N-MFP2 0000742212 XXXXXXXX 2020-06-30 0000742212 S000000048 1 N N 002-89971 Mason Street Advisors, LLC 801-60721 BlackRock Advisors, LLC 801-47710 PricewaterhouseCoopers LLP Milwaukee WI The investment adviser has contracted with The Northwestern Mutual Life Insurance Company to provide certain administrative services for the fund. 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Tri-Party Natixis S.A. BRW6D39M4 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash N N US Treasury 2021-01-15 2048-11-15 0.750000 - 3.375000 1262203.00 1367347.42 U.S. Treasuries (including strips) Government National Mortgage Association 2049-01-20 4.500000 969666.00 1035331.72 Agency Mortgage-Backed Securities Federal National Mortgage Association 2030-05-15 2050-01-01 0.000000 - 4.500000 72971.00 78234.47 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2029-03-15 0.000000 2917000.00 2619734.36 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 5000000.00 5000000.00 0.0091 N Y Y N Tri-Party Natixis S.A. Tri-Party Natixis S.A. BRW6D39L6 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash N N US Treasury 2021-01-15 2048-05-15 0.125000 - 3.750000 12074321.00 15300104.47 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0007 15000000.00 15000000.00 0.0273 N Y Y N Tri-Party TD Securities Tri-Party TD Securities BRW6D39X0 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash N N Government National Mortgage Association 2049-10-20 3.500000 1969572.00 2109773.61 Agency Mortgage-Backed Securities Federal National Mortgage Association 2032-11-01 2047-08-01 3.500000 - 4.500000 32777856.00 35791850.36 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2046-10-01 2048-02-01 4.000000 - 4.000000 16826679.00 18727692.09 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 55000000.00 55000000.00 0.1001 N Y Y N US Treasury US Treasury 9127963C1 US9127963C19 U.S. Treasury Debt Y N/A N/A 2020-07-07 2020-07-07 2020-07-07 N N N 0.0011 7999836.64 7999836.64 0.0146 N Y Y N US Treasury US Treasury 912796WX3 US912796WX33 U.S. Treasury Debt Y N/A N/A 2020-07-23 2020-07-23 2020-07-23 N N N 0.0013 14998900.05 14998900.05 0.0273 N Y Y N US Treasury US Treasury 912796WY1 US912796WY16 U.S. Treasury Debt Y N/A N/A 2020-07-30 2020-07-30 2020-07-30 N N N 0.0013 4729514.18 4729514.18 0.0086 N Y Y N US Treasury US Treasury 912796WZ8 US912796WZ80 U.S. Treasury Debt Y N/A N/A 2020-08-06 2020-08-06 2020-08-06 N N N 0.0097 784899.91 784899.91 0.0014 N Y Y N US Treasury US Treasury 9127963P2 US9127963P22 U.S. Treasury Debt Y N/A N/A 2020-08-18 2020-08-18 2020-08-18 N N N 0.0012 5623987.50 5623987.50 0.0102 N Y Y N US Treasury US Treasury 912796XG9 US912796XG90 U.S. Treasury Debt Y N/A N/A 2020-08-27 2020-08-27 2020-08-27 N N N 0.0087 2539467.14 2539467.14 0.0046 N Y Y N US Treasury US Treasury 912796XH7 US912796XH73 U.S. Treasury Debt Y N/A N/A 2020-09-03 2020-09-03 2020-09-03 N N N 0.0083 1564613.96 1564613.96 0.0028 N Y Y N US Treasury US Treasury 9127962G3 US9127962G32 U.S. Treasury Debt Y N/A N/A 2020-09-17 2020-09-17 2020-09-17 N N N 0.0014 944713.35 944713.35 0.0017 N Y Y N US Treasury US Treasury 9127962R9 US9127962R96 U.S. Treasury Debt Y N/A N/A 2020-10-15 2020-10-15 2020-10-15 N N N 0.0029 2448899.88 2448899.88 0.0045 N Y Y N US Treasury US Treasury 9127964R7 US9127964R78 U.S. Treasury Debt Y N/A N/A 2020-11-10 2020-11-10 2020-11-10 N N N 0.0018 3058036.49 3058036.49 0.0056 N Y Y N US Treasury US Treasury 9127964T3 US9127964T35 U.S. Treasury Debt Y N/A N/A 2020-11-24 2020-11-24 2020-11-24 N N N 0.0019 6521162.91 6521162.91 0.0119 N Y Y N US Treasury US Treasury 9127964U0 US9127964U08 U.S. Treasury Debt Y N/A N/A 2020-12-01 2020-12-01 2020-12-01 N N N 0.0017 1643916.36 1643916.36 0.0030 N Y Y N US Treasury US Treasury 912796XE4 US912796XE43 U.S. Treasury Debt Y N/A N/A 2021-02-25 2021-02-25 2021-02-25 N N N 0.0018 5993825.82 5993825.82 0.0109 N Y Y N US Treasury US Treasury 9127962F5 US9127962F58 U.S. Treasury Debt Y N/A N/A 2021-03-25 2021-03-25 2021-03-25 N N N 0.0018 5368621.66 5368621.66 0.0098 N Y Y N US Treasury US Treasury 9127962Y4 US9127962Y48 U.S. Treasury Debt Y N/A N/A 2021-05-20 2021-05-20 2021-05-20 N N N 0.0016 3684951.12 3684951.12 0.0067 N Y Y N US Treasury US Treasury 912828Y53 US912828Y537 U.S. Treasury Debt Y N/A N/A 2020-07-01 2020-07-31 2020-07-31 N N N 0.0030 1135030.96 1135030.96 0.0021 N Y Y N US Treasury US Treasury 9128285H9 US9128285H96 U.S. Treasury Debt Y N/A N/A 2020-07-01 2020-10-31 2020-10-31 N N N 0.0030 5000548.80 5000548.80 0.0091 N Y Y N US Treasury US Treasury 9128286Q8 US9128286Q86 U.S. Treasury Debt Y N/A N/A 2020-07-01 2021-04-30 2021-04-30 N N N 0.0037 380348.06 380348.06 0.0007 N Y Y N US Treasury US Treasury 9128287G9 US9128287G95 U.S. Treasury Debt Y N/A N/A 2020-07-01 2021-07-31 2021-07-31 N N N 0.0037 2003836.04 2003836.04 0.0036 N Y Y N US Treasury US Treasury 912828M98 US912828M987 U.S. Treasury Debt Y N/A N/A 2020-11-30 2020-11-30 2020-11-30 N N N 0.0167 477801.76 477801.76 0.0009 N Y Y N US Treasury US Treasury 9128283G3 US9128283G32 U.S. Treasury Debt Y N/A N/A 2020-11-15 2020-11-15 2020-11-15 N N N 0.0161 432485.94 432485.94 0.0008 N Y Y N US Treasury US Treasury 912828A42 US912828A420 U.S. Treasury Debt Y N/A N/A 2020-11-30 2020-11-30 2020-11-30 N N N 0.0166 282110.94 282110.94 0.0005 N Y Y N US Treasury US Treasury 9128283Q1 US9128283Q14 U.S. Treasury Debt Y N/A N/A 2021-01-15 2021-01-15 2021-01-15 N N N 0.0036 782659.18 782659.18 0.0014 N Y Y N US Treasury US Treasury 912828PC8 US912828PC88 U.S. Treasury Debt Y N/A N/A 2020-11-15 2020-11-15 2020-11-15 N N N 0.0164 1190739.84 1190739.84 0.0022 N Y Y N The Northwestern Mutual Life Insurance Company 2020-07-08 /s/Barbara E. Courtney Barbara E. Courtney Controller and Chief Accounting Officer