


Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)

Mortgage Securities continued
STACR Trust, Series 2022-DNA5, Class M1A 3.729%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A		730,000		730
STACR Trust, Series 2022-HQA1, Class M1A 3.026%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		843,040		836
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A1 2.610%, (AFC), 9/27/49 144A		1,309		1
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3 2.916%, (AFC), 9/27/49 144A		181,793		177
Starwood Mortgage Residential Trust, Series 2020-1, Class A2 2.408%, (AFC), 2/25/50 144A		208,100		202
Starwood Mortgage Residential Trust, Series 2021-2, Class A1 0.943%, (AFC), 5/25/65 144A		203,034		193
Starwood Mortgage Residential Trust, Series 2021-4, Class A1 1.162%, (AFC), 8/25/56 144A		719,593		646
Toorak Mortgage Corp., Series 2021-INV1, Class A2 1.409%, (AFC), 7/25/56 144A		146,172		132
Uniform Mortgage Backed Security TBA 4.000%, 7/14/52 ß		940,000		927
4.500%, 7/14/52 ß		1,590,000		1,596
United Wholsale Mortgage LLC, Series 2021- INV2, Class A4 2.500%, (AFC), 9/25/51 144A		167,824		154
United Wholsale Mortgage LLC, Series 2021- INV5, Class B 2.500%, (AFC), 1/25/52 144A		195,414		178
Verus Securitization Trust, Series 2019-4, Class A3 3.000%, (AFC), 11/25/59 144A Σ		251,858		250
Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A		137,849		137
Verus Securitization Trust, Series 2019-INV2, Class A2 3.117%, (AFC), 7/25/59 144A		184,594		184
Verus Securitization Trust, Series 2019-INV3, Class A3 3.100%, (AFC), 11/25/59 144A		183,985		179
Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A Σ		96,039		94
Verus Securitization Trust, Series 2020-1, Class A3 2.724%, (AFC), 1/25/60 144A Σ		224,094		220
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A		150,812		148
Verus Securitization Trust, Series 2020-5, Class A3 1.733%, (AFC), 5/25/65 144A Σ		98,267		92
Verus Securitization Trust, Series 2020-INV1, Class A1 1.977%, (AFC), 4/25/60 144A		84,203		83

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

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Structured Products (33.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A		112,197		102
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		91,594		83
Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A		207,981		188
Verus Securitization Trust, Series 2021-2, Class A2 1.052%, (AFC), 1/25/66 144A		155,710		141
Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A		248,069		210
Verus Securitization Trust, Series 2021-7, Class A1 1.829%, (AFC), 10/25/66 144A		899,970		809
Verus Securitization Trust, Series 2021-R1, Class A2 1.057%, (AFC), 10/25/63 144A		76,232		74
Verus Securitization Trust, Series 2021-R2, Class A1 0.918%, (AFC), 2/25/64 144A		219,964		213
Verus Securitization Trust, Series 2022-1, Class A3 3.288%, (AFC), 1/25/67 144A		966,530		901
Verus Securitization Trust, Series 2022-6, Class A1 4.910%, (AFC), 1/25/67 144A Σ		255,000		253
Vista Point Securitization Trust, Series 2020-1, Class A1 1.763%, (AFC), 3/25/65 144A		3,320		3
Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A		66,630		64
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2 3.020%, 7/15/58		122,466		120
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17 3.000%, (AFC), 5/25/50 144A		40,737		36
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3 2.500%, (AFC), 12/25/50 144A		660,909		601
WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5 3.917%, 10/15/57		575,000		570

Exchange Traded or Centrally Cleared Derivatives

Futures


Structured Products (33.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5 4.045%, 3/15/47		325,000		324

Total				78,184


Total Structured Products
(Cost: $140,755)				134,163


Short-Term Investments (3.4%)

Money Market Funds (3.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#		13,520,273		13,520

Total				13,520


Total Short-Term Investments
(Cost: $13,520)				13,520


Total Investments (100.7%)
(Cost: $414,344)^@				399,332

Other Assets, Less Liabilities (-0.7%)				(2,619	)

Net Assets (100.0%)				396,713

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

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Futures (continued)


Issuer	Long/Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Five-Year US Treasury Note Future		Short		USD		17,700		177		9/22	$	19,869	$	(65	)	$	(124	)
Ten-Year US Treasury Note Future		Short		USD		600		6		9/22		711		(1	)		(6	)
Two-Year US Treasury Note Future		Long		USD		75,200		376		9/22		78,966		(408	)		211
Ultra Ten-Year US Treasury Note Future		Short		USD		800		8		9/22		1,019		16			(11	)

													$	(458	)	$	70


	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	$	–	$	211	$	211	$	–	$	(141	)	$	(141	)	$	–

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

144A

b	Cash or securities with an aggregate value of $105,141 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2022.

§	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, 2022, the aggregate value of these securities was $6,080 (in thousands), representing 1.5% of net assets.

S	Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

π	Amount is less than one thousand.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $414,344 and the net unrealized depreciation of investments based on that cost was $15,470 which is comprised of $204 aggregate gross unrealized appreciation and $15,674 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.

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Short-Term Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	-		$	1,459	$	-
Corporate Bonds		-			189,543		-
Governments		-			60,647		-
Structured Products		-			134,163		-
Short-Term Investments		13,520			-		-
Other Financial Instruments^
Futures		16			-		-
Total Assets:	$	13,536		$	385,812	$	-
Liabilities:
Other Financial Instruments^
Futures		(474	)		-		-
Total Liabilities:	$	(474	)	$	-	$	-

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

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Sector Allocation 6/30/22


Sector	% of Net Assets
Structured Products		43.8	%
Governments		30.5	%
Corporate Bonds		28.1	%
Municipal Bonds		0.3	%
Short-Term Investments & Other Net Assets		-2.7	%

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.

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SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials (0.6%)
Anglo American Capital PLC 3.875%, 3/16/29 144A		2,878,000		2,647
4.750%, 3/16/52 144A		2,265,000		1,945
The Dow Chemical Co. 3.600%, 11/15/50		1,043,000		796
7.375%, 11/1/29		1,374,000		1,595
Freeport-McMoRan, Inc. 5.250%, 9/1/29		4,696,000		4,485
5.450%, 3/15/43		1,584,000		1,465
Glencore Finance Canada, Ltd. 6.000%, 11/15/41 144A		124,000		120
6.900%, 11/15/37 144A		1,186,000		1,325
Rohm and Haas Co. 7.850%, 7/15/29		1,291,000		1,533
Westlake Chemical Corp. 3.600%, 8/15/26		1,121,000		1,091

Total				17,002


Communications (2.5%)
Amazon.com, Inc. 1.000%, 5/12/26		7,002,000		6,368
1.650%, 5/12/28		3,155,000		2,796
2.100%, 5/12/31		3,931,000		3,367
2.500%, 6/3/50		2,054,000		1,448
2.700%, 6/3/60		1,011,000		685
2.875%, 5/12/41		718,000		575
3.100%, 5/12/51		451,000		355
3.450%, 4/13/29		1,541,000		1,498
3.600%, 4/13/32		2,018,000		1,943
3.950%, 4/13/52		1,541,000		1,424
AT&T, Inc. 1.700%, 3/25/26		5,120,000		4,678
3.500%, 6/1/41		1,096,000		875
3.550%, 9/15/55		1,074,000		805
3.650%, 6/1/51		823,000		644
3.650%, 9/15/59		2,159,000		1,617
3.800%, 12/1/57		1,965,000		1,518
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 3.500%, 6/1/41		1,357,000		950
3.500%, 3/1/42		2,493,000		1,730
3.900%, 6/1/52		2,830,000		1,965
Comcast Corp. 2.650%, 8/15/62		2,558,000		1,651
2.887%, 11/1/51		515,000		368
Netflix, Inc. 3.625%, 6/15/25 144A		117,000		111
5.375%, 11/15/29 144A		1,431,000		1,352
5.875%, 11/15/28		1,965,000		1,921
Rogers Communications, Inc. 4.550%, 3/15/52 144A		1,274,000		1,119
T-Mobile USA, Inc. 2.250%, 2/15/26		9,375,000		8,436
2.875%, 2/15/31		697,000		579
3.375%, 4/15/29		9,193,000		8,044


Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
3.500%, 4/15/31		2,510,000		2,167
Verizon Communications, Inc. 1.750%, 1/20/31		1,060,000		851
2.355%, 3/15/32		4,822,000		3,998
2.550%, 3/21/31		3,184,000		2,722
2.650%, 11/20/40		4,308,000		3,160
3.700%, 3/22/61		1,504,000		1,181
Vodafone Group PLC 4.250%, 9/17/50		409,000		342
5.000%, 5/30/38		514,000		492
The Walt Disney Co. 2.750%, 9/1/49		514,000		367

Total				74,102


Consumer, Cyclical (2.2%)
AutoNation, Inc. 4.750%, 6/1/30		1,796,000		1,689
Delta Air Lines, Inc./SkyMiles IP, Ltd. 4.500%, 10/20/25 144A		4,166,000		4,048
4.750%, 10/20/28 144A		6,048,000		5,713
Ford Motor Co. 4.750%, 1/15/43		839,000		598
Ford Motor Credit Co. LLC 2.700%, 8/10/26		3,748,000		3,194
2.900%, 2/10/29		2,712,000		2,127
3.625%, 6/17/31		2,013,000		1,560
General Motors Financial Co., Inc. 3.100%, 1/12/32		1,105,000		888
5.000%, 4/9/27		2,081,000		2,041
The Home Depot, Inc. 2.375%, 3/15/51		1,641,000		1,110
3.125%, 12/15/49		1,991,000		1,548
3.250%, 4/15/32		2,568,000		2,392
3.300%, 4/15/40		424,000		360
3.625%, 4/15/52		1,023,000		878
Hyundai Capital America 0.800%, 1/8/24 144A		1,976,000		1,877
1.300%, 1/8/26 144A		2,165,000		1,921
2.000%, 6/15/28 144A		1,022,000		859
Magallanes, Inc. 3.638%, 3/15/25 144A		2,054,000		1,989
3.755%, 3/15/27 144A		3,123,000		2,929
4.054%, 3/15/29 144A		1,027,000		941
4.279%, 3/15/32 144A		1,692,000		1,512
5.050%, 3/15/42 144A		2,259,000		1,922
5.141%, 3/15/52 144A		3,732,000		3,132
5.391%, 3/15/62 144A		2,563,000		2,144
Marriott International, Inc. 2.850%, 4/15/31		1,368,000		1,134
3.500%, 10/15/32		1,546,000		1,334
4.625%, 6/15/30		4,271,000		4,095
McDonald’s Corp. 3.625%, 9/1/49		1,671,000		1,380
4.200%, 4/1/50		2,469,000		2,205

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

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Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Tapestry, Inc. 3.050%, 3/15/32		1,783,000		1,453
Target Corp. 2.950%, 1/15/52		2,819,000		2,134
Toyota Motor Credit Corp. 3.950%, 6/30/25		3,183,000		3,194
4.450%, 6/29/29		1,058,000		1,071

Total				65,372


Consumer, Non-cyclical (3.6%)
AbbVie, Inc. 2.300%, 11/21/22		3,202,000		3,196
3.200%, 11/21/29		3,056,000		2,811
4.050%, 11/21/39		1,216,000		1,084
4.250%, 11/21/49		3,541,000		3,143
4.300%, 5/14/36		744,000		699
4.450%, 5/14/46		755,000		685
Adani International Container Terminal Private, Ltd. 3.000%, 2/16/31 144A		885,120		751
Altria Group, Inc. 2.350%, 5/6/25		221,000		209
Amgen, Inc. 3.000%, 1/15/52		1,137,000		806
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 4.700%, 2/1/36		2,904,000		2,782
4.900%, 2/1/46		5,487,000		5,157
Anheuser-Busch InBev Worldwide, Inc. 3.750%, 7/15/42		938,000		760
4.375%, 4/15/38		3,050,000		2,797
AstraZeneca Finance LLC 1.750%, 5/28/28		3,621,000		3,194
AstraZeneca PLC 1.375%, 8/6/30		1,039,000		853
BAT Capital Corp. 4.390%, 8/15/37		545,000		432
Becton Dickinson and Co. 1.957%, 2/11/31		811,000		655
Bunge, Ltd. Finance Corp. 1.630%, 8/17/25		1,788,000		1,647
Centene Corp. 2.450%, 7/15/28		5,669,000		4,728
3.000%, 10/15/30		1,121,000		929
Cigna Corp. 3.400%, 3/15/50		518,000		395
4.900%, 12/15/48		1,300,000		1,248
The Coca-Cola Co. 1.375%, 3/15/31		530,000		431
1.650%, 6/1/30		530,000		449
CSL Finance PLC 3.850%, 4/27/27 144A		514,000		509
4.050%, 4/27/29 144A		1,033,000		1,014
4.750%, 4/27/52 144A		1,930,000		1,844
CVS Health Corp. 3.000%, 8/15/26		1,105,000		1,057
4.300%, 3/25/28		2,337,000		2,312
5.050%, 3/25/48		2,397,000		2,295
Danaher Corp. 2.600%, 10/1/50		1,221,000		860


Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
2.800%, 12/10/51		817,000		589
DH Europe Finance II SARL 2.050%, 11/15/22		1,635,000		1,630
2.200%, 11/15/24		2,815,000		2,700
Gilead Sciences, Inc. 2.600%, 10/1/40		1,777,000		1,299
2.800%, 10/1/50		1,656,000		1,156
4.000%, 9/1/36		917,000		856
Global Payments, Inc. 1.500%, 11/15/24		1,343,000		1,261
GSK Consumer Healthcare Company 3.375%, 3/24/27 144A		2,447,000		2,342
3.375%, 3/24/29 144A		2,172,000		2,032
3.625%, 3/24/32 144A		3,746,000		3,462
4.000%, 3/24/52 144A		1,695,000		1,451
HCA, Inc. 3.500%, 9/1/30		1,121,000		954
4.625%, 3/15/52 144A		1,120,000		896
Keurig Dr. Pepper, Inc. 4.050%, 4/15/32		519,000		486
Pfizer, Inc. 1.750%, 8/18/31		2,076,000		1,736
2.550%, 5/28/40		3,569,000		2,794
Quanta Services, Inc. 0.950%, 10/1/24		2,044,000		1,890
Roche Holdings, Inc. 2.076%, 12/13/31 144A		3,841,000		3,274
2.607%, 12/13/51 144A		1,487,000		1,080
Shire Acquisitions Investments Ireland DAC 2.875%, 9/23/23		844,000		835
STERIS Irish FinCo Unlimited Co. 3.750%, 3/15/51		2,983,000		2,318
Takeda Pharmaceutical Co., Ltd. 2.050%, 3/31/30		2,911,000		2,435
3.025%, 7/9/40		1,196,000		921
3.175%, 7/9/50		835,000		625
4.400%, 11/26/23		1,858,000		1,872
Thermo Fisher Scientific, Inc. 1.750%, 10/15/28		1,033,000		903
2.000%, 10/15/31		1,735,000		1,455
2.800%, 10/15/41		1,645,000		1,292
UnitedHealth Group, Inc. 2.750%, 5/15/40		786,000		612
2.900%, 5/15/50		1,824,000		1,366
3.050%, 5/15/41		534,000		430
3.250%, 5/15/51		2,787,000		2,187
4.000%, 5/15/29		1,578,000		1,563
4.200%, 5/15/32		1,053,000		1,052
4.625%, 7/15/35		712,000		723
4.750%, 5/15/52	��	106,000		106
Viterra Finance BV 3.200%, 4/21/31 144A		479,000		388
4.900%, 4/21/27 144A		2,672,000		2,597
5.250%, 4/21/32 144A		3,304,000		3,071

Total				108,371


Energy (1.5%)
Aker BP ASA
3.750%, 1/15/30 144A		726,000		650
4.000%, 1/15/31 144A		1,246,000		1,119

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

106

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Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
BP Capital Markets America, Inc. 2.939%, 6/4/51		1,022,000		731
Diamondback Energy, Inc. 4.400%, 3/24/51		1,039,000		885
Energy Transfer LP 4.400%, 3/15/27		509,000		493
4.950%, 5/15/28		3,784,000		3,699
5.300%, 4/15/47		1,866,000		1,616
6.100%, 2/15/42		534,000		497
6.125%, 12/15/45		917,000		875
Exxon Mobil Corp. 3.452%, 4/15/51		2,877,000		2,351
Galaxy Pipeline Assets Bidco, Ltd. 1.750%, 9/30/27 144A		2,974,887		2,763
2.160%, 3/31/34 144A		2,308,947		1,962
2.625%, 3/31/36 144A		1,480,000		1,198
2.940%, 9/30/40 144A		940,358		767
Kinder Morgan, Inc. 3.250%, 8/1/50		1,483,000		1,032
3.600%, 2/15/51		1,232,000		907
Lundin Energy Finance B.V. 2.000%, 7/15/26 144A		6,971,000		6,226
3.100%, 7/15/31 144A		3,113,000		2,575
MPLX LP 4.950%, 3/14/52		1,641,000		1,418
Ovintiv, Inc. 7.375%, 11/1/31		723,000		795
Petroleos Mexicanos 2.460%, 12/15/25		2,246,650		2,203
Pioneer Natural Resources Co. 1.900%, 8/15/30		1,739,000		1,420
2.150%, 1/15/31		2,081,000		1,713
Targa Resources Corp. 6.250%, 7/1/52		1,589,000		1,594
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 4.000%, 1/15/32		692,000		592
4.875%, 2/1/31		2,411,000		2,198
5.500%, 3/1/30		603,000		575

Total				42,854


Financial (12.1%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.150%, 10/29/23		6,217,000		5,924
Agree LP 2.000%, 6/15/28		2,237,000		1,910
2.600%, 6/15/33		509,000		403
American Campus Communities Operating Partnership LP 2.250%, 1/15/29		1,353,000		1,253
American Homes 4 Rent, LP 3.625%, 4/15/32		2,054,000		1,801
4.300%, 4/15/52		922,000		743
American Tower Corp. 2.700%, 4/15/31		817,000		672
3.650%, 3/15/27		2,568,000		2,439
Antares Holdings LP 3.750%, 7/15/27 144A		2,689,000		2,261


Corporate Bonds (28.1%)		Shares/ Par⁺		Value $ (000’s)

Financial continued	��
Ares Capital Corp. 3.200%, 11/15/31			1,199,000		871
Athene Global Funding 1.730%, 10/2/26 144A			4,643,000		4,029
1.985%, 8/19/28 144A			2,568,000		2,132
2.500%, 3/24/28 144A			3,596,000		3,089
2.514%, 3/8/24 144A			4,203,000		4,064
2.646%, 10/4/31 144A			3,391,000		2,705
3.205%, 3/8/27 144A			5,125,000		4,661
Bain Capital Specialty Finance, Inc. 2.550%, 10/13/26			681,000		583
Banco Santander SA 1.722%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.900%), 9/14/27			2,600,000		2,257
3.225%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 11/22/32			1,600,000		1,265
Bank of America Corp. 1.530%, (US SOFR plus 0.650%), 12/6/25			7,300,000		6,792
1.658%, (US SOFR plus 0.910%), 3/11/27			8,155,000		7,309
1.734%, (US SOFR plus 0.960%), 7/22/27			6,190,000		5,502
1.922%, (US SOFR plus 1.370%), 10/24/31			1,719,000		1,373
2.496%, (ICE LIBOR USD 3 Month plus 0.990%), 2/13/31			2,888,000		2,441
2.592%, (US SOFR plus 2.150%), 4/29/31			792,000		672
2.687%, (US SOFR plus 1.320%), 4/22/32			7,866,000		6,604
2.972%, (US SOFR plus 1.330%), 2/4/33			823,000		701
3.004%, (ICE LIBOR USD 3 Month plus 0.790%), 12/20/23			4,083,000		4,070
3.384%, (US SOFR plus 1.330%), 4/2/26			9,559,000		9,266
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28			5,697,000		5,305
3.500%, 4/19/26			524,000		511
The Bank of New York Mellon Corp. 4.289%, (US SOFR plus 1.418%), 6/13/33			5,194,000		5,081
Blackstone Private Credit Fund 2.350%, 11/22/24 144A			1,908,000		1,754
2.625%, 12/15/26 144A			1,462,000		1,225
3.250%, 3/15/27 144A			2,112,000		1,792
4.000%, 1/15/29 144A			3,270,000		2,680
Brighthouse Financial, Inc. 3.850%, 12/22/51			1,016,000		691
Brixmor Operating Partnership LP 2.250%, 4/1/28			718,000		616
2.500%, 8/16/31			1,242,000		974
Citigroup, Inc. 4.658%, (US SOFR plus 1.887%), 5/24/28			2,599,000		2,579
4.910%, (US SOFR plus 2.086%), 5/24/33			4,493,000		4,433
Cooperatieve Rabobank U.A. 3.649%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.220%), 4/6/28 144A			7,901,000		7,505
3.758%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.420%), 4/6/33 144A			3,746,000		3,380
Crown Castle International Corp. 1.050%, 7/15/26			3,076,000		2,661
2.100%, 4/1/31			2,117,000		1,684
2.900%, 3/15/27			3,359,000		3,097
2.900%, 4/1/41			518,000		373

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

107

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Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
3.300%, 7/1/30		1,772,000		1,563
4.000%, 3/1/27		514,000		499
Deutsche Bank AG 3.742%, (US SOFR plus 2.257%), 1/7/33		5,539,000		4,032
Enstar Group, Ltd. 3.100%, 9/1/31		2,583,000		2,060
Essex Portfolio LP 1.700%, 3/1/28		2,688,000		2,310
2.550%, 6/15/31		1,058,000		884
Extra Space Storage LP 2.350%, 3/15/32		922,000		731
3.900%, 4/1/29		1,027,000		962
F&G Global Funding 2.000%, 9/20/28 144A		2,165,000		1,821
Federal Realty Investment Trust 3.950%, 1/15/24		1,420,000		1,417
FS KKR Capital Corp. 3.250%, 7/15/27		221,000		188	��
GA Global Funding Trust 0.800%, 9/13/24 144A		3,727,000		3,414
GLP Capital LP / GLP Financing II, Inc. 5.300%, 1/15/29		1,038,000		991
The Goldman Sachs Group, Inc. 0.657%, (US SOFR plus 0.505%), 9/10/24		5,146,000		4,923
0.925%, (US SOFR plus 0.486%), 10/21/24		10,298,000		9,848
1.757%, (US SOFR plus 0.730%), 1/24/25		5,592,000		5,376
1.948%, (US SOFR plus 0.913%), 10/21/27		2,547,000		2,254
2.600%, 2/7/30		1,331,000		1,135
2.650%, (US SOFR plus 1.264%), 10/21/32		1,777,000		1,464
3.102%, (US SOFR plus 1.410%), 2/24/33		1,389,000		1,186
Invitation Homes Operating Partnership LP 4.150%, 4/15/32		2,054,000		1,865
Jackson Financial, Inc. 5.170%, 6/8/27		1,508,000		1,495
5.670%, 6/8/32		2,081,000		2,010
JPMorgan Chase & Co. 1.040%, (US SOFR 3 Month plus 0.695%), 2/4/27		10,282,000		9,094
1.045%, (US SOFR plus 0.800%), 11/19/26		5,733,000		5,096
1.470%, (US SOFR plus 0.765%), 9/22/27		2,558,000		2,244
1.561%, (US SOFR plus 0.605%), 12/10/25		16,074,000		15,017
2.083%, (US SOFR plus 1.850%), 4/22/26		1,312,000		1,227
2.182%, (US SOFR plus 1.890%), 6/1/28		3,150,000		2,801
2.301%, (US SOFR plus 1.160%), 10/15/25		645,000		614
4.323%, (US SOFR plus 1.560%), 4/26/28		5,168,000		5,083
4.565%, (US SOFR plus 1.750%), 6/14/30		2,600,000		2,553
4.586%, (US SOFR plus 1.800%), 4/26/33		1,588,000		1,560
KKR Group Finance Co. XII, LLC 4.850%, 5/17/32 144A		3,831,000		3,782
Liberty Mutual Group, Inc. 5.500%, 6/15/52 144A		1,556,000		1,474
Mid-America Apartments LP 3.950%, 3/15/29		1,033,000		986
4.000%, 11/15/25		1,257,000		1,248
4.300%, 10/15/23		1,053,000		1,059
Mitsubishi UFJ Financial Group, Inc. 0.953%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.550%), 7/19/25		4,857,000		4,532


Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
1.538%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.750%), 7/20/27		1,855,000		1,638
1.640%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.670%), 10/13/27		2,842,000		2,505
2.309%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 7/20/32		3,272,000		2,664
2.341%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.830%), 1/19/28		1,622,000		1,462
2.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.970%), 10/13/32		930,000		765
Morgan Stanley 0.790%, (US SOFR plus 0.525%), 5/30/25		6,625,000		6,167
0.791%, (US SOFR plus 0.509%), 1/22/25		7,605,000		7,189
0.864%, (US SOFR plus 0.745%), 10/21/25		2,044,000		1,885
0.985%, (US SOFR plus 0.720%), 12/10/26		5,230,000		4,633
1.512%, (US SOFR plus 0.858%), 7/20/27		3,998,000		3,506
2.239%, (US SOFR plus 1.178%), 7/21/32		3,050,000		2,471
2.475%, (US SOFR plus 1.000%), 1/21/28		1,022,000		929
4.210%, (US SOFR plus 1.610%), 4/20/28		1,520,000		1,486
Morgan Stanley Direct Lending Fund 4.500%, 2/11/27 144A		1,411,000		1,282
NatWest Markets PLC 5.516%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.270%), 9/30/28		4,200,000		4,230
Nomura Holdings, Inc. 5.099%, 7/3/25		4,282,000		4,301
5.386%, 7/6/27		3,740,000		3,741
5.605%, 7/6/29		4,282,000		4,285
Owl Rock Capital Corp. 3.400%, 7/15/26		2,929,000		2,573
Owl Rock Capital Corp. III 3.125%, 4/13/27 144A		2,421,000		2,067
OWL Rock Core Income Corp. 4.700%, 2/8/27 144A		858,000		783
Realty Income Corp. 2.200%, 6/15/28		1,101,000		965
2.850%, 12/15/32		1,489,000		1,280
3.400%, 1/15/28		1,090,000		1,030
Regency Centers LP 2.950%, 9/15/29		2,232,000		1,961
Rexford Industrial Realty, Inc. 2.150%, 9/1/31		1,137,000		894
SBL Holdings, LLC 5.000%, 2/18/31 144A		3,558,000		2,963
Spirit Realty LP 3.400%, 1/15/30		728,000		630
Stewart Information Services Corp. 3.600%, 11/15/31		1,384,000		1,148
Store Capital Corp. 2.700%, 12/1/31		712,000		570
2.750%, 11/18/30		1,819,000		1,482
4.500%, 3/15/28		3,878,000		3,784
4.625%, 3/15/29		1,310,000		1,278
Sumitomo Mitsui Financial Group, Inc. 1.402%, 9/17/26		2,942,000		2,597

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

108

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Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
1.902%, 9/17/28		6,641,000		5,629
Sun Communities Operating LP 2.300%, 11/1/28		1,027,000		878
4.200%, 4/15/32		2,054,000		1,867
The Toronto-Dominion Bank 4.456%, 6/8/32		3,118,000		3,083
Truist Financial Corp. 4.123%, (US SOFR plus 1.368%), 6/6/28		3,658,000		3,603
Trust Fibra Uno 6.390%, 1/15/50 144A		1,319,000		1,049
UBS Group AG 4.488%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.550%), 5/12/26 144A		2,696,000		2,686
4.751%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.750%), 5/12/28 144A		2,210,000		2,187
Wells Fargo & Co. 3.526%, (US SOFR plus 1.510%), 3/24/28		10,733,000		10,166
3.908%, (US SOFR plus 1.320%), 4/25/26		4,083,000		4,016

Total				361,239


Industrial (1.1%)
The Boeing Co. 2.196%, 2/4/26		3,889,000		3,505
3.250%, 2/1/35		1,257,000		951
3.750%, 2/1/50		2,248,000		1,586
Burlington Northern Santa Fe LLC 4.450%, 1/15/53		1,560,000		1,509
Canadian Pacific Railway Co. 1.350%, 12/2/24		2,547,000		2,396
1.750%, 12/2/26		493,000		446
2.450%, 12/2/31		414,000		354
3.000%, 12/2/41		503,000		394
Crowley Conro LLC 4.181%, 8/15/43		1,312,068		1,331
GE Capital International Funding Co. Unlimited Co. 4.418%, 11/15/35		761,000		711
John Deere Capital Corp. 2.125%, 3/7/25		1,541,000		1,488
2.350%, 3/8/27		2,563,000		2,401
Northrop Grumman Corp. 4.400%, 5/1/30		3,626,000		3,621
Parker Hannifin Corp. 4.250%, 9/15/27		3,118,000		3,096
4.500%, 9/15/29		2,081,000		2,071
Union Pacific Corp. 2.400%, 2/5/30		2,013,000		1,780
2.800%, 2/14/32		2,563,000		2,281
3.375%, 2/14/42		1,232,000		1,026
3.500%, 2/14/53		1,739,000		1,416

Total				32,363


Technology (2.3%)
Advanced Micro Devices, Inc. 3.924%, 6/1/32		3,304,000		3,252
4.393%, 6/1/52		1,560,000		1,518
Apple, Inc. 2.375%, 2/8/41		833,000		637


Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
2.550%, 8/20/60		147,000		101
2.650%, 5/11/50		1,578,000		1,164
2.650%, 2/8/51		701,000		517
2.800%, 2/8/61		728,000		522
Broadcom, Inc. 2.450%, 2/15/31 144A		1,792,000		1,440
3.150%, 11/15/25		1,342,000		1,292
3.419%, 4/15/33 144A		4,879,000		4,034
3.469%, 4/15/34 144A		2,290,000		1,864
4.000%, 4/15/29 144A		2,054,000		1,903
4.150%, 11/15/30		1,210,000		1,109
4.150%, 4/15/32 144A		1,541,000		1,391
4.926%, 5/15/37 144A		1,635,000		1,466
Dell International LLC / EMC Corp. 3.375%, 12/15/41 144A		2,547,000		1,819
3.450%, 12/15/51 144A		3,056,000		2,068
4.900%, 10/1/26		524,000		524
6.100%, 7/15/27		1,043,000		1,093
HP, Inc. 2.200%, 6/17/25		2,395,000		2,263
4.000%, 4/15/29		3,596,000		3,369
4.200%, 4/15/32		3,596,000		3,210
Intel Corp. 2.800%, 8/12/41		2,678,000		2,043
KLA-Tencor Corp. 3.300%, 3/1/50		2,447,000		1,938
4.650%, 7/15/32		2,649,000		2,702
4.950%, 7/15/52		953,000		959
5.250%, 7/15/62		1,271,000		1,310
NXP BV / NXP Funding LLC / NXP USA, Inc. 2.650%, 2/15/32		2,117,000		1,739
3.250%, 5/11/41		1,121,000		844
3.400%, 5/1/30		1,420,000		1,253
4.400%, 6/1/27		1,242,000		1,223
5.000%, 1/15/33		3,108,000		3,033
VMware, Inc. 0.600%, 8/15/23		5,016,000		4,848
1.000%, 8/15/24		3,563,000		3,333
1.400%, 8/15/26		3,585,000		3,172
1.800%, 8/15/28		618,000		513
4.700%, 5/15/30		2,060,000		1,986
Xilinx, Inc. 2.375%, 6/1/30		877,000		773

Total				68,225


Utilities (2.2%)
The AES Corp. 1.375%, 1/15/26		2,212,000		1,951
American Transmission Systems, Inc. 2.650%, 1/15/32 144A		712,000		603
Baltimore Gas & Electric Co. 2.250%, 6/15/31		1,531,000		1,303
CenterPoint Energy Houston Electric LLC 3.600%, 3/1/52		1,127,000		966
Consumers Energy Co. 2.500%, 5/1/60		870,000		563
2.650%, 8/15/52		1,127,000		789
DTE Electric Co. 2.950%, 3/1/50		1,788,000		1,364
3.650%, 3/1/52		817,000		705

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

109

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Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
DTE Energy Co. 1.050%, 6/1/25		1,074,000		988
Duke Energy Carolinas LLC 2.550%, 4/15/31		1,038,000		908
2.850%, 3/15/32		1,897,000		1,683
3.550%, 3/15/52		1,376,000		1,143
Duke Energy Corp. 2.550%, 6/15/31		1,226,000		1,019
3.500%, 6/15/51		311,000		234
3.750%, 9/1/46		310,000		244
Duke Energy Florida LLC 2.400%, 12/15/31		1,525,000		1,304
Duke Energy Progress LLC 2.500%, 8/15/50		1,541,000		1,052
Entergy Arkansas LLC 2.650%, 6/15/51		1,373,000		952
Eversource Energy 1.400%, 8/15/26		864,000		771
3.375%, 3/1/32		2,060,000		1,852
4.600%, 7/1/27		2,649,000		2,670
Exelon Corp. 4.100%, 3/15/52 144A		718,000		619
Florida Power & Light Co. 2.450%, 2/3/32		2,658,000		2,316
Israel Electric Corp., Ltd. 3.750%, 2/22/32 144A		960,000		858
ITC Holdings Corp. 2.700%, 11/15/22		2,076,000		2,068
Jersey Central Power & Light Co. 2.750%, 3/1/32 144A		1,677,000		1,426
Metropolitan Edison Co. 4.300%, 1/15/29 144A		1,797,000		1,768
MidAmerican Energy Co. 2.700%, 8/1/52		1,326,000		952
Mississippi Power Co. 3.100%, 7/30/51		1,835,000		1,297
3.950%, 3/30/28		1,829,000		1,780
4.250%, 3/15/42		703,000		612
NextEra Energy Capital Holdings, Inc. 4.625%, 7/15/27		2,119,000		2,148
5.000%, 7/15/32		954,000		977
Northern States Power Co. 3.200%, 4/1/52		1,033,000		811
NSTAR Electric Co. 3.100%, 6/1/51		944,000		723
4.550%, 6/1/52		1,242,000		1,208
Oncor Electric Delivery Co. LLC 2.700%, 11/15/51		981,000		717
Pacific Gas & Electric Co. 2.100%, 8/1/27		817,000		685
3.950%, 12/1/47		2,386,000		1,653
4.200%, 6/1/41		886,000		649
4.500%, 7/1/40		524,000		406
4.750%, 2/15/44		514,000		394
4.950%, 7/1/50		2,065,000		1,648
PacifiCorp 3.300%, 3/15/51		797,000		623
PECO Energy Co. 2.850%, 9/15/51		1,844,000		1,352
4.600%, 5/15/52		1,026,000		1,027


Corporate Bonds (28.1%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Pennsylvania Electric Co. 3.250%, 3/15/28 144A		1,489,000		1,381
Public Service Company of Oklahoma 2.200%, 8/15/31		1,021,000		851
3.150%, 8/15/51		1,033,000		757
Public Service Electric & Gas Co. 1.900%, 8/15/31		2,049,000		1,704
2.050%, 8/1/50		424,000		264
2.700%, 5/1/50		833,000		597
Public Service Enterprise Group, Inc. 1.600%, 8/15/30		1,179,000		936
2.450%, 11/15/31		1,321,000		1,102
Southern California Edison Co. 4.125%, 3/1/48		1,148,000		945
Southern Co. Gas Capital Corp. 1.750%, 1/15/31		1,614,000		1,276
Trans-Allegheny Interstate Line Co. 3.850%, 6/1/25 144A		723,000		711
Virginia Electric & Power Co. 2.450%, 12/15/50		592,000		398
2.950%, 11/15/51		1,531,000		1,131
4.625%, 5/15/52		1,038,000		1,004
Xcel Energy, Inc. 4.600%, 6/1/32		1,551,000		1,538

Total				66,376


Total Corporate Bonds
(Cost: $938,386)				835,904


Governments (30.5%)

Governments (30.5%)
Federal Home Loan Mortgage Corp. 0.000%, 12/14/29 PO		4,007,000		3,131
Federal National Mortgage Association 0.000%, 11/15/30 PO		11,778,000		8,871
Province of Saskatchewan 3.250%, 6/8/27		1,555,000		1,547
Republic of Chile 3.500%, 1/31/34		1,486,000		1,321
4.340%, 3/7/42		3,272,000		2,913
Republic of Indonesia 3.550%, 3/31/32		961,000		874
4.300%, 3/31/52		1,360,000		1,182
Republic of Paraguay 3.849%, 6/28/33 144A		1,169,000		953
4.950%, 4/28/31 144A		612,000		565
5.400%, 3/30/50 144A		1,869,000		1,449
Republic of Peru 1.862%, 12/1/32		1,871,000		1,418
3.600%, 1/15/72		928,000		627
United Mexican States 3.500%, 2/12/34		4,483,000		3,703
3.750%, 4/19/71		2,464,000		1,537
4.280%, 8/14/41		4,444,000		3,512
4.400%, 2/12/52		2,816,000		2,116
4.500%, 4/22/29		3,291,000		3,196
4.600%, 2/10/48		576,000		455
US Treasury 0.125%, 9/30/22		16,289,000		16,221
0.125%, 4/30/23		15,360,000		15,014

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

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Governments (30.5%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
0.250%, 8/31/25 ß		75,653,000		69,270
0.250%, 9/30/25		11,091,000		10,133
0.375%, 11/30/25		10,368,000		9,470
0.375%, 1/31/26		28,542,000		25,953
0.500%, 8/31/27		25,638,000		22,500
0.500%, 10/31/27		24,326,000		21,253
0.625%, 11/30/27		27,896,000		24,496
0.750%, 3/31/26		10,161,000		9,333
0.750%, 5/31/26		20,757,000		18,992
0.875%, 6/30/26		40,028,000		36,746
1.000%, 7/31/28		15,970,000		14,124
1.125%, 5/15/40		54,471,000		37,917
1.125%, 8/15/40		42,720,000		29,514
1.250%, 6/30/28		13,089,000		11,775
1.375%, 11/15/40 ß		62,459,000		44,983
1.375%, 8/15/50		16,828,000		11,077
1.375%, 10/31/28		29,289,000		26,407
1.500%, 2/15/25		28,815,000		27,694
1.500%, 8/15/26 ß		59,625,000		55,996
1.625%, 11/15/50		15,650,000		11,007
1.750%, 8/15/41 ß		101,871,000		77,490
1.875%, 2/15/41		9,911,000		7,773
1.875%, 11/15/51		6,155,000		4,618
2.000%, 8/15/51		25,688,000		19,853
2.000%, 11/15/26		16,366,000		15,647
2.250%, 5/15/41		26,452,000		22,073
2.250%, 2/15/52		17,097,000		14,070
2.375%, 2/15/42		4,991,000		4,232
2.375%, 5/15/27		29,760,000		28,809
2.500%, 4/30/24		1,775,000		1,760
2.500%, 5/31/24		4,605,000		4,563
2.625%, 5/31/27		3,611,000		3,543
2.750%, 2/15/28		26,464,000		26,002
2.750%, 5/31/29		12,496,000		12,250
2.875%, 5/15/32		16,510,000		16,324
2.875%, 5/15/52		16,746,000		15,817
2.875%, 6/15/25		7,269,000		7,240
2.875%, 4/30/29		6,658,000		6,580
3.250%, 5/15/42		3,536,000		3,451
3.250%, 6/30/27		11,789,000		11,904
3.250%, 6/30/29		16,525,000		16,721

Total				909,965


Total Governments
(Cost: $1,000,327)				909,965


Municipal Bonds (0.3%)

Municipal Bonds (0.3%)
County of Clark Department of Aviation 6.820%, 7/1/45 RB		1,780,000		2,295
North Texas Tollway Authority, Series 2009-B 6.718%, 1/1/49 RB		1,950,000		2,627
The Ohio State University 4.800%, 6/1/11 RB		1,070,000		1,073
Port Authority of New York & New Jersey 4.458%, 10/1/62 RB		3,110,000		3,024


Municipal Bonds (0.3%)	Shares/ Par⁺		Value $ (000’s)

Municipal Bonds continued
The University of Texas System 2.439%, 8/15/49 RB		925,000		664

Total Municipal Bonds
(Cost: $10,505)				9,683


Structured Products (43.8%)

Asset Backed Securities (10.1%)
Ally Auto Receivables Trust, Series 2022-1, Class A3 3.310%, 11/15/26		2,703,000		2,682
American Express Credit Account Master Trust, Series 2022-2, Class A 3.390%, 5/17/27		15,501,000		15,469
AmeriCredit Automobile Receivables Trust, Series 2022-1, Class A3 2.450%, 11/18/26		906,000		880
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3 4.380%, 4/18/28		2,344,000		2,365
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A 2.360%, 3/20/26 144A		2,229,000		2,124
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A		1,707,000		1,623
Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A 1.660%, 2/20/28 144A		4,820,000		4,297
BA Credit Card Trust, Series 2022-A1, Class A1 3.530%, 11/15/27		4,447,000		4,439
Barclays Dryrock Issuance Trust, Series 2022- 1, Class A 3.070%, 2/15/28		5,990,000		5,896
Capital One Multi-Asset Execution Trust, Series 2021-A2, Class A2 1.390%, 7/15/30		3,405,000		2,972
Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A 3.490%, 5/15/27		9,931,000		9,937
College Avenue Student Loans LLC, Series 2017-A, Class A1 3.274%, (ICE LIBOR USD 1 Month plus 1.650%), 11/26/46 144A		902,983		894
College Avenue Student Loans LLC, Series 2018-A, Class A2 4.130%, 12/26/47 144A		769,503		738
College Avenue Student Loans LLC, Series 2019-A, Class A2 3.280%, 12/28/48 144A		1,494,797		1,449
College Avenue Student Loans LLC, Series 2021-A, Class A2 1.600%, 7/25/51 144A		1,839,658		1,628
Ford Credit Auto Lease Trust, Series 2022-A, Class A3 3.230%, 5/15/25		5,471,000		5,448
Ford Credit Auto Owner Trust, Series 2020-2, Class A 1.060%, 4/15/33 144A		1,575,000		1,424

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

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Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Ford Credit Auto Owner Trust, Series 2022-1, Class A 3.880%, 11/15/34 144A		7,377,000		7,283
Ford Credit Auto Owner Trust, Series 2022-A, Class A3 1.290%, 6/15/26		1,453,000		1,394
Ford Credit Auto Owner Trust, Series 2022-A, Class A4 3.370%, 7/15/25		2,104,000		2,086
Ford Credit Auto Owner Trust, Series 2022-B, Class A4 3.930%, 8/15/27		2,466,000		2,471
GM Financial Automobile Leasing Trust, Series 2022-2, Class A3 3.420%, 6/20/25		2,215,000		2,202
GM Financial Automobile Leasing Trust, Series 2022-2, Class A4 3.540%, 5/20/26		2,426,000		2,403
GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A3 3.100%, 2/16/27		6,253,000		6,191
GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A4 3.250%, 4/17/28		3,335,000		3,260
Hertz Vehicle Financing III LLC, Series 2021- 2A, Class A 1.680%, 12/27/27 144A		4,174,000		3,680
Hertz Vehicle Financing III LLC, Series 2022- 1A, Class A 1.990%, 6/25/26 144A		5,782,000		5,415
Hertz Vehicle Financing LLC, Series 2022-2A, Class A 2.330%, 6/26/28 144A		5,129,000		4,641
Hertz Vehicle Financing LLC, Series 2022-4A, Class A 3.730%, 9/25/26 144A		3,201,000		3,140
Hertz Vehicle Financing LLC, Series 2022-5A, Class A 3.890%, 9/25/28 144A		5,207,000		5,018
Hyundai Auto Receivables Trust, Series 2021- C, Class A4 1.030%, 12/15/27		1,869,000		1,717
Hyundai Auto Receivables Trust, Series 2022- A, Class A3 2.220%, 10/15/26		3,507,000		3,396
Hyundai Auto Receivables Trust, Series 2022- A, Class A4 2.350%, 4/17/28		1,194,000		1,137
Navient Private Education Loan Trust, Series 2014-AA, Class A3 2.924%, (ICE LIBOR USD 1 Month plus 1.600%), 10/15/31 144A		1,539,000		1,518
Navient Private Education Refi Loan Trust, Series 2018-C, Class A2 3.520%, 6/16/42 144A		168,027		168
Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A 4.000%, 12/15/59 144A		2,326,863		2,322
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A		2,184,067		2,145


Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Navient Private Education Refi Loan Trust, Series 2019-C, Class A2 3.130%, 2/15/68 144A		1,663,618		1,624
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A		4,074,512		3,909
Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2 2.120%, 1/15/69 144A		1,425,144		1,340
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A		2,684,371		2,517
Navient Private Education Refi Loan Trust, Series 2021-A, Class A 0.840%, 5/15/69 144A		698,317		639
Navient Private Education Refi Loan Trust, Series 2021-FA, Class A 1.110%, 2/18/70 144A		3,406,496		2,984
Navient Private Education Refi Loan Trust, Series 2022-A, Class A 2.230%, 7/15/70 144A		8,218,931		7,655
Navient Student Loan Trust, Series 2016-AA, Class A2B 3.474%, (ICE LIBOR USD 1 Month plus 2.150%), 12/15/45 144A		699,369		708
Navient Student Loan Trust, Series 2019-BA, Class A2A 3.390%, 12/15/59 144A		3,082,993		2,982
Navient Student Loan Trust, Series 2019-FA, Class A2 2.600%, 8/15/68 144A		2,417,485		2,303
Navient Student Loan Trust, Series 2020-EA, Class A 1.690%, 5/15/69 144A		140,653		132
Navient Student Loan Trust, Series 2020-HA, Class A 1.310%, 1/15/69 144A		1,469,061		1,369
Navient Student Loan Trust, Series 2020-IA, Class A1A 1.330%, 4/15/69 144A b		5,229,762		4,805
Navient Student Loan Trust, Series 2021-3A, Class A1A 1.770%, 8/25/70 144A		3,917,558		3,485
Navient Student Loan Trust, Series 2021-BA, Class A 0.940%, 7/15/69 144A		1,034,891		940
Navient Student Loan Trust, Series 2021-CA, Class A 1.060%, 10/15/69 144A		3,971,647		3,660
Navient Student Loan Trust, Series 2021-EA, Class A 0.970%, 12/16/69 144A		6,555,339		5,879
Navient Student Loan Trust, Series 2021-GA, Class A 1.580%, 4/15/70 144A		2,362,709		2,089
Nelnet Student Loan Trust, Series 2004-3, Class A5 1.364%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36		485,508		469

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

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Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Nelnet Student Loan Trust, Series 2004-4, Class A5 1.344%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37		2,406,630		2,333
Nelnet Student Loan Trust, Series 2005-1, Class A5 1.294%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33		7,241,226		7,016
Nelnet Student Loan Trust, Series 2005-2, Class A5 2.196%, (ICE LIBOR USD 3 Month plus 0.100%), 3/23/37		6,998,873		6,762
Nelnet Student Loan Trust, Series 2005-3, Class A5 2.216%, (ICE LIBOR USD 3 Month plus 0.120%), 12/24/35		5,386,712		5,356
Nelnet Student Loan Trust, Series 2005-4, Class A4 2.276%, (ICE LIBOR USD 3 Month plus 0.180%), 3/22/32		938,310		888
Nissan Auto Lease Trust, Series 2022-A, Class A3 3.810%, 5/15/25		4,217,000		4,219
Santander Drive Auto Receivables Trust, Series 2022-2, Class A3 2.980%, 10/15/26		6,587,000		6,494
Santander Drive Auto Receivables Trust, Series 2022-3, Class A3 3.400%, 12/15/26		2,554,000		2,537
SLM Student Loan Trust, Series 2007-2, Class A4 1.244%, (ICE LIBOR USD 3 Month plus 0.060%), 7/25/22		7,532,989		7,348
SMB Private Education Loan Trust, Series 2016-B, Class A2A 2.430%, 2/17/32 144A		890,855		861
SMB Private Education Loan Trust, Series 2016-B, Class A2B 2.774%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A		836,387		833
SMB Private Education Loan Trust, Series 2016-C, Class A2B 2.424%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		919,977		918
SMB Private Education Loan Trust, Series 2018-C, Class A2A 3.630%, 11/15/35 144A		1,219,998		1,202
SMB Private Education Loan Trust, Series 2019-A, Class A2A 3.440%, 7/15/36 144A		5,056,255		4,947
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A		3,328,470		3,017
SMB Private Education Loan Trust, Series 2021-A, Class APT1 1.070%, 1/15/53 144A		7,735,572		6,838
SMB Private Education Loan Trust, Series 2021-BA, Class 144A 1.310%, 7/17/51 144A		2,051,524		1,903


Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
SMB Private Education Loan Trust, Series 2021-C, Class A2 2.124%, (ICE LIBOR USD 1 Month plus 0.800%), 1/15/53 144A		4,242,000		4,088
SMB Private Education Loan Trust, Series 2021-D, Class A1A 1.340%, 3/17/53 144A		6,417,448		5,952
SMB Private Education Loan Trust, Series 2021-E, Class A1A 1.680%, 2/15/51 144A		4,436,362		4,131
SMB Private Education Loan Trust, Series 2022-A, Class APT 2.850%, 11/16/54 144A		3,040,285		2,813
SMB Private Education Loan Trust, Series 2020-PTA, Class A2A 1.600%, 9/15/54 144A		3,273,387		2,981
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A		9,445,095		8,666
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX 2.650%, 9/25/40 144A		77,703		76
SoFi Professional Loan Program LLC, Series 2017-E, Class A2B 2.720%, 11/26/40 144A		750,412		748
SoFi Professional Loan Program LLC, Series 2020-C, Class AFX 1.950%, 2/15/46 144A		371,560		354
SoFi Professional Loan Program LLC, Series 2021-A, Class AFX 1.030%, 8/17/43 144A		1,198,443		1,090
SoFi Professional Loan Program LLC, Series 2021-B, Class AFX 1.140%, 2/15/47 144A		2,702,159		2,436
Synchrony Card Funding LLC, Series 2022- A1, Class A 3.370%, 4/17/28		3,793,000		3,765
Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A 3.820%, 4/25/35 144A		11,783,000		11,629
Toyota Auto Receivables Owner Trust, Series 2021-D, Class A3 0.710%, 4/15/26		1,029,000		980
Toyota Auto Receivables Owner Trust, Series 2022-B, Class A4 3.110%, 8/16/27		2,486,000		2,436
Triton Container Finance VIII LLC, Series 2020-1A, Class A 2.110%, 9/20/45 144A		1,448,828		1,288
Verizon Owner Trust, Series 2022-2, Class A 1.530%, 7/20/28		2,007,000		1,897
Verizon Owner Trust, Series 2022-4, Class A 3.400%, 11/20/28 S		4,341,000		4,302
World Omni Automobile Lease Securitization Trust, Series 2012-A, Class A3 3.210%, 2/18/25		2,345,000		2,332

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

113

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Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
World Omni Automobile Lease Securitization Trust, Series 2022-A, Class A4 3.340%, 6/15/27		1,381,000		1,373

Total				302,150


Mortgage Securities (33.7%)
3650R Commercial Mortgage Trust, Series 2021-PF1, Class A5 2.522%, 11/15/54		1,584,000		1,372
Angel Oak Mortgage Trust, Series 2019-2, Class A1 3.628%, (AFC), 3/25/49 144A		65,313		65
Angel Oak Mortgage Trust, Series 2020-2, Class A1A 2.531%, (AFC), 1/26/65 144A		1,010,854		972
Angel Oak Mortgage Trust, Series 2020-5, Class A1 1.373%, (AFC), 5/25/65 144A		353,242		338
Angel Oak Mortgage Trust, Series 2021-6, Class A1 1.458%, (AFC), 9/25/66 144A		1,823,427		1,554
Barclays Commercial Mortgage Securities LLC, Series 2018-C2, Class ASB 4.236%, 12/15/51		729,000		732
Barclays Commercial Mortgage Securities LLC, Series 2019-C3, Class A3 3.319%, 5/15/52		363,000		340
BBCMS Mortgage Trust, Series 2022-C16, Class A5 4.600%, (AFC), 6/15/55		905,000		924
Benchmark Mortgage Trust, Series 2021-B31, Class A5 2.669%, 12/15/54		503,000		439
Benchmark Mortgage Trust, Series 2022-B35, Class A5 4.594%, 5/15/55		1,501,000		1,518
BMO Mortgage Trust, Series 2022-C2, Class A5 4.974%, (CSTR), 7/15/54		2,005,000		2,077
Bunker Hill Loan Depositary Trust, Series 2019-2, Class A1 2.879%, (AFC), 7/25/49 144A S		1,355,273		1,338
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1 2.724%, (AFC), 11/25/59 144A S		836,782		814
BX Commercial Mortgage Trust, Series 2021- VOLT, Class A 2.024%, (ICE LIBOR USD 1 Month plus 0.700%), 9/15/36 144A		6,842,000		6,599
BX Trust, Series 2021-XL2, Class A 2.013%, (ICE LIBOR USD 1 Month plus 0.689%), 10/15/38 144A		3,172,838		3,021
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB 3.367%, 6/15/50		981,052		962
Citigroup Commercial Mortgage Trust, Series 2022-GC48, Class A5 4.580%, 6/15/55		2,008,000		2,067


Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Citigroup Mortgage Loan Trust, Series 2005-1, Class 3A1 6.500%, 4/25/35		85,853		84
COLT Mortgage Loan Trust, Series 2021-2, Class A1 0.924%, (AFC), 8/25/66 144A		2,323,484		2,040
COLT Mortgage Loan Trust, Series 2021-4, Class A1 1.397%, (AFC), 10/25/66 144A		2,584,851		2,238
COMM Mortgage Trust, Series 2012-CR3, Class A3 2.822%, 10/15/45		819,129		818
COMM Mortgage Trust, Series 2013-CR10, Class A4 4.210%, (AFC), 8/10/46		52,000		52
COMM Mortgage Trust, Series 2013-CR11, Class A4 4.258%, 8/10/50		6,080,000		6,093
COMM Mortgage Trust, Series 2013-CR6, Class A4 3.101%, 3/10/46		4,482,000		4,460
COMM Mortgage Trust, Series 2014-UBS4, Class A4 3.420%, 8/10/47		2,348,000		2,308
COMM Mortgage Trust, Series 2015-LC19, Class A3 2.922%, 2/10/48		3,119,054		3,024
COMM Mortgage Trust, Series 2015-LC23, Class A3 3.521%, 10/10/48		1,230,000		1,200
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 2.805%, 3/17/54		793,000		700
CSMC Commercial Mortgage Trust, Series 2019-C16, Class A2 3.066%, 6/15/52		1,203,000		1,105
EQUS Mortgage Trust, Series 2021-EQAZ, Class A 2.079%, (ICE LIBOR USD 1 Month plus 0.755%), 10/15/38 144A		2,684,000		2,563
Federal Home Loan Bank 2.000%, 4/1/41		1,554,247		1,389
2.000%, 11/1/41		3,215,393		2,874
2.000%, 12/1/41		7,666,341		6,853
2.000%, 1/1/42		1,371,294		1,226
2.000%, 2/1/42		12,951,823		11,578
2.000%, 3/1/42		2,559,602		2,269
2.000%, 5/1/42		2,667,047		2,378
2.500%, 5/1/42		4,255,391		3,913
2.500%, 2/1/52		776,149		701
2.500%, 3/1/52		2,576,825		2,325
3.000%, 12/1/51		9,310,132		8,823
3.000%, 3/1/52		576,654		546
Federal Home Loan Mortgage Corp. 2.425%, (ICE LIBOR USD 12 Month plus 1.638%), 9/1/45		4,421,975		4,442
2.500%, 1/1/36		7,874,499		7,592
2.500%, 8/1/51		1,111,861		1,004
2.500%, 9/1/51		7,379,768		6,700
2.500%, 1/1/52		7,254,935		6,550

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

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Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
2.649%, (ICE LIBOR USD 12 Month plus 1.681%), 9/1/47		2,312,132		2,344
2.804%, (ICE LIBOR USD 12 Month plus 1.641%), 5/1/49		1,156,252		1,154
2.905%, (ICE LIBOR USD 12 Month plus 1.635%), 4/1/48		4,937,066		5,015
3.431%, (ICE LIBOR USD 12 Month plus 1.637%), 3/1/49		2,003,426		2,018
4.000%, 1/1/35		53,948		54
4.000%, 1/1/36		112,711		115
4.000%, 10/1/36		546,256		556
4.000%, 3/1/37		293,804		302
4.000%, 8/1/38		2,322,208		2,329
4.000%, 7/1/49		4,551,908		4,569
4.500%, 6/1/39		95,774		98
4.500%, 7/1/39		124,298		128
5.000%, 5/1/48		2,109,499		2,202
5.000%, 3/1/49		4,233,217		4,418
Federal Home Loan Mortgage Corp., Series 2012-264, Class 30 3.000%, 7/15/42		3,111,734		2,958
Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA 3.000%, 10/15/47		2,370,377		2,281
Federal Home Loan Mortgage Corp., Series 2018-4767, Class KA 3.000%, 3/15/48		1,138,888		1,103
Federal Home Loan Mortgage Corp., Series 2439, Class LH 6.000%, 4/15/32		178,159		189
Federal Home Loan Mortgage Corp., Series 4205, Class PA 1.750%, 5/15/43		1,017,669		935
Federal Home Loan Mortgage Corp., Series 4426, Class QC 1.750%, 7/15/37		1,635,568		1,550
Federal Home Loan Mortgage Corp., Series 4705, Class A 4.500%, 9/15/42		25,587		26
Federal Home Loan Mortgage Corp., Series 4763, Class CA 3.000%, 9/15/38		483,421		468
Federal Home Loan Mortgage Corp., Series 4880, Class DA 3.000%, 5/15/50		2,138,153		2,068
Federal Home Loan Mortgage Corp., Series 4897, Class F 1.674%, (ICE LIBOR USD 1 Month plus 0.350%), 12/15/48		251,782		249
Federal Home Loan Mortgage Corp., Series 5091, Class AB 1.500%, 3/25/51		3,899,320		3,386
Federal Home Loan Mortgage Corp., Series 5119, Class AB 1.500%, 8/25/49		1,843,796		1,607
Federal National Mortgage Association 1.500%, 10/1/41		9,410,171		8,061
1.500%, 11/1/41		18,906,650		16,195
1.611%, (US 30 Day Average SOFR plus 2.212%), 12/1/51		1,010,959		938
2.000%, 1/1/42		2,958,128		2,630


Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
2.000%, 2/1/42		22,213,591		19,857
2.000%, 3/1/42		9,033,784		8,031
2.000%, 10/1/51		26,691,424		23,231
2.000%, 3/1/52		4,376,460		3,817
2.072%, (ICE LIBOR USD 12 Month plus 1.579%), 6/1/45		909,485		925
2.478%, (ICE LIBOR USD 12 Month plus 1.584%), 1/1/46		2,757,319		2,806
2.500%, 12/1/35		7,572,887		7,302
2.500%, 3/1/36		4,440,667		4,282
2.500%, 4/1/36		1,667,308		1,608
2.500%, 5/1/36		9,934,003		9,567
2.500%, 6/1/36		5,450,635		5,255
2.500%, 8/1/41		2,415,028		2,217
2.500%, 2/1/42		2,816,104		2,592
2.500%, 4/1/42		2,437,350		2,243
2.500%, 5/1/42		3,509,025		3,227
2.500%, 12/1/47		6,671,951		6,077
2.500%, 8/1/50		18,141,101		16,479
2.500%, 10/1/50		4,281,300		3,896
2.500%, 6/1/51		2,975,853		2,693
2.500%, 9/1/51		3,391,175		3,067
2.500%, 12/1/51		18,524,632		16,769
2.500%, 3/1/52		3,168,330		2,861
3.000%, 1/1/43		2,701,783		2,582
3.000%, 11/1/50		8,000,852		7,579
3.000%, 6/1/51		7,173,933		6,827
3.000%, 8/1/51		7,292,903		6,939
3.000%, 12/1/54		13,184,005		12,500
3.000%, 2/1/55		1,373,656		1,304
3.000%, 7/1/60		28,898,247		27,347
3.500%, 4/1/50		3,965,605		3,887
3.500%, 7/1/50		5,054,696		4,954
3.500%, 1/1/52		4,405,362		4,318
3.500%, 2/1/52		4,424,877		4,337
4.000%, 9/1/33		861,731		876
4.000%, 12/1/36		101,477		104
4.000%, 10/1/37		617,673		628
4.000%, 6/1/38		1,426,046		1,448
4.000%, 9/1/45		556,771		562
4.000%, 1/1/46		2,741,355		2,768
4.000%, 2/1/47		1,512,957		1,521
4.000%, 4/1/47		646,978		650
4.000%, 10/1/47		515,905		519
4.000%, 7/1/48		8,494,004		8,554
4.000%, 12/1/48		1,375,822		1,386
4.000%, 2/1/49		2,366,276		2,371
4.000%, 5/1/49		1,340,380		1,344
4.000%, 12/1/49		1,324,402		1,328
4.000%, 8/1/59		1,770,195		1,774
4.206%, 7/1/52 Æ		3,496,000		3,487
4.500%, 5/1/34		35,498		37
4.500%, 6/1/41		94,797		98
4.500%, 3/1/43		1,311,516		1,354
4.500%, 10/1/45		2,001,991		2,062
4.500%, 2/1/46		68,598		70
4.500%, 7/1/48		2,198,447		2,271
4.500%, 8/1/48		2,935,194		3,011
4.500%, 10/1/48		2,518,725		2,582
4.500%, 11/1/48		1,017,771		1,047

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

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Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
4.500%, 1/1/49		4,587,630		4,707
4.500%, 2/1/49		2,319,460		2,380
4.500%, 6/1/49		1,894,598		1,944
4.500%, 7/1/49		1,926,518		1,976
4.500%, 8/1/49		1,736,067		1,781
5.000%, 7/1/44		129,252		135
5.000%, 10/1/48		433,820		453
5.000%, 12/1/48		1,296,177		1,350
5.000%, 8/1/49		20,495,612		21,440
5.000%, 11/1/49		1,875,382		1,946
5.500%, 12/1/48		1,532,774		1,629
5.500%, 6/1/49		4,162,212		4,438
Federal National Mortgage Association Stripped, Series 414, Class A35 3.500%, 10/25/42 PO		2,617,128		2,598
Federal National Mortgage Association, Series 2012-151, Class NX 1.500%, 1/25/43		1,138,839		1,039
Federal National Mortgage Association, Series 2013-11, Class AP 1.500%, 1/25/43		4,052,000		3,755
Federal National Mortgage Association, Series 2013-43, Class BP 1.750%, 5/25/43		1,307,963		1,203
Federal National Mortgage Association, Series 2014-73, Class MA 2.500%, 11/25/44		787,045		744
Federal National Mortgage Association, Series 2015-84, Class PA 1.700%, 8/25/33		4,720,796		4,476
Federal National Mortgage Association, Series 2016-48, Class MA 2.000%, 6/25/38		4,656,155		4,391
Federal National Mortgage Association, Series 2016-57, Class PC 1.750%, 6/25/46		8,969,497		8,036
Federal National Mortgage Association, Series 2017-13, Class PA 3.000%, 8/25/46		1,426,898		1,387
Federal National Mortgage Association, Series 2017-M7, Class A2 2.961%, (AFC), 2/25/27		1,024,580		999
Federal National Mortgage Association, Series 2018-14, Class KC 3.000%, 3/25/48		2,798,287		2,707
Federal National Mortgage Association, Series 2018-15, Class AB 3.000%, 3/25/48		599,630		585
Federal National Mortgage Association, Series 2018-8, Class KL 2.500%, 3/25/47		1,470,574		1,370
Federal National Mortgage Association, Series 2019-15, Class AB 3.500%, 5/25/53		4,052,794		4,052
Federal National Mortgage Association, Series 2019-25, Class PA 3.000%, 5/25/48		3,076,551		3,001
Federal National Mortgage Association, Series 2019-35, Class A 3.000%, 7/25/49		1,121,476		1,075


Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal National Mortgage Association, Series 2020-48, Class AB 2.000%, 7/25/50		1,606,420		1,470
Federal National Mortgage Association, Series 2020-48, Class DA 2.000%, 7/25/50		4,812,545		4,318
Federal National Mortgage Association, Series 2021-27, Class EC 1.500%, 5/25/51		6,671,625		5,805
Federal National Mortgage Association, Series 2021-78, Class ND 1.500%, 11/25/51		3,852,456		3,473
Federal National Mortgage Association, Series 2022-11, Class A 2.500%, 7/25/47		6,269,539		5,940
Freddie Mac Non Gold Pool 3.912%, (US 30 Day Average SOFR plus 2.130%), 7/1/52		1,461,000		1,461
4.303%, (US 30 Day Average SOFR plus 2.130%), 7/1/52		1,798,000		1,811
Freddie Mac, Series 1582, Class M 2.500%, 5/25/49		1,933,250		1,796
Freddie Mac, Series 5201, Class CA 2.500%, 7/25/48		2,883,547		2,704
Freddie Mac, Series 5217, Class CD 2.500%, 7/25/49		2,524,473		2,432
Government National Mortgage Association 2.500%, 12/20/49		5,668,791		5,352
2.500%, 12/20/51		21,908,921		20,120
2.500%, 1/20/52		14,944,815		13,969
3.000%, 10/20/46		469,540		445
3.000%, 12/20/46		589,667		559
3.000%, 1/20/47		446,967		424
3.000%, 3/20/47		1,598,905		1,513
3.000%, 4/20/47		1,140,162		1,079
3.000%, 9/20/47		527,253		499
3.000%, 11/20/47		1,201,801		1,139
3.000%, 3/20/48		251,782		239
3.000%, 10/20/50		6,849,493		6,427
3.000%, 12/20/51		14,291,802		13,496
3.500%, 1/20/48		1,383,900		1,365
4.000%, 6/20/47		9,837,210		9,899
4.000%, 3/20/48		379,739		381
4.000%, 4/20/48		1,370,824		1,376
4.000%, 5/20/49		527,797		532
4.000%, 6/20/49		1,356,546		1,368
4.000%, 7/20/49		1,188,811		1,214
4.500%, 8/15/47		215,421		224
4.500%, 6/20/48		1,698,852		1,738
4.500%, 2/20/49		1,720,151		1,803
4.500%, 3/20/49		160,390		165
4.500%, 4/20/49		176,860		180
4.500%, 5/20/49		590,402		600
5.000%, 12/20/39		68,593		72
5.000%, 3/20/48		2,839,142		2,953
5.000%, 5/20/48		1,325,449		1,368
5.000%, 6/20/48		4,044,661		4,168
5.000%, 7/20/48		861,180		889
5.000%, 8/20/48		1,334,164		1,372
5.000%, 12/20/48		887,441		914

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

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Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
5.000%, 1/20/49		1,671,067		1,740
5.000%, 2/20/49		84,299		89
5.000%, 3/20/49		428,429		452
Government National Mortgage Association TBA 4.500%, 7/19/48		10,000,000		10,147
4.500%, 8/21/48		24,700,000		24,964
Government National Mortgage Association, Series 2012-141, Class WA 4.526%, 11/16/41		481,083		492
Government National Mortgage Association, Series 2017-167, Class BQ 2.500%, 8/20/44		1,475,995		1,423
Government National Mortgage Association, Series 2018-11, Class PC 2.750%, 12/20/47		1,708,804		1,634
Government National Mortgage Association, Series 2019-132, Class NA 3.500%, 9/20/49		1,279,470		1,274
Government National Mortgage Association, Series 2019-31, Class JC 3.500%, 3/20/49		918,929		910
Government National Mortgage Association, Series 2021-23, Class MG 1.500%, 2/20/51		4,554,725		4,070
Government National Mortgage Association, Series 2022-107, Class C 2.500%, 6/20/51		8,058,000		6,949
GS Mortgage Securities Trust, Series 2013- GC14, Class A5 4.243%, 8/10/46		1,372,000		1,368
GS Mortgage Securities Trust, Series 2014- GC18, Class A4 4.074%, 1/10/47		3,116,000		3,105
GS Mortgage Securities Trust, Series 2020- GC47, Class A5 2.377%, 5/12/53		1,005,000		873
GS Mortgage Securities Trust, Series 2020- GSA2, Class A4 1.721%, 12/12/53		3,499,000		2,871
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010-1, Class A1 5.314%, 1/25/51 144A		2,386,621		2,335
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4 4.166%, 12/15/46		2,999,000		2,985
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A3 3.392%, 12/15/49		674,000		643
JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A5 3.663%, 7/15/45		1,997,000		1,988
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A4 4.198%, 1/15/47		695,000		694
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4 3.669%, 9/15/47		907,854		896


Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3 2.912%, 10/15/48		5,404,415		5,230
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A5 3.821%, 7/15/48		1,895,000		1,871
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1 5.250%, 12/25/24		35,300		35
MED Trust, Series 2021-MDLN, Class A 2.275%, (ICE LIBOR USD 1 Month plus 0.950%), 11/15/38 144A		4,333,000		4,143
Mello Warehouse Securitization Trust, Series 2020-2, Class A 2.424%, (ICE LIBOR USD 1 Month plus 0.800%), 11/25/53 144A		520,800		517
Mello Warehouse Securitization Trust, Series 2021-1, Class A 1.368%, (ICE LIBOR USD 1 Month plus 0.700%), 2/25/55 144A		941,000		925
Mello Warehouse Securitization Trust, Series 2021-2, Class A 2.374%, (ICE LIBOR USD 1 Month plus 0.750%), 4/25/55 144A		2,577,000		2,539
MFRA Trust, Series 2021-NQM2, Class A1 1.029%, (AFC), 11/25/64 144A		1,134,838		1,029
Morgan Stanley Capital I Trust, Series 2020- HR8, Class A3 1.790%, 7/15/53		1,911,000		1,592
Morgan Stanley Capital I Trust, Series 2022- L8, Class A5 3.922%, (CSTR), 4/15/55		1,037,000		993
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1 2.492%, (AFC), 9/25/59 144A		482,423		466
NewRez Warehouse Securitization Trust, Series 2021-1, Class A 2.374%, (ICE LIBOR USD 1 Month plus 0.750%), 5/25/55 144A		6,429,000		6,359
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1 4.500%, 10/25/25		2,120		1
Starvest Emerging Markets CBO I, Series 2020-INV1, Class A1 1.027%, (AFC), 11/25/55 144A		784,384		760
Starwood Mortgage Residential Trust, Series 2020-1, Class A1 2.275%, (AFC), 2/25/50 144A		269,171		268
Starwood Mortgage Residential Trust, Series 2020-3, Class A1 1.486%, (AFC), 4/25/65 144A		890,746		867
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		991,719		932
Starwood Mortgage Residential Trust, Series 2021-4, Class A1 1.162%, (AFC), 8/25/56 144A		2,455,570		2,204
Uniform Mortgage Backed Security TBA 2.500%, 7/14/51		11,900,000		10,700
4.500%, 7/14/52		10,200,000		10,239
4.500%, 8/11/52		29,400,000		29,442

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

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Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
5.000%, 8/11/52		32,300,000		32,871
5.000%, 9/14/52		90,600,000		91,989
5.500%, 9/14/52		19,500,000		20,115
Verus Securitization Trust, Series 2019-4, Class A1 2.642%, (AFC), 11/25/59 144A S		929,340		924
Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A		548,293		547
Verus Securitization Trust, Series 2019-INV3, Class A1 2.692%, (AFC), 11/25/59 144A		461,055		450
Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A S		196,360		193
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A		778,811		765
Verus Securitization Trust, Series 2020-5, Class A1 1.218%, (AFC), 5/25/65 144A S		386,244		366
Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A		1,268,976		1,158
Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A		2,419,518		2,187
Verus Securitization Trust, Series 2021-3, Class A1 1.046%, (AFC), 6/25/66 144A		1,776,264		1,570
Verus Securitization Trust, Series 2021-4, Class A1 0.938%, (AFC), 7/25/66 144A		2,150,656		1,882
Verus Securitization Trust, Series 2021-5, Class A1 1.013%, (AFC), 9/25/66 144A		7,955,540		6,920
Verus Securitization Trust, Series 2021-7, Class A1 1.829%, (AFC), 10/25/66 144A		3,225,252		2,898
Verus Securitization Trust, Series 2021-8, Class A1 1.824%, (AFC), 11/25/66 144A		2,343,623		2,110
Verus Securitization Trust, Series 2021-R1, Class A1 0.820%, (AFC), 10/25/63 144A		1,189,288		1,158
Verus Securitization Trust, Series 2021-R3, Class A1 1.020%, (AFC), 5/25/64 144A		1,192,072		1,134


Structured Products (43.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Visio Trust, Series 2020-1R, Class A1 1.312%, 11/25/55 144A		882,532		852

Total				1,003,906


Total Structured Products
(Cost: $1,363,858)				1,306,056


Short-Term Investments (5.5%)

Money Market Funds (5.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#		164,401,620		164,402

Total				164,402


Total Short-Term Investments
(Cost: $164,402)				164,402


Total Investments (108.2%)
(Cost: $3,477,478)^@				3,226,010

Other Assets, Less Liabilities (-8.2%)				(243,410	)

Net Assets (100.0%)				2,982,600

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

144A

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

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b	Cash or securities with an aggregate value of $252,544 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2022.

S	Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

Æ	Security valued using significant unobservable inputs.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,477,478 and the net unrealized depreciation of investments based on that cost was $251,468 which is comprised of $3,700 aggregate gross unrealized appreciation and $255,168 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 Investments at June 30, 2022. 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	$	-	$	9,683	$	-
Corporate Bonds		-		835,904		-
Governments		-		909,965		-
Structured Products
Mortgage Securities		-		1,000,419		3,487
All Others		-		302,150		-
Short-Term Investments		164,402		-		-

Total Assets:	$	164,402	$	3,058,121	$	3,487

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

119

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

Sector Allocation 6/30/22


Sector	% of Total Investments
Governments		83.0	%
Structured Products		15.6	%
Short-Term Investments		1.0	%
Corporate Bonds		0.4	%

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.

120

Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Corporate Bonds (0.5%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical (0.1%)
United Airlines Pass-Through Trust, Series 2016-2, Class AA 2.875%, 4/7/30		152,424		139

Total				139


Industrial (0.4%)
Vessel Management Services, Inc. 3.432%, 8/15/36		403,000		392

Total				392


Total Corporate Bonds
(Cost: $556)				531


Governments (100.9%)

Governments (100.9%)
Federal National Mortgage Association 5.625%, 4/17/28		100,000		113
Resolution Funding Corp. Stripped 0.000%, 4/15/30 PO		4,800,000		3,660
0.000%, 4/15/28 IO		400,000		330
Tennessee Valley Authority Stripped 0.000%, 5/1/30 PO		500,000		380
US Treasury 1.125%, 5/15/40		6,790,000		4,726
1.125%, 8/15/40		65,580,000		45,307
1.375%, 11/15/40 ß		11,200,000		8,066
1.375%, 8/15/50		3,300,000		2,172
1.625%, 11/15/50 ß		400,000		281
1.750%, 8/15/41		2,000,000		1,521
1.875%, 2/15/41		1,900,000		1,490
1.875%, 11/15/51 ß		24,860,000		18,653
2.000%, 11/15/41		2,400,000		1,906
2.000%, 2/15/50 ß		12,920,000		10,012
2.000%, 8/15/51		4,300,000		3,323
2.250%, 2/15/52 ß		500,000		411
2.375%, 2/15/42		700,000		594
2.375%, 5/15/51		2,300,000		1,942
2.500%, 2/15/46 ß		940,000		797
2.875%, 5/15/49		1,350,000		1,259
3.000%, 11/15/45 ß		370,000		344
3.000%, 2/15/48 ß		330,000		311
3.000%, 8/15/48 ß		700,000		661
3.125%, 5/15/48		2,430,000		2,352
US Treasury Stripped 0.000%, 8/15/34 IO		850,000		579
0.000%, 11/15/43 PO		700,000		332

Total				111,522


Total Governments
(Cost: $146,974)				111,522


Structured Products (19.0%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities (0.4%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A 1.756%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A		57,793		55
Hertz Vehicle Financing LLC, Series 2022-2A, Class A 2.330%, 6/26/28 144A		300,000		272
Massachusetts Educational Financing Authority, Series 2008-1, Class A1 2.134%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38		26,669		27
Towd Point Mortgage Trust, Series 2019-4, Class A1 2.900%, (AFC), 10/25/59 144A		100,563		97

Total				451


Mortgage Securities (18.6%)
BWAY Mortgage Trust, Series 2013-1515, Class A2 3.454%, 3/10/33 144A		300,000		288
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A 2.871%, (CSTR), 11/10/31 144A		600,000		585
COMM Mortgage Trust, Series 2018-HOME, Class A 3.942%, (CSTR, AFC), 4/10/33 144A		200,000		188
COMM Mortgage Trust, Series 2016- 667M, Class A 3.140%, 10/10/36 144A		700,000		644
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 2.388%, (CSTR), 7/25/33		282		–	π
DBWF Mortgage Trust, Series 2016-85T, Class A 3.791%, 12/10/36 144A		800,000		765
Extended Stay America Trust, Series 2021- ESH, Class A 2.405%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A		397,553		388
Federal Home Loan Mortgage Corp., Series 2752, Class EZ 5.500%, 2/15/34		128,042		135
Federal Home Loan Mortgage Corp., Series 3759, Class FB 1.824%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40		24,036		24
Federal Home Loan Mortgage Corp., Series 4092, Class AY 3.000%, 8/15/32		2,200,000		2,134
Federal Home Loan Mortgage Corp., Series 4387, Class AZ 4.000%, 9/15/44		2,105,411		2,105
Federal Home Loan Mortgage Corp., Series 4398, Class ZX 4.000%, 9/15/54		814,917		803

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

121

Long-Term U.S. Government Bond Portfolio


Structured Products (19.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4830, Class ZG 3.000%, 4/15/53		631,302		556
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1 1.876%, (Federal Reserve US 12 Month Cumulative Avg 1 year Constant Maturity plus 1.400%), 7/25/44		4,856		5
Federal National Mortgage Association 3.600%, 2/1/40		571,814		572
5.000%, 6/1/35		24,667		26
5.000%, 2/1/36		38,091		40
5.500%, 5/1/49		33,650		35
Federal National Mortgage Association, Series 2007-39, Class NZ 4.250%, 5/25/37 ß		80,639		82
Federal National Mortgage Association, Series 2012-101, Class FC 2.124%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42		28,911		29
Federal National Mortgage Association, Series 2016-61, Class ML 3.000%, 9/25/46		900,000		791
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2 4.319%, (CSTR), 10/25/52 144A		565,365		541
Government National Mortgage Association, Series 2010-26, Class OW 0.000%, 2/20/40 PO		331,091		283
Government National Mortgage Association, Series 2010-75, Class OA 0.000%, 9/20/35 PO		214,764		184
GS Mortgage Securities Trust, Series 2015- 590M, Class B 3.932%, (CSTR), 10/10/35 144A		300,000		287
Hilton USA Trust, Series 2016-HHV, Class A 3.719%, 11/5/38 144A		600,000		574
Hilton USA Trust, Series 2016-HHV, Class C 4.333%, (CSTR), 11/5/38 144A		400,000		374
LUXE Trust, Series 2021-MLBH, Class A 2.305%, (ICE LIBOR USD 1 Month plus 0.980%), 11/15/26 144A		100,000		96
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A 2.968%, (CSTR, AFC), 5/25/33		619		1
Morgan Stanley Capital I Trust, Series 2021- 230P, Class A 2.493%, (ICE LIBOR USD 1 Month plus 1.169%), 12/15/23 144A		200,000		192
MSSG Trust, Series 2017-237P, Class A 3.397%, 9/13/39 144A		700,000		646
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 2.750%, (AFC), 11/25/59 144A		113,607		108
Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class A 2.251%, (US 30 Day Average SOFR plus 1.650%), 1/25/37 144A		200,000		192


Structured Products (19.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1 1.925%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34		2,019		2
Towd Point Mortgage Trust, Series 2020-1, Class A2A 3.100%, (AFC), 1/25/60 144A		200,000		181
Uniform Mortgage Backed Security TBA 3.500%, 7/14/52		2,300,000		2,212
4.000%, 4/25/52		2,200,000		2,165
4.500%, 7/14/52		1,400,000		1,405
VNDO Trust, Series 2016-350P, Class A 3.805%, 1/10/35 144A		800,000		760
Worldwide Plaza Trust, Series 2017-WWP, Class A 3.526%, 11/10/36 144A		100,000		93

Total				20,491


Total Structured Products
(Cost: $21,906)				20,942


Short-Term Investments (1.2%)

Governments (0.7%)
US Treasury 0.000%, 8/18/22ß		1,000		1
0.000%, 9/15/22ß		800,000		797

Total				798


Money Market Funds (0.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#		566,707		567

Total				567


Total Short-Term Investments
(Cost: $1,365)				1,365


Total Investments (121.6%)
(Cost: $170,801)^@				134,360

Other Assets, Less Liabilities (-21.6%)				(23,860	)

Net Assets (100.0%)				110,500

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

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Long-Term U.S. Government Bond Portfolio

Securities Sold Short


Description	Coupon			Maturity Date	Principal Amount (000’s)			Proceeds (000’s)			Value (000’s)
Uniform Mortgage Backed Security TBA		2.000	%	8/11/52	$	(5,300	)	$	(4,564	)	$	(4,594	)

					$	(5,300	)	$	(4,564	)	$	(4,594	)

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		1,300		13		9/22	$	1,459	$	7		$	(9	)
Ten-Year US Treasury Note Future		Long		USD		700		7		9/22		830		6			7
Two-Year US Treasury Note Future		Long		USD		6,200		31		9/22		6,511		(21	)		17
Ultra Long Term US Treasury Bond Future		Long		USD		4,400		44		9/22		6,791		(71	)		103
Ultra Ten-Year US Treasury Note Future		Short		USD		8,500		85		9/22		10,827		79			(113	)
US Treasury Long Bond Future		Short		USD		8,900		89		9/22		12,338		90			(150	)

													$	90		$	(145	)

Centrally Cleared Interest Rate Swaps - Receive Floating Rate


Floating Rate Index	Fixed Rate		Expiration Date	Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)		Variation Margin (000’s)
1-Day USD-SOFR Compounded-OIS		1.750%	10/53		2,200		USD	$	(37	)	$	403	$	366	$	(19	)
3-Month USD-LIBOR		0.750%	3/31		1,000		USD		9			169		178		(7	)
3-Month USD-LIBOR		1.250%	6/41		6,010		USD		129			1,529		1,658		(41	)
3-Month USD-LIBOR		1.150%	3/51		680		USD		15			226		241		(5	)

								$	116		$	2,327	$	2,443	$	(72	)

Centrally Cleared Interest Rate Swaps - Pay Floating Rate


Floating Rate Index	Fixed Rate	Expiration Date	Notional Amount (000’s)		Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin (000’s)
1-Day USD-SOFR Compounded-OIS	1.600%	10/28		10,700	USD	$	21		$	(551	)	$	(530	)	$	55
3-Month USD-LIBOR	1.000%	12/25		3,170	USD		52			(270	)		(218	)		14
3-Month USD-LIBOR	1.250%	12/50		2,100	USD		(177	)		(526	)		(703	)		17

						$	(104	)	$	(1,347	)	$	(1,451	)	$	86


	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	$	86	$	127	$	213	$	(72)	$	(272)	$	(344)	$	–

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

ß Cash or securities with an aggregate value of $40,416 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2022.

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, 2022 the value of these securities (in thousands) was $7,326 representing 6.6% of the net assets.

π Amount is less than one thousand.

# 7-Day yield as of 6/30/2022.

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

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Long-Term U.S. Government Bond Portfolio

@ At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $136,251 and the net unrealized depreciation of investments based on that cost was $5,403 which is comprised of $2,605 aggregate gross unrealized appreciation and $8,008 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 Investments at June 30, 2022. 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	$	-		$	531		$	-
Governments		-			111,522			-
Structured Products		-			20,942			-
Short-Term Investments
Money Market Funds		567			-			-
All Others		-			798			-
Other Financial Instruments^
Futures		182			-			-
Interest Rate Swaps		-			2,443			-
Total Assets:	$	749		$	136,236		$	-
Liabilities:
Other Financial Instruments^
Futures		(92	)		-			-
Interest Rate Swaps		-			(1,451	)		-
Securities Sold Short		-			(4,594	)		-
Total Liabilities:	$	(92	)	$	(6,045	)	$	-

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

124

Inflation Protection Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Governments		51.1	%
Structured Products		20.8	%
Corporate Bonds		17.1	%
Short-Term Investments & Other Net Assets		9.0	%
Investment Companies		1.9	%
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.

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.

125

Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Corporate Bonds (17.1%)	Shares/ Par⁺		Value $ (000’s)

Communications (1.3%)
AT&T, Inc. 3.550%, 9/15/55		234,000		175
4.350%, 3/1/29		1,995,000		1,964
4.500%, 5/15/35		257,000		244
4.550%, 3/9/49		422,000		384
4.900%, 8/15/37		468,000		466
Discovery Communications LLC 4.650%, 5/15/50		285,000		224
Paramount Global 4.375%, 3/15/43		350,000		271
4.950%, 1/15/31		235,000		224
Telefonica Emisiones SAU 4.895%, 3/6/48		825,000		703
Time Warner Cable LLC 4.500%, 9/15/42		745,000		582
Verizon Communications, Inc. 1.750%, 1/20/31		10,000		8
4.329%, 9/21/28		621,000		618
4.862%, 8/21/46		295,000		290

Total				6,153


Consumer, Cyclical (1.7%)
BMW US Capital LLC 3.250%, 4/1/25 144A		658,000		650
British Airways Pass-Through Trust, Series 2020-1, Class A 2.900%, 9/15/36 144A		169,525		149
Ford Motor Credit Co. LLC 4.389%, 1/8/26		300,000		276
General Motors Financial Co., Inc. 2.700%, 8/20/27		1,530,000		1,346
The Home Depot, Inc. 2.700%, 4/15/25		552,000		542
Honda Motor Co., Ltd. 2.271%, 3/10/25		1,550,000		1,491
Lennar Corp. 4.750%, 5/30/25		870,000		869
Lowe’s Companies, Inc. 3.350%, 4/1/27		897,000		863
Magallanes, Inc. 3.638%, 3/15/25 144A		409,000		396
3.755%, 3/15/27 144A		314,000		295
Toyota Motor Credit Corp. 2.500%, 3/22/24		868,000		855

Total				7,732


Consumer, Non-cyclical (1.8%)
AbbVie, Inc. 2.950%, 11/21/26		800,000		758
Block Financial LLC 3.875%, 8/15/30		530,000		477
CVS Health Corp. 1.300%, 8/21/27		805,000		694
Duke University Health System, Inc. 3.920%, 6/1/47		268,000		244


Corporate Bonds (17.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Global Payments, Inc. 3.750%, 6/1/23		212,000		210
GSK Consumer Healthcare Capital UK PLC 3.125%, 3/24/25 144A		1,002,000		976
HCA, Inc. 3.125%, 3/15/27 144A		765,000		695
Mondelez International, Inc. 2.125%, 3/17/24		204,000		199
2.750%, 4/13/30		71,000		62
Roche Holdings, Inc. 2.314%, 3/10/27 144A		1,270,000		1,189
Thermo Fisher Scientific, Inc. 1.215%, 10/18/24		2,570,000		2,435
Viatris, Inc. 4.000%, 6/22/50		92,000		61

Total				8,000


Energy (0.6%)
Enbridge, Inc. 1.600%, 10/4/26		1,150,000		1,024
Petroleos Mexicanos 3.500%, 1/30/23		130,000		128
6.700%, 2/16/32		243,000		185
Sabine Pass Liquefaction LLC 5.625%, 3/1/25		500,000		510
5.875%, 6/30/26		750,000		775
Transcontinental Gas Pipe Line Co. LLC 3.250%, 5/15/30		260,000		233

Total				2,855


Financial (9.4%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.150%, 10/29/23		658,000		627
3.000%, 10/29/28		989,000		833
6.500%, 7/15/25		706,000		722
Air Lease Corp. 2.875%, 1/15/26		776,000		712
American International Group, Inc. 3.900%, 4/1/26		1,416,000		1,387
American Tower Corp. 3.650%, 3/15/27		272,000		258
3.950%, 3/15/29		100,000		93
Aon Corp. 4.500%, 12/15/28		455,000		450
Ares Capital Corp. 4.200%, 6/10/24		488,000		479
Athene Global Funding 1.985%, 8/19/28 144A		364,000		302
3.205%, 3/8/27 144A		130,000		118
Avolon Holdings Funding, Ltd. 2.528%, 11/18/27 144A		858,000		699

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

126

Inflation Protection Portfolio


Corporate Bonds (17.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Banco Santander SA 4.175%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.000%), 3/24/28		200,000		191
5.179%, 11/19/25		1,000,000		1,000
Bank of America Corp. 2.884%, (ICE LIBOR USD 3 Month plus 1.190%), 10/22/30		512,000		447
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		939,000		874
4.183%, 11/25/27		545,000		530
Bank of Ireland Group PLC 2.029%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.100%), 9/30/27 144A		377,000		328
The Bank of New York Mellon Corp. 3.430%, (US SOFR plus 0.565%), 6/13/25		870,000		863
The Bank of Nova Scotia 3.450%, 4/11/25		438,000		432
Barclays PLC 2.279%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.050%), 11/24/27		510,000		452
Blackstone Private Credit Fund 3.250%, 3/15/27 144A		387,000		328
Blue Owl Finance LLC 3.125%, 6/10/31 144A		85,000		66
BNP Paribas SA 4.375%, (USD 5 Year Swap Rate plus 1.483%), 3/1/33 144A		260,000		241
BOC Aviation USA Corp. 1.625%, 4/29/24 144A		696,000		667
Brighthouse Financial Global Funding 2.000%, 6/28/28 144A		251,000		216
Broadstone Net Lease LLC 2.600%, 9/15/31		182,000		148
Canadian Imperial Bank of Commerce 3.300%, 4/7/25		920,000		902
Capital One Financial Corp. 4.927%, (US SOFR plus 2.057%), 5/10/28		155,000		154
Citigroup, Inc. 3.520%, (ICE LIBOR USD 3 Month plus 1.151%), 10/27/28		399,000		373
Coinbase Global, Inc. 3.375%, 10/1/28 144A		39,000		25
Commonwealth Bank of Australia 3.610%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 2.050%), 9/12/34 144A		505,000		449
Corebridge Financial, Inc. 3.850%, 4/5/29 144A		376,000		347
Deutsche Bank AG 2.311%, (US SOFR plus 1.219%), 11/16/27		714,000		616
3.961%, (US SOFR plus 2.581%), 11/26/25		1,175,000		1,135
Discover Bank 4.682%, (USD 5 Year Swap Rate plus 1.730%), 8/9/28		1,705,000		1,658
DNB Bank ASA 2.968%, (US SOFR Index plus 0.810%), 3/28/25 144A		1,010,000		988


Corporate Bonds (17.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Fifth Third Bancorp 4.055%, (US SOFR plus 1.355%), 4/25/28		369,000		360
First-Citizens Bank & Trust Company 3.929%, (US SOFR plus 3.827%), 6/19/24		820,000		815
FS KKR Capital Corp. 3.125%, 10/12/28		165,000		132
4.250%, 2/14/25 144A		128,000		121
Global Atlantic Finance Co. 3.125%, 6/15/31 144A		265,000		211
The Goldman Sachs Group, Inc. 1.757%, (US SOFR plus 0.730%), 1/24/25		1,729,000		1,662
1.948%, (US SOFR plus 0.913%), 10/21/27		170,000		150
3.814%, (ICE LIBOR USD 3 Month plus 1.158%), 4/23/29		363,000		342
Golub Capital BDC, Inc. 2.500%, 8/24/26		181,000		152
Hercules Capital, Inc. 2.625%, 9/16/26		345,000		298
HSBC Holdings PLC 1.162%, (US SOFR plus 0.580%), 11/22/24		528,000		504
2.804%, (US SOFR plus 1.187%), 5/24/32		280,000		230
4.180%, (US SOFR plus 1.510%), 12/9/25		720,000		709
Intercontinental Exchange, Inc. 4.350%, 6/15/29		150,000		148
JPMorgan Chase & Co. 1.578%, (US SOFR plus 0.885%), 4/22/27		330,000		294
2.069%, (US SOFR plus 1.015%), 6/1/29		792,000		681
2.522%, (US SOFR plus 2.040%), 4/22/31		435,000		370
2.545%, (US SOFR plus 1.180%), 11/8/32		248,000		206
2.947%, (US SOFR plus 1.170%), 2/24/28		911,000		844
4.080%, (US SOFR plus 1.320%), 4/26/26		303,000		299
Lexington Realty Trust 2.375%, 10/1/31		250,000		193
Lloyds Banking Group PLC 2.907%, (ICE LIBOR USD 3 Month plus 0.810%), 11/7/23		815,000		812
Main Street Capital Corp. 3.000%, 7/14/26		164,000		143
5.200%, 5/1/24		744,000		742
Morgan Stanley 0.529%, (US SOFR plus 0.455%), 1/25/24		1,288,000		1,263
0.790%, (US SOFR plus 0.525%), 5/30/25		490,000		456
2.484%, (US SOFR plus 1.360%), 9/16/36		177,000		136
National Australia Bank, Ltd. 2.332%, 8/21/30 144A		332,000		267
Office Properties Income Trust 2.400%, 2/1/27		270,000		221
Ontario Teachers’ Cadillac Fairview Properties Trust 2.500%, 10/15/31 144A		202,000		172
Owl Rock Capital Corp. 3.400%, 7/15/26		1,850,000		1,625
Phillips Edison Grocery Center Operating Partnership I, LP 2.625%, 11/15/31		240,000		186
The PNC Financial Services Group, Inc. 4.626%, (US SOFR Index plus 1.850%), 6/6/33		190,000		183
Prospect Capital Corp. 3.437%, 10/15/28		159,000		122

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

127

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Corporate Bonds (17.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
3.706%, 1/22/26		316,000		280
Rexford Industrial Realty, Inc. 2.150%, 9/1/31		529,000		416
Safehold Operating Partnership LP 2.850%, 1/15/32		533,000		428
Sammons Financial Group, Inc. 3.350%, 4/16/31 144A		1,565,000		1,294
4.750%, 4/8/32 144A		203,000		185
SBL Holdings, LLC 5.125%, 11/13/26 144A		345,000		335
SLM Corp. 3.125%, 11/2/26		422,000		341
Societe Generale SA 4.351%, 6/13/25 144A		400,000		399
Store Capital Corp. 2.700%, 12/1/31		67,000		54
Swedbank AB 3.356%, 4/4/25 144A		200,000		196
The Toronto-Dominion Bank 4.108%, 6/8/27		715,000		707
4.456%, 6/8/32		272,000		269
Truist Financial Corp. 4.123%, (US SOFR plus 1.368%), 6/6/28		196,000		193
UBS Group AG 1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A		480,000		420
UniCredit SpA 7.830%, 12/4/23 144A		1,605,000		1,660
US Bancorp 2.491%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 0.950%), 11/3/36		495,000		403
Wells Fargo & Co. 3.526%, (US SOFR plus 1.510%), 3/24/28		307,000		291

Total				43,030


Industrial (0.3%)
DAE Funding LLC 1.550%, 8/1/24 144A		316,000		296
Raytheon Technologies Corp. 4.125%, 11/16/28		1,240,000		1,224

Total				1,520


Technology (0.8%)
Broadcom, Inc. 4.000%, 4/15/29 144A		840,000		778
Dell International LLC / EMC Corp. 6.020%, 6/15/26		440,000		457
Intel Corp. 3.200%, 8/12/61		548,000		400
KLA-Tencor Corp. 4.650%, 7/15/32		188,000		192
Qorvo, Inc. 3.375%, 4/1/31 144A		145,000		114
4.375%, 10/15/29		405,000		356
Take-Two Interactive Software, Inc. 3.550%, 4/14/25		735,000		723


Corporate Bonds (17.1%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
VMware, Inc. 3.900%, 8/21/27		655,000		629

Total				3,649


Utilities (1.2%)
Ameren Corp. 1.950%, 3/15/27		1,470,000		1,318
CenterPoint Energy, Inc. 2.650%, 6/1/31		370,000		315
Dominion Energy, Inc. 1.450%, 4/15/26		1,200,000		1,085
Duke Energy Florida LLC 1.750%, 6/15/30		400,000		332
Duke Energy Progress LLC 2.000%, 8/15/31		780,000		646
Essential Utilities, Inc. 2.704%, 4/15/30		370,000		322
PG&E Energy Recovery Funding LLC 2.822%, 7/15/46		900,000		697
Sempra Energy 3.250%, 6/15/27		250,000		237
3.300%, 4/1/25		507,000		495

Total				5,447


Total Corporate Bonds
(Cost: $85,201)				78,386


Investment Companies (1.9%)

Investment Companies (1.9%)
Vanguard Intermediate-Term Corporate Bond ETF		94,300		7,546
Vanguard Short-Term Corporate Bond ETF		12,300		938

Total				8,484


Total Investment Companies
(Cost: $9,800)				8,484


Governments (51.1%)

Governments (51.1%)
Tennessee Valley Authority 4.700%, 7/15/33		1,658,000		1,805
US Treasury Inflation Index Bond 0.125%, 1/15/30		25,334,700		24,182
0.125%, 7/15/30		15,783,600		15,052
0.125%, 1/15/31		14,435,200		13,730
0.125%, 7/15/31		5,931,640		5,640
0.125%, 1/15/32		12,200,292		11,581
0.125%, 2/15/51		9,048,538		6,965
0.125%, 2/15/52		882,615		685
0.125%, 10/15/25		3,063,555		3,061
0.125%, 4/15/26		4,298,619		4,258
0.125%, 7/15/26		5,486,845		5,442
0.125%, 10/15/26		10,578,100		10,482
0.250%, 2/15/50		6,206,191		4,897
0.250%, 7/15/29		2,147,057		2,082
0.375%, 1/15/27		12,444,848		12,398
0.375%, 7/15/27		10,930,355		10,891
0.500%, 1/15/28		8,788,875		8,729
0.625%, 2/15/43		8,360,713		7,386
0.625%, 1/15/26		19,038,382		19,252

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

128

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Governments (51.1%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
0.750%, 2/15/42		10,137,898		9,262
0.750%, 2/15/45		17,123,765		15,330
0.750%, 7/15/28		1,727,310		1,740
0.875%, 2/15/47		3,831,840		3,540
0.875%, 1/15/29		3,434,280		3,466
1.000%, 2/15/46		4,208,759		3,988
1.000%, 2/15/48		1,348,007		1,287
1.000%, 2/15/49		2,813,191		2,707
1.375%, 2/15/44		9,525,274		9,741
1.750%, 1/15/28		1,510,837		1,604
2.000%, 1/15/26		3,568,082		3,779
2.125%, 2/15/41		3,393,566		3,942
2.375%, 1/15/27		824,176		895
2.500%, 1/15/29		962,619		1,070
3.625%, 4/15/28		2,680,740		3,131

Total				234,000


Total Governments
(Cost: $258,531)				234,000


Municipal Bonds (0.1%)

Municipal Bonds (0.1%)
Golden State Tobacco Securitization Corp. 2.746%, 6/1/34 RB		740,000		638
Santa Clara Valley Transportation Authority 5.876%, 4/1/32 RB		50,000		54

Total Municipal Bonds
(Cost: $802)				692


Structured Products (20.8%)

Asset Backed Securities (9.5%)
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B 2.482%, 8/15/46 144A		2,350,000		2,003
Ares XXXIX CLO, Ltd., Series 2016-39A, Class BR2 2.644%, (ICE LIBOR USD 3 Month plus 1.600%), 4/18/31 144A		2,000,000		1,896
Bean Creek CLO, Ltd., Series 2018-1A, Class.AR 2.083%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A		1,500,000		1,456
Blackbird Capital Aircraft, Series 2021-1A, Class A 2.443%, 7/15/46 144A		905,676		774
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A 2.940%, 5/25/29 144A		133,843		131
Cologix Canadian Issuer LP, Series 2022- 1CAN, Class A2 4.940%, 1/25/52 144A CAD ∞		1,950,000		1,414
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2 3.093%, 4/20/34 144A		2,000,000		1,774
FirstKey Homes Trust, Series 2020-SFR2, Class D 1.968%, 10/19/37 144A		1,300,000		1,187
Global SC Finance SRL, Series 2021-1A, Class A 1.860%, 4/17/41 144A		1,455,192		1,295


Structured Products (20.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
2.170%, 10/17/40 144A		945,250		865
Global SC Finance SRL, Series 2021-2A, Class A 1.950%, 8/17/41 144A		750,939		669
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR 2.183%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A		1,125,000		1,105
Goodgreen Trust, Series 2020-1A, Class A 2.630%, 4/15/55 144A		719,734		652
Goodgreen Trust, Series 2021-1A, Class A 2.660%, 10/20/56 144A		509,005		461
Greenwood Park CLO, Ltd., Series 2018-1A, Class A1 2.074%, (ICE LIBOR USD 3 Month plus 1.030%), 4/15/31 144A		1,500,000		1,468
Hilton Grand Vacations Trust, Series 2017-AA, Class A 2.660%, 12/26/28 144A		472,217		465
Hilton Grand Vacations Trust, Series 2019-AA, Class B 2.540%, 7/25/33 144A		775,600		742
J.G. Wentworth XLI LLC, Series 2018-1A, Class B 4.700%, 10/15/74 144A		395,229		384
KKR Financial CLO, Ltd., Series 2018-22A, Class A 2.213%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A		1,500,000		1,472
KKR Financial CLO, Ltd., Series 2022-1A, Class B 0.000%, (US SOFR 3 Month plus 2.600%), 7/20/31 144A		1,400,000		1,400
Magnetite CLO, Ltd., Series 2014-8A, Class.AR2 2.024%, (ICE LIBOR USD 3 Month plus 0.980%), 4/15/31 144A		1,750,000		1,724
Magnetite CLO, Ltd., Series 2021-29A, Class B 2.444%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A		1,650,000		1,553
Mosaic Solar Loans LLC, Series 2021-1, Class A 1.510%, 12/20/46 144A		1,204,549		1,038
Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2 2.174%, (ICE LIBOR USD 3 Month plus 1.130%), 1/17/31 144A		1,750,000		1,724
Progress Residential Trust, Series 2021-SFR1, Class D 1.805%, 4/17/38 144A		1,000,000		873
Progress Residential Trust, Series 2021-SFR2, Class C 1.997%, 4/19/38 144A		5,050,000		4,543
Progress Residential Trust, Series 2021-SFR8, Class E1 2.382%, 10/17/38 144A		550,000		468
Rockford Tower CLO, Ltd., Series 2020-1A, Class B 2.863%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A		1,350,000		1,298

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

129

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Structured Products (20.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
ServiceMaster Brands, Series 2020-1, Class A2I 2.841%, 1/30/51 144A		1,234,375		1,062
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B 2.750%, 7/15/38 144A		1,025,581		985
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B 1.340%, 11/20/37 144A		1,878,880		1,748
Stratus CLO, Ltd. Series 2021-1A, Class A 1.863%, (ICE LIBOR USD 3 Month plus 0.800%), 12/29/29 144A		1,217,082		1,199
Tricon American Homes, Series 2020-SFR2, Class B 1.832%, 11/17/39 144A		1,400,000		1,230
Triton Container Finance VIII LLC, Series 2020-1A, Class A 2.110%, 9/20/45 144A		1,362,000		1,211
Wellfleet CLO, Ltd., Series 2022-1A, Class B2 4.775%, 4/15/34 144A		1,250,000		1,241

Total				43,510


Mortgage Securities (11.3%)
Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A		181,355		172
Agate Bay Mortgage Trust, Series 2016-1, Class A3 3.500%, (AFC), 12/25/45 144A		106,582		102
Angel Oak Mortgage Trust, Series 2019-6, Class A3 2.927%, (AFC), 11/25/59 144A		307,103		301
Angel Oak Mortgage Trust, Series 2019-4, Class A 3.301%, (AFC), 7/26/49 144A		54,205		54
Arroyo Mortgage Trust, Series 2021-1R, Class A2 1.483%, (CSTR, AFC), 10/25/48 144A		402,727		373
Arroyo Mortgage Trust, Series 2021-1R, Class A3 1.637%, (CSTR, AFC), 10/25/48 144A		309,790		287
BDS, Ltd., Series 2020-FL6, Class C 3.157%, (US 30 Day Average SOFR plus 2.365%), 9/15/35 144A		1,487,000		1,455
Bellemeade Re, Ltd., Series 2021-2A, Class M1C 2.776%, (US 30 Day Average SOFR plus 1.850%), 6/25/31 144A		2,108,000		1,990
Bellemeade Re, Ltd., Series 2019-3A, Class M1C 3.574%, (ICE LIBOR USD 1 Month plus 1.950%), 7/25/29 144A		1,900,000		1,864
Bellemeade Re, Ltd., Series 2021-3A, Class.M1A 1.926%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A		1,475,000		1,456
BX Commercial Mortgage Trust, Series 2020- VIV2, Class C 3.660%, (CSTR), 3/9/44 144A		1,899,000		1,590


Structured Products (20.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
BX Commercial Mortgage Trust, Series 2021- VOLT, Class E 3.324%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/36 144A		1,200,000		1,118
BX Commercial Mortgage Trust, Series 2021- VOLT, Class F 3.724%, (ICE LIBOR USD 1 Month plus 2.400%), 9/15/36 144A		1,400,000		1,303
BX Trust, Series 2019-OC11, Class A 3.202%, 12/9/41 144A		1,850,000		1,653
BX Trust, Series 2019-OC11, Class C 3.856%, 12/9/41 144A		1,350,000		1,192
BX Trust, Series 2020-VIVA, Class D 3.667%, (CSTR), 3/11/44 144A		2,014,962		1,626
BXMT, Ltd., Series 2020-FL2, Class B 2.992%, (US 30 Day Average SOFR plus 1.514%), 2/15/38 144A		1,600,000		1,544
Chase Mortgage Finance Corp., Series 2021- CL1, Class M1 2.126%, (US 30 Day Average SOFR plus 1.200%), 2/25/50 144A		395,770		377
CHNGE Mortgage Trust, Series 2022-3, Class A1 5.000%, (AFC), 5/25/67 144A		625,000		611
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1 3.026%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		736,367		723
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10 3.500%, (AFC), 12/25/44 144A		59,965		57
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class B 2.554%, (ICE LIBOR USD 1 Month plus 1.230%), 5/15/36 144A		875,000		856
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class D 2.924%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		2,155,000		2,095
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3 1.538%, (AFC), 2/25/66 144A		344,291		326
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3 2.856%, 5/25/65 144A		1,474,000		1,461
Deephaven Residential Mortgage Trust, Series 2021-3, Class A3 1.554%, (AFC), 8/25/66 144A		1,021,446		924
Extended Stay America Trust, Series 2021- ESH, Class E 4.175%, (ICE LIBOR USD 1 Month plus 2.850%), 7/15/38 144A		1,709,479		1,634
FARM Mortgage Trust, Series 2021-1, Class A 2.180%, (CSTR), 1/25/51 144A		2,168,944		1,922
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 4.224%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24		297,988		298
Imperial Fund Mortgage Trust, Series 2021- NQM1, Class A3 1.617%, (AFC), 6/25/56 144A		397,063		361

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

130

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Structured Products (20.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A 4.128%, 7/5/31 144A		2,020,000		1,988
JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.846%, (AFC), 10/25/29 144A		394,616		379
JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A		646,572		612
JP Morgan Mortgage Trust, Series 2017-1, Class A2 3.458%, (AFC), 1/25/47 144A		319,455		298
New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2 2.891%, (AFC), 5/24/60 144A		1,383,000		1,309
Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A		1,199,523		1,112
Sequoia Mortgage Trust, Series 2019-4, Class A7 3.500%, (AFC), 11/25/49 144A		2,395,797		2,237
Sequoia Mortgage Trust, Series 2021-5, Class A4 2.500%, (AFC), 7/25/51 144A		1,667,631		1,517
SG Residential Mortgage Trust, Series 2021-1, Class A3 1.560%, (AFC), 7/25/61 144A		873,740		773
Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A 3.416%, (US SOFR 1 Month plus 2.296%), 6/19/37 144A		1,272,000		1,263
SLG Office Trust, Series 2021-OVA, Class C 2.850%, 7/15/41 144A		1,850,000		1,515
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E 3.000%, (AFC), 4/25/60 144A		2,503,000		2,497
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		1,002,037		941
Verus Securitization Trust, Series 2020-1, Class A3 2.724%, (AFC), 1/25/60 144A S		1,078,455		1,057
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		870,144		787


Structured Products (20.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A		1,033,621		874
Verus Securitization Trust, Series 2022-3, Class A3 4.130%, (CSTR, AFC), 2/25/67 144A		2,355,736		2,294
Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A		433,094		417

Total				51,595


Total Structured Products
(Cost: $102,436)				95,105


Short-Term Investments (8.0%)

Commercial Paper (6.3%)
Chesham Finance, Ltd. 0.000%, 7/1/22		16,000,000		15,999
LMA SA / LMA Americas LLC 0.000%, 7/15/22		13,060,000		13,051

Total				29,050


Financial (0.8%)
Ares Capital Corp. 3.500%, 2/10/23		1,073,000		1,068
FNB Corp. 2.200%, 2/24/23		2,505,000		2,477

Total				3,545


Money Market Funds (0.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#		2,857,142		2,857

Total				2,857


Real Estate (0.3%)
SBA Tower Trust 3.448%, 3/15/23 144A		1,228,000		1,218

Total				1,218


Total Short-Term Investments
(Cost: $36,716)				36,670


Total Investments (99.0%)
(Cost: $493,486)^@				453,337

Other Assets, Less Liabilities (1.0%)				4,597

Net Assets (100.0%)				457,934

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)
US Treasury Long Bond Future		Short		USD		1,200		12		9/22	$	1,663	$	(2	)	$	(37	)

													$	(2	)	$	(37	)

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

131

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Total Return Swaps - Receive Floating Rate


Floating Rate Index	Fixed Rate	Expiration Date	Notional Amount (000’s)		Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)		Variation Margin (000’s)
CPURNSA	1.777%	6/24		11,000	USD	$	-		$	1,280	$	1,280	$	(46	)
CPURNSA	1.715%	6/24		7,400	USD		-			879		879		(31	)
CPURNSA	1.860%	7/24		7,500	USD		-			830		830		(35	)
CPURNSA	1.858%	8/24		12,700	USD		-			1,407		1,407		(59	)
CPURNSA	1.616%	10/24		7,500	USD		-			936		936		(33	)
CPURNSA	2.073%	8/27		3,500	USD		-			415		415		(15	)
CPURNSA	2.145%	11/27		5,000	USD		(1	)		541		540		(21	)
CPURNSA	1.793%	10/29		3,700	USD		-			452		452		(80	)
CPURNSA	1.800%	10/29		3,700	USD		-			516		516		(15	)
CPURNSA	1.884%	11/29		2,000	USD		-			265		265		(8	)
CPURNSA	2.695%	8/26		10,000	USD		-			554		554		(41	)
CPURNSA	2.513%	8/31		5,000	USD		1			281		282		(26	)
CPURNSA	2.498%	9/31		7,000	USD		1			393		394		(37	)
CPURNSA	2.333%	2/26		13,000	USD		-			1,285		1,285		(55	)
CPURNSA	2.210%	1/24		8,000	USD		-			794		794		(36	)
CPURNSA	2.273%	1/24		10,000	USD		-			976		976		(44	)
CPURNSA	2.260%	2/25		8,000	USD		-			804		804		(38	)
CPURNSA	2.243%	1/26		6,000	USD		-			622		622		(25	)
CPURNSA	1.078%	6/25		3,000	USD		-			479		479		(10	)
CPURNSA	1.291%	5/30		2,000	USD		-			381		381		(5	)
CPURNSA	1.629%	6/30		2,000	USD		-			342		342		(7	)

						$	1		$	14,432	$	14,433	$	(667	)


	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	$	-	$	-	$	-	$	(667	)	$	(37	)	$	(704	)	$	-

Over the Counter Derivatives

Forward Foreign Currency Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)		Settlement Date		Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Morgan Stanley Capital Services, Inc.	CAD	30		24		9/14/2022	$	-	π	$	-	$	-	π
Sell	Morgan Stanley Capital Services, Inc.	CAD	1,797		1,396		9/14/2022		34			-		34

								$	34		$	-	$	34

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

132

Inflation Protection Portfolio

Total Return Swaps


Reference Entity	Counterparty	Payment made by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
CPURNSA	Bank of America NA	2.763%	3/23	700	$	(9	)	$	(9	)
CPURNSA	Bank of America NA	2.528%	8/24	2,750		65			65
CPURNSA	Bank of America NA	2.140%	7/25	2,900		291			291
CPURNSA	Bank of America NA	1.790%	8/25	1,500		200			200
CPURNSA	Bank of America NA	2.240%	4/27	3,500		336			336
CPURNSA	Bank of America NA	2.218%	4/27	2,000		197			197
CPURNSA	Bank of America NA	2.235%	4/27	2,000		194			194
CPURNSA	Bank of America NA	2.235%	5/27	5,000		486			486
CPURNSA	Barclays Bank PLC	2.589%	7/24	1,400		23			23
CPURNSA	Barclays Bank PLC	2.385%	9/24	4,000		166			166
CPURNSA	Barclays Bank PLC	2.363%	9/24	3,500		157			157
CPURNSA	Barclays Bank PLC	2.310%	9/24	1,400		71			71
CPURNSA	Barclays Bank PLC	2.895%	12/27	1,700		(232	)		(232	)
CPURNSA	Barclays Bank PLC	2.784%	7/44	1,400		(167	)		(167	)
CPURNSA	Goldman Sachs International	1.870%	5/26	8,500		1,222			1,222
CPURNSA	Goldman Sachs International	1.920%	5/26	7,000		969			969
CPURNSA	Goldman Sachs International	1.770%	6/26	6,000		921			921
CPURNSA	Goldman Sachs International	2.245%	11/26	3,000		303			303
CPURNSA	Goldman Sachs International	2.280%	11/26	3,000		291			291
CPURNSA	Goldman Sachs International	2.280%	11/26	4,000		388			388

					$	5,872		$	5,872


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts		Swaps		Total		Forward Foreign Currency Contracts		Options		Swaps			Total
Total Over the Counter Derivatives	$	34	$	6,280	$	6,314		-		-	$	(408	)	$	(408	)

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

144A

∞	Foreign Bond — par value is foreign denominated.

S	Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $493,488 and the net unrealized depreciation of investments based on that cost was $19,813 which is comprised of $21,077 aggregate gross unrealized appreciation and $40,890 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

π	Amount is less than one thousand.

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

133

Inflation Protection Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	-		$	692		$	-
Corporate Bonds		-			78,386			-
Governments		-			234,000			-
Structured Products		-			95,105			-
Investment Companies		8,484			-			-
Short-Term Investments
Money Market Funds		2,857			-			-
All Others		-			33,813			-
Other Financial Instruments^
Forward Foreign Currency Contracts		-			34			-
Total Return Swaps		-			20,713			-
Total Assets:	$	11,341		$	462,743		$	-
Liabilities:
Other Financial Instruments^
Futures		(2	)		-			-
Total Return Swaps		-			(408	)		-
Total Liabilities:	$	(2	)	$	(408	)	$	-

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

134

High Yield Bond Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Communications		16.4	%
Consumer, Non-Cyclical		16.3	%
Consumer, Cyclical		16.0	%
Energy		13.6	%
Industrial		11.7	%
Financial		7.9	%
Technology		6.8	%
Short-Term Investments & Other Net Assets		5.3	%
Basic Materials		3.4	%
Utilities		2.1	%
Health Care		0.3	%
Diversified		0.2	%

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.

135

High Yield Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Common Stocks (0.6%)	Shares/ Par⁺		Value $ (000’s)

Communications (0.0%)
iHeartMedia, Inc. *		22,266		176

Total				176


Consumer, Non-cyclical (0.3%)
Mallinckrodt PLC *		64,634		1,605

Total				1,605


Energy (0.3%)
Superior Energy Services, Inc. *,Æ		35,182		2,164

Total				2,164


Total Common Stocks
(Cost: $2,758)				3,945


Corporate Bonds (94.1%)

Basic Materials (3.4%)
Ashland LLC 3.375%, 9/1/31 144A		825,000		671
Axalta Coating Systems LLC 3.375%, 2/15/29 144A		875,000		714
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding 4.750%, 6/15/27 144A		600,000		539
Clearwater Paper Corp. 4.750%, 8/15/28 144A		150,000		129
5.375%, 2/1/25 144A		2,500,000		2,431
Cleveland-Cliffs, Inc. 4.625%, 3/1/29 144A		1,900,000		1,677
4.875%, 3/1/31 144A		1,450,000		1,278
Coeur Mining, Inc. 5.125%, 2/15/29 144A		1,675,000		1,160
Compass Minerals International, Inc. 4.875%, 7/15/24 144A		1,400,000		1,299
6.750%, 12/1/27 144A		1,350,000		1,222
Diamond BC BV 4.625%, 10/1/29 144A		2,925,000		2,339
Element Solutions, Inc. 3.875%, 9/1/28 144A		1,650,000		1,361
Freeport-McMoRan, Inc. 5.000%, 9/1/27		300,000		298
5.250%, 9/1/29		50,000		48
H.B. Fuller Co. 4.250%, 10/15/28		525,000		441
Herens Holdco SARL 4.750%, 5/15/28 144A		2,850,000		2,368
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. 9.000%, 7/1/28 144A		725,000		573
Olympus Water US Holding Corp. 4.250%, 10/1/28 144A		1,250,000		979
6.250%, 10/1/29 144A		1,800,000		1,251
Polar US Borrower LLC 6.750%, 5/15/26 144A		1,925,000		1,344
SPCM SA 3.125%, 3/15/27 144A		250,000		211


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials continued
3.375%, 3/15/30 144A		425,000		333
WR Grace Holdings LLC 4.875%, 6/15/27 144A		675,000		587
5.625%, 8/15/29 144A		1,200,000		883

Total				24,136


Communications (16.4%)
AMC Networks, Inc. 4.250%, 2/15/29		325,000		263
Cars.com, Inc. 6.375%, 11/1/28 144A		1,900,000		1,601
CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%, 2/1/31 144A		750,000		611
4.250%, 1/15/34 144A		1,200,000		927
4.500%, 8/15/30 144A		2,175,000		1,806
4.500%, 5/1/32		1,050,000		850
4.500%, 6/1/33 144A		1,175,000		926
4.750%, 3/1/30 144A		3,400,000		2,908
4.750%, 2/1/32 144A		450,000		368
5.000%, 2/1/28 144A		2,000,000		1,845
5.125%, 5/1/27 144A		2,975,000		2,808
5.375%, 6/1/29 144A		1,350,000		1,207
5.500%, 5/1/26 144A		275,000		268
Ciena Corp. 4.000%, 1/31/30 144A		325,000		280
CSC Holdings LLC 3.375%, 2/15/31 144A		825,000		610
4.125%, 12/1/30 144A		950,000		741
4.500%, 11/15/31 144A		2,750,000		2,121
4.625%, 12/1/30 144A		1,650,000		1,103
5.250%, 6/1/24		1,425,000		1,332
5.500%, 4/15/27 144A		1,675,000		1,518
5.750%, 1/15/30 144A		4,200,000		3,056
6.500%, 2/1/29 144A		1,450,000		1,309
7.500%, 4/1/28 144A		1,925,000		1,607
Cumulus Media New Holdings, Inc. 6.750%, 7/1/26 144A		1,751,000		1,613
Diamond Sports Group LLC / Diamond Sports Finance Co. 5.375%, 8/15/26 144A		675,000		169
6.625%, 8/15/27 144A		1,900,000		228
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 5.875%, 8/15/27 144A		1,850,000		1,578
DISH DBS Corp. 5.125%, 6/1/29		2,950,000		1,792
5.750%, 12/1/28 144A		1,100,000		814
7.375%, 7/1/28		750,000		510
7.750%, 7/1/26		1,350,000		1,052
Entercom Media Corp. 6.500%, 5/1/27 144A		2,250,000		1,339
6.750%, 3/31/29 144A		1,650,000		879
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.250%, 12/1/27 144A		1,625,000		1,487

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

136

High Yield Bond Portfolio


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Gray Escrow II, Inc. 5.375%, 11/15/31 144A		1,175,000		941
Gray Television, Inc. 4.750%, 10/15/30 144A		525,000		411
5.875%, 7/15/26 144A		2,575,000		2,407
7.000%, 5/15/27 144A		750,000		722
iHeartCommunications, Inc. 4.750%, 1/15/28 144A		425,000		350
5.250%, 8/15/27 144A		1,075,000		920
6.375%, 5/1/26		375,901		348
8.375%, 5/1/27		4,928,194		3,916
Intelsat Jackson Holdings SA - Series B - Contingent Value Rights *,Æ		2,774		10
Intelsat Jackson Holdings SA Escrow 5.500%, 8/1/23 *,Æ		1,525,000		–
8.500%, 10/15/24 *,Æ		800,000		–
9.750%, 7/15/25 *,Æ		475,000		–
Lamar Media Corp. 3.625%, 1/15/31		425,000		348
4.000%, 2/15/30		100,000		84
4.875%, 1/15/29		675,000		608
Match Group, Inc. 4.125%, 8/1/30 144A		2,175,000		1,816
4.625%, 6/1/28 144A		1,450,000		1,315
5.000%, 12/15/27 144A		525,000		487
Midas OpCo Holdings LLC 5.625%, 8/15/29 144A		4,450,000		3,576
Millennium Escrow Corp. 6.625%, 8/1/26 144A		1,225,000		989
News Corp. 5.125%, 2/15/32 144A		175,000		155
Nexstar Broadcasting, Inc. 4.750%, 11/1/28 144A		2,275,000		1,951
5.625%, 7/15/27 144A		3,225,000		2,943
Outfront Media Capital LLC / Outfront Media Capital Corp. 4.250%, 1/15/29 144A		1,150,000		916
4.625%, 3/15/30 144A		1,100,000		867
Scripps Escrow II, Inc. 3.875%, 1/15/29 144A		500,000		419
5.375%, 1/15/31 144A		1,175,000		937
Scripps Escrow, Inc. 5.875%, 7/15/27 144A		1,925,000		1,685
Sinclair Television Group, Inc. 4.125%, 12/1/30 144A		150,000		119
5.125%, 2/15/27 144A		3,975,000		3,351
5.500%, 3/1/30 144A		800,000		589
Sirius XM Radio, Inc. 3.125%, 9/1/26 144A		1,075,000		959
3.875%, 9/1/31 144A		3,025,000		2,409
4.000%, 7/15/28 144A		725,000		627
4.125%, 7/1/30 144A		1,775,000		1,482
5.500%, 7/1/29 144A		925,000		843
Sprint Corp. 7.625%, 2/15/25		700,000		730
TEGNA, Inc. 4.625%, 3/15/28		600,000		561
5.000%, 9/15/29		3,375,000		3,192
Telenet Finance Luxembourg Notes SARL 5.500%, 3/1/28 144A		4,400,000		3,883


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Terrier Media Buyer, Inc. 8.875%, 12/15/27 144A		5,025,000		3,970
T-Mobile USA, Inc. 2.250%, 2/15/26		1,950,000		1,755
2.875%, 2/15/31		650,000		540
3.375%, 4/15/29		1,525,000		1,334
Townsquare Media, Inc. 6.875%, 2/1/26 144A		375,000		334
Twitter, Inc. 5.000%, 3/1/30 144A		700,000		664
Univision Communications, Inc. 4.500%, 5/1/29 144A		1,400,000		1,172
7.375%, 6/30/30 144A		500,000		489
UPC Broadband Finco BV 4.875%, 7/15/31 144A		3,450,000		2,812
Urban One, Inc. 7.375%, 2/1/28 144A		2,050,000		1,755
Viavi Solutions, Inc. 3.750%, 10/1/29 144A		350,000		293
Virgin Media Finance PLC 5.000%, 7/15/30 144A		2,700,000		2,140
Virgin Media Secured Finance PLC 5.500%, 5/15/29 144A		475,000		425
Virgin Media Vendor Financing Notes IV 5.000%, 7/15/28 144A		1,550,000		1,283
VMED O2 UK Financing I PLC 4.250%, 1/31/31 144A		875,000		703
4.750%, 7/15/31 144A		1,475,000		1,192
VZ Secured Financing BV 5.000%, 1/15/32 144A		1,225,000		1,017
Ziggo Bond Co. BV 5.125%, 2/28/30 144A		575,000		451
6.000%, 1/15/27 144A		2,775,000		2,456
Ziggo BV 4.875%, 1/15/30 144A		200,000		170

Total				114,347


Consumer, Cyclical (16.0%)
1011778 BC ULC / New Red Finance, Inc. 3.500%, 2/15/29 144A		525,000		444
3.875%, 1/15/28 144A		1,125,000		976
4.000%, 10/15/30 144A		5,775,000		4,634
4.375%, 1/15/28 144A		1,175,000		1,027
Academy, Ltd. 6.000%, 11/15/27 144A		1,225,000		1,119
Adient Global Holdings, Ltd. 4.875%, 8/15/26 144A		3,450,000		3,028
Affinity Gaming 6.875%, 12/15/27 144A		2,300,000		1,932
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd. 5.500%, 4/20/26 144A		1,150,000		1,057
5.750%, 4/20/29 144A		1,525,000		1,302
American Builders & Contractors Supply Co., Inc. 3.875%, 11/15/29 144A		275,000		220
4.000%, 1/15/28 144A		725,000		621
Aramark Services, Inc. 5.000%, 2/1/28 144A		225,000		204
6.375%, 5/1/25 144A		2,525,000		2,470

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

137

High Yield Bond Portfolio


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Asbury Automotive Group, Inc. 4.625%, 11/15/29 144A		750,000		620
5.000%, 2/15/32 144A		450,000		368
BCPE Empire Holdings, Inc. 7.625%, 5/1/27 144A		4,025,000		3,277
Boyd Gaming Corp. 4.750%, 12/1/27		1,650,000		1,493
4.750%, 6/15/31 144A		575,000		486
Caesars Entertainment, Inc. 4.625%, 10/15/29 144A		825,000		641
5.750%, 7/1/25 144A		1,250,000		1,195
6.250%, 7/1/25 144A		1,600,000		1,542
8.125%, 7/1/27 144A		1,975,000		1,908
CCM Merger, Inc. 6.375%, 5/1/26 144A		275,000		250
Clarios Global LP 6.750%, 5/15/25 144A		135,000		134
Clarios Global LP / Clarios US Finance Co. 6.250%, 5/15/26 144A		270,000		260
8.500%, 5/15/27 144A		6,950,000		6,717
Dana Financing Luxembourg SARL 5.750%, 4/15/25 144A		650,000		621
Dana, Inc. 4.500%, 2/15/32		675,000		499
5.625%, 6/15/28		175,000		151
Dornoch Debt Merger Sub, Inc. 6.625%, 10/15/29 144A		3,625,000		2,677
Ford Motor Credit Co. LLC 2.700%, 8/10/26		725,000		618
3.375%, 11/13/25		3,250,000		2,927
4.000%, 11/13/30		1,975,000		1,600
4.063%, 11/1/24		1,700,000		1,613
4.125%, 8/17/27		1,350,000		1,189
4.271%, 1/9/27		1,675,000		1,502
4.389%, 1/8/26		1,975,000		1,819
5.113%, 5/3/29		2,950,000		2,645
5.125%, 6/16/25		1,600,000		1,528
Foundation Building Materials, Inc. 6.000%, 3/1/29 144A		3,300,000		2,417
The Gap, Inc. 3.625%, 10/1/29 144A		1,050,000		737
3.875%, 10/1/31 144A		475,000		331
GYP Holdings III Corp. 4.625%, 5/1/29 144A		2,475,000		1,930
H&E Equipment Services, Inc. 3.875%, 12/15/28 144A		2,775,000		2,244
Hilton Domestic Operating Co., Inc. 3.625%, 2/15/32 144A		700,000		556
3.750%, 5/1/29 144A		1,150,000		975
4.875%, 1/15/30		500,000		452
5.750%, 5/1/28 144A		550,000		523
IHO Verwaltungs GmbH 4.750%, 9/15/26 144A		2,375,000		2,042
6.000%, 5/15/27 144A		800,000		712
6.375%, 5/15/29 144A		900,000		783
Interface, Inc. 5.500%, 12/1/28 144A		850,000		720
JB Poindexter & Co., Inc. 7.125%, 4/15/26 144A		800,000		768


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
KAR Auction Services, Inc. 5.125%, 6/1/25 144A		2,400,000		2,282
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.750%, 6/1/27 144A		550,000		529
Kontoor Brands, Inc. 4.125%, 11/15/29 144A		450,000		357
MGM Resorts International 6.000%, 3/15/23		1,725,000		1,721
Midwest Gaming Borrower LLC 4.875%, 5/1/29 144A		1,275,000		1,039
Mohegan Gaming & Entertainment 8.000%, 2/1/26 144A		4,050,000		3,443
NMG Holding Co., Inc. / Neiman Marcus Group LLC 7.125%, 4/1/26 144A		950,000		876
Penn National Gaming, Inc. 4.125%, 7/1/29 144A		575,000		436
5.625%, 1/15/27 144A		250,000		219
Raptor Acquisition Corp / Raptor Co-Issuer LLC 4.875%, 11/1/26 144A		200,000		175
Real Hero Merger Sub 2, Inc. 6.250%, 2/1/29 144A		5,025,000		3,811
Scientific Games Holdings LP/Scientific Games US FinCo, Inc. 6.625%, 3/1/30 144A		1,675,000		1,424
Scientific Games International, Inc. 7.250%, 11/15/29 144A		1,250,000		1,172
8.625%, 7/1/25 144A		1,400,000		1,435
SeaWorld Parks & Entertainment, Inc. 5.250%, 8/15/29 144A		2,500,000		2,116
Six Flags Entertainment Corp. 5.500%, 4/15/27 144A		2,400,000		2,178
7.000%, 7/1/25 144A		275,000		278
SRS Distribution, Inc. 6.000%, 12/1/29 144A		2,125,000		1,669
6.125%, 7/1/29 144A		2,375,000		1,874
Station Casinos LLC 4.500%, 2/15/28 144A		2,000,000		1,689
4.625%, 12/1/31 144A		1,300,000		1,014
Suburban Propane Partners LP / Suburban Energy Finance Corp. 5.000%, 6/1/31 144A		2,525,000		2,147
5.875%, 3/1/27		900,000		849
White Cap Buyer LLC 6.875%, 10/15/28 144A		1,825,000		1,460
White Cap Parent LLC 8.250%, 3/15/26 144A		1,450,000		1,207
The William Carter Co. 5.625%, 3/15/27 144A		400,000		375
WMG Acquisition Corp. 3.750%, 12/1/29 144A		800,000		668
3.875%, 7/15/30 144A		325,000		270
Yum! Brands, Inc. 4.625%, 1/31/32		1,625,000		1,436
4.750%, 1/15/30 144A		725,000		658
5.375%, 4/1/32		625,000		577

Total				111,888

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

138

High Yield Bond Portfolio


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical (16.0%)
Acadia Healthcare Co., Inc. 5.000%, 4/15/29 144A		225,000		202
5.500%, 7/1/28 144A		225,000		210
AdaptHealth LLC 4.625%, 8/1/29 144A		1,450,000		1,193
5.125%, 3/1/30 144A		1,425,000		1,201
AHP Health Partners, Inc. 5.750%, 7/15/29 144A		1,025,000		753
Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC 3.250%, 3/15/26 144A		350,000		305
3.500%, 2/15/23 144A		325,000		321
3.500%, 3/15/29 144A		2,050,000		1,659
4.875%, 2/15/30 144A		450,000		386
5.875%, 2/15/28 144A		700,000		654
7.500%, 3/15/26 144A		625,000		622
Allied Universal Holdco LLC 6.000%, 6/1/29 144A		2,225,000		1,616
6.625%, 7/15/26 144A		1,425,000		1,308
9.750%, 7/15/27 144A		4,700,000		3,978
Avantor Funding, Inc. 3.875%, 11/1/29 144A		1,825,000		1,596
4.625%, 7/15/28 144A		2,350,000		2,154
Bausch Health Cos., Inc. 4.875%, (ICE LIBOR USD 3 Month plus 3.000%), 6/1/28 144A		350,000		274
5.000%, 1/30/28 144A		1,200,000		639
5.000%, 2/15/29 144A		625,000		325
5.250%, 1/30/30 144A		1,900,000		982
5.250%, 2/15/31 144A		625,000		320
5.500%, 11/1/25 144A		725,000		637
5.750%, 8/15/27 144A		775,000		642
6.125%, 2/1/27 144A		300,000		255
6.250%, 2/15/29 144A		1,775,000		945
7.250%, 5/30/29 144A		2,200,000		1,194
8.500%, 1/31/27 144A		2,175,000		1,525
9.000%, 12/15/25 144A		850,000		628
9.250%, 4/1/26 144A		525,000		375
Bellring Brands, Inc. 7.000%, 3/15/30 144A		1,850,000		1,744
Catalent Pharma Solutions, Inc. 3.500%, 4/1/30 144A		700,000		571
Centene Corp. 2.625%, 8/1/31		725,000		577
3.000%, 10/15/30		375,000		311
3.375%, 2/15/30		900,000		763
4.250%, 12/15/27		2,400,000		2,240
4.625%, 12/15/29		2,425,000		2,261
Charles River Laboratories International, Inc. 3.750%, 3/15/29 144A		525,000		456
4.000%, 3/15/31 144A		550,000		469
CHS / Community Health Systems, Inc. 5.250%, 5/15/30 144A		1,000,000		760
5.625%, 3/15/27 144A		750,000		635
6.000%, 1/15/29 144A		225,000		186
6.125%, 4/1/30 144A		1,275,000		778
6.875%, 4/15/29 144A		2,825,000		1,822
8.000%, 3/15/26 144A		825,000		751
DaVita, Inc. 4.625%, 6/1/30 144A		975,000		760


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Edgewell Personal Care Co. 4.125%, 4/1/29 144A		1,000,000		825
5.500%, 6/1/28 144A		875,000		796
Embecta Corp. 5.000%, 2/15/30 144A		525,000		441
6.750%, 2/15/30 144A		1,475,000		1,328
Endo Finance LLC / Endo Finco, Inc. 6.000%, 6/30/28 144A		1,100,000		85
Garda World Security Corp. 4.625%, 2/15/27 144A		875,000		753
6.000%, 6/1/29 144A		2,375,000		1,826
Gartner, Inc. 3.750%, 10/1/30 144A		550,000		468
4.500%, 7/1/28 144A		250,000		230
Global Medical Response, Inc. 6.500%, 10/1/25 144A		3,025,000		2,695
Grifols Escrow Issuer SA 4.750%, 10/15/28 144A		475,000		412
GW B-CR Security Corp. 9.500%, 11/1/27 144A		4,969,000		4,545
HCA, Inc. 3.500%, 9/1/30		1,400,000		1,191
5.375%, 2/1/25		1,250,000		1,243
5.875%, 2/15/26		1,050,000		1,055
HealthEquity, Inc. 4.500%, 10/1/29 144A		1,700,000		1,488
Jazz Securities DAC 4.375%, 1/15/29 144A		1,825,000		1,623
Kraft Heinz Foods Co. 5.200%, 7/15/45		1,400,000		1,296
LifePoint Health, Inc. 4.375%, 2/15/27 144A		625,000		536
5.375%, 1/15/29 144A		150,000		110
6.750%, 4/15/25 144A		825,000		797
Mallinckrodt International Finance SA / Mallinckrodt CB LLC 1.000%, 6/15/29 144A		1,839,000		1,287
MEDNAX, Inc. 5.375%, 2/15/30 144A		1,125,000		964
Mozart Debt Merger Sub, Inc. 3.875%, 4/1/29 144A		1,625,000		1,384
5.250%, 10/1/29 144A		5,825,000		4,784
MPH Acquisition Holdings LLC 5.500%, 9/1/28 144A		900,000		801
5.750%, 11/1/28 144A		4,500,000		3,729
The Nielsen Co. Luxembourg SARL 5.000%, 2/1/25 144A		1,275,000		1,246
Nielsen Finance LLC / Nielsen Finance Co. 4.500%, 7/15/29 144A		475,000		429
4.750%, 7/15/31 144A		625,000		562
5.625%, 10/1/28 144A		875,000		813
5.875%, 10/1/30 144A		1,050,000		964
Organon Finance 1 LLC 4.125%, 4/30/28 144A		425,000		376
5.125%, 4/30/31 144A		1,800,000		1,553
Performance Food Group, Inc. 4.250%, 8/1/29 144A		1,425,000		1,190
Post Holdings, Inc. 4.500%, 9/15/31 144A		850,000		695
4.625%, 4/15/30 144A		1,550,000		1,308

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

139

High Yield Bond Portfolio


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
5.500%, 12/15/29 144A		900,000		805
5.625%, 1/15/28 144A		975,000		926
5.750%, 3/1/27 144A		1,405,000		1,361
Prestige Brands, Inc. 3.750%, 4/1/31 144A		700,000		580
5.125%, 1/15/28 144A		425,000		395
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A		3,025,000		2,942
Signal Parent, Inc. 6.125%, 4/1/29 144A		1,950,000		1,219
Syneos Health, Inc. 3.625%, 1/15/29 144A		925,000		783
Team Health Holdings, Inc. 6.375%, 2/1/25 144A		1,875,000		1,309
Teleflex, Inc. 4.250%, 6/1/28 144A		250,000		226
4.625%, 11/15/27		450,000		415
Tenet Healthcare Corp. 4.250%, 6/1/29 144A		225,000		190
4.625%, 7/15/24		576,000		553
4.625%, 6/15/28 144A		125,000		109
4.875%, 1/1/26 144A		1,200,000		1,104
5.125%, 11/1/27 144A		1,450,000		1,305
6.125%, 10/1/28 144A		2,450,000		2,097
6.125%, 6/15/30 144A		775,000		715
6.250%, 2/1/27 144A		1,125,000		1,036
6.750%, 6/15/23		750,000		772
United Rentals North America, Inc. 3.875%, 2/15/31		275,000		232
4.875%, 1/15/28		1,225,000		1,158
5.250%, 1/15/30		425,000		394
5.500%, 5/15/27		400,000		392
US Foods, Inc. 4.625%, 6/1/30 144A		700,000		590
4.750%, 2/15/29 144A		1,500,000		1,311
6.250%, 4/15/25 144A		225,000		224
ZipRecruiter, Inc. 5.000%, 1/15/30 144A		450,000		378

Total				111,332


Diversified (0.2%)
Stena International SA 6.125%, 2/1/25 144A		1,325,000		1,259

Total				1,259


Energy (13.3%)
Antero Midstream Partners LP / Antero Midstream Finance Corp. 5.375%, 6/15/29 144A		2,200,000		1,970
5.750%, 3/1/27 144A		2,375,000		2,209
5.750%, 1/15/28 144A		2,600,000		2,367
7.875%, 5/15/26 144A		675,000		674
Antero Resources Corp. 5.375%, 3/1/30 144A		925,000		843
7.625%, 2/1/29 144A		417,000		424
8.375%, 7/15/26 144A		211,000		223
Archrock Partners LP 6.250%, 4/1/28 144A		1,975,000		1,748
6.875%, 4/1/27 144A		3,100,000		2,827


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Ascent Resources Utica Holdings LLC / ARU Finance Corp. 5.875%, 6/30/29 144A		600,000		528
7.000%, 11/1/26 144A		1,650,000		1,534
8.250%, 12/31/28 144A		575,000		548
9.000%, 11/1/27 144A		414,000		520
Berry Petroleum Co. LLC 7.000%, 2/15/26 144A		875,000		770
Callon Petroleum Co. 6.375%, 7/1/26		900,000		830
7.500%, 6/15/30 144A		250,000		230
8.250%, 7/15/25		425,000		414
Centennial Resource Production LLC 5.375%, 1/15/26 144A		25,000		23
6.875%, 4/1/27 144A		1,725,000		1,638
Cheniere Energy Partners LP 3.250%, 1/31/32 144A		550,000		433
4.000%, 3/1/31		1,500,000		1,275
4.500%, 10/1/29		1,150,000		1,027
Cheniere Energy, Inc. 4.625%, 10/15/28		975,000		878
Chesapeake Energy Corp. 5.875%, 2/1/29 144A		225,000		212
Chesapeake Energy Corp. Escrow 7.000%, 10/1/24 *		1,000,000		18
CNX Midstream Partners LP 4.750%, 4/15/30 144A		1,125,000		945
Comstock Resources, Inc. 5.875%, 1/15/30 144A		650,000		559
6.750%, 3/1/29 144A		2,400,000		2,149
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. 8.000%, 4/1/29 144A		1,375,000		1,277
CrownRock LP / CrownRock Finance, Inc. 5.000%, 5/1/29 144A		325,000		291
5.625%, 10/15/25 144A		3,025,000		2,843
DT Midstream, Inc. 4.375%, 6/15/31 144A		1,450,000		1,214
Endeavor Energy Resources LP / EER Finance, Inc. 5.750%, 1/30/28 144A		850,000		810
6.625%, 7/15/25 144A		775,000		779
Enviva Partners LP / Enviva Partners Finance Corp. 6.500%, 1/15/26 144A		3,600,000		3,478
EQM Midstream Partners LP 4.500%, 1/15/29 144A		1,050,000		852
4.750%, 1/15/31 144A		1,325,000		1,057
5.500%, 7/15/28		1,925,000		1,662
6.000%, 7/1/25 144A		331,000		317
6.500%, 7/1/27 144A		1,825,000		1,697
6.500%, 7/15/48		1,025,000		782
7.500%, 6/1/27 144A		750,000		723
EQT Corp. 3.625%, 5/15/31 144A		500,000		432
3.900%, 10/1/27		425,000		396
5.000%, 1/15/29		350,000		339
Hess Midstream Operations LP 4.250%, 2/15/30 144A		625,000		523
5.500%, 10/15/30 144A		475,000		426

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

140

High Yield Bond Portfolio


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Hess Midstream Partners LP 5.125%, 6/15/28 144A		1,300,000		1,167
Holly Energy Partners LP / Holly Energy Finance Corp. 5.000%, 2/1/28 144A		1,725,000		1,477
6.375%, 4/15/27 144A		425,000		400
Nabors Industries, Ltd. 7.250%, 1/15/26 144A		1,450,000		1,286
7.375%, 5/15/27 144A		225,000		214
7.500%, 1/15/28 144A		950,000		817
NuStar Logistics LP 5.625%, 4/28/27		1,900,000		1,701
Oasis Petroleum, Inc. 6.375%, 6/1/26 144A		525,000		486
Occidental Petroleum Corp. 5.875%, 9/1/25		1,225,000		1,220
6.375%, 9/1/28		125,000		127
6.450%, 9/15/36		1,225,000		1,256
6.625%, 9/1/30		1,400,000		1,442
8.000%, 7/15/25		625,000		658
8.875%, 7/15/30		1,600,000		1,837
PDC Energy, Inc. 5.750%, 5/15/26		1,525,000		1,423
6.125%, 9/15/24		213,000		212
Precision Drilling Corp. 6.875%, 1/15/29 144A		375,000		336
7.125%, 1/15/26 144A		1,175,000		1,105
Range Resources Corp. 4.750%, 2/15/30 144A		475,000		426
4.875%, 5/15/25		350,000		341
5.000%, 3/15/23		113,000		112
8.250%, 1/15/29		875,000		892
Rattler Midstream LP 5.625%, 7/15/25 144A		875,000		875
Rockcliff Energy II LLC 5.500%, 10/15/29 144A		1,025,000		933
SM Energy Co. 5.625%, 6/1/25		1,000,000		945
6.500%, 7/15/28		200,000		184
6.625%, 1/15/27		250,000		234
6.750%, 9/15/26		1,100,000		1,038
Southwestern Energy Co. 4.750%, 2/1/32		725,000		620
5.375%, 3/15/30		300,000		276
8.375%, 9/15/28		1,100,000		1,159
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 5.750%, 4/15/25		1,675,000		1,311
Tap Rock Resources LLC 7.000%, 10/1/26 144A		1,175,000		1,109
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.000%, 1/15/28		1,675,000		1,595
5.500%, 3/1/30		2,250,000		2,147
6.500%, 7/15/27		300,000		307
TerraForm Power Operating LLC 4.750%, 1/15/30 144A		1,725,000		1,477
5.000%, 1/31/28 144A		1,775,000		1,608


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
TransMontaigne Partners LP / TLP Finance Corp. 6.125%, 2/15/26		1,175,000		1,038
Ultra Resources, Inc. Contingent Value Rights *,Æ		1,380		–
USA Compression Finance Corp. 6.875%, 4/1/26		3,550,000		3,229
USA Compression Partners LP / USA Compression Finance Corp. 6.875%, 9/1/27		1,475,000		1,309
Western Gas Partners LP 4.500%, 3/1/28		1,100,000		996
5.300%, 3/1/48		2,650,000		2,136
5.450%, 4/1/44		650,000		540
5.500%, 8/15/48		400,000		326
Western Midstream Operating LP 4.550%, 2/1/30		325,000		281
4.650%, 7/1/26		175,000		165

Total				92,487


Financial (7.9%)
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.750%, 10/15/27 144A		1,550,000		1,375
AmWINS Group, Inc. 4.875%, 6/30/29 144A		2,575,000		2,109
Ardonagh Midco 2 PLC 11.500%, 1/15/27 144A Þ		2,264,571		2,359
AssuredPartners, Inc. 5.625%, 1/15/29 144A		1,300,000		1,041
7.000%, 8/15/25 144A		3,250,000		3,053
BroadStreet Partners, Inc. 5.875%, 4/15/29 144A		5,375,000		4,205
Cushman & Wakefield US Borrower LLC 6.750%, 5/15/28 144A		400,000		371
GTCR AP Finance, Inc. 8.000%, 5/15/27 144A		1,725,000		1,615
HUB International, Ltd. 5.625%, 12/1/29 144A		2,575,000		2,127
7.000%, 5/1/26 144A		9,925,000		9,333
LD Holdings Group LLC 6.125%, 4/1/28 144A		1,575,000		960
Navient Corp. 5.000%, 3/15/27		450,000		370
5.500%, 3/15/29		1,650,000		1,272
6.750%, 6/25/25		1,175,000		1,060
6.750%, 6/15/26		350,000		310
NFP Corp. 6.875%, 8/15/28 144A		6,950,000		5,734
Rocket Mortgage LLC / Rocket Mortgage Co- Issuer, Inc. 2.875%, 10/15/26 144A		1,200,000		992
3.625%, 3/1/29 144A		1,475,000		1,160
3.875%, 3/1/31 144A		1,525,000		1,143
4.000%, 10/15/33 144A		1,200,000		852
Ryan Specialty Group LLC 4.375%, 2/1/30 144A		650,000		565
United Shore Financial Services LLC 5.500%, 11/15/25 144A		2,950,000		2,527

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

141

High Yield Bond Portfolio


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
United Wholesale Mortgage LLC 5.500%, 4/15/29 144A		1,725,000		1,321
5.750%, 6/15/27 144A		725,000		581
USIS Merger Sub, Inc. 6.875%, 5/1/25 144A		4,775,000		4,608
VICI Properties LP / VICI Note Co., Inc. 3.500%, 2/15/25 144A		125,000		117
3.875%, 2/15/29 144A		200,000		172
4.250%, 12/1/26 144A		1,125,000		1,027
4.500%, 9/1/26 144A		450,000		414
4.625%, 6/15/25 144A		400,000		381
4.625%, 12/1/29 144A		1,350,000		1,207
5.625%, 5/1/24 144A		475,000		469
5.750%, 2/1/27 144A		225,000		214

Total				55,044


Health Care (0.3%)
IQVIA, Inc. 5.000%, 10/15/26 144A		1,375,000		1,309
5.000%, 5/15/27 144A		750,000		710

Total				2,019


Industrial (11.7%)
ARD Finance SA 6.500%, 6/30/27 144A		3,057,214		2,268
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. 4.000%, 9/1/29 144A		1,975,000		1,585
5.250%, 8/15/27 144A		6,400,000		4,564
Ball Corp. 2.875%, 8/15/30		1,575,000		1,268
3.125%, 9/15/31		300,000		242
Berry Global Escrow Corp. 4.875%, 7/15/26 144A		1,125,000		1,074
5.625%, 7/15/27 144A		1,150,000		1,100
Clydesdale Acquisition Holdings, Inc. 8.750%, 4/15/30 144A		6,900,000		5,952
Cornerstone Building Brands, Inc. 6.125%, 1/15/29 144A		900,000		578
CP Atlas Buyer, Inc. 7.000%, 12/1/28 144A		3,500,000		2,528
Crown Americas LLC 5.250%, 4/1/30 144A		400,000		375
Crown Americas LLC / Crown Americas Capital Corp. VI 4.750%, 2/1/26		1,175,000		1,118
Energizer Holdings, Inc. 4.375%, 3/31/29 144A		2,400,000		1,843
4.750%, 6/15/28 144A		900,000		714
6.500%, 12/31/27 144A		575,000		504
Gates Global LLC / Gates Global Co. 6.250%, 1/15/26 144A		5,050,000		4,684
Graphic Packaging International LLC 3.500%, 3/15/28 144A		425,000		366
3.500%, 3/1/29 144A		450,000		378
3.750%, 2/1/30 144A		175,000		148
4.750%, 7/15/27 144A		500,000		472
II-VI, Inc. 5.000%, 12/15/29 144A		1,800,000		1,571


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
Koppers, Inc. 6.000%, 2/15/25 144A		3,850,000		3,575
Madison IAQ LLC 4.125%, 6/30/28 144A		250,000		206
5.875%, 6/30/29 144A		4,800,000		3,678
Mauser Packaging Solutions 5.500%, 4/15/24 144A		975,000		931
7.250%, 4/15/25 144A		2,450,000		2,138
MIWD Holdco II LLC / MIWD Finance Corp. 5.500%, 2/1/30 144A		375,000		302
OI European Group BV 4.750%, 2/15/30 144A		450,000		377
Owens-Brockway Glass Container, Inc. 5.375%, 1/15/25 144A		2,075,000		1,950
5.875%, 8/15/23 144A		597,000		591
6.375%, 8/15/25 144A		925,000		883
6.625%, 5/13/27 144A		375,000		350
Redwood Star Merger Sub, Inc. 8.750%, 4/1/30 144A		2,450,000		2,052
Sealed Air Corp. 5.000%, 4/15/29 144A		550,000		514
Standard Industries, Inc. 3.375%, 1/15/31 144A		725,000		535
4.375%, 7/15/30 144A		1,425,000		1,124
4.750%, 1/15/28 144A		1,325,000		1,133
5.000%, 2/15/27 144A		3,375,000		3,012
TK Elevator Holdco GmbH 5.250%, 7/15/27 144A		2,175,000		1,939
TK Elevator US Newco, Inc. 7.625%, 7/15/28 144A		1,121,000		1,006
TransDigm UK Holdings PLC 6.875%, 5/15/26		1,775,000		1,655
TransDigm, Inc. 4.625%, 1/15/29		2,275,000		1,831
4.875%, 5/1/29		775,000		631
5.500%, 11/15/27		1,250,000		1,060
6.250%, 3/15/26 144A		2,650,000		2,554
6.375%, 6/15/26		1,850,000		1,730
7.500%, 3/15/27		675,000		637
Trident TPI Holdings, Inc. 6.625%, 11/1/25 144A		2,225,000		2,041
9.250%, 8/1/24 144A		1,450,000		1,327
Trivium Packaging Finance BV 5.500%, 8/15/26 144A		525,000		496
8.500%, 8/15/27 144A		3,550,000		3,328
TTM Technologies, Inc. 4.000%, 3/1/29 144A		950,000		799
Watco Cos. LLC / Watco Finance Corp. 6.500%, 6/15/27 144A		2,150,000		1,969
WESCO Distribution, Inc. 7.125%, 6/15/25 144A		775,000		773
7.250%, 6/15/28 144A		1,075,000		1,063

Total				81,522


Technology (6.8%)
AMG AG 7.000%, 7/31/25 144A		1,050,000		1,001
Black Knight InfoServ LLC 3.625%, 9/1/28 144A		1,225,000		1,060

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

142

High Yield Bond Portfolio


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
Booz Allen Hamilton, Inc. 3.875%, 9/1/28 144A		400,000		354
4.000%, 7/1/29 144A		250,000		218
Boxer Parent Co., Inc. 9.125%, 3/1/26 144A		375,000		350
CDW LLC / CDW Finance Corp. 3.250%, 2/15/29		200,000		169
Central Parent, Inc. / Central Merger Sub, Inc. 7.250%, 6/15/29 144A		1,950,000		1,877
Clarivate Science Holdings Corp. 3.875%, 7/1/28 144A		350,000		292
4.875%, 7/1/29 144A		1,775,000		1,457
Condor Merger Sub, Inc. 7.375%, 2/15/30 144A		4,625,000		3,759
Consensus Cloud Solutions, Inc. 6.000%, 10/15/26 144A		725,000		624
6.500%, 10/15/28 144A		1,500,000		1,238
Diebold Nixdorf, Inc. 9.375%, 7/15/25 144A		325,000		227
The Dun & Bradstreet Corp. 5.000%, 12/15/29 144A		1,175,000		1,015
Elastic NV 4.125%, 7/15/29 144A		1,800,000		1,503
Entegris Escrow Corp. 5.950%, 6/15/30 144A		675,000		642
Entegris, Inc. 3.625%, 5/1/29 144A		725,000		606
Fair Isaac Corp. 4.000%, 6/15/28 144A		625,000		554
Helios Software Holdings, Inc. 4.625%, 5/1/28 144A		1,800,000		1,429
Logan Merger Sub, Inc. 5.500%, 9/1/27 144A		2,875,000		2,002
Minerva Merger Sub, Inc. 6.500%, 2/15/30 144A		5,475,000		4,553
NCR Corp. 5.000%, 10/1/28 144A		875,000		742
5.125%, 4/15/29 144A		1,475,000		1,248
5.250%, 10/1/30 144A		1,425,000		1,229
5.750%, 9/1/27 144A		1,025,000		910
6.125%, 9/1/29 144A		650,000		562
ON Semiconductor Corp. 3.875%, 9/1/28 144A		675,000		594
Open Text Corp. 3.875%, 2/15/28 144A		800,000		712
3.875%, 12/1/29 144A		125,000		105
4.125%, 2/15/30 144A		800,000		692
4.125%, 12/1/31 144A		300,000		248
PTC, Inc. 4.000%, 2/15/28 144A		500,000		452
Rackspace Technology Global, Inc. 3.500%, 2/15/28 144A		1,825,000		1,430
5.375%, 12/1/28 144A		2,675,000		1,748
Roblox Corp. 3.875%, 5/1/30 144A		1,375,000		1,115
Rocket Software, Inc. 6.500%, 2/15/29 144A		2,925,000		2,114


Corporate Bonds (94.1%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
Science Applications International Corp. 4.875%, 4/1/28 144A		500,000		466
Seagate HDD Cayman 3.125%, 7/15/29		1,475,000		1,157
3.375%, 7/15/31		1,225,000		952
Sensata Technologies, Inc. 3.750%, 2/15/31 144A		225,000		180
SS&C Technologies, Inc. 5.500%, 9/30/27 144A		3,600,000		3,357
Synaptics, Inc. 4.000%, 6/15/29 144A		575,000		467
Veritas US, Inc. / Veritas Bermuda, Ltd. 7.500%, 9/1/25 144A		2,425,000		1,820

Total				47,230


Utilities (2.1%)
AmeriGas Partners LP / AmeriGas Finance Corp. 5.625%, 5/20/24		425,000		410
5.750%, 5/20/27		550,000		503
5.875%, 8/20/26		2,350,000		2,192
Calpine Corp. 3.750%, 3/1/31 144A		1,250,000		1,017
4.500%, 2/15/28 144A		1,575,000		1,430
4.625%, 2/1/29 144A		350,000		291
5.000%, 2/1/31 144A		200,000		162
5.125%, 3/15/28 144A		1,075,000		946
5.250%, 6/1/26 144A		299,000		284
NRG Energy, Inc. 3.875%, 2/15/32 144A		2,300,000		1,827
5.250%, 6/15/29 144A		775,000		692
5.750%, 1/15/28		225,000		204
6.625%, 1/15/27		625,000		612
Solaris Midstream Holdings LLC 7.625%, 4/1/26 144A		650,000		615
Vistra Operations Co. LLC 5.000%, 7/31/27 144A		1,100,000		1,000
5.500%, 9/1/26 144A		900,000		850
5.625%, 2/15/27 144A		1,925,000		1,810

Total				14,845


Total Corporate Bonds
(Cost: $770,196)				656,109


Short-Term Investments (3.6%)

Money Market Funds (3.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%#		25,027,161		25,027

Total				25,027


Total Short-Term Investments
(Cost: $25,027)				25,027


Total Investments (98.3%)
(Cost: $797,981)@				685,081

Other Assets, Less Liabilities (1.7%)				11,964

Net Assets (100.0%)				697,045

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

143

High Yield Bond Portfolio

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

144A

Þ	PIK - Payment In Kind. PIK rate of Ardonagh Midco 2 PLC 12.75%.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $797,981 and the net unrealized depreciation of investments based on that cost was $112,900 which is comprised of $2,926 aggregate gross unrealized appreciation and $115,826 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 Investments at June 30, 2022. 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
Energy	$	-	$	-	$	2,164
All Others		1,781		-		-
Corporate Bonds
Communications		-		114,337		10
Energy		-		92,487		-
All Others		-		449,275		-
Short-Term Investments		25,027		-		-
Total Assets:	$	26,808	$	656,099	$	2,174

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

144

Multi-Sector Bond Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Corporate Bonds		53.9	%
Short-Term Investments & Other Net Assets		16.7	%
Governments		14.8	%
Structured Products		9.4	%
Bank Loan Obligations		4.3	%
Municipal Bonds		0.7	%
Convertible Corporate Bonds		0.1	%
Common Stocks		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.

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.

145

Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Common Stocks (0.1%)	Shares/ Par⁺		Value $ (000’s)

Energy (0.1%)
Constellation Oil - Class B *,Æ,d		112,235		12
Noble Corp. PLC *,d		22,787		578
Valaris, Ltd. *		1,429		60

Total				650


Telecommunications (0.0%)
Intelsat Emergence SA *,Æ		9,427		264

Total				264


Total Common Stocks
(Cost: $1,121)				914


Corporate Bonds (53.9%)

Basic Materials (1.7%)
ALROSA Finance SA 3.100%, 6/25/27 144A j		8,500,000		425
4.650%, 4/9/24 144A j		500,000		25
Georgia-Pacific LLC 8.875%, 5/15/31		200,000		263
INEOS Finance PLC 2.875%, 5/1/26 144A EUR ∞		2,700,000		2,462
2.875%, 5/1/26 EUR §,∞		3,400,000		3,101
INEOS Styrolution Group GmbH 2.250%, 1/16/27 144A EUR ∞		200,000		162
2.250%, 1/16/27 EUR §,∞		3,200,000		2,584
MMK International Capital DAC 4.375%, 6/13/24 144A j		1,400,000		364
Sasol Financing USA LLC 5.875%, 3/27/24		500,000		489
Syngenta Finance NV 4.441%, 4/24/23 144A		200,000		202
4.892%, 4/24/25 144A		5,900,000		5,915
5.182%, 4/24/28 144A		2,800,000		2,834

Total				18,826


Communications (6.2%)
Altice Financing SA 3.000%, 1/15/28 EUR §,∞		200,000		156
4.250%, 8/15/29 EUR §,∞		2,300,000		1,814
5.750%, 8/15/29 144A		5,400,000		4,333
Altice France Holding SA 6.000%, 2/15/28 144A		1,700,000		1,207
8.000%, 5/15/27 EUR §,∞		1,000,000		859
Altice France SA 4.000%, 7/15/29 144A EUR ∞		1,850,000		1,414
4.000%, 7/15/29 EUR §,∞		1,400,000		1,070
4.250%, 10/15/29 144A EUR ∞		400,000		312
5.500%, 10/15/29 144A		800,000		611
8.125%, 2/1/27 144A		3,200,000		2,945
AT&T, Inc. 3.500%, 9/15/53		237,000		180
3.650%, 9/15/59 ß		6,663,000		4,990
3.800%, 12/1/57		115,000		89


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%, 2/1/31 144A		2,500,000		2,037
4.500%, 6/1/33 144A		800,000		630
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 4.200%, 3/15/28		1,700,000		1,588
4.800%, 3/1/50		200,000		158
5.125%, 7/1/49 ß		3,300,000		2,731
5.375%, 4/1/38		100,000		89
CommScope, Inc. 4.750%, 9/1/29 144A		5,700,000		4,598
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A		1,800,000		1,617
Deutsche Telekom International Finance 8.750%, 6/15/30		475,000		586
DISH DBS Corp. 5.750%, 12/1/28 144A		5,200,000		3,850
Iliad Holding SASU 6.500%, 10/15/26 144A		2,700,000		2,430
Intelsat Jackson Holdings SA 6.500%, 3/15/30 144A		703,000		580
Intelsat Jackson Holdings SA - Series A - Contingent Value Rights *,Æ		986		5
Intelsat Jackson Holdings SA - Series B - Contingent Value Rights *,Æ		986		4
Intelsat Jackson Holdings SA Escrow 5.500%, 8/1/23 *,Æ		700,000		–
8.500%, 10/15/24 *,Æ		200,000		–
9.750%, 7/15/25 *,Æ		100,000		–
Lumen Technologies, Inc. 4.000%, 2/15/27 144A		100,000		85
Prosus NV 2.778%, 1/19/34 144A EUR ∞		500,000		363
3.257%, 1/19/27 144A		500,000		435
3.680%, 1/21/30 §		1,700,000		1,354
4.193%, 1/19/32 144A		500,000		399
Sprint Corp. 7.125%, 6/15/24		100,000		103
7.875%, 9/15/23 ß		6,400,000		6,597
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A		1,300,000		1,310
Summer (BC) Bidco B LLC 5.500%, 10/31/26 144A		400,000		358
Time Warner Cable LLC 5.875%, 11/15/40		300,000		275
6.750%, 6/15/39		200,000		199
United Group BV 5.250%, 2/1/30 144A EUR ∞		1,000,000		773
UPC Broadband Finco BV 4.875%, 7/15/31 144A		4,800,000		3,912

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

146

Multi-Sector Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Virgin Media Secured Finance PLC 4.125%, 8/15/30 GBP §,∞		1,200,000		1,163
4.250%, 1/15/30 GBP §,∞		3,200,000		3,134
VMED O2 UK Financing I PLC 3.250%, 1/31/31 EUR §,∞		1,200,000		966
4.000%, 1/31/29 144A GBP ∞		2,600,000		2,511
4.000%, 1/31/29 GBP §,∞		500,000		483
4.500%, 7/15/31 144A GBP ∞		400,000		383
4.750%, 7/15/31 144A		1,100,000		889
Vodafone Group PLC
7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79 ß		1,700,000		1,668

Total				68,243


Consumer, Cyclical (8.1%)
Adient Global Holdings, Ltd. 3.500%, 8/15/24 EUR §,∞		400,000		379
Air Canada Pass-Through Trust, Series 2020-2, Class A 5.250%, 10/1/30 144A		811,445		811
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A 4.800%, 2/15/29 144A		176,484		174
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700%, 4/1/28		180,088		156
American Airlines Pass-Through Trust, Series 2015-1, Class A 3.375%, 11/1/28		325,534		292
American Airlines Pass-Through Trust, Series 2016-1, Class AA 3.575%, 7/15/29		811,938		754
American Airlines Pass-Through Trust, Series 2017-2, Class AA 3.350%, 4/15/31		156,702		144
BMW Finance NV 2.250%, 8/12/22 144A		400,000		400
British Airways Pass-Through Trust, Series 2020-1, Class A 2.900%, 9/15/36 144A		398,883		351
4.250%, 5/15/34 144A		111,139		107
Caesars Entertainment, Inc. 5.750%, 7/1/25 144A		7,300,000		6,981
Delta Air Lines, Inc. 7.000%, 5/1/25 144A		877,000		888
Delta Air Lines, Inc./SkyMiles IP, Ltd. 4.500%, 10/20/25 144A		300,000		291
Ford Motor Co. 3.250%, 2/12/32		400,000		299
Ford Motor Credit Co. LLC 0.092%, (Euribor 3 Month ACT/360 plus 0.420%), 12/7/22 EUR ∞		400,000		415
0.324%, (Euribor 3 Month ACT/360 plus 0.730%), 11/15/23 EUR ∞		100,000		101
0.346%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR ∞		1,300,000		1,266
1.744%, 7/19/24 EUR ∞		200,000		193
2.330%, 11/25/25 EUR ∞		100,000		93
2.386%, 2/17/26 EUR ∞		100,000		92
2.748%, 6/14/24 GBP ∞		700,000		786


Corporate Bonds (53.9%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Cyclical continued
3.021%, 3/6/24 EUR ∞		900,000		904
3.250%, 9/15/25 EUR ∞		300,000		288
3.350%, 11/1/22		1,400,000		1,390
3.625%, 6/17/31 ß		2,900,000		2,247
3.815%, 11/2/27		300,000		255
4.063%, 11/1/24 ß		3,200,000		3,036
4.134%, 8/4/25		200,000		189
4.389%, 1/8/26		800,000		737
4.535%, 3/6/25 GBP ∞		100,000		114
4.950%, 5/28/27		200,000		186
5.584%, 3/18/24		600,000		597
General Motors Financial Co., Inc. 5.100%, 1/17/24		1,200,000		1,212
IHO Verwaltungs GmbH 3.625%, 5/15/25 EUR §,∞		800,000		730
3.750%, 9/15/26 EUR §,∞		5,100,000		4,431
Jaguar Land Rover Automotive PLC 3.875%, 3/1/23 GBP §,∞		2,500,000		2,921
4.500%, 7/15/28 EUR §,∞		200,000		150
5.875%, 11/15/24 EUR §,∞		2,300,000		2,212
JetBlue Airways Corp. 4.000%, 5/15/34		811,660		754
John Lewis PLC 4.250%, 12/18/34 GBP §,∞		1,000,000		912
Las Vegas Sands Corp. 3.500%, 8/18/26		100,000		87
3.900%, 8/8/29		100,000		82
Marks & Spencer PLC 4.500%, 7/10/27 GBP §,∞		300,000		311
6.000%, 6/12/25 GBP §,∞		1,000,000		1,183
Mattel, Inc. 3.375%, 4/1/26 144A		100,000		92
Melco Resorts Finance, Ltd. 4.875%, 6/6/25 144A		5,700,000		4,252
5.375%, 12/4/29 144A		700,000		420
Mitchells & Butlers Finance PLC 1.605%, (SONIO plus 0.569%), 12/15/30 GBP §,∞		989,802		1,134
2.279%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §		179,964		164
6.469%, 9/15/32 GBP §,∞		200,000		250
Nissan Motor Acceptance Corp. 2.000%, 3/9/26 144A		400,000		346
Nissan Motor Co., Ltd. 2.652%, 3/17/26 EUR §,∞		100,000		98
3.201%, 9/17/28 144A EUR ∞		500,000		465
4.345%, 9/17/27 144A		6,400,000		5,874
4.810%, 9/17/30 144A		500,000		444
Pinnacle Bidco PLC 5.500%, 2/15/25 EUR §,∞		100,000		94
6.375%, 2/15/25 GBP §,∞		400,000		435
Renault SA 1.250%, 6/24/25 EUR §,∞		900,000		816
2.375%, 5/25/26 EUR §,∞		4,800,000		4,305
Royal Caribbean Cruises, Ltd. 9.125%, 6/15/23 144A		1,100,000		1,088
Sands China, Ltd. 2.550%, 3/8/27 144A		400,000		291
3.250%, 8/8/31 144A		1,100,000		726
3.800%, 1/8/26		1,700,000		1,362

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

147

Multi-Sector Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
5.400%, 8/8/28 ß		3,200,000		2,464
Southwest Airlines Co. 5.250%, 5/4/25		1,000,000		1,019
Toll Brothers Finance Corp. 4.350%, 2/15/28		100,000		90
4.875%, 3/15/27		1,200,000		1,136
Travis Perkins PLC 4.500%, 9/7/23 GBP §,∞		1,900,000		2,211
United Airlines Pass-Through Trust, Series 2014-1, Class A 4.000%, 10/11/27		615,541		579
United Airlines Pass-Through Trust, Series 2019-2, Class A 2.900%, 11/1/29		90,448		79
United Airlines Pass-Through Trust, Series 2020-1, Class A 5.875%, 4/15/29 ß		2,455,841		2,413
US Airways Pass-Through Trust, Series 2012- 1, Class A 5.900%, 4/1/26		637,893		636
Volkswagen Financial Services AG 0.875%, 4/12/23 EUR §,∞		200,000		209
Volkswagen International Finance NV 3.875%, (9 Year EUR Annual Swap Rate plus 3.958%), 6/17/29 EUR §,µ,∞		2,100,000		1,822
Volkswagen Leasing GmbH 2.625%, 1/15/24 EUR §,∞		1,800,000		1,900
Wynn Macau, Ltd. 4.875%, 10/1/24 144A		4,100,000		3,049
5.125%, 12/15/29 144A		1,100,000		681
5.500%, 1/15/26 144A		200,000		138
5.500%, 1/15/26 §		500,000		346
5.500%, 10/1/27 144A		200,000		129
5.500%, 10/1/27 §		200,000		129
5.625%, 8/26/28 144A		300,000		185
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125%, 10/1/29 144A		800,000		630
ZF Europe Finance BV 2.000%, 2/23/26 EUR §,∞		2,000,000		1,732
ZF Finance GmbH 2.750%, 5/25/27 EUR §,∞		4,300,000		3,550
3.750%, 9/21/28 EUR §,∞		2,000,000		1,644

Total				89,328


Consumer, Non-cyclical (3.9%)
AA Bond Co., Ltd. 2.750%, 7/31/43 GBP §,∞		100,000		119
4.875%, 7/31/43 GBP §,∞		1,200,000		1,450
AbbVie, Inc. 1.500%, 11/15/23 EUR ∞		400,000		418
Abertis Infraestructuras SA 1.625%, 7/15/29 EUR §,∞		500,000		445
1.875%, 3/26/32 EUR §,∞		600,000		508
3.000%, 3/27/31 EUR §,∞		600,000		569
3.375%, 11/27/26 GBP §,∞		2,100,000		2,414
Albion Financing 1 SARL / Aggreko Holdings, Inc. 5.250%, 10/15/26 EUR §,∞		1,600,000		1,398
6.125%, 10/15/26 144A		300,000		257


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas LuxCo 4 SARL 3.625%, 6/1/28 144A EUR ∞		1,400,000		1,104
Atlantia SpA 1.625%, 2/3/25 EUR §,∞		1,200,000		1,141
1.875%, 7/13/27 EUR §,∞		400,000		339
1.875%, 2/12/28 EUR §,∞		5,500,000		4,464
Bacardi, Ltd. 4.700%, 5/15/28 144A		2,900,000		2,864
BAT Capital Corp. 3.222%, 8/15/24		100,000		97
3.557%, 8/15/27		500,000		457
Bellis Acquisition Co. PLC 3.250%, 2/16/26 GBP §,∞		4,000,000		3,774
Centene Corp. 4.250%, 12/15/27		200,000		187
4.625%, 12/15/29		500,000		466
Constellation Brands, Inc. 3.700%, 12/6/26		200,000		195
Coty, Inc. 5.000%, 4/15/26 144A		2,900,000		2,657
CVS Pass-Through Trust 4.704%, 1/10/36 144A		366,064		351
5.926%, 1/10/34 144A		612,981		629
7.507%, 1/10/32 144A		61,759		67
DaVita, Inc. 4.625%, 6/1/30 144A		1,900,000		1,482
Imperial Brands Finance PLC 3.500%, 7/26/26 144A		200,000		187
Loxam SAS 2.875%, 4/15/26 EUR §,∞		100,000		89
3.250%, 1/14/25 EUR §,∞		900,000		849
Market Bidco Finco PLC 4.750%, 11/4/27 144A EUR ∞		1,898,000		1,575
Nexi SpA 2.125%, 4/30/29 EUR §,∞		3,700,000		2,695
Nielsen Finance LLC / Nielsen Finance Co. 4.500%, 7/15/29 144A		600,000		542
4.750%, 7/15/31 144A		900,000		810
Organon & Co. / Organon Foreign Debt Co-Issuer BV 2.875%, 4/30/28 EUR §,∞		3,500,000		3,063
Organon Finance 1 LLC 2.875%, 4/30/28 144A EUR ∞		400,000		350
4.125%, 4/30/28 144A		1,100,000		973
Perrigo Finance Unlimited Co. 4.400%, 6/15/30		200,000		179
Q-Park Holding I BV 1.500%, 3/1/25 EUR §,∞		1,200,000		1,090
2.000%, 3/1/27 EUR §,∞		2,000,000		1,666
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A		500,000		486
Teva Pharmaceutical Finance Netherlands II BV 4.500%, 3/1/25 EUR ∞		800,000		782

Total				43,188

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

148

Multi-Sector Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Diversified (0.1%)
Stena International SA 6.125%, 2/1/25 144A		400,000		380

Total				380


Energy (7.8%)
Aker BP ASA 3.750%, 1/15/30 144A		400,000		358
Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.625%, 7/15/26 144A		100,000		90
Boardwalk Pipelines LP 3.400%, 2/15/31		200,000		171
CGG SA 7.750%, 4/1/27 EUR §,∞		200,000		178
8.750%, 4/1/27 144A		3,400,000		2,890
Cheniere Corpus Christi Holdings LLC 5.125%, 6/30/27		100,000		100
Cheniere Energy Partners LP 4.000%, 3/1/31		1,400,000		1,190
Continental Resources, Inc. 4.375%, 1/15/28		1,400,000		1,316
El Paso Natural Gas Co. LLC 8.375%, 6/15/32		200,000		233
Energy Transfer LP 2.900%, 5/15/25		100,000		95
3.600%, 2/1/23		100,000		100
3.750%, 5/15/30		200,000		180
4.950%, 5/15/28		1,200,000		1,173
5.000%, 5/15/50		200,000		170
5.250%, 4/15/29		100,000		99
6.050%, 6/1/41		100,000		96
6.500%, 2/1/42		300,000		299
6.625%, 10/15/36		500,000		502
7.500%, 7/1/38 ß		1,700,000		1,821
EQT Corp. 6.625%, 2/1/25 ß		5,500,000		5,658
Gazprom PJSC via Gaz Finance PLC 3.500%, 7/14/31 §		600,000		165
Gray Oak Pipeline LLC 3.450%, 10/15/27 144A		500,000		457
Greenko Solar Mauritius, Ltd. 5.550%, 1/29/25 144A		1,000,000		936
Kinder Morgan Energy Partners LP 6.550%, 9/15/40 ß		2,382,000		2,476
Kinder Morgan, Inc. 7.750%, 1/15/32		1,216,000		1,419
Midwest Connector Capital Co. LLC 3.900%, 4/1/24 144A		200,000		196
MPLX LP 4.250%, 12/1/27		100,000		96
NGPL PipeCo LLC 7.768%, 12/15/37 144A		3,900,000		4,244
Noble Corp. PLC 11.000%, 2/15/28 144A		32,532		35
11.000%, 2/15/28		45,537		49
NuStar Logistics LP 5.625%, 4/28/27		1,400,000		1,253
6.000%, 6/1/26		200,000		187
Occidental Petroleum Corp. 5.500%, 12/1/25 ß		4,300,000		4,236


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
5.875%, 9/1/25		700,000		697
Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%, 12/1/26 §,Þ		1,694,036		1,041
Odebrecht Oil & Gas Finance, Ltd. 0.000%, 8/5/22 §,µ		782,000		2
Patterson-UTI Energy, Inc. 5.150%, 11/15/29		600,000		514
Pertamina Persero PT 6.500%, 11/7/48 144A		3,800,000		3,838
Petrobras Global Finance BV 5.375%, 10/1/29 GBP ∞,ß		1,800,000		1,931
5.500%, 6/10/51		100,000		76
6.250%, 12/14/26 GBP ∞		200,000		236
6.625%, 1/16/34 GBP ∞		300,000		335
6.900%, 3/19/49		300,000		268
Petroleos de Venezuela SA 5.375%, 4/12/27 §,j		6,500,000		364
5.500%, 4/12/37 §,j		4,300,000		241
Petroleos Mexicanos 2.750%, 4/21/27 EUR §,∞		1,100,000		863
4.750%, 2/26/29 EUR §,∞		3,500,000		2,736
4.875%, 2/21/28 EUR §,∞		600,000		497
5.625%, 1/23/46		378,000		214
5.950%, 1/28/31 ß		4,300,000		3,145
6.350%, 2/12/48		100,000		59
6.625%, 6/15/35 ß		4,200,000		2,864
6.625%, 6/15/38		2,000,000		1,318
6.700%, 2/16/32 ß		4,536,000		3,459
6.750%, 9/21/47 ß		2,900,000		1,791
7.690%, 1/23/50		1,880,000		1,278
Petrorio Luxembourg SARL 6.125%, 6/9/26 144A		200,000		184
Plains All American Pipeline LP / PAA Finance Corp. 4.900%, 2/15/45		1,100,000		885
6.650%, 1/15/37		277,000		276
Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.838%, 9/30/27 144A		1,996,860		2,074
Regency Energy Partners LP / Regency Energy Finance Corp. 4.500%, 11/1/23		300,000		302
5.000%, 10/1/22		1,100,000		1,101
Rio Oil Finance Trust, Series 2014-1 9.250%, 7/6/24 144A		775,769		803
9.250%, 7/6/24 §		678,798		703
Rio Oil Finance Trust, Series 2014-3 9.750%, 1/6/27 §		328,388		348
SA Global Sukuk, Ltd. 2.694%, 6/17/31 144A		500,000		439
Sabine Pass Liquefaction LLC 4.500%, 5/15/30		700,000		671
5.625%, 3/1/25 ß		4,900,000		4,998
5.750%, 5/15/24		800,000		816
5.875%, 6/30/26		400,000		413
Santos Finance, Ltd. 3.649%, 4/29/31 144A		700,000		594
Southwestern Energy Co. 5.375%, 2/1/29		100,000		93
Tallgrass Energy Partners LP 5.500%, 1/15/28 144A		8,400,000		7,141

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

149

Multi-Sector Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.500%, 3/1/30		1,200,000		1,145
Transocean Guardian, Ltd. 5.875%, 1/15/24 144A		1,243,114		1,149
Western Midstream Operating, LP 3.600%, 2/1/25		1,200,000		1,106

Total				85,476


Financial (21.1%)
ADLER Group SA 1.875%, 1/14/26 EUR §,∞		1,100,000		588
2.750%, 11/13/26 EUR §,∞		1,400,000		735
ADLER Real Estate AG 2.125%, 2/6/24 EUR §,∞		4,900,000		3,717
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.150%, 2/15/24 ß		3,600,000		3,484
3.650%, 7/21/27		500,000		454
4.450%, 4/3/26		900,000		859
4.625%, 10/15/27		500,000		471
4.875%, 1/16/24		1,200,000		1,194
Aircastle, Ltd. 2.850%, 1/26/28 144A		600,000		496
4.250%, 6/15/26		300,000		278
5.250%, 8/11/25 144A		2,400,000		2,317
Ally Financial, Inc. 3.050%, 6/5/23		400,000		396
8.000%, 11/1/31		1,371,000		1,524
Antares Holdings LP 2.750%, 1/15/27 144A		250,000		200
Athora Netherlands NV 2.375%, 5/17/24 EUR §,∞		700,000		725
7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,∞		200,000		198
Atrium European Real Estate, Ltd. 3.000%, 9/11/25 EUR §,∞		3,439,000		3,291
Aviation Capital Group LLC 5.500%, 12/15/24 144A		1,000,000		991
Avolon Holdings Funding, Ltd. 2.528%, 11/18/27 144A		2,173,000		1,771
Banca Monte dei Paschi di Siena SpA 1.875%, 1/9/26 EUR §,∞		300,000		262
2.625%, 4/28/25 EUR §,∞		3,300,000		3,053
3.625%, 9/24/24 EUR §,∞		3,800,000		3,664
5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,∞		7,100,000		4,371
8.000%, (5 Year EUR Annual Swap Rate plus 8.149%), 1/22/30 EUR §,∞		500,000		330
8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,∞		800,000		545
Banco Bilbao Vizcaya Argentaria SA 6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,∞		1,600,000		1,572
Banco Bradesco SA 2.850%, 1/27/23 144A		400,000		398
Banco BTG Pactual SA 4.500%, 1/10/25 144A		500,000		481


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Banco de Sabadell SA 1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,∞		200,000		192
1.750%, 5/10/24 EUR §,∞		900,000		912
Banco do Brasil SA 4.625%, 1/15/25 144A		900,000		884
Banco Votorantim SA 4.500%, 9/24/24 §		200,000		198
Bank of America Corp. 3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		973,000		906
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 3/15/28 µ,ß		4,500,000		3,951
Bank of Ireland Group PLC 7.500%, (5 Year EUR Annual Swap Rate plus 7.924%), 5/19/25 EUR §,µ,∞		1,700,000		1,764
Barclays Bank PLC 7.625%, 11/21/22		488,000		493
Barclays PLC 2.279%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.050%), 11/24/27 ß		2,100,000		1,862
2.375%, (GBP Swap Semi-Annual 1 Year plus 1.597%), 10/6/23 GBP §,∞		200,000		243
3.375%, (1 Year EUR Annual Swap Rate plus 3.700%), 4/2/25 EUR §,∞		1,200,000		1,267
3.650%, 3/16/25 ß		3,100,000		3,031
6.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 5.867%), 12/15/25 µ		500,000		464
7.875%, (5 Year GBP Swap Rate plus 6.099%), 9/15/22 GBP §,µ,∞		400,000		484
BNP Paribas SA 1.904%, (US SOFR plus 1.609%), 9/30/28 144A		1,700,000		1,453
2.219%, (US SOFR plus 2.074%), 6/9/26 144A		200,000		185
4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A		5,800,000		5,797
BPCE SA 2.375%, 1/14/25 144A		200,000		190
CaixaBank SA 6.750%, (5 Year EUR Annual Swap Rate plus 6.498%), 6/13/24 EUR §,µ,∞		200,000		202
Cantor Fitzgerald LP 4.875%, 5/1/24 144A		100,000		100
Chubb INA Holdings, Inc. 0.875%, 6/15/27 EUR ∞		200,000		191
Citigroup, Inc. 1.250%, (Euribor 3 Month ACT/360 plus 1.660%), 7/6/26 EUR §,∞		200,000		199
3.400%, 5/1/26		400,000		386
Corestate Capital Holding SA 3.500%, 4/15/23 EUR §,∞		700,000		147
Country Garden Holdings Co., Ltd. 3.125%, 10/22/25 §		4,600,000		2,242
4.750%, 1/17/23 §		1,200,000		1,052
6.500%, 4/8/24 §		600,000		356
CPI Property Group SA 1.625%, 4/23/27 EUR §,∞		700,000		585

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

150

Multi-Sector Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Credit Agricole SA 1.907%, (SOFR Index plus 1.676%), 6/16/26 144A		500,000		460
Credit Suisse AG 6.500%, 8/8/23 144A		7,400,000		7,400
6.500%, 8/8/23 §		1,700,000		1,700
DAE Sukuk (DIFC), Ltd. 3.750%, 2/15/26 144A		1,000,000		943
Deutsche Bank AG 1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,∞		2,500,000		1,995
1.625%, 1/20/27 EUR §,∞		100,000		94
1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,∞		6,700,000		5,778
3.035%, (US SOFR plus 1.718%), 5/28/32		200,000		158
3.547%, (US SOFR plus 3.043%), 9/18/31		1,300,000		1,088
3.729%, (US SOFR plus 2.757%), 1/14/32		1,500,000		1,128
3.742%, (US SOFR plus 2.257%), 1/7/33		300,000		218
3.961%, (US SOFR plus 2.581%), 11/26/25		600,000		580
5.625%, (5 Year EUR Annual Swap Rate plus 6.000%), 5/19/31 EUR §,∞		4,500,000		4,706
5.882%, (US SOFR plus 5.438%), 7/8/31		400,000		363
Fairfax Financial Holdings, Ltd. 2.750%, 3/29/28 144A EUR ∞		500,000		484
2.750%, 3/29/28 EUR §,∞		1,200,000		1,162
Fidelity National Financial, Inc. 3.400%, 6/15/30		200,000		175
Freedom Mortgage Corp. 6.625%, 1/15/27 144A		500,000		371
7.625%, 5/1/26 144A		2,100,000		1,638
8.125%, 11/15/24 144A		3,560,000		3,071
8.250%, 4/15/25 144A		782,000		658
Globalworth Real Estate Investments, Ltd. 3.000%, 3/29/25 EUR §,∞		3,900,000		3,577
GLP Capital LP / GLP Financing II, Inc. 3.350%, 9/1/24		100,000		96
5.750%, 6/1/28		400,000		391
The Goldman Sachs Group, Inc. 0.137%, (Euribor 3 Month ACT/360 plus 0.620%), 9/26/23 EUR §,∞		300,000		314
2.125%, 9/30/24 EUR §,∞		1,200,000		1,246
3.375%, 3/27/25 EUR §,∞		200,000		213
Growthpoint Properties International Pty, Ltd. 5.872%, 5/2/23 144A		300,000		299
5.872%, 5/2/23 §		5,800,000		5,785
HSBC Holdings PLC 1.645%, (US SOFR plus 1.538%), 4/18/26		200,000		183
2.099%, (US SOFR plus 1.929%), 6/4/26		200,000		185
2.804%, (US SOFR plus 1.187%), 5/24/32 ß		3,300,000		2,710
3.900%, 5/25/26 ß		2,600,000		2,541
3.973%, (ICE LIBOR USD 3 Month plus 1.610%), 5/22/30 ß		4,900,000		4,501
4.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 3.222%), 3/9/26 µ		200,000		168
4.300%, 3/8/26 ß		3,000,000		2,969
Huarong Finance 2019 Co., Ltd. 2.125%, 9/30/23 §		1,100,000		1,046
2.500%, 2/24/23 §		800,000		780
2.631%, (ICE LIBOR USD 3 Month plus 1.125%), 2/24/23 §		3,800,000		3,705


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
ING Groep NV 5.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 4.342%), 11/16/26 µ		1,800,000		1,647
6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ		900,000		870
International Lease Finance Corp. 5.875%, 8/15/22		400,000		401
Intesa Sanpaolo SpA 3.250%, 9/23/24 144A		300,000		290
4.000%, 9/23/29 144A		200,000		178
5.017%, 6/26/24 144A		2,700,000		2,576
5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,∞		4,050,000		3,395
5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,∞		900,000		734
Jefferies Finance LLC / JFIN Co-Issuer Corp. 5.000%, 8/15/28 144A		1,500,000		1,234
Kaisa Group Holdings, Ltd. 9.375%, 6/30/24 §,j		400,000		54
9.750%, 9/28/23 §,j		600,000		80
10.500%, 1/15/25 §,j		1,100,000		146
10.875%, 7/23/23 §,j		400,000		53
11.250%, 4/16/25 §,j		3,500,000		464
11.650%, 6/1/26 §,j		1,000,000		132
Kennedy Wilson, Inc. 4.750%, 2/1/30		1,800,000		1,408
LeasePlan Corp. NV 2.875%, 10/24/24 144A		300,000		287
Liberty Mutual Finance Europe DAC 1.750%, 3/27/24 EUR §,∞		100,000		104
Lincoln Financing SARL 3.625%, 4/1/24 EUR §,∞		6,000,000		6,076
Lloyds Banking Group PLC 3.511%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 3/18/26		200,000		195
3.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.800%), 3/18/28 ß		2,500,000		2,379
4.450%, 5/8/25 ß		2,800,000		2,802
Logicor Financing SARL 3.250%, 11/13/28 EUR §,∞		600,000		566
Marsh & McLennan Cos., Inc. 1.349%, 9/21/26 EUR ∞		100,000		99
Morgan Stanley 4.000%, 7/23/25 ß		3,600,000		3,597
Nationwide Building Society 4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		4,500,000		4,505
NatWest Group PLC 2.500%, 3/22/23 EUR §,∞		100,000		106
4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24		200,000		199
4.800%, 4/5/26 ß		2,800,000		2,789
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 ß		3,700,000		3,586
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 5.625%), 12/29/25 µ		500,000		463

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

151

Multi-Sector Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
New Metro Global, Ltd. 4.500%, 5/2/26 §		1,700,000		767
NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 1/15/26 EUR §,µ,∞		2,600,000		2,626
OMEGA Healthcare Investors, Inc. 4.500%, 1/15/25		100,000		99
4.950%, 4/1/24		100,000		100
OneMain Finance Corp. 3.500%, 1/15/27		1,100,000		880
4.000%, 9/15/30		700,000		519
6.125%, 3/15/24 ß		2,500,000		2,387
6.875%, 3/15/25 ß		1,900,000		1,801
7.125%, 3/15/26		1,400,000		1,294
Pacific Life Global Funding II 1.200%, 6/24/25 144A		200,000		184
Park Aerospace Holdings, Ltd. 4.500%, 3/15/23 144A		3,900,000		3,886
5.500%, 2/15/24 144A		112,000		111
RLJ Lodging Trust LP 3.750%, 7/1/26 144A		200,000		173
Santander UK Group Holdings PLC 0.367%, (Euribor 3 Month ACT/360 plus 0.850%), 3/27/24 EUR §,∞		400,000		420
2.896%, (US SOFR plus 1.475%), 3/15/32		800,000		664
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 ß		4,000,000		3,713
6.750%, (GBP Swap Semi-Annual 5 Year plus 6.069%), 6/24/24 GBP §,µ,∞		1,390,000		1,624
Sberbank of Russia Via SB Capital SA 5.250%, 5/23/23 §,j		4,500,000		90
Seazen Group, Ltd. 6.000%, 8/12/24 §		200,000		119
Service Properties Trust 4.350%, 10/1/24		200,000		163
4.750%, 10/1/26 ß		4,900,000		3,571
Sitka Holdings LLC 5.506%, (ICE LIBOR USD 3 Month plus 4.500%), 7/6/26 144A		600,000		580
Societe Generale SA 7.375%, (USD 5 Year Swap Rate plus 4.302%), 10/4/23 144A µ		300,000		289
7.875%, (USD 5 Year Swap Rate plus 4.979%), 12/18/23 144A µ		200,000		196
Sunac China Holdings, Ltd. 5.950%, 4/26/24 §,j		2,000,000		290
6.650%, 8/3/24 §,j		600,000		84
7.250%, 6/14/22 §,j		2,600,000		376
8.350%, 4/19/23 §,j		1,600,000		232
Tesco Property Finance 3 PLC 5.744%, 4/13/40 GBP §,∞		93,054		119
Tesco Property Finance 6 PLC 5.411%, 7/13/44 GBP §,∞		2,580,191		3,173
TP ICAP PLC 5.250%, 1/26/24 GBP §,∞		3,700,000		4,450
Trust Fibra Uno 6.390%, 1/15/50 144A		200,000		159
UBS AG 7.625%, 8/17/22 ß		2,400,000		2,407


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
UBS Group Funding AG 4.125%, 9/24/25 144A		700,000		694
UniCredit SpA 2.200%, (Euribor 3 Month ACT/360 plus 2.550%), 7/22/27 EUR §,∞		300,000		287
2.569%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 9/22/26 144A		2,900,000		2,594
7.296%, (USD 5 Year Swap Rate plus 4.914%), 4/2/34 144A		5,700,000		5,238
7.830%, 12/4/23 144A		5,650,000		5,844
The Unique Pub Finance Co. PLC 7.395%, 3/28/24 GBP §,∞		243,840		303
Virgin Money UK PLC 3.125%, (6 Month GBP-LIBOR plus 2.569%), 6/22/25 GBP §,∞		100,000		118
3.375%, (1 Year GBP Swap Rate plus 2.145%), 4/24/26 GBP §,∞		100,000		116
4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,∞		500,000		588
4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27 GBP §,∞		200,000		232
Vonovia Finance BV 5.000%, 10/2/23 144A		300,000		301
Wells Fargo & Co. 1.000%, 2/2/27 EUR §,∞		1,500,000		1,417
Weyerhaeuser Co. 7.375%, 3/15/32		424,000		490
Yango Justice International, Ltd. 7.500%, 4/15/24 §,j		4,200,000		296
7.875%, 9/4/24 §,j		600,000		46
Yanlord Land HK Co., Ltd. 5.125%, 5/20/26 §		1,900,000		1,437

Total				231,942


Industrial (2.6%)
Berry Global, Inc. 1.570%, 1/15/26		100,000		89
Constellation Oil Services Holding SA 3.000%, 12/31/26		99,124		81
DAE Funding LLC 1.550%, 8/1/24 144A		1,700,000		1,592
1.625%, 2/15/24 144A		1,000,000		944
2.625%, 3/20/25 144A		500,000		465
3.375%, 3/20/28 144A		700,000		615
3.375%, 3/20/28 §		200,000		176
Empresa de Transporte de Pasajeros Metro SA 4.700%, 5/7/50 §		1,400,000		1,155
Flex, Ltd. 3.750%, 2/1/26		700,000		670
Fortress Transportation & Infrastructure 5.500%, 5/1/28 144A		400,000		330
6.500%, 10/1/25 144A		6,300,000		5,944
GE Capital UK Funding Unlimited Co. 5.875%, 1/18/33 GBP ∞		800,000		1,077
General Electric Co. 4.125%, 9/19/35 EUR §,∞		500,000		488
Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A		292,151		288

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

152

Multi-Sector Bond Portfolio


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
The Manitowoc Co., Inc. 9.000%, 4/1/26 144A		6,200,000		5,772
Rolls-Royce PLC 0.875%, 5/9/24 EUR §,∞		5,300,000		5,124
4.625%, 2/16/26 EUR §,∞		1,600,000		1,572
5.750%, 10/15/27 144A		200,000		180
5.750%, 10/15/27 GBP §,∞		100,000		114
SMBC Aviation Capital Finance DAC 2.300%, 6/15/28 144A		200,000		162
Standard Industries, Inc. 2.250%, 11/21/26 144A EUR ∞		1,300,000		1,063
2.250%, 11/21/26 EUR §,∞		1,300,000		1,064

Total				28,965


Technology (1.0%)
Broadcom, Inc. 2.450%, 2/15/31 144A		700,000		562
Dell International LLC / EMC Corp. 5.300%, 10/1/29 ß		4,300,000		4,239
5.450%, 6/15/23		293,000		296
6.020%, 6/15/26		400,000		415
8.100%, 7/15/36		162,000		189
Lenovo Group, Ltd. 3.421%, 11/3/30 144A		400,000		341
NXP BV / NXP Funding LLC 4.875%, 3/1/24 ß		1,700,000		1,717
5.350%, 3/1/26		1,600,000		1,630
VMware, Inc. 4.500%, 5/15/25		300,000		301
4.650%, 5/15/27		1,400,000		1,393
4.700%, 5/15/30		100,000		96

Total				11,179


Utilities (1.4%)
Adani Electricity Mumbai, Ltd. 3.949%, 2/12/30 144A		300,000		244
Centrais Eletricas Brasileiras SA 4.625%, 2/4/30 144A		300,000		254
Edison International 5.750%, 6/15/27		100,000		102
Electricite de France SA 4.500%, 9/21/28 144A		900,000		874
FEL Energy VI SARL 5.750%, 12/1/40 §		3,108,232		2,253
Nakilat, Inc. 6.067%, 12/31/33 §		920,082		978
6.267%, 12/31/33 144A		478,100		519
National Fuel Gas Co. 5.200%, 7/15/25		300,000		304
Pacific Gas & Electric Co. 1.367%, 3/10/23		1,600,000		1,575
2.100%, 8/1/27		100,000		84
2.500%, 2/1/31		100,000		77
2.950%, 3/1/26		100,000		91
3.150%, 1/1/26		1,600,000		1,465
3.250%, 6/15/23		100,000		99
3.300%, 3/15/27		200,000		179
3.300%, 12/1/27		500,000		437
3.300%, 8/1/40 ß		2,700,000		1,862
3.450%, 7/1/25		300,000		282


Corporate Bonds (53.9%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
3.500%, 6/15/25		1,500,000		1,420
3.750%, 7/1/28		100,000		88
4.200%, 6/1/41		100,000		73
4.250%, 8/1/23		200,000		199
4.250%, 3/15/46		100,000		73
4.450%, 4/15/42		300,000		225
4.550%, 7/1/30		500,000		444
Perusahaan Listrik Negara PT 3.000%, 6/30/30 144A		1,500,000		1,230

Total				15,431


Total Corporate Bonds
(Cost: $739,020)				592,958


Convertible Corporate Bonds (0.1%)

Financial (0.1%)
Corestate Capital Holding SA 1.375%, 11/28/22 EUR §,∞		5,700,000		1,400

Total				1,400


Total Convertible Corporate Bonds
(Cost: $6,449)				1,400


Governments (14.8%)

Governments (14.8%)
Abu Dhabi Government International Bond 2.700%, 9/2/70 144A		3,700,000		2,473
2.700%, 9/2/70 §		900,000		602
3.875%, 4/16/50 §		1,500,000		1,332
Albania Government International Bond 3.500%, 6/16/27 144A EUR ∞		1,400,000		1,249
Arab Republic of Egypt 5.625%, 4/16/30 144A EUR ∞		1,550,000		1,005
7.500%, 2/16/61 144A		1,900,000		1,053
Argentine Republic Government International Bond 0.500%, 7/9/30 ∑		866,857		189
1.000%, 7/9/29		405,455		95
1.125%, 7/9/35 ∑		5,922,164		1,238
2.500%, 7/9/41 ∑,ß		13,420,196		3,456
Australian Government 4.250%, 4/21/26 AUD §,∞		2,400,000		1,714
Banque Ouest Africaine de Developpement 2.750%, 1/22/33 144A EUR ∞		500,000		416
Brazilian Government International Bond 5.000%, 1/27/45		1,000,000		713
Colombia Government International Bond 5.000%, 6/15/45 ß		6,000,000		4,010
5.200%, 5/15/49		200,000		135
Dominican Republic International Bond 4.875%, 9/23/32 144A		550,000		423
4.875%, 9/23/32 §		1,700,000		1,308
6.500%, 2/15/48 144A		2,800,000		2,114
6.500%, 2/15/48 §		2,800,000		2,114
6.875%, 1/29/26 §		500,000		510
Ecuador Government International Bond 0.010%, 7/31/30 144A		323,958		134
0.500%, 7/31/40 144A		1,225,800		499
1.000%, 7/31/35 144A		2,674,620		1,289
Egypt Government International Bond 6.375%, 4/11/31 EUR §,∞		2,500,000		1,640

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

153

Multi-Sector Bond Portfolio


Governments (14.8%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
7.500%, 2/16/61 §		800,000		443
Export-Import Bank of India 3.375%, 8/5/26 §		600,000		572
Federal Republic of Nigeria 7.625%, 11/28/47 §		700,000		418
7.696%, 2/23/38 §		600,000		369
7.875%, 2/16/32 §		2,800,000		1,942
Ghana Government International Bond 7.875%, 3/26/27 §		600,000		346
8.125%, 3/26/32 §		400,000		192
8.950%, 3/26/51 §		800,000		376
Ivory Coast Government International Bond 5.250%, 3/22/30 EUR §,∞		500,000		408
5.875%, 10/17/31 144A EUR ∞		300,000		245
6.625%, 3/22/48 144A EUR ∞		900,000		629
6.625%, 3/22/48 EUR §,∞		800,000		559
6.875%, 10/17/40 144A EUR ∞		400,000		297
6.875%, 10/17/40 EUR §,∞		100,000		74
Kingdom of Jordan 4.950%, 7/7/25 144A		300,000		270
5.850%, 7/7/30 144A		400,000		316
Morocco Government International Bond 4.000%, 12/15/50 144A		500,000		292
5.500%, 12/11/42 §		800,000		582
North Macedonia 3.675%, 6/3/26 144A EUR ∞		500,000		465
Oman Government International Bond 6.000%, 8/1/29 §		900,000		866
6.250%, 1/25/31 144A		2,300,000		2,218
6.500%, 3/8/47 §		500,000		419
6.750%, 1/17/48 §		4,800,000		4,129
Panama Government International Bond 6.700%, 1/26/36 ß		1,900,000		2,051
8.125%, 4/28/34		100,000		125
Provincia de Buenos Aires 37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,∞		740,000		3
Republic of Belarus Ministry of Finance 5.875%, 2/24/26 144A		600,000		84
Republic of Indonesia 0.900%, 2/14/27 EUR ∞		1,700,000		1,569
1.400%, 10/30/31 EUR ∞		1,900,000		1,535
1.450%, 9/18/26 EUR ∞		700,000		673
3.375%, 7/30/25 144A EUR ∞		800,000		843
3.750%, 6/14/28 144A EUR ∞		1,900,000		1,951
3.750%, 6/14/28 EUR §,∞		2,200,000		2,259
4.625%, 4/15/43 §		2,700,000		2,448
5.125%, 1/15/45 §		1,800,000		1,725
Republic of Paraguay 5.600%, 3/13/48 §		600,000		473
6.100%, 8/11/44 §		300,000		261
Republic of Peru 3.300%, 3/11/41 ß		2,700,000		2,042
Republic of Serbia 1.650%, 3/3/33 144A EUR ∞		700,000		458
Republic of South Africa Government International Bond 4.850%, 9/30/29		1,200,000		1,023
4.875%, 4/14/26		600,000		569


Governments (14.8%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
5.000%, 10/12/46		500,000		322
5.750%, 9/30/49 ß		4,500,000		3,069
Romanian Government International Bond 2.000%, 4/14/33 144A EUR ∞		1,400,000		949
2.875%, 4/13/42 144A EUR ∞		500,000		306
4.125%, 3/11/39 EUR §,∞		1,500,000		1,139
Russian Federation 5.625%, 4/4/42 §,j		2,000,000		560
Saudi International Bond 2.900%, 10/22/25 §		300,000		292
4.000%, 4/17/25 §		3,900,000		3,924
4.500%, 10/26/46 §		9,300,000		8,472
Sri Lanka Government International Bond 7.550%, 3/28/30 §,j		1,600,000		506
7.850%, 3/14/29 §,j		500,000		159
State of Minas Gerais 5.333%, 2/15/28 §		120,000		117
State of Qatar 4.400%, 4/16/50 144A		1,200,000		1,143
4.400%, 4/16/50 §		2,400,000		2,286
4.500%, 4/23/28 §		1,100,000		1,139
4.817%, 3/14/49 §		800,000		804
5.103%, 4/23/48 §		1,200,000		1,255
Turkey Government International Bond 4.875%, 4/16/43		1,900,000		1,120
5.125%, 2/17/28 ß		4,300,000		3,268
5.750%, 5/11/47 ß		4,400,000		2,702
Ukraine Government International Bond 4.375%, 1/27/30 144A EUR ∞		1,600,000		402
4.375%, 1/27/30 EUR §,∞		1,700,000		428
6.750%, 6/20/26 144A EUR ∞		600,000		159
6.876%, 5/21/29 144A		900,000		216
7.375%, 9/25/32 §		300,000		74
8.994%, 2/1/24 144A		1,000,000		250
United Mexican States 2.125%, 10/25/51 EUR ∞	��	1,000,000		573
3.771%, 5/24/61 ß		5,400,000		3,497
US Treasury 1.875%, 8/31/24 ß		7,310,000		7,138
2.125%, 3/31/24 ß		3,970,000		3,912
2.125%, 11/30/24 ß		3,400,000		3,330
2.250%, 11/15/24 ß		15,910,000		15,640
2.375%, 8/15/24 ß		3,700,000		3,651
2.500%, 1/31/24 ß		10,590,000		10,511
2.750%, 2/15/24 ß		8,700,000		8,669
2.875%, 11/30/23 ß		4,230,000		4,225
Venezuela Government International Bond 6.000%, 12/9/20 §,j		32,000		2
7.000%, 3/31/38 §,j		204,000		17
7.650%, 4/21/25 §,j		1,955,000		161
8.250%, 10/13/24 §,j		356,000		28
9.000%, 5/7/23 §,j		32,000		3
9.250%, 5/7/28 §,j		1,241,000		102
9.375%, 1/13/34 j		1,400,000		116

Total				162,866


Total Governments
(Cost: $212,364)				162,866

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

154

Multi-Sector Bond Portfolio


Municipal Bonds (0.7%)	Shares/ Par⁺		Value $ (000’s)

Municipal Bonds (0.7%)
American Municipal Power, Inc., Series 2010-B 7.834%, 2/15/41 RB		100,000		135
Bay Area Toll Authority, California, Series 2010 6.918%, 4/1/40 RB		200,000		245
City of Riverside California Electric Revenue 7.605%, 10/1/40 RB		200,000		268
Irvine Ranch California Water District 6.622%, 5/1/40 RB		100,000		122
Los Angeles County California Public Works Financing Authority 7.618%, 8/1/40 RB		200,000		261
Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB		100,000		123
Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB		96,000		115
New York City Transitional Finance Authority 5.508%, 8/1/37 RB		300,000		330
New York State Urban Development Corp. 5.770%, 3/15/39 RB		100,000		108
Port Authority of New York & New Jersey, Series 165 5.647%, 11/1/40 RB		1,100,000		1,232
Port Authority of New York & New Jersey, Series 168 4.926%, 10/1/51 RB		200,000		213
State of Illinois 6.630%, 2/1/35 GO		245,000		261
6.725%, 4/1/35 GO		95,000		101
7.350%, 7/1/35 GO		200,000		218
Tobacco Settlement Financing Corp. of Virginia, Series 2007-A 6.706%, 6/1/46 RB ß		3,030,000		2,815
Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB		800,000		881

Total Municipal Bonds
(Cost: $6,264)				7,428


Structured Products (9.4%)

Asset Backed Securities (8.2%)
ABFC Trust, Series 2007-WMC1, Class A1A 2.256%, (ICE LIBOR USD 1 Month plus 1.250%), 6/25/37		621,803		468
Accredited Mortgage Loan Trust, Series 2005- 3, Class M3 2.344%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35		151,578		150
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1 2.224%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34		56,498		52
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2 2.154%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35		38,900		36
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4 2.274%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35		25,387		25


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C 1.774%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/36 ß		7,216,045		2,124
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2 2.624%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35		82,409		79
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1 2.204%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34		12,765		13
Ares European CLO VI DAC, Series 2013-6A, Class ARR 0.610%, (Euribor 3 Month ACT/360 plus 0.610%), 4/15/30 144A EUR ∞		494,860		508
Ares European CLO, Series 10A, Class AR 0.780%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		1,100,000		1,119
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4 2.224%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35		103,176		102
Aurium CLO I DAC, Series 2019-1A, Class ARR 1.050%, (Euribor 3 Month ACT/360 plus 1.050%), 3/23/32 144A EUR ∞		250,000		256
Bain Capital Euro CLO, Series 2018-2A, Class AR 0.740%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ∞		300,000		304
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2 1.824%, (ICE LIBOR USD 1 Month plus 0.200%), 12/25/36		734		1
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1 2.874%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37		63,974		63
Cairn CLO BV, Series 2014-A4, Class ARRR 0.600%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ∞		299,847		309
Cairn CLO X BV, Series 2018-10A, Class AR 0.780%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		700,000		713
Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R 0.700%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ∞		900,000		919
Carrington Mortgage Loan Trust, Series 2005- FRE1, Class M3 2.134%, (ICE LIBOR USD 1 Month plus 0.765%), 12/25/35 ß		8,016,000		5,677
Citigroup Mortgage Loan Trust, Series 2007- AHL1, Class A2C 1.834%, (ICE LIBOR USD 1 Month plus 0.420%), 12/25/36		99,463		98
Countrywide Alternative Loan Trust, Series 2006-5, Class M1 2.149%, (ICE LIBOR USD 1 Month plus 0.525%), 8/25/36		1,500,000		1,441

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

155

Multi-Sector Bond Portfolio


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4 3.199%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34		88,372		86
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6 4.740%, (AFC), 10/25/35		33		–	π
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4 2.324%, (ICE LIBOR USD 1 Month plus 0.700%), 3/25/36		82,253		73
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5 4.444%, (AFC), 7/25/36 ∑		92,609		84
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A 1.764%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37		389,168		356
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3 2.204%, (ICE LIBOR USD 1 Month plus 0.580%), 8/25/36		11,951		12
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2 2.104%, (ICE LIBOR USD 1 Month plus 0.480%), 2/25/37		900,000		763
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3 1.764%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37		11,461		11
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A 2.464%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47		1,280,600		1,231
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A 1.824%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47		787,687		705
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1 2.174%, (ICE LIBOR USD 1 Month plus 0.550%), (AFC), 5/25/47 144A		1,183,918		923
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1 1.934%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32		2,601		2
CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR 0.650%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ∞		800,000		813
Ellington Loan Acquisition Trust, Series 2007-2, Class A1 2.674%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A		207,984		203
Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR 0.620%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ∞		300,000		306
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A5 04/25/36		27,781		28


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Fremont Home Loan Trust, Series 2005-2, Class M4 2.244%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35		300,000		274
GSAA Home Equity Trust, Series 2006-17, Class A1 1.684%, (ICE LIBOR USD 1 Month plus 0.120%), 11/25/36		47,650		15
GSAMP Trust, Series 2004-WF, Class M2 2.724%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34		14,266		14
GSAMP Trust, Series 2007-FM2, Class A2B 1.096%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37		158,692		101
GSAMP Trust, Series 2007-NC1, Class A2A 1.056%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46		12,726		7
Harvest CLO XX DAC, Series 2020-A, Class AR 0.680%, (Euribor 3 Month ACT/360 plus 0.680%), 10/20/31 144A EUR ∞		600,000		609
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4 1.964%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37		500,000		442
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4 2.014%, (ICE LIBOR USD 1 Month plus 0.780%), 11/25/35		159,134		153
IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2 1.784%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37		328,551		196
Invesco Euro CLO III DAC, Series 3A, Class A 0.920%, (Euribor 3 Month ACT/360 plus 0.920%), 7/15/32 144A EUR ∞		500,000		505
JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class M1 1.924%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/37		400,000		375
KKR Financial CLO, Ltd., Series 9, Class AR2 1.994%, (ICE LIBOR USD 3 Month plus 0.950%), 7/15/30 144A		2,200,000		2,156
Laurelin DAC, Series 2016-1A, Class ARR 0.720%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ∞		400,000		410
LCM XV LP, Series 2015-A, Class AR2 2.063%, (ICE LIBOR USD 3 Month plus 1.000%), 7/20/30 144A		1,800,000		1,767
Lehman XS Trust, Series 2005-4, Class 1A3 2.424%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35		2,420		2
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4 2.224%, (ICE LIBOR USD 1 Month plus 0.600%), 2/25/36		54,558		47
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4 2.164%, (ICE LIBOR USD 1 Month plus 0.540%), 5/25/46		280,557		98

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

156

Multi-Sector Bond Portfolio


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A 1.924%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/36		1,058,435		638
Madison Park Euro Funding XIV DAC, Series 14A, Class A1R 0.800%, (Euribor 3 Month ACT/360 plus 0.800%), 7/15/32 144A EUR ∞		300,000		304
Man GLG EURO CLO III DAC, Series 3A, Class AR 0.680%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ∞		398,389		408
Man GLG Euro CLO, Series 2022-6A, Class AR 0.810%, (Euribor 3 Month ACT/360 plus 0.810%), 10/15/32 144A EUR ∞		300,000		308
Marathon CLO, Ltd., Series 2017-9A, Class A1AR 2.194%, (ICE LIBOR USD 3 Month plus 1.150%), 4/15/29 144A		1,382,839		1,362
Marble Point CLO X, Ltd., Series 2017-1A, Class AR 2.084%, (ICE LIBOR USD 3 Month plus 1.040%), 10/15/30 144A		5,200,000		5,112
MASTR Asset Backed Securities Trust, Series 2004-OPT1, Class M1 2.144%, (ICE LIBOR USD 1 Month plus 0.780%), 2/25/34		764,396		719
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1 2.524%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34		85,315		81
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1 1.774%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/36 b		9,179,561		8,215
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2 1.724%, (ICE LIBOR USD 1 Month plus 0.200%), 8/25/36		2,018,754		657
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5 1.774%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36		859,875		302
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1 2.074%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47		762,771		488
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4 2.204%, (ICE LIBOR USD 1 Month plus 0.870%), 9/25/35 b		5,912,474		4,900
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ 1.914%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35		784,058		769
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2 2.094%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35		162,120		152


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5 2.284%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35		157,220		155
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C 1.784%, (ICE LIBOR USD 1 Month plus 0.160%), 9/25/36		61,179		28
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C 1.146%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36		55,971		28
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C 1.256%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37		56,005		26
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1 3.199%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32		15,984		16
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1 2.524%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33		18,121		18
Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3 1.236%, (ICE LIBOR USD 1 Month plus 0.230%), 4/25/37 b		3,087,126		1,775
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B 1.784%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37		184,133		181
Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR 0.740%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ∞		1,200,000		1,221
Popular Mortgage Pass-Through Trust, Series 2006-A, Class M1 2.014%, (ICE LIBOR USD 1 Month plus 0.585%), (AFC), 2/25/36		52,438		52
RAAC Series, Series 2007-RP4, Class A 1.974%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A		181,766		171
Renaissance Home Equity Loan Trust, Series 2006-4, Class AF6 5.340%, 1/25/37 ∑		1,519,247		583
Residential Asset Securities Corp., Series 2007-KS3, Class AI4 1.964%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37		1,476,779		1,404
Saranac CLO, Ltd., Series 2018-6A, Class A1R 1.256%, (ICE LIBOR USD 3 Month plus 1.140%), 8/13/31 144A		2,900,000		2,833
Saxon Asset Securities Trust, Series 2006-1, Class M1 1.934%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36		208,783		201
Sculptor CLO XXV, Ltd., Series 25A, Class A1 2.314%, (ICE LIBOR USD 3 Month plus 1.270%), 1/15/31 144A		2,100,000		2,050

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

157

Multi-Sector Bond Portfolio


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2 2.264%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36		38,725		36
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR2 2.174%, (ICE LIBOR USD 3 Month plus 0.990%), 1/23/29 144A		503,758		496
Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR 2.164%, (ICE LIBOR USD 3 Month plus 0.980%), 7/25/30 144A		5,200,000		5,101
Soundview Home Loan Trust, Series 2006-2, Class M2 1.531%, (ICE LIBOR USD 1 Month plus 0.525%), 3/25/36		199,607		197
Soundview Home Loan Trust, Series 2006- OPT2, Class A4 1.904%, (ICE LIBOR USD 1 Month plus 0.560%), 5/25/36		126,729		124
Soundview Home Loan Trust, Series 2006- OPT3, Class M1 1.934%, (ICE LIBOR USD 1 Month plus 0.465%), 6/25/36 b		6,647,827		5,473
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 2.274%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35		126,914		124
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1 2.599%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33		24,337		24
Structured Asset Investment Loan Trust, Series 2005-7, Class M2 2.389%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35		305,659		295
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3 1.156%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36		7,571		7
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4 1.964%, (ICE LIBOR USD 1 Month plus 0.340%), 12/25/36		157,285		153
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6 1.834%, (ICE LIBOR USD 1 Month plus 0.420%), 2/25/37		56,484		53
Toro European CLO 6 DAC, Series 6A, Class AR 0.920%, (Euribor 3 Month ACT/360 plus 0.920%), 1/12/32 144A EUR ∞		500,000		508
Toro European CLO, Series 7A, Class ARE 0.810%, (Euribor 3 Month ACT/360 plus 0.810%), 2/15/34 144A EUR ∞		250,000		253
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A 1.884%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A		587,679		582


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Venture CDO, Ltd., Series 2018-33A, Class A1LR 2.104%, (ICE LIBOR USD 3 Month plus 1.060%), 7/15/31 144A		1,000,000		981
Venture XIV CLO, Ltd., Series 2013-14A, Class ARR 2.628%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A		5,267,061		5,220
Venture XXV CLO, Ltd., Series 2016-25A, Class ARR 2.083%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/29 144A		2,889,404		2,845
Venture XXVIII CLO, Ltd., Series 2017-28A, Class A1R 2.053%, (ICE LIBOR USD 3 Month plus 0.990%), 7/20/30 144A		200,000		196
Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R 2.103%, (ICE LIBOR USD 3 Month plus 1.040%), 9/15/30 144A		300,000		293
WaMu Asset-Backed Certificates, Series 2007- HE1, Class 1A 1.774%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37		113,301		100
Wellfleet CLO, Ltd., Series 2015-1A, Class AR4 1.953%, (ICE LIBOR USD 3 Month plus 0.890%), 7/20/29 144A		1,634,831		1,614
Wellfleet CLO, Ltd., Series 2017-1, Class 1A 1.953%, (ICE LIBOR USD 3 Month plus 0.890%), 4/20/29 144A		3,433,857		3,401

Total				90,457


Mortgage Securities (1.2%)
Banc of America Funding Trust, Series 2005-H, Class 5A1 2.245%, (CSTR), 11/20/35		76,275		68
Banc of America Funding Trust, Series 2006-J, Class 4A1 3.461%, (CSTR), 1/20/47		29,334		27
Banc of America Funding Trust, Series 2007-6, Class A1 1.914%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37		42,730		40
BCAP LLC Trust, Series 2009-RR14, Class 2A2 3.229%, (CSTR), 7/26/36 144A		17,819		16
BCAP LLC Trust, Series 2009-RR5, Class 3A3 6.250%, (CSTR), 8/26/36 144A		2,095,905		1,113
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A 3.820%, (CSTR), 7/25/34		1,283		1
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 3.218%, (CSTR), 11/25/36		126,399		77
Bear Stearns ARM Trust, Series 2007-4, Class 22A1 3.465%, (CSTR), 6/25/47		57,641		54
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37		1,729		2

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

158

Multi-Sector Bond Portfolio


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA 3.214%, (CSTR), 9/25/37		7,033		6
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A 3.419%, (CSTR), 9/25/37		1,885		2
Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A 3.206%, (CSTR), 3/25/37		287,077		249
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 5.750%, 1/25/35		10,768		10
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1 6.000%, 3/25/35		266,776		148
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 2.272%, (ICE LIBOR USD 1 Month plus 0.660%), 11/20/35		4,104		4
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 1.956%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		11,938		11
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36		117,520		80
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8 5.500%, 2/25/35		97,421		95
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 6.500%, 8/25/32		846		1
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13 5.500%, 11/25/35		157,245		104
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37		105,607		45
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1 2.124%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36		355,928		137
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 3.096%, (CSTR), 5/25/36		6,847		6
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B 1.802%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46		8,200		8
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A 1.807%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46		22,483		19
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1 2.032%, (ICE LIBOR USD 1 Month plus 0.420%), 5/20/46		301,571		258


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A 1.822%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46		7,120		5
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 6.000%, 5/25/37		217,446		114
Countrywide Alternative Loan Trust, Series 2007-AL1, Class A1 1.874%, (ICE LIBOR USD 1 Month plus 0.250%), 6/25/37 b		3,588,579		2,942
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1 1.904%, (ICE LIBOR USD 1 Month plus 0.280%), 4/25/47		25,976		23
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-22, Class 3A1 2.334%, (CSTR), 10/25/35		9,217		8
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB8, Class 1A1 2.968%, (CSTR), 12/20/35		2,000		2
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-16, Class 2A1 6.500%, 11/25/36		14,527		7
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-9, Class A1 6.000%, 5/25/36		98,719		54
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A1 1.436%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		34,163		12
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A2 2.164%, (ICE LIBOR USD 1 Month plus 0.540%), 4/25/46		905,328		284
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 3A1 3.044%, (CSTR), 3/25/37		6,484		6
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 6.500%, 4/25/33		361		–	π
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 5.500%, 12/25/35		322,530		286
EMF-NL BV, Series 2008-APRX, Class A2 0.352%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,∞		91,593		91
Eurosail-NL BV, Series 2007-NL2X, Class A 1.052%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,∞		37,429		39
Federal National Mortgage Association, Series 2003-W6, Class F 1.018%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42		15,969		16
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 5.750%, 5/25/37		161,579		80

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

159

Multi-Sector Bond Portfolio


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 2.800%, (CSTR), 9/25/35		1,485		1
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 6.000%, 2/25/36		73,138		40
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 2.863%, (CSTR), 1/25/36		1,038		1
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 2.723%, (CSTR), 3/25/47		6,925		5
HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A 2.232%, (ICE LIBOR USD 1 Month plus 0.620%), (AFC), 11/19/35		7,237		6
HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A 2.092%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35		10,639		10
HomeBanc Mortgage Trust, Series 2005-1, Class A1 1.874%, (ICE LIBOR USD 1 Month plus 0.500%), 3/25/35		3,476		3
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A 1.844%, (ICE LIBOR USD 1 Month plus 0.440%), 11/25/35		825,588		764
Impac Secured Assets Trust, Series 2007-1, Class A2 1.784%, (ICE LIBOR USD 1 Month plus 0.320%), (AFC), 3/25/37		1,681		2
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1 2.804%, (CSTR), 10/25/34		15,235		15
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A 2.104%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35		1,276		1
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A 2.224%, (ICE LIBOR USD 1 Month plus 0.600%), 7/25/35		8,377		7
JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1 2.581%, (CSTR), 10/25/35		6,882		6
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 3.065%, (CSTR), 7/25/35		4,444		4
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 4.340%, (CSTR), 6/25/37		34,454		27
Luminent Mortgage Trust, 2006-6, Class A1 1.824%, (ICE LIBOR USD 1 Month plus 0.400%), 10/25/46		758,713		688
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1 2.933%, (CSTR), 12/25/35		82,834		64
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A 2.079%, (CSTR), 2/25/36		1,064		1


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 3.234%, (CSTR), 5/25/36		7,519		7
New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A3 1.198%, (AFC), 7/25/55 144A		887,331		838
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1 3.025%, (CSTR), 8/25/35		1,350		1
Residential Accredit Loans, Inc., Series 2006-QA7, Class 1A1 2.004%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/36		4,605		4
Residential Accredit Loans, Inc., Series 2006-QA8, Class A1 2.004%, (ICE LIBOR USD 1 Month plus 0.380%), 9/25/36		14,181		13
Residential Accredit Loans, Inc., Series 2007-QA1, Class A1 1.904%, (ICE LIBOR USD 1 Month plus 0.280%), 1/25/37		6,036		6
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37		3,312,131		1,099
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 1.944%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35		36,773		34
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 1.567%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36		376,222		358
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1 1.804%, (ICE LIBOR USD 1 Month plus 0.360%), (AFC), 7/25/46		162,180		139
Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1 2.274%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35		6,605		6
Towd Point Mortgage Funding, Series 2019-GR4A, Class A1 2.023%, (SONIO/N plus 1.144%), 10/20/51 144A GBP ∞		1,471,279		1,779
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 2.614%, (CSTR, AFC), 2/25/33		681		1
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.331%, (CSTR), 10/25/36		16,367		15
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 3.087%, (CSTR), 3/25/36		99,553		95
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 2.781%, (CSTR), 8/25/36		6,682		6
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 3.125%, (CSTR), 2/25/37		2,548		2

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

160

Multi-Sector Bond Portfolio


Structured Products (9.4%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2 1.176%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		254,566		210
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 2.610%, (CSTR), 7/25/37		26,868		24
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 2.756%, (CSTR), 4/25/36		26,776		25
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 2.863%, (CSTR), 11/25/37		21,217		20

Total				12,877


Total Structured Products
(Cost: $107,320)				103,334


Bank Loan Obligations (4.3%)

Bank Loan Obligations (4.3%)
Adient U.S. LLC, 5.420%, (ICE LIBOR USD 1 Month plus 3.250%), 4/10/28b		6,633,000		6,158
Albion Acquisitions, Ltd., 5.210%, (Euribor 3 Month ACT/360 plus 5.250%), 8/17/26 EUR∞		1,400,000		1,375
Altice Financing SA, 4.920%, 01/31/26		1,166,412		1,059
Altice France SA, 4.920%, (ICE LIBOR USD 3 Month plus 2.750%), 7/31/25		193,384		176
AmSurg Corp., 6.670%, (CME Term SOFR 1 Month plus 4.500%), 4/30/28		319,518		295
Avolon TLB Borrower 1 LLC, 4.420%, (ICE LIBOR USD 1 Month plus 2.250%), 12/1/27		1,182,000		1,121
Casino Guichard Perrachon SA, 3.960%, (Euribor 3 Month ACT/360 plus 4.000%), 8/31/25 EUR∞		1,300,000		1,218
Charter Communications Operating LLC, 3.920%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27b		3,363,877		3,202
CommScope, Inc., 5.420%, (ICE LIBOR USD 3 Month plus 3.250%), 4/6/26		486,250		436
Connect Finco SARL, 5.670%, (ICE LIBOR USD 1 Month plus 3.500%), 12/11/26		1,173,000		1,082
Envision Healthcare Corp., 10.040%, (CME Term SOFR 1 Month plus 15.750%), 4/30/27		200,000		195
Grifols SA, 2.210%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR∞,b		1,850,815		1,797
Hilton Worldwide Finance LLC, 3.920%, (ICE LIBOR USD 3 Month plus 1.750%), 6/22/26		1,120,295		1,070
INEOS Quattro Finance 2 PLC, 4.920%, (ICE LIBOR USD 1 Month plus 2.750%), 1/29/26b		2,169,023		2,042
INEOS Quattro Holdings UK, Ltd., 2.710%, (Euribor 3 Month ACT/360 plus 2.750%), 1/29/26 EUR∞		1,100,000		1,047
Intelsat Jackson Holdings SA, 6.420%, (CME Term SOFR 1 Month plus 4.250%), 2/1/29		197,756		180
Lumen Technologies, Inc., 4.420%, (ICE LIBOR USD 1 Month plus 2.250%), 3/15/27b		5,258,393		4,820
Setanta Aircraft Leasing DAC, 4.170%, (ICE LIBOR USD 1 Month plus 2.000%), 11/5/28b		4,000,000		3,798


Bank Loan Obligations (4.3%)	Shares/ Par⁺		Value $ (000’s)

Bank Loan Obligations continued
Sigma Bidco BV, 3.460%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR∞		1,600,000		1,255
SOCAR Turkey Energy, Inc., 3.410%, (Euribor 3 Month ACT/360 plus 3.450%), 8/17/26 EUR∞		5,800,000		5,561
Standard Industries, Inc., 4.670%, (ICE LIBOR USD 1 Month plus 2.500%), 9/22/28		1,206,975		1,166
Summer BC Holdco B SARL, 6.670%, (ICE LIBOR USD 1 Month plus 4.500%), 12/4/26		992,500		913
WP/AP Telecom Holdings IV BV, 3.960%, (Euribor 3 Month ACT/360 plus 4.000%), 3/30/29 EUR∞		5,800,000		5,572
Ziggo Financing Partnership BV, 4.670%, (ICE LIBOR USD 1 Month plus 2.500%), 4/30/28		1,555,228		1,446


Total Bank Loan Obligations
(Cost: $52,863)				46,984


Short-Term Investments (13.8%)

Governments (9.9%)
Republic of Argentina 0.000%, 9/30/22 ARS∞		13,700,000		46
US Treasury 0.000%, 7/5/22b		2,100,000		2,100
0.000%, 7/7/22b		3,400,000		3,400
0.000%, 7/12/22b		2,200,000		2,199
0.000%, 7/14/22b		9,700,000		9,696
0.000%, 7/19/22b		20,800,000		20,789
0.000%, 7/21/22b		6,900,000		6,896
0.000%, 7/26/22b		18,800,000		18,787
0.000%, 7/28/22b		3,300,000		3,297
0.000%, 8/9/22b		3,200,000		3,196
0.000%, 8/25/22b		3,800,000		3,792
0.000%, 9/29/22b		29,700,000		29,578
0.000%, 10/4/22b		4,600,000		4,578

Total				108,354


Money Market Funds (0.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#,b		5,946,222		5,946

Total				5,946


Repurchase Agreements (3.4%)
JP Morgan repurchase (Purchased on 6/30/22, to be repurchased at $37,701,466, collateralized by US Treasury Bond, 2%, due 8/15/51, par and fair value of $49,481,000 and $38,092,639, respectively) 1.400%, 7/1/22		37,700,000		37,700

Total				37,700


Total Short-Term Investments
(Cost: $152,028)				152,000


Total Investments (97.1%)
(Cost: $1,277,429)^@				1,067,884

Other Assets, Less Liabilities (2.9%)				32,456

Net Assets (100.0%)				1,100,340

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

161

Multi-Sector Bond Portfolio

Reverse Repurchase Agreements

Reference Entity

Counterparty

Interest
Rate

Borrowing
Date

Maturity
Date

Currency

Amount
Borrowed
(000’s)

Payable for
Reverse
Repurchase
Agreements
(000s)

Ghana Government International Bond

Bank of America Merrill Lynch

–%

6/23/22

Open

USD

(178)

(178

)

Abertis Infrastructuras SA

JP Morgan Chase Bank NA

(1.250)%

1/17/22

Open

EUR

(239)

(219

)

(397

)

Exchange Traded or Centrally Cleared Derivatives Futures


Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Five-Year US Treasury Note Future		Long		USD		32,200		322		9/22	$	36,145	$	(116	)	$	226
Ten-Year US Treasury Note Future		Long		USD		106,400		1,064		9/22		126,117		(517	)		1,160
Two-Year US Treasury Note Future		Long		USD		127,200		636		9/22		133,570		(405	)		358
Ultra Ten-Year US Treasury Note Future		Long		USD		12,300		123		9/22		15,667		(5	)		115
Ultra Long Term US Treasury Bond Future		Long		USD		27,800		278		9/22		42,908		(916	)		651

													$	(1,959	)	$	2,510

Centrally Cleared Interest Rate Swaps - Receive Floating Rate


Floating Rate Index	Fixed Rate			Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)		Variation Margin (000’s)
1-Day JPY - MUTKCALM Compounded-OIS		0.050	%		12/31		14,000		JPY	$	3	$	1	$	4	$	–	π
1-Day JPY - MUTKCALM Compounded-OIS		0.400	%		6/32		2,140,000		JPY		84		47		131		(39	)
6-Month EUR-EURIBOR		0.500	%		9/52		1,400		EUR		196		296		492		(32	)

										$	283	$	344	$	627	$	(71	)

Centrally Cleared Interest Rate Swaps - Pay Floating Rate


Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin (000’s)
1-Day US SOFR		2.153%		5/32		14,200		USD	$	–		$	(783	)	$	(783	)	$	116
1-Day US SOFR		2.040%		5/32		6,800		USD		–			(442	)		(442	)		55
3-Month Canada Bankers Acceptances		2.050%		11/23		33,800		CAD		(9	)		(409	)		(418	)		19
3-Month Canada Bankers Acceptances		0.880%		3/24		12,600		CAD		–	π		(413	)		(413	)		8
3-Month Canada Bankers Acceptances		2.500%		6/29		8,000		CAD		123			(525	)		(402	)		25
6-Month EUR-EURIBOR		–%		9/27		11,800		EUR		(672	)		(605	)		(1,277	)		108
6-Month EUR-EURIBOR		0.250%		9/32		15,300		EUR		(1,431	)		(1,470	)		(2,901	)		230

									$	(1,989	)	$	(4,647	)	$	(6,636	)	$	561

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

162

Multi-Sector Bond Portfolio

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, Series 34	1.000%	12/25	5.688%	29,600	USD	$	(771	)	$	(3,199	)	$	(3,970	)	$	(94	)
Markit CDX Emerging Markets Index, Series 35	1.000%	6/26	4.599%	200	USD		(6	)		(18	)		(24	)		-	π
Markit CDX Emerging Markets Index, Series 36	1.000%	12/26	4.596%	77,700	USD		(3,104	)		(7,011	)		(10,115	)		(40	)
Markit CDX North America High Yield Index, Series 38	5.000%	6/27	5.757%	8,217	USD		(278	)		38			(240	)		39
Markit CDX North America Investment Grade Index, Series 35	1.000%	12/25	0.804%	200	USD		3			(2	)		1			-	π
Markit CDX North America Investment Grade Index, Series 36	1.000%	6/26	0.882%	800	USD		16			(12	)		4			-	π
Markit CDX North America Investment Grade Index, Series 37	1.000%	12/26	0.946%	3,500	USD		46			(38	)		8			-	π
Markit CDX North America Investment Grade Index, Series 38	1.000%	6/27	1.006%	86,200	USD		992			(1,017	)		(25	)		(12	)
Markit iTraxx Europe Crossover Index, Series 37	5.000%	6/27	5.802%	64,600	EUR		3,836			(5,940	)		(2,104	)		1,862

						$	734		$	(17,199	)	$	(16,465	)	$	1,755

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%	6/26	1.142%	100	USD	$	1		$	(2	)	$	(1	)	$	-	π
AT&T, Inc.	1.000%	6/24	0.983%	200	USD		-	π		–	π		-	π		-	π
AT&T, Inc.	1.000%	6/25	1.061%	100	USD		(2)			2			-	π		-	π
Casino Guichard Perrachon SA	5.000%	6/23	22.437%	600	EUR		12			(103	)		(91	)		(5	)
Casino Guichard Perrachon SA	5.000%	12/22	17.605%	1,700	EUR		(17	)		(82	)		(99	)		(7	)
Ford Motor Co.	5.000%	12/25	3.772%	400	USD		15			–	π		15			(1	)
Ford Motor Co.	5.000%	6/26	3.931%	1,000	USD		43			(7	)		36			(2	)
Ford Motor Co.	5.000%	6/27	4.319%	700	USD		47			(28	)		19			(2	)
Ford Motor Co.	5.000%	12/23	3.074%	200	USD		11			(6	)		5			-	π
Ford Motor Co.	5.000%	12/23	3.074%	700	USD		30			(11	)		19			(1	)
General Electric Co.	1.000%	12/26	1.700%	400	USD		4			(15	)		(11	)		(1	)
General Electric Co.	1.000%	6/24	0.920%	900	USD		(3	)		4			1			-	π
General Electric Co.	1.000%	6/26	1.530%	3,800	USD		34			(108	)		(74	)		(3	)
Glencore Finance Europe, Ltd.	5.000%	12/25	1.891%	2,700	EUR		444			(154	)		290			(11	)
Glencore Finance Europe, Ltd.	5.000%	12/27	2.554%	1,600	EUR		368			(168	)		200			(10	)
Glencore Finance Europe, Ltd.	5.000%	12/26	2.242%	700	EUR		136			(53	)		83			(4	)
Marks & Spencer PLC	1.000%	12/24	2.609%	2,900	EUR		(68	)		(59	)		(127	)		(11	)
Marks & Spencer PLC	1.000%	6/27	4.082%	100	EUR		(7	)		(7	)		(14	)		(1	)
Marks & Spencer PLC	1.000%	12/28	4.469%	500	EUR		(35	)		(61	)		(96	)		(4	)

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

163

Multi-Sector Bond Portfolio

Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)


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)
Volkswagen International Finance NV	1.000%	12/26	1.782%	3,100	EUR	$	56	$	(163	)	$	(107	)	$	(18	)

						$	1,069	$	(1,021	)	$	48		$	(81	)


	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	$	2,462	$	2,510	$	4,972	$	(298	)	$	-	$	(298	)	$	-

Over the Counter Derivatives

Forward Foreign Currency Contracts


Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)	USD Principal Amount Covered by Contract (000’s)	Settlement Date	Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	UBS AB	AUD	13,639	9,414	7/5/22	$	–		$	(328	)	$	(328	)
Buy	HSBC Bank PLC	AUD	13,639	9,416	8/2/22		22			–			22
Sell	HSBC Bank PLC	AUD	13,639	9,414	7/5/22		–			(21	)		(21	)
Buy	BNP Paribas SA	BRL	2,233	427	7/5/22		–	π		–			–	π
Buy	Goldman Sachs Bank USA	BRL	30,189	5,769	7/5/22		–			(308	)		(308	)
Buy	Goldman Sachs Bank USA	BRL	27,956	5,296	8/2/22		–			(39	)		(39	)
Sell	BNP Paribas SA	BRL	2,233	427	7/5/22		39			–			39
Sell	Goldman Sachs Bank USA	BRL	30,189	5,769	7/5/22		36			–	π		36
Sell	Bank of America NA	CAD	504	392	7/5/22		8			–			8
Sell	HSBC Bank PLC	CAD	378	294	7/5/22		1			–			1
Sell	Royal Bank of Canada	CAD	179	139	7/5/22		3			–			3
Sell	HSBC Bank PLC	CNH	27,156	4,056	8/10/22		–			(11	)		(11	)
Sell	JP Morgan Chase Bank NA	CNH	32,116	4,797	8/10/22		–			(23	)		(23	)
Sell	HSBC Bank PLC	CNH	18,570	2,779	5/10/23		–			(12	)		(12	)
Buy	Barclays Bank PLC	EUR	7,267	7,616	7/5/22		–			(46	)		(46	)
Buy	BNP Paribas SA	EUR	219,029	229,532	7/5/22		–			(880	)		(880	)
Sell	HSBC Bank PLC	EUR	220,615	231,194	7/5/22		6,717			–			6,717
Sell	UBS AB	EUR	5,681	5,953	7/5/22		33			–			33
Sell	BNP Paribas SA	EUR	217,379	228,221	8/2/22		835			–			835
Buy	BNP Paribas SA	GBP	869	1,058	7/5/22		–			(6	)		(6	)
Sell	Bank of America NA	GBP	38,046	46,313	7/5/22		1,791			–			1,791
Sell	Bank of America NA	GBP	37,177	45,277	8/2/22		–			(106	)		(106	)
Buy	HSBC Bank PLC	IDR	27,086,198	1,817	8/10/22		–			(30	)		(30	)
Buy	JP Morgan Chase Bank NA	IDR	61,571,782	4,131	8/10/22		–			(55	)		(55	)
Sell	Bank of America NA	IDR	214,043	14	8/10/22		–	π		–			–	π
Sell	BNP Paribas SA	IDR	88,890,308	5,964	8/10/22		157			–			157
Sell	Barclays Bank PLC	JPY	27,100	200	7/5/22		10			–			10
Buy	BNP Paribas SA	MXN	9,380	466	7/1/22		18			–			18
Buy	Goldman Sachs Bank USA	MXN	127,560	6,332	7/15/22		86			–			86
Buy	BNP Paribas SA	MXN	9,380	460	9/15/22		–	π		–			–	π
Sell	BNP Paribas SA	MXN	9,380	466	7/1/22		–	π		–			–	π
Sell	Bank of America NA	MXN	4,920	243	8/9/22		–			(1	)		(1	)
Sell	UBS AB	MXN	129,854	6,381	9/8/22		136			–			136
Buy	UBS AB	NOK	106,340	10,796	7/5/22		–			(481	)		(481	)
Buy	Barclays Bank PLC	NOK	106,259	10,794	8/2/22		–			(50	)		(50	)
Sell	Barclays Bank PLC	NOK	106,306	10,793	7/5/22		51			–			51
Buy	BNP Paribas SA	ZAR	94,864	5,772	10/14/22		–			(397	)		(397	)

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

164

Multi-Sector Bond Portfolio

Forward Foreign Currency Contracts (continued)


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	BNP Paribas SA	ZAR	506	31	11/8/22	$	–	$	(1	)	$	(1	)

						$	9,943	$	(2,795	)	$	7,148

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)
Casino Guichard Perrachon SA	JP Morgan Chase Bank NA	5.000%	12/22	17.605%	EUR		100	$	1		$	(7	)	$	(6	)
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/26	2.869%	EUR		1,000		203			(110	)		93
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/26	2.869%	EUR		1,800		370			(203	)		167
Intrum AB	Barclays Bank PLC	5.000%	12/24	4.951%	EUR		100		4			(4	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		200		10			(10	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		200		8			(8	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		200		9			(9	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		300		16			(16	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		300		16			(16	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		400		22			(22	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		400		22			(22	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		500		20			(20	)		–	π
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		600		27			(28	)		(1	)
Intrum AB	Goldman Sachs International	5.000%	12/24	4.951%	EUR		600		33			(34	)		(1	)
Intrum AB	JP Morgan Chase Bank NA	5.000%	12/24	4.951%	EUR		800		33			(34	)		(1	)
Intrum AB	Morgan Stanley Capital Services	5.000%	12/24	4.951%	EUR		100		4			(4	)		–	π
Intrum AB	Morgan Stanley Capital Services	5.000%	12/24	4.951%	EUR		100		4			(4	)		–	π
Intrum AB	Morgan Stanley Capital Services	5.000%	12/24	4.951%	EUR		200		11			(11	)		–	π
Republic of Indonesia	Barclays Bank PLC	1.000%	6/31	2.005%	USD		5,700		(216	)		(196	)		(412	)
United Mexican States	Morgan Stanley Capital Services	1.000%	12/26	1.642%	USD		300		1			(9	)		(8	)
United Mexican States	Morgan Stanley Co., Inc.	1.000%	6/27	1.751%	USD		500		(2	)		(15	)		(17	)

								$	596		$	(782	)	$	(186	)

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

165

Multi-Sector Bond Portfolio


	Financial Derivative Assets (000’s)			Financial Derivative Liabilities (000’s)
	Forward Foreign Currency Contracts	Swaps	Total	Forward Foreign Currency Contracts			Options		Swaps			Total
Total Over the Counter Derivatives	$9,943	$260	$10,203	$	(2,795	)		–	$	(446	)	$	(3,241)

Restricted Securities

Description

Acquisition
Date

Cost (000’s)

Value (000’s)

Value as a
Percentage of Net
Assets

Constellation Oil - Class B

6/10/22

–

%π

Noble Corp. PLC

2/5/21

237

578

0.05

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

d	Restricted security – see accompanying table for additional details

144A

f	Defaulted Security

∞	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, 2022, the aggregate value of these securities was $244,954 (in thousands), representing 22.2% of net assets.

b	Cash or securities with an aggregate value of $371,587 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2022.

µ	Perpetual maturity, date shown, if applicable, represents next contractual call date.

Þ	PIK - Payment In Kind. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%.

S	Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

π	Amount is less than one thousand.

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,277,706 and the net unrealized depreciation of investments based on that cost was $227,662 which is comprised of $17,670 aggregate gross unrealized appreciation and $245,332 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.

166

Multi-Sector Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	-		$	46,984		$	-
Common Stocks
Energy		638			-			12
All Others		-			-			264
Convertible Corporate Bonds		-			1,400			-
Municipal Bonds		-			7,428			-
Corporate Bonds
Communications		-			68,234			9
All Others		-			524,715			-
Governments		-			162,866			-
Structured Products		-			103,334			-
Short-Term Investments
Money Market Funds		5,946			-			-
All Others		-			146,054			-
Other Financial Instruments^
Forward Foreign Currency Contracts		-			9,943			-
Interest Rate Swaps		-			627			-
Credit Default Swaps		-			941			-
Total Assets:	$	6,584		$	1,072,526		$	285
Liabilities:
Other Financial Instruments^
Futures		(1,959	)		-			-
Forward Foreign Currency Contracts		-			(2,795	)		-
Interest Rate Swaps		-			(6,636	)		-
Credit Default Swaps		-			(17,544	)		-
Reverse Repurchase Agreements		-			(397	)		-
Total Liabilities:	$	(1,959	)	$	(27,372	)	$	-

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

167

Balanced Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Fixed Income		46.8	%
Domestic Equity		38.3	%
Foreign Equity		11.4	%
Short-Term Investments & Other Net Assets		3.5	%

Sector Allocation is subject to change.

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.

168

Balanced Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Investment Companies (96.5%)	Shares/ Par⁺		Value $ (000’s)

Domestic Equity (38.3%)
iShares Core S&P 500 ETF		285,200		108,134
iShares Core S&P Mid-Cap ETF		37,150		8,404
iShares Core S&P Small-Cap ETF		165,400		15,285
iShares Russell 2000 ETF		64,400		10,907
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		46,410,328		81,125
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		15,594,253		28,787
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		29,631,296		91,087
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		13,009,922		34,411
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		80,053,301		90,940
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		18,413,610		32,316
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		24,968,480		27,590
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		27,298,531		79,193
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		50,680,598		93,100
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		8,155,274		18,211
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		11,778,432		24,146

Total				743,636


Fixed Income (46.8%)
iShares Core U.S. Aggregate Bond ETF		57,700		5,867
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		85,802,978		55,600
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		106,601,548		99,246
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		646,906,405		725,829
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		22,680,206		22,975

Total				909,517


Investment Companies (96.5%)	Shares/ Par⁺		Value $ (000’s)

Foreign Equity (11.4%)
iShares Core MSCI EAFE ETF		654,900		38,541
iShares Core MSCI Emerging Markets ETF		124,900		6,128
iShares MSCI EAFE ETF		139,900		8,742
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		17,166,196		17,372
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		40,424,417		57,969
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		31,157,821		54,433
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		38,234,563		39,152

Total				222,337


Total Investment Companies
(Cost: $2,021,639)				1,875,490


Short-Term Investments (3.1%)

Commercial Paper (0.2%)
The Home Depot, Inc. 1.550%, 7/6/22 144A		4,000,000		3,999

Total				3,999


Investment Companies (2.3%)
JPMorgan Ultra-Short Income ETF		452,950		22,688
PIMCO Enhanced Short Maturity Active ETF		225,400		22,339

Total				45,027


Money Market Funds (0.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#		11,096,704		11,097

Total				11,097


Total Short-Term Investments
(Cost: $61,095)				60,123


Total Investments (99.6%)
(Cost: $2,082,734)^@				1,935,613

Other Assets, Less Liabilities (0.4%)				7,578

Net Assets (100.0%)				1,943,191

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

£	Affiliated Company

144A

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,082,734 and the net unrealized depreciation of investments based on that cost was $147,121 which is comprised of $44,164 aggregate gross unrealized appreciation and $191,285 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.

169

Balanced Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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	$	1,875,490	$	-	$	-
Short-Term Investments
All Others		56,124		-		-
Commercial Paper		-		3,999		-
Total Assets:	$	1,931,614	$	3,999	$	-

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

170

Asset Allocation Portfolio (unaudited)

Sector Allocation 6/30/22


Sector	% of Net Assets
Domestic Equity		49.4	%
Fixed Income		31.8	%
Foreign Equity		16.4	%
Short-Term Investments & Other Net Assets		2.4	%

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.

171

Asset Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2022 (unaudited)


Investment Companies (97.6%)	Shares/ Par⁺		Value $ (000’s)

Domestic Equity (49.4%)
iShares Core S&P 500 ETF		47,400		17,972
iShares Core S&P Mid-Cap ETF		7,350		1,663
iShares Core S&P Small-Cap ETF		26,800		2,477
iShares Russell 2000 ETF		300		51
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		8,149,822		14,246
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		2,730,982		5,041
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		5,176,722		15,913
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		2,257,428		5,971
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		13,772,520		15,645
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		3,082,459		5,410
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		4,197,970		4,639
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		4,513,579		13,094
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		8,098,630		14,877
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		2,305,661		5,148
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		3,286,156		6,737

Total				128,884


Fixed Income (31.8%)
iShares Core U.S. Aggregate Bond ETF		28,200		2,867
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		19,743,682		12,794
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		14,257,333		13,274
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		45,295,903		50,822


Investment Companies (97.6%)	Shares/ Par⁺		Value $ (000’s)

Fixed Income continued
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		3,099,764		3,140

Total				82,897


Foreign Equity (16.4%)
iShares Core MSCI EAFE ETF		118,500		6,974
iShares Core MSCI Emerging Markets ETF		23,600		1,158
iShares MSCI EAFE ETF		22,100		1,381
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		3,466,719		3,508
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		7,772,184		11,145
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		6,188,750		10,812
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		7,781,712		7,968

Total				42,946


Total Investment Companies
(Cost: $269,444)				254,727


Short-Term Investments (2.3%)

Investment Companies (1.5%)
JPMorgan Ultra-Short Income ETF		40,300		2,018
PIMCO Enhanced Short Maturity Active ETF		20,100		1,992

Total				4,010


Money Market Funds (0.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.450%^#		2,022,766		2,023

Total				2,023


Total Short-Term Investments
(Cost: $6,120)				6,033


Total Investments (99.9%)
(Cost: $275,564)^@				260,760

Other Assets, Less Liabilities (0.1%)				153

Net Assets (100.0%)				260,913

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

£	Affiliated Company

#	7-Day yield as of 6/30/2022.

At June 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $275,564 and the net unrealized depreciation of investments based on that cost was $14,804 which is comprised of $7,425 aggregate gross unrealized appreciation and $22,229 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

172

Asset Allocation Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2022. 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

254,727

–

Short-Term Investments

6,033

–

Total Assets:

260,760

–

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

173

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2022 (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)	$	853,867	$	950,199	$	606,980	$	181,164	$	4,373,387
Cash		–		–		–		–		62
Cash Collateral for Derivative Positions		–		–		–		–		2,874
Receivable for Portfolio Shares Sold		120		106		33		66		671
Receivable for Investment Securities Sold		–		–		92		1,053		–
Prepaid Expenses and Other Assets		16		17		14		11		40
Dividends and Interest Receivable		131		835		659		134		3,457

Total Assets		854,134		951,157		607,778		182,428		4,380,491

Liabilities
Payable for Portfolio Shares Redeemed		141		243		210		7		811
Payable for Investment Securities Purchased		2,947		390		823		353		–
Variation Margin Payable		–		–		–		–		430
Investment Advisory Fees		312		484		224		106		701
Compliance Fees Payable		6		6		5		4		11
Accrued Expenses		33		34		24		19		21

Total Liabilities		3,439		1,157		1,286		489		1,974

Net Assets	$	850,695	$	950,000	$	606,492	$	181,939	$	4,378,517

Represented By:
Aggregate Paid in Capital (10) (11)	$	637,416	$	543,644	$	413,365	$	138,462	$	1,520,809
Total Distributable Earnings (Loss)		213,279		406,356		193,127		43,477		2,857,708
							��
Net Assets for Shares Outstanding (10) (11)	$	850,695	$	950,000	$	606,492	$	181,939	$	4,378,517

Net Asset Value, Offering and Redemption Price per Share	$	2.65	$	3.07	$	1.76	$	1.14	$	6.54

(1) Unaffiliated Investments, at Cost	$	772,210	$	734,286	$	569,430	$	168,130	$	1,773,631
(10) Shares Outstanding		321,621		309,057		345,532		160,215		669,691
(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.

174

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2022 (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)	$	171,552		$	985,285	$	720,983	$	984,892	$	1,070,646
Foreign Currency, at Value (4)		125			–		–		–		–
Cash Collateral for Derivative Positions		–			–		–		–		201
Receivable for Portfolio Shares Sold		61			257		579		6,019		216
Receivable for Investment Securities Sold		447			3,768		645		6,272		–
Receivable for Foreign Currency		71			–		–		–		–
Prepaid Expenses and Other Assets		11			16		14		17		26
Dividends and Interest Receivable		415			1,212		1,526		655		1,123

Total Assets		172,682			990,538		723,747		997,855		1,072,212

Liabilities
Payable for Portfolio Shares Redeemed		6			279		71		355		158
Payable for Investment Securities Purchased		444			10,217		509		3,119		–
Variation Margin Payable		–			–		–		–		151
Payable for Foreign Currency		11			–		–		–		–
Collateral from Counterparty		830	��		–		–		–		–
Investment Advisory Fees		106			395		347		442		204
Compliance Fees Payable		5			5		5		6		6
Accrued Expenses		25			26		26		29		29

Total Liabilities		1,427			10,922		958		3,951		548

Net Assets	$	171,255		$	979,616	$	722,789	$	993,904	$	1,071,664

Represented By:
Aggregate Paid in Capital (10) (11)	$	119,462		$	643,562	$	462,036	$	939,799	$	739,722
Total Distributable Earnings (Loss)		51,793			336,054		260,753		54,105		331,942

Net Assets for Shares Outstanding (10) (11)	$	171,255		$	979,616	$	722,789	$	993,904	$	1,071,664

Net Asset Value, Offering and Redemption Price per Share	$	1.11		$	1.75	$	1.85	$	2.90	$	2.07

(1) Unaffiliated Investments, at Cost	$	170,222		$	816,225	$	598,977	$	1,014,829	$	899,827
(4) Foreign Currency, at Cost		125			–		–		–		–
(10) Shares Outstanding		154,931			560,561		391,443		342,605		518,236
(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.

175

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2022 (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)	$	633,483	$	580,301	$	358,474	$	534,535	$	826,067
Cash		–		–		4		566		–
Foreign Currency, at Value (4)		–		–		–		–		1,353
Receivable for Portfolio Shares Sold		171		43		83		497		131
Receivable for Investment Securities Sold		829		4,008		595		1,080		–
Receivable for Foreign Currency		193		–		–		–		16
Prepaid Expenses and Other Assets		14		14		25		14		15
Dividends and Interest Receivable		1,093		172		417		362		2,113

Total Assets		635,783		584,538		359,598		537,054		829,695

Liabilities
Payable for Portfolio Shares Redeemed		6,147		192		62		51		236
Payable for Investment Securities Purchased		2,851		4,063		–		832		11,928
Accrued Foreign Capital Gains Tax		–		–		–		–		4
Variation Margin Payable		–		–		39		–		–
Payable to Custodian		105		–		–		–		–
Payable for Foreign Currency		45		–		–		–		–
Collateral from Counterparty		2,930		–		–		–		–
Investment Advisory Fees		372		263		69		388		405
Compliance Fees Payable		5		5		5		5		6
Accrued Expenses		38		26		31		19		63

Total Liabilities		12,493		4,549		206		1,295		12,642

Net Assets	$	623,290	$	579,989	$	359,392	$	535,759	$	817,053

Represented By:
Aggregate Paid in Capital (10) (11)	$	469,846	$	525,102	$	283,511	$	359,383	$	631,108
Total Distributable Earnings (Loss)		153,444		54,887		75,881		176,376		185,945

Net Assets for Shares Outstanding (10) (11)	$	623,290	$	579,989	$	359,392	$	535,759	$	817,053

Net Asset Value, Offering and Redemption Price per Share	$	1.84	$	2.23	$	1.49	$	2.05	$	1.75

(1) Unaffiliated Investments, at Cost	$	659,261	$	603,169	$	329,675	$	456,562	$	768,487
(4) Foreign Currency, at Cost		–		–		–		–		1,352
(10) Shares Outstanding		339,284		259,746		240,485		261,344		467,713
(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.

176

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2022 (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)	$	737,239	$	1,650,040		$	835,348	$	244,183	$	399,332
Investments in Repurchase Agreements, at Value (3)		–		–			–		281,000		–
Cash		–		58			–		–		74
Foreign Currency, at Value (4)		302		862			755		–		–
Receivable for Portfolio Shares Sold		229		546			206		1,776		148
Receivable for Investment Securities Sold		501		2,510			–		–		907
Variation Margin Receivable		–		–			–		–		211
Receivable for Foreign Currency		3		3,367			–		–		–
Prepaid Expenses and Other Assets		15		20			15		12		13
Dividends and Interest Receivable		3,015		6,016			1,975		227		1,941

Total Assets		741,304		1,663,419			838,299		527,198		402,626

Liabilities
Payable for Portfolio Shares Redeemed		205		354			184		964		37
Payable for Investment Securities Purchased		1,725		2,866			–		–		5,581
Accrued Foreign Capital Gains Tax		60		–			2,031		–		–
Variation Margin Payable		–		–			–		–		141
Payable for Foreign Currency		–		19			–		–		–
Collateral from Counterparty		–		3,680			–		–		–
Investment Advisory Fees		465		930			605		127		106
Compliance Fees Payable		6		7			5		5		5
Accrued Expenses		54		81			78		26		43

Total Liabilities		2,515		7,937			2,903		1,122		5,913

Net Assets	$	738,789	$	1,655,482		$	835,396	$	526,076	$	396,713

Represented By:
Aggregate Paid in Capital (10) (11)	$	627,635	$	1,788,916		$	793,260	$	526,070	$	406,190
Total Distributable Earnings (Loss)		111,154		(133,434	)		42,136		6		(9,477	)

Net Assets for Shares Outstanding (10) (11)	$	738,789	$	1,655,482		$	835,396	$	526,076	$	396,713

Net Asset Value, Offering and Redemption Price per Share	$	1.02	$	1.43		$	1.01	$	1.00	$	1.01

(1) Unaffiliated Investments, at Cost	$	708,904	$	1,905,441		$	866,017	$	244,183	$	414,344
(3) Investments in Repurchase Agreements, at Cost		–		–			–		281,000		–
(4) Foreign Currency, at Cost		302		860			957		–		–
(10) Shares Outstanding		721,271		1,154,276			825,789		526,068		391,567
(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.

177

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2022 (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)	$	3,226,010		$	134,360		$	453,337	$	685,081		$	1,030,184
Investments in Repurchase Agreements, at Value (3)		–			–			–		–			37,700
Cash		–			–			3,748		–			2
Foreign Currency, at Value (4)		–			–			–		–			861
Cash Collateral for Derivative Positions		2,940			572			–		–			16,852
Receivable for Portfolio Shares Sold		210			4			70		73			163
Receivable for Investment Securities Sold		288,518			15,611			26		20			19,600
Receivable for Financing Transactions		–			83,508			–		–			–
Variation Margin Receivable		–			213			–		–			4,972
Outstanding Swap Contracts, at Value (8)		–			–			6,280		–			260
Receivable for Foreign Currency		–			–			34		–			10,080
Prepaid Expenses and Other Assets		27			11			12		14			17
Dividends and Interest Receivable		13,112			696			1,456		12,278			12,085

Total Assets		3,530,817			234,975			464,963		697,466			1,132,776

Liabilities
Payable for Portfolio Shares Redeemed		21,867			7			120		129			289
Payable for Investment Securities Purchased		525,567			16,846			1,411		–			17,885
Payable for Financing Transactions		–			102,592			–		–			–
Accrued Foreign Capital Gains Tax		–			–			–		–			1
Variation Margin Payable		–			344			704		–			298
Payable to Custodian		–			–			–		–			896
Securities Sold Short, at Value (7)		–			4,594			–		–			–
Payable for Reverse Repurchase Agreements		–			–			–		–			397
Outstanding Swap Contracts, at Value (9)		–			–			408		–			446
Payable for Foreign Currency		–			–			–		–			2,795
Collateral from Counterparty		–			–			4,157		–			8,720
Investment Advisory Fees		725			46			190		248			629
Compliance Fees Payable		8			4			5		5			6
Deferred Income for Financing Transactions		–			10			–		–			–
Accrued Expenses		50			32			34		39			74

Total Liabilities		548,217			124,475			7,029		421			32,436

Net Assets	$	2,982,600		$	110,500		$	457,934	$	697,045		$	1,100,340

Represented By:
Aggregate Paid in Capital (10) (11)	$	3,313,135		$	160,353		$	447,884	$	751,976		$	1,280,363
Total Distributable Earnings (Loss)		(330,535	)		(49,853	)		10,050		(54,931	)		(180,023	)

Net Assets for Shares Outstanding (10) (11)	$	2,982,600		$	110,500		$	457,934	$	697,045		$	1,100,340

Net Asset Value, Offering and Redemption Price per Share	$	1.12		$	0.74		$	1.15	$	0.65		$	0.93

(1) Unaffiliated Investments, at Cost	$	3,477,478		$	170,801		$	493,486	$	797,981		$	1,239,729
(3) Investments in Repurchase Agreements, at Cost		–			–			–		–			37,700
(4) Foreign Currency, at Cost		–			–			–		–			914
(7) Proceeds Received from Short Sales		–			4,564			–		–			–
(8) Premiums Paid on Swap Contracts		–			226			2		–			7,314
(9) Premiums Received from Swap Contracts		–			214			1		–			6,621
(10) Shares Outstanding		2,659,298			148,647			397,075		1,075,441			1,181,411
(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.

178

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2022 (unaudited) (in thousands)


	Balanced Portfolio		Asset Allocation Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	262,131	$	40,576
Affiliated Investments, at Value (2)		1,673,482		220,184
Receivable for Portfolio Shares Sold		265		11
Receivable for Investment Securities Sold		24,100		3,100
Prepaid Expenses and Other Assets		22		12
Dividends and Interest Receivable		11		1

Total Assets		1,960,011		263,884

Liabilities
Payable for Portfolio Shares Redeemed		332		8
Payable for Investment Securities Purchased		16,369		2,926
Investment Advisory Fees		82		11
Compliance Fees Payable		7		5
Accrued Expenses		30		21

Total Liabilities		16,820		2,971

Net Assets	$	1,943,191	$	260,913

Represented By:
Aggregate Paid in Capital (10) (11)	$	1,869,687	$	244,948
Total Distributable Earnings (Loss)		73,504		15,965

Net Assets for Shares Outstanding (10) (11)	$	1,943,191	$	260,913

Net Asset Value, Offering and Redemption Price per Share	$	1.33	$	1.10

(1) Unaffiliated Investments, at Cost	$	276,500	$	43,337
(2) Affiliated Investments, at Cost		1,806,234		232,227
(10) Shares Outstanding		1,456,873		236,504
(11) Shares Authorized, $.01 Par Value		4,000,000		2,000,000

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

179

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2022 (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)	$	9		$	26		$	7		$	6		$	81
Unaffiliated Dividends (1)		2,332			4,024			4,974			1,352			37,896

Total Income		2,341			4,050			4,981			1,358			37,977

Expenses
Investment Advisory Fees		2,259			4,029			1,556			699			4,917
Custodian Fees		19			13			13			9			12
Shareholder Reporting Fees		6			8			7			6			9
Audit Fees		14			13			14			11			22
Valuation Services		–			–			1			–			3
Compliance Fees		6			6			5			4			11
Directors Fees		24			24			22			19			45
Professional Fees		5			4			4			4			7
Trade Name Fees		–			–			–			–			51
Other Expenses		8			7			5			1			28

Total Expenses		2,341			4,104			1,627			753			5,105

Less Waived Fees:
Paid by Affiliate		(12	)		(672	)		(37	)		(28	)		(293	)

Net Expenses		2,329			3,432			1,590			725			4,812

Net Investment Income (Loss)		12			618			3,391			633			33,165
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(18,645	)		64,885			38,619			10,511			29,338
Futures Contracts		–			–			–			–			(7,597	)

Net Realized Gain (Loss) on Investments		(18,645	)		64,885			38,619			10,511			21,741

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(456,656	)		(442,812	)		(211,119	)		(48,008	)		(1,150,729	)
Futures Contracts		–			–			–			–			(3,229	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		(456,656	)		(442,812	)		(211,119	)		(48,008	)		(1,153,958	)

Net Gain (Loss) on Investments		(475,301	)		(377,927	)		(172,500	)		(37,497	)		(1,132,217	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(475,289	)	$	(377,309	)	$	(169,109	)	$	(36,864	)	$	(1,099,052	)

(1) Net of Foreign Witholding Tax	$	18		$	494		$	2		$	62		$	9

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

180

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2022 (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)	$	6		$	23		$	17		$	5		$	26
Unaffiliated Dividends (1)		2,824			11,326			11,056			4,414			9,387

Total Income		2,830			11,349			11,073			4,419			9,413

Expenses
Investment Advisory Fees		765			2,713			2,630			3,002			1,505
Custodian Fees		17			9			19			18			20
Shareholder Reporting Fees		7			8			8			6			9
Audit Fees		13			13			13			14			15
Valuation Services		8			–			1			1			2
Compliance Fees		4			6			5			6			6
Directors Fees		19			23			22			24			24
Professional Fees		4			4			4			5			5
Trade Name Fees		–			–			–			–			57
Other Expenses		1			6			5			7			7

Total Expenses		838			2,782			2,707			3,083			1,650

Less Waived Fees:
Paid by Affiliate		(33	)		(196	)		(342	)		(8	)		(177	)

Net Expenses		805			2,586			2,365			3,075			1,473

Net Investment Income (Loss)		2,025			8,763			8,708			1,344			7,940
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		16,309			22,368			37,047			(11,424	)		23,002
Futures Contracts		–			–			–			–			(1,438	)
Foreign Currency Transactions		1,339			–			(3	)		–			–

Net Realized Gain (Loss) on Investments		17,648			22,368			37,044			(11,424	)		21,564

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(35,763	)		(133,529	)		(114,250	)		(347,138	)		(290,245	)
Futures Contracts		–			–			–			–			(1,065	)
Foreign Currency Transactions		291			–			(1	)		–			–

Net Change in Unrealized Appreciation (Depreciation) of Investments		(35,472	)		(133,529	)		(114,251	)		(347,138	)		(291,310	)

Net Gain (Loss) on Investments		(17,824	)		(111,161	)		(77,207	)		(358,562	)		(269,746	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(15,799	)	$	(102,398	)	$	(68,499	)	$	(357,218	)	$	(261,806	)

(1) Net of Foreign Witholding Tax	$	56		$	–		$	271		$	1		$	–

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

181

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2022 (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)	$	17		$	11		$	8		$	27		$	133
Unaffiliated Dividends (1)		8,952			1,965			2,463			4,135			9,270

Total Income		8,969			1,976			2,471			4,162			9,403

Expenses
Investment Advisory Fees		2,919			1,795			445			2,566			2,668
Custodian Fees		27			11			35			10			84
Shareholder Reporting Fees		8			9			7			25			9
Audit Fees		14			13			13			12			15
Valuation Services		8			1			4			1			8
Compliance Fees		5			5			5			5			5
Directors Fees		21			22			20			21			23
Professional Fees		4			4			6			4			8
Trade Name Fees		–			–			16			–			–
Other Expenses		4			5			2			4			6

Total Expenses		3,010			1,865			553			2,648			2,826

Less Waived Fees:
Paid by Affiliate		(558	)		–			–			(27	)		–

Net Expenses		2,452			1,865			553			2,621			2,826

Net Investment Income (Loss)		6,517			111			1,918			1,541			6,577
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		66,419			(32,211	)		9,305			22,445			22,257
Futures Contracts		–			–			(1,120	)		–			–
Foreign Currency Transactions		3,447			–			–			–			(75	)

Net Realized Gain (Loss) on Investments		69,866			(32,211	)		8,185			22,445			22,182

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(131,890	)		(223,176	)		(93,874	)		(163,377	)		(323,432	)
Futures Contracts		–			–			(192	)		–			–
Foreign Currency Transactions		646			–			–			–			(141	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		(131,244	)		(223,176	)		(94,066	)		(163,377	)		(323,573	)

Net Gain (Loss) on Investments		(61,378	)		(255,387	)		(85,881	)		(140,932	)		(301,391	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(54,861	)	$	(255,276	)	$	(83,963	)	$	(139,391	)	$	(294,814	)

(1) Net of Foreign Witholding Tax	$	141		$	–		$	2		$	12		$	139

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

182

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2022 (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)	$	21		$	41		$	52		$	1,133		$	3,601
Unaffiliated Dividends (1)		13,752			42,300			12,088			–			–

Total Income		13,773			42,341			12,140			1,133			3,601

Expenses
Investment Advisory Fees		3,250			5,917			4,638			747			647
Custodian Fees		73			162			101			19			29
Shareholder Reporting Fees		9			56			9			3			7
Audit Fees		15			16			15			13			16
Valuation Services		8			7			7			3			31
Compliance Fees		5			7			5			5			5
Directors Fees		22			28			23			21			20
Professional Fees		8			15			15			6			8
Other Expenses		5			10			6			3			2

Total Expenses		3,395			6,218			4,819			820			765

Less Waived Fees:
Paid by Affiliate		(215	)		(1,013	)		(754	)		(230	)		–

Net Expenses		3,180			5,205			4,065			590			765

Net Investment Income (Loss)		10,593			37,136			8,075			543			2,836
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		22,804			4,547			(10,260	)		6			(2,047	)
Futures Contracts		–			–			–			–			(817	)
Foreign Currency Transactions		(153	)		538			74			–			–

Net Realized Gain (Loss) on Investments		22,651			5,085			(10,186	)		6			(2,864	)

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(233,181	)		(225,525	)		(238,438	)		–			(15,555	)
Futures Contracts		–			–			–			–			(282	)
Foreign Currency Transactions		(179	)		3,781			(212	)		–			–

Net Change in Unrealized Appreciation (Depreciation) of Investments		(233,360	)		(221,744	)		(238,650	)		–			(15,837	)

Net Gain (Loss) on Investments		(210,709	)		(216,659	)		(248,836	)		6			(18,701	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(200,116	)	$	(179,523	)	$	(240,761	)	$	549		$	(15,865	)

(1) Net of Foreign Witholding Tax	$	244		$	1,108		$	380		$	–		$	–

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

183

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2022 (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)	$	32,343		$	1,787		$	12,782		$	22,044		$	22,412
Unaffiliated Dividends (1)		–			–			112			–			–

Total Income		32,343			1,787			12,894			22,044			22,412

Expenses
Investment Advisory Fees		4,722			333			1,283			1,602			4,632
Custodian Fees		41			13			22			11			88
Shareholder Reporting Fees		44			5			9			11			10
Audit Fees		22			18			18			18			24
Valuation Services		28			7			13			22			35
Compliance Fees		8			5			5			5			6
Directors Fees		36			18			20			22			25
Professional Fees		7			8			8			5			9
Interest Expense		–			46			–			–			6
Other Expenses		19			1			2			5			7

Total Expenses		4,927			454			1,380			1,701			4,842

Less Waived Fees:
Paid by Affiliate		(117	)		(10	)		(88	)		–			(571	)

Net Expenses		4,810			444			1,292			1,701			4,271

Net Investment Income (Loss)		27,533			1,343			11,602			20,343			18,141
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(151,006	)		(3,003	)		(5,294	)		1,786			(2,549	)
Futures Contracts		–			1,155			479			–			(30,651	)
Options Written		–			–			–			–			139
Short Sales		–			653			–			–			–
Swap Contracts		–			(22	)		(112	)		–			(3,214	)
Foreign Currency Transactions		–			–			(41	)		–			15,259

Net Realized Gain (Loss) on Investments		(151,006	)		(1,217	)		(4,968	)		1,786			(21,016	)

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(239,125	)		(30,004	)		(62,664	)		(132,560	)		(207,683	)
Futures Contracts		–			199			133			–			(3,026	)
Short Sales		–			(23	)		–			–			–
Swap Contracts		–			641			5,891			–			(25,813	)
Foreign Currency Transactions		–			–			113			–			11,137
Reverse Repurchase Agreements		–			–			–			–			19

Net Change in Unrealized Appreciation (Depreciation) of Investments		(239,125	)		(29,187	)		(56,527	)		(132,560	)		(225,366	)

Net Gain (Loss) on Investments		(390,131	)		(30,404	)		(61,495	)		(130,774	)		(246,382	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(362,598	)	$	(29,061	)	$	(49,893	)	$	(110,431	)	$	(228,241	)

(1) Net of Foreign Witholding Tax	$	2		$	–		$	–		$	–		$	–

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

184

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2022 (unaudited) (in thousands)


	Balanced Portfolio			Asset Allocation Portfolio
Investment Income
Income
Interest (1)	$	50		$	5
Unaffiliated Dividends (1)		1,279			199

Total Income		1,329			204

Expenses
Investment Advisory Fees		3,209			751
Custodian Fees		9			9
Shareholder Reporting Fees		6			6
Audit Fees		18			15

Compliance Fees		7			5
Directors Fees		30			19
Professional Fees		6			4
Other Expenses		13			2

Total Expenses		3,298			811

Less Waived Fees:
Paid by Affiliate		(2,674	)		(679	)

Net Expenses		624			132

Net Investment Income (Loss)		705			72
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(1,771	)		(51	)
Affiliated Investment Securities		18,289			3,712

Net Realized Gain (Loss) on Investments		16,518			3,661

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(19,720	)		(3,004	)
Affiliated Investment Securities		(353,696	)		(54,441	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		(373,416	)		(57,445	)

Net Gain (Loss) on Investments		(356,898	)		(53,784	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(356,193	)	$	(53,712	)

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

185

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Growth Stock Portfolio						Focused Appreciation Portfolio						Large Cap Core Stock Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	12		$	(1,297	)	$	618		$	(94	)	$	3,391		$	5,523
Net Realized Gain (Loss) on Investments		(18,645	)		152,928			64,885			126,915			38,619			111,487
Net Change in Unrealized Appreciation (Depreciation) of Investments		(456,656	)		51,611			(442,812	)		91,159			(211,119	)		58,406

Net Increase (Decrease) in Net Assets Resulting from Operations		(475,289	)		203,242			(377,309	)		217,980			(169,109	)		175,416

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(55,999	)		–			(128,631	)		–			(63,357	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(55,999	)		–			(128,631	)		–			(63,357	)

Capital Transactions:
Shares Sold		17,547			66,958			54,367			67,399			9,547			18,494
Reinvestment of Distributions Paid		–			55,999			–			128,631			–			63,357
Shares Redeemed		(81,462	)		(166,704	)		(54,419	)		(144,714	)		(76,752	)		(71,081	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(63,915	)		(43,747	)		(52	)		51,316			(67,205	)		10,770

Total Increase (Decrease) in Net Assets		(539,204	)		103,496			(377,361	)		140,665			(236,314	)		122,829
Net Assets
Beginning of Period		1,389,899			1,286,403			1,327,361			1,186,696			842,806			719,977

End of Period	$	850,695		$	1,389,899		$	950,000		$	1,327,361		$	606,492		$	842,806

Portfolio Share Transactions:
Shares Sold		5,597			16,816			16,228			15,424			4,767			8,789
Reinvestment of Distributions Paid		–			13,432			–			29,970			–			29,913
Shares Redeemed		(27,779	)		(43,417	)		(14,494	)		(33,493	)		(40,682	)		(33,738	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(22,182	)		(13,169	)		1,734			11,901			(35,915	)		4,964

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

186

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Large Cap Blend Portfolio						Index 500 Stock Portfolio						Large Company Value Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	633		$	1,309		$	33,165		$	59,096		$	2,025		$	3,726
Net Realized Gain (Loss) on Investments		10,511			18,019			21,741			149,490			17,648			29,653
Net Change in Unrealized Appreciation (Depreciation) of Investments		(48,008	)		13,123			(1,153,958	)		1,029,723			(35,472	)		11,402

Net Increase (Decrease) in Net Assets Resulting from Operations		(36,864	)		32,451			(1,099,052	)		1,238,309			(15,799	)		44,781

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(13,080	)		–			(186,699	)		–			(5,187	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(13,080	)		–			(186,699	)		–			(5,187	)

Capital Transactions:
Shares Sold		21,411			4,803			164,477			291,017			11,984			18,519
Reinvestment of Distributions Paid		–			13,080			–			186,699			–			5,187
Shares Redeemed		(5,734	)		(14,692	)		(191,878	)		(444,085	)		(52,490	)		(47,738	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		15,677			3,191			(27,401	)		33,631			(40,506	)		(24,032	)

Total Increase (Decrease) in Net Assets		(21,187	)		22,562			(1,126,453	)		1,085,241			(56,305	)		15,562
Net Assets
Beginning of Period		203,126			180,564			5,504,970			4,419,729			227,560			211,998

End of Period	$	181,939		$	203,126		$	4,378,517		$	5,504,970		$	171,255		$	227,560

Portfolio Share Transactions:
Shares Sold		18,134			3,584			22,358			39,131			10,146			16,602
Reinvestment of Distributions Paid		–			10,031			–			24,195			–			4,538
Shares Redeemed		(4,467	)		(11,061	)		(25,932	)		(59,643	)		(46,019	)		(42,048	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		13,667			2,554			(3,574	)		3,683			(35,873	)		(20,908	)

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

187

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Domestic Equity Portfolio						Equity Income Portfolio						Mid Cap Growth Stock Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	8,763		$	18,263		$	8,708		$	14,817		$	1,344		$	1,825
Net Realized Gain (Loss) on Investments		22,368			118,336			37,044			79,836			(11,424	)		97,265
Net Change in Unrealized Appreciation (Depreciation) of Investments		(133,529	)		72,800			(114,251	)		97,810			(347,138	)		35,035

Net Increase (Decrease) in Net Assets Resulting from Operations		(102,398	)		209,399			(68,499	)		192,463			(357,218	)		134,125

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(41,951	)		–			(17,168	)		–			(177,020	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(41,951	)		–			(17,168	)		–			(177,020	)

Capital Transactions:
Shares Sold		65,337			67,692			15,903			26,819			18,714			27,950
Reinvestment of Distributions Paid		–			41,951			–			17,168			–			177,020
Shares Redeemed		(80,000	)		(126,486	)		(92,551	)		(138,867	)		(43,160	)		(131,071	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(14,663	)		(16,843	)		(76,648	)		(94,880	)		(24,446	)		73,899

Total Increase (Decrease) in Net Assets		(117,061	)		150,605			(145,147	)		80,415			(381,664	)		31,004
Net Assets
Beginning of Period		1,096,677			946,072			867,936			787,521			1,375,568			1,344,564

End of Period	$	979,616		$	1,096,677		$	722,789		$	867,936		$	993,904		$	1,375,568

Portfolio Share Transactions:
Shares Sold		35,638			37,242			7,901			14,138			5,857			6,644
Reinvestment of Distributions Paid		–			23,229			–			8,979			–			45,390
Shares Redeemed		(42,204	)		(69,390	)		(47,370	)		(73,961	)		(12,794	)		(30,976	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(6,566	)		(8,919	)		(39,469	)		(50,844	)		(6,937	)		21,058

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

188

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Index 400 Stock Portfolio						Mid Cap Value Portfolio						Small Cap Growth Stock Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	7,940		$	13,051		$	6,517		$	10,330		$	111		$	(543	)
Net Realized Gain (Loss) on Investments		21,564			120,098			69,866			100,755			(32,211	)		111,184
Net Change in Unrealized Appreciation (Depreciation) of Investments		(291,310	)		134,912			(131,244	)		26,542			(223,176	)		(75,989	)

Net Increase (Decrease) in Net Assets Resulting from Operations		(261,806	)		268,061			(54,861	)		137,627			(255,276	)		34,652

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(49,492	)		–			(12,785	)		–			(82,706	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(49,492	)		–			(12,785	)		–			(82,706	)

Capital Transactions:
Shares Sold		43,741			79,432			21,714			47,082			29,051			39,867
Reinvestment of Distributions Paid		–			49,492			–			12,785			–			82,706
Shares Redeemed		(46,208	)		(127,025	)		(48,418	)		(80,257	)		(23,800	)		(84,951	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(2,467	)		1,899			(26,704	)		(20,390	)		5,251			37,622

Total Increase (Decrease) in Net Assets		(264,273	)		220,468			(81,565	)		104,452			(250,025	)		(10,432	)
Net Assets
Beginning of Period		1,335,937			1,115,469			704,855			600,403			830,014			840,446

End of Period	$	1,071,664		$	1,335,937		$	623,290		$	704,855		$	579,989		$	830,014

Portfolio Share Transactions:
Shares Sold		18,768			32,105			10,913			25,282			11,157			11,481
Reinvestment of Distributions Paid		–			20,185			–			6,732			–			24,821
Shares Redeemed		(19,707	)		(51,909	)		(24,542	)		(42,723	)		(9,028	)		(24,328	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(939	)		381			(13,629	)		(10,709	)		2,129			11,974

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

189

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Index 600 Stock Portfolio						Small Cap Value Portfolio						International Growth Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,918		$	5,239		$	1,541		$	1,837		$	6,577		$	5,154
Net Realized Gain (Loss) on Investments		8,185			33,700			22,445			75,354			22,182			96,099
Net Change in Unrealized Appreciation (Depreciation) of Investments		(94,066	)		50,661			(163,377	)		59,393			(323,573	)		47,291

Net Increase (Decrease) in Net Assets Resulting from Operations		(83,963	)		89,600			(139,391	)		136,584			(294,814	)		148,544

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(9,577	)		–			(31,940	)		–			(34,654	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(9,577	)		–			(31,940	)		–			(34,654	)

Capital Transactions:
Shares Sold		25,569			52,725			13,689			18,877			77,057			82,450
Reinvestment of Distributions Paid		–			9,577			–			31,940			–			34,654
Shares Redeemed		(16,640	)		(52,001	)		(23,843	)		(85,236	)		(33,422	)		(87,004	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		8,929			10,301			(10,154	)		(34,419	)		43,635			30,100

Total Increase (Decrease) in Net Assets		(75,034	)		90,324			(149,545	)		70,225			(251,179	)		143,990
Net Assets
Beginning of Period		434,426			344,102			685,304			615,079			1,068,232			924,242

End of Period	$	359,392		$	434,426		$	535,759		$	685,304		$	817,053		$	1,068,232

Portfolio Share Transactions:
Shares Sold		15,273			29,519			5,943			7,540			39,224			36,250
Reinvestment of Distributions Paid		–			5,423			–			13,016			–			14,284
Shares Redeemed		(9,935	)		(29,578	)		(10,306	)		(34,221	)		(16,564	)		(37,660	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		5,338			5,364			(4,363	)		(13,665	)		22,660			12,874

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

190

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Research International Core Portfolio						International Equity Portfolio						Emerging Markets Equity Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	10,593		$	12,855		$	37,136		$	43,290		$	8,075		$	11,808
Net Realized Gain (Loss) on Investments		22,651			41,127			5,085			328,388			(10,186	)		89,271
Net Change in Unrealized Appreciation (Depreciation) of Investments		(233,360	)		50,336			(221,744	)		(282,534	)		(238,650	)		(145,185	)

Net Increase (Decrease) in Net Assets Resulting from Operations		(200,116	)		104,318			(179,523	)		89,144			(240,761	)		(44,106	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(24,775	)		–			(43,243	)		–			(5,199	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(24,775	)		–			(43,243	)		–			(5,199	)

Capital Transactions:
Shares Sold		60,293			93,466			50,569			144,483			116,437			141,055
Reinvestment of Distributions Paid		–			24,775			–			43,243			–			5,199
Shares Redeemed		(84,491	)		(125,682	)		(80,772	)		(148,238	)		(33,773	)		(127,554	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(24,198	)		(7,441	)		(30,203	)		39,488			82,664			18,700

Total Increase (Decrease) in Net Assets		(224,314	)		72,102			(209,726	)		85,389			(158,097	)		(30,605	)
Net Assets
Beginning of Period		963,103			891,001			1,865,208			1,779,819			993,493			1,024,098

End of Period	$	738,789		$	963,103		$	1,655,482		$	1,865,208		$	835,396		$	993,493

Portfolio Share Transactions:
Shares Sold		52,726			74,528			32,500			88,595			103,925			100,724
Reinvestment of Distributions Paid		–			18,927			–			26,050			–			3,633
Shares Redeemed		(78,250	)		(100,841	)		(51,611	)		(90,302	)		(29,549	)		(88,474	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(25,524	)		(7,386	)		(19,111	)		24,343			74,376			15,883

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

191

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Government Money Market Portfolio						Short-Term Bond Portfolio						Select Bond Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	543		$	3		$	2,836		$	5,155		$	27,533		$	39,195
Net Realized Gain (Loss) on Investments		6			34			(2,864	)		1,732			(151,006	)		10,542
Net Change in Unrealized Appreciation (Depreciation) of Investments		–			–			(15,837	)		(7,662	)		(239,125	)		(105,282	)

Net Increase (Decrease) in Net Assets Resulting from Operations		549			37			(15,865	)		(775	)		(362,598	)		(55,545	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(543	)		(37	)		–			(8,138	)		–			(227,916	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(543	)		(37	)		–			(8,138	)		–			(227,916	)

Capital Transactions:
Shares Sold		181,382			349,697			29,259			74,950			96,299			375,420
Reinvestment of Distributions Paid		543			37			–			8,138			–			227,916
Shares Redeemed		(144,713	)		(443,188	)		(28,965	)		(45,499	)		(179,517	)		(295,727	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		37,212			(93,454	)		294			37,589			(83,218	)		307,609

Total Increase (Decrease) in Net Assets		37,218			(93,454	)		(15,571	)		28,676			(445,816	)		24,148
Net Assets
Beginning of Period		488,858			582,312			412,284			383,608			3,428,416			3,404,268

End of Period	$	526,076		$	488,858		$	396,713		$	412,284		$	2,982,600		$	3,428,416

Portfolio Share Transactions:
Shares Sold		181,382			349,697			28,374			69,725			81,452			284,777
Reinvestment of Distributions Paid		543			37			–			7,678			–			179,886
Shares Redeemed		(144,713	)		(443,188	)		(28,077	)		(42,495	)		(152,634	)		(225,698	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		37,212			(93,454	)		297			34,908			(71,182	)		238,965

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

192

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Long-Term U.S. Government Bond Portfolio						Inflation Protection Portfolio						High Yield Bond Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,343		$	2,460		$	11,602		$	14,878		$	20,343		$	40,904
Net Realized Gain (Loss) on Investments		(1,217	)		101			(4,968	)		10,325			1,786			3,902
Net Change in Unrealized Appreciation (Depreciation) of Investments		(29,187	)		(10,623	)		(56,527	)		5,465			(132,560	)		(1,638	)

Net Increase (Decrease) in Net Assets Resulting from Operations		(29,061	)		(8,062	)		(49,893	)		30,668			(110,431	)		43,168

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(26,311	)		–			(5,725	)		–			(43,872	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(26,311	)		–			(5,725	)		–			(43,872	)

Capital Transactions:
Shares Sold		9,190			21,188			27,310			104,626			25,821			70,556
Reinvestment of Distributions Paid		–			26,311			–			5,725			–			43,872
Shares Redeemed		(8,498	)		(28,190	)		(33,414	)		(44,752	)		(60,677	)		(96,595	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		692			19,309			(6,104	)		65,599			(34,856	)		17,833

Total Increase (Decrease) in Net Assets		(28,369	)		(15,064	)		(55,997	)		90,542			(145,287	)		17,129
Net Assets
Beginning of Period		138,869			153,933			513,931			423,389			842,332			825,203

End of Period	$	110,500		$	138,869		$	457,934		$	513,931		$	697,045		$	842,332

Portfolio Share Transactions:
Shares Sold		11,142			19,506			22,238			84,711			36,740			92,955
Reinvestment of Distributions Paid		–			27,931			–			4,555			–			58,809
Shares Redeemed		(10,389	)		(26,405	)		(27,400	)		(36,047	)		(85,055	)		(127,142	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		753			21,032			(5,162	)		53,219			(48,315	)		24,622

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

193

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
	For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021			For the Six Months Ended June 30, 2022 (unaudited)			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	18,174		$	36,510		$	705		$	36,067		$	72		$	4,358
Net Realized Gain (Loss) on Investments		(21,049	)		32,861			16,518			169,860			3,661			22,817
Net Change in Unrealized Appreciation (Depreciation) of Investments		(225,366	)		(68,874	)		(373,416	)		(33,360	)		(57,445	)		4,301

Net Increase (Decrease) in Net Assets Resulting from Operations		(228,241	)		497			(356,193	)		172,567			(53,712	)		31,476

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(39,035	)		–			(168,562	)		–			(22,798	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(39,035	)		–			(168,562	)		–			(22,798	)

Capital Transactions:
Shares Sold		60,595			266,137			40,832			105,540			8,425			20,000
Reinvestment of Distributions Paid		–			39,035			–			168,562			–			22,798
Shares Redeemed		(48,665	)		(98,494	)		(123,021	)		(263,921	)		(14,537	)		(37,431	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		11,930			206,678			(82,189	)		10,181			(6,112	)		5,367

Total Increase (Decrease) in Net Assets		(216,311	)		168,140			(438,382	)		14,186			(59,824	)		14,045
Net Assets
Beginning of Period		1,316,651			1,148,511			2,381,573			2,367,387			320,737			306,692

End of Period	$	1,100,340		$	1,316,651		$	1,943,191		$	2,381,573		$	260,913		$	320,737

Portfolio Share Transactions:
Shares Sold		58,681			232,274			28,098			65,875			6,963			14,856
Reinvestment of Distributions Paid		–			34,092			–			107,570			–			17,297
Shares Redeemed		(47,350	)		(86,001	)		(84,655	)		(164,644	)		(11,972	)		(27,887	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		11,331			180,365			(56,557	)		8,801			(5,009	)		4,266

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

194

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2022 (unaudited) (in thousands)


	Long-Term U.S. Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(29,061)
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities
Purchase of Investment Securities		(76,142	)
Proceeds from Disposition of Investment Securities		53,054
Proceeds from Disposition (Purchase) of Short-Term Investments, net		954
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps		2,091
Proceeds from Securities Sold Short		34,183
Amortization (Accretion) of Premium/Discount, net		(407	)
(Increase) Decrease in:
Receivable for Investment Securities Sold		(10,356	)
Prepaid Expenses and Other Assets		(10	)
Dividends and Interest Receivable		114
Increase (Decrease) in:
Payable for investment advisory fees		(20	)
Accrued Expenses		(3	)
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities		30,004
Futures Contracts		(199	)
Short Sales		23
Swap Contracts		(641	)
Net Realized (Gain) Loss from:
Investment Securities		3,003
Futures Contracts		(1,155	)
Paydowns		(5	)
Short Sales		(653	)
Swap Contracts		22

Total Adjustments		33,857

Net Cash (Used in) Provided by Operating Activities		4,796

Cash Flows from Financing Activities
Cash Received from Financing Transactions		996,604
Cash (Used for) Financing Transactions		(1,001,939	)
Proceeds from Portfolio Shares Sold		9,201
Payment on Portfolio Shares Redeemed		(8,513	)

Net Cash (Used in) Provided by Financing Activities		(4,647	)

Net Increase (Decrease) in Cash and Cash Equivalents		149
Cash and Restricted Cash, Beginning of Period		423

Cash and Restricted Cash, End of Period	$	572

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 $42 for the period ended June 30, 2022.

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			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
Growth Stock Portfolio
2022^(j)	$	4.04	$	0.00	^(e)	$	(1.39	)	$	(1.39	)	$	–		$	–		$	–		$	2.65		(34.58	)%	$	850,695		0.43	%^(c)		0.43	%^(c)		0.00	%^(c)		6	%
2021		3.60		0.00	^(e)		0.61			0.61			(0.00	)^(e)		(0.17	)		(0.17	)		4.04		16.67			1,389,899		0.42			0.42			(0.10	)		36
2020		3.18		0.00	^(e)		1.04			1.04			(0.02	)		(0.60	)		(0.62	)		3.60		34.97			1,286,403		0.43			0.42			0.00			24
2019		2.75		0.02			0.77			0.79			(0.02	)		(0.34	)		(0.36	)		3.18		29.68			1,083,324		0.43			0.42			0.71			116
2018		3.03		0.02			0.08			0.10			(0.02	)		(0.36	)		(0.38	)		2.75		1.26			898,626		0.43			0.42			0.68			48
2017		2.58		0.02			0.59			0.61			(0.03	)		(0.13	)		(0.16	)		3.03		24.27			959,854		0.43			0.42			0.78			58
Focused Appreciation Portfolio
2022^(j)	$	4.32	$	0.00	^(e)	$	(1.25	)	$	(1.25	)	$	–		$	–		$	–		$	3.07		(28.83	)%	$	950,000		0.74	%^(c)		0.62	%^(c)		0.11	%^(c)		15	%
2021		4.02		0.00	^(e)		0.76			0.76			(0.01	)		(0.45	)		(0.46	)		4.32		18.90			1,327,361		0.74			0.62			(0.01	)		11
2020		3.17		0.01			1.02			1.03			(0.02	)		(0.16	)		(0.18	)		4.02		32.55			1,186,696		0.75			0.62			0.19			21
2019		2.57		0.02			0.78			0.80			(0.02	)		(0.18	)		(0.20	)		3.17		31.97			1,012,624		0.75			0.63			0.58			7
2018		2.71		0.02			(0.07	)		(0.05	)		(0.01	)		(0.08	)		(0.09	)		2.57		(2.34	)		849,169		0.75			0.63			0.65			7
2017		2.08		0.02			0.68			0.70			(0.02	)		(0.05	)		(0.07	)		2.71		33.62			945,385		0.75			0.63			0.66			4
Large Cap Core Stock Portfolio
2022^(j)	$	2.21	$	0.01		$	(0.46	)	$	(0.45	)	$	–		$	–		$	–		$	1.76		(20.55	)%	$	606,492		0.44	%^(c)		0.43	%^(c)		0.92	%^(c)		25	%
2021		1.91		0.01			0.47			0.48			(0.02	)		(0.16	)		(0.18	)		2.21		25.10			842,806		0.44			0.43			0.70			56
2020		1.62		0.02			0.34			0.36			(0.02	)		(0.05	)		(0.07	)		1.91		22.74			719,977		0.45			0.44			0.98			72
2019		1.31		0.02			0.39			0.41			(0.02	)		(0.08	)		(0.10	)		1.62		31.19			633,208		0.45			0.44			1.19			54
2018		1.96		0.02			(0.05	)		(0.03	)		(0.03	)		(0.59	)		(0.62	)		1.31		(6.04	)		518,971		0.45			0.44			1.23			65
2017		1.60		0.03			0.36			0.39			(0.03	)		–			(0.03	)		1.96		24.87			592,577		0.45			0.44			1.56			101
Large Cap Blend Portfolio
2022^(j)	$	1.39	$	0.00	^(e)	$	(0.25	)	$	(0.25	)	$	–		$	–		$	–		$	1.14		(18.04	)%	$	181,939		0.81	%^(c)		0.78	%^(c)		0.68	%^(c)		19	%
2021		1.25		0.01			0.22			0.23			(0.01	)		(0.08	)		(0.09	)		1.39		18.46			203,126		0.81			0.78			0.68			19
2020		1.22		0.01			0.10			0.11			(0.06	)		(0.02	)		(0.08	)		1.25		10.05			180,564		0.83			0.80			0.77			28
2019		1.09		0.06			0.20			0.26			(0.01	)		(0.12	)		(0.13	)		1.22		23.97			174,953		0.82			0.82			4.92			24
2018		1.21		0.01			(0.06	)		(0.05	)		(0.01	)		(0.06	)		(0.07	)		1.09		(4.00	)		154,435		0.82			0.82			1.20			25
2017		1.07		0.01			0.20			0.21			(0.01	)		(0.06	)		(0.07	)		1.21		19.02			176,221		0.81			0.81			0.75			16

^(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 upon the direct and allocated 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, 2022. (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.

196

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			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
Index 500 Stock Portfolio
2022^(j)	$	8.18	$	0.05	$	(1.69	)	$	(1.64	)	$	–		$	–		$	–		$	6.54		(20.04	)%	$	4,378,517		0.21	%^(c)		0.20	%^(c)		1.35	%^(c)		1	%
2021		6.60		0.09		1.77			1.86			(0.09	)		(0.19	)		(0.28	)		8.18		28.45			5,504,970		0.21			0.19			1.19			3
2020		5.79		0.09		0.94			1.03			(0.10	)		(0.12	)		(0.22	)		6.60		18.18			4,419,729		0.21			0.20			1.63			5
2019		4.59		0.10		1.32			1.42			(0.09	)		(0.13	)		(0.22	)		5.79		31.18			3,867,280		0.21			0.20			1.81			4
2018		4.93		0.09		(0.30	)		(0.21	)		(0.08	)		(0.05	)		(0.13	)		4.59		(4.58	)		3,009,141		0.21			0.20			1.74			4
2017		4.17		0.08		0.81			0.89			(0.08	)		(0.05	)		(0.13	)		4.93		21.52			3,222,137		0.21			0.21			1.82			3
Large Company Value Portfolio
2022^(j)	$	1.19	$	0.01	$	(0.09	)	$	(0.08	)	$	–		$	–		$	–		$	1.11		(7.38	)%	$	171,255		0.76	%^(c)		0.73	%^(c)		1.83	%^(c)		21	%
2021		1.00		0.02		0.19			0.21			(0.01	)		(0.01	)		(0.02	)		1.19		21.92			227,560		0.76			0.74			1.63			40
2020		1.03		0.02		0.00	^(e)		0.02			(0.02	)		(0.03	)		(0.05	)		1.00		2.64			211,998		0.78			0.76			2.02			84
2019		0.89		0.02		0.21			0.23			(0.02	)		(0.07	)		(0.09	)		1.03		27.66			205,550		0.77			0.75			1.86			62
2018		1.06		0.02		(0.09	)		(0.07	)		(0.02	)		(0.08	)		(0.10	)		0.89		(7.92	)		173,350		0.76			0.74			1.89			61
2017		1.02		0.02		0.08			0.10			(0.02	)		(0.04	)		(0.06	)		1.06		11.10			199,836		0.75			0.73			2.15			53
Domestic Equity Portfolio
2022^(j)	$	1.93	$	0.02	$	(0.20	)	$	(0.18	)	$	–		$	–		$	–		$	1.75		(9.62	)%	$	979,616		0.53	%^(c)		0.50	%^(c)		1.68	%^(c)		7	%
2021		1.64		0.03		0.33			0.36			(0.03	)		(0.04	)		(0.07	)		1.93		22.71			1,096,677		0.53			0.50			1.77			29
2020		1.75		0.03		(0.04	)		(0.01	)		(0.03	)		(0.07	)		(0.10	)		1.64		0.73			946,072		0.55			0.53			2.25			33
2019		1.55		0.03		0.28			0.31			(0.03	)		(0.08	)		(0.11	)		1.75		20.77			920,776		0.54			0.53			2.08			12
2018		1.68		0.03		(0.07	)		(0.04	)		(0.03	)		(0.06	)		(0.09	)		1.55		(2.81	)		772,465		0.54			0.53			1.92			14
2017		1.54		0.03		0.18			0.21			(0.03	)		(0.04	)		(0.07	)		1.68		13.78			819,213		0.55			0.54			1.91			12
Equity Income Portfolio
2022^(j)	$	2.01	$	0.02	$	(0.18	)	$	(0.16	)	$	–		$	–		$	–		$	1.85		(8.34	)%	$	722,789		0.65	%^(c)		0.57	%^(c)		2.08	%^(c)		7	%
2021		1.63		0.03		0.39			0.42			(0.04	)		–			(0.04	)		2.01		25.70			867,936		0.65			0.57			1.74			18
2020		1.78		0.04		(0.05	)		(0.01	)		(0.07	)		(0.07	)		(0.14	)		1.63		1.20			787,521		0.66			0.59			2.48			30
2019		1.53		0.07		0.33			0.40			(0.04	)		(0.11	)		(0.15	)		1.78		26.61			814,252		0.65			0.61			4.21			18
2018		1.86		0.04		(0.19	)		(0.15	)		(0.04	)		(0.14	)		(0.18	)		1.53		(9.35	)		704,674		0.65			0.61			2.25			17
2017		1.72		0.04		0.23			0.27			(0.04	)		(0.09	)		(0.13	)		1.86		16.24			844,398		0.65			0.62			2.04			21

^(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 upon the direct and allocated 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, 2022. (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.

197

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			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
Mid Cap Growth Stock Portfolio
2022^(j)	$	3.94	$	0.00	^(e)	$	(1.04	)	$	(1.04	)	$	–		$	–		$	–		$	2.90		(26.28	)%	$	993,904		0.53	%^(c)		0.53	%^(c)		0.23	%^(c)		25	%
2021		4.09		0.01			0.41			0.42			(0.01	)		(0.56	)		(0.57	)		3.94		10.18			1,375,568		0.53			0.52			0.13			30
2020		3.42		0.01			0.82			0.83			(0.01	)		(0.15	)		(0.16	)		4.09		25.41			1,344,564		0.54			0.54			0.18			47
2019		2.69		0.01			0.87			0.88			(0.01	)		(0.14	)		(0.15	)		3.42		33.01			1,153,757		0.54			0.54			0.28			30
2018		3.46		0.01			(0.17	)		(0.16	)		(0.00	)^(e)		(0.61	)		(0.61	)		2.69		(7.38	)		943,370		0.54			0.54			0.19			33
2017		2.88		0.00	^(e)		0.59			0.59			(0.01	)		–			(0.01	)		3.46		20.29			1,097,433		0.54			0.54			0.14			148
Index 400 Stock Portfolio
2022^(j)	$	2.57	$	0.02		$	(0.52	)	$	(0.50	)	$	–		$	–		$	–		$	2.07		(19.63	)%	$	1,071,664		0.27	%^(c)		0.24	%^(c)		1.32	%^(c)		6	%
2021		2.15		0.03			0.49			0.52			(0.02	)		(0.08	)		(0.10	)		2.57		24.46			1,335,937		0.27			0.24			1.03			20
2020		2.02		0.02			0.23			0.25			(0.03	)		(0.09	)		(0.12	)		2.15		13.37			1,115,469		0.28			0.26			1.31			18
2019		1.74		0.03			0.40			0.43			(0.02	)		(0.13	)		(0.15	)		2.02		25.88			993,290		0.28			0.26			1.38			16
2018		2.11		0.03			(0.24	)		(0.21	)		(0.02	)		(0.14	)		(0.16	)		1.74		(11.33	)		792,780		0.28			0.26			1.29			18
2017		1.96		0.02			0.27			0.29			(0.02	)		(0.12	)		(0.14	)		2.11		15.96			896,559		0.28			0.26			1.22			18
Mid Cap Value Portfolio
2022^(j)	$	2.00	$	0.02		$	(0.18	)	$	(0.16	)	$	–		$	–		$	–		$	1.84	$	(8.01	)%	$	623,290		0.88	%^(c)		0.71	%^(c)		1.90	%^(c)		42	%
2021		1.65		0.03			0.35			0.38			(0.02	)		(0.01	)		(0.03	)		2.00		23.27			704,855		0.88			0.72			1.54			54
2020		1.65		0.03			–			0.03			(0.03	)		–			(0.03	)		1.65		1.67			600,403		0.89			0.75			1.79			76
2019		1.43		0.03			0.37			0.40			(0.03	)		(0.15	)		(0.18	)		1.65		29.21			591,514		0.89			0.75			1.74			44
2018		1.83		0.03			(0.23	)		(0.20	)		(0.03	)		(0.17	)		(0.20	)		1.43		(12.85	)		471,943		0.89			0.76			1.50			62
2017		1.73		0.03			0.16			0.19			(0.03	)		(0.06	)		(0.09	)		1.83		11.81			564,624		0.88			0.76			1.79			46
Small Cap Growth Stock Portfolio
2022^(j)	$	3.22	$	0.00	^(e)	$	(0.99	)	$	(0.99	)	$	–		$	–		$	–		$	2.23		(30.70	)%	$	579,989		0.55	%^(c)		0.55	%^(c)		0.03	%^(c)		23	%
2021		3.42		0.00	^(e)		0.15			0.15			(0.00	)^(e)		(0.35	)		(0.35	)		3.22		4.11			830,014		0.54			0.54			(0.06	)		43
2020		2.72		0.00	^(e)		0.86			0.86			(0.00	)^(e)		(0.16	)		(0.16	)		3.42		33.47			840,446		0.56			0.56			0.10			60
2019		2.35		0.00	^(e)		0.79			0.79			(0.00	)^(e)		(0.42	)		(0.42	)		2.72		35.69			671,870		0.56			0.56			0.13			42
2018		2.88		0.00	^(e)		(0.28	)		(0.28	)		–			(0.25	)		(0.25	)		2.35		(11.71	)		520,622		0.56			0.56			0.10			52
2017		2.39		0.00	^(e)		0.52			0.52			(0.00	)^(e)		(0.03	)		(0.03	)		2.88		21.61			627,901		0.56			0.56			(0.01	)		43

^(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 upon the direct and allocated 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, 2022. (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.

198

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			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
Index 600 Stock Portfolio
2022^(j)	$	1.85	$	0.01	$	(0.37	)	$	(0.36	)	$	–		$	–		$	–		$	1.49		(19.11	)%	$	359,392		0.28	%^(c)		0.28	%^(c)		0.97	%^(c)		8	%
2021		1.50		0.02		0.37			0.39			(0.01	)		(0.03	)		(0.04	)		1.85		26.22			434,426		0.27			0.27			1.28			22
2020		1.43		0.01		0.13			0.14			(0.02	)		(0.05	)		(0.07	)		1.50		10.93			344,102		0.31			0.31			1.10			28
2019		1.26		0.02		0.25			0.27			(0.00	)^(e)		(0.10	)		(0.10	)		1.43		22.44			290,111		0.31			0.31			1.25			33
2018		1.45		0.02		(0.13	)		(0.11	)		(0.02	)		(0.06	)		(0.08	)		1.26		(8.78	)		221,803		0.31			0.31			1.06			38
2017		1.36		0.01		0.16			0.17			(0.03	)		(0.05	)		(0.08	)		1.45		12.93			222,348		0.33			0.33			1.04			36
Small Cap Value Portfolio
2022^(j)	$	2.58	$	0.01	$	(0.54	)	$	(0.53	)	$	–		$	–		$	–		$	2.05		(20.51	)%	$	535,759		0.88	%^(c)		0.87	%^(c)		0.51	%^(c)		13	%
2021		2.20		0.01		0.49			0.50			(0.01	)		(0.11	)		(0.12	)		2.58		23.00			685,304		0.87			0.86			0.27			22
2020		2.17		0.01		0.15			0.16			(0.01	)		(0.12	)		(0.13	)		2.20		9.29			615,079		0.88			0.88			0.50			28
2019		2.04		0.01		0.50			0.51			(0.01	)		(0.37	)		(0.38	)		2.17		25.89			605,534		0.88			0.87			0.48			25
2018		2.54		0.01		(0.31	)		(0.30	)		(0.01	)		(0.19	)		(0.20	)		2.04		(12.73	)		530,072		0.88			0.87			0.43			22
2017		2.42		0.02		0.25			0.27			(0.02	)		(0.13	)		(0.15	)		2.54		11.65			673,234		0.88			0.86			0.56			15
International Growth Portfolio
2022^(j)	$	2.40	$	0.01	$	(0.66	)	$	(0.65	)	$	–		$	–		$	–		$	1.75		(27.21	)%	$	817,053		0.62	%^(c)		0.62	%^(c)		1.45	%^(c)		7	%
2021		2.14		0.01		0.33			0.34			(0.01	)		(0.07	)		(0.08	)		2.40		15.92			1,068,232		0.62			0.61			0.51			25
2020		1.85		0.01		0.32			0.33			(0.03	)		(0.01	)		(0.04	)		2.14		17.91			924,242		0.63			0.63			0.64			21
2019		1.39		0.03		0.46			0.49			(0.02	)		(0.01	)		(0.03	)		1.85		34.80			816,113		0.64			0.64			1.79			21
2018		1.59		0.02		(0.20	)		(0.18	)		(0.02	)		–			(0.02	)		1.39		(11.28	)		626,082		0.65			0.65			1.28			33
2017		1.24		0.02		0.35			0.37			(0.02	)		–			(0.02	)		1.59		30.03			697,581		0.67			0.67			1.32			20
Research International Core Portfolio
2022^(j)	$	1.29	$	0.01	$	(0.28	)	$	(0.27	)	$	–		$	–		$	–		$	1.02		(20.62	)%	$	738,789		0.79	%^(c)		0.74	%^(c)		2.46	%^(c)		15	%
2021		1.18		0.02		0.12			0.14			(0.01	)		(0.02	)		(0.03	)		1.29		12.07			963,103		0.78			0.73			1.37			18
2020		1.08		0.01		0.13			0.14			(0.02	)		(0.02	)		(0.04	)		1.18		13.46			891,001		0.81			0.76			1.36			25
2019		0.88		0.02		0.23			0.25			(0.02	)		(0.03	)		(0.05	)		1.08		28.25			784,885		0.82			0.77			2.32			18
2018		1.04		0.02		(0.16	)		(0.14	)		(0.02	)		–			(0.02	)		0.88		(13.66	)		595,585		0.82			0.77			1.88			24
2017		0.82		0.02		0.22			0.24			(0.02	)		–			(0.02	)		1.04		28.21			658,005		0.86			0.81			1.74			28

^(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 upon the direct and allocated 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, 2022. (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.

199

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			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
International Equity Portfolio
2022^(j)	$	1.59	$	0.03		$	(0.19	)	$	(0.16	)	$	–		$	–		$	–		$	1.43		(9.81	)%	$	1,655,482		0.69	%^(c)		0.58	%^(c)		4.11	%^(c)		10	%
2021		1.55		0.04			0.04			0.08			(0.04	)		–			(0.04	)		1.59		5.00			1,865,208		0.68			0.51			2.30			118
2020		1.65		0.04			(0.09	)		(0.05	)		(0.05	)		–			(0.05	)		1.55		(2.71	)		1,779,819		0.68			0.54			2.59			65
2019		1.58		0.05			0.14			0.19			(0.04	)		(0.08	)		(0.12	)		1.65		12.60			1,793,034		0.68			0.54			3.33			43
2018		1.91		0.04			(0.32	)		(0.28	)		(0.05	)		–			(0.05	)		1.58		(15.41	)		1,604,068		0.68			0.54			2.36			31
2017		1.60		0.04			0.31			0.35			(0.04	)		–			(0.04	)		1.91		22.30			1,927,673		0.70			0.57			2.40			21
Emerging Markets Equity Portfolio
2022^(j)	$	1.32	$	0.01		$	(0.32	)	$	(0.31	)	$	–		$	–		$	–		$	1.01		(23.45	)%	$	835,396		1.08	%^(c)		0.91	%^(c)		1.82	%^(c)		18	%
2021		1.39		0.02			(0.08	)		(0.06	)		(0.01	)		–			(0.01	)		1.32		(4.55	)		993,493		1.06			0.91			1.14			33
2020		1.12		0.01			0.28			0.29			(0.02	)		–			(0.02	)		1.39		26.86			1,024,098		1.10			0.95			0.67			31
2019		0.94		0.02			0.17			0.19			(0.01	)		–			(0.01	)		1.12		20.60			834,010		1.11			0.99			2.40			22
2018		1.10		0.01			(0.16	)		(0.15	)		(0.01	)		–			(0.01	)		0.94		(13.75	)		675,350		1.11			1.00			1.27			17
2017		0.87		0.02			0.22			0.24			(0.01	)		–			(0.01	)		1.10		27.84			718,281		1.18			1.06			1.61			98
Government Money Market Portfolio
2022^(j)	$	1.00	$	0.00	^(e)	$	–		$	0.00	^(e)	$	(0.00	)^(e)	$	(0.00	)^(e)	$	(0.00	)^(e)	$	1.00		0.10	%	$	526,076		0.33	%^(c)		0.24	%^(c)(m)		0.22	%^(c)		–	%
2021		1.00		0.00	^(e)		–			0.00	^(e)		(0.00	)^(e)		(0.00	)^(e)		(0.00	)^(e)		1.00		–			488,858		0.33			0.08	^(m)		0.00			–
2020		1.00		0.00	^(e)		–			0.00	^(e)		(0.00	)^(e)		(0.00	)^(e)		(0.00	)^(e)		1.00		0.31			582,312		0.33			0.25	^(m)		0.26			–
2019		1.00		0.02			–			0.02			(0.02	)		(0.00	)^(e)		(0.02	)		1.00		1.94			446,517		0.33			0.33			1.91			–
2018		1.00		0.02			–			0.02			(0.02	)		(0.00	)^(e)		(0.02	)		1.00		1.54			443,474		0.34			0.34			1.53			–
2017		1.00		0.01			0.00	^(e)		0.01			(0.01	)		(0.00	)^(e)		(0.01	)		1.00		0.60			439,438		0.33			0.33			0.59			–
Short-Term Bond Portfolio
2022^(j)	$	1.05	$	0.01		$	(0.05	)	$	(0.04	)	$	–		$	–		$	–		$	1.01		(3.89	)%	$	396,713		0.38	%^(c)		0.38	%^(c)		1.42	%^(c)		33	%^(g)
2021		1.08		0.01			(0.02	)		(0.01	)		(0.02	)		(0.00	)^(e)		(0.02	)		1.05		(0.10	)		412,284		0.38			0.38			1.27			46	^(g)
2020		1.06		0.02			0.02			0.04			(0.02	)		–			(0.02	)		1.08		4.29			383,608		0.39			0.39			1.96			49	^(g)
2019		1.03		0.03			0.02			0.05			(0.02	)		–			(0.02	)		1.06		4.38			334,574		0.39			0.39			2.47			56	^(g)
2018		1.03		0.02			–			0.02			(0.02	)		–			(0.02	)		1.03		1.36			306,541		0.39			0.39			2.14			41	^(g)
2017		1.03		0.02			(0.01	)		0.01			(0.01	)		–			(0.01	)		1.03		1.33			293,514		0.42			0.41			1.60			46

^(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.

^(m)

For the six months ended June 30, 2022 and during the years ended December 31, 2021 and 2020, MSA voluntarily agreed to waive a portion of its advisory fee to maintain a positive yield in the Government Money Market Portfolio. The Government Money Market Portfolio’s net expense ratio would increase by an amount of 0.09%, 0.25% and 0.08%, respectively, if such voluntary waiver were excluded for the six months ended June 30, 2022 and for the years ended December 31, 2021 and 2020. See Note 7 – Investment Advisory, Sub-Advisory and Compliance Fees for more information.

^(r)	Expense ratios are based upon the direct and allocated 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, 2022. (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.

200

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			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
Select Bond Portfolio
2022^(j)	$	1.26	$	0.01	$	(0.15	)	$	(0.14	)	$	–		$	–		$	–		$	1.12		(10.67	)%	$	2,982,600		0.31	%^(c)		0.31	%^(c)		1.75	%^(c)		157	%^(g)
2021		1.37		0.02		(0.04	)		(0.02	)		(0.03	)		(0.06	)		(0.09	)		1.26		(1.59	)		3,428,416		0.31			0.30			1.15			272	^(g)
2020		1.30		0.02		0.10			0.12			(0.04	)		(0.01	)		(0.05	)		1.37		8.98			3,404,268		0.31			0.30			1.75			340	^(g)
2019		1.23		0.04		0.07			0.11			(0.04	)		–			(0.04	)		1.30		8.65			3,192,050		0.31			0.30			2.76			403	^(g)
2018		1.26		0.03		(0.03	)		0.00	^(e)		(0.03	)		–			(0.03	)		1.23		(0.21	)		2,967,993		0.31			0.31			2.74			294	^(g)
2017		1.26		0.03		0.02			0.05			(0.03	)		(0.02	)		(0.05	)		1.26		3.58			2,943,934		0.32			0.31			2.15			390	^(g)
Long-Term U.S. Government Bond Portfolio
2022^(j)	$	0.94	$	0.01	$	(0.21	)	$	(0.20	)	$	–		$	–		$	–		$	0.74		(20.87	)%	$	110,500		0.75	%^(c)(s)		0.73	%^(c)(s)		2.21	%^(c)		18	%^(g)
2021		1.21		0.02		(0.08	)		(0.06	)		(0.01	)		(0.20	)		(0.21	)		0.94		(5.37	)		138,869		0.67	^(s)		0.67	^(s)		1.73			28	^(g)
2020		1.12		0.02		0.17			0.19			(0.02	)		(0.08	)		(0.10	)		1.21		17.37			153,933		0.94	^(s)		0.94	^(s)		1.61			157	^(g)
2019		1.01		0.02		0.11			0.13			(0.02	)		–			(0.02	)		1.12		13.17			122,854		1.25	^(s)		1.23	^(s)		2.06			5	^(g)
2018		1.08		0.03		(0.06	)		(0.03	)		(0.02	)		(0.02	)		(0.04	)		1.01		(2.04	)		111,468		0.90	^(s)		0.89	^(s)		2.48			43	^(g)
2017		1.06		0.03		0.05			0.08			(0.02	)		(0.04	)		(0.06	)		1.08		8.28			115,713		0.94	^(s)		0.92	^(s)		2.64			51	^(g)
Inflation Protection Portfolio
2022^(j)	$	1.28	$	0.03	$	(0.16	)	$	(0.13	)	$	–		$	–		$	–		$	1.15		(9.70	)%	$	457,934		0.57	%^(c)		0.53	%^(c)		4.76	%^(c)		30	%
2021		1.21		0.04		0.04			0.08			(0.01	)		(0.00	)^(e)		(0.01	)		1.28		6.61			513,931		0.56			0.53			3.17			78
2020		1.13		0.02		0.08			0.10			(0.02	)		–			(0.02	)		1.21		9.57			423,389		0.58			0.55			1.34			56
2019		1.06		0.02		0.08			0.10			(0.03	)		–			(0.03	)		1.13		9.02			381,132		0.59			0.55			2.13			40
2018		1.11		0.03		(0.06	)		(0.03	)		(0.02	)		–			(0.02	)		1.06		(2.61	)		349,571		0.59			0.55			2.55			23
2017		1.09		0.02		0.01			0.03			(0.01	)		(0.00	)^(e)		(0.01	)		1.11		3.58			401,711		0.61			0.57			2.05			21
High Yield Bond Portfolio
2022^(j)	$	0.75	$	0.02	$	(0.12	)	$	(0.10	)	$	–		$	–		$	–		$	0.65		(13.60	)%	$	697,045		0.45	%^(c)		0.45	%^(c)		5.32	%^(c)		12	%
2021		0.75		0.04		–			0.04			(0.04	)		–			(0.04	)		0.75		5.31			842,332		0.44			0.44			4.87			35
2020		0.75		0.04		–			0.04			(0.04	)		–			(0.04	)		0.75		6.64			825,203		0.45			0.45			5.36			42
2019		0.69		0.04		0.06			0.10			(0.04	)		–			(0.04	)		0.75		14.97			846,127		0.45			0.45			5.73			33
2018		0.75		0.04		(0.06	)		(0.02	)		(0.04	)		–			(0.04	)		0.69		(2.71	)		763,366		0.45			0.45			5.65			23
2017		0.74		0.04		0.01			0.05			(0.04	)		–			(0.04	)		0.75		6.88			811,878		0.45			0.45			5.48			32

^(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 upon the direct and allocated 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, 2022. (Unaudited)

^(c)	Computed on an annualized basis.

^(g)	Portfolio Turnover Rate excludes the impact of TBA transactions.

^(e)	Amount is less than $0.005.

^(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 would be 0.67% and 0.65% respectively for the period ended June 30, 2022, 0.65% and 0.65% respectively in 2021, 0.64% and 0.64% respectively in 2020, 0.67% and 0.65% respectively in 2019, 0.67% and 0.65% respectively in 2018, 0.67% and 0.65% respectively in 2017.

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

201

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			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
Multi-Sector Bond Portfolio
2022^(j)	$	1.13	$	0.02		$	(0.22	)$		(0.20	)	$	–		$	–		$	–		$	0.93		(17.24	)%	$	1,100,340		0.81	%^(c)(s)		0.71	%^(c)(s)		3.03	%^(c)		6	%
2021		1.16		0.03			(0.03	)		0.00	^(e)		(0.02	)		(0.01	)		(0.03	)		1.13		(0.08	)		1,316,651		0.81	^(s)		0.71	^(s)		2.90			21
2020		1.14		0.04			0.03			0.07			(0.05	)		(0.00	)^(e)		(0.05	)		1.16		6.13			1,148,511		0.82	^(s)		0.73	^(s)		3.23			30	^(g)
2019		1.05		0.04			0.10			0.14			(0.05	)		–			(0.05	)		1.14		14.04			1,021,824		0.83	^(s)		0.74	^(s)		3.53			30	^(g)
2018		1.09		0.04			(0.05	)		(0.01	)		(0.03	)		–			(0.03	)		1.05		(1.30	)		874,943		0.82	^(s)		0.75	^(s)		3.67			37	^(g)
2017		1.05		0.04			0.04			0.08			(0.04	)		–			(0.04	)		1.09		8.38			840,981		0.82	^(s)		0.75	^(s)		4.06			49
Balanced Portfolio
2022^(j)	$	1.57	$	0.00	^(e)	$	(0.24	)	$	(0.24	)	$	–		$	–		$	–		$	1.33		(15.25	)%	$	1,943,191		0.31	%^(c)		0.06	%^(c)		0.07	%^(c)		12	%
2021		1.57		0.02			0.10			0.12			(0.04	)		(0.08	)		(0.12	)		1.57		7.56			2,381,573		0.31			0.06			1.51			20
2020		1.49		0.04			0.13			0.17			(0.04	)		(0.05	)		(0.09	)		1.57		12.49			2,367,387		0.31			0.06			2.40			28
2019		1.36		0.03			0.21			0.24			(0.04	)		(0.08	)		(0.11	)		1.49		17.92			2,254,235		0.31			0.06			2.14			17
2018		1.47		0.03			(0.07	)		(0.04	)		(0.04	)		(0.03	)		(0.07	)		1.36		(3.45	)		2,065,353		0.31			0.06			2.25			27
2017		1.40		0.03			0.12			0.15			(0.03	)		(0.05	)		(0.08	)		1.47		11.98			2,307,470		0.31			0.06			1.75			17
Asset Allocation Portfolio
2022^(j)	$	1.33	$	0.00	^(e)	$	(0.23	)	$	(0.23	)	$	–		$	–		$	–		$	1.10		(16.94	)%	$	260,913		0.56	%^(c)		0.09	%^(c)		0.05	%^(c)		15	%
2021		1.29		0.02			0.12			0.14			(0.03	)		(0.07	)		(0.10	)		1.33		10.45			320,737		0.55			0.09			1.37			18
2020		1.22		0.03			0.12			0.15			(0.03	)		(0.05	)		(0.08	)		1.29		13.43			306,692		0.57			0.09			2.32			29
2019		1.10		0.02			0.20			0.22			(0.03	)		(0.08	)		(0.10	)		1.22		21.08			287,738		0.57			0.09			1.96			15
2018		1.21		0.03			(0.09	)		(0.06	)		(0.02	)		(0.03	)		(0.05	)		1.10		(4.88	)		249,511		0.57			0.09			2.24			32
2017		1.12		0.02			0.15			0.17			(0.03	)		(0.05	)		(0.08	)		1.21		14.87			277,213		0.57			0.09			1.68			22

^(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 upon the direct and allocated 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, 2022. (Unaudited)

^(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 would be 0.81% and 0.71% for the period ended June 30, 2022, 0.80% and 0.71% respectively in 2021, 0.81% and 0.72% respectively in 2020, 0.82% and 0.73% respectively in 2019, 0.81% and 0.74% respectively in 2018.

^(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.

202

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 (2018 to 2021) 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

203

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 Statements of Assets and Liabilities. Temporary cash overdrafts are reported as a payable to custodian.

F. New Accounting Pronouncements — In March 2020, the FASB issued Accounting Standards Update (“ASU”) 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” In January 2021, the FASB issued ASU 2021-01 with further amendments to Topic 848. Collectively, these ASUs provide 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. The ASUs are effective immediately upon release of the update on March 12, 2020 through December 31, 2022. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. Management is evaluating implications of this guidance on the financial statements in light of the status of the reference rate transitioning described therein.

In June 2022, the FASB issued ASU 2022-03, “Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions.” The ASU clarifies that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, is not considered in measuring the fair value. The amendments also require additional disclosures related to equity securities subject to contractual sale restrictions. The ASU is effective for fiscal years beginning after December 15, 2023 and interim periods within those fiscal years. Management is evaluating the implications of this guidance to future financial statements.

NOTE 3. SECURITY VALUATION

For purposes of calculating a net asset value, Portfolio securities and other assets are valued as of the close of trading on the New York Stock Exchange (“Exchange”) on each day during which the Exchange is open for trading.

The Fair Value Measurements and Disclosures Topic of the Financial Accounting Standards Codification defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

•

Level 1 — fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

•

Level 2 — fair value is determined by other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and other data used in fair valuation)

•

Level 3 — fair value is determined by significant unobservable inputs (including the Portfolios’ own assumptions in determining fair value)

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolios’ perceived risk of that instrument.

The following is a description of the valuation techniques and significant inputs used in determining the value of the Portfolios’ investments classified as Level 1 and Level 2 in the fair value hierarchy:

•

Equity securities (common and preferred stock) and exchange traded funds (“ETFs”) 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

204

Notes to Financial Statements (unaudited)

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 when such fair value procedures are applied.

•

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 and excluding ETFs) are valued at the mutual fund’s closing net asset value per share and are categorized as Level 1 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, 2022 included, but were not limited to, broker quotes, liquidity, prepayment speed, duration, geopolitical events and recoverability.

205

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, 2022, 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 Series Fund officers and certain representatives of MSA and Northwestern Mutual. 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

206

Notes to Financial Statements (unaudited)

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.

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 or decrease in the principal amount of an inflation-indexed bond will be included as interest income in the applicable Portfolio’s Statements 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, 2022, 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

207

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, 2022, 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

208

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.

209

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, 2022, 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 (Futures)

Payables – Variation Margin (Futures)

430

Large Company Value Portfolio

Forward foreign

Receivables – Foreign Currency

Payables – Foreign Currency

currency contracts

Index 400 Stock Portfolio

Equity contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

151

Mid Cap Value Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

193

Payables – Foreign Currency

Index 600 Portfolio

Equity contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

210

Notes to Financial Statements (unaudited)

Asset Derivatives

Liability Derivatives

Portfolio

Statement of Assets and

Liabilities Location

Value

Statement of Assets and

Liabilities Location

Value

International Growth Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Research International Core Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

Payables – Foreign Currency

International Equity Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

3,367

Payables – Foreign Currency

Short-Term Bond Portfolio

Interest rate contracts

Receivables – Variation Margin (Futures)

211

Payables – Variation Margin (Futures)

141

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

Receivables – Variation Margin (Futures)

127

Payables – Variation Margin (Futures)

272

Interest rate contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

Inflation Protection Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Interest rate contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

Inflation contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

667

Inflation contracts

Receivables – Outstanding Swaps Contracts, at Value

6,280

Payables – Outstanding Swaps Contracts, at Value

408

Multi-Sector Bond Portfolio

Credit contracts

Receivables – Outstanding Swaps Contracts, at Value

260

Payables – Outstanding Swaps Contracts, at Value

446

Credit contracts

Receivables – Variation Margin (Cleared Swap)

1,901

Payables – Variation Margin (Cleared Swap)

227

Forward foreign currency contracts

Receivables – Foreign Currency

10,080

Payables – Foreign Currency

2,795

Interest rate contracts

Receivables – Variation Margin (Futures)

2,510

Payables – Variation Margin (Futures)

Interest rate contracts

Receivables – Variation Margin (Cleared Swap)

561

Payables – Variation Margin (Cleared Swap)

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended June 30, 2022 are (amounts in thousands):


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options Written		Futures			Forward Foreign Currency Contracts			Swaps		Total
Index 500 Stock Portfolio
Equity contracts	$	-	$	(7,597	)	$	-		$	-	$	(7,597	)
Large Company Value Portfolio
Forward foreign currency contracts		-		-			1,339			-		1,339
Equity Income Portfolio
Forward foreign currency contracts		-		-			(3	)		-		(3	)
Index 400 Stock Portfolio
Equity contracts		-		(1,438	)		-			-		(1,438	)
Mid Cap Value Portfolio
Forward foreign currency contracts		-		-			3,447			-		3,447
Index 600 Stock Portfolio
Equity contracts		-		(1,120	)		-			-		(1,120	)

211

Notes to Financial Statements (unaudited)


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options Written		Futures			Forward Foreign Currency Contracts			Swaps			Total
International Growth Portfolio
Forward foreign currency contracts	$	-	$	-		$	(75	)	$	-		$	(75	)
Research International Core Portfolio
Forward foreign currency contracts		-		-			(153	)		-			(153	)
International Equity Portfolio
Forward foreign currency contracts		-		-			538			-			538
Emerging Markets Equity Portfolio
Forward foreign currency contracts		-		-			74			-			74
Short-Term Bond Portfolio
Interest rate contracts		-		(817	)		-			-			(817	)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		1,155			-			(22	)		1,133
Inflation Protection Portfolio
Forward foreign currency contracts		-		-			(41	)		-			(41	)
Inflation contracts		-		-			-			(112	)		(112	)
Interest rate contracts		-		479			-			-			479
Multi-Sector Bond Portfolio
Credit contracts		-		-			-			(2,890	)		(2,890	)
Forward foreign currency contracts		-		-			15,259			-			15,259
Interest rate contracts		139		(30,651	)		-			(324	)		(30,836	)

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the period ended June 30, 2022 are (amounts in thousands):


	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options Written		Futures			Forward Foreign Currency Contracts			Swaps		Total
Index 500 Stock Portfolio
Equity contracts	$	-	$	(3,229	)	$	-		$	-	$	(3,229	)
Large Company Value Portfolio
Forward foreign currency contracts		-		-			291			-		291
Equity Income Portfolio
Forward foreign currency contracts		-		-			(1	)		-		(1	)
Index 400 Stock Portfolio
Equity contracts		-		(1,065	)		-			-		(1,065	)
Mid Cap Value Portfolio
Forward foreign currency contracts		-		-			646			-		646
Index 600 Stock Portfolio
Equity Contracts		-		(192	)		-			-		(192	)
International Growth Portfolio
Forward foreign currency contracts		-		-			(141	)		-		(141	)
Research International Core Portfolio
Forward foreign currency contracts		-		-			(179	)		-		(179	)
International Equity Portfolio
Forward foreign currency contracts		-		-			3,781			-		3,781
Emerging Markets Equity Portfolio
Forward foreign currency contracts		-		-			(212	)		-		(212	)
Short-Term Bond Portfolio
Interest rate contracts		-		(282	)		-			-		(282	)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		199			-			641		840

212

Notes to Financial Statements (unaudited)


	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options Written		Futures			Forward Foreign Currency Contracts		Swaps			Total
Inflation Protection Portfolio
Forward foreign currency contracts	$	-	$	-		$	113	$	-		$	113
Interest rate contracts		-		133			-		-			133
Inflation contracts		-		-			-		5,891			5,891
Multi-Sector Bond Portfolio
Credit contracts		-		-			-		(19,825	)		(19,825	)
Forward foreign currency contracts		-		-			11,137		-			11,137
Interest rate contracts		-		(3,026	)		-		(5,988	)		(9,014	)

Volumes on derivative instruments by contract type and primary risk exposure, for the period ended June 30, 2022 are:


	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
Portfolio	Exchange Traded Options		Futures		Forward Foreign Currency Contracts		Swaps		Over the Counter Options
Index 500 Stock Portfolio
Equity contracts		-		233		-		-		-
Large Company Value Portfolio
Forward foreign currency contracts		-		-		21,020		-		-
Index 400 Stock Portfolio
Equity contracts		-		62		-		-		-
Mid Cap Value Portfolio
Forward foreign currency contracts		-		-		54,211		-		-
Index 600 Stock Portfolio
Equity contracts		-		53		-		-		-
International Growth Portfolio
Forward foreign currency contracts		-		-		-		-		-
Research International Core Portfolio
Forward foreign currency contracts		-		-		-		-		-
International Equity Portfolio
Forward foreign currency contracts		-		-		167,834		-		-
Emerging Markets Equity Portfolio
Forward foreign currency contracts		-		-		-		-		-
Short-Term Bond Portfolio
Interest rate contracts		-		443		-		-		-
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		267		-		25,860		-
Inflation Protection Portfolio
Forward foreign currency contracts		-		-		12,579		-		-
Interest rate contracts		-		111		-		-		-
Inflation contracts		-		-		-		209,583		-
Multi-Sector Bond Portfolio
Credit contracts		-		-		-		304,939		-
Forward foreign currency contracts		-		-		897,960		-		-
Interest rate contracts		-		2,442		-		832,343		24,129

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

213

Notes to Financial Statements (unaudited)

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.

LIBOR

Instruments in which the Fund invests may pay interest at floating rates based on the London Interbank Offered Rate (“LIBOR”) or may be subject to interest caps or floors based on LIBOR. In 2017, the head of the United Kingdom’s Financial Conduct Authority (“FCA”) announced a desire to phase out the use of LIBOR by the end of 2021. In March 2021, the FCA and LIBOR’s administrator, ICE Benchmarks Administration announced that LIBOR would no longer be provided (i) for all sterling euro, Swiss franc and Japanese yen settings, and the one-week and two-month U.S. dollar LIBOR settings after December 31, 2021 and (ii) for the remaining U.S. dollar LIBOR settings after June 30, 2023. Various financial industry groups have been planning for the transition away from LIBOR to a new reference rate such as the Secured Overnight Financing Rate (“SOFR”), which is intended to replace the U.S. dollar LIBOR but there are various challenges to converting certain securities and transactions to a new reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments which reference LIBOR and could lead to significant short-term and long-term uncertainty and market instability. Uncertainty remains regarding the effects of implementing replacement references for LIBOR on the Fund, issuers of instruments in which the Fund invests and financial markets generally. Changes accompanying the transition to a new reference rate may have an adverse impact on a Fund’s investments, performance or financial condition.

COVID-19

During the first quarter of 2020, the World Health Organization declared the COVID-19 coronavirus to constitute a public health emergency. COVID-19 led to increased short-term market volatility during 2020 and resulted in ongoing additional adverse effects on the U.S. and world economies and markets in general during 2021. The COVID-19 pandemic adversely affected the value of the Portfolios’ investments in certain periods during 2021, continued to affect independent countries, industries and economic sectors during 2022, and may have adverse impacts on Portfolio investments in the future. Because of the uncertainties regarding the ongoing and future impacts of COVID-19 and related virus variants on the global economy, and business operations, and securities markets, values reflected in these financial statements may materially differ from the value received upon actual sales of those investments.

The extent of the impact on the performance of the Portfolios and their investments will depend on future developments, including the duration and spread of the COVID-19 virus and related variants, the imposition of travel, movement and other restrictions as a result of public health advisories, the effectiveness of responsive measures by individual countries (such as vaccine distribution), and the effects of the pandemic on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.

Russia-Ukraine War

The military invasion of Ukraine by Russia in February 2022 has resulted in the imposition of broad-ranging economic sanctions by numerous countries and market disruptions, including declines in regional and global stock and commodity markets and significant devaluations of Russian currency. The sanctions and other responsive actions undertaken by countries and individual businesses have adversely impacted many sectors of the Russian economy. The extent and duration of the military action are difficult to predict and could be significant. Market disruption caused by the Russian military action, and any counter measures or responses thereto (including additional international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts and tariffs) and potential retaliatory actions by Russia, including cyberattacks and espionage undertaken against other countries and/or foreign businesses, could have a severe adverse impact on regional and/or global securities and financial and energy markets, including markets for oil and gas. These and other related events could have a negative impact on performance of the Fund’s Portfolios and the value and liquidity of an

214

Notes to Financial Statements (unaudited)

investment held in the Portfolios of the Series Fund.

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 Portfolio 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.

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, 2022, 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)
	Forward						Forward
	Foreign						Foreign								Net			Collateral
	Currency				Total		Currency					Total			Market			Pledged/			Net
Counterparty	Contacts		Swaps		Assets		Contacts			Swaps		Liabilities			Value			(Received)			Exposure
Bank of America NA	$	32	$	-	$	32	$	-		$	-	$	-		$	32		$	(32	)	$	-
Goldman Sachs International		39		-		39		-			-		-			39			(39	)		-
Morgan Stanley Capital Services, Inc.		-		-		-		(11	)		-		(11	)		(11	)		-			(11	)

Total	$	71	$	-	$	71	$	(11	)	$	-	$	(11	)	$	60		$	(71	)	$	(11	)

215

Notes to Financial Statements (unaudited)

Mid Cap Value Portfolio


	Derivative Assets (000’s)						Derivative Liabilities (000’s)
	Forward						Forward
	Foreign						Foreign								Net		Collateral
	Currency				Total		Currency					Total			Market		Pledged/			Net
Counterparty	Contacts		Swaps		Assets		Contacts			Swaps		Liabilities			Value		(Received)			Exposure
Bank of America NA	$	59	$	-	$	59	$	(2	)	$	-	$	(2	)	$	57	$	(57	)	$	-
Goldman Sachs International		134		-		134		(43	)		-		(43	)		91		(91	)		-

Total	$	193	$	-	$	193	$	(45	)	$	-	$	(45	)	$	148	$	(148	)	$	-

International Equity Portfolio


	Derivative Assets (000’s)						Derivative Liabilities (000’s)
	Forward						Forward
	Foreign						Foreign								Net			Collateral
	Currency				Total		Currency					Total			Market			Pledged/			Net
Counterparty	Contacts		Swaps		Assets		Contacts			Swaps		Liabilities			Value			(Received)			Exposure
Bank of America NA	$	156	$	-	$	156	$	(5	)	$	-	$	(5	)	$	151		$	-		$	151
Barclays Bank PLC		3		-		3		(3	)		-		(3	)		-			-			-
Citibank NA		104		-		104		(3	)		-		(3	)		101			-			101
Goldman Sachs Bank USA		274		-		274		-			-		-			274			(274	)		-
HSBC Bank USA NA		1,279		-		1,279		(2	)		-		(2	)		1,277			(1,277	)		-
JP Morgan Chase Bank NA		1,370		-		1,370		-			-		-			1,370			(1,370	)		-
Standard Chartered Bank		181		-		181		-			-		-			181			-			181
UBS AG		-		-		-		(6	)		-		(6	)		(6	)		-			(6	)

Total	$	3,367	$	-	$	3,367	$	(19	)	$	-	$	(19	)	$	3,348		$	(2,921	)	$	427

Inflation Protection Portfolio


	Derivative Assets (000’s)						Derivative Liabilities (000’s)
	Forward						Forward
	Foreign						Foreign								Net		Collateral
	Currency				Total		Currency					Total			Market		Pledged/			Net
Counterparty	Contacts		Swaps		Assets		Contacts		Swaps			Liabilities			Value		(Received)			Exposure
Bank of America NA	$	-	$	1,769	$	1,769	$	-	$	(9	)	$	(9	)	$	1,760	$	(1,760	)	$	-
Barclays Bank PLC		-		417		417		-		(399	)		(399	)		18		-			18
Goldman Sachs International		-		4,094		4,094		-		-			-			4,094		(4,094	)		-
Morgan Stanley Capital Services, Inc.		34		-		34		-		-			-			34		-			34

Total	$	34	$	6,280	$	6,314	$	-	$	(408	)	$	(408	)	$	5,906	$	(5,854	)	$	52

Multi-Sector Bond Portfolio


	Derivative Assets (000’s)						Derivative Liabilities (000’s)
	Forward						Forward
	Foreign						Foreign											Net			Collateral
	Currency				Total		Currency			Written					Total			Market			Pledged/			Net
Counterparty	Contacts		Swaps		Assets		Contacts			Options		Swaps			Liabilities			Value			(Received)			Exposure
Bank of America NA	$	1,903	$	-	$	1,903	$	(107	)	$	-	$	-		$	(107	)	$	1,796		$	(1,760	)	$	36
Barclays Bank PLC		61		-		61		(96	)		-		(412	)		(508	)		(447	)		274			(173	)
BNP Paribas SA		1,049		-		1,049		(1,284	)		-		-			(1,284	)		(235	)		72			(163	)
Goldman Sachs International		-		-		-		-			-		(2	)		(2	)		(2	)		-			(2	)
Goldman Sachs Bank USA		122		-		122		(347	)		-		-			(347	)		(225	)		-			(225	)
HSBC Bank USA NA		6,740		-		6,740		(74	)		-		-			(74	)		6,666			(6,550	)		116
JP Morgan Chase Bank NA		-		260		260		(78	)		-		(7	)		(85	)		175			(175	)		-
Morgan Stanley Capital Services, Inc.		33		-		33		-			-		-			-			33			-			33
Royal Bank of Canada		3		-		3		-			-		(25	)		(25	)		(22	)		-			(22	)
UBS AG		169		-		169		(809	)		-		-			(809	)		(640	)		640			-

Total	$	10,080	$	260	$	10,340	$	(2,795	)	$	-	$	(446	)	$	(3,241	)	$	7,099		$	(7,499	)	$	(400	)

The following is a summary by counterparty of the market value of repurchase agreements, financing transactions, collateral and net exposure as of period end:

216

Notes to Financial Statements (unaudited)

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		37,000		-		-		37,000		(37,000	)		-
BNP Paribas SA		40,000		-		-		40,000		(40,000	)		-
Citigroup Global Markets		36,000		-		-		36,000		(36,000	)		-
Goldman Sachs International		41,000		-		-		41,000		(41,000	)		-
Mitsubishi UFJ Securities USA		25,000		-		-		25,000		(25,000	)		-
Mizuho Bank		29,000		-		-		29,000		(29,000	)		-
Morgan Stanley Capital
Services, Inc.		15,000		-		-		15,000		(15,000	)		-
Natixis SA		20,000		-		-		20,000		(20,000	)		-
TD Securities USA		23,000		-		-		23,000		(23,000	)		-

Total	$	281,000	$	-	$	-	$	281,000	$	(281,000	)	$	-

Long-Term U.S. 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
Credit Suisse AG	$	(4,594	)	$	-	$	-		$	(4,594	)	$	-	$	(4,594	)
Morgan Stanley Capital
Services, Inc.		-			-		(102,592	)		(102,592	)		102,557		(35	)

Total	$	(4,594	)	$	-	$	(102,592	)	$	(107,186	)	$	102,557	$	(4,629	)

The Long-Term U.S. Government Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2022 was $34,315 (amount in thousands) at a weighted average interest rate of 0.336%. Average borrowings include reverse repurchase agreements and sale-buyback transactions, if held during the period.

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
Bank of America Merrill Lynch	$	-	$	(178	)	$	-	$	(178	)	$	178		$	-
JP Morgan Chase Bank NA		37,000		(219	)		-		37,481			(37,481	)		-

Total	$	37,000	$	(397	)	$	-	$	37,303		$	(37,303		$	-

The Multi-Sector Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2022 was $2,864 (amount in thousands) at a weighted average interest rate of 0.559%. Average borrowings include reverse repurchase agreements, if held during the period.

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 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%

217

Notes to Financial Statements (unaudited)

For the other Portfolios, the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:


Portfolio	First $50 Million			Next $50 Million			Excess Over $100 Million
Growth Stock Portfolio		0.60	%		0.50	%		0.40	%
Large Cap Core Stock Portfolio		0.60	%		0.50	%		0.40	%
Mid Cap Growth Stock Portfolio		0.80	%		0.65	%		0.50	%
Small Cap Growth Stock Portfolio		0.80	%		0.65	%		0.50	%
High Yield Bond Portfolio		0.60	%		0.50	%		0.40	%

Portfolio	First $100 Million			Next $400 Million			Excess Over $500 Million
Focused Appreciation Portfolio		0.80	%		0.75	%		0.70	%

Portfolio	First $100 Million			Next $150 Million			Excess Over $250 Million
Large Company Value Portfolio		0.72	%		0.67	%		0.62	%
Domestic Equity Portfolio		0.65	%		0.55	%		0.50	%
International Growth Portfolio		0.75	%		0.65	%		0.55	%
Short-Term Bond Portfolio		0.35	%		0.33	%		0.30	%
Long-Term U.S. Government Bond Portfolio .		0.555	%		0.515	%		0.495	%
Inflation Protection Portfolio		0.58	%		0.55	%		0.49	%
Multi-Sector Bond Portfolio		0.79	%		0.78	%		0.77	%
Asset Allocation Portfolio		0.60	%		0.50	%		0.40	%

Portfolio	First $150 Million			Next $150 Million			Next $200 Million			Excess Over $500 Million
Large Cap Blend Portfolio		0.77	%		0.70	%		0.62	%		0.56	%
Research International Core Portfolio		0.88	%		0.82	%		0.75	%		0.68	%

Portfolio	First $500 Million			Excess Over $500 Million
Equity Income Portfolio		0.65	%		0.60	%

Portfolio	First $200 Million			Excess Over $200 Million
Index 600 Stock Portfolio		0.25	%		0.20	%

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	%

For certain Portfolios, MSA 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:

218

Notes to Financial Statements (unaudited)


Portfolio			Expiration
Focused Appreciation Portfolio	0.90	%		April 30, 2023
Large Cap Blend Portfolio	0.85	%		April 30, 2023
Large Company Value Portfolio	0.80	%		April 30, 2023
Domestic Equity Portfolio	0.75	%		April 30, 2023
Equity Income Portfolio	0.75	%		April 30, 2023
Mid Cap Value Portfolio	1.00	%		April 30, 2023
Index 600 Stock Portfolio	0.35	%		April 30, 2023
Small Cap Value Portfolio	1.00	%		April 30, 2023
International Growth Portfolio	1.10	%		April 30, 2023
Research International Core Portfolio	1.15	%		April 30, 2023
Emerging Markets Equity Portfolio	1.50	%		April 30, 2023
Short-Term Bond Portfolio	0.45	%		April 30, 2023
Long-Term U.S. Government Bond Portfolio .	0.65	%		April 30, 2023
Inflation Protection Portfolio	0.65	%		April 30, 2023
Multi-Sector Bond Portfolio	0.90	%		April 30, 2023
Asset Allocation Portfolio	0.75	%		April 30, 2023

Growth Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $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, 2023.

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, 2023.

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, 2023.

Large Cap Blend 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 $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, 2023.

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, 2023.

Large Company Value Portfolio – For the period from January 1, 2022 through April 30, 2022, MSA 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. Effective May 1, 2022, MSA has agreed to waive a portion of its management fee such that the management fee is 0.67% on the Portfolio’s first $100 million of average net assets, 0.62% 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, 2023.

Domestic Equity Portfolio – 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, 0.43% on the next $500 million, and 0.41% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Equity Income Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.56%

219

Notes to Financial Statements (unaudited)

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, 2023.

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, 2023.

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, 2023.

Mid Cap Value Portfolio – 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, 2023.

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, 2023.

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, 2023.

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, 2023.

International Equity Portfolio – For the period from January 1, 2022 through April 30, 2022, MSA 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. Effective May 1, 2022, MSA has agreed to waive a portion of its management fee such that the management fee is 0.85% on the Portfolio’s first $50 million of average net assets, 0.65% on the next $1,950 million, and 0.63% on the average net assets in excess of $2 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

Emerging Markets Equity Portfolio – For the period from January 1, 2022 through April 30, 2022, MSA agreed to waive a portion of its management fee such that its management fee was 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. Effective May 1, 2022, MSA has agreed to waive a portion of its management fee such that its management fee was 0.95% on the Portfolio’s first $250 million of average net assets, 0.87% on the next $250 million, 0.80% on the next $500 million, and 0.75% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2023.

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, 2023. 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

220

Notes to Financial Statements (unaudited)

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, 2023.

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, 2023.

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, 2023.

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, 2023.

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, 2023.

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, 2023.

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, 2023.

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, 2023.

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.

221

Notes to Financial Statements (unaudited)

A summary of the Portfolios’ capital loss carryovers as of December 31, 2021 is provided below:


	Short-Term Loss Carryover		Long-Term Loss Carryover		Losses Utilized

	(Amounts in thousands)
Equity Income Portfolio	$	-	$	-	$	119
International Equity Portfolio		-		-		282,054
Emerging Markets Equity Portfolio		-		-		22,115
Long-Term U.S. Government Bond Portfolio		146		1,585		-
High Yield Bond Portfolio		-		5,092		3,780

Capital losses are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the first day of the next fiscal year.

When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the period ended December 31, 2021 was as follows:


	2021 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain

	(Amounts in thousands)
Growth Stock Portfolio	$	50	$	55,949
Focused Appreciation Portfolio		8,040		120,591
Large Cap Core Stock Portfolio		10,068		53,289
Large Cap Blend Portfolio		1,241		11,839
Index 500 Stock Portfolio		66,172		120,527
Large Company Value Portfolio		5,187		-
Domestic Equity Portfolio		18,598		23,353
Equity Income Portfolio		17,168		-
Mid Cap Growth Stock Portfolio		37,141		139,880
Index 400 Stock Portfolio		20,914		28,578
Mid Cap Value Portfolio		7,676		5,109
Small Cap Growth Stock Portfolio		24,801		57,905
Index 600 Stock Portfolio		5,359		4,217
Small Cap Value Portfolio		2,594		29,347
International Growth Portfolio		5,610		29,044
Research International Core Portfolio		10,349		14,425
International Equity Portfolio		43,243		-
Emerging Markets Equity Portfolio		5,199		-
Government Money Market Portfolio		10		27
Short-Term Bond Portfolio		8,138		-
Select Bond Portfolio		202,684		25,232
Long-Term U.S. Government Bond Portfolio		26,311		-
Inflation Protection Portfolio		5,663		62
High Yield Bond Portfolio		43,872		-
Multi-Sector Bond Portfolio		32,327		6,708
Balanced Portfolio		64,727		103,835
Asset Allocation Portfolio		7,196		15,602

As of December 31, 2021, 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	$	8,528	$	142,825	$	–	$	537,214
Focused Appreciation Portfolio		2,197		125,795		–		656,084
Large Cap Core Stock Portfolio		34,456		81,320		–		246,479
Large Cap Blend Portfolio		1,337		18,030		–		61,025
Index 500 Stock Portfolio		64,246		144,466		–		3,748,046
Large Company Value Portfolio		12,442		19,968		–		35,205
Domestic Equity Portfolio		30,279		106,319		–		301,853
Equity Income Portfolio		22,906		71,575		–		234,771

222

Notes to Financial Statements (unaudited)


Portfolio	Undistributed Ordinary Income		Undistributed Long-Term Gains		Accumulated Losses			Unrealized Appreciation (Depreciation)

			(Amounts in thousands)
Mid Cap Growth Stock Portfolio	$	1,825	$	98,222	$	–		$	311,275
Index 400 Stock Portfolio		32,136		101,320		–			460,419
Mid Cap Value Portfolio		44,502		64,719		–			99,088
Small Cap Growth Stock Portfolio		3,361		107,357		–			199,444
Index 600 Stock Portfolio		12,254		25,215		–			122,383
Small Cap Value Portfolio		12,419		65,202		–			238,146
International Growth Portfolio		8,195		93,077		–			380,462
Research International Core Portfolio		20,345		34,292		–			257,826
International Equity Portfolio		41,795		46,804		–			(40,732	)
Emerging Markets Equity Portfolio		19,996		58,276		–			208,118
Government Money Market Portfolio		–		–		–			–
Short-Term Bond Portfolio		6,233		172		–			508
Select Bond Portfolio		51,441		3,950		–			(23,318	)
Long-Term U.S. Government Bond Portfolio		1,876		–		(1,731	)		(19,676	)
Inflation Protection Portfolio		16,642		8,985		–			36,870
High Yield Bond Portfolio		40,650		–		(5,092	)		19,942
Multi-Sector Bond Portfolio		47,671		–		–			3,929
Balanced Portfolio		82,626		121,741		–			225,330
Asset Allocation Portfolio		9,305		17,887		–			42,486

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, 2022 are summarized below (amounts in thousands):


Portfolio	2022 Reimbursements
International Growth Portfolio	$	809
International Equity Portfolio		2,825
Research International Core Portfolio		1,127
Emerging Markets Equity Portfolio		1,017

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, 2022, 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	$	64,089	$	-	$	124,980	$	-
Focused Appreciation Portfolio		172,794		-		162,173		-
Large Cap Core Stock Portfolio		184,758		-		248,854		-

223

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)
Large Cap Blend Portfolio	$	55,081	$	-	$	34,977	$	-
Index 500 Stock Portfolio		52,601		-		52,746		-
Large Company Value Portfolio		46,122		-		85,391		-
Domestic Equity Portfolio		75,957		-		82,421		-
Equity Income Portfolio		60,956		-		127,391		-
Mid Cap Growth Stock Portfolio		293,494		-		327,458		-
Index 400 Stock Portfolio		76,298		-		71,899		-
Mid Cap Value Portfolio		282,301		-		292,470		-
Small Cap Growth Stock Portfolio		166,336		-		160,398		-
Index 600 Stock Portfolio		40,539		-		31,379		-
Small Cap Value Portfolio		77,332		-		88,256		-
International Growth Portfolio		105,862		-		67,011		-
Research International Core Portfolio		132,638		-		149,403		-
International Equity Portfolio		206,072		-		172,868		-
Emerging Markets Equity Portfolio		238,076		-		155,838		-
Short-Term Bond Portfolio		74,141		68,353		58,591		69,967
Select Bond Portfolio		1,643,870		3,188,316		1,345,437		3,493,616
Long-Term U.S. Government Bond Portfolio		691		25,401		196		26,003
Inflation Protection Portfolio		120,589		37,246		102,386		33,611
High Yield Bond Portfolio		89,117		-		114,862		-
Multi-Sector Bond Portfolio		69,006		-		96,648		154
Balanced Portfolio		255,517		-		310,682		-
Asset Allocation Portfolio		44,155		-		46,844		-

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, 2022 are as follows:


Portfolio	Value at 12/31/2021		Purchases		Sales		Value at 6/30/2022		Change in Unrealized Appreciation/ Depreciation			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2022

							(Amounts in thousands)
Balanced Portfolio:
Growth Stock	$	108,826	$	-	$	37,600	$	34,411	$	(32,713	)	$	(4,102	)	$	-	$	-		4.0	%
Focused Appreciation		109,064		18,000		5,500		91,087		(32,707	)		2,230			-		-		9.6	%
Large Cap Core Stock		91,335		-		41,900		32,316		(23,142	)		6,023			-		-		5.3	%
Large Cap Blend		92,903		15,200		-		90,940		(17,163	)		-			-		-		50.0	%
Large Company Value		66,888		-		35,160		27,590		(8,029	)		3,891			-		-		16.1	%
Domestic Equity		67,194		27,600		7,460		81,125		(9,256	)		3,047			-		-		8.3	%
Equity Income		67,424		-		33,600		28,787		(8,942	)		3,905			-		-		4.0	%
Mid Cap Growth Stock		100,637		5,000		-		79,193		(26,444	)		-			-		-		8.0	%
Mid Cap Value		106,645		-		5,000		93,100		(9,060	)		515			-		-		14.9	%
Small Cap Growth Stock		26,276		-		-		18,211		(8,065	)		-			-		-		3.1	%
Small Cap Value		30,377		-		-		24,146		(6,231	)		-			-		-		4.5	%
International Growth		63,466		8,400		-		54,433		(17,433	)		-			-		-		6.7	%
Research International Core		104,121		-		44,400		39,152		(26,012	)		5,443			-		-		5.3	%
International Equity		64,275		-		-		57,969		(6,306	)		-			-		-		3.5	%
Emerging Markets Equity		17,063		4,400		-		17,372		(4,091	)		-			-		-		2.1	%
Short-Term Bond		23,905		-		-		22,975		(930	)		-			-		-		5.8	%
Select Bond		865,259		-		49,700		725,829		(86,686	)		(3,044	)		-		-		24.3	%
High Yield Bond		84,024		-		19,000		55,600		(9,805	)		381			-		-		8.0	%
Multi-Sector Bond		119,927		-		-		99,246		(20,681	)		-			-		-		9.0	%

	$	2,209,609	$	78,600	$	279,320	$	1,673,482	$	(353,696	)	$	18,289		$	-	$	-

224

Notes to Financial Statements (unaudited)


Portfolio	Value at 12/31/2021		Purchases		Sales		Value at 6/30/2022		Change in Unrealized Appreciation/ Depreciation			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2022

										(Amounts in thousands)
Asset Allocation Portfolio:
Growth Stock	$	18,697	$	-	$	6,400	$	5,971	$	(5,844	)	$	(482	)	$	-	$	-		0.7	%
Focused Appreciation		18,738		3,200		740		15,913		(5,548	)		263			-		-		1.7	%
Large Cap Core Stock		15,479		-		7,140		5,410		(3,955	)		1,026			-		-		0.9	%
Large Cap Blend		15,764		2,800		-		15,645		(2,919	)		-			-		-		8.6	%
Large Company Value		11,445		-		6,090		4,639		(1,419	)		703			-		-		2.7	%
Domestic Equity		11,541		4,800		1,000		14,246		(1,504	)		409			-		-		1.5	%
Equity Income		11,503		-		5,600		5,041		(1,629	)		767			-		-		0.7	%
Mid Cap Growth Stock		16,404		1,000		-		13,094		(4,310	)		-			-		-		1.3	%
Mid Cap Value		17,260		-		1,000		14,877		(1,524	)		141			-		-		2.4	%
Small Cap Growth Stock		7,429		-		-		5,148		(2,281	)		-			-		-		0.9	%
Small Cap Value		8,475		-		-		6,737		(1,738	)		-			-		-		1.3	%
International Growth		12,159		2,000		-		10,812		(3,347	)		-			-		-		1.3	%
Research International Core		20,899		-		8,800		7,968		(5,643	)		1,512			-		-		1.1	%
International Equity		12,358		-		-		11,145		(1,213	)		-			-		-		0.7	%
Emerging Markets Equity		3,559		800		-		3,508		(851	)		-			-		-		0.4	%
Short-Term Bond		3,267		-		-		3,140		(127	)		-			-		-		0.8	%
Select Bond		61,927		1,330		6,100		50,822		(5,799	)		(536	)		-		-		1.7	%
High Yield Bond		17,650		-		2,740		12,794		(2,025	)		(91	)		-		-		1.8	%
Multi-Sector Bond		16,039		-		-		13,274		(2,765	)		-			-		-		1.2	%

	$	300,593	$	15,930	$	45,610	$	220,184	$	(54,441	)	$	3,712		$	-	$	-

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, 2022, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):



Portfolio	Cross Trade Purchases
Mid Cap Value Portfolio	$	844
International Growth Portfolio		3,290
Research International Core Portfolio		82
High Yield Bond Portfolio		3,245


	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gain (Loss) on Sales
Large Company Value Portfolio	$	126		(25	)
International Growth Portfolio		4,195		2,338
High Yield Bond Portfolio		940		42

NOTE 12. SUBSEQUENT EVENT

Effective July 1, 2022, in the Large Cap Blend 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 $150 million of average net assets, 0.65% 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, 2023.

225

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
PO		Principal Only Security
GDR		Global Depositary Receipt
GO		General Obligation
RB		Revenue Bond
CPURNSA		U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted
LIBOR		London Interbank Offered Rate
SOFR		Secured Overnight Financing Rate
ICE		Intercontinental Exchange
SONIO		Sterling Overnight Interbank Average Rate
DAC		Designated Activity Company
TBA		To Be Announced
OIS		Overnight Index Swaps
DIFC		Dubai International Financial Centre
EURIBOR		Euro Interbank Offered Rate
SDR		Swedish Depository Receipt
ETF		Exchange Traded Fund

Currency Abbreviations


ARS		Argentine Peso
AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
CHF		Swiss Franc
CNH		Chinese Yuan Renminbi - Offshore
CNY		Chinese Yuan Renminbi
DKK		Danish Krone
EUR		Euro
GBP		British Pound
HKD		Hong Kong Dollar
IDR		Indonesian Rupiah
INR		Indian Rupee
JPY		Japanese Yen
KES		Kenyan Shilling
KRW		South Korean Won
MXN		Mexican New Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PHP		Philippines Peso
RUB		Russian Ruble
SEK		Swedish Krona
THB		Thai Baht
TWD		Taiwan Dollar
USD		United States Dollar
ZAR		South African Rand

226

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.

227

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 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 net assets in illiquid investments that are assets (i.e., investments with positive values). 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, 2022, 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 January 1, 2021 to March 31, 2022 (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

228

Statement Regarding Liquidity Risk Management Program (unaudited)

positions in particular issuers, countries or geographic regions; (iii) whether the Portfolio’s strategy involves holdings that are particularly sensitive to stressed market conditions; and (iv) the Portfolio’s use of derivatives;

•

The liquidity experience of each Portfolio during the Reporting Period;

•

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.

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. The Report also discussed notable events during the Reporting Period affecting Portfolio liquidity and/or overall market liquidity, such as the impacts of extended market holidays and the imposition of capital controls in certain countries in response to the Russia/Ukraine conflict. No significant liquidity events impacting the Portfolios were noted in the Report. During the Reporting Period, each of the Portfolios continued to qualify 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.

229

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, 2022

At its February 24, 2022 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 24, 2022 meeting, the Board, including the Independent Directors, unanimously approved the continuance of (1) 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 and (2) Investment Sub-Advisory Agreements between Mason Street Advisors and Northern Trust Investments, Inc. (“Northern Trust”) relating to the Series Fund’s Index 400 Stock Portfolio and Index 600 Stock Portfolio.

At its June 2, 2022 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 Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Fiduciary Management, Inc. (“Fiduciary”), along with an amendment thereto, relating to the Series Fund’s Large Cap Blend Portfolio, and (4) 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, Northern Trust, MFS, FIAM, Fiduciary and Aberdeen are sometimes collectively referred to herein as the “Sub-Advisers,” and their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios.” The Investment Sub-Advisory Agreements with Wellington, Northern Trust, MFS, FIAM, Fiduciary and Aberdeen are collectively referred to herein as the “Sub-Advisory Agreements.”

In determining whether to approve the continuance of 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. With respect to the continuation of the Sub-Advisory Agreements, while particular focus was given to an evaluation of the services, performance, fees, costs, and certain other relevant information under such Agreements at the meeting at which their continuation is formally considered, the evaluation process with respect to Mason Street Advisors and the Sub-

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Advisers and the nature, extent and quality of the services they provide to the Portfolios pursuant to the terms of the Sub-Advisory Agreements is an ongoing one. As a result, the Board’s consideration of such services, and the performance, fees, costs and other relevant factors was also based upon information provided and deliberations that occurred at other meetings throughout the year.

The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the review and approval of the of the continuance of the 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 24, 2022 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 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 utilizes Morningstar fund classifications and data.) 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 24, 2022 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 24, 2022 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 and Balanced Portfolio. The directors considered the effectiveness of Mason Street Advisors’ portfolio

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managers in providing day-to-day portfolio management services for the foregoing Portfolios. The directors also considered the 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 received and considered information about the recent functional realignment of MSA under Northwestern Mutual’s retail investment function (the “Reorganization”), and the impacts of the Reorganization to MSA’s operations and personnel. The directors took into consideration the strategic objectives and anticipated benefits of the Reorganization to MSA and the Series Fund, including access to additional resources to support MSA’s investment management functions. The directors also considered changes to senior leadership at MSA and the Series Fund that had resulted from the Reorganization as well as related changes to the MSA and Series Fund committee and oversight structure. The directors expressed confidence in the ability of the reconstituted senior leadership team. In addition, the directors evaluated the impact of the Reorganization to the investment advisory services provided by MSA and the administrative services provided by Northwestern Mutual. The directors considered MSA’s assertions that the Reorganization would enhance and augment both the investment advisory and administrative services by providing additional senior leadership resources and additional investment and non-investment personnel. The directors considered personnel changes accompanying the Reorganization, including MSA’s use of certain dual officers shared with a retail investment affiliate, including one individual serving as MSA’s Chief Investment Officer and another individual serving in an investment officer capacity for MSA. The directors considered the potential conflicts of interest arising from these shared officer arrangements, along with the means by which MSA would mitigate any such risks. The directors viewed favorably MSA’s heightened sensitivity to managing the potential conflicts of interest arising from aspects of the Reorganization. The directors noted that, while the Reorganization would enhance MSA’s sub-advisory oversight team, it was not expected to result in any material change to MSA’s approach to ongoing monitoring and oversight of Series Fund sub-advisers, its process for new sub-adviser searches and selection, or the Board’s involvement in the same. The directors further noted that the Reorganization would not change the scope of administrative services provided by Northwestern Mutual for the Series Fund. In connection with their consideration of services provided to the Asset Allocation and Balanced Portfolios, the directors received a presentation from the Allocation Portfolios’ portfolio management team, including two newly named portfolio managers, about planned investment process enhancements.

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 and Lipper fund group categories for the same periods; (ii) the Broadridge overall star rating and Lipper rating for each Portfolio; and (iii) the Broadridge 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 categories, industry benchmarks and indices. They viewed this information as providing an objective

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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, 2021, which permitted the identification of those Portfolios scoring 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, including the recent appointment of Dodge & Cox as the sub-adviser for the International Equity Portfolio. The directors commented that the sub-adviser transition had been accomplished in an extremely efficient manner. The directors considered Wellington’s efforts to improve the performance of the Small Cap Growth Stock and Mid Cap Growth Stock Portfolios. The directors also considered MSA’s views with respect to performance challenges and expectations for the remaining portfolios in the bottom half of the chart. The directors observed that the performance of a number of such underperforming Portfolios had recently improved.

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 in the context of current developments in the economy and financial markets, the directors generally placed greater emphasis on longer-term performance.

In particular, the directors noted the longer-term performance returns of the Portfolios as reported by Broadridge, which indicated that 16 of the 27 Portfolios were ranked in the first or second quartile of their respective Broadridge category peer groups for the three- and five-year periods ended December 31, 2021. The directors also noted the performance returns of the Portfolios as reported on a peer category basis by Lipper, which indicated that 15 of the 27 Portfolios were ranked in the first or second quartile for their respective peer categories for the three-year period ended December 31, 2021, and that 18 of the 27 Portfolios were ranked in the first or second quartile for the five-year period ended December 31, 2021.

Based on the Board’s review of investment performance over various periods, 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

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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 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 net total expenses within their respective category groups at December 31, 2021, with 22 of the Portfolios ranking in the first quartile. With respect to the Government Money Market Portfolio, which had ranked in the 72nd percentile for the year ended December 31, 2021, the directors considered that the expense ranking was a result of fee compression from expense waivers across the peer group in response to the ongoing low interest rate environment.

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 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 applicable asset levels, breakpoints, total expenses and management fee waivers that are in place for those Portfolios. As part of the allocation of fees, the Board considered Mason Street Advisors’ decision for the upcoming year to increase existing advisory fee waivers with respect to the Large Company Value and Emerging Markets Equity Portfolios and, as a result of the recent change in sub-adviser for the International Equity Portfolio, to decrease the existing advisory fee waiver with respect to such Portfolio. The directors noted further MSA’s decision to retain all other existing advisory fee waivers and expense caps 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 received information about MSA’s decision to rely on Rule 12d1-4 under the Investment Company Act of 1940, as amended, to operate each of the Asset Allocation and Balanced Portfolios as fund of funds on a going forward basis. The directors considered the full scope of services provided by MSA to the Asset Allocation and Balanced Portfolios (the “Allocation Portfolios”), and MSA’s view that the fees it received under the Advisory Agreement relating to the Allocation Portfolios were based on services that were in addition to and not duplicative of the services provided by any funds acquired by the Allocation Portfolios in reliance on Rule 12d1-4 (“acquired funds”). Moreover, the directors were apprised that MSA had evaluated the complexity of the structure and fees and expenses associated with the Allocation Portfolios’ investments in acquired funds, and had found that the Allocation Portfolios’ fees and expenses did not duplicate the fees and expenses of any acquired fund, as required by Rule 12d1-4.

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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 advisory 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. 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 24, 2022 and June 2, 2022 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the Sub-Advisory Agreements with respect to the related 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 such Sub-Advisers during the course of those meetings, the 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.

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With respect to the Sub-Advisory Agreements reviewed in February, the directors expressed continued confidence in Wellington’s ability as a sub-adviser. The directors discussed the impact of Wellington’s use of a shared pool of investment analysts and the role of each portfolio manager in differentiating the use of this resource. The directors considered adjustments made by the portfolio manager for the Mid Cap Growth Stock Portfolio in his approach to market cap size and concluded that it did not represent a change in Wellington’s investment strategy. With respect to Northern Trust, the directors were satisfied with the initial performance of Northern Trust as sub-adviser for the Index 400 Stock and Index 600 Stock Portfolios. The directors expressed no concerns with either Sub-Adviser’s financial stability, financial strength or other firm level matters.

With respect to the Sub-Advisory Agreements considered for continuance in June, the directors noted no concerns with overall financial strength or stability of any of the Sub-Advisers. The directors considered organizational changes that had occurred at Aberdeen with respect to the elimination of the role of Chief Investment Officer and the assumption of additional corporate level responsibilities by the lead portfolio manager for the Emerging Markets Equity Portfolio. In that regard, the directors considered the portfolio manager’s remarks that his expanded role did not prevent him from continuing to devote a significant portion of his time to his investment management responsibilities. The directors considered information provided by Fiduciary about plans to continue to transfer the firm’s ownership across its employee base. The directors considered updated information about succession planning for executive management at Fiduciary.

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 favorably on the portfolio manager’s remarks about the outlook for the Large Cap Blend Portfolio and Fiduciary’s approach to valuations. The directors expressed satisfaction with Fiduciary’s consistent application of its articulated investment philosophy. With respect to Aberdeen and FIAM, the directors considered the role that ESG factors played in the respective investment processes for the Emerging Markets Equity and International Growth Portfolios. 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 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 multiple 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 (as applicable) performance to the returns of appropriate industry benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio’s respective Broadridge and Lipper fund group categories for the same periods; (ii) the Broadridge overall star rating and Lipper rating for each Sub-Advised Portfolio; and (iii) the Broadridge and Lipper performance rankings for each Sub-Advised Portfolio for the one-, three- and five-year time periods (as applicable). The directors evaluated each Sub-Advised Portfolio’s performance against these peer groups and industry benchmarks and indices 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 information provided by Wellington about performance issues encountered in the health care sector. The directors discussed the performance of the Small Cap Growth Stock and Mid Cap Growth Stock Portfolios, noting that historically the Portfolios had performed well over a market cycle. The directors also noted the recent performance improvements achieved by these Portfolios, and expressed optimism that the trend would continue. The directors considered the strong longer term performance record achieved by the Large Cap Core Stock Portfolio. With respect to Northern Trust, the directors noted that the initial performance achieved by Northern Trust for the Index 400 Stock and Index 600 Stock Portfolios had been strong.

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The directors identified no concerns with respect to the overall performance of Portfolios sub-advised by Aberdeen, MFS or FIAM. The directors considered Aberdeen’s explanation of the impact of certain Russian and Chinese holdings on the 2021 calendar year and first quarter 2022 performance of the Emerging Markets Equity Portfolio. While acknowledging that the performance of the Large Cap Blend Portfolio sub-advised by Fiduciary continued to be challenged, the directors considered the Portfolio’s goal to provide downside protection, which they noted had been demonstrated in market downturns in 2001 and 2008 as well as in the most recent quarter. The directors also considered the current composition of the Large Cap Blend Portfolio, and the portfolio manager’s confidence that the Portfolio was well positioned to outperform based on his market expectations. The directors viewed favorably the fact that the Portfolio’s investment strategy and performance profile differentiated it from other large cap investment options available within Northwestern Mutual’s variable products.

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 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 each Sub-Advised Portfolio (as applicable).

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, 2021 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 8 of the 9 Sub-Advised Portfolios whose sub-advisory agreements were approved for renewal at the February and June meetings were ranked in Broadridge’s first quartile for total expenses for the period ended December 31, 2021. The directors considered that the remaining Sub-Advised Portfolio, the Large Cap Blend Portfolio, was ranked in the second quartile for net total expenses. The directors also noted that, in connection with the renewal of the Sub-Advisory Agreement for such Portfolio, the Sub-Advisory Agreement would be amended to reduce Fiduciary’s sub-advisory fee.

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 whose sub-advisory agreement was approved for renewal, 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’ presentations 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

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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. 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 a certain 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.

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, Emerging Markets Equity and Index 600 Stock 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, Emerging Markets Equity and Index 400 Stock 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 the 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, approach to portfolio manager compensation, and succession planning, as well as information supplied by the Sub-Advisers related to their cybersecurity programs and business continuity plans, and other matters they deemed relevant.

238

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

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.

239

(b)

Not applicable.

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 to semi-annual reports.

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/ Paul A. Mikelson
		Paul A. Mikelson, President

Date:		August 17, 2022

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/ Paul A. Mikelson
		Paul A. Mikelson, President

Date:		August 17, 2022

By:		/s/ Todd M. Jones
		Todd M. Jones, Vice President,
		Chief Financial Officer and Treasurer

Date:		August 17, 2022

Northwestern Mutual Series Fund N-CSRSCertified semi-annual shareholder report (management investment company)