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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3990

Northwestern Mutual Series Fund, Inc.

(Exact name of registrant as specified in charter)

720 East Wisconsin Avenue,

Milwaukee Wisconsin 53202

(Address of principal executive offices) (Zip code)

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: December 31, 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 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:

Annual Report December 31, 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.

Letter to Contract Holders

December 31, 2022

2022 was a year of adjustments, as investors sought to adapt to the shifting economic and political landscape that emerged following the reopening-led recovery post COVID. Markets contended with a number of significant challenges that weighed on both stock and bond prices throughout the year. Inflation accelerated rapidly and, in many parts of the globe, reached levels unseen since the turbulence of the early 1980s. In response, global central banks implemented rapid monetary tightening, a sudden reversal of the easy money policies that defined the last few years. And geopolitics once again emerged as a disruptive force in markets, as Russia’s invasion of Ukraine had a widespread impact on the global economy, in addition to the tragic human cost of the largest European conflict since WWII. In this challenging environment, a broad range of U.S. stocks posted negative returns, including the S&P 500^® Index1 (-18.11%), the S&P MidCap 400^® Index (-13.06%) and the S&P SmallCap 600^® Index (-16.10%).

High and rising inflation was a constant theme throughout the year, as supply-chain disruptions stemming from the pandemic and the war in Ukraine, along with abrupt shifts in consumer spending patterns, contributed to higher prices. As the year began, the question on investors’ minds was just how much further inflation would rise and whether it would prove lasting or fleeting. As the year wore on, it became clear that inflation was both growing and unlikely to abate any time soon. In the U.S., the Consumer Price Index peaked at 9.1% in June, the highest recorded since 1981. Early in 2022, increases in goods prices accounted for much of U.S. inflation, however rising wages drove increasing services inflation as the year wore on. Inflation in the U.K. and Europe also hit multi-decade highs, exacerbated by uncertainty over energy supplies.

Heightened inflation led most major central banks to significantly tighten monetary policy in an attempt to reduce demand to a more sustainable level. The U.S. Federal Reserve (the “Fed”) switched gears from its prior accommodative stance and began raising interest rates in March 2022. It went on to raise rates at its next six meetings, including four consecutive 0.75% hikes. This represented a dramatically rapid shift by historic standards. In one year, the federal funds rate went from near zero to the year-end range of 4.25% to 4.50%, the highest level since 2007. The Fed also cut off another avenue for stimulus by reversing course on its bond-buying program, selling off previously purchased bonds and reducing its balance sheet (albeit only modestly). Other major central banks,

including the Bank of England and the European Central Bank, also raised their benchmark interest rates multiple times. The Bank of Japan was one of the few holdouts, keeping interest rates steady as inflation in Japan, while rising, remained lower than in the U.S. and Europe. Rising interest rates created equity-like volatility for bonds during the year, as the Bloomberg^® U.S. Aggregate Bond Index posted a return of -13.01%.

Russia’s invasion of Ukraine in March added another layer of uncertainty to a global economy in transition. Many major economies responded to the invasion with sanctions on Russia, which disrupted businesses with significant Russian operations and sales. In addition to the direct effect of these sanctions, the indirect effects of the war reverberated in global commodities markets. Russia is a major exporter of oil and gas. Energy prices spiked when the war began, in anticipation of diminished supply. Ukraine is a significant wheat producer. The disruption of its Black Sea trading routes led to a sharp rise in the prices of wheat and some other agricultural commodities, raising concerns about food affordability in some countries. Rising commodity prices also exacerbated already-rising inflationary pressures in much of the world. However, as 2022 wore on, most of these commodity price spikes abated, and in many cases, prices fell below their pre-war levels as buyers and sellers adapted to new conditions.

The economic picture in 2022 was similarly volatile as mixed signals abounded. In the U.S., the economy contracted in the first two quarters of 2022, traditionally considered the onset of recession. But unemployment remained very low, job growth continued, and economic growth resumed in the third quarter. Given the Fed’s rapid monetary tightening, analysts closely examined economic signals for indications of whether inflation could be controlled without causing a significant economic downturn.

Investors endured a lot during 2022, facing rapid changes in inflation, a dramatic turnabout from central banks and an unstable geopolitical landscape. The need to adapt to changing conditions is likely to continue in 2023, and we recommend consulting with a financial professional to explore the right mix of securities and asset classes for your portfolio. We encourage you to work closely with your financial professional to navigate the financial markets so that you will be prepared for whatever new adjustments the next year might require.

Thank you for your continued trust in Northwestern Mutual.

LOGO

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

Northwestern Mutual Series Fund, Inc.

Table of Contents


Expense Examples			1

Series Fund Overviews and Schedules of Investments:

Growth Stock Portfolio			4

Focused Appreciation Portfolio			8

Large Cap Core Stock Portfolio			12

Large Cap Blend Portfolio			18

Index 500 Stock Portfolio			21

Large Company Value Portfolio			29

Domestic Equity Portfolio			34

Equity Income Portfolio			37

Mid Cap Growth Stock Portfolio			41

Index 400 Stock Portfolio			46

Mid Cap Value Portfolio			53

Small Cap Growth Stock Portfolio			59

Index 600 Stock Portfolio			65

Small Cap Value Portfolio			74

International Growth Portfolio			79

Research International Core Portfolio			84

International Equity Portfolio			90

Emerging Markets Equity Portfolio			96

Government Money Market Portfolio			102

Short-Term Bond Portfolio			107

Select Bond Portfolio			127

Long-Term U.S. Government Bond Portfolio			145

Inflation Protection Portfolio			152

High Yield Bond Portfolio			163

Multi-Sector Bond Portfolio			175

Balanced Portfolio			199

Asset Allocation Portfolio			204

Benchmark Definitions			209

Statements of Assets and Liabilities			212

Statements of Operations			218

Statements of Changes in Net Assets			224

Statement of Cash Flows			233

Financial Highlights			234

Notes to Financial Statements			241

Report of Independent Registered Public Accounting Firm			265

Abbreviations			267

Proxy Voting and Portfolio Holdings			268

Director and Officer Information			269

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements			273

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 (July 1, 2022 to December 31, 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 July 1, 2022		Ending Account Value December 31, 2022		Expenses Paid During Period July 1, 2022 to December 31, 2022*		Annualized Expense Ratio

Growth Stock Portfolio
Actual		$1,000.00		$937.04		$2.10		0.43	%
Hypothetical (5% return before expenses)		1,000.00		1,023.04		2.19		0.43

Focused Appreciation Portfolio
Actual		1,000.00		1,014.05		3.20		0.63
Hypothetical (5% return before expenses)		1,000.00		1,022.03		3.21		0.63

Large Cap Core Stock Portfolio
Actual		1,000.00		1,021.05		2.29		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.94		2.29		0.45

Large Cap Blend Portfolio
Actual		1,000.00		1,052.00		3.83		0.74
Hypothetical (5% return before expenses)		1,000.00		1,021.48		3.77		0.74

Index 500 Stock Portfolio
Actual		1,000.00		1,022.02		1.02		0.20
Hypothetical (5% return before expenses)		1,000.00		1,024.20		1.02		0.20

Expense Examples (unaudited)


	Beginning Account Value July 1, 2022		Ending Account Value December 31, 2022		Expenses Paid During Period July 1, 2022 to December 31, 2022*		Annualized Expense Ratio

Large Company Value Portfolio
Actual		$1,000.00		$1,076.00		$4.03		0.77	%
Hypothetical (5% return before expenses)		1,000.00		1,021.32		3.92		0.77

Domestic Equity Portfolio
Actual		1,000.00		1,073.37		2.61		0.50
Hypothetical (5% return before expenses)		1,000.00		1,022.68		2.55		0.50

Equity Income Portfolio
Actual		1,000.00		1,055.88		2.95		0.57
Hypothetical (5% return before expenses)		1,000.00		1,022.33		2.91		0.57

Mid Cap Growth Stock Portfolio
Actual		1,000.00		1,034.05		2.77		0.54
Hypothetical (5% return before expenses)		1,000.00		1,022.48		2.75		0.54

Index 400 Stock Portfolio
Actual		1,000.00		1,078.62		1.31		0.25
Hypothetical (5% return before expenses)		1,000.00		1,023.95		1.28		0.25

Mid Cap Value Portfolio
Actual		1,000.00		1,074.60		3.76		0.72
Hypothetical (5% return before expenses)		1,000.00		1,021.58		3.67		0.72

Small Cap Growth Stock Portfolio
Actual		1,000.00		1,031.83		2.87		0.56
Hypothetical (5% return before expenses)		1,000.00		1,022.38		2.85		0.56

Index 600 Stock Portfolio
Actual		1,000.00		1,033.94		1.44		0.28
Hypothetical (5% return before expenses)		1,000.00		1,023.79		1.43		0.28

Small Cap Value Portfolio
Actual		1,000.00		1,024.88		4.44		0.87
Hypothetical (5% return before expenses)		1,000.00		1,020.82		4.43		0.87

International Growth Portfolio
Actual		1,000.00		1,056.00		3.21		0.62
Hypothetical (5% return before expenses)		1,000.00		1,022.08		3.16		0.62

Research International Core Portfolio
Actual		1,000.00		1,043.59		3.91		0.76
Hypothetical (5% return before expenses)		1,000.00		1,021.37		3.87		0.76

International Equity Portfolio
Actual		1,000.00		1,033.05		3.48		0.68
Hypothetical (5% return before expenses)		1,000.00		1,021.78		3.47		0.68

Emerging Markets Equity Portfolio
Actual		1,000.00		976.13		4.53		0.91
Hypothetical (5% return before expenses)		1,000.00		1,020.62		4.63		0.91

Expense Examples (unaudited)


	Beginning Account Value July 1, 2022		Ending Account Value December 31, 2022		Expenses Paid During Period July 1, 2022 to December 31, 2022*		Annualized Expense Ratio

Government Money Market Portfolio
Actual		$1,000.00		$1,012.58		$1.67		0.33	%
Hypothetical (5% return before expenses)		1,000.00		1,023.54		1.68		0.33

Short-Term Bond Portfolio
Actual		1,000.00		993.49		1.91		0.38
Hypothetical (5% return before expenses)		1,000.00		1,023.29		1.94		0.38

Select Bond Portfolio
Actual		1,000.00		970.19		1.54		0.31
Hypothetical (5% return before expenses)		1,000.00		1,023.64		1.58		0.31

Long-Term U.S. Government Bond Portfolio
Actual		1,000.00		890.61		6.10		1.28
Hypothetical (5% return before expenses)		1,000.00		1,018.75		6.51		1.28

Inflation Protection Portfolio
Actual		1,000.00		963.90		2.72		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.43		2.80		0.55

High Yield Bond Portfolio
Actual		1,000.00		1,026.25		2.30		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.94		2.29		0.45

Multi-Sector Bond Portfolio
Actual		1,000.00		1,022.40		3.72		0.73
Hypothetical (5% return before expenses)		1,000.00		1,021.53		3.72		0.73

Balanced Portfolio
Actual		1,000.00		1,013.12		0.30		0.06
Hypothetical (5% return before expenses)		1,000.00		1,024.90		0.31		0.06

Asset Allocation Portfolio
Actual		1,000.00		1,025.40		0.51		0.10
Hypothetical (5% return before expenses)		1,000.00		1,024.70		0.51		0.10

Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect 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)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Current income is a secondary objective.	Invest in the equity securities of medium and large capitalization companies exhibiting the potential for earnings growth or share price appreciation.	$751 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Growth Stock Portfolio (the “Portfolio”), has engaged T. Rowe Price Associates, Inc. (“T. Rowe Price”) to act as sub-adviser for the Portfolio. The Portfolio invests in “blue chip” growth companies, which are companies that are well established in their industries and have the potential for above-average earnings growth. The Portfolio looks for companies with leading market positions, seasoned management and strong financial fundamentals. The Portfolio’s investment approach reflects the belief that solid company fundamentals (with an emphasis on the potential for strong growth in earnings per share or operating cash flow) combined with a positive outlook for a company’s industry will ultimately reward investors with strong investment performance. The Portfolio may look for companies with good prospects for dividend growth.

MARKET OVERVIEW

Major U.S. stock indices fell sharply in 2022, the worst year for equities since the 2008 global financial crisis. Investors shunned riskier assets in response to Russia’s invasion of Ukraine, elevated inflation exacerbated by rising commodity prices and global supply chain disruptions, surging U.S. Treasury yields, tightening financial conditions and slowing economic and corporate earnings growth. Beginning in March 2022, the Federal Reserve (“the Fed”) began a series of aggressive short-term interest rate hikes. The rate hikes along with Fed comments that it would be willing to risk causing a recession by raising rates and keeping them at a higher level in order to bring inflation down, also weighed on the market. Although many indices finished the year above their lowest levels of 2022, the year ended with many investors concerned that ongoing Fed rate hikes would hurt corporate earnings and push the economy into a recession in 2023. As measured by various Russell^® indices, growth stocks significantly underperformed value stocks across all market capitalizations.

PORTFOLIO RESULTS

The Portfolio returned (38.70%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell 1000^® Growth Index (the “Index”), returned (29.14%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Growth Funds peer group was (32.61%).

Overall, detrimental security selection and sector allocation detracted from the Portfolio’s relative performance. An overweight allocation and stock selection in the Communication Services sector detracted the most from relative results. Notably, Meta Platforms, Inc. detracted due to a combination of headwinds from Apple iOS privacy changes, a significant drop in advertising demand, as macro headwinds put downward pressure on advertiser budgets and a material increase in investments around the metaverse initiative. The Consumer Discretionary sector also hindered relative returns, owing to weak stock picks and an overweight allocation. Shares of Amazon.com, Inc. declined in response to deceleration within both e-commerce and Amazon Web Services as consumer confidence and spending on enterprise cloud services softened due to macro concerns. In addition, the company’s cost control efforts fell short of targets, with its bloated logistics footprint continuing to weigh on profitability. The Information Technology sector also weighed on relative performance due to unfavorable stock choices.

At the other end of the spectrum, an overweight allocation and stock selection in the Health Care sector contributed significantly to relative performance. Shares of UnitedHealth Group Incorporated held up relatively well due to better-than-expected cost trends as utilization returns to normal, stronger-than-expected onboarding of value based care patients within Optum and innate defensive characteristics that provided additional support as markets continue to decline. The Financials sector also boosted relative returns due to favorable stock selection and an overweight allocation.

PORTFOLIO MANAGER OUTLOOK

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

Growth Stock Portfolio (unaudited)

under control by hiking interest rates and draining liquidity from the markets. Nevertheless, geopolitical risks will remain potential triggers for downside volatility in 2023. Structural factors, such as bank capital requirements that constrain market liquidity, could magnify price movements, both up and down. While there are good reasons for caution in 2023, excessive pessimism and volatility can create value for agile investors. In difficult markets, security selection will be critical.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Growth Stock Portfolio		-38.70	%		4.86	%		9.75	%
Russell 1000^® Growth Index		-29.14	%		10.96	%		14.10	%
Lipper^® Variable Insurance Products (VIP) Large Cap Growth Funds Average		-32.61	%		8.25	%		12.21	%

The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit www.northwesternmutual.com.

This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses, and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

The Portfolio may invest a relatively high percentage of its assets in a particular sector. The Portfolio will have greater exposure to the risks associated with that sector and its performance will be tied more closely to the performance of the sector.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Microsoft Corp.	9.3	%
Alphabet, Inc., Various	8.6	%
Apple, Inc.	8.2	%
Amazon.com, Inc.	7.5	%
UnitedHealth Group, Inc.	5.3	%
Visa, Inc. - Class A	4.2	%
Mastercard, Inc. - Class A	3.5	%
NVIDIA Corp.	3.0	%
Eli Lilly & Co.	2.7	%
ServiceNow, Inc.	2.6	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Information Technology	43.8	%
Health Care	17.7	%
Consumer Discretionary	15.8	%
Communication Services	14.0	%
Financials	5.5	%
Materials	1.4	%
Industrials	1.2	%
Short-Term Investments & Other Net Assets	0.6	%

Sector Allocation and Top 10 Holdings are subject to change.

Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (99.4%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (14.0%)
Alphabet, Inc. - Class A *		90,053		7,945
Alphabet, Inc. - Class C *		633,258		56,189
Meta Platforms, Inc. - Class A *		116,593		14,031
Netflix, Inc. *		29,359		8,657
Sea, Ltd., ADR *		66,940		3,483
Tencent Holdings, Ltd.		82,300		3,522
T-Mobile US, Inc. *		62,749		8,785
The Walt Disney Co. *		28,241		2,454

Total				105,066


Consumer Discretionary (15.8%)
Amazon.com, Inc. *		669,027		56,198
Booking Holdings, Inc. *		3,184		6,417
Chipotle Mexican Grill, Inc. *		5,773		8,010
Dollar General Corp.		39,678		9,771
DoorDash, Inc. *		34,134		1,666
Lululemon Athletica, Inc. *		18,548		5,942
NIKE, Inc. - Class B		66,118		7,737
Ross Stores, Inc.		95,472		11,082
Tesla, Inc. *		77,852		9,590
The TJX Cos., Inc.		24,351		1,938

Total				118,351

Financials (5.5%)
The Charles Schwab Corp.		92,833		7,729
Chubb, Ltd.		43,663		9,632
The Goldman Sachs Group, Inc.		30,752		10,560
Marsh & McLennan Cos., Inc.		36,636		6,062
MSCI, Inc.		3,149		1,465
S&P Global, Inc.		17,875		5,987

Total				41,435


Health Care (17.7%)
Align Technology, Inc. *		3,873		817
AstraZeneca PLC, ADR		52,216		3,540
Danaher Corp.		51,787		13,745
Elevance Health, Inc.		10,699		5,488
Eli Lilly & Co.		55,604		20,342
Humana, Inc.		17,896		9,166
Intuitive Surgical, Inc. *		56,630		15,027
Stryker Corp.		27,472		6,717
Teleflex, Inc.		6,727		1,679
Thermo Fisher Scientific, Inc.		17,114		9,425
UnitedHealth Group, Inc.		75,322		39,934


Common Stocks (99.4%)	Shares/ Par ⁺		Value $ (000’s)

Health Care continued
Veeva Systems, Inc. - Class A *		13,158		2,123
Zoetis, Inc.		36,333		5,325

Total				133,328


Industrials (1.2%)
Cintas Corp.		4,012		1,812
General Electric Co.		37,927		3,178
Old Dominion Freight Line, Inc.		11,308		3,209
TransUnion		15,347		871

Total				9,070


Information Technology (43.8%)
Advanced Micro Devices, Inc. *		110,752		7,173
Adyen NV *		171,993		2,374
Affirm Holdings, Inc. *		45,136		436
Apple, Inc.		474,049		61,593
ASML Holding NV		21,598		11,801
Atlassian Corp. - Class A *		25,885		3,331
Bill.com Holdings, Inc. *		30,534		3,327
Block, Inc. *		48,469		3,046
Confluent, Inc. - Class A *		46,611		1,037
CrowdStrike Holdings, Inc. *		11,103		1,169
Datadog, Inc. *		20,147		1,481
Fortinet, Inc. *		18,457		902
Intuit, Inc.		36,737		14,299
Lam Research Corp.		3,376		1,419
Marvell Technology, Inc.		80,018		2,964
Mastercard, Inc. - Class A		74,398		25,870
Microsoft Corp.		290,699		69,715
MongoDB, Inc. *		19,124		3,764
Monolithic Power Systems, Inc.		12,719		4,498
NVIDIA Corp.		155,424		22,714
Paycom Software, Inc. *		3,415		1,060
PayPal Holdings, Inc. *		24,232		1,726
Roper Technologies, Inc.		16,146		6,977
ServiceNow, Inc. *		49,645		19,276
Shopify, Inc. *		102,118		3,545
Snowflake, Inc. *		12,807		1,838
Synopsys, Inc. *		31,621		10,096
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		38,883		2,896
TE Connectivity, Ltd.		14,836		1,703
Texas Instruments, Inc.		34,827		5,754


Common Stocks (99.4%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology continued
Visa, Inc. - Class A		149,973		31,158

Total				328,942


Materials (1.4%)
Linde PLC		16,138		5,264
The Sherwin-Williams Co.		21,111		5,010

Total				10,274


Total Common Stocks
(Cost: $670,592)				746,466


Total Investments (99.4%)
(Cost: $670,592)^@				746,466


Other Assets, Less
Liabilities (0.6%)				4,237


Net Assets (100.0%)				750,703

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

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $678,836 and the net unrealized appreciation of investments based on that cost was $67,630 which is comprised of $171,567 aggregate gross unrealized appreciation and $103,937 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	746,466	$	-	$	-
Total Assets:	$	746,466	$	-	$	-

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

Focused Appreciation Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest in equity securities selected for their growth potential.	$964 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Focused Appreciation Portfolio (the “Portfolio”), has engaged Loomis, Sayles & Company, L.P. (“Loomis Sayles”) to act as sub-adviser for the Portfolio. The Portfolio invests primarily in the equity securities of companies selected for their growth potential. The Portfolio focuses on equity securities of large capitalization companies but may invest in companies of any size. The Portfolio employs a growth style of equity management that emphasizes companies with sustainable competitive advantages, long-term structural growth drivers, profitable cash flow returns, and management teams focused on creating long-term value for shareholders. The Portfolio invests primarily in a core group of 30-40 securities but may exceed this range.

MARKET OVERVIEW

Domestic equities posted sizable losses with elevated volatility in 2022. Inflation rose steadily in the first half of the year, exceeding an annual rate of 8% in March and peaking at 9.1% in June. The Federal Reserve (the “Fed”) sought to contain the price pressures by winding down its quantitative easing program and raising interest rates a total of seven times. The benchmark Fed funds rate target range, which stood at 0%–0.25% entering 2022, had climbed to 4.25%–4.50% by year-end—one of the fastest increases in history. While the economy remained resilient through 2022, the central bank’s aggressive approach fueled concerns about the potential for a recession in 2023 as the lagged effect of higher rates takes hold. The combination of slower growth and rising inflation, in turn, raised fears that corporations’ profit margins and earnings were poised to weaken in the year ahead. Geopolitical factors also contributed to the downturn in stocks. Russia’s invasion of Ukraine, together with its adverse impact on supply chains and commodity prices, was a key issue weighing on sentiment. China was another source of concern, as the government’s zero-COVID policy hindered growth both within China and across the globe, although this policy was relaxed late in the year. These developments led to a decline in valuations for U.S. equities. Growth stocks, particularly the mega-cap technology stocks that led the market higher in 2021, were hit hardest in the downturn.

PORTFOLIO RESULTS

The Portfolio returned (27.83%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell 1000^® Growth Index (the “Index”), returned (29.14%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Growth Funds peer group was (32.61%).

Companies in the Health Care and Consumer Staples sectors contributed the most to the Portfolio’s return. Specifically, Vertex Pharmaceuticals Incorporated, Monster Beverage Corporation and Regeneron Pharmaceuticals, Inc. were among the top contributors.

In terms of stock selection, holdings in the Communication Services, Health Care, Industrials, Consumer Staples, Consumer Discretionary, Financials and Energy sectors contributed to relative performance. Allocations to the Health Care, Industrials, Consumer Discretionary, Information Technology and Financials sectors also contributed.

In the Information Technology sector, Meta Platforms, Inc., Amazon.com, Inc., and NVIDIA Corp. were among the largest detractors from performance. Stock selection in the Information Technology sector as well as allocations to the Communication Services and Consumer Staples sectors detracted from relative performance.

PORTFOLIO MANAGER OUTLOOK

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

Our investment process is characterized by bottom-up fundamental research and a long-term investment time horizon. All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high quality businesses to take advantage of meaningful price dislocations if they occur. The nature of the process leads to a lower turnover Portfolio, where sector positioning is the result of stock selection. As compared to the Russell 1000^® Growth Index, we are currently overweight in the Communication Services, Health Care, Industrials and Financials sectors. The Portfolio is underweight in the Information Technology, Consumer Staples and Consumer Discretionary sectors. We hold no positions in the Energy, Real Estate, Materials and Utilities sectors.

Focused Appreciation Portfolio (unaudited)

We employ a style of equity management that emphasizes companies with sustainable competitive advantages, long-term secular growth drivers, attractive cash flow returns on invested capital and management teams focused on creating long-term value for shareholders. We aim to invest in companies when they trade at a significant discount to the estimate of intrinsic value.

During 2022, we initiated positions in Block, Inc., Netflix, Inc., PayPal Holdings, Inc., Shopify, Inc. and Tesla, Inc. and added to existing positions in company’s including The Boeing Co., The Walt Disney Co. and Illumina, Inc. as near-term price weaknesses created more attractive reward-to-risk opportunities.

In contrast, we trimmed existing positions in several companies, including Alphabet, Inc., as it approached the Portfolio’s maximum allowable position size.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Focused Appreciation Portfolio		-27.83	%		7.95	%		12.77	%
Russell 1000^® Growth Index		-29.14	%		10.96	%		14.10	%
Lipper^® Variable Insurance Products (VIP) Large Cap Growth Funds Average		-32.61	%		8.25	%		12.21	%

This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses,

and reinvestment of all dividends. In the absence of fee waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Visa, Inc. - Class A	6.9	%
The Boeing Co.	6.6	%
Alphabet, Inc., Various	6.0	%
Microsoft Corp.	5.1	%
Oracle Corp.	4.8	%
NVIDIA Corp.	4.7	%
Amazon.com, Inc.	4.4	%
Netflix, Inc.	4.2	%
Monster Beverage Corp.	4.1	%
Autodesk, Inc.	3.7	%

Focused Appreciation Portfolio (unaudited)

Sector Allocation 12/31/22


Sector	% of Net Assets
Information Technology	35.3	%
Health Care	16.4	%
Communication Services	16.1	%
Consumer Discretionary	14.0	%
Industrials	9.9	%
Consumer Staples	4.1	%
Financials	3.8	%
Short-Term Investments & Other Net Assets	0.4	%

Sector Allocation and Top 10 Holdings are subject to change.

Focused Appreciation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (99.6%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (16.1%)
Alphabet, Inc. - Class A *		368,300		32,495
Alphabet, Inc. - Class C *		287,460		25,506
Meta Platforms, Inc. - Class A *		262,560		31,597
Netflix, Inc. *		135,811		40,048
The Walt Disney Co. *		294,951		25,625

Total				155,271


Consumer Discretionary (14.0%)
Alibaba Group Holding, Ltd., ADR *		158,461		13,959
Amazon.com, Inc. *		507,758		42,652
Starbucks Corp.		264,231		26,212
Tesla, Inc. *		221,889		27,332
Yum China Holdings, Inc.		151,572		8,283
Yum! Brands, Inc.		129,537		16,591

Total				135,029


Consumer Staples (4.1%)
Monster Beverage Corp. *		389,060		39,502

Total				39,502


Common Stocks (99.6%)	Shares/ Par ⁺		Value $ (000’s)

Financials (3.8%)
FactSet Research Systems, Inc.		49,317		19,786
SEI Investments Co.		280,939		16,379

Total				36,165


Health Care (16.4%)
Illumina, Inc. *		93,219		18,849
Intuitive Surgical, Inc. *		57,144		15,163
Novartis AG, ADR		303,074		27,495
Novo Nordisk A/S, ADR		140,696		19,042
Regeneron Pharmaceuticals, Inc. *		36,695		26,475
Roche Holding AG, ADR		512,533		20,066
Vertex Pharmaceuticals, Inc. *		108,498		31,332

Total				158,422


Industrials (9.9%)
The Boeing Co. *		336,044		64,013
Deere & Co.		27,364		11,732
Expeditors International of Washington, Inc.		187,179		19,452

Total				95,197


Common Stocks (99.6%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology (35.3%)
Autodesk, Inc. *		188,769		35,275
Block, Inc. - Class A *		203,302		12,775
Microsoft Corp.		203,369		48,772
NVIDIA Corp.		308,570		45,094
Oracle Corp.		567,542		46,391
PayPal Holdings, Inc. *		200,421		14,274
QUALCOMM, Inc.		181,195		19,921
Salesforce, Inc. *		196,589		26,066
Shopify, Inc. *		403,217		13,996
Visa, Inc. - Class A		321,440		66,782
Workday, Inc. - Class A *		65,492		10,959

Total				340,305


Total Common Stocks
(Cost: $740,436)				959,891


Total Investments (99.6%)
(Cost: $740,436)^@				959,891

Other Assets, Less
Liabilities (0.4%)				4,038

Net Assets (100.0%)				963,929

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

^*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $741,101 and the net unrealized appreciation of investments based on that cost was $218,790 which is comprised of $311,319 aggregate gross unrealized appreciation and $92,529 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	959,891	$	-	$	-
Total Assets:	$	959,891	$	-	$	-

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

Large Cap Core Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest primarily in common stocks of large capitalization U.S. companies.	$566 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Large Cap Core Stock Portfolio (the “Portfolio”), has engaged Wellington Management Company LLP (“Wellington”) to act as sub-adviser for the Portfolio. The Portfolio allocates its assets across a variety of industries, selecting companies in each industry based on the research of a team of global industry analysts. The Portfolio typically seeks to maintain representation in each major industry represented by broad-based, large cap U.S. equity indices. The Portfolio utilizes a “bottom-up” approach, which is the use of fundamental analysis to identify specific securities for purchase or sale. Fundamental analysis of a company involves the assessment of a variety of factors, including the company’s business environment, management quality, balance sheet, income statement, anticipated earnings, revenues and dividends, and other related measures or indicators of valuation and growth potential. The Portfolio’s sector exposures generally conform with the sector weights present in the Portfolio’s benchmark index.

MARKET OVERVIEW

U.S. equities, as measured by the S&P 500^® Index, posted negative results for the year 2022 amid surging inflation, tighter financial conditions and moderating economic activity, which have increased the probability of recession. Surging prices for food and energy pushed consumer inflation to its highest level in more than four decades. The Federal Reserve (the “Fed”) Chair, Jerome Powell, acknowledged that there is considerable uncertainty about the trajectory of inflation and a greater possibility of recession. In December, the Fed raised interest rates by 50 basis points (bps), snapping a streak of four consecutive hikes of 75 bps. Greater optimism that the Fed would begin to scale back its aggressive pace of interest rate hikes helped fuel a sharp rebound in stocks in October and November before risk sentiment waned in December amid recession fears, macroeconomic headwinds and downside earnings risks in the coming quarters.

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

PORTFOLIO RESULTS

The Large Cap Core Stock Portfolio returned (18.88%) for the twelve months ended December 31, 2022. By comparison, the S&P 500^® Index (the “Index”) returned (18.11%) for the year. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2022 for the Large Cap Core Funds peer group was (16.29%).

Top detractors from the Portfolio’s relative performance included not owning Energy sector company ExxonMobil Corporation. Shares of ExxonMobil Corp. advanced during the period as crude oil prices soared amid tensions between Russia and Ukraine, which threatened to create a tighter oil market. In the Communication Services sector, an overweight position in Meta Platforms, Inc. detracted as management released disappointing second-quarter results and weak near-term guidance. Likewise, an overweight position in Amazon.com, Inc., in the Consumer Discretionary sector, also weighed on performance. The company reported an unexpected first-quarter loss. Results from both the company’s core online retailing business and its advertising unit came in short of estimates.

Top contributors to relative performance included an underweight in automobile manufacturer Tesla, Inc. in the Consumer Discretionary sector. Shares of Tesla fell as investor concern rose on news that CEO, Elon Musk, had purchased Twitter for $44 billion. Additionally, the company continued to grapple with supply chain issues and pandemic-related shutdowns in Shanghai. An out-of-benchmark position in Energy company Shell PLC also contributed. Shares of Shell advanced after the oil and gas conglomerate reported an adjusted profit for the fourth quarter that beat consensus estimates. Shell also announced a share repurchase program to buy back $8.5 billion worth of its own shares during the first half of 2022 using proceeds from its Permian divestment and capital allocation framework. Finally, an underweight in Information Technology company NVIDIA Corp. buoyed performance. Shares of NVIDIA fell during the period despite reporting strong first-quarter results. Investors were disappointed with lower-than-expected revenue forecasts for the second quarter, which the chipmaker attributed to the Russian-Ukrainian war and pandemic-related lockdowns in China.

Large Cap Core Stock Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

The macroeconomic challenges that roiled markets in 2022 remain front and center. While there are unique challenges within each region, persistent inflation, tight monetary policy and recession risk underlie 2023 global equity investment outlooks.

In Asia, China’s reopening will impact variables such as supply chains, fuel costs, inflation, economic growth and worldwide consumer demand. However, the risk for disruption remains as the COVID-19 virus evolves. In Europe, war between Russia and Ukraine continues and is resulting in an extreme increase in heating and fuel costs in the region, impacting consumer spending, industrial investment and, ultimately, growth rates. In the United States, inflation, the Fed’s actions, recession risk and the impact of job losses on consumers are top of mind. How these interconnected variables play out will define global market regimes for the coming years.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Large Cap Core Stock Portfolio		-18.88	%		8.95	%		10.81	%
S&P 500^® Index		-18.11	%		9.41	%		12.56	%
Lipper^® Variable Insurance Products (VIP) Large Cap Core Funds Average		-16.29	%		8.45	%		11.57	%

this report for information about the indices cited in the above chart and graph.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Microsoft Corp.		5.7	%
Apple, Inc.		3.5	%
Alphabet, Inc. - Class A		3.4	%
Amazon.com, Inc.		3.3	%
Sysco Corp.		2.4	%
The Charles Schwab Corp.		2.3	%
Eli Lilly & Co.		1.9	%
The TJX Cos., Inc.		1.6	%
BP PLC, ADR		1.5	%
Pfizer, Inc.		1.5	%

Large Cap Core Stock Portfolio (unaudited)

Sector Allocation 12/31/22


Sector	% of Net Assets
Information Technology		19.6	%
Health Care		17.8	%
Financials		12.4	%
Consumer Discretionary		9.2	%
Industrials		8.8	%
Communication Services		8.1	%
Consumer Staples		7.3	%
Energy		5.9	%
Utilities		3.9	%
Materials		2.7	%
Real Estate		1.6	%
Investment Companies		1.3	%
Telecommunication Services		0.7	%
Short-Term Investments & Other Net Assets		0.7	%

Sector Allocation and Top 10 Holdings are subject to change.

Large Cap Core Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (98.0%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (8.1%)
Alphabet, Inc. - Class A *		217,631		19,201
Charter Communications, Inc. - Class A *		2,490		844
Electronic Arts, Inc.		8,234		1,006
Match Group, Inc. *		50,244		2,085
Meta Platforms, Inc. - Class A *		61,666		7,421
Omnicom Group, Inc.		64,742		5,281
T-Mobile US, Inc. *		38,870		5,442
The Walt Disney Co. *		52,064		4,523

Total				45,803


Consumer Discretionary (9.2%)
Airbnb, Inc. *		67,476		5,769
Amazon.com, Inc. *		223,947		18,812
D.R. Horton, Inc.		3,245		289
Etsy, Inc. *		47,680		5,711
Ford Motor Co.		80,453		936
Lennar Corp. - Class A		8,146		737
NIKE, Inc. - Class B		44,202		5,172
Starbucks Corp.		44,824		4,447
Tesla, Inc. *		9,534		1,174
The TJX Cos., Inc.		110,676		8,810

Total				51,857


Consumer Staples (7.3%)
Altria Group, Inc.		29,265		1,338
Archer-Daniels-Midland Co.		33,111		3,074
Constellation Brands, Inc. - Class A		25,818		5,983
The Hershey Co.		23,900		5,535
Kellogg Co.		30,562		2,177
Monster Beverage Corp. *		48,940		4,969
Philip Morris International, Inc.		46,649		4,721
Sysco Corp.		176,990		13,531

Total				41,328


Energy (5.9%)
BP PLC, ADR		249,217		8,705
ConocoPhillips		61,008		7,199
Diamondback Energy, Inc.		7,338		1,004
EOG Resources, Inc.		13,854		1,794
Marathon Petroleum Corp.		34,221		3,983
Schlumberger, Ltd.		45,415		2,428
Shell PLC		141,599		8,064

Total				33,177


Common Stocks (98.0%)	Shares/ Par ⁺		Value $ (000’s)

Financials (12.4%)
American International Group, Inc.		52,020		3,290
Arch Capital Group, Ltd. *		41,077		2,579
Ares Management Corp. - Class A		111,423		7,626
Berkshire Hathaway, Inc. - Class B *		5,983		1,848
BlackRock, Inc.		5,887		4,172
The Charles Schwab Corp.		153,414		12,773
Chubb, Ltd.		19,263		4,249
Equitable Holdings, Inc.		64,058		1,838
The Goldman Sachs Group, Inc.		19,128		6,568
Host Hotels & Resorts, Inc.		187,911		3,016
JPMorgan Chase & Co.		9,455		1,268
Kimco Realty Corp.		131,770		2,791
Marsh & McLennan Cos., Inc.		31,637		5,235
MetLife, Inc.		31,430		2,275
Morgan Stanley		45,107		3,835
MSCI, Inc.		12,238		5,693
Nasdaq, Inc.		19,380		1,189

Total				70,245


Health Care (17.8%)
Abbott Laboratories		30,324		3,329
Agilent Technologies, Inc.		23,910		3,578
Alnylam Pharmaceuticals, Inc. *		3,502		832
AstraZeneca PLC, ADR		72,844		4,939
Baxter International, Inc.		25,379		1,294
Biogen, Inc. *		4,822		1,335
Boston Scientific Corp. *		70,652		3,269
Bristol-Myers Squibb Co.		38,579		2,776
Centene Corp. *		55,039		4,514
Danaher Corp.		21,848		5,799
Dexcom, Inc. *		15,604		1,767
Edwards Lifesciences Corp. *		34,130		2,546
Elevance Health, Inc.		7,273		3,731
Eli Lilly & Co.		29,182		10,676
GSK PLC, ADR		43,900		1,543
HCA Healthcare, Inc.		15,116		3,627
Humana, Inc.		6,833		3,500
Illumina, Inc. *		8,071		1,632
Incyte Corp. *		5,076		408
Insulet Corp. *		4,751		1,399


Common Stocks (98.0%)	Shares/ Par ⁺		Value $ (000’s)

Health Care continued
Laboratory Corp. of America Holdings		5,864		1,381
McKesson Corp.		6,468		2,426
Merck & Co., Inc.		50,518		5,605
Moderna, Inc. *		3,672		659
Molina Healthcare, Inc. *		3,428		1,132
Novartis AG, ADR		26,649		2,418
Pfizer, Inc.		163,059		8,355
Regeneron Pharmaceuticals, Inc. *		2,678		1,932
Seagen, Inc. *		7,756		997
Stryker Corp.		13,241		3,237
UnitedHealth Group, Inc.		7,262		3,850
Vertex Pharmaceuticals, Inc. *		8,858		2,558
Zoetis, Inc.		25,370		3,718

Total				100,762


Industrials (8.8%)
AMETEK, Inc.		19,684		2,750
The Boeing Co. *		11,446		2,180
Builders FirstSource, Inc. *		48,658		3,157
Caterpillar, Inc.		7,781		1,864
Emerson Electric Co.		8,501		817
Equifax, Inc.		4,681		910
FedEx Corp.		7,867		1,362
Fortive Corp.		32,369		2,080
General Dynamics Corp.		12,355		3,065
Honeywell International, Inc.		17,992		3,856
Ingersoll-Rand, Inc.		41,582		2,173
Johnson Controls International PLC		31,582		2,021
Lockheed Martin Corp.		6,481		3,153
PACCAR, Inc.		48,694		4,819
Raytheon Technologies Corp.		44,428		4,484
Southwest Airlines Co. *		115,232		3,880
United Rentals, Inc. *		1,513		538
Waste Connections, Inc.		10,722		1,421
Westinghouse Air Brake Technologies Corp.		50,864		5,077

Total				49,607

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

Large Cap Core Stock Portfolio


Common Stocks (98.0%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology (19.6%)
Adobe, Inc. *		4,383		1,475
Advanced Micro Devices, Inc. *		46,594		3,018
Apple, Inc.		152,055		19,756
Block, Inc. - Class A *		46,988		2,953
Ceridian HCM Holding, Inc. *		48,096		3,085
FLEETCOR Technologies, Inc. *		10,663		1,958
Global Payments, Inc.		31,494		3,128
GoDaddy, Inc. *		24,634		1,843
HashiCorp, Inc. - Class A *		25,634		701
HubSpot, Inc. *		744		215
Intel Corp.		50,390		1,332
KLA Corp.		7,450		2,809
Marvell Technology, Inc.		42,243		1,565
Micron Technology, Inc.		49,052		2,452
Microsoft Corp.		134,858		32,342
NVIDIA Corp.		9,965		1,456
Okta, Inc. *		2,670		182
ON Semiconductor Corp. *		36,139		2,254
Palo Alto Networks, Inc. *		4,794		669
PayPal Holdings, Inc. *		45,804		3,262
Qualtrics International, Inc. - Class A *		30,231		314
Salesforce, Inc. *		22,957		3,044
SentinelOne, Inc. *		11,976		175
ServiceNow, Inc. *		5,679		2,205
Snowflake, Inc. *		1,782		256
Teradyne, Inc.		19,010		1,660
Texas Instruments, Inc.		31,854		5,263
VeriSign, Inc. *		29,434		6,047
Visa, Inc. - Class A		20,343		4,226
Workday, Inc. - Class A *		7,415		1,241

Total				110,886


Materials (2.7%)
Ball Corp.		19,542		999
Celanese Corp. - Class A		24,980		2,554
Crown Holdings, Inc.		15,210		1,250
FMC Corp.		31,095		3,881
Linde PLC		13,429		4,380
PPG Industries, Inc.		20,284		2,551

Total				15,615


Real Estate (1.6%)
CBRE Group, Inc. - Class A		20,643		1,589
Prologis, Inc.		13,883		1,565
Sun Communities, Inc.		16,406		2,346
Welltower, Inc.		56,230		3,686

Total				9,186


Common Stocks (98.0%)	Shares/ Par ⁺		Value $ (000’s)

Telecommunication Services (0.7%)
AT&T, Inc.		229,376		4,223

Total				4,223


Utilities (3.9%)
The AES Corp.		118,722		3,414
Duke Energy Corp.		56,609		5,830
Edison International		55,952		3,560
Exelon Corp.		93,024		4,021
FirstEnergy Corp.		124,222		5,210

Total				22,035


Total Common Stocks
(Cost: $508,279)				554,724


Investment Companies (1.3%)
Investment Companies (1.3%)
SPDR S&P 500 ETF Trust		19,365		7,406

Total				7,406


Total Investment Companies
(Cost: $7,736)				7,406


Total Investments (99.3%)
(Cost: $516,015)^@				562,130

Other Assets, Less
Liabilities (0.7%)				4,065

Net Assets (100.0%)				566,195

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

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $527,162 and the net unrealized appreciation of investments based on that cost was $34,968 which is comprised of $77,374 aggregate gross unrealized appreciation and $42,406 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	554,724	$	-	$	-
Investment Companies		7,406		-		-
Total Assets:	$	562,130	$	-	$	-

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

Large Cap Blend Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest primarily in equity securities of U.S. large capitalization companies listed or traded on U.S. securities exchanges.	$196 million

PORTFOLIO OVERVIEW

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

MARKET OVERVIEW

Equities declined for much of 2022, before rallying in the fourth quarter. It is impossible to know if the recent rally spells the end of the 2022 bear market. Many prior bear markets have had a distinct sawtooth action, with strong rallies segueing into lower lows, before eventually reaching a “final” bottom and beginning a new bull market. In 2022, many stocks declined precipitously from their peaks, including a number in the Portfolio.

Unlike the unproven and unprofitable companies that have become public in recent years, many of whom lack the wherewithal to survive without outside capital, the Portfolio companies have the financial strength to weather idiosyncratic problems or cyclical weakness. The meltdown in speculative areas such as special purpose acquisition companies and cryptocurrency is encouraging. Perhaps this signifies the end of a wild and unsustainable period where abnormally low interest rates and a virtual suspension of concern regarding high valuations, made people feel there was little downside to investing. There is no way, of course, to know if the bear market is over, but it really should not matter for long-term investors.

PORTFOLIO RESULTS

The Portfolio returned (13.78%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the S&P 500^® Index (the “Index”) returned (18.11%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Core Funds peer group was (16.29%).

The largest contributing sectors for the Portfolio’s return were Consumer Discretionary, Financials and Information Technology. Underperforming sectors included Health Care, Energy and Consumer Staples. In terms of specific stocks, large contributors included Schlumberger, Ltd., an oilfield services company, Arch Capital Group, Ltd. and The Progressive Corp., both insurance companies.

Specific holdings in the Information Technology sector that detracted included Micron Technology, Inc., Meta Platforms Inc. Class A and Sony Group Corp. ADR.

PORTFOLIO MANAGER OUTLOOK

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

Despite a challenging near-term outlook, we are encouraged by labor markets remaining tight globally, rising nominal wages (though they have still yet to catch up with inflation in most economies), China’s reopening following pandemic-related lockdowns, improvements in supply chains and the appearance that inflation may have peaked. Economic growth may surprise on the upside in the coming years. We believe the normalization of interest rates is an encouraging development, as ultra-low rates led to significant speculation, asset price inflation, financial engineering and value-destructive merger and acquisition (M&A) activity. Normal interest rates will help force companies to prioritize organic capital investment (capex) and research & development (R&D), which would do a lot more for underlying economic growth, value and employment than the aforementioned.

Large Cap Blend Portfolio (unaudited)

The current roster of Portfolio constituents trade at a significant discount to the S&P 500^® Index. The current backdrop is far more conducive for stock picking than was the case in recent years, as valuations have compressed, investor sentiment is low and interest rates are finally on a path toward normalization. Owning high quality businesses with strong balance sheets that trade at a discount to the market should be a winning formula, once again.

Over the past year, we have purchased and added to several high quality cyclicals, including CarMax, Inc. (new position), Micron Technology, Inc., and Sony Group Corporation Sponsored ADR. We spend significant time assessing what companies will earn “on average” over a cycle and whether each stock represents good value based on this. We would rather buy a somewhat cyclical company that is cheap on average earnings than pay a steep price for a steadier business. Ironically, despite the recent bear market, many defensive businesses are still trading at nosebleed valuations. It seems foolish to chase these stocks today.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Large Cap Blend Portfolio		-13.78	%		5.99	%		10.06	%
S&P 500^® Index		-18.11	%		9.41	%		12.56	%
Lipper^® Variable Insurance Products (VIP) Large Cap Core Funds Average		-16.29	%		8.45	%		11.57	%

The Portfolio may hold fewer securities than other diversified portfolios because of its more focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Berkshire Hathaway, Inc. - Class B	5.8	%
The Charles Schwab Corp.	5.4	%
Dollar General Corp.	4.8	%
Booking Holdings, Inc.	4.5	%
Ferguson PLC	4.2	%
UnitedHealth Group, Inc.	4.0	%
Sony Group Corp., ADR	3.9	%
Alphabet, Inc. - Class A	3.9	%
CDW Corp.	3.7	%
Unilever PLC, ADR	3.7	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Financials	23.4	%
Consumer Discretionary	21.1	%
Industrials	15.7	%
Health Care	9.7	%
Information Technology	9.6	%
Communication Services	7.0	%
Short-Term Investments & Other Net Assets	4.6	%
Consumer Staples	3.7	%
Materials	3.2	%
Energy	2.0	%

Sector Allocation and Top 10 Holdings are subject to change.

Large Cap Blend Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (95.4%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (7.0%)
Alphabet, Inc. - Class A *		85,742		7,565
Omnicom Group, Inc.		75,518		6,160

Total				13,725


Consumer Discretionary (21.1%)
Booking Holdings, Inc. *		4,331		8,728
CarMax, Inc. *		90,806		5,529
Dollar General Corp.		37,991		9,355
Dollar Tree, Inc. *		47,570		6,729
Sony Group Corp., ADR		99,724		7,607
The TJX Cos., Inc.		42,189		3,358

Total				41,306


Consumer Staples (3.7%)
Unilever PLC, ADR		143,464		7,223

Total				7,223


Energy (2.0%)
Schlumberger, Ltd.		75,179		4,019

Total				4,019


Common Stocks (95.4%)	Shares/ Par ⁺		Value $ (000’s)

Financials (23.4%)
Arch Capital Group, Ltd. *		78,625		4,936
Berkshire Hathaway, Inc. - Class B *		36,725		11,344
BlackRock, Inc.		6,113		4,332
The Charles Schwab Corp.		127,779		10,639
JPMorgan Chase & Co.		35,966		4,823
Northern Trust Corp.		65,738		5,817
The Progressive Corp.		30,202		3,918

Total				45,809


Health Care (9.7%)
Fresenius Medical Care AG & Co. KGaA, ADR		155,359		2,539
Koninklijke Philips NV		248,126		3,719
Smith & Nephew PLC, ADR		178,319		4,795
UnitedHealth Group, Inc.		14,882		7,890

Total				18,943


Common Stocks (95.4%)	Shares/ Par ⁺		Value $ (000’s)

Industrials (15.7%)
Carlisle Cos., Inc.		21,530		5,074
Eaton Corp. PLC		31,323		4,916
Ferguson PLC		65,413		8,305
Masco Corp.		145,008		6,768
PACCAR, Inc.		57,108		5,652

Total				30,715


Information Technology (9.6%)
CDW Corp.		41,002		7,322
Micron Technology, Inc.		109,840		5,490
SAP SE, ADR		58,960		6,084

Total				18,896


Materials (3.2%)
Avery Dennison Corp.		34,939		6,324

Total				6,324


Total Common Stocks
(Cost: $168,467)				186,960


Total Investments (95.4%)
(Cost: $168,467)^@				186,960

Other Assets, Less
Liabilities (4.6%)				8,967

Net Assets (100.0%)				195,927

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $169,235 and the net unrealized appreciation of investments based on that cost was $17,725 which is comprised of $33,795 aggregate gross unrealized appreciation and $16,070 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	186,960	$	-	$	-
Total Assets:	$	186,960	$	-	$	-

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

Index 500 Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P 500^® Index.	Invest in stocks that make up the S&P 500^® Index, holding each stock in approximately the same proportion as its weighting in the Index.	$4.5 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Index 500 Stock Portfolio (the “Portfolio”), has engaged BlackRock Advisors, LLC (“BlackRock”) to act as sub-advisor for the Portfolio. The Portfolio seeks investment results that approximate the performance of the S&P 500^® Index, which is composed of the stocks of primarily large capitalization companies that represent a broad spectrum of the U.S. economy and a substantial part of the U.S. stock market’s total capitalization. The Portfolio attempts to achieve its objective by investing all, or substantially all, of its assets in the stocks that make up the S&P 500^® Index, holding each stock in approximately the same proportion as its weighting in the Index. This is known as a full replication strategy. The Portfolio may also invest in S&P 500^® Index stock futures to help achieve full replication.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exacerbated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

In this environment, large cap stocks, as represented by the S&P 500^® Index, posted a return of (18.11%), underperforming the S&P MidCap 400^® and the S&P SmallCap 600^® Indices, which returned (13.06%) and (16.10%), respectively. Meanwhile, the broader bond market, as represented by the Bloomberg^® U.S. Aggregate Index, returned (13.01%), while the Bloomberg^® U.S. Corporate High Yield Index returned (11.18%).

PORTFOLIO RESULTS

The Index 500 Stock Portfolio returned (18.28)% for the twelve months ended December 31, 2022. By comparison, the S&P500^® Index (the “Index”) returned (18.11)%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) Portfolio performance slightly lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with the use of equity index futures contracts. According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the S&P 500^® Index Funds peer group was (18.39)%.

The Information Technology sector was the largest detractor from the Portfolio’s return as rising inflation and higher bond yields led to a broad-based revaluation of growth stocks. Companies in the software industry declined as the continued global shortage of microprocessors curtailed production of hardware devices such as gaming consoles and computers. The semiconductor industry weakened after the U.S. imposed restrictions on sales of microprocessors to China, and demand from the cryptocurrency industry weakened. The communication equipment industry reported weaker sales in the major market of China, where coronavirus-related lockdowns curbed consumer demand and limited production of electronic devices.

Companies in the Consumer Discretionary sector also detracted meaningfully from the Portfolio’s return, as consumers deferred purchases of non-essential goods and services amid rising prices and an uncertain economic outlook. In the automotive industry, shares in Tesla dropped as demand for its electric vehicles declined and investors grew concerned over Chief Executive Elon Musk’s purchase of Twitter, Inc. Companies in the internet and direct marketing retail industry reported slowing revenues amid weaker e-commerce sales as consumers returned to in-person shopping, while rising inflation rates increased labor costs.

The Communication Services sector also detracted from the Portfolio’s return. Companies in the interactive media and services industry posted weaker digital ad revenues as the weakening economy and slowing sales led businesses to cut their marketing budgets.

Index 500 Stock Portfolio (unaudited)

Conversely, the Energy sector contributed to the Portfolio’s return as the war in Ukraine and Western sanctions against Russia sent oil and gas prices sharply higher early in the year. Companies in the oil, gas and consumable fuels industry posted record profits.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Index 500 Stock Portfolio		-18.28	%		9.20	%		12.32	%
S&P 500^® Index		-18.11	%		9.41	%		12.56	%
Lipper^® Variable Insurance Products (VIP) S&P 500 Index Objective Funds Average		-18.39	%		9.02	%		12.15	%

“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.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Apple, Inc.	6.0	%
Microsoft Corp.	5.5	%
Alphabet, Inc., Various	3.1	%
Amazon.com, Inc.	2.3	%
Berkshire Hathaway, Inc. - Class B	1.7	%
UnitedHealth Group, Inc.	1.5	%
Johnson & Johnson	1.4	%
Exxon Mobil Corp.	1.4	%
JPMorgan Chase & Co.	1.2	%
NVIDIA Corp.	1.1	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Information Technology	25.4	%
Health Care	15.6	%
Financials	11.5	%
Consumer Discretionary	9.7	%
Industrials	8.6	%
Communication Services	7.2	%
Consumer Staples	7.1	%
Energy	5.2	%
Utilities	3.1	%
Materials	2.7	%
Real Estate	2.7	%
Short-Term Investments & Other Net Assets	1.2	%

Sector Allocation and Top 10 Holdings are subject to change.

Index 500 Stock Portfolio


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

Communication Services (7.2%)
Activision Blizzard, Inc.		97,136		7,436
Alphabet, Inc. - Class A *		820,471		72,390
Alphabet, Inc. - Class C *		727,314		64,535
AT&T, Inc.		978,988		18,023
Charter Communications, Inc. - Class A *		15,125		5,129
Comcast Corp. - Class A		592,580		20,722
DISH Network Corp. - Class A *		34,111		479
Electronic Arts, Inc.		36,041		4,403
Fox Corp. - Class A		42,670		1,296
Fox Corp. - Class B		19,610		558
The Interpublic Group of Companies, Inc.		53,804		1,792
Live Nation Entertainment, Inc. *		19,386		1,352
Lumen Technologies, Inc.		129,966		678
Match Group, Inc. *		38,733		1,607
Meta Platforms, Inc. - Class A *		308,885		37,171
Netflix, Inc. *		61,129		18,026
News Corp. - Class A		53,931		982
News Corp. - Class B		16,798		310
Omnicom Group, Inc.		27,902		2,276
Paramount Global - Class B		68,901		1,163
Take-Two Interactive Software, Inc. *		21,634		2,253
T-Mobile US, Inc. *		82,132		11,498
Verizon Communications, Inc.		576,901		22,730
The Walt Disney Co. *		250,421		21,757
Warner Bros. Discovery, Inc. *		299,918		2,843

Total				321,409


Consumer Discretionary (9.7%)
Advance Auto Parts, Inc.		8,285		1,218
Amazon.com, Inc. *		1,219,159		102,409
Aptiv PLC *		36,968		3,443
AutoZone, Inc. *		2,659		6,558
Bath & Body Works, Inc.		31,151		1,313
Best Buy Co., Inc.		27,460		2,203
Booking Holdings, Inc. *		5,418		10,919
BorgWarner, Inc.		32,487		1,308
Caesars Entertainment, Inc. *		28,727		1,195


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

Consumer Discretionary continued
CarMax, Inc. *		21,680		1,320
Carnival Corp. *		134,683		1,085
Chipotle Mexican Grill, Inc. *		3,777		5,241
D.R. Horton, Inc.		43,442		3,872
Darden Restaurants, Inc.		16,917		2,340
Dollar General Corp.		31,029		7,641
Dollar Tree, Inc. *		28,801		4,074
Domino’s Pizza, Inc.		4,889		1,694
eBay, Inc.		75,928		3,149
Etsy, Inc. *		17,231		2,064
Expedia Group, Inc. *		20,744		1,817
Ford Motor Co.		538,876		6,267
Garmin, Ltd.		20,577		1,899
General Motors Co.		198,944		6,692
Genuine Parts Co.		19,204		3,332
Hasbro, Inc.		17,580		1,073
Hilton Worldwide Holdings, Inc.		37,748		4,770
The Home Depot, Inc.		140,622		44,417
Las Vegas Sands Corp. *		45,538		2,189
Lennar Corp. - Class A		34,697		3,140
LKQ Corp.		35,613		1,902
Lowe’s Companies, Inc.		85,262		16,988
Marriott International, Inc. - Class A		37,641		5,604
McDonald’s Corp.		100,300		26,432
MGM Resorts International		44,519		1,493
Mohawk Industries, Inc. *		6,980		713
Newell Brands, Inc.		49,793		651
NIKE, Inc. - Class B		172,495		20,184
Norwegian Cruise Line Holdings, Ltd. *		57,774		707
NVR, Inc. *		419		1,933
O’Reilly Automotive, Inc. *		8,699		7,342
Pool Corp.		5,435		1,643
PulteGroup, Inc.		32,228		1,467
Ralph Lauren Corp.		5,853		618
Ross Stores, Inc.		47,835		5,552
Royal Caribbean Cruises, Ltd. *		29,997		1,483
Starbucks Corp.		157,679		15,642
Tapestry, Inc.		34,111		1,299
Target Corp.		63,269		9,430
Tesla, Inc. *		368,695		45,416
The TJX Cos., Inc.		159,981		12,734
Tractor Supply Co.		15,233		3,427
Ulta Beauty, Inc. *		7,083		3,322
VF Corp.		44,116		1,218


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

Consumer Discretionary continued
Whirlpool Corp.		7,622		1,078
Wynn Resorts, Ltd. *		14,416		1,189
Yum! Brands, Inc.		39,039		5,000

Total				433,109


Consumer Staples (7.1%)
Altria Group, Inc.		245,555		11,224
Archer-Daniels-Midland Co.		76,577		7,110
Brown-Forman Corp. - Class B		25,179		1,654
Campbell Soup Co.		27,937		1,585
Church & Dwight Co., Inc.		33,144		2,672
The Clorox Co.		16,949		2,378
The Coca-Cola Co.		534,626		34,008
Colgate-Palmolive Co.		114,728		9,039
Conagra Brands, Inc.		65,083		2,519
Constellation Brands, Inc. - Class A		22,298		5,168
Costco Wholesale Corp.		60,798		27,754
The Estee Lauder Cos., Inc. - Class A		31,629		7,847
General Mills, Inc.		81,282		6,815
The Hershey Co.		20,040		4,641
Hormel Foods Corp.		38,729		1,764
The J.M. Smucker Co.		14,454		2,290
Kellogg Co.		35,160		2,505
Keurig Dr. Pepper, Inc.		115,930		4,134
Kimberly-Clark Corp.		45,951		6,238
The Kraft Heinz Co.		108,684		4,425
The Kroger Co.		88,977		3,967
Lamb Weston Holdings, Inc.		19,529		1,745
McCormick & Co., Inc.		34,058		2,823
Molson Coors Beverage Co. - Class B		25,954		1,337
Mondelez International, Inc.		187,693		12,510
Monster Beverage Corp. *		52,481		5,328
PepsiCo, Inc.		189,247		34,189
Philip Morris International, Inc.		212,941		21,552
The Procter & Gamble Co.		326,044		49,415
Sysco Corp.		69,516		5,315
Tyson Foods, Inc. - Class A		39,540		2,461
Walgreens Boots Alliance, Inc.		97,233		3,633

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

Index 500 Stock Portfolio


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

Consumer Staples continued
Walmart, Inc.		194,489			27,577

Total					317,622


Energy (5.2%)
APA Corp.		44,554			2,080
Baker Hughes		138,049			4,077
Chevron Corp.		244,362			43,860
ConocoPhillips		171,164			20,197
Coterra Energy, Inc.		109,286			2,685
Devon Energy Corp.		89,345			5,496
Diamondback Energy, Inc.		24,253			3,317
EOG Resources, Inc.		79,963			10,357
EQT Corp.		50,442			1,706
Exxon Mobil Corp.		565,702			62,397
Halliburton Co.		123,748			4,869
Hess Corp.		38,081	��		5,401
Kinder Morgan, Inc.		270,523			4,891
Marathon Oil Corp.		92,453			2,503
Marathon Petroleum Corp.		64,377			7,493
Occidental Petroleum Corp.		101,678			6,405
ONEOK, Inc.		60,900			4,001
Phillips 66		65,249			6,791
Pioneer Natural Resources Co.		32,565			7,437
Schlumberger, Ltd.		194,781			10,413
Targa Resources Corp.		30,908			2,272
Valero Energy Corp.		53,923			6,841
The Williams Cos., Inc.		165,192			5,435

Total					230,924


Financials (11.5%)
Aflac, Inc.		78,462			5,645
The Allstate Corp.		36,881			5,001
American Express Co.		81,840			12,092
American International Group, Inc.		103,756			6,561
Ameriprise Financial, Inc.		14,759			4,595
Aon PLC		28,804			8,645
Arch Capital Group, Ltd. *		50,394			3,164
Arthur J. Gallagher & Co.		28,962			5,460
Assurant, Inc.		7,147			894
Bank of America Corp.		958,729			31,753
The Bank of New York Mellon Corp.		100,792			4,588
Berkshire Hathaway, Inc. - Class B *		247,490			76,450
BlackRock, Inc.		20,571			14,577
Brown & Brown, Inc.		31,816			1,813
Capital One Financial Corp.		52,370			4,868
Cboe Global Markets, Inc.		14,402			1,807
The Charles Schwab Corp.		208,345			17,347


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

Financials continued
Chubb, Ltd.		56,985		12,571
Cincinnati Financial Corp.		21,722		2,224
Citigroup, Inc.		266,052		12,034
Citizens Financial Group, Inc.		67,739		2,667
CME Group, Inc.		49,043		8,247
Comerica, Inc.		17,893		1,196
Discover Financial Services		37,273		3,646
Everest Re Group, Ltd.		5,448		1,805
FactSet Research Systems, Inc.		5,233		2,099
Fifth Third Bancorp		94,118		3,088
First Republic Bank		24,931		3,039
Franklin Resources, Inc.		37,588		992
Globe Life, Inc.		12,303		1,483
The Goldman Sachs Group, Inc.		46,580		15,995
The Hartford Financial Services Group, Inc.		44,091		3,343
Huntington Bancshares, Inc.		195,187		2,752
Intercontinental Exchange, Inc.		76,199		7,817
Invesco, Ltd.		62,069		1,117
JPMorgan Chase & Co.		402,915		54,031
KeyCorp		126,465		2,203
Lincoln National Corp.		21,136		649
Loews Corp.		27,287		1,592
M&T Bank Corp.		23,962		3,476
MarketAxess Holdings, Inc.		5,237		1,461
Marsh & McLennan Cos., Inc.		67,981		11,249
MetLife, Inc.		91,418		6,616
Moody’s Corp.		21,532		5,999
Morgan Stanley		182,718		15,535
MSCI, Inc.		11,002		5,118
Nasdaq, Inc.		46,248		2,837
Northern Trust Corp.		28,671		2,537
The PNC Financial Services Group, Inc.		56,092		8,859
Principal Financial Group, Inc.		31,872		2,675
The Progressive Corp.		79,809		10,352
Prudential Financial, Inc.		50,859		5,058
Raymond James Financial, Inc.		26,365		2,817
Regions Financial Corp.		127,547		2,750
S&P Global, Inc.		45,742		15,321
Signature Bank		8,681		1,000
State Street Corp.		50,160		3,891
SVB Financial Group *		7,985		1,838
Synchrony Financial		65,734		2,160


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

Financials continued
T. Rowe Price Group, Inc.		30,827		3,362
The Travelers Cos., Inc.		32,544		6,102
Truist Financial Corp.		180,785		7,779
U.S. Bancorp		184,483		8,045
W.R. Berkley Corp.		28,414		2,062
Wells Fargo & Co.		523,421		21,612
Willis Towers Watson PLC		15,120		3,698
Zions Bancorp NA		20,072		987

Total				515,046


Health Care (15.6%)
Abbott Laboratories		239,503		26,295
AbbVie, Inc.		242,924		39,259
Agilent Technologies, Inc.		40,703		6,091
Align Technology, Inc. *		9,937		2,096
AmerisourceBergen Corp.		22,246		3,686
Amgen, Inc.		73,294		19,250
Baxter International, Inc.		69,248		3,530
Becton Dickinson and Co.		38,914		9,896
Biogen, Inc. *		19,862		5,500
Bio-Rad Laboratories, Inc. - Class A *		2,969		1,248
Bio-Techne Corp.		21,192		1,756
Boston Scientific Corp. *		196,747		9,104
Bristol-Myers Squibb Co.		291,346		20,962
Cardinal Health, Inc.		36,935		2,839
Catalent, Inc. *		24,453		1,101
Centene Corp. *		77,990		6,396
Charles River Laboratories International, Inc. *		6,814		1,485
Cigna Corp.		41,997		13,915
The Cooper Cos., Inc.		6,765		2,237
CVS Health Corp.		180,491		16,820
Danaher Corp.		89,996		23,887
DaVita, Inc. *		7,599		567
DENTSPLY SIRONA, Inc.		30,149		960
Dexcom, Inc. *		53,233		6,028
Edwards Lifesciences Corp. *		84,512		6,305
Elevance Health, Inc.		32,776		16,813
Eli Lilly & Co.		108,331		39,632
Gilead Sciences, Inc.		172,287		14,791
HCA Healthcare, Inc.		29,372		7,048
Henry Schein, Inc. *		18,723		1,495
Hologic, Inc. *		34,293		2,566
Humana, Inc.		17,268		8,845
IDEXX Laboratories, Inc. *		11,391		4,647

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
Illumina, Inc. *		21,436		4,334
Incyte Corp. *		25,678		2,063
Intuitive Surgical, Inc. *		48,666		12,914
IQVIA Holdings, Inc. *		25,448		5,214
Johnson & Johnson		358,740		63,371
Laboratory Corp. of America Holdings		12,378		2,915
McKesson Corp.		19,715		7,396
Medtronic PLC		182,577		14,190
Merck & Co., Inc.		348,270		38,641
Mettler-Toledo International, Inc. *		3,076		4,446
Moderna, Inc. *		45,905		8,245
Molina Healthcare, Inc. *		7,880		2,602
Organon & Co.		34,671		968
PerkinElmer, Inc.		17,351		2,433
Pfizer, Inc.		771,063		39,509
Quest Diagnostics, Inc.		15,918		2,490
Regeneron Pharmaceuticals, Inc. *		14,651		10,571
ResMed, Inc.		20,038		4,171
STERIS PLC		13,580		2,508
Stryker Corp.		46,264		11,311
Teleflex, Inc.		6,424		1,604
Thermo Fisher Scientific, Inc.		53,873		29,667
UnitedHealth Group, Inc.		128,345		68,046
Universal Health Services, Inc. - Class B		9,104		1,283
Vertex Pharmaceuticals, Inc. *		35,260		10,182
Viatris, Inc.		166,424		1,852
Waters Corp. *		8,069		2,764
West Pharmaceutical Services, Inc.		10,046		2,364
Zimmer Biomet Holdings, Inc.		28,593		3,646
Zoetis, Inc.		63,912		9,366

Total				698,116


Industrials (8.6%)
3M Co.		75,538		9,059
A.O. Smith Corp.		17,636		1,009
Alaska Air Group, Inc. *		17,059		733
Allegion PLC		12,067		1,270
American Airlines Group, Inc. *		88,090		1,121
AMETEK, Inc.		31,317		4,376
The Boeing Co. *		76,954		14,659
C.H. Robinson Worldwide, Inc.		16,903		1,548
Carrier Global Corp.		115,143		4,750
Caterpillar, Inc.		72,031		17,256
Cintas Corp.		11,856		5,354


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

Industrials continued
Copart, Inc. *		58,372		3,554
CoStar Group, Inc. *		55,864		4,317
CSX Corp.		292,163		9,051
Cummins, Inc.		19,166		4,644
Deere & Co.		37,949		16,271
Delta Air Lines, Inc. *		87,814		2,886
Dover Corp.		19,552		2,648
Eaton Corp. PLC		54,346		8,530
Emerson Electric Co.		80,561		7,739
Equifax, Inc.		16,592		3,225
Expeditors International of Washington, Inc.		22,751		2,364
Fastenal Co.		78,066		3,694
FedEx Corp.		32,618		5,649
Fortive Corp.		48,784		3,134
Generac Holdings, Inc. *		8,613		867
General Dynamics Corp.		30,684		7,613
General Electric Co.		150,092		12,576
Honeywell International, Inc.		91,922		19,699
Howmet Aerospace, Inc.		51,011		2,010
Huntington Ingalls Industries, Inc.		5,379		1,241
IDEX Corp.		10,443		2,384
Illinois Tool Works, Inc.		38,438		8,468
Ingersoll-Rand, Inc.		55,152		2,882
J.B. Hunt Transport
Services, Inc.		11,517		2,008
Jacobs Solutions, Inc.		17,445		2,095
Johnson Controls International PLC		94,349		6,038
L3Harris Technologies, Inc.		26,158		5,446
Leidos Holdings, Inc.		18,535		1,950
Lockheed Martin Corp.		32,121		15,627
Masco Corp.		30,771		1,436
Nordson Corp.		7,294		1,734
Norfolk Southern Corp.		32,226		7,941
Northrop Grumman Corp.		19,817		10,812
Old Dominion Freight Line, Inc.		12,453		3,534
Otis Worldwide Corp.		57,341		4,490
PACCAR, Inc.		47,137		4,665
Parker Hannifin Corp.		17,516		5,097
Pentair PLC		22,947		1,032
Quanta Services, Inc.		19,515		2,781
Raytheon Technologies Corp.		201,464		20,332
Republic Services, Inc.		28,276		3,647
Robert Half International, Inc.		14,988		1,107
Rockwell Automation, Inc.		15,768		4,061
Rollins, Inc.		30,518		1,115
Snap-on, Inc.		7,239		1,654


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

Industrials continued
Southwest Airlines Co. *		80,951		2,726
Stanley Black & Decker, Inc.		20,474		1,538
Textron, Inc.		29,542		2,092
Trane Technologies PLC		31,717		5,331
TransDigm Group, Inc.		7,033		4,428
Union Pacific Corp.		85,175		17,637
United Continental Holdings, Inc. *		44,908		1,693
United Parcel Service, Inc. - Class B		99,858		17,359
United Rentals, Inc. *		9,549		3,394
Verisk Analytics, Inc.		21,607		3,812
W.W. Grainger, Inc.		6,178		3,437
Waste Management, Inc.		51,322		8,051
Westinghouse Air Brake Technologies Corp.		24,771		2,472
Xylem, Inc.		24,425		2,701

Total				381,854


Information Technology (25.4%)
Accenture PLC - Class A		86,308		23,030
Adobe, Inc. *		63,857		21,490
Advanced Micro Devices, Inc. *		220,326		14,271
Akamai Technologies, Inc. *		21,741		1,833
Amphenol Corp. - Class A		81,162		6,180
Analog Devices, Inc.		71,019		11,649
ANSYS, Inc. *		11,847		2,862
Apple, Inc.		2,054,080		266,887
Applied Materials, Inc.		118,700		11,559
Arista Networks, Inc. *		33,629		4,081
Autodesk, Inc. *		29,502		5,513
Automatic Data Processing, Inc.		56,982		13,611
Broadcom, Inc.		55,633		31,106
Broadridge Financial Solutions, Inc.		15,949		2,139
Cadence Design Systems, Inc. *		37,299		5,992
CDW Corp.		18,598		3,321
Ceridian HCM Holding, Inc. *		20,884		1,340
Cisco Systems, Inc.		565,016		26,917
Cognizant Technology Solutions Corp. - Class A		70,684		4,042
Corning, Inc.		103,095		3,293
DXC Technology Co. *		31,366		831
Enphase Energy, Inc. *		18,483		4,897
EPAM Systems, Inc. *		7,827		2,565
F5, Inc. *		8,201		1,177

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
Fidelity National Information Services, Inc.		82,835		5,620
First Solar, Inc. *		13,619		2,040
Fiserv, Inc. *		87,268		8,820
FLEETCOR Technologies, Inc. *		10,235		1,880
Fortinet, Inc. *		89,300		4,366
Gartner, Inc. *		10,923		3,672
Global Payments, Inc.		37,818		3,756
Hewlett Packard Enterprise Co.		177,540		2,834
HP, Inc.		124,171		3,336
Intel Corp.		566,898		14,983
International Business Machines Corp.		124,194		17,498
Intuit, Inc.		38,719		15,070
Jack Henry & Associates, Inc.		9,805		1,721
Juniper Networks, Inc.		44,995		1,438
Keysight Technologies, Inc. *		24,680		4,222
KLA Corp.		19,349		7,295
Lam Research Corp.		18,690		7,855
Mastercard, Inc. - Class A		116,471		40,500
Microchip Technology, Inc.		75,655		5,315
Micron Technology, Inc.		150,519		7,523
Microsoft Corp.		1,023,971		245,569
Monolithic Power Systems, Inc.		6,065		2,145
Motorola Solutions, Inc.		22,707		5,852
NetApp, Inc.		29,982		1,801
NortonLifeLock, Inc.		80,787		1,731
NVIDIA Corp.		341,662		49,931
NXP Semiconductors NV		35,888		5,671
ON Semiconductor Corp. *		58,929		3,675
Oracle Corp.		211,102		17,256
Paychex, Inc.		43,577		5,036
Paycom Software, Inc. *		6,632		2,058
PayPal Holdings, Inc. *		157,796		11,238
PTC, Inc. *		14,404		1,729
Qorvo, Inc. *		14,082		1,276
QUALCOMM, Inc.		153,984		16,929
Roper Technologies, Inc.		14,478		6,256
Salesforce, Inc. *		137,363		18,213
Seagate Technology Holdings PLC		26,807		1,410
ServiceNow, Inc. *		27,747		10,773
Skyworks Solutions, Inc.		22,141		2,018
SolarEdge Technologies, Inc. *		7,678		2,175
Synopsys, Inc. *		20,764		6,630


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

Information Technology continued
TE Connectivity, Ltd.		43,695		5,016
Teledyne Technologies, Inc. *		6,386		2,554
Teradyne, Inc.		21,347		1,865
Texas Instruments, Inc.		124,671		20,598
Trimble, Inc. *		34,306		1,735
Tyler Technologies, Inc. *		5,685		1,833
VeriSign, Inc. *		12,923		2,655
Visa, Inc. - Class A		224,591		46,661
Western Digital Corp. *		41,969		1,324
Zebra Technologies Corp. - Class A *		7,122		1,826

Total				1,135,769


Materials (2.7%)
Air Products and Chemicals, Inc.		30,263		9,329
Albemarle Corp.		15,981		3,466
Amcor PLC		203,784		2,427
Avery Dennison Corp.		11,082		2,006
Ball Corp.		43,463		2,223
Celanese Corp. - Class A		13,601		1,391
CF Industries Holdings, Inc.		27,188		2,316
Corteva, Inc.		98,151		5,769
Dow, Inc.		98,748		4,976
DuPont de Nemours, Inc.		68,968		4,733
Eastman Chemical Co.		16,757		1,365
Ecolab, Inc.		33,833		4,925
FMC Corp.		17,080		2,132
Freeport-McMoRan, Inc.		195,117		7,414
International Flavors & Fragrances, Inc.		35,022		3,672
International Paper Co.		50,266		1,741
Linde PLC		68,000		22,180
LyondellBasell Industries NV - Class A		34,717		2,882
Martin Marietta Materials, Inc.		8,458		2,858
The Mosaic Co.		47,110		2,067
Newmont Corp.		108,025		5,099
Nucor Corp.		35,719		4,708
Packaging Corp. of America		12,708		1,625
PPG Industries, Inc.		32,034		4,028
Sealed Air Corp.		19,812		988
The Sherwin-Williams Co.		32,182		7,638
Steel Dynamics, Inc.		22,911		2,238
Vulcan Materials Co.		18,022		3,156
WestRock Co.		34,564		1,215

Total				120,567


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

Real Estate (2.7%)
Alexandria Real Estate Equities, Inc.		20,517		2,989
American Tower Corp.		63,957		13,550
AvalonBay Communities, Inc.		19,230		3,106
Boston Properties, Inc.		19,540		1,321
Camden Property Trust		14,447		1,616
CBRE Group, Inc. - Class A *		44,330		3,412
Crown Castle International Corp.		59,086		8,014
Digital Realty Trust, Inc.		39,637		3,974
Equinix, Inc.		12,711		8,326
Equity Residential		46,410		2,738
Essex Property Trust, Inc.		8,971		1,901
Extra Space Storage, Inc.		18,212		2,681
Federal Realty Investment Trust		9,945		1,005
Healthpeak Properties, Inc.		74,265		1,862
Host Hotels & Resorts, Inc.		97,298		1,562
Invitation Homes, Inc.		79,117		2,345
Iron Mountain, Inc.		39,752		1,982
Kimco Realty Corp.		84,389		1,787
Mid-America Apartment Communities, Inc.		15,777		2,477
Prologis, Inc.		126,797		14,294
Public Storage		21,557		6,040
Realty Income Corp.		86,148		5,464
Regency Centers Corp.		21,039		1,315
SBA Communications Corp.		14,831		4,157
Simon Property Group, Inc.		44,666		5,247
UDR, Inc.		41,674		1,614
Ventas, Inc.		54,208		2,442
VICI Properties, Inc.		132,294		4,286
Vornado Realty Trust		21,635		450
Welltower, Inc.		64,907		4,255
Weyerhaeuser Co.		100,972		3,130

Total				119,342


Utilities (3.1%)
The AES Corp.		91,753		2,639
Alliant Energy Corp.		34,454		1,902
Ameren Corp.		35,531		3,159
American Electric Power Co., Inc.		70,100		6,656
American Water Works Co., Inc.		24,976		3,807
Atmos Energy Corp.		18,854		2,113
CenterPoint Energy, Inc.		86,516		2,595
CMS Energy Corp.		39,499		2,502
Consolidated Edison, Inc.		48,514		4,624

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
Constellation Energy Corp.		44,597		3,845
Dominion Energy, Inc.		113,591		6,965
DTE Energy Co.		26,492		3,114
Duke Energy Corp.		105,778		10,894
Edison International		52,029		3,310
Entergy Corp.		27,973		3,147
Evergy, Inc.		31,291		1,969
Eversource Energy		47,845		4,011
Exelon Corp.		136,504		5,901
FirstEnergy Corp.		74,066		3,106
NextEra Energy, Inc.		272,963		22,820
NiSource, Inc.		55,036		1,509
NRG Energy, Inc.		32,181		1,024
PG&E Corp. *		219,626		3,571
Pinnacle West Capital Corp.		15,533		1,181
PPL Corp.		100,820		2,946
Public Service Enterprise Group, Inc.		68,537		4,199
Sempra Energy		42,913		6,632
The Southern Co.		149,544		10,679
WEC Energy Group, Inc.		43,219		4,052
Xcel Energy, Inc.		74,634		5,233

Total				140,105


Total Common Stocks
(Cost: $1,768,591)				4,413,863


Total Investments (98.8%)
(Cost: $1,768,591)@				4,413,863

Other Assets, Less
Liabilities (1.2%)				52,051

Net Assets (100.0%)				4,465,914

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		13		266		3/23	$	51,351	$	(1,529	)	$	(143	)

													$	(1,529	)	$	(143	)

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

–

(143

)

(143

)

–

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

Index 500 Stock Portfolio

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,769,446 and the net unrealized appreciation of investments based on that cost was $2,642,888 which is comprised of $2,788,845 aggregate gross unrealized appreciation and $145,957 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	4,413,863		$	-	$	-
Total Assets:	$	4,413,863		$	-	$	-
Liabilities:
Other Financial Instruments^
Futures		(1,529	)		-		-
Total Liabilities:	$	(1,529	)	$	-	$	-

^ 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)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Current income is a secondary objective.	Invest primarily in equity securities of larger companies considered to be undervalued.	$152 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Large Company Value Portfolio (the “Portfolio”), has engaged American Century Investment Management, Inc. (“American Century”) to act as sub-adviser for the Portfolio. The Portfolio looks for stocks of companies that it believes are undervalued at the time of purchase. The Portfolio attempts to purchase the stocks of these undervalued companies and hold each stock until it has returned to favor in the market and the price has increased to, or is higher than, a level the Portfolio believes more accurately reflects the fair value of the company. Companies may be undervalued due to market declines, poor economic conditions, actual or anticipated bad news regarding the issuer or its industry, or because they have been overlooked by the market.

MARKET OVERVIEW

Despite a rally in the fourth quarter, broad U.S. equity markets fell significantly in 2022. Equities were pressured by fears that higher interest rates and persistently high inflation may derail economic expansion and weaken corporate profits. Against this backdrop, value stocks held up better than growth stocks by a notable margin.

PORTFOLIO RESULTS

The Portfolio returned (0.34%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned (7.54%). (The Index is unmanaged, cannot be invested in directly and does not include administrative expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Value Funds peer group was (6.97%).

Several of the Portfolio’s positions in the Financials sector positively impacted returns relative to the benchmark, particularly in the insurance and capital markets industries. The Allstate Corp., an insurance company, was one of the Portfolio’s top contributors. Allstate announced accelerating price increases on its automobile policies, while some of Allstate’s costs continued to moderate. In turn, investors priced in higher levels of profitability. Aflac, a life insurance company, was another notable contributor. In general, life insurance stocks performed well due to higher interest rates and lower pandemic-related disruption.

The Portfolio’s investments in the Information Technology sector, coupled with the Portfolio’s underweight to the sector relative to the benchmark, also buoyed relative results. Lack of exposure to Intel Corp., a semiconductor chip manufacturer, was particularly beneficial. Intel came under pressure due to weakness in the consumer PC market and Intel’s large revenue exposure to China. Intel’s elevated capital spending amid the potential peaking of the semiconductor cycle also weighed on shares.

On the other hand, the Portfolio’s underweight to the Energy sector detracted from its return, as the Energy sector outperformed the broad market due to strength in commodity prices. However, TotalEnergies SE was a top individual contributor. Shares of this integrated energy company outperformed as investors welcomed a strategic update. In addition, commodity prices remained supportive, boosting the company’s free cash flow generation.

Medtronic PLC and F5, Inc. were other notable detractors. Shares of Medtronic, a medical device company, were hurt by disappointing results for its renal denervation trial. Renal denervation is a blood pressure treatment. Medtronic also announced weak quarterly earnings, driven by supply chain pressures and a slower-than-expected return in procedure volumes. Shares of F5, an application services company, underperformed due to initial signs of an information technology spending slowdown in Europe. F5’s fiscal year 2023 guidance beat expectations, but the company predicted lower software growth than it originally expected.

PORTFOLIO MANAGER OUTLOOK

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

We ended the period with an overweight in Consumer Staples. We have identified select companies in the sector that we believe are trading at a discount to their intrinsic value. While input costs have risen in this inflationary environment, many

Large Company Value Portfolio (unaudited)

Consumer Staples companies have been able to improve efficiencies and pass along rising costs through pricing without significantly impacting demand. We think these steps may lead to a positive inflection for select companies in 2023.

Conversely, we maintained our underweight in Real Estate due to valuations that we believe are elevated throughout the sector. We are also underweight in Communication Services. According to our analysis, many companies in the Communication Services sector do not meet our investment criteria due to their volatile business models and higher levels of leverage.

Relative Performance

LOGO


Average Annual Total Returns
For Periods Ended December 31, 2022
	1 Year		5 Years		10 Years
Large Company Value Portfolio	-0.34	%	7.95	%	10.36	%
Russell 1000^® Value Index	-7.54	%	6.67	%	10.29	%
Lipper^® Variable Insurance Products (VIP) Large Cap Value Funds Average	-6.97	%	7.07	%	10.32	%

information about the indices cited in the above chart and graph.

The Portfolio may invest in derivative instruments for cash management purposes or to hedge foreign currency exposure. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Johnson & Johnson	4.6	%
Medtronic PLC	4.2	%
Zimmer Biomet Holdings, Inc.	3.2	%
Berkshire Hathaway, Inc. - Class B	3.1	%
JPMorgan Chase & Co.	3.1	%
Raytheon Technologies Corp.	3.0	%
Exxon Mobil Corp.	2.9	%
The Bank of New York Mellon Corp.	2.7	%
Verizon Communications, Inc.	2.6	%
Cisco Systems, Inc.	2.5	%

Large Company Value Portfolio (unaudited)

Sector Allocation 12/31/22


Sector	% of Net Assets
Health Care	21.6	%
Financials	20.6	%
Consumer Staples	13.1	%
Industrials	9.6	%
Information Technology	7.7	%
Energy	7.7	%
Utilities	6.2	%
Communication Services	3.8	%
Consumer Discretionary	3.7	%
Materials	3.0	%
Short-Term Investments & Other Net Assets	1.1	%
Investment Companies	1.0	%
Real Estate	0.9	%

Sector Allocation and Top 10 Holdings are subject to change.

Large Company Value Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


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

Communication Services (3.8%)
Verizon Communications, Inc.		98,779		3,892
The Walt Disney Co. *		22,768		1,978

Total				5,870


Consumer Discretionary (3.7%)
Advance Auto Parts, Inc.		8,443		1,241
Dollar Tree, Inc. *		16,123		2,280
General Motors Co.		26,891		905
Sodexo SA		12,063		1,156

Total				5,582


Consumer Staples (13.1%)
Colgate-Palmolive Co.		25,041		1,973
Conagra Brands, Inc.		66,987		2,592
Henkel AG & Co. KGaA, Preference Shares		21,749		1,514
Kimberly-Clark Corp.		21,989		2,985
Koninklijke Ahold Delhaize NV		67,170		1,930
Mondelez International, Inc.		30,778		2,051
PepsiCo, Inc.		5,630		1,017
The Procter & Gamble Co.		8,072		1,223
Unilever PLC, ADR		58,856		2,964
Walmart, Inc.		12,048		1,708

Total				19,957


Energy (7.7%)
Baker Hughes		54,590		1,612
Chevron Corp.		8,514		1,528
ConocoPhillips		13,698		1,616
Exxon Mobil Corp.		39,702		4,379
TotalEnergies SE, ADR		42,021		2,609

Total				11,744


Financials (20.6%)
Aflac, Inc.		10,683		769
The Allstate Corp.		26,863		3,643
Ameriprise Financial, Inc.		5,544		1,726
The Bank of New York Mellon Corp.		90,107		4,102
Berkshire Hathaway, Inc. - Class B *		15,397		4,756
BlackRock, Inc.		2,414		1,711
Chubb, Ltd.		3,658		807
JPMorgan Chase & Co.		35,268		4,729
MetLife, Inc.		18,078		1,308
Northern Trust Corp.		19,209		1,700
Truist Financial Corp.		74,654		3,212


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

Financials continued
U.S. Bancorp		67,194		2,930

Total				31,393


Health Care (21.6%)
Becton Dickinson and Co.		6,372		1,620
Cigna Corp.		3,852		1,276
CVS Health Corp.		15,143		1,411
Henry Schein, Inc. *		25,767		2,058
Johnson & Johnson		39,512		6,980
Medtronic PLC		81,775		6,356
Merck & Co., Inc.		10,768		1,195
Pfizer, Inc.		30,520		1,564
Quest Diagnostics, Inc.		13,244		2,072
Roche Holding AG		4,092		1,286
Universal Health
Services, Inc. - Class B		15,082		2,125
Zimmer Biomet Holdings, Inc.		38,756		4,941

Total				32,884


Industrials (9.6%)
Emerson Electric Co.		23,299		2,238
Norfolk Southern Corp.		5,167		1,273
nVent Electric PLC		52,048		2,002
Oshkosh Corp.		22,489		1,984
Raytheon Technologies Corp.		44,924		4,534
Siemens AG		8,489		1,178
Southwest Airlines Co. *		43,064		1,450

Total				14,659


Information Technology (7.7%)
Applied Materials, Inc.		13,066		1,272
Automatic Data Processing, Inc.		5,270		1,259
Cisco Systems, Inc.		79,009		3,764
F5, Inc. *		12,596		1,808
Juniper Networks, Inc.		29,412		940
TE Connectivity, Ltd.		12,851		1,475
Texas Instruments, Inc.		7,605		1,257

Total				11,775


Materials (3.0%)
Akzo Nobel NV		21,892		1,466
Packaging Corp. of America		13,385		1,712
Sonoco Products Co.		22,834		1,386

Total				4,564


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

Real Estate (0.9%)
Healthpeak Properties, Inc.		51,912		1,301

Total				1,301


Utilities (6.2%)
Duke Energy Corp.		21,504		2,215
Edison International		21,587		1,373
Eversource Energy		14,579		1,222
Pinnacle West Capital
Corp.		28,171		2,142
Xcel Energy, Inc.		36,006		2,525

Total				9,477


Total Common Stocks
(Cost: $141,749)				149,206


Investment Companies (1.0%)

Investment Companies (1.0%)
iShares Russell 1000 Value ETF		10,300		1,562

Total				1,562


Total Investment Companies
(Cost: $1,625)				1,562


Total Investments (98.9%)
(Cost: $143,374)^@				150,768

Other Assets, Less Liabilities (1.1%)				1,646

Net Assets (100.0%)				152,414

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

Large Company Value Portfolio

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	25	27	3/31/2023	$	-π	$	-	$	-π
Sell	Morgan Stanley Capital Services, Inc.	CHF	1,048	1,144	3/31/2023		-		(5)		(5)
Sell	Goldman Sachs International	EUR	7,892	8,498	3/31/2023		-		(61)		(61)
Sell	Bank of America NA	GBP	2,108	2,553	3/31/2023		16		-		16

						$	16	$	(66)	$	(50)


	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	$	16	-	$	16	$	(66	)	-	-	$	(66)

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $144,567 and the net unrealized appreciation of investments based on that cost was $6,150 which is comprised of $14,548 aggregate gross unrealized appreciation and $8,398 aggregate gross unrealized depreciation.

π	Amount is less than one thousand.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	149,206	$	-		$	-
Investment Companies		1,562		-			-
Other Financial Instruments^
Forward Foreign Currency Contracts		-		16			-
Total Assets:	$	150,768	$	16		$	-
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		-		(66	)		-
Total Liabilities:	$	-	$	(66	)	$	-

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

Domestic Equity Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and	Invest primarily in equity securities of U.S. issuers that are	$1.1 billion
income.	selling at attractive prices relative to their intrinsic value.

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Domestic Equity Portfolio (the “Portfolio”), has engaged Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust (“Delaware”), to act as sub-adviser for the Portfolio. The Portfolio primarily invests in common stocks of large capitalization companies, but may also invest in mid-capitalization companies, that are believed to have long-term capital appreciation potential. Typically, the Portfolio seeks securities that are believed to be undervalued in relation to their intrinsic value, as indicated by multiple factors, including the earnings and cash flow potential or the asset valuation of the respective issuers. The Portfolio employs a focused investment strategy and typically invests in a core group of 30-40 securities.

MARKET OVERVIEW

After the broad market S&P 500^® Index hit an all-time high in early January 2022, U.S. stocks came under pressure for the remainder of the year. There were several strong rallies in the interim, but the stock market trend was broadly lower. Rising inflation, higher interest rates and their potential effects on consumer spending and economic growth appeared to unnerve investors. Russia’s invasion of Ukraine and the ensuing sanctions imposed by Western democracies created further disruption, straining energy markets and interfering with the post-pandemic global economic recovery. The Federal Reserve (the “Fed”) raised the federal funds rate seven times during the year with December’s 0.50% hike lifting it to a range between 4.25% and 4.50%.

PORTFOLIO RESULTS

The Portfolio returned (2.99%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned (7.54%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Large Cap Value Funds peer group was (6.97%).

Investments in the Industrials sector made the largest contribution to the Portfolio’s relative returns. Defense contractor Northrop Grumman Corp. was the leading contributor in the sector. In general, defense company stocks performed well given the lower economic sensitivity of their business models and a geopolitical environment that was more supportive of defense spending.

The Portfolio’s single holding in the Energy sector, exploration and production (E&P) company ConocoPhillips Co., was a strong contributor. Steady demand, relatively tight supplies and disruptions to global energy markets helped push crude oil and natural gas prices to multiyear highs in both March and June 2022.

The Portfolio’s holding in health insurer and pharmacy benefits manager (PBM) Cigna Corp. was another notable contributor. The company posted solid results in the most recent quarter, aided by a lower-than-expected medical care loss ratio. Cigna also raised its full-year guidance for revenue, adjusted earnings per share (EPS) and cash from operations. The Portfolio’s investment in the Energy sector was the largest detractor from relative performance due to an underweight allocation in the sector. The leading single detractor in the Portfolio was Baxter International, Inc. in the Healthcare sector, a maker of essential renal and hospital products. The company’s results for much of the year were weaker than expected, driven primarily by macroeconomic challenges, leading Baxter to reduce its full-year revenue and EPS guidance. In the Information Technology sector, information technology services provider Fidelity National Information Services, Inc. was another significant detractor. Cost inflation and wage pressures compressed the company’s margins. In response to inflation, higher interest rates and expectations for macroeconomic weakness, the company reduced its full-year EPS guidance.

PORTFOLIO MANAGER OUTLOOK

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

Domestic Equity Portfolio (unaudited)

We believe corporate earnings growth could disappoint relative to investors’ expectations. As intended, the Fed’s deliberate moves to slow the economy and bring inflation under control will likely weaken aggregate demand. Since the economic impact of the Fed’s interest rate increases tends to work with a lag, there could be pressure on corporate earnings in 2023 and possibly into 2024.

In this environment, we remain focused on mitigating downside exposure while staying attuned to investment opportunities that ongoing market volatility may create. We have completed research on several cyclical companies that we view as having higher quality attributes, believing these may eventually trade at valuations that offer compelling long-term risk-reward trade-offs. That said, at the end of 2022, the overall positioning of the Portfolio continued to be less cyclical than that of its benchmark. In our view, a Portfolio of discounted, higher quality stocks has the potential to hold up better in adverse market conditions while offering the opportunity for significant long-term capital appreciation.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Domestic Equity Portfolio		-2.99	%		7.08	%		10.87	%
Russell 1000^® Value Index		-7.54	%		6.67	%		10.29	%
Lipper^® Variable Insurance Products (VIP) Large Cap Value Funds Average		-6.97	%		7.07	%		10.32	%

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
American International Group, Inc.	3.6	%
Conagra Brands, Inc.	3.5	%
Oracle Corp.	3.5	%
Honeywell International, Inc.	3.5	%
The TJX Cos., Inc.	3.4	%
Merck & Co., Inc.	3.4	%
DuPont de Nemours, Inc.	3.3	%
Motorola Solutions, Inc.	3.3	%
Raytheon Technologies Corp.	3.3	%
Archer-Daniels-Midland Co.	3.1	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Health Care	18.4	%
Information Technology	17.4	%
Financials	14.5	%
Industrials	13.0	%
Consumer Discretionary	9.3	%
Communication Services	7.9	%
Consumer Staples	6.7	%
Materials	3.3	%
Energy	3.1	%
Utilities	2.9	%
Real Estate	2.3	%
Short-Term Investments & Other Net Assets	1.2	%

Sector Allocation and Top 10 Holdings are subject to change.

Domestic Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


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

Communication Services (7.9%)
Comcast Corp. - Class A		808,411		28,270
Verizon Communications, Inc.		723,000		28,486
The Walt Disney Co. *		316,236		27,475

Total				84,231


Consumer Discretionary (9.3%)
Dollar General Corp.		132,940		32,737
Dollar Tree, Inc. *		210,300		29,745
The TJX Cos., Inc.		456,800		36,361

Total				98,843


Consumer Staples (6.7%)
Archer-Daniels-Midland Co.		358,400		33,277
Conagra Brands, Inc.		968,233		37,471

Total				70,748


Energy (3.1%)
ConocoPhillips		277,500		32,745

Total				32,745


Financials (14.5%)
American International Group, Inc.		599,500		37,912
Discover Financial Services		293,013		28,666
MetLife, Inc.		435,632		31,527


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

Financials continued
Truist Financial Corp.		635,400		27,341
U.S. Bancorp		643,300		28,054

Total				153,500


Health Care (18.4%)
Baxter International,
Inc.		603,300		30,750
Cigna Corp.		96,303		31,909
CVS Health Corp.		335,400		31,256
Hologic, Inc. *		443,788		33,200
Johnson & Johnson		180,700		31,921
Merck & Co., Inc.		323,500		35,892

Total				194,928


Industrials (13.0%)
Dover Corp.		244,842		33,154
Honeywell International, Inc.		172,660		37,001
Northrop Grumman Corp.		60,300		32,900
Raytheon Technologies Corp.		342,979		34,614

Total				137,669


Information Technology (17.4%)
Broadcom, Inc.		58,800		32,877
Cisco Systems, Inc.		681,800		32,481
Cognizant Technology Solutions Corp. - Class A		432,918		24,758


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

Information Technology continued
Fidelity National Information Services, Inc.		340,127		23,078
Motorola Solutions, Inc.		134,900		34,765
Oracle Corp.		455,600		37,241

Total				185,200


Materials (3.3%)
DuPont de Nemours, Inc.		506,984		34,794

Total				34,794


Real Estate (2.3%)
Equity Residential		412,295		24,325

Total				24,325


Utilities (2.9%)
Edison International		485,700		30,900

Total				30,900


Total Common Stocks
(Cost: $840,599)				1,047,883


Total Investments (98.8%)
(Cost: $840,599)^@				1,047,883

Other Assets, Less
Liabilities (1.2%)				12,236

Net Assets (100.0%)				1,060,119

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $840,677 and the net unrealized appreciation of investments based on that cost was $207,206 which is comprised of $268,125 aggregate gross unrealized appreciation and $60,919 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,047,883	$	-	$	-
Total Assets:	$	1,047,883	$	-	$	-

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

Equity Income Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital and income.	Invest in common stocks with a focus on larger capitalization stocks with a strong track record of paying dividends, or that are believed to be undervalued.	$702 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Equity Income Portfolio (the “Portfolio”), has engaged T. Rowe Price Associates, Inc. (“T. Rowe Price”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in common stocks, with an emphasis on larger capitalization stocks with a strong track record of paying dividends or that are believed to be undervalued. The Portfolio’s yield, which reflects the level of dividends paid by the Portfolio, is expected to normally exceed the yield of the Russell 1000^® Value Index. The Portfolio will typically employ a value approach in selecting investments. The Portfolio’s in-house research team seeks to identify companies that appear to be undervalued as measured by price to earnings ratio, dividend yield, enterprise value to sales, among other metrics and may be temporarily out of favor but have good prospects for capital appreciation and dividend growth.

MARKET OVERVIEW

Major U.S. stock indices fell sharply in 2022, the worst year for equities since the 2008 global financial crisis. Investors shunned riskier assets in response to Russia’s invasion of Ukraine, elevated inflation exacerbated by rising commodity prices and global supply chain disruptions, surging U.S. Treasury yields, tightening financial conditions and slowing economic and corporate earnings growth. Beginning in March 2022, the Federal Reserve (the “Fed”) began a series of aggressive short-term interest rate hikes. The rate hikes along with Fed comments that it would be willing to risk causing a recession by raising rates and keeping them at a higher level in order to bring inflation down, also weighed on the market. Although many indices finished the year above their lowest levels of 2022, the year ended with many investors concerned that ongoing Fed rate hikes would hurt corporate earnings and push the economy into a recession in 2023.

PORTFOLIO RESULTS

The Portfolio returned (3.22%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell 1000^® Value Index (the “Index”), returned (7.54%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Equity Income Funds peer group was (4.56%).

Overall, favorable stock selection and sector allocation contributed to the Portfolio’s relative return. The Financials sector was a significant contributor due to stock selection. Shares of American International Group, Inc. benefited from improved underwriting and strong property and casualty (P&C) pricing cycle that allowed the company to focus on pushing price. The Health Care sector also aided relative performance due to strong stock choices. Shares of AbbVie, Inc. advanced in April after the FDA approved the drugs Rinvoq and Skyrizi for use, which may help balance sales deficits from the expected loss of Humira’s patent in 2023.

The Consumer Discretionary sector also boosted relative performance, owing to favorable stock choices coupled with an underweight allocation. Shares of Las Vegas Sands Corp. have lagged reopening peers as China’s increased lockdowns throughout the year delayed reopening in Macau. However, the stock advanced during the second half of 2022 due to a strong recovery in its Singapore operations, which helped offset some of costs associates with Macau. Additionally, during the fourth quarter, shares surged following news of Las Vegas Sands and other gaming companies signing 10-year contracts with the Macau government, renewing their casino licenses for the next decade.

At the other end of the spectrum, stock selection in the Energy sector was a notable detractor from the Portfolio’s relative performance. Shares of TC Energy Corp. detracted from relative performance over the calendar-year period. In the third quarter of 2022, shares were pressured as capital markets risk and a higher interest rate environment weighed on performance. In early December, shares were again pressured as the company’s Keystone pipeline was shut down following reports of a 14,000 barrel leak. Stock selection in the Industrials sector and business services industry also hindered relative returns.

PORTFOLIO MANAGER OUTLOOK

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

Equity Income Portfolio (unaudited)

The range of outcomes in the equity market remains abnormally wide. We expect continued volatility, as investors react to new metrics as they are reported. Amid such uncertainty, we believe there is risk in being too anchored to a particular macroeconomic outlook. The balance of economic data suggests a recession is imminent, although such an event is broadly anticipated, making the eventual recession arguably the “most consensus” one in history. In all likelihood, the severity of the recession will depend on the degree to which the Fed targets the labor market, which remains tight even as economic data weakens. Should the Fed “declare victory” at an inflation level above its stated target, the equity market would likely rally. Conversely, if the Fed’s aim is to disrupt the labor market, the equity market may move lower.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Equity Income Portfolio		-3.22	%		7.16	%		9.81	%
Russell 1000^® Value Index		-7.54	%		6.67	%		10.29	%
Lipper^® Variable Insurance Products (VIP) Equity Income Funds Average		-4.56	%		6.99	%		9.90	%

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

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

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

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
TotalEnergies SE, ADR		3.1	%
Wells Fargo & Co.		3.0	%
The Southern Co.		3.0	%
General Electric Co.		2.9	%
American International Group, Inc.		2.5	%
Elevance Health, Inc.		2.3	%
QUALCOMM, Inc.		2.1	%
Sempra Energy		2.0	%
Becton Dickinson and Co., Various		2.0	%
Johnson & Johnson		2.0	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Financials		21.0	%
Health Care		17.7	%
Industrials		10.8	%
Energy		8.5	%
Utilities		8.4	%
Consumer Staples		7.0	%
Information Technology		6.9	%
Communication Services		5.1	%
Consumer Discretionary		5.0	%
Materials		4.2	%
Real Estate		3.9	%
Short-Term Investments & Other Net Assets		1.5	%

Sector Allocation and Top 10 Holdings are subject to change.

Equity Income Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (97.3%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (5.1%)
AT&T, Inc.		61,563		1,133
Comcast Corp. - Class A		192,144		6,719
Fox Corp. - Class B		14,244		405
Meta Platforms, Inc. - Class A *		28,902		3,478
News Corp. - Class A		594,042		10,812
Paramount Global - Class B		29,300		495
Verizon Communications, Inc.		113,125		4,457
The Walt Disney Co. *		89,568		7,782
Warner Bros.
Discovery, Inc. *		35,330		335

Total				35,616


Consumer Discretionary (5.0%)
Best Buy Co., Inc.		36,630		2,938
Kohl’s Corp.		124,483		3,143
Las Vegas Sands Corp. *		144,999		6,970
Mattel, Inc. *		254,759		4,545
The TJX Cos., Inc.		73,981		5,889
Volkswagen AG, ADR		932,011		11,539

Total				35,024


Consumer Staples (7.0%)
Conagra Brands, Inc.		290,609		11,247
Constellation Brands, Inc. - Class A		6,100		1,414
Kimberly-Clark Corp.		79,611		10,807
Mondelez International, Inc.		15,500		1,033
Philip Morris International, Inc.		118,716		12,015
Tyson Foods, Inc. - Class A		95,038		5,916
Walmart, Inc.		45,412		6,439

Total				48,871


Energy (8.5%)
Chevron Corp.		12,199		2,190
Enbridge, Inc.		44,291		1,732
EOG Resources, Inc.		60,723		7,865
Exxon Mobil Corp.		98,535		10,868
Hess Corp.		43,700		6,198
Targa Resources Corp.		5,189		381
TC Energy Corp.		197,493		7,872
TotalEnergies SE, ADR		355,659		22,079
The Williams Cos., Inc.		15,000		493

Total				59,678


Common Stocks (97.3%)	Shares/ Par ⁺		Value $ (000’s)

Financials (21.0%)
American International Group, Inc.		274,684		17,371
Apollo Global Management, Inc.		23,864		1,522
Bank of America Corp.		116,599		3,862
The Carlyle Group, Inc.		42,200		1,259
The Charles Schwab Corp.		43,727		3,641
Chubb, Ltd.		63,098		13,919
Citigroup, Inc.		81,511		3,687
Equitable Holdings, Inc.		383,636		11,010
Fifth Third Bancorp		218,673		7,175
Franklin Resources, Inc.		23,486		620
The Goldman Sachs Group, Inc.		24,980		8,578
The Hartford Financial Services Group, Inc.		88,856		6,738
Huntington Bancshares, Inc.		656,771		9,260
JPMorgan Chase & Co.		37,859		5,077
Loews Corp.		121,520		7,088
MetLife, Inc.		151,948		10,997
Morgan Stanley		61,258		5,208
The PNC Financial Services Group, Inc.		7,957		1,257
Raymond James Financial, Inc.		5,073		542
State Street Corp.		57,369		4,450
U.S. Bancorp		73,800		3,218
Wells Fargo & Co.		517,101		21,351

Total				147,830


Health Care (17.3%)
AbbVie, Inc.		65,584		10,599
AstraZeneca PLC, ADR		58,999		4,000
Becton Dickinson and Co.		44,899		11,418
Biogen, Inc. *		7,703		2,133
Cardinal Health, Inc.		51,775		3,980
Centene Corp. *		54,449		4,465
Cigna Corp.		25,281		8,377
CVS Health Corp.		84,316		7,857
Elevance Health, Inc.		31,897		16,362
Johnson & Johnson		79,236		13,997
Medtronic PLC		79,260		6,160
Merck & Co., Inc.		59,805		6,635
Pfizer, Inc.		183,931		9,425
Sanofi		141,909		6,873
Viatris, Inc.		135,400		1,507
Zimmer Biomet Holdings, Inc.		63,153		8,052

Total				121,840


Common Stocks (97.3%)	Shares/ Par ⁺		Value $ (000’s)

Industrials (10.8%)
3M Co.		9,500		1,139
The Boeing Co. *		32,937		6,274
Cummins, Inc.		7,267		1,761
Flowserve Corp.		20,675		634
General Electric Co.		245,796		20,595
L3Harris Technologies, Inc.		53,672		11,175
PACCAR, Inc.		9,801		970
Siemens AG, ADR		107,390		7,388
Southwest Airlines Co. *		98,300		3,310
Stanley Black & Decker, Inc.		59,727		4,487
Stericycle, Inc. *		85,713		4,276
United Parcel Service, Inc. - Class B		79,176		13,764

Total				75,773


Information Technology (6.9%)
Accenture PLC - Class A		4,300		1,148
Applied Materials, Inc.		52,971		5,158
Cisco Systems, Inc.		58,719		2,797
Fiserv, Inc. *		57,947		5,857
Microsoft Corp.		36,162		8,672
NXP Semiconductors NV		3,858		610
QUALCOMM, Inc.		132,170		14,531
Samsung Electronics Co., Ltd.		11,785		520
TE Connectivity, Ltd.		16,473		1,891
Texas Instruments, Inc.		43,216		7,140

Total				48,324


Materials (4.2%)
CF Industries Holdings, Inc.		149,416		12,730
DuPont de Nemours, Inc.		4,985		342
International Flavors & Fragrances, Inc.		45,048		4,723
International Paper Co.		283,579		9,820
RPM International, Inc.		21,425		2,088

Total				29,703


Real Estate (3.9%)
Equity Residential		165,672		9,775
Rayonier, Inc.		171,520		5,653
Vornado Realty Trust		22,600		470
Welltower, Inc.		15,450		1,013
Weyerhaeuser Co.		346,820		10,751

Total				27,662

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

Equity Income Portfolio


Common Stocks (97.3%)	Shares/ Par ⁺		Value $ (000’s)

Utilities (7.6%)
Ameren Corp.		53,918		4,794
Dominion Energy, Inc.		136,325		8,360
NiSource, Inc.		130,446		3,577
PG&E Corp. *		59,424		966
Sempra Energy		92,995		14,372
The Southern Co.		294,040		20,997

Total				53,066


Total Common Stocks
(Cost: $551,101)				683,387


Preferred Stocks (0.3%)	Shares/ Par ⁺		Value $ (000’s)

Utilities (0.3%)
NiSource, Inc., 7.750%		21,078		2,176

Total				2,176


Total Preferred Stocks
(Cost: $2,108)				2,176


Convertible Preferred Stocks (0.9%)

Health Care (0.4%)
Becton Dickinson and Co., 6.000% 6/1/23		53,493		2,679

Total				2,679


Convertible Preferred Stocks (0.9%)	Shares/ Par ⁺		Value $ (000’s)

Utilities (0.5%)
NextEra Energy, Inc., 6.926% 8/28/25		28,779		1,445
NextEra Energy, Inc., 5.279% 3/1/23		49,295		2,499

Total				3,944

Total Convertible Preferred
Stocks (Cost: $6,482)				6,623

Total Investments (98.5%)
(Cost: $559,691)^@				692,186

Other Assets, Less
Liabilities (1.5%)				10,190

Net Assets (100.0%)				702,376

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $561,316 and the net unrealized appreciation of investments based on that cost was $130,870 which is comprised of $160,220 aggregate gross unrealized appreciation and $29,350 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	2,176	$	-	$	-
Common Stocks
Information Technology		47,804		520		-
All Others		635,063		-		-
Convertible Preferred Stocks		6,623		-		-
Total Assets:	$	691,666	$	520	$	-

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

Mid Cap Growth Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks of mid cap domestic companies selected on the basis of their potential for capital appreciation.	$1.0 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Mid Cap Growth Stock Portfolio (the “Portfolio”), has engaged Wellington Management Company LLP (“Wellington”) to act as sub-adviser for the Portfolio. The Portfolio invests primarily in common stocks of mid cap companies selected on the basis of their potential for capital appreciation. The Portfolio focuses on companies that are determined to be of high quality. The key characteristics of high quality companies include a leadership position within an industry, a strong balance sheet, a high return on equity, and/or a strong management team. The Portfolio seeks to reduce overall risk by diversifying across sectors, industry groups and companies. The Portfolio’s sector exposure relative to its benchmark is driven by an investment process which relies on fundamental company analysis and individual stock selection.

MARKET OVERVIEW

U.S. equities, as measured by the S&P 500^® Index, posted negative results for the year 2022 amid surging inflation, tighter financial conditions and moderating economic activity, which have increased the probability of recession. Surging prices for food and energy pushed consumer inflation to its highest level in more than four decades. The Federal Reserve (the “Fed”) Chair, Jerome Powell, acknowledged that there is considerable uncertainty about the trajectory of inflation and a greater possibility of recession. Late in the period, greater optimism that the Fed would begin to scale back its aggressive pace of interest rate hikes helped to fuel a sharp rebound in stocks in October and November before risk sentiment waned in December amid recession fears, macroeconomic headwinds and downside earnings risks in the coming quarters.

Returns during the period varied by market capitalization. Mid-capitalization stocks, as measured by the S&P MidCap 400^® Index, outperformed large- and small-capitalization stocks, as measured by the S&P 500^® Index and the Russell 2000^® Index, respectively.

PORTFOLIO RESULTS

The Portfolio returned (23.77%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell Midcap^® Growth Index (the “Index”), returned (26.72%). (The Index is unmanaged, cannot be invested in directly, and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Mid Cap Growth Funds peer group was (28.6%).

Sector allocation, a residual of the Portfolio’s bottom-up stock selection process, was the primary contributor to the Portfolio’s return, mainly due to the Portfolio’s overweight in the Utilities and Financials sectors, as well as an underweight in Communication Services. Strong stock selection within the Financials, Industrials and Materials sectors also drove relative outperformance during the period.

The top contributors to relative performance during the period included out-of-benchmark positions in Health Care companies United Therapeutics Corp. and Jazz Pharmaceuticals PLC. United Therapeutics advanced after the company received U.S. Food and Drug administration (FDA) approval for the medication Tyvaso DPI. Jazz Pharmaceuticals advanced after the company reported 2021 fourth-quarter earnings and revenue that beat estimates. An overweight position in Information Technology company WEX, Inc. also contributed, as the company reported third-quarter earnings and revenue that beat estimates. Full-year revenue and earnings guidance were both raised at the midpoint and the company announced a new $675M share buyback.

In contrast, the top detractors from relative performance during the period included out-of-benchmark positions in Information Technology companies Synaptics, Inc., and Nuvei Corp. Shares of Synaptics, a human interface solutions provider, fell over the period, as management lowered first-quarter revenue guidance below expectations amid consumer-facing headwinds across mobile, PC and internet-of-things segments that have weighed on demand and limited visibility for future quarters. Global payments solutions provider, Nuvei, detracted as growth stocks sold off amid concerns around high valuations, interest rate hikes, rising inflation and geopolitical tensions. The company’s second-quarter guidance fell below expectations.

Mid Cap Growth Stock Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

We believe that after years of outperformance from high growth Information Technology businesses, driven by demand pull forwards and low interest rates, there is a transition underway in the market and new winners may emerge. The fundamental drivers of performance in many of these technology businesses are no longer accelerating. As a result, we have been reducing our weight in the sector. We reallocated this capital to names in the packaging industry that we feel offer steady growth, less economic sensitivity and should benefit from the longer term trend away from single-use plastics.

Despite strong performance in 2022, we believe the Energy sector remains attractive. Similarly, we have a positive and differentiated view on the transportation industry. We feel that expectations of declining earnings are overstated, fears of a recession are already priced in, and the industry will benefit from an increase in U.S. infrastructure spend.

The Portfolio can experience extreme relative performance periods, both good and bad, while navigating significant market dislocations such as the financial crises and the COVID-19 pandemic. We have seen both in the last 36 months. However, we have confidence in the long-term performance generated by our investment process and believe that the Portfolio is positioned well for the next three to five years.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Mid Cap Growth Stock Portfolio		-23.77	%		5.35	%		8.00	%
Russell MidCap^® Growth Index		-26.72	%		7.64	%		11.41	%
Lipper^® Variable Insurance Products (VIP) Mid Cap Growth Funds Average		-28.60	%		7.82	%		10.62	%

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

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Axon Enterprise, Inc.		2.5	%
United Therapeutics Corp.		2.1	%
Insulet Corp.		2.1	%
WEX, Inc.		2.1	%
NVR, Inc.		2.1	%
Genpact, Ltd.		2.1	%
IDEX Corp.		2.0	%
Shift4 Payments, Inc.		1.9	%
Jazz Pharmaceuticals PLC		1.9	%
Markel Corp.		1.8	%

Mid Cap Growth Stock Portfolio (unaudited)

Sector Allocation 12/31/22


Sector	% of Net Assets
Information Technology		22.1	%
Industrials		21.4	%
Health Care		20.1	%
Consumer Discretionary		12.0	%
Financials		9.2	%
Energy		6.3	%
Materials		5.4	%
Communication Services		1.8	%
Utilities		1.0	%
Real Estate		0.5	%
Short-Term Investments & Other Net Assets		0.1	%
Consumer Staples		0.1	%

Sector Allocation and Top 10 Holdings are subject to change.

Mid Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (99.9%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (1.8%)
Cable One, Inc.		13,303		9,470
CarGurus, Inc. *		360,528		5,051
Roku, Inc. *		91,780		3,735

Total				18,256


Consumer Discretionary (12.0%)
CarMax, Inc. *		135,185		8,232
Carter’s, Inc.		28,058		2,093
Chewy, Inc. *		376,747		13,970
Choice Hotels International, Inc.		122,701		13,821
Etsy, Inc. *		143,599		17,200
Hyatt Hotels Corp. - Class A *		82,047		7,421
NVR, Inc. *		4,486		20,692
Visteon Corp. *		74,572		9,756
Vizio Holding Corp. *		675,064		5,002
Wingstop, Inc.		77,770		10,703
YETI Holdings, Inc. *		301,334		12,448

Total				121,338


Consumer Staples (0.1%)
BJ’s Wholesale Club Holdings, Inc. *		14,814		980

Total				980


Energy (6.3%)
Coterra Energy, Inc.		415,748		10,215
Marathon Oil Corp.		517,435		14,007
Ovintiv, Inc.		237,297		12,034
PDC Energy, Inc.		172,623		10,958
Targa Resources Corp.		228,453		16,791

Total				64,005


Financials (9.2%)
Credit Acceptance Corp. *		37,792		17,929
First Republic Bank		102,912		12,544
Hamilton Lane, Inc.		75,328		4,812
Host Hotels & Resorts, Inc.		349,211		5,605
M&T Bank Corp.		90,922		13,189
Markel Corp. *		14,061		18,525
Tradeweb Markets, Inc.		113,552		7,373
W.R. Berkley Corp.		112,876		8,191
White Mountains Insurance Group, Ltd.		3,415		4,830

Total				92,998


Common Stocks (99.9%)	Shares/ Par ⁺		Value $ (000’s)

Health Care (20.1%)
Alnylam Pharmaceuticals, Inc. *		41,426		9,845
Apellis Pharmaceuticals, Inc. *		173,639		8,979
Bio-Techne Corp.		201,173		16,673
Exact Sciences Corp. *		237,644		11,766
ICON PLC *		49,168		9,551
Inari Medical, Inc. *		238,659		15,169
Insulet Corp. *		71,386		21,015
Integra LifeSciences Holdings Corp. *		192,256		10,780
Jazz Pharmaceuticals PLC *		118,631		18,899
Neurocrine Biosciences, Inc. *		75,927		9,069
PTC Therapeutics, Inc. *		201,952		7,708
Repligen Corp. *		80,498		13,629
Sage Therapeutics, Inc. *		116,126		4,429
Syneos Health, Inc. *		58,739		2,155
Teleflex, Inc.		48,096		12,006
Ultragenyx Pharmaceutical, Inc. *		199,392		9,238
United Therapeutics Corp. *		76,846		21,370

Total				202,281


Industrials (21.4%)
AMERCO		224,469		12,341
Axon Enterprise, Inc. *		153,505		25,471
Builders FirstSource, Inc. *		129,610		8,409
C.H. Robinson Worldwide, Inc.		104,364		9,556
Dun & Bradstreet Holdings, Inc.		380,126		4,660
Expeditors International of Washington, Inc.		98,299		10,215
GFL Environmental, Inc.		176,570		5,161
Graco, Inc.		129,313		8,698
IDEX Corp.		89,008		20,323
Ingersoll-Rand, Inc.		269,333		14,073
J.B. Hunt Transport Services, Inc.		71,596		12,483
Knight-Swift Transportation Holdings, Inc.		214,797		11,258
Lennox International, Inc.		57,879		13,846


Common Stocks (99.9%)	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Lincoln Electric Holdings, Inc.		76,269		11,020
The Middleby Corp. *		43,516		5,827
Nordson Corp.		34,165		8,122
Robert Half International, Inc.		69,193		5,109
TransUnion		83,881		4,760
Watsco, Inc.		33,390		8,327
Westinghouse Air Brake Technologies Corp.		159,441		15,914

Total				215,573


Information Technology (22.1%)
CDW Corp.		54,524		9,737
Coherent Corp. *		238,425		8,369
CommScope Holding Co., Inc. *		243,344		1,788
Datadog, Inc. - Class A *		110,460		8,119
Dynatrace, Inc. *		344,272		13,186
F5, Inc. *		58,920		8,456
Fair Isaac Corp. *		15,777		9,444
First Solar, Inc. *		47,469		7,110
Flex, Ltd. *		227,110		4,874
Genpact, Ltd.		445,997		20,658
Guidewire Software, Inc. *		96,804		6,056
Informatica, Inc. *		587,855		9,576
LiveRamp Holdings, Inc. *		143,302		3,359
Lumentum Holdings, Inc. *		150,197		7,836
MKS Instruments, Inc.		23,908		2,026
MongoDB, Inc. *		53,457		10,522
Monolithic Power Systems, Inc.		8,596		3,040
Nuvei Corp. *		400,025		10,165
Olo, Inc. *		494,790		3,092
Q2 Holdings, Inc. *		248,257		6,671
Shift4 Payments, Inc. *		342,787		19,172
Silicon Laboratories, Inc. *		46,763		6,344
Synaptics, Inc. *		83,390		7,935
Teradata Corp. *		121,860		4,102
VeriSign, Inc. *		53,763		11,045
WEX, Inc. *		126,980		20,780

Total				223,462


Materials (5.4%)
Ball Corp.		78,472		4,013
Celanese Corp. - Class A		13,825		1,414
Element Solutions, Inc.		787,105		14,317
FMC Corp.		99,733		12,447

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

Mid Cap Growth Stock Portfolio


Common Stocks (99.9%)	Shares/ Par ⁺		Value $ (000’s)

Materials continued
Graphic Packaging Holding Co.		121,525		2,704
Silgan Holdings, Inc.		282,585		14,649
Steel Dynamics, Inc.		47,044		4,596

Total				54,140


Real Estate (0.5%)
Rexford Industrial Realty, Inc.		91,342		4,991

Total				4,991


Utilities (1.0%)
Black Hills Corp.		72,617		5,108
NiSource, Inc.		167,161		4,584

Total				9,692

Total Common Stocks
(Cost: $1,002,364)				1,007,716


Total Investments (99.9%)
(Cost: $1,002,364)^@				1,007,716

Other Assets, Less
Liabilities (0.1%)				1,058

Net Assets (100.0%)				1,008,774

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,006,142 and the net unrealized appreciation of investments based on that cost was $1,574 which is comprised of $131,451 aggregate gross unrealized appreciation and $129,877 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,007,716	$	-	$	-
Total Assets:	$	1,007,716	$	-	$	-

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

Index 400 Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P MidCap 400^® Index.	Invest in stocks that make up the S&P MidCap 400^® Index, holding each stock in approximately the same proportion as its weighting in the Index.	$1.1 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Index 400 Stock Portfolio (the “Portfolio”), has engaged Northern Trust Investments, Inc. (“Northern Trust”) to act as sub-adviser for the Portfolio. The Portfolio seeks investment results that approximate the performance of the S&P MidCap 400^® Index, which is composed of the stocks of companies whose capitalizations generally are smaller than those of companies that comprise the S&P 500^® Index. The S&P MidCap 400^® Index does not include the stocks of the very large companies that account for most of the weighting in the S&P 500^® Index. The Portfolio attempts to achieve its objective by investing all, or substantially all, of its assets in the stocks that make up the S&P MidCap 400^® Index, holding each stock in approximately the same proportion as its weighting in the Index. This is known as a full replication strategy. The Portfolio may also invest in S&P MidCap 400^® Index stock futures to help achieve full replication.

MARKET OVERVIEW

PORTFOLIO RESULTS

The Index 400 Stock Portfolio delivered a total return of (13.26%) for the twelve months ended December 31, 2022, trailing the S&P MidCap 400^® Index (the “Index”), which returned (13.06%). (The Index is unmanaged, cannot be invested in directly, and does not incur expenses.) Portfolio performance slightly lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with the use of stock index futures contracts. According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the S&P Midcap 400 Index Funds peer group was (13.71%).

The Consumer Discretionary sector detracted the most from the Portfolio’s return, as consumers deferred purchases of non-essential goods and services amid rising prices and an uncertain economic outlook. Higher mortgage rates slowed home sales, weakening demand for retailers that specialize in home furnishings. Higher raw material costs, transportation expenses and the strong U.S. dollar combined to weaken profit margins for the automotive components industry, while automakers slowed demand for components as they curtailed production of new vehicles due to a worldwide shortage of microprocessors. Retailers reduced their inventories of household durables products as consumers struggling with escalating inflation shifted their spending patterns, leading to a weaker sales outlook for the household durables industry. The Real Estate sector also detracted from the Portfolio’s return as higher interest rates increased borrowing costs to finance properties. Stock prices of companies in the real estate management and development industry declined as rising interest rates outpaced the dividend rate paid by real estate investment trusts, weakening their attractiveness for income-oriented investors.

Stocks in the Industrials sector also detracted meaningfully from the Portfolio’s return, as Western sanctions against Russia, following its invasion of Ukraine, exacerbated supply chain bottlenecks and increased raw material costs. In the machinery industry, broad-based weakness lowered stock prices for specialty manufacturers of high-tech instruments, coolers, and refrigeration systems. Similarly, the commercial services and supplies industry struggled with cutbacks in corporate spending.

Index 400 Stock Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Index 400 Stock Portfolio		-13.26	%		6.44	%		10.49	%
S&P MidCap 400^® Index		-13.06	%		6.70	%		10.78	%
Lipper^® Variable Insurance Products (VIP) S&P Midcap 400 Index Funds		-13.71	%		6.10	%		10.14	%

“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.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Fair Isaac Corp.	0.7	%
First Horizon Corp.	0.6	%
United Therapeutics Corp.	0.6	%
Hubbell, Inc.	0.6	%
RPM International, Inc.	0.6	%
Carlisle Cos., Inc.	0.6	%
Reliance Steel & Aluminum Co.	0.6	%
AECOM	0.6	%
The Toro Co.	0.6	%
Neurocrine Biosciences, Inc.	0.6	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Industrials	19.5	%
Financials	14.9	%
Consumer Discretionary	13.8	%
Information Technology	11.9	%
Health Care	10.0	%
Real Estate	8.0	%
Materials	6.5	%
Utilities	4.0	%
Consumer Staples	4.0	%
Energy	3.9	%
Communication Services	2.1	%
Short-Term Investments & Other Net Assets	1.4	%

Sector Allocation and Top 10 Holdings are subject to change.

Index 400 Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


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

Communication Services (2.1%)
Cable One, Inc.		2,636		1,876
Frontier Communications Parent, Inc. *		121,846		3,105
Iridium Communications, Inc. *		68,675		3,530
John Wiley & Sons, Inc. - Class A		23,330		935
The New York Times Co. - Class A		89,846		2,916
Nexstar Media Group, Inc.		20,621		3,609
TEGNA, Inc.		122,019		2,586
TripAdvisor, Inc. *		57,293		1,030
World Wrestling Entertainment, Inc.- Class A		23,565		1,615
Ziff Davis, Inc. *		25,795		2,040

Total				23,242


Consumer Discretionary (13.8%)
Adient PLC *		51,866		1,799
AutoNation, Inc. *		18,686		2,005
Boyd Gaming Corp.		43,310		2,362
Brunswick Corp.		39,626		2,856
Callaway Golf Co. *		75,782		1,497
Capri Holdings, Ltd. *		70,398		4,035
Carter’s, Inc.		20,860		1,556
Choice Hotels International, Inc.		15,143		1,706
Churchill Downs, Inc.		18,016		3,809
Columbia Sportswear Co.		19,362		1,696
Cracker Barrel Old Country Store, Inc.		12,119		1,148
Crocs, Inc. *		33,746		3,659
Dana Holding Corp.		69,272		1,048
Deckers Outdoor Corp. *		14,466		5,774
Dick’s Sporting Goods, Inc.		30,384		3,655
Five Below, Inc. *		30,334		5,365
Foot Locker, Inc.		43,335		1,638
Fox Factory Holding Corp. *		23,110		2,108
GameStop Corp. - Class A *		138,129		2,550
The Gap, Inc.		115,846		1,307
Gentex Corp.		127,931		3,489
The Goodyear Tire & Rubber Co. *		154,679		1,570
Graham Holdings Co. - Class B		2,107		1,273


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

Consumer Discretionary continued
Grand Canyon Education, Inc. *		16,757		1,771
H&R Block, Inc.		84,954		3,102
Hanesbrands, Inc.		191,479		1,218
Harley-Davidson, Inc.		72,726		3,025
Helen of Troy, Ltd. *		13,117		1,455
KB Home		45,385		1,445
Kohl’s Corp.		63,738		1,609
Lear Corp.		32,326		4,009
Leggett & Platt, Inc.		72,458		2,335
Lithia Motors, Inc. - Class A		14,955		3,062
Macy’s, Inc.		148,089		3,058
Marriott Vacations Worldwide Corp.		20,945		2,819
Mattel, Inc. *		193,674		3,455
Murphy USA, Inc.		11,356		3,174
Nordstrom, Inc.		60,645		979
Ollie’s Bargain Outlet Holdings, Inc. *		31,814		1,490
Papa John’s International, Inc.		17,516		1,442
Penn National Gaming, Inc. *		84,747		2,517
Polaris, Inc.		29,774		3,007
PVH Corp.		35,649		2,516
RH *		10,503		2,806
Scientific Games Corp. - Class A *		51,088		2,994
Service Corp. International		84,026		5,810
Skechers USA, Inc. - Class A *		73,273		3,074
Taylor Morrison Home Corp. *		59,187		1,796
Tempur Sealy International, Inc.		93,233		3,201
Texas Roadhouse, Inc.		36,575		3,326
Thor Industries, Inc.		29,335		2,214
Toll Brothers, Inc.		57,574		2,874
TopBuild Corp. *		17,473		2,734
Travel + Leisure Co.		44,419		1,617
Under Armour, Inc. - Class A *		103,302		1,050
Under Armour, Inc. - Class C *		107,552		959
Victoria’s Secret & Co. *		44,398		1,589
Visteon Corp. *		15,392		2,014
The Wendy’s Co.		93,130		2,108
Williams-Sonoma, Inc.		36,457		4,190
Wingstop, Inc.		16,351		2,250
Wyndham Hotels &
Resorts, Inc.		48,266		3,442


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

Consumer Discretionary continued
YETI Holdings, Inc. *		47,151		1,948

Total				157,389


Consumer Staples (4.0%)
BellRing Brands, Inc. *		74,014		1,898
BJ’s Wholesale Club Holdings, Inc. *		73,813		4,884
The Boston Beer Co., Inc. - Class A *		5,165		1,702
Casey’s General Stores, Inc.		20,358		4,567
Celsius Holdings, Inc. *		22,078		2,297
Coca-Cola Consolidated, Inc.		2,515		1,289
Coty, Inc. - Class A *		199,818		1,710
Darling Ingredients, Inc. *		87,584		5,482
Energizer Holdings, Inc.		36,328		1,219
Flowers Foods, Inc.		105,096		3,020
Grocery Outlet Holding Corp. *		48,379		1,412
Ingredion, Inc.		35,822		3,508
Lancaster Colony Corp.		10,842		2,139
Performance Food Group Co. *		85,079		4,968
Pilgrim’s Pride Corp. *		24,249		575
Post Holdings, Inc. *		29,711		2,682
Sprouts Farmers Market, Inc. *		57,844		1,872

Total				45,224


Energy (3.9%)
Antero Midstream Corp.		182,953		1,974
Antero Resources Corp. *		150,903		4,676
ChampionX Corp.		108,945		3,158
CNX Resources Corp. *		98,647		1,661
DT Midstream, Inc.		52,850		2,921
Equitrans Midstream Corp.		236,522		1,585
HF Sinclair Corp.		73,498		3,814
Matador Resources Co.		61,349		3,512
Murphy Oil Corp.		79,861		3,435
NOV, Inc.		214,654		4,484
PBF Energy, Inc.		62,459		2,547
PDC Energy, Inc.		50,357		3,197
Range Resources Corp.		132,055		3,304
Southwestern Energy Co. *		603,107		3,528

Total				43,796

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 (14.9%)
Affiliated Managers Group, Inc.		20,585		3,261
American Financial Group, Inc.		38,159		5,238
Annaly Capital Management, Inc.		255,678		5,390
Associated Banc-Corp.		82,182		1,898
Bank of Hawaii Corp.		21,916		1,700
Bank OZK		60,662		2,430
Brighthouse Financial, Inc. *		37,799		1,938
Cadence Bank		99,710		2,459
Cathay General Bancorp		40,668		1,659
CNO Financial Group, Inc.		62,592		1,430
Commerce Bancshares, Inc.		62,200		4,234
Cullen/Frost Bankers, Inc.		35,142		4,698
East West Bancorp, Inc.		77,037		5,077
Essent Group, Ltd.		58,877		2,289
Evercore, Inc. - Class A		19,560		2,134
F.N.B. Corp.		191,726		2,502
Federated Hermes, Inc.		45,988		1,670
First American Financial Corp.		56,582		2,961
First Financial Bankshares, Inc.		70,946		2,441
First Horizon Corp.		293,245		7,184
FirstCash Holdings, Inc.		20,505		1,782
Fulton Financial Corp.		91,544		1,541
Glacier Bancorp, Inc.		60,537		2,992
Hancock Whitney Corp.		46,847		2,267
The Hanover Insurance Group, Inc.		19,432		2,626
Home BancShares, Inc.		103,614		2,361
Interactive Brokers Group, Inc. - Class A		56,221		4,068
International Bancshares Corp.		28,950		1,325
Janus Henderson Group PLC		72,477		1,705
Jefferies Financial Group, Inc.		100,113		3,432
Kemper Corp.		34,912		1,718
Kinsale Capital Group, Inc.		11,777		3,080
MGIC Investment Corp.		162,333		2,110
Navient Corp.		57,824		951
New York Community Bancorp, Inc.		371,760		3,197
Old National Bancorp		160,132		2,879
Old Republic International Corp.		154,588		3,733
PacWest Bancorp		64,149		1,472


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

Financials continued
Pinnacle Financial Partners, Inc.		41,787		3,067
Primerica, Inc.		20,164		2,860
Prosperity Bancshares, Inc.		49,895		3,626
Reinsurance Group of America, Inc.		36,524		5,190
RenaissanceRe Holdings, Ltd.		23,881		4,400
RLI Corp.		22,070		2,897
SEI Investments Co.		55,912		3,260
Selective Insurance Group, Inc.		32,935		2,918
SLM Corp.		136,546		2,267
Stifel Financial Corp.		58,096		3,391
Synovus Financial Corp.		79,508		2,985
Texas Capital
Bancshares, Inc. *		27,278		1,645
UMB Financial Corp.		23,762		1,985
Umpqua Holdings Corp.		118,690		2,119
United Bankshares, Inc.		73,596		2,980
Unum Group		102,126		4,190
Valley National Bancorp		229,690		2,598
Voya Financial, Inc.		53,037		3,261
Washington Federal, Inc.		35,504		1,191
Webster Financial Corp.		95,105		4,502
Wintrust Financial Corp.		33,214		2,807

Total				169,971


Health Care (10.0%)
Acadia Healthcare Co., Inc. *		49,729		4,094
Amedisys, Inc. *		17,761		1,484
Arrowhead Pharmaceuticals, Inc. *		57,850		2,346
Azenta, Inc. *		41,002		2,387
Bruker Corp.		54,766		3,743
Chemed Corp.		8,129		4,149
Encompass Health Corp.		54,540		3,262
Enovis Corp. *		26,061		1,395
Envista Holdings Corp. *		89,101		3,000
Exelixis, Inc. *		176,271		2,827
Globus Medical, Inc. - Class A *		42,310		3,142
Haemonetics Corp. *		27,655		2,175
Halozyme Therapeutics, Inc. *		73,885		4,204
HealthEquity, Inc. *		46,196		2,848
ICU Medical, Inc. *		11,009		1,734
Inari Medical, Inc. *		26,390		1,677


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

Health Care continued
Integra LifeSciences Holdings Corp. *		39,708		2,226
Jazz Pharmaceuticals PLC *		34,407		5,481
Lantheus Holdings, Inc. *		37,616		1,917
LHC Group, Inc. *		16,958		2,742
LivaNova PLC *		29,182		1,621
Masimo Corp. *		26,429		3,910
Medpace Holdings, Inc. *		13,767		2,924
Neogen Corp. *		117,855		1,795
Neurocrine Biosciences, Inc. *		52,533		6,275
Omnicell, Inc. *		24,406		1,231
Option Care Health, Inc. *		84,512		2,543
Patterson Cos., Inc.		47,181		1,323
Penumbra, Inc. *		20,755		4,617
Perrigo Co. PLC		73,578		2,508
Progyny, Inc. *		41,116		1,281
QuidelOrtho Corp. *		29,234		2,504
R1 RCM, Inc. *		74,541		816
Repligen Corp. *		28,219		4,778
Shockwave Medical, Inc. *		19,751		4,061
Sotera Health Co. *		53,981		450
STAAR Surgical Co. *		26,349		1,279
Syneos Health, Inc. *		56,242		2,063
Tandem Diabetes Care, Inc. *		35,141		1,580
Tenet Healthcare Corp. *		59,095		2,883
United Therapeutics Corp. *		24,906		6,926

Total				114,201


Industrials (19.5%)
Acuity Brands, Inc.		17,575		2,911
AECOM		76,318		6,482
AGCO Corp.		33,836		4,693
ASGN, Inc. *		27,265		2,222
Avis Budget Group, Inc. *		13,597		2,229
Axon Enterprise, Inc. *		36,946		6,130
The Brink’s Co.		25,381		1,363
Builders FirstSource, Inc. *		80,428		5,218
CACI International, Inc. - Class A *		12,841		3,860
Carlisle Cos., Inc.		28,261		6,660
Chart Industries, Inc. *		22,834		2,631
Clean Harbors, Inc. *		27,483		3,136
Crane Holdings Co.		26,078		2,620
Curtiss-Wright Corp.		20,929		3,495
Donaldson Co., Inc.		66,906		3,939
Dycom Industries, Inc. *		16,163		1,513
EMCOR Group, Inc.		26,042		3,857

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
EnerSys		22,317		1,648
ESAB Corp.		28,255		1,326
Flowserve Corp.		71,429		2,191
Fluor Corp. *		77,657		2,692
Fortune Brands Home & Security, Inc.		70,089		4,003
FTI Consulting, Inc. *		18,802		2,986
GATX Corp.		19,265		2,049
Graco, Inc.		92,112		6,195
GXO Logistics, Inc. *		64,851		2,768
Hexcel Corp.		46,001		2,707
Hubbell, Inc.		29,350		6,888
IAA, Inc. *		73,101		2,924
Insperity, Inc.		19,492		2,214
ITT, Inc.		45,211		3,667
JetBlue Airways Corp. *		177,195		1,148
KBR, Inc.		74,985		3,959
Kennametal, Inc.		44,162		1,063
Kirby Corp. *		32,744		2,107
Knight-Swift Transportation Holdings, Inc.		87,822		4,603
Landstar System, Inc.		19,640		3,199
Lennox International, Inc.		17,625		4,216
Lincoln Electric Holdings, Inc.		31,552		4,559
ManpowerGroup, Inc.		27,632		2,299
MasTec, Inc. *		32,221		2,749
MDU Resources Group, Inc.		111,139		3,372
Mercury Systems, Inc. *		31,685		1,418
The Middleby Corp. *		29,451		3,943
MSA Safety, Inc.		20,136		2,903
MSC Industrial Direct Co., Inc. - Class A		25,814		2,109
nVent Electric PLC		91,060		3,503
Oshkosh Corp.		35,742		3,152
Owens Corning, Inc.		51,069		4,356
Regal Rexnord Corp.		36,108		4,332
RXO, Inc. *		62,486		1,075
Ryder System, Inc.		27,461		2,295
Saia, Inc. *		14,463		3,033
Science Applications International Corp.		30,128		3,342
Simpson Manufacturing Co., Inc.		23,282		2,064
Stericycle, Inc. *		50,382		2,514
SunPower Corp. *		46,337		835
Sunrun, Inc. *		116,463		2,797
Terex Corp.		36,810		1,572
Tetra Tech, Inc.		28,953		4,204
The Timken Co.		36,163		2,556
The Toro Co.		56,943		6,446
Trex Co., Inc. *		59,886		2,535
Univar Solutions, Inc. *		89,172		2,836
Valmont Industries, Inc.		11,657		3,855
Vicor Corp. *		12,075		649


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

Industrials continued
Watsco, Inc.		18,181		4,534
Watts Water Technologies, Inc. - Class A		14,913		2,181
Werner Enterprises, Inc.		32,177		1,295
Woodward, Inc.		32,880		3,177
XPO Logistics, Inc. *		62,941		2,095

Total				222,097


Information Technology (11.9%)
ACI Worldwide, Inc. *		61,445		1,413
Allegro Microsystems, Inc. *		35,594		1,069
Amkor Technology, Inc.		54,906		1,317
Arrow Electronics, Inc. *		33,616		3,515
Aspen Technology, Inc. *		15,872		3,260
Avnet, Inc.		50,015		2,080
Belden, Inc.		23,399		1,682
Blackbaud, Inc. *		24,380		1,435
Calix, Inc. *		31,120		2,130
Ciena Corp. *		80,965		4,128
Cirrus Logic, Inc. *		30,106		2,242
Cognex Corp.		94,516		4,453
Coherent Corp. *		75,801		2,661
CommVault Systems, Inc. *		24,233		1,523
Concentrix Corp.		23,178		3,086
Dynatrace, Inc. *		110,138		4,218
Envestnet, Inc. *		30,287		1,869
Euronet Worldwide, Inc. *		25,754		2,431
ExlService Holdings, Inc. *		18,071		3,062
Fair Isaac Corp. *		13,649		8,170
Genpact, Ltd.		92,135		4,268
IPG Photonics Corp. *		17,583		1,665
Jabil, Inc.		73,582		5,018
Kyndryl Holdings, Inc. *		111,757		1,243
Lattice Semiconductor Corp. *		74,918		4,861
Littelfuse, Inc.		13,530		2,979
Lumentum Holdings, Inc. *		37,276		1,945
MACOM Technology Solutions Holdings, Inc. *		27,957		1,761
Manhattan Associates, Inc. *		34,065		4,135
MAXIMUS, Inc.		33,088		2,426
MKS Instruments, Inc.		31,264		2,649
National Instruments Corp.		71,375		2,634
NCR Corp. *		75,127		1,759
Novanta, Inc. *		19,506		2,650
Paylocity Holding Corp. *		22,518		4,374
Power Integrations, Inc.		31,280		2,243


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

Information Technology continued
Qualys, Inc. *		18,875		2,118
Silicon Laboratories, Inc. *		18,193		2,468
SiTime Corp. *		8,791		893
Super Micro Computer, Inc. *		25,166		2,066
Synaptics, Inc. *		21,799		2,074
TD SYNNEX Corp.		22,994		2,178
Teradata Corp. *		55,547		1,870
Universal Display Corp.		23,760		2,567
ViaSat, Inc. *		41,354		1,309
Vishay Intertechnology, Inc.		70,530		1,521
Vontier Corp.		86,349		1,669
The Western Union Co.		211,041		2,906
WEX, Inc. *		23,825		3,899
Wolfspeed, Inc. *		67,881		4,686
Xerox Holdings Corp.		60,796		888

Total				135,466


Materials (6.5%)
Alcoa Corp.		96,693		4,397
AptarGroup, Inc.		35,684		3,925
Ashland Global Holdings, Inc.		27,221		2,927
Avient Corp.		46,727		1,578
Cabot Corp.		30,740		2,055
The Chemours Co.		82,475		2,525
Cleveland-Cliffs, Inc. *		281,622		4,537
Commercial Metals Co.		64,106		3,096
Eagle Materials, Inc.		20,141		2,676
Greif, Inc. - Class A		13,993		938
Ingevity Corp. *		19,197		1,352
Louisiana-Pacific Corp.		39,195		2,320
MP Materials Corp. *		50,459		1,225
NewMarket Corp.		3,721		1,158
Olin Corp.		69,607		3,685
Reliance Steel & Aluminum Co.		32,070		6,492
Royal Gold, Inc.		35,870		4,043
RPM International, Inc.		70,547		6,875
The Scotts Miracle-Gro Co.		22,065		1,072
Sensient Technologies Corp.		22,984		1,676
Silgan Holdings, Inc.		45,705		2,369
Sonoco Products Co.		53,293		3,235
United States Steel Corp.		128,015		3,207
Valvoline, Inc.		96,740		3,159
Westlake Corp.		18,826		1,930
Worthington Industries, Inc.		16,597		825

Total				73,277

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 (8.0%)
Apartment Income REIT Corp.		81,913		2,810
Brixmor Property Group, Inc.		163,904		3,716
Corporate Office Properties Trust		61,456		1,594
Cousins Properties, Inc.		82,784		2,094
CubeSmart LP		122,718		4,939
Douglas Emmett, Inc.		96,091		1,507
EastGroup Properties, Inc.		23,809		3,525
EPR Properties		41,016		1,547
First Industrial Realty Trust, Inc.		72,195		3,484
Healthcare Realty Trust, Inc.		207,966		4,007
Highwoods Properties, Inc.		57,492		1,609
Independence Realty Trust, Inc.		122,311		2,062
JBG SMITH Properties		54,052		1,026
Jones Lang LaSalle, Inc. *		25,938		4,134
Kilroy Realty Corp.		57,483		2,223
Kite Realty Group Trust		119,723		2,520
Lamar Advertising Co. - Class A		47,688		4,502
Life Storage, Inc.		46,447		4,575
The Macerich Co.		117,469		1,323
Medical Properties Trust, Inc.		326,810		3,641
National Retail Properties, Inc.		97,671		4,469
National Storage Affiliates Trust		46,331		1,673
Omega Healthcare Investors, Inc.		127,975		3,577
Park Hotels & Resorts, Inc.		122,944		1,450
Pebblebrook Hotel Trust		71,458		957
Physicians Realty Trust		124,727		1,805
PotlatchDeltic Corp.		44,136		1,942
Rayonier, Inc.		80,013		2,637
Rexford Industrial Realty, Inc.		100,270		5,479
Sabra Health Care REIT, Inc.		126,255		1,569
SL Green Realty Corp.		35,156		1,185
Spirit Realty Capital, Inc.		76,329		3,048
STORE Capital Corp.		145,210		4,655

Total				91,284


Utilities (4.0%)
ALLETE, Inc.		31,242		2,015
Black Hills Corp.		35,574		2,502
Essential Utilities, Inc.		130,446		6,226


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

Utilities continued
Hawaiian Electric Industries, Inc.		59,841		2,504
IDACORP, Inc.		27,639		2,981
National Fuel Gas Co.		49,993		3,164
New Jersey Resources Corp.		52,599		2,610
NorthWestern Corp.		31,579		1,874
OGE Energy Corp.		109,420		4,328
ONE Gas, Inc.		29,498		2,234
Ormat Technologies, Inc.		26,650		2,305
PNM Resources, Inc.		46,902		2,288
Portland General Electric Co.		48,804		2,391
Southwest Gas Holdings, Inc.		33,720		2,087
Spire, Inc.		28,691		1,976
UGI Corp.		114,425		4,242

Total				45,727


Total Common Stocks (Cost: $902,922)				1,121,674


Short-Term Investments (0.1%)

Governments (0.1%)
US Treasury 0.000%, 5/11/23 ß		1,255,000		1,235

Total				1,235


Total Short-Term Investments
(Cost: $1,235)				1,235


Total Investments (98.7%)
(Cost: $904,157)^@				1,122,909

Other Assets, Less
Liabilities (1.3%)				14,801

Net Assets (100.0%)				1,137,710

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	7	65	3/23	$	15,877	$	(233)	$	(63)
								$	(233)	$	(63)

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

$(63)

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

*	Non income producing

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

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $904,503 and the net unrealized appreciation of investments based on that cost was $218,173 which is comprised of $310,272 aggregate gross unrealized appreciation and $92,099 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,121,674		$	-	$	-
Short-Term Investments		-			1,235		-
Total Assets:	$	1,121,674		$	1,235	$	-
Liabilities:
Other Financial Instruments^
Futures		(233	)		-		-
Total Liabilities:	$	(233	)	$	-	$	-

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

Mid Cap Value Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term capital growth. Current income is a secondary objective.	Invest primarily in equity securities of mid-sized companies that are determined to be undervalued.	$651 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Mid Cap Value Portfolio (the “Portfolio”), has engaged American Century Investment Management, Inc. (“American Century”) to act as sub-adviser for the Portfolio. The Portfolio invests primarily in a diversified portfolio of equity securities of mid-sized companies that are determined to be undervalued at the time of purchase. In selecting securities, the Portfolio attempts to identify companies whose long-term earnings, cash flows and/or assets are not reflected in the current market price of their securities and hold each security until it has returned to favor in the market and the price has increased to, or is higher than, a level believed to more accurately reflect the fair value of the company.

MARKET OVERVIEW

Broad U.S. equity markets declined on concerns that persistently high inflation and rising interest rates may derail the economic expansion and weaken corporate profits.

In this environment, market declines were broad-based. Mid-cap stocks outperformed large- and small- cap stocks, however, as measured by the Russell Indices. Value stocks outperformed growth stocks.

PORTFOLIO RESULTS

The Portfolio returned (1.15%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell MidCap^® Value Index (the “Index”), returned (12.03%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Mid Cap Value Funds peer group was (5.69%).

In the Healthcare sector, health care providers and services investments, such as Cardinal Health, Inc., were notable contributors to the Portfolio’s return. The Information Technology sector also boosted results, due to security selection in the IT services industry. Not owning several benchmark names in the semiconductors and semiconductor equipment industry also contributed to relative performance.

In terms of specific holdings, the Reinsurance Group of America, Inc., a global life and health reinsurance company, was a top contributor. It reported strong financial results, as the impact from COVID-19-related losses declined. The Portfolio continues to own the stock as earnings expectations for the next several years have risen.

On the upside, stock selection and an underweight in the Energy sector hindered relative performance. The Portfolio did not own a number of oil and gas exploration stocks that were strong contributors to the benchmark Index. In the Materials sector, the Portfolio’s lack of exposure to several outperforming chemicals and metals and mining stocks weighed on relative performance.

In terms of specific holdings, Advance Auto Parts, Inc., an automotive replacement parts retailer, was a prominent detractor. It underperformed analyst earnings expectations and lowered guidance.

PORTFOLIO MANAGER OUTLOOK

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

We continue to build the Portfolio bottom up through our fundamental research, seeking higher-quality, midsize companies temporarily selling at a discount to fair value. Our research has led us to several Healthcare sector stocks that we think offer compelling risk/reward profiles. We consider Healthcare noncyclical because demand is less impacted by the economy’s performance. Therefore, in a slowing economy, we think patients seeking elective procedures after the pandemic-related disruption should provide support to medical device companies and service providers that are working through patient backlogs.

The Portfolio holds select companies in the Consumer Staples sector that we believe are trading at a discount to their intrinsic value. While input costs have risen in this inflationary environment, many consumer staples companies have been

Mid Cap Value Portfolio (unaudited)

able to improve efficiencies and pass along rising costs through pricing without significantly impacting demand. We think these steps may lead to a positive inflection for select companies in 2023.

We have identified many companies in the Financials sector that meet our investment criteria, particularly in the capital markets, banking and insurance industries. We remain focused on companies that, in our view, offer higher relative returns on assets, stronger capital levels, lower credit risk and management teams focused on returns and building competitive advantages.

The Portfolio is underweight in the Consumer Discretionary sector because it has been difficult for us to find higher quality consumer discretionary companies with durable business models. We also remain underweight in the Information Technology sector relative to the benchmark, largely due to valuations that we view as stretched.

As we enter 2023, we continue to face challenging macroeconomic and geopolitical conditions. In the event of a recession, we believe companies with low debt and steady revenues may be better positioned to grow and maintain their competitive edge despite economic headwinds.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Mid Cap Value Portfolio		-1.15	%		6.88	%		11.17	%
Russell MidCap^® Value Index		-12.03	%		5.72	%		10.11	%
Lipper^® Variable Insurance Products (VIP) Mid Cap Value Funds Average		-5.69	%		6.60	%		10.13	%

deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Zimmer Biomet Holdings, Inc.	3.0	%
Northern Trust Corp.	2.7	%
The Bank of New York Mellon Corp.	2.6	%
Edison International	2.1	%
The Allstate Corp.	2.1	%
Spire, Inc.	2.0	%
Koninklijke Ahold Delhaize NV	1.9	%
Oshkosh Corp.	1.9	%
Conagra Brands, Inc.	1.8	%
Truist Financial Corp.	1.7	%

Mid Cap Value Portfolio (unaudited)

Sector Allocation 12/31/22


Sector	% of Net Assets
Financials		19.5	%
Industrials		15.0	%
Health Care		13.8	%
Utilities		8.8	%
Real Estate		8.3	%
Consumer Staples		7.3	%
Information Technology		6.7	%
Consumer Discretionary		6.2	%
Materials		5.2	%
Energy		4.1	%
Communication Services		2.0	%
Short-Term Investments & Other Net Assets		1.9	%
Investment Companies		1.2	%

Sector Allocation and Top 10 Holdings are subject to change.

Mid Cap Value Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (96.9%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (2.0%)
Fox Corp. - Class B		258,137		7,344
Omnicom Group, Inc.		66,962		5,462

Total				12,806


Consumer Discretionary (6.2%)
Advance Auto Parts, Inc.		53,684		7,893
Aptiv PLC *		29,848		2,780
BorgWarner, Inc.		246,868		9,937
Compagnie Generale des Etablissements Michelin		131,370		3,654
Dollar Tree, Inc. *		72,804		10,297
Sodexo SA		63,110		6,045

Total				40,606


Consumer Staples (7.3%)
Conagra Brands, Inc.		308,339		11,933
Henkel AG & Co. KGaA, Preference Shares		94,857		6,602
The J.M. Smucker Co.		43,312		6,863
Kimberly-Clark Corp.		70,724		9,601
Koninklijke Ahold Delhaize NV		422,149		12,128

Total				47,127


Energy (4.1%)
Baker Hughes		214,916		6,346
Devon Energy Corp.		37,519		2,308
Diamondback Energy, Inc.		30,874		4,223
Enterprise Products Partners LP		333,167		8,036
EQT Corp.		95,869		3,243
Phillips 66		23,655		2,462

Total				26,618


Financials (19.5%)
Aflac, Inc.		60,714		4,368
The Allstate Corp.		102,399		13,885
Ameriprise Financial, Inc.		8,089		2,519
The Bank of New York Mellon Corp.		365,142		16,621
Capitol Federal Financial, Inc.		296,117		2,561
Chubb, Ltd.		8,058		1,778
First Hawaiian, Inc.		384,669		10,017
The Hanover Insurance Group, Inc.		38,050		5,142
Northern Trust Corp.		201,170		17,801
Prosperity Bancshares, Inc.		116,746		8,485
Reinsurance Group of America, Inc.		51,932		7,379


Common Stocks (96.9%)	Shares/ Par ⁺		Value $ (000’s)

Financials continued
T. Rowe Price Group, Inc.		87,335		9,525
Truist Financial Corp.		255,510		10,995
U.S. Bancorp		155,501		6,781
Westamerica Bancorporation		48,373		2,854
Willis Towers Watson PLC		24,665		6,033

Total				126,744


Health Care (13.8%)
AmerisourceBergen Corp.		49,897		8,269
Baxter International, Inc.		63,635		3,244
Becton Dickinson and Co.		11,031		2,805
Cardinal Health, Inc.		39,612		3,045
DENTSPLY SIRONA, Inc.		138,151		4,399
Embecta Corp.		179,917		4,550
Envista Holdings Corp.*		90,589		3,050
HCA Healthcare, Inc.		7,443		1,786
Henry Schein, Inc. *		131,930		10,537
Hologic, Inc. *		44,201		3,307
Laboratory Corp. of America Holdings		30,577		7,200
Quest Diagnostics, Inc.		51,841		8,110
Universal Health Services, Inc. - Class B		70,127		9,880
Zimmer Biomet Holdings, Inc.		154,542		19,704

Total				89,886
			��

Industrials (15.0%)
Atkore, Inc. *		25,141		2,851
Beacon Roofing Supply, Inc. *		66,633		3,518
Cie de Saint-Gobain		137,333		6,711
Cummins, Inc.		15,137		3,667
Emerson Electric Co.		97,924		9,407
Heartland Express, Inc.		282,822		4,338
Huntington Ingalls Industries, Inc.		34,844		8,038
IMI PLC		313,837		4,887
Legrand SA		64,713		5,183
MSC Industrial Direct Co., Inc. - Class A		109,119		8,915
nVent Electric PLC		194,132		7,468
Oshkosh Corp.		137,003		12,082
Republic Services, Inc.		22,293		2,876
Southwest Airlines Co.*		322,638		10,863


Common Stocks (96.9%)	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
VINCI SA		69,063		6,897

Total				97,701


Information Technology (6.7%)
Amdocs, Ltd.		78,514		7,137
Applied Materials, Inc.		29,963		2,918
Corning, Inc.		77,297		2,469
Electronic Arts, Inc.		27,774		3,393
F5, Inc. *		50,039		7,181
HP, Inc.		199,437		5,359
Juniper Networks, Inc.		165,513		5,290
TE Connectivity, Ltd.		59,961		6,883
Teradyne, Inc.		36,920		3,225

Total				43,855


Materials (5.2%)
Akzo Nobel NV		103,181		6,910
Amcor PLC		509,831		6,072
Axalta Coating Systems, Ltd. *		236,862		6,033
Mondi PLC		44,794		763
Packaging Corp. of America		80,294		10,270
Sonoco Products Co.		59,456		3,610

Total				33,658


Real Estate (8.3%)
Equinix, Inc.		11,897		7,793
Essex Property Trust, Inc.		32,586		6,906
Healthpeak Properties, Inc.		377,753		9,470
Public Storage		19,714		5,524
Realty Income Corp.		144,064		9,138
Regency Centers Corp.		129,757		8,110
VICI Properties, Inc.		57,546		1,865
Weyerhaeuser Co.		57,110		1,770
WP Carey, Inc.		46,813		3,658

Total				54,234


Utilities (8.8%)
Atmos Energy Corp.		14,943		1,675
Duke Energy Corp.		68,789		7,085
Edison International		219,435		13,960
Evergy, Inc.		48,522		3,053
Eversource Energy		38,188		3,202
NorthWestern Corp.		174,600		10,361
Pinnacle West Capital Corp.		69,735		5,303
Spire, Inc.		186,762		12,860

Total				57,499


Total Common Stocks
(Cost: $632,470)				630,734

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

Mid Cap Value Portfolio


Investment Companies (1.2%)	Shares/ Par ⁺		Value $ (000’s)

Investment Companies (1.2%)
iShares Russell Mid- Cap Value ETF		72,621		7,650

Total				7,650


Total Investment Companies
(Cost: $7,168)				7,650

Total Investments (98.1%)
(Cost: $639,638)^@				638,384
Other Assets, Less
Liabilities (1.9%)				12,580

Net Assets (100.0%)				650,964

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	43,545	46,890	3/31/2023	$	–	$	(337	)	$	(337	)
Buy	Bank of America NA	GBP	566	687	3/31/2023		1		(1	)		–	π
Sell	Bank of America NA	GBP	4,628	5,607	3/31/2023		35		–			35
Buy	Goldman Sachs International	NOK	4,057	415	3/31/2023		3		–			3
Sell	Goldman Sachs International	NOK	4,057	416	3/31/2023		–		(4	)		(4	)
						$	39	$	(342	)	$	(303	)


	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	$	39		–	$	39	$	(342	)		–		–	$	(342	)

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $643,768 and the net unrealized depreciation of investments based on that cost was $5,687 which is comprised of $30,757 aggregate gross unrealized appreciation and $36,444 aggregate gross unrealized depreciation.

π	Amount is less than one thousand.

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

Mid Cap Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	630,734	$	-		$	-
Investment Companies		7,650		-			-
Other Financial Instruments^
Forward Foreign Currency Contracts		-		39			-
Total Assets:	$	638,384	$	39		$	-
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		-		(342	)		-
Total Liabilities:	$	-	$	(342	)	$	-

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

Small Cap Growth Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks of small capitalization companies.	$595 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Small Cap Growth Stock Portfolio (the “Portfolio”), has engaged Wellington Management Company LLP (“Wellington”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in common stocks of small capitalization companies. The Portfolio’s investment process is derived from the observation that the quality and persistence of a company’s business is often not reflected in its current stock price. Central to the investment process is intense, fundamental research focused on uncovering companies with improving quality metrics, business momentum and attractive relative valuations.

MARKET OVERVIEW

U.S. equities, as measured by the S&P 500^® Index, posted negative results for the year 2022 amid surging inflation, tighter financial conditions and moderating economic activity which have increased the probability of recession. Surging prices for food and energy pushed consumer inflation to its highest level in more than four decades. The Federal Reserve (the “Fed”) Chair, Jerome Powell, acknowledged that there is considerable uncertainty about the trajectory of inflation and a greater possibility of recession. In December, the Fed raised interest rates by 50 basis points (bps), snapping a streak of four consecutive hikes of 75 bps. Greater optimism that the Fed would begin to scale back its aggressive pace of interest rate hikes helped to fuel a sharp rebound in stocks in October and November before risk sentiment waned in December amid recession fears, macroeconomic headwinds and downside earnings risks in the coming quarters.

Returns during the period varied by market capitalization, with large- and mid-capitalization stocks, as measured by the S&P 500^® Index and S&P MidCap 400^® Index, respectively, outperforming small-capitalization stocks, as measured by the Russell 2000^® Index.

PORTFOLIO RESULTS

The Portfolio returned (28.49%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell 2000^® Growth Index (the “Index”) returned (26.36%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Small Cap Growth Funds peer group was (27.22%).

The Portfolio’s relative underperformance was driven by weak sector allocation, primarily an underweight to the Energy sector and overweights to the Real Estate and Information Technology sectors. Security selection also detracted from relative returns, driven by weak selection in the Health Care, Materials and Communication Services sectors.

The top relative detractors from performance included an overweight position in Health Care companies R1 RCM, Inc. and Omnicell, Inc. Shares of R1 RCM fell during the period after the company reported third-quarter earnings missed expectations. Similarly, Omnicell declined as the company delivered disappointing third-quarter results and lowered fourth-quarter and full-year 2022 guidance. In the Communication Services sector, an overweight position in Cardlytics detracted as the company reported earnings for the second quarter below consensus expectations with operating losses significantly higher than a year ago.

In contrast, the Portfolio’s relative return benefited from an overweight to the Consumer Staples and Industrials sectors, an underweight to the Communication Services sector and strong selection in the Real Estate, Industrials and Consumer Discretionary sectors.

Holdings in the Industrial sector contributed to the Portfolio’s relative return. Top contributors included an overweight position in WillScot Mobile Mini Holdings Corp. and Applied Industrial Technologies, Inc., as well as an out-of-benchmark holding in CACI International, Inc. Shares of WillScot Mobile, a leader in modular space and storage solutions, advanced after it was announced they acquired the rental fleet and assets of Modulease Corp. The company also beat second-quarter revenue expectations driven by strong demand and the implementation of increased rental rates. Shares of Applied Industrial Technologies rose over the period after the company reported strong results in the fiscal first quarter. CACI International advanced along with other defense contractors as Russia’s war in Ukraine continued to escalate.

Small Cap Growth Stock Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

As we look ahead, there are increasing indications that inflationary pressures are abating in the goods components of both the Consumer Price Index (CPI) and the Personal Consumption Expenditures (PCE) Price Index. Additionally, there is a clearer path to a gradual disinflation in housing-related expenses by the second half of 2023. However, the services component of both indicators remains stubbornly high, driven by a still-resilient U.S. labor market driving continued upward wage pressure. Accordingly, the Federal Open Market Committee (FOMC) remains steadfast in its determination to continue to slow the U.S. economy and has indicated that incremental rate hikes should be expected in early 2023, with the FOMC’s “dot plot” median rate projection now having increased from 4.6% to 5.1% for the end of 2023. It is increasingly clear that a mild recession is the likely scenario as the Fed seeks to cool wage inflation and bring down both realized inflation and future inflationary expectations.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Small Cap Growth Stock Portfolio		-28.49	%		3.55	%		9.40	%
Russell 2000^® Growth Index		-26.36	%		3.51	%		9.20	%
Lipper^® Variable Insurance Products (VIP) Small Cap Growth Funds Average		-27.22	%		5.76	%		9.81	%

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

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

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
iShares Russell 2000 Growth ETF		2.0	%
Applied Industrial Technologies, Inc.		1.8	%
Crocs, Inc.		1.8	%
Texas Roadhouse, Inc.		1.5	%
Wingstop, Inc.		1.5	%
Fabrinet		1.4	%
WillScot Mobile Mini Holdings Corp.		1.4	%
CACI International, Inc. - Class A		1.3	%
Haemonetics Corp.		1.3	%
Insperity, Inc.		1.3	%

Small Cap Growth Stock Portfolio (unaudited)

Sector Allocation 12/31/22


Sector	% of Net Assets
Health Care		21.4	%
Industrials		20.1	%
Information Technology		20.0	%
Consumer Discretionary		12.5	%
Energy		6.0	%
Consumer Staples		5.7	%
Financials		4.1	%
Materials		3.8	%
Real Estate		2.3	%
Investment Companies		2.0	%
Communication Services		1.5	%
Short-Term Investments & Other Net Assets		0.6	%

Sector Allocation and Top 10 Holdings are subject to change.

Small Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


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

Communication Services (1.5%)
Bumble, Inc. *		151,721		3,194
Ziff Davis, Inc. *		72,203		5,711

Total				8,905


Consumer Discretionary (12.5%)
Burlington Stores, Inc. *		26,945		5,463
Churchill Downs, Inc.		22,548		4,767
Crocs, Inc. *		96,917		10,509
Deckers Outdoor Corp. *		15,475		6,177
Fox Factory Holding Corp. *		73,801		6,733
Patrick Industries, Inc.		56,648		3,433
Penn National Gaming, Inc. *		100,835		2,995
Texas Roadhouse, Inc.		100,597		9,149
Thor Industries, Inc.		52,698		3,978
Visteon Corp. *		44,338		5,801
Wingstop, Inc.		65,663		9,036
YETI Holdings, Inc. *		150,074		6,200

Total				74,241


Consumer Staples (5.7%)
The Beauty Health Co. *		268,054		2,439
The Boston Beer Co., Inc. - Class A *		7,654		2,522
Celsius Holdings, Inc. *		59,797		6,221
Freshpet, Inc. *		65,980		3,482
Lancaster Colony Corp.		28,362		5,596
Performance Food Group Co. *		81,943		4,785
The Simply Good Foods Co. *		111,751		4,250
Sovos Brands, Inc. *		310,574		4,463

Total				33,758


Energy (6.0%)
Helmerich & Payne, Inc.		123,390		6,117
Magnolia Oil & Gas Corp.		316,861		7,430
Oasis Petroleum, Inc.		49,390		6,757
Ovintiv, Inc.		87,273		4,426
PDC Energy, Inc.		86,915		5,517
SM Energy Co.		166,201		5,789

Total				36,036


Financials (4.1%)
James River Group Holdings, Ltd.		102,355		2,140
MGIC Investment Corp.		393,654		5,118
Stifel Financial Corp.		93,695		5,469
Synovus Financial Corp.		126,919		4,766


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

Financials continued
Triumph Financial, Inc. *		67,858		3,316
Western Alliance Bancorp		57,055		3,398

Total				24,207


Health Care (21.4%)
Aclaris Therapeutics, Inc. *		173,460		2,732
Amedisys, Inc. *		20,088		1,678
Apellis Pharmaceuticals, Inc. *		51,346		2,655
AtriCure, Inc. *		85,077		3,776
Blueprint Medicines Corp. *		75,758		3,319
Celldex Therapeutics, Inc. *		78,932		3,518
Crinetics Pharmaceuticals, Inc. *		108,491		1,985
Cytokinetics, Inc. *		85,462		3,916
Denali Therapeutics, Inc. *		108,806		3,026
Encompass Health Corp.		82,539		4,937
Glaukos Corp. *		84,810		3,705
Globus Medical, Inc. - Class A *		96,950		7,200
Haemonetics Corp. *		96,965		7,626
Halozyme Therapeutics, Inc. *		31,952		1,818
Harmony Biosciences Holdings, Inc. *		54,959		3,028
HealthEquity, Inc. *		80,248		4,946
ImmunoGen, Inc. *		452,803		2,246
Inari Medical, Inc. *		59,303		3,769
Inhibrx, Inc. *		88,254		2,175
Inspire Medical Systems, Inc. *		12,554		3,162
Integra LifeSciences Holdings Corp. *		114,130		6,399
Intra-Cellular Therapies, Inc. *		87,426		4,627
Karuna Therapeutics, Inc. *		22,096		4,342
Kymera Therapeutics, Inc. *		65,110		1,625
ModivCare, Inc. *		19,934		1,789
Morphic Holding, Inc. *		98,697		2,640
Omnicell, Inc. *		57,772		2,913
Owens & Minor, Inc. *		179,586		3,507
Pacira Biosciences, Inc. *		67,687		2,613


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

Health Care continued
PTC Therapeutics, Inc. *		75,848		2,895
Replimune Group, Inc. *		50,659		1,378
Revance Therapeutics, Inc. *		139,081		2,567
Revolution Medicines, Inc. *		118,556		2,824
Sage Therapeutics, Inc. *		53,056		2,024
Shockwave Medical, Inc. *		13,830		2,844
Syndax Pharmaceuticals, Inc. *		112,674		2,868
Vaxcyte, Inc. *		95,590		4,584
Veracyte, Inc. *		82,701		1,962
Zentalis Pharmaceuticals, Inc. *		80,659		1,624

Total				127,242


Industrials (20.1%)
Ameresco, Inc. *		66,083		3,776
Applied Industrial Technologies, Inc.		85,362		10,758
Armstrong World Industries, Inc.		38,113		2,614
ASGN, Inc. *		78,856		6,425
Boise Cascade Co.		36,765		2,525
CACI International, Inc. - Class A *		25,781		7,749
Casella Waste Systems, Inc. - Class A *		60,347		4,786
Chart Industries, Inc. *		39,750		4,580
Clean Harbors, Inc. *		25,562		2,917
Curtiss-Wright Corp.		35,854		5,987
Exponent, Inc.		38,609		3,826
Fluor Corp. *		106,704		3,698
Herc Holdings, Inc.		26,190		3,446
Insperity, Inc.		65,669		7,460
ITT, Inc.		61,143		4,959
John Bean Technologies Corp.		62,924		5,747
KBR, Inc.		95,432		5,039
Rush Enterprises, Inc.		54,354		2,842
Shoals Technologies Group, Inc. *		154,309		3,807
SPX Technologies, Inc. *		95,307		6,257
Stem, Inc. *		317,706		2,840
Tetra Tech, Inc.		16,488		2,394
WillScot Mobile Mini Holdings Corp. *		186,039		8,403

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

Small Cap Growth Stock Portfolio


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

Industrials continued
Zurn Water Solutions Corp.		322,350		6,818

Total				119,653


Information Technology (20.0%)
Alarm.com Holdings, Inc. *		88,693		4,389
Axcelis Technologies, Inc. *		62,345		4,948
Blackbaud, Inc. *		71,650		4,217
Ceridian HCM Holding, Inc. *		56,002		3,593
Cirrus Logic, Inc. *		38,768		2,887
Concentrix Corp.		32,091		4,273
Consensus Cloud Solutions, Inc. *		37,071		1,993
DigitalOcean Holdings, Inc. *		40,762		1,038
EngageSmart, Inc. *		201,001		3,538
ExlService Holdings, Inc. *		34,504		5,846
Fabrinet *		65,729		8,428
Five9, Inc. *		45,388		3,080
Insight Enterprises, Inc. *		58,660		5,882
Lattice Semiconductor Corp. *		47,750		3,098
Lumentum Holdings, Inc. *		33,872		1,767
Manhattan Associates, Inc. *		43,753		5,312
MKS Instruments, Inc.		39,877		3,379
Novanta, Inc. *		38,710		5,259
Olo, Inc. *		79,285		496
Perficient, Inc. *		84,055		5,870
Power Integrations, Inc.		81,571		5,850
PowerSchool Holdings, Inc. *		62,290		1,438
Rapid7, Inc. *		55,327		1,880
Repay Holdings Corp. *		123,134		991
Shift4 Payments, Inc. *		92,498		5,173
Silicon Laboratories, Inc. *		38,936		5,282
Sprout Social, Inc. *		75,367		4,255
Verra Mobility Corp. *		513,487		7,101
WEX, Inc. *		23,694		3,877
Workiva, Inc. *		48,680		4,088

Total				119,228


Materials (3.8%)
Axalta Coating
Systems, Ltd. *		253,679		6,461
Cabot Corp.		84,779		5,667
Ingevity Corp. *		40,165		2,829
Livent Corp. *		268,606		5,337
Louisiana-Pacific Corp.		40,868		2,420

Total				22,714


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

Real Estate (2.3%)
Agree Realty Corp.		47,251		3,351
Phillips Edison & Co., Inc.		169,523		5,398
Ryman Hospitality Properties, Inc.		57,577		4,709

Total				13,458


Total Common Stocks
(Cost: $540,616)				579,442


Investment Companies (2.0%)

Investment Companies (2.0%)
iShares Russell 2000 Growth ETF		55,310		11,865

Total				11,865


Total Investment Companies
(Cost: $11,644)				11,865


Total Investments (99.4%)
(Cost: $552,260)^@				591,307

Other Assets, Less
Liabilities (0.6%)				3,570

Net Assets (100.0%)				594,877

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

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $553,461 and the net unrealized appreciation of investments based on that cost was $37,846 which is comprised of $87,627 aggregate gross unrealized appreciation and $49,781 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	579,442	$	-	$	-
Investment Companies		11,865		-		-
Total Assets:	$	591,307	$	-	$	-

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

Index 600 Stock Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Investment results that approximate the performance of the S&P SmallCap 600^® Index.	Invest in stocks that make up the S&P SmallCap 600^® Index, holding each stock in approximately the same proportion as its weighting in the Index.	$372 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Index 600 Stock Portfolio (the “Portfolio”), has engaged Northern Trust Investments, Inc. (“Northern Trust”) to act as sub-adviser for the Portfolio. The Portfolio seeks investment results that approximate the performance of the S&P SmallCap 600^® Index. The Portfolio attempts to achieve its objective by investing all, or substantially all, of its assets in stocks that make up the S&P SmallCap 600^® Index, holding each stock in approximately the same proportion as its weighting in the Index. This is known as a full replication strategy. The Portfolio may also invest in equity index futures to help achieve full replication.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exasperated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

PORTFOLIO RESULTS

The Index 600 Stock Portfolio returned (16.37%) for the twelve months ending December 31, 2022, trailing the S&P 600^® Index (the “Index”), which posted a return of (16.10%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) Portfolio performance lagged the Index due to transaction costs, administrative expenses, cash flow effects and costs associated with stock index futures contracts. According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Small Cap Core Funds peer group was (16.51%). However, the Small Cap Core Funds peer group is not strictly comparable to the Portfolio because many of the funds in the group are actively managed.

The Real Estate sector detracted the most from the Portfolio’s return as higher interest rates increased borrowing costs to finance property acquisitions. Stock prices of companies in the real estate management and development industry declined as rising interest rates outpaced the dividend rate paid by real estate investment trusts, weakening their attractiveness for income-oriented investors.

The Consumer Discretionary sector also detracted meaningfully from the Portfolio’s return as consumers deferred purchases of non-essential goods and services amid rising prices and an uncertain economic outlook. Companies in the household durables industry struggled with supply chain shortfalls that limited production and weakening consumer sentiment as the economic outlook worsened.

The Information Technology sector also detracted from the Portfolio’s return as rising inflation and higher bond yields led to a broad-based revaluation of growth stocks. The IT services industry declined amid weakening orders and deteriorating fundamentals. Companies in the semiconductors and semiconductor equipment industry reported falling demand for the PCs, smartphones and other consumer electronics that require microprocessors, in addition to widening U.S. restrictions on the sale of microchips to China.

Index 600 Stock Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns
For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Index 600 Stock Portfolio		-16.37	%		5.51	%		10.42	%
S&P SmallCap 600^® Index		-16.10	%		5.87	%		10.82	%
Lipper^® Variable Insurance Products (VIP) Small Cap Core Funds Average		-16.51	%		4.29	%		8.93	%

“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.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Agree Realty Corp.	0.7	%
Ensign Group, Inc.	0.6	%
Helmerich & Payne, Inc.	0.6	%
Exponent, Inc.	0.6	%
UFP Industries, Inc.	0.6	%
Applied Industrial Technologies, Inc.	0.6	%
Fabrinet	0.5	%
SPS Commerce, Inc.	0.5	%
AMN Healthcare Services, Inc.	0.5	%
South Jersey Industries, Inc.	0.5	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Financials	17.9	%
Industrials	17.0	%
Information Technology	13.0	%
Consumer Discretionary	12.5	%
Health Care	11.1	%
Real Estate	7.8	%
Materials	5.6	%
Consumer Staples	5.2	%
Energy	4.6	%
Utilities	2.6	%
Communication Services	1.9	%
Short-Term Investments & Other Net Assets	0.8	%

Sector Allocation and Top 10 Holdings are subject to change.

Index 600 Stock Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


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

Communication Services (1.9%)
AMC Networks, Inc. - Class A *		12,021		188
ATN International, Inc.		4,507		204
Cars.com, Inc. *		26,138		360
Cinemark Holdings, Inc. *		45,278		392
Cogent Communications Holdings, Inc.		18,021		1,029
Consolidated Communications Holdings, Inc. *		30,545		109
The E.W. Scripps Co. - Class A *		24,359		321
Gannett Co., Inc. *		61,887		126
Gogo, Inc. *		27,554		407
The Marcus Corp.		10,228		147
QuinStreet, Inc. *		21,258		305
Scholastic Corp.		12,453		492
Shenandoah Telecommunications Co.		21,118		335
Shutterstock, Inc.		10,149		535
TechTarget, Inc. *		11,412		503
Telephone and Data Systems, Inc.		42,163		442
Thryv Holdings, Inc. *		12,866		245
Yelp, Inc. *		29,453		805

Total				6,945


Consumer Discretionary (12.5%)
The Aaron’s Co., Inc.		12,729		152
Abercrombie & Fitch Co. - Class A *		20,881		478
Academy Sports & Outdoors, Inc.		33,664		1,769
Adtalem Global Education, Inc. *		19,171		681
American Axle & Manufacturing Holdings, Inc. *		48,230		377
American Eagle Outfitters, Inc.		73,555		1,027
America’s Car-Mart, Inc. *		2,449		177
Asbury Automotive Group, Inc. *		9,346		1,675
Bed Bath & Beyond, Inc. *		32,467		81
Big Lots, Inc.		12,408		182
BJ’s Restaurants, Inc. *		9,878		261
Bloomin’ Brands, Inc.		37,137		747
Boot Barn Holdings, Inc. *		12,647		791


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

Consumer Discretionary continued
Brinker International, Inc. *		18,568		593
The Buckle, Inc.		12,555		569
Caleres, Inc.		15,423		344
Cavco Industries, Inc. *		3,504		793
Century Communities, Inc.		11,919		596
The Cheesecake Factory, Inc.		20,220		641
Chico’s FAS, Inc. *		52,389		258
The Children’s Place, Inc. *		5,531		201
Chuy’s Holdings, Inc. *		7,619		216
Dave & Buster’s Entertainment, Inc. *		17,739		629
Designer Brands, Inc.		21,503		210
Dine Brands Global, Inc.		6,616		427
Dorman Products, Inc. *		11,988		969
El Pollo Loco Holdings, Inc.		8,397		84
Ethan Allen Interiors, Inc.		9,569		253
Frontdoor, Inc. *		34,401		716
Genesco, Inc. *		5,246		241
Gentherm, Inc. *		14,076		919
G-III Apparel Group, Ltd. *		17,938		246
Golden Entertainment, Inc. *		9,329		349
Green Brick Partners, Inc. *		11,610		281
Group 1 Automotive, Inc.		6,156		1,110
Guess?, Inc.		12,858		266
Haverty Furniture Cos., Inc.		5,571		167
Hibbett, Inc.		5,431		371
Installed Building Products, Inc.		9,900		847
iRobot Corp. *		11,554		556
Jack in the Box, Inc.		8,889		607
Kontoor Brands, Inc.		20,916		836
La-Z-Boy, Inc.		18,243		416
LCI Industries		10,781		997
Leslie’s, Inc. *		62,828		767
LGI Homes, Inc. *		8,644		800
Liquidity Services, Inc. *		11,537		162
M.D.C. Holdings, Inc.		24,058		760
M/I Homes, Inc. *		11,556		534
MarineMax, Inc. *		9,071		283
Meritage Homes Corp. *		15,446		1,424


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

Consumer Discretionary continued
Mister Car Wash, Inc. *		33,121		306
Monarch Casino & Resort, Inc. *		5,560		428
Monro, Inc.		13,278		600
Motorcar Parts of America, Inc. *		7,944		94
Movado Group, Inc.		6,827		220
National Vision Holdings, Inc. *		33,305		1,291
The ODP Corp. *		17,026		775
Oxford Industries, Inc.		6,354		592
Patrick Industries, Inc.		9,081		550
Perdoceo Education Corp. *		28,444		395
PetMed Express, Inc.		8,910		158
Rent-A-Center, Inc.		21,160		477
Ruth’s Hospitality Group, Inc.		12,629		196
Sally Beauty Holdings, Inc. *		45,112		565
Shake Shack, Inc. - Class A *		15,744		654
Shoe Carnival, Inc.		7,088		169
Signet Jewelers, Ltd.		19,525		1,328
Six Flags Entertainment Corp. *		31,300		728
Sleep Number Corp. *		9,394		244
Sonic Automotive, Inc. - Class A		7,045		347
Sonos, Inc. *		53,734		908
Standard Motor Products, Inc.		7,940		276
Steven Madden, Ltd.		30,868		987
Strategic Education, Inc.		9,405		737
Stride, Inc. *		17,212		538
Sturm, Ruger & Co., Inc.		7,513		380
TRI Pointe Homes, Inc. *		42,624		792
Universal Electronics, Inc. *		5,047		105
Urban Outfitters, Inc. *		25,268		603
Vista Outdoor, Inc. *		23,837		581
Winnebago Industries, Inc.		12,875		679
Wolverine World Wide, Inc.		33,115		362
WW International, Inc. *		22,690		88
XPEL, Inc. *		8,235		495
Zumiez, Inc. *		6,534		142

Total				46,626

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

Index 600 Stock Portfolio


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

Consumer Staples (5.2%)
The Andersons, Inc.		13,144		460
B&G Foods, Inc.		30,491		340
Calavo Growers, Inc.		7,572		223
Cal-Maine Foods, Inc.		16,036		873
Central Garden & Pet Co. *		4,111		154
Central Garden & Pet Co. - Class A *		17,472		625
The Chefs’ Warehouse, Inc. *		14,467		481
e.l.f. Beauty, Inc. *		21,226		1,174
Edgewell Personal Care Co.		21,961		846
Fresh Del Monte Produce, Inc.		12,854		337
The Hain Celestial Group, Inc. *		37,740		611
Hostess Brands, Inc. *		56,538		1,269
Inter Parfums, Inc.		7,576		731
J & J Snack Foods Corp.		6,342		949
John B. Sanfilippo & Son, Inc.		3,727		303
Medifast, Inc.		4,610		532
MGP Ingredients, Inc.		6,526		694
National Beverage Corp. *		9,806		456
Nu Skin Enterprises, Inc.		20,852		879
PriceSmart, Inc.		10,558		642
Seneca Foods Corp. - Class A *		2,232		136
The Simply Good Foods Co. *		35,520		1,351
SpartanNash Co.		14,855		449
Tootsie Roll Industries, Inc.		7,433		316
TreeHouse Foods, Inc. *		21,356		1,055
United Natural Foods, Inc. *		24,715		957
Universal Corp.		10,374		548
USANA Health Sciences, Inc. *		4,676		249
Vector Group, Ltd.		55,399		657
WD-40 Co.		5,731		924

Total				19,221


Energy (4.6%)
Archrock, Inc.		56,215		505
Bristow Group, Inc. *		10,045		272
Callon Petroleum Co. *		21,545		799
Civitas Resources, Inc.		21,977		1,273
CONSOL Energy, Inc.		13,878		902
Core Laboratories NV		19,770		401
DMC Global, Inc. *		7,792		151
Dorian LPG, Ltd.		13,308		252
Dril-Quip, Inc. *		14,303		389
Green Plains, Inc. *		25,025		763


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

Energy continued
Helix Energy Solutions Group, Inc. *		59,879		442
Helmerich & Payne, Inc.		44,434		2,203
Laredo Petroleum, Inc. *		7,090		365
Nabors Industries, Ltd. *		3,771		584
Oceaneering International, Inc. *		42,300		740
Oil States International, Inc. *		26,923		201
Par Pacific Holdings, Inc. *		23,537		547
Patterson-UTI Energy, Inc.		91,537		1,541
ProPetro Holding Corp. *		40,559		421
Ranger Oil Corp. - Class A		8,024		324
REX American Resources Corp. *		6,591		210
RPC, Inc.		35,517		316
SM Energy Co.		51,930		1,809
Talos Energy, Inc. *		27,668		522
US Silica Holdings, Inc. *		31,810		398
World Fuel Services Corp.		26,059		712

Total				17,042


Financials (17.9%)
Ambac Financial Group, Inc. *		19,187		335
American Equity Investment Life Holding Co.		29,317		1,337
Ameris Bancorp		27,601		1,301
AMERISAFE, Inc.		8,080		420
Apollo Commercial Real Estate Finance, Inc.		54,578		587
ARMOUR Residential REIT, Inc.		55,730		314
Assured Guaranty, Ltd.		25,329		1,577
Axos Financial, Inc. *		22,632		865
B. Riley Financial, Inc.		6,772		232
Banc of California, Inc.		23,520		375
BancFirst Corp.		7,363		649
The Bancorp, Inc. *		23,635		671
BankUnited, Inc.		32,652		1,109
Banner Corp.		14,432		912
Berkshire Hills Bancorp, Inc.		19,001		568
Blucora, Inc. *		20,262		517
Brightsphere Investment Group, Inc.		13,649		281
Brookline Bancorp, Inc.		32,572		461


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

Financials continued
Capitol Federal Financial, Inc.		54,478		471
Central Pacific Financial Corp.		11,530		234
City Holding Co.		6,247		581
Columbia Banking System, Inc.		33,148		999
Community Bank System, Inc.		22,637		1,425
Customers Bancorp, Inc. *		13,013		369
CVB Financial Corp.		55,524		1,430
Dime Community Bancshares, Inc.		13,654		435
Donnelley Financial Solutions, Inc. *		10,571		409
Eagle Bancorp, Inc.		13,439		592
Ellington Financial, Inc.		24,241		300
Employers Holdings, Inc.		11,491		496
Encore Capital Group, Inc. *		9,879		474
Enova International, Inc. *		13,287		510
EZCORP, Inc. - Class A *		22,712		185
FB Financial Corp.		14,793		535
First Bancorp		93,126		1,641
First Commonwealth Financial Corp.		39,449		551
First Financial Bancorp		40,176		973
First Hawaiian, Inc.		54,038		1,407
Franklin BSP Realty Trust, Inc.		34,823		449
Genworth Financial, Inc. - Class A *		209,710		1,109
Granite Point Mortgage Trust, Inc.		21,963		118
Green Dot Corp. - Class A *		19,760		313
Hanmi Financial Corp.		12,848		318
HCI Group, Inc.		3,002		119
Heritage Financial Corp.		14,784		453
Hilltop Holdings, Inc.		19,347		581
HomeStreet, Inc.		7,654		211
Hope Bancorp, Inc.		50,410		646
Horace Mann Educators Corp.		17,190		642
Independent Bank Corp.		19,247		1,625
Independent Bank Group, Inc.		14,985		900
Invesco Mortgage Capital, Inc.		14,957		190
James River Group Holdings, Ltd.		15,807		330
KKR Real Estate Finance Trust, Inc.		24,228		338

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

Index 600 Stock Portfolio


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

Financials continued
Lakeland Financial Corp.		10,732		783
LendingTree, Inc. *		4,550		97
Mercury General Corp.		11,163		382
Meta Financial Group, Inc.		12,152		523
Mr. Cooper Group, Inc. *		29,799		1,196
National Bank Holding Corp. - Class A		15,919		670
NBT Bancorp, Inc.		18,124		787
New York Mortgage Trust, Inc.		156,699		401
NMI Holdings, Inc. - Class A *		35,311		738
Northfield Bancorp, Inc.		17,884		281
Northwest Bancshares, Inc.		53,610		749
OFG Bancorp		20,059		553
Pacific Premier Bancorp, Inc.		40,124		1,266
Palomar Holdings, Inc. *		10,693		483
Park National Corp.		6,118		861
PennyMac Mortgage Investment Trust		37,565		465
Piper Sandler Cos.		5,965		777
PRA Group, Inc. *		16,563		559
Preferred Bank		5,564		415
ProAssurance Corp.		22,974		401
PROG Holdings, Inc. *		21,191		358
Provident Financial Services, Inc.		31,959		683
Ready Capital Corp.		41,452		462
Redwood Trust, Inc.		47,883		324
Renasant Corp.		23,607		887
S&T Bancorp, Inc.		16,467		563
Safety Insurance Group, Inc.		6,193		522
Seacoast Banking Corp. of Florida		30,005		936
ServisFirst Bancshares, Inc.		20,673		1,425
Simmons First National Corp. - Class A		53,688		1,159
SiriusPoint, Ltd. *		35,655		210
Southside Bancshares, Inc.		12,852		462
Stellar Bancorp, Inc.		18,778		553
Stewart Information Services Corp.		11,434		489
StoneX Group, Inc. *		7,295		695
Tompkins Financial Corp.		5,293		411
Triumph Financial, Inc. *		9,557		467
Trupanion, Inc. *		14,866		707
TrustCo Bank Corp.		8,012		301
Trustmark Corp.		25,727		898


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

Financials continued
Two Harbors
Investment Corp.		36,567		577
United Community
Banks, Inc.		44,842		1,516
United Fire Group, Inc.		9,191		251
Universal Insurance Holdings, Inc.		11,460		121
Veritex Holdings, Inc.		22,776		640
Virtus Investment Partners, Inc.		2,871		550
Walker & Dunlop, Inc.		12,962		1,017
Westamerica Bancorporation		11,355		670
WisdomTree Investments, Inc.		46,731		255
World Acceptance Corp. *		1,400		92
WSFS Financial Corp.		25,993		1,178

Total				66,636


Health Care (11.1%)
AdaptHealth LLC *		32,492		625
Addus HomeCare Corp. *		6,821		679
Agiliti, Inc. *		14,078		230
Allscripts Healthcare Solutions, Inc. *		46,159		814
AMN Healthcare Services, Inc. *		18,319		1,884
Amphastar Pharmaceuticals, Inc. *		15,931		446
AngioDynamics, Inc. *		16,363		225
ANI Pharmaceuticals, Inc. *		5,189		209
Anika Therapeutics, Inc. *		6,272		186
Apollo Medical Holdings, Inc. *		16,803		497
Arcus Biosciences, Inc. *		22,030		456
Artivion, Inc. *		16,952		205
Avanos Medical, Inc. *		19,654		532
Avid Bioservices, Inc. *		26,271		362
BioLife Solutions, Inc. *		14,312		260
Cara Therapeutics, Inc. *		19,375		208
Cardiovascular Systems, Inc. *		17,734		242
Catalyst Pharmaceuticals, Inc. *		40,429		752
Coherus Biosciences, Inc. *		27,106		215
Collegium Pharmaceutical, Inc. *		14,135		328
Community Health Systems, Inc. *		52,458		227


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

Health Care continued
Computer Programs and Systems, Inc. *		6,020		164
CONMED Corp.		12,875		1,141
Corcept Therapeutics, Inc. *		40,390		820
CorVel Corp. *		3,858		561
Cross Country Healthcare, Inc. *		14,965		398
Cutera, Inc. *		7,480		331
Cytokinetics, Inc. *		39,880		1,827
Dynavax Technologies Corp. *		49,896		531
Eagle Pharmaceuticals, Inc. *		4,460		130
Embecta Corp.		24,379		617
Emergent BioSolutions, Inc. *		18,821		222
Enanta Pharmaceuticals, Inc. *		8,165		380
Enhabit, Inc. *		21,073		277
Ensign Group, Inc.		23,468		2,220
Fulgent Genetics, Inc. *		8,332		248
Glaukos Corp. *		20,169		881
Harmony Biosciences Holdings, Inc. *		12,547		691
HealthStream, Inc. *		10,149		252
Heska Corp. *		4,347		270
Innoviva, Inc. *		26,310		349
Inogen, Inc. *		9,837		194
Integer Holdings Corp. *		13,998		958
Ironwood Pharmaceuticals, Inc. *		56,476		700
iTeos Therapeutics, Inc. *		10,545		206
The Joint Corp. *		6,231		87
LeMaitre Vascular, Inc.		8,162		376
Ligand Pharmaceuticals, Inc. - Class B *		6,740		450
MEDNAX, Inc. *		34,607		514
Meridian Bioscience, Inc. *		18,403		611
Merit Medical Systems, Inc. *		24,070		1,700
Mesa Laboratories, Inc.		2,099		349
ModivCare, Inc. *		5,379		483
Myriad Genetics, Inc. *		34,222		497
Nektar Therapeutics *		78,468		177
NeoGenomics, Inc. *		53,177		491
NextGen Healthcare, Inc. *		23,156		435
NuVasive, Inc. *		22,020		908
OmniAb, Inc. - 12.50 Earnout Consideration *,Æ		2,585		–

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

Index 600 Stock Portfolio


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

Health Care continued
OmniAb, Inc. - 15.00 Earnout Consideration *,Æ		2,585		–
OptimizeRx Corp. *		7,239		122
OraSure Technologies, Inc. *		31,047		150
Organogenesis Holdings, Inc. *		29,707		80
Orthofix Medical, Inc. *		8,402		172
Owens & Minor, Inc. *		32,351		632
Pacira Biosciences, Inc. *		19,433		750
The Pennant Group, Inc. *		11,787		129
Phibro Animal Health Corp. - Class A		8,678		116
Prestige Consumer Healthcare, Inc. *		20,930		1,310
RadNet, Inc. *		20,759		391
REGENXBIO, Inc. *		15,894		360
Select Medical Holdings Corp.		44,001		1,093
Simulations Plus, Inc.		6,721		246
Supernus Pharmaceuticals, Inc. *		22,823		814
Surmodics, Inc. *		5,836		199
uniQure NV *		17,479		396
US Physical Therapy, Inc.		5,468		443
Vanda Pharmaceuticals, Inc. *		23,447		173
Varex Imaging Corp. *		16,777		341
Vericel Corp. *		20,062		528
Vir Biotechnology, Inc. *		32,074		812
Xencor, Inc. *		25,325		659
Zimvie, Inc. *		8,566		80
Zynex, Inc.		9,180		128

Total				41,152


Industrials (17.0%)
3D Systems Corp. *		55,452		410
AAON, Inc.		17,786		1,340
AAR Corp. *		14,043		631
ABM Industries, Inc.		27,951		1,242
Aerojet Rocketdyne Holdings, Inc. *		32,024		1,791
Aerovironment, Inc. *		10,593		907
Alamo Group, Inc.		4,368		619
Albany International Corp. - Class A		13,120		1,293
Allegiant Travel Co. *		6,592		448
American Woodmark Corp. *		6,974		341
Apogee Enterprises, Inc.		9,392		418
Applied Industrial Technologies, Inc.		16,277		2,051
ArcBest Corp.		10,306		722


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

Industrials continued
Arcosa, Inc.		20,387		1,108
Astec Industries, Inc.		9,637		392
Atlas Air Worldwide Holdings, Inc. *		10,913		1,100
AZZ, Inc.		10,463		421
Barnes Group, Inc.		21,346		872
Boise Cascade Co.		16,649		1,143
Brady Corp. - Class A		19,606		923
CIRCOR International, Inc. *		8,580		206
Comfort Systems USA, Inc.		15,086		1,736
CoreCivic, Inc. *		48,583		562
Deluxe Corp.		18,227		309
DXP Enterprises, Inc. *		6,646		183
Encore Wire Corp.		7,742		1,065
Enerpac Tool Group Corp.		24,034		612
EnPro Industries, Inc.		8,819		959
ESCO Technologies, Inc.		10,916		956
Exponent, Inc.		21,384		2,119
Federal Signal Corp.		25,618		1,190
Forrester Research, Inc. *		4,842		173
Forward Air Corp.		11,207		1,175
Franklin Electric Co., Inc.		16,431		1,310
The GEO Group, Inc. *		52,603		576
Gibraltar Industries, Inc. *		13,080		600
GMS, Inc. *		17,904		892
Granite Construction, Inc.		18,466		648
The Greenbrier Cos., Inc.		13,864		465
Griffon Corp.		20,072		718
Harsco Corp. *		33,620		211
Hawaiian Holdings, Inc. *		21,627		222
Healthcare Services Group, Inc.		31,232		375
Heartland Express, Inc.		19,628		301
Heidrick & Struggles International, Inc.		8,339		233
Hillenbrand, Inc.		29,319		1,251
HNI Corp.		17,453		496
Hub Group, Inc. - Class A *		13,771		1,095
Insteel Industries, Inc.		8,196		226
Interface, Inc.		24,666		243
John Bean Technologies Corp.		13,453		1,229
Kaman Corp.		12,004		268
KAR Auction Services, Inc. *		46,028		601
Kelly Services, Inc. - Class A		14,567		246
Korn Ferry		22,563		1,142


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

Industrials continued
Lindsay Corp.		4,657		758
Marten Transport, Ltd.		24,405		483
Masterbrand, Inc. *		54,622		412
Matson, Inc.		15,951		997
Matthews International Corp. - Class A		12,845		391
MillerKnoll, Inc.		31,862		669
Moog, Inc. - Class A		12,213		1,072
Mueller Industries, Inc.		23,977		1,415
MYR Group, Inc. *		7,004		645
National Presto Industries, Inc.		2,159		148
NOW, Inc. *		46,649		592
NV5 Global, Inc. *		5,236		693
Park Aerospace Corp.		7,997		107
PGT Innovations, Inc. *		25,438		457
Pitney Bowes, Inc.		67,551		257
Powell Industries, Inc.		3,928		138
Proto Labs, Inc. *		11,593		296
Quanex Building Products Corp.		13,985		331
Resideo Technologies, Inc. *		61,536		1,012
Resources Connection, Inc.		13,398		246
SkyWest, Inc. *		21,373		353
SPX Technologies, Inc. *		19,120		1,255
Standex International Corp.		5,058		518
Sun Country Airlines Holdings, Inc. *		13,664		217
Tennant Co.		7,820		481
Titan International, Inc. *		21,646		332
Trinity Industries, Inc.		34,384		1,017
Triumph Group, Inc. *		27,718		292
TrueBlue, Inc. *		13,785		270
UFP Industries, Inc.		26,025		2,062
UniFirst Corp.		6,360		1,227
Veritiv Corp.		5,694		693
Viad Corp. *		8,671		211
Wabash National Corp.		20,253		458

Total				63,270


Information Technology (13.0%)
8x8, Inc. *		47,232		204
A10 Networks, Inc.		26,994		449
Adeia, Inc.		44,400		421
Adtran Holdings, Inc.		29,883		562
Advanced Energy Industries, Inc.		15,779		1,354
Agilysys, Inc. *		8,396		664
Alarm.com Holdings, Inc. *		21,086		1,043
Alliance Data Systems Corp.		21,086		794
Alpha & Omega Semiconductor, Ltd. *		9,309		266

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

Index 600 Stock Portfolio


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

Information Technology continued
Arlo Technologies, Inc. *		37,533		132
Avid Technology, Inc. *		14,026		373
Axcelis Technologies, Inc. *		13,867		1,100
Badger Meter, Inc.		12,391		1,351
Benchmark Electronics, Inc.		14,974		400
Cerence, Inc. *		16,495		306
CEVA, Inc. *		9,777		250
Clearfield, Inc. *		4,852		457
Cohu, Inc. *		20,110		645
Comtech Telecommunications Corp.		11,475		139
Consensus Cloud Solutions, Inc. *		7,407		398
Corsair Gaming, Inc. *		16,100		218
CSG Systems International, Inc.		12,828		734
CTS Corp.		13,519		533
Digi International, Inc. *		14,883		544
Digital Turbine, Inc. *		37,944		578
Diodes, Inc. *		19,195		1,462
Ebix, Inc.		9,916		198
ePlus, Inc. *		11,344		502
EVERTEC, Inc.		27,561		892
Extreme Networks, Inc. *		55,459		1,015
Fabrinet *		15,449		1,981
FARO Technologies, Inc. *		7,865		231
FormFactor, Inc. *		32,524		723
Harmonic, Inc. *		44,479		583
Ichor Holdings, Ltd. *		12,105		325
Insight Enterprises, Inc. *		12,797		1,283
InterDigital, Inc.		12,514		619
Itron, Inc. *		19,071		966
Knowles Corp. *		38,423		631
Kulicke and Soffa Industries, Inc.		24,510		1,085
LivePerson, Inc. *		29,713		301
LiveRamp Holdings, Inc. *		28,085		658
MaxLinear, Inc. - Class A *		30,585		1,038
Methode Electronics, Inc. - Class A		15,375		682
NETGEAR, Inc. *		12,252		222
NetScout Systems, Inc. *		29,021		943
OneSpan, Inc. *		15,139		169
Onto Innovation, Inc. *		20,909		1,424
OSI Systems, Inc. *		6,615		526
Payoneer Global, Inc. *		84,439		462
PC Connection, Inc.		4,835		227
PDF Solutions, Inc. *		12,442		355
Perficient, Inc. *		14,615		1,021


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

Information Technology continued
Photronics, Inc. *		26,220		441
Plexus Corp. *		11,690		1,203
Progress Software Corp.		18,171		917
Rambus, Inc. *		45,397		1,626
Rogers Corp. *		7,931		947
Sabre Corp. *		138,999		859
Sanmina Corp. *		24,259		1,390
ScanSource, Inc. *		10,651		311
Semtech Corp. *		26,823		770
SMART Global Holdings, Inc. *		20,542		306
SPS Commerce, Inc. *		15,218		1,954
TTEC Holdings, Inc.		7,931		350
TTM Technologies, Inc. *		43,380		654
Ultra Clean Holdings, Inc. *		19,213		637
Unisys Corp. *		28,326		145
Veeco Instruments, Inc. *		21,696		403
Viavi Solutions, Inc. *		95,635		1,005
Xperi, Inc. *		17,559		151

Total				48,508


Materials (5.6%)
AdvanSix, Inc.		11,638		443
Allegheny Technologies, Inc. *		54,658		1,632
American Vanguard Corp.		11,752		255
Arconic Corp. *		42,837		906
Balchem Corp.		13,571		1,657
Carpenter Technology Corp.		20,511		758
Century Aluminum Co. *		21,627		177
Clearwater Paper Corp. *		7,072		267
Compass Minerals International, Inc.		14,354		589
FutureFuel Corp.		10,628		86
H.B. Fuller Co.		22,507		1,612
Hawkins, Inc.		7,945		307
Haynes International, Inc.		5,195		237
Innospec, Inc.		10,454		1,075
Kaiser Aluminum Corp.		6,720		510
Koppers Holdings, Inc.		8,937		252
Livent Corp. *		75,720		1,505
Materion Corp.		8,707		762
Mercer International, Inc.		17,026		198
Minerals Technologies, Inc.		13,702		832
Myers Industries, Inc.		15,317		341
O-I Glass, Inc. *		65,703		1,089
Olympic Steel, Inc.		4,026		135
Quaker Chemical Corp.		5,752		960


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

Materials continued
Rayonier Advanced Materials, Inc. *		27,023		259
Schweitzer-Mauduit International, Inc.		23,214		485
Stepan Co.		8,918		949
SunCoke Energy, Inc.		35,432		306
Sylvamo Corp.		13,952		678
TimkenSteel Corp. *		16,720		304
Tredegar Corp.		10,934		112
Trinseo PLC		14,691		334
Warrior Met Coal, Inc.		21,892		758

Total				20,770


Real Estate (7.8%)
Acadia Realty Trust		40,045		575
Agree Realty Corp.		37,363		2,650
Alexander & Baldwin, Inc.		30,667		574
American Assets Trust, Inc.		21,949		582
Armada Hoffler Properties, Inc.		28,632		329
Brandywine Realty Trust		72,291		445
CareTrust REIT, Inc.		41,175		765
Centerspace		6,374		374
Chatham Lodging Trust		20,584		253
Community Healthcare Trust, Inc.		9,928		355
Cushman & Wakefield PLC *		68,628		855
DiamondRock Hospitality Co.		88,438		724
Douglas Elliman, Inc.		28,636		117
Easterly Government Properties, Inc.		38,543		550
Essential Properties Realty Trust, Inc.		60,167		1,412
Four Corners Property Trust, Inc.		35,403		918
Franklin Street Properties Corp.		38,915		106
Getty Realty Corp.		18,024		610
Global Net Lease, Inc.		43,861		551
Hersha Hospitality Trust		14,015		119
Hudson Pacific Properties, Inc.		54,264		528
Industrial Logistics Properties Trust		27,670		91
Innovative Industrial Properties, Inc.		11,813		1,197
iStar, Inc.		36,724		280
LTC Properties, Inc.		17,177		610
LXP Industrial Trust		116,430		1,167
Marcus & Millichap, Inc.		10,564		364
NexPoint Residential Trust, Inc.		9,592		417

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

Index 600 Stock Portfolio


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

Real Estate continued
Office Properties Income Trust		20,468		273
Orion Office REIT, Inc.		23,793		203
OUTFRONT Media, Inc.		61,870		1,026
RE/MAX Holdings, Inc. - Class A		7,724		144
Realogy Holdings Corp.*		46,249		296
Retail Opportunity Investments Corp.		52,526		789
RPT Realty		36,113		363
Safehold, Inc.		10,248		293
Saul Centers, Inc.		5,406		220
Service Properties Trust		69,642		508
SITE Centers Corp.		78,025		1,066
The St. Joe Co.		14,276		552
Summit Hotel Properties, Inc.		45,099		326
Sunstone Hotel Investors, Inc.		88,864		858
Tanger Factory Outlet Centers, Inc.		44,028		790
Uniti Group, Inc.		100,782		557
Universal Health Realty Income Trust		5,330		254
Urban Edge Properties		49,562		698
Urstadt Biddle Properties, Inc. - Class A		12,584		239
Veris Residential, Inc. *		33,697		537
Washington Real Estate Investment Trust		36,882		657
Whitestone REIT		19,470		188
Xenia Hotels & Resorts, Inc.		48,102		634

Total				28,989


Utilities (2.6%)
American States Water Co.		15,624		1,446
Avista Corp.		31,121		1,380
California Water Service Group		23,143		1,403
Chesapeake Utilities Corp.		7,497		886
Middlesex Water Co.		7,483		589
Northwest Natural Holding Co.		14,882		708
SJW Group		11,245		913
South Jersey Industries, Inc.		51,712		1,837
Unitil Corp.		6,750		347

Total				9,509


Total Common Stocks
(Cost: $337,867)				368,668


Short-Term Investments (0.2%)	Shares/ Par ⁺		Value $ (000’s)

Governments (0.2%)
US Treasury 0.000%, 5/11/23 b		495,000		487

Total				487

Total Short-Term Investments
(Cost: $487)				487

Total Investments (99.4%)
(Cost: $338,354)^@				369,155

Other Assets, Less
Liabilities (0.6%)				2,397

Net Assets (100.0%)				371,552

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	2	31	3/23	$2,745	$	(63	)	$	3

							$	(63	)	$	3

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Market Value
(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

–

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

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

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $338,669 and the net unrealized appreciation of investments based on that cost was $30,423 which is comprised of $81,251 aggregate gross unrealized appreciation and $50,828 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	368,668		$	-	$	-
Short-Term Investments		-			487		-
Total Assets:	$	368,668		$	487	$	-
Liabilities:
Other Financial Instruments^
Futures		(63	)		-		-
Total Liabilities:	$	(63	)	$	-	$	-

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 December 31, 2022.

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

Small Cap Value Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest primarily in common stocks of small-sized companies believed to be undervalued.	$536 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Small Cap Value Portfolio (“the Portfolio”), has engaged T. Rowe Price Investment Management, Inc. (“T. Rowe Price”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in common stocks of companies with market capitalizations that do not exceed the maximum market capitalization of any security in the Russell 2000^® Index at the time of purchase. Reflecting a value approach to investing, the Portfolio will seek the stocks of companies whose current stock prices do not appear to adequately reflect their underlying value as measured by assets, earnings, cash flow or business franchises.

MARKET OVERVIEW

Major U.S. stock indices fell sharply in 2022, the worst year for equities since the 2008 global financial crisis. Investors shunned riskier assets in response to Russia’s invasion of Ukraine, elevated inflation exacerbated by rising commodity prices and global supply chain disruptions, surging U.S. Treasury yields, tightening financial conditions and slowing economic and corporate earnings growth. Beginning in March 2022, the Federal Reserve (the “Fed”) began a series of aggressive short-term interest rate hikes. The rate hikes along with Fed comments that it would be willing to risk causing a recession by raising rates and keeping them at a higher level in order to bring inflation down, also weighed on the market. Although many indices finished the year above their lowest levels of 2022, the year ended with many investors concerned that ongoing Fed rate hikes would hurt corporate earnings and push the economy into a recession in 2023.

PORTFOLIO RESULTS

The Portfolio returned (18.53%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Russell 2000^® Value Index (the “Index”), returned (14.48%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Small Cap Value Funds peer group was (10.46%).

The Financials sector was a significant detractor from the Portfolio’s relative results, driven by adverse stock choices. Live Oak Bancshares, Inc. declined along with other growth-oriented companies during the year. Live Oak is the largest small-business lender, which may have weighed on shares as concerns about recession rose.

Stock selection in the Energy sector also weighed on relative results. Within the sector, there were no absolute detractors worth noting, but the Portfolio’s stock picks failed to keep pace with the strong performance of their benchmark peers in the period. The Utilities sector further detracted from relative performance due to stock selection.

Conversely, the Materials sector contributed significantly to relative performance, due to strong stock choices. Reliance Steel & Aluminum Co., a leading metals service center in North America, advanced due to strong demand, despite rising prices for steel and other costs. An underweight allocation to the Communication Services sector also boosted relative performance.

PORTFOLIO MANAGER OUTLOOK

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

Heading into 2023, capital markets appear to have priced in a significant global economic slowdown. The key question is whether this deceleration will end with slower but still positive growth or in a full-fledged recession that drags down earnings. Much depends on the Fed’s and the world’s other major central banks as they continue efforts to bring inflation under control by hiking interest rates and draining liquidity from the markets. Nevertheless, geopolitical risks will remain potential triggers for downside volatility in 2023. Structural factors, such as bank capital requirements that constrain market liquidity, could magnify price movements, both up and down. While there are good reasons for caution in 2023, excessive pessimism and volatility can create value for agile investors. In difficult markets, security selection will be critical.

Small Cap Value Portfolio (unaudited)

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Small Cap Value Portfolio		-18.53	%		3.77	%		8.30	%
Russell 2000® Value Index		-14.48	%		4.13	%		8.48	%
Lipper® Variable Insurance Products (VIP) Small Cap Value Funds Average		-10.46	%		4.99	%		8.83	%

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.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Matador Resources Co.		1.7	%
IDACORP, Inc.		1.7	%
UFP Industries, Inc.		1.5	%
Pinnacle Financial Partners, Inc.		1.5	%
MGE Energy, Inc.		1.4	%
Western Alliance Bancorp		1.3	%
Magnolia Oil & Gas Corp.		1.3	%
ChampionX Corp.		1.2	%
Home BancShares, Inc.		1.2	%
Strategic Education, Inc.		1.2	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Financials	27.4	%
Industrials	14.4	%
Health Care	10.8	%
Real Estate	9.0	%
Consumer Discretionary	8.7	%
Energy	6.9	%
Information Technology	5.8	%
Utilities	5.4	%
Materials	4.6	%
Short-Term Investments & Other Net Assets	3.5	%
Consumer Staples	2.8	%
Communication Services	0.7	%

Sector Allocation and Top 10 Holdings are subject to change.

Small Cap Value Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


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

Communication Services (0.7%)
Advantage Solutions, Inc. *		347,714		723
Boston Omaha Corp. *		104,164		2,761

Total				3,484


Consumer Discretionary (8.7%)
Academy Sports & Outdoors, Inc.		25,788		1,355
BJ’s Restaurants, Inc. *		72,220		1,905
Cavco Industries, Inc. *		5,681		1,285
The Children’s Place, Inc. *		21,600		787
Dorman Products, Inc. *		38,485		3,112
Farfetch, Ltd. *		221,300		1,047
Floor & Decor Holdings, Inc. *		4,500		313
Hibbett, Inc.		26,354		1,798
LCI Industries		24,793		2,292
LL Flooring Holdings, Inc. *		143,223		805
Marriott Vacations Worldwide Corp.		24,495		3,297
Meritage Homes Corp. *		41,952		3,868
Monro, Inc.		56,218		2,541
Papa John’s International, Inc.		52,752		4,342
Peloton Interactive, Inc. *		70,600		560
Petco Health & Wellness Co., Inc. *		129,983		1,232
Pool Corp.		3,409		1,031
Steven Madden, Ltd.		114,849		3,671
Strategic Education, Inc.		81,038		6,347
Visteon Corp. *		22,367		2,926
Warby Parker, Inc. *		112,344		1,515
Xometry, Inc. *		19,939		643

Total				46,672


Consumer Staples (2.8%)
BellRing Brands, Inc. *		22,414		575
Coca-Cola Consolidated, Inc.		8,043		4,121
Nomad Foods, Ltd. *		277,494		4,784
Post Holdings, Inc. *		31,499		2,843
The Simply Good Foods Co. *		69,398		2,639

Total				14,962


Energy (6.9%)
Cactus, Inc.		115,758		5,818
ChampionX Corp.		226,506		6,566
Enerflex, Ltd.		383,300		2,423


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

Energy continued
Frank’s International NV *		75,500		1,369
International Seaways, Inc.		25,872		958
Liberty Energy, Inc.		238,492		3,818
Magnolia Oil & Gas Corp.		301,762		7,076
Matador Resources Co.		159,981		9,157

Total				37,185


Financials (27.4%)
BankUnited, Inc.		181,494		6,165
BRP Group, Inc. *		170,299		4,281
Cadence Bank		45,100		1,112
Columbia Banking System, Inc.		161,749		4,874
CrossFirst Bankshares, Inc. *		153,254		1,902
Eastern Bankshares, Inc.		154,997		2,674
FB Financial Corp.		135,418		4,894
Glacier Bancorp, Inc.		75,610		3,737
Green Dot Corp. - Class A *		124,055		1,963
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		142,682		4,135
HarborOne Bancorp, Inc.		226,742		3,152
Hercules Capital, Inc.		114,848		1,518
Home BancShares, Inc.		286,116		6,521
Houlihan Lokey, Inc.		57,892		5,046
Independent Bank Corp.		53,298		4,500
James River Group Holdings, Ltd.		134,353		2,809
Live Oak Bancshares, Inc.		132,703		4,008
National Bank Holding Corp. - Class A		137,517		5,785
NerdWallet, Inc. *		88,619		851
Origin Bancorp, Inc.		87,491		3,211
Palomar Holdings, Inc. *		45,713		2,064
PennyMac Financial Services, Inc.		93,908		5,321
PennyMac Mortgage Investment Trust		209,976		2,602
Pinnacle Financial Partners, Inc.		106,308		7,803
Popular, Inc.		68,896		4,569
PRA Group, Inc. *		46,338		1,565


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

Financials continued
ProAssurance Corp.		67,168		1,173
PROG Holdings, Inc. *		83,717		1,414
Radian Group, Inc.		219,634		4,188
Ryan Specialty Group Holdings, Inc. *		75,667		3,141
Southern First Bancshares, Inc. *		63,265		2,894
StepStone Group, Inc.		94,250		2,373
Texas Capital Bancshares, Inc. *		72,500		4,373
Towne Bank		158,718		4,895
Veritex Holdings, Inc.		53,497		1,502
Virtus Investment Partners, Inc.		19,554		3,743
Walker & Dunlop, Inc.		44,363		3,482
Webster Financial Corp.		59,356		2,810
Western Alliance Bancorp		120,286		7,164
WSFS Financial Corp.		139,928		6,344

Total				146,558


Health Care (10.8%)
Agiliti, Inc. *		146,101		2,383
Alignment Healthcare, Inc. *		153,000		1,799
Apellis Pharmaceuticals, Inc. *		51,847		2,681
Arvinas, Inc. *		30,846		1,055
Ascendis Pharma A/S *		20,000		2,443
Atrion Corp.		4,980		2,786
Blueprint Medicines Corp. *		35,450		1,553
CRISPR Therapeutics AG *		24,100		980
Embecta Corp.		83,310		2,107
Ensign Group, Inc.		39,597		3,746
FIGS, Inc. *		215,687		1,452
Icosavax, Inc. *		94,853		753
Insmed, Inc. *		132,492		2,647
Ionis Pharmaceuticals, Inc. *		56,000		2,115
Karuna Therapeutics, Inc. *		14,305		2,811
Kymera Therapeutics, Inc. *		53,338		1,331
Lantheus Holdings, Inc. *		23,900		1,218
MacroGenics, Inc. *		124,000		832
MultiPlan Corp. *		739,622		851
Nkarta, Inc. *		111,412		667
Option Care Health, Inc. *		67,550		2,033

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

Small Cap Value Portfolio


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

Health Care continued
Pacific Biosciences of California, Inc. *		33,824		277
The Pennant Group, Inc. *		83,004		911
Phreesia, Inc. *		107,008		3,463
QuidelOrtho Corp. *		45,370		3,887
Select Medical Holdings Corp.		247,373		6,142
Syndax Pharmaceuticals, Inc. *		55,700		1,418
Verve Therapeutics, Inc. *		33,100		640
Xencor, Inc. *		81,696		2,127
Zentalis Pharmaceuticals, Inc. *		46,309		933

Total				58,041


Industrials (14.4%)
Alamo Group, Inc.		16,735		2,370
Allegiant Travel Co. *		30,590		2,080
Aris Water Solutions, Inc.		136,687		1,970
Beacon Roofing Supply, Inc. *		75,505		3,986
Brady Corp. - Class A		72,374		3,409
CIRCOR International, Inc. *		98,115		2,351
Enerpac Tool Group Corp.		39,030		993
ESAB Corp.		47,983		2,251
ESCO Technologies, Inc.		46,614		4,081
FTI Consulting, Inc. *		12,157		1,930
Helios Technologies, Inc.		71,490		3,892
Herc Holdings, Inc.		10,000		1,316
JELD-WEN Holding, Inc. *		87,516		844
Landstar System, Inc.		28,548		4,650
McGrath RentCorp		38,147		3,767
MSA Safety, Inc.		17,080		2,463
Parsons Corp. *		57,441		2,657
RBC Bearings, Inc. *		13,100		2,742
Shoals Technologies Group, Inc. *		24,056		593
The Shyft Group, Inc.		55,200		1,372
SPX Technologies, Inc. *		64,015		4,203
Stericycle, Inc. *		25,608		1,278
Triumph Group, Inc. *		326,230		3,432
UFP Industries, Inc.		104,142		8,253
UniFirst Corp.		5,900		1,139
Univar Solutions, Inc. *		131,645		4,186
Valmont Industries, Inc.		9,702		3,208
Zurn Water Solutions Corp.		79,300		1,677

Total				77,093


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

Information Technology (5.8%)
Belden, Inc.		68,019		4,891
Conduent, Inc. *		293,600		1,189
DoubleVerify Holdings, Inc. *		65,100		1,430
Entegris, Inc.		16,449		1,079
Harmonic, Inc. *		40,169		526
Knowles Corp. *		104,900		1,722
Lattice Semiconductor Corp. *		30,400		1,972
Littelfuse, Inc.		25,280		5,567
MaxLinear, Inc. - Class A *		31,767		1,078
nCino, Inc. *		59,716		1,579
Onto Innovation, Inc. *		23,793		1,620
Paycor HCM, Inc. *		108,924		2,665
Payoneer Global, Inc. *		308,900		1,690
Vontier Corp.		142,700		2,758
Workiva, Inc. *		16,169		1,358

Total				31,124


Materials (4.6%)
Carpenter Technology
Corp.		71,471		2,640
Clearwater Paper Corp. *		74,843		2,830
Constellium SE *		250,657		2,965
Element Solutions, Inc.		192,057		3,494
Myers Industries, Inc.		127,691		2,839
Orion Engineered Carbons SA		127,817		2,276
Quaker Chemical Corp.		21,312		3,557
Reliance Steel & Aluminum Co.		19,532		3,954

Total				24,555


Real Estate (9.0%)
Apple Hospitality REIT, Inc.		326,381		5,150
CubeSmart LP		50,000		2,013
EastGroup Properties, Inc.		28,397		4,205
Essential Properties Realty Trust, Inc.		129,115		3,030
eXp World Holdings, Inc.		38,100		422
FirstService Corp.		22,100		2,708
Independence Realty Trust, Inc.		25,600		432
JBG SMITH Properties		180,655		3,429
NexPoint Residential Trust, Inc.		13,400		583
Opendoor Technologies, Inc. *		355,500		413
PotlatchDeltic Corp.		88,001		3,871
Safehold, Inc.		83,342		2,385
Saul Centers, Inc.		93,591		3,807
The St. Joe Co.		124,452		4,810
Terreno Realty Corp.		100,839		5,735
Tricon Residential, Inc.		322,294		2,485


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

Real Estate continued
Washington Real Estate Investment Trust		159,282		2,835

Total				48,313


Utilities (5.4%)
California Water Service Group		74,536		4,520
Chesapeake Utilities Corp.		25,840		3,054
IDACORP, Inc.		83,508		9,006
MGE Energy, Inc.		102,821		7,238
NorthWestern Corp.		36,530		2,168
ONE Gas, Inc.		35,300		2,673

Total				28,659

Total Common Stocks
(Cost: $440,670)				516,646


Warrants (0.0%)

Communication Services (0.0%)
Advantage Solutions, Inc. *		19,088		2

Total				2


Industrials (0.0%)
Triumph Group, Inc. *		97,869		66

Total				66

Total Warrants
(Cost: $25)				68


Total Investments (96.5%)
(Cost: $440,695)^@				516,714

Other Assets, Less Liabilities (3.5%)				18,904

Net Assets (100.0%)				535,618

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

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $443,347 and the net unrealized appreciation of investments based on that cost was $73,367 which is comprised of $127,811 aggregate gross unrealized appreciation and $54,444 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	516,646	$	-	$	-
Warrants		68		-		-
Total Assets:	$	516,714	$	-	$	-

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

International Growth Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital.	Invest in securities of issuers from countries outside the U.S. that have above average growth potential.	$893 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the International Growth Portfolio (the “Portfolio”), has engaged FIAM LLC (“FIAM”) to act as sub-adviser for the Portfolio. FIAM is an indirect, wholly owned subsidiary of FMR LLC (along with its affiliates, “Fidelity Investments”). Normally, the Portfolio will invest in the securities of issuers from countries outside the United States. The Portfolio invests in companies it believes operate in a market environment, or with a competitive advantage, that make it difficult for competition to disrupt current and future profitability, in combination with growth drivers that may offer above-average growth potential measured by factors such as earnings or revenue. In buying and selling securities for the Portfolio, the portfolio manager relies on fundamental analysis, which involves a “bottom-up” assessment of a company’s potential for success in light of factors such as its financial condition, earnings outlook, strategy, management, industry position and economic and market conditions.

MARKET OVERVIEW

Asset prices around the world staged a broad rally in the fourth quarter of 2022, as slowing inflation raised hopes at the end of a tumultuous year that recorded steep capital market declines.

After an abrupt rise in 2022, bond yields stabilized in the fourth quarter amid signs that rapid inflationary pressure was easing. The Federal Reserve and many other central banks further tightened monetary policy, and the U.S. and global economies faced a rising risk of recession.

Against this backdrop, U.S. equities ended the year down, with the S&P 500^® Index returning (18.11%). Developed market international equities outperformed U.S. equities for the first calendar year since 2017, according to the MSCI EAFE^® Index, which declined (14.45%) in 2022. Emerging markets did not fare as well, however, declining (20.09%) on the year. Declines in Information Technology companies across the globe accounted for much of the weakness. Developed markets outside the U.S. benefited from having less exposure to the sector this year.

PORTFOLIO RESULTS

The Portfolio returned (23.13%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the MSCI EAFE^® Growth Index (the “Index”), returned (22.95%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the International Large Cap Growth Funds peer group was (21.71%).

From a geographic standpoint, stock selection in Japan and an underweighting in Asia Pacific ex-Japan were the largest detractors from the Portfolio’s return, while out-of-benchmark exposure in the U.S. and Canada were the largest contributors. (Geographic positioning was an output of bottom-up stock selection.)

The combined impact of weak stock selection and a sizeable underweighting in Health Care drove much of the underperformance. Not owning Novo-Nordisk A/S, in particular, weighed on the Portfolio as the sizeable benchmark component returned almost 92% during the review period. A large overweighting in Information Technology and weak stock selection in Communication Services further challenged performance.

The Portfolio’s single largest contributor was in the Materials sector, a long-held, out-of-benchmark position in Linde PLC, the world’s leading industrial gases company. The company beat earnings and raised guidance mid-year, underscoring their competitive position and pricing power in a difficult macro environment.

In the Information Technology sector, modest out-of-benchmark positions in global payment processors Visa, Inc. and Mastercard, Inc. contributed to returns. Both components benefited from the secular shift toward digital payments as well as cyclical improvements, specifically elevated consumer spending and cross-border travel as pandemic-related restrictions eased throughout the year. (Note: MSCI is planning to reclassify both of these stocks as Financials in its revised GICS framework in 2023.)

International Growth Portfolio (unaudited)

Elsewhere, the Portfolio saw strong performance from its holdings in the insurance industry. An out-of-benchmark position in global insurance brokerage Marsh & McLennan Cos., Inc. saw above-consensus revenue and margin growth in 2022, due in part to a strong hiring campaign and other investments made in the franchise in 2021. An overweighting in AIA Group, Ltd. experienced a sharp recovery late in the year as China eased back on COVID-19-related restrictions.

PORTFOLIO MANAGER OUTLOOK

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

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

Over the past year, we have focused on finding companies that may emerge from the pandemic in notably stronger competitive positions and potentially generate better cycle-to-cycle earnings-per-share, even if short-term prospects are challenging.

We remain optimistic about the long-term attractiveness of the online payments, leading-edge lithography (EUV) equipment and aerospace themes and are enthusiastic about the increasingly consolidated industrial gas market.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
International Growth Portfolio		-23.13	%		4.67	%		5.90	%
MSCI EAFE® Growth Index (Net)		-22.95	%		2.49	%		5.59	%
MSCI® All Country World (ex-US) Growth Index (Net)		-23.05	%		1.49	%		4.68	%
Lipper® Variable Insurance Products (VIP) International Large Cap Growth Funds		-21.71	%		1.98	%		4.90	%

With respect to its broad-based benchmark, the Portfolio has elected to calculate the MSCI^® EAFE (Europe-Australasia-Far East) Growth Index net of withholding taxes on reinvested dividends rather than the MSCI^® EAFE (Europe-AustralasiaFar East) Growth Index gross of withholding taxes on reinvested dividends because the net calculation more closely reflects the Portfolio’s performance for an investor.

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

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

International Growth Portfolio (unaudited)

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Nestle SA	5.7	%
LVMH Moet Hennessy Louis Vuitton SE	5.3	%
ASML Holding NV	5.1	%
Roche Holding AG	4.1	%
Linde PLC	3.7	%
AIA Group, Ltd.	3.0	%
Keyence Corp.	2.9	%
Marsh & McLennan Cos., Inc.	2.8	%
Atlas Copco AB - Class A	2.6	%
Safran SA	2.5	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Industrials		29.2	%
Information Technology		19.7	%
Financials		13.2	%
Consumer Discretionary		10.4	%
Health Care		8.3	%
Materials		7.4	%
Consumer Staples		6.2	%
Communication Services		2.1	%
Short-Term Investments & Other Net Assets		1.9	%
Energy		1.0	%
Real Estate		0.6	%

Sector Allocation and Top 10 Holdings are subject to change.

International Growth Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (98.1%)	Country	Shares/ Par ⁺		Value $ (000’s)

Communication Services (2.1%)
Adevinta ASA - Class B *	France		317,057		2,123
Alphabet, Inc. - Class A *	United States		44,200		3,900
Rightmove PLC	United Kingdom		913,100		5,645
Safaricom PLC	Kenya		19,141,500		3,746
Schibsted ASA - Class B	Norway		185,699		3,395

Total					18,809


Consumer Discretionary (10.4%)
Autoliv, Inc.	Sweden		81,700		6,257
Compass Group PLC	United Kingdom		814,000		18,870
InterContinental Hotels Group PLC, ADR	United Kingdom		147,384		8,598
LVMH Moet Hennessy Louis Vuitton SE	France		65,000		47,307
PRADA SpA	Italy		1,355,300		7,657
USS Co., Ltd.	Japan		276,200		4,409

Total					93,098


Consumer Staples (6.2%)
Clicks Group, Ltd.	South Africa		127,752		2,030
Nestle SA	United States		439,159		50,886
PriceSmart, Inc.	United States		43,200		2,626

Total					55,542


Energy (1.0%)
NOV, Inc.	United States		215,000		4,491
Reliance Industries, Ltd.	India		60,000		1,848
Reliance Industries, Ltd., GDR	India		37,400		2,300

Total					8,639


Financials (13.2%)
AIA Group, Ltd.	Hong Kong		2,394,088		26,623
Deutsche Borse AG	Germany		78,500		13,563
Housing Development Finance Corp., Ltd.	India		246,863		7,871
Kotak Mahindra Bank, Ltd.	India		193,300		4,269
Marsh & McLennan Cos., Inc.	United States		150,923		24,975
Moody’s Corp.	United States		43,500		12,120
MSCI, Inc.	United States		34,900		16,234
S&P Global, Inc.	United States		35,600		11,924

Total					117,579


Health Care (8.3%)
Dechra Pharmaceuticals PLC	United Kingdom		96,900		3,067
Hoya Corp.	Japan		171,100		16,563
ResMed, Inc.	United States		85,600		17,816
Roche Holding AG	United States		117,652		36,963

Total					74,409


Industrials (29.2%)
Aalberts NV	Netherlands		45,000		1,745
Airbus SE	France		175,400		20,845
Assa Abloy AB - Class B	Sweden		762,100		16,338


Common Stocks (98.1%)	Country	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Atlas Copco AB - Class A	Sweden		1,951,600		23,023
Auckland International Airport, Ltd. *	New Zealand		575,955		2,856
Azelis Group NV	Belgium		127,785		3,628
BAE Systems PLC	United Kingdom		783,600		8,109
CAE, Inc. *	Canada		272,600		5,273
Canadian Pacific Railway, Ltd.	Canada		223,300		16,648
Cellnex Telecom SA	Spain		137,239		4,542
Edenred	France		209,766		11,425
Epiroc AB	Sweden		744,332		13,542
Experian PLC	United Kingdom		431,100		14,661
FANUC Corp.	Japan		46,900		7,088
IMCD NV	Netherlands		48,300		6,884
Interpump Group SpA	Italy		122,400		5,524
KONE Oyj	Finland		102,600		5,305
Legrand SA	France		175,800		14,080
MISUMI Group, Inc.	Japan		469,700		10,304
OSG Corp.	Japan		152,700		2,114
Otis Worldwide Corp.	United States		68,300		5,348
Recruit Holdings Co., Ltd.	Japan		624,300		19,870
Safran SA	France		178,900		22,391
Schindler Holding AG	Switzerland		22,908		4,262
SHO-BOND Holdings Co., Ltd.	Japan		141,061		6,040
Vestas Wind Systems A/S	Denmark		312,200		9,083

Total					260,928


Information Technology (19.7%)
Amadeus IT Group SA *	Spain		403,100		20,949
ASML Holding NV	Netherlands		84,600		45,624
Azbil Corp.	Japan		358,500		9,083
Keyence Corp.	Japan		65,200		25,546
Lagercrantz Group AB	Sweden		92,800		919
Lam Research Corp.	United States		9,300		3,909
Lasertec Corp.	Japan		62,200		10,306
Lectra	France		75,400		2,841
Mastercard, Inc. - Class A	United States		44,650		15,526
NICE, Ltd., ADR *	Israel		62,200		11,961
Spectris PLC	United Kingdom		222,600		8,079
Taiwan Semiconductor
Manufacturing Co., Ltd.	Taiwan		774,000		11,294
Visa, Inc. - Class A	United States		49,025		10,185

Total					176,222


Materials (7.4%)
CRH PLC, ADR	Ireland		405,500		16,135
Franco-Nevada Corp.	Canada		51,000		6,952
Linde PLC	United Kingdom		100,755		32,944
The Sherwin-Williams Co.	United States		40,700		9,659

Total					65,690

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

International Growth Portfolio


Common Stocks (98.1%)	Country	Shares/ Par ⁺		Value $ (000’s)

Real Estate (0.6%)
Vonovia SE	Germany		220,660		5,201

Total					5,201


Total Common Stocks
(Cost: $768,629)					876,117


Total Investments (98.1%)
(Cost: $768,629)^@					876,117

Other Assets, Less Liabilities (1.9%)					16,931

Net Assets (100.0%)					893,048


Investments by Country of Risk as a Percentage of Net Assets:
United States			25.2%
France			13.6%
Japan			12.6%
United Kingdom			11.1%
Sweden			6.7%
Netherlands			6.1%
Other			22.8%
Total			98.1%

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $771,200 and the net unrealized appreciation of investments based on that cost was $104,917 which is comprised of $150,207 aggregate gross unrealized appreciation and $45,290 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	876,117	$	-	$	-
Total Assets:	$	876,117	$	-	$	-

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

Research International Core Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Capital appreciation.	Invest primarily in foreign equity securities, including emerging markets.	$744 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Research International Core Portfolio (the “Portfolio”), has engaged Massachusetts Financial Services Company (“MFS^®”) to act as sub-adviser for the Portfolio. The Portfolio normally invests in foreign equity securities, including emerging market equity securities. In conjunction with a team of investment research analysts, sector leaders select investments for the Portfolio. An active, “bottom up” investment approach is used to buy and sell investments for the Portfolio. The Portfolio is generally managed to be sector neutral to the MSCI EAFE^® Index. The Portfolio may invest in the stocks of companies it believes to have above average earnings growth potential compared to other companies (growth companies), in the stocks of companies it believes are undervalued compared to their perceived worth (value companies), or in a combination of growth and value companies.

MARKET OVERVIEW

During the reporting period, markets continued to grapple with the strongest global inflationary pressures in decades along with signs of slowing economic growth. Intermittent COVID-19 flareups, particularly in China, weighed on supply chains. The reopening of the economy in the parts of the world where the virus has been better contained has led to a shift in consumer consumption patterns in favor of services over manufactured goods, straining already tight labor markets in most developed economies. As a result of Russia’s invasion of Ukraine, geopolitical considerations, such as sanctions and trade bans, have resulted in additional supply chain disruptions and volatile global energy prices. Taken together, these factors have contributed to market volatility.

Despite the challenging macroeconomic and geopolitical environment, policymakers remained focused on controlling inflation. The Federal Reserve tightened policy at the fastest rate in decades, slowing its pace at the end of the period, as did the European Central Bank. Near the end of the period, the Bank of Japan widened its Yield Curve Control band, an action investors interpreted as a first step toward monetary policy normalization.

Against an environment of still-tight labor markets, tighter global financial conditions and volatile materials prices, investor anxiety that corporate profit margins may have peaked for this cycle appears to have increased. However, tentative signs that supply chain bottlenecks may be moderating, the easing of COVID-19-related restrictions in China, low levels of unemployment across developed markets and anticipation that inflation levels may be near a peak were supportive factors for the macroeconomic backdrop.

PORTFOLIO RESULTS

The Portfolio returned (17.16%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s primary and secondary benchmarks, the MSCI^® All Country World (ex-U.S.) Index (the “Index”) and the MSCI EAFE^® Index, returned (16%) and (14.45%), respectively. (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2022 of the International Multi-Cap Core Funds peer group was (15.45%).

Stock selection in the Industrials sector was a primary detractor from the Portfolio’s relative performance. Specifically, the Portfolio’s overweight positions in electronic power tools manufacturer Techtronic Industries Co., Ltd. and electrical distribution equipment manufacturer Schneider Electric SE detracted.

Stock selection in both the Materials and Real Estate sectors also detracted from performance. The Portfolio’s overweight positions in specialty chemical products manufacturers Croda International PLC and Sika AG and real estate company LEG Immobilien SE weighed on performance.

Other detractors included software engineering services company EPAM Systems, Inc. and overweight positions in sportswear manufacturer adidas AG, technology company Koninklijke Philips NV and business system services company Nomura Research Institute, Ltd. In addition, not owning shares of global energy and petrochemicals company Shell PLC detracted.

Research International Core Portfolio (unaudited)

A combination of an underweight positioning and security selection in the Information Technology sector contributed to relative returns, particularly not owning shares of e-commerce platform operator Shopify, Inc.

Individual stocks that contributed to relative performance include overweight positions in pharmaceutical company Novo Nordisk A/S, oil and gas company Galp Energia SGPS SA and commodity trading and mining company Glencore PLC. Additionally, holding shares of industrial gas supplier Linde PLC and financial services company Aon PLC contributed.

During the reporting period, the Portfolio’s relative currency exposure, resulting primarily from differences between the Portfolio’s and the Index’s exposures to holdings of securities denominated in foreign currencies, benefited relative performance. The Portfolio’s cash and/or cash equivalents position during the period was also a contributor to relative performance.

PORTFOLIO MANAGER OUTLOOK

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

Our investment decisions are driven by the fundamentals of each individual opportunity and, as such, it is common for the Portfolios to have different currency exposure than the Index.

Additionally, under normal market conditions, we strive for the Portfolio to be fully invested and generally hold cash to buy new holdings and to provide liquidity. In a period when equity markets fell, as measured by the Index, holding cash contributed to the Portfolio’s relative performance, as the Index has no cash position.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Research International Core Portfolio		-17.16	%		3.13	%		4.96	%
MSCI® All Country World (ex-US) Index (Net)		-16.00	%		0.88	%		3.80	%
MSCI EAFE® Index (Net)		-14.45	%		1.54	%		4.67	%
Lipper® Variable Insurance Products (VIP) International Multi-Cap Core Funds Average		-15.45	%		0.90	%		4.16	%

With respect to its broad-based benchmark, the Portfolio has elected to calculate the MSCI^® All Country World (ex-US) Index net of withholding taxes on reinvested dividends rather than the MSCI^® All Country World (ex-US) Index gross of withholding taxes on reinvested dividends because the net calculation more closely reflects the Portfolio’s performance for an investor.

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 (unaudited)

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Roche Holding AG	3.2	%
Novo Nordisk A/S - Class B	3.2	%
Nestle SA	3.0	%
Linde PLC	2.9	%
LVMH Moet Hennessy Louis Vuitton SE	2.6	%
Schneider Electric SE	2.5	%
Hitachi, Ltd.	1.8	%
TotalEnergies SE	1.7	%
AIA Group, Ltd.	1.7	%
Glencore PLC	1.6	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Financials		17.9	%
Industrials		15.5	%
Health Care		13.2	%
Consumer Discretionary		9.8	%
Materials		9.2	%
Consumer Staples		9.0	%
Information Technology		9.0	%
Energy		5.5	%
Communication Services		4.5	%
Utilities		3.2	%
Short-Term Investments & Other Net Assets		1.7	%
Real Estate		1.5	%

Sector Allocation and Top 10 Holdings are subject to change.

Research International Core Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (98.3%)	Country	Shares/ Par ⁺		Value $ (000’s)

Communication Services (4.5%)
Advanced Info Service PCL - Foreign Shares	Thailand		752,400		4,236
carsales.com, Ltd.	Australia		179,014		2,530
Hellenic Telecommunications Organization SA	Greece		194,734		3,041
KDDI Corp.	Japan		225,900		6,854
NAVER Corp.	South Korea		15,431		2,192
NetEase, Inc., ADR	China		64,941		4,717
SEEK, Ltd.	Australia		125,186		1,785
SoftBank Group Corp.	Japan		99,200		4,266
Tencent Holdings, Ltd.	China		84,800		3,629

Total					33,250


Consumer Discretionary (9.8%)
Aristocrat Leisure, Ltd.	Australia		190,254		3,954
Bridgestone Corp.	Japan		111,000		3,968
Burberry Group PLC	United Kingdom		101,945		2,502
Cie Financiere Richemont SA	Switzerland		64,063		8,307
Compagnie Generale des Etablissements Michelin	France		153,254		4,263
Flutter Entertainment PLC *	Australia		17,393		2,374
Koito Manufacturing Co., Ltd.	Japan		275,500		4,171
LVMH Moet Hennessy Louis Vuitton SE	France		26,906		19,582
NIKE, Inc. - Class B	United States		33,494		3,919
Techtronic Industries Co., Ltd.	Hong Kong		581,000		6,483
Whitbread PLC	United Kingdom		93,762		2,913
Yamaha Corp.	Japan		82,100		3,078
Yum China Holdings, Inc.	China		80,877		4,420
ZOZO, Inc.	Japan		107,300		2,665

Total					72,599


Consumer Staples (9.0%)
British American Tobacco PLC	United Kingdom		267,331		10,606
Danone SA	France		86,728		4,570
Diageo PLC	United Kingdom		244,524		10,790
Kao Corp.	Japan		103,000		4,124
Kirin Holdings Co., Ltd.	Japan		282,400		4,327
Nestle SA	United States		195,436		22,645
Ocado Group PLC *	United Kingdom		106,868		797
Reckitt Benckiser Group PLC	United Kingdom		104,920		7,299
Sugi Holdings Co., Ltd.	Japan		40,100		1,794

Total					66,952


Energy (5.5%)
Eni SpA	Italy		515,795		7,335
Galp Energia SGPS SA	Portugal		708,744		9,567
Idemitsu Kosan Co., Ltd.	Japan		186,600		4,365
TotalEnergies SE	France		199,787		12,543
Woodside Energy Group, Ltd.	Australia		296,320		7,150

Total					40,960


Common Stocks (98.3%)	Country	Shares/ Par ⁺		Value $ (000’s)

Financials (17.9%)
AIA Group, Ltd.	Hong Kong		1,104,400		12,281
Aon PLC	United States		34,345		10,308
Bank of Ireland Group PLC	Ireland		192,596		1,835
Beazley PLC	United Kingdom		677,734		5,567
BNP Paribas SA	France		197,619		11,265
Euronext NV	Netherlands		124,043		9,183
HDFC Bank, Ltd.	India		323,915		6,375
Hiscox, Ltd.	United Kingdom		321,360		4,233
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		171,100		7,392
Julius Baer Group, Ltd.	Switzerland		111,594		6,500
London Stock Exchange Group PLC	United Kingdom		116,333		10,036
Macquarie Group, Ltd.	Australia		57,254		6,508
Mitsubishi UFJ Financial Group, Inc.	Japan		938,300		6,356
NatWest Group PLC	United Kingdom		3,370,557		10,807
UBS Group AG	Switzerland		619,083		11,519
Willis Towers Watson PLC	United States		16,553		4,049
Zurich Insurance Group AG	Switzerland		19,126		9,149

Total					133,363


Health Care (13.2%)
Bayer AG	Germany		99,363		5,140
ConvaTec Group PLC	United Kingdom		1,500,496		4,219
Kyowa Kirin Co., Ltd.	Japan		362,900		8,351
Merck KGaA	Germany		40,948		7,929
Novo Nordisk A/S - Class B	Denmark		176,453		23,826
Qiagen NV *	United States		196,490		9,888
Roche Holding AG	United States		76,100		23,909
Sanofi	France		60,345		5,803
Santen Pharmaceutical Co., Ltd.	Japan		572,700		4,687
Terumo Corp.	Japan		148,800		4,247

Total					97,999


Industrials (15.5%)
Cellnex Telecom SA	Spain		128,722		4,260
Daikin Industries, Ltd.	Japan		59,900		9,220
GEA Group AG	Germany		209,508		8,567
Hitachi, Ltd.	Japan		264,100		13,465
Kubota Corp.	Japan		443,600		6,141
Legrand SA	France		99,310		7,954
MTU Aero Engines AG	Germany		29,850		6,461
Persol Holdings Co., Ltd.	Japan		136,400		2,939
Ritchie Bros Auctioneers, Inc.	Canada		51,310		2,964
Ryanair Holdings PLC *	Ireland		37,729		2,821
Schindler Holding AG	Switzerland		28,871		5,430
Schneider Electric SE	United States		131,974		18,467
Secom Co., Ltd.	Japan		39,400		2,264
SMC Corp.	Japan		20,000		8,470
Thales SA	France		17,986		2,297
Toyota Industries Corp.	Japan		95,800		5,285
Weir Group PLC	United Kingdom		196,321		3,961

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

Research International Core Portfolio


Common Stocks (98.3%)	Country	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Wolters Kluwer NV	Netherlands		41,295		4,321

Total					115,287


Information Technology (9.0%)
Amadeus IT Group SA *	Spain		125,470		6,521
ASML Holding NV	Netherlands		5,232		2,821
Cadence Design Systems, Inc. *	United States		28,161		4,524
Constellation Software, Inc.	Canada		5,316		8,300
Fujitsu, Ltd.	Japan		72,500		9,731
Kyocera Corp.	Japan		102,000		5,092
Nomura Research Institute, Ltd.	Japan		303,700		7,208
NXP Semiconductors NV	China		28,052		4,433
Samsung Electronics Co., Ltd.	South Korea		124,418		5,487
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		378,189		5,519
Visa, Inc. - Class A	United States		35,085		7,289

Total					66,925


Materials (9.2%)
Akzo Nobel NV	Netherlands		92,345		6,184
Croda International PLC	United Kingdom		90,708		7,242
Glencore PLC	Australia		1,738,822		11,612
Kansai Paint Co., Ltd.	Japan		170,800		2,107
Linde PLC	United Kingdom		66,284		21,673
Nitto Denko Corp.	Japan		96,000		5,596
Sika AG	Switzerland		28,444		6,820
Symrise AG	Germany		66,924		7,282

Total					68,516


Common Stocks (98.3%)	Country	Shares/ Par ⁺		Value $ (000’s)

Real Estate (1.5%)
ESR Cayman, Ltd.	China		1,420,600		2,981
Grand City Properties SA	Germany		263,479		2,592
LEG Immobilien SE	Germany		87,034		5,670

Total					11,243


Utilities (3.2%)
APA Group	Australia		397,837		2,915
China Resources Gas Group, Ltd.	China		755,800		2,837
CLP Holdings, Ltd.	Hong Kong		447,500		3,265
E.ON SE	Germany		369,973		3,697
Iberdrola SA	Spain		746,018		8,728
Orsted A/S	Denmark		28,114		2,555

Total					23,997


Total Common Stocks
(Cost: $667,340)					731,091


Warrants (0.0%)

Consumer Discretionary (0.0%)
Cie Financiere Richemont SA *	Switzerland		136,342		114


Total					114

Total Warrants
(Cost: $–)					114


Total Investments (98.3%)
(Cost: $667,340)@					731,205

Other Assets, Less Liabilities (1.7%)					12,868

Net Assets (100.0%)					744,073


Investments by Country of Risk as a Percentage of Net Assets:
Japan			18.9%
United States			14.0%
United Kingdom			13.9%
France			9.2%
Germany			6.5%
Switzerland			6.3%
Australia			5.2%
Other			24.3%
Total			98.3%

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

*	Non income producing

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $670,185 and the net unrealized appreciation of investments based on that cost was $61,020 which is comprised of $120,676 aggregate gross unrealized appreciation and $59,656 aggregate gross unrealized depreciation.

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

Research International Core Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	26,822	$	6,428	$	-
Information Technology		61,438		5,487		-
All Others		630,916		-		-
Warrants		114		-		-
Total Assets:	$	719,290	$	11,915	$	-

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

International Equity Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Long-term growth of capital. Any income realized will be incidental.	Invests primarily in equity securities of issuers outside of the U.S. with favorable long-term potential relative to current market values.	$1.7 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the International Equity Portfolio (“the Portfolio”), has engaged Dodge & Cox to act as sub-adviser for the Portfolio. The Portfolio may purchase securities in any country, including those with developed markets and emerging markets and is not required to allocate its investments in set percentages in particular countries, except that the Portfolio’s investments in emerging markets countries normally will be limited to 30% of its net assets. The Portfolio typically invests in well-established companies of medium-to-large capitalization based on standards of the applicable market. The Portfolio typically invests in companies that appear to be temporarily undervalued but have a favorable outlook for long-term growth. The portfolio managers also focus on the underlying financial condition and prospects of individual companies, including future earnings, cash flow, and dividends.

MARKET OVERVIEW

During the first nine months of 2022, international equity markets declined significantly amid geopolitical and economic uncertainty. Recession fears heightened as many central banks increased interest rates to combat inflation. International equities advanced in the fourth quarter, as investors were encouraged by the slowing pace of interest rate hikes. Despite this strong quarter, international equities still posted negative returns for the overall year. U.S. dollar-based investors exposed to international equities faced an additional headwind in 2022— the U.S. dollar appreciated rapidly as the Federal Reserve (the “Fed”) aggressively hiked interest rates.

While valuations continue to be reasonable for the overall market, wide valuation disparities remain between value and growth stocks and between the beneficiaries and victims of low interest rates. International value stocks outperformed growth stocks in 2022. While the valuation gap between value and growth compressed, it remains wide overall. International stocks are also inexpensive relative to U.S. stocks. Furthermore, the valuation spread between stocks benefiting from, and those hindered by, low interest rates remains near its widest point over the past 20 years.

PORTFOLIO RESULTS

The Portfolio returned (6.83%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the MSCI^® All Country World (ex-US) Value Index (the “Index”), returned (8.59%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund rating agency, the average return in 2022 of the International Large Cap Value Funds peer group was (9.13%).

The Portfolio’s emerging market positions, especially Itau Unibanco SA, Axis Bank, Ltd. and ICICI Bank, Ltd. contributed to performance. These three emerging markets banks were key to the Portfolio’s performance within the Financials sector. Multinational banks UBS Group AG and Standard Chartered PLC were also strong within Financials. The Portfolio’s performance was also supported by its holdings in the Consumer Discretionary sector.

In contrast, the Portfolio’s holdings within the Health Care and Communication Services sectors detracted from the Portfolio’s return. The Industrials sector also detracted, especially Nidec Corp. and Mitsubishi Electric Corp. In terms of specific holdings, Credit Suisse Group AG, a global bank and financial services company, was the worst performing stock in the Portfolio for the year.

PORTFOLIO MANAGER OUTLOOK

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

Higher inflation has contributed to recent macroeconomic concerns and driven volatility across global financial markets. However, successful investing requires disciplined decision-making amid uncertainty. While uncertainty poses risks, it also provides opportunities. As active managers, we seek to ascertain these opportunities and position the Portfolio accordingly.

As a result of our bottom-up process, the Portfolio remains overweight in the Financials, Energy and Materials sectors, which meaningfully contributed to outperformance in 2022, we have developed our conviction in these holdings over the years, and this persistence was rewarded. Energy was the best performing sector of the market, and we trimmed the

International Equity Portfolio (unaudited)

Portfolio’s exposure as valuations increased. Market volatility created opportunities across a wide range of industries and geographies, enabling us to start four new positions (Entain PLC, Flutter Entertainment PLC, NetEase, Inc. and Stellantis N.V.) and add to various existing holdings in 2022. We believe our investment approach is well suited for volatile market environments and remain enthusiastic about the long-term prospects for the Portfolio.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
International Equity Portfolio		-6.83	%		-1.94	%		2.13	%
MSCI® All Country World (ex-US) Value Index (Net)		-8.59	%		-0.05	%		2.72	%
MSCI® All Country World (ex-US) Index (Net)		-16.00	%		0.88	%		3.80	%
Lipper® Variable Insurance Products (VIP) International Large Cap Value Funds Average		-9.13	%		0.77	%		3.62	%

deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

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

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Sanofi		4.2	%
UBS Group AG		3.8	%
Novartis AG		3.6	%
Prosus NV		3.4	%
BNP Paribas SA		3.0	%
GSK PLC		2.9	%
Banco Santander SA		2.9	%
TotalEnergies SE		2.8	%
Axis Bank, Ltd.		2.7	%
Roche Holding AG		2.6	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Financials		27.2	%
Health Care		16.1	%
Materials		11.2	%
Consumer Discretionary		11.1	%
Energy		7.8	%
Consumer Staples		7.0	%
Industrials		6.2	%
Information Technology		5.6	%
Communication Services		3.7	%
Real Estate		2.1	%
Short-Term Investments & Other Net Assets		1.4	%
Utilities		0.6	%

Sector Allocation and Top 10 Holdings are subject to change.

International Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (94.3%)	Country	Shares/ Par ⁺		Value $ (000’s)

Communication Services (3.7%)
Baidu, Inc., ADR *	China		185,000		21,160
Grupo Televisa SAB, ADR	Mexico		1,850,000		8,436
Liberty Global PLC - Class A *	United Kingdom		175,000		3,313
Liberty Global PLC - Class C *	United Kingdom		327,000		6,354
Millicom International Cellular, SDR *	Luxembourg		374,000		4,736
NetEase, Inc., ADR	China		271,824		19,743

Total					63,742


Consumer Discretionary (11.1%)
Alibaba Group Holding, Ltd., ADR *	China		365,000		32,153
Booking Holdings, Inc. *	United States		7,300		14,711
Entain PLC	United Kingdom		1,050,000		16,775
Flutter Entertainment PLC *	Ireland		22,088		3,022
Honda Motor Co., Ltd.	Japan		990,000		22,872
JD.com, Inc., ADR	China		430,000		24,136
Prosus NV *	China		843,600		58,200
Stellantis NV	United States		1,157,350		16,433
Yamaha Motor Co., Ltd.	Japan		180,000		4,128

Total					192,430


Consumer Staples (7.0%)
Anheuser-Busch InBev SA/NV	Belgium		475,000		28,611
Beiersdorf AG	Germany		137,000		15,721
Haleon PLC *	United Kingdom		4,810,900		19,039
Imperial Brands PLC	United Kingdom		1,625,000		40,686
Magnit PJSC *,Æ	Russia		135,000		-
Seven & i Holdings Co., Ltd.	Japan		385,000		16,604

Total					120,661


Energy (7.8%)
Equinor ASA	Norway		300,000		10,773
Ovintiv, Inc.	United States		475,500		24,113
Suncor Energy, Inc.	Canada		1,120,000		35,537
TC Energy Corp.	Canada		400,000		15,944
TotalEnergies SE	France		755,000		47,400

Total					133,767


Financials (25.2%)
Aegon NV	Netherlands		2,150,000		10,904
Aviva PLC	United Kingdom		4,301,600		23,027
Axis Bank, Ltd.	India		4,100,000		46,276
Banco Santander SA	Spain		16,500,000		49,499
Barclays PLC	United Kingdom		18,700,000		35,837
BNP Paribas SA	France		920,000		52,441
Credicorp, Ltd.	Peru		135,000		18,314
Credit Suisse Group AG	Switzerland		2,821,698		8,435
ICICI Bank, Ltd.	India		3,650,000		39,304
Mitsubishi UFJ Financial Group, Inc.	Japan		2,500,000		16,935
Prudential PLC	Hong Kong		1,703,152		23,215
Standard Chartered PLC	United Kingdom		4,304,703		32,391
UBS Group AG	Switzerland		3,525,000		65,590


Common Stocks (94.3%)	Country	Shares/ Par ⁺		Value $ (000’s)

Financials continued
XP, Inc. - Class A *	Brazil		824,306		12,645

Total					434,813


Health Care (16.1%)
Bayer AG	Germany		480,000		24,830
Euroapi SASU *	France		30,434		451
Fresenius Medical Care AG & Co. KGaA	Germany		381,146		12,473
GSK PLC	United States		2,850,000		49,533
Novartis AG	Switzerland		695,000		62,829
Olympus Corp.	Japan		725,100		12,995
Roche Holding AG	United States		140,000		43,984
Sanofi	France		745,000		71,646

Total					278,741


Industrials (6.2%)
Johnson Controls International PLC	United States		600,000		38,400
Mitsubishi Electric Corp.	Japan		3,400,000		34,028
Nidec Corp.	Japan		115,000		5,993
Schneider Electric SE	United States		98,000		13,713
Smiths Group PLC	United Kingdom		765,000		14,784

Total					106,918


Information Technology (3.3%)
Brother Industries, Ltd.	Japan		385,000		5,888
Kyocera Corp.	Japan		276,000		13,779
Micro Focus International PLC	United Kingdom		515,000		3,296
Murata Manufacturing Co., Ltd.	Japan		310,000		15,561
TE Connectivity, Ltd.	Switzerland		163,000		18,712

Total					57,236


Materials (11.2%)
Akzo Nobel NV	Netherlands		480,000		32,144
Glencore PLC	Australia		3,300,000		22,038
Holcim, Ltd. *	Switzerland		845,000		43,756
Linde PLC	United Kingdom		50,000		16,349
Mitsubishi Chemical Group Corp.	Japan		4,570,000		23,842
Nutrien, Ltd.	Canada		325,000		23,735
Teck Resources, Ltd. - Class B	Canada		810,000		30,634

Total					192,498


Real Estate (2.1%)
CK Asset Holdings, Ltd.	Hong Kong		2,435,500		14,993
Daito Trust Construction Co., Ltd.	Japan		128,200		13,226
Hang Lung Group, Ltd.	Hong Kong		4,000,000		7,349

Total					35,568

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

International Equity Portfolio


Common Stocks (94.3%)	Country	Shares/ Par ⁺		Value $ (000’s)

Utilities (0.6%)
Engie SA *	France		771,558		11,057

Total					11,057


Total Common Stocks (Cost: $1,822,211)					1,627,431


Preferred Stocks (4.3%)

Financials (2.0%)
Itau Unibanco Holding SA *	Brazil		7,325,000		34,789

Total					34,789


Information Technology (2.3%)
Samsung Electronics Co., Ltd.	South Korea		985,000		39,634


Total					39,634


Total Preferred Stocks (Cost: $85,450)					74,423

Total Investments (98.6%) (Cost: $1,907,661)^@					1,701,854

Other Assets, Less Liabilities (1.4%)					24,342

Net Assets (100.0%)					1,726,196


Investments by Country of Risk as a Percentage of Net Assets:
United Kingdom			12.3%
Switzerland			11.5%
United States			11.5%
Japan			10.8%
France			10.6%
China			9.0%
Canada			6.2%
India			5.0%
Other			21.7%
Total			98.6%

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 Bank USA	CNH	55,000	7,916	1/11/23	$	589	$	-		$	589
Sell	HSBC Bank USA	CNH	28,450	4,113	1/11/23		286		-			286
Sell	JP Morgan Chase Bank NA	CNH	10,350	1,496	1/11/23		100		-			100
Sell	Standard Chartered Bank	CNH	18,100	2,617	1/11/23		187		-			187
Sell	HSBC Bank USA	CNH	36,500	5,288	2/8/23		363		-			363
Sell	Citibank NA	CNH	20,150	2,929	3/22/23		189		-			189
Sell	HSBC Bank USA	CNH	34,079	4,954	3/22/23		241		-			241
Sell	JP Morgan Chase Bank NA	CNH	37,650	5,473	3/22/23		346		-			346
Sell	Standard Chartered Bank	CNH	17,500	2,544	3/22/23		157		-			157
Sell	Bank of America NA	CNH	23,484	3,433	6/7/23		78		-			78
Sell	Citibank NA	CNH	14,673	2,145	6/7/23		48		-			48
Sell	HSBC Bank USA	CNH	14,673	2,145	6/7/23		49		-			49
Sell	UBS AG	CNH	81,270	11,881	6/7/23		279		-			279
Sell	HSBC Bank USA	CNH	219,779	32,274	8/9/23		594		-			594
Sell	Bank of America NA	CNH	21,563	3,174	9/13/23		-		(102	)		(102	)
Sell	Goldman Sachs Bank USA	CNH	21,563	3,174	9/13/23		-		(100	)		(100	)

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

International Equity 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)
Sell	HSBC Bank USA	CNH	21,562	3,174	9/13/23	$	-	$	(102	)	$	(102	)
Sell	JP Morgan Chase Bank NA	CNH	21,563	3,174	9/13/23		-		(98	)		(98	)
Sell	Bank of America NA	CNH	15,126	2,231	10/18/23		-		(17	)		(17	)
Sell	Goldman Sachs Bank USA	CNH	15,355	2,265	10/18/23		-		(20	)		(20	)
Sell	HSBC Bank USA	CNH	15,355	2,265	10/18/23		-		(18	)		(18	)
Sell	Bank of America NA	CNH	31,411	4,639	11/8/23		-		(82	)		(82	)
Sell	HSBC Bank USA	CNH	23,862	3,523	11/8/23		-		(105	)		(105	)
Sell	JP Morgan Chase Bank NA	CNH	23,683	3,498	11/8/23		-		(105	)		(105	)
Sell	Standard Chartered Bank	CNH	32,989	4,872	11/8/23		-		(107	)		(107	)
Sell	Goldman Sachs Bank USA	CNH	22,803	3,372	12/6/23		-		(24	)		(24	)
Sell	JP Morgan Chase Bank NA	CNH	48,766	7,212	12/6/23		-		(48	)		(48	)

						$	3,506	$	(928	)	$	2,578


	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	$	3,506	-	$	3,506	$	(928)	-	-	$	(928)

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,919,072 and the net unrealized depreciation of investments based on that cost was $214,640 which is comprised of $82,374 aggregate gross unrealized appreciation and $297,014 aggregate gross unrealized depreciation.

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

International Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-	$	74,423		$	-
Common Stocks
Consumer Staples		120,661		-			-
Utilities		1,025		10,032			-
All Others		1,495,713		-			-
Other Financial Instruments^
Forward Foreign Currency Contracts		-		3,506			-
Total Assets:	$	1,617,399	$	87,961		$	-
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		-		(928	)		-
Total Liabilities:	$	-	$	(928	)	$	-

For the period ended December 31, 2022, there was a transfer from Level 2 to Level 3 in the amount of $0 (in thousands). This transfer was 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)


Objective:	Portfolio Strategy:	Net Assets:
Capital Appreciation.	Invest in equity securities of issuers that are tied economically to emerging market countries.	$854 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Emerging Markets Equity Portfolio (“the Portfolio”), has engaged abrdn Investments Limited (“Aberdeen”) to act as sub-adviser for the Portfolio. The Portfolio normally invests in equity securities of issuers that are tied economically to emerging market countries. Emerging market countries include countries determined by the Portfolio’s portfolio managers to have emerging market economies, taking into account a number of factors, such as the country’s credit rating, its political and economic stability and the development of its financial and capital markets. The Portfolio may invest in companies of any size. The Portfolio employs a fundamental “bottom up” equity investment style, which is characterized by intensive, first-hand research and disciplined company evaluation. Investments are identified for their long-term, fundamental value.

MARKET OVERVIEW

Emerging market equities retreated during an extremely challenging year for the asset class, lagging developed markets. Stocks maintained a broad downtrend for most of 2022 as major central banks tightened policy to counter inflation, which was exacerbated by Russia’s invasion of Ukraine. The inflationary consequences of the war prompted central banks to act aggressively, triggering recession fears. Multiple interest rate hikes by the Federal Reserve (the “Fed”) boosted the U.S. dollar, which further dented sentiment towards emerging markets. Compounding concerns were negative developments in China, including regulatory scrutiny, an ongoing property crisis, tensions with the U.S. and stringent lockdowns due to Beijing’s zero-COVID policy.

Losses moderated toward year-end as emerging market equities staged an impressive comeback on hopes that the Fed may temper its pace of tightening. Markets also reacted positively to China’s rapid reversal of their zero-COVID policy and signs of stabilization in the U.S.-China relationship.

PORTFOLIO RESULTS

The Portfolio returned (25.28%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the MSCI^® Emerging Markets Index (the “Index”) returned (20.09%). (This Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Emerging Markets Funds peer group was (22.35%).

Exposure to Russia and stock selection in China were key detractors from the Portfolio’s relative return. Revaluing the Portfolio’s Russian Energy sector holdings in LUKOIL PJSC and NovaTek PJSC to zero, following the start of the Russia-Ukraine war proved costly. The Portfolio’s sub-adviser made that decision due to the implementation of stringent capital controls in Russia following stiff Western sanctions on Moscow, which made it impossible to realize any value from the investments. The Portfolio lost its exposure to energy companies at a time when oil prices hit record levels. Hence, an underweight to Middle Eastern oil exporters in subsequent months also detracted.

Holdings in China, which faced multiple headwinds over the year, also hampered relative performance. China Merchants Bank Co., Ltd. retreated after its president was removed and investigated by China’s anti-corruption watchdog.

Some of the Portfolio’s Information Technology holdings, notably Prosus N.V. and Sea, Ltd., also detracted as growing concerns about recession fueled concerns over slowing demand for e-commerce, consumer electronics and semiconductor chips. The Portfolio’s core semiconductor holdings in Samsung Electronics Co., Ltd. and Taiwan Semiconductor Manufacturing Co., Ltd. also detracted but remain well positioned to ride through the industry downcycle.

Conversely, exposure to Mexico, where fundamentals remained strong, contributed to relative returns. Lender Grupo Financiero Banort SAB de CV, in the Financials sector, and bottling company Fomento Economico Mexicano SAB de CV, in the Consumer Staples sector, advanced amid higher interest rates and domestic consumption strength.

The Portfolio’s position in Asia also contributed. The Indonesian Financials sector, notably PT Bank Central Asia Tbk and Bank Rakyat Indonesia (Persero) Tbk PT, outperformed as the Indonesian economy benefited from reopening and higher commodity prices. Thailand-based Energy company PTT Exploration & Production PCL advanced on resilient results and relatively elevated oil prices. In China, China Tourism Group Duty Free Corp., Ltd. rose in anticipation of the country reopening. The Hong Kong companies insurer AIA Group, Ltd. and brewer Budweiser Brewing Co. APAC. Ltd. also rallied.

Emerging Markets Equity Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

While the U.S. continues to unwind years of loose monetary policy, emerging market central banks are approaching the end of their rates cycle. Larger emerging economies have relatively resilient currency reserves and current account positions. Corporate balance sheets have also emerged stronger from the pandemic, particularly as a global recession looms. Meanwhile, the potential for a counter-cyclical recovery in China remains, aided by the country’s rapid reversal of their zero-COVID policy. Macro policy is likely to stay accommodative due to relatively low inflation. Beyond China, other emerging markets are set to benefit from a post-pandemic rearrangement of global supply chains—with international companies diversifying into relatively resilient markets like India and regions such as South East Asia.

We remain focused on businesses with quality characteristics, including sustainable free cash flow generation and earnings growth, pricing power and low debt levels. Such characteristics should help businesses manage any near-term supply disruption and cost pressures.

Relative Performance

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Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Emerging Markets Equity Portfolio		-25.28	%		-1.21	%		0.24	%
MSCI^® Emerging Markets Index (Net)		-20.09	%		-1.40	%		1.44	%
Lipper^® Variable Insurance Products (VIP) Emerging Markets Funds Average		-22.35	%		-1.74	%		1.20	%

With respect to its broad-based benchmark, the Portfolio has elected to calculate the MSCI^® Emerging Markets Index net of withholding taxes on reinvested dividends rather than the MSCI^® Emerging Markets Index gross of withholding taxes on reinvested dividends because the net calculation more closely reflects the Portfolio’s performance for an investor.

original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit www.northwesternmutual.com.

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 (unaudited)

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Taiwan Semiconductor Manufacturing Co., Ltd.	6.9	%
Samsung Electronics Co., Ltd., Various	5.7	%
Tencent Holdings, Ltd.	5.7	%
Alibaba Group Holding, Ltd.	4.3	%
Housing Development Finance Corp., Ltd.	3.9	%
JD.com, Inc. - Class A	2.9	%
AIA Group, Ltd.	2.7	%
SBI Life Insurance Co., Ltd.	2.3	%
LG Chem, Ltd.	2.3	%
Budweiser Brewing Co. APAC, Ltd.	2.1	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Financials		24.6	%
Information Technology		20.7	%
Consumer Discretionary		15.7	%
Consumer Staples		9.4	%
Materials		7.3	%
Communication Services		6.7	%
Industrials		5.2	%
Health Care		2.9	%
Energy		2.9	%
Short-Term Investments & Other Net Assets		1.8	%
Utilities		1.6	%
Real Estate		1.2	%

Sector Allocation and Top 10 Holdings are subject to change.

Emerging Markets Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (94.4%)	Country		Shares/ Par ⁺		Value $ (000’s)

Communication Services (6.7%)
Telkom Indonesia Persero Tbk PT		Indonesia		36,276,100		8,739
Tencent Holdings, Ltd.		China		1,128,100		48,272

Total						57,011


Consumer Discretionary (15.7%)
Alibaba Group Holding, Ltd. *		China		3,337,200		36,876
Americana Restaurants		United Arab
International PLC *		Emirates		10,431,827		8,466
China Tourism Group Duty Free Corp., Ltd. - Class A		China		272,786		8,477
China Tourism Group Duty Free Corp., Ltd. - Class H *		China		193,500		5,702
JD.com, Inc. - Class A		China		875,950		24,711
Maruti Suzuki India, Ltd.		India		81,998		8,320
Meituan Dianping - Class B *		China		550,700		12,326
MercadoLibre, Inc. *		Brazil		8,906		7,537
Midea Group Co., Ltd. - Class A		China		1,878,166		13,995
Zhongsheng Group Holdings, Ltd.		China		1,551,000		7,978

Total						134,388


Consumer Staples (9.4%)
Budweiser Brewing Co. APAC, Ltd.		China		5,785,500		18,197
Fomento Economico Mexicano SAB de CV, ADR		Mexico		176,175		13,763
Foshan Haitian Flavouring and Food Co., Ltd. - Class A		China		962,944		11,026
Hindustan Unilever, Ltd.		India		479,301		14,837
Kweichow Moutai Co., Ltd. - Class A		China		53,573		13,309
Raia Drogasil SA		Brazil		1,961,430		8,818

Total						79,950


Energy (2.9%)
LUKOIL PJSC *,Æ		Russia		225,143		-
NovaTek PJSC *,Æ		Russia		795,201		-
PTT Exploration & Production PCL - Foreign Shares		Thailand		2,236,500		11,397
TotalEnergies SE		France		209,481		13,152

Total						24,549


Financials (24.6%)
AIA Group, Ltd.		Hong Kong		2,062,200		22,933
Al Rajhi Bank *		Saudi Arabia		556,424		11,162
B3 SA - Brasil, Bolsa, Balcao		Brazil		4,568,077		11,423
Banco Bradesco SA, ADR		Brazil		3,513,843		10,120
Banco Santander Chile, ADR		Chile		440,748		6,981
Bank Rakyat Indonesia (Persero) Tbk PT		Indonesia		43,958,756		13,949
Credicorp, Ltd.		Peru		30,500		4,138
Grupo Financiero Banorte SAB de CV		Mexico		2,319,582		16,654


Common Stocks (94.4%)	Country		Shares/ Par ⁺		Value $ (000’s)

Financials continued
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		251,492		10,865
Housing Development Finance Corp., Ltd.		India		1,037,574		33,080
Kasikornbank PCL - Foreign Shares		Thailand		1,970,100		8,390
Kotak Mahindra Bank, Ltd.		India		734,791		16,229
PT Bank Central Asia Tbk		Indonesia		28,730,700		15,779
Sanlam, Ltd.		South Africa		2,825,439		8,102
Sberbank of Russia PJSC *,Æ		Russia		1,471,064		-
SBI Life Insurance Co., Ltd.		India		1,338,676		19,924

Total						209,729


Health Care (2.9%)
Shenzhen Mindray Bio- Medical Electronics Co., Ltd.		China		287,915		13,086
Wuxi Biologics Cayman, Inc. *		China		1,533,000		11,755

Total						24,841


Industrials (5.2%)
Grupo Aeroportuario del Sureste SAB de CV - Class B		Mexico		343,370		8,012
NARI Technology Co., Ltd. - Class A		China		2,264,832		7,949
Rumo SA		Brazil		2,410,817		8,490
Samsung Engineering Co., Ltd. *		South Korea		684,375		12,120
WEG SA		Brazil		1,097,046		7,990

Total						44,561


Information Technology (16.9%)
ASM International NV		Netherlands		21,243		5,359
ASML Holding NV		Netherlands		13,471		7,265
Delta Electronics, Inc.		Taiwan		1,115,000		10,393
Globant SA *		United States		34,929		5,874
Hon Hai Precision Industry Co., Ltd.		Taiwan		3,904,000		12,689
LONGi Green Energy Technology Co., Ltd. - Class A		China		1,494,242		9,084
Samsung Electronics Co., Ltd.		South Korea		370,318		16,330
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		4,052,290		59,132
Tata Consultancy Services, Ltd.		India		362,588		14,273
Yonyou Network Technology Co., Ltd. - Class A		China		1,237,380		4,302

Total						144,701


Materials (7.3%)
Anglo American Platinum, Ltd.		South Africa		172,019		14,426
First Quantum Minerals, Ltd.		Zambia		202,458		4,230
Grupo Mexico SAB de CV		Mexico		1,439,942		5,055

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

Emerging Markets Equity Portfolio

Common Stocks (94.4%)

Country

Shares/

Par ⁺

Value

$ (000’s)

Materials continued

LG Chem, Ltd. *

South Korea

40,423

19,337

Mondi PLC

Austria

521,709

8,935

UltraTech Cement, Ltd.

India

120,558

10,141

Total

62,124

Real Estate (1.2%)

China Resources Land, Ltd.

China

2,320,000

10,626

Total

10,626

Utilities (1.6%)

Power Grid Corp. of India, Ltd.

India

5,312,260

13,722

Total

13,722

Total Common Stocks

(Cost: $840,558)

806,202

Common Stocks (94.4%)

Country

Shares/

Par ⁺

Value

$ (000’s)

Information Technology (3.8%)

Samsung Electronics Co., Ltd.

South Korea

809,516

32,573

Total

32,573

Total Preferred Stocks

(Cost: $31,441)

32,573

Total Investments (98.2%)

(Cost: $871,999)^@

838,775

Other Assets, Less Liabilities (1.8%)

15,463

Net Assets (100.0%)

854,238


Investments by Country of Risk as a Percentage of Net Assets:
China	30.1	%
India	15.4	%
Taiwan	9.6	%
South Korea	9.4	%
Brazil	6.3	%
Mexico	5.2	%
Other	22.2	%
Total	98.2	%

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $881,051 and the net unrealized depreciation of investments based on that cost was $42,276 which is comprised of $105,496 aggregate gross unrealized appreciation and $147,772 aggregate gross unrealized depreciation.

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

100

Emerging Markets Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-	$	32,573	$	-
Common Stocks
Consumer Staples		71,132		8,818		-
Energy		13,152		11,397		-
Financials		178,754		30,975		-
Industrials		15,961		28,600		-
Information Technology		128,371		16,330		-
Materials		42,787		19,337		-
All Others		240,588		-		-
Total Assets:	$	690,745	$	148,030	$	-

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

101

Government Money Market Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Maximum current income to the extent consistent with liquidity and stability of capital.	Invest in short-term fixed income obligations issued or guaranteed by the U.S Government, its agencies or instrumentalities.	$543 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Government Money Market Portfolio (the “Portfolio”), has engaged BlackRock Advisors, LLC (“BlackRock”) to act as sub-adviser for the Portfolio. The Portfolio invests at least 99.5% of its total assets in cash, U.S. Treasury bills, notes and other obligations issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities and repurchase agreements secured by such obligations or cash. The Portfolio invests in a portfolio of securities maturing in 397 days or less (with certain exceptions) that will have a dollar-weighted average maturity of 60 days or less and a dollar-weighted average life of 120 days or less. The Portfolio seeks to maintain a net asset value of $1.00 per share.

MARKET OVERVIEW

The year began with the Federal Open Market Committee (FOMC) shifting toward a less accommodative interest rate policy as inflation prints have been setting well above their preferred target range. These inflation concerns were the grounds for the FOMC to raise interest rates at their March 16, 2022 meeting. At this meeting, the FOMC raised the target range for the federal funds rate to 0.25%–0.50%. This was the first increase since December 2018.

As the year progressed, the FOMC began removing monetary accommodation at an accelerating pace. At the June 2022 meeting they raised the federal funds target rate by 0.75%. They repeated that pace over the next four meetings.

In June 2022, the FOMC also began reducing its holdings of Treasury securities, Agency debt and Agency Mortgage-Backed securities.

The year ended with the federal funds target rate set within a range of 4.25%– 4.50%. The FOMC also indicated their intention to continue removing accommodation through 2023, according to their updated Summary of Economic Projection (SEP) released at the December 14 meeting.

PORTFOLIO RESULTS

The Portfolio returned 1.36% for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Merrill Lynch^® 3-Month Treasury Bill Index (the “Index”), returned 1.46%. (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the U.S. Government Money Market Funds peer group was 1.19%.

The main investment theme that dominated the year was the policy shift from the FOMC. As they centered their focus on the price appreciation being felt across all sectors of the U.S. economy, market yields had been playing catch-up all year. Given the pricing volatility and variables throughout the year that impacted FOMC rate decisions, the Portfolio proceeded selectively with investments in longer tenors, keeping duration below neutral throughout the year.

Throughout the course of 2022 a majority of the investments were made in overnight repurchase agreements, which benefited the performance of the Portfolio immediately following each FOMC meeting, as they reset overnight to the Secured Overnight Funding Rate (“SOFR”). While issuance in the short-term Treasury market was strong for the first half of the year, demand outstripped supply as the uncertainty and volatility experienced in the market throughout the year led investors to look to remain short and defensive in positioning. Given the aggressive FOMC actions, it benefitted the Portfolio to stay short along the curve and capture market pricing and rate increases by the FOMC in one-month and three-month Treasury bill issuance. Any longer-term investments were executed at yields sufficient to fairly compensate the Portfolio for the risk.

Outside of these trades, the remainder of investments were in Agency debt maturing around the upcoming FOMC meetings to take advantage the raising rates by the FOMC and to benefit performance of the Portfolio.

PORTFOLIO MANAGER OUTLOOK

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

102

Government Money Market Portfolio (unaudited)

A short-term outlook for inflation above the FOMC’s preferred range and “hawkish” rhetoric from officials suggests increases in the target range for the federal funds rate further into “restrictive territory” are possible through at least the mid-point of 2023. The market has been in a near constant state of repricing since the FOMC first lifted rates off the zero lower bound. Pricing volatility should persist at least until the FOMC reaches its terminal rate.

Continued defensive positioning by investors will likely contribute, in our estimation, to elevated usage of the Federal Reserve’s Overnight Reverse Repurchase Agreement Program (RRP) by eligible counterparties.

The U.S. Treasury is approaching its borrowing limit. This event will negatively impact issuance of net new Treasury Bill supply. The U.S. Treasury can invoke “extraordinary measures” to expand borrowing capacity which would temporarily increase net new Bill supply. Ultimately, Congress would need to act on the debt ceiling before the U.S. Treasury exhausts all accounting measures. At this time, our estimate is that the true borrowing limit could be reached toward the end of 2023.

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.

103

Government Money Market Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Money Market Investments (99.4%)	Shares/ Par ⁺		Value $ (000’s)

Repurchase Agreements (54.5%)
Tri-Party Bank of Montreal, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $21,009,917, collateralized by various US Treasury obligations, 1.625% to 2.875%, due from 5/15/2026 to 5/15/2032, aggregate par and fair value of $23,243,314 and $21,420,028, respectively)		21,000,000		21,000
Tri-Party Bank of Nova Scotia, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $10,004,722, collateralized by various US Treasury obligations, 0.000% to 4.375%, due from 3/2/2023 to 2/15/2050, aggregate par and fair value of $12,613,304 and $10,204,892, respectively)		10,000,000		10,000
Tri-Party BNP Paribas, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $20,009,444, collateralized by various US Treasury obligations, 0.000% to 4.323%, due from 7/15/2023 to 5/15/2051, aggregate par and fair value of $35,031,838 and $20,400,017, respectively)		20,000,000		20,000
Tri-Party BNP Paribas, 0.001%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $10,004,778, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 0.000% to 6.500%, due from 5/15/2025 to 12/20/2052, aggregate par and fair value of $12,029,505 and $10,200,064, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, Inc., 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $14,006,689, collateralized by various US Treasury obligations, 0.000% to 0.000%, due from 8/15/2039 to 5/15/2040, aggregate par and fair value of $29,524,625 and $14,280,051, respectively)		14,000,000		14,000
Tri-Party Citigroup Global Markets, Inc., 0.001%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $15,007,083, collateralized by various US Treasury obligations, 0.875% to 2.500%, due from 12/31/2028 to 2/28/2029, aggregate par and fair value of $17,233,113 and $15,300,024, respectively)		15,000,000		15,000


Money Market Investments (99.4%)	Shares/ Par ⁺		Value $ (000’s)

Repurchase Agreements continued
Tri-Party Goldman Sachs Group LP, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $20,009,556, collateralized by various US government sponsored agency obligations, 2.500% to 5.000%, due from 3/15/2026 to 9/20/2052, aggregate par and fair value of $21,237,175 and $20,400,000, respectively)		20,000,000		20,000
Tri-Party Mitsubishi UFJ, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $35,016,722, collateralized by various US government sponsored agency obligations, 2.000% to 5.918%, due from 9/1/2027 to 11/20/2072, aggregate par and fair value of $36,377,763 and $35,702,965, respectively)		35,000,000		35,000
Tri-Party Mizuho Securities, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $40,019,111, collateralized by US Treasury Note, 3.125%, due 8/31/2027, par and fair value of $42,331,449 and $40,800,024, respectively)		40,000,000		40,000
Tri-Party Morgan Stanley, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $41,019,589, collateralized by various US government sponsored agency obligations, 0.875% to 7.125%, due from 12/1/2023 to 12/1/2052, aggregate par and fair value of $44,030,645 and $42,151,690, respectively)		41,000,000		41,000
Tri-Party Natixis S.A., 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $30,014,167, collateralized by US Treasury Bond, 4.000%, due 11/15/2052, par and fair value of $30,194,223 and $30,600,033, respectively)		30,000,000		30,000
Tri-Party TD Securities, 0.000%, 1/3/23 (Purchased on 12/30/22, to be repurchased at $40,019,111, collateralized by US government sponsored agency, 3.000%, due 8/20/2051, par and fair value of $45,372,152 and $40,800,000, respectively)		40,000,000		40,000

Total				296,000


US Government & Agencies (44.9%)
Federal Farm Credit Bank, 0.000%, 3/16/23		1,655,000		1,640
Federal Farm Credit Bank, 4.315%, (US SOFR plus 0.015%), 5/16/23		3,410,000		3,410
Federal Farm Credit Bank, 4.330%, (US SOFR plus 0.030%), 7/25/23		1,485,000		1,485

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

104

Government Money Market Portfolio


Money Market Investments (99.4%)	Shares/ Par ⁺		Value $ (000’s)

US Government & Agencies continued
Federal Farm Credit Bank, 4.335%, (US SOFR plus 0.035%), 7/12/23		360,000		360
Federal Farm Credit Bank, 4.340%, (US SOFR plus 0.040%), 3/10/23		1,325,000		1,325
Federal Farm Credit Bank, 4.345%, (US SOFR plus 0.045%), 10/16/23		2,970,000		2,970
Federal Farm Credit Bank, 4.345%, (US SOFR plus 0.045%), 2/20/24		4,010,000		4,010
Federal Farm Credit Bank, 4.350%, (US SOFR plus 0.050%), 2/17/23		2,270,000		2,270
Federal Farm Credit Bank, 4.350%, (US SOFR plus 0.050%), 8/22/23		2,720,000		2,720
Federal Farm Credit Bank, 4.350%, (US SOFR plus 0.050%), 9/28/23		1,830,000		1,830
Federal Farm Credit Bank, 4.350%, (US SOFR plus 0.050%), 5/9/24		2,425,000		2,425
Federal Farm Credit Bank, 4.355%, (US SOFR plus 0.055%), 1/10/24		505,000		505
Federal Farm Credit Bank, 4.360%, (US SOFR plus 0.060%), 1/20/23		550,000		550
Federal Farm Credit Bank, 4.360%, (US SOFR plus 0.060%), 11/22/23		3,350,000		3,350
Federal Farm Credit Bank, 4.390%, (US SOFR plus 0.090%), 8/26/24		4,540,000		4,540
Federal Farm Credit Bank, 4.400%, (US SOFR plus 0.100%), 8/1/24		1,095,000		1,095
Federal Farm Credit Bank, 4.440%, (US SOFR plus 0.140%), 11/7/24		3,100,000		3,100
Federal Home Loan Bank, 0.000%, 3/8/23		2,960,000		2,937
Federal Home Loan Bank, 0.000%, 3/15/23		3,880,000		3,845
Federal Home Loan Bank, 0.001%, 2/10/23		1,430,000		1,423
Federal Home Loan Bank, 0.001%, 2/24/23		2,450,000		2,434
Federal Home Loan Bank, 3.250%, (US SOFR plus 0.010%), 1/9/23		5,420,000		5,420
Federal Home Loan Bank, 3.375%, (US SOFR plus 0.010%), 9/1/23		3,380,000		3,375
Federal Home Loan Bank, 3.410%, (US SOFR plus 0.010%), 2/10/23		2,570,000		2,570
Federal Home Loan Bank, 4.310%, (US SOFR plus 0.010%), 1/4/23		11,000,000		11,000
Federal Home Loan Bank, 4.310%, (US SOFR plus 0.010%), 1/25/23		14,715,000		14,715
Federal Home Loan Bank, 4.310%, (US SOFR plus 0.010%), 3/23/23		6,770,000		6,770
Federal Home Loan Bank, 4.311%, (US SOFR plus 0.010%), 1/17/23		4,575,000		4,575
Federal Home Loan Bank, 4.311%, (US SOFR plus 0.010%), 1/17/23		6,360,000		6,360
Federal Home Loan Bank, 4.315%, (US SOFR plus 0.015%), 3/2/23		8,220,000		8,220
Federal Home Loan Bank, 4.320%, (US SOFR plus 0.020%), 3/13/23		10,300,000		10,300
Federal Home Loan Bank, 4.325%, (US SOFR plus 0.025%), 2/3/23		13,500,000		13,500
Federal Home Loan Bank, 4.330%, (US SOFR plus 0.030%), 3/2/23		7,580,000		7,580
Federal Home Loan Bank, 4.340%, (US SOFR plus 0.040%), 2/13/23		8,475,000		8,475
Federal Home Loan Bank, 4.340%, (US SOFR plus 0.040%), 2/17/23		5,565,000		5,565


Money Market Investments (99.4%)	Shares/ Par ⁺		Value $ (000’s)

US Government & Agencies continued
Federal Home Loan Bank, 4.355%, (US SOFR plus 0.055%), 3/10/23		3,530,000		3,530
Federal Home Loan Bank, 4.360%, (US SOFR plus 0.060%), 4/10/23		5,120,000		5,120
Federal Home Loan Bank, 4.360%, (US SOFR plus 0.060%), 4/18/23		11,690,000		11,690
Federal Home Loan Bank, 4.370%, (US SOFR plus 0.070%), 3/27/23		2,470,000		2,470
Federal Home Loan Bank, 4.370%, (US SOFR plus 0.070%), 3/28/23		885,000		885
Federal Home Loan Bank, 4.390%, (US SOFR plus 0.090%), 5/23/23		3,420,000		3,420
US Treasury, 0.000%, 1/12/23		8,570,000		8,563
US Treasury, 0.000%, 1/26/23		2,470,000		2,469
US Treasury, 0.000%, 2/23/23		6,310,000		6,281
US Treasury, 0.000%, 3/16/23		7,290,000		7,238
US Treasury, 0.000%, 5/18/23		1,490,000		1,478
US Treasury, 0.000%, 11/30/23		1,210,000		1,161
US Treasury, 0.125%, 2/28/23		10,085,000		10,055
US Treasury, 1.750%, 5/15/23		1,260,000		1,258
US Treasury, 2.625%, 2/28/23		4,510,000		4,519
US Treasury, 4.433%, (US Treasury 3 Month Bill Money Market Yield plus 0.035%), 10/31/23		7,140,000		7,140
US Treasury, 4.447%, (US Treasury 3 Month Bill Money Market Yield plus 0.049%), 1/31/23		9,500,000		9,500

Total				243,426


Total Money Market Investments
(Cost: $539,426)				539,426


Total Investments (99.4%)
(Cost: $539,426)				539,426

Other Assets, Less Liabilities (0.6%)				3,091

Net Assets (100.0%)				542,517

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

105

Government Money Market Portfolio

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

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-	$	539,426	$	-
Total Assets:	$	-	$	539,426	$	-

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

106

Short-Term Bond Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Provide as high a level of current income as is consistent with prudent investment risk.	Invest in a diversified portfolio of investment grade debt securities.	$383 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Short-Term Bond Portfolio (the “Portfolio”), has engaged T. Rowe Price Associates, Inc. (“T. Rowe Price”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of investment grade debt securities. Also, the Portfolio may invest up to 20% of net assets in foreign securities. Debt securities may be of any maturity, but under normal market conditions, the Portfolio’s effective dollar-weighted average maturity will not exceed three years. The Portfolio primarily invests in corporate, government and mortgage- and asset-backed securities. The Portfolio uses both a “top-down” and “bottom-up” investment approach to construct the portfolio of investments. The top-down investment approach involves an evaluation of the overall macroeconomic environment and its potential impact on the level and direction of interest rates. The bottom-up investment approach focuses on fundamental research of individual issuers.

MARKET OVERVIEW

Shorter maturity bond markets were adversely impacted by macro- and interest rate driven volatility during the reporting period. Early in 2022, geopolitical conflict, hawkish rhetoric from the Federal Reserve (the “Fed”) and heavy new issuance weighed on the fixed income market. While hopes of a dovish pivot from the Fed gave risk assets some reprieve in the summer, hawkish rhetoric and elevated inflation quelled these hopes until late in the period, at which time cooling economic data and comments from the Fed renewed expectations for smaller rate hikes. Against this challenging macroeconomic backdrop, all market segments within the U.S. investment grade fixed income market posted negative returns. Corporate bonds produced the weakest total returns, with 1–3-year corporate bond prices depreciating and credit spreads widening amid negative risk sentiment and a sharp rise in front-end U.S. Treasury yields. While Treasury yields rose broadly across the yield curve, yields on shorter maturity Treasury notes rose most prominently, as investors priced in a higher-for-longer interest rate regime. The yield on the two-year Treasury note began the year at 0.73% and ended at 4.41%.

PORTFOLIO RESULTS

The Portfolio returned (4.52%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Bloomberg^® 1–3 Year U.S. Government/Credit Index (the “Index”), returned (3.69%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Short Investment Grade Debt Funds peer group was (3.88%).

Sector allocation was the predominant detractor from the Portfolio’s relative performance. Out-of-benchmark allocations to securitized sectors, including asset-backed securities, commercial mortgage-backed securities and residential mortgage-backed securities (RMBS), hindered relative results amid interest rate volatility and periods of heavy new issuance. The Portfolio’s allocation to RMBS was a prominent detractor, as the interest rate-sensitive sector was dragged lower by concerns about the ramifications of tighter Fed policy, rising rates and declining housing affordability.

Modest underweights in the front end of the yield curve and a slight overweight in the intermediate portion aided relative results as the yield curve flattened and, in certain portions of the yield curve, inverted during the reporting period.

In contrast, an overweight to investment grade corporate bonds and a corresponding underweight to U.S. Treasurys contributed to relative performance as limited new supply, some encouraging corporate earnings reports and more constructive risk sentiment fueled a late-period rally among corporate bonds. Security selection within investment grade corporate bonds was also beneficial.

PORTFOLIO MANAGER OUTLOOK

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

While there are signs that inflationary pressures have peaked, the outlook remains uncertain amid continued monetary policy tightening, mounting downside growth risks and elevated volatility in risk assets. We hold the view that the path

107

Short-Term Bond Portfolio (unaudited)

of monetary tightening will be more important to focus on than the destination as the Fed continues to tighten policy despite slowing growth. With the range of economic outcomes now wider due to the speed at which the Fed has tightened monetary policy, we will continue to monitor the distribution of risks over the next year. As inflation and other economic data have started to move lower, concerns about the possibility of a recession have continued. In our view, the ultimate state of the economy and probability of a recession will remain the primary risk for credit investors this year. In this environment of heightened volatility, active management can play an even more instrumental role in achieving investor objectives. Our continued goal is to provide high quality, durable yield and income appropriate for a short-term bond strategy with modest credit and duration risk. Using the breadth and depth of our global research platform, we will look to selectively add to high-conviction positions as volatility creates attractive entry points.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Short-Term Bond Portfolio		-4.52	%		1.03	%		0.98	%
Bloomberg^® 1-3 Year U.S. Government/Credit Bond Index		-3.69	%		0.92	%		0.88	%
Lipper^® Variable Insurance Products (VIP) Short Investment Grade Debt Funds Average		-3.88	%		0.77	%		0.85	%

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 adjustments over the course of the last several years. A significant rise in interest rates 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.

108

Short-Term Bond Portfolio (unaudited)

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
US Treasury, Various		18.3	%
Federal National Mortgage Association, Various		1.6	%
Government National Mortgage Association, Various		1.0	%
Morgan Stanley, Various		1.0	%
Bank of America Corp., Various		0.8	%
AbbVie, Inc., Various		0.8	%
Vistra Operations Co. LLC, Various		0.8	%
Energy Transfer LP, Various		0.7	%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, Various		0.7	%
The Goldman Sachs Group, Inc., Various		0.7	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Corporate Bonds		48.6	%
Structured Products		31.8	%
Governments		18.3	%
Short-Term Investments & Other Net Assets		1.2	%
Municipal Bonds		0.1	%

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.

109

Short-Term Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Corporate Bonds (48.6%)	Shares/ Par ⁺		Value $ (000’s)

Basic Materials (1.6%)
ArcelorMittal 3.600%, 7/16/24		225,000		218
Celanese US Holdings LLC 5.900%, 7/5/24		1,000,000		1,000
6.050%, 3/15/25		1,235,000		1,230
Celulosa Arauco y Constitucion SA 4.500%, 8/1/24		365,000		359
Ecolab, Inc. 1.650%, 2/1/27		215,000		190
5.250%, 1/15/28		625,000		637
LYB International Finance III, LLC 1.250%, 10/1/25		373,000		333
Nucor Corp. 2.000%, 6/1/25		155,000		144
3.950%, 5/23/25		275,000		269
POSCO 4.375%, 8/4/25 §		1,000,000		969
The Sherwin-Williams Co. 4.050%, 8/8/24		155,000		153
4.250%, 8/8/25		230,000		226
Steel Dynamics, Inc. 2.800%, 12/15/24		200,000		190
Westlake Chemical Corp. 0.875%, 8/15/24		100,000		93

Total				6,011


Communications (3.1%)
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 4.908%, 7/23/25		2,090,000		2,048
Comcast Corp. 5.250%, 11/7/25		225,000		228
Cox Communications, Inc. 3.150%, 8/15/24 144A		1,023,000		985
KT Corp. 4.000%, 8/8/25 144A		1,020,000		992
NBN Co., Ltd. 1.450%, 5/5/26 144A		1,000,000		883
NTT Finance Corp. 0.373%, 3/3/23 144A		660,000		656
0.583%, 3/1/24 144A		265,000		251
4.142%, 7/26/24 144A		200,000		197
4.239%, 7/25/25 144A		200,000		196
Rogers Communications, Inc. 3.200%, 3/15/27 144A		690,000		639
SES SA 3.600%, 4/4/23 144A		555,000		550
Sky, Ltd. 3.750%, 9/16/24 144A		1,450,000		1,415
T-Mobile USA, Inc. 2.250%, 2/15/26		470,000		428
3.500%, 4/15/25		595,000		572
Verizon Communications, Inc. 0.850%, 11/20/25		500,000		446
1.450%, 3/20/26		650,000		584


Corporate Bonds (48.6%)	Shares/ Par ⁺		Value $ (000’s)

Communications continued
2.625%, 8/15/26		845,000		780

Total				11,850


Consumer, Cyclical (4.6%)
7-Eleven, Inc. 0.625%, 2/10/23 144A		200,000		199
0.800%, 2/10/24 144A		325,000		309
American Airlines Pass Through Trust, Series 2017-2, Class B 3.700%, 4/15/27		209,834		189
Aptiv PLC / Aptiv Corp. 2.396%, 2/18/25		130,000		123
AutoZone, Inc. 3.125%, 4/18/24		515,000		501
3.625%, 4/15/25		235,000		227
Brunswick Corp. 0.850%, 8/18/24		685,000		633
Daimler Finance North America LLC 1.625%, 12/13/24 144A		580,000		538
1.750%, 3/10/23 144A		815,000		810
General Motors Co. 4.875%, 10/2/23		530,000		528
General Motors Financial Co., Inc. 2.900%, 2/26/25		965,000		914
Genuine Parts Co. 1.750%, 2/1/25		220,000		205
Hasbro, Inc. 3.000%, 11/19/24		1,030,000		990
Hyatt Hotels Corp. 1.300%, 10/1/23		325,000		316
Hyundai Capital America 0.800%, 1/8/24 144A		390,000		371
0.875%, 6/14/24 144A		510,000		476
1.000%, 9/17/24 144A		255,000		236
2.375%, 2/10/23 144A		865,000		863
Hyundai Motor Co. 2.125%, 4/24/25 144A		200,000		183
Lowe’s Companies, Inc. 3.350%, 4/1/27		175,000		164
4.400%, 9/8/25		660,000		650
Magallanes, Inc. 3.755%, 3/15/27 144A		1,545,000		1,391
Marriott International, Inc. 3.125%, 2/15/23		170,000		170
3.600%, 4/15/24		1,160,000		1,137
Nissan Motor Acceptance Corp. 3.875%, 9/21/23 144A		235,000		231
Nissan Motor Co., Ltd. 3.043%, 9/15/23 144A		1,100,000		1,078
Nordstrom, Inc. 2.300%, 4/8/24		85,000		79
QVC, Inc. 4.850%, 4/1/24		775,000		717
Ross Stores, Inc. 0.875%, 4/15/26		350,000		307
4.600%, 4/15/25		1,355,000		1,346

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

110

Short-Term Bond Portfolio


Corporate Bonds (48.6%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Cyclical continued
Stellantis Finance US, Inc. 1.711%, 1/29/27 144A		260,000		223
Toyota Motor Credit Corp. 3.050%, 3/22/27		325,000		303
United Airlines Pass Through Trust, Series 2019-2, Class B 3.500%, 11/1/29		128,734		111
Volkswagen Group of America Finance LLC 0.875%, 11/22/23 144A		345,000		332
3.125%, 5/12/23 144A		200,000		198
3.950%, 6/6/25 144A		390,000		377

Total				17,425


Consumer, Non-cyclical (7.5%)
AbbVie, Inc. 2.600%, 11/21/24		1,935,000		1,851
2.950%, 11/21/26		1,120,000		1,042
3.200%, 5/14/26		100,000		95
Aetna, Inc. 2.800%, 6/15/23		275,000		272
AmerisourceBergen Corp. 0.737%, 3/15/23		465,000		461
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 3.650%, 2/1/26		250,000		241
AstraZeneca Finance LLC 1.200%, 5/28/26		805,000		717
BAT International Finance PLC 1.668%, 3/25/26		475,000		421
4.448%, 3/16/28		1,010,000		935
Bayer US Finance II LLC 3.875%, 12/15/23 144A		505,000		498
Becton Dickinson and Co. 3.363%, 6/6/24		690,000		674
3.734%, 12/15/24		170,000		166
Cardinal Health, Inc. 3.079%, 6/15/24		310,000		301
3.200%, 3/15/23		395,000		394
3.500%, 11/15/24		525,000		510
Coca-Cola European Partners PLC 0.800%, 5/3/24 144A		1,335,000		1,254
Constellation Brands, Inc. 3.600%, 5/9/24		485,000		475
CSL Finance PLC 3.850%, 4/27/27 144A		200,000		191
CVS Health Corp. 2.875%, 6/1/26		265,000		247
3.000%, 8/15/26		220,000		206
Diageo Capital PLC 1.375%, 9/29/25		300,000		275
5.200%, 10/24/25		360,000		365
Elevance Health, Inc. 5.350%, 10/15/25		180,000		182
HCA, Inc. 3.125%, 3/15/27 144A		580,000		527
Health Care Service Corp. 1.500%, 6/1/25 144A		780,000		717
HPHT Finance 19, Ltd. 2.875%, 11/5/24 §		1,200,000		1,145


Corporate Bonds (48.6%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Humana, Inc. 0.650%, 8/3/23		320,000		312
1.350%, 2/3/27		75,000		65
3.850%, 10/1/24		545,000		534
4.500%, 4/1/25		565,000		558
5.750%, 3/1/28		140,000		143
Imperial Brands Finance PLC 3.125%, 7/26/24 144A		1,055,000		1,009
4.250%, 7/21/25 144A		200,000		191
JDE Peet’s NV 0.800%, 9/24/24 144A		295,000		269
Mondelez International, Inc. 2.125%, 3/17/24		410,000		395
2.625%, 3/17/27		415,000		376
4.250%, 9/15/25 144A		305,000		301
Moody’s Corp. 3.750%, 3/24/25		505,000		491
PeaceHealth Obligated Group 1.375%, 11/15/25		105,000		94
PerkinElmer, Inc. 0.550%, 9/15/23		390,000		378
0.850%, 9/15/24		745,000		690
Perrigo Finance Unlimited Co. 3.900%, 12/15/24		1,570,000		1,484
Philip Morris International, Inc. 1.125%, 5/1/23		220,000		217
5.000%, 11/17/25		295,000		296
5.125%, 11/15/24		585,000		586
RELX Capital, Inc. 3.500%, 3/16/23		270,000		269
Royalty Pharma PLC 0.750%, 9/2/23		425,000		412
S&P Global, Inc. 2.450%, 3/1/27 144A		1,120,000		1,023
Shire Acquisitions Investments Ireland DAC 2.875%, 9/23/23		397,000		390
Stryker Corp. 0.600%, 12/1/23		190,000		182
Thermo Fisher Scientific, Inc. 0.797%, 10/18/23		1,050,000		1,016
Triton Container International, Ltd. 0.800%, 8/1/23 144A		780,000		753
UnitedHealth Group, Inc. 3.700%, 5/15/27		605,000		585
5.150%, 10/15/25		535,000		541
5.250%, 2/15/28		380,000		388
Viatris, Inc. 1.650%, 6/22/25		310,000		281
Zoetis, Inc. 5.400%, 11/14/25		455,000		464

Total				28,855


Diversified (0.2%)
CK Hutchison International 17 II, Ltd. 2.750%, 3/29/23 §		650,000		647

Total				647

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

111

Short-Term Bond Portfolio


Corporate Bonds (48.6%)	Shares/ Par ⁺		Value $ (000’s)

Energy (3.3%)
Aker BP ASA 3.000%, 1/15/25 144A		665,000		631
Canadian Natural Resources, Ltd. 2.050%, 7/15/25		760,000		707
Cheniere Corpus Christi Holdings LLC 5.875%, 3/31/25		425,000		428
7.000%, 6/30/24		1,110,000		1,124
Devon Energy Corp. 8.250%, 8/1/23		290,000		294
Enbridge, Inc. 2.150%, 2/16/24		275,000		265
2.500%, 1/15/25		640,000		605
2.500%, 2/14/25		330,000		311
4.000%, 10/1/23		365,000		362
4.372%, (US SOFR plus 0.400%), 2/17/23		205,000		205
Energy Transfer LP 2.900%, 5/15/25		115,000		108
3.450%, 1/15/23		55,000		55
3.600%, 2/1/23		175,000		175
4.200%, 9/15/23		135,000		134
4.250%, 3/15/23		780,000		778
4.250%, 4/1/24		35,000		34
4.900%, 2/1/24		425,000		423
5.875%, 1/15/24		1,054,000		1,057
Eni SpA 4.000%, 9/12/23 144A		955,000		942
EOG Resources, Inc. 2.625%, 3/15/23		140,000		139
Equinor ASA 2.875%, 4/6/25		880,000		843
Gray Oak Pipeline LLC 2.000%, 9/15/23 144A		295,000		287
2.600%, 10/15/25 144A		205,000		186
Pioneer Natural Resources Co. 0.550%, 5/15/23		350,000		344
Plains All American Pipeline LP / PAA Finance Corp. 2.850%, 1/31/23		725,000		724
Sabine Pass Liquefaction LLC 5.625%, 3/1/25		580,000		581
5.750%, 5/15/24		530,000		530
Schlumberger Finance Canada, Ltd. 1.400%, 9/17/25		155,000		142
Williams Partners LP 4.300%, 3/4/24		145,000		143

Total				12,557


Financial (19.8%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.650%, 10/29/24		770,000		710
4.125%, 7/3/23		960,000		953
4.500%, 9/15/23		485,000		482
4.875%, 1/16/24		550,000		545
Air Lease Corp. 2.250%, 1/15/23		360,000		360
American Express Co. 2.250%, 3/4/25		975,000		920
American International Group, Inc. 2.500%, 6/30/25		433,000		408


Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)

Financial continued
American Tower Corp. 2.400%, 3/15/25		360,000		339
5.000%, 2/15/24		225,000		224
Athene Global Funding 1.716%, 1/7/25 144A		930,000		858
2.514%, 3/8/24 144A		1,165,000		1,116
Avolon Holdings Funding, Ltd. 2.125%, 2/21/26 144A		610,000		525
2.875%, 2/15/25 144A		435,000		402
3.950%, 7/1/24 144A		130,000		124
Banco Bilbao Vizcaya Argentaria SA 0.875%, 9/18/23		1,000,000		968
Banco del Estado de Chile 2.704%, 1/9/25 144A		260,000		245
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico 5.375%, 4/17/25 §		800,000		792
Banco Santander SA 0.701%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24		600,000		583
3.496%, 3/24/25		600,000		578
Bank of America Corp. 0.810%, (US SOFR plus 0.740%), 10/24/24		695,000		666
0.976%, (US SOFR plus 0.690%), 4/22/25		605,000		567
1.734%, (US SOFR plus 0.960%), 7/22/27		450,000		394
1.843%, (US SOFR plus 0.670%), 2/4/25		460,000		441
3.384%, (US SOFR plus 1.330%), 4/2/26		580,000		554
3.841%, (US SOFR plus 1.110%), 4/25/25		415,000		405
Bank of Ireland Group PLC 4.500%, 11/25/23 144A		1,540,000		1,524
Bank of Montreal 3.700%, 6/7/25		775,000		752
4.250%, 9/14/24		390,000		385
The Bank of New York Mellon Corp. 4.414%, (US SOFR plus 1.345%), 7/24/26		515,000		507
Banque Federative du Credit Mutuel SA 0.650%, 2/27/24 144A		505,000		478
0.998%, 2/4/25 144A		665,000		608
Barclays PLC 1.007%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.800%), 12/10/24		555,000		528
4.338%, (ICE LIBOR USD 3 Month plus 1.356%), 5/16/24		370,000		367
5.304%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/9/26		385,000		382
7.325%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.050%), 11/2/26		390,000		404
BDO Unibank, Inc. 2.950%, 3/6/23 §		800,000		792
BPCE SA 5.700%, 10/22/23 144A		1,680,000		1,667
Brighthouse Financial Global Funding 0.600%, 6/28/23 144A		1,315,000		1,283
1.000%, 4/12/24 144A		495,000		466
Brixmor Operating Partnership LP 3.650%, 6/15/24		200,000		194

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

112

Short-Term Bond Portfolio


Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)

Financial continued
Capital One Financial Corp. 2.636%, (US SOFR plus 1.290%), 3/3/26		585,000		548
3.200%, 1/30/23		345,000		345
3.500%, 6/15/23		245,000		244
3.900%, 1/29/24		240,000		237
4.985%, (US SOFR plus 2.160%), 7/24/26		460,000		451
The Charles Schwab Corp. 2.450%, 3/3/27		1,090,000		994
4.200%, 3/24/25		525,000		519
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		615
4.140%, (US SOFR plus 1.372%), 5/24/25		555,000		544
CNO Global Funding 1.650%, 1/6/25 144A		525,000		486
1.750%, 10/7/26 144A		680,000		596
Cooperatieve Rabobank UA 3.875%, 8/22/24		355,000		349
Corebridge Financial, Inc. 3.500%, 4/4/25 144A		455,000		436
Credit Agricole SA 5.345%, (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		449
1.000%, 5/5/23		860,000		840
Credit Suisse Group AG 6.373%, (US SOFR plus 3.340%), 7/15/26 144A		590,000		554
Creditcorp, Ltd. 2.750%, 6/17/25 144A		200,000		187
Crown Castle International Corp. 1.050%, 7/15/26		615,000		531
2.900%, 3/15/27		485,000		441
3.150%, 7/15/23		430,000		425
Danske Bank A/S 1.226%, 6/22/24 144A		880,000		822
3.773%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.450%), 3/28/25 144A		405,000		392
5.375%, 1/12/24 144A		455,000		451
Equitable Financial Life Global Funding 0.500%, 4/6/23 144A		1,145,000		1,133
1.100%, 11/12/24 144A		530,000		491
1.400%, 7/7/25 144A		75,000		68
Essex Portfolio LP 3.875%, 5/1/24		600,000		587
Fifth Third Bank NA 5.852%, (US SOFR plus 1.230%), 10/27/25		735,000		742
First American Financial Corp. 4.600%, 11/15/24		195,000		192
The Goldman Sachs Group, Inc. 0.657%, (US SOFR plus 0.505%), 9/10/24		335,000		322
0.673%, (US SOFR plus 0.572%), 3/8/24		335,000		331
0.925%, (US SOFR plus 0.486%), 10/21/24		315,000		302
1.757%, (US SOFR plus 0.730%), 1/24/25		565,000		541
3.500%, 4/1/25		490,000		471
4.482%, (US SOFR plus 1.725%), 8/23/28		465,000		446
5.700%, 11/1/24		230,000		233


Corporate Bonds (48.6%)	Shares/ Par +		Value $ (000’s)

Financial continued
HSBC Holdings PLC 1.162%, (US SOFR plus 0.580%), 11/22/24		420,000		400
1.645%, (US SOFR plus 1.538%), 4/18/26		910,000		821
Jackson Financial, Inc. 1.125%, 11/22/23		620,000		597
Jackson National Life Global Funding 1.750%, 1/12/25 144A		620,000		575
JPMorgan Chase & Co. 0.824%, (US SOFR plus 0.540%), 6/1/25		560,000		522
2.083%, (US SOFR plus 1.850%), 4/22/26		890,000		826
4.080%, (US SOFR plus 1.320%), 4/26/26		865,000		840
4.645%, (US SOFR plus 0.885%), 4/22/27		350,000		342
KeyBank NA 1.250%, 3/10/23		580,000		576
KeyCorp 3.878%, (US SOFR plus 1.250%), 5/23/25		115,000		113
Kilroy Realty LP 4.375%, 10/1/25		180,000		175
LeasePlan Corp. NV 2.875%, 10/24/24 144A		805,000		755
LSEGA Financing PLC 0.650%, 4/6/24 144A		765,000		718
Marsh & McLennan Cos., Inc. 3.875%, 3/15/24		345,000		340
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		985,000		915
5.063%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.550%), 9/12/25		375,000		372
Morgan Stanley 0.529%, (US SOFR plus 0.455%), 1/25/24		450,000		447
0.731%, (US SOFR plus 0.616%), 4/5/24		560,000		552
1.164%, (US SOFR plus 0.560%), 10/21/25		445,000		410
2.630%, (US SOFR plus 0.940%), 2/18/26		545,000		512
3.620%, (US SOFR plus 1.160%), 4/17/25		390,000		381
4.100%, 5/22/23		160,000		159
4.455%, (US SOFR plus 0.466%), 11/10/23		640,000		638
6.138%, (US SOFR plus 1.770%), 10/16/26		525,000		536
Nationwide Building Society 3.766%, (ICE LIBOR USD 3 Month plus 1.064%), 3/8/24 144A		260,000		259
NatWest Markets PLC 0.800%, 8/12/24 144A		390,000		361
2.375%, 5/21/23 144A		640,000		632
Park Aerospace Holdings, Ltd. 4.500%, 3/15/23 144A		525,000		524
5.500%, 2/15/24 144A		245,000		242
The PNC Financial Services Group, Inc. 5.671%, (US SOFR Index plus 1.090%), 10/28/25		715,000		723
Principal Life Global Funding II 0.750%, 4/12/24 144A		530,000		501
Public Storage 3.493%, (US SOFR plus 0.470%), 4/23/24		280,000		278
QNB Finance, Ltd. 3.500%, 3/28/24 §		880,000		860

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

113

Short-Term Bond Portfolio


Corporate Bonds (48.6%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
Santander Holdings USA, Inc. 2.490%, (US SOFR plus 1.249%), 1/6/28		410,000		352
SBA Tower Trust 1.631%, 5/15/51 144A		280,000		238
1.884%, 1/15/26 144A		160,000		141
2.836%, 1/15/50 144A		770,000		726
3.869%, 10/15/49 144A		120,000		115
6.599%, 11/15/52 144A		325,000		326
Simon Property Group LP 2.000%, 9/13/24		225,000		214
3.375%, 10/1/24		450,000		437
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
1.822%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 11/23/25 144A		255,000		233
3.950%, 1/11/23 144A		1,000,000		1,000
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		350
Swedbank AB 1.300%, 6/2/23 144A		505,000		496
Synchrony Financial 4.250%, 8/15/24		1,130,000		1,104
The Toronto-Dominion Bank 0.550%, 3/4/24		1,015,000		964
4.285%, 9/13/24		985,000		973
Trininty Acquisition PLC 4.625%, 8/15/23		200,000		199
Truist Financial Corp. 4.527%, (US SOFR plus 0.400%), 6/9/25		410,000		401
UBS AG 0.700%, 8/9/24 144A		280,000		261
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		603
1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A		215,000		185
4.488%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.550%), 5/12/26 144A		200,000		196
4.490%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 8/5/25 144A		565,000		555
US Bancorp 4.548%, (US SOFR plus 1.660%), 7/22/28		810,000		791
5.727%, (US SOFR plus 1.430%), 10/21/26		320,000		326
Wells Fargo & Co. 1.654%, (US SOFR plus 1.600%), 6/2/24		410,000		403
2.188%, (US SOFR plus 2.000%), 4/30/26		400,000		372
3.526%, (US SOFR plus 1.510%), 3/24/28		375,000		347
3.908%, (US SOFR plus 1.320%), 4/25/26		610,000		593
4.540%, (US SOFR plus 1.560%), 8/15/26		590,000		578
The Western Union Co. 2.850%, 1/10/25		1,130,000		1,076


Corporate Bonds (48.6%)		Shares/ Par ⁺		Value $ (000’s)

Financial continued
WP Carey, Inc. 4.600%, 4/1/24			805,000		797

Total					75,860


Industrial (2.1%)
Amcor Flexibles North America, Inc. 4.000%, 5/17/25			405,000		394
Amphenol Corp. 2.050%, 3/1/25			405,000		381
Canadian Pacific Railway Co. 1.350%, 12/2/24	��		725,000		676
1.750%, 12/2/26			315,000		281
Carrier Global Corp. 2.242%, 2/15/25			117,000		110
DAE Funding LLC 1.550%, 8/1/24 144A			265,000		246
Deere & Co. 2.750%, 4/15/25			195,000		187
GATX Corp. 3.900%, 3/30/23			360,000		358
4.350%, 2/15/24			772,000		761
Kansas City Southern 3.000%, 5/15/23			565,000		560
Martin Marietta Materials, Inc. 0.650%, 7/15/23			475,000		463
Otis Worldwide Corp. 2.056%, 4/5/25			485,000		454
Parker Hannifin Corp. 3.650%, 6/15/24			875,000		856
Penske Truck Leasing Co. LP / PTL Finance Corp. 3.450%, 7/1/24 144A			200,000		193
3.900%, 2/1/24 144A			440,000		431
Republic Services, Inc. 0.875%, 11/15/25			120,000		107
2.500%, 8/15/24			495,000		474
SMBC Aviation Capital Finance DAC 3.550%, 4/15/24 144A			400,000		387
4.125%, 7/15/23 144A			200,000		198
Sydney Airport Finance Co. Pty, Ltd. 3.900%, 3/22/23 144A			643,000		641

Total					8,158


Technology (3.1%)
Analog Devices, Inc. 3.839%, (US SOFR plus 0.250%), 10/1/24			170,000		168
CDW LLC / CDW Finance Corp. 5.500%, 12/1/24			180,000		180
Fidelity National Information Services, Inc. 0.375%, 3/1/23			650,000		645
0.600%, 3/1/24			310,000		293
4.500%, 7/15/25			305,000		299
Fiserv, Inc. 2.750%, 7/1/24			800,000		773
3.800%, 10/1/23			470,000		465
Fortinet, Inc. 1.000%, 3/15/26			380,000		333
HCL America, Inc. 1.375%, 3/10/26 144A			1,000,000		884

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

114

Short-Term Bond Portfolio


Corporate Bonds (48.6%)	Shares/ Par ⁺		Value $ (000’s)

Technology continued
Marvell Technology, Inc. 4.200%, 6/22/23		590,000		587
Microchip Technology, Inc. 0.972%, 2/15/24		685,000		650
0.983%, 9/1/24		560,000		518
2.670%, 9/1/23		640,000		628
NXP BV / NXP Funding LLC 4.875%, 3/1/24		520,000		516
NXP BV / NXP Funding LLC / NXP USA, Inc. 2.700%, 5/1/25		445,000		419
3.875%, 6/18/26		305,000		290
4.400%, 6/1/27		80,000		77
Oracle Corp. 2.400%, 9/15/23		745,000		730
2.500%, 4/1/25		1,250,000		1,179
Qorvo, Inc. 1.750%, 12/15/24 144A		275,000		253
Roper Technologies, Inc. 1.000%, 9/15/25		115,000		103
2.350%, 9/15/24		165,000		157
3.650%, 9/15/23		125,000		124
Skyworks Solutions, Inc. 0.900%, 6/1/23		175,000		171
Take-Two Interactive Software, Inc. 3.300%, 3/28/24		480,000		469
3.550%, 4/14/25		160,000		154
VMware, Inc. 0.600%, 8/15/23		385,000		375
Workday, Inc. 3.500%, 4/1/27		265,000		248

Total				11,688


Utilities (3.3%)
The AES Corp. 3.300%, 7/15/25 144A		365,000		344
Alexander Funding Trust 1.841%, 11/15/23 144A		530,000		508
APT Pipelines, Ltd. 4.200%, 3/23/25 144A		1,165,000		1,125
DTE Energy Co. 4.220%, 11/1/24		550,000		541
Edison International 2.950%, 3/15/23		310,000		309
Enel Finance International NV 1.375%, 7/12/26 144A		645,000		556
2.650%, 9/10/24 144A		1,000,000		957
6.800%, 10/14/25 144A		200,000		205
Korea Electric Power Corp. 5.375%, 4/6/26 144A		1,000,000		1,008
Korea Hydro & Nuclear Power Co., Ltd. 1.250%, 4/27/26 144A		795,000		701
4.250%, 7/27/27 144A		220,000		211
NextEra Energy Capital Holdings, Inc. 1.875%, 1/15/27		685,000		606
4.450%, 6/20/25		540,000		533
NRG Energy, Inc. 3.750%, 6/15/24 144A		270,000		260
Pacific Gas & Electric Co. 3.500%, 6/15/25		555,000		524


Corporate Bonds (48.6%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
Saudi Electricity Global Sukuk Co. 2 3.473%, 4/8/23 §		800,000		792
Sempra Energy 3.300%, 4/1/25		385,000		369
Southern California Gas Co. 2.950%, 4/15/27		410,000		378
Vistra Operations Co. LLC 3.550%, 7/15/24 144A		2,390,000		2,292
5.125%, 5/13/25 144A		610,000		596

Total				12,815


Total Corporate Bonds
(Cost: $194,317)				185,866


Governments (18.3%)

Governments (18.3%)
US Treasury 1.750%, 3/15/25 b		14,570,000		13,768
2.750%, 5/15/25		17,985,000		17,343
3.250%, 8/31/24		910,000		891
4.375%, 10/31/24		20,960,000		20,900
4.500%, 11/30/24		7,615,000		7,615
4.500%, 11/15/25		9,435,000		9,492

Total				70,009


Total Governments
(Cost: $71,282)				70,009


Municipal Bonds (0.1%)

Municipal Bonds (0.1%)
Golden State Tobacco Securitization Corp. 1.711%, 6/1/24 RB		435,000		414
Long Island Power Authority 0.764%, 3/1/23 RB		160,000		159


Total Municipal Bonds
(Cost: $595)				573


Structured Products (31.8%)

Asset Backed Securities (14.3%)
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class B 2.130%, 7/18/25		23,993		24
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C 1.590%, 10/20/25		320,000		310
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D 1.800%, 12/18/25		315,000		297
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C 1.060%, 8/18/26		245,000		230
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C 0.890%, 10/19/26		430,000		396
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D 1.210%, 12/18/26		270,000		242
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class D 1.290%, 6/18/27		575,000		510

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

115

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
Applebee’s Funding LLC / IHOP Funding LLC, Series 2019-1A, Class A2I 4.194%, 6/7/49 144A		1,138,500		1,119
Arbor Realty Collateralized Loan Obligation, Ltd., Series 2021-FL4, Class A 5.668%, (ICE LIBOR USD 1 Month plus 1.350%), 11/15/36 144A		465,000		448
Arbor Realty Commercial Real Estate Notes, Series 2021-FL3, Class A 5.388%, (ICE LIBOR USD 1 Month plus 1.070%), 8/15/34 144A		640,000		606
ARI Fleet Lease Trust, Series 2020-A, Class B 2.060%, 11/15/28 144A		345,000		343
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A 2.970%, 3/20/24 144A		212,500		212
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class B 3.330%, 3/20/24 144A		217,500		217
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class C 4.950%, 3/20/25 144A		195,000		190
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A 3.350%, 9/22/25 144A		340,000		329
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A		250,000		231
Babson CLO, Ltd., Series 2017-IA, Class AR 5.043%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A		480,619		477
Blackbird Capital Aircraft, Series 2016-1A, Class A4 2.487%, 12/16/41 144A ∑		199,026		181
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280%, 9/26/33 144A		114,220		107
BSPRT Issuer, Ltd., Series 2022-FL8, Class A 5.307%, (US 30 Day Average SOFR plus 1.500%), 2/15/37 144A		815,000		787
CarMax Auto Owner Trust, Series 2019-2, Class B 3.010%, 12/16/24		455,000		451
CarMax Auto Owner Trust, Series 2019-4, Class A4 2.130%, 7/15/25		345,000		336
CarMax Auto Owner Trust, Series 2020-1, Class B 2.210%, 9/15/25		430,000		415
CarMax Auto Owner Trust, Series 2020-1, Class C 2.340%, 11/17/25		190,000		183
CarMax Auto Owner Trust, Series 2020-4, Class D 1.750%, 4/15/27		300,000		274
Cedar Funding, Ltd., Series 2021-14A, Class A 5.179%, (ICE LIBOR USD 3 Month plus 1.100%), 7/15/33 144A		695,000		681


Structured Products (31.8%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
CIFC Funding, Ltd., Series 2014-2RA, Class A1 5.375%, (ICE LIBOR USD 3 Month plus 1.050%), 4/24/30 144A		907,860		896
CIFC Funding, Ltd., Series 2021-4A, Class A 5.129%, (ICE LIBOR USD 3 Month plus 1.050%), 7/15/33 144A		905,000		887
CNH Equipment Trust, Series 2020-A, Class A4 1.510%, 4/15/27		260,000		247
Daimler Trucks Retail Trust, Series 2020-1, Class A4 1.370%, 6/15/27		772,163		769
Drive Auto Receivables Trust, Series 2020-1, Class C 2.360%, 3/16/26		43,038		43
Drive Auto Receivables Trust, Series 2021-2, Class D 1.390%, 3/15/29		445,000		410
Dryden Senior Loan Fund, Series 2020-86A, Class A1R 5.179%, (ICE LIBOR USD 3 Month plus 1.100%), 7/17/34 144A		610,000		591
Elara HGV Timeshare Issuer, Series 2017-A, Class A 2.690%, 3/25/30 144A		34,806		33
Elara HGV Timeshare Issuer, Series 2019-A, Class A 2.610%, 1/25/34 144A		93,069		86
Enterprise Fleet Financing LLC, Series 2019-3, Class A2 2.060%, 5/20/25 144A		10,071		10
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		304
Exeter Automobile Receivables Trust, Series 2022-1A, Class D 3.020%, 6/15/28		730,000		659
Exeter Automobile Receivables Trust, Series 2022-2A, Class C 3.850%, 7/17/28		655,000		625
Exeter Automobile Receivables Trust, Series 2022-3A, Class C 5.300%, 9/15/27		190,000		186
Exeter Automobile Receivables Trust, Series 2022-4A, Class D 5.980%, 12/15/28		305,000		289
Exeter Automobile Receivables Trust, Series 2022-5A, Class C 6.510%, 12/15/27		965,000		970
Exeter Automobile Receivables Trust, Series 2022-6A, Class A3 5.700%, 8/17/26		100,000		100
FirstKey Homes Trust, Series 2020-SFR1, Class D 2.241%, 8/17/37 144A		1,080,000		961

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

116

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Ford Credit Auto Owner Trust, Series 2020-2, Class C 1.740%, 4/15/33 144A		310,000		268
Ford Credit Auto Owner Trust, Series 2022-A, Class C 4.180%, 10/15/25		1,020,000		988
Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class C 1.420%, 9/15/25		440,000		422
GM Financial Automobile Leasing Trust, Series 2020-2, Class C 2.560%, 7/22/24		265,000		265
GM Financial Automobile Leasing Trust, Series 2022-3, Class C 5.130%, 8/20/26		585,000		571
GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3 1.490%, 12/16/24		45,694		45
GM Financial Consumer Automobile Receivables Trust, Series 2020-4, Class C 1.050%, 5/18/26		225,000		207
Hardee’s Funding LLC, Series 2018-1A, Class A21I 4.959%, 6/20/48 144A		301,613		283
Hilton Grand Vacations Trust, Series 2017-AA, Class A 2.660%, 12/26/28 144A		318,016		313
Hilton Grand Vacations Trust, Series 2017-AA, Class B 2.960%, (EXE), 12/26/28 144A		69,396		68
Hilton Grand Vacations Trust, Series 2020-AA, Class A 2.740%, 2/25/39 144A		257,600		242
Home Partners of America Trust, Series 2022-1, Class A 3.930%, 4/17/39 144A		394,370		370
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		135,673		134
JPMorgan Chase Bank NA, Series 2021-2, Class D 1.138%, 12/26/28 144A		176,720		168
KKR Financial CLO, Ltd., Series 2018-13, Class A1R 4.879%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A		194,531		193
KKR Financial CLO, Ltd., Series 2021-29A, Class A 5.279%, (ICE LIBOR USD 3 Month plus 1.200%), 1/15/32 144A		1,000,000		982
Kubota Credit Owner Trust, Series 2020-1A, Class A3 1.960%, 3/15/24 144A		49,452		49
Madison Park Funding, Ltd., Series 2017-23A, Class AR 5.328%, (ICE LIBOR USD 3 Month plus 0.970%), 7/27/31 144A		715,000		704


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Madison Park Funding, Ltd., Series 2017-23A, Class BR 5.908%, (ICE LIBOR USD 3 Month plus 1.550%), 7/27/31 144A		460,000		446
Madison Park Funding, Ltd., Series 2019-37A, Class AR 5.149%, (ICE LIBOR USD 3 Month plus 1.070%), 7/15/33 144A		450,000		439
Madison Park Funding, Ltd., Series 2022-33A, Class AR 5.154%, (US SOFR 3 Month plus 1.290%), 10/15/32 144A		1,025,000		1,011
Magnetite CLO, Ltd., Series 2020-25A, Class A 5.558%, (ICE LIBOR USD 3 Month plus 1.200%), 1/25/32 144A		655,000		646
Magnetite XVI, Ltd., Series 2015-16A, Class AR 4.994%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A		714,279		709
MetLife Securitization Trust, Series 2017-1A, Class A 3.000%, (AFC), 4/25/55 144A		83,356		78
MF1, Series 2021-FL7, Class A 5.419%, (ICE LIBOR USD 1 Month plus 1.080%), 10/16/36 144A		465,000		445
Mill City Mortgage Loan Trust, Series 2017-2, Class A1 2.750%, (AFC), 7/25/59 144A		39,472		39
MVW Owner Trust, Series 2017-1A, Class A 2.420%, 12/20/34 144A		121,178		118
MVW Owner Trust, Series 2017-1A, Class B 2.750%, 12/20/34 144A		12,756		12
MVW Owner Trust, Series 2017-1A, Class C 2.990%, 12/20/34 144A		14,031		13
MVW Owner Trust, Series 2019-2A, Class A 2.440%, 10/20/38 144A		72,928		68
MVW Owner Trust, Series 2020-1A, Class A 1.740%, 10/20/37 144A		121,719		111
MVW Owner Trust, Series 2020-1A, Class B 2.730%, 10/20/37 144A		166,156		153
MVW Owner Trust, Series 2021-1WA, Class C 1.940%, 1/22/41 144A		105,073		94
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A		195,731		187
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A		211,148		192
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A 2.640%, 5/15/68 144A		310,917		293
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A 2.460%, 11/15/68 144A		290,244		265
Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A 2.150%, 11/15/68 144A		1,053,559		956
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A		195,695		176

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

117

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A		122,709		109
Navient Private Education Refi Loan Trust, Series 2022-A, Class A 2.230%, 7/15/70 144A		857,156		744
Navient Student Loan Trust, Series 2019-GA, Class A 2.400%, 10/15/68 144A		444,054		407
Navient Student Loan Trust, Series 2020-HA, Class A 1.310%, 1/15/69 144A		66,871		60
Navient Student Loan Trust, Series 2021-BA, Class A 0.940%, 7/15/69 144A		362,703		306
Navient Student Loan Trust, Series 2021-EA, Class A 0.970%, 12/16/69 144A		215,575		181
Nelnet Student Loan Trust, Series 2020-1A, Class A 5.129%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A		112,953		110
Nelnet Student Loan Trust, Series 2021-CA, Class AFX 1.320%, 4/20/62 144A		732,005		650
Nelnet Student Loan Trust, Series 2021-DA, Class AFX 1.630%, 4/20/62 144A		253,671		229
Neuberger Berman CLO, Ltd., Series 2017-26A, Class BR 5.594%, (ICE LIBOR USD 3 Month plus 1.400%), 10/18/30 144A		500,000		481
Neuberger Berman CLO, Ltd., Series 2019-32A, Class AR 5.217%, (ICE LIBOR USD 3 Month plus 0.990%), 1/20/32 144A		955,000		934
Neuberger Berman CLO, Ltd., Series 2021-40A, Class A 5.139%, (ICE LIBOR USD 3 Month plus 1.060%), 4/16/33 144A		270,000		266
Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3 1.380%, 12/16/24		69,576		69
OCP CLO, Ltd., Series 2017-13A, Class A2R 5.629%, (ICE LIBOR USD 3 Month plus 1.550%), 7/15/30 144A		760,000		734
Octane Receivables Trust, Series 2021-2A, Class A 1.210%, 9/20/28 144A		230,550		219
Octane Receivables Trust, Series 2022-1A, Class B 4.900%, 5/22/28 144A		395,000		380
Palmer Square CLO, Ltd., Series 2020-3A, Class A1AR 5.686%, (ICE LIBOR USD 3 Month plus 1.080%), 11/15/31 144A		1,285,000		1,261
Planet Fitness Master Issuer LLC, Series 2018-A1, Class A2II 4.666%, 9/5/48 144A		813,875		762


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Progress Residential Trust, Series 2020-SFR2, Class A 2.078%, 6/18/37 144A		154,809		142
Progress Residential Trust, Series 2022-SFR6, Class A 4.451%, 7/20/39 144A		525,000		495
Santander Bank Auto Credit-Linked Notes, Series 2021-1A, Class B 1.833%, 12/15/31 144A		131,449		126
Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class C 5.916%, 8/16/32 144A		260,710		259
Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class B 6.451%, 12/15/32 144A		960,000		960
Santander Consumer Auto Receivables Trust, Series 2020-BA, Class C 1.290%, 4/15/26 144A		650,000		627
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class D 1.570%, 1/15/27 144A		450,000		407
Santander Drive Auto Receivables Trust, Series 2020-3, Class D 1.640%, 11/16/26		330,000		316
Santander Drive Auto Receivables Trust, Series 2020-4, Class C 1.010%, 1/15/26		250,850		248
Santander Drive Auto Receivables Trust, Series 2021-3, Class D 1.330%, 9/15/27		560,000		519
Santander Drive Auto Receivables Trust, Series 2021-4, Class D 1.670%, 10/15/27		450,000		414
Santander Drive Auto Receivables Trust, Series 2022-1, Class C 2.560%, 4/17/28		885,000		846
Santander Drive Auto Receivables Trust, Series 2022-4, Class C 5.000%, 11/15/29		990,000		947
Santander Retail Auto Lease Trust, Series 2020-A, Class D 2.520%, 11/20/24 144A		320,000		316
Santander Retail Auto Lease Trust, Series 2021-A, Class C 1.140%, 3/20/26 144A		1,030,000		971
Santander Retail Auto Lease Trust, Series 2021-B, Class D 1.410%, 11/20/25 144A		440,000		411
Santander Retail Auto Lease Trust, Series 2021-C, Class C 1.110%, 3/20/26 144A		365,000		338
Santander Retail Auto Lease Trust, Series 2022-B, Class B 3.850%, 3/22/27 144A		150,000		144
Sierra Receivables Funding Co. LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A		45,653		44
Sierra Receivables Funding Co. LLC, Series 2019-2A, Class A 2.590%, 5/20/36 144A		153,087		148

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

118

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class A 2.340%, 8/20/36 144A		364,562		345
Sierra Receivables Funding Co. LLC, Series 2020-2A, Class C 3.510%, 7/20/37 144A		85,634		81
SMB Private Education Loan Trust, Series 2014-A, Class A3 5.818%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A		282,390		281
SMB Private Education Loan Trust, Series 2016-C, Class A2B 5.418%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		176,903		176
SMB Private Education Loan Trust, Series 2018-B, Class A2A 3.600%, 1/15/37 144A		131,214		126
SMB Private Education Loan Trust, Series 2018-B, Class A2B 5.038%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A		313,975		307
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A		129,960		115
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A		940,522		831
SMB Private Education Loan Trust, Series 2021-B, Class A 1.310%, 7/17/51 144A		646,238		577
Symphony CLO I, Ltd., Series 2021-1A, Class B 5.808%, (ICE LIBOR USD 3 Month plus 1.450%), 10/25/29 144A		815,000		787
Symphony CLO XXIII, Ltd., Series 2021-23A, Class AR 5.099%, (ICE LIBOR USD 3 Month plus 1.020%), 1/15/34 144A		1,045,000		1,021
Symphony CLO XXVI, Ltd., Series 2021-26A, Class AR 5.323%, (ICE LIBOR USD 3 Month plus 1.080%), 4/20/33 144A		285,000		277
Towd Point Mortgage Trust, Series 2015-1, Class A1 3.000%, (AFC), 1/25/58 144A		55,935		54
Towd Point Mortgage Trust, Series 2017-1, Class A1 2.750%, (AFC), 10/25/56 144A		34,075		34
Towd Point Mortgage Trust, Series 2017-2, Class A1 2.750%, (AFC), 4/25/57 144A		21,914		22
Towd Point Mortgage Trust, Series 2017-3, Class A1 2.750%, (AFC), 7/25/57 144A		84,839		83
Towd Point Mortgage Trust, Series 2017-6, Class A1 2.750%, (AFC), 10/25/57 144A		264,262		252
Towd Point Mortgage Trust, Series 2018-2, Class A1 3.250%, (AFC), 3/25/58 144A		366,876		351


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Towd Point Mortgage Trust, Series 2018-5, Class A1A 3.250%, (AFC), 8/25/58 144A		224,769		216
World Omni Auto Receivables Trust, Series 2019-C, Class C 2.400%, 6/15/26		380,000		371
World Omni Auto Receivables Trust, Series 2020-A, Class C 1.640%, 8/17/26		225,000		214
World Omni Auto Receivables Trust, Series 2022-A, Class C 2.550%, 9/15/28		325,000		303
World Omni Select Auto Trust, Series 2020-A, Class B 0.840%, 6/15/26		270,000		261
World Omni Select Auto Trust, Series 2020-A, Class C 1.250%, 10/15/26		310,000		292

Total				54,921


Mortgage Securities (17.5%)
Angel Oak Mortgage Trust, Series 2019-4, Class A 3.301%, (AFC), 7/26/49 144A		12,110		12
Angel Oak Mortgage Trust, Series 2020-3, Class A3 2.872%, (AFC), 4/25/65 144A		59,316		53
Angel Oak Mortgage Trust, Series 2020-5, Class A2 1.579%, (AFC), 5/25/65 144A		80,343		72
Angel Oak Mortgage Trust, Series 2021-1, Class A1 0.909%, (AFC), 1/25/66 144A		338,864		277
Angel Oak Mortgage Trust, Series 2021-1, Class A2 1.115%, (AFC), 1/25/66 144A		99,136		80
Angel Oak Mortgage Trust, Series 2021-2, Class A1 0.985%, (AFC), 4/25/66 144A		286,085		235
Angel Oak Mortgage Trust, Series 2021-2, Class A2 1.190%, (AFC), 4/25/66 144A		90,227		72
Angel Oak Mortgage Trust, Series 2021-3, Class A1 1.068%, (AFC), 5/25/66 144A		227,286		187
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A 5.168%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A		935,000		917
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C 6.318%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/38 144A		435,000		396
BANK, Series 2019-BNK24, Class A1 2.056%, 11/15/62		78,839		77
Barclays Mortgage Loan Trust, Series 2021- NQM1, Class A1 1.747%, (AFC), 9/25/51 144A		577,900		491

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

119

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Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Bayview MSR Opportunity Master Fund Trust, Series 2021-2, Class A5 2.500%, (AFC), 6/25/51 144A		474,834		409
Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A5 2.500%, (AFC), 11/25/51 144A		357,379		307
Bayview MSR Opportunity Master Fund Trust, Series 2022-1, Class A5 2.500%, (AFC), 12/25/51 144A		449,332		384
BCP Trust, Series 2021-330N, Class A 5.117%, (ICE LIBOR USD 1 Month plus 0.799%), 6/15/38 144A		290,000		271
BIG Commercial Mortgage Trust, Series 2022-BIG, Class C 6.676%, (US SOFR 1 Month plus 2.340%), 2/15/39 144A		225,000		211
BINOM Securitization Trust, Series 2021-INV1, Class A3 2.625%, (AFC), 6/25/56 144A		200,443		174
BPR Trust, Series 2021-TY, Class B 5.468%, (ICE LIBOR USD 1 Month plus 1.150%), 9/25/38 144A		450,000		420
BRAVO Residential Funding Trust, Series 2021-NQM3, Class A1 1.699%, (AFC), 4/25/60 144A		323,003		289
BSREP Commercial Mortgage Trust, Series 2021-DC, Class D 6.218%, (ICE LIBOR USD 1 Month plus 1.900%), 8/15/38 144A		200,000		172
BX Commercial Mortgage Trust, Series 2019-XL, Class A 5.370%, (US SOFR 1 Month plus 1.035%), 10/15/36 144A		255,904		253
BX Commercial Mortgage Trust, Series 2019-XL, Class B 5.530%, (US SOFR 1 Month plus 1.195%), 10/15/36 144A		318,750		313
BX Commercial Mortgage Trust, Series 2021-CIP, Class A 5.239%, (ICE LIBOR USD 1 Month plus 0.921%), 12/15/38 144A		1,000,000		965
BX Commercial Mortgage Trust, Series 2021-SOAR, Class D 5.718%, (ICE LIBOR USD 1 Month plus 1.400%), 6/15/38 144A		372,181		351
BX Commercial Mortgage Trust, Series 2022-CSMO, Class B 7.476%, (US SOFR 1 Month plus 3.141%), 6/15/27 144A		570,000		565
BX Trust, Series 2018-GW, Class A 5.118%, (ICE LIBOR USD 1 Month plus 0.800%), 5/15/35 144A		1,095,000		1,067
BX Trust, Series 2021-ARIA, Class C 5.964%, (ICE LIBOR USD 1 Month plus 1.646%), 10/15/36 144A		330,000		307
BX Trust, Series 2021-VIEW, Class A 5.598%, (ICE LIBOR USD 1 Month plus 1.280%), 6/15/36 144A		255,000		243


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class D 5.968%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A		660,000		630
CIM Trust, Series 2020-INV1, Class A2 2.500%, (AFC), 4/25/50 144A		299,876		248
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B 3.518%, (CSTR), 5/10/35 144A		435,000		403
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C 3.518%, (CSTR), 5/10/35 144A		255,000		235
Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A3 2.500%, 8/25/50 144A		303,262		247
Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A4 2.500%, (AFC), 8/25/50 144A		421,197		342
Cold Storage Trust, Series 2020-ICE5, Class B 5.618%, (ICE LIBOR USD 1 Month plus 1.300%), 11/15/37 144A		953,501		923
COLT Mortgage Loan Trust, Series 2020-3, Class A1 1.506%, (AFC), 4/27/65 144A		35,709		33
COLT Mortgage Loan Trust, Series 2021-1, Class A2 1.167%, (AFC), 6/25/66 144A		271,677		216
COLT Mortgage Loan Trust, Series 2021-3, Class A3 1.419%, (AFC), 9/27/66 144A		214,125		167
COMM Mortgage Trust, Series 2013-300P, Class A1 4.353%, 8/10/30 144A		275,000		266
COMM Mortgage Trust, Series 2014-CR15, Class B 4.623%, (CSTR), 2/10/47		435,000		421
COMM Mortgage Trust, Series 2014-CR19, Class AM 4.080%, 8/10/47		495,000		474
COMM Mortgage Trust, Series 2014-CR19, Class D 4.697%, (CSTR), 8/10/47 144A		185,000		166
COMM Mortgage Trust, Series 2014-UBS2, Class B 4.701%, 3/10/47		480,000		463
COMM Mortgage Trust, Series 2014-UBS5, Class A4 3.838%, 9/10/47		630,000		608
COMM Mortgage Trust, Series 2015-CR22, Class B 3.926%, (AFC), 3/10/48		235,000		217
COMM Mortgage Trust, Series 2015-CR22, Class C 4.070%, (CSTR), 3/10/48		440,000		400
COMM Mortgage Trust, Series 2015-LC23, Class A2 3.221%, 10/10/48		108,890		108
Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1 4.928%, (US 30 Day Average SOFR plus 1.000%), 12/25/41 144A		302,287		298

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

120

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1 6.028%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		464,874		462
Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1 5.928%, (US 30 Day Average SOFR plus 2.000%), 3/25/42 144A		300,437		299
Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1 6.894%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A		411,016		415
Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1 6.478%, (US 30 Day Average SOFR plus 2.550%), 7/25/42 144A		218,147		219
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class C 5.748%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A		515,000		505
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class D 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		405,000		397
Credit Suisse Mortgage Trust, Series 2020-NET, Class A 2.256%, 8/15/37 144A		200,350		179
Credit Suisse Mortgage Trust, Series 2020-NET, Class D 3.704%, (CSTR), 8/15/37 144A		445,000		392
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4 3.718%, 8/15/48		305,000		290
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class A1 2.360%, 6/15/52		112,478		109
Deephaven Residential Mortgage Trust, Series 2021-1, Class A3 1.128%, (AFC), 5/25/65 144A		79,684		69
Deephaven Residential Mortgage Trust, Series 2021-2, Class A1 0.899%, (AFC), 4/25/66 144A		117,343		99
Deephaven Residential Mortgage Trust, Series 2021-2, Class A3 1.260%, (AFC), 4/25/66 144A		131,653		105
Eagle RE, Ltd., Series 2021-2, Class M1A 5.478%, (US 30 Day Average SOFR plus 1.550%), 4/25/34 144A		241,792		240
Ellington Financial Mortgage Trust, Series 2019-2, Class A3 3.046%, (AFC), 11/25/59 144A		54,764		51
Ellington Financial Mortgage Trust, Series 2021-1, Class A1 0.797%, (AFC), 2/25/66 144A		76,324		62
Ellington Financial Mortgage Trust, Series 2021-1, Class A3 1.106%, (AFC), 2/25/66 144A		63,293		50
Ellington Financial Mortgage Trust, Series 2021-2, Class A1 0.931%, (AFC), 6/25/66 144A		564,824		434


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Ellington Financial Mortgage Trust, Series 2021-2, Class A3 1.291%, (AFC), 6/25/66 144A		166,880		126
Ellington Financial Mortgage Trust, Series 2021-3, Class A1 1.241%, (AFC), 9/25/66 144A		229,038		183
Ellington Financial Mortgage Trust, Series 2021-3, Class A3 1.550%, (AFC), 9/25/66 144A		171,778		130
Extended Stay America Trust, Series 2021-ESH, Class A 5.398%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A		341,667		332
Extended Stay America Trust, Series 2021-ESH, Class C 6.018%, (ICE LIBOR USD 1 Month plus 1.700%), 7/15/38 144A		468,572		450
Federal Home Loan Bank 2.500%, 1/1/52		592,594		505
4.000%, 12/1/49		93,740		89
4.500%, 5/1/50		56,021		55
Federal Home Loan Mortgage Corp. 3.000%, 11/1/34		37,697		35
3.500%, 3/1/46		34,478		32
3.500%, 12/1/47		305,618		284
4.000%, 10/1/52		929,143		872
5.000%, 12/1/41		119,739		120
6.000%, 9/1/34		1,133		1
6.000%, 2/1/35		21,790		23
6.000%, 9/1/35		7,059		7
7.000%, 3/1/39		44,581		46
7.500%, 6/1/38		41,582		43
Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1 8.389%, (ICE LIBOR USD 1 Month plus 4.000%), 8/25/24		56,132		56
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1 3.857%, (CSTR), 5/25/47 144A		23,343		23
Federal Home Loan Mortgage Corp., Series 3713, Class PA 2.000%, 2/15/40		62,526		60
Federal Home Loan Mortgage Corp., Series 4092, Class CL 1.250%, 6/15/27		199,732		190
Federal National Mortgage Association 2.000%, 10/1/50		223,249		183
2.500%, 1/1/52		560,550		475
3.000%, 4/1/24		18,766		19
3.000%, 9/1/28		169,969		163
3.000%, 12/1/34		88,091		83
3.000%, 3/1/35		37,126		35
3.000%, 6/1/52		1,177,458		1,033
3.500%, 5/1/27		170,545		167
3.500%, 4/1/46		206,860		192
3.500%, 2/1/48		363,755		337
3.500%, 1/1/52		140,190		128
4.000%, 1/1/47		57,896		55
4.000%, 2/1/49		12,408		12
4.000%, 11/1/49		33,174		31
4.000%, 12/1/49		11,668		11

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

121

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
4.500%, 5/1/40		45,202		45
4.500%, 9/1/40		40,166		40
4.500%, 5/1/41		78,426		78
4.500%, 8/1/48		23,312		23
4.500%, 9/1/48		22,317		22
4.500%, 10/1/48		154,125		151
4.500%, 11/1/48		31,995		31
4.500%, 12/1/48		165,746		162
4.500%, 5/1/49		96,608		95
4.500%, 1/1/50		18,460		18
4.500%, 7/1/52		778,458		749
4.500%, 8/1/52		778,997		750
5.000%, 10/1/33		69,846		71
5.000%, 6/1/40		40,092		41
5.000%, 7/1/45		57,429		58
5.000%, 9/1/48		56,445		56
5.000%, 2/1/49		26,573		27
5.000%, 8/1/49		20,503		21
5.500%, 8/1/37		40,728		42
5.500%, 2/1/38		155,414		160
6.000%, 3/1/34		35,837		37
6.000%, 8/1/34		97,896		101
6.000%, 11/1/34		3,538		4
6.000%, 12/1/34		1,325		1
6.000%, 4/1/35		2,290		2
6.000%, 5/1/38		1,492		2
6.000%, 10/1/40		76,360		80
6.000%, 2/1/49		321,300		339
6.500%, 7/1/32		11,597		12
6.500%, 12/1/32		11,036		11
Federal National Mortgage Association, Series 2011-113, Class AG 2.500%, 11/25/26		36,162		35
Federal National Mortgage Association, Series 2013-74, Class AD 2.000%, 7/25/23		855		1
Federal National Mortgage Association, Series 2017-90, Class KA 3.000%, 11/25/47		187,902		174
Federal National Mortgage Association, Series 2017-C05, Class 1ED3 5.589%, (ICE LIBOR USD 1 Month plus 1.200%), 1/25/30		11,407		11
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 5.239%, (ICE LIBOR USD 1 Month plus 0.850%), 10/25/30		350,470		348
Federal National Mortgage Association, Series 2022-R06, Class 1M1 6.678%, (US 30 Day Average SOFR plus 2.750%), 5/25/42 144A		504,215		511
Finance of America HECM Buyout, Series 2022-HB2, Class A1A 4.000%, (AFC), 12/25/24 144A		909,927		891
Flagstar Mortgage Trust, Series 2020-1INV, Class A11 4.866%, (ICE LIBOR USD 1 Month plus 0.850%), 3/25/50 144A		108,964		100
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class B 3.447%, 12/10/36 144A		605,000		564


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Galton Funding Mortgage Trust, Series 2018-1, Class A33 3.500%, (AFC), 11/25/57 144A		32,090		28
Galton Funding Mortgage Trust, Series 2019-1, Class A21 4.500%, (AFC), 2/25/59 144A		36,491		35
Galton Funding Mortgage Trust, Series 2019-1, Class A32 4.000%, (AFC), 2/25/59 144A		15,876		15
Galton Funding Mortgage Trust, Series 2019- H1, Class M1 3.339%, (AFC), 10/25/59 144A		260,000		231
Galton Funding Mortgage Trust, Series 2020- H1, Class M1 2.832%, (AFC), 1/25/60 144A		285,000		206
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A 5.118%, (ICE LIBOR USD 1 Month plus 0.800%), 2/15/38 144A		335,000		311
Government National Mortgage Association 3.000%, 9/20/47		510,098		459
3.500%, 12/20/42		3,318		3
3.500%, 9/20/43		45,043		42
3.500%, 8/20/44		87,280		82
3.500%, 10/20/46		571		1
3.500%, 11/20/46		34,596		32
3.500%, 1/20/47		37,693		35
3.500%, 10/20/52		1,114,437		1,024
4.000%, 3/20/48		74,297		71
4.000%, 4/20/50		260,642		248
4.000%, 10/20/50		165,517		158
4.500%, 7/20/41		185,080		185
4.500%, 10/20/52		592,421		575
5.000%, 3/20/34		204,972		209
5.000%, 1/20/48		31,399		32
5.000%, 2/20/48		145,744		148
5.500%, 6/20/37		42,830		45
5.500%, 9/15/45		132,585		139
5.500%, 3/20/48		22,740		23
5.500%, 12/20/48		13,349		14
5.500%, 2/20/49		162,877		166
5.500%, 11/20/52		196,486		198
Government National Mortgage Association TBA 5.500%, 1/23/53		337,000		339
Great Wolf Trust, Series 2019-WOLF, Class A 5.352%, (ICE LIBOR USD 1 Month plus 1.034%), 12/15/36 144A		255,000		248
Great Wolf Trust, Series 2019-WOLF, Class C 5.951%, (ICE LIBOR USD 1 Month plus 1.633%), 12/15/36 144A		270,000		258
GS Mortgage Backed Securities Trust, Series 2014-EB1A, Class 2A1 2.495%, (CSTR), 7/25/44 144A		3,821		4
GS Mortgage Backed Securities Trust, Series 2021-GR2, Class A6 2.500%, (AFC), 2/25/52 144A		346,111		296
GS Mortgage Backed Securities Trust, Series 2021-HP1, Class A6 2.500%, 1/25/52 144A		296,658		254

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

122

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
GS Mortgage Backed Securities Trust, Series 2021-PJ5, Class A8 2.500%, 10/25/51 144A		715,267		613
GS Mortgage Backed Securities Trust, Series 2022-GR1, Class A5 2.500%, (AFC), 6/25/52 144A		953,039		815
GS Mortgage Securities Trust, Series 2021-ROSS, Class B 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/26 144A		390,000		352
Homeward Opportunities Fund I Trust, Series 2020-2, Class A1 1.657%, (AFC), 5/25/65 144A		5,956		6
Hundred Acre Wood Trust, Series 2021-INV1, Class A9 2.500%, 7/25/51 144A		466,364		404
Imperial Fund Mortgage Trust, Series 2021-NQM2, Class A3 1.516%, (AFC), 9/25/56 144A		271,425		204
Imperial Fund Mortgage Trust, Series 2022-NQM4, Class A1 4.767%, (AFC), 6/25/67 144A Σ		793,307		753
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class B 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 9/15/29 144A		790,000		753
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C 6.168%, (ICE LIBOR USD 1 Month plus 1.850%), 9/15/29 144A		250,000		235
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B 6.088%, (ICE LIBOR USD 1 Month plus 1.770%), 10/15/33 144A		540,000		504
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class C 6.488%, (ICE LIBOR USD 1 Month plus 2.170%), 10/15/33 144A		440,000		405
JP Morgan Mortgage Trust, Series 2020-INV1, Class A11 4.874%, (ICE LIBOR USD 1 Month plus 0.830%), (AFC), 8/25/50 144A		47,858		44
JP Morgan Mortgage Trust, Series 2020-INV1, Class A15 3.500%, (AFC), 8/25/50 144A		77,909		66
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A5 3.934%, 9/15/47		540,000		523
KIND Trust, Series 2021-KIND, Class C 6.068%, (ICE LIBOR USD 1 Month plus 1.750%), 8/15/38 144A		575,838		520
KKR Industrial Portfolio Trust, Series 2021-KDIP, Class C 5.318%, (ICE LIBOR USD 1 Month plus 1.000%), 12/15/37 144A		157,500		149
KKR Industrial Portfolio Trust, Series 2021-KDIP, Class D 5.568%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/37 144A		116,250		110


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
LSTAR Commercial Mortgage Trust, Series 2017-5, Class AS 4.021%, 3/10/50 144A		340,000		313
Mello Mortgage Capital Acceptance, Series 2021-INV3, Class A4 2.500%, (AFC), 10/25/51 144A		409,893		350
MFRA Trust, Series 2021-INV1, Class A1 0.852%, (AFC), 1/25/56 144A		141,447		124
MFRA Trust, Series 2021-NQM2, Class A2 1.317%, (AFC), 11/25/64 144A		129,522		102
MHC Trust, Series 2021-MHC2, Class B 5.418%, (ICE LIBOR USD 1 Month plus 1.100%), 5/15/23 144A		380,000		364
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS 4.110%, (AFC), 10/15/47		185,000		176
Morgan Stanley Capital I Trust, Series 2014-150E, Class A 3.912%, 9/9/32 144A		610,000		540
Morgan Stanley Capital I Trust, Series 2019-MEAD, Class D 3.177%, (CSTR), 11/10/36 144A		480,000		406
Morgan Stanley Capital I Trust, Series 2019-NUGS, Class D 6.118%, (ICE LIBOR USD 1 Month plus 1.800%), 12/15/36 144A		315,000		247
Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class A4 2.500%, (AFC), 5/25/51 144A		147,773		127
New Orleans Hotel Trust, Series 2019-HNLA, Class B 5.607%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A		606,569		572
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1 1.650%, (AFC), 5/24/60 144A		105,277		96
New Residential Mortgage Loan Trust, Series 2021-INV1, Class A6 2.500%, (AFC), 6/25/51 144A		300,127		257
New Residential Mortgage Loan Trust, Series 2021-INV2, Class A7 2.500%, (AFC), 9/25/51 144A		862,061		737
NLT Trust, Series 2021-INV2, Class A3 1.520%, (AFC), 8/25/56 144A		238,591		185
OBX Trust, Series 2019-EXP2, Class 2A2 4.687%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A		66,547		63
OBX Trust, Series 2019-EXP3, Class 2A1 5.289%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144A		84,297		81
OBX Trust, Series 2020-EXP1, Class 1A8 3.500%, 2/25/60 144A		156,519		138
OBX Trust, Series 2020-EXP1, Class 2A1 5.139%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/60 144A		149,666		138
OBX Trust, Series 2020-EXP1, Class 2A2 5.339%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A		89,065		83
OBX Trust, Series 2020-EXP2, Class A8 3.000%, (AFC), 5/25/60 144A		193,174		165

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

123

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
OBX Trust, Series 2020-EXP2, Class A9 3.000%, (AFC), 5/25/60 144A		48,293		41
OBX Trust, Series 2020-EXP3, Class 1A8 3.000%, (AFC), 1/25/60 144A		169,998		147
OBX Trust, Series 2020-INV1, Class A5 3.500%, (AFC), 12/25/49 144A		44,981		40
OBX Trust, Series 2021-J1, Class A4 2.500%, (AFC), 5/25/51 144A		516,525		443
OBX Trust, Series 2021-NQM1, Class A1 1.072%, (AFC), 2/25/66 144A		351,246		273
OBX Trust, Series 2021-NQM3, Class A1 1.054%, (AFC), 7/25/61 144A		216,786		163
ONE Park Mortgage Trust, Series 2021-PARK, Class B 5.400%, (US SOFR 1 Month plus 1.065%), 3/15/36 144A		755,000		709
ONE Park Mortgage Trust, Series 2021-PARK, Class C 5.550%, (US SOFR 1 Month plus 1.215%), 3/15/36 144A		405,000		372
PSMC Trust, Series 2021-1, Class A11 2.500%, (AFC), 3/25/51 144A		745,549		641
Sequoia Mortgage Trust, Series 2018-CH2, Class A21 4.000%, (AFC), 6/25/48 144A		22,594		21
Sequoia Mortgage Trust, Series 2018-CH2, Class A3 4.000%, (AFC), 6/25/48 144A		52,117		48
Sequoia Mortgage Trust, Series 2018-CH3, Class A19 4.500%, (AFC), 8/25/48 144A		3,378		3
Sequoia Mortgage Trust, Series 2018-CH4, Class A2 4.000%, (AFC), 10/25/48 144A		2,765		3
SG Residential Mortgage Trust, Series 2019-3, Class A2 2.877%, (AFC), 9/25/59 144A		102,310		98
SG Residential Mortgage Trust, Series 2020-2, Class A1 1.381%, (AFC), 5/25/65 144A		112,403		97
SG Residential Mortgage Trust, Series 2022-1, Class A1 3.166%, (AFC), 3/27/62 144A		588,594		526
Shelter Growth CRE Issuer, Ltd., Series 2021-FL3, Class A 5.398%, (ICE LIBOR USD 1 Month plus 1.080%), 9/15/36 144A		214,700		207
Slide, Series 2018-FUN, Class D 6.418%, (ICE LIBOR USD 1 Month plus 2.100%), 6/15/31 144A		349,993		344
STACR Trust, Series 2021-DNA2, Class M1 4.728%, (US 30 Day Average SOFR plus 0.800%), 8/25/33 144A		38,371		38
STACR Trust, Series 2021-DNA3, Class M2 6.028%, (US 30 Day Average SOFR plus 2.100%), 10/25/33 144A		395,000		387
STACR Trust, Series 2021-DNA5, Class M2 5.578%, (US 30 Day Average SOFR plus 1.650%), 1/25/34 144A		210,884		208


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
STACR Trust, Series 2021-DNA7, Class M1 4.778%, (US 30 Day Average SOFR plus 0.850%), 11/25/41 144A		236,157		232
STACR Trust, Series 2021-DNA7, Class M2 5.728%, (US 30 Day Average SOFR plus 1.800%), 11/25/41 144A		375,000		352
STACR Trust, Series 2021-HQA1, Class M1 4.628%, (US 30 Day Average SOFR plus 0.700%), 8/25/33 144A		42,682		42
STACR Trust, Series 2022-DNA2, Class M1A 5.228%, (US 30 Day Average SOFR plus 1.300%), 2/25/42 144A		266,886		262
STACR Trust, Series 2022-DNA3, Class M1A 5.928%, (US 30 Day Average SOFR plus 2.000%), 4/25/42 144A		605,980		603
STACR Trust, Series 2022-DNA4, Class M1A 6.128%, (US 30 Day Average SOFR plus 2.200%), 5/25/42 144A		672,264		670
STACR Trust, Series 2022-DNA5, Class M1A 6.878%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A		647,315		655
STACR Trust, Series 2022-DNA6, Class M1A 6.078%, (US 30 Day Average SOFR plus 2.150%), 9/25/42 144A		214,142		214
STACR Trust, Series 2022-HQA1, Class M1A 6.028%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		740,263		731
STACR Trust, Series 2022-HQA3, Class M1A 6.228%, (US 30 Day Average SOFR plus 2.300%), 8/25/42 144A		306,379		306
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3 2.916%, (AFC), 9/27/49 144A		181,793		171
Starwood Mortgage Residential Trust, Series 2020-1, Class A2 2.408%, (AFC), 2/25/50 144A		194,150		185
Starwood Mortgage Residential Trust, Series 2021-2, Class A1 0.943%, (AFC), 5/25/65 144A		164,932		152
Starwood Mortgage Residential Trust, Series 2021-4, Class A1 1.162%, (AFC), 8/25/56 144A		674,016		541
Toorak Mortgage Corp., Series 2021-INV1, Class A2 1.409%, (AFC), 7/25/56 144A		130,741		109
Towd Point Mortgage Trust, Series 2022-4, Class A1 3.750%, (AFC), 9/25/62 144A		953,347		892
United Wholsale Mortgage LLC, Series 2021-INV2, Class A4 2.500%, (AFC), 9/25/51 144A		160,595		138
United Wholsale Mortgage LLC, Series 2021-INV5, Class B 2.500%, (AFC), 1/25/52 144A		186,711		160
Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A		98,071		95
Verus Securitization Trust, Series 2019-INV2, Class A2 3.117%, (AFC), 7/25/59 144A		131,328		127

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

124

Short-Term Bond Portfolio


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A Σ		79,808		75
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A		107,640		103
Verus Securitization Trust, Series 2020-5, Class A3 1.733%, (AFC), 5/25/65 144A Σ		84,233		75
Verus Securitization Trust, Series 2020-INV1, Class A1 1.977%, (AFC), 4/25/60 144A		56,400		54
Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A		100,527		84
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		82,067		66
Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A		185,501		154
Verus Securitization Trust, Series 2021-2, Class A2 1.052%, (AFC), 1/25/66 144A		139,514		114
Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A		227,385		172
Verus Securitization Trust, Series 2021-7, Class A1 1.829%, (AFC), 10/25/66 144A		853,860		716
Verus Securitization Trust, Series 2021-R1, Class A2 1.057%, (AFC), 10/25/63 144A		63,103		56
Verus Securitization Trust, Series 2021-R2, Class A1 0.918%, (AFC), 2/25/64 144A		187,492		170
Verus Securitization Trust, Series 2022-1, Class A3 3.288%, (AFC), 1/25/67 144A		927,529		753
Verus Securitization Trust, Series 2022-6, Class A1 4.910%, (AFC), 6/25/67 144A Σ		240,074		229
Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A		56,856		47
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2 3.020%, 7/15/58		51,622		50
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17 3.000%, (AFC), 5/25/50 144A		37,502		31
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3 2.500%, (AFC), 12/25/50 144A		624,611		543
WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5 3.917%, 10/15/57		575,000		557


Structured Products (31.8%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5 4.045%, 3/15/47		325,000		319

Total				66,910


Total Structured Products
(Cost: $130,989)				121,831


Total Investments (98.8%)
(Cost: $397,183)^@				378,279

Other Assets, Less Liabilities (1.2%)				4,459

Net Assets (100.0%)				382,738

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

125

Short-Term Bond Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures


Issuer	Long/Short	Currency	Notional Par (000’s)	Number of Contracts	Expiration Date	Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Five-Year US Treasury Note Future	Short	USD	11,500	115	3/23	$	12,412	$	(2	)	$	10
Ten-Year US Treasury Note Future	Short	USD	4,500	45	3/23		5,054		14			6
Two-Year US Treasury Note Future	Long	USD	74,600	373	3/23		76,494		55			(58	)
Ultra Long Term US Treasury Bond Future	Short	USD	300	3	3/23		403		7			2
Ultra Ten-Year US Treasury Note Future	Short	USD	3,500	35	3/23		4,140		6			2

								$	80		$	(38	)


	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	$	-	$	20	$	20	$	-	$	(58	)	$	(58	)	$	-

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

§	Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At December 31, 2022, the aggregate value of these securities was $5,997 (in thousands), representing 1.6% of net assets.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022 the value of these securities (in thousands) was $148,975 representing 38.9% of the net assets.

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

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

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $397,264 and the net unrealized depreciation of investments based on that cost was $18,905 which is comprised of $317 aggregate gross unrealized appreciation and $19,222 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-		$	573	$	-
Corporate Bonds		-			185,866		-
Governments		-			70,009		-
Structured Products		-			121,831		-
Other Financial Instruments^
Futures		82			-		-
Total Assets:	$	82		$	378,279	$	-
Liabilities:
Other Financial Instruments^
Futures		(2	)		-		-
Total Liabilities:	$	(2	)	$	-	$	-

The Accompanying Notes are an Integral Part of the Financial Statements

126

Select Bond Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Provide as high a level of total return as is consistent with prudent investment risk. A secondary objective is to seek preservation of shareholders’ capital.	Invest in a diversified portfolio of investment grade debt securities with maturities exceeding one year.	$2.8 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Select Bond Portfolio (the “Portfolio”), has engaged Allspring Global Investments, LLC (“Allspring”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of investment grade debt securities with maturities exceeding one year. The Portfolio may also invest up to 20% of net assets in foreign securities. Debt securities may be of any maturity or duration, but under normal market conditions, the Portfolio attempts to maintain an overall dollar-weighted average effective duration (a measure of the sensitivity of the price of the Portfolio’s fixed income securities to changes in interest rates) that is within 10% of the Bloomberg^® U.S. Aggregate Index. The Portfolio uses a fundamental, relative value investment approach to construct the portfolio of investments. The Portfolio invests in debt securities that it believes offer competitive returns and are undervalued, offering additional income and/or price appreciation potential relative to other debt securities of similar credit quality and interest rate sensitivity. The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives.

MARKET OVERVIEW

Fixed income generated sharply negative returns during 2022 as the outlook for inflation and interest rates soared globally. With housing under pressure and softer consumer confidence and business spending, global economies stumbled in 2022 despite modestly resurgent business demand, improving supply-chain bottlenecks and easing labor shortages and wage costs. Inflation expectations and interest rates have begun to recede, but the Federal Reserve (the “Fed”) is expected to maintain a strong pace of rate hikes. Rate volatility persisted throughout the year, along with an inversion of the U.S. yield curve during the middle of the year. With credit performing well fundamentally and the asset class broadly benefiting technically from its international appeal, demand for U.S. credit has remained strong, particularly as credit spreads moved sharply wider during the year.

PORTFOLIO RESULTS

The Portfolio returned (13.33%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Bloomberg^® U.S. Aggregate Index (the “Index”), returned (13.01%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Core Bond Funds peer group was (13.43%).

Within the sector components of the Index, all sectors delivered negative excess returns, with the lowest coming from the credit and mortgage-backed securities (MBS) sectors. Spread product positioning and a small overweight to credit throughout most of the year detracted from performance as spreads widened dramatically.

On the security selection front, detractors were concentrated in the Information Technology, Energy and Industrials sectors and, within the Financials sector, the insurance and U.S. bank industries, heavy issuers of paper in the primary market during 2022.

In structured products, an overweight to the auto asset-backed securities (ABS) sector was a detractor from performance during the year. Security selection in the ABS sector detracted, resulting from positions in non-qualified mortgage (non-QM) residential mortgage-backed securities (RMBS) and private credit student loan ABS.

On the upside, security selection and positioning in conventional 30-years and 20-years were the most notable contributors to the Portfolio’s performance. In agency mortgages, sector positioning and security selection both contributed to the Portfolio’s return. The Portfolio management team maintained an underweight position for most of the year, which contributed meaningfully given the dramatic spread widening.

In credit, security selection contributed to performance during the year. Contributors were concentrated in the sovereigns, Health Care, Utilities and Communication Services sectors and in non-U.S. bank industries.

127

Select Bond Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

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

Recent incoming data on the U.S. economy points to better-than-expected growth in the fourth quarter of 2022, albeit mounting downside risks entering 2023. Measures of inflation have at long last shown clear signs of deceleration, though caution remains warranted for several important categories demonstrating persistency, such as housing and services, as well as ongoing pass-through risks following cumulative advances in labor costs and commodity prices. Policymakers continue to focus on inflation figures that have been considerably higher than expected and persistent, though they have slowed the pace of interest rate increases after front-loading hikes in 2022. Financial markets remained volatile in December, especially amid additional concerns around the Fed’s policy path and greater uncertainties around incoming economic data.

We believe volatility will provide for a fertile security selection environment across sectors of the most liquid parts of the U.S. investment grade, fixed income markets. Consistent with our bottom-up process, we maintain a neutral duration, with a pure focus on security selection. We remain nimble and agile, and we stand ready to take advantage of security selection opportunities where they arise.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Select Bond Portfolio		-13.33	%		0.16	%		1.11	%
Bloomberg^® U.S. Aggregate Index		-13.01	%		0.02	%		1.06	%
Lipper^® Variable Insurance Products (VIP) Core Bond Funds Average		-13.43	%		0.01	%		0.98	%

waivers, total return would be reduced. Returns exclude deductions for separate account sale loads and account fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

The U.S. federal funds rate has been subject to frequent adjustments over the course of the last several years. A significant rise in interest rates over a short period of time could causetime could cause significant losses in the market value of the Portfolio’s fixed income investments.

The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.

128

Select Bond Portfolio (unaudited)

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
US Treasury, Various		28.6	%
Federal National Mortgage Association, Various		19.1	%
Government National Mortgage Association, Various		2.8	%
Uniform Mortgage Backed Security TBA, Various		2.5	%
Federal Home Loan Mortgage Corp., Various		2.2	%
Federal Home Loan Bank, Various		1.6	%
Bank of America Corp., Various		1.5	%
JPMorgan Chase & Co., Various		1.4	%
Morgan Stanley, Various		0.9	%
UnitedHealth Group, Inc., Various		0.6	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Structured Products		48.5	%
Governments		30.0	%
Corporate Bonds		23.7	%
Municipal Bonds		0.3	%
Short-Term Investments & Other Net Assets		-2.5	%

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.

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SCHEDULE OF INVESTMENTS

December 31, 2022


Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Basic Materials (0.6%)
Anglo American Capital PLC 3.875%, 3/16/29 144A		2,878,000		2,584
4.750%, 3/16/52 144A		2,265,000		1,880
The Dow Chemical Co. 6.900%, 5/15/53		1,029,000		1,117
7.375%, 11/1/29		2,505,000		2,783
Freeport-McMoRan, Inc. 5.250%, 9/1/29		3,058,000		2,950
Glencore Finance Canada, Ltd. 6.000%, 11/15/41 144A		124,000		117
6.900%, 11/15/37 144A		1,133,000		1,192
Glencove Funding DAC / Glencove Funding LLC 4.875%, 3/12/29 144A		874,000		838
Rohm and Haas Co. 7.850%, 7/15/29		1,291,000		1,442

Total				14,903


Communications (1.5%)
Amazon.com, Inc. 2.875%, 5/12/41		689,000		514
4.700%, 12/1/32		2,689,000		2,662
AT&T, Inc. 1.700%, 3/25/26		4,901,000		4,417
3.500%, 6/1/41		1,052,000		785
3.650%, 9/15/59		1,032,000		691
3.800%, 12/1/57		2,964,000		2,045
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 3.500%, 6/1/41		567,000		369
3.500%, 3/1/42		2,756,000		1,766
Comcast Corp. 1.500%, 2/15/31		1,286,000		1,001
2.987%, 11/1/63		1,233,000		746
4.049%, 11/1/52		1,062,000		840
5.350%, 11/15/27		2,164,000		2,210
5.500%, 11/15/32		4,328,000		4,513
Discovery Communications LLC 4.000%, 9/15/55		1,151,000		692
Netflix, Inc. 5.375%, 11/15/29 144A		1,157,000		1,122
5.875%, 11/15/28		1,878,000		1,903
Rogers Communications, Inc. 4.550%, 3/15/52 144A		1,219,000		945
T-Mobile USA, Inc. 2.250%, 2/15/26		4,457,000		4,054
2.875%, 2/15/31		448,000		370
3.375%, 4/15/29		5,215,000		4,593
3.500%, 4/15/31		294,000		254
Verizon Communications, Inc. 2.355%, 3/15/32		1,111,000		881
2.550%, 3/21/31		1,547,000		1,272
2.650%, 11/20/40		1,379,000		931
3.550%, 3/22/51		986,000		702


Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Communications continued
Vodafone Group PLC 4.250%, 9/17/50		390,000		297
5.000%, 5/30/38		492,000		453

Total				41,028


Consumer, Cyclical (1.5%)
Delta Air Lines, Inc./SkyMiles IP, Ltd. 4.750%, 10/20/28 144A		5,792,000		5,444
Ford Motor Co. 4.750%, 1/15/43		209,000		150
Ford Motor Credit Co. LLC 2.700%, 8/10/26		1,820,000		1,581
2.900%, 2/10/29		1,780,000		1,422
General Motors Co. 5.400%, 10/15/29		2,580,000		2,462
5.600%, 10/15/32		529,000		491
General Motors Financial Co., Inc. 3.100%, 1/12/32		1,059,000		830
The Home Depot, Inc. 2.375%, 3/15/51		1,572,000		938
3.125%, 12/15/49		1,907,000		1,350
3.300%, 4/15/40		406,000		323
3.625%, 4/15/52		980,000		756
4.500%, 9/15/32		3,143,000		3,069
4.950%, 9/15/52		2,152,000		2,066
Hyundai Capital America 0.800%, 1/8/24 144A		867,000		825
1.300%, 1/8/26 144A		2,076,000		1,816
2.000%, 6/15/28 144A		980,000		798
Lowe’s Companies, Inc. 4.250%, 4/1/52		2,065,000		1,637
5.625%, 4/15/53		3,102,000		2,970
Magallanes, Inc. 5.050%, 3/15/42 144A		2,161,000		1,653
5.141%, 3/15/52 144A		4,986,000		3,625
5.391%, 3/15/62 144A		2,456,000		1,793
McDonald’s Corp. 3.625%, 9/1/49		1,603,000		1,206
4.200%, 4/1/50		2,366,000		1,969
5.150%, 9/9/52		1,034,000		991
Toyota Motor Credit Corp. 5.450%, 11/10/27		640,000		654
Walmart, Inc. 4.500%, 9/9/52		1,550,000		1,474

Total				42,293


Consumer, Non-cyclical (3.5%)
AbbVie, Inc. 4.050%, 11/21/39		1,164,000		996
4.250%, 11/21/49		6,649,000		5,518
4.300%, 5/14/36		713,000		642
4.450%, 5/14/46		725,000		623
Adani International Container Terminal Private, Ltd. 3.000%, 2/16/31 144A		864,375		677

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

130

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Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 4.700%, 2/1/36		2,781,000		2,626
4.900%, 2/1/46		5,399,000		4,908
Anheuser-Busch InBev Worldwide, Inc. 4.375%, 4/15/38		2,919,000		2,609
AstraZeneca Finance LLC 1.750%, 5/28/28		3,431,000		2,945
AstraZeneca PLC 1.375%, 8/6/30		997,000		788
Bunge, Ltd. Finance Corp. 1.630%, 8/17/25		1,131,000		1,030
Centene Corp. 2.500%, 3/1/31		919,000		719
3.000%, 10/15/30		2,207,000		1,809
Cigna Corp. 3.400%, 3/15/50		458,000		325
CVS Health Corp. 3.000%, 8/15/26		1,060,000		990
4.875%, 7/20/35		322,000		306
5.050%, 3/25/48		2,359,000		2,117
Danaher Corp. 2.600%, 10/1/50		1,170,000		746
2.800%, 12/10/51		784,000		518
DH Europe Finance II SARL 2.200%, 11/15/24		2,694,000		2,567
Diageo Capital PLC 5.300%, 10/24/27		2,695,000		2,757
5.500%, 1/24/33		2,798,000		2,927
Gilead Sciences, Inc. 2.600%, 10/1/40		1,703,000		1,188
2.800%, 10/1/50		1,591,000		1,017
4.000%, 9/1/36		877,000		773
GSK Consumer Healthcare Co. 3.375%, 3/24/27		2,447,000		2,278
3.375%, 3/24/29		982,000		883
3.625%, 3/24/32		3,700,000		3,248
4.000%, 3/24/52		356,000		278
HCA, Inc. 4.625%, 3/15/52 144A		5,044,000		3,926
Nestle Holdings, Inc. 4.125%, 10/1/27 144A		1,629,000		1,591
4.700%, 1/15/53 144A		1,106,000		1,040
Pfizer, Inc. 1.750%, 8/18/31		1,986,000		1,594
2.550%, 5/28/40		3,417,000		2,471
Philip Morris International, Inc. 5.000%, 11/17/25		2,325,000		2,335
5.125%, 11/17/27		3,486,000		3,511
5.750%, 11/17/32		1,746,000		1,780
Quanta Services, Inc. 0.950%, 10/1/24		1,957,000		1,802
Roche Holdings, Inc. 2.076%, 12/13/31 144A		3,641,000		2,962
2.607%, 12/13/51 144A		1,487,000		963
Shire Acquisitions Investments Ireland DAC 2.875%, 9/23/23		808,000		794
Takeda Pharmaceutical Co., Ltd. 2.050%, 3/31/30		2,711,000		2,213
3.025%, 7/9/40		1,196,000		878


Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Non-cyclical continued
3.175%, 7/9/50		835,000		563
4.400%, 11/26/23		620,000		615
Thermo Fisher Scientific, Inc. 1.750%, 10/15/28		991,000		839
2.800%, 10/15/41		1,577,000		1,161
UnitedHealth Group, Inc. 2.750%, 5/15/40		752,000		546
3.050%, 5/15/41		516,000		388
3.250%, 5/15/51		2,192,000		1,568
4.000%, 5/15/29		1,510,000		1,442
4.625%, 7/15/35		1,547,000		1,500
5.250%, 2/15/28		1,647,000		1,684
5.300%, 2/15/30		2,744,000		2,828
5.350%, 2/15/33		2,744,000		2,831
5.875%, 2/15/53		2,616,000		2,825
Viterra Finance BV 5.250%, 4/21/32 144A		3,104,000		2,726

Total				98,184


Energy (1.3%)
Aker BP ASA 3.750%, 1/15/30 144A		326,000		287
4.000%, 1/15/31 144A		1,246,000		1,092
Energy Transfer LP 4.400%, 3/15/27		486,000		462
4.950%, 5/15/28		3,625,000		3,477
5.300%, 4/15/47		2,835,000		2,359
5.750%, 2/15/33		3,987,000		3,901
6.125%, 12/15/45		877,000		811
Exxon Mobil Corp. 3.452%, 4/15/51		2,755,000		2,074
4.327%, 3/19/50		3,625,000		3,175
Galaxy Pipeline Assets Bidco, Ltd. 1.750%, 9/30/27 144A		1,918,733		1,775
2.160%, 3/31/34 144A		2,221,958		1,888
2.625%, 3/31/36 144A		1,480,000		1,191
2.940%, 9/30/40 144A		924,969		743
Kinder Morgan, Inc. 5.450%, 8/1/52		3,201,000		2,873
Lundin Energy Finance BV
2.000%, 7/15/26 144A		2,670,000		2,358
3.100%, 7/15/31 144A		2,913,000		2,389
Petroleos Mexicanos 2.460%, 12/15/25		1,925,700		1,839
Pioneer Natural Resources Co. 2.150%, 1/15/31		1,467,000		1,159
Sunoco Logistics Partners Operations LP 5.400%, 10/1/47		834,000		706
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 4.875%, 2/1/31		2,310,000		2,086
5.500%, 3/1/30		579,000		545

Total				37,190


Financial (9.4%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.150%, 10/29/23		5,917,000		5,693
Agree LP 2.000%, 6/15/28		2,053,000		1,681

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

131

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Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
2.600%, 6/15/33		468,000		352
4.800%, 10/1/32		1,029,000		952
American Homes 4 Rent, LP 3.625%, 4/15/32		1,890,000		1,590
4.300%, 4/15/52		847,000		621
American Tower Corp. 2.700%, 4/15/31		783,000		637
3.125%, 1/15/27		1,029,000		943
3.650%, 3/15/27		1,454,000		1,358
Antares Holdings LP 3.750%, 7/15/27 144A		2,439,000		1,972
Athene Global Funding 2.500%, 3/24/28 144A		3,441,000		2,867
2.646%, 10/4/31 144A		3,247,000		2,481
Banco Santander SA 3.225%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 11/22/32		1,600,000		1,208
Bank of America Corp. 1.530%, (US SOFR plus 0.650%), 12/6/25		9,136,000		8,426
1.658%, (US SOFR plus 0.910%), 3/11/27		7,810,000		6,910
1.734%, (US SOFR plus 0.960%), 7/22/27		7,078,000		6,201
2.687%, (US SOFR plus 1.320%), 4/22/32		7,533,000		6,029
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		5,454,000		4,939
5.015%, (US SOFR plus 2.160%), 7/22/33		2,275,000		2,160
6.204%, (US SOFR plus 1.990%), 11/10/28		5,332,000		5,505
Barclays PLC 7.385%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.300%), 11/2/28		5,422,000		5,652
7.437%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.500%), 11/2/33		3,252,000		3,407
Blackstone Holdings Finance Co. LLC 6.200%, 4/22/33 144A		3,246,000		3,272
Brighthouse Financial, Inc. 3.850%, 12/22/51		973,000		614
Brixmor Operating Partnership LP 2.500%, 8/16/31		1,143,000		874
Citigroup, Inc. 4.910%, (US SOFR plus 2.086%), 5/24/33		2,781,000		2,604
6.270%, (US SOFR plus 2.338%), 11/17/33		5,383,000		5,553
Cooperatieve Rabobank U.A. 3.649%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.220%), 4/6/28 144A		5,943,000		5,475
3.758%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.420%), 4/6/33 144A		3,496,000		2,978
Credit Suisse Group AG 9.016%, (US SOFR plus 5.020%), 11/15/33 144A		2,739,000		2,804
Crown Castle International Corp. 1.050%, 7/15/26		2,945,000		2,544
2.100%, 4/1/31		430,000		339
2.900%, 3/15/27		3,216,000		2,925
2.900%, 4/1/41		1,806,000		1,237
3.300%, 7/1/30		1,698,000		1,485
4.000%, 3/1/27		492,000		469


Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
Deutsche Bank AG 3.742%, (US SOFR plus 2.257%), 1/7/33		4,714,000		3,348
Enstar Group, Ltd. 3.100%, 9/1/31		2,473,000		1,806
Essex Portfolio LP 1.700%, 3/1/28		2,473,000		2,059
2.550%, 6/15/31		975,000		770
Extra Space Storage LP 2.350%, 3/15/32		846,000		640
Federal Realty Investment Trust 3.950%, 1/15/24		1,307,000		1,290
GLP Capital LP / GLP Financing II, Inc. 5.300%, 1/15/29		953,000		902
The Goldman Sachs Group, Inc. 0.657%, (US SOFR plus 0.505%), 9/10/24		4,929,000		4,742
0.925%, (US SOFR plus 0.486%), 10/21/24		7,318,000		7,011
1.948%, (US SOFR plus 0.913%), 10/21/27		2,438,000		2,132
HSBC Holdings PLC 7.390%, (US SOFR plus 3.350%), 11/6/28		3,192,000		3,355
Invitation Homes Operating Partnership LP 2.000%, 8/15/31		326,000		241
4.150%, 4/15/32		1,880,000		1,645
JPMorgan Chase & Co. 1.040%, (US SOFR 3 Month plus 0.695%), 2/4/27		9,850,000		8,568
1.045%, (US SOFR plus 0.800%), 11/19/26		3,053,000		2,693
1.470%, (US SOFR plus 0.765%), 9/22/27		2,450,000		2,121
1.561%, (US SOFR plus 0.605%), 12/10/25		14,410,000		13,341
1.578%, (US SOFR plus 0.885%), 4/22/27		2,436,000		2,140
2.182%, (US SOFR plus 1.890%), 6/1/28		3,016,000		2,637
4.323%, (US SOFR plus 1.560%), 4/26/28		1,606,000		1,534
4.565%, (US SOFR plus 1.750%), 6/14/30		2,488,000		2,341
4.912%, (US SOFR plus 2.080%), 7/25/33		2,060,000		1,961
Kimco Realty Corp. 4.600%, 2/1/33		1,547,000		1,415
Liberty Mutual Group, Inc. 5.500%, 6/15/52 144A		954,000		856
Lloyds Banking Group PLC 4.716%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.750%), 8/11/26		4,248,000		4,156
4.976%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/11/33		2,410,000		2,213
Marsh & McLennan Cos., Inc. 6.250%, 11/1/52		539,000		598
Mid-America Apartments LP 3.950%, 3/15/29		949,000		891
4.000%, 11/15/25		1,159,000		1,126
4.300%, 10/15/23		968,000		962
Mitsubishi UFJ Financial Group, Inc. 2.309%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 7/20/32		2,058,000		1,584
5.133%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.125%), 7/20/33		1,460,000		1,394
Morgan Stanley 0.790%, (US SOFR plus 0.525%), 5/30/25		6,345,000		5,899
0.791%, (US SOFR plus 0.509%), 1/22/25		6,280,000		5,941
0.864%, (US SOFR plus 0.745%), 10/21/25		543,000		498

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

132

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Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
0.985%, (US SOFR plus 0.720%), 12/10/26		5,008,000		4,388
1.512%, (US SOFR plus 0.858%), 7/20/27		3,830,000		3,324
6.342%, (US SOFR plus 2.560%), 10/18/33		5,377,000		5,634
Owl Rock Capital Corp. III 3.125%, 4/13/27		1,338,000		1,101
The PNC Financial Services Group, Inc. 6.037%, (US SOFR Index plus 2.140%), 10/28/33		3,239,000		3,372
Realty Income Corp. 2.200%, 6/15/28		1,013,000		868
2.850%, 12/15/32		1,369,000		1,110
3.650%, 1/15/28		1,063,000		992
5.625%, 10/13/32		3,000,000		3,047
Regency Centers LP 2.950%, 9/15/29		2,588,000		2,172
Rexford Industrial Realty, Inc. 2.150%, 9/1/31		510,000		391
Santander UK Group Holdings PLC 6.833%, (US SOFR plus 2.749%), 11/21/26		4,303,000		4,359
SBL Holdings, LLC 5.000%, 2/18/31 144A		3,406,000		2,679
Stewart Information Services Corp. 3.600%, 11/15/31		1,326,000		1,016
Store Capital Corp. 2.700%, 12/1/31		657,000		482
2.750%, 11/18/30		1,671,000		1,282
4.500%, 3/15/28		2,526,000		2,278
4.625%, 3/15/29		1,205,000		1,080
Sun Communities Operating LP 2.300%, 11/1/28		945,000		787
4.200%, 4/15/32		1,890,000		1,665
Truist Financial Corp. 6.123%, (US SOFR plus 2.300%), 10/28/33		1,518,000		1,597
Trust Fibra Uno 6.390%, 1/15/50 144A		1,319,000		1,065
UBS Group AG 4.703%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.050%), 8/5/27 144A		5,160,000		4,987
Wells Fargo & Co. 3.526%, (US SOFR plus 1.510%), 3/24/28		10,281,000		9,520
4.808%, (US SOFR plus 1.980%), 7/25/28		1,075,000		1,050
4.897%, (US SOFR plus 2.100%), 7/25/33		1,541,000		1,463

Total				261,276


Industrial (1.7%)
The Boeing Co. 2.196%, 2/4/26		3,723,000		3,383
3.250%, 2/1/35		1,205,000		916
3.750%, 2/1/50		2,151,000		1,477
5.930%, 5/1/60		2,794,000		2,545
Canadian National Railway Co. 3.850%, 8/5/32		1,547,000		1,437
4.400%, 8/5/52		1,032,000		917
Canadian Pacific Railway Co. 1.350%, 12/2/24		2,438,000		2,273
1.750%, 12/2/26		472,000		421
2.450%, 12/2/31		395,000		327
3.000%, 12/2/41		481,000		363


Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Industrial continued
Crowley Conro LLC 4.181%, 8/15/43		1,281,554		1,195
CSX Corp. 4.100%, 11/15/32		2,574,000		2,413
Honeywell International, Inc. 5.000%, 2/15/33		3,301,000		3,362
John Deere Capital Corp. 2.350%, 3/8/27		2,456,000		2,235
4.150%, 9/15/27		5,168,000		5,068
4.850%, 10/11/29		1,805,000		1,807
Lockheed Martin Corp. 5.100%, 11/15/27		2,739,000		2,799
5.700%, 11/15/54		2,191,000		2,296
5.900%, 11/15/63		1,096,000		1,177
Northrop Grumman Corp. 4.400%, 5/1/30		3,507,000		3,365
Parker Hannifin Corp. 4.250%, 9/15/27		2,986,000		2,897
4.500%, 9/15/29		1,991,000		1,908
Union Pacific Corp. 2.375%, 5/20/31		1,043,000		878
2.800%, 2/14/32		1,416,000		1,222
3.375%, 2/14/42		1,178,000		936

Total				47,617


Technology (2.2%)
Advanced Micro Devices, Inc. 3.924%, 6/1/32		3,165,000		2,941
Apple, Inc. 2.375%, 2/8/41		799,000		565
2.400%, 8/20/50		125,000		78
2.650%, 5/11/50		1,511,000		1,000
2.650%, 2/8/51		672,000		443
2.800%, 2/8/61		698,000		442
3.250%, 8/8/29		4,124,000		3,812
3.950%, 8/8/52		2,066,000		1,755
4.100%, 8/8/62		1,546,000		1,285
Broadcom, Inc. 2.450%, 2/15/31 144A		1,716,000		1,352
3.150%, 11/15/25		1,287,000		1,219
3.419%, 4/15/33 144A		4,671,000		3,745
3.469%, 4/15/34 144A		2,192,000		1,749
4.150%, 11/15/30		1,159,000		1,039
4.150%, 4/15/32 144A		1,477,000		1,297
4.926%, 5/15/37 144A		1,569,000		1,369
Dell International LLC / EMC Corp. 3.375%, 12/15/41 144A		2,437,000		1,632
3.450%, 12/15/51 144A		631,000		386
6.100%, 7/15/27		998,000		1,025
Intel Corp. 2.800%, 8/12/41		2,566,000		1,792
4.900%, 8/5/52		2,374,000		2,100
5.050%, 8/5/62		1,029,000		903
KLA-Tencor Corp. 3.300%, 3/1/50		899,000		651
4.950%, 7/15/52		914,000		849
NXP BV / NXP Funding LLC / NXP USA, Inc. 2.650%, 2/15/32		2,027,000		1,586
3.250%, 5/11/41		1,075,000		750
3.400%, 5/1/30		1,364,000		1,179

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

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Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Technology continued
4.400%, 6/1/27		1,189,000		1,139
Oracle Corp. 3.950%, 3/25/51		2,075,000		1,478
4.000%, 7/15/46		1,905,000		1,388
4.375%, 5/15/55		662,000		500
6.900%, 11/9/52		2,193,000		2,346
QUALCOMM, Inc. 4.500%, 5/20/52		1,617,000		1,416
6.000%, 5/20/53		2,472,000		2,625
VMware, Inc. 0.600%, 8/15/23		4,803,000		4,677
1.000%, 8/15/24		3,410,000		3,173
1.400%, 8/15/26		3,191,000		2,782
4.700%, 5/15/30		1,971,000		1,833
Xilinx, Inc. 2.375%, 6/1/30		841,000		707

Total				61,008


Utilities (2.0%)
The AES Corp. 1.375%, 1/15/26		1,110,000		986
American Transmission Systems, Inc. 2.650%, 1/15/32 144A		683,000		560
Baltimore Gas & Electric Co. 2.250%, 6/15/31		1,464,000		1,186
CenterPoint Energy Houston Electric LLC 3.600%, 3/1/52		1,082,000		831
Consumers Energy Co. 2.500%, 5/1/60		838,000		469
2.650%, 8/15/52		656,000		412
Dominion Energy, Inc. 5.375%, 11/15/32		3,229,000		3,201
DTE Electric Co. 2.950%, 3/1/50		1,709,000		1,159
3.650%, 3/1/52		783,000		605
DTE Energy Co. 1.050%, 6/1/25		877,000		794
Duke Energy Carolinas LLC 2.550%, 4/15/31		997,000		832
2.850%, 3/15/32		1,818,000		1,538
3.550%, 3/15/52		1,325,000		990
Duke Energy Corp. 2.550%, 6/15/31		1,072,000		873
3.500%, 6/15/51		303,000		210
3.750%, 9/1/46		303,000		225
4.300%, 3/15/28		2,574,000		2,477
Duke Energy Florida LLC 2.400%, 12/15/31		1,461,000		1,193
Duke Energy Progress LLC 2.500%, 8/15/50		1,477,000		886
EDP Finance BV 6.300%, 10/11/27 144A		1,185,000		1,217
Entergy Arkansas LLC 2.650%, 6/15/51		1,318,000		795
Eversource Energy 1.400%, 8/15/26		833,000		731
1.650%, 8/15/30		1,663,000		1,294
3.375%, 3/1/32		369,000		321
Florida Power & Light Co. 3.950%, 3/1/48		1,292,000		1,066


Corporate Bonds (23.7%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
Israel Electric Corp., Ltd. 3.750%, 2/22/32 144A §		960,000		840
Jersey Central Power & Light Co. 2.750%, 3/1/32 144A		1,608,000		1,299
Metropolitan Edison Co. 4.300%, 1/15/29 144A		1,721,000		1,615
MidAmerican Energy Co. 2.700%, 8/1/52		1,270,000		813
Mississippi Power Co. 3.100%, 7/30/51		1,755,000		1,117
3.950%, 3/30/28		1,754,000		1,645
4.250%, 3/15/42		673,000		546
Northern States Power Co. 3.200%, 4/1/52		991,000		705
NSTAR Electric Co. 3.100%, 6/1/51		904,000		621
4.550%, 6/1/52		1,189,000		1,070
4.950%, 9/15/52		517,000		499
Pacific Gas & Electric Co. 2.100%, 8/1/27		784,000		670
3.950%, 12/1/47		2,286,000		1,550
4.200%, 6/1/41		851,000		630
4.500%, 7/1/40		504,000		394
4.750%, 2/15/44		492,000		376
4.950%, 7/1/50		3,062,000		2,373
PacifiCorp 5.350%, 12/1/53		1,615,000		1,598
PECO Energy Co. 2.850%, 9/15/51		1,766,000		1,162
Pennsylvania Electric Co. 3.250%, 3/15/28 144A		1,426,000		1,281
Public Service Company of Oklahoma 3.150%, 8/15/51		991,000		657
Public Service Electric & Gas Co. 1.900%, 8/15/31		1,963,000		1,560
2.050%, 8/1/50		406,000		226
2.700%, 5/1/50		800,000		517
Public Service Enterprise Group, Inc. 1.600%, 8/15/30		1,128,000		875
2.450%, 11/15/31		1,269,000		1,014
Southern California Edison Co. 4.125%, 3/1/48		1,103,000		880
Trans-Allegheny Interstate Line Co. 3.850%, 6/1/25 144A		691,000		667
Virginia Electric & Power Co. 2.950%, 11/15/51		1,464,000		962
4.625%, 5/15/52		1,102,000		962
Wisconsin Electric Power Co. 4.750%, 9/30/32		1,469,000		1,439

Total				55,414

Total Corporate Bonds (Cost: $735,927)				658,913

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

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Governments (30.0%)	Shares/ Par ⁺		Value $ (000’s)

Governments (30.0%)
Bermuda Government International Bond 5.000%, 7/15/32 144A		1,280,000		1,271
Export Finance & Insurance Corp. 4.625%, 10/26/27 144A		3,690,000		3,727
Export-Import Bank of Korea 4.500%, 9/15/32		1,507,000		1,469
Federal Home Loan Mortgage Corp. 0.000%, 12/14/29 PO		4,007,000		3,008
Federal National Mortgage Association 0.000%, 11/15/30 PO		11,778,000		8,460
1.900%, 1/25/36		4,686,000		3,345
Province of Saskatchewan 3.250%, 6/8/27		1,493,000		1,423
Republic of Chile 4.340%, 3/7/42		536,000		453
Republic of Paraguay 5.400%, 3/30/50 144A		1,869,000		1,611
Republic of Peru 3.000%, 1/15/34		748,000		589
3.600%, 1/15/72		579,000		376
Republic of Poland 5.750%, 11/16/32		2,145,000		2,283
United Mexican States 3.500%, 2/12/34		2,608,000		2,087
3.750%, 4/19/71		2,264,000		1,406
3.771%, 5/24/61		1,626,000		1,027
4.400%, 2/12/52		3,288,000		2,417
4.500%, 4/22/29		2,664,000		2,540
4.600%, 2/10/48		576,000		444
4.875%, 5/19/33		665,000		610
US Treasury 0.250%, 8/31/25		28,945,000		26,028
0.375%, 11/30/25		10,368,000		9,274
0.375%, 1/31/26		45,142,000		40,164
0.750%, 5/31/26		20,757,000		18,512
1.125%, 5/15/40		54,471,000		34,091
1.125%, 8/15/40		48,786,000		30,297
1.375%, 11/15/40		97,432,000		63,342
1.375%, 8/15/50		7,166,000		3,982
1.375%, 10/31/28		14,736,000		12,720
1.500%, 8/15/26		61,841,000		56,367
1.500%, 11/30/28		7,360,000		6,391
1.625%, 11/15/50		5,502,000		3,274
1.625%, 5/15/26		21,780,000		20,045
1.750%, 8/15/41		96,652,000		66,142
1.875%, 2/15/41		4,376,000		3,093
1.875%, 11/15/51		6,155,000		3,898
2.000%, 8/15/51		20,260,000		13,266
2.000%, 11/15/26		6,156,000		5,692
2.250%, 2/15/52		5,870,000		4,082
2.250%, 11/15/27		12,053,000		11,107
2.375%, 8/15/24		3,385,000		3,266
2.500%, 5/15/24		10,630,000		10,318
2.625%, 7/31/29		5,197,000		4,785
2.750%, 2/15/28		23,723,000		22,306
2.750%, 5/31/29		12,496,000		11,610
2.875%, 5/15/52		12,008,000		9,621
2.875%, 4/30/25		10,294,000		9,961
3.000%, 8/15/52		14,573,000		12,007
3.000%, 6/30/24		1,654,000		1,614


Governments (30.0%)	Shares/ Par ⁺		Value $ (000’s)

Governments continued
3.125%, 8/31/29		4,659,000		4,423
3.250%, 6/30/29		8,414,000		8,052
3.375%, 8/15/42		1,864,000		1,666
3.875%, 11/30/27		12,547,000		12,478
3.875%, 12/31/27		26,644,000		26,490
3.875%, 9/30/29		1,046,000		1,039
3.875%, 11/30/29		3,943,000		3,917
4.000%, 11/15/42		417,000		408
4.000%, 11/15/52		20,223,000		20,251
4.000%, 12/15/25		35,787,000		35,558
4.000%, 10/31/29		2,697,000		2,698
4.125%, 11/15/32		13,075,000		13,343
4.125%, 9/30/27		42,969,800		43,131
4.125%, 10/31/27		63,917,000		64,152
4.250%, 9/30/24		806,000		802
4.375%, 10/31/24		5,259,000		5,244
4.500%, 11/30/24		22,135,000		22,136
4.500%, 11/15/25		851,000		856
5.250%, 11/15/28		6,632,000		7,026
5.250%, 2/15/29		5,182,000		5,501

Total				834,972

Total Governments (Cost: $935,228)				834,972



Municipal Bonds (0.3%)

Municipal Bonds (0.3%)
County of Clark Department of Aviation 6.820%, 7/1/45 RB		1,780,000		2,094
North Texas Tollway Authority, Series 2009-B 6.718%, 1/1/49 RB		1,950,000		2,311
The Ohio State University 4.800%, 6/1/11 RB		1,070,000		881
Port Authority of New York & New Jersey 4.458%, 10/1/62 RB		3,110,000		2,698
The University of Texas System 2.439%, 8/15/49 RB		925,000		581

Total Municipal Bonds (Cost: $10,488)				8,565


Structured Products (48.5%)

Asset Backed Securities (11.5%)
Ally Auto Receivables Trust, Series 2022-1, Class A3 3.310%, 11/15/26		2,703,000		2,633
Ally Auto Receivables Trust, Series 2022-2, Class A4 4.870%, 4/17/28		2,331,000		2,335
Ally Auto Receivables Trust, Series 2022-3, Class A3 5.070%, 6/15/31		1,172,000		1,180
American Express Credit Account Master Trust, Series 2022-3, Class A 3.750%, 8/16/27		5,090,000		4,976
American Express Credit Account Master Trust, Series 2022-4, Class A 4.950%, 10/15/27		3,774,000		3,802
AmeriCredit Automobile Receivables Trust, Series 2022-1, Class A3 2.450%, 11/18/26		906,000		877

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

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Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3 4.380%, 4/18/28		2,236,000		2,194
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A 2.360%, 3/20/26 144A		2,229,000		2,075
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A		1,707,000		1,580
Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A 1.660%, 2/20/28 144A		4,820,000		4,171
Avis Budget Rental Car Funding AESOP LLC, Series 2022-3A, Class A 4.620%, 2/20/27 144A		4,201,000		4,101
Avis Budget Rental Car Funding AESOP LLC, Series 2022-4A, Class A 4.770%, 2/20/29 144A		2,083,000		2,012
BA Credit Card Trust, Series 2022-A1, Class A1 3.530%, 11/15/27		4,447,000		4,324
BA Credit Card Trust, Series 2022-A2, Class A2 5.000%, 4/17/28		3,214,000		3,245
Capital One Multi-Asset Execution Trust, Series 2021-A2, Class A2 1.390%, 7/15/30		3,405,000		2,839
Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A 3.490%, 5/15/27		3,199,000		3,111
Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A 4.950%, 10/15/27		2,697,000		2,718
Chase Auto Owner Trust, Series 2022-AA, Class A4 3.990%, 3/27/28 144A		1,504,000		1,468
Chase Issuance Trust, Series 2022-A1, Class A 3.970%, 9/15/27		983,000		962
College Avenue Student Loans LLC, Series 2017-A, Class A1 6.039%, (ICE LIBOR USD 1 Month plus 1.650%), 11/26/46 144A		802,729		785
College Avenue Student Loans LLC, Series 2018-A, Class A2 4.130%, 12/26/47 144A		695,459		647
College Avenue Student Loans LLC, Series 2019-A, Class A2 3.280%, 12/28/48 144A		1,373,385		1,231
College Avenue Student Loans LLC, Series 2021-A, Class A2 1.600%, 7/25/51 144A		1,662,733		1,428
Discover Card Execution Note Trust, Series 2022-A3, Class A3 3.560%, 7/15/27		3,738,000		3,629
Ford Credit Auto Lease Trust, Series 2022-A, Class A3 3.230%, 5/15/25		3,785,000		3,710
Ford Credit Auto Owner Trust, Series 2020-2, Class A 1.060%, 4/15/33 144A		1,575,000		1,410


Structured Products (48.5%)	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		7,072
Ford Credit Auto Owner Trust, Series 2022-A, Class A3 1.290%, 6/15/26		1,453,000		1,382
Ford Credit Auto Owner Trust, Series 2022-A, Class A4 3.370%, 7/15/25		2,104,000		2,045
Ford Credit Auto Owner Trust, Series 2022-C, Class A4 4.590%, 12/15/27		3,779,000		3,739
Ford Credit Auto Owner Trust, Series 2022-D, Class A4 5.300%, 3/15/28		1,060,000		1,072
GM Financial Automobile Leasing Trust, Series 2022-2, Class A3 3.420%, 6/20/25		1,228,000		1,201
GM Financial Automobile Leasing Trust, Series 2022-2, Class A4 3.540%, 5/20/26		2,426,000		2,367
GM Financial Automobile Leasing Trust, Series 2022-3, Class A4 4.110%, 8/20/26		3,156,000		3,092
GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A3 3.100%, 2/16/27		6,253,000		6,056
GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A4 3.250%, 4/17/28		3,335,000		3,186
GM Financial Consumer Automobile Receivables Trust, Series 2022-3, Class A4 3.710%, 12/16/27		1,920,000		1,863
GM Financial Consumer Automobile Receivables Trust, Series 2022-4, Class A3 4.820%, 8/16/27		3,053,000		3,055
GM Financial Consumer Automobile Receivables Trust, Series 2022-4, Class A4 4.880%, 8/16/28		3,330,000		3,339
GM Financial Revolving Receivables Trust, Series 2022-1, Class A 5.910%, 10/11/35 144A		2,780,000		2,830
Hertz Vehicle Financing III LLC, Series 2021-2A, Class A 1.680%, 12/27/27 144A		2,671,000		2,325
Hertz Vehicle Financing III LLC, Series 2022-1A, Class A 1.990%, 6/25/26 144A		5,782,000		5,307
Hertz Vehicle Financing LLC, Series 2022-2A, Class A 2.330%, 6/26/28 144A		5,129,000		4,496
Hertz Vehicle Financing LLC, Series 2022-4A, Class A 3.730%, 9/25/26 144A		2,594,000		2,478
Hertz Vehicle Financing LLC, Series 2022-5A, Class A 3.890%, 9/25/28 144A		5,207,000		4,807
Honda Auto Receivables Owner Trust, Series 2022-2, Class A4 3.760%, 12/18/28		1,437,000		1,401

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

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Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
Hyundai Auto Lease Securitization Trust, Series 2022-C, Class A4 4.480%, 8/17/26 144A		3,093,000		3,053
Hyundai Auto Receivables Trust, Series 2021- C, Class A4 1.030%, 12/15/27		1,869,000		1,691
Hyundai Auto Receivables Trust, Series 2022- A, Class A3 2.220%, 10/15/26		3,507,000		3,351
Hyundai Auto Receivables Trust, Series 2022- A, Class A4 2.350%, 4/17/28		1,194,000		1,117
Hyundai Auto Receivables Trust, Series 2022- C, Class A3 5.390%, 6/15/27		2,623,000		2,650
Hyundai Auto Receivables Trust, Series 2022- C, Class A4 5.520%, 10/16/28		2,452,000		2,494
Mercedes-Benz Auto Receivables Trust, Series 2022-1, Class A4 5.250%, 2/15/29		2,454,000		2,466
Navient Private Education Refi Loan Trust, Series 2014-AA, Class A3 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 10/15/31 144A		1,539,000		1,523
Navient Private Education Refi Loan Trust, Series 2018-C, Class A2 3.520%, 6/16/42 144A		115,510		113
Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A 4.000%, 12/15/59 144A		2,056,436		1,967
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A		1,822,504		1,742
Navient Private Education Refi Loan Trust, Series 2019-C, Class A2 3.130%, 2/15/68 144A		1,430,531		1,351
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A		3,656,819		3,330
Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2 2.120%, 1/15/69 144A		1,275,890		1,158
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A		2,390,705		2,120
Navient Private Education Refi Loan Trust, Series 2021-A, Class A 0.840%, 5/15/69 144A		628,631		544
Navient Private Education Refi Loan Trust, Series 2021-FA, Class A 1.110%, 2/18/70 144A		3,164,247		2,664
Navient Private Education Refi Loan Trust, Series 2022-A, Class A 2.230%, 7/15/70 144A		7,662,882		6,649
Navient Student Loan Trust, Series 2016-AA, Class A2B 6.468%, (ICE LIBOR USD 1 Month plus 2.150%), 12/15/45 144A		602,700		608


Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
Navient Student Loan Trust, Series 2019-BA, Class A2A 3.390%, 12/15/59 144A		2,711,858		2,562
Navient Student Loan Trust, Series 2019-FA, Class A2 2.600%, 8/15/68 144A		2,147,335		1,987
Navient Student Loan Trust, Series 2020-EA, Class A 1.690%, 5/15/69 144A		125,267		113
Navient Student Loan Trust, Series 2020-HA, Class A 1.310%, 1/15/69 144A		1,264,060		1,134
Navient Student Loan Trust, Series 2020-IA, Class A1A 1.330%, 4/15/69 144A		4,703,897		4,009
Navient Student Loan Trust, Series 2021-3A, Class A1A 1.770%, 8/25/70 144A		3,436,996		2,966
Navient Student Loan Trust, Series 2021-BA, Class A 0.940%, 7/15/69 144A		940,078		794
Navient Student Loan Trust, Series 2021-CA, Class A 1.060%, 10/15/69 144A		3,637,720		3,092
Navient Student Loan Trust, Series 2021-EA, Class A 0.970%, 12/16/69 144A		6,059,900		5,076
Navient Student Loan Trust, Series 2021-GA, Class A 1.580%, 4/15/70 144A		2,207,126		1,869
Nelnet Student Loan Trust, Series 2004-3, Class A5 4.538%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36		408,609		397
Nelnet Student Loan Trust, Series 2004-4, Class A5 4.518%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37		1,967,358		1,926
Nelnet Student Loan Trust, Series 2005-1, Class A5 4.468%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33		6,046,761		5,834
Nelnet Student Loan Trust, Series 2005-2, Class A5 4.853%, (ICE LIBOR USD 3 Month plus 0.100%), 3/23/37		5,590,394		5,422
Nelnet Student Loan Trust, Series 2005-3, Class A5 4.873%, (ICE LIBOR USD 3 Month plus 0.120%), 12/24/35		4,361,007		4,225
Nelnet Student Loan Trust, Series 2005-4, Class A4 4.933%, (ICE LIBOR USD 3 Month plus 0.180%), 3/22/32		764,381		743
Nissan Auto Lease Trust, Series 2022-A, Class A3 3.810%, 5/15/25		4,217,000		4,153
Nissan Auto Receivables Owner Trust, Series 2022-B, Class A4 4.450%, 11/15/29		2,601,000		2,562

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

137

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Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
PenFed Auto Receivables Owner Trust, Series 2022-A, Class A3 3.960%, 4/15/26 144A		2,224,000		2,191
PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4 4.180%, 12/15/28 144A		1,093,000		1,074
Santander Drive Auto Receivables Trust, Series 2022-2, Class A3 2.980%, 10/15/26		6,587,000		6,479
Santander Drive Auto Receivables Trust, Series 2022-3, Class A3 3.400%, 12/15/26		2,210,000		2,169
Santander Drive Auto Receivables Trust, Series 2022-4, Class A3 4.140%, 2/16/27		3,191,000		3,125
Santander Drive Auto Receivables Trust, Series 2022-5, Class A3 4.110%, 8/17/26		2,649,000		2,600
Santander Drive Auto Receivables Trust, Series 2022-6, Class A3 4.490%, 11/16/26		5,498,000		5,430
Santander Drive Auto Receivables Trust, Series 2022-7, Class A3 5.750%, 4/15/27		1,780,000		1,790
SMB Private Education Loan Trust, Series 2016-B, Class A2A 2.430%, 2/17/32 144A		680,491		650
SMB Private Education Loan Trust, Series 2016-B, Class A2B 5.768%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A		638,886		634
SMB Private Education Loan Trust, Series 2016-C, Class A2B 5.418%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		693,984		691
SMB Private Education Loan Trust, Series 2018-C, Class A2A 3.630%, 11/15/35 144A		1,065,982		1,002
SMB Private Education Loan Trust, Series 2019-A, Class A2A 3.440%, 7/15/36 144A		4,402,120		4,186
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A		1,809,146		1,596
SMB Private Education Loan Trust, Series 2020-PTA, Class A2A 1.600%, 9/15/54 144A		2,900,896		2,577
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A		7,795,381		6,885
SMB Private Education Loan Trust, Series 2021-A, Class APT1 1.070%, 1/15/53 144A		6,363,285		5,460
SMB Private Education Loan Trust, Series 2021-B, Class A 1.310%, 7/17/51 144A		1,778,114		1,587
SMB Private Education Loan Trust, Series 2021-C, Class A2 5.118%, (ICE LIBOR USD 1 Month plus 0.800%), 1/15/53 144A		4,178,577		3,983


Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
SMB Private Education Loan Trust, Series 2021-D, Class A1A 1.340%, 3/17/53 144A		4,861,754		4,259
SMB Private Education Loan Trust, Series 2021-E, Class A1A 1.680%, 2/15/51 144A		3,468,226		3,129
SMB Private Education Loan Trust, Series 2022-C, Class A1A 4.480%, 5/16/50 144A		1,956,323		1,871
SMB Private Education Loan Trust, Series 2022-D, Class A1B 5.607%, (US 30 Day Average SOFR plus 1.800%), 10/15/58 144A		2,658,447		2,636
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX 2.650%, 9/25/40 144A		63,350		61
SoFi Professional Loan Program LLC, Series 2017-E, Class A2B 2.720%, 11/26/40 144A		329,846		328
SoFi Professional Loan Program LLC, Series 2020-C, Class AFX 1.950%, 2/15/46 144A		330,092		296
SoFi Professional Loan Program LLC, Series 2021-A, Class AFX 1.030%, 8/17/43 144A		1,099,551		873
SoFi Professional Loan Program LLC, Series 2021-B, Class AFX 1.140%, 2/15/47 144A		2,503,240		2,058
Synchrony Card Funding LLC, Series 2022- A1, Class A 3.370%, 4/17/28		3,793,000		3,659
Synchrony Card Funding LLC, Series 2022- A2, Class A 3.860%, 7/17/28		3,289,000		3,207
T-Mobile U.S. Trust, Series 2022-1A, Class A 4.910%, 5/22/28 144A		4,064,000		4,057
Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A 3.820%, 4/25/35 144A		2,632,000		2,493
Toyota Auto Owner Trust, Series 2022-C, Class A4 3.770%, 2/15/28		2,406,000		2,326
Toyota Auto Receivables Owner Trust, Series 2022-B, Class A4 3.110%, 8/16/27		2,486,000		2,358
Toyota Auto Receivables Owner Trust, Series 2022-D, Class A4 5.430%, 4/17/28		1,337,000		1,361
Triton Container Finance VIII LLC, Series 2020-1A, Class A 2.110%, 9/20/45 144A		1,376,493		1,178
Verizon Master Trust, Series 2022-2, Class A 1.530%, 7/20/28		2,007,000		1,876
Verizon Master Trust, Series 2022-4, Class A 3.400%, 11/20/28 S		4,341,000		4,203
Verizon Master Trust, Series 2022-6, Class A 3.670%, 1/22/29 S		3,908,000		3,784
World Omni Automobile Lease Securitization Trust, Series 2012-A, Class A3 3.210%, 2/18/25		2,345,000		2,295

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

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Structured Products (48.5%)	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		1,346

Total				319,774


Mortgage Securities (37.0%)
3650R Commercial Mortgage Trust, Series 2021-PF1, Class A5 2.522%, 11/15/54		1,584,000		1,266
Angel Oak Mortgage Trust, Series 2020-2, Class A1A 2.531%, (AFC), 1/26/65 144A		899,072		813
Angel Oak Mortgage Trust, Series 2020-5, Class A1 1.373%, (AFC), 5/25/65 144A		301,064		268
Angel Oak Mortgage Trust, Series 2021-6, Class A1 1.458%, (AFC), 9/25/66 144A		1,702,972		1,346
Bank, Series 2022-BNK44, Class A5 5.746%, 11/15/55		2,422,000		2,522
Barclays Commercial Mortgage Securities LLC, Series 2018-C2, Class ASB 4.236%, 12/15/51		729,000		702
Barclays Commercial Mortgage Securities LLC, Series 2019-C3, Class A3 3.319%, 5/15/52		2,545,000		2,293
BBCMS Mortgage Trust, Series 2022-C18, Class A5 5.710%, (AFC), 12/15/55		1,023,000		1,070
Benchmark Mortgage Trust, Series 2022-B35, Class A5 4.445%, 5/15/55		816,000		780
Bunker Hill Loan Depositary Trust, Series 2019-2, Class A1 2.879%, (AFC), 7/25/49 144A S		1,225,510		1,127
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1 2.724%, (AFC), 11/25/59 144A S		699,909		674
BX Commercial Mortgage Trust, Series 2021- VOLT, Class A 5.018%, (ICE LIBOR USD 1 Month plus 0.700%), 9/15/36 144A		6,842,000		6,591
BX Trust, Series 2021-XL2, Class A 5.007%, (ICE LIBOR USD 1 Month plus 0.689%), 10/15/38 144A		3,149,904		3,027
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB 3.367%, 6/15/50		877,422		837
Citigroup Commercial Mortgage Trust, Series 2022-GC48, Class A5 4.580%, 6/15/55		2,008,000		1,934
Citigroup Mortgage Loan Trust, Series 2005-1, Class 3A1 6.500%, 4/25/35		83,113		80
COLT Mortgage Loan Trust, Series 2021-2, Class A1 0.924%, (AFC), 8/25/66 144A		2,226,093		1,756
COLT Mortgage Loan Trust, Series 2021-4, Class A1 1.397%, (AFC), 10/25/66 144A		2,436,622		1,979


Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
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		7,994,000		7,906
COMM Mortgage Trust, Series 2013-CR13, Class A4 4.194%, (AFC), 11/10/46		1,087,000		1,068
COMM Mortgage Trust, Series 2013-CR6, Class A4 3.101%, 3/10/46		2,168,063		2,161
COMM Mortgage Trust, Series 2014-UBS4, Class A4 3.420%, 8/10/47		2,348,000		2,271
COMM Mortgage Trust, Series 2015-LC19, Class A3 2.922%, 2/10/48		5,104,199		4,896
COMM Mortgage Trust, Series 2015-LC23, Class A3 3.521%, 10/10/48		1,230,000		1,167
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 2.804%, 3/17/54		902,000		751
CSMC Commercial Mortgage Trust, Series 2019-C16, Class A2 3.066%, 6/15/52		1,203,000		1,051
EQUS Mortgage Trust, Series 2021-EQAZ, Class A 5.073%, (ICE LIBOR USD 1 Month plus 0.755%), 10/15/38 144A		2,683,946		2,583
Fannie Mae REMICS, Series 2021-78, Class PA 2.500%, 11/25/51		2,070,428		1,801
Federal Home Loan Bank 2.000%, 11/1/40		264,406		225
2.000%, 1/1/41		1,611,544		1,368
2.000%, 4/1/41		1,769,737		1,507
2.000%, 7/1/41		2,599,405		2,191
2.000%, 11/1/41		3,232,404		2,725
2.000%, 12/1/41		7,952,410		6,703
2.000%, 1/1/42		1,947,294		1,641
2.000%, 2/1/42		15,293,185		12,891
2.000%, 3/1/42		1,063,069		896
2.000%, 4/1/42		4,173,594		3,518
2.000%, 5/1/42		1,824,401		1,538
2.000%, 2/1/47		1,150,764		942
2.000%, 12/1/51		946,138		775
2.500%, 4/1/42		920,674		801
2.500%, 5/1/42		4,168,095		3,619
2.500%, 6/1/42		1,421,769		1,229
2.500%, 2/1/52		756,441		645
2.500%, 3/1/52		2,507,142		2,133
Federal Home Loan Mortgage Corp. 2.000%, 4/1/42		5,218,664		4,399
2.000%, 8/1/42		3,088,491		2,603
2.305%, (ICE LIBOR USD 12 Month plus 1.650%), 3/1/43		459,262		469
2.317%, (ICE LIBOR USD 12 Month plus 1.642%), 8/1/43		312,222		315

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

139

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Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
2.357%, (ICE LIBOR USD 12 Month plus 1.635%), 7/1/43		202,457		204
2.447%, (ICE LIBOR USD 12 Month plus 1.637%), 9/1/45		3,743,035		3,781
2.500%, 8/1/51		1,069,301		912
2.500%, 9/1/51		7,048,568		6,061
2.500%, 1/1/52		7,048,016		6,001
2.509%, (ICE LIBOR USD 12 Month plus 1.632%), 11/1/43		333,406		335
2.542%, (ICE LIBOR USD 12 Month plus 1.646%), 10/1/43		644,988		651
2.556%, (ICE LIBOR USD 12 Month plus 1.606%), 9/1/43		159,278		160
2.703%, (ICE LIBOR USD 12 Month plus 1.611%), 10/1/43		380,295		382
2.814%, (ICE LIBOR USD 12 Month plus 1.640%), 5/1/49		1,030,523		999
2.874%, (ICE LIBOR USD 12 Month plus 1.723%), 1/1/44		696,208		707
3.000%, 9/1/46		3,166,338		2,838
3.000%, 11/1/48		1,167,748		1,043
3.314%, (ICE LIBOR USD 12 Month plus 1.687%), 9/1/47		1,916,244		1,943
3.457%, (ICE LIBOR USD 12 Month plus 1.638%), 3/1/49		1,724,478		1,712
3.500%, 6/1/46		1,488,170		1,377
3.500%, 10/1/46		1,236,951		1,151
3.574%, (US 30 Day Average SOFR plus 2.183%), 10/1/52		10,187,197		9,769
3.722%, (ICE LIBOR USD 12 Month plus 1.635%), 4/1/48		3,900,219		3,907
4.000%, 7/1/49		4,223,015		4,076
4.486%, (ICE LIBOR USD 12 Month plus 1.686%), 2/1/43		455,592		468
4.500%, 6/1/39		93,920		92
4.500%, 7/1/39		113,797		112
5.497%, (ICE LIBOR USD 12 Month plus 1.770%), 9/1/42		265,229		272
Federal Home Loan Mortgage Corp., Series 2012-264, Class 30 3.000%, 7/15/42		2,874,353		2,606
Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA 3.000%, 10/15/47		2,173,520		1,971
Federal Home Loan Mortgage Corp., Series 2439, Class LH 6.000%, 4/15/32		161,455		164
Federal Home Loan Mortgage Corp., Series 4205, Class PA 1.750%, 5/15/43		967,531		816
Federal Home Loan Mortgage Corp., Series 4880, Class DA 3.000%, 5/15/50		1,965,873		1,791
Federal Home Loan Mortgage Corp., Series 5091, Class AB 1.500%, 3/25/51		3,565,249		2,922
Federal Home Loan Mortgage Corp., Series 5119, Class AB 1.500%, 8/25/49		1,756,092		1,419


Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 5203, Class G 2.500%, 11/25/48		1,185,283		1,035
Federal National Mortgage Association 1.500%, 10/1/41		9,192,539		7,520
1.500%, 11/1/41		26,536,182		21,708
1.615%, (US 30 Day Average SOFR plus 2.211%), 12/1/51		933,911		834
2.000%, 11/1/40		211,059		180
2.000%, 12/1/40		16,932,344		14,420
2.000%, 1/1/41		10,194,993		8,600
2.000%, 5/1/41		3,105,671		2,645
2.000%, 6/1/41		812,155		692
2.000%, 7/1/41		12,941,697		10,909
2.000%, 8/1/41		932,930		786
2.000%, 10/1/41		4,817,904		4,103
2.000%, 1/1/42		5,758,229		4,854
2.000%, 2/1/42		40,530,593		34,164
2.000%, 3/1/42		11,532,286		9,721
2.000%, 4/1/42		2,477,884		2,089
2.000%, 5/1/42		4,323,451		3,644
2.000%, 8/1/42		2,745,492		2,314
2.000%, 11/1/42		1,230,376		1,048
2.000%, 1/1/47		1,344,773		1,103
2.000%, 3/1/47		9,538,984		7,819
2.000%, 12/1/50		9,889,911		8,086
2.259%, (ICE LIBOR USD 12 Month plus 1.560%), 6/1/43		259,571		263
2.442%, (ICE LIBOR USD 12 Month plus 1.565%), 3/1/43		124,410		128
2.500%, 12/1/35		7,020,027		6,442
2.500%, 5/1/36		4,003,532		3,674
2.500%, 6/1/36		5,093,386		4,673
2.500%, 12/1/40		4,501,135		3,959
2.500%, 5/1/41		4,539,110		3,992
2.500%, 8/1/41		2,290,459		2,002
2.500%, 2/1/42		2,669,807		2,348
2.500%, 4/1/42		6,415,738		5,579
2.500%, 5/1/42		3,378,240		2,934
2.500%, 6/1/42		3,033,075		2,638
2.500%, 12/1/47		6,273,093		5,549
2.500%, 10/1/50		4,093,052		3,529
2.500%, 6/1/51		2,837,302		2,428
2.500%, 9/1/51		3,241,601		2,768
2.500%, 12/1/51		17,769,257		15,173
2.500%, 3/1/52		3,067,653		2,613
2.934%, (ICE LIBOR USD 12 Month plus 1.583%), 1/1/46		2,255,764		2,287
3.000%, 11/1/42		2,339,257		2,128
3.000%, 1/1/43		2,485,595		2,240
3.000%, 2/1/43		13,271,230		12,047
3.000%, 7/1/43		1,795,465		1,632
3.000%, 8/1/43		2,482,892		2,256
3.000%, 12/1/43		2,387,349		2,172
3.000%, 2/1/44		2,424,037		2,206
3.000%, 2/1/45		3,942,382		3,580
3.000%, 10/1/46		3,428,645		3,069
3.000%, 11/1/46		6,706,146		6,018
3.000%, 12/1/46		9,712,292		8,720
3.000%, 1/1/47		3,559,835		3,182

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

140

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Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
3.000%, 2/1/47		8,205,640		7,433
3.000%, 2/1/48		1,724,599		1,544
3.000%, 12/1/48		5,042,836		4,501
3.000%, 10/1/49		29,550,168		26,826
3.000%, 2/1/50		23,288,485		20,910
3.000%, 5/1/50		7,307,338		6,574
3.000%, 7/1/50		14,330,109		12,866
3.000%, 2/1/55		1,302,942		1,160
3.000%, 7/1/60		16,057,438		14,048
3.147%, (ICE LIBOR USD 12 Month plus 1.579%), 10/1/43		897,928		906
3.404%, (ICE LIBOR USD 12 Month plus 1.579%), 6/1/45		826,482		831
3.500%, 11/1/42		1,253,408		1,173
3.500%, 12/1/43		6,174,287		5,737
3.500%, 2/1/46		3,128,068		2,922
3.500%, 7/1/47		15,588,091		14,592
3.500%, 7/1/48		990,310		916
3.500%, 6/1/49		17,426,579		16,118
3.500%, 7/1/49		9,690,575		8,958
3.500%, 4/1/50		8,936,187		8,304
3.684%, (US 30 Day Average SOFR plus 2.370%), 8/1/52		2,159,726		2,057
3.963%, (US 30 Day Average SOFR plus 2.120%), 8/1/52		852,200		813
4.000%, 9/1/33		793,605		778
4.000%, 3/1/35		15,590,874		15,216
4.000%, 10/1/37		9,002,843		8,782
4.000%, 6/1/38		1,280,119		1,239
4.000%, 9/1/45		499,190		487
4.000%, 1/1/46		2,497,779		2,439
4.000%, 2/1/47		1,374,462		1,321
4.000%, 4/1/47		623,098		599
4.000%, 10/1/47		482,353		468
4.000%, 7/1/48		7,819,881		7,490
4.000%, 12/1/48		1,266,609		1,232
4.000%, 2/1/49		2,174,383		2,090
4.000%, 5/1/49		1,241,801		1,196
4.000%, 12/1/49		1,252,919		1,204
4.000%, 8/1/59		1,623,081		1,547
4.155%, (US 30 Day Average SOFR plus 2.132%), 10/1/52		7,221,533		7,072
4.168%, (US 30 Day Average SOFR plus 2.120%), 7/1/52		3,344,288		3,216
4.224%, (US 30 Day Average SOFR plus 2.370%), 9/1/52		991,200		961
4.250%, (US 30 Day Average SOFR plus 2.127%), 11/1/52		2,548,567		2,501
4.317%, (US 30 Day Average SOFR plus 2.125%), 8/1/52		3,847,439		3,758
4.352%, (US 30 Day Average SOFR plus 2.124%), 7/1/52		3,720,582		3,638
4.500%, 6/1/41		92,802		92
4.500%, 3/1/43		1,234,537		1,224
4.500%, 10/1/45		1,923,672		1,890
4.500%, 2/1/46		67,806		67
4.500%, 7/1/48		1,997,879		1,979
4.500%, 11/1/48		930,859		925
4.622%, (US 30 Day Average SOFR plus 2.127%), 8/1/52		4,321,029		4,263


Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
4.645%, (US 30 Day Average SOFR plus 2.122%), 8/1/52		3,174,801		3,110
4.651%, (US 30 Day Average SOFR plus 2.131%), 8/1/52		3,408,684		3,367
4.663%, (US 30 Day Average SOFR plus 2.122%), 12/1/52		2,636,407		2,619
5.000%, 7/1/44		127,467		129
5.500%, 9/1/52		2,866,257		2,963
6.119%, (ICE LIBOR USD 12 Month plus 1.639%), 1/1/43		207,582		213
6.500%, 11/1/52		1,308,210		1,373
6.500%, 12/1/52		874,557		923
Federal National Mortgage Association Stripped, Series 414, Class A35 3.500%, 10/25/42 PO		2,458,808		2,295
Federal National Mortgage Association, Series 2012-151, Class NX 1.500%, 1/25/43		1,061,491		898
Federal National Mortgage Association, Series 2013-11, Class AP 1.500%, 1/25/43		3,666,151		3,247
Federal National Mortgage Association, Series 2013-43, Class BP 1.750%, 5/25/43		1,222,645		1,060
Federal National Mortgage Association, Series 2015-84, Class PA 1.700%, 8/25/33		4,225,396		3,820
Federal National Mortgage Association, Series 2016-48, Class MA 2.000%, 6/25/38		4,235,467		3,814
Federal National Mortgage Association, Series 2016-57, Class PC 1.750%, 6/25/46		8,295,223		6,889
Federal National Mortgage Association, Series 2017-13, Class PA 3.000%, 8/25/46		1,310,500		1,189
Federal National Mortgage Association, Series 2017-M7, Class A2 2.961%, (AFC), 2/25/27		957,493		900
Federal National Mortgage Association, Series 2018-14, Class KC 3.000%, 3/25/48		2,572,799		2,396
Federal National Mortgage Association, Series 2018-8, Class KL 2.500%, 3/25/47		1,391,319		1,216
Federal National Mortgage Association, Series 2018-85, Class FE 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 12/25/48		4,222,222		4,122
Federal National Mortgage Association, Series 2019-25, Class PA 3.000%, 5/25/48		2,766,722		2,511
Federal National Mortgage Association, Series 2020-45, Class JL 3.000%, 7/25/40		3,103,845		2,803
Federal National Mortgage Association, Series 2020-48, Class AB 2.000%, 7/25/50		1,462,506		1,232
Federal National Mortgage Association, Series 2020-48, Class DA 2.000%, 7/25/50		4,415,585		3,778

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

141

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Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Federal National Mortgage Association, Series 2021-27, Class EC 1.500%, 5/25/51		6,148,591		5,025
Federal National Mortgage Association, Series 2021-78, Class ND 1.500%, 11/25/51		3,567,608		2,920
Federal National Mortgage Association, Series 2022-11, Class A 2.500%, 7/25/47		5,821,849		5,252
Federal National Mortgage Association, Series 2022-28, Class CA 2.000%, 1/25/48		2,202,917		1,937
Federal National Mortgage Association, Series 2022-M13, Class A2 2.593%, (CSTR), 6/25/32		2,133,000		1,801
Freddie Mac Non Gold Pool 3.888%, (US 30 Day Average SOFR plus 2.241%), 12/1/52		1,884,273		1,822
3.912%, (US 30 Day Average SOFR plus 2.130%), 7/1/52		1,449,177		1,390
3.989%, (US 30 Day Average SOFR plus 2.140%), 8/1/52		1,936,992		1,844
4.119%, (US 30 Day Average SOFR plus 2.380%), 9/1/52		994,246		958
4.301%, (US 30 Day Average SOFR plus 2.130%), 7/1/52		1,734,740		1,686
Freddie Mac, Series 1582, Class M 2.500%, 5/25/49		1,843,081		1,623
Freddie Mac, Series 5178, Class TP 2.500%, 4/25/49		2,931,320		2,513
Freddie Mac, Series 5201, Class CA 2.500%, 7/25/48		2,672,121		2,378
Freddie Mac, Series 5202, Class LA 2.500%, 5/25/49		2,661,426		2,295
Freddie Mac, Series 5217, Class CD 2.500%, 7/25/49		2,327,493		2,116
Freddie Mac, Series K144, Class A2 2.450%, 4/25/32		2,668,000		2,254
Freddie Mac, Series K145, Class A2 2.580%, 6/25/55		2,668,000		2,277
Freddie Mac, Series K146, Class A2 2.920%, 6/25/54		5,087,000		4,471
Freddie Mac, Series K147, Class A2 3.000%, (AFC), 6/25/32		5,087,000		4,500
Freddie Mac, Series KG07, Class A2 3.123%, (AFC), 8/25/32		2,665,000		2,378
Government National Mortgage Association 2.500%, 12/20/49		5,188,698		4,590
2.500%, 12/20/51		9,565,229		8,297
2.500%, 1/20/52		14,550,561		12,322
3.000%, 6/20/43		2,394,663		2,152
3.000%, 8/20/43		777,414		698
3.000%, 10/20/46		415,159		370
3.000%, 12/20/46		2,126,494		1,892
3.000%, 1/20/47		667,753		594
3.000%, 3/20/47		1,549,519		1,378
3.000%, 4/20/47		2,111,757		1,879
3.000%, 7/20/47		755,742		672
3.000%, 8/20/47		924,049		822
3.000%, 9/20/47		492,899		438


Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
3.000%, 11/15/47		7,209,526		6,582
3.000%, 11/20/47		1,574,107		1,400
3.000%, 12/20/47		151,458		135
3.000%, 1/20/48		898,701		799
3.000%, 2/20/48		736,393		655
3.000%, 3/20/48		232,121		207
3.000%, 10/20/50		6,285,277		5,614
3.500%, 1/20/48		1,288,492		1,200
4.000%, 6/20/47		9,049,853		8,688
4.000%, 3/20/48		357,022		340
4.000%, 4/20/48		1,220,190		1,162
4.500%, 8/15/47		212,507		211
4.500%, 6/20/48		1,516,181		1,491
4.500%, 2/20/49		1,506,124		1,442
5.000%, 12/20/39		64,870		65
5.000%, 3/20/48		2,519,424		2,543
5.000%, 5/20/48		1,183,933		1,185
5.000%, 6/20/48		3,617,911		3,610
5.000%, 7/20/48		767,542		767
5.000%, 8/20/48		1,158,671		1,155
5.000%, 12/20/48		780,772		782
5.000%, 1/20/49		1,517,737		1,511
5.000%, 2/20/49		82,465		84
5.000%, 3/20/49		424,650		432
Government National Mortgage Association TBA 2.500%, 1/23/53		10,200,000		8,837
4.000%, 1/1/47		2,900,000		2,744
Government National Mortgage Association, Series 2012-141, Class WA 4.523%, 11/16/41		443,427		435
Government National Mortgage Association, Series 2017-167, Class BQ 2.500%, 8/20/44		1,345,072		1,224
Government National Mortgage Association, Series 2021-23, Class MG 1.500%, 2/20/51		4,215,707		3,466
Government National Mortgage Association, Series 2021-27, Class BD 5.000%, 2/20/51		1,622,997		1,628
Government National Mortgage Association, Series 2021-27, Class CW 5.001%, 2/20/51		2,391,287		2,367
Government National Mortgage Association, Series 2021-27, Class NT 5.000%, 2/20/51		1,886,353		1,837
Government National Mortgage Association, Series 2021-27, Class Q 5.000%, 2/20/51		1,628,624		1,590
Government National Mortgage Association, Series 2021-8, Class CY 5.000%, 1/20/51		1,698,144		1,680
Government National Mortgage Association, Series 2022-107, Class C 2.500%, 6/20/51		7,705,247		6,494
Government National Mortgage Association, Series 2022-205, Class A 2.000%, 9/20/51		2,813,000		2,247
Government National Mortgage Association, Series 2022-50, Class DC 2.500%, 8/20/51		2,340,889		2,008

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

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Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
GS Mortgage Securities Trust, Series 2013- GC14, Class A5 4.243%, 8/10/46		1,372,000		1,358
GS Mortgage Securities Trust, Series 2014- GC18, Class A4 4.074%, 1/10/47		3,116,000		3,049
GS Mortgage Securities Trust, Series 2015- GC32, Class A3 3.498%, 7/10/48		1,189,118		1,134
GS Mortgage Securities Trust, Series 2020- GC47, Class A5 2.377%, 5/12/53		1,131,000		934
GS Mortgage Securities Trust, Series 2020- GSA2, Class A4 1.721%, 12/12/53		3,499,000		2,745
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010-1, Class A1 5.314%, 1/25/51 144A		1,959,585		1,908
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4 4.166%, 12/15/46		2,999,000		2,957
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A3 3.392%, 12/15/49		674,000		623
JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A5 3.663%, 7/15/45		2,231,000		2,212
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A4 4.198%, 1/15/47		695,000		684
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4 3.669%, 9/15/47		907,854		878
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3 2.912%, 10/15/48		4,546,591		4,316
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A5 3.821%, 7/15/48		1,895,000		1,805
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1 5.250%, 12/25/24		29,985		29
MED Trust, Series 2021-MDLN, Class A 5.268%, (ICE LIBOR USD 1 Month plus 0.950%), 11/15/38 144A		4,333,000		4,170
MFRA Trust, Series 2021-NQM2, Class A1 1.029%, (AFC), 11/25/64 144A		986,509		801
Morgan Stanley Capital I Trust, Series 2019- L2, Class A3 3.806%, 3/15/52		1,651,000		1,507
Morgan Stanley Capital I Trust, Series 2020- HR8, Class A3 1.790%, 7/15/53		1,911,000		1,518
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1 2.492%, (AFC), 9/25/59 144A		450,713		406
NewRez Warehouse Securitization Trust, Series 2021-1, Class A 5.139%, (ICE LIBOR USD 1 Month plus 0.750%), 5/25/55 144A		6,429,000		6,327


Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
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		678,136		624
Starwood Mortgage Residential Trust, Series 2020-1, Class A1 2.275%, (AFC), 2/25/50 144A		165,501		158
Starwood Mortgage Residential Trust, Series 2020-3, Class A1 1.486%, (AFC), 4/25/65 144A		747,154		684
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		892,882		807
Starwood Mortgage Residential Trust, Series 2021-4, Class A1 1.162%, (AFC), 8/25/56 144A		2,300,039		1,847
Uniform Mortgage Backed Security TBA 2.000%, 4/1/46		7,206,254		5,924
2.500%, 5/1/46		1,050,803		906
6.000%, 1/12/53		12,000,000		12,177
6.500%, 1/12/53		17,800,000		18,227
6.500%, 2/13/53		32,300,000		33,024
Verus Securitization Trust, Series 2019-4, Class A1 2.642%, (AFC), 11/25/59 144A S		743,613		705
Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A		390,077		376
Verus Securitization Trust, Series 2019-INV3, Class A1 2.692%, (AFC), 11/25/59 144A		349,236		328
Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A S		163,175		154
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A		555,868		533
Verus Securitization Trust, Series 2020-5, Class A1 1.218%, (AFC), 5/25/65 144A S		331,082		300
Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A		1,136,986		948
Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A		2,157,992		1,792
Verus Securitization Trust, Series 2021-3, Class A1 1.046%, (AFC), 6/25/66 144A		1,620,480		1,294
Verus Securitization Trust, Series 2021-4, Class A1 0.938%, (AFC), 7/25/66 144A		1,987,290		1,529
Verus Securitization Trust, Series 2021-5, Class A1 1.013%, (AFC), 9/25/66 144A		6,875,635		5,489
Verus Securitization Trust, Series 2021-7, Class A1 1.829%, (AFC), 10/25/66 144A		3,060,005		2,568

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

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Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Verus Securitization Trust, Series 2021-8, Class A1 1.824%, (AFC), 11/25/66 144A		2,184,171		1,839
Verus Securitization Trust, Series 2021-R1, Class A1 0.820%, (AFC), 10/25/63 144A		984,459		879
Verus Securitization Trust, Series 2021-R3, Class A1 1.020%, (AFC), 5/25/64 144A		1,017,762		877


Structured Products (48.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Visio Trust, Series 2020-1R, Class A1 1.312%, 11/25/55 144A		735,213		661

Total				1,032,953


Total Structured Products (Cost: $1,427,139)				1,352,727


Total Investments (102.5%) (Cost: $3,108,782)@				2,855,177

Other Assets, Less Liabilities (-2.5%)				(68,561	)

Net Assets (100.0%)				2,786,616

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

144A

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022 the value of these securities (in thousands) was $321,864 representing 11.6% of the net assets.

§	Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At December 31, 2022, the aggregate value of these securities was $840 (in thousands), representing 0.0% 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.

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,126,162 and the net unrealized depreciation of investments based on that cost was $270,985 which is comprised of $8,264 aggregate gross unrealized appreciation and $279,249 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-	$	8,565	$	-
Corporate Bonds		-		658,913		-
Governments		-		834,972		-
Structured Products		-		1,352,727		-
Total Assets:	$	-	$	2,855,177	$	-

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

144

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


Objective:	Portfolio Strategy:	Net Assets:
Maximum total return, consistent with preservation of capital and prudent investment management.	Invest in a diversified portfolio of fixed income securities that are issued or guaranteed by the U.S. Government, its agencies or government sponsored enterprises, and in derivatives designed to replicate such securities.	$100 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Long-Term U.S. Government Bond Portfolio (the “Portfolio”), has engaged Pacific Investment Management Company LLC (“PIMCO”) to act as sub-adviser for the Portfolio. The Portfolio primarily invests in a diversified portfolio of fixed income securities that are issued or guaranteed by the U.S. Government, its agencies or government sponsored enterprises (“U.S. Government Securities”), which may be represented by forwards or derivatives such as options, futures contracts or interest rate swap agreements. Assets not invested in U.S. Government Securities may be invested in other types of investment grade fixed income instruments, such as corporate debt securities of U.S. issuers and mortgage- and asset-backed securities, or in preferred stocks. The Portfolio will normally have minimum average portfolio duration (a measure of the sensitivity of the Portfolio’s fixed income portfolio securities to changes in interest rates) of eight years and, for point of reference, the dollar-weighted average maturity of the Portfolio, under normal circumstances, is expected to be more than ten years. The Portfolio’s investments in fixed income securities are limited to investment grade U.S. dollar denominated securities of U.S. issuers that are rated at least A by Moody’s or equivalently rated by S&P or Fitch, or, if unrated, determined by the Portfolio to be of comparable quality.

MARKET OVERVIEW

During the twelve months ended December 31, 2022, geopolitics took center stage. Most assets experienced elevated volatility over the year as Russia’s invasion of Ukraine and the subsequent imposition of financial sanctions added stress to already fragile global supply chains and raised concerns about commodity supplies. This amplified inflationary fears and contributed to more hawkish stances from central banks, higher global yields and flattening curves.

Risk assets were challenged throughout the first half of the year, with both equities and bonds moving significantly lower given ongoing concerns over the conflict between Russia and Ukraine. Developed market central banks maintained their hawkish stance to combat historic levels of inflation. Most notably, in the U.S., the Consumer Price Index (“CPI”) peaked at 8.6% year-on-year in May 2022. In response to rising inflation, the Federal Reserve (the “Fed”) increased interest rates seven times during the year.

Despite signs of slowing global growth heading into the second half of 2022, the Fed continued to hike its policy rate aggressively to address inflationary risks. Performance was challenged for both “safe-haven” and risk assets as global yields rose sharply through the summer months and sentiment waned, leading to increased recessionary risks and heightened volatility. Amidst broader market volatility, market correlations were positive as global equities, fixed income and commodities experienced sharp declines.

Easing developed market inflation prints prompted optimism and contributed to gains in global risk assets toward the end of the year. However, with labor market data generally exhibiting continued resilience, global central banks adopted more hawkish messaging than expected in December 2022. Following a 75 bps policy rate hike in November, the Fed adjusted its policy rate upward by 50 bps in December.

PORTFOLIO RESULTS

The Portfolio returned (29.53%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Bloomberg^® Long-Term U.S. Treasury Index (the “Index”), returned (29.26%). (This Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Morningstar^® Inc., an independent mutual fund ranking agency, the average return in 2022 of the Long Government Funds peer group was (33.36%).

U.S. interest rate positioning contributed to the Portfolio’s relative performance for the period. The Portfolio’s duration positioning was partially implemented through the use of futures, interest rate swaps and options. Within spread sectors, exposure to Agency MBS contributed to performance.

145

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

In contrast, exposure to out-of-benchmark Agency securities and commercial mortgage-backed securities (CMBS) detracted from performance.

PORTFOLIO MANAGER OUTLOOK

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

We expect a modest recession in 2023 across developed markets as central banks continue to combat inflation, yet uncertainties remain. Tighter financial conditions will likely cool inflation and lead to a recession across developed markets, which should be modest but not painless as unemployment will probably rise. We expect a yield range of about 3.25% to 4.25% for the 10-year U.S. Treasury in our baseline and broader ranges across scenarios for 2023, with a view of being neutral on duration or having a tactical underweight position at current levels. We expect Euro area and U.K. headline inflation to peak just above 10% in the fourth quarter of 2022, while U.S. CPI inflation likely peaked near 9% in mid-2022. Our baseline view is that recessions in 2023 will be modest, although we are preparing for a range of possible outcomes.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Long-Term U.S. Government Bond Portfolio		-29.53	%		-2.80	%		0.04	%
Bloomberg^® Long-Term Treasury Index		-29.26	%		-2.20	%		0.60	%
Morningstar^® US Insurance Fund Long Government Average		-33.36	%		-3.80	%		-0.51	%

fees. Please refer to the Benchmark Definitions section of this report for information about the indices cited in the above chart and graph.

The Portfolio may invest in 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.

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.

146

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

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
US Treasury, Various		103.4	%
Resolution Funding Corp. Stripped, Various		3.8	%
Federal Home Loan Mortgage Corp., Series 4387, Class AZ, 4%, 9/15/44		2.3	%
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3%, 8/15/32		2.0	%
US Treasury Inflation Index Bond, 0.625%, 7/15/32		1.1	%
Government National Mortgage Association TBA, 4%, 1/23/53		0.8	%
Federal National Mortgage Association, Series 2016-61, Class ML, 3%, 9/25/46		0.8	%
Federal Home Loan Mortgage Corp., Series 4398, Class ZX, 4%, 9/15/54		0.7	%
VNDO Trust, Series 2016-350P, Class A, 3.805%, 1/10/35		0.7	%
DBWF Mortgage Trust, Series 2016-85T, Class A, 3.791%, 12/10/36		0.7	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Governments		108.8	%
Structured Products		18.1	%
Corporate Bonds		0.4	%
Short-Term Investments & Other Net Assets		-27.3	%

Sector Allocation and Top 10 Holdings are subject to change.

Consistent with the Portfolio’s stated parameters, no more than 10% of the Portfolio is invested in securities rated A by Moody’s or S&P and no more than 25% of the Portfolio is invested in securities rated Aa by Moody’s or AA by S&P.

147

Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


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

Industrial (0.4%)
Vessel Management Services, Inc. 3.432%, 8/15/36		389,000		350

Total				350


Total Corporate Bonds (Cost: $389)				350


Governments (108.8%)

Governments (108.8%)
Federal National Mortgage Association 5.625%, 4/17/28		100,000		107
Resolution Funding Corp. Stripped 0.000%, 4/15/30 PO		4,800,000		3,482
0.000%, 4/15/28 IO		400,000		318
Tennessee Valley Authority Stripped 0.000%, 5/1/30 PO		500,000		363
US Treasury 1.125%, 5/15/40		6,790,000		4,250
1.125%, 8/15/40		65,580,000		40,726
1.375%, 11/15/40		11,200,000		7,281
1.375%, 8/15/50		3,300,000		1,834
1.625%, 11/15/50		400,000		238
1.875%, 2/15/41		1,900,000		1,343
1.875%, 11/15/51		21,760,000		13,782
2.000%, 2/15/50		12,920,000		8,533
2.000%, 8/15/51		4,300,000		2,816
2.375%, 5/15/51		2,300,000		1,650
2.500%, 2/15/45		1,470,000		1,107
2.500%, 2/15/46		940,000		703
2.875%, 5/15/49		1,350,000		1,086
3.000%, 11/15/44		1,620,000		1,337
3.000%, 5/15/45		1,620,000		1,335
3.000%, 11/15/45		370,000		304
3.000%, 2/15/48		330,000		271
3.000%, 8/15/48 b		700,000		575
3.000%, 8/15/52		4,500,000		3,708
3.125%, 8/15/44		1,620,000		1,369
3.125%, 5/15/48		2,430,000		2,042
3.375%, 8/15/42		6,500,000		5,809
4.000%, 11/15/42		1,000,000		979
US Treasury Inflation Index Bond 0.625%, 7/15/32		1,230,540		1,127
US Treasury Stripped 0.000%, 8/15/34 IO		850,000		526

Total				109,001


Total Governments
(Cost: $155,569)				109,001


Structured Products (18.1%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities (0.3%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A 5.139%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A		53,518		51
Hertz Vehicle Financing LLC, Series 2022-2A, Class A 2.330%, 6/26/28 144A		300,000		263
Massachusetts Educational Financing Authority, Series 2008-1, Class A1 5.308%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38		23,134		23

Total				337


Mortgage Securities (17.8%)
BWAY Mortgage Trust, Series 2013-1515, Class A2 3.454%, 3/10/33 144A		300,000		280
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A 2.778%, (CSTR), 11/10/31 144A		600,000		578
COMM Mortgage Trust, Series 2016-667M, Class A 3.140%, 10/10/36 144A		700,000		611
COMM Mortgage Trust, Series 2018-HOME, Class A 3.815%, (CSTR, AFC), 4/10/33 144A		200,000		182
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 3.139%, (CSTR), 7/25/33		269		-	π
DBWF Mortgage Trust, Series 2016-85T, Class A 3.791%, 12/10/36 144A		800,000		721
Extended Stay America Trust, Series 2021- ESH, Class A 5.398%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A		390,477		379
Federal Home Loan Mortgage Corp., Series 2752, Class EZ 5.500%, 2/15/34		113,306		114
Federal Home Loan Mortgage Corp., Series 3759, Class FB 4.818%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40		21,717		21
Federal Home Loan Mortgage Corp., Series 4092, Class AY 3.000%, 8/15/32		2,200,000		2,016
Federal Home Loan Mortgage Corp., Series 4387, Class AZ 4.000%, 9/15/44		2,419,750		2,292
Federal Home Loan Mortgage Corp., Series 4398, Class ZX 4.000%, 9/15/54		831,352		742
Federal Home Loan Mortgage Corp., Series 4830, Class ZG 3.000%, 4/15/53		621,775		499

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

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Long-Term U.S. Government Bond Portfolio


Structured Products (18.1%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1 3.448%, (Federal Reserve US 12 Month Cumulative Avg 1 year Constant Maturity plus 1.400%), 7/25/44		4,455		4
Federal National Mortgage Association 3.600%, 2/1/40		561,451		527
5.000%, 6/1/35		22,644		23
5.000%, 2/1/36		34,776		35
5.500%, 5/1/49		29,912		30
Federal National Mortgage Association, Series 2007-39, Class NZ 4.250%, 5/25/37		64,450		63
Federal National Mortgage Association, Series 2012-101, Class FC 4.889%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42		26,760		26
Federal National Mortgage Association, Series 2016-61, Class ML 3.000%, 9/25/46		900,000		752
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2 4.317%, (CSTR), 10/25/52 144A		562,137		528
Government National Mortgage Association TBA 4.000%, 1/23/53		800,000		757
Government National Mortgage Association, Series 2010-26, Class OW 02/20/40 PO		304,709		248
Government National Mortgage Association, Series 2010-75, Class OA 09/20/35 PO		197,556		164
GS Mortgage Securities Trust, Series 2015-590M, Class B 3.805%, (CSTR), 10/10/35 144A		300,000		267
Hilton USA Trust, Series 2016-HHV, Class A 3.719%, 11/5/38 144A		600,000		543


Structured Products (18.1%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Hilton USA Trust, Series 2016-HHV, Class C 4.194%, (CSTR), 11/5/38 144A		400,000		360
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A 2.969%, (CSTR, AFC), 5/25/33		594		1
Morgan Stanley Capital I Trust, Series 2021-230P, Class A 5.487%, (ICE LIBOR USD 1 Month plus 1.169%), 12/15/23 144A		200,000		191
MSSG Trust, Series 2017-237P, Class A 3.397%, 9/13/39 144A		700,000		614
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 2.750%, (AFC), 11/25/59 144A		103,776		95
Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class A 5.594%, (US 30 Day Average SOFR plus 1.650%), 1/25/37 144A		200,000		194
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1 4.999%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34		1,604		2
Towd Point Mortgage Trust, Series 2020-1, Class A2A 3.100%, (AFC), 1/25/60 144A		200,000		167
Uniform Mortgage Backed Security TBA 4.000%, 1/14/50		1,700,000		1,594
4.000%, 2/13/49		1,500,000		1,407
VNDO Trust, Series 2016-350P, Class A 3.805%, 1/10/35 144A		800,000		725
Worldwide Plaza Trust, Series 2017-WWP, Class A 3.526%, 11/10/36 144A		100,000		86

Total				17,838


Total Structured Products
(Cost: $19,865)				18,175


Total Investments (127.3%)
(Cost: $175,823)@				127,526

Other Assets, Less Liabilities (-27.3%)				(27,369	)

Net Assets (100.0%)				100,157

Securities Sold Short


Description	Coupon			Maturity Date	Principal Amount (000’s)			Proceeds (000’s)			Value (000’s)
Uniform Mortgage Backed Security TBA		4.500	%	1/14/50	$	(4,600	)	$	(4,456	)	$	(4,426	)

					$	(4,600	)	$	(4,456	)	$	(4,426	)

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

149

Long-Term U.S. Government Bond Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures


Issuer	Long/Short	Currency	Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Five-Year US Treasury Note Future	Short	USD		17,400		174		3/23	$	18,780	$	(3	)	$	15
Ten-Year US Treasury Note Future	Long	USD		5,200		52		3/23		5,839		(14	)		(7	)
Two-Year US Treasury Note Future	Long	USD		10,200		51		3/23		10,459		(1	)		(8	)
Ultra Ten-Year US Treasury Note Future	Short	USD		11,300		113		3/23		13,366		48			7
US Treasury Long Bond Future	Short	USD		8,900		89		3/23		11,156		(4	)		14

											$	26		$	21

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		1,700		USD	$	(28	)	$	455	$	427	$	8
3-Month USD-LIBOR		0.750%	3/31		1,000		USD		8			211		219		3
3-Month USD-LIBOR		1.250%	6/41		3,110		USD		77			974		1,051		11

								$	57		$	1,640	$	1,697	$	22

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		9,000		USD	$	15		$	(752	)	$	(737	)	$	(15	)
3-Month USD-LIBOR		1.000%	12/25		3,170		USD		45			(338	)		(293	)		(3	)
3-Month USD-LIBOR		1.250%	12/50		1,400		USD		(122	)		(451	)		(573	)		(6	)

								$	(62	)	$	(1,541	)	$	(1,603	)	$	(24	)


	Financial Derivative Assets						Financial Derivative Liabilities
	Variation Margin (000’s)						Variation Margin (000’s)									Market Value (000’s)
	Swaps		Futures		Total		Swaps			Futures			Total			Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	22	$	36	$	58	$	(24	)	$	(15	)	$	(39	)	$	-

Over the Counter Derivatives

Written Options


Description	Counterparty	Currency		Notional Par (000’s)		Exercise Price		Expiration Date		Number of Contracts		Value (000’s)
Call - OTC Uniform Mortgage Backed Security TBA	J.P. Morgan Securities LLC		USD		2,600		$ 99.000		3/23		2,600,000	$	(7	)
Put - OTC Uniform Mortgage Backed Security TBA	J.P. Morgan Securities LLC		USD		2,600		97.000		3/23		2,600,000		(40	)

(Premiums Received $41)												$	(47	)

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

–

$ (47)

–

$ (47)

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

150

Long-Term U.S. Government Bond Portfolio

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

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

144A

π	Amount is less than one thousand.

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $179,638 and the net unrealized depreciation of investments based on that cost was $56,465 which is comprised of $1,472 aggregate gross unrealized appreciation and $57,937 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-		$	350		$	-
Governments		-			109,001			-
Structured Products		-			18,175			-
Other Financial Instruments^
Futures		48			-			-
Interest Rate Swaps		-			1,697			-
Total Assets:	$	48		$	129,223		$	-
Liabilities:
Other Financial Instruments^
Futures		(22	)		-			-
Written Options		-			(47	)		-
Interest Rate Swaps		-			(1,603	)		-
Securities Sold Short		-			(4,426	)		-
Total Liabilities:	$	(22	)	$	(6,076	)	$	-

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

151

Inflation Protection Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Total return using a strategy that seeks to protect against U.S. inflation.	Invest substantially all assets in investment grade debt securities, with a majority in inflation-indexed debt securities.	$424 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Inflation Protection Portfolio (the “Portfolio”), has engaged American Century Investment Management, Inc. (“American Century”) to act as sub-adviser for the Portfolio. The Portfolio invests substantially all of its assets in investment grade debt securities. To help protect against U.S. inflation, under normal conditions, the Portfolio will invest over 50% of its net assets in inflation-indexed debt securities. These securities include inflation-indexed U.S. Treasury Securities (“TIPS”), inflation-indexed securities issued by U.S. government agencies and instrumentalities other than the U.S. Treasury, and inflation-indexed securities issued by domestic and foreign corporations and governments and may include those located in emerging markets. The Portfolio also may invest in fixed income securities that are not inflation-indexed. Such investments may include other investment grade debt securities, including collateralized mortgage obligations, mortgage-backed securities, and asset-backed securities, including collateralized loan obligations, whether issued by the U.S. government, its agencies or instrumentalities, corporations or other non-governmental issuers, or foreign governments. Due to Internal Revenue Code (“IRC”) provisions and regulations governing insurance product funds, no more than 55% of the Portfolio’s assets may be invested in securities issued by the same entity.

MARKET OVERVIEW

Fixed income investors faced a tumultuous year in which broad indices logged record losses. Decades-high inflation, hawkish Federal Reserve (the “Fed”) policy, soaring interest rates, economic uncertainty and geopolitical unrest created an unusual backdrop in which stock and bonds suffered steep losses.

Annual headline inflation (Consumer Price Index “CPI”) began the year on a rapid upswing and steadily rose to 9.1% in June 2022, a 41-year high, before moderating to 7.1% by November. The effects of massive government spending combined with supply chain disruptions, labor shortages, surging energy prices and rapid home price appreciation contributed to the elevated inflation rate. Meanwhile, longer-term inflation expectations (10-year inflation breakeven rate) rose from 2.56% at the end of 2021 to more than 3% in late April before falling to 2.3% by year-end.

With prices soaring, the Fed launched a rate-hiking campaign in March 2022. Following a 25 bps hike in March, policymakers lifted rates 50 bps in May, 75 bps in June, July, September and November, and 50 bps in December. With the Fed on an aggressive tightening path and economic growth outlooks fading, recession fears set in, which contributed to the decline in inflation breakeven rates.

Adding to the prevailing market challenges, Russia invaded Ukraine in late February 2022, triggering ongoing global market unrest and energy sector instability. Furthermore, following back-to-back quarterly declines in Gross Domestic Product (GDP), the U.S. economy entered a technical recession in the first half of 2022. Nevertheless, a still-strong labor market prevented the National Bureau of Economic Research from calling an official recession. GDP improved in the third quarter, advancing 3.2% (annualized).

Against this backdrop, yields soared, and most fixed income sectors delivered losses for the twelve-month period. The ten-year TIPS yield climbed from (1.04%) on December 31, 2021, to 1.58% a year later. The ten-year Treasury yield climbed 237 bps to 3.88%, while the two-year Treasury yield jumped 369 bps to 4.42%, leaving the nominal yield curve inverted. While bond losses were widespread, TIPS fared better than nominal Treasuries, corporate bonds and the Bloomberg^® U.S. Aggregate Bond Index.

PORTFOLIO RESULTS

The Portfolio returned (12.96%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Bloomberg^® U.S. TIPS Index (the “Index”), returned (11.85%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking company, the average return in 2022 of the Inflation Protected Bonds Funds peer group was (12.30%).

152

Inflation Protection Portfolio (unaudited)

The Portfolio was fully invested in TIPS as allowed by IRC portfolio diversification regulations for insurance products (a maximum of 55%). The remainder of the Portfolio was invested mainly in securitized and investment grade corporate securities, which accounted for the underperformance relative to the Index. These credit-sensitive securities generally underperformed the all-TIPS Index.

To maximize inflation exposure while adhering to the IRC’s TIPS limit, the Portfolio used inflation swaps to create an inflation overlay for the corporate and securitized securities. This strategy boosted the Portfolio’s exposure to inflation and contributed positively to performance for the year.

PORTFOLIO MANAGER OUTLOOK

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

We believe the annual inflation rate has probably peaked for the current economic cycle. We expect inflationary pressures to continue receding for goods but remain persistent for services, particularly shelter and rent. We believe core CPI ultimately will reset at a higher level than current market expectations, underscoring the continued importance of inflation-linked bonds.

Amid continuing macroeconomic uncertainty, we believe market volatility will remain heightened in the months ahead. Lingering geopolitical tensions will also further aggravate the investment backdrop. Accordingly, we remain cautious in our positioning, with a preference for higher quality securitized and corporate securities.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Inflation Protection Portfolio		-12.96	%		1.54	%		0.79	%
Bloomberg^® U.S. Treasury Inflation Protected Securities (TIPS) Index		-11.85	%		2.11	%		1.12	%
Lipper^® Variable Insurance Products (VIP) Inflation Protected Bonds Funds Average		-12.30	%		1.45	%		0.74	%

most recent month-end performance information visit www.northwesternmutual.com.

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.

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.

153

Inflation Protection Portfolio (unaudited)

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.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
US Treasury Inflation Index Bond, Various		52.5	%
Federal Home Loan Mortgage Corp., 6.25%, 7/15/32		4.1	%
Federal National Mortgage Association, 6.625%, 11/15/30		3.8	%
Federal Home Loan Bank, 0.00%, 1/3/23		3.1	%
Progress Residential Trust, Series 2021-SFR2, Class C, 1.997%, 4/19/38		1.0	%
JPMorgan Chase & Co., Various		0.8	%
Bank of America Corp., Various		0.8	%
HSBC Holdings PLC, Various		0.8	%
AT&T, Inc., Various		0.8	%
FNB Corp., 2.2%, 2/24/23		0.6	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Governments		60.7	%
Structured Products		17.6	%
Corporate Bonds		15.7	%
Short-Term Investments & Other Net Assets		5.8	%
Municipal Bonds		0.2	%

Sector Allocation and Top 10 Holdings are subject to change.

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

154

Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Corporate Bonds (15.7%)	Shares/ Par ⁺		Value $ (000’s)

Communications (2.0%)
Amazon.com, Inc. 4.600%, 12/1/25		2,170,000		2,165
AT&T, Inc. 0.900%, 3/25/24		1,459,000		1,386
4.350%, 3/1/29		1,471,000		1,399
4.900%, 8/15/37		477,000		438
Paramount Global 4.950%, 1/15/31		235,000		209
Sky, Ltd. 3.750%, 9/16/24 144A		2,045,000		1,996
Verizon Communications, Inc. 4.329%, 9/21/28		1,081,000		1,039

Total				8,632


Consumer, Cyclical (1.7%)
British Airways Pass-Through Trust, Series 2020-1, Class A 2.900%, 9/15/36 144A		98,402		80
The Home Depot, Inc. 2.700%, 4/15/25		552,000		529
Honda Motor Co., Ltd. 2.271%, 3/10/25		1,550,000		1,467
Lennar Corp. 4.750%, 5/30/25		870,000		864
Lowe’s Companies, Inc. 3.350%, 4/1/27		897,000		842
Magallanes, Inc. 3.755%, 3/15/27 144A		314,000		283
O’Reilly Automotive, Inc. 4.700%, 6/15/32		860,000		831
Toyota Motor Credit Corp. 2.500%, 3/22/24		2,218,000		2,151

Total				7,047


Consumer, Non-cyclical (1.6%)
AbbVie, Inc. 2.950%, 11/21/26		800,000		744
Block Financial LLC 3.875%, 8/15/30		530,000		464
Colgate-Palmolive Co. 3.100%, 8/15/27		1,257,000		1,188
Roche Holdings, Inc. 2.314%, 3/10/27 144A		1,270,000		1,157
Thermo Fisher Scientific, Inc. 1.215%, 10/18/24		2,570,000		2,412
Zoetis, Inc. 2.000%, 5/15/30		980,000		795

Total				6,760


Energy (0.7%)
Exxon Mobil Corp. 2.709%, 3/6/25		2,560,000		2,448
Petroleos Mexicanos 3.500%, 1/30/23		130,000		129


Corporate Bonds (15.7%)	Shares/ Par ⁺		Value $ (000’s)

Energy continued
6.700%, 2/16/32		243,000		191

Total				2,768


Financial (7.3%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.150%, 10/29/23		658,000		633
1.650%, 10/29/24		150,000		138
6.500%, 7/15/25		706,000		715
American Tower Corp. 3.650%, 3/15/27		272,000		254
Athene Global Funding 1.985%, 8/19/28 144A		199,000		160
Banco Santander SA 3.496%, 3/24/25		1,600,000		1,541
Bank of America Corp. 2.884%, (ICE LIBOR USD 3 Month plus 1.190%), 10/22/30		512,000		428
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		939,000		850
3.458%, (ICE LIBOR USD 3 Month plus 0.970%), 3/15/25		2,210,000		2,151
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		177,000		149
The Bank of Nova Scotia 5.250%, 12/6/24		1,730,000		1,733
BNP Paribas SA 2.819%, (ICE LIBOR USD 3 Month plus 1.111%), 11/19/25 144A		1,535,000		1,454
BOC Aviation USA Corp. 1.625%, 4/29/24 144A		696,000		661
Broadstone Net Lease LLC 2.600%, 9/15/31		182,000		136
Citigroup, Inc. 3.520%, (ICE LIBOR USD 3 Month plus 1.151%), 10/27/28		289,000		264
4.044%, (ICE LIBOR USD 3 Month plus 1.023%), 6/1/24		1,740,000		1,728
Discover Bank 4.682%, (USD 5 Year Swap Rate plus 1.730%), 8/9/28		1,705,000		1,636
DNB Bank ASA 2.968%, (US SOFR Index plus 0.810%), 3/28/25 144A		1,010,000		974
FS KKR Capital Corp. 4.250%, 2/14/25 144A		128,000		120
The Goldman Sachs Group, Inc. 1.757%, (US SOFR plus 0.730%), 1/24/25		1,139,000		1,090
1.948%, (US SOFR plus 0.913%), 10/21/27		356,000		311
2.640%, (US SOFR plus 1.114%), 2/24/28		355,000		316
3.814%, (ICE LIBOR USD 3 Month plus 1.158%), 4/23/29		119,000		109
Golub Capital BDC, Inc. 2.500%, 8/24/26		181,000		154

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

155

Inflation Protection Portfolio


Corporate Bonds (15.7%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
HSBC Holdings PLC 0.732%, (US SOFR plus 0.534%), 8/17/24		670,000		646
1.162%, (US SOFR plus 0.580%), 11/22/24		1,253,000		1,194
2.804%, (US SOFR plus 1.187%), 5/24/32		280,000		217
JPMorgan Chase & Co. 1.578%, (US SOFR plus 0.885%), 4/22/27		330,000		290
2.069%, (US SOFR plus 1.015%), 6/1/29		1,094,000		914
2.522%, (US SOFR plus 2.040%), 4/22/31		683,000		559
2.947%, (US SOFR plus 1.170%), 2/24/28		271,000		245
5.546%, (US SOFR plus 1.070%), 12/15/25		1,500,000		1,500
Lloyds Banking Group PLC 4.716%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.750%), 8/11/26		710,000		695
Morgan Stanley 0.529%, (US SOFR plus 0.455%), 1/25/24		1,288,000		1,279
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		128
National Australia Bank, Ltd. 2.332%, 8/21/30 144A		332,000		253
Nationwide Building Society 1.000%, 8/28/25 144A		1,535,000		1,369
Royal Bank of Canada 4.240%, 8/3/27		905,000		882
Sammons Financial Group, Inc. 4.750%, 4/8/32 144A		203,000		170
SBL Holdings, LLC 5.125%, 11/13/26 144A		93,000		82
Swedbank AB 3.356%, 4/4/25 144A		1,160,000		1,114
UBS Group AG 1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A		901,000		775
Wells Fargo & Co. 3.350%, (US SOFR plus 1.500%), 3/2/33		307,000		259
4.540%, (US SOFR plus 1.560%), 8/15/26		280,000		274

Total				31,006


Industrial (1.1%)
Canadian National Railway Co. 3.850%, 8/5/32		1,360,000		1,263
Caterpillar Financial Services Corp. 3.650%, 8/12/25		1,970,000		1,922
DAE Funding LLC 1.550%, 8/1/24 144A		116,000		108
Raytheon Technologies Corp. 4.125%, 11/16/28		1,240,000		1,187

Total				4,480


Technology (0.1%)
Fidelity National Information Services, Inc. 1.150%, 3/1/26		495,000		434

Total				434


Corporate Bonds (15.7%)	Shares/ Par ⁺		Value $ (000’s)

Utilities (1.2%)
Ameren Corp. 1.950%, 3/15/27		1,470,000		1,293
Ameren Illinois Co. 3.850%, 9/1/32		238,000		221
Dominion Energy, Inc. 1.450%, 4/15/26		1,200,000		1,068
Duke Energy Florida LLC 1.750%, 6/15/30		400,000		318
Duke Energy Progress LLC 2.000%, 8/15/31		780,000		617
Essential Utilities, Inc. 2.704%, 4/15/30		370,000		311
NextEra Energy Capital Holdings, Inc. 5.000%, 7/15/32		980,000		961
Sempra Energy 3.300%, 4/1/25		507,000		486

Total				5,275


Total Corporate Bonds
(Cost: $69,821)				66,402


Governments (60.7%)

Governments (60.7%)
Federal Home Loan Mortgage Corp. 6.250%, 7/15/32		14,850,000		17,320
Federal National Mortgage Association 6.625%, 11/15/30		13,650,000		16,007
Tennessee Valley Authority 4.700%, 7/15/33		1,658,000		1,666
US Treasury Inflation Index Bond 0.125%, 1/15/30		23,278,815		20,909
0.125%, 7/15/30		15,863,757		14,203
0.125%, 1/15/31		14,880,580		13,215
0.125%, 7/15/31		6,114,625		5,403
0.125%, 1/15/32		12,361,695		10,827
0.125%, 2/15/51		8,869,875		5,706
0.125%, 2/15/52		107,040		69
0.125%, 4/15/26		4,431,258		4,166
0.125%, 7/15/26		5,656,105		5,330
0.125%, 10/15/26		10,904,500		10,221
0.250%, 2/15/50		6,397,680		4,309
0.250%, 7/15/29		663,993		608
0.375%, 1/15/27		12,828,816		12,097
0.375%, 7/15/27		10,049,408		9,471
0.500%, 1/15/28		9,060,000		8,519
0.625%, 7/15/32		9,383,783		8,595
0.625%, 2/15/43		8,618,666		6,948
0.625%, 1/15/26		13,982,546		13,422
0.750%, 2/15/42		10,279,267		8,598
0.750%, 2/15/45		18,499,856		14,948
0.750%, 7/15/28		1,780,605		1,696
0.875%, 2/15/47		3,950,048		3,235
0.875%, 1/15/29		10,620,720		10,118
1.000%, 2/15/46		3,709,832		3,148
1.000%, 2/15/48		1,389,591		1,168
1.000%, 2/15/49		2,899,983		2,421
1.375%, 2/15/44		9,819,110		9,112
1.750%, 1/15/28		1,557,451		1,556
2.000%, 1/15/26		3,678,185		3,674
2.125%, 2/15/41		3,498,257		3,703

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

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Governments (60.7%)	Shares/ Par ⁺		Value $ (000’s)

Governments continued
2.375%, 1/15/27		849,603		867
2.500%, 1/15/29		992,320		1,035
3.625%, 4/15/28		2,763,450		3,012

Total				257,302


Total Governments
(Cost: $299,674)				257,302


Municipal Bonds (0.2%)

Municipal Bonds (0.2%)
Golden State Tobacco Securitization Corp. 2.746%, 6/1/34 RB		740,000		594
Santa Clara Valley Transportation Authority 5.876%, 4/1/32 RB		50,000		52

Total Municipal Bonds
(Cost: $802)				646


Structured Products (17.6%)

Asset Backed Securities (8.3%)
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B 2.482%, 8/15/46 144A		2,350,000		1,921
Ares XXXIX CLO, Ltd., Series 2016-39A, Class BR2 5.794%, (ICE LIBOR USD 3 Month plus 1.600%), 4/18/31 144A		2,000,000		1,914
Bean Creek CLO, Ltd., Series 2018-1A, Class AR 5.263%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A		1,500,000		1,470
Blackbird Capital Aircraft, Series 2021-1A, Class A 2.443%, 7/15/46 144A		851,758		699
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A 2.940%, 5/25/29 144A		112,695		109
Cologix Canadian Issuer LP, Series 2022-1CAN, Class A2 4.940%, 1/25/52 144A CAD ∞		1,950,000		1,314
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2 3.093%, 4/20/34 144A		2,000,000		1,603
FirstKey Homes Trust, Series 2020-SFR2, Class D 1.968%, 10/19/37 144A		1,000,000		876
Global SC Finance SRL, Series 2021-1A, Class A 1.860%, 4/17/41 144A		1,367,466		1,177
2.170%, 10/17/40 144A		881,404		781
Global SC Finance SRL, Series 2021-2A, Class A 1.950%, 8/17/41 144A		706,230		612
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR 5.363%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A		1,125,000		1,111
Goodgreen Trust, Series 2020-1A, Class A 2.630%, 4/15/55 144A		627,019		516
Goodgreen Trust, Series 2021-1A, Class A 2.660%, 10/20/56 144A		439,788		357


Structured Products (17.6%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
Greenwood Park CLO, Ltd., Series 2018-1A, Class A1 5.109%, (ICE LIBOR USD 3 Month plus 1.030%), 4/15/31 144A		1,500,000		1,463
Hilton Grand Vacations Trust, Series 2017-AA, Class A 2.660%, 12/26/28 144A		362,067		356
Hilton Grand Vacations Trust, Series 2019-AA, Class B 2.540%, 7/25/33 144A		638,787		595
J.G. Wentworth XLI LLC, Series 2018-1A, Class B 4.700%, 10/15/74 144A		385,766		321
KKR Financial CLO, Ltd., Series 2018-22A, Class A 5.393%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A		1,500,000		1,468
KKR Financial CLO, Ltd., Series 2022-1A, Class B 5.077%, (US SOFR 3 Month plus 2.600%), 7/20/31 144A		1,400,000		1,381
Magnetite CLO, Ltd., Series 2021-29A, Class B 5.479%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A		1,650,000		1,568
Mosaic Solar Loans LLC, Series 2021-1, Class A 1.510%, 12/20/46 144A		1,110,607		873
Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2 5.209%, (ICE LIBOR USD 3 Month plus 1.130%), 1/17/31 144A		1,750,000		1,727
Progress Residential Trust, Series 2021-SFR1, Class D 1.805%, 4/17/38 144A		1,000,000		847
Progress Residential Trust, Series 2021-SFR2, Class C 1.997%, 4/19/38 144A		5,050,000		4,337
Progress Residential Trust, Series 2021-SFR8, Class E1 2.382%, 10/17/38 144A		550,000		452
Rockford Tower CLO, Ltd., Series 2020-1A, Class B 6.043%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A		1,350,000		1,299
ServiceMaster Brands, Series 2020-1, Class A2I 2.841%, 1/30/51 144A		1,228,125		984
Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B 2.750%, 7/15/38 144A		794,831		749
Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B 1.340%, 11/20/37 144A		1,454,754		1,331
Wellfleet CLO, Ltd., Series 2022-1A, Class B2 4.775%, 4/15/34 144A		1,250,000		1,093

Total				35,304

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

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Structured Products (17.6%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities (9.3%)
Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A		175,712		156
Agate Bay Mortgage Trust, Series 2016-1, Class A3 3.500%, (AFC), 12/25/45 144A		98,037		89
Angel Oak Mortgage Trust, Series 2019-4, Class A 3.301%, (AFC), 7/26/49 144A		17,960		18
Angel Oak Mortgage Trust, Series 2019-6, Class A3 2.927%, (AFC), 11/25/59 144A		238,620		226
Arroyo Mortgage Trust, Series 2021-1R, Class A2 1.483%, (CSTR, AFC), 10/25/48 144A		353,823		281
Arroyo Mortgage Trust, Series 2021-1R, Class A3 1.637%, (CSTR, AFC), 10/25/48 144A		272,172		217
BDS, Ltd., Series 2020-FL6, Class C 6.173%, (US 30 Day Average SOFR plus 2.365%), 9/15/35 144A		752,651		749
Bellemeade Re, Ltd., Series 2019-3A, Class M1C 6.339%, (ICE LIBOR USD 1 Month plus 1.950%), 7/25/29 144A		1,900,000		1,883
Bellemeade Re, Ltd., Series 2021-2A, Class M1C 5.778%, (US 30 Day Average SOFR plus 1.850%), 6/25/31 144A		2,108,000		1,928
Bellemeade Re, Ltd., Series 2021-3A, Class M1A 4.928%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A		1,265,268		1,249
BX Commercial Mortgage Trust, Series 2021- VOLT, Class E 6.318%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/36 144A		1,200,000		1,116
BX Commercial Mortgage Trust, Series 2021- VOLT, Class F 6.718%, (ICE LIBOR USD 1 Month plus 2.400%), 9/15/36 144A		1,400,000		1,288
BX Trust, Series 2020-VIVA, Class D 3.549%, (CSTR), 3/11/44 144A		1,418,962		1,063
BXMT, Ltd., Series 2020-FL2, Class B 5.840%, (US 30 Day Average SOFR plus 1.515%), 2/15/38 144A		1,600,000		1,535
Chase Mortgage Finance Corp., Series 2021- CL1, Class M1 5.128%, (US 30 Day Average SOFR plus 1.200%), 2/25/50 144A		370,668		336
CHNGE Mortgage Trust, Series 2022-3, ClassA1 5.000%, (AFC), 5/25/67 144A		593,934		579
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1 6.028%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A		641,206		637
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10 3.500%, (AFC), 12/25/44 144A		52,266		47


Structured Products (17.6%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Credit Suisse Mortgage Trust, Series 2019- ICE4, Class B 5.548%, (ICE LIBOR USD 1 Month plus 1.230%), 5/15/36 144A		875,000		859
Credit Suisse Mortgage Trust, Series 2019-ICE4, Class D 5.918%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		2,155,000		2,110
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3 1.538%, (AFC), 2/25/66 144A		300,243		239
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3 2.856%, 5/25/65 144A		1,474,000		1,413
Deephaven Residential Mortgage Trust, Series 2021-3, Class A3 1.554%, (AFC), 8/25/66 144A		955,029		765
Extended Stay America Trust, Series 2021- ESH, Class E 7.168%, (ICE LIBOR USD 1 Month plus 2.850%), 7/15/38 144A		1,679,051		1,599
FARM Mortgage Trust, Series 2021-1, Class A 2.180%, (CSTR), 1/25/51 144A		2,121,218		1,722
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 6.989%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24		251,949		252
Imperial Fund Mortgage Trust, Series 2021- NQM1, Class A3 1.617%, (AFC), 6/25/56 144A		368,702		292
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A 4.128%, 7/5/31 144A		2,020,000		1,892
JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.787%, (AFC), 10/25/29 144A		329,341		307
JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A		606,313		538
JP Morgan Mortgage Trust, Series 2017-1, Class A2 3.449%, (AFC), 1/25/47 144A		301,263		260
New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2 2.891%, (AFC), 5/24/60 144A		1,383,000		1,195
Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A		1,045,060		909
Sequoia Mortgage Trust, Series 2019-4, Class A7 3.500%, (AFC), 11/25/49 144A		2,303,806		2,008
SG Residential Mortgage Trust, Series 2021-1, Class A3 1.560%, (AFC), 7/25/61 144A		815,380		651
Shelter Growth CRE Issuer, Ltd., Series 2022- FL4, Class A 6.617%, (US SOFR 1 Month plus 2.296%), 6/19/37 144A		1,272,000		1,260
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E 3.000%, (AFC), 4/25/60 144A		2,503,000		2,196

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

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Structured Products (17.6%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		902,172		815
Verus Securitization Trust, Series 2020-1, Class A3 2.724%, (AFC), 1/25/60 144A S		896,194		841
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		779,638		623
Verus Securitization Trust, Series 2021-5, Class A3 1.373%, (AFC), 9/25/66 144A		947,437		718
Verus Securitization Trust, Series 2022-3, Class A3 4.130%, (CSTR, AFC), 2/25/67 144A		2,248,520		2,004
Vista Point Securitization Trust, Series 2020-2, Class A3 2.496%, (AFC), 4/25/65 144A		369,561		308

Total				39,173


Total Structured Products
(Cost: $83,006)				74,477


Short-Term Investments (3.9%)

Financial (0.9%)
FNB Corp. 2.200%, 2/24/23		2,505,000		2,492
HSBC Holdings PLC 3.600%, 5/25/23		1,280,000		1,272

Total				3,764


Governments (3.0%)
Federal Home Loan Bank 0.000%, 1/3/23		12,902,000		12,902

Total				12,902


Total Short-Term Investments
(Cost: $16,675)				16,666


Total Investments (98.1%)
(Cost: $469,978)@				415,493

Other Assets, Less Liabilities (1.9%)				8,055

Net Assets (100.0%)				423,548

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

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Exchange Traded or Centrally Cleared Derivatives

Total Return Swaps - Receive Floating Rate


Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
CPURNSA		1.777%		6/24		11,000		USD	$	-	$	1,265		$	1,265		$	20
CPURNSA		1.715%		6/24		7,400		USD		-		866			866			13
CPURNSA		1.860%		7/24		7,500		USD		-		819			819			8
CPURNSA		1.858%		8/24		12,700		USD		-		1,388			1,388			13
CPURNSA		2.073%		8/27		3,500		USD		-		420			420			1
CPURNSA		2.145%		11/27		5,000		USD		-		550			550			-	π
CPURNSA		1.800%		10/29		3,700		USD		-		533			533			(1	)
CPURNSA		1.884%		11/29		2,000		USD		-		275			275			–
CPURNSA		2.900%		10/23		9,350		USD		-		(8	)		(8	)		3
CPURNSA		2.695%		8/26		10,000		USD		-		554			554			-	π
CPURNSA		2.498%		9/31		7,000		USD		1		444			445			(3	)
CPURNSA		2.210%		1/24		8,000		USD		-		792			792			(4	)
CPURNSA		2.273%		1/24		10,000		USD		-		974			974			(6	)
CPURNSA		2.243%		1/26		6,000		USD		-		609			609			-
CPURNSA		1.078%		6/25		3,000		USD		-		470			470			3
CPURNSA		1.291%		5/30		2,000		USD		-		386			386			1
CPURNSA		1.629%		6/30		2,000		USD		-		349			349			-	π

									$	1	$	10,686		$	10,687		$	48


	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	$	62	$	-	$	62	$	(14	)	$	-	$	(14	)	$	-

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	Morgan Stanley Capital Services, Inc.	CAD	1,771		1,309		3/15/2023	$	-	$	(6	)	$	(6	)

								$	-	$	(6	)	$	(6	)

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

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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	$	(14	)	$	(14	)
CPURNSA	Bank of America NA	2.528%	8/24	2,750		61			61
CPURNSA	Bank of America NA	2.140%	7/25	2,900		280			280
CPURNSA	Bank of America NA	1.790%	8/25	1,500		194			194
CPURNSA	Bank of America NA	2.240%	4/27	3,500		332			332
CPURNSA	Bank of America NA	2.218%	4/27	2,000		194			194
CPURNSA	Bank of America NA	2.235%	4/27	2,000		191			191
CPURNSA	Bank of America NA	2.235%	5/27	5,000		480			480
CPURNSA	Barclays Bank PLC	2.589%	7/24	1,400		21			21
CPURNSA	Barclays Bank PLC	2.385%	9/24	4,000		159			159
CPURNSA	Barclays Bank PLC	2.363%	9/24	3,500		150			150
CPURNSA	Barclays Bank PLC	2.310%	9/24	1,400		68			68
CPURNSA	Barclays Bank PLC	2.895%	12/27	1,700		(216	)		(216	)
CPURNSA	Barclays Bank PLC	2.784%	7/44	1,400		(113	)		(113	)
CPURNSA	Goldman Sachs International	1.870%	5/26	8,500		1,186			1,186
CPURNSA	Goldman Sachs International	1.920%	5/26	7,000		941			941
CPURNSA	Goldman Sachs International	1.770%	6/26	6,000		894			894
CPURNSA	Goldman Sachs International	2.245%	11/26	3,000		295			295
CPURNSA	Goldman Sachs International	2.280%	11/26	3,000		284			284
CPURNSA	Goldman Sachs International	2.280%	11/26	4,000		378			378

					$	5,765		$	5,765


	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		-	$	6,108	$	6,108	$	(6	)		-	$	(343	)	$	(349	)

+	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.

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $469,951 and the net unrealized depreciation of investments based on that cost was $38,012 which is comprised of $16,863 aggregate gross unrealized appreciation and $54,875 aggregate gross unrealized depreciation.

π	Amount is less than one thousand.

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

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The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-	$	646		$	-
Corporate Bonds		-		66,402			-
Governments		-		257,302			-
Structured Products		-		74,477			-
Short-Term Investments		-		16,666			-
Other Financial Instruments^
Total Return Swaps		-		16,803			-
Total Assets:	$	-	$	432,296		$	-
Liabilities:
Other Financial Instruments^
Forward Foreign Currency Contracts		-		(6	)		-
Total Return Swaps		-		(351	)		-
Total Liabilities:	$	-	$	(357	)	$	-

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

162

High Yield Bond Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
High current income and capital appreciation.	Invest in non-investment grade debt securities.	$689 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the High Yield Bond Portfolio (the “Portfolio”), has engaged Federated Investment Management Company (“Federated”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in non-investment grade debt securities, which are generally securities rated below investment grade by major credit rating agencies, or if unrated, determined to be of comparable quality. The Portfolio may invest up to 30% of net assets in non-investment grade foreign securities. The securities in which the Portfolio primarily invests are considered speculative and are sometimes known as “junk bonds.” These securities tend to offer higher yields than higher rated securities of comparable maturities primarily because of the market’s greater uncertainty about the issuer’s ability to make all required interest and principal payments, and therefore about the returns that will in fact be realized by the Portfolio. The Portfolio invests in securities believed to have attractive investment characteristics and seeks to minimize default risk and other risks through careful security selection and diversification. The Portfolio’s security selection process consists of a credit-intensive, fundamental analysis of the issuer. The Portfolio does not limit the investments to securities of a particular maturity range and does not target an average effective maturity or duration.

MARKET OVERVIEW

The major factors influencing markets during the twelve months ended December 31, 2022 were concerns about the economy and inflation. Economic growth started the year slow as the lingering impact of COVID-19, the outbreak of war in Ukraine, supply chain issues and surging prices, especially for energy and food, caused major distortions. Global central banks, including the Federal Reserve, responded to the surge in prices by aggressively raising short term interest rates. However, the second half of the year saw economic growth improve as a robust job market, rising wages, declining pandemic-related concerns and normalizing supply chains provided support. Corporate earnings also proved resilient as companies were able to aggressively raise prices to offset surging input costs and rising wages, while demand was supported by the strong jobs market and from the benefits of the reopening from pandemic closures. Default rates and credit spreads for high yield securities climbed modestly higher. The overall impact of these factors can be illustrated by the change in credit spreads between the Credit Suisse High Yield Bond Index and Treasury securities with similar maturities which began the period at 355 basis points, peaked in early July at 606 basis points before declining to end the period at 499 basis points.

Within the high yield market, major industries that substantially outperformed the benchmark included: Oil Field Services, Aerospace and Defense, Gaming, Independent Energy and Metals & Mining. Major industries that substantially underperformed the benchmark included: Pharmaceuticals, Retail, Wireless Telecommunications, Media & Entertainment and Cable & Satellite. From a quality perspective, the B-rated sector outperformed with a total return of (10.26%) followed by the BB-rated sector at (10.77%). The CCC-rated sector, perhaps reflecting some economic concerns, lagged with a return of (16.29%).

PORTFOLIO RESULTS

The Portfolio returned (11.33%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Bloomberg^® U.S. Corporate High Yield 2% Issuer Capped Index (the “Index”), returned (11.18%). (The Index is unmanaged, cannot be invested in directly and does not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund rating agency, the average return in 2022 of the High Yield Funds peer group was (9.47)%.

Several factors impacted the Portfolio’s performance. Detractors from the Portfolio’s return included security selection in the Technology sector and in the Pharmaceutical, Media & Entertainment and Chemical industries. An overweight to the underperforming Pharmaceutical, Media & Entertainment and Cable & Satellite industries and an underweight to the strong performing Refining industry also detracted. Specific high yield issuers held by the Portfolio that detracted from relative performance included: Audacy Capital Corp., CSC Holdings LLC, Mallinckrodt PLC, Rackspace Technology Global, Inc. and Bausch Health Cos., Inc.

On the upside, the Portfolio’s underweight to the poor performing Retail, Wireline and Wireless industries and its overweight to the strong performing Property and Casualty Insurance, Oil Field Services and Packaging industries. The Portfolio also benefitted from strong security selection in the Property and Casualty Insurance, Independent Energy and

163

High Yield Bond Portfolio (unaudited)

Retail sectors. The Portfolio’s cash position also contributed to performance. Specific high yield issuers held by the Portfolio that contributed to relative performance included: Hub International, Ltd., Clarios Global LP, USIS Merger Sub, Inc., Assured Partners, Inc. and Flex Acquisition Co., Inc. The Portfolio also benefitted from its equity position in Superior Energy Services, Inc., which it acquired in a debt restructuring.

PORTFOLIO MANAGER OUTLOOK

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

While the U.S. economy has proven quite resilient in the face of substantial global central bank tightening and inflationary pressures not seen in decades, it is likely that efforts to combat inflation will eventually lead to weaker economic growth. Also, higher prices will likely lead to demand destruction. These factors will pressure corporate profit margins and earnings. At the same time, higher interest rates will consume a greater share of earnings resulting in declining free cash flow for high yield issuers. This may lead to rising default rates and wider credit spreads. However, it must be acknowledged that, to date, the strong jobs market has lessened the impact of rising rates and inflationary price increases on the overall demand environment supporting corporate earnings. Perhaps this will lead to default rates and credit spreads peaking this cycle at lower levels than in previous cycles.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
High Yield Bond Portfolio		-11.33	%		2.18	%		3.72	%
Bloomberg® U.S. Corporate High Yield 2% Issuer Capped Index		-11.18	%		2.30	%		4.03	%
Lipper® Variable Insurance Products (VIP) High Yield Funds Average		-9.47	%		1.91	%		3.39	%

This chart assumes an initial investment of $10,000 made on 12/31/12. Returns shown reflect fee waivers, deductions for management and other portfolio expenses,

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.

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.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
Ford Motor Credit Co. LLC, Various		2.4	%
CCO Holdings LLC / CCO Holdings Capital Corp., Various		2.1	%
HUB International, Ltd., Various		1.7	%
CSC Holdings LLC, Various		1.7	%
TransDigm, Inc., Various		1.4	%
Tenet Healthcare Corp., Various		1.1	%
Antero Midstream Partners LP / Antero Midstream Finance Corp., Various		1.1	%
Clarios Global LP / Clarios US Finance Co., Various		1.1	%
EQM Midstream Partners LP, Various		1.1	%
Allied Universal Holdco LLC, Various		1.1	%

164

High Yield Bond Portfolio (unaudited)

Sector Allocation 12/31/22


Sector	% of Net Assets
Consumer, Cyclical		16.7	%
Communications		16.0	%
Consumer, Non-Cyclical		13.9	%
Energy		13.8	%
Industrial		13.1	%
Financial		8.7	%
Technology		7.6	%
Short-Term Investments & Other Net Assets		3.9	%
Basic Materials		3.4	%
Utilities		2.4	%
Health Care		0.3	%
Diversified		0.2	%

Sector Allocation and Top 10 Holdings are subject to change.

165

High Yield Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


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

Communications (0.0%)
iHeartMedia, Inc. *		22,266		136

Total				136


Consumer, Non-cyclical (0.1%)
Mallinckrodt PLC *		64,634		501

Total				501


Energy (0.3%)
Superior Energy Services, Inc. *,Æ		35,182		2,111

Total				2,111

Total Common Stocks (Cost: $2,320)				2,748


Corporate Bonds (95.7%)

Basic Materials (3.4%)
Ashland LLC 3.375%, 9/1/31 144A		825,000		659
Axalta Coating Systems LLC 3.375%, 2/15/29 144A		875,000		722
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding 4.750%, 6/15/27 144A		600,000		555
Cheever Escrow Issuer, LLC 7.125%, 10/1/27 144A		875,000		833
Clearwater Paper Corp. 4.750%, 8/15/28 144A		150,000		132
5.375%, 2/1/25 144A		2,250,000		2,186
Cleveland-Cliffs, Inc. 4.625%, 3/1/29 144A		1,525,000		1,353
4.875%, 3/1/31 144A		825,000		728
Coeur Mining, Inc. 5.125%, 2/15/29 144A		1,675,000		1,307
Compass Minerals International, Inc. 4.875%, 7/15/24 144A		1,400,000		1,346
6.750%, 12/1/27 144A		400,000		384
Diamond BC BV 4.625%, 10/1/29 144A		3,675,000		2,949
Element Solutions, Inc. 3.875%, 9/1/28 144A		1,650,000		1,403
Freeport-McMoRan, Inc. 5.000%, 9/1/27		300,000		294
H.B. Fuller Co. 4.250%, 10/15/28		525,000		465
Herens Holdco SARL 4.750%, 5/15/28 144A		3,350,000		2,504
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. 9.000%, 7/1/28 144A		725,000		607
Olympus Water US Holding Corp. 4.250%, 10/1/28 144A		1,250,000		1,015
6.250%, 10/1/29 144A		1,800,000		1,367
Polar US Borrower LLC
6.750%, 5/15/26 144A		1,925,000		712


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Basic Materials continued
SPCM SA 3.375%, 3/15/30 144A		425,000		342
WR Grace Holdings LLC 4.875%, 6/15/27 144A		675,000		598
5.625%, 8/15/29 144A		1,200,000		969

Total				23,430


Communications (16.0%)
Audacy Capital Corp. 6.500%, 5/1/27 144A		2,250,000		423
6.750%, 3/31/29 144A		1,650,000		286
Cars.com, Inc. 6.375%, 11/1/28 144A		1,900,000		1,687
CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%, 2/1/31 144A		750,000		602
4.250%, 1/15/34 144A		1,200,000		886
4.500%, 8/15/30 144A		2,175,000		1,797
4.500%, 5/1/32		1,050,000		836
4.500%, 6/1/33 144A		1,175,000		901
4.750%, 3/1/30 144A		3,400,000		2,932
4.750%, 2/1/32 144A		450,000		365
5.000%, 2/1/28 144A		2,000,000		1,816
5.125%, 5/1/27 144A		2,975,000		2,773
5.375%, 6/1/29 144A		1,350,000		1,221
5.500%, 5/1/26 144A		275,000		266
Ciena Corp. 4.000%, 1/31/30 144A		325,000		286
CSC Holdings LLC 3.375%, 2/15/31 144A		825,000		538
4.125%, 12/1/30 144A		950,000		671
4.500%, 11/15/31 144A		2,750,000		1,908
4.625%, 12/1/30 144A		1,650,000		912
5.250%, 6/1/24		1,425,000		1,327
5.500%, 4/15/27 144A		1,675,000		1,405
5.750%, 1/15/30 144A		4,200,000		2,369
6.500%, 2/1/29 144A		1,450,000		1,185
7.500%, 4/1/28 144A		1,925,000		1,309
Cumulus Media New Holdings, Inc. 6.750%, 7/1/26 144A		1,751,000		1,471
Diamond Sports Group LLC / Diamond Sports Finance Co. 5.375%, 8/15/26 144A		675,000		79
6.625%, 8/15/27 144A		1,900,000		14
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 5.875%, 8/15/27 144A		1,850,000		1,655
DISH DBS Corp. 5.125%, 6/1/29		2,950,000		1,903
5.750%, 12/1/28 144A		1,100,000		878
7.375%, 7/1/28		750,000		531
7.750%, 7/1/26		1,350,000		1,089
DISH Network Corp. 11.750%, 11/15/27 144A		1,375,000		1,416

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

166

High Yield Bond Portfolio


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Communications continued
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.250%, 12/1/27 144A		1,625,000		1,538
Gray Escrow II, Inc. 5.375%, 11/15/31 144A		1,175,000		847
Gray Television, Inc. 4.750%, 10/15/30 144A		525,000		380
5.875%, 7/15/26 144A		2,575,000		2,294
7.000%, 5/15/27 144A		750,000		665
iHeartCommunications, Inc. 4.750%, 1/15/28 144A		425,000		346
5.250%, 8/15/27 144A		1,075,000		911
6.375%, 5/1/26		375,901		346
8.375%, 5/1/27		5,078,194		4,319
Intelsat Jackson Holdings SA - Series B - Contingent Value Rights *,Æ		2,774		19
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		351
4.000%, 2/15/30		100,000		87
4.875%, 1/15/29		675,000		620
Match Group, Inc. 4.125%, 8/1/30 144A		2,175,000		1,776
4.625%, 6/1/28 144A		1,450,000		1,293
5.000%, 12/15/27 144A		525,000		483
Midas OpCo Holdings LLC 5.625%, 8/15/29 144A		5,200,000		4,288
Millennium Escrow Corp. 6.625%, 8/1/26 144A		1,425,000		912
News Corp. 5.125%, 2/15/32 144A		175,000		159
Nexstar Broadcasting, Inc. 4.750%, 11/1/28 144A		1,850,000		1,600
5.625%, 7/15/27 144A		3,225,000		2,958
Outfront Media Capital LLC / Outfront Media Capital Corp. 4.250%, 1/15/29 144A		1,150,000		954
4.625%, 3/15/30 144A		1,100,000		910
Scripps Escrow II, Inc. 3.875%, 1/15/29 144A		350,000		281
5.375%, 1/15/31 144A		750,000		601
Scripps Escrow, Inc. 5.875%, 7/15/27 144A		1,425,000		1,272
Sinclair Television Group, Inc. 4.125%, 12/1/30 144A		150,000		112
5.125%, 2/15/27 144A		3,975,000		3,242
5.500%, 3/1/30 144A		1,175,000		822
Sirius XM Radio, Inc. 3.125%, 9/1/26 144A		1,075,000		954
3.875%, 9/1/31 144A		3,025,000		2,360
4.000%, 7/15/28 144A		725,000		631
4.125%, 7/1/30 144A		1,775,000		1,465
5.500%, 7/1/29 144A		925,000		844
Sprint Corp. 7.625%, 2/15/25		700,000		723
TEGNA, Inc. 4.625%, 3/15/28		600,000		570


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Communications continued
5.000%, 9/15/29		3,375,000		3,202
Telenet Finance Luxembourg Notes SARL 5.500%, 3/1/28 144A		4,400,000		3,960
Terrier Media Buyer, Inc. 8.875%, 12/15/27 144A		5,025,000		3,782
T-Mobile USA, Inc. 2.250%, 2/15/26		1,500,000		1,364
2.875%, 2/15/31		450,000		372
3.375%, 4/15/29		525,000		462
Univision Communications, Inc. 4.500%, 5/1/29 144A		1,400,000		1,171
7.375%, 6/30/30 144A		775,000		741
UPC Broadband Finco BV 4.875%, 7/15/31 144A		3,450,000		2,870
Urban One, Inc. 7.375%, 2/1/28 144A		2,175,000		1,839
Viavi Solutions, Inc. 3.750%, 10/1/29 144A		350,000		294
Virgin Media Finance PLC 5.000%, 7/15/30 144A		2,700,000		2,166
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		2,050,000		1,792
VMED O2 UK Financing I PLC 4.250%, 1/31/31 144A		875,000		708
4.750%, 7/15/31 144A		1,475,000		1,198
VZ Secured Financing BV 5.000%, 1/15/32 144A		1,225,000		995
Ziggo Bond Co. BV 5.125%, 2/28/30 144A		575,000		464
6.000%, 1/15/27 144A		3,050,000		2,838
Ziggo BV 4.875%, 1/15/30 144A		200,000		167

Total				110,480


Consumer, Cyclical (16.7%)
1011778 BC ULC / New Red Finance, Inc. 3.500%, 2/15/29 144A		525,000		450
3.875%, 1/15/28 144A		1,125,000		1,006
4.000%, 10/15/30 144A		5,775,000		4,677
4.375%, 1/15/28 144A		1,175,000		1,052
Academy, Ltd. 6.000%, 11/15/27 144A		1,500,000		1,436
Adient Global Holdings, Ltd. 4.875%, 8/15/26 144A		3,300,000		3,072
Affinity Gaming 6.875%, 12/15/27 144A		2,300,000		1,950
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd. 5.500%, 4/20/26 144A		1,150,000		1,106
5.750%, 4/20/29 144A		1,125,000		1,028
American Builders & Contractors Supply Co., Inc. 3.875%, 11/15/29 144A		275,000		225
4.000%, 1/15/28 144A		725,000		647
Aramark Services, Inc. 5.000%, 2/1/28 144A		225,000		210
6.375%, 5/1/25 144A		2,525,000		2,494

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

167

High Yield Bond Portfolio


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Cyclical continued
Asbury Automotive Group, Inc. 4.625%, 11/15/29 144A		1,850,000		1,559
5.000%, 2/15/32 144A		450,000		370
BCPE Empire Holdings, Inc. 7.625%, 5/1/27 144A		4,625,000		4,148
Boyd Gaming Corp. 4.750%, 12/1/27		1,650,000		1,537
4.750%, 6/15/31 144A		575,000		500
Caesars Entertainment, Inc. 4.625%, 10/15/29 144A		825,000		671
5.750%, 7/1/25 144A		1,750,000		1,713
6.250%, 7/1/25 144A		1,900,000		1,846
8.125%, 7/1/27 144A		2,325,000		2,284
CCM Merger, Inc. 6.375%, 5/1/26 144A		425,000		400
Clarios Global LP 6.750%, 5/15/25 144A		135,000		135
Clarios Global LP / Clarios US Finance Co. 6.250%, 5/15/26 144A		270,000		264
8.500%, 5/15/27 144A		7,550,000		7,373
Dana Financing Luxembourg SARL 5.750%, 4/15/25 144A		650,000		636
Dana, Inc. 4.500%, 2/15/32		675,000		540
5.375%, 11/15/27		150,000		139
5.625%, 6/15/28		175,000		159
Dornoch Debt Merger Sub, Inc. 6.625%, 10/15/29 144A		3,625,000		2,543
Ford Motor Credit Co. LLC 2.700%, 8/10/26		725,000		630
3.375%, 11/13/25		3,250,000		2,938
4.000%, 11/13/30		1,975,000		1,621
4.063%, 11/1/24		1,700,000		1,632
4.125%, 8/17/27		1,350,000		1,208
4.271%, 1/9/27		1,675,000		1,515
4.389%, 1/8/26		1,975,000		1,840
5.113%, 5/3/29		2,950,000		2,671
5.125%, 6/16/25		2,250,000		2,163
Foundation Building Materials, Inc. 6.000%, 3/1/29 144A		3,300,000		2,471
The Gap, Inc. 3.625%, 10/1/29 144A		1,050,000		741
3.875%, 10/1/31 144A		475,000		331
GYP Holdings III Corp. 4.625%, 5/1/29 144A		2,475,000		2,021
H&E Equipment Services, Inc. 3.875%, 12/15/28 144A		2,775,000		2,364
Hilton Domestic Operating Co., Inc. 3.625%, 2/15/32 144A		700,000		561
3.750%, 5/1/29 144A		1,150,000		995
4.875%, 1/15/30		500,000		453
5.750%, 5/1/28 144A		800,000		776
IHO Verwaltungs GmbH 4.750%, 9/15/26 144A		2,375,000		2,055
6.000%, 5/15/27 144A		1,475,000		1,290
6.375%, 5/15/29 144A		1,100,000		930
Interface, Inc. 5.500%, 12/1/28 144A		1,000,000		826
KAR Auction Services, Inc. 5.125%, 6/1/25 144A		528,000		516


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Cyclical continued
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.750%, 6/1/27 144A		550,000		528
Kontoor Brands, Inc. 4.125%, 11/15/29 144A		450,000		367
MGM Resorts International 6.000%, 3/15/23		1,725,000		1,719
Midwest Gaming Borrower LLC 4.875%, 5/1/29 144A		1,275,000		1,085
Mohegan Gaming & Entertainment 8.000%, 2/1/26 144A		4,050,000		3,788
NMG Holding Co., Inc. / Neiman Marcus Group LLC 7.125%, 4/1/26 144A		350,000		328
Penn National Gaming, Inc. 4.125%, 7/1/29 144A		1,175,000		928
5.625%, 1/15/27 144A		250,000		227
Raptor Acquisition Corp. / Raptor Co-Issuer LLC 4.875%, 11/1/26 144A		200,000		178
Real Hero Merger Sub 2, Inc. 6.250%, 2/1/29 144A		4,275,000		2,931
Scientific Games Holdings LP / Scientific Games US FinCo, Inc. 6.625%, 3/1/30 144A		1,725,000		1,457
Scientific Games International, Inc. 7.250%, 11/15/29 144A		1,250,000		1,200
8.625%, 7/1/25 144A		1,400,000		1,428
SeaWorld Parks & Entertainment, Inc. 5.250%, 8/15/29 144A		2,500,000		2,177
Six Flags Entertainment Corp. 5.500%, 4/15/27 144A		1,325,000		1,193
SRS Distribution, Inc. 6.000%, 12/1/29 144A		2,300,000		1,830
6.125%, 7/1/29 144A		2,950,000		2,385
Station Casinos LLC 4.500%, 2/15/28 144A		2,000,000		1,739
4.625%, 12/1/31 144A		1,300,000		1,043
Suburban Propane Partners LP / Suburban Energy Finance Corp. 5.000%, 6/1/31 144A		2,525,000		2,146
5.875%, 3/1/27		900,000		855
White Cap Buyer LLC 6.875%, 10/15/28 144A		1,825,000		1,579
White Cap Parent LLC 8.250%, 3/15/26 144A		1,650,000		1,426
The William Carter Co. 5.625%, 3/15/27 144A		400,000		384
WMG Acquisition Corp. 3.750%, 12/1/29 144A		800,000		688
3.875%, 7/15/30 144A		325,000		280
Yum! Brands, Inc. 4.625%, 1/31/32		1,625,000		1,436
4.750%, 1/15/30 144A		725,000		665
5.375%, 4/1/32		625,000		579

Total				115,287

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

168

High Yield Bond Portfolio


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Non-cyclical (13.8%)
AdaptHealth LLC 4.625%, 8/1/29 144A		1,450,000		1,214
5.125%, 3/1/30 144A		1,425,000		1,213
AHP Health Partners, Inc. 5.750%, 7/15/29 144A		1,025,000		801
Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC 3.250%, 3/15/26 144A		350,000		319
3.500%, 2/15/23 144A		325,000		323
3.500%, 3/15/29 144A		2,050,000		1,720
4.875%, 2/15/30 144A		450,000		402
5.875%, 2/15/28 144A		700,000		665
7.500%, 3/15/26 144A		625,000		638
Allied Universal Holdco LLC 6.000%, 6/1/29 144A		2,225,000		1,615
6.625%, 7/15/26 144A		1,425,000		1,304
9.750%, 7/15/27 144A		5,050,000		4,393
Avantor Funding, Inc. 3.875%, 11/1/29 144A		1,825,000		1,533
4.625%, 7/15/28 144A		2,350,000		2,135
Bausch Health Cos., Inc. 4.875%, 6/1/28 144A		350,000		223
5.000%, 1/30/28 144A		1,200,000		576
5.000%, 2/15/29 144A		625,000		299
5.250%, 1/30/30 144A		1,900,000		911
5.250%, 2/15/31 144A		625,000		303
5.750%, 8/15/27 144A		775,000		527
6.125%, 2/1/27 144A		300,000		207
6.250%, 2/15/29 144A		1,775,000		855
7.250%, 5/30/29 144A		2,200,000		1,062
8.500%, 1/31/27 144A		1,450,000		759
Bellring Brands, Inc. 7.000%, 3/15/30 144A		1,850,000		1,780
Catalent Pharma Solutions, Inc. 3.500%, 4/1/30 144A		700,000		553
Centene Corp. 3.000%, 10/15/30		375,000		307
3.375%, 2/15/30		900,000		761
4.250%, 12/15/27		1,900,000		1,782
4.625%, 12/15/29		2,425,000		2,216
Charles River Laboratories International, Inc. 3.750%, 3/15/29 144A		525,000		464
4.000%, 3/15/31 144A		550,000		476
CHS / Community Health Systems, Inc. 5.250%, 5/15/30 144A		1,000,000		754
5.625%, 3/15/27 144A		750,000		643
6.000%, 1/15/29 144A		225,000		188
6.125%, 4/1/30 144A		1,275,000		631
6.875%, 4/15/29 144A		2,825,000		1,452
8.000%, 3/15/26 144A		1,125,000		1,024
DaVita, Inc. 4.625%, 6/1/30 144A		575,000		463
Edgewell Personal Care Co. 4.125%, 4/1/29 144A		1,000,000		852
5.500%, 6/1/28 144A		875,000		818
Embecta Corp. 5.000%, 2/15/30 144A		525,000		444
6.750%, 2/15/30 144A		1,850,000		1,670
Garda World Security Corp. 4.625%, 2/15/27 144A		875,000		773


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Non-cyclical continued
6.000%, 6/1/29 144A		2,375,000		1,930
Garden Spinco Corp. 8.625%, 7/20/30 144A		675,000		715
Gartner, Inc. 3.750%, 10/1/30 144A		550,000		474
4.500%, 7/1/28 144A		250,000		233
Global Medical Response, Inc. 6.500%, 10/1/25 144A		2,650,000		1,897
Grifols Escrow Issuer SA 4.750%, 10/15/28 144A		1,525,000		1,317
GW B-CR Security Corp. 9.500%, 11/1/27 144A		4,969,000		4,786
HCA, Inc. 3.500%, 9/1/30		700,000		604
5.375%, 2/1/25		1,250,000		1,248
5.875%, 2/15/26		1,050,000		1,057
HealthEquity, Inc. 4.500%, 10/1/29 144A		1,775,000		1,551
Jazz Securities DAC 4.375%, 1/15/29 144A		1,825,000		1,626
LifePoint Health, Inc. 4.375%, 2/15/27 144A		625,000		529
5.375%, 1/15/29 144A		150,000		85
6.750%, 4/15/25 144A		825,000		776
Mallinckrodt International Finance SA / Mallinckrodt CB LLC 10.000%, 6/15/29 144A		1,839,000		988
MEDNAX, Inc. 5.375%, 2/15/30 144A		1,125,000		978
Mozart Debt Merger Sub, Inc. 3.875%, 4/1/29 144A		1,625,000		1,310
5.250%, 10/1/29 144A		6,750,000		5,361
MPH Acquisition Holdings LLC 5.500%, 9/1/28 144A		900,000		702
5.750%, 11/1/28 144A		2,200,000		1,463
Organon Finance 1 LLC 4.125%, 4/30/28 144A		425,000		376
5.125%, 4/30/31 144A		1,800,000		1,559
Performance Food Group, Inc. 4.250%, 8/1/29 144A		1,425,000		1,235
Post Holdings, Inc. 5.500%, 12/15/29 144A		900,000		814
5.625%, 1/15/28 144A		975,000		918
5.750%, 3/1/27 144A		1,405,000		1,359
Prestige Brands, Inc. 3.750%, 4/1/31 144A		650,000		536
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A		1,825,000		1,469
Signal Parent, Inc. 6.125%, 4/1/29 144A		1,950,000		568
Syneos Health, Inc. 3.625%, 1/15/29 144A		925,000		737
Team Health Holdings, Inc. 6.375%, 2/1/25 144A		1,075,000		619
Teleflex, Inc. 4.250%, 6/1/28 144A		250,000		228
4.625%, 11/15/27		450,000		429
Tenet Healthcare Corp. 4.250%, 6/1/29 144A		225,000		195

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

169

High Yield Bond Portfolio


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Non-cyclical continued
4.625%, 7/15/24		576,000		562
4.625%, 6/15/28 144A		125,000		112
4.875%, 1/1/26 144A		1,200,000		1,135
5.125%, 11/1/27 144A		1,800,000		1,674
6.125%, 10/1/28 144A		2,450,000		2,194
6.125%, 6/15/30 144A		775,000		738
6.250%, 2/1/27 144A		1,125,000		1,081
United Rentals North America, Inc. 3.875%, 2/15/31		275,000		230
4.875%, 1/15/28		1,225,000		1,161
5.250%, 1/15/30		425,000		399
5.500%, 5/15/27		400,000		395
US Foods, Inc. 4.625%, 6/1/30 144A		700,000		616
4.750%, 2/15/29 144A		1,500,000		1,332
6.250%, 4/15/25 144A		225,000		223
ZipRecruiter, Inc. 5.000%, 1/15/30 144A		975,000		804

Total				95,376


Diversified (0.2%)
Stena International SA 6.125%, 2/1/25 144A		1,325,000		1,232

Total				1,232


Energy (13.5%)
Antero Midstream Partners LP / Antero Midstream Finance Corp. 5.375%, 6/15/29 144A		2,200,000		2,011
5.750%, 3/1/27 144A		2,375,000		2,245
5.750%, 1/15/28 144A		2,600,000		2,412
7.875%, 5/15/26 144A		1,000,000		1,012
Antero Resources Corp. 5.375%, 3/1/30 144A		925,000		858
7.625%, 2/1/29 144A		244,000		245
Archrock Partners LP
6.250%, 4/1/28 144A		1,975,000		1,807
6.875%, 4/1/27 144A		3,275,000		3,126
Ascent Resources Utica Holdings LLC / ARU Finance Corp. 5.875%, 6/30/29 144A		600,000		535
7.000%, 11/1/26 144A		1,650,000		1,601
8.250%, 12/31/28 144A		575,000		564
9.000%, 11/1/27 144A		414,000		509
Berry Petroleum Co. LLC 7.000%, 2/15/26 144A		875,000		804
Callon Petroleum Co. 6.375%, 7/1/26		900,000		839
7.500%, 6/15/30 144A		250,000		229
8.250%, 7/15/25		425,000		423
Centennial Resource Production LLC 5.375%, 1/15/26 144A		825,000		751
6.875%, 4/1/27 144A		1,725,000		1,625
Cheniere Energy Partners LP 3.250%, 1/31/32		550,000		437
4.000%, 3/1/31		1,500,000		1,277
4.500%, 10/1/29		1,150,000		1,034
Cheniere Energy, Inc. 4.625%, 10/15/28		975,000		881


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Energy continued
Chesapeake Energy Corp. 5.875%, 2/1/29 144A		225,000		213
Chesapeake Energy Corp. Escrow 7.000%, 10/1/24 *		1,000,000		20
CNX Midstream Partners LP 4.750%, 4/15/30 144A		1,125,000		923
Comstock Resources, Inc. 5.875%, 1/15/30 144A		650,000		559
6.750%, 3/1/29 144A		2,400,000		2,166
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. 8.000%, 4/1/29 144A		1,500,000		1,493
CrownRock LP / CrownRock Finance, Inc. 5.000%, 5/1/29 144A		325,000		292
5.625%, 10/15/25 144A		3,025,000		2,919
DT Midstream, Inc. 4.375%, 6/15/31 144A		1,450,000		1,216
Endeavor Energy Resources LP / EER Finance, Inc. 5.750%, 1/30/28 144A		850,000		814
Enviva Partners LP / Enviva Partners Finance Corp. 6.500%, 1/15/26 144A		4,275,000		4,026
EQM Midstream Partners LP 4.500%, 1/15/29 144A		1,050,000		882
4.750%, 1/15/31 144A		1,325,000		1,083
5.500%, 7/15/28		1,925,000		1,721
6.000%, 7/1/25 144A		331,000		319
6.500%, 7/1/27 144A		1,825,000		1,744
6.500%, 7/15/48		1,025,000		768
7.500%, 6/1/27 144A		975,000		955
EQT Corp. 5.000%, 1/15/29		350,000		329
Hess Midstream Operations LP 4.250%, 2/15/30 144A		625,000		534
5.500%, 10/15/30 144A		475,000		435
Hess Midstream Partners LP 5.125%, 6/15/28 144A		1,300,000		1,202
Holly Energy Partners LP / Holly Energy Finance Corp. 5.000%, 2/1/28 144A		1,725,000		1,571
6.375%, 4/15/27 144A		425,000		418
Nabors Industries, Ltd. 7.250%, 1/15/26 144A		1,275,000		1,202
7.375%, 5/15/27 144A		225,000		218
7.500%, 1/15/28 144A		950,000		869
NuStar Logistics LP 5.625%, 4/28/27		1,900,000		1,777
Oasis Petroleum, Inc. 6.375%, 6/1/26 144A		525,000		511
Occidental Petroleum Corp. 5.875%, 9/1/25		1,225,000		1,221
6.375%, 9/1/28		125,000		126
6.450%, 9/15/36		1,225,000		1,249
6.625%, 9/1/30		1,400,000		1,447
8.875%, 7/15/30		1,600,000		1,806
PDC Energy, Inc. 5.750%, 5/15/26		1,525,000		1,456
6.125%, 9/15/24		213,000		212

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

170

High Yield Bond Portfolio


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Energy continued
Precision Drilling Corp. 6.875%, 1/15/29 144A		375,000		349
7.125%, 1/15/26 144A		1,650,000		1,596
Range Resources Corp. 4.750%, 2/15/30 144A		475,000		419
4.875%, 5/15/25		350,000		332
8.250%, 1/15/29		875,000		902
Rockcliff Energy II LLC 5.500%, 10/15/29 144A		1,025,000		938
SM Energy Co. 5.625%, 6/1/25		1,000,000		960
6.500%, 7/15/28		200,000		192
6.625%, 1/15/27		250,000		241
6.750%, 9/15/26		1,100,000		1,068
Southwestern Energy Co. 4.750%, 2/1/32		725,000		620
5.375%, 3/15/30		300,000		274
8.375%, 9/15/28		1,100,000		1,134
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 5.750%, 4/15/25		1,650,000		1,397
Tap Rock Resources LLC 7.000%, 10/1/26 144A		1,375,000		1,279
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.000%, 1/15/28		1,675,000		1,598
5.500%, 3/1/30		2,250,000		2,117
6.500%, 7/15/27		300,000		302
TerraForm Power Operating LLC 4.750%, 1/15/30 144A		1,725,000		1,501
5.000%, 1/31/28 144A		1,775,000		1,597
TransMontaigne Partners LP / TLP Finance Corp. 6.125%, 2/15/26		1,175,000		1,010
Ultra Resources, Inc. Contingent Value Rights *,Æ		1,380		-
USA Compression Finance Corp. 6.875%, 4/1/26		3,550,000		3,405
USA Compression Partners LP / USA Compression Finance Corp. 6.875%, 9/1/27		1,475,000		1,379
Western Gas Partners LP 4.500%, 3/1/28		1,100,000		1,009
5.300%, 3/1/48		2,650,000		2,179
5.450%, 4/1/44		650,000		540
5.500%, 8/15/48		400,000		332
Western Midstream Operating LP 4.300%, 2/1/30		325,000		284
4.650%, 7/1/26		175,000		166

Total				93,041


Financial (8.7%)
AmWINS Group, Inc. 4.875%, 6/30/29 144A		2,575,000		2,184
Ardonagh Midco 2 PLC 11.500%, 1/15/27 144A Þ		2,858,937		2,716
AssuredPartners, Inc. 5.625%, 1/15/29 144A		1,500,000		1,235
7.000%, 8/15/25 144A		3,250,000		3,143


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
BroadStreet Partners, Inc. 5.875%, 4/15/29 144A		6,075,000		5,170
Cushman & Wakefield US Borrower LLC 6.750%, 5/15/28 144A		400,000		382
GTCR AP Finance, Inc. 8.000%, 5/15/27 144A		1,725,000		1,652
HUB International, Ltd. 5.625%, 12/1/29 144A		2,575,000		2,249
7.000%, 5/1/26 144A		9,925,000		9,716
Jones Deslauriers Insurance Management, Inc. 10.500%, 12/15/30 144A		1,750,000		1,723
Navient Corp. 5.000%, 3/15/27		450,000		394
5.500%, 3/15/29		1,650,000		1,346
6.750%, 6/25/25		1,175,000		1,128
6.750%, 6/15/26		1,250,000		1,185
NFP Corp. 6.875%, 8/15/28 144A		7,125,000		5,873
7.500%, 10/1/30 144A		1,300,000		1,223
Rocket Mortgage LLC / Rocket Mortgage Co- Issuer, Inc. 2.875%, 10/15/26 144A		1,550,000		1,329
3.625%, 3/1/29 144A		1,475,000		1,169
3.875%, 3/1/31 144A		1,525,000		1,164
4.000%, 10/15/33 144A		1,200,000		896
Ryan Specialty Group LLC 4.375%, 2/1/30 144A		800,000		693
United Shore Financial Services LLC 5.500%, 11/15/25 144A		3,250,000		2,927
United Wholesale Mortgage LLC 5.500%, 4/15/29 144A		1,725,000		1,372
5.750%, 6/15/27 144A		950,000		818
USIS Merger Sub, Inc. 6.875%, 5/1/25 144A		5,250,000		5,058
VICI Properties LP / VICI Note Co., Inc. 3.500%, 2/15/25 144A		125,000		118
3.875%, 2/15/29 144A		200,000		175
4.250%, 12/1/26 144A		1,125,000		1,050
4.500%, 9/1/26 144A		450,000		423
4.625%, 6/15/25 144A		400,000		384
4.625%, 12/1/29 144A		600,000		546
5.625%, 5/1/24 144A		475,000		470
5.750%, 2/1/27 144A		225,000		219

Total				60,130


Health Care (0.3%)
IQVIA, Inc. 5.000%, 10/15/26 144A		1,375,000		1,313
5.000%, 5/15/27 144A		750,000		715

Total				2,028


Industrial (13.1%)
ARD Finance SA 6.500%, 6/30/27 144A		3,057,214		2,126
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. 4.000%, 9/1/29 144A		1,975,000		1,565
5.250%, 8/15/27 144A		7,100,000		5,309

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

171

High Yield Bond Portfolio


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Industrial continued
Ball Corp. 2.875%, 8/15/30		1,575,000		1,257
3.125%, 9/15/31		300,000		241
6.875%, 3/15/28		675,000		693
Berry Global Escrow Corp. 4.875%, 7/15/26 144A		1,125,000		1,083
5.625%, 7/15/27 144A		1,150,000		1,122
Camelot Return Merger Sub, Inc. 8.750%, 8/1/28 144A		1,575,000		1,445
Clydesdale Acquisition Holdings, Inc. 8.750%, 4/15/30 144A		7,050,000		6,035
Cornerstone Building Brands, Inc. 6.125%, 1/15/29 144A		900,000		634
CP Atlas Buyer, Inc. 7.000%, 12/1/28 144A		3,500,000		2,599
Crown Americas LLC 5.250%, 4/1/30 144A		400,000		378
Crown Americas LLC / Crown Americas Capital Corp. VI 4.750%, 2/1/26		1,175,000		1,141
Energizer Holdings, Inc. 4.375%, 3/31/29 144A		2,400,000		2,035
4.750%, 6/15/28 144A		900,000		780
6.500%, 12/31/27 144A		1,650,000		1,570
Gates Global LLC / Gates Global Co. 6.250%, 1/15/26 144A		5,050,000		4,873
Graphic Packaging International LLC 3.500%, 3/15/28 144A		425,000		370
3.500%, 3/1/29 144A		450,000		384
3.750%, 2/1/30 144A		175,000		149
4.750%, 7/15/27 144A		500,000		471
II-VI, Inc. 5.000%, 12/15/29 144A		2,100,000		1,811
Koppers, Inc. 6.000%, 2/15/25 144A		3,850,000		3,658
Madison IAQ LLC 4.125%, 6/30/28 144A		250,000		209
5.875%, 6/30/29 144A		4,800,000		3,290
Mauser Packaging Solutions 5.500%, 4/15/24 144A		975,000		948
7.250%, 4/15/25 144A		2,850,000		2,636
MIWD Holdco II LLC / MIWD Finance Corp. 5.500%, 2/1/30 144A		375,000		299
OI European Group BV 4.750%, 2/15/30 144A		450,000		394
Owens-Brockway Glass Container, Inc. 5.375%, 1/15/25 144A		2,075,000		1,991
5.875%, 8/15/23 144A		271,000		269
6.375%, 8/15/25 144A		1,125,000		1,102
6.625%, 5/13/27 144A		800,000		776
Redwood Star Merger Sub, Inc. 8.750%, 4/1/30 144A		2,450,000		1,932
Sealed Air Corp. 5.000%, 4/15/29 144A		550,000		517
Sensata Technologies BV 5.875%, 9/1/30 144A		1,175,000		1,114
Sensata Technologies, Inc. 3.750%, 2/15/31 144A		225,000		185
Standard Industries, Inc. 3.375%, 1/15/31 144A		725,000		546


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Industrial continued
4.375%, 7/15/30 144A		1,425,000		1,161
4.750%, 1/15/28 144A		1,325,000		1,192
5.000%, 2/15/27 144A		3,375,000		3,114
TK Elevator Holdco GmbH 7.625%, 7/15/28 144A		1,121,000		915
TK Elevator US Newco, Inc. 5.250%, 7/15/27 144A		2,175,000		1,930
TransDigm UK Holdings PLC 6.875%, 5/15/26		1,775,000		1,733
TransDigm, Inc. 4.625%, 1/15/29		2,275,000		2,000
4.875%, 5/1/29		775,000		676
5.500%, 11/15/27		1,250,000		1,174
6.250%, 3/15/26 144A		3,025,000		2,983
6.375%, 6/15/26		1,850,000		1,800
7.500%, 3/15/27		675,000		668
Trident TPI Holdings, Inc. 6.625%, 11/1/25 144A		2,225,000		1,928
9.250%, 8/1/24 144A		1,575,000		1,497
Trivium Packaging Finance BV 5.500%, 8/15/26 144A		525,000		481
8.500%, 8/15/27 144A		4,550,000		4,175
TTM Technologies, Inc. 4.000%, 3/1/29 144A		950,000		815
Watco Cos. LLC / Watco Finance Corp. 6.500%, 6/15/27 144A		2,150,000		2,043
WESCO Distribution, Inc. 7.125%, 6/15/25 144A		975,000		987
7.250%, 6/15/28 144A		1,075,000		1,089

Total				90,298


Technology (7.6%)
AMG AG 7.000%, 7/31/25 144A		1,050,000		988
Black Knight InfoServ LLC 3.625%, 9/1/28 144A		1,225,000		1,063
Booz Allen Hamilton, Inc. 3.875%, 9/1/28 144A		400,000		354
4.000%, 7/1/29 144A		250,000		220
Boxer Parent Co., Inc. 9.125%, 3/1/26 144A		2,000,000		1,887
CDW LLC / CDW Finance Corp. 3.250%, 2/15/29		200,000		170
Central Parent, Inc. / Central Merger Sub, Inc. 7.250%, 6/15/29 144A		1,950,000		1,907
Clarivate Science Holdings Corp. 3.875%, 7/1/28 144A		350,000		303
4.875%, 7/1/29 144A		1,975,000		1,679
Condor Merger Sub, Inc. 7.375%, 2/15/30 144A		5,800,000		4,663
Consensus Cloud Solutions, Inc. 6.000%, 10/15/26 144A		725,000		678
6.500%, 10/15/28 144A		1,825,000		1,679
The Dun & Bradstreet Corp. 5.000%, 12/15/29 144A		1,175,000		1,006
Elastic NV 4.125%, 7/15/29 144A		2,500,000		2,019
Entegris Escrow Corp. 5.950%, 6/15/30 144A		1,150,000		1,061

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

172

High Yield Bond Portfolio


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Technology continued
Entegris, Inc. 3.625%, 5/1/29 144A		725,000		590
Fair Isaac Corp. 4.000%, 6/15/28 144A		625,000		567
Helios Software Holdings, Inc. 4.625%, 5/1/28 144A		1,800,000		1,368
Logan Merger Sub, Inc. 5.500%, 9/1/27 144A		2,875,000		1,546
Minerva Merger Sub, Inc. 6.500%, 2/15/30 144A		6,025,000		4,440
NCR Corp. 5.000%, 10/1/28 144A		875,000		746
5.125%, 4/15/29 144A		1,475,000		1,234
5.250%, 10/1/30 144A		1,425,000		1,176
5.750%, 9/1/27 144A		1,025,000		981
6.125%, 9/1/29 144A		650,000		608
ON Semiconductor Corp. 3.875%, 9/1/28 144A		675,000		589
Open Text Corp. 3.875%, 2/15/28 144A		800,000		686
3.875%, 12/1/29 144A		125,000		101
4.125%, 2/15/30 144A		800,000		642
4.125%, 12/1/31 144A		300,000		233
6.900%, 12/1/27 144A		450,000		450
Picard Midco, Inc. 6.500%, 3/31/29 144A		2,575,000		2,169
Rackspace Technology Global, Inc. 3.500%, 2/15/28 144A		1,825,000		1,061
5.375%, 12/1/28 144A		2,675,000		1,166
Roblox Corp. 3.875%, 5/1/30 144A		1,650,000		1,301
Rocket Software, Inc. 6.500%, 2/15/29 144A		3,575,000		2,818
Science Applications International Corp. 4.875%, 4/1/28 144A		500,000		462
Seagate HDD Cayman 9.625%, 12/1/32 144A		2,302,125		2,525
SS&C Technologies, Inc. 5.500%, 9/30/27 144A		3,600,000		3,371
Synaptics, Inc. 4.000%, 6/15/29 144A		575,000		484
Veritas US, Inc. / Veritas Bermuda, Ltd. 7.500%, 9/1/25 144A		2,250,000		1,550

Total				52,541


Utilities (2.4%)
AmeriGas Partners LP / AmeriGas Finance Corp. 5.625%, 5/20/24		425,000		413
5.750%, 5/20/27		550,000		511
5.875%, 8/20/26		2,350,000		2,232
Calpine Corp. 3.750%, 3/1/31 144A		1,250,000		1,006
4.500%, 2/15/28 144A		1,575,000		1,405


Corporate Bonds (95.7%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
4.625%, 2/1/29 144A		350,000		300
5.000%, 2/1/31 144A		200,000		168
5.125%, 3/15/28 144A		1,075,000		959
5.250%, 6/1/26 144A		299,000		285
NRG Energy, Inc. 3.875%, 2/15/32 144A		2,300,000		1,727
5.250%, 6/15/29 144A		775,000		684
5.750%, 1/15/28		800,000		751
6.625%, 1/15/27		625,000		620
Solaris Midstream Holdings LLC 7.625%, 4/1/26 144A		650,000		647
TransAlta Corp. 7.750%, 11/15/29		350,000		357
Vistra Operations Co. LLC 5.000%, 7/31/27 144A		1,100,000		1,021
5.500%, 9/1/26 144A		1,400,000		1,349
5.625%, 2/15/27 144A		1,925,000		1,826

Total				16,261


Total Corporate Bonds (Cost: $770,237)				660,104


Total Investments (96.1%) (Cost: $772,557)@				662,852

Other Assets, Less Liabilities (3.9%)				26,553

Net Assets (100.0%)				689,405

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

173

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%.

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $772,129 and the net unrealized depreciation of investments based on that cost was $109,277 which is comprised of $2,987 aggregate gross unrealized appreciation and $112,264 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-	$	-	$	2,111
All Others		637		-		-
Corporate Bonds
Communications		-		110,461		19
Energy		-		93,041		-
All Others		-		456,583		-

Total Assets:	$	637	$	660,085	$	2,130

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

174

Multi-Sector Bond Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Maximum total return, consistent with prudent investment management.	Invest in a diversified portfolio of fixed income instruments of varying maturities and quality, and in derivatives designed to replicate such securities.	$1.1 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC (“Mason Street Advisors”), the investment adviser for the Multi-Sector Bond Portfolio (the “Portfolio”), has engaged Pacific Investment Management Company LLC (“PIMCO”) to act as sub-adviser for the Portfolio. Normally, the Portfolio invests in a diversified portfolio of fixed income instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts or swap agreements. The average portfolio duration (a measure of the sensitivity of the Portfolio’s fixed income portfolio securities to changes in interest rates) of the Portfolio normally varies from three to eight years, based on the Portfolio’s forecast for interest rates. The Portfolio may invest all of its assets in high yield securities subject to a maximum of 10% of its total assets in securities rated below B by Moody’s or equivalently rated by S&P or Fitch or, if unrated, determined to be of comparable quality (so called “junk bonds”). The Portfolio may invest, without limitation, in securities denominated in foreign currencies and U.S. dollar denominated securities of foreign issuers. In addition, the Portfolio may invest without limit in fixed income securities of issuers that are economically tied to emerging securities markets.

MARKET OVERVIEW

Geopolitics took center stage during the reporting period as Russia invaded Ukraine in February 2022. Most assets experienced elevated volatility over the year as Russia’s invasion of Ukraine and the subsequent imposition of financial sanctions added stress to already fragile global supply chains and raised concerns about commodity supplies. This amplified inflationary fears and contributed to more hawkish stances from central banks, higher global yields and flattening curves.

Risk assets were challenged throughout the first half of the year, with both equities and bonds moving significantly lower given ongoing concerns about the conflict between Russia and Ukraine. Developed market central banks maintained their hawkish stance to combat historic levels of inflation. Most notably, in the U.S., the Consumer Price Index (“CPI”) increased 8.6% year-on-year in May 2022. In response to rising inflation, the Federal Reserve (the “Fed”) increased interest rates seven times during the year.

PORTFOLIO RESULTS

The Portfolio returned (15.39%) for the twelve months ended December 31, 2022. By comparison, the Portfolio’s benchmark, the Bloomberg^® Global Credit Hedged USD Index returned (13.75%). The Portfolio’s custom benchmark, comprised of 1/3 each: Bloomberg^® Global Aggregate—Credit Component ex Emerging Markets, Hedged USD; ICE BofA^® Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; J.P. Morgan^® EMBI Global (the “Equal Weighted Composite Index”), returned (13.42%). (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) According to Lipper^® Analytical Services, Inc., an independent mutual fund ranking agency, the average return in 2022 of the Multi-Sector Income Funds peer group was (12.28%).

The primary detractor from the Portfolio’s performance over the period was positioning within emerging markets debt, particularly security selection in Chinese property developers, which suffered a liquidity crisis and consequent default wave. Select exposure to Russian quasi-sovereign debt also drove underperformance amid geopolitical conflict. Additionally, exposure to and selection within European high yield financials detracted from performance.

175

Multi-Sector Bond Portfolio (unaudited)

The largest contributor to the Portfolio’s performance was an underweight to duration as rates rose, particularly underweight exposure to U.S. and U.K. interest rates. In addition to investing in bonds of different maturities, futures and interest rate swaps were used for duration management in the Portfolio. Within corporate credit, an underweight to investment grade industrials supported performance. During the year, the Portfolio’s credit exposure was partially obtained through the use of credit default swaps.

PORTFOLIO MANAGER OUTLOOK

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

Overall, we do not expect to make large changes in current positioning based on the outlook and valuations. Rather, we are focused on identifying asymmetric trades across the range of plausible scenarios to complement current positioning. Any recession could further challenge riskier assets such as equities and lower quality corporate credit. We believe the repricing across financial markets in 2022 has improved prospects for returns elsewhere, particularly in bonds. We are focusing on high quality fixed income sectors that offer more attractive yields than they have in several years.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Multi-Sector Bond Portfolio		-15.39	%		0.20	%		1.91	%
Bloomberg^® Global Credit Hedged USD Index		-13.75	%		0.53	%		2.26	%
1/3 each: Bloomberg^® Global Aggregate — Credit Component ex Emerging Markets, Hedged USD; ICE BofA^® Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; JP Morgan^® EMBI Global		-13.42	%		0.64	%		2.55	%
Lipper^® Variable Insurance Products (VIP) Multi-Sector Income Funds		-12.28	%		0.28	%		1.71	%

176

Multi-Sector Bond Portfolio (unaudited)

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 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.

Top 10 Holdings 12/31/22


Security Description	% of Net Assets
US Treasury, Various		7.1	%
Federal Home Loan Bank, Various		4.7	%
Federal Home Loan Mortgage Corp., Various		3.9	%
Petroleos Mexicanos, Various		1.8	%
Deutsche Bank AG, Various		1.3	%
Banca Monte dei Paschi di Siena SpA, Various		1.3	%
UniCredit SpA, Various		1.2	%
Republic of Indonesia, Various		1.2	%
HSBC Holdings PLC, Various		0.9	%
Credit Suisse AG, Various		0.8	%

Sector Allocation 12/31/22


Sector	% of Net Assets
Corporate Bonds		47.1	%
Short-Term Investments & Other Net Assets		18.2	%
Governments		16.2	%
Structured Products		13.5	%
Bank Loan Obligations		4.3	%
Municipal Bonds		0.6	%
Convertible Corporate Bonds		0.1	%
Telecommunications		0.0	%
Energy		0.0	%

Sector Allocation and Top 10 Holdings are subject to change.

177

Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Common Stocks (0.0%)	Shares/ Par ⁺		Value $ (000’s)

Energy (0.0%)
Constellation Oil - Class B *,Æ,ð		112,235		12

Total				12


Telecommunications (0.0%)
Intelsat Emergence SA *,Æ		9,427		226

Total				226

Total Common Stocks (Cost: $862)				238


Corporate Bonds (47.1%)

Basic Materials (0.9%)
ALROSA Finance SA 3.100%, 6/25/27 144A j		8,500,000		855
4.650%, 4/9/24 144A j		500,000		67
Georgia-Pacific LLC 8.875%, 5/15/31		200,000		244
INEOS Finance PLC 2.875%, 5/1/26 EUR §,∞		600,000		552
INEOS Styrolution Group GmbH 2.250%, 1/16/27 144A EUR ∞		200,000		173
2.250%, 1/16/27 EUR §,∞		3,200,000		2,775
MMK International Capital DAC 4.375%, 6/13/24 144A j		1,400,000		420
Sasol Financing USA LLC 5.875%, 3/27/24		500,000		489
Syngenta Finance NV 4.441%, 4/24/23 144A		200,000		199
4.892%, 4/24/25 144A		4,709,000		4,561

Total				10,335


Communications (5.9%)
Altice Financing SA 3.000%, 1/15/28 EUR §,∞		200,000		169
4.250%, 8/15/29 EUR §,∞		2,300,000		1,983
5.750%, 8/15/29 144A		5,400,000		4,247
Altice France Holding SA 6.000%, 2/15/28 144A		1,700,000		1,004
8.000%, 5/15/27 EUR §,∞		1,000,000		784
Altice France SA 4.000%, 7/15/29 144A EUR ∞		1,850,000		1,493
4.000%, 7/15/29 EUR §,∞		1,400,000		1,130
4.250%, 10/15/29 144A EUR ∞		400,000		320
5.500%, 10/15/29 144A		800,000		610
8.125%, 2/1/27 144A		3,200,000		2,915
AT&T, Inc. 3.500%, 9/15/53		237,000		160
3.650%, 9/15/59		6,663,000		4,460
3.800%, 12/1/57		115,000		79
CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%, 2/1/31 144A		2,500,000		2,005
4.500%, 6/1/33 144A		800,000		614


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Communications continued
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 4.200%, 3/15/28		1,700,000		1,563
4.800%, 3/1/50		200,000		145
5.125%, 7/1/49		3,300,000		2,495
5.375%, 4/1/38		100,000		83
CommScope, Inc. 4.750%, 9/1/29 144A		5,700,000		4,595
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A		1,800,000		1,668
Deutsche Telekom International Finance 8.750%, 6/15/30		475,000		560
DISH DBS Corp. 5.750%, 12/1/28 144A		5,200,000		4,150
Iliad Holding SASU 6.500%, 10/15/26 144A		2,700,000		2,504
Intelsat Jackson Holdings SA 6.500%, 3/15/30 144A		703,000		628
Intelsat Jackson Holdings SA - Series A - Contingent Value Rights *,Æ		986		7
Intelsat Jackson Holdings SA - Series B - Contingent Value Rights *,Æ		986		7
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 3.257%, 1/19/27 144A		500,000		447
Sprint Corp. 7.125%, 6/15/24		100,000		102
7.875%, 9/15/23		6,400,000		6,490
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A		1,300,000		1,281
Summer (BC) Bidco B LLC 5.500%, 10/31/26 144A		400,000		325
Time Warner Cable LLC 5.875%, 11/15/40		300,000		261
6.750%, 6/15/39		200,000		189
United Group BV 5.250%, 2/1/30 144A EUR ∞		1,000,000		767
UPC Broadband Finco BV 4.875%, 7/15/31 144A		4,800,000		3,993
Virgin Media Secured Finance PLC 4.125%, 8/15/30 GBP §,∞		1,200,000		1,106
4.250%, 1/15/30 GBP §,∞		3,200,000		2,993
VMED O2 UK Financing I PLC 3.250%, 1/31/31 EUR §,∞		1,200,000		1,018
4.000%, 1/31/29 144A GBP ∞		2,600,000		2,442
4.000%, 1/31/29 GBP §,∞		500,000		470
4.500%, 7/15/31 144A GBP ∞		400,000		368
4.750%, 7/15/31 144A		1,100,000		894

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

178

Multi-Sector Bond Portfolio


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Communications continued
Vodafone Group PLC 7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79		1,700,000		1,709

Total				65,318


Consumer, Cyclical (6.5%)
Adient Global Holdings, Ltd. 3.500%, 8/15/24 EUR §,∞		400,000		409
Air Canada Pass-Through Trust, Series 2020-2, Class A 5.250%, 10/1/30 144A		748,594		707
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A 4.800%, 2/15/29 144A		168,645		160
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700%, 4/1/28		172,719		149
American Airlines Pass-Through Trust, Series 2015-1, Class A 3.375%, 11/1/28		312,899		261
American Airlines Pass-Through Trust, Series 2016-1, Class AA 3.575%, 7/15/29		785,817		701
American Airlines Pass-Through Trust, Series 2017-2, Class AA 3.350%, 4/15/31		151,290		131
British Airways Pass-Through Trust, Series 2020-1, Class A 2.900%, 9/15/36 144A		393,609		320
4.250%, 5/15/34 144A		107,440		96
Caesars Entertainment, Inc. 5.750%, 7/1/25 144A		7,300,000		7,146
Ford Motor Credit Co. LLC 1.744%, 7/19/24 EUR ∞		200,000		204
2.330%, 11/25/25 EUR ∞		100,000		98
2.386%, 2/17/26 EUR ∞		100,000		97
2.492%, (Euribor 3 Month ACT/360 plus 0.730%), 11/15/23 EUR ∞		100,000		105
2.684%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR ∞		1,300,000		1,338
2.748%, 6/14/24 GBP ∞		700,000		799
3.021%, 3/6/24 EUR ∞		900,000		943
3.250%, 9/15/25 EUR ∞		300,000		304
3.625%, 6/17/31		2,900,000		2,278
3.815%, 11/2/27		300,000		264
4.134%, 8/4/25		200,000		187
4.389%, 1/8/26		800,000		745
4.535%, 3/6/25 GBP ∞		100,000		115
5.584%, 3/18/24		400,000		395
General Motors Financial Co., Inc. 5.100%, 1/17/24		1,200,000		1,195
IHO Verwaltungs GmbH 3.625%, 5/15/25 EUR §,∞,Þ		800,000		779
3.750%, 9/15/26 EUR §,∞		4,950,000		4,593
Jaguar Land Rover Automotive PLC 4.500%, 7/15/28 EUR §,∞		200,000		162
5.875%, 11/15/24 EUR §,∞		900,000		905
JetBlue Airways Corp. 4.000%, 5/15/34		782,213		695


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Cyclical continued
John Lewis PLC 4.250%, 12/18/34 GBP §,∞		1,000,000		725
Las Vegas Sands Corp. 3.900%, 8/8/29		100,000		84
Marks & Spencer PLC 4.500%, 7/10/27 GBP §,∞		300,000		311
6.000%, 6/12/25 GBP §,∞		1,000,000		1,162
Mattel, Inc. 3.375%, 4/1/26 144A		100,000		92
Melco Resorts Finance, Ltd. 4.875%, 6/6/25 144A		5,700,000		5,234
5.375%, 12/4/29 144A		700,000		560
Mitchells & Butlers Finance PLC 3.815%, (SONIO plus 0.569%), 12/15/30 GBP §,∞		922,834		999
5.219%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §		167,788		154
6.469%, 9/15/32 GBP §,∞		200,000		214
Nissan Motor Acceptance Corp. 2.000%, 3/9/26 144A		400,000		344
Nissan Motor Co., Ltd. 3.201%, 9/17/28 144A EUR ∞		500,000		469
4.345%, 9/17/27 144A		6,400,000		5,803
4.810%, 9/17/30 144A		500,000		424
Pinnacle Bidco PLC 5.500%, 2/15/25 EUR §,∞		100,000		93
6.375%, 2/15/25 GBP §,∞		400,000		419
Renault SA 2.375%, 5/25/26 EUR §,∞		4,300,000		4,135
Sands China, Ltd. 2.800%, 3/8/27		400,000		343
3.750%, 8/8/31		1,100,000		866
4.300%, 1/8/26		1,700,000		1,569
5.900%, 8/8/28		3,200,000		2,996
Southwest Airlines Co. 5.250%, 5/4/25		1,000,000		1,004
Toll Brothers Finance Corp. 4.350%, 2/15/28		100,000		91
4.875%, 3/15/27		1,200,000		1,146
Travis Perkins PLC 4.500%, 9/7/23 GBP §,∞		1,900,000		2,263
United Airlines Pass Through Trust, Series 2014-1, Class A 4.000%, 10/11/27		588,639		547
United Airlines Pass Through Trust, Series 2019-2, Class A 2.900%, 11/1/29		87,888		70
United Airlines Pass-Through Trust, Series 2020-1, Class A 5.875%, 4/15/29		2,292,112		2,260
US Airways Pass-Through Trust, Series 2012-1, Class A 5.900%, 4/1/26		593,886		574
Volkswagen Leasing GmbH 2.625%, 1/15/24 EUR §,∞		1,800,000		1,914
Wynn Macau, Ltd. 5.500%, 1/15/26 144A		200,000		183
5.500%, 1/15/26 §		500,000		459

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

179

Multi-Sector Bond Portfolio


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Cyclical continued
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125%, 10/1/29 144A		800,000		686
ZF Europe Finance BV 2.000%, 2/23/26 EUR §,∞		2,000,000		1,841
ZF Finance GmbH 2.750%, 5/25/27 EUR §,∞		4,300,000		3,866
3.750%, 9/21/28 EUR §,∞		2,000,000		1,795

Total				71,976


Consumer, Non-cyclical (3.9%)
AA Bond Co., Ltd. 4.875%, 7/31/43 GBP §,∞		1,200,000		1,373
AbbVie, Inc. 1.500%, 11/15/23 EUR ∞		400,000		423
Abertis Infraestructuras SA 1.625%, 7/15/29 EUR §,∞		500,000		438
1.875%, 3/26/32 EUR §,∞		600,000		498
3.000%, 3/27/31 EUR §,∞		600,000		557
3.375%, 11/27/26 GBP §,∞		2,100,000		2,297
Albion Financing 1 SARL / Aggreko Holdings, Inc. 5.250%, 10/15/26 EUR §,∞		1,600,000		1,489
6.125%, 10/15/26 144A		300,000		268
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas LuxCo 4 SARL 3.625%, 6/1/28 144A EUR ∞		1,400,000		1,186
Atlantia SpA 1.625%, 2/3/25 EUR §,∞		1,200,000		1,193
1.875%, 7/13/27 EUR §,∞		400,000		362
1.875%, 2/12/28 EUR §,∞		5,500,000		4,873
Bacardi, Ltd. 4.700%, 5/15/28 144A		2,900,000		2,768
BAT Capital Corp. 3.222%, 8/15/24		100,000		96
3.557%, 8/15/27		500,000		457
Bellis Acquisition Co. PLC 3.250%, 2/16/26 GBP §,∞		4,000,000		3,927
Centene Corp. 4.250%, 12/15/27		200,000		188
4.625%, 12/15/29		500,000		457
CHS / Community Health Systems, Inc. 8.000%, 3/15/26 144A		700,000		637
Constellation Brands, Inc. 3.700%, 12/6/26		200,000		190
CVS Pass-Through Trust 4.704%, 1/10/36 144A		356,318		320
5.926%, 1/10/34 144A		594,255		580
7.507%, 1/10/32 144A		59,439		62
DaVita, Inc. 4.625%, 6/1/30 144A		1,900,000		1,528
Imperial Brands Finance PLC 3.500%, 7/26/26 144A		200,000		183
6.125%, 7/27/27 144A		2,200,000		2,189
Loxam SAS 2.875%, 4/15/26 EUR §,∞		100,000		95
3.250%, 1/14/25 EUR §,∞		900,000		915
Market Bidco Finco PLC 4.750%, 11/4/27 144A EUR ∞		1,898,000		1,620


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Nexi SpA 2.125%, 4/30/29 EUR §,∞		3,700,000		3,202
Organon & Co. / Organon Foreign Debt Co-Issuer BV 2.875%, 4/30/28 EUR §,∞		3,900,000		3,648
Organon Finance 1 LLC 4.125%, 4/30/28 144A		1,100,000		974
Perrigo Finance Unlimited Co. 4.400%, 6/15/30		200,000		170
Q-Park Holding I BV 2.000%, 3/1/27 EUR §,∞		1,000,000		891
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A		500,000		402
Teva Pharmaceutical Finance Netherlands II BV 4.375%, 5/9/30 EUR ∞		2,000,000		1,762
4.500%, 3/1/25 EUR ∞		800,000		820

Total				43,038


Diversified (0.0%)
Stena International SA 6.125%, 2/1/25 144A		400,000		372

Total				372


Energy (6.9%)
Aker BP ASA 3.750%, 1/15/30 144A		400,000		352
Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.625%, 7/15/26 144A		100,000		97
Boardwalk Pipelines LP 3.400%, 2/15/31		200,000		167
CGG SA 7.750%, 4/1/27 EUR §,∞		200,000		173
8.750%, 4/1/27 144A		3,400,000		2,718
Cheniere Corpus Christi Holdings LLC 5.125%, 6/30/27		100,000		99
Cheniere Energy Partners LP 4.000%, 3/1/31		1,400,000		1,192
Continental Resources, Inc. 4.375%, 1/15/28		1,400,000		1,283
El Paso Natural Gas Co. LLC 8.375%, 6/15/32		200,000		226
Energy Transfer LP 2.900%, 5/15/25		100,000		94
3.600%, 2/1/23		100,000		100
3.750%, 5/15/30		200,000		176
4.950%, 5/15/28		1,200,000		1,151
5.000%, 5/15/50		200,000		160
5.250%, 4/15/29		100,000		97
6.050%, 6/1/41		100,000		94
6.500%, 2/1/42		300,000		297
6.625%, 10/15/36		500,000		501
7.500%, 7/1/38		1,700,000		1,806
EQT Corp. 6.625%, 2/1/25		5,500,000		5,513
Gray Oak Pipeline LLC 3.450%, 10/15/27 144A		500,000		442

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

180

Multi-Sector Bond Portfolio


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Energy continued
Greenko Solar Mauritius, Ltd. 5.550%, 1/29/25 144A		1,000,000		938
Kinder Morgan Energy Partners LP 6.550%, 9/15/40		2,382,000		2,387
Kinder Morgan, Inc. 7.750%, 1/15/32		1,216,000		1,367
Midwest Connector Capital Co. LLC 3.900%, 4/1/24 144A		200,000		194
MPLX LP 4.250%, 12/1/27		100,000		94
NGPL PipeCo LLC 7.768%, 12/15/37 144A		3,900,000		4,058
Noble Corp. PLC 11.000%, 2/15/28 144A		32,532		36
11.000%, 2/15/28		45,537		50
NuStar Logistics LP 5.625%, 4/28/27		1,400,000		1,309
6.000%, 6/1/26		200,000		193
Occidental Petroleum Corp. 5.875%, 9/1/25		700,000		697
Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%, 12/1/26 §,Þ		1,756,862		953
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		538
Pertamina Persero PT 6.500%, 11/7/48 144A		3,800,000		3,791
Petroleos de Venezuela SA 5.375%, 4/12/27 §,j		6,500,000		292
5.500%, 4/12/37 §,j		4,300,000		194
Petroleos Mexicanos 2.750%, 4/21/27 EUR §,∞		1,100,000		919
4.750%, 2/26/29 EUR §,∞		3,500,000		2,916
4.875%, 2/21/28 EUR §,∞		600,000		524
5.625%, 1/23/46		378,000		220
5.950%, 1/28/31		4,300,000		3,254
6.350%, 2/12/48		1,700,000		1,039
6.625%, 6/15/35		4,200,000		3,047
6.625%, 6/15/38		2,000,000		1,369
6.700%, 2/16/32		4,536,000		3,562
6.750%, 9/21/47		2,900,000		1,850
7.690%, 1/23/50		2,580,000		1,785
Petrorio Luxembourg SARL 6.125%, 6/9/26 144A		200,000		190
Plains All American Pipeline LP / PAA Finance Corp. 4.900%, 2/15/45		1,100,000		852
6.650%, 1/15/37		277,000		273
Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.838%, 9/30/27 144A		1,872,890		1,881
Regency Energy Partners LP / Regency Energy Finance Corp. 4.500%, 11/1/23		300,000		298
Rio Oil Finance Trust 9.250%, 7/6/24 144A		617,828		624
9.250%, 7/6/24 §		540,599		546
9.750%, 1/6/27 §		300,277		311
Sabine Pass Liquefaction LLC 4.500%, 5/15/30		700,000		649


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Energy continued
5.625%, 3/1/25		4,900,000		4,907
5.750%, 5/15/24		800,000		800
5.875%, 6/30/26		400,000		405
Santos Finance, Ltd. 3.649%, 4/29/31 144A		700,000		556
Southwestern Energy Co. 5.375%, 2/1/29		100,000		93
Tallgrass Energy Partners LP 5.500%, 1/15/28 144A		8,400,000		7,449
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.500%, 3/1/30		1,200,000		1,129
Western Midstream Operating, LP 3.350%, 2/1/25		1,200,000		1,135

Total				76,414


Financial (18.6%)
ADLER Group SA 1.875%, 1/14/26 EUR §,∞		1,100,000		471
2.750%, 11/13/26 EUR §,∞		1,400,000		592
ADLER Real Estate AG 2.125%, 2/6/24 EUR §,∞		2,288,000		2,143
3.000%, 4/27/26 EUR §,∞		4,900,000		3,614
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.150%, 2/15/24		3,600,000		3,480
3.650%, 7/21/27		500,000		452
4.450%, 4/3/26		900,000		859
4.625%, 10/15/27		500,000		464
4.875%, 1/16/24		1,200,000		1,189
Aircastle, Ltd. 2.850%, 1/26/28 144A		600,000		491
4.250%, 6/15/26		300,000		282
5.250%, 8/11/25 144A		2,400,000		2,308
Ally Financial, Inc. 3.050%, 6/5/23		400,000		395
8.000%, 11/1/31		1,371,000		1,415
Antares Holdings LP 2.750%, 1/15/27 144A		250,000		200
Athora Netherlands NV 2.375%, 5/17/24 EUR §,∞		700,000		723
7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,∞		200,000		208
Atrium European Real Estate, Ltd. 4.250%, 9/11/25 EUR §,∞		3,439,000		3,037
Aviation Capital Group LLC 5.500%, 12/15/24 144A		1,000,000		982
Avolon Holdings Funding, Ltd. 2.528%, 11/18/27 144A		2,173,000		1,737
Banca Monte dei Paschi di Siena SpA 1.875%, 1/9/26 EUR §,∞		300,000		275
2.625%, 4/28/25 EUR §,∞		3,300,000		3,187
3.625%, 9/24/24 EUR §,∞		3,800,000		3,847
5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,∞		7,100,000		6,066
8.000%, (5 Year EUR Annual Swap Rate plus 8.149%), 1/22/30 EUR §,∞		500,000		464
8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,∞		800,000		746

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

181

Multi-Sector Bond Portfolio


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
Banco Bilbao Vizcaya Argentaria SA 6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,∞		1,600,000		1,665
6.138%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.700%), 9/14/28		2,300,000		2,303
Banco Bradesco SA 2.850%, 1/27/23 144A		400,000		399
Banco BTG Pactual SA 4.500%, 1/10/25 144A		500,000		482
Banco de Sabadell SA 1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,∞		200,000		191
1.750%, 5/10/24 EUR §,∞		900,000		927
Banco do Brasil SA 4.625%, 1/15/25 144A		900,000		879
Banco Votorantim SA 4.500%, 9/24/24 §		200,000		194
Bank of America Corp. 3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		973,000		881
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 3/15/28 µ		4,500,000		3,963
Bank of Ireland Group PLC 6.253%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 9/16/26 144A		600,000		595
7.500%, (5 Year EUR Annual Swap Rate plus 7.924%), 5/19/25 EUR §,µ,∞		1,700,000		1,766
Barclays PLC 5.501%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 8/9/28		3,000,000		2,906
6.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.867%), 12/15/25 µ		500,000		456
7.437%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 3.500%), 11/2/33		500,000		524
BNP Paribas SA 1.904%, (US SOFR plus 1.609%), 9/30/28 144A		1,700,000		1,416
4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A		1,800,000		1,782
CaixaBank SA 6.750%, (5 Year EUR Annual Swap Rate plus 6.498%), 6/13/24 EUR §,µ,∞		200,000		209
Cantor Fitzgerald LP 4.875%, 5/1/24 144A		100,000		98
Chubb INA Holdings, Inc. 0.875%, 6/15/27 EUR ∞		200,000		187
Citigroup, Inc. 3.070%, (US SOFR plus 1.280%), 2/24/28		200,000		180
3.400%, 5/1/26		400,000		379
Corestate Capital Holding SA 3.500%, 4/15/23 EUR §,∞,j		700,000		100
CPI Property Group SA 1.625%, 4/23/27 EUR §,∞		700,000		532
Credit Agricole SA 1.907%, (US SOFR plus 1.676%), 6/16/26 144A		500,000		456


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
Credit Suisse AG 6.500%, 8/8/23 144A		7,400,000		7,156
6.500%, 8/8/23 §		1,700,000		1,644
DAE Sukuk DIFC, Ltd. 3.750%, 2/15/26 144A		1,000,000		948
Deutsche Bank AG 1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,∞		2,500,000		1,946
1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,∞		6,700,000		5,629
3.035%, (US SOFR plus 1.718%), 5/28/32		200,000		152
3.547%, (US SOFR plus 3.043%), 9/18/31		1,300,000		1,042
3.729%, (US SOFR plus 2.757%), 1/14/32		3,300,000		2,420
3.742%, (US SOFR plus 2.257%), 1/7/33		700,000		497
5.625%, (5 Year EUR Annual Swap Rate plus 6.000%), 5/19/31 EUR §,∞		2,600,000		2,715
5.882%, (US SOFR plus 5.438%), 7/8/31		400,000		345
Fairfax Financial Holdings, Ltd. 2.750%, 3/29/28 144A EUR ∞		500,000		466
2.750%, 3/29/28 EUR §,∞		1,200,000		1,120
Fidelity National Financial, Inc. 3.400%, 6/15/30		200,000		169
Freedom Mortgage Corp. 6.625%, 1/15/27 144A		500,000		389
7.625%, 5/1/26 144A		2,100,000		1,752
8.125%, 11/15/24 144A		3,560,000		3,275
8.250%, 4/15/25 144A		782,000		703
Globalworth Real Estate Investments, Ltd. 3.000%, 3/29/25 EUR §,∞		3,900,000		3,645
GLP Capital LP / GLP Financing II, Inc. 3.350%, 9/1/24		100,000		96
5.750%, 6/1/28		400,000		392
The Goldman Sachs Group, Inc. 2.125%, 9/30/24 EUR §,∞		1,200,000		1,256
3.375%, 3/27/25 EUR §,∞		200,000		213
Growthpoint Properties International Pty, Ltd. 5.872%, 5/2/23 144A		300,000		298
5.872%, 5/2/23 §		5,800,000		5,757
HSBC Holdings PLC 1.645%, (US SOFR plus 1.538%), 4/18/26		200,000		181
2.099%, (US SOFR plus 1.929%), 6/4/26		200,000		182
2.804%, (US SOFR plus 1.187%), 5/24/32		3,300,000		2,553
3.973%, (ICE LIBOR USD 3 Month plus 1.610%), 5/22/30		4,900,000		4,289
4.300%, 3/8/26		2,300,000		2,225
Huarong Finance 2019 Co., Ltd. 2.125%, 9/30/23 §		1,100,000		1,056
2.500%, 2/24/23 §		800,000		792
5.824%, (ICE LIBOR USD 3 Month plus 1.125%), 2/24/23 §		3,800,000		3,779
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		1,597
6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ		900,000		865
Intesa Sanpaolo SpA 3.250%, 9/23/24 144A		300,000		285
4.000%, 9/23/29 144A		200,000		171
5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,∞		4,050,000		3,576

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

182

Multi-Sector Bond Portfolio


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,∞		900,000		774
Jefferies Finance LLC / JFIN Co-Issuer Corp. 5.000%, 8/15/28 144A		1,500,000		1,224
Kaisa Group Holdings, Ltd. 9.375%, 6/30/24 §,j		400,000		54
9.750%, 9/28/23 §,j		600,000		81
10.500%, 1/15/25 §,j		1,100,000		149
10.875%, 7/23/23 §,j		400,000		54
11.250%, 4/16/25 §,j		3,500,000		475
11.650%, 6/1/26 §,j		1,000,000		136
Kennedy Wilson, Inc. 4.750%, 2/1/30		1,800,000		1,373
LeasePlan Corp. NV 2.875%, 10/24/24 144A		300,000		281
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		6,326
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		190
3.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.800%), 3/18/28		2,500,000		2,308
4.976%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/11/33		200,000		184
Logicor Financing SARL 3.250%, 11/13/28 EUR §,∞		600,000		539
Marsh & McLennan Cos., Inc. 1.349%, 9/21/26 EUR ∞		100,000		97
Morgan Stanley 4.000%, 7/23/25		3,600,000		3,515
Nationwide Building Society 4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		4,500,000		4,441
NatWest Group PLC 2.500%, 3/22/23 EUR §,∞		100,000		107
4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24		200,000		198
4.800%, 4/5/26		2,800,000		2,738
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29		3,700,000		3,501
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.625%), 12/29/25 µ		500,000		462
New Metro Global, Ltd. 4.500%, 5/2/26 §		1,700,000		1,144
NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,µ,∞		2,600,000		2,703
OMEGA Healthcare Investors, Inc. 4.500%, 1/15/25		100,000		97
4.950%, 4/1/24		100,000		99
OneMain Finance Corp. 3.500%, 1/15/27		1,100,000		911
4.000%, 9/15/30		700,000		522
6.125%, 3/15/24		2,500,000		2,418
6.875%, 3/15/25		1,900,000		1,825


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
7.125%, 3/15/26		1,400,000		1,331
Pacific Life Global Funding II 1.200%, 6/24/25 144A		200,000		181
Park Aerospace Holdings, Ltd. 4.500%, 3/15/23 144A		3,900,000		3,890
5.500%, 2/15/24 144A		112,000		111
RLJ Lodging Trust LP 3.750%, 7/1/26 144A		200,000		178
Santander UK Group Holdings PLC 2.896%, (US SOFR plus 1.475%), 3/15/32		800,000		618
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28		4,000,000		3,575
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 6/24/24 GBP §,µ,∞		1,390,000		1,611
SBB Treasury Oyj 0.750%, 12/14/28 EUR §,∞		700,000		476
Sberbank of Russia Via SB Capital SA 5.250%, 5/23/23 §,j		4,500,000		594
Seazen Group, Ltd. 6.000%, 8/12/24 §		200,000		154
Service Properties Trust 4.350%, 10/1/24		200,000		182
Societe Generale SA 7.375%, (USD 5 Year Swap Rate plus 4.302%), 10/4/23 144A µ		300,000		288
7.875%, (USD 5 Year Swap Rate plus 4.979%), 12/29/49 144A µ		200,000		198
Sunac China Holdings, Ltd. 5.950%, 4/26/24 §,j		2,000,000		423
6.650%, 8/3/24 §,j		600,000		127
7.250%, 6/14/22 §,j		2,600,000		533
8.350%, 4/19/23 §,j		1,600,000		345
Tesco Property Finance 3 PLC 5.744%, 4/13/40 GBP §,∞		92,080		104
Tesco Property Finance 6 PLC 5.411%, 7/13/44 GBP §,∞		2,560,067		2,780
TP ICAP PLC 5.250%, 1/26/24 GBP §,∞		3,700,000		4,363
Trust Fibra Uno 6.390%, 1/15/50 144A		200,000		161
UBS Group AG 4.703%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.050%), 8/5/27 144A		400,000		387
UniCredit SpA 2.569%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 9/22/26 144A		2,900,000		2,568
7.296%, (USD 5 Year Swap Rate plus 4.914%), 4/2/34 144A		5,700,000		5,224
7.830%, 12/4/23 144A		5,650,000		5,677
The Unique Pub Finance Co. PLC 7.395%, 3/28/24 GBP §,∞		177,280		212
Virgin Money UK PLC 3.125%, (6 Month GBP-LIBOR plus 2.569%), 6/22/25 GBP §,∞		100,000		114
3.375%, (1 Year GBP Swap Rate plus 2.145%), 4/24/26 GBP §,∞		100,000		111
4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,∞		500,000		561

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

183

Multi-Sector Bond Portfolio


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Financial continued
4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27 GBP §,∞		200,000		218
Vonovia Finance BV 5.000%, 10/2/23 144A		300,000		296
Wells Fargo & Co. 1.000%, 2/2/27 EUR §,∞		1,500,000		1,409
Weyerhaeuser Co. 7.375%, 3/15/32		424,000		469
Yango Justice International, Ltd. 7.500%, 4/15/24 §,j		4,200,000		111
7.875%, 9/4/24 §,j		600,000		16

Total				207,299


Industrial (2.0%)
Berry Global, Inc. 1.570%, 1/15/26		100,000		89
Constellation Oil Services Holding SA 3.000%, 12/31/26		100,335		59
DAE Funding LLC 1.550%, 8/1/24 144A		1,700,000		1,580
1.625%, 2/15/24 144A		1,000,000		949
2.625%, 3/20/25 144A		500,000		467
3.375%, 3/20/28 144A		700,000		620
3.375%, 3/20/28 §		200,000		177
Empresa de Transporte de Pasajeros Metro SA 4.700%, 5/7/50 §		1,400,000		1,173
Flex, Ltd. 3.750%, 2/1/26		700,000		661
Fortress Transportation & Infrastructure 5.500%, 5/1/28 144A		400,000		341
6.500%, 10/1/25 144A		4,818,000		4,530
GE Capital UK Funding Unlimited Co. 5.875%, 1/18/33 GBP ∞		800,000		980
General Electric Co. 4.125%, 9/19/35 EUR §,∞		500,000		527
Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A		283,863		275
The Manitowoc Co., Inc. 9.000%, 4/1/26 144A		6,200,000		5,814
Rolls-Royce PLC 4.625%, 2/16/26 EUR §,∞		1,600,000		1,657
5.750%, 10/15/27 144A		200,000		191
5.750%, 10/15/27 GBP §,∞		100,000		110
SMBC Aviation Capital Finance DAC 2.300%, 6/15/28 144A		200,000		164
Spirit Aerosystems, Inc. 9.375%, 11/30/29 144A		100,000		105
Standard Industries, Inc. 2.250%, 11/21/26 144A EUR ∞		1,300,000		1,183
2.250%, 11/21/26 EUR §,∞		1,300,000		1,183

Total				22,835


Technology (1.1%)
Broadcom, Inc. 2.450%, 2/15/31 144A		700,000		551
Dell International LLC / EMC Corp. 5.300%, 10/1/29		4,300,000		4,206
5.450%, 6/15/23		293,000		293
6.020%, 6/15/26		400,000		408


Corporate Bonds (47.1%)	Shares/ Par ⁺		Value $ (000’s)

Technology continued
8.100%, 7/15/36		162,000		182
NXP BV / NXP Funding LLC 4.875%, 3/1/24		1,700,000		1,687
5.350%, 3/1/26		1,600,000		1,591
Seagate HDD Cayman 4.125%, 1/15/31		650,000		507
9.625%, 12/1/32 144A		920,000		1,009
Ubisoft Entertainment SA 0.878%, 11/24/27 EUR §,∞		800,000		657
VMware, Inc. 4.500%, 5/15/25		300,000		294
4.650%, 5/15/27		1,400,000		1,355
4.700%, 5/15/30		100,000		93

Total				12,833


Utilities (1.3%)
Adani Electricity Mumbai, Ltd. 3.949%, 2/12/30 144A		300,000		227
Centrais Eletricas Brasileiras SA 4.625%, 2/4/30 144A		300,000		263
Edison International 5.750%, 6/15/27		100,000		100
Electricite de France SA 4.500%, 9/21/28 144A		900,000		852
FEL Energy VI SARL 5.750%, 12/1/40 §		3,049,035		2,609
Nakilat, Inc. 6.067%, 12/31/33 §		920,080		947
6.267%, 12/31/33 144A		464,429		481
National Fuel Gas Co. 5.200%, 7/15/25		300,000		298
NPC Ukrenergo 6.875%, 11/9/28 §		800,000		138
Pacific Gas & Electric Co. 2.100%, 8/1/27		100,000		85
2.500%, 2/1/31		100,000		78
2.950%, 3/1/26		100,000		92
3.150%, 1/1/26		1,600,000		1,487
3.250%, 6/15/23		100,000		99
3.300%, 3/15/27		200,000		178
3.300%, 12/1/27		500,000		441
3.300%, 8/1/40		2,700,000		1,828
3.450%, 7/1/25		300,000		284
3.500%, 6/15/25		1,500,000		1,415
3.750%, 7/1/28		100,000		89
4.200%, 6/1/41		100,000		74
4.250%, 8/1/23		200,000		199
4.250%, 3/15/46		100,000		70
4.450%, 4/15/42		300,000		223
4.550%, 7/1/30		500,000		453
Perusahaan Listrik Negara PT 3.000%, 6/30/30 144A		1,500,000		1,229

Total				14,239

Total Corporate Bonds (Cost: $646,435)				524,659

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

184

Multi-Sector Bond Portfolio


Convertible Corporate Bonds (0.1%)	Shares/ Par⁺		Value $ (000’s)

Financial (0.1%)
Corestate Capital Holding SA 1.375%, 11/28/22 EUR §,∞,j		5,700,000		984

Total				984

Total Convertible Corporate Bonds (Cost: $6,684)				984


Governments (16.2%)

Governments (16.2%)
Abu Dhabi Government International Bond 2.700%, 9/2/70 144A		3,700,000		2,299
2.700%, 9/2/70 §		900,000		559
3.875%, 4/16/50 §		1,500,000		1,269
Albania Government International Bond 3.500%, 6/16/27 144A EUR ∞		1,400,000		1,330
Arab Republic of Egypt 5.625%, 4/16/30 144A EUR ∞		1,550,000		1,147
5.625%, 4/16/30 EUR §,∞		1,700,000		1,257
7.500%, 2/16/61 144A		1,900,000		1,170
Argentine Republic Government International Bond 0.500%, 7/9/30		866,857		234
1.000%, 7/9/29		405,455		107
1.500%, 7/9/35		5,922,164		1,492
3.500%, 7/9/41		13,420,196		3,798
Australian Government 4.250%, 4/21/26 AUD §,∞		2,400,000		1,669
Banque Ouest Africaine de Developpement 2.750%, 1/22/33 144A EUR ∞		500,000		402
Brazilian Government International Bond 5.000%, 1/27/45		1,000,000		741
Colombia Government International Bond 5.000%, 6/15/45		6,000,000		4,082
5.200%, 5/15/49		200,000		136
Dominican Republic International Bond 4.875%, 9/23/32 144A		550,000		457
4.875%, 9/23/32 §		1,700,000		1,411
6.500%, 2/15/48 144A		2,800,000		2,303
6.500%, 2/15/48 §		2,800,000		2,303
6.875%, 1/29/26 §		500,000		505
Ecuador Government International Bond
0.000%, 7/31/30 144A		323,958		127
1.500%, 7/31/40 144A		1,225,800		500
2.500%, 7/31/35 144A		2,674,620		1,230
5.500%, 7/31/30 §		1,500,000		964
Egypt Government International Bond 6.375%, 4/11/31 EUR §,∞		3,300,000		2,447
7.500%, 2/16/61 §		800,000		493
Export-Import Bank of India 3.375%, 8/5/26 §		600,000		561
Federal Republic of Nigeria 7.625%, 11/28/47 §		700,000		449
7.696%, 2/23/38 §		600,000		406
7.875%, 2/16/32 §		2,800,000		2,105
Ghana Government International Bond 8.125%, 3/26/32 §		400,000		142
8.950%, 3/26/51 §		800,000		278
Ivory Coast Government International Bond 5.250%, 3/22/30 EUR §,∞		500,000		450
5.875%, 10/17/31 144A EUR ∞		300,000		268


Governments (16.2%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
6.625%, 3/22/48 144A EUR ∞		900,000		676
6.625%, 3/22/48 EUR §,∞		800,000		601
6.875%, 10/17/40 144A EUR ∞		400,000		321
6.875%, 10/17/40 EUR §,∞		100,000		80
Kingdom of Jordan 4.950%, 7/7/25 144A		300,000		287
5.850%, 7/7/30 144A		400,000		358
Morocco Government International Bond 4.000%, 12/15/50 144A		500,000		342
5.500%, 12/11/42 §		800,000		686
North Macedonia 3.675%, 6/3/26 144A EUR ∞		500,000		492
Oman Government International Bond 6.000%, 8/1/29 §		900,000		902
6.250%, 1/25/31 144A		2,300,000		2,313
6.500%, 3/8/47 §		500,000		455
6.750%, 1/17/48 §		4,800,000		4,491
Panama Government International Bond 6.700%, 1/26/36		1,900,000		1,979
8.125%, 4/28/34		100,000		119
Provincia de Buenos Aires 37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,∞		740,000		2
Republic of Belarus Ministry of Finance 5.875%, 2/24/26 144A j		600,000		246
Republic of Indonesia 0.900%, 2/14/27 EUR ∞		1,700,000		1,596
1.400%, 10/30/31 EUR ∞		1,900,000		1,581
1.450%, 9/18/26 EUR ∞		700,000		681
3.375%, 7/30/25 144A EUR ∞		800,000		848
3.750%, 6/14/28 144A EUR ∞		1,900,000		1,971
3.750%, 6/14/28 EUR §,∞		2,200,000		2,283
4.625%, 4/15/43 §		2,700,000		2,433
5.125%, 1/15/45 §		1,800,000		1,737
Republic of Paraguay 5.600%, 3/13/48 §		600,000		523
6.100%, 8/11/44 §		300,000		288
Republic of Peru 3.300%, 3/11/41		2,700,000		1,963
Republic of Serbia 1.650%, 3/3/33 144A EUR ∞		700,000		453
Republic of South Africa Government International Bond 4.850%, 9/30/29		1,200,000		1,068
4.875%, 4/14/26		600,000		580
5.000%, 10/12/46		500,000		349
5.750%, 9/30/49		4,500,000		3,293
Romanian Government International Bond 2.000%, 4/14/33 144A EUR ∞		1,400,000		958
2.875%, 4/13/42 144A EUR ∞		500,000		299
4.125%, 3/11/39 EUR §,∞		1,500,000		1,143
Russian Federation 4.250%, 6/23/27 144A j		200,000		62
4.250%, 6/23/27 §,j		1,000,000		310
5.250%, 6/23/47 144A j		200,000		66
5.250%, 6/23/47 §,j		2,400,000		792
Saudi International Bond 4.500%, 10/26/46 §		9,300,000		8,242

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

185

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Governments (16.2%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
Sri Lanka Government International Bond 7.550%, 3/28/30 §,j		1,600,000		495
7.850%, 3/14/29 §,j		500,000		155
State Agency of Roads of Ukraine 6.250%, 6/24/30 §		600,000		102
State of Minas Gerais 5.333%, 2/15/28 §		120,000		116
State of Qatar 4.400%, 4/16/50 144A		1,200,000		1,098
4.400%, 4/16/50 §		2,400,000		2,195
4.500%, 4/23/28 §		1,100,000		1,106
4.817%, 3/14/49 §		800,000		778
5.103%, 4/23/48 §		1,200,000		1,205
Turkey Government International Bond 4.875%, 4/16/43		2,800,000		1,816
5.750%, 5/11/47		4,400,000		2,992
Ukraine Government International Bond 4.375%, 1/27/32 144A EUR ∞		1,600,000		302
4.375%, 1/27/32 EUR §,∞		1,700,000		321
6.750%, 6/20/28 144A EUR ∞		600,000		115
6.876%, 5/21/31 144A		900,000		170
7.375%, 9/25/34 §		300,000		56
8.994%, 2/1/26 144A		1,000,000		220
United Mexican States 2.125%, 10/25/51 EUR ∞		1,000,000		581
3.771%, 5/24/61		5,400,000		3,410
US Treasury 1.875%, 8/31/24 b		7,310,000		6,992
2.125%, 3/31/24 b		3,970,000		3,846
2.125%, 11/30/24 b		3,400,000		3,255
2.250%, 11/15/24		15,910,000		15,280
2.375%, 8/15/24 b		3,700,000		3,570
2.500%, 1/31/24		10,590,000		10,340
2.750%, 2/15/24 b		8,700,000		8,512
2.875%, 11/30/23 b		4,230,000		4,161
4.000%, 11/15/42		19,800,000		19,385
Venezuela Government International Bond 6.000%, 12/9/49 §,j		32,000		2
7.000%, 3/31/38 §,j		204,000		17
7.650%, 4/21/25 §,j		1,955,000		156
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		115

Total				179,957

Total Governments (Cost: $226,213)				179,957


Municipal Bonds (0.6%)

Municipal Bonds (0.6%)
American Municipal Power, Inc. 7.834%, 2/15/41 RB		100,000		122
Bay Area Toll Authority, California, Series 2010 6.918%, 4/1/40 RB		200,000		234
City of Riverside California Electric Revenue 7.605%, 10/1/40 RB		200,000		242
Golden State Tobacco Securitization Corp. 3.850%, 6/1/50 RB		3,030,000		2,679


Municipal Bonds (0.6%)	Shares/ Par⁺		Value $ (000’s)

Municipal Bonds continued
Irvine Ranch California Water District 6.622%, 5/1/40 RB		100,000		112
Los Angeles County California Public Works Financing Authority 7.618%, 8/1/40 RB		200,000		245
Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB		100,000		112
Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB		96,000		104
New York City Transitional Finance Authority 5.508%, 8/1/37 RB		300,000		308
New York State Urban Development Corp. 5.770%, 3/15/39 RB		100,000		103
Port Authority of New York & New Jersey, Series 165 5.647%, 11/1/40 RB		1,100,000		1,149
Port Authority of New York & New Jersey, Series 168 4.926%, 10/1/51 RB		200,000		188
State of Illinois 6.630%, 2/1/35 GO		245,000		248
6.725%, 4/1/35 GO		95,000		97
7.350%, 7/1/35 GO		185,714		195
Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB		800,000		805

Total Municipal Bonds (Cost: $6,884)				6,943


Structured Products (13.5%)

Asset Backed Securities (8.3%)
ABFC Trust, Series 2007-WMC1, Class A1A 5.639%, (ICE LIBOR USD 1 Month plus 1.250%), 6/25/37		8,401,753		5,806
Accredited Mortgage Loan Trust, Series 2005-3, Class M3 5.109%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35		97,344		96
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1 5.289%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34		54,268		48
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2 5.184%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35		37,596		34
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4 5.364%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35		14,118		14
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/36		7,110,054		1,883
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2 5.389%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35		72,198		67

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

186

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Structured Products (13.5%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1 5.259%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34		10,040		10
Ares European CLO VI DAC, Series 2013-6A, Class ARR 1.988%, (Euribor 3 Month ACT/360 plus 0.610%), 4/15/30 144A EUR ∞		494,180		514
Ares European CLO, Series 10A, Class AR 2.158%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		1,100,000		1,142
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4 5.289%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35		91,993		89
Aurium CLO I DAC, Series 2019-1A, Class ARR 3.152%, (Euribor 3 Month ACT/360 plus 1.050%), 3/23/32 144A EUR ∞		250,000		261
Bain Capital Euro CLO, Series 2018-2A, Class AR 2.196%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ∞		300,000		312
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1 5.639%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37		55,916		55
Cairn CLO BV, Series 2014-A4, Class ARRR 2.178%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ∞		296,033		308
Cairn CLO X BV, Series 2018-10A, Class AR 2.158%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞		700,000		732
Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R 2.078%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ∞		899,590		937
Carrington Mortgage Loan Trust, Series 2005-FRE1, Class M3 5.154%, (ICE LIBOR USD 1 Month plus 0.765%), 12/25/35		8,016,000		5,913
Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C 4.809%, (ICE LIBOR USD 1 Month plus 0.420%), 12/25/36		90,966		89
Countrywide Alternative Loan Trust, Series 2006-5, Class M1 4.914%, (ICE LIBOR USD 1 Month plus 0.525%), 8/25/36		1,500,000		1,422
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4 5.964%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34		72,041		71
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6 4.740%, (AFC), 10/25/35		10		–	π
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4 5.089%, (ICE LIBOR USD 1 Month plus 0.700%), 3/25/36		77,367		70


Structured Products (13.5%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5 4.486%, (AFC), 7/25/36 S		85,745		76
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A 4.529%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37		369,771		337
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3 4.969%, (ICE LIBOR USD 1 Month plus 0.580%), 8/25/36		1,829		2
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2 4.869%, (ICE LIBOR USD 1 Month plus 0.480%), 2/25/37		900,000		771
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3 4.529%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37		8,979		9
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A 5.229%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47		1,161,478		1,117
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A 4.589%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47		749,266		637
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1 5.489%, (ICE LIBOR USD 1 Month plus 1.100%), (AFC), 5/25/47 144A		1,046,580		790
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1 4.598%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32		2,128		2
CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR 2.028%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ∞		800,000		828
Ellington Loan Acquisition Trust, Series 2007-2, Class A1 5.439%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A		195,955		185
Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR 2.122%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ∞		300,000		311
Fremont Home Loan Trust, Series 2005-2, Class M4 5.319%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35		300,000		266
GSAA Home Equity Trust, Series 2006-17, Class A1 4.509%, (ICE LIBOR USD 1 Month plus 0.120%), 11/25/36		46,780		12
GSAMP Trust, Series 2004-WF, Class M2 6.039%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34		13,402		13
GSAMP Trust, Series 2007-FM2, Class A2B 4.479%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37		154,450		93

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

187

Multi-Sector Bond Portfolio


Structured Products (13.5%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
GSAMP Trust, Series 2007-NC1, Class A2A 4.439%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46		12,343		6
Harvest CLO XX DAC, Series 2020-A, Class AR 2.136%, (Euribor 3 Month ACT/360 plus 0.680%), 10/20/31 144A EUR ∞		600,000		622
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4 4.729%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37		500,000		436
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4 5.169%, (ICE LIBOR USD 1 Month plus 0.780%), 11/25/35		155,821		138
IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2 4.549%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37		319,999		170
Invesco Euro CLO III DAC, Series 3A, Class A 2.298%, (Euribor 3 Month ACT/360 plus 0.920%), 7/15/32 144A EUR ∞		500,000		514
JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class M1 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/37		400,000		373
KKR Financial CLO, Ltd., Series 9, Class AR2 5.029%, (ICE LIBOR USD 3 Month plus 0.950%), 7/15/30 144A		2,041,970		2,000
Laurelin DAC, Series 2016-1A, Class ARR 2.176%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ∞		400,000		414
LCM XV LP, Series 2015-A, Class AR2 5.243%, (ICE LIBOR USD 3 Month plus 1.000%), 7/20/30 144A		1,733,694		1,703
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4 4.989%, (ICE LIBOR USD 1 Month plus 0.600%), 2/25/36		53,546		44
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4 4.929%, (ICE LIBOR USD 1 Month plus 0.540%), 5/25/46		278,698		92
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/36		1,032,916		593
Madison Park Euro Funding XIV DAC, Series 14A, Class A1R 2.178%, (Euribor 3 Month ACT/360 plus 0.800%), 7/15/32 144A EUR ∞		300,000		310
Man GLG EURO CLO III DAC, Series 2021-3A, Class AR 2.058%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ∞		375,488		392
Man GLG EURO CLO, Series 2022-6A, Class AR 2.188%, (Euribor 3 Month ACT/360 plus 0.810%), 10/15/32 144A EUR ∞		299,832		310


Structured Products (13.5%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
Marathon CLO, Ltd., Series 2017-9A, Class A1AR 5.229%, (ICE LIBOR USD 3 Month plus 1.150%), 4/15/29 144A		1,201,992		1,188
Marble Point CLO X, Ltd., Series 2017-1A, Class AR 5.119%, (ICE LIBOR USD 3 Month plus 1.040%), 10/15/30 144A		5,200,000		5,087
MASTR Asset Backed Securities Trust, Series 2004-OPT1, Class M1 5.169%, (ICE LIBOR USD 1 Month plus 0.780%), 2/25/34 Σ		723,598		682
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1 5.289%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34		83,098		80
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1 4.689%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/36		8,940,159		7,916
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2 4.589%, (ICE LIBOR USD 1 Month plus 0.200%), 8/25/36		1,996,893		606
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5 4.539%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36		846,978		272
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1 4.839%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47		712,763		425
MF1, Series 2022-FL8, Class A 5.176%, (US 30 Day Average SOFR plus 1.350%), 2/19/37 144A		1,000,000		958
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4 5.259%, (ICE LIBOR USD 1 Month plus 0.870%), 9/25/35		5,956,056		4,860
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ 4.969%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35		784,058		772
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2 5.094%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35		162,120		149
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5 5.379%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35		127,006		124
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C 4.709%, (ICE LIBOR USD 1 Month plus 0.320%), 9/25/36		59,537		26
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C 4.529%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36		54,852		26

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

188

Multi-Sector Bond Portfolio


Structured Products (13.5%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C 4.639%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37		54,610		24
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1 5.964%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32		7,986		8
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1 5.739%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33		16,064		16
Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3 4.619%, (ICE LIBOR USD 1 Month plus 0.230%), 4/25/37		2,989,375		1,637
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B 4.549%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37		143,089		141
Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR 2.196%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ∞		1,200,000		1,243
Popular Mortgage Pass-Through Trust, Series 2006-A, Class M1 4.974%, (ICE LIBOR USD 1 Month plus 0.585%), (AFC), 2/25/36		40,638		40
RAAC Series, Series 2007-RP4, Class A 4.739%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A		168,714		150
Renaissance Home Equity Loan Trust, Series 2006-4, Class AF6 5.340%, 1/25/37 S		1,514,158		487
Residential Asset Securities Corp., Series 2007-KS3, Class AI4 4.729%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37		1,354,342		1,263
Saranac CLO, Ltd., Series 2018-6A, Class A1R 5.873%, (ICE LIBOR USD 3 Month plus 1.140%), 8/13/31 144A		2,900,000		2,803
Saxon Asset Securities Trust, Series 2006-1, Class M1 4.854%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36		191,217		181
Sculptor CLO XXV, Ltd., Series 25A, Class A1 5.349%, (ICE LIBOR USD 3 Month plus 1.270%), 1/15/31 144A		2,100,000		2,056
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2 5.349%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36		34,669		33
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR2 5.315%, (ICE LIBOR USD 3 Month plus 0.990%), 1/23/29 144A		363,822		361
Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR 5.338%, (ICE LIBOR USD 3 Month plus 0.980%), 7/25/30 144A		5,200,000		5,109


Structured Products (13.5%)	Shares/ Par +		Value $ (000’s)

Asset Backed Securities continued
Soundview Home Loan Trust, Series 2006-2, Class M2 4.914%, (ICE LIBOR USD 1 Month plus 0.525%), 3/25/36		163,019		161
Soundview Home Loan Trust, Series 2006-OPT2, Class A4 4.949%, (ICE LIBOR USD 1 Month plus 0.560%), 5/25/36		113,813		108
Soundview Home Loan Trust, Series 2006-OPT3, Class M1 4.854%, (ICE LIBOR USD 1 Month plus 0.465%), 6/25/36		6,659,136		5,662
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 5.364%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35		97,075		94
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1 5.364%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33		9,755		10
Structured Asset Investment Loan Trust, Series 2005-7, Class M2 5.154%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35		265,407		250
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3 4.539%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36		6,600		6
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4 4.729%, (ICE LIBOR USD 1 Month plus 0.340%), 12/25/36		133,727		129
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6 4.809%, (ICE LIBOR USD 1 Month plus 0.420%), 2/25/37		51,140		49
Toro European CLO 6 DAC, Series 6A, Class AR 2.239%, (Euribor 3 Month ACT/360 plus 0.920%), 1/12/32 144A EUR ∞		500,000		514
Toro European CLO, Series 7A , Class ARE 2.572%, (Euribor 3 Month ACT/360 plus 0.810%), 2/15/34 144A EUR ∞		250,000		257
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A 4.649%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A		424,927		419
Venture CDO, Ltd., Series 2018-33A, Class A1LR 5.139%, (ICE LIBOR USD 3 Month plus 1.060%), 7/15/31 144A		1,000,000		983
Venture XIV CLO, Ltd., Series 2013-14A, Class ARR 5.766%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A		4,862,418		4,801
Venture XXV CLO, Ltd., Series 2016-25A, Class ARR 5.263%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/29 144A		2,310,002		2,281

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

189

Multi-Sector Bond Portfolio


Structured Products (13.5%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
Venture XXVIII CLO, Ltd., Series 2017-28A, Class A1R 5.233%, (ICE LIBOR USD 3 Month plus 0.990%), 7/20/30 144A		200,000		196
Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R 5.283%, (ICE LIBOR USD 3 Month plus 1.040%), 9/15/30 144A		298,794		293
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A 4.539%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37		106,395		91
Wellfleet CLO, Ltd., Series 2015-1A, Class AR4 5.133%, (ICE LIBOR USD 3 Month plus 0.890%), 7/20/29 144A		1,383,445		1,362
Wellfleet CLO, Ltd., Series 2017-1, Class 1A 5.133%, (ICE LIBOR USD 3 Month plus 0.890%), 4/20/29 144A		2,750,847		2,711

Total				92,539


Mortgage Securities (5.2%)
BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC, Class A 2.627%, 1/15/32 144A		2,500,000		2,142
Banc of America Funding Trust, Series 2005-H, Class 5A1 4.245%, (CSTR), 11/20/35		73,953		65
Banc of America Funding Trust, Series 2006-J, Class 4A1 4.273%, (CSTR), 1/20/47		27,339		25
Banc of America Funding Trust, Series 2007-6, Class A1 4.679%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37 S		40,314		37
BCAP LLC Trust, Series 2009-RR14, Class 2A2 3.280%, (CSTR), 7/26/36 144A		16,749		14
BCAP LLC Trust, Series 2009-RR5, Class 3A3 6.250%, (CSTR), 8/26/36 144A		2,069,732		1,004
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A 3.883%, (CSTR), 7/25/34		1,001		1
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 3.668%, (CSTR), 11/25/36		124,056		57
Bear Stearns ARM Trust, Series 2007-4, Class 22A1 3.696%, (CSTR), 6/25/47		53,889		48
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37		1,687		2
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA 3.871%, (CSTR), 9/25/37		6,487		6
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A 3.907%, (CSTR), 9/25/37		10,498		9


Structured Products (13.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A 3.223%, (CSTR), 3/25/37		291,125		242
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 5.750%, 1/25/35		9,884		9
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1 6.000%, 3/25/35		259,581		126
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 5.013%, (ICE LIBOR USD 1 Month plus 0.660%), 11/20/35		3,817		3
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 3.528%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		10,617		10
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36		110,562		67
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8 5.500%, 2/25/35		94,069		90
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 6.500%, 8/25/32		816		1
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13 5.500%, 11/25/35		150,010		90
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37		105,075		40
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1 4.889%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36		353,064		130
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 3.131%, (CSTR), 5/25/36		6,287		6
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B 4.543%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46		7,059		7
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A 4.548%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46		21,633		17
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1 4.773%, (ICE LIBOR USD 1 Month plus 0.420%), 5/20/46		283,855		233
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A 4.563%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46		6,799		5
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 6.000%, 5/25/37		215,175		104

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

190

Multi-Sector Bond Portfolio


Structured Products (13.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2007-AL1, Class A1 4.639%, (ICE LIBOR USD 1 Month plus 0.250%), 6/25/37		3,336,136		2,648
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1 4.669%, (ICE LIBOR USD 1 Month plus 0.280%), 4/25/47		24,560		21
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-22, Class 3A1 3.375%, (CSTR), 10/25/35		9,032		7
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB8, Class 1A1 3.527%, (CSTR), 12/20/35		1,307		1
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-16, Class 2A1 6.500%, 11/25/36		14,287		6
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-9, Class A1 6.000%, 5/25/36		98,662		49
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A1 3.008%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		33,963		11
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A2 4.929%, (ICE LIBOR USD 1 Month plus 0.540%), 4/25/46		900,007		257
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 3A1 3.537%, (CSTR), 3/25/37		5,137		4
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 6.500%, 4/25/33		293		–	π
Credit Suisse Mortgage Trust, Series 2014-6R, Class 3A2 3.635%, (CSTR), 9/27/35 144A		167,760		139
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 5.500%, 12/25/35		307,855		260
EMF-NL BV, Series 2008-APRX, Class A2 2.178%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,∞		75,600		77
Eurosail-NL BV, Series 2007-NL2X, Class A 2.878%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,∞		26,224		28
Federal Home Loan Mortgage Corp. 5.000%, 11/1/52		21,972,780		21,669
5.500%, 12/1/52		21,477,407		21,535
Federal National Mortgage Association, Series 2003-W6, Class F 4.366%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42		14,447		14
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 5.750%, 5/25/37		161,578		73


Structured Products (13.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A 3.144%, 12/10/36 144A		1,000,000		934
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 3.955%, (CSTR), 9/25/35		1,138		1
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 6.000%, 2/25/36		71,980		37
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 3.796%, (CSTR), 1/25/36		976		1
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 3.466%, (CSTR), 3/25/47		6,642		4
HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A 4.959%, (ICE LIBOR USD 1 Month plus 0.620%), (AFC), 11/19/35		6,767		5
HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A 4.819%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35		9,432		9
HomeBanc Mortgage Trust, Series 2005-1, Class A1 4.889%, (ICE LIBOR USD 1 Month plus 0.500%), 3/25/35		3,196		3
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A 4.829%, (ICE LIBOR USD 1 Month plus 0.440%), 11/25/35		818,845		756
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1 3.833%, (CSTR), 10/25/34		14,131		13
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A 4.869%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35		1,177		1
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A 4.989%, (ICE LIBOR USD 1 Month plus 0.600%), 7/25/35		8,181		7
JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1 3.615%, (CSTR), 10/25/35		6,397		5
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 3.570%, (CSTR), 7/25/35		4,236		4
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 3.169%, (CSTR), 6/25/37		31,607		24
Luminent Mortgage Trust, Series 2006-6, Class A1 4.789%, (ICE LIBOR USD 1 Month plus 0.400%), 10/25/46		710,707		612
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A 2.847%, (CSTR), 2/25/36		1,022		1
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 3.455%, (CSTR), 5/25/36		7,318		7

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

191

Multi-Sector Bond Portfolio


Structured Products (13.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A3 1.198%, (AFC), 7/25/55 144A		825,109		662
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1 4.038%, (CSTR), 8/25/35		1,263		1
Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1 4.769%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/36		4,300		4
Residential Accredit Loans, Inc., Series 2006- QA8, Class A1 4.769%, (ICE LIBOR USD 1 Month plus 0.380%), 9/25/36		12,521		11
Residential Accredit Loans, Inc., Series 2007- QA1, Class A1 4.669%, (ICE LIBOR USD 1 Month plus 0.280%), 1/25/37		4,248		4
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37		3,298,230		874
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 4.709%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35		34,131		31
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		233,375		184
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1 4.749%, (ICE LIBOR USD 1 Month plus 0.360%), (AFC), 7/25/46		147,728		120
Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1 5.039%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35		5,881		5
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1 3.952%, (SONIO/N plus 1.144%), 10/20/51 144A GBP ∞		1,258,600		1,511
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 3.452%, (CSTR, AFC), 2/25/33		527		1
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.672%, (CSTR), 10/25/36		14,956		13
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 3.122%, (CSTR), 3/25/36		97,559		87
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 3.683%, (CSTR), 8/25/36		6,317		6
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 3.211%, (CSTR), 2/25/37		2,469		2


Structured Products (13.5%)	Shares/ Par ⁺		Value $ (000’s)

Mortgage Securities continued
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2 2.748%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		241,480		186
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 3.563%, (CSTR), 7/25/37		24,162		21
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 2.755%, (CSTR), 4/25/36		25,496		24
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 4.414%, (CSTR), 11/25/37		19,015		16

Total				57,576


Total Structured Products
(Cost: $155,316)				150,115


Bank Loan Obligations (4.3%)

Bank Loan Obligations (4.3%)
Adient U.S. LLC, 7.934%, (ICE LIBOR USD 1 Month plus 3.250%), 4/10/28		6,599,500		6,519
Albion Acquisitions, Ltd., 5.211%, (Euribor 3 Month ACT/360 plus 5.250%), 8/17/26 EUR ∞		1,400,000		1,460
Altice Financing SA, 7.434%, (ICE LIBOR USD 3 Month plus 2.750%), 1/31/26		1,160,305		1,114
Altice France SA, 7.434%, (ICE LIBOR USD 3 Month plus 2.750%), 7/31/25		192,366		182
AmSurg Corp., 9.184%, (CME Term SOFR 1 Month plus 4.500%), 4/30/28		331,115		263
Avolon TLB Borrower 1 LLC, 6.934%, (ICE LIBOR USD 1 Month plus 2.250%), 12/1/27		1,176,000		1,172
Casino Guichard Perrachon SA, 3.961%, (Euribor 3 Month ACT/360 plus 4.000%), 8/31/25 EUR ∞		1,000,000		900
Charter Communications Operating LLC, 6.434%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27		3,346,582		3,264
CommScope, Inc., 7.934%, (ICE LIBOR USD 3 Month plus 3.250%), 4/6/26		483,750		455
Connect Finco SARL, 8.184%, (ICE LIBOR USD 1 Month plus 3.500%), 12/11/26		1,170,000		1,155
Envision Healthcare Corp., 12.559%, (CME Term SOFR 1 Month plus 15.750%), 4/30/27 W		200,000		194
Grifols SA, 2.211%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR ∞		1,850,815		1,863
Hilton Worldwide Finance LLC, 6.434%, (ICE LIBOR USD 1 Month plus 1.750%), 6/22/26		1,120,295		1,116
INEOS Quattro Finance 2 PLC, 7.434%, (ICE LIBOR USD 1 Month plus 2.750%), 1/29/26		2,158,068		2,117
INEOS Quattro Holdings UK, Ltd., 2.711%, (Euribor 3 Month ACT/360 plus 2.750%), 1/29/26 EUR ∞		1,100,000		1,098
Intelsat Jackson Holdings SA, 8.934%, (CME Term SOFR 6 Month plus 4.250%), 2/1/29		182,904		176
Lumen Technologies, Inc., 6.934%, (ICE LIBOR USD 1 Month plus 2.250%), 3/15/27		5,228,325		4,958

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

192

Multi-Sector Bond Portfolio


Bank Loan Obligations (4.3%)	Shares/ Par ⁺		Value $ (000’s)

Bank Loan Obligations continued
Setanta Aircraft Leasing DAC, 6.684%, (ICE LIBOR USD 3 Month plus 2.000%), 11/5/28		4,000,000		3,974
Sigma Bidco BV, 3.461%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR ∞		400,000		369
SOCAR Turkey Energy, Inc., 3.411%, (Euribor 3 Month ACT/360 plus 3.450%), 8/17/26 EUR ∞		5,800,000		5,821
Standard Industries, Inc., 6.934%, (ICE LIBOR USD 6 Month plus 2.500%), 9/22/28		1,197,475		1,182
Summer BC Holdco B SARL, 9.184%, (ICE LIBOR USD 1 Month plus 4.500%), 12/4/26		987,500		913
WP/AP Telecom Holdings IV BV, 3.961%, (Euribor 3 Month ACT/360 plus 4.000%), 3/30/29 EUR ∞		5,800,000		5,942
Ziggo Financing Partnership BV, 7.184%, (ICE LIBOR USD 1 Month plus 2.500%), 4/30/28		1,555,228		1,514


Total Bank Loan Obligations
(Cost: $50,901)				47,721


Short-Term Investments (15.4%)

Financial (0.1%)
Corestate Capital Holding SA ð 8.000%, 4/15/23 EUR ∞,Æ		200,000		214
National Bank Hungary 0.010%, 1/3/23 HUF ∞		437,000,000		1,172

Total				1,386


Short-Term Investments (15.4%)	Shares/ Par ⁺		Value $ (000’s)

Governments (5.1%)
Federal Home Loan Bank 4.320%, (US SOFR plus 0.040%), 1/6/23		21,500,000		21,500
4.320%, (US SOFR plus 0.020%), 1/10/23		10,700,000		10,700
4.340%, (US SOFR plus 0.040%), 2/10/23		10,800,000		10,800
4.345%, (US SOFR plus 0.045%), 2/23/23		9,700,000		9,701
US Treasury 0.010%, 3/2/23 b		3,574,000		3,549

Total				56,250


Repurchase Agreements (10.2%)
BNP Paribas repurchase (Purchased on 12/30/22, to be repurchased at $63,730,505, collateralized by US Treasury Inflation Protection Bond, 0.625%, due 1/15/24, par and fair value of $66,208,905 and $64,848,519, respectively) 4.310%, 1/3/23		63,700,000		63,700
Goldman Sachs repurchase (Purchased on 12/20/22, to be repurchased at $50,082,056, collateralized by US Treasury Note, 0.375%, due 7/31/27, par and fair value of $59,565,000 and $50,937,382, respectively) 4.220%, 1/4/23		50,000,000		50,000

Total				113,700


Total Short-Term Investments
(Cost: $171,300)				171,336


Total Investments (97.2%)
(Cost: $1,264,595)@				1,081,953

Other Assets, Less
Liabilities (2.8%)				30,626

Net Assets (100.0%)				1,112,579

Reverse Repurchase Agreements

Reference Entity

Counterparty

Interest
Rate

Borrowing
Date

Maturity
Date

Currency

Amount
Borrowed
(000’s)

Payable for
Reverse
Repurchase
Agreements
(000s)

INEOS Styrolution Group GmbH

JP Morgan Chase
Bank NA

(1.650)%

9/13/22

Open

EUR

(500)

(535

)

(535

)

Exchange Traded or Centrally Cleared Derivatives

Futures


Issuer	Long/ Short	Currency	Notional Par (000’s)		Number of Contracts		Expiration Date	Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Euro-Bund Future	Long	EUR		2,200		22	3/23	$	3,130	$	(160	)	$	(25	)
Five-Year US Treasury Note Future	Long	USD		84,000		840	3/23		90,661		(374	)		(72	)
Long Gilt Future	Short	GBP		3,100		31	3/23		3,744		245			(4	)
Ten-Year US Treasury Note Future	Long	USD		98,500		985	3/23		110,612		(854	)		(139	)
Two-Year US Treasury Note Future	Long	USD		46,400		232	3/23		47,578		(66	)		(36	)
Ultra Long Term US Treasury Bond Future	Long	USD		25,000		250	3/23		33,578		(659	)		(125	)
Ultra Ten-Year US Treasury Note Future	Long	USD		25,500		255	3/23		30,162		(72	)		(16	)

										$	(1,940	)	$	(417	)

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

193

Multi-Sector Bond Portfolio

Centrally Cleared Interest Rate Swaps - Receive Floating Rate


Floating Rate Index	Fixed Rate			Expiration Date	Notional Amount (000’s)	Currency	Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)		Variation Margin (000’s)
1-Day JPY - MUTKCALM Compounded-OIS		0.400	%	6/32	1,460,000	JPY	$	133	$	355	$	488	$	23

							$	133	$	355	$	488	$	23

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 GBP-SONIO Compounded-OIS	2.000%	3/33	3,100	GBP	$	(579	)	$	51		$	(528	)	$	(2	)
1-Day GBP-SONIO Compounded-OIS	2.000%	3/53	1,400	GBP		(430	)		(13	)		(443	)		(3	)
3-Month Canada Bankers Acceptances	2.050%	11/23	33,800	CAD		(6	)		(606	)		(612	)		2
3-Month Canada Bankers Acceptances	0.880%	3/24	12,600	CAD		–			(420	)		(420	)		1
3-Month Canada Bankers Acceptances	2.500%	6/29	8,000	CAD		114			(518	)		(404	)		(14	)
6-Month Euribor	1.500%	3/25	4,400	EUR		(65	)		(114	)		(179	)		(6	)
6-Month Euribor	1.500%	3/28	2,200	EUR		(79	)		(111	)		(190	)		(10	)
6-Month Euribor	1.750%	3/33	20,000	EUR		(2,389	)		(276	)		(2,665	)		(168	)

					$	(3,434	)	$	(2,007	)	$	(5,441	)	$	(200	)

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	2.798%	5,336	USD	$	(144	)	$	(112	)	$	(256	)	$	3
Markit CDX Emerging Markets Index, Series 35	1.000%	6/26	2.043%	184	USD		(4	)		(2	)		(6	)		–	π
Markit CDX Emerging Markets Index, Series 36	1.000%	12/26	2.118%	49,772	USD		(2,017	)		72			(1,945	)		(26	)
Markit CDX Emerging Markets Index, Series 37	1.000%	6/27	2.300%	490	USD		(38	)		13			(25	)		–	π
Markit CDX Emerging Markets Index, Series 38	1.000%	12/27	2.388%	18,400	USD		(1,447	)		371			(1,076	)		1
Markit CDX North America High Yield Index, Series 38	5.000%	6/27	4.426%	4,059	USD		(103	)		187			84			3
Markit CDX North America High Yield Index, Series 39	5.000%	12/27	4.849%	80,600	USD		(926	)		1,395			469			(55	)
Markit CDX North America Investment Grade Index, Series 35	1.000%	12/25	0.547%	200	USD		3			–			3			–	π

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

194

Multi-Sector Bond Portfolio

Centrally Cleared Credit Default Swaps on Credit Indices - 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)
Markit CDX North America Investment Grade Index, Series 36	1.000%	6/26	0.619%	800	USD	$	14		$	(4	)	$	10		$	-	π
Markit CDX North America Investment Grade Index, Series 37	1.000%	12/26	0.694%	900	USD		10			-			10			-	π
Markit CDX North America Investment Grade Index, Series 38	1.000%	6/27	0.739%	22,400	USD		98			137			235			2
Markit CDX North America Investment Grade Index, Series 39	1.000%	12/27	0.819%	61,000	USD		76			410			486			(3	)

						$	(4,478	)	$	2,467		$	(2,011	)	$	(75	)

Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection


Reference Entity	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)	Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin (000’s)
AT&T, Inc.	1.000%	6/24	0.901%	200	USD	$	-		$	-		$	-	π	$	-	π
AT&T, Inc.	1.000%	6/25	0.947%	100	USD		(2	)		2			-	π		-	π
AT&T, Inc.	1.000%	6/26	0.998%	100	USD		1			(1	)		-	π		-	π
Ford Motor Co.	5.000%	6/25	2.648%	200	USD		7			4			11			-	π
Ford Motor Co.	5.000%	12/25	2.775%	400	USD		13			11			24			-	π
Ford Motor Co.	5.000%	6/26	2.923%	1,000	USD		37			26			63			1
Ford Motor Co.	5.000%	6/27	3.169%	900	USD		57			4			61			1
Ford Motor Co.	5.000%	12/23	2.257%	200	USD		7			(2	)		5			-	π
Ford Motor Co.	5.000%	12/23	2.257%	700	USD		20			(2	)		18			-	π
Ford Motor Co.	5.000%	6/27	3.542%	300	USD		26			(10	)		16			-	π
General Electric Co.	1.000%	12/26	0.870%	400	USD		4			(2	)		2			-	π
General Electric Co.	1.000%	6/24	0.522%	900	USD		(3	)		9			6			-	π
General Electric Co.	1.000%	6/26	0.801%	3,800	USD		29			(5	)		24			-	π
Glencore Finance Europe, Ltd.	5.000%	12/25	1.250%	2,700	EUR		392			(88	)		304			1
Glencore Finance Europe, Ltd.	5.000%	12/27	1.795%	1,600	EUR		340			(98	)		242			1
Glencore Finance Europe, Ltd.	5.000%	12/26	1.507%	700	EUR		122			(27	)		95			-	π
Marks & Spencer PLC	1.000%	12/24	2.170%	2,900	EUR		(54	)		(13	)		(67	)		1
Marks & Spencer PLC	1.000%	6/27	3.559%	100	EUR		(6	)		(4	)		(10	)		-	π
Marks & Spencer PLC	1.000%	12/28	4.068%	500	EUR		(32	)		(46	)		(78	)		-	π
Volkswagen International Finance NV	1.000%	12/26	1.267%	3,100	EUR		50			(81	)		(31	)		-	π

						$	1,008		$	(323	)	$	685		$	5


	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	$	40	$	-	$	40	$	(287	)	$	(417	)	$	(704	)	$	-

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

195

Multi-Sector Bond Portfolio

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	Bank of America NA	AUD	1,496	1,019		1/10/23	$	-	π	$	-		$	-	π
Sell	HSBC Bank PLC	AUD	728	496		1/10/23		-			(8	)		(8	)
Sell	Royal Bank of Canada	AUD	266	181		1/10/23		-			(3	)		(3	)
Buy	JP Morgan Chase Bank NA	BRL	130	25		1/4/23		-	π		-			-	π
Buy	Goldman Sachs Bank USA	BRL	130	25		2/2/23		-			-	π		-	π
Sell	Goldman Sachs Bank USA	BRL	130	25		1/4/23		-	π		-			-	π
Buy	JP Morgan Chase Bank NA	CAD	956	706		1/4/23		1			-			1
Sell	Barclays Bank PLC	CAD	1,284	948		1/10/23		9			-			9
Buy	BNP Paribas SA	CNH	18,099	2,640		5/10/23		28			-			28
Sell	Goldman Sachs Bank USA	CNH	120	17		1/19/23		-			-	π		-	π
Sell	HSBC Bank PLC	CNH	18,570	2,709		5/10/23		58			-			58
Buy	Bank of America NA	EUR	4,814	5,155		1/10/23		29			-			29
Buy	Barclays Bank PLC	EUR	6,358	6,809		1/10/23		81			-			81
Sell	Bank of America NA	EUR	392	420		1/10/23		-			(3	)		(3	)
Sell	Barclays Bank PLC	EUR	5,700	6,104		1/10/23		-			(179	)		(179	)
Sell	BNP Paribas SA	EUR	343	367		1/10/23		-			(2	)		(2	)
Sell	HSBC Bank PLC	EUR	177,001	189,552		1/10/23		-			(4,042	)		(4,042	)
Sell	JP Morgan Chase Bank NA	EUR	7,160	7,668		1/10/23		-			(170	)		(170	)
Sell	Bank of America NA	GBP	560	677		1/10/23		5			-			5
Sell	JP Morgan Chase Bank NA	GBP	29,439	35,596		1/10/23		-			(48	)		(48	)
Buy	UBS AG	HUF	1,676	4		1/13/23		-	π		-			-	π
Sell	Barclays Bank PLC	HUF	365,741	981		1/3/23		-			(27	)		(27	)
Sell	BNP Paribas SA	HUF	69,583	187		1/3/23		-			(5	)		(5	)
Sell	HSBC Bank PLC	IDR	267,296	17		3/14/23		-			-	π		-	π
Sell	JP Morgan Chase Bank NA	IDR	182,857	12		3/14/23		-			-	π		-	π
Buy	Royal Bank of Canada	MXN	22	1		3/15/23		-	π		-			-	π
Buy	Goldman Sachs Bank USA	MXN	136,940	6,930		3/21/23		91			-			91
Sell	Goldman Sachs Bank USA	MXN	134,387	6,762		4/20/23		-			(82	)		(82	)
Sell	Royal Bank of Canada	MXN	5,104	257		4/20/23		-			(11	)		(11	)
Buy	HSBC Bank PLC	ZAR	1,719	99	��	9/19/23		2			-			2

							$	304		$	(4,580	)	$	(4,276	)

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)
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/26	2.027%	EUR		1,000	$	183	$	(68	)	$	115
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/26	2.027%	EUR		1,800		335		(128	)		207
Intrum AB	Barclays Bank PLC	5.000%	12/24	6.361%	EUR		100		3		(6	)		(3	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		200		8		(13	)		(5	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		200		6		(11	)		(5	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		200		7		(12	)		(5	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		300		13		(21	)		(8	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		300		13		(21	)		(8	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		400		18		(29	)		(11	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		400		18		(29	)		(11	)

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

196

Multi-Sector Bond Portfolio

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)


Reference Entity	Counterparty	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Currency	Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		500	$	16		$	(29	)	$	(13	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		600		26			(42	)		(16	)
Intrum AB	Goldman Sachs International	5.000%	12/24	6.361%	EUR		600		22			(38	)		(16	)
Intrum AB	JP Morgan Chase Bank NA	5.000%	12/24	6.361%	EUR		800		26			(47	)		(21	)
Intrum AB	Morgan Stanley Capital Services LLC	5.000%	12/24	6.361%	EUR		100		4			(7	)		(3	)
Intrum AB	Morgan Stanley Capital Services LLC	5.000%	12/24	6.361%	EUR		100		4			(7	)		(3	)
Intrum AB	Morgan Stanley Capital Services LLC	5.000%	12/24	6.361%	EUR		200		9			(14	)		(5	)
Republic of Indonesia	Barclays Bank PLC	1.000%	6/31	1.504%	USD		5,700		(204	)		9			(195	)
United Mexican States	Goldman Sachs International	1.000%	12/27	1.305%	USD		100		(4	)		3			(1	)
United Mexican States	Morgan Stanley Capital Services LLC	1.000%	12/26	1.048%	USD		300		1			(1	)		-	π
United Mexican States	Morgan Stanley Capital Services LLC	1.000%	6/27	1.191%	USD		100		-	π		(1	)		(1	)
United Mexican States	Morgan Stanley Capital Services LLC	1.000%	12/27	1.305%	USD		300		(10	)		6			(4	)

								$	494		$	(506	)	$	(12	)


	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	$	304	$	322	$	626	$	(4,580	)		-	$	(334	)	$	(4,914)

Restricted Securities


Description	Coupon	Maturity Date	Acquisition Date	Cost (000’s)		Value (000’s)		Value as a Percentage of Net Assets
Constellation Oil - Class B			6/10/22	$	12	$	12		-	%π
Corestate Capital Holding SA	8.000	4/15/23	12/6/22		209		214		0.02	%

+	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.

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

197

Multi-Sector Bond Portfolio

§	Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At December 31, 2022, the aggregate value of these securities was $223,964 (in thousands), representing 20.1% of net assets.

Þ	PIK - Payment In Kind. PIK rate of IHO Verwaltungs GmbH 4.375%. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%.

µ	Perpetual maturity, date shown, if applicable, represents next contractual call date.

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

π	Amount is less than one thousand.

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

W	All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,229,154 and the net unrealized depreciation of investments based on that cost was $160,243 which is comprised of $10,860 aggregate gross unrealized appreciation and $171,103 aggregate gross unrealized depreciation.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	-		$	47,721		$	-
Common Stocks		-			-			238
Convertible Corporate Bonds		-			984			-
Municipal Bonds		-			6,943			-
Corporate Bonds
Communications		-			65,304			14
All Others		-			459,341			-
Governments		-			179,957			-
Structured Products		-			150,115			-
Short-Term Investments
Financial		-			1,172			214
All Others		-			169,950			-
Other Financial Instruments^
Futures		245			-			-
Forward Foreign Currency Contracts		-			304			-
Interest Rate Swaps		-			488			-
Credit Default Swaps		-			2,490			-
Total Assets:	$	245		$	1,084,769		$	466
Liabilities:
Other Financial Instruments^
Futures		(2,185	)		-			-
Forward Foreign Currency Contracts		-			(4,580	)		-
Interest Rate Swaps		-			(5,441	)		-
Credit Default Swaps		-			(3,828	)		-
Reverse Repurchase Agreements		-			(535	)		-
Total Liabilities:	$	(2,185	)	$	(14,384	)	$	-

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

198

Balanced Portfolio (unaudited)



Objective:	Portfolio Strategy:	Net Assets:
Realize as high a level of total return as is consistent with prudent investment risk, through income and capital appreciation.	Invest in the stock, bond and money market sectors, attempting to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions.	$1.9 billion

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC is the investment adviser for the Balanced Portfolio (the “Portfolio”). The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy for allocating assets across the stock, bond and money market sectors. The Portfolio operates primarily as a “fund of funds” to gain the Portfolio’s equity, fixed income and cash asset class exposure. The Portfolio may invest in the underlying Portfolios of Northwestern Mutual Series Fund, Inc. (each an “Underlying Portfolio”) and exchange-traded funds (“ETFs”) which are not portfolios of Northwestern Mutual Series Fund, Inc. The adviser allocates the Portfolio’s assets among the Underlying Portfolios and ETFs based on the adviser’s economic and market outlook and the investment objectives and strategies of the Underlying Portfolios and ETFs. Under normal market conditions, the Portfolio will typically hold between 35-55% of assets in equity investments, 40-60% of assets in fixed income investments, and 0-20% of assets in cash equivalent investments.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve (the “Fed”) raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exacerbated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

All sectors of the U.S. bond market declined during the reporting period, as the combination of the highest inflation in forty years and sharply rising bond yields eroded bond prices, which sent bond yields higher. Bonds with the longest maturities, including U.S. Treasuries, declined the most due to their higher sensitivity to changes in interest rates, while credit-oriented bonds fell with the dimming economic outlook.

PORTFOLIO RESULTS

The Portfolio returned (14.14%) for the twelve months ended December 31, 2022, outpacing the (18.11%) return of the broad stock market, as measured by the S&P 500^® Index, but trailing the Bloomberg^® U.S. Aggregate Index return of (13.01%). The Portfolio outperformed the Balanced Portfolio Blended Composite Benchmark return of (14.52%). (The benchmark weights are detailed in the “Benchmark Definitions” section of this annual report.) (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) Comparative peer performance in 2022 included the Morningstar^® Inc. Allocation – 30% to 50% Equity peer group average return (14.30%) and the Lipper^® Analytical Services, Inc. Mixed-Asset Target Allocation Moderate Funds peer group average return of (15.55%). Morningstar^® Inc. and Lipper^® Analytical Services, Inc. are independent mutual fund ranking agencies.

Strong security selection within the Underlying Portfolios contributed to the Portfolio’s results relative to the blended benchmark, representing the majority of the relative outperformance. Performance strength was seen across the majority of the equity Underlying Portfolios when compared to their respective benchmarks. Notable Underling Portfolio contributors included the Focused Appreciation Portfolio, Large Cap Blend Portfolio, Domestic Equity Portfolio, Mid Cap Value Portfolio and Mid Cap Growth Portfolio. These five funds were among the largest holdings in the Portfolio and all have more of a valuation bias and quality focus relative to their respective benchmarks. These biases were extremely helpful during a period when many higher valued stocks across the market were being driven lower due to higher interest rates and an impending slowdown of the economy.

199

Balanced Portfolio (unaudited)

Broad tactical asset allocation decisions were neutral during the year. While positioning the Portfolio in cheaper areas of the market benefited relative results this year, including an overweight position in foreign and value-oriented investments, an overweight to equity in general detracted from relative results.

PORTFOLIO MANAGER OUTLOOK

Investors are largely anticipating a challenging economic environment and an economic recession in 2023, but a lot of the pessimism already appears to be reflected in current stock prices after one of the most rapid equity declines in history during 2022. As such, we remain slightly overweight equity relative to fixed income and continue to tilt our exposure toward the cheapest parts of the market. More importantly, we continue to have a high degree of confidence in the fundamentally-driven, valuation-sensitive managers managing the Underlying Portfolios, as the challenging economic environment raises the likelihood that investors will demand fundamental strength and scrutinize equity valuations. Recession fears could lead to volatile markets, but we believe the pace of inflation will ease dramatically, particularly in the second half of the year, which should give the Fed flexibility to move away from monetary policy intended to restrict growth to policy that seeks to encourage growth. Earnings declines are a growing risk for 2023, but stock prices typically rise well before earnings estimates do. Historically, some of the strongest market returns have occurred when earnings were still contracting, as investors repositioned in anticipation of a return to stronger growth. In our view, the resilience of nominal economic growth in 2022, reasonable equity valuations, and heightened levels of pessimism provide a base for a recovery in equities during 2023, especially if Fed rate hike pressures subside.

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Balanced Portfolio		-14.14	%		3.41	%		5.25	%
S&P 500^® Index		-18.11	%		9.41	%		12.56	%
Bloomberg^® U.S. Aggregate Bond Index		-13.01	%		0.02	%		1.06	%
Balanced Portfolio Blended Composite Benchmark		-14.52	%		3.86	%		5.88	%
Morningstar^® US Insurance Fund Allocation - 30% to 50% Equity Average		-14.30	%		2.24	%		4.17	%
Lipper^® Variable Insurance Products (VIP) Mixed Asset Target Allocation Moderate Funds Average		-15.55	%		3.00	%		5.42	%

The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return

and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance information visit www.northwesternmutual.com.

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,

200

Balanced Portfolio (unaudited)

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 at historically low levels and 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.

Top 10 Holdings 12/31/22


Security Description		% of Net Assets
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio		34.1%
iShares Core S&P 500 ETF		9.9%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio		5.7%
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio		5.4%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio		5.3%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio		5.1%
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio		4.9%
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio		4.4%
Northwestern Mutual Series Fund, Inc., International Equity Portfolio		4.3%
Northwestern Mutual Series Fund, Inc., International Growth Portfolio		4.0%

Sector Allocation 12/31/22


Sector		% of Net Assets
Fixed Income		46.0%
Domestic Equity		39.0%
Foreign Equity		11.3%
Short-Term Investments & Other Net Assets		3.7%

Sector Allocation and Top 10 Holdings are subject to change.

201

Balanced Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Investment Companies (96.3%)	Shares/ Par ⁺		Value $ (000’s)

Domestic Equity (39.0%)
iShares Core S&P 500 ETF		483,200		185,650
iShares Core S&P Mid-Cap ETF		31,050		7,511
iShares Core S&P Small-Cap ETF		156,000		14,764
iShares Russell 2000 ETF		64,400		11,229
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		65,934,589		107,539
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		34,966,919		95,215
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		92,540,637		100,037
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		30,195,138		81,889
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		55,710,279		91,365
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		8,954,100		16,959
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		12,656,070		22,920

Total				735,078


Fixed Income (46.0%)
iShares Core U.S. Aggregate Bond ETF		469,400		45,527
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		87,017,064		54,560
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		111,382,309		101,469
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		602,085,113		643,027


Investment Companies (96.3%)	Shares/ Par ⁺		Value $ (000’s)

Fixed Income continued
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		23,056,020		22,825

Total				867,408


Foreign Equity (11.3%)
iShares Core MSCI EAFE ETF		588,200		36,257
iShares Core MSCI Emerging Markets ETF		124,900		5,833
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		14,608,062		13,059
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		57,893,025		81,108
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		46,675,755		75,895

Total				212,152


Total Investment Companies
(Cost: $2,026,092)				1,814,638


Short-Term Investments (2.4%)

Investment Companies (2.4%)
JPMorgan Ultra-Short Income ETF		452,950		22,706
PIMCO Enhanced Short Maturity Active ETF		225,400		22,236

Total				44,942

Total Short-Term Investments
(Cost: $45,999)				44,942

Total Investments (98.7%)
(Cost: $2,072,091)^@				1,859,580

Other Assets, Less Liabilities (1.3%)				23,547

Net Assets (100.0%)				1,883,127

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

£	Affiliated Company

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,077,135 and the net unrealized depreciation of investments based on that cost was $217,555 which is comprised of $10,943 aggregate gross unrealized appreciation and $228,498 aggregate gross unrealized depreciation.

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

202

Balanced Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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	$	1,814,638	$	-	$	-
Short-Term Investments		44,942		-		-
Total Assets:	$	1,859,580	$	-	$	-

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

203

Asset Allocation Portfolio (unaudited)


Objective:	Portfolio Strategy:	Net Assets:
Realize as high a level of total return as is consistent with reasonable investment risk.	Invest in the stock, bond and money market sectors, attempting to capitalize on the variation in return potential produced by the interaction of changing financial markets and economic conditions.	$258 million

PORTFOLIO OVERVIEW

Mason Street Advisors, LLC is the investment adviser for the Asset Allocation Portfolio (the “Portfolio”). The Portfolio is tactically and strategically managed to capitalize on changing financial markets and economic conditions following a flexible policy for allocating assets across the stock, bond and money market sectors. The Portfolio operates primarily as a “fund of funds” to gain the Portfolio’s equity, fixed income and cash asset exposure. The Portfolio may invest in underlying Portfolios of Northwestern Mutual Series Fund, Inc. (each, an “Underlying Portfolio”) and exchange-traded funds (“ETFs”) which are not portfolios of Northwestern Mutual Series Fund, Inc. The adviser allocates the Portfolio’s assets among the Underlying Portfolios and ETFs based on the adviser’s economic and market outlook and the investment objectives and strategies of the Underlying Portfolios and ETFs. Under normal market conditions, the Portfolio will typically hold between 55-75% of assets in equity investments, 25-45% of assets in fixed income investments, and 0-15% of assets in cash equivalent investments.

MARKET OVERVIEW

U.S. equity markets declined over the reporting period, marking the worst annual decline since the financial crisis in 2008, as central bank tightening to combat high inflation raised fears of an impending recession. The Federal Reserve (the “Fed”) raised interest rates seven times during 2022 as continued supply-chain disruptions, strong consumer demand and higher wages drove inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to volatile oil and commodity prices and exacerbated supply constraints. U.S. gross domestic product grew in the second half of the year after contracting in the first six months of 2022.

PORTFOLIO RESULTS

The Portfolio returned (14.83%) for the twelve months ended December 31, 2022, outpacing both the (18.11%) return of the broad stock market, as measured by the S&P 500^® Index, but trailing the Bloomberg^® U.S. Aggregate Index return of (13.01%). The Portfolio outperformed the Asset Allocation Portfolio Blended Composite Benchmark return of (15.43%). (The benchmark weights are detailed in the “Benchmark Definitions” section of this annual report.) (These Indices are unmanaged, cannot be invested in directly and do not incur expenses.) Comparative peer performance in 2022 included the Morningstar^® Inc. Allocation – 50% to 70% Equity peer group average return (15.77%) and the Lipper^® Analytical Services, Inc. Mixed-Asset Target Allocation Growth Funds peer group average return of (16.13%). Morningstar^® Inc. and Lipper^® Analytical Services, Inc. are independent mutual fund ranking agencies.

204

Asset Allocation Portfolio (unaudited)

PORTFOLIO MANAGER OUTLOOK

Relative Performance

LOGO


Average Annual Total Returns For Periods Ended December 31, 2022
	1 Year			5 Years			10 Years
Asset Allocation Portfolio		-14.83	%		4.21	%		6.40	%
S&P 500^® Index		-18.11	%		9.41	%		12.56	%
Bloomberg^® U.S. Aggregate Bond Index		-13.01	%		0.02	%		1.06	%
Asset Allocation Portfolio Blended Composite Benchmark		-15.43	%		4.79	%		7.26	%
Morningstar^® US Insurance Fund Allocation - 50% to 70% Equity Average		-15.77	%		3.70	%		6.32	%
Lipper^® Variable Insurance Products (VIP) Mixed Asset Target Allocation Growth Funds Average		-16.13	%		3.90	%		6.65	%

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.

205

Asset Allocation Portfolio (unaudited)

Top 10 Holdings 12/31/22


Security Description		% of Net Assets
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio		17.1%
iShares Core S&P 500 ETF		10.9%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio		7.7%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio		7.4%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio		7.0%
Northwestern Mutual Series Fund, Inc., International Equity Portfolio		6.1%
Northwestern Mutual Series Fund, Inc., International Growth Portfolio		5.8%
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio		5.8%
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio		5.3%
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio		5.3%

Sector Allocation 12/31/22


Sector		% of Net Assets
Domestic Equity		50.1%
Fixed Income		31.0%
Foreign Equity		16.2%
Short-Term Investments & Other Net Assets		2.7%

Sector Allocation and Top 10 Holdings are subject to change.

206

Asset Allocation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2022


Investment Companies (97.3%)	Shares/ Par ⁺		Value $ (000’s)

Domestic Equity (50.1%)
iShares Core S&P 500 ETF		73,250		28,143
iShares Core S&P Mid-Cap ETF		5,350		1,294
iShares Core S&P Small-Cap ETF		28,300		2,678
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		12,189,149		19,880
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		6,646,192		18,098
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		17,527,386		18,947
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		4,992,508		13,540
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		9,136,952		14,985
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		2,804,874		5,312
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		3,408,985		6,174

Total				129,051


Fixed Income (31.0%)
iShares Core U.S. Aggregate Bond ETF		65,600		6,362
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		20,375,749		12,776
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		14,896,732		13,571
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		41,349,931		44,162
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		3,151,127		3,120

Total				79,991


Investment Companies (97.3%)	Shares/ Par ⁺		Value $ (000’s)

Foreign Equity (16.2%)
iShares Core MSCI EAFE ETF		111,100		6,848
iShares Core MSCI Emerging Markets ETF		23,600		1,102
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		3,309,808		2,959
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		11,276,660		15,799
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		9,237,350		15,020

Total				41,728


Total Investment Companies
(Cost: $276,011)				250,770


Short-Term Investments (1.6%)

Investment Companies (1.6%)
JPMorgan Ultra-Short Income ETF		40,300		2,020
PIMCO Enhanced Short Maturity Active ETF		20,100		1,983

Total				4,003

Total Short-Term Investments
(Cost: $4,097)				4,003

Total Investments (98.9%)
(Cost: $280,108)^@				254,773

Other Assets, Less Liabilities (1.1%)				2,926

Net Assets (100.0%)				257,699

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

£	Affiliated Company

At December 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $280,735 and the net unrealized depreciation of investments based on that cost was $25,962 which is comprised of $1,232 aggregate gross unrealized appreciation and $27,194 aggregate gross unrealized depreciation.

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

207

Asset Allocation Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at December 31, 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

250,770

–

Short-Term Investments

4,003

–

Total Assets:

254,773

–

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

208

Benchmark Definitions (unaudited)

The following indices are used to illustrate investment market, sector or style performance or to serve as Portfolio performance comparisons. Unlike the Portfolios, the indices are not professionally managed and do not incur fees or expenses. It is not possible to invest directly in an index.

1/3 each: Bloomberg^® Global Aggregate — Credit Component ex Emerging Markets, Hedged USD; ICE BofA^® Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD; JPMorgan^® EMBI Global — The Bloomberg^® Global Aggregate — Credit Component ex Emerging Markets, Hedged USD provides a broad-based measure of the global developed markets investment grade fixed income markets. The ICE BofA Global High Yield BB-B Rated Constrained Developed Markets Index, Hedged USD tracks the performance of below investment grade bonds of corporate issuers domiciled in developed market countries rated BB1 through B3, based on an average of Moody’s, S&P and Fitch. Qualifying bonds are capitalization weighted provided the total allocation to an individual issuer (defined by Bloomberg tickers) does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face value of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. The index is rebalanced on the last calendar day of the month. The JPMorgan EMBI Global tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, Brady bonds, loans, Eurobonds and local market instruments. It is not possible to invest in an unmanaged index.

Asset Allocation Portfolio Blended Composite Benchmark — The Asset Allocation Portfolio Blended Composite Benchmark is an unmanaged, hypothetical combination of unmanaged indices that correspond to the Asset Allocation Portfolio’s model allocation and consists of the Russell 1000^® Index (33%), the Russell MidCap Index (11%), the Russell 2000^® Index (5%), the MSCI EAFE^® (Europe-Australasia-Far-East) Index (13%), the MSCI^® Emerging Markets Index (3%), the Bloomberg^® U.S. Aggregate Bond Index (24%), the Bloomberg^® U.S. Corporate High Yield 2% Issuer Capped Bond Index (8%), and the ICE BofA^® US 3-Month Treasury Bill Index (3%).

Balanced Portfolio Blended Composite Benchmark — The Balanced Portfolio Blended Composite Benchmark is an unmanaged, hypothetical combination of unmanaged indices that correspond to the Balanced Portfolio’s model allocation and consists of the Russell 1000^® Index (26%), the Russell^® MidCap Index (9%), the Russell 2000^® Index (3%), the MSCI EAFE^® (Europe-Australasia-Far-East) Index (9%), the MSCI^® Emerging Markets Index (2%), the Bloomberg^® U.S. Aggregate Bond Index (41%), the Bloomberg^® U.S. Corporate High Yield 2% Issuer Capped Bond Index (6%), and the ICE BofA^® US 3-Month Treasury Bill Index (4%).

Bloomberg^® 1-3 Year U.S. Government/Credit Bond Index — The Bloomberg^® 1-3 Year U.S. Government/Credit Bond Index is an unmanaged index of publicly issued medium and larger issues of U.S. Government, investment-grade corporate and investment-grade international dollar denominated bonds that have maturities of between one and three years.

Bloomberg^® U.S. Aggregate Bond Index — The Bloomberg^® U.S. Aggregate Index is an unmanaged index of publicly issued investment-grade fixed-rate debt securities including corporate, U.S. Treasury and government agency securities, mortgage pass-through and asset-backed securities with remaining maturities of at least one year regardless of call features.

Bloomberg^® U.S. Corporate High Yield 2% Issuer Capped Bond Index — The Bloomberg^® U. S. Corporate High Yield 2% Issuer Capped Index is an unmanaged index of U.S. Dollar-denominated, non-convertible, fixed-rate, noninvestment-grade debt. Issuers are capped at 2% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.

Bloomberg^® Global Credit Hedged USD Index — The Bloomberg^® Global Credit Hedged USD Index is an unmanaged index composed of investment-grade and high yield credit securities from the Multiverse represented in U.S. dollars on a hedged basis (Multiverse is the merger of two groups: the Global Aggregate and the Global High Yield).

Bloomberg^® Long-Term U.S. Treasury Index — The Bloomberg^® Long-Term U.S. Treasury Index is an unmanaged index comprised of fixed-income securities with various maturities greater than 10 years.

209

Benchmark Definitions (unaudited)

Bloomberg^® U.S. Treasury Inflation Protected Securities (TIPS) Index — The Bloomberg^® U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged index of inflation-protected public obligations of the U.S. Treasury. The index is market capitalization weighted and includes all publicly-issued U.S. Treasury Inflation-Protected Securities that have at least one year remaining to maturity and have $250 million or more of outstanding face value.

ICE BofA^® US 3-Month Treasury Bill Index — The ICE BofA^® US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.

Lipper^® Variable Insurance Products (VIP) Average — Each Lipper^® Variable Insurance Products (VIP) Average is calculated by Lipper^® Analytical Services, Inc. and reflects the investment return of certain portfolios underlying variable life and annuity products. Source: Lipper^®, Inc.

Morningstar^® Insurance Fund Category Averages — Each Morningstar^® category average is an equal-weighted category return. The calculation is simply the average of the returns at the end of the period for all the underlying variable insurance funds in a given category. Source: Morningstar^®, Inc.

Morningstar^® US Insurance Fund Allocation – 30% to 50% Equity Average — Funds in allocation categories seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash. These portfolios are dominated by domestic holdings and have equity exposures between 30% and 50%. Source: Morningstar^®, Inc.

Morningstar^® US Insurance Fund Allocation – 50% to 70% Equity Average — Funds in allocation categories seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash. These portfolios are dominated by domestic holdings and have equity exposures between 50% and 70%. Source: Morningstar^®, Inc.

MSCI^® All Country World (ex-US) Index — The MSCI^® All Country World (ex-US) Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S.

MSCI^® All Country World (ex-US) Growth Index — The MSCI^® All Country World (ex-US) Growth Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S., with higher historical and forecasted growth characteristics.

MSCI^® All Country World (ex-US) Value Index — The MSCI^® All Country World (ex-US) Value Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure equity performance of companies in the developed and emerging markets, excluding the U.S., which captures large and mid cap securities exhibiting overall value style characteristics.

MSCI EAFE^® (Europe-Australasia-Far-East) Index — The MSCI EAFE^® (“Europe-Australasia-Far East”) Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity performance of companies in the developed markets, excluding the U.S. & Canada.

MSCI EAFE^® (Europe-Australasia-Far-East) Growth Index — The MSCI EAFE^® (“Europe-Australasia-Far East”) Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity performance of companies in the developed markets, excluding the U.S. & Canada, with higher historical and forecasted growth characteristics.

MSCI^® Emerging Markets Index — The MSCI^® Emerging Markets Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure equity market performance in the global emerging markets.

Russell 1000^® Index — The Russell 1000^® Index is an unmanaged, market capitalization-weighted, large cap index that measures the performance of the 1000 largest companies in the Russell 3000^® Index.

Russell 1000^® Growth Index — The Russell 1000^® Growth Index is an unmanaged index that measures the performance of those companies in the Russell 1000^® Index with higher price-to-book ratios and higher forecasted growth values.

210

Benchmark Definitions (unaudited)

Russell 1000^® Value Index — The Russell 1000^® Value Index is an unmanaged index that measures the performance of those companies in the Russell 1000^® Index with lower price-to-book ratios and lower forecasted growth values.

Russell 2000^® Index — The Russell 2000^® Index is an unmanaged, market capitalization-weighted index that measures the performance of the 2000 companies in the Russell 3000^® Index and represents approximately 10% of the total market capitalization of the Russell 3000^® Index.

Russell 2000^® Growth Index — The Russell 2000^® Growth Index is an unmanaged index that measures the performance of those companies in the Russell 2000^® Index with higher price-to-book ratios and higher forecasted growth values.

Russell 2000^® Value Index — The Russell 2000^® Value Index is an unmanaged index measures the performance of those companies in the Russell 2000^® Index with lower price-to-book ratios and lower forecasted growth values.

Russell 3000^® Index — The Russell 3000^® Index measures the performance of the 3000 largest U.S. companies representing approximately 98% of the investable U.S. equity market.

Russell MidCap^® Index — The Russell MidCap^® Index is an unmanaged index that measures the performance of the 800 smallest companies in the Russell 1000^® Index, which represents approximately 25% of the total market capitalization of the Russell 1000^® Index.

Russell MidCap^® Growth Index — The Russell MidCap^® Growth Index is an unmanaged index that measures the performance of the Russell MidCap^® companies with higher price-to-book ratios and higher forecasted growth values.

Russell MidCap^® Value Index — The Russell MidCap^® Value Index is an unmanaged index that measures the performance of the Russell MidCap^® companies with lower price-to-book and lower forecasted growth values.

S&P 500^® Index �� The S&P 500^® Composite Stock Price Index is an unmanaged, capitalization-weighted index of 500 selected common stocks designed to measure the performance of the broad domestic economy.

S&P MidCap 400^® Index — The S&P MidCap 400^® Index is an unmanaged, capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market.

S&P SmallCap 600^® Index — The S&P SmallCap 600^® Index is an unmanaged index of 600 selected common stocks of U.S.-based companies with small market capitalizations.

211

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2022 (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)	$	746,466	$	959,891	$	562,130	$	186,960	$	4,413,863
Cash		3,158		4,959		3,927		8,686		45,401
Collateral with Counterparty		–		–		–		–		2,848
Receivable for Portfolio Shares Sold		120		193		79		4		1,330
Receivable for Investment Securities Sold		1,425		2,732		1,690		–		–
Prepaid Expenses and Other Assets		7		8		5		2		47
Dividends and Interest Receivable		152		768		681		423		3,945

Total Assets		751,328		968,551		568,512		196,075		4,467,434

Liabilities
Payable for Portfolio Shares Redeemed		316		176		406		7		582
Payable for Investment Securities Purchased		–		3,884		1,673		–		–
Variation Margin Payable		–		–		–		–		143
Investment Advisory Fees Payable		277		514		207		117		731
Compliance Fees Payable		3		3		3		2		6
Directors Fees Payable		4		4		4		3		7
Accrued Expenses		25		41		24		19		51

Total Liabilities		625		4,622		2,317		148		1,520

Net Assets	$	750,703	$	963,929	$	566,195	$	195,927	$	4,465,914

Represented By:
Aggregate Paid in Capital (10) (11)	$	737,211	$	672,033	$	476,103	$	161,912	$	1,720,093
Total Distributable Earnings (Loss)		13,492		291,896		90,092		34,015		2,745,821

Net Assets for Shares Outstanding (10) (11)	$	750,703	$	963,929	$	566,195	$	195,927	$	4,465,914

Net Asset Value, Offering and Redemption Price per Share	$	2.04	$	2.72	$	1.44	$	1.08	$	6.38

(1) Unaffiliated Investments, at Cost	$	670,592	$	740,436	$	516,015	$	168,467	$	1,768,591
(10) Shares Outstanding		367,391		353,932		392,765		181,292		700,018
(11) Shares Authorized, $.01 Par Value		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000

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

212

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2022 (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)	$	150,768	$	1,047,883	$	692,186	$	1,007,716		$	1,122,909
Cash		–		10,759		7,578		1,465			12,915
Collateral with Counterparty		702		–		–		–			–
Receivable for Portfolio Shares Sold		12		266		32		74			323
Receivable for Investment Securities Sold		913		–		–		–			–
Receivable for Foreign Currency		16		–		–		–			–
Prepaid Expenses and Other Assets		1		8		6		9			26
Dividends and Interest Receivable		375		1,765		3,070		482			2,047

Total Assets		152,787		1,060,681		702,872		1,009,746			1,138,220

Liabilities
Payable for Portfolio Shares Redeemed		97		95		127		483			137
Variation Margin Payable		–		–		–		–			63
Payable to Custodian		89		–		–		–			–
Payable for Foreign Currency		66		–		–		–			–
Collateral from Counterparty		–		–		–		–			27
Investment Advisory Fees Payable		85		437		333		455			218
Compliance Fees Payable		2		3		3		3			3
Directors Fees Payable		3		4		4		4			4
Accrued Expenses		31		23		29		27			58

Total Liabilities		373		562		496		972			510

Net Assets	$	152,414	$	1,060,119	$	702,376	$	1,008,774		$	1,137,710

Represented By:
Aggregate Paid in Capital (10) (11)	$	122,136	$	787,163	$	498,254	$	1,020,513		$	854,621
Total Distributable Earnings (Loss)		30,278		272,956		204,122		(11,739	)		283,089

Net Assets for Shares Outstanding (10) (11)	$	152,414	$	1,060,119	$	702,376	$	1,008,774		$	1,137,710

Net Asset Value, Offering and Redemption Price per Share	$	0.92	$	1.63	$	1.69	$	2.71		$	1.97

(1) Unaffiliated Investments, at Cost	$	143,374	$	840,599	$	559,691	$	1,002,364		$	904,157
(10) Shares Outstanding		165,105		650,051		415,629		371,908			576,959
(11) Shares Authorized, $.01 Par Value		2,000,000		2,000,000		2,000,000		2,000,000			2,000,000

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

213

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2022 (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)	$	638,384	$	591,307		$	369,155	$	516,714	$	876,117
Cash		5,515		4,273			1,925		17,708		15,867
Foreign Currency, at Value (4)		1		–			–		–		87
Collateral with Counterparty		3,790		–			–		–		–
Receivable for Portfolio Shares Sold		157		94			131		41		224
Receivable for Investment Securities Sold		2,523		–			–		2,784		–
Variation Margin Receivable		–		–			3		–		–
Receivable for Foreign Currency		39		–			–		–		–
Prepaid Expenses and Other Assets		5		5			8		5		7
Dividends and Interest Receivable		1,503		178			501		689		1,583

Total Assets		651,917		595,857			371,723		537,941		893,885

Liabilities
Payable for Portfolio Shares Redeemed		115		507			39		66		131
Payable for Investment Securities Purchased		68		166			–		1,833		–
Accrued Foreign Capital Gains Tax		–		–			–		–		190
Payable for Foreign Currency		342		–			–		–		–
Collateral from Counterparty		–		–			13		–		–
Investment Advisory Fees Payable		386		277			73		393		457
Compliance Fees Payable		3		3			3		3		3
Directors Fees Payable		3		3			3		4		4
Accrued Expenses		36		24			40		24		52

Total Liabilities		953		980			171		2,323		837

Net Assets	$	650,964	$	594,877		$	371,552	$	535,618	$	893,048

Represented By:
Aggregate Paid in Capital (10) (11)	$	560,810	$	631,965		$	320,849	$	422,983	$	760,809
Total Distributable Earnings (Loss)		90,154		(37,088	)		50,703		112,635		132,239

Net Assets for Shares Outstanding (10) (11)	$	650,964	$	594,877		$	371,552	$	535,618	$	893,048

Net Asset Value, Offering and Redemption Price per Share	$	1.64	$	1.89		$	1.39	$	1.81	$	1.63

(1) Unaffiliated Investments, at Cost	$	639,638	$	552,260		$	338,354	$	440,695	$	768,629
(4) Foreign Currency, at Cost		1		–			–		–		89
(10) Shares Outstanding		397,009		314,098			267,258		295,762		549,287
(11) Shares Authorized, $.01 Par Value		2,000,000		2,000,000			2,000,000		2,000,000		2,000,000

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

214

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2022 (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)	$	731,205	$	1,701,854		$	838,775		$	243,426	$	378,279
Investments in Repurchase Agreements, at Value (3)		–		–			–			296,000		–
Cash		10,712		21,737			18,250			468		2,622
Foreign Currency, at Value (4)		–		1,083			1,031			–		–
Receivable for Portfolio Shares Sold		541		286			415			1,777		33
Receivable for Investment Securities Sold		–		1,865			56			–		9
Variation Margin Receivable		–		–			–			–		20
Receivable for Foreign Currency		–		3,507			–			–		–
Prepaid Expenses and Other Assets		6		13			7			4		3
Dividends and Interest Receivable		2,385		5,221			534			1,200		2,369

Total Assets		744,849		1,735,566			859,068			542,875		383,335

Liabilities
Payable for Portfolio Shares Redeemed		88		489			103			188		38
Payable for Investment Securities Purchased		–		1,309			567			–		342
Accrued Foreign Capital Gains Tax		174		1,550			3,454			–		–
Variation Margin Payable		–		–			–			–		58
Payable for Foreign Currency		–		932			–			–		–
Collateral from Counterparty		–		4,020			–			–		–
Investment Advisory Fees Payable		456		967			631			137		106
Compliance Fees Payable		3		4			3			3		3
Directors Fees Payable		3		5			4			3		3
Accrued Expenses		52		94			68			27		47

Total Liabilities		776		9,370			4,830			358		597

Net Assets	$	744,073	$	1,726,196		$	854,238		$	542,517	$	382,738

Represented By:
Aggregate Paid in Capital (10) (11)	$	655,964	$	1,892,254		$	908,740		$	542,517	$	401,097
Total Distributable Earnings (Loss)		88,109		(166,058	)		(54,502	)		–		(18,359	)

Net Assets for Shares Outstanding (10) (11)	$	744,073	$	1,726,196		$	854,238		$	542,517	$	382,738

Net Asset Value, Offering and Redemption Price per Share	$	0.98	$	1.40		$	0.89		$	1.00	$	0.99

(1) Unaffiliated Investments, at Cost	$	667,340	$	1,907,661		$	871,999		$	243,426	$	397,183
(3) Investments in Repurchase Agreements, at Cost		–		–			–			296,000		–
(4) Foreign Currency, at Cost		–		1,081			1,528			–		–
(10) Shares Outstanding		756,421		1,232,171			955,115			542,515		386,413
(11) Shares Authorized, $.01 Par Value		2,000,000		3,000,000			2,000,000			2,000,000		2,000,000

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

215

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2022 (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)	$	2,855,177		$	127,526		$	415,493		$	662,852		$	968,253
Investments in Repurchase Agreements, at Value (3)		–			–			–			–			113,700
Cash		36,670			1,006			4,346			17,498			5,656
Foreign Currency, at Value (4)		–			–			–			–			940
Collateral with Counterparty		300			878			–			–			16,332
Receivable for Portfolio Shares Sold		515			37			91			113			279
Receivable for Investment Securities Sold		97,589			8,879			–			–			638
Receivable for Financing Transactions		–			114,212			–			–			–
Variation Margin Receivable		–			58			62			–			40
Outstanding Swap Contracts, at Value (8)		–			–			6,108			–			322
Receivable for Foreign Currency		–			–			–			–			304
Deferred Expense for Financing Transactions		–			19			–			–			–
Prepaid Expenses and Other Assets		25			2			1			6			–
Dividends and Interest Receivable		14,772			869			2,053			12,537			13,675

Total Assets		3,005,048			253,486			428,154			693,006			1,120,139

Liabilities
Payable for Portfolio Shares Redeemed		16,781			12			53			3,085			100
Payable for Investment Securities Purchased		200,871			8,052			–			222			–
Payable for Financing Transactions		–			140,671			–			–			–
Variation Margin Payable		–			39			14			–			704
Outstanding Options Written, at Value (6)		–			47			–			–			–
Securities Sold Short, at Value (7)		–			4,426			–			–			–
Payable for Reverse Repurchase Agreements		–			–			–			–			535
Outstanding Swap Contracts, at Value (9)		–			–			343			–			334
Payable for Foreign Currency		–			–			6			–			4,580
Payable for Unfunded Loan Commitments		–			–			–			–			31
Collateral from Counterparty		–			–			3,963			–			541
Investment Advisory Fees Payable		711			42			180			252			650
Compliance Fees Payable		4			3			3			3			3
Directors Fees Payable		6			3			3			3			4
Accrued Expenses		59			34			41			36			78

Total Liabilities		218,432			153,329			4,606			3,601			7,560

Net Assets	$	2,786,616		$	100,157		$	423,548		$	689,405		$	1,112,579

Represented By:
Aggregate Paid in Capital (10) (11)	$	3,261,270		$	163,983		$	454,676		$	766,898		$	1,316,623
Total Distributable Earnings (Loss)		(474,654	)		(63,826	)		(31,128	)		(77,493	)		(204,044	)

Net Assets for Shares Outstanding (10) (11)	$	2,786,616		$	100,157		$	423,548		$	689,405		$	1,112,579

Net Asset Value, Offering and Redemption Price per Share	$	1.07		$	0.65		$	1.05		$	0.63		$	0.91

(1) Unaffiliated Investments, at Cost	$	3,108,782		$	175,823		$	469,978		$	772,557		$	1,150,895
(3) Investments in Repurchase Agreements, at Cost		–			–			–			–			113,700
(4) Foreign Currency, at Cost		–			–			–			–			541
(6) Premiums Received on Options Written		–			41			–			–			–
(7) Proceeds Received from Short Sales		–			4,456			–			–			–
(8) Premiums Paid on Swap Contracts		–			145			1			–			8,542
(9) Premiums Received from Swap Contracts		–			150			–			–			2,264
(10) Shares Outstanding		2,609,728			153,984			403,655			1,099,443			1,221,531
(11) Shares Authorized, $.01 Par Value		6,000,000			2,000,000			2,000,000			3,000,000			2,000,000

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

216

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

December 31, 2022 (in thousands)


	Balanced Portfolio			Asset Allocation Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	351,713		$	50,430
Affiliated Investments, at Value (2)		1,507,867			204,343
Cash		14,066			2,266
Receivable for Portfolio Shares Sold		410			5
Receivable for Investment Securities Sold		25,010			3,421
Prepaid Expenses and Other Assets		16			2
Dividends and Interest Receivable		161			15

Total Assets		1,899,243			260,482

Liabilities
Payable for Portfolio Shares Redeemed		974			36
Payable for Investment Securities Purchased		15,023			2,709
Investment Advisory Fees Payable		81			11
Compliance Fees Payable		4			3
Directors Fees Payable		5			3
Accrued Expenses		29			21

Total Liabilities		16,116			2,783

Net Assets	$	1,883,127		$	257,699

Represented By:
Aggregate Paid in Capital (10) (11)	$	1,989,262		$	262,447
Total Distributable Earnings (Loss)		(106,135	)		(4,748	)

Net Assets for Shares Outstanding (10) (11)	$	1,883,127		$	257,699

Net Asset Value, Offering and Redemption Price per Share .	$	1.21		$	1.01

(1) Unaffiliated Investments, at Cost	$	351,069		$	51,123
(2) Affiliated Investments, at Cost		1,721,022			228,985
(10) Shares Outstanding		1,558,037			254,128
(11) Shares Authorized, $.01 Par Value		4,000,000			2,000,000

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

217

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2022 (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)	$	65		$	196		$	81		$	115		$	764
Unaffiliated Dividends (1)		4,465			6,114			9,102			2,869			75,674

Total Income		4,530			6,310			9,183			2,984			76,438

Expenses
Investment Advisory Fees		4,002			7,702			2,808			1,458			9,494
Custodian Fees		27			36			29			19			32
Shareholder Reporting Fees		11			15			12			11			13
Audit Fees		29			26			29			23			46
Valuation Services		1			—			2			—			6
Compliance Fees		10			11			10			8			21
Directors Fees		45			46			41			35			85
Professional Fees		11			9			10			10			16
Trade Name Fees		–			–			–			–			114
Other Expenses		14			14			9			2			58

Total Expenses		4,150			7,859			2,950			1,566			9,885

Less Waived Fees:
Paid by Affiliate		(12	)		(1,279	)		(49	)		(93	)		(549	)

Net Expenses		4,138			6,580			2,901			1,473			9,336

Net Investment Income (Loss)		392			(270	)		6,282			1,511			67,102
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(61,676	)		75,764			39,905			14,078			47,164
Futures Contracts		–			–			–			–			(8,614	)

Net Realized Gain (Loss) on Investments		(61,676	)		75,764			39,905			14,078			38,550

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(462,439	)		(439,271	)		(202,614	)		(42,548	)		(1,105,304	)
Futures Contracts		–			–			–			–			(2,666	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		(462,439	)		(439,271	)		(202,614	)		(42,548	)		(1,107,970	)

Net Gain (Loss) on Investments		(524,115	)		(363,507	)		(162,709	)		(28,470	)		(1,069,420	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(523,723	)	$	(363,777	)	$	(156,427	)	$	(26,959	)	$	(1,002,318	)

(1) Net of Foreign Witholding Tax	$	31		$	524		$	7		$	34		$	18

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

218

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2022 (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)	$	43		$	183		$	102		$	24		$	217
Unaffiliated Dividends (1)		4,794			24,201			21,025			8,360			18,460

Total Income		4,837			24,384			21,127			8,384			18,677

Expenses
Investment Advisory Fees		1,291			5,442			4,881			5,701			2,939
Custodian Fees		44			18			38			37			45
Shareholder Reporting Fees		14			14			14			10			16
Audit Fees		26			26			27			29			31
Valuation Services		16			—			1			1			5
Compliance Fees		8			11			10			11			11
Directors Fees		36			44			42			46			46
Professional Fees		10			11			10			11			11
Trade Name Fees		–			–			–			–			141
Other Expenses		2			12			9			14			14

Total Expenses		1,447			5,578			5,032			5,860			3,259

Less Waived Fees:
Paid by Affiliate		(70	)		(390	)		(640	)		(10	)		(338	)

Net Expenses		1,377			5,188			4,392			5,850			2,921

Net Investment Income (Loss)		3,460			19,196			16,735			2,534			15,756
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		19,723			47,213			56,384			(13,699	)		50,208
Futures Contracts		–			–			–			–			(167	)
Foreign Currency Transactions		1,429			–			(7	)		–			–

Net Realized Gain (Loss) on Investments		21,152			47,213			56,377			(13,699	)		50,041

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(29,699	)		(95,306	)		(103,766	)		(311,849	)		(242,279	)
Futures Contracts		–			–			–			–			(678	)
Foreign Currency Transactions		182			–			(1	)		–			–

Net Change in Unrealized Appreciation (Depreciation) of Investments		(29,517	)		(95,306	)		(103,767	)		(311,849	)		(242,957	)

Net Gain (Loss) on Investments		(8,365	)		(48,093	)		(47,390	)		(325,548	)		(192,916	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(4,905	)	$	(28,897	)	$	(30,655	)	$	(323,014	)	$	(177,160	)

(1) Net of Foreign Witholding Tax	$	89		$	–		$	717		$	2		$	–

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

219

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2022 (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)	$	194		$	132		$	64		$	303		$	473
Unaffiliated Dividends (1)		18,601			3,789			5,376			7,653			12,584

Total Income		18,795			3,921			5,440			7,956			13,057

Expenses
Investment Advisory Fees		5,672			3,454			875			4,950			5,247
Custodian Fees		65			23			65			24			149
Shareholder Reporting Fees		13			15			12			37			14
Audit Fees		29			26			28			25			31
Valuation Services		15			2			7			2			15
Compliance Fees		10			10			9			9			10
Directors Fees		40			41			38			40			43
Professional Fees		11			10			15			10			17
Trade Name Fees		–			–			39			–			–
Other Expenses		8			9			4			7			11

Total Expenses		5,863			3,590			1,092			5,104			5,537

Less Waived Fees:
Paid by Affiliate		(1,071	)		–			–			(41	)		–

Net Expenses		4,792			3,590			1,092			5,063			5,537

Net Investment Income (Loss)		14,003			331			4,348			2,893			7,520
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		80,991			(75,603	)		17,004			36,712			19,063
Futures Contracts		–			–			(1,007	)		–			–
Foreign Currency Transactions		3,245			–			–			–			(56	)

Net Realized Gain (Loss) on Investments		84,236			(75,603	)		15,997			36,712			19,007

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(107,377	)		(161,243	)		(91,945	)		(165,134	)		(273,711	)
Futures Contracts		–			–			(145	)		–			–
Foreign Currency Transactions		196			–			–			–			(64	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		(107,181	)		(161,243	)		(92,090	)		(165,134	)		(273,775	)

Net Gain (Loss) on Investments		(22,945	)		(236,846	)		(76,093	)		(128,422	)		(254,768	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(8,942	)	$	(236,515	)	$	(71,745	)	$	(125,529	)	$	(247,248	)

(1) Net of Foreign Witholding Tax	$	218		$	–		$	5		$	27		$	374

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

220

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2022 (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)	$	154		$	412		$	383		$	8,708		$	9,050
Unaffiliated Dividends (1)		20,171			57,167			18,553			–			–

Total Income		20,325			57,579			18,936			8,708			9,050

Expenses
Investment Advisory Fees		6,004			11,387			8,997			1,555			1,282
Custodian Fees		146			284			198			42			61
Shareholder Reporting Fees		14			74			15			10			9
Audit Fees		30			33			30			26			32
Valuation Services		16			15			15			5			62
Compliance Fees		10			12			10			9			9
Directors Fees		43			53			43			39			38
Professional Fees		18			38			33			11			17
Other Expenses		10			21			11			6			5

Total Expenses		6,291			11,917			9,352			1,703			1,515

Less Waived Fees:
Paid by Affiliate		(394	)		(1,013	)		(1,518	)		(231	)		–

Net Expenses		5,897			10,904			7,834			1,472			1,515

Net Investment Income (Loss)		14,428			46,675			11,102			7,236			7,535
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		15,090			(853	)		(27,386	)		7			(4,141	)
Futures Contracts		–			–			–			–			(2,546	)
Swap Contracts		–			–			–			–			3
Foreign Currency Transactions		(190	)		4,888			75			–			–

Net Realized Gain (Loss) on Investments		14,900			4,035			(27,311	)		7			(6,684	)

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(197,765	)		(177,481	)		(242,416	)		–			(19,449	)
Futures Contracts		–			–			–			–			256
Foreign Currency Transactions		(85	)		3,224			(502	)		–			–

Net Change in Unrealized Appreciation (Depreciation) of Investments		(197,850	)		(174,257	)		(242,918	)		–			(19,193	)

Net Gain (Loss) on Investments		(182,950	)		(170,222	)		(270,229	)		7			(25,877	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(168,522	)	$	(123,547	)	$	(259,127	)	$	7,243		$	(18,342	)

(1) Net of Foreign Witholding Tax	$	671		$	2,241		$	970		$	–		$	–

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

221

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2022 (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)	$	78,839		$	3,929		$	23,035		$	44,116		$	48,560
Unaffiliated Dividends (1)		–			–			132			–			–

Total Income		78,839			3,929			23,167			44,116			48,560

Expenses
Investment Advisory Fees		9,070			623			2,462			3,098			8,935
Custodian Fees		109			30			47			22			170
Shareholder Reporting Fees		60			9			15			18			14
Audit Fees		44			36			37			37			48
Valuation Services		57			14			28			45			71
Compliance Fees		16			8			9			10			11
Directors Fees		66			35			39			41			46
Professional Fees		15			17			17			10			19
Interest Expense		–			378			–			–			33
Other Expenses		39			2			22			9			37

Total Expenses		9,476			1,152			2,676			3,290			9,384

Less Waived Fees:
Paid by Affiliate		(205	)		(39	)		(170	)		–			(1,087	)

Net Expenses		9,271			1,113			2,506			3,290			8,297

Net Investment Income (Loss)		69,568			2,816			20,661			40,826			40,263
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(279,626	)		(5,948	)		(14,702	)		(3,804	)		(19,270	)
Futures Contracts		–			2,018			(225	)		–			(50,607	)
Options Written		–			–			–			–			138
Short Sales		–			900			–			–			–
Swap Contracts		–			991			3,508			–			(15,085	)
Foreign Currency Transactions		–			–			69			–			25,712
Reverse Repurchase Agreements		–			–			–			–			226

Net Realized Gain (Loss) on Investments		(279,626	)		(2,039	)		(11,350	)		(3,804	)		(58,886	)

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(241,265	)		(41,860	)		(76,999	)		(129,365	)		(180,777	)
Futures Contracts		–			136			135			–			(3,008	)
Options Written		–			(6	)		–			–			–
Short Sales		–			37			–			–			–
Swap Contracts		–			(242	)		2,037			–			(2,521	)
Foreign Currency Transactions		–			–			73			–			374
Reverse Repurchase Agreements		–			–			–			–			(36	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		(241,265	)		(41,935	)		(74,754	)		(129,365	)		(185,968	)

Net Gain (Loss) on Investments		(520,891	)		(43,974	)		(86,104	)		(133,169	)		(244,854	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(451,323	)	$	(41,158	)	$	(65,443	)	$	(92,343	)	$	(204,591	)

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

222

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2022 (in thousands)


	Balanced Portfolio			Asset Allocation Portfolio
Investment Income
Income
Interest (1)	$	272		$	32
Unaffiliated Dividends (1)		4,469			655
Affiliated Dividends		27,864			3,591

Total Income		32,605			4,278

Expenses
Investment Advisory Fees		6,112			1,453
Custodian Fees		18			18
Shareholder Reporting Fees		10			12
Audit Fees		36			30
Valuation Services		1			1
Compliance Fees		13			9
Directors Fees		56			36
Professional Fees		13			10
Other Expenses		26			3

Total Expenses		6,285			1,572

Less Waived Fees:
Paid by Affiliate		(5,093	)		(1,315	)

Net Expenses		1,192			257

Net Investment Income (Loss)		31,413			4,021
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(8,407	)		(912	)
Affiliated Investment Securities		6,417			3,161
Distributions of Realized Gains by Affiliated Investment Companies		77,875			14,470
Distributions of Realized Gains by Unaffiliated Investment Companies		42			4

Net Realized Gain (Loss) on Investments		75,927			16,723

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(4,709	)		(935	)
Affiliated Investment Securities		(434,097	)		(67,043	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		(438,806	)		(67,978	)

Net Gain (Loss) on Investments		(362,879	)		(51,255	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(331,466	)	$	(47,234	)

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

223

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Growth Stock Portfolio						Focused Appreciation Portfolio						Large Cap Core Stock Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	392		$	(1,297	)	$	(270	)	$	(94	) $		6,282		$	5,523
Net Realized Gain (Loss) on Investments		(61,676	)		152,928			75,764			126,915			39,905			111,487
Net Change in Unrealized Appreciation (Depreciation) of Investments		(462,439	)		51,611			(439,271	)		91,159			(202,614	)		58,406

Net Increase (Decrease) in Net Assets Resulting from Operations		(523,723	)		203,242			(363,777	)		217,980			(156,427	)		175,416

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(151,353	)		(55,999	)		(127,992	)		(128,631	)		(115,717	)		(63,357	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(151,353	)		(55,999	)		(127,992	)		(128,631	)		(115,717	)		(63,357	)

Capital Transactions:
Shares Sold		33,413			66,958			96,235			67,399			16,142			18,494
Reinvestment of Distributions Paid		151,353			55,999			127,992			128,631			115,717			63,357
Shares Redeemed		(148,886	)		(166,704	)		(95,890	)		(144,714	)		(136,326	)		(71,081	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		35,880			(43,747	)		128,337			51,316			(4,467	)		10,770

Total Increase (Decrease) in Net Assets		(639,196	)		103,496			(363,432	)		140,665			(276,611	)		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	$	750,703		$	1,389,899		$	963,929		$	1,327,361		$	566,195		$	842,806

Portfolio Share Transactions:
Shares Sold		12,510			16,816			30,292			15,424			8,975			8,789
Reinvestment of Distributions Paid		65,014			13,432			45,052			29,970			77,924			29,913
Shares Redeemed		(53,936	)		(43,417	)		(28,735	)		(33,493	)		(75,581	)		(33,738	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		23,588			(13,169	)		46,609			11,901			11,318			4,964

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

224

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Large Cap Blend Portfolio						Index 500 Stock Portfolio						Large Company Value Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,511		$	1,309		$	67,102		$	59,096		$	3,460		$	3,726
Net Realized Gain (Loss) on Investments		14,078			18,019			38,550			149,490			21,152			29,653
Net Change in Unrealized Appreciation (Depreciation) of Investments		(42,548	)		13,123			(1,107,970	)		1,029,723			(29,517	)		11,402

Net Increase (Decrease) in Net Assets Resulting from Operations		(26,959	)		32,451			(1,002,318	)		1,238,309			(4,905	)		44,781

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(19,367	)		(13,080	)		(208,620	)		(186,699	)		(32,410	)		(5,187	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(19,367	)		(13,080	)		(208,620	)		(186,699	)		(32,410	)		(5,187	)

Capital Transactions:
Shares Sold		41,532			4,803			306,887			291,017			22,204			18,519
Reinvestment of Distributions Paid		19,367			13,080			208,620			186,699			32,410			5,187
Shares Redeemed		(21,772	)		(14,692	)		(343,625	)		(444,085	)		(92,445	)		(47,738	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		39,127			3,191			171,882			33,631			(37,831	)		(24,032	)

Total Increase (Decrease) in Net Assets		(7,199	)		22,562			(1,039,057	)		1,085,241			(75,146	)		15,562
Net Assets
Beginning of Period		203,126			180,564			5,504,971			4,419,729			227,560			211,998

End of Period	$	195,927		$	203,126		$	4,465,914		$	5,504,970		$	152,414		$	227,560

Portfolio Share Transactions:
Shares Sold		35,594			3,584			44,050			39,131			20,292			16,602
Reinvestment of Distributions Paid		18,515			10,031			31,701			24,195			37,082			4,538
Shares Redeemed		(19,365	)		(11,061	)		(48,998	)		(59,643	)		(83,073	)		(42,048	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		34,744			2,554			26,753			3,683			(25,699	)		(20,908	)

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

225

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Domestic Equity Portfolio						Equity Income Portfolio						Mid Cap Growth Stock Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	19,196		$	18,263		$	16,735		$	14,817		$	2,534		$	1,825
Net Realized Gain (Loss) on Investments		47,213			118,336			56,377			79,836			(13,699	)		97,265
Net Change in Unrealized Appreciation (Depreciation) of Investments		(95,306	)		72,800			(103,767	)		97,810			(311,849	)		35,035

Net Increase (Decrease) in Net Assets Resulting from Operations		(28,897	)		209,399			(30,655	)		192,463			(323,014	)		134,125

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(136,599	)		(41,951	)		(94,476	)		(17,168	)		(100,047	)		(177,020	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(136,599	)		(41,951	)		(94,476	)		(17,168	)		(100,047	)		(177,020	)

Capital Transactions:
Shares Sold		132,917			67,692			29,320			26,819			28,886			27,950
Reinvestment of Distributions Paid		136,599			41,951			94,476			17,168			100,047			177,020
Shares Redeemed		(140,578	)		(126,486	)		(164,225	)		(138,867	)		(72,666	)		(131,071	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		128,938			(16,843	)		(40,429	)		(94,880	)		56,267			73,899

Total Increase (Decrease) in Net Assets		(36,558	)		150,605			(165,560	)		80,415			(366,794	)		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	$	1,060,119		$	1,096,677		$	702,376		$	867,936		$	1,008,774		$	1,375,568

Portfolio Share Transactions:
Shares Sold		75,132			37,242			15,597			14,138			9,486			6,644
Reinvestment of Distributions Paid		87,228			23,229			56,708			8,979			36,079			45,390
Shares Redeemed		(79,436	)		(69,390	)		(87,588	)		(73,961	)		(23,199	)		(30,976	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		82,924			(8,919	)		(15,283	)		(50,844	)		22,366			21,058

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

226

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Index 400 Stock Portfolio						Mid Cap Value Portfolio						Small Cap Growth Stock Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	15,756		$	13,051		$	14,003		$	10,330		$	331		$	(543	)
Net Realized Gain (Loss) on Investments		50,041			120,098			84,236			100,755			(75,603	)		111,184
Net Change in Unrealized Appreciation (Depreciation) of Investments		(242,957	)		134,912			(107,181	)		26,542			(161,243	)		(75,989	)

Net Increase (Decrease) in Net Assets Resulting from Operations		(177,160	)		268,061			(8,942	)		137,627			(236,515	)		34,652

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(133,498	)		(49,492	)		(109,209	)		(12,785	)		(110,736	)		(82,706	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(133,498	)		(49,492	)		(109,209	)		(12,785	)		(110,736	)		(82,706	)

Capital Transactions:
Shares Sold		75,177			79,432			41,682			47,082			46,128			39,867
Reinvestment of Distributions Paid		133,498			49,492			109,209			12,785			110,736			82,706
Shares Redeemed		(96,244	)		(127,025	)		(86,631	)		(80,257	)		(44,750	)		(84,951	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		112,431			1,899			64,260			(20,390	)		112,114			37,622

Total Increase (Decrease) in Net Assets		(198,227	)		220,468			(53,891	)		104,452			(235,137	)		(10,432	)
Net Assets
Beginning of Period		1,335,937			1,115,469			704,855			600,403			830,014			840,446

End of Period	$	1,137,710		$	1,335,937		$	650,964		$	704,855		$	594,877		$	830,014

Portfolio Share Transactions:
Shares Sold		34,219			32,105			22,814			25,282			19,429			11,481
Reinvestment of Distributions Paid		68,007			20,185			69,076			6,732			56,182			24,821
Shares Redeemed		(44,442	)		(51,909	)		(47,794	)		(42,723	)		(19,130	)		(24,328	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		57,784			381			44,096			(10,709	)		56,481			11,974

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

227

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Index 600 Stock Portfolio						Small Cap Value Portfolio						International Growth Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	4,348		$	5,239		$	2,893		$	1,837		$	7,520		$	5,154
Net Realized Gain (Loss) on Investments		15,997			33,700			36,712			75,354			19,007			96,099
Net Change in Unrealized Appreciation (Depreciation) of Investments		(92,090	)		50,661			(165,134	)		59,393			(273,775	)		47,291

Net Increase (Decrease) in Net Assets Resulting from Operations		(71,745	)		89,600			(125,529	)		136,584			(247,248	)		148,544

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(37,396	)		(9,577	)		(77,602	)		(31,940	)		(101,272	)		(34,654	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(37,396	)		(9,577	)		(77,602	)		(31,940	)		(101,272	)		(34,654	)

Capital Transactions:
Shares Sold		44,672			52,725			23,597			18,877			138,892			82,450
Reinvestment of Distributions Paid		37,396			9,577			77,602			31,940			101,272			34,654
Shares Redeemed		(35,801	)		(52,001	)		(47,754	)		(85,236	)		(66,828	)		(87,004	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		46,267			10,301			53,445			(34,419	)		173,336			30,100

Total Increase (Decrease) in Net Assets		(62,874	)		90,324			(149,686	)		70,225			(175,184	)		143,990
Net Assets
Beginning of Period		434,426			344,102			685,304			615,079			1,068,232			924,242

End of Period	$	371,552		$	434,426		$	535,618		$	685,304		$	893,048		$	1,068,232

Portfolio Share Transactions:
Shares Sold		28,438			29,519			11,049			7,540			76,043			36,250
Reinvestment of Distributions Paid		26,826			5,423			41,521			13,016			64,959			14,284
Shares Redeemed		(23,153	)		(29,578	)		(22,515	)		(34,221	)		(36,768	)		(37,660	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		32,111			5,364			30,055			(13,665	)		104,234			12,874

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

228

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Research International Core Portfolio						International Equity Portfolio						Emerging Markets Equity Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	14,428		$	12,855		$	46,675		$	43,290		$	11,102		$	11,808
Net Realized Gain (Loss) on Investments		14,900			41,127			4,035			328,388			(27,311	)		89,271
Net Change in Unrealized Appreciation (Depreciation) of Investments		(197,850	)		50,336			(174,257	)		(282,534	)		(242,918	)		(145,185	)

Net Increase (Decrease) in Net Assets Resulting from Operations		(168,522	)		104,318			(123,547	)		89,144			(259,127	)		(44,106	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(54,639	)		(24,775	)		(88,599	)		(43,243	)		(78,273	)		(5,199	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(54,639	)		(24,775	)		(88,599	)		(43,243	)		(78,273	)		(5,199	)

Capital Transactions:
Shares Sold		110,188			93,466			127,200			144,483			188,456			141,055
Reinvestment of Distributions Paid		54,639			24,775			88,599			43,243			78,273			5,199
Shares Redeemed		(160,696	)		(125,682	)		(142,665	)		(148,238	)		(68,584	)		(127,554	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		4,131			(7,441	)		73,134			39,488			198,145			18,700

Total Increase (Decrease) in Net Assets		(219,030	)		72,102			(139,012	)		85,389			(139,255	)		(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	$	744,073		$	963,103		$	1,726,196		$	1,865,208		$	854,238		$	993,493

Portfolio Share Transactions:
Shares Sold		104,902			74,528			88,308			88,595			183,940			100,724
Reinvestment of Distributions Paid		58,940			18,927			67,325			26,050			88,544			3,633
Shares Redeemed		(154,216	)		(100,841	)		(96,849	)		(90,302	)		(68,782	)		(88,474	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		9,626			(7,386	)		58,784			24,343			203,702			15,883

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

229

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Government Money Market Portfolio						Short-Term Bond Portfolio						Select Bond Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	7,236		$	3		$	7,535		$	5,155		$	69,568		$	39,195
Net Realized Gain (Loss) on Investments		7			34			(6,684	)		1,732			(279,626	)		10,542
Net Change in Unrealized Appreciation (Depreciation) of Investments		—			—			(19,193	)		(7,662	)		(241,265	)		(105,282	)

Net Increase (Decrease) in Net Assets Resulting from Operations		7,243			37			(18,342	)		(775	)		(451,323	)		(55,545	)

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(7,243	)		(37	)		(6,405	)		(8,138	)		(55,391	)		(227,916	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(7,243	)		(37	)		(6,405	)		(8,138	)		(55,391	)		(227,916	)

Capital Transactions:
Shares Sold		341,118			349,697			50,070			74,950			167,116			375,420
Reinvestment of Distributions Paid		7,243			37			6,405			8,138			55,391			227,916
Shares Redeemed		(294,702	)		(443,188	)		(61,274	)		(45,499	)		(357,593	)		(295,727	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		53,659			(93,454	)		(4,799	)		37,589			(135,086	)		307,609

Total Increase (Decrease) in Net Assets		53,659			(93,454	)		(29,546	)		28,676			(641,800	)		24,148
Net Assets
Beginning of Period		488,858			582,312			412,284			383,608			3,428,416			3,404,268

End of Period	$	542,517		$	488,858		$	382,738		$	412,284		$	2,786,616		$	3,428,416

Portfolio Share Transactions:
Shares Sold		341,119			349,697			49,323			69,725			146,687			284,777
Reinvestment of Distributions Paid		7,243			37			6,418			7,678			50,817			179,886
Shares Redeemed		(294,703	)		(443,188	)		(60,598	)		(42,495	)		(318,256	)		(225,698	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		53,659			(93,454	)		(4,857	)		34,908			(120,752	)		238,965

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

230

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Long-Term U.S. Government Bond Portfolio						Inflation Protection Portfolio						High Yield Bond Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,816		$	2,460		$	20,661		$	14,878		$	40,826		$	40,904
Net Realized Gain (Loss) on Investments		(2,039	)		101			(11,350	)		10,325			(3,804	)		3,902
Net Change in Unrealized Appreciation (Depreciation) of Investments		(41,935	)		(10,623	)		(74,754	)		5,465			(129,365	)		(1,638	)

Net Increase (Decrease) in Net Assets Resulting from Operations		(41,158	)		(8,062	)		(65,443	)		30,668			(92,343	)		43,168

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(1,876	)		(26,311	)		(25,627	)		(5,725	)		(40,651	)		(43,872	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(1,876	)		(26,311	)		(25,627	)		(5,725	)		(40,651	)		(43,872	)

Capital Transactions:
Shares Sold		18,929			21,188			41,715			104,626			44,090			70,556
Reinvestment of Distributions Paid		1,876			26,311			25,627			5,725			40,651			43,872
Shares Redeemed		(16,483	)		(28,190	)		(66,655	)		(44,752	)		(104,674	)		(96,595	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		4,322			19,309			687			65,599			(19,933	)		17,833

Total Increase (Decrease) in Net Assets		(38,712	)		(15,064	)		(90,383	)		90,542			(152,927	)		17,129
Net Assets
Beginning of Period		138,869			153,933			513,931			423,389			842,332			825,203

End of Period	$	100,157		$	138,869		$	423,548		$	513,931		$	689,405		$	842,332

Portfolio Share Transactions:
Shares Sold		25,388			19,506			35,489			84,711			65,171			92,955
Reinvestment of Distributions Paid		2,679			27,931			23,383			4,555			64,731			58,809
Shares Redeemed		(21,977	)		(26,405	)		(57,454	)		(36,047	)		(154,215	)		(127,142	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		6,090			21,032			1,418			53,219			(24,313	)		24,622

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

231

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
	For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021			For the Year Ended December 31, 2022			For the Year Ended December 31, 2021
Change in Net Assets
Operations
Net Investment Income (Loss)	$	40,263		$	36,510		$	31,413		$	36,067		$	4,021		$	4,358
Net Realized Gain (Loss) on Investments		(58,886	)		32,861			75,927			169,860			16,723			22,817
Net Change in Unrealized Appreciation (Depreciation) of Investments		(185,968	)		(68,874	)		(438,806	)		(33,360	)		(67,978	)		4,301

Net Increase (Decrease) in Net Assets Resulting from Operations		(204,591	)		497			(331,466	)		172,567			(47,234	)		31,476

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(47,671	)		(39,035	)		(204,366	)		(168,562	)		(27,192	)		(22,798	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(47,671	)		(39,035	)		(204,366	)		(168,562	)		(27,192	)		(22,798	)

Capital Transactions:
Shares Sold		98,697			266,137			64,833			105,540			13,330			20,000
Reinvestment of Distributions Paid		47,671			39,035			204,366			168,562			27,192			22,798
Shares Redeemed		(98,178	)		(98,494	)		(231,813	)		(263,921	)		(29,134	)		(37,431	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		48,190			206,678			37,386			10,181			11,388			5,367

Total Increase (Decrease) in Net Assets		(204,072	)		168,140			(498,446	)		14,186			(63,038	)		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	$	1,112,579		$	1,316,651		$	1,883,127		$	2,381,573		$	257,699		$	320,737

Portfolio Share Transactions:
Shares Sold		100,385			232,274			47,449			65,875			11,640			14,856
Reinvestment of Distributions Paid		52,850			34,092			169,037			107,570			26,949			17,297
Shares Redeemed		(101,784	)		(86,001	)		(171,879	)		(164,644	)		(25,974	)		(27,887	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		51,451			180,365			44,607			8,801			12,615			4,266

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

232

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Year Ended December 31, 2022 (in thousands)


	Long-Term U.S. Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(41,158	)
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities
Purchase of Investment Securities		(158,125	)
Proceeds from Disposition of Investment Securities		92,832
Proceeds from Disposition (Purchase) of Short-Term Investments, net		1,521
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps		2,871
Proceeds from Securities Sold Short		59,843
Premiums Received for Options Written		41
Amortization (Accretion) of Premium/Discount, net		(1,051	)
(Increase) Decrease in:
Receivable for Investment Securities Sold		(3,624	)
Prepaid Expenses and Other Assets		(1	)
Dividends and Interest Receivable		(59	)
Increase (Decrease) in:
Investment Advisory Fees Payable		(24	)
Compliance Fees Payable		1
Directors Fees Payable		3
Accrued Expenses		(3	)
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities		41,860
Futures Contracts		(136	)
Options Written		6
Short Sales		(37	)
Swap Contracts		242
Net Realized (Gain) Loss from:
Investment Securities		5,948
Futures Contracts		(2,018	)
Paydowns		(5	)
Short Sales		(900	)
Swap Contracts		(991	)

Total Adjustments		38,194

Net Cash (Used in) Provided by Operating Activities		(2,964	)

Cash Flows from Financing Activities
Cash Received from Financing Transactions		1,608,280
Cash (Used for) Financing Transactions		(1,606,269	)
Proceeds from Portfolio Shares Sold		18,907
Payment on Portfolio Shares Redeemed		(16,493	)

Net Cash (Used in) Provided by Financing Activities		4,425

Net Increase (Decrease) in Cash and Cash Equivalents		1,461
Cash and Restricted Cash, Beginning of Period		423

Cash and Restricted Cash, End of Period	$	1,884

Cash and Restricted Cash is the sum of Cash and Collateral with Counterparty from the Statement of Assets and Liabilities. Supplemental disclosure of cash flow information:

Non-cash financing activities not included herein consist of reinvestment of dividends and distributions of $1,876.

Interest paid was $403 for the period ended December 31, 2022.

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

233

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through the period)


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments			Total Distributions			Net Asset Value, End of Period		Total Return^*			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^†			Ratio of Net Expenses to Average Net Assets^†			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
Growth Stock Portfolio
2022	$	4.04	$	0.00	^‡	$	(1.50	)	$	(1.50	)	$	—		$	(0.50	)	$	(0.50	)	$	2.04		(38.70	)%	$	750,703		0.43	%		0.43	%		0.04	%		14	%
2021		3.60		0.00	^‡		0.61			0.61			(0.00	)^‡		(0.17	)		(0.17	)		4.04		16.67			1,389,899		0.42			0.42			(0.10	)		36
2020		3.18		0.00	^‡		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
Focused Appreciation Portfolio
2022	$	4.32	$	0.00	^‡	$	(1.19	)	$	(1.19	)	$	(0.00	)^‡	$	(0.41	)	$	(0.41	)	$	2.72		(27.83	)%	$	963,929		0.74	%		0.62	%		(0.03	)%		18	%
2021		4.02		0.00	^‡		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
Large Cap Core Stock Portfolio
2022	$	2.21	$	0.02		$	(0.43	)	$	(0.41	)	$	(0.02	)	$	(0.34	)	$	(0.36	)	$	1.44		(18.88	)%	$	566,195		0.44	%		0.44	%		0.94	%		55	%
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
Large Cap Blend Portfolio
2022	$	1.39	$	0.01		$	(0.21	)	$	(0.20	)	$	(0.01	)	$	(0.10	)	$	(0.11	)	$	1.08		(13.78	)%	$	195,927		0.81	%		0.76	%		0.78	%		38	%
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

*	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.

†	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.

‡	Amount is less than $0.005.

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

234

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^*			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^†			Ratio of Net Expenses to Average Net Assets^†			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
Index 500 Stock Portfolio
2022	$	8.18	$	0.10	$	(1.59	)	$	(1.49	)	$	(0.09	)	$	(0.22	)	$	(0.31	)	$	6.38		(18.28	)%	$	4,465,914		0.21	%		0.20	%		1.41	%		2	%
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
Large Company Value Portfolio
2022	$	1.19	$	0.02	$	(0.03	)	$	(0.01	)	$	(0.04	)	$	(0.22	)	$	(0.26	)	$	0.92		(0.34	)%	$	152,414		0.78	%		0.74	%		1.87	%		37	%
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	^‡		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
Domestic Equity Portfolio
2022	$	1.93	$	0.03	$	(0.10	)	$	(0.07	)	$	(0.03	)	$	(0.20	)	$	(0.23	)	$	1.63		(2.99	)%	$	1,060,119		0.53	%		0.50	%		1.84	%		12	%
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
Equity Income Portfolio
2022	$	2.01	$	0.04	$	(0.10	)	$	(0.06	)	$	(0.04	)	$	(0.22	)	$	(0.26	)	$	1.69		(3.22	)%	$	702,376		0.65	%		0.57	%		2.17	%		15	%
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

*	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.

†	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.

‡	Amount is less than $0.005.

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

235

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through the period)


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments			Total Distributions			Net Asset Value, End of Period		Total Return^*			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^†			Ratio of Net Expenses to Average Net Assets^†			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
Mid Cap Growth Stock Portfolio
2022	$	3.94	$	0.01		$	(0.95	)	$	(0.94	)	$	(0.00	)^‡	$	(0.29	)	$	(0.29	)	$	2.71		(23.77	)%	$	1,008,774		0.53	%		0.53	%		0.23	%		46	%
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	)^‡		(0.61	)		(0.61	)		2.69		(7.38	)		943,370		0.54			0.54			0.19			33
Index 400 Stock Portfolio
2022	$	2.57	$	0.03		$	(0.38	)	$	(0.35	)	$	(0.02	)	$	(0.23	)	$	(0.25	)	$	1.97		(13.26	)%	$	1,137,710		0.28	%		0.25	%		1.34	%		14	%
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
Mid Cap Value Portfolio
2022	$	2.00	$	0.04		$	(0.08	)	$	(0.04	)	$	(0.04	)	$	(0.28	)	$	(0.32	)	$	1.64		(1.15	)%	$	650,964		0.88	%		0.72	%		2.10	%		74	%
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
Small Cap Growth Stock Portfolio
2022	$	3.22	$	0.00	^‡	$	(0.90	)	$	(0.90	)	$	–		$	(0.43	)	$	(0.43	)	$	1.89		(28.49	)%	$	594,877		0.56	%		0.56	%		0.05	%		52	%
2021		3.42		0.00	^‡		0.15			0.15			(0.00	)^‡		(0.35	)		(0.35	)		3.22		4.11			830,014		0.54			0.54			(0.06	)		43
2020		2.72		0.00	^‡		0.86			0.86			(0.00	)^‡		(0.16	)		(0.16	)		3.42		33.47			840,446		0.56			0.56			0.10			60
2019		2.35		0.00	^‡		0.79			0.79			(0.00	)^‡		(0.42	)		(0.42	)		2.72		35.69			671,870		0.56			0.56			0.13			42
2018		2.88		0.00	^‡		(0.28	)		(0.28	)		–			(0.25	)		(0.25	)		2.35		(11.71	)		520,622		0.56			0.56			0.10			52

*	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.

†	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.

‡	Amount is less than $0.005.

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

236

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^*			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^†			Ratio of Net Expenses to Average Net Assets^†			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
Index 600 Stock Portfolio
2022	$	1.85	$	0.02	$	(0.32	)	$	(0.30	)	$	(0.02	)	$	(0.14	)	$	(0.16	)	$	1.39		(16.37	)%	$	371,552		0.28	%		0.28	%		1.12	%		16	%
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	)^‡		(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
Small Cap Value Portfolio
2022	$	2.58	$	0.01	$	(0.48	)	$	(0.47	)	$	(0.01	)	$	(0.29	)	$	(0.30	)	$	1.81		(18.53	)%	$	535,618		0.88	%		0.87	%		0.50	%		27	%
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
International Growth Portfolio
2022	$	2.40	$	0.02	$	(0.58	)	$	(0.56	)	$	(0.01	)	$	(0.20	)	$	(0.21	)	$	1.63		(23.13	)%	$	893,048		0.62	%		0.62	%		0.84	%		15	%
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
Research International Core Portfolio
2022	$	1.29	$	0.02	$	(0.25	)	$	(0.23	)	$	(0.02	)	$	(0.06	)	$	(0.08	)	$	0.98		(17.16	)%	$	744,073		0.80	%		0.75	%		1.83	%		25	%
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

*	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.

†	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.

‡	Amount is less than $0.005.

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

237

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through the period)


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments			Total Distributions			Net Asset Value, End of Period		Total Return^*			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^†			Ratio of Net Expenses to Average Net Assets^†			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
International Equity Portfolio
2022	$	1.59	$	0.04		$	(0.15	)	$	(0.11	)	$	(0.04	)	$	(0.04	)	$	(0.08	)	$	1.40		(6.83	)%	$	1,726,196		0.69	%		0.63	%		2.69	%		13	%
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
Emerging Markets Equity Portfolio
2022	$	1.32	$	0.01		$	(0.35	)	$	(0.34	)	$	(0.01	)	$	(0.08	)	$	(0.09	)	$	0.89		(25.28	)%	$	854,238		1.09	%		0.91	%		1.29	%		33	%
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
Government Money Market Portfolio
2022	$	1.00	$	0.01		$	—		$	0.01		$	(0.01	)	$	(0.00	)‡	$	(0.01	)	$	1.00		1.36	%	$	542,517		0.33	%		0.28	%**		1.40	%		–	%
2021		1.00		0.00	^‡		—			0.00	^‡		(0.00	)^‡		(0.00	)‡		(0.00	)^‡		1.00		—			488,858		0.33			0.08	**		0.00			—
2020		1.00		0.00	^‡		—			0.00	^‡		(0.00	)^‡		(0.00	)‡		(0.00	)^‡		1.00		0.31			582,312		0.33			0.25	**		0.26			—
2019		1.00		0.02			—			0.02			(0.02	)		(0.00	)‡		(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	)‡		(0.02	)		1.00		1.54			443,474		0.34			0.34			1.53			—
Short-Term Bond Portfolio
2022	$	1.05	$	0.02		$	(0.07	)	$	(0.05	)	$	(0.01	)	$	(0.00	)^‡	$	(0.01	)	$	0.99		(4.52	)%	$	382,738		0.38	%		0.38	%		1.90	%		54	%§
2021		1.08		0.01			(0.02	)		(0.01	)		(0.02	)		(0.00	)^‡		(0.02	)��		1.05		(0.10	)		412,284		0.38			0.38			1.27			46	^§
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	^§
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	^§
2018		1.03		0.02			—			0.02			(0.02	)		—			(0.02	)		1.03		1.36			306,541		0.39			0.39			2.14			41	^§

*	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.

†	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.

‡	Amount is less than $0.005.

During the years ended December 31, 2022, 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 0.04%, 0.25% and 0.08%, respectively, if such voluntary waiver were excluded for the years ended December 31, 2022, 2021 and 2020. See Note 7 - Investment Advisory, Sub-Advisory and Compliance Fees for more information.

§	Portfolio Turnover Rate excludes the impact of TBA transactions.

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

238

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^*			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^†			Ratio of Net Expenses to Average Net Assets^†			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
Select Bond Portfolio
2022	$	1.26	$	0.03	$	(0.20	)	$	(0.17	)	$	(0.02	)	$	(0.00	)^‡	$	(0.02	)	$	1.07		(13.33	)%	$	2,786,616		0.31	%		0.31	%		2.30	%		275	%§
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	^§
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	^§
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	^§
2018		1.26		0.03		(0.03	)		0.00	^‡		(0.03	)		—			(0.03	)		1.23		(0.21	)		2,967,993		0.31			0.31			2.74			294	^§
Long-Term U.S. Government Bond Portfolio**
2022	$	0.94	$	0.02	$	(0.30	)	$	(0.28	)	$	(0.01	)	$	—		$	(0.01	)	$	0.65		(29.53	)%	$	100,157		1.02	%**		0.98	%**		2.49	%		27	%§
2021		1.21		0.02		(0.08	)		(0.06	)		(0.01	)		(0.20	)		(0.21	)		0.94		(5.37	)		138,869		0.67	**		0.67	**		1.73			28	^§
2020		1.12		0.02		0.17			0.19			(0.02	)		(0.08	)		(0.10	)		1.21		17.37			153,933		0.94	**		0.94	**		1.61			157	^§
2019		1.01		0.02		0.11			0.13			(0.02	)		—			(0.02	)		1.12		13.17			122,854		1.25	**		1.23	**		2.06			5	^§
2018		1.08		0.03		(0.06	)		(0.03	)		(0.02	)		(0.02	)		(0.04	)		1.01		(2.04	)		111,468		0.90	**		0.89	**		2.48			43	^§
Inflation Protection Portfolio
2022	$	1.28	$	0.05	$	(0.21	)	$	(0.16	)	$	(0.04	)	$	(0.03	)	$	(0.07	)	$	1.05		(12.96	)%	$	423,548		0.57	%		0.54	%		4.44	%		51	%
2021		1.21		0.04		0.04			0.08			(0.01	)		(0.00	)‡		(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
High Yield Bond Portfolio
2022	$	0.75	$	0.04	$	(0.12	)	$	(0.08	)	$	(0.04	)	$	—		$	(0.04	)	$	0.63		(11.33	)%	$	689,405		0.45	%		0.45	%		5.54	%		19	%
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

*	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.

†	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.

‡	Amount is less than $0.005.

§	Portfolio Turnover Rate excludes the impact of TBA transactions.

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 0.68% and 0.65% respectively for the period ended December 31, 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.

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

239

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through the period)


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments			Total Distributions			Net Asset Value, End of Period		Total Return^*			Net Assets, End of Period (thousands)		Ratio of Gross Expenses to Average Net Assets^†			Ratio of Net Expenses to Average Net Assets^†			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate
Multi-Sector Bond Portfolio
2022	$	1.13	$	0.03	$	(0.21	)	$	(0.18	)	$	(0.04	)	$	(0.00	)‡	$	(0.04	)	$	0.91		(15.39	)%	$	1,112,579		0.81	%^**		0.72	%^**		3.48	%		18	%
2021		1.16		0.03		(0.03	)		0.00	‡		(0.02	)		(0.01	)		(0.03	)		1.13		(0.08	)		1,316,651		0.81	^**		0.71	^**		2.90			21
2020		1.14		0.04		0.03			0.07			(0.05	)		(0.00	)‡		(0.05	)		1.16		6.13			1,148,511		0.82	^**		0.73	^**		3.23			30	§
2019		1.05		0.04		0.10			0.14			(0.05	)		—			(0.05	)		1.14		14.04			1,021,824		0.83	^**		0.74	^**		3.53			30	§
2018		1.09		0.04		(0.05	)		(0.01	)		(0.03	)		—			(0.03	)		1.05		(1.30	)		874,943		0.82	^**		0.75	^**		3.67			37	§
Balanced Portfolio
2022	$	1.57	$	0.02	$	(0.24	)	$	(0.22	)	$	(0.05	)	$	(0.09	)	$	(0.14	)	$	1.21		(14.14	)%	$	1,883,127		0.31	%		0.06	%		1.54	%		30	%
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
Asset Allocation Portfolio
2022	$	1.33	$	0.02	$	(0.23	)	$	(0.21	)	$	(0.03	)	$	(0.08	)	$	(0.11	)	$	1.01		(14.83	)%	$	257,699		0.57	%		0.09	%		1.46	%		35	%
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

*	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.

†	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.

‡	Amount is less than $0.005.

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 December 31, 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.

§	Portfolio Turnover Rate excludes the impact of TBA transactions.

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

240

Notes to Financial Statements

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 (2019 to 2022) 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

241

Notes to Financial Statements

or more Portfolios are allocated among applicable Portfolios on an equitable and consistent basis considering such things as the nature and type of expenses and the relative net assets of the Portfolios. The Portfolios consider highly liquid temporary cash investments purchased with an original maturity of less than three months to be cash equivalents. Cash equivalents are included in the short-term investments on the Schedule of Investments as well as in investments on the 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 and December 2022, the FASB issued ASU 2021-01 and ASU 2022-06, respectively. ASU 2021-01 and 2022-06 provide 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, 2024. 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 price or closing bid price, if no sales have occurred. To the extent these securities are actively traded and valuation

242

Notes to Financial Statements

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.

•

Short-term 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 December 31, 2022 included, but were not limited to, broker quotes, liquidity, prepayment speed, duration, geopolitical events and recoverability.

243

Notes to Financial Statements

A table summarizing each Portfolio’s investments under this hierarchy is included following each Portfolio’s Schedule of Investments. Transfers between investment levels may occur as markets fluctuate and/or the availability of data used in investments’ valuation changes. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. Additionally, U.S GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets categorized as Level 3 in the fair value hierarchy. In accordance with the requirements, a Level 3 reconciliation and details of significant unobservable inputs have been included in the notes to the Schedule of Investments for Portfolios that have a material amount of Level 3 investments. As of December 31, 2022, there were no Portfolios that owned a material amount of Level 3 securities.

The Series Fund and Mason Street Advisors, LLC (“MSA”), the Portfolios’ investment adviser, have adopted joint policies and procedures (“Pricing Procedures”) which govern the pricing of Portfolio securities and other investments. The Board has approved the Pricing Procedures and designated MSA as the Board’s valuation designee under Rule 2a-5 of the 1940 Act to be responsible for the execution of the valuation process for the securities and other assets held by each Portfolio. The day-to-day responsibility for pricing Portfolio securities and other investments has been delegated to State Street Bank and Trust Company in its capacity as fund accountant, subject to the oversight of MSA. MSA has formed a cross-functional group comprised of representatives from Northwestern Mutual and Series Fund officers to assist it with its responsibilities as valuation designee. While the Board has designated MSA to perform these responsibilities, it oversees MSA in its role as valuation designee.

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, and the Portfolios post collateral to meet margin requirements. A Portfolio may dispose of or renegotiate a delayed delivery transaction, which may result in a capital gain or loss.

B. Repurchase Agreements — Certain Portfolios may engage in repurchase transactions. Under the terms of a typical repurchase agreement, a Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and a Portfolio to resell, the obligation at an agreed upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Portfolio’s custodian or designated sub-custodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed at all times the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. If the counterparty should default, a Portfolio will seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

C. Restricted Securities — Certain Portfolios may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from registration before being sold to the public. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.

D. Foreign Currency Transactions — Certain Portfolios may have securities and other assets and liabilities denominated in foreign currencies which are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. When the Portfolios purchase or sell a foreign security they may enter into a foreign currency exchange contract to minimize exchange rate risk from the trade date to the settlement date of such transaction. Such foreign currency exchange contracts are marked to market daily.

The Portfolios do not separately report the results of operations due to fluctuations in foreign exchange rates on investments from the changes arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

244

Notes to Financial Statements

Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, and the differences between the amounts of income and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent of the amounts actually received or paid.

E. Mortgage Backed and Asset Backed Securities — Certain Portfolios may invest in mortgage backed securities, including collateralized mortgage obligations, and asset backed securities. Mortgage backed securities are interests in pools of residential or commercial mortgage loans and asset backed securities are interests in pools of other assets, including various types of loans and credit card receivables. These securities provide a monthly payment, consisting of both a principal and interest component. Interest payments may be based on either fixed rates or adjustable rates. Receipt of principal payment reduces the outstanding par amount of the security and may generate realized gains or losses. Yields on mortgage backed securities are affected by interest and prepayment rates, which, in turn, are influenced by a variety of economic, geographical, social and other factors. Maturities on mortgage backed securities represent stated maturity dates. Actual maturity dates may differ based on prepayment rates. Unlike mortgage backed securities issued or guaranteed by the U.S. government or one of its sponsored entities, mortgage backed securities and asset backed securities issued by private issuers do not have a government or government sponsored entity guarantee. These issuers may provide credit enhancements through external entities such as financial institutions or through the structuring of the transaction itself. There is no guarantee that credit enhancements, if any, will be sufficient to prevent losses.

F. Inflation-Indexed Bonds — Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, interest will be paid based on a principal value, which is adjusted for inflation. Any increase 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 year ended December 31, 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 tranches of a loan, each of which can have different terms and associated risks. The Portfolios generally do not have a right

245

Notes to Financial Statements

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. Unfunded loan commitments are reflected as a liability on the Statements of Assets and Liabilities.

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.

246

Notes to Financial Statements

C. Options — Certain Portfolios may write call and put options on futures, swaps, securities or currencies they own or in which they may invest. Writing put options tends to increase a Portfolio’s exposure to the underlying instrument. Writing call options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio writes a put option, it is exposed to a decline in the price of the underlying security. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying future, swap, security or currency may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.

Certain Portfolios may also purchase call and put options on futures, swaps, securities or currencies they own or in which they may invest. Purchasing call options tends to increase a Portfolio’s exposure to the underlying instrument. Purchasing put options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio pays a premium on the purchase of a put option but receives the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio purchases a call option, it is exposed to a decline in the price of the underlying security. Premiums paid are reflected in the Statements of Assets and Liabilities as an investment and are subsequently marked to market to reflect the current value of the option. Premiums paid from purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying future, swap, security or currency transaction to determine realized gain or loss. The risk associated with a Portfolio purchasing call or put options is limited to the premium paid.

D. Swap Agreements — The Portfolios may enter into swap agreements on interest rate, total return and credit default to manage their exposure to interest rates, foreign currencies, investment style risk and credit risk or as an alternative to direct investing. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements. Swap agreements are privately negotiated in 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.

247

Notes to Financial Statements

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.

Credit Default Swaps — Credit default swap agreements involve one party making a series of payments to another party in exchange for the right to receive a cash payment equal to the notional value of the swap in the event of a default by a third party, typically corporate issues or sovereign issues of an emerging market country. A Portfolio may use credit default swaps to provide a measure of protection against defaults of the issuers where the Portfolio owns or has exposure to the corporate or sovereign issue or to take an active long or short position on the likelihood of a particular issuer’s default.

As a seller of protection, the Portfolio generally receives an upfront payment and/or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Portfolio adds leverage to its investments because the Portfolio has investment exposure on the notional amount of the swap. As a buyer of protection, the Portfolio generally makes an upfront payment or pays a fixed rate of interest throughout the term of the swap provided that there is no credit event. The Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging market country serve as an indicator of the current status of the payment/performance risk and represent the likelihood of a credit event occurring. The implied credit spread of a particular referenced entity reflects the cost of selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and indicate a greater likelihood a credit event could occur as defined under the terms of the agreement. Open credit default swaps on corporate or sovereign issues and credit indices are disclosed in the Schedules of Investments.

If the Portfolio is a seller of protection and a credit event occurs, the Portfolio will either pay to the buyer of the protection an amount equal to the notional value of the swap and may take delivery of the obligation or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the agreement. Notional amounts and fair market value of all credit default swap agreements outstanding for each Portfolio are disclosed in the Schedules of Investments. These maximum potential amounts would be partially offset by any recovery values of the referenced obligations, upfront payments received upon entering into the agreement, or net amounts received by the Portfolio from the settlement of credit default swap agreements purchasing protection for the same referenced obligation.

E. Derivative Disclosures — Derivative positions held by the Portfolios by contract type and primary risk exposure, including location on the Statement of Assets and Liabilities and value as of December 31, 2022, are (amounts in thousands):

Portfolio

Asset Derivatives

Liability Derivatives

Statement of Assets and

Liabilities Location

Value

Statement of Assets and

Liabilities Location

Value

Index 500 Stock Portfolio

Equity contracts

Receivables – Variation Margin (Futures)

—

Payables –Variation Margin (Futures)

143

Large Company Value Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Index 400 Stock Portfolio

Equity contracts

Receivables – Variation Margin (Futures)

—

Payables – Variation Margin (Futures)

Mid Cap Value Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

Payables – Foreign Currency

342

248

Notes to Financial Statements

Portfolio

Asset Derivatives

Liability Derivatives

Statement of Assets and

Liabilities Location

Value

Statement of Assets and

Liabilities Location

Value

Index 600 Portfolio

Equity contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

International Equity Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

3,507

Payables – Foreign Currency

932

Short-Term Bond Portfolio

Interest rate contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

Interest rate contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

Interest rate contracts

Receivables – Outstanding Options Written, at Value

Payables – Outstanding Options Written, at Value

Inflation Protection Portfolio

Forward foreign currency contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Inflation contracts

Receivables –Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

Inflation contracts

Receivables – Outstanding Swaps Contracts, at Value

6,108

Payables – Outstanding Swaps Contracts, at Value

343

Multi-Sector Bond Portfolio

Credit contracts

Receivables – Outstanding Swaps Contracts, at Value

322

Payables – Outstanding Swaps Contracts, at Value

334

Credit contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

Forward foreign

Receivables – Foreign Currency

304

Payables – Foreign Currency

4,580

currency contracts

Interest rate contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

417

Interest rate contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

203

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the year ended December 31, 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	$	-	$	(8,614	)	$	-		$	-	$	(8,614	)
Large Company Value Portfolio
Forward foreign currency contracts		-		-			1,429			-		1,429
Equity Income Portfolio
Forward foreign currency contracts		-		-			(7	)		-		(7	)
Index 400 Stock Portfolio
Equity contracts		-		(167	)		-			-		(167	)
Mid Cap Value Portfolio
Forward foreign currency contracts		-		-			3,245			-		3,245
Index 600 Stock Portfolio
Equity contracts		-		(1,007	)		-			-		(1,007	)
International Growth Portfolio
Forward foreign currency contracts		-		-			(56	)		-		(56	)

249

Notes to Financial Statements


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options Written		Futures			Forward Foreign Currency Contracts			Swaps			Total
Research International Core Portfolio
Forward foreign currency contracts	$	-	$	-		$	(190	)	$	-		$	(190	)
International Equity Portfolio
Forward foreign currency contracts		-		-			4,888			-			4,888
Emerging Markets Equity Portfolio
Forward foreign currency contracts		-		-			75			-			75
Short-Term Bond Portfolio
Interest rate contracts		-		(2,546	)		-			3			(2,543	)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		2,018			-			991			3,009
Inflation Protection Portfolio
Forward foreign currency contracts		-		-			69			-			69
Interest rate contracts		-		(225	)		-			-			(225	)
Inflation contracts		-		-			-			3,508			3,508
Multi-Sector Bond Portfolio
Credit contracts		-		-			-			(9,483	)		(9,483	)
Forward foreign currency contracts		-		-			25,712			-			25,712
Interest rate contracts		138		(50,607	)		-			(5,602	)		(56,071	)

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the year ended December 31, 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	$	-		$	(2,666	)	$	-		$	-		$	(2,666	)
Large Company Value Portfolio
Forward foreign currency contracts		-			-			182			-			182
Equity Income Portfolio
Forward foreign currency contracts		-			-			(1	)		-			(1	)
Index 400 Stock Portfolio
Equity contracts		-			(678	)		-			-			(678	)
Mid Cap Value Portfolio
Forward foreign currency contracts		-			-			196			-			196
Index 600 Stock Portfolio
Equity Contracts		-			(145	)		-			-			(145	)
International Growth Portfolio
Forward foreign currency contracts		-			-			(64	)		-			(64	)
Research International Core Portfolio
Forward foreign currency contracts		-			-			(85	)		-			(85	)
International Equity Portfolio
Forward foreign currency contracts		-			-			3,224			-			3,224
Emerging Markets Equity Portfolio
Forward foreign currency contracts		-			-			(502	)		-			(502	)
Short-Term Bond Portfolio
Interest rate contracts		-			256			-			-			256
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		(6	)		136			-			(242	)		(112	)

250

Notes to Financial Statements


	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	$	-	$	-		$	73	$	-		$	73
Interest rate contracts		-		135			-		-			135
Inflation contracts		-		-			-		2,037			2,037
Multi-Sector Bond Portfolio
Credit contracts		-		-			-		818			818
Forward foreign currency contracts		-		-			374		-			374
Interest rate contracts		-		(3,008	)		-		(3,339	)		(6,347	)

Volumes on derivative instruments by contract type and primary risk exposure, for the year ended December 31, 2022 are:


Portfolio	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
	Exchange Traded Options		Futures		Forward Foreign Currency Contracts		Swaps		Over the Counter Options
Index 500 Stock Portfolio
Equity contracts		-		256		-		-		-
Large Company Value Portfolio
Forward foreign currency contracts		-		-		18,012		-		-
Index 400 Stock Portfolio
Equity contracts		-		62		-		-		-
Mid Cap Value Portfolio
Forward foreign currency contracts		-		-		53,288		-		-
Index 600 Stock Portfolio
Equity contracts		-		52		-		-		-
International Equity Portfolio
Forward foreign currency contracts		-		-		163,717		-		-
Emerging Markets Equity Portfolio
Forward foreign currency contracts		-		-		16		-		-
Short-Term Bond Portfolio
Interest rate contracts		-		492		-		-		-
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		329		-		24,240		400
Inflation Protection Portfolio
Forward foreign currency contracts		-		-		7,021		-		-
Interest rate contracts		-		79		-		-		-
Inflation contracts		-		-		-		194,040		-
Multi-Sector Bond Portfolio
Credit contracts		-		-		-		297,693		-
Forward foreign currency contracts		-		-		776,881		-		-
Interest rate contracts		-		2,512		-		1,257,226		12,992

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 ingeneral, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Portfolios’ income. Similar to credit risk, the Portfoliosmay be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettledor open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction

251

Notes to Financial Statements

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.

The value of a Portfolio’s investments may decline because of economic changes or other events, such as inflation (or expectations for inflation), deflation (or expectations for deflation), interest rates, global demand for particular products or resources, market instability, debt crises and downgrades, embargoes, tariffs, sanctions and other trade barriers, regulatory events, other governmental trade or market control programs and related geopolitical events. The global economies and financial markets are becoming increasingly interconnected, which increases the possibility that conditions in one country or region might adversely impact issuers in a different country or region. Local and global markets and normal market operations can be adversely affected by significant market disruptions. Market disruptions can be caused by local, regional or global events such as war, military conflict, political instability, acts of terrorism, social unrest, environmental disasters, natural disasters or events, trade disputes, supply chain disruptions, spread of infectious diseases or other public health issues, climate change, recessions, or other events. Climate change, the outbreak of infectious diseases or other public health issues may exacerbate other pre-existing political, social, economic, market and financial risks. Certain illnesses spread rapidly and have the potential to significantly and adversely affect the global economy. The impact of infectious diseases in developing or emerging market countries may be greater due to less established health care systems. The impact of any such events could negatively affect the global economy as well as the economies of individual countries, the financial performance of individual companies, sectors and industries, and the markets in general in significant and unforeseen ways. Such events may affect certain sectors, industries, businesses, geographic regions or countries more significantly than others. In addition, any of such circumstances could result in disruptions in the trading markets and could result in increased market volatility. Such events could adversely affect the prices and liquidity of a Portfolio’s securities and could have a materially negative impact on the value of a Portfolio. Such events also could impact the ability of the Fund to process transactions or perform other operational activities. The Fund cannot predict the effects of geopolitical or other events in the future on the U.S. and other economies, the securities markets, or the Portfolios.

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 remain challenges to converting certain securities and transactions to a new reference rate. Although the transition process away from the use of LIBOR has become increasingly well-defined and replacement reference rates have been established for all LIBOR currencies, the potential effects of the transition on existing financial instruments in which the Fund invests which reference LIBOR may be difficult to ascertain. Changes accompanying the transition to a new reference rate may have an adverse impact on a Fund’s investments, performance or financial condition.

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

252

Notes to Financial Statements

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 year ended December 31, 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)
Counterparty	Forward Foreign Currency Contracts		Swaps		Total Assets		Forward Foreign Currency Contracts			Swaps		Total Liabilities			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Bank of America NA	$	16	$	-	$	16	$	-		$	-	$	-		$	16		$	-	$	16
Goldman Sachs International		-		-		-		(61	)		-		(61	)		(61	)		61		-
Morgan Stanley Capital Services, Inc.		-		-		-		(5	)		-		(5	)		(5	)		-		(5	)

Total	$	16	$	-	$	16	$	(66	)	$	-	$	(66	)	$	(50	)	$	61	$	11


Mid Cap Value Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts		Swaps		Total Assets		Forward Foreign Currency Contracts			Swaps		Total Liabilities			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Bank of America NA	$	36	$	-	$	36	$	(1	)	$	-	$	(1	)	$	35		$	-	$	35
Goldman Sachs International		3		-		3		(341	)		-		(341	)		(338	)		338		-

Total	$	39	$	-	$	39	$	(342	)	$	-	$	(342	)	$	(303	)	$	338	$	35

253

Notes to Financial Statements



International Equity Portfolio

	Derivative Assets (000’s)								Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts			Swaps		Total Assets			Forward Foreign Currency Contracts			Swaps			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Bank of America NA	$	78		$	-	$	78		$	(203	)	$	-		$	(203	)	$	(125	)	$	-		$	(125	)
Citibank NA		237			-		237			-			-			-			237			(237	)		-
Goldman Sachs Bank USA		590			-		590			(144	)		-			(144	)		446			(446	)		-
HSBC Bank USA		1,533			-		1,533			(225	)		-			(225	)		1,308			(1,308	)		-
JP Morgan Chase Bank NA		446			-		446			(251	)		-			(251	)		195			(195	)		-
Morgan Stanley and Co.
International		-			-		-			(2	)		-			(2	)		(2	)		-			(2	)
Standard Chartered Bank		344			-		344			(107	)		-			(107	)		237			(237	)		-
UBS AG		279			-		279			-			-			-			279			(279	)		-

Total	$	3,507		$	-	$	3,507		$	(932	)	$	-		$	(932	)	$	2,575		$	(2,702)		$	(127	)


Inflation Protection Portfolio

	Derivative Assets (000’s)								Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts			Swaps		Total Assets			Forward Foreign Currency Contracts			Swaps			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Bank of America NA	$	-		$	1,732	$	1,732		$	-		$	(14	)	$	(14	)	$	1,718		$	(1,697	)	$	21
Barclays Bank PLC		-			398		398			-			(329	)		(329	)		69			-			69
Goldman Sachs International		-			3,978		3,978			-			-			-			3,978			(3,970	)		8
Morgan Stanley Capital Services, Inc.		-			-		-			(6	)		-			(6	)		(6	)		-			(6	)

Total	$	-		$	6,108	$	6,108		$	(6	)	$	(343	)	$	(349	)	$	5,759		$	(5,667)		$	92


Multi-Sector Bond Portfolio

	Derivative Assets (000’s)								Derivative Liabilities (000’s)
Counterparty	Forward Foreign Currency Contracts			Swaps		Total Assets			Forward Foreign Currency Contracts			Swaps			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Bank of America NA	$	34		$	-	$	34		$	(3	)	$	-		$	(3	)	$	31		$	-		$	31
Barclays Bank PLC		90			-		90			(206	)		(198	)		(404	)		(314	)		276			(38	)
BNP Paribas SA		28			-		28			(7	)		-			(7	)		21			-			21
Goldman Sachs International		-			-		-			-			(99	)		(99	)		(99	)		-			(99	)
Goldman Sachs Bank USA		91			-		91			(82	)		-			(82	)		9			(9	)		-
HSBC Bank PLC		60			-		60			(4,050	)		-			(4,050	)		(3,990	)		3,060			(930	)
JP Morgan Chase Bank NA		1			322		323			(218	)		(21	)		(239	)		84			(84	)		-
Morgan Stanley Capital Services LLC		-			-		-			-			(16	)		(16	)		(16	)		-			(16	)
Royal Bank of Canada		-			-		-			(14	)		-			(14	)		(14	)		-			(14	)
UBS AG		-	π		-		-	π		-			-			-			-	π		-			-	π

Total	$	304		$	322	$	626		$	(4,580	)	$	(334)		$	(4,914	)	$	(4,288	)	$	3,243		$	(1,045	)

254

Notes to Financial Statements

The following is a summary by counterparty of the market value of repurchase agreements, financing transactions, collateral and net exposure as of period end:

Government Money Market Portfolio


Counterparty	Investment in Repurchase Agreements		Payable for Reverse Repurchase Agreements			Payable for Financing Transactions			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Bank of Montreal	$	21,000	$	-		$	-		$	21,000		$	(21,000	)	$	-
Bank of Nova Scotia		10,000		-			-			10,000			(10,000	)		-
BNP Paribas		30,000		-			-			30,000			(30,000	)		-
Citigroup Global Markets, Inc.		29,000		-			-			29,000			(29,000	)		-
Goldman Sachs Group LP		20,000		-			-			20,000			(20,000	)		-
Mitsubishi UFJ		35,000		-			-			35,000			(35,000	)		-
Mizuho Securities		40,000		-			-			40,000			(40,000	)		-
Morgan Stanley		41,000		-			-			41,000			(41,000	)		-
Natixis S.A.		30,000		-			-			30,000			(30,000	)		-
TD Securities		40,000		-			-			40,000			(40,000	)		-

Total	$	296,000	$	-		$	-		$	296,000		$	(296,000	)	$	-


Long-Term U.S. Government Bond Portfolio

Counterparty	Investment in Repurchase Agreements		Payable for Short Sales			Payable for Financing Transactions			Net Market Value			Collateral Pledged/ (Received)			Net Exposure
Barclays Capital Inc.	$	-	$	-		$	(26,380	)	$	(26,380	)	$	26,271		$	(109	)
Goldman Sachs International		-		-			(55,302	)		(55,302	)		55,295			(7	)
JP Morgan Chase Bank NA		-		(1,347	)		-			(1,347	)		-			(1,347	)
Morgan Stanley Capital
Services		-		(3,079	)		(58,989	)		(62,068	)		58,981			(3,087	)

Total	$	-	$	(4,426	)	$	(140,671	)	$	(145,097)		$	140,547		$	(4,550	)

The Long-Term U.S. Government Bond Portfolio average amount of borrowings outstanding during the year ended December 31, 2022 was $33,981 (amount in thousands) at a weighted average interest rate of 1.566%. 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
BNP Paribas	$	63,700	$	-		$	-	$	63,700		$	(63,700	)	$	-
Goldman Sachs		50,000		-			-		50,000			(50,000	)		-
JP Morgan Chase Bank NA		-		(535	)		-		(535	)		535			-

Total	$	113,700	$	(535	)	$	-	$	113,165		$	(113,165	)	$	-

The Multi-Sector Bond Portfolio average amount of borrowings outstanding during the year ended December 31, 2022 was $1,731 (amount in thousands) at a weighted average interest rate of 0.700%. 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	%

255

Notes to Financial Statements


Portfolio	Fee
Small Cap Value Portfolio		0.85	%
Government Money Market Portfolio		0.30	%
Select Bond Portfolio		0.30	%
Balanced Portfolio		0.30	%

For the other Portfolios, the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:


Portfolio	First $50 Million			Next $50 Million			Excess Over $100 Million
Growth Stock Portfolio		0.60	%		0.50	%		0.40	%
Large Cap Core Stock Portfolio		0.60	%		0.50	%		0.40	%
Mid Cap Growth Stock Portfolio		0.80	%		0.65	%		0.50	%
Small Cap Growth Stock Portfolio		0.80	%		0.65	%		0.50	%
High Yield Bond Portfolio		0.60	%		0.50	%		0.40	%

Portfolio	First $100 Million			Next $400 Million			Excess Over $500 Million
Focused Appreciation Portfolio		0.80	%		0.75	%		0.70	%

Portfolio	First $100 Million			Next $150 Million			Excess Over $250 Million
Large Company Value Portfolio		0.72	%		0.67	%		0.62	%
Domestic Equity Portfolio		0.65	%		0.55	%		0.50	%
International Growth Portfolio		0.75	%		0.65	%		0.55	%
Short-Term Bond Portfolio		0.35	%		0.33	%		0.30	%
Long-Term U.S. Government Bond Portfolio		0.555	%		0.515	%		0.495	%
Inflation Protection Portfolio		0.58	%		0.55	%		0.49	%
Multi-Sector Bond Portfolio		0.79	%		0.78	%		0.77	%
Asset Allocation Portfolio		0.60	%		0.50	%		0.40	%

Portfolio	First $150 Million			Next $150 Million			Next $200 Million			Excess Over $500 Million
Large Cap Blend Portfolio		0.77	%		0.70	%		0.62	%		0.56	%
Research International Core Portfolio		0.88	%		0.82	%		0.75	%		0.68	%

Portfolio	First $500 Million			Excess Over $500 Million
Equity Income Portfolio		0.65	%		0.60	%

Portfolio	First $200 Million			Excess Over $200 Million
Index 600 Stock Portfolio		0.25	%		0.20	%

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:

256

Notes to Financial Statements


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 – For the period from January 1, 2022 through June 30, 2022, MSA 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. Effective July 1, 2022, 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.

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.

257

Notes to Financial Statements

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% 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

258

Notes to Financial Statements

agreed to waive its advisory fee and/or reimburse expenses in excess of the Government Money Market Portfolio’s daily yield so as to maintain a zero or positive yield for the Portfolio. This voluntary waiver is reviewed periodically by MSA in light of market and economic developments and may be revised or discontinued at any time without advance notice.

Short-Term Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.35% on the Portfolio’s first $100 million of average net assets, 0.33% on the next $150 million, 0.30% on the next $250 million, and 0.28% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 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.

259

Notes to Financial Statements

It is the policy of the Portfolios to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the Statements of Assets and Liabilities. Permanent differences primarily relate to character differences with respect to income on swaps, foreign currency transactions, foreign bond sales, passive foreign investment companies and paydowns on structured product investments.

A summary of the Portfolios’ capital loss carryovers as of December 31, 2022 is provided below:


	Short-Term Loss Carryover		Long-Term Loss Carryover		Losses Utilized
	(Amounts in thousands)
Growth Stock Portfolio	$	31,225	$	23,305	$	-
Mid Cap Growth Stock Portfolio		15,848		-		-
Small Cap Growth Stock Portfolio		40,983		34,286		-
International Equity Portfolio		1,028		-		-
Emerging Markets Equity Portfolio		27,287		-		-
Short-Term Bond Portfolio		4,226		3,010		-
Select Bond Portfolio		184,255		93,379		-
Long-Term U.S. Government Bond Portfolio		-		10,002		146
Inflation Protection Portfolio		8,738		4,886		-
High Yield Bond Portfolio		328		8,568		-
Multi-Sector Bond Portfolio		27,781		44,723		-

Capital losses are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the first day of the next fiscal year.

When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the years ended December 31, 2022 and 2021 was as follows:


	2022 Distributions Paid From:				2021 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain		Ordinary Income		Long-term Capital Gain
			(Amounts in thousands)
Growth Stock Portfolio	$	8,528	$	142,825	$	50	$	55,949
Focused Appreciation Portfolio		2,197		125,795		8,040		120,591
Large Cap Core Stock Portfolio		34,391		81,325		10,068		53,289
Large Cap Blend Portfolio		1,337		18,030		1,241		11,839
Index 500 Stock Portfolio		64,069		144,551		66,172		120,527
Large Company Value Portfolio		12,442		19,968		5,187		-
Domestic Equity Portfolio		30,154		106,445		18,598		23,353
Equity Income Portfolio		22,774		71,701		17,168		-
Mid Cap Growth Stock Portfolio		1,611		98,437		37,141		139,880
Index 400 Stock Portfolio		31,873		101,625		20,914		28,578
Mid Cap Value Portfolio		44,485		64,725		7,676		5,109
Small Cap Growth Stock Portfolio		3,020		107,716		24,801		57,905
Index 600 Stock Portfolio		11,797		25,599		5,359		4,217
Small Cap Value Portfolio		12,120		65,482		2,594		29,347
International Growth Portfolio		8,194		93,077		5,610		29,044
Research International Core Portfolio		20,345		34,292		10,349		14,425
International Equity Portfolio		41,796		46,803		43,243		-
Emerging Markets Equity Portfolio		19,997		58,276		5,199		-
Government Money Market Portfolio		7,243		-		10		27
Short-Term Bond Portfolio		6,234		172		8,138		-
Select Bond Portfolio		51,441		3,949		202,684		25,232
Long-Term U.S. Government Bond Portfolio		1,876		-		26,311		-
Inflation Protection Portfolio		16,642		8,985		5,663		62
High Yield Bond Portfolio		40,651		-		43,872		-
Multi-Sector Bond Portfolio		47,671		-		32,327		6,708
Balanced Portfolio		82,626		121,740		64,727		103,835
Asset Allocation Portfolio		9,305		17,887		7,196		15,602

260

Notes to Financial Statements

As of December 31, 2022 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	$	392	$	-	$	(54,530	)	$	67,630
Focused Appreciation Portfolio		2,059		71,643		-			218,790
Large Cap Core Stock Portfolio		6,286		48,862		-			34,968
Large Cap Blend Portfolio		1,503		14,830		-			17,725
Index 500 Stock Portfolio		67,102		35,831		-			2,642,888
Large Company Value Portfolio		5,077		19,079		-			6,150
Domestic Equity Portfolio		19,196		46,554		-			207,206
Equity Income Portfolio		18,100		55,166		-			130,870
Mid Cap Growth Stock Portfolio		2,534		-		(15,848	)		1,574
Index 400 Stock Portfolio		15,756		49,250		-			218,173
Mid Cap Value Portfolio		24,111		71,737		-			(5,687	)
Small Cap Growth Stock Portfolio		331		-		(75,269	)		37,846
Index 600 Stock Portfolio		4,348		15,940		-			30,423
Small Cap Value Portfolio		2,893		36,376		-			73,367
International Growth Portfolio		8,162		20,348		-			104,917
Research International Core Portfolio		13,540		15,029		-			61,020
International Equity Portfolio		54,272		-		(1,028	)		(214,640	)
Emerging Markets Equity Portfolio		19,013		-		(27,287	)		(42,276	)
Government Money Market Portfolio		-		-		-			-
Short-Term Bond Portfolio		7,807		-		(7,236	)		(18,905	)
Select Bond Portfolio		73,967		-		(277,634	)		(270,985	)
Long-Term U.S. Government Bond Portfolio		2,679		-		(10,002	)		(56,465	)
Inflation Protection Portfolio		20,508		-		(13,624	)		(38,012	)
High Yield Bond Portfolio		40,679		-		(8,896	)		(109,277	)
Multi-Sector Bond Portfolio		28,568		-		(72,504	)		(160,243	)
Balanced Portfolio		38,818		72,601		-			(217,555	)
Asset Allocation Portfolio		5,321		15,893		-			(25,962	)

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 year ended December 31, 2022 are summarized below (amounts in thousands):


Portfolio	2022 Reimbursements
International Growth Portfolio	$	909
International Equity Portfolio		3,561
Research International Core Portfolio		1,336
Emerging Markets Equity Portfolio		1,403

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.

261

Notes to Financial Statements

NOTE 11. INVESTMENT INCOME AND SECURITIES TRANSACTIONS

For the year ended December 31, 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	$	132,793	$	-	$	246,787	$	-
Focused Appreciation Portfolio		216,848		-		190,886		-
Large Cap Core Stock Portfolio		363,567		-		476,351		-
Large Cap Blend Portfolio		89,400		-		70,274		-
Index 500 Stock Portfolio		116,599		-		91,367		-
Large Company Value Portfolio		67,907		-		133,054		-
Domestic Equity Portfolio		140,256		-		128,757		-
Equity Income Portfolio		116,528		-		232,752		-
Mid Cap Growth Stock Portfolio		508,005		-		549,362		-
Index 400 Stock Portfolio		165,714		-		169,908		-
Mid Cap Value Portfolio		481,520		-		506,870		-
Small Cap Growth Stock Portfolio		346,123		-		340,008		-
Index 600 Stock Portfolio		75,423		-		61,148		-
Small Cap Value Portfolio		151,143		-		179,223		-
International Growth Portfolio		218,077		-		128,091		-
Research International Core Portfolio		196,625		-		240,075		-
International Equity Portfolio		287,719		-		222,721		-
Emerging Markets Equity Portfolio		411,711		-		277,059		-
Short-Term Bond Portfolio		118,702		117,378		100,945		108,129
Select Bond Portfolio		2,887,479		5,333,271		2,426,156		5,655,340
Long-Term U.S. Government Bond Portfolio		691		46,397		520		35,701
Inflation Protection Portfolio		155,023		91,487		169,581		51,040
High Yield Bond Portfolio		135,940		-		155,439		-
Multi-Sector Bond Portfolio		157,452		20,003		213,335		154
Balanced Portfolio		613,841		-		646,044		-
Asset Allocation Portfolio		102,130		-		96,841		-

Transactions with Affiliated Companies

An affiliated company is a company in which a Portfolio has ownership of at least 5% of the voting securities or which the Portfolio controls, is controlled by or with which the Portfolio is under common control. Transactions with affiliated companies during the year ended December 31, 2022 are as follows:

262

Notes to Financial Statements


Portfolio	Value at 12/31/2021		Purchases		Sales		Value at 12/31/2022		Change in Unrealized Appreciation/ Depreciation			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 12/31/2022

							(Amounts in thousands)
Balanced Portfolio:
Growth Stock	$	108,826	$	-	$	73,301	$	-	$	(18,630	)	$	(16,895	)	$	-	$	-		0.0	%
Focused Appreciation		109,064		39,899		11,100		95,215		(46,039	)		3,391			15		13,284		9.9	%
Large Cap Core Stock		91,335		-		74,901		-		(24,359	)		7,925			-		-		0.0	%
Large Cap Blend		92,903		40,247		10,830		100,037		(23,434	)		1,151			707		9,540		51.0	%
Large Company Value		66,888		-		63,004		-		(11,483	)		7,599			-		-		0.0	%
Domestic Equity		67,194		71,162		17,360		107,539		(19,105	)		5,648			1,960		12,802		10.1	%
Equity Income		67,424		-		62,624		-		(13,654	)		8,854			-		-		0.0	%
Mid Cap Growth Stock		100,637		13,032		-		81,889		(31,780	)		-			129		7,903		8.1	%
Mid Cap Value		106,645		16,320		13,400		91,365		(18,472	)		272			1,877		14,444		14.0	%
Small Cap Growth Stock		26,276		3,480		1,900		16,959		(10,377	)		(520	)		-		3,480		2.9	%
Small Cap Value		30,377		3,525		1,900		22,920		(8,408	)		(674	)		69		3,456		4.3	%
International Growth		63,466		34,931		-		75,895		(22,502	)		-			442		8,189		8.5	%
Research International Core		104,121		-		83,578		-		(26,846	)		6,303			-		-		0.0	%
International Equity		64,275		24,434		-		81,108		(7,601	)		-			1,950		2,184		4.7	%
Emerging Markets Equity		17,063		8,180		5,400		13,059		(4,841	)		(1,943	)		245		1,535		1.5	%
Short-Term Bond		23,905		375		-		22,825		(1,455	)		-			326		49		6.0	%
Select Bond		865,259		13,573		110,000		643,027		(111,125	)		(14,680	)		12,606		968		23.1	%
High Yield Bond		84,024		3,266		21,500		54,560		(11,216	)		(14	)		3,267		-		7.9	%
Multi-Sector Bond		119,927		4,312		-		101,469		(22,770	)		-			4,271		41		9.1	%

	$	2,209,609	$	276,736	$	550,798	$	1,507,867	$	(434,097	)	$	6,417		$	27,864	$	77,875

Asset Allocation Portfolio:
Growth Stock	$	18,697	$	-	$	12,595	$	-	$	(3,730	)	$	(2,372	)	$	-	$	-		0.0	%
Focused Appreciation		18,738		8,038		1,120		18,098		(7,864	)		306			3		2,435		1.9	%
Large Cap Core Stock		15,479		-		12,664		-		(4,232	)		1,417			-		-		0.0	%
Large Cap Blend		15,764		8,263		1,220		18,947		(3,997	)		137			128		1,734		9.7	%
Large Company Value		11,445		-		10,771		-		(1,995	)		1,321			-		-		0.0	%
Domestic Equity		11,541		13,064		2,320		19,880		(3,188	)		783			354		2,310		1.9	%
Equity Income		11,503		-		10,685		-		(2,395	)		1,577			-		-		0.0	%
Mid Cap Growth Stock		16,404		2,328		-		13,540		(5,192	)		-			21		1,307		1.3	%
Mid Cap Value		17,260		2,608		1,970		14,985		(3,048	)		135			300		2,308		2.3	%
Small Cap Growth Stock		7,429		984		-		5,312		(3,101	)		-			-		984		0.9	%
Small Cap Value		8,475		984		760		6,174		(2,428	)		(97	)		19		964		1.2	%
International Growth		12,159		7,208		-		15,020		(4,347	)		-			87		1,621		1.7	%
Research International Core		20,899		-		16,775		-		(5,805	)		1,681			-		-		0.0	%
International Equity		12,358		4,905		-		15,799		(1,464	)		-			380		425		0.9	%
Emerging Markets Equity		3,559		1,450		700		2,959		(1,220	)		(130	)		48		302		0.3	%
Short-Term Bond		3,267		51		-		3,120		(198	)		-			45		7		0.8	%
Select Bond		61,927		2,280		11,200		44,162		(7,421	)		(1,424	)		883		68		1.6	%
High Yield Bond		17,650		752		3,080		12,776		(2,373	)		(173	)		752		-		1.9	%
Multi-Sector Bond		16,039		577		-		13,571		(3,045	)		-			571		5		1.2	%

	$	300,593	$	53,492	$	85,860	$	204,343	$	(67,043	)	$	3,161		$	3,591	$	14,470

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 year ended December 31, 2022, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):

263

Notes to Financial Statements



	Cross Trade
Portfolio	Purchases
Growth Stock Portfolio	$	3,121
Mid Cap Growth Stock Portfolio		493
Mid Cap Value Portfolio		844
Small Cap Value Portfolio		882
International Growth Portfolio		7,086
Research International Core Portfolio		82
High Yield Bond Portfolio		3,245


	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gain (Loss) on Sales
High Yield Bond Portfolio	$	940	$	42
Mid Cap Growth Stock Portfolio		103		(58	)
Large Company Value Portfolio		126		(25	)
International Growth Portfolio		8,527		1,086
Research International Core Portfolio		583		120

264

Report of Independent Registered Public Accounting Firm

To the Board of Directors of Northwestern Mutual Series Fund, Inc. and Shareholders of 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

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (constituting Northwestern Mutual Series Fund, Inc., hereafter collectively referred to as the “Funds”) as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, and for Long-Term U.S. Government Bond Portfolio the statement of cash flows for the year ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022, for Long-Term U.S. Government Bond Portfolio, the results of its cash flows for the year then ended, and each of the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

265

Report of Independent Registered Public Accounting Firm

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

LOGO

Milwaukee, WI

February 20, 2023

We have served as the auditor of one or more investment companies in Northwestern Mutual Series Fund, Inc. since 1984.

266

Abbreviations (unaudited)

Abbreviations that may be used in the preceding statements


ADR		American Depositary Receipt
AFC		Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR		Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
EXE		Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.
IO		Interest Only Security
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
SONIO/N		SONIA Interest Rate Benchmark
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
MUTKCALM		Tokyo Overnight Average Rate

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
HUF		Hungarian Forint
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
RUB		Russian Ruble
SAR		SAR
SEK		Swedish Krona
THB		Thai Baht
TWD		Taiwan Dollar
USD		United States Dollar
ZAR		South African Rand

267

Proxy Voting and Portfolio Holdings (unaudited)

Proxy Voting Guidelines

A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll 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.

268

Director and Officer Information (unaudited)

Northwestern Mutual Series Fund, Inc.

The name, address and year of birth of the directors, as well as their affiliations, positions held with the Series Fund, principal occupations during the past five years and the number of portfolios overseen in the Northwestern Mutual fund complex, are shown below as of December 31, 2022, except as otherwise noted. Each director (whenever elected) shall hold office until the next annual meeting of shareholders and until his or her successor is elected and qualifies or until his or her earlier death, resignation or removal. A director shall retire at the end of the calendar year in which the first of the two events occurs: (i) he or she attains the age of seventy-three (73), or (ii) he or she has served a term or successive terms totaling thirteen (13) years, commencing on the date of his or her election or appointment to the Board. The statement of additional information contains additional information about Series Fund directors and is available without charge, upon request, by calling 1-888-455-2232.

Independent Directors


Name, Address, and Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held²
Robert H. Huffman III¹ 720 East Wisconsin Avenue Milwaukee, WI 53202 1959	Director	Since 2007	27	None

Principal Occupation During Past 5 Years: Since 2015, CEO of RVP Management, LLC, a registered investment adviser.
Christy L. Brown 720 East Wisconsin Avenue Milwaukee, WI 53202 1965	Director	Since 2012	27	None

Principal Occupation During Past 5 Years: Since October 2012, Chief Executive Officer, Girl Scouts of Wisconsin Southeast. From 2007 to 2012, Vice Chancellor, Finance and Administrative Affairs, University of Wisconsin, Milwaukee.
Gail L. Hanson 720 East Wisconsin Avenue Milwaukee, WI 53202 1955	Director	Since 2012	27	Director of Artisan Partner Funds (17 portfolios)

Principal Occupation During Past 5 Years: Retired. From February 2011 to April 2018, Chief Financial Officer, Aurora Health Care. Prior thereto, Deputy Executive Director, State of Wisconsin Investment Board.
William Gerber 720 East Wisconsin Avenue Milwaukee, WI 53202 1958	Director	Since 2017	27	Director of Ballantyne Strong, Inc., a developer of technology solutions for digital applications (2015 to present)

Principal Occupation During Past 5 Years: Retired. From 2006 to 2015, Chief Financial Officer, and from 2007 to 2015, Executive Vice President, of TD Ameritrade Holdings Corporation.

David Ribbens 720 East Wisconsin Avenue Milwaukee, WI 53202 1961	Director	Since 2017	27	None

Principal Occupation During Past 5 Years: Since March of 2018, Member and Partner of DOMO Capital Management, LLC, a Wisconsin registered investment adviser. Founder and President of Distribution Team Alpha LLC, founded in 2016. From 2015 to 2016, President, Managing Partner, and Director of Heartland Advisors, Inc. From 2008 to 2015, Executive Vice President and Head of Distribution, Managing Partner, and Director of Heartland Advisors, Inc.

269

Director and Officer Information (unaudited)


Name, Address, and Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held²

Donald M. Ullmann 720 East Wisconsin Avenue Milwaukee, WI 53202 1957	Director	Since 2017	27	None

Principal Occupation During Past 5 Years: Since 2015, Principal of DMU Financial Consulting, LLC. From 2013 to 2015, Managing Director, Head of Product Development, Fixed Income at Guggenheim Securities. From 2012 to 2013, Executive Managing Director, Co-head, MBS and Rates Division at Gleacher & Co. From 2009 to 2011, Executive Vice President, Head of Fixed Income Trading and Co-Head of Fixed Income Sales at Keefe, Bruyette and Woods, Inc.

¹.	Robert H Huffman III served as an independent director during 2022. He retired as an independent director effective December 31, 2022 in accordance with the Series Fund’s By-laws.

².	This column includes only directorships of companies required to report to the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934, as amended (i.e., “public companies”) or other investment companies registered under the Investment Company Act of 1940, as amended.

Other Directors


Name, Address, and Year of Birth	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held

Ronald P. Joelson³720 East Wisconsin Avenue Milwaukee, WI 53202 1958	Chairman of the Board	Since 2015	27	None

Principal Occupation During Past 5 Years: Since January 1, 2021, Executive Vice President of The Northwestern Mutual Life Insurance Company. From 2012 through 2020, Executive Vice President and Chief Investment Officer of The Northwestern Mutual Life Insurance Company. Prior thereto, Chief Investment Officer of Genworth Financial from 2009-2012.

Michael G. Carter⁴720 East Wisconsin Avenue Milwaukee, WI 53202 1961	Chairman of the Board	Since 2023	27	None

Principal Occupation During Past 5 Years: Since January 2023, Executive Vice President and Chief of Staff to the Chief Executive Officer. From 2019, Executive Vice President, Chief Financial Officer and Chief Risk Officer of The Northwestern Mutual Life Insurance Company. From 2008 through 2019, Executive Vice President and Chief Financial Officer of The Northwestern Mutual Life Insurance Company.

³.	Ronald P. Joelson served as a director and Chairman of the Board of Directors of the Series Fund during 2022. He resigned his as director and Chairman of the Board with the Series Fund effective December 31, 2022.

⁴.	Michael G. Carter was elected to serve as a director and Chairman of the Board of directors of the Series Fund by resolution of the Board effective January 1, 2023.

270

Director and Officer Information (unaudited)

Northwestern Mutual Series Fund, Inc.

Executive Officers



Name, Address, and Year of Birth	Position	Length of Time Served

Paul A. Mikelson 720 East Wisconsin Avenue Milwaukee, WI 53202 1970	President	Since 2022

Principal Occupation During Past 5 Years: Since January 2022, Vice President – Product and Administration of Mason Street Advisors. From 2013 - December 31, 2021, Vice President, Multi-Manager Investment Solutions at Columbia Threadneedle Investments, an Ameriprise Financial affiliate.

Todd M. Jones⁵ 720 East Wisconsin Avenue Milwaukee, WI 53202 1968	Vice President; Chief Financial Officer & Treasurer	Since 2015

Principal Occupation During Past 5 Years: Since April 2015, Vice President and Controller of Northwestern Mutual.

Matthew P. Sullivan⁶720 East Wisconsin Avenue Milwaukee, WI 53202 1979	Vice President; Chief Financial Officer & Treasurer	Since 2023

Since January 2023, Vice President and Controller of Northwestern Mutual. From June 2019 to December 2022, Vice President – Planning Experience Readiness & Adoption and from May 2016 to May 2019 Vice President of Product Finance, Northwestern Mutual and Treasurer of Northwestern Mutual Wealth Management Company.

Phil J. Rinzel 720 East Wisconsin Avenue Milwaukee, WI 53202 1979	Controller & Chief Accounting Officer	Since 2021

Principal Occupation During Past 5 Years: Since 2016, Senior Director – Investment Accounting of Northwestern Mutual.

Michael J. Conmey 720 East Wisconsin Avenue Milwaukee, WI 53202 1980	Chief Compliance Officer	Since 2020

Principal Occupation During Past 5 Years: Vice President – Managed Investments Compliance of Northwestern Mutual and Chief Compliance Officer of Mason Street Advisors and Northwestern Mutual Investment Management Company since June 2020. Assistant General Counsel and Assistant Secretary of Northwestern Mutual from 2011 - 2020.

Lesli H. McLinden 720 East Wisconsin Avenue Milwaukee, WI 53202 1962	Secretary	Since 2014

Principal Occupation During Past 5 Years: Assistant General Counsel and Assistant Secretary of Northwestern Mutual since 2007. Secretary of Mason Street Advisors from 2015 to 2017 and Assistant Secretary since 2017.

271

Director and Officer Information (unaudited)


Name, Address, and Year of Birth	Position	Length of Time Served
James E. Fleming 720 East Wisconsin Avenue Milwaukee, WI 53202 1975	Vice President - Investments	Since 2020

Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015.
Rodney A. Schmucker 720 East Wisconsin Avenue Milwaukee, WI 53202 1966	Vice President - Investments	Since 2020

Principal Occupation During Past 5 Years: Vice President of Mason Street Advisors since 2015.
Brent G. Schutte 720 East Wisconsin Avenue Milwaukee, WI 53202 1973	Vice President - Investments	Since 2022

Principal Occupation During Past 5 Years: Since 2015, Chief Investment Officer of Northwestern Mutual Wealth Management Company
Garrett D. Aird 720 East Wisconsin Avenue Milwaukee, WI 53202 1978	Vice President - Investments	Since 2022

Principal Occupation During Past 5 Years: Since November 2021, Vice President – Investment Management & Research of Northwestern Mutual Wealth Management Company (NMWMC). From 2017 to November 2021, Senior Director – Research at NMWMC. Prior thereto, Assistant Director – Investments at NMWMC.

⁵.	Todd Jones served in the officer capacities noted during 2022. He resigned his officer positions with the Series Fund effective December 31, 2022.

⁶.	Matthew Sullivan was elected as Vice President, Chief Financial Officer and Treasurer pursuant to a consent action of the Board of Directors of the Series Fund, effective January 1, 2023.

272

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 sub-advisory agreements between Mason Street Advisors, LLC (“Mason Street Advisors”) and each of the sub-advisers of those portfolios of the Series Fund (each, a “Portfolio” and collectively, the “Portfolios”) for which Mason Street Advisors and the Board have appointed 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 December 31, 2022

At its August 25, 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” or “Directors”), unanimously approved the continuance of a (1) Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and American Century Investment Management, Inc. (“American Century”), relating to the Series Fund’s Mid Cap Value, Large Company Value and Inflation Protection Portfolios, (2) Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust (“Delaware”) relating to the Series Fund’s Domestic Equity Portfolio, (3) Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Federated Investment Management Company (“Federated”) relating to the Series Fund’s High Yield Bond Portfolio, and a (4) Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Loomis, Sayles & Company, L.P. (“Loomis Sayles”) relating to the Series Fund’s Focused Appreciation Portfolio, together with an amendment thereto incorporating a sub-advisory fee reduction.

At its November 30, 2022 meeting, the Board, including the Independent Directors, unanimously approved the following Investment Sub-Advisory Agreements: (1) an Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and T. Rowe Price Investment Management, Inc. (“TRPIM”) dated November 30, 2022, relating to the Small Cap Value Portfolio; (2) a Sixth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and T. Rowe Price Associates, Inc. (“TRPA”) dated November 30, 2022, relating to the Equity Income, Growth Stock and Short-Term Bond Portfolios; (3) a Fourth Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Pacific Investment Management Company LLC (“PIMCO”) dated November 30, 2022, relating to the Long-Term U.S. Government Bond and Multi-Sector Bond Portfolios; (4) two Amended and Restated Investment Sub-Advisory Agreements between Mason Street Advisors and BlackRock Advisors, LLC (“BlackRock”), each dated November 30, 2022, relating to the Government Money Market and Index 500 Stock Portfolios, respectively; and (5) an Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Allspring Global Investments, LLC (“Allspring”) dated November 30, 2022, relating to the Select Bond Portfolio. Each of the foregoing Investment Sub-Advisory Agreements approved by the Board at its November 30, 2022 meeting continued the existing sub-advisory contract relationship with the named sub-advisers. The existing Investment Sub-Advisory Agreements were amended and restated to reflect modifications to incorporate certain updated terms and conditions.

American Century, Delaware, Federated, Loomis Sayles, TRPIM, TRPA, Allspring, PIMCO and BlackRock are sometimes collectively referred to hereinafter as the “Sub-Advisers,” and their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios.” The respective Investment Sub-Advisory Agreements with the Sub-Advisers are collectively referred to herein as the “Sub-Advisory Agreements.”

273

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

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 of the foregoing meetings 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 was formally considered, the evaluation process with respect to the Sub-Advisers and the nature, extent and quality of the services they provide to the Sub-Advised 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 informed by information provided and deliberations that occurred at other meetings throughout the year.

The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the 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 the 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 or the Sub-Advisers present, and were represented throughout the process by legal counsel.

Continuation of the Sub-Advisory Agreements between Mason Street Advisors and Certain Sub-Advisors

At its August 25, 2022 and November 30, 2022 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the Sub-Advisory Agreements. In connection with those meetings, the Directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about the Sub-Advisers during the course of those meetings, the Directors also had available for consideration 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 available Mason Street Advisors’ Executive Summary and Overview regarding each of the Sub-Advisers, and other materials prepared by Mason Street Advisors. The materials contained detailed information on performance over multiple time periods, expenses, brokerage commissions, portfolio turnover, style consistency, key portfolio statistics and metrics, and other factors with respect to each of 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 of the Sub-Advisers. 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. 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, 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 each Sub-Advised Portfolio. The Directors considered informational updates given by the portfolio managers, which included reports regarding how the Sub-Advised Portfolios were being positioned in the current market environment.

274

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

The Directors also considered Mason Street Advisors’ reports on due diligence visits and conference calls that had been conducted with certain of the Sub-Advisers. The Directors also considered information about each Sub-Adviser’s ongoing operational capabilities in response to the COVID-19 pandemic and concluded that the Sub-Advisers retained the ability to continue to provide services in a remote work environment.

With respect to American Century, the Directors considered the updated succession planning developments related to the portfolio manager for the Large Company Value Portfolio, including a number of preparatory activities that American Century had engaged in to ensure an efficient transition. With respect to Federated, the Directors considered the firm’s comments regarding the consistency of personnel servicing the High Yield Bond Portfolio, including the benefits from having a long-tenured portfolio management team to navigate through the market challenges created by the COVID-19 pandemic and the conflict between Russia and Ukraine, among other challenges. The Directors also considered comments from Delaware, Federated and American Century regarding the integration of environmental, social and governance factors into their investment processes, where applicable to the Sub-Advised Portfolios.

With respect to TRPA and TRPIM, the Directors considered the internal reorganization of TRPA which resulted in TRPIM, a wholly-owned subsidiary of TRPA, becoming Sub-Adviser to the Small Cap Value Portfolio. Specifically, the Directors considered representations from TRPA and TRPIM that no changes to the portfolio management team or other key investment personnel had occurred as a result of the reorganization. Additionally, they considered that the level and scope of services rendered by TRPIM, as well as the fees payable by MSA to TRPIM, had remained the same as the services rendered and fees paid previously by TRPA.

The Directors also considered and expressed satisfaction with each Sub-Adviser’s investment philosophy and process and the scope of services provided by the Sub-Advisers. 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 their 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 a variety of time periods. In addition to reviewing the performance of each Sub-Advised Portfolio for both short-term 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 benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio’s respective Morningstar and Lipper peer groups for the same periods, (ii) the Morningstar overall star rating and Lipper quintile rating for each Sub-Advised Portfolio and (iii) the Morningstar and the Lipper performance rankings for 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 benchmark against which they could assess the performance of the Sub-Advised Portfolios. The Directors further 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 American Century, the Directors acknowledged the performance challenges encountered over prior periods by the Mid Cap Value and Large Company Value Portfolios. The Directors viewed favorably the consistent investment approaches applied by the portfolio managers for the Portfolios despite the challenges experienced during the extraordinary market conditions created by the COVID-19 pandemic. The Directors also considered the additions of two senior analysts as named co-portfolio managers to the Mid Cap Value and Large Company Value Portfolios. With respect to the Inflation Protection Portfolio, the Directors were satisfied with the Portfolio’s performance and cited no concerns. With respect to Federated, the Directors commented favorably on the continued strong performance of the High Yield Bond Portfolio, noting that, although the High Yield Bond Portfolio’s performance slightly trailed the average performance of its Lipper peer group

275

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

for the recent six- and twelve-month periods, its performance was well ahead of the benchmark for most time periods. With respect to Loomis Sayles, the Directors acknowledged the challenged performance results of the Focused Appreciation Portfolio during recent periods, but balanced this against the Portfolio’s very strong performance record over the longer-term, the benefits of providing downside protection, and the consistency of the Loomis Sayles investment process. With respect to Delaware, the Directors considered the strong performance of the Portfolio over the twelve-month period relative to the Russell 1000 Value Index, which outweighed prior earlier underperformance. The Directors also considered the Portfolio’s strong since-inception performance record.

With respect to the Portfolios sub-advised by TRPA, the Directors considered the portfolio manager’s comments about the reasons for the underperformance of the Growth Stock Portfolio. The Directors expressed no performance concerns with the Equity Income Portfolio or the Short-Term Bond Portfolio. With respect to TRPIM, the Directors considered the shorter-term performance challenges experienced by the Small Cap Value Portfolio, but balanced those concerns against the Portfolio’s positive performance over the longer-term. With respect to PIMCO, the Directors considered the portfolio manager’s comments about the reasons of the Multi-Sector Bond Portfolio underperformance over the one-year period, which was considered in conjunction with the Portfolio’s positive performance over longer-term periods. The Directors expressed satisfaction and cited no concerns with the performance for the Portfolios sub-advised by Allspring and BlackRock.

In addition to performance information presented at the meeting, the Directors considered the performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically throughout the year. Generally speaking, while attentive to the short-term performance results because of the trend that such performance might signal, the Directors placed greater weight on longer-term performance. For the reasons summarized above, the Board concluded that, considering the 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 actual and contractual 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 also considered the size of the Sub-Advised Portfolios, expenses assumed by Mason Street Advisors, and the applicable expense limitation and/or fee waiver arrangements agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio.

As part of their evaluation, the Directors received and 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 in a category of funds underlying variable insurance products. Categories were selected by Broadridge based upon having similar investment classifications, objectives, and asset allocations. The Directors considered the comparative data as a guide to help assess the reasonableness of each Sub-Advised Portfolio’s net and total expense ratios. The Directors considered that the Broadridge expense rankings of the Mid Cap Value and Inflation Protection Portfolios sub-advised by American Century, the Domestic Equity Portfolio sub-advised by Delaware, the High Yield Bond Portfolio sub-advised by Federated, the Focused Appreciation Portfolio sub-advised by Loomis Sayles, the Short-Term Bond, Equity Income and Growth Stock Portfolios sub-advised by TRPA, the Select Bond Portfolio sub-advised by Allspring, the Index 500 Stock Portfolio sub-advised by BlackRock, and the Long-Term U. S. Government Bond Portfolio sub-advised by PIMCO were in the top Broadridge quartile (meaning lowest net expenses) of their respective categories. The Directors considered that the expense rankings of the Large Company Value Portfolio sub-advised by American Century, the Small Cap Value Portfolio sub-advised by TRPIM, and the Multi-Sector Bond Portfolio sub-advised by PIMCO were within the second quartile of their respective categories. The Directors finally considered that the expense rankings of the Government Money Market Portfolio sub-advised by BlackRock were within the third quartile of its respective category.

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 over time and the expense limitation and fee waivers that are in place.

276

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

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’ fee and expense analysis regarding fees, expenses and profit margins related to the Sub-Advised Portfolios on a per Portfolio basis, and Mason Street Advisors’ allocation methodology with respect to expenses. The profitability information presented for the Directors’ consideration was supplemented by the aforementioned information regarding the expense-based ranking of each Sub-Advised Portfolio within the Portfolio’s respective Broadridge peer group category. The Directors recognized that the sub-advisory fees were the result of arm’s-length negotiations between Mason Street Advisors and such Sub-Advisers. 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 may have been developed using a variety of assumptions and other factors. The Directors concluded that they had received sufficient information to evaluate the issues related to costs and profitability.

The Directors considered 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 the participation of mutual fund families advised by certain Sub-Advisers to the Sub-Advised Portfolios on the brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in mutual fund partner programs offered by such brokerage affiliate, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors. The Directors reviewed information concerning certain of 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 considered whether each Sub-Advised Portfolio’s expense structure permitted economies of scale to be shared with the Sub-Advised Portfolio’s investors. The Directors considered the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios, as applicable, and the extent to which each Sub-Advised Portfolio may benefit from economies of scale through those breakpoints. The Directors took into account the expense limitation arrangements in place for the Mid Cap Value, Large Company Value, Inflation Protection, Domestic Equity, Focused Appreciation, Short-Term Bond, Small Cap Value, Equity Income, Long-Term U.S. Government Bond and Multi-Sector Bond Portfolios, and the fee waiver arrangements in place with respect to the Mid Cap Value, Large Company Value, Inflation Protection, Domestic Equity, High Yield Bond, Focused Appreciation, Short-Term Bond, Small Cap Value, Equity Income, Growth Stock, Select Bond, Long-Term U.S. Government Bond, Multi-Sector Bond, Government Money Market, and Index 500 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 intended to assist them in their consideration of the continuation of the Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Sub-Advised 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 an Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser’s responses to those actions. The Directors also considered

277

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

information regarding each Sub-Adviser’s code of ethics, approach to portfolio manager compensation, 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.

Conclusions of the Directors. Based on a consideration of all information deemed relevant in its totality, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of their reasonable business judgment concluded that the terms of the 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.

278

(b) Not applicable.

Item 2.

Code of Ethics

As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and principal accounting officer or controller.

Item 3.

Audit Committee Financial Expert

The Registrant’s board of directors has determined that the Registrant has two audit committee financial experts serving on its audit committee. The names of the audit committee financial experts are Gail L. Hanson and William Gerber. Each of the audit committee financial experts is independent.

Item 4.

Principal Accountant Fees and Services


(a) Audit Fees

Audit Fees and Expenses of Registrant	2021	2022

	$811,450	$852,020

(b) Audit Related Fees

Audit-Related Fees and Expenses of Registrant	2021	2022

	$ 0	$ 0

(c) Tax Fees	2021	2022

	$82,440	$88,640

Review of dividend declarations
Review of excise tax calculations
Non-U.S. tax compliance


(d) All Other Fees	2021	2022

	$ 0	$ 0

(e)(1) It is the audit committee’s policy to pre-approve all audit and non-audit service engagements for the Registrant; and any non-audit service engagement of the Registrant’s auditor by (1) the Registrant’s investment adviser and (2) any other entity in a control relationship with the investment adviser that provides ongoing services to the Registrant if, in each of (1) and (2) above, the non-audit service engagement relates directly to the operations and financial reporting of the Registrant. (2) Not applicable.


(f) Not applicable.
(g) Aggregate non-audit fees of Registrant, Registrant’s investment adviser, and related service providers	2021	2022

	$219,033	$201,640

(h) The Registrant’s audit committee has considered whether the auditor’s provision of non-audit services to the Registrant’s investment adviser and related service providers is compatible with the auditor’s independence.

Item 5.

Audit Committee of Listed Registrants

Not applicable.

Item 6.

Investments

Full Schedule of Investments is included in Item 1.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders

Not applicable.

Item 11.

Controls and Procedures

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this filing was recorded, processed, summarized, and reported timely.

(b) There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13.

Exhibits

(a)(1) The code of ethics referred to in the response to Item 2 above is attached as exhibit EX-99.12(a)(1).

(a)(2) Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as exhibit

EX-99.CERT.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, are attached as exhibit EX-99.906CERT. The certifications furnished pursuant to this paragraph are not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


NORTHWESTERN MUTUAL SERIES FUND, INC.

By:		/s/ Paul A. Mikelson
		Paul A. Mikelson, President

Date:		February 15, 2023

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:		February 15, 2023

By:		/s/ Matthew P. Sullivan
		Matthew P. Sullivan, Vice President,
		Chief Financial Officer and Treasurer

Date:		February 15, 2023

Northwestern Mutual Series Fund N-CSRCertified annual shareholder report (management investment company)